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Quasi-maximum likelihood estimation of volatility with high frequency data
Xiu, Dacheng - In: Journal of econometrics 159 (2010) 1, pp. 235-250
Persistent link: https://www.econbiz.de/10008839925
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Volatility analysis with realized GARCH-Itô models
Song, Xinyu; Kim, Donggyu; Yuan, Huiling; Cui, Xiangyu; … - In: Journal of econometrics 222 (2021) 1,2, pp. 393-410
Persistent link: https://www.econbiz.de/10012619433
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Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Kim, Donggyu; Fan, Jianqing - In: Journal of econometrics 208 (2019) 2, pp. 395-417
Persistent link: https://www.econbiz.de/10012145042
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Sieve estimation of option-implied state price density
Luo, Junwen; Qu, Zhongjun - In: Journal of econometrics 224 (2021) 1, pp. 88-112
Persistent link: https://www.econbiz.de/10013275364
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Tail behavior of ACD models and consequences for likelihood-based estimation
Cavaliere, Giuseppe; Mikosch, Thomas; Rahbek, Anders; … - In: Journal of econometrics 238 (2024) 2, pp. 1-14
Persistent link: https://www.econbiz.de/10015073910
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A generalized bivariate mixture model for stock price volatility and trading volume
Liesenfeld, Roman - In: Journal of econometrics 104 (2001) 1, pp. 141-178
Persistent link: https://www.econbiz.de/10001589531
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Generalized dynamic panel data models with random effects for cross-section and time
Mesters, G.; Koopman, Siem Jan - In: Journal of econometrics 180 (2014) 2, pp. 127-140
Persistent link: https://www.econbiz.de/10010433402
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Estimating the structural credit risk model when equity prices are contaminated by trading noises
Duan, Jin-Chuan; Fulop, Andras - In: Journal of econometrics 150 (2009) 2, pp. 288-296
Persistent link: https://www.econbiz.de/10003858905
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Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity
Hayakawa, Kazuhiko; Pesaran, M. Hashem - In: Journal of econometrics 188 (2015) 1, pp. 110-134
Persistent link: https://www.econbiz.de/10011500265
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Local multiplicative bias correction for asymmetric kernel density estimators
Hagmann, Matthias; Scaillet, Olivier - In: Journal of econometrics 141 (2007) 1, pp. 213-249
Persistent link: https://www.econbiz.de/10003571280