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The fine structure of equity-index option dynamics
Andersen, Torben; Bondarenko, Oleg; Todorov, Viktor; … - In: Journal of econometrics 187 (2015) 2, pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
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Inference for local distributions at high sampling frequencies : a bootstrap approach
Hounyo, Ulrich; Varneskov, Rasmus Tangsgaard - In: Journal of econometrics 215 (2020) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10012439150
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Invariance principles for dependent processes indexed by Besov classes with an application to a Hausman test for linearity
Kuersteiner, Guido M. - In: Journal of econometrics 211 (2019) 1, pp. 243-261
Persistent link: https://www.econbiz.de/10012303619
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Estimation and inference in factor copula models with exogenous covariates
Mayer, Alexander; Wied, Dominik - In: Journal of econometrics 235 (2023) 2, pp. 1500-1521
Persistent link: https://www.econbiz.de/10014471408
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Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes
Dufour, Jean-Marie; Torrès, Olivier - In: Journal of econometrics 99 (2000) 2, pp. 255-289
Persistent link: https://www.econbiz.de/10001511971
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Estimating the differencing parameter via the partial autocorrelation function
Chong, Terence Tai-Leung - In: Journal of econometrics 97 (2000) 2, pp. 365-381
Persistent link: https://www.econbiz.de/10001496598
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Testing parameter constancy in linear models against stochastic stationary parameters
Lin, Chien-fu Jeff; Teräsvirta, Timo - In: Journal of econometrics 90 (1999) 2, pp. 193-213
Persistent link: https://www.econbiz.de/10001382111
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A nonlinear autoregressive conditional duration model with applications to financial transaction
Zhang, Michael Yuanjie; Russel, Jeffrey R.; Tsay, Ruey S. - In: Journal of econometrics 104 (2001) 1, pp. 179-207
Persistent link: https://www.econbiz.de/10001589535
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Generalized Levinson-Durbin and Burg algorithms
Brockwell, Peter J.; Dahlhaus, R. - In: Journal of econometrics 118 (2004) 1/2, pp. 129-149
Persistent link: https://www.econbiz.de/10001823116
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Nonlinear instrumental variable estimation of an autoregression
Phillips, Peter C. B.; Park, Joon Y.; Chang, Yoosoon - In: Journal of econometrics 118 (2004) 1/2, pp. 219-246
Persistent link: https://www.econbiz.de/10001823127