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Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data
Bennedsen, Mikkel - 2016
Persistent link: https://www.econbiz.de/10011524100
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Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
Bennedsen, Mikkel - In: Econometric reviews 39 (2020) 9, pp. 875-903
Persistent link: https://www.econbiz.de/10012295586
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Rough continuous-time processes : theory and applications
Bennedsen, Mikkel - 2017
Persistent link: https://www.econbiz.de/10011817834
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The local fractional bootstrap
Bennedsen, Mikkel; Hounyo, Ulrich; Lunde, Asger; … - 2016
Persistent link: https://www.econbiz.de/10011474807
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Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors
Bennedsen, Mikkel; Hillebrand, Eric; Koopman, Siem Jan - In: Energy economics 96 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10012818590
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Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors
Bennedsen, Mikkel; Hillebrand, Eric; Koopman, Siem Jan - 2019
Persistent link: https://www.econbiz.de/10012316908
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Decoupling the short- and long-term behavior of stochastic volatility
Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. - In: Journal of financial econometrics 20 (2022) 5, pp. 961-1006
Persistent link: https://www.econbiz.de/10013460035