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Testing for non-correlation between price and volatility jumps
Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot - In: Journal of econometrics 197 (2017) 2, pp. 284-297
Persistent link: https://www.econbiz.de/10011818360
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Intraday cross-sectional distributions of systematic risk
Andersen, Torben; Riva, Raul; Thyrsgaard, Martin; … - In: Journal of econometrics 235 (2023) 2, pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
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The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Christensen, Kim; Thyrsgaard, Martin; Veliyev, Bezirgen - In: Journal of econometrics 212 (2019) 2, pp. 556-583
Persistent link: https://www.econbiz.de/10012304092
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Time-invariant restrictions of volatility functionals : efficient estimation and specification tests
Yang, Xiye - In: Journal of econometrics 215 (2020) 2, pp. 486-516
Persistent link: https://www.econbiz.de/10012439497
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Nonparametric specification tests for conditional duration models
Fernandes, Marcelo; Grammig, Joachim - In: Journal of econometrics 127 (2005) 1, pp. 35-68
Persistent link: https://www.econbiz.de/10002756914
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Stochastic tail index model for high frequency financial data with Bayesian analysis
Mao, Guangyu; Zhang, Zhengjun - In: Journal of econometrics 205 (2018) 2, pp. 470-487
Persistent link: https://www.econbiz.de/10012110325
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Comparing stochastic volatility specifications for large Bayesian VARs
Chan, Joshua - In: Journal of econometrics 235 (2023) 2, pp. 1419-1446
Persistent link: https://www.econbiz.de/10014471398
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Identifying latent factors based on high-frequency data
Sun, Yucheng; Xu, Wen; Zhang, Chuanhai - In: Journal of econometrics 233 (2023) 1, pp. 251-270
Persistent link: https://www.econbiz.de/10014341048
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Inference for local distributions at high sampling frequencies : a bootstrap approach
Hounyo, Ulrich; Varneskov, Rasmus Tangsgaard - In: Journal of econometrics 215 (2020) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10012439150
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Large-dimensional factor modeling based on high-frequency observations
Pelger, Markus - In: Journal of econometrics 208 (2019) 1, pp. 23-42
Persistent link: https://www.econbiz.de/10012139775