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Estimation of integrated covariances in the simultaneous presence of nonsynchronicity, microstructure noise and jumps
Koike, Yuta - In: Econometric theory 32 (2016) 3, pp. 533-611
Persistent link: https://www.econbiz.de/10011606815
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Bootstrapping pre-averaged realized volatility under market microstructure noise
Hounyo, Ulrich; Gonçalves, Sílvia; Meddahi, Nour - In: Econometric theory 33 (2017) 4, pp. 791-838
Persistent link: https://www.econbiz.de/10011810210
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Kernel estimation of spot volatility with microstructure noise using pre-averaging
Figueroa-López, José E.; Wu, Bei - In: Econometric theory 40 (2024) 3, pp. 558-607
Persistent link: https://www.econbiz.de/10015055107
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Consistent covariance matrix estimation for linear processes
Jansson, Michael - In: Econometric theory 18 (2002) 6, pp. 1449-1459
Persistent link: https://www.econbiz.de/10001716914
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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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QML inference for volatility models with covariates
Francq, Christian; Le Quyen Thieu - In: Econometric theory 35 (2019) 1, pp. 37-72
Persistent link: https://www.econbiz.de/10012146117
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Specification of variance matrices for panel data models
Magnus, Jan R.; Muris, Chris - In: Econometric theory 26 (2010) 1, pp. 301-310
Persistent link: https://www.econbiz.de/10003968583
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The global weighted LAD estimators for finite/infinite variance ARMA (p,q) models
Zhu, Ke; Ling, Shiqing - In: Econometric theory 28 (2012) 5, pp. 1065-1086
Persistent link: https://www.econbiz.de/10009714722
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Exploiting infinite variance through dummy variables in nonstationary autoregressions
Cavaliere, Giuseppe; Georgiev, Iliyan - In: Econometric theory 29 (2013) 6, pp. 1162-1195
Persistent link: https://www.econbiz.de/10010343729
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Stationary integrated Arch(∞) and Ar(∞) processes with finite variance
Giraitis, Liudas; Surgailis, Donatas; Škarnulis, Andrius - In: Econometric theory 34 (2018) 6, pp. 1159-1179
Persistent link: https://www.econbiz.de/10012038038