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The factor-Lasso and K-step bootstrap approach for inference in high-dimensional economic applications
Hansen, Christian Bailey; Liao, Yuan - In: Econometric theory 35 (2019) 3, pp. 465-509
Persistent link: https://www.econbiz.de/10012146146
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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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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
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Spatial dependence in option observation errors
Andersen, Torben; Fusari, Nicola; Todorov, Viktor; … - In: Econometric theory 37 (2021) 2, pp. 205-247
Persistent link: https://www.econbiz.de/10012505388