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Forecast performance and bubble analysis in noncausal MAR(1, 1) processes
Gourieroux, Christian; Hencic, Andrew; Jasiak, Joann - In: Journal of Forecasting 40 (2020) 2, pp. 301-326
Persistent link: https://www.econbiz.de/10012272992
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Intra-day market activity
Gourieroux, Christian; Jasiak, Joanna; Le Fol, Gaelle - In: Journal of Financial Markets 2 (1999) 3, pp. 193-226
Persistent link: https://www.econbiz.de/10005319989
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Temporally local maximum likelihood with application to SIS model
Gourieroux, Christian; Jasiak, Joann - In: Journal of time series econometrics 15 (2023) 2, pp. 151-198
Persistent link: https://www.econbiz.de/10014465605
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GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
Ghysels, Eric; Jasiak, Joanna - In: Studies in Nonlinear Dynamics & Econometrics 2 (1998) 4
We develop a class of ARCH models for series sampled at unequal time intervals set by trade orquote arrivals. Our approach combines insights from the temporal aggregation for GARCH models discussed byDrost and Nijman (1993) and Drost and Werker (1996), and the autoregressive conditional duration...
Persistent link: https://www.econbiz.de/10014620806
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GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
Ghysels, Eric; Jasiak, Joanna - In: Studies in Nonlinear Dynamics & Econometrics 2 (2007) 4, pp. 133-149
We develop a class of ARCH models for series sampled at unequal time intervals set by trade orquote arrivals. Our approach combines insights from the temporal aggregation for GARCH models discussed byDrost and Nijman (1993) and Drost and Werker (1996), and the autoregressive conditional duration...
Persistent link: https://www.econbiz.de/10004966264
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GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
Ghysels, Eric; Jasiak, Joanna - In: Studies in Nonlinear Dynamics & Econometrics 2 (1998) 4, pp. 133-149
We develop a class of ARCH models for series sampled at unequal time intervals set by trade orquote arrivals. Our approach combines insights from the temporal aggregation for GARCH models discussed byDrost and Nijman (1993) and Drost and Werker (1996), and the autoregressive conditional duration...
Persistent link: https://www.econbiz.de/10005584888
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GARCH for irregularly spaced financial data : the ACD-GARCH model
Ghysels, Eric (contributor); Jasiak, Joann (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 2 (1997) 4, pp. 133-149
Persistent link: https://www.econbiz.de/10001769687
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GARCH for irregularly spaced financial data : the ACD-GARCH model
Ghysels, Eric; Jasiak, Joanna - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 2 (1997) 4, pp. 133-149
Persistent link: https://www.econbiz.de/10009949717
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Noncausal vector autoregressive process: representation, identification and semi-parametric estimation
Gouriéroux, Christian; Jasiak, Joann - In: Journal of econometrics 200 (2017) 1, pp. 118-134
Persistent link: https://www.econbiz.de/10011897706
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The tradability premium on the S&P 500 Index
Gouriéroux, Christian; Jasiak, Joann; Xu, Peng - In: Journal of financial econometrics : official journal of … 14 (2016) 3, pp. 461-495
Persistent link: https://www.econbiz.de/10011623634