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Predicting volatility: getting the most out of return data sampled at different frequencies
Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen - In: Journal of econometrics 131 (2006) 1, pp. 59-96
Persistent link: https://www.econbiz.de/10006747798
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Predicting volatility: getting the most out of return data sampled at different frequencies
Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen I. - In: Journal of econometrics 131 (2006) 1/2, pp. 59-95
Persistent link: https://www.econbiz.de/10003298564
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Subsampling for heteroskedastic time series
Politis, D.N.; Romano, Joseph P.; Wolf, Michael - In: Journal of econometrics 81 (1997) 2, pp. 281-318
Persistent link: https://www.econbiz.de/10006791190
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Subsampling for heteroskedastic time series
Politis, Dimitris N.; Romano, Joseph P.; Wolf, Michael - In: Journal of econometrics 81 (1997) 2, pp. 281-317
Persistent link: https://www.econbiz.de/10001229279
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Subsampling inference in threshold autoregressive models
Gonzalo, Jesús; Wolf, Michael - In: Journal of econometrics 127 (2005) 2, pp. 201-224
Persistent link: https://www.econbiz.de/10007781566
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Subsampling inference in threshold autoregressive models
Gonzalo, Jesús; Wolf, Michael - In: Journal of econometrics 127 (2005) 2, pp. 201-224
Persistent link: https://www.econbiz.de/10002905098
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Resurrecting weighted least squares
Romano, Joseph P.; Wolf, Michael - In: Journal of econometrics 197 (2017) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10011818334