Similar Search Results

Non-parametric sign test and paired samples test of effectiveness of official FX intervention

Marinković, Srđan - In: Economic annals 59 (2014) 202, pp. 107-130

Persistent link: https://www.econbiz.de/10010491977

Testing for non-correlation between price and volatility jumps

Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot - In: Journal of econometrics 197 (2017) 2, pp. 284-297

Persistent link: https://www.econbiz.de/10011818360

Midas regressions : further results and new directions

Ghysels, Eric; Sinko, Arthur; Valkanov, Rossen I. - In: Econometric reviews 26 (2007) 1, pp. 53-90

Persistent link: https://www.econbiz.de/10003509012

A MIDAS approach to modeling first and second moment dynamics

Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen I. - In: Journal of econometrics 193 (2016) 2, pp. 315-334

Persistent link: https://www.econbiz.de/10011704952

A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities

Shin, Dong-wan; Hwang, Eunju - In: Economics letters 129 (2015), pp. 95-99

Persistent link: https://www.econbiz.de/10011422016

Testing for Jumps in a Discretely Observed Price Process with Endogenous Sampling Times

Li, Yifan; Nolte, Ingmar; Nolte (Lechner), Sandra; Yu, … - 2021

than other tests based on observations regularly sampled in calendar time with a similar level of sampling sparseness. Our …

Persistent link: https://www.econbiz.de/10013321639

Business time sampling scheme with applications to testing semi-martingale hypothesis and estimating integrated volatility

Dong, Yingjie; Tse, Yiu Kuen - In: Econometrics : open access journal 5 (2017) 4, pp. 1-19

We propose a new method to implement the Business Time Sampling (BTS) scheme for high-frequency financial data. We … estimates using our proposed sampling strategy provide smaller root mean-squared error. …

Persistent link: https://www.econbiz.de/10011781945

Nonparametric filtering of conditional state-price densities

Dalderop, Jeroen - In: Journal of econometrics 214 (2020) 2, pp. 295-325

Persistent link: https://www.econbiz.de/10012438391

Realized regression with asynchronous and noisy high frequency and high dimensional data

Chen, Dachuan; Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 239 (2024) 2, pp. 1-20

Persistent link: https://www.econbiz.de/10015074483

Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form

Coudin, Elise; Dufour, Jean-Marie - In: The econometrics journal 12 (2009), pp. 19-49

Persistent link: https://www.econbiz.de/10003876273

1
2
3
4
5
6
7
8
9
10
Next
Last