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Temporally local maximum likelihood with application to SIS model
Gourieroux, Christian; Jasiak, Joann - In: Journal of time series econometrics 15 (2023) 2, pp. 151-198
Persistent link: https://www.econbiz.de/10014465605
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Persistence in intertrade durations
Jasiak, Joann - In: Finance : revue de l'Association Française de Finance 19 (1998) 2, pp. 165-195
Persistent link: https://www.econbiz.de/10001476807
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Note sur la ʺnotion dʹentourage moyenʺ
Gourieroux, Christian - In: Annales de l'INSEE 37 (1980), pp. 111-123
Persistent link: https://www.econbiz.de/10002536493
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Market time and asset price movements : theory and estimation
Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joann - 1995
Persistent link: https://www.econbiz.de/10001512798
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Memory and infrequent breaks
Gouriéroux, Christian; Jasiak, Joann - In: Economics letters 70 (2001) 1, pp. 29-41
Persistent link: https://www.econbiz.de/10001534701
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Nonlinear innovations and impulse responses
Gouriéroux, Christian; Jasiak, Joann - 1999
Persistent link: https://www.econbiz.de/10001421278
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Intra-day market activity
Gouriéroux, Christian; Jasiak, Joann; LeFol, Gaëlle - In: Journal of financial markets 2 (1999) 3, pp. 193-226
Persistent link: https://www.econbiz.de/10001426693
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Nonlinear persistence and copersistence
Gouriéroux, Christian; Jasiak, Joann - 1999
Persistent link: https://www.econbiz.de/10001485343
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Nonlinear panel data models with dynamic heterogeneity
Gouriéroux, Christian; Jasiak, Joann - In: Panel data econometrics : future directions : papers in …, (pp. 127-147). 2000
Persistent link: https://www.econbiz.de/10001488037
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Stochastic volatility and time deformation : an application of trading volume and leverage effects
Ghysels, Eric; Jasiak, Joann - 1994
Persistent link: https://www.econbiz.de/10000898668