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The scale of predictability
Bandi, F. M.; Perron, Benoit; Tamoni, A.; Tebaldi, C. - In: Journal of econometrics 208 (2019) 1, pp. 120-140
Persistent link: https://www.econbiz.de/10012139815
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Special issue "Celebrated econometricians: Peter Phillips"
Bandi, Federico; Maynard, Alex; Moon, Hyungsik Roger; … - In: Econometrics : open access journal 9 (2021) 3, pp. 1-3
Persistent link: https://www.econbiz.de/10012594136
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Autonomie alimentaire et volatilité des prix : une comparaison internationale
Perron, Benoit; Poitevin, Michel; Adam, Arthur; … - 2023
Persistent link: https://www.econbiz.de/10014381505
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Predictable dynamics in the S&P 500 index options implied volatility surface
Gonçalves, Sílvia; Guidolin, Massimo - In: The journal of business : B 79 (2006) 3, pp. 1591-1636
Persistent link: https://www.econbiz.de/10003337040
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Bootstrapping realized volatility
Gonçalves, Sílvia; Meddahi, Nour - In: Econometrica : journal of the Econometric Society, an … 77 (2009) 1, pp. 283-306
Persistent link: https://www.econbiz.de/10003866987
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Asymptotic and bootstrap inference for AR (∞) processes with conditional heteroskedasticity
Gonçalves, Sílvia; Kilian, Lutz - In: Econometric reviews 26 (2007) 6, pp. 609-641
Persistent link: https://www.econbiz.de/10003605816
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Box-Cox transforms for realized volatility
Gonçalves, Sílvia; Meddahi, Nour - In: Journal of econometrics 160 (2011) 1, pp. 129-144
Persistent link: https://www.econbiz.de/10009242530
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Block bootstrap hac robust tests : the sophistication of naive bootstrap
Gonçalves, Sílvia; Vogelsang, Timothy J. - In: Econometric theory 27 (2011) 4, pp. 745-791
Persistent link: https://www.econbiz.de/10009311754
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Bootstrap inference for pre-averaged realized volatility based on nonoverlapping returns
Gonçalves, Sílvia; Hounyo, Ulrich; Meddahi, Nour - In: Journal of financial econometrics : official journal of … 12 (2014) 4, pp. 679-707
Persistent link: https://www.econbiz.de/10010512286
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Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
Gonçalves, Sílvia; Kilian, Lutz - 2002
Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard residual-based bootstrap procedures for dynamic regression models treat the regression error as i.i.d. These procedures are invalid in the presence of conditional heteroskedasticity....
Persistent link: https://www.econbiz.de/10011431797