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Journal of econometrics
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ECONIS (ZBW)
2,482
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1
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 478-487
Persistent link: https://www.econbiz.de/10012483405
Saved in:
2
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:
3
A MIDAS approach to modeling first and second moment dynamics
Pettenuzzo, Davide
;
Timmermann, Allan
;
Valkanov, Rossen I.
- In:
Journal of econometrics
193
(
2016
)
2
,
pp. 315-334
Persistent link: https://www.econbiz.de/10011704952
Saved in:
4
Particle efficient importance
sampling
Scharth, Marcel
;
Kohn, Robert
- In:
Journal of econometrics
190
(
2016
)
1
,
pp. 133-147
Persistent link: https://www.econbiz.de/10011591626
Saved in:
5
Bayesian semiparametric stochastic
volatility
modeling
Jensen, Mark J.
;
Maheu, John M.
- In:
Journal of econometrics
157
(
2010
)
2
,
pp. 306-316
Persistent link: https://www.econbiz.de/10008663011
Saved in:
6
Estimating a semiparametric asymmetric stochastic
volatility
model with a Dirichlet process mixture
Jensen, Mark J.
;
Maheu, John M.
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 523-538
Persistent link: https://www.econbiz.de/10010256874
Saved in:
7
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:
8
Incorporating overnight and intraday returns into multivariate GARCH
volatility
models
Dhaene, Geert
;
Wu, Jianbin
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 471-495
Persistent link: https://www.econbiz.de/10012482817
Saved in:
9
Is the diurnal pattern sufficient to explain intraday variation in
volatility
? : a nonparametric assessment
Christensen, Kim
;
Hounyo, Ulrich
;
Podolskij, Mark
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 336-362
Persistent link: https://www.econbiz.de/10012110287
Saved in:
10
The drift burst hypothesis
Christensen, Kim
;
Oomen, Roel
;
Renò, Roberto
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 461-497
Persistent link: https://www.econbiz.de/10013442150
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