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The leverage effect puzzle revisited : identification in discrete time
Han, Hyojin; Khrapov, Stanislav; Renault, Eric - In: Journal of econometrics 217 (2020) 2, pp. 230-258
Persistent link: https://www.econbiz.de/10012482760
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PELVE : probability equivalent level of VaR and ES
Li, Hengxin; Wang, Ruodu - In: Journal of econometrics 234 (2023) 1, pp. 353-370
Persistent link: https://www.econbiz.de/10014364915
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Volume, volatility, and leverage : a dynamic analysis
Tauchen, George Eugene; Zhang, Harold; Liu, Ming - In: Journal of econometrics 74 (1996) 1, pp. 177-208
Persistent link: https://www.econbiz.de/10001755397
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On leverage in a stochastic volatility model
Yu, Jun - In: Journal of econometrics 127 (2005) 2, pp. 165-178
Persistent link: https://www.econbiz.de/10002905096
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Variable selection in panel models with breaks
Smith, Simon C.; Timmermann, Allan; Zhu, Yinchu - In: Journal of econometrics 212 (2019) 1, pp. 323-344
Persistent link: https://www.econbiz.de/10012303949
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Conditionally independent private information in OCS wildcat auctions
Li, Tong; Perrigne, Isabelle; Vuong, Quang H. - In: Journal of econometrics 98 (2000) 1, pp. 129-161
Persistent link: https://www.econbiz.de/10001497686
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Econometric specification of the risk neutral valuation model
Clément, Emmanuelle; Gouriéroux, Christian; Monfort, Alain - In: Journal of econometrics 94 (2000) 1/2, pp. 117-143
Persistent link: https://www.econbiz.de/10001437749
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Asymmetries and nonlinearities in dynamic economic models
Burgess, Simon M. (contributor) - 1996
Persistent link: https://www.econbiz.de/10000596724
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Properties of optimal forecasts under asymmetric loss and nonlinearity
Patton, Andrew J.; Timmermann, Allan - In: Journal of econometrics 140 (2007) 2, pp. 884-918
Persistent link: https://www.econbiz.de/10003570041
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A family of autoregressive conditional duration models
Fernandes, Marcelo; Grammig, Joachim - In: Journal of econometrics 130 (2006) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10003228621