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Essays on long memory time series

Leschinski, Christian Hendrik - 2016

Persistent link: https://www.econbiz.de/10011559565

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

Estimation of asymmetric box-cox stochastic volatility models using MCMC simulation

Zhang, Xibin; King, Maxwell L. - 2003

Persistent link: https://www.econbiz.de/10001854359

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

Statistical methods in finance

Maddala, Gangadharrao S. (contributor); … - 1996

Persistent link: https://www.econbiz.de/10000610528

Applied quantitative finance

Härdle, Wolfgang (ed.); Hautsch, Nikolaus (ed.); … - 2009 - 2. ed.

Persistent link: https://www.econbiz.de/10003719524

Modeling high dimensional time series for factors driving volatility strings

Mungo, Julius - 2009

Persistent link: https://www.econbiz.de/10003835521

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