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Weak diffusion limits of dynamic conditional correlation models
Hafner, Christian M.; Laurent, Sébastien; Violante, … - In: Econometric theory 33 (2017) 3, pp. 691-716
Persistent link: https://www.econbiz.de/10011810186
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Unit root test with high-frequency data
Laurent, Sébastien; Shi, Shuping - In: Econometric theory 38 (2022) 1, pp. 113-171
Persistent link: https://www.econbiz.de/10013166119
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ON THE PARAMETRIZATION OF MULTIVARIATE GARCH MODELS
Scherrer, Wolfgang; Ribarits, Eva; Baba, Y.; Engle, R.F.; … - In: Econometric theory 23 (2007) 3, pp. 464-484
Persistent link: https://www.econbiz.de/10007718228
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Robust inference in structural vector autoregressions with long-run restrictions
Chevillon, Guillaume; Mavroeidis, Sophocles; Zhang, Zhaoguo - In: Econometric theory 36 (2020) 1, pp. 86-121
Persistent link: https://www.econbiz.de/10012156818