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Phillips, Peter C. B.
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Lee, Lung-fei
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Journal of econometrics
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ECONIS (ZBW)
1,722
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1
Spectral tests of the
martingale
hypothesis under conditional heteroscedasticity
Deo, Rohit S.
- In:
Journal of econometrics
99
(
2000
)
2
,
pp. 291-315
Persistent link: https://www.econbiz.de/10001511972
Saved in:
2
On the jump activity index for semimartingales
Jing, Bingyi
;
Kong, Xinbing
;
Liu, Zhi
;
Mykland, Per A.
- In:
Journal of econometrics
166
(
2012
)
2
,
pp. 213-223
Persistent link: https://www.econbiz.de/10009509230
Saved in:
3
A
martingale
approach for testing diffusion models based on infinitesimal operator
Song, Zhaogang
- In:
Journal of econometrics
162
(
2011
)
2
,
pp. 189-212
Persistent link: https://www.econbiz.de/10009270656
Saved in:
4
Adaptive estimation of autoregressive models with time-varying variances
Xu, Ke-Li
;
Phillips, Peter C. B.
- In:
Journal of econometrics
142
(
2008
)
1
,
pp. 265-280
Persistent link: https://www.econbiz.de/10003608182
Saved in:
5
Testing for self-excitation in jumps
Boswijk, Herman Peter
;
Laeven, Roger J. A.
;
Yang, Xiye
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 256-266
Persistent link: https://www.econbiz.de/10011974668
Saved in:
6
Testing for non-correlation between price and volatility jumps
Jacod, Jean
;
Klüppelberg, Claudia
;
Müller, Gernot
- In:
Journal of econometrics
197
(
2017
)
2
,
pp. 284-297
Persistent link: https://www.econbiz.de/10011818360
Saved in:
7
Fitting a two phase threshold multiplicative error model
Perera, Indeewara
;
Koul, Hira L.
- In:
Journal of econometrics
197
(
2017
)
2
,
pp. 348-367
Persistent link: https://www.econbiz.de/10011818363
Saved in:
8
A goodness-of-fit test for copulas based on
martingale
transformation
Lu, Xiaohui
;
Zheng, Xu
- In:
Journal of econometrics
215
(
2020
)
1
,
pp. 84-117
Persistent link: https://www.econbiz.de/10012439384
Saved in:
9
Inference for the degree distributions of preferential attachment networks with zero-degree nodes
Chan, Ngai Hang
;
Cheung, Simon K. C.
;
Wong, Samuel P. S.
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 220-234
Persistent link: https://www.econbiz.de/10012439688
Saved in:
10
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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