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Chasing volatility : a persistent multiplicative error model with jumps
Caporin, Massimiliano; Rossi, Eduardo; Santucci de … - In: Journal of econometrics 198 (2017) 1, pp. 122-145
Persistent link: https://www.econbiz.de/10011818372
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Hierarchical Markov-switching models for multivariate integer-valued time-series
Catania, Leopoldo; Di Mari, Roberto - In: Journal of econometrics 221 (2021) 1, pp. 118-137
Persistent link: https://www.econbiz.de/10012618804
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Semiparametric modeling of multiple quantiles
Catania, Leopoldo; Luati, Alessandra - In: Journal of econometrics 237 (2023) 2,2, pp. 1-16
Persistent link: https://www.econbiz.de/10014471520