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Robust inference on correlation under general heterogeneity

Giraitis, Liudas; Li, Yufei; Phillips, Peter C. B. - 2022

Persistent link: https://www.econbiz.de/10014235297

Estimation Using the Martingale Assumption

Sipiere, Frederic - 2014

The martingale assumption is used to derive the conditional distribution of the underlying state of the stock, where … stock returns, and is not directly observable. The martingale characterization of returns reflects the 'rational expectation …

Persistent link: https://www.econbiz.de/10014140316

A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales

Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; … - 2004

Consider a semimartingale of the form Y_{t}=Y_0+\int _0^{t}a_{s}ds+\int _0^{t}_{s-} dW_{s}, where a is a locally bounded predictable process and (the volatility) is an adapted right - continuous process with left limits and W is a Brownian motion. We define the realised bipower variation process...

Persistent link: https://www.econbiz.de/10014068278

Unified M-estimation of matrix exponential spatial dynamic panel specification

Yang, Ye - In: Econometric reviews 41 (2022) 7, pp. 729-748

Persistent link: https://www.econbiz.de/10013364904

Testing the eigenvalue structure of spot and integrated covariance

Dovonon, Prosper; Taamouti, Abderrahim; Williams, Julian - In: Journal of econometrics 229 (2022) 2, pp. 363-395

Persistent link: https://www.econbiz.de/10013441888

Volatility of volatility : estimation and tests based on noisy high frequency data with jumps

Li, Yingying; Liu, Guangying; Zhang, Zhiyuan - In: Journal of econometrics 229 (2022) 2, pp. 422-451

Persistent link: https://www.econbiz.de/10013441895

Statistical inference of spot correlation and spot market beta under infinite variation jumps

Liu, Qiang; Liu, Zhi - In: Journal of financial econometrics 20 (2022) 4, pp. 612-654

Persistent link: https://www.econbiz.de/10013349148

Anytime-valid inference in linear models and regression-adjusted inference

Lindon, Michael; Ham, Dae Woong; Tingley, Martin; … - 2024

Persistent link: https://www.econbiz.de/10014487276

Estimation of leverage effect : kernel function and efficiency

Yang, Xiye - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 939-956

Persistent link: https://www.econbiz.de/10014448463

Testing the Martingale Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroskedasticity

McCurdy, Thomas H. - 2012

the particular way that the variance is changing over time. The martingale hypothesis is tested with daily and weekly … daily data from 1981 to 1985. This rejection of the martingale hypothesis may be attributed to trading day effects in … foreign currency prices and the resulting day-of-the-week patterns in futures prices. When the martingale hypothesis is tested …

Persistent link: https://www.econbiz.de/10013109926