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Multivariate variance targeting in the BEKK–GARCH model
Pedersen, Rasmus Søndergaard; Rahbek, Anders - In: The econometrics journal 17 (2014) 1, pp. 24-55
Persistent link: https://www.econbiz.de/10010498760
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Quantile-based smooth transition value at risk estimation
Hubner, Stefan; Čížek, Pavel - In: The econometrics journal 22 (2019) 3, pp. 241-261
Persistent link: https://www.econbiz.de/10012166749
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Estimating spot volatility under infinite variation jumps with dependent market microstructure noise
Liu, Qiang; Liu, Zhi - In: The econometrics journal 27 (2024) 2, pp. 278-298
Persistent link: https://www.econbiz.de/10015046377
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Causality and forecasting in temporally aggregated multivariate GARCH processes
Hafner, Christian M. - In: The econometrics journal 12 (2009) 1, pp. 127-146
Persistent link: https://www.econbiz.de/10003841978
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Non-stationary non-parametric volatility model
Han, Heejoon; Zhang, Shen - In: The econometrics journal 15 (2012) 2, pp. 204-225
Persistent link: https://www.econbiz.de/10009614928
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Validity of Edgeworth expansions for realized volatility estimators
Hounyo, Ulrich; Veliyev, Bezirgen - In: The econometrics journal 19 (2016) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10011487524
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A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices
Qu, Zhongjun; Perron, Pierre - In: The econometrics journal 16 (2013) 3, pp. 309-339
Persistent link: https://www.econbiz.de/10010253639
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Adaptive wild bootstrap tests for a unit root with non‐stationary volatility
Boswijk, Herman Peter; Zu, Yang - In: The econometrics journal 21 (2018) 2, pp. 87-113
Persistent link: https://www.econbiz.de/10012166602
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Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Abadir, Karim Maher - In: The econometrics journal 26 (2023) 1, pp. 88-104
Persistent link: https://www.econbiz.de/10013543279
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Semiparametric efficiency bounds in dynamic non-linear systems under elliptical symmetry
Brown, Bryan W.; Hodgson, Douglas J. - In: The econometrics journal 10 (2007) 1, pp. 35-48
Persistent link: https://www.econbiz.de/10003451746