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Distribution of the ML estimator of an MA(1) and a local level model
Shephard, Neil G. - In: Econometric theory 9 (1993) 3, pp. 377-401
Persistent link: https://www.econbiz.de/10001151128
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From characteristic function to distribution function : a simple framework for the theory
Shephard, Neil G. - In: Econometric theory 7 (1991) 4, pp. 519-529
Persistent link: https://www.econbiz.de/10001117734
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LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; … - In: Econometric theory 22 (2006) 4, pp. 677-720
Persistent link: https://www.econbiz.de/10007268465
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Distribution of the ML Estimator of an MA(1) and a Local Level Model
Shephard, Neil - In: Econometric theory 9 (1993) 3, pp. 377-401
Persistent link: https://www.econbiz.de/10007019293
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BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS
Flury, Thomas; Shephard, Neil - In: Econometric theory 27 (2011) 5, pp. 933-957
Persistent link: https://www.econbiz.de/10009287898
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Bayesian inference based only on simulated likelihood : particle filter analysis of dynamic economic models
Flury, Thomas; Shephard, Neil G. - In: Econometric theory 27 (2011) 5, pp. 933-956
Persistent link: https://www.econbiz.de/10009379765
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Limit theorems for bipower variation in financial econometrics
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; … - In: Econometric theory 22 (2006) 4, pp. 677-719
Persistent link: https://www.econbiz.de/10003351877
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[Rezension] Campbell, John Y., ..., The econometrics of financial markets : Princeton Univ. Press, 1997
Andersen, Torben - In: Econometric theory 14 (1998) 5, pp. 671-685
Persistent link: https://www.econbiz.de/10001381153
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A robust neighborhood truncation approach to estimation of integrated quarticity
Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst - In: Econometric theory 30 (2014) 1, pp. 3-59
Persistent link: https://www.econbiz.de/10010399788
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Inference for option panels in pure-jump settings
Andersen, Torben; Fusari, Nicola; Todorov, Viktor; … - In: Econometric theory 35 (2019) 5, pp. 901-942
Persistent link: https://www.econbiz.de/10012146164