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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
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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
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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
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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
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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
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Inflation and the distribution of price changes
Bryan, Michael F.; Cecchetti, Stephen G. - 1996
Persistent link: https://www.econbiz.de/10000609279
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Asymmetry and long memory in volatility modelling
Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - 2010 - Rev.
Persistent link: https://www.econbiz.de/10008695596
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Small sample properties of GARCH estimates and persistence
Hwang, Soosung; Pereira, Pedro L. Valls - In: The European journal of finance 12 (2006) 6/7, pp. 473-494
Persistent link: https://www.econbiz.de/10003382813
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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
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Asymmetry and long memory in volatility modeling
Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - In: Journal of financial econometrics : official journal of … 10 (2012) 3, pp. 495-512
Persistent link: https://www.econbiz.de/10009571512