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isPartOf:"Journal of econometrics"
~person:"Cavaliere, Giuseppe"
~person:"Quaedvlieg, Rogier"
~subject:"Market microstructure"
~subject:"Zeitreihenanalyse"
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Market microstructure
Zeitreihenanalyse
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Cavaliere, Giuseppe
Quaedvlieg, Rogier
Andersen, Torben
7
Todorov, Viktor
7
Li, Jia
6
Bollerslev, Tim
5
Kim, Donggyu
5
Li, Yingying
5
Mykland, Per A.
5
Tauchen, George Eugene
5
Aït-Sahalia, Yacine
4
Hallin, Marc
4
McAleer, Michael
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Patton, Andrew J.
4
Barigozzi, Matteo
3
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3
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3
Meddahi, Nour
3
Taylor, Robert
3
Wang, Yazhen
3
Asai, Manabu
2
Bibinger, Markus
2
Boswijk, Herman Peter
2
Chan, Joshua
2
Clinet, Simon
2
Dijk, Dick van
2
Ergemen, Yunus Emre
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Francq, Christian
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Hounyo, Ulrich
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Li, Guodong
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Medeiros, Marcelo C.
2
Petrova, Katerina
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Podolskij, Mark
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ECONIS (ZBW)
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From zero to hero : realized partial (co)variances
Bollerslev, Tim
;
Medeiros, Marcelo C.
;
Patton, Andrew J.
; …
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 348-360
Persistent link: https://www.econbiz.de/10013464800
Saved in:
2
Multivariate leverage effects and realized semicovariance GARCH models
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 411-430
Persistent link: https://www.econbiz.de/10012482780
Saved in:
3
Inference on co-integration parameters in heteroskedastic vector autoregressions
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
Rahbek, Anders
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 64-85
Persistent link: https://www.econbiz.de/10011615672
Saved in:
4
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
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