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Searching high and low : extremal dependence of international sovereign bond markets
Basrak, Bojan; Posedel Šimović, Petra; Tkalec, Marina; … - 2016
Persistent link: https://www.econbiz.de/10011548160
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A comment on: "Autoregressive conditional duration : a new model for irregularly spaced transaction data"
Cavaliere, Giuseppe; Mikosch, Thomas; Rahbek, Anders; … - In: Econometrica : journal of the Econometric Society, an … 93 (2025) 2, pp. 719-729
Persistent link: https://www.econbiz.de/10015401165
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Tail behavior of ACD models and consequences for likelihood-based estimation
Cavaliere, Giuseppe; Mikosch, Thomas; Rahbek, Anders; … - In: Journal of econometrics 238 (2024) 2, pp. 1-14
Persistent link: https://www.econbiz.de/10015073910
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Time series estimation of the dynamic effects of disaster-type shocks
Davis, Richard A.; Ng, Serena - In: Journal of econometrics 235 (2023) 1, pp. 180-201
Persistent link: https://www.econbiz.de/10014434389