Narrow search
Showing 1 - 10 of 892
Cover Image
Testing cointegration relationship in a semiparametric varying coefficient model
Gu, Jingping; Liang, Zhongwen - In: Journal of econometrics 178 (2014) 1, pp. 57-70
Persistent link: https://www.econbiz.de/10010255469
Cover Image
Testing for a slowly changing level with special reference to stochastic volatility
Harvey, Andrew C. - In: Journal of econometrics 87 (1998) 1, pp. 167-189
Persistent link: https://www.econbiz.de/10001248302
Cover Image
Estimating stochastic volatility diffusion using conditional moments of integrated volatility
Bollerslev, Tim; Zhou, Hao - In: Journal of econometrics 109 (2002) 1, pp. 33-65
Persistent link: https://www.econbiz.de/10001663892
Cover Image
Nonparametric estimation and inference for conditional density based Granger causality measures
Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar - In: Journal of econometrics 180 (2014) 2, pp. 251-264
Persistent link: https://www.econbiz.de/10010433362
Cover Image
Score-driven models for realized volatility
Harvey, Andrew C.; Palumbo, Dario - In: Journal of econometrics 237 (2023) 2,2, pp. 1-14
Persistent link: https://www.econbiz.de/10014471522
Cover Image
Semiparametric estimation of long-memory volatility dependencies : the role of high-frequency data
Bollerslev, Tim; Wright, Jonathan H. - In: Journal of econometrics 98 (2000) 1, pp. 81-106
Persistent link: https://www.econbiz.de/10001497682
Cover Image
A test for volatility spillover with application to exchange rates
Hong, Yongmiao - In: Journal of econometrics 103 (2001) 1/2, pp. 183-224
Persistent link: https://www.econbiz.de/10001585360
Cover Image
A Gaussian approximation scheme for computation of option prices in stochastic volatility models
Cheng, Ai-ru Meg; Gallant, A. Ronald; Ji, Chuanshu; … - In: Journal of econometrics 146 (2008) 1, pp. 44-58
Persistent link: https://www.econbiz.de/10003778206
Cover Image
The predictive ability of several models of exchange rate volatility
West, Kenneth D. - In: Journal of econometrics 69 (1995) 2, pp. 367-391
Persistent link: https://www.econbiz.de/10001188565
Cover Image
Residual log-periodogram inference for long-run relationships
Hassler, Uwe; Mármol, Francesc; Valasco, Carlos - In: Journal of econometrics 130 (2006) 1, pp. 165-207
Persistent link: https://www.econbiz.de/10003228637