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Econometric analysis of high frequency data
Herwartz, Helmut, (2006)
Lassoing the HAR model : a model selection perspective on realized volatility dynamics
Audrino, Francesco, (2012)
Time series econometrics
Neusser, Klaus, (2016)
Dependence in macroeconomic variables: Assessing instantaneous and persistent relations between and within time series
Maxand, Simone, (2017)
Hodges-Lehmann detection of structural shocks : an analysis of macroeconomic dynamics in the Euro Area
Herwartz, Helmut, (2018)
Stock return prediction under GARCH : an empirical assessment
Herwartz, Helmut, (2017)