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Indirect estimation of ARFIMA and VARFIMA models
Martin, Vance; Wilkins, Nigel P. - In: Journal of econometrics 93 (1999) 1, pp. 149-175
Persistent link: https://www.econbiz.de/10001406647
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Probabilistic forecasts of volatility and its risk premia
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - In: Journal of econometrics 171 (2012) 2, pp. 217-236
Persistent link: https://www.econbiz.de/10009691156
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Higher-order improvements of the sieve bootstrap for fractionally integrated processes
Poskitt, Donald Stephen; Grose, Simone D.; Martin, Gael M. - In: Journal of econometrics 188 (2015) 1, pp. 94-110
Persistent link: https://www.econbiz.de/10011500263
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Issues in the estimation of mis-specified models of fractionally integrated processes
Martin, Gael M.; Nadarajah, K.; Poskitt, Donald Stephen - In: Journal of econometrics 215 (2020) 2, pp. 559-573
Persistent link: https://www.econbiz.de/10012439500
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High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - In: Journal of econometrics 219 (2020) 2, pp. 478-487
Persistent link: https://www.econbiz.de/10012483405
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Probabilistic forecasts of volatility and its risk premia
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - In: Journal of econometrics 171 (2012) 2, pp. 217-237
Persistent link: https://www.econbiz.de/10010034689