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Inference for the jump part of quadratic variation of Itô semimartingales
Veraart, Almut E. D. - In: Econometric theory 26 (2010) 2, pp. 331-368
Persistent link: https://www.econbiz.de/10003968591
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Change point tests for the tail index of β-mixing random variables
Hoga, Yannick - In: Econometric theory 33 (2017) 4, pp. 915-954
Persistent link: https://www.econbiz.de/10011810218
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Distributions of quadratic functionals of the fractional Brownian motion based on a martingale approximation
Tanaka, Katsuto - In: Econometric theory 30 (2014) 5, pp. 1078-1109
Persistent link: https://www.econbiz.de/10010502130
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Martingale limit theorem revisited and nonlinear cointegrating regression
Wang, Qiying - In: Econometric theory 30 (2014) 3, pp. 509-535
Persistent link: https://www.econbiz.de/10010500889
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A limit theorem for quadratic forms and its applications
Wu, Wei Biao; Shao, Xiaofeng - In: Econometric theory 23 (2007) 5, pp. 930-951
Persistent link: https://www.econbiz.de/10003549673
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Efficient two-step generalized empirical likelihood estimation and tests with martingale differences
Jin, Fei; Lee, Lung-fei - In: Econometric theory 37 (2021) 3, pp. 573-612
Persistent link: https://www.econbiz.de/10012593449
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Asymptotics for cointegrated processes with infrequent stochastic level shifts and outliers
Georgiev, Iliyan - In: Econometric theory 24 (2008) 3, pp. 587-615
Persistent link: https://www.econbiz.de/10003894270
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Adaptive LASSO-type estimation for multivariate diffusion processes
De Gregorio, Alessandro; Iacus, Stefano Maria - In: Econometric theory 28 (2012) 4, pp. 838-860
Persistent link: https://www.econbiz.de/10009669733
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Asymptotic theory for maximum likelihood estimation of the memory parameter in stationary Gaussian processes
Lieberman, Offer; Rosemarin, Roy; Rousseau, Judith - In: Econometric theory 28 (2012) 2, pp. 457-470
Persistent link: https://www.econbiz.de/10009520934
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Signal extraction in long memory stochastic volatility
Arteche, Josu - In: Econometric theory 31 (2015) 6, pp. 1382-1402
Persistent link: https://www.econbiz.de/10011545560