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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Cambridge working papers in economics"
~isPartOf:"Discussion papers / CEPR"
~subject:"Share price"
~type_genre:"Working Paper"
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Estimation theory
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Sequential monte carlo with model tempering
Mlikota, Marko
;
Schorfheide, Frank
-
2022
Persistent link: https://www.econbiz.de/10012816978
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2
Macroeconomic uncertainty and vector autoregressions
Forni, Mario
;
Gambetti, Luca
;
Sala, Luca
-
2021
Persistent link: https://www.econbiz.de/10012417673
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3
Using time-varying volatility for identification in vector autoregressions : an application to endogenous uncertainty
Marcellino, Massimiliano
;
Carriero, Andrea
;
Clark, Todd E.
-
2021
Persistent link: https://www.econbiz.de/10012589508
Saved in:
4
Gaussian rank correlation and regression
Amengual, Dante
;
Sentana, Enrique
;
Tian, Zhanyuan
-
2020
Persistent link: https://www.econbiz.de/10012232995
Saved in:
5
A semiparametric intraday GARCH model
Malec, Peter
-
2016
Persistent link: https://www.econbiz.de/10011538851
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6
Nonparametric Euler equation identi cation and estimation
Escanciano, Juan Carlos
;
Hoderlein, Stefan
;
Lewbel, Arthur
-
2015
Persistent link: https://www.econbiz.de/10011455563
Saved in:
7
New testing approaches for mean-variance predictability
Fiorentini, Gabriele
;
Sentana, Enrique
-
2019
Persistent link: https://www.econbiz.de/10012025064
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8
Exponent of cross-sectional dependence : estimation and inference
Bailey, Natalia
;
Kapetanios, George
;
Pesaran, M. Hashem
-
2012
Persistent link: https://www.econbiz.de/10009579875
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9
Alternative approaches to estimation and inference in large multifactor panles : small sample results with an application to modelling of asset returns
Kapetanios, George
(
contributor
); …
-
2005
Persistent link: https://www.econbiz.de/10002808714
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