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On asymptotic size distortions in the random coefficients logit model
Ketz, Philipp - In: Journal of econometrics 212 (2019) 2, pp. 413-432
Persistent link: https://www.econbiz.de/10012304029
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Instrument strength in IV estimation and inference : a guide to theory and practice
Keane, Michael P.; Neal, Timothy - In: Journal of econometrics 235 (2023) 2, pp. 1625-1653
Persistent link: https://www.econbiz.de/10014471419
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A simple joint model for returns, volatility and volatility of volatility
Ding, Yashuang - In: Journal of econometrics 232 (2023) 2, pp. 521-543
Persistent link: https://www.econbiz.de/10014340096
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Quasi score-driven models
Blasques, F.; Francq, Christian; Laurent, Sébastien - In: Journal of econometrics 234 (2023) 1, pp. 251-275
Persistent link: https://www.econbiz.de/10014364807
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Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc; Dufays, Arnaud; Rombouts, Jeroen V. K. - In: Journal of econometrics 178 (2014) 1, pp. 508-522
Persistent link: https://www.econbiz.de/10010256919
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Option pricing with non-Gaussian scaling and infinite-state switching volatility
Baldovin, Fulvio; Caporin, Massimiliano; Caraglio, Michele - In: Journal of econometrics 187 (2015) 2, pp. 486-497
Persistent link: https://www.econbiz.de/10011499748
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COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.; Polak, Pawel - In: Journal of econometrics 187 (2015) 2, pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
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Risk-parameter estimation in volatility models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 184 (2015) 1, pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
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Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
Kim, Donggyu; Wang, Yazhen - In: Journal of econometrics 194 (2016) 2, pp. 220-230
Persistent link: https://www.econbiz.de/10011705111
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L1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
Medeiros, Marcelo C.; Mendes, Eduardo F. - In: Journal of econometrics 191 (2016) 1, pp. 255-271
Persistent link: https://www.econbiz.de/10011598121