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A long-run pure variance common features model for the common volatilities of the Dow Jones
Engle, Robert F.; Marcucci, Juri - In: Journal of econometrics 132 (2006) 1, pp. 7-42
Persistent link: https://www.econbiz.de/10003320235
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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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Infinite Markov pooling of predictive distributions
Jin, Xin; Maheu, John M.; Yang, Qiao - In: Journal of econometrics 228 (2022) 2, pp. 302-321
Persistent link: https://www.econbiz.de/10013441752
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Optimal prediction pools
Geweke, John; Amisano, Gianni - In: Journal of econometrics 164 (2011) 1, pp. 130-141
Persistent link: https://www.econbiz.de/10009270394
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On the jump activity index for semimartingales
Jing, Bingyi; Kong, Xinbing; Liu, Zhi; Mykland, Per A. - In: Journal of econometrics 166 (2012) 2, pp. 213-223
Persistent link: https://www.econbiz.de/10009509230
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A coupled component DCS-EGARCH model for intraday and overnight volatility
Linton, Oliver; Wu, Jianbin - In: Journal of econometrics 217 (2020) 1, pp. 176-201
Persistent link: https://www.econbiz.de/10012482745
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A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation
Hounyo, Ulrich; Varneskov, Rasmus Tangsgaard - In: Journal of econometrics 198 (2017) 1, pp. 10-28
Persistent link: https://www.econbiz.de/10011818366
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Extracting a common stochastic trend : theory with some applications
Chang, Yoosoon; Miller, J. Isaac; Park, Joon Y. - In: Journal of econometrics 150 (2009) 2, pp. 231-247
Persistent link: https://www.econbiz.de/10003858585
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The fine structure of equity-index option dynamics
Andersen, Torben; Bondarenko, Oleg; Todorov, Viktor; … - In: Journal of econometrics 187 (2015) 2, pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
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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