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Asymptotically distribution-free tests for the volatility function of a diffusion
Chen, Qiang; Zheng, Xu; Pan, Zhiyuan - In: Journal of econometrics 184 (2015) 1, pp. 124-144
Persistent link: https://www.econbiz.de/10011326801
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Generalized ARMA models with martingale difference errors
Zheng, Tingguo; Xiao, Han; Chen, Rong - In: Journal of econometrics 189 (2015) 2, pp. 492-506
Persistent link: https://www.econbiz.de/10011504639
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Asymptotic inference about predictive accuracy using high frequency data
Li, Jia; Patton, Andrew J. - In: Journal of econometrics 203 (2018) 2, pp. 223-240
Persistent link: https://www.econbiz.de/10011974659
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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
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Estimating the integrated volatility using high-frequency data with zero durations
Liu, Zhi; Kong, Xin-Bing; Jing, Bingyi - In: Journal of econometrics 204 (2018) 1, pp. 18-32
Persistent link: https://www.econbiz.de/10011974707
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Mixed-scale jump regressions with bootstrap inference
Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Chen, Rui - In: Journal of econometrics 201 (2017) 2, pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
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Inference theory for volatility functional dependencies
Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Journal of econometrics 193 (2016) 1, pp. 17-34
Persistent link: https://www.econbiz.de/10011704756
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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
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Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale
Gallant, A. Ronald; Tauchen, George Eugene - In: Journal of econometrics 205 (2018) 1, pp. 140-155
Persistent link: https://www.econbiz.de/10012110246
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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