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Unified inference for nonlinear factor models from panels with fixed and large time span
Andersen, Torben; Fusari, Nicola; Todorov, Viktor; … - In: Journal of econometrics 212 (2019) 1, pp. 4-25
Persistent link: https://www.econbiz.de/10012303860
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Between data cleaning and inference : pre-averaging and robust estimators of the efficient price
Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 194 (2016) 2, pp. 242-262
Persistent link: https://www.econbiz.de/10011705124
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Statistical inferences for price staleness
Kolokolov, Aleksey; Livieri, Giulia; Pirino, Davide - In: Journal of econometrics 218 (2020) 1, pp. 32-81
Persistent link: https://www.econbiz.de/10012482896
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The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
Mykland, Per A.; Zhang, Lan; Chen, Dachuan - In: Journal of econometrics 208 (2019) 1, pp. 101-119
Persistent link: https://www.econbiz.de/10012139798
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Intraday cross-sectional distributions of systematic risk
Andersen, Torben; Riva, Raul; Thyrsgaard, Martin; … - In: Journal of econometrics 235 (2023) 2, pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
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Testing for independence between functional time series
Horváth, Lajos; Rice, Gregory - In: Journal of econometrics 189 (2015) 2, pp. 371-382
Persistent link: https://www.econbiz.de/10011504560
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Inference on higher-order spatial autoregressive models with increasingly many parameters
Gupta, Abhimanyu; Robinson, Peter M. - In: Journal of econometrics 186 (2015) 1, pp. 19-31
Persistent link: https://www.econbiz.de/10011348910
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Testing high-dimensional covariance matrices under the elliptical distribution and beyond
Yang, Xinxin; Zheng, Xinghua; Chen, Jiaqi - In: Journal of econometrics 221 (2021) 2, pp. 409-423
Persistent link: https://www.econbiz.de/10012619243
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Limit theorems for network dependent random variables
Kojevnikov, Denis; Marmer, Vadim; Song, Kyungchul - In: Journal of econometrics 222 (2021) 2, pp. 882-908
Persistent link: https://www.econbiz.de/10012619804
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Ill-posed estimation in high-dimensional models with instrumental variables
Breunig, Christoph; Mammen, Enno; Simoni, Anna - In: Journal of econometrics 219 (2020) 1, pp. 171-200
Persistent link: https://www.econbiz.de/10012483200