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Copula structured M4 processes with application to high-frequency financial data
Zhang, Zhengjun; Zhu, Bin - In: Journal of econometrics 194 (2016) 2, pp. 231-241
Persistent link: https://www.econbiz.de/10011705118
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Pricing and hedging long-term options
Bakshi, Gurdip S.; Cao, Charles Q.; Chen, Zhiwu - In: Journal of econometrics 94 (2000) 1/2, pp. 277-318
Persistent link: https://www.econbiz.de/10001437760
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On the distribution of augmented Dickey-Fuller statistics in processes with moving average components
Galbraith, John W.; Zinde-Walsh, Victoria - In: Journal of econometrics 93 (1999) 1, pp. 25-47
Persistent link: https://www.econbiz.de/10001406636
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Detection of change in persistence of a linear time series
Kim, Chae-yŏng - In: Journal of econometrics 95 (2000) 1, pp. 97-116
Persistent link: https://www.econbiz.de/10001432520
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Uniform laws of large numbers and stochastic Lipschitz-continuity
Jong, Robert M. de - In: Journal of econometrics 86 (1998) 2, pp. 243-268
Persistent link: https://www.econbiz.de/10001243490
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The memory of stochastic volatility models
Robinson, Peter M. - In: Journal of econometrics 101 (2001) 2, pp. 195-218
Persistent link: https://www.econbiz.de/10001554894
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On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
Burridge, Peter; Taylor, Robert - In: Journal of econometrics 104 (2001) 1, pp. 91-117
Persistent link: https://www.econbiz.de/10001589527
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The dynamics of stochastic volatility : evidence from underlying and options markets
Jones, Christopher S. - In: Journal of econometrics 116 (2003) 1/2, pp. 181-224
Persistent link: https://www.econbiz.de/10001772147
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Spectral GMM estimation of continuous-time processes
Chacko, George; Viceira, Luis M. - In: Journal of econometrics 116 (2003) 1/2, pp. 259-292
Persistent link: https://www.econbiz.de/10001772151
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Modeling of time series arrays by multistep prediction or likelihood methods
Findley, David F.; Pötscher, Benedikt M.; Wei, Ching-Zong - In: Journal of econometrics 118 (2004) 1/2, pp. 151-187
Persistent link: https://www.econbiz.de/10001823120