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Mukhopadhyay, Kajal; Marsh, Lawrence C. - In: Applied economics 38 (2006) 3, pp. 301-305

Persistent link: https://www.econbiz.de/10003295036

Chaotic monetary dynamics with confidence

Serletis, Apostolos; Shintani, Mototsugu - In: Journal of macroeconomics 28 (2006) 1, pp. 228-252

Persistent link: https://www.econbiz.de/10003291170

Specification testing for regression models with dependent data

Hidalgo, Javier - In: Journal of econometrics 143 (2008) 1, pp. 143-165

Persistent link: https://www.econbiz.de/10003722596

A versatile and robust metric entropy test of time-reversibility, and other hypotheses

Racine, Jeffrey; Maasoumi, Esfandiar - In: Journal of econometrics 138 (2007) 2, pp. 547-567

Persistent link: https://www.econbiz.de/10003464306

Local multiplicative bias correction for asymmetric kernel density estimators

Hagmann, Matthias; Scaillet, Olivier - In: Journal of econometrics 141 (2007) 1, pp. 213-249

Persistent link: https://www.econbiz.de/10003571280

A nonparametric random effects estimator

Henderson, Daniel J.; Ullah, Aman - In: Economics letters 88 (2005) 3, pp. 403-407

Persistent link: https://www.econbiz.de/10003035733

Asymptotic distribution theory for nonparametric entropy measures of serial dependence

Hong, Yongmiao; White, Halbert - In: Econometrica : journal of the Econometric Society, an … 73 (2005) 3, pp. 837-901

Persistent link: https://www.econbiz.de/10002876743

Local partitioned regression

Christopeit, Norbert; Hoderlein, Stefan G. N. - In: Econometrica : journal of the Econometric Society, an … 74 (2006) 3, pp. 787-818

Persistent link: https://www.econbiz.de/10003329591

Capturing option anomalies with a variance-dependent pricing Kernel

Christoffersen, Peter F.; Heston, Steven L.; Jacobs, Kris - In: The review of financial studies 26 (2013) 8, pp. 1962-2006

Persistent link: https://www.econbiz.de/10010207293

Non-parametric estimation of intraday spot volatility : disentangling Instantaneous Trend and Seasonality

Vatter, Thibault; Wu, Hau-tieng; Chavez-Demoulin, Valérie - In: Econometrics : open access journal 3 (2015) 4, pp. 864-887

We provide a new framework for modeling trends and periodic patterns in high-frequency financial data. Seeking adaptivity to ever-changing market conditions, we enlarge the Fourier flexible form into a richer functional class: both our smooth trend and the seasonality are non-parametrically...

Persistent link: https://www.econbiz.de/10011411344