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Summability of stochastic processes : a generalization of integration for non-linear processes
Berenguer-Rico, Vanessa; Gonzalo, Jesús - In: Journal of econometrics 178 (2014) 1, pp. 331-341
Persistent link: https://www.econbiz.de/10010256847
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Quasi-likelihood estimation of a threshold diffusion process
Su, Fei; Chan, Kung-sik - In: Journal of econometrics 189 (2015) 2, pp. 473-484
Persistent link: https://www.econbiz.de/10011504631
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Stochastic properties of nonlinear locally-nonstationary filters
Blasques, Francisco; Nientker, Marc - In: Journal of econometrics 235 (2023) 2, pp. 2082-2095
Persistent link: https://www.econbiz.de/10014471445
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Threshold models in time series analysis : some reflections
Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
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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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The fine structure of equity-index option dynamics
Andersen, Torben; Bondarenko, Oleg; Todorov, Viktor; … - In: Journal of econometrics 187 (2015) 2, pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
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What is beneath the surface? : option pricing with multifrequency latent states
Calvet, Laurent E.; Fearnley, Marcus; Fisher, Adlai; … - In: Journal of econometrics 187 (2015) 2, pp. 498-511
Persistent link: https://www.econbiz.de/10011499779
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A multivariate stochastic unit root model with an application to derivative pricing
Lieberman, Offer; Phillips, Peter C. B. - In: Journal of econometrics 196 (2017) 1, pp. 99-110
Persistent link: https://www.econbiz.de/10011743783
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Nonparametric filtering of conditional state-price densities
Dalderop, Jeroen - In: Journal of econometrics 214 (2020) 2, pp. 295-325
Persistent link: https://www.econbiz.de/10012438391
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High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - In: Journal of econometrics 219 (2020) 2, pp. 478-487
Persistent link: https://www.econbiz.de/10012483405