Narrow search
Showing 1 - 10 of 13
Cover Image
A nonlinear autoregressive conditional duration model with applications to financial transaction
Zhang, Michael Yuanjie; Russel, Jeffrey R.; Tsay, Ruey S. - In: Journal of econometrics 104 (2001) 1, pp. 179-207
Persistent link: https://www.econbiz.de/10001589535
Cover Image
Testing serial correlations in high-dimensional time series via extreme value theory
Tsay, Ruey S. - In: Journal of econometrics 216 (2020) 1, pp. 106-117
Persistent link: https://www.econbiz.de/10012439650
Cover Image
Realized volatility forecasting and option pricing
Bandi, Federico M.; Russell, Jeffrey R.; Yang, Chen - In: Journal of econometrics 147 (2008) 1, pp. 34-46
Persistent link: https://www.econbiz.de/10008143206
Cover Image
Realized volatility forecasting and option pricing
Bandi, Federico M.; Russell, Jeffrey R.; Yang, Chen - In: Journal of econometrics 147 (2008) 1, pp. 34-47
Persistent link: https://www.econbiz.de/10008898207
Cover Image
Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
Bandi, Federico M.; Russell, Jeffrey R. - In: Journal of econometrics 160 (2011) 1, pp. 145-160
Persistent link: https://www.econbiz.de/10008770547
Cover Image
Kurtosis of GARCH and stochastic volatility models with non-normal innovations
Bai, Xuezheng; Russell, Jeffrey R.; Tiao, George C. - In: Journal of econometrics 114 (2003) 2, pp. 349-360
Persistent link: https://www.econbiz.de/10001750817
Cover Image
Kurtosis of GARCH and stochastic volatility models with non-normal innovations
Bai, Xuezheng; Russell, Jeffrey R.; Tiao, George C. - In: Journal of econometrics 114 (2003) 2, pp. 349-360
Persistent link: https://www.econbiz.de/10006763070
Cover Image
Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
Bandi, Federico M.; Russell, Jeffrey R. - In: Journal of econometrics 160 (2011) 1, pp. 145-159
Persistent link: https://www.econbiz.de/10009242529
Cover Image
Realized volatility forecasting and option pricing
Bandi, Federico M.; Russell, Jeffrey R.; Yang, Chen - In: Journal of econometrics 147 (2008) 1, pp. 34-46
Persistent link: https://www.econbiz.de/10003783782
Cover Image
High dimensional dynamic stochastic copula models
Creal, Drew; Tsay, Ruey S. - In: Journal of econometrics 189 (2015) 2, pp. 335-345
Persistent link: https://www.econbiz.de/10011504544