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Estimators of long-memory : fourier versus wavelets
Fay͏̈, Gilles; Moulines, Eric; Roueff, François; … - In: Journal of econometrics 151 (2009) 2, pp. 159-177
Persistent link: https://www.econbiz.de/10003877962
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Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions
Chen, Xiaohong; Christensen, Timothy M. - In: Journal of econometrics 188 (2015) 2, pp. 447-465
Persistent link: https://www.econbiz.de/10011503628
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Multi-scale tests for serial correlation
Gençay, Ramazan; Signori, Daniele - In: Journal of econometrics 184 (2015) 1, pp. 62-80
Persistent link: https://www.econbiz.de/10011326817
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A spectral EM algorithm for dynamic factor models
Fiorentini, Gabriele; Galesi, Alessandro; Sentana, Enrique - In: Journal of econometrics 205 (2018) 1, pp. 249-279
Persistent link: https://www.econbiz.de/10012110263
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Semiparametric estimation of long-memory volatility dependencies : the role of high-frequency data
Bollerslev, Tim; Wright, Jonathan H. - In: Journal of econometrics 98 (2000) 1, pp. 81-106
Persistent link: https://www.econbiz.de/10001497682
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Modeling long memory in stock market volatility
Liu, Ming - In: Journal of econometrics 99 (2000) 1, pp. 139-171
Persistent link: https://www.econbiz.de/10001504433
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American options with stochastic dividends and volatility : a nonparametric investigation
Broadie, Mark (contributor) - In: Journal of econometrics 94 (2000) 1/2, pp. 53-92
Persistent link: https://www.econbiz.de/10001437745
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Post-'87 crash fears in the S&P 500 futures option market
Bates, David S. - In: Journal of econometrics 94 (2000) 1/2, pp. 181-238
Persistent link: https://www.econbiz.de/10001437755
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Pricing and hedging long-term options
Bakshi, Gurdip S.; Cao, Charles Q.; Chen, Zhiwu - In: Journal of econometrics 94 (2000) 1/2, pp. 277-318
Persistent link: https://www.econbiz.de/10001437760
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Long-term equity anticipation securities and stock market volatility dynamics
Bollerslev, Tim; Mikkelsen, Hans Ole Æ. - In: Journal of econometrics 92 (1999) 1, pp. 75-99
Persistent link: https://www.econbiz.de/10001400092