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Frequency dependent risk
Neuhierl, Andreas, (2021)
Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic volatility
Bos, Charles S., (2008)
Toward a theory of evaluating predictive accuracy
Kunst, Robert M., (2004)
Peaks, gaps, and time reversibility of economic time series
Proietti, Tommaso, (2020)
Predictability, real time estimation, and the formulation of unobserved components models
Proietti, Tommaso, (2021)
On the model-based interpretation of filters and the reliability of trend-cycle estimates
Proietti, Tommaso, (2009)