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A Markov-switching multifractal inter-trade duration model, with application to US equities
Chen, Fei; Diebold, Francis X.; Schorfheide, Frank - In: Journal of econometrics 177 (2013) 2, pp. 320-342
Persistent link: https://www.econbiz.de/10010255140
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Extreme-quantile tracking for financial time series
Chavez-Demoulin, V.; Embrechts, Paul; Sardy, S. - In: Journal of econometrics 181 (2014) 1, pp. 44-52
Persistent link: https://www.econbiz.de/10010473421
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What is beneath the surface? : option pricing with multifrequency latent states
Calvet, Laurent E.; Fearnley, Marcus; Fisher, Adlai; … - In: Journal of econometrics 187 (2015) 2, pp. 498-511
Persistent link: https://www.econbiz.de/10011499779
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Pricing and hedging derivative securities with neural networks and a homogeneity hint
Garcia, René; Gençay, Ramazan - In: Journal of econometrics 94 (2000) 1/2, pp. 93-115
Persistent link: https://www.econbiz.de/10001437747
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Pricing and hedging long-term options
Bakshi, Gurdip S.; Cao, Charles Q.; Chen, Zhiwu - In: Journal of econometrics 94 (2000) 1/2, pp. 277-318
Persistent link: https://www.econbiz.de/10001437760
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Moments of Markov switching models
Timmermann, Allan - In: Journal of econometrics 96 (2000) 1, pp. 75-111
Persistent link: https://www.econbiz.de/10001466745
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Business cycle durations
Filardo, Andrew J. - In: Journal of econometrics 85 (1998) 1, pp. 99-123
Persistent link: https://www.econbiz.de/10001240380
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Estimation and comparison of multiple change-point models
Chib, Siddhartha - In: Journal of econometrics 86 (1998) 2, pp. 221-241
Persistent link: https://www.econbiz.de/10001243492
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Spectral methods for identifying scalar diffusions
Hansen, Lars Peter - In: Journal of econometrics 86 (1998) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10001243868
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Monte Carlo inference in econometric models with symmetric stable disturbances
Tsionas, Efthymios G. - In: Journal of econometrics 88 (1999) 2, pp. 365-401
Persistent link: https://www.econbiz.de/10001252778