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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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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
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Fast convergence rates in estimating large volatility matrices using high-frequency financial data
Tao, Minjing; Wang, Yazhen; Chen, Xiaohong - In: Econometric theory 29 (2013) 4, pp. 838-856
Persistent link: https://www.econbiz.de/10010210158
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Econometric analysis of volatility component models
Wang, Fangfang; Ghysels, Eric - In: Econometric theory 31 (2015) 2, pp. 362-393
Persistent link: https://www.econbiz.de/10010532059
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Estimating the volatility occupation time via regularized Laplace inversion
Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Econometric theory 32 (2016) 5, pp. 1253-1288
Persistent link: https://www.econbiz.de/10011661745
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Asymptotics for GARCH squared residual correlations
Berkes, István; Horváth, Lajos; Kokoszka, Piotr - In: Econometric theory 19 (2003) 4, pp. 515-540
Persistent link: https://www.econbiz.de/10001777176
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Robust covariance matrix estimation : HAC estimates with long memory/antipersistence correction
Robinson, Peter M. - In: Econometric theory 21 (2005) 1, pp. 171-180
Persistent link: https://www.econbiz.de/10002674673
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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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Estimation of time-varying covariance matrices for large datasets
Dendramis, Yiannis; Giraitis, Liudas; Kapetanios, George - In: Econometric theory 37 (2021) 6, pp. 1100-1134
Persistent link: https://www.econbiz.de/10012704806
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Identification and estimation in a correlated random coefficients transformation model
Zhang, ZhengYu; Jin, Zequn; Mu, Beili - In: Econometric theory 38 (2022) 4, pp. 621-688
Persistent link: https://www.econbiz.de/10013366923