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Most powerful test against a sequence of high dimensional local alternatives
He, Yi; Jaidee, Sombut; Gao, Jiti - In: Journal of econometrics 234 (2023) 1, pp. 151-177
Persistent link: https://www.econbiz.de/10014364694
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Realized stochastic volatility with general asymmetry and long memory
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - In: Journal of econometrics 199 (2017) 2, pp. 202-213
Persistent link: https://www.econbiz.de/10011897674
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The large-sample distribution of the maximum Sharpe ratio with and without short sales
Maller, Ross A.; Roberts, Steven; Tourky, Rabee - In: Journal of econometrics 194 (2016) 1, pp. 138-152
Persistent link: https://www.econbiz.de/10011705073
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Estimation of average treatment effects with panel data : asymptotic theory and implementation
Li, Kathleen T.; Bell, David R. - In: Journal of econometrics 197 (2017) 1, pp. 65-75
Persistent link: https://www.econbiz.de/10011818342
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Asymptotic properties of the maximum likelihood estimator in regime switching econometric models
Kasahara, Hiroyuki; Shimotsu, Katsumi - In: Journal of econometrics 208 (2019) 2, pp. 442-467
Persistent link: https://www.econbiz.de/10012145057
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Simple estimators and inference for higher-order stochastic volatility models
Ahsan, Nazmul; Dufour, Jean-Marie - In: Journal of econometrics 224 (2021) 1, pp. 181-197
Persistent link: https://www.econbiz.de/10013275370
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Continuous record Laplace-based inference about the break date in structural change models
Casini, Alessandro; Perron, Pierre - In: Journal of econometrics 224 (2021) 1, pp. 3-21
Persistent link: https://www.econbiz.de/10013275376
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Estimation of spatial sample selection models : a partial maximum likelihood approach
Rabovič, Renata; Čížek, Pavel - In: Journal of econometrics 232 (2023) 1, pp. 214-243
Persistent link: https://www.econbiz.de/10013472895
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Inferential theory for generalized dynamic factor models
Barigozzi, Matteo; Hallin, Marc; Luciani, Matteo; … - In: Journal of econometrics 239 (2024) 2, pp. 1-41
Persistent link: https://www.econbiz.de/10015074449
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On implied volatility for options : some reasons to smile and more to correct
Chen, Song Xi; Xu, Zheng - In: Journal of econometrics 179 (2014) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10010258291