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Factor representing portfolios in large asset markets
Sentana, Enrique - In: Journal of econometrics 119 (2004) 2, pp. 257-289
Persistent link: https://www.econbiz.de/10001956189
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Annals of econometrics: forecasting and empirical methods in finance and macroeconomics
Diebold, Francis X. (contributor);  … - 2001
Persistent link: https://www.econbiz.de/10001617180
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The implied arbitrage mechanism in financial markets
Shiyi, Chen; Chng, Michael T.; Liu, Qingfu - In: Journal of econometrics 222 (2021) 1,2, pp. 468-483
Persistent link: https://www.econbiz.de/10012619708
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Testing for self-excitation in jumps
Boswijk, Herman Peter; Laeven, Roger J. A.; Yang, Xiye - In: Journal of econometrics 203 (2018) 2, pp. 256-266
Persistent link: https://www.econbiz.de/10011974668
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Twisted probabilities, uncertainty, and prices
Hansen, Lars Peter; Szőke, Bálint; Han, Lloyd S.; … - In: Journal of econometrics 216 (2020) 1, pp. 151-174
Persistent link: https://www.econbiz.de/10012439662
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Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
Fengler, Matthias R.; Hin, Lin-Yee - In: Journal of econometrics 184 (2015) 2, pp. 242-261
Persistent link: https://www.econbiz.de/10011339347
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PELVE : probability equivalent level of VaR and ES
Li, Hengxin; Wang, Ruodu - In: Journal of econometrics 234 (2023) 1, pp. 353-370
Persistent link: https://www.econbiz.de/10014364915
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Asymptotically distribution-free tests for the volatility function of a diffusion
Chen, Qiang; Zheng, Xu; Pan, Zhiyuan - In: Journal of econometrics 184 (2015) 1, pp. 124-144
Persistent link: https://www.econbiz.de/10011326801
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A discrete-time hedging framework with multiple factors and fat tails : on what matters
Augustyniak, Maciej; Badescu, Alexandru; Bégin, … - In: Journal of econometrics 232 (2023) 2, pp. 416-444
Persistent link: https://www.econbiz.de/10014339997
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The affine arbitrage-free class of Nelson-Siegel term structure models
Christensen, Jens H. E.; Diebold, Francis X.; … - In: Journal of econometrics 164 (2011) 1, pp. 4-20
Persistent link: https://www.econbiz.de/10009270418