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Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models
Fanelli, Luca - In: Journal of econometrics 170 (2012) 1, pp. 153-163
Persistent link: https://www.econbiz.de/10009673122
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Modeling the interdependence of volatility and inter-transaction duration processes
Grammig, Joachim; Wellner, Marc - In: Journal of econometrics 106 (2002) 2, pp. 369-400
Persistent link: https://www.econbiz.de/10001638904
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Mixture of distribution hypothesis : analyzing daily liquidity frictions and information flows
Darolles, Serge; LeFol, Gaëlle; Mero, Gulten - In: Journal of econometrics 201 (2017) 2, pp. 367-383
Persistent link: https://www.econbiz.de/10011920520
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Factor representing portfolios in large asset markets
Sentana, Enrique - In: Journal of econometrics 119 (2004) 2, pp. 257-289
Persistent link: https://www.econbiz.de/10001956189
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On the network topology of variance decompositions : measuring the connectedness of financial firms
Diebold, Francis X.; Yılmaz, Kamil - In: Journal of econometrics 182 (2014) 1, pp. 119-134
Persistent link: https://www.econbiz.de/10010497110
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ARCH models in finance
Engle, Robert F. (contributor) - In: Journal of econometrics 52 (1992) 1, pp. 1-311
Persistent link: https://www.econbiz.de/10001121076
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Realized jumps on financial markets and predicting credit spreads
Tauchen, George Eugene; Zhou, Hao - In: Journal of econometrics 160 (2011) 1, pp. 102-118
Persistent link: https://www.econbiz.de/10009242533
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Testing for mutually exciting jumps and financial flights in high frequency data
Dungey, Mardi H.; Erdemlioglu, Deniz; Matei, Marius; … - In: Journal of econometrics 202 (2018) 1, pp. 18-44
Persistent link: https://www.econbiz.de/10011974551
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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
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Economic tracking portfolios
Lamont, Owen A. - In: Journal of econometrics 105 (2001) 1, pp. 161-184
Persistent link: https://www.econbiz.de/10001617161