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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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Estimation of state-space models with endogenous Markov regime-switching parameters
Kang, Kyu Ho - In: The econometrics journal 17 (2014) 1, pp. 56-82
Persistent link: https://www.econbiz.de/10010498759
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Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models
Elliott, Robert J.; Krishnamurthy, Vikram; Sass, Jörn - In: The econometrics journal 11 (2008) 2, pp. 244-270
Persistent link: https://www.econbiz.de/10003750782
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Measuring business cycles with a dynamic Markov switching factor model : an assessment using Bayesian simulation methods
Kaufmann, Sylvia - In: The econometrics journal 3 (2000) 1, pp. 39-65
Persistent link: https://www.econbiz.de/10001532209
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Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques
Frühwirth-Schnatter, Sylvia - In: The econometrics journal 7 (2004) 1, pp. 143-167
Persistent link: https://www.econbiz.de/10002121994
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Estimation of the stochastic conditional duration model via alternative methods
Knight, John L.; Ning, Cathy Q. - In: The econometrics journal 11 (2008) 3, pp. 593-616
Persistent link: https://www.econbiz.de/10003802430
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ECF estimation of Markov models where the transition density is unknown
Jiang, George J.; Preminger, Arie; Knight, John L. - In: The econometrics journal 13 (2010) 2, pp. 245-270
Persistent link: https://www.econbiz.de/10003978523
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Asymptotic properties of the maximum likelihood estimator in regime-switching models with time-varying transition probabilities
Li, Chaojun; Liu, Yan - In: The econometrics journal 26 (2023) 1, pp. 67-87
Persistent link: https://www.econbiz.de/10013543277
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Data mining reconsidered : encompassing and the general-to-specific approach to specification search
Hoover, Kevin D.; Perez, Stephen J. - In: The econometrics journal 2 (1999) 2, pp. 167-191
Persistent link: https://www.econbiz.de/10001515235
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Are apparent findings of nonlinearity due to structural instability in economic time series?
Koop, Gary; Potter, Simon M. - In: The econometrics journal 4 (2001) 1, pp. 37-55
Persistent link: https://www.econbiz.de/10001612280