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Particle efficient importance sampling
Scharth, Marcel; Kohn, Robert - In: Journal of econometrics 190 (2016) 1, pp. 133-147
Persistent link: https://www.econbiz.de/10011591626
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Efficient asymptotic variance reduction when estimating volatility in high frequency data
Clinet, Simon; Potiron, Yoann - In: Journal of econometrics 206 (2018) 1, pp. 103-142
Persistent link: https://www.econbiz.de/10012110370
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High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - In: Journal of econometrics 219 (2020) 2, pp. 478-487
Persistent link: https://www.econbiz.de/10012483405
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High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua; Poon, Aubrey; Zhu, Dan - In: Journal of econometrics 236 (2023) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
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Inference from high-frequency data : a subsampling approach
Christensen, Kimberly; Podolskij, Mark; Thamrongrat, Nopporn - In: Journal of econometrics 197 (2017) 2, pp. 245-272
Persistent link: https://www.econbiz.de/10011818358
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The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Christensen, Kim; Thyrsgaard, Martin; Veliyev, Bezirgen - In: Journal of econometrics 212 (2019) 2, pp. 556-583
Persistent link: https://www.econbiz.de/10012304092
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High dimensional dynamic stochastic copula models
Creal, Drew; Tsay, Ruey S. - In: Journal of econometrics 189 (2015) 2, pp. 335-345
Persistent link: https://www.econbiz.de/10011504544
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Parsimony inducing priors for large scale state-space models
Lopes, Hedibert Freitas; McCulloch, Robert E.; Tsay, Ruey S. - In: Journal of econometrics 230 (2022) 1, pp. 39-61
Persistent link: https://www.econbiz.de/10013441913
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Efficient estimation and filtering for multivariate jump-diffusions
Guay, François; Schwenkler, Gustavo - In: Journal of econometrics 223 (2021) 1, pp. 251-275
Persistent link: https://www.econbiz.de/10012619970
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Stochastic tail index model for high frequency financial data with Bayesian analysis
Mao, Guangyu; Zhang, Zhengjun - In: Journal of econometrics 205 (2018) 2, pp. 470-487
Persistent link: https://www.econbiz.de/10012110325