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isPartOf:"Discussion paper"
subject:"Volatility"
~isPartOf:"CREATES research paper"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"VAR model"
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Search: subject_exact:"Estimation theory"
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Volatility
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Estimation theory
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Teräsvirta, Timo
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Discussion paper
CREATES research paper
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
152
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Choosing between identification schemes in noisy-news models
Chan, Joshua
;
Eisenstat, Eric
;
Koop, Gary
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 99-136
Persistent link: https://www.econbiz.de/10013334632
Saved in:
12
Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model
He, Changli
;
Kang, Jian
;
Teräsvirta, Timo
;
Zhang, Shuhua
-
2019
Persistent link: https://www.econbiz.de/10012316885
Saved in:
13
Consistent inference for predictive regressions in persistent VAR economies
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
-
2018
Persistent link: https://www.econbiz.de/10011797682
Saved in:
14
Trimmed Whittle estimation of the SVAR vs. filtering low-frequency fluctuations : applications to technology shocks
Lovcha, Yuliya
;
Perez-Laborda, Alejandro
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
24
(
2020
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012198499
Saved in:
15
Fixed-b inference in the presence of time-varying volatility
Demetrescum, Matei
;
Hanck, Christoph
;
Kruse, Robinson
-
2016
Persistent link: https://www.econbiz.de/10011409125
Saved in:
16
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2015
Persistent link: https://www.econbiz.de/10011373232
Saved in:
17
Identification and estimation of non-Gaussian structural vector autoregressions
Lanne, Markku
;
Meitz, Mika
;
Saikkonen, Pentti
-
2015
Persistent link: https://www.econbiz.de/10010514606
Saved in:
18
Validity of Edgeworth expansions for realized volatility estimators
Hounyo, Ulrich
;
Veliyev, Bezirgen
-
2015
Persistent link: https://www.econbiz.de/10010529455
Saved in:
19
Variance reduction estimation for return models with jumps using gamma asymmetric kernels
Song, Yuping
;
Hou, Weijie
;
Zhou, Shengyi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
5
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012198377
Saved in:
20
Efficient estimation of financial risk by regressing the quantiles of parametric distributions : an application to CARR models
Chan, Jennifer So Kuen
;
Kok Haur Ng
;
Thanakorn …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012054882
Saved in:
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