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Maximum score estimation of disequilibrium models and the role of anticipatory price-setting
Mayer, Walter James - In: Journal of econometrics 87 (1998) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10001248308
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Financial econometrics: a new discipline with new methods
Engle, Robert F. - In: Journal of econometrics 100 (2001) 1, pp. 53-56
Persistent link: https://www.econbiz.de/10001546140
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Notes on financial econometrics
Tauchen, George Eugene - In: Journal of econometrics 100 (2001) 1, pp. 57-64
Persistent link: https://www.econbiz.de/10001546141
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ARCH models in finance
Engle, Robert F. (contributor) - In: Journal of econometrics 52 (1992) 1, pp. 1-311
Persistent link: https://www.econbiz.de/10001121076
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Factor representing portfolios in large asset markets
Sentana, Enrique - In: Journal of econometrics 119 (2004) 2, pp. 257-289
Persistent link: https://www.econbiz.de/10001956189
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Stochastic volatility duration models
Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joann - In: Journal of econometrics 119 (2004) 2, pp. 413-433
Persistent link: https://www.econbiz.de/10001956379
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Realized jumps on financial markets and predicting credit spreads
Tauchen, George Eugene; Zhou, Hao - In: Journal of econometrics 160 (2011) 1, pp. 102-118
Persistent link: https://www.econbiz.de/10009242533
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A Markov-switching multifractal inter-trade duration model, with application to US equities
Chen, Fei; Diebold, Francis X.; Schorfheide, Frank - In: Journal of econometrics 177 (2013) 2, pp. 320-342
Persistent link: https://www.econbiz.de/10010255140
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The Barnett critique after three decades : a New Keynesian analysis
Belongia, Michael T.; Ireland, Peter N. - In: Journal of econometrics 183 (2014) 1, pp. 5-21
Persistent link: https://www.econbiz.de/10010506099
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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