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Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution
Gallant, A. Ronald - In: Journal of econometrics 45 (1990) 1, pp. 141-179
Persistent link: https://www.econbiz.de/10001332076
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Residual risk revisited
Lehmann, Bruce Neal - In: Journal of econometrics 45 (1990) 1, pp. 71-92
Persistent link: https://www.econbiz.de/10001332079
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Local polynomial estimators of the volatility function in nonparametric autoregression
Härdle, Wolfgang - In: Journal of econometrics 81 (1997) 1, pp. 223-242
Persistent link: https://www.econbiz.de/10001336796
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Estimation of stochastic volatility models with diagnostics
Gallant, A. Ronald - In: Journal of econometrics 81 (1997) 1, pp. 159-192
Persistent link: https://www.econbiz.de/10001336798
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The detection and estimation of long memory in stochastic volatility
Breidt, F. Jay - In: Journal of econometrics 83 (1998) 1, pp. 325-348
Persistent link: https://www.econbiz.de/10001336943
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Efficient method of moments estimation of a stochastic volatility model : a Monte Carlo study
Andersen, Torben; Chung, Hyung-Jin; Sørensen, Bent E. - In: Journal of econometrics 91 (1999) 1, pp. 61-87
Persistent link: https://www.econbiz.de/10001382157
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Dynamic equilibrium and volatility in financial asset markets
Aït-Sahalia, Yacine - In: Journal of econometrics 84 (1998) 1, pp. 93-127
Persistent link: https://www.econbiz.de/10001234470
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Estimating continuous-time stochastic volatility models of the short-term interest rate
Andersen, Torben - In: Journal of econometrics 77 (1997) 2, pp. 343-377
Persistent link: https://www.econbiz.de/10001212838
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Estimation of stochastic volatility models via Monte Carlo maximum likelihood
Sandmann, Gleb - In: Journal of econometrics 87 (1998) 2, pp. 271-301
Persistent link: https://www.econbiz.de/10001246644
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Testing for a slowly changing level with special reference to stochastic volatility
Harvey, Andrew C. - In: Journal of econometrics 87 (1998) 1, pp. 167-189
Persistent link: https://www.econbiz.de/10001248302