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Mutual excitation in Eurozone sovereign CDS
Aït-Sahalia, Yacine; Laeven, Roger J. A.; Pelizzon, Loriana - In: Journal of econometrics 183 (2014) 2, pp. 151-167
Persistent link: https://www.econbiz.de/10010506073
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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
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Expected utility and catastrophic risk in a stochastic economy-climate model
Ikefuji, Masako; Laeven, Roger J. A.; Magnus, Jan R.; … - In: Journal of econometrics 214 (2020) 1, pp. 110-129
Persistent link: https://www.econbiz.de/10012438313
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Dependent microstructure noise and integrated volatility estimation from high-frequency data
Li, Z. Merrick; Laeven, Roger J. A.; Vellekoop, Michel - In: Journal of econometrics 215 (2020) 2, pp. 536-558
Persistent link: https://www.econbiz.de/10012439499