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A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data
Liu, Cheng; Tang, Cheng Yong - In: Journal of econometrics 180 (2014) 2, pp. 217-232
Persistent link: https://www.econbiz.de/10010433385
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GARCH models without positivity constraints : exponential or log GARCH?
Francq, Christian; Wintenberger, Olivier; Zakoïan, … - In: Journal of econometrics 177 (2013) 1, pp. 34-46
Persistent link: https://www.econbiz.de/10010189881
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Risk-parameter estimation in volatility models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 184 (2015) 1, pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
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Consistent non-Gaussian pseudo maximum likelihood estimators
Fiorentini, Gabriele; Sentana, Enrique - In: Journal of econometrics 213 (2019) 2, pp. 321-358
Persistent link: https://www.econbiz.de/10012304560
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Efficient estimation of approximate factor models via penalized maximum likelihood
Bai, Jushan; Liao, Yuan - In: Journal of econometrics 191 (2016) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10011594307
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Robust covariance estimation for approximate factor models
Fan, Jianqing; Wang, Weichen; Zhong, Yiqiao - In: Journal of econometrics 208 (2019) 1, pp. 5-22
Persistent link: https://www.econbiz.de/10012139773
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Estimation of integrated quadratic covariation with endogenous sampling times
Potiron, Yoann; Mykland, Per A. - In: Journal of econometrics 197 (2017) 1, pp. 20-41
Persistent link: https://www.econbiz.de/10011818337
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Quasi-maximum likelihood estimation of break point in high-dimensional factor models
Duan, Jiangtao; Bai, Jushan; Han, Xu - In: Journal of econometrics 233 (2023) 1, pp. 209-236
Persistent link: https://www.econbiz.de/10014340997
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Quasi-maximum likelihood estimation of volatility with high frequency data
Xiu, Dacheng - In: Journal of econometrics 159 (2010) 1, pp. 235-250
Persistent link: https://www.econbiz.de/10008839925
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Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
Kim, Donggyu; Wang, Yazhen - In: Journal of econometrics 194 (2016) 2, pp. 220-230
Persistent link: https://www.econbiz.de/10011705111