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Sparse change-point HAR Models for Realized Variance
Dufays, Arnaud; Rombouts, Jeroen V. K. - In: Econometric reviews 38 (2019) 8, pp. 857-880
Persistent link: https://www.econbiz.de/10012181370
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Analysis of variance for Bayesian inference
Geweke, John; Amisano, Gianni - In: Econometric reviews 33 (2014) 1/4, pp. 270-288
Persistent link: https://www.econbiz.de/10010359805
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Bayesian interpretations of heteroskedastic consistent covariance estimators using the informed Bayesian bootstrap
Poirier, Dale J. - In: Econometric reviews 30 (2011) 4, pp. 457-468
Persistent link: https://www.econbiz.de/10009130231
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Bias-corrected realized variance
Yeh, Jin-huei; Wang, Jying-Nan - In: Econometric reviews 38 (2019) 2, pp. 170-192
Persistent link: https://www.econbiz.de/10012180719
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Moving average-based estimators of integrated variance
Hansen, Peter Reinhard; Large, Jeremy; Lunde, Asger - In: Econometric reviews 27 (2008) 1/3, pp. 79-111
Persistent link: https://www.econbiz.de/10003761216
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Estimation of long memory in integrated variance
Rossi, Eduardo; Santucci de Magistris, Paolo - In: Econometric reviews 33 (2014) 7, pp. 785-814
Persistent link: https://www.econbiz.de/10010363876
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Estimation in single-index panel data models with heterogeneous link functions
Chen, Jia; Gao, Jiti; Li, Degui - In: Econometric reviews 32 (2013) 8, pp. 928-955
Persistent link: https://www.econbiz.de/10009758607
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Wild bootstrap of the sample mean in the infite variance case
Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert - In: Econometric reviews 32 (2013) 1/4, pp. 204-219
Persistent link: https://www.econbiz.de/10009717796
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Robust parametric tests of constant conditional correlation in a MGARCH model
Shadat, Wasel; Orme, Chris D. - In: Econometric reviews 37 (2018) 6/10, pp. 551-576
Persistent link: https://www.econbiz.de/10012039397
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Focused information criterion for locally misspecified vector autoregressive models
Lohmeyer, Jan; Palm, Franz C.; Reuvers, Hanno; Urbain, … - In: Econometric reviews 38 (2019) 7, pp. 763-792
Persistent link: https://www.econbiz.de/10012181357