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A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY
Andersen, Torben G.; Dobrev, Dobrislav; Schaumburg, Ernst - In: Econometric Theory 30 (2014) 01, pp. 3-59
Persistent link: https://www.econbiz.de/10010734970
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THE ECONOMETRICS OF FINANCIAL MARKETS
Andersen, Torben G. - In: Econometric Theory 14 (1998) 05, pp. 671-685
Persistent link: https://www.econbiz.de/10005250168
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SIMULATION-BASED ECONOMETRIC METHODS
Andersen, Torben G. - In: Econometric Theory 16 (2000) 01, pp. 131-138
Persistent link: https://www.econbiz.de/10005250223
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THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003
Diebold, Francis X. - In: Econometric Theory 19 (2003) 06, pp. 1159-1193
Persistent link: https://www.econbiz.de/10005411810
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Prediction, Extraction, and Estimation in Unobserved Components Models
Diebold, Francis X.; Nerlove, Marc - In: Econometric Theory 3 (1987) 02, pp. 305-305
Persistent link: https://www.econbiz.de/10005250064
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Optimal Prediction Under Asymmetric Loss
Christoffersen, Peter F.; Diebold, Francis X. - In: Econometric Theory 13 (1997) 06, pp. 808-817
Prediction problems involving asymmetric loss functions arise routinely in many fields, yet the theory of optimal prediction under asymmetric loss is not well developed. We study the optimal prediction problem under general loss structures and characterize the optimal predictor. We compute the...
Persistent link: https://www.econbiz.de/10005250104
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Prediction, Extraction, and Estimation in Unobserved Components Model
Diebold, Francis X.; Nerlove, Marc - In: Econometric Theory 4 (1988) 02, pp. 356-359
Persistent link: https://www.econbiz.de/10008739383