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Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu; Xiao, Weilin; Yu, Jun - In: Journal of econometrics 232 (2023) 2, pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
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The asymptotic codifference and covariation of log-fractional stable noise
Levy, Joshua B.; Taqqu, Murad S. - In: Journal of econometrics 181 (2014) 1, pp. 34-43
Persistent link: https://www.econbiz.de/10010473427
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A new hyperbolic GARCH model
Li, Muyi; Li, Wai Keung; Li, Guodong - In: Journal of econometrics 189 (2015) 2, pp. 428-436
Persistent link: https://www.econbiz.de/10011504608
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Variable selection for high-dimensional regression models with time series and heteroscedastic errors
Chiou, Hai-Tang; Guo, Meihui; Ing, Ching-Kang - In: Journal of econometrics 216 (2020) 1, pp. 118-136
Persistent link: https://www.econbiz.de/10012439653
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Robust inference of panel data models with interactive fixed effects under long memory : a frequency domain approach
Ke, Shuyao; Phillips, Peter C. B.; Su, Liangjun - In: Journal of econometrics 241 (2024) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10015075187
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Contributions to econometrics, time series analysis, and systems identification : a Festschrift in honor of Manfred Deistler
Pötscher, Benedikt M. (contributor) - 2004
Persistent link: https://www.econbiz.de/10004391821
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Trend estimation and de-trending via rational square-wave filters
Pollock, David Stephen G. - In: Journal of econometrics 99 (2000) 2, pp. 317-334
Persistent link: https://www.econbiz.de/10001511974
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The strength of evidence for unit autoregressive roots and structural breaks : a Bayesian perspective
Marriott, John Arthur Ransome; Newbold, Paul - In: Journal of econometrics 98 (2000) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10001497668
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A quasi-differencing approach to dynamic modelling from a time series of independent cross-sections
Girma, Sourafel - In: Journal of econometrics 98 (2000) 2, pp. 365-383
Persistent link: https://www.econbiz.de/10001497793
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Consistent model specification tests for time series econometric models
Li, Qi - In: Journal of econometrics 92 (1999) 1, pp. 101-147
Persistent link: https://www.econbiz.de/10001400093