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Bootstrapping realized multivariate volatility measures
Dovonon, Prosper; Gonçalves, Sílvia; Meddahi, Nour - In: Journal of econometrics 172 (2013) 1, pp. 49-65
Persistent link: https://www.econbiz.de/10010052630
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Bootstrapping realized multivariate volatility measures
Dovonon, Prosper; Gonçalves, Sílvia; Meddahi, Nour - In: Journal of econometrics 172 (2013) 1, pp. 49-65
Persistent link: https://www.econbiz.de/10009702319
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Bootstrapping the GMM overidentification test under first-order underidentification
Dovonon, Prosper; Gonçalves, Sílvia - In: Journal of econometrics 201 (2017) 1, pp. 43-71
Persistent link: https://www.econbiz.de/10011917415
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The asymptotic properties of GMM and indirect inference under second-order identification
Dovonon, Prosper; Hall, Alastair R. - In: Journal of econometrics 205 (2018) 1, pp. 76-111
Persistent link: https://www.econbiz.de/10012110241
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Inference in second-order identified models
Dovonon, Prosper; Hall, Alastair R.; Kleibergen, Frank - In: Journal of econometrics 218 (2020) 2, pp. 346-372
Persistent link: https://www.econbiz.de/10012483005
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Robust estimation with exponentially tilted Hellinger distance
Antoine, Bertille; Dovonon, Prosper - In: Journal of econometrics 224 (2021) 2, pp. 330-344
Persistent link: https://www.econbiz.de/10013275386
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Testing the eigenvalue structure of spot and integrated covariance
Dovonon, Prosper; Taamouti, Abderrahim; Williams, Julian - In: Journal of econometrics 229 (2022) 2, pp. 363-395
Persistent link: https://www.econbiz.de/10013441888