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Local polynomial Whittle estimation of perturbed fractional processes
Frederiksen, Per; Nielsen, Frank S.; Nielsen, Morten … - In: Journal of econometrics 167 (2012) 2, pp. 426-447
Persistent link: https://www.econbiz.de/10009612836
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Local polynomial Whittle estimation of perturbed fractional processes
Frederiksen, Per; Nielsen, Frank S.; Nielsen, Morten … - In: Journal of econometrics 167 (2012) 2, pp. 426-448
Persistent link: https://www.econbiz.de/10009833979
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Realized volatility forecasting and market microstructure noise
Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour - In: Journal of econometrics 160 (2011) 1, pp. 220-235
Persistent link: https://www.econbiz.de/10008770542
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A reduced form framework for modeling volatility of speculative prices based on realized variation measures
Andersen, Torben G.; Bollerslev, Tim; Huang, Xin - In: Journal of econometrics 160 (2011) 1, pp. 176-190
Persistent link: https://www.econbiz.de/10008770545
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No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications
Andersen, Torben G.; Bollerslev, Tim; Dobrev, Dobrislav - In: Journal of econometrics 138 (2007) 1, pp. 125-180
Persistent link: https://www.econbiz.de/10007615316
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Realized volatility forecasting and market microstructure noise
Andersen, Torben; Bollerslev, Tim; Meddahi, Nour - In: Journal of econometrics 160 (2011) 1, pp. 220-234
Persistent link: https://www.econbiz.de/10009242523
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A reduced form framework for modeling volatility of speculative prices based on realized variation measures
Andersen, Torben; Bollerslev, Tim; Huang, Xin - In: Journal of econometrics 160 (2011) 1, pp. 176-189
Persistent link: https://www.econbiz.de/10009242526
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No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and iid noise : theory and testable distributional implications
Andersen, Torben; Bollerslev, Tim; Dobrev, Dobrislav - In: Journal of econometrics 138 (2007) 1, pp. 125-180
Persistent link: https://www.econbiz.de/10003451756
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Nonparametric cointegration analysis of fractional systems with unknown integration orders
Nielsen, Morten Ørregaard - In: Journal of econometrics 155 (2010) 2, pp. 170-187
Persistent link: https://www.econbiz.de/10003966977
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Cluster-robust inference : a guide to empirical practice
MacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, … - In: Journal of econometrics 232 (2023) 2, pp. 272-299
Persistent link: https://www.econbiz.de/10014339912