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Phillips, Peter C. B.
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11
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ECONIS (ZBW)
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1
Stochastic tail index model for high frequency financial data with Bayesian analysis
Mao, Guangyu
;
Zhang, Zhengjun
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 470-487
Persistent link: https://www.econbiz.de/10012110325
Saved in:
2
Quantile
cointegration
in the autoregressive distributed-lag modeling framework
Cho, Jin Seo
;
Kim, Tae-hwan
;
Shin, Yongcheol
- In:
Journal of econometrics
188
(
2015
)
1
,
pp. 281-300
Persistent link: https://www.econbiz.de/10011500352
Saved in:
3
The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Christensen, Kim
;
Thyrsgaard, Martin
;
Veliyev, Bezirgen
- In:
Journal of econometrics
212
(
2019
)
2
,
pp. 556-583
Persistent link: https://www.econbiz.de/10012304092
Saved in:
4
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
Saved in:
5
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
Saved in:
6
Chasing volatility : a persistent multiplicative error model with jumps
Caporin, Massimiliano
;
Rossi, Eduardo
;
Santucci de …
- In:
Journal of econometrics
198
(
2017
)
1
,
pp. 122-145
Persistent link: https://www.econbiz.de/10011818372
Saved in:
7
Residual log-periodogram inference for long-run relationships
Hassler, Uwe
;
Mármol, Francesc
;
Valasco, Carlos
- In:
Journal of econometrics
130
(
2006
)
1
,
pp. 165-207
Persistent link: https://www.econbiz.de/10003228637
Saved in:
8
Econometric estimates of Earth's transient climate sensitivity
Phillips, Peter C. B.
;
Leirvik, Thomas
;
Storelvmo, Trude
- In:
Journal of econometrics
214
(
2020
)
1
,
pp. 6-32
Persistent link: https://www.econbiz.de/10012438082
Saved in:
9
Time-varying jump tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
Saved in:
10
Tail index
estimation
in the presence of covariates : stock returns' tail risk dynamics
Nicolau, João
;
Rodrigues, Paulo M. M.
;
Stoykov, Marian Z.
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 2266-2284
Persistent link: https://www.econbiz.de/10014471455
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