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Realized Volatility Estimator Under Liquidity Effects

Allaj, Erindi - 2020

We analyze the behaviour of the realized volatility (RV) estimator under liquidity effects. The liquidity is measured by the impact of the trading volume on the asset price. We find that this estimator is inconsistent but convergent in probability. Motivated by this fact, we propose a new...

Persistent link: https://www.econbiz.de/10012845334

Segmented trend modelling of the US GNP series

Bianchi, Marco - In: Applied economics 28 (1996) 5, pp. 531-536

Persistent link: https://www.econbiz.de/10001201628

Unit root analyses of the causality between Japanese money and income

Morimune, Kimio - In: The Japanese economic review : the journal of the … 48 (1997) 4, pp. 343-367

Persistent link: https://www.econbiz.de/10001235671

Non-stationary estimation of the Japanese money demand function

Morimune, Kimio - In: Journal of economic research 2 (1997) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10001243908

Pooled estimators vs. their heterogeneous counterparts in the context of dynamic demand for gasoline

Baltagi, Badi H. - In: Journal of econometrics 77 (1997) 2, pp. 303-327

Persistent link: https://www.econbiz.de/10001212840

The econometrics of ultra-high-frequency data

Engle, Robert F. - In: Econometrica : journal of the Econometric Society, an … 68 (2000) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10001449346

Modelling cyclical behaviour with differential-difference equations in an unobserved components framework

Chambers, Marcus J.; McGarry, Joanne S. - 1999

Persistent link: https://www.econbiz.de/10001433535

Conditioning variables and the cross section of stock returns

Ferson, Wayne E.; Harvey, Campbell R. - In: The journal of finance : the journal of the American … 54 (1999) 4, pp. 1325-1360

Persistent link: https://www.econbiz.de/10001395766

Are apparent findings of nonlinearity due to structural instability in economic time series?

Koop, Gary; Potter, Simon M. - 1999

Persistent link: https://www.econbiz.de/10001398335

On the dynamic interdependence of international stock markets : a Swiss perspective

Isakov, Dušan; Pérignon, Christophe - 1999

Persistent link: https://www.econbiz.de/10001488308

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