Narrow search
Showing 1 - 8 of 8
Cover Image
Threshold estimation of Markov models with jumps and interest rate modeling
Mancini, Cecilia; Renò, Roberto - In: Journal of econometrics 160 (2011) 1, pp. 77-93
Persistent link: https://www.econbiz.de/10008770552
Cover Image
Time-varying leverage effects
Bandi, Federico M.; Renò, Roberto - In: Journal of econometrics 169 (2012) 1, pp. 94-113
Persistent link: https://www.econbiz.de/10009666736
Cover Image
Threshold bipower variation and the impact of jumps on volatility forecasting
Corsi, Fulvio; Pirino, Davide; Renò, Roberto - In: Journal of econometrics 159 (2010) 2, pp. 276-288
Persistent link: https://www.econbiz.de/10008840480
Cover Image
ß in the tails
Bandi, Federico M.; Renò, Roberto - In: Journal of econometrics 227 (2022) 1, pp. 134-150
Persistent link: https://www.econbiz.de/10013441641
Cover Image
The drift burst hypothesis
Christensen, Kim; Oomen, Roel; Renò, Roberto - In: Journal of econometrics 227 (2022) 2, pp. 461-497
Persistent link: https://www.econbiz.de/10013442150
Cover Image
Systematic staleness
Bandi, Federico M.; Pirino, Davide; Renò, Roberto - In: Journal of econometrics 238 (2024) 1, pp. 1-38
Persistent link: https://www.econbiz.de/10015073777
Cover Image
Optimum thresholding using mean and conditional mean squared error
Figueroa-López, José E.; Mancini, Cecilia - In: Journal of econometrics 208 (2019) 1, pp. 179-210
Persistent link: https://www.econbiz.de/10012139829
Cover Image
Time-varying leverage effects
Bandi, Federico M.; Renò, Roberto - In: Journal of econometrics 169 (2012) 1, pp. 94-114
Persistent link: https://www.econbiz.de/10009979015