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Pitfalls in the estimation of continuous time interest rate models : the case of the CIR model
Gouriéroux, Christian; Monfort, Alain - In: Annals of economics and statistics 109/110 (2013), pp. 25-61
Persistent link: https://www.econbiz.de/10009779723
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Efficient inference on fractionally integrated panel data models with fixed effects
Robinson, Peter M.; Velasco, Carlos - In: Journal of econometrics 185 (2015) 2, pp. 435-452
Persistent link: https://www.econbiz.de/10011348967
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Bias in the estimation of the mean reversion parameter in continuous time models
Yu, Jun - In: Journal of econometrics 169 (2012) 1, pp. 114-122
Persistent link: https://www.econbiz.de/10009666687
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Econometric estimation with high-dimensional moment equalities
Shi, Zhentao - In: Journal of econometrics 195 (2016) 1, pp. 104-119
Persistent link: https://www.econbiz.de/10011705235
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First difference estimation of spatial dynamic panel data models with fixed effects
Jin, Fei; Lee, Lung-fei; Yu, Jihai - In: Economics letters 189 (2020), pp. 1-5
Persistent link: https://www.econbiz.de/10012228071
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A (semi)parametric functional coefficient logarithmic autoregressive conditional duration model
Fernandes, Marcelo; Medeiros, Marcelo C.; Veiga, Alvaro - In: Econometric reviews 35 (2016) 5/7, pp. 1221-1250
Persistent link: https://www.econbiz.de/10011591186
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Bias-corrected estimators for the Vasicek model : an application in risk measure estimation
Guo, Zi-Yi - In: Journal of risk 23 (2020/2021) 2, pp. 71-104
Persistent link: https://www.econbiz.de/10012500264
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A new approach to model regime switching
Chang, Yoosoon; Choi, Yongok; Park, Joon Y. - In: Journal of econometrics 196 (2017) 1, pp. 127-143
Persistent link: https://www.econbiz.de/10011743787
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Why frequency matters for unit root testing
Boswijk, Herman Peter; Klaassen, Franc - 2004 - Rev.
recent work on unit root and cointegration testing based non-Gaussian likelihood functions. The essential idea is that such …
Persistent link: https://www.econbiz.de/10011342578
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Finite sample theory and bias correction of maximum likelihood estimators in the EGARCH model
Dēmos, Antōnēs A.; Kyriakopoulou, Dimitra - 2018
Persistent link: https://www.econbiz.de/10011992635