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Jump-robust volatility estimation using nearest neighbor truncation
Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst - 2009
"LIC "-//W3C//DTD HTML 4.01 Transitional//EN" "http://www.w3.org/TR/html4/loose.dtd"Jump-Robust Volatility Estimation using Nearest Neighbor Truncation var djConfig = { parseOnLoad: true, isDebug: false };NATIONAL BUREAU OF ECONOMIC RESEARCH HOME PAGE Jump-Robust Volatility Estimation using...
Persistent link: https://www.econbiz.de/10003898519
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Bootstrapping censity-weighted average derivatives
Cattaneo, Matias D.; Crump, Richard K.; Jansson, Michael - 2010
Persistent link: https://www.econbiz.de/10003968433
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Testing and inference in nonlinear cointegrating vector error correction models
Kristensen, Dennis; Rahbek, Anders - 2010
Persistent link: https://www.econbiz.de/10008663980
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Estimation of stochastic volatility models by nonparametric filtering
Kanaya, Shin; Kristensen, Dennis - 2010
Persistent link: https://www.econbiz.de/10008663983
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Numerical distribution functions of fractional unit root and cointegration tests
MacKinnon, James G.; Nielsen, Morten Ørregaard - 2010
Persistent link: https://www.econbiz.de/10008651639
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Minimax regression quantiles
Holst Bache, Stefan - 2010
Persistent link: https://www.econbiz.de/10008651650
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Asymptotic normality of the QMLE in the level-effect ARCH model
Dahl, Christian M.; Iglesias, Emma M. - 2010
Persistent link: https://www.econbiz.de/10008651667
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Semi-nonparametric estimation and misspecification testing of diffusion models
Kristensen, Dennis - 2010
Persistent link: https://www.econbiz.de/10008651700
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Long memory and changing persistence
Kruse, Robinson; Sibbertsen, Philipp - 2010
Persistent link: https://www.econbiz.de/10008651702