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Journal of econometrics
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1
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
Cavaliere, Giuseppe
;
Bohn Nielsen, Heino
;
Pedersen, …
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 241-263
Persistent link: https://www.econbiz.de/10013441653
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2
Dynamic conditional eigenvalue GARCH
Hetland, Simon Thinggaard
;
Pedersen, Rasmus Søndergaard
; …
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471517
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3
Bootstrap inference for Hawkes and general point processes
Cavaliere, Giuseppe
;
Lu, Ye
;
Rahbek, Anders
; …
- In:
Journal of econometrics
235
(
2023
)
1
,
pp. 133-165
Persistent link: https://www.econbiz.de/10014434387
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4
Testing for co-integration in vector autoregressions with non-stationary volatility
Cavaliere, Giuseppe
;
Rahbek, Anders
;
Taylor, Robert
- In:
Journal of econometrics
158
(
2010
)
1
,
pp. 7-24
Persistent link: https://www.econbiz.de/10008826880
Saved in:
5
Inference on co-integration parameters in heteroskedastic vector autoregressions
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
Rahbek, Anders
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 64-85
Persistent link: https://www.econbiz.de/10011615672
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6
Bootstrapping non-stationary stochastic volatility
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
Georgiev, Iliyan
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 161-180
Persistent link: https://www.econbiz.de/10013275368
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7
Tail behavior of ACD models and consequences for likelihood-based estimation
Cavaliere, Giuseppe
;
Mikosch, Thomas
;
Rahbek, Anders
; …
- In:
Journal of econometrics
238
(
2024
)
2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10015073910
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8
Inference and testing on the boundary in extended constant conditional correlation GARCH models
Pedersen, Rasmus Søndergaard
- In:
Journal of econometrics
196
(
2017
)
1
,
pp. 23-36
Persistent link: https://www.econbiz.de/10011743481
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9
Trend stationarity in the I(2) cointegration model
Rahbek, Anders
;
Kongsted, Hans Christian
;
Jørgensen, Clara
- In:
Journal of econometrics
90
(
1999
)
2
,
pp. 265-290
Persistent link: https://www.econbiz.de/10006786373
Saved in:
10
Weak exogeneity in I(2) VAR systems
Paruolo, Paolo
;
Rahbek, Anders
- In:
Journal of econometrics
93
(
1999
)
2
,
pp. 281-308
Persistent link: https://www.econbiz.de/10001406658
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