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Post-'87 crash fears in the S&P 500 futures option market
Bates, David S. - In: Journal of econometrics 94 (2000) 1/2, pp. 181-238
Persistent link: https://www.econbiz.de/10001437755
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Volatility contagion : a range-based volatility approach
Chiang, Min-Hsien; Wang, Li-min - In: Journal of econometrics 165 (2011) 2, pp. 175-189
Persistent link: https://www.econbiz.de/10009409692
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On the network topology of variance decompositions : measuring the connectedness of financial firms
Diebold, Francis X.; Yılmaz, Kamil - In: Journal of econometrics 182 (2014) 1, pp. 119-134
Persistent link: https://www.econbiz.de/10010497110
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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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Dynamic prediction pools : an investigation of financial frictions and forecasting performance
Del Negro, Marco; Hasegawa, Raiden B.; Schorfheide, Frank - In: Journal of econometrics 192 (2016) 2, pp. 391-405
Persistent link: https://www.econbiz.de/10011704724
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Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - In: Journal of econometrics 195 (2016) 2, pp. 211-223
Persistent link: https://www.econbiz.de/10011705251
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Dynamic semiparametric models for expected shortfall (and Value-at-Risk)
Patton, Andrew J.; Ziegel, Johanna; Chen, Rui - In: Journal of econometrics 211 (2019) 2, pp. 388-413
Persistent link: https://www.econbiz.de/10012303806
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Network quantile autoregression
Zhu, Xuening; Wang, Weining; Wang, Hansheng; Härdle, … - In: Journal of econometrics 212 (2019) 1, pp. 345-358
Persistent link: https://www.econbiz.de/10012303979
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The drift burst hypothesis
Christensen, Kim; Oomen, Roel; Renò, Roberto - In: Journal of econometrics 227 (2022) 2, pp. 461-497
Persistent link: https://www.econbiz.de/10013442150
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Assessing the productive benefits of nutrition and health : an integrated human capital approach
Schultz, T. Paul - In: Journal of econometrics 77 (1997) 1, pp. 141-158
Persistent link: https://www.econbiz.de/10001335087