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Journal of econometrics
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1
Testing for self-excitation in jumps
Boswijk, Herman Peter
;
Laeven, Roger J. A.
;
Yang, Xiye
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 256-266
Persistent link: https://www.econbiz.de/10011974668
Saved in:
2
Factor representing portfolios in large asset markets
Sentana, Enrique
- In:
Journal of econometrics
119
(
2004
)
2
,
pp. 257-289
Persistent link: https://www.econbiz.de/10001956189
Saved in:
3
The implied arbitrage mechanism in financial markets
Shiyi, Chen
;
Chng, Michael T.
;
Liu, Qingfu
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 468-483
Persistent link: https://www.econbiz.de/10012619708
Saved in:
4
Spectral tests of the
martingale
hypothesis under conditional heteroscedasticity
Deo, Rohit S.
- In:
Journal of econometrics
99
(
2000
)
2
,
pp. 291-315
Persistent link: https://www.econbiz.de/10001511972
Saved in:
5
On the jump activity index for semimartingales
Jing, Bingyi
;
Kong, Xinbing
;
Liu, Zhi
;
Mykland, Per A.
- In:
Journal of econometrics
166
(
2012
)
2
,
pp. 213-223
Persistent link: https://www.econbiz.de/10009509230
Saved in:
6
A
martingale
approach for testing diffusion models based on infinitesimal operator
Song, Zhaogang
- In:
Journal of econometrics
162
(
2011
)
2
,
pp. 189-212
Persistent link: https://www.econbiz.de/10009270656
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7
Adaptive estimation of autoregressive models with time-varying variances
Xu, Ke-Li
;
Phillips, Peter C. B.
- In:
Journal of econometrics
142
(
2008
)
1
,
pp. 265-280
Persistent link: https://www.econbiz.de/10003608182
Saved in:
8
Testing for non-correlation between price and volatility jumps
Jacod, Jean
;
Klüppelberg, Claudia
;
Müller, Gernot
- In:
Journal of econometrics
197
(
2017
)
2
,
pp. 284-297
Persistent link: https://www.econbiz.de/10011818360
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9
Fitting a two phase threshold multiplicative error model
Perera, Indeewara
;
Koul, Hira L.
- In:
Journal of econometrics
197
(
2017
)
2
,
pp. 348-367
Persistent link: https://www.econbiz.de/10011818363
Saved in:
10
A goodness-of-fit test for copulas based on
martingale
transformation
Lu, Xiaohui
;
Zheng, Xu
- In:
Journal of econometrics
215
(
2020
)
1
,
pp. 84-117
Persistent link: https://www.econbiz.de/10012439384
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