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Journal of econometrics
CREATES research paper
37
CREATES Research Papers
36
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Econometric modelling of durations between economic events
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Option valuation with conditional skewness
Christoffersen, Peter F.
;
Heston, Steven L.
;
Jacobs, Kris
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 253-284
Persistent link: https://www.econbiz.de/10003298580
Saved in:
2
Inference and forecasting for continuous-time integer-valued trawl processes
Bennedsen, Mikkel
;
Lunde, Asger
;
Shephard, Neil G.
; …
- In:
Journal of econometrics
236
(
2023
)
2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014365470
Saved in:
3
Subsampling realised kernels
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 204-219
Persistent link: https://www.econbiz.de/10009242524
Saved in:
4
Multivariate realised kernels : consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
- In:
Journal of econometrics
162
(
2011
)
2
,
pp. 149-169
Persistent link: https://www.econbiz.de/10009270667
Saved in:
5
Consistent ranking of volatility models
Hansen, Peter Reinhard
;
Lunde, Asger
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 97-121
Persistent link: https://www.econbiz.de/10003298566
Saved in:
6
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
Boudt, Kris
;
Laurent, Sébastien
;
Lunde, Asger
; …
- In:
Journal of econometrics
196
(
2017
)
2
,
pp. 347-367
Persistent link: https://www.econbiz.de/10011818308
Saved in:
7
Consistent ranking of volatility models
Hansen, Peter Reinhard
;
Lunde, Asger
- In:
Journal of econometrics
131
(
2006
)
1
,
pp. 97-122
Persistent link: https://www.econbiz.de/10006747797
Saved in:
8
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
- In:
Journal of econometrics
162
(
2011
)
2
,
pp. 149-170
Persistent link: https://www.econbiz.de/10008997629
Saved in:
9
Subsampling realised kernels
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 204-220
Persistent link: https://www.econbiz.de/10008770543
Saved in:
10
Option valuation with conditional skewness
Christoffersen, Peter
;
Heston, Steve
;
Jacobs, Kris
- In:
Journal of econometrics
131
(
2006
)
1
,
pp. 253-284
Persistent link: https://www.econbiz.de/10006747792
Saved in:
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