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Estimation of integrated volatility in stochastic volatility models

Woerner, Jeannette H. C. - 2003

Persistent link: https://www.econbiz.de/10009581654

Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data

Bennedsen, Mikkel - In: Econometric reviews 39 (2020) 9, pp. 875-903

Persistent link: https://www.econbiz.de/10012295586

An empirical study on using Hurst exponent estimation methods for pricing Call options by fractional Black-Scholes model

Kilianová, Soňa; Letko, Boris - In: Risk and decision analysis 7 (2018) 1/2, pp. 51-62

Persistent link: https://www.econbiz.de/10011945645

On estimation of hurst parameter under noisy observations

Liu, Guangying; Jing, Bingyi - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 3, pp. 483-492

Persistent link: https://www.econbiz.de/10012249184

Discrete fourier transforms of fractional processes with econometric applications

Phillips, Peter C. B. - 2021

Persistent link: https://www.econbiz.de/10012807741

Asymptotic properties of the least squares estimator in local to unity processes with fractional Gaussian noise

Wang, Xiaohu; Xiao, Weilin; Yu, Jun - In: Essays in honor of Joon Y. Park : econometric theory, (pp. 73-95). 2023

Persistent link: https://www.econbiz.de/10014313249

Consistent estimation for fractional stochastic volatility model under high-frequency asymptotics

Fukasawa, Masaaki; Takabatake, Tetsuya; Westphal, Rebecca - In: Mathematical finance : an international journal of … 32 (2022) 4, pp. 1086-1132

Persistent link: https://www.econbiz.de/10013463390

Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models

Marie, Nicolas - In: Finance and stochastics 27 (2023) 1, pp. 97-126

Persistent link: https://www.econbiz.de/10013489500

Finite sample comparison of alternative estimators for fractional Gaussian noise

Shi, Shuping; Yu, Jun; Zhang, Chen - 2022

Persistent link: https://www.econbiz.de/10013542219

Chapter 4 The new empirics of economic growth

Durlauf, Steven N.; Quah, Danny T. - In: Handbook of macroeconomics : volume 1, part A, (pp. 235-308). 1999

We provide an overview of recent empirical research on patterns of cross-country growth. The new empirical regularities considered differ from earlier ones, e.g., the well-known Kaldor stylized facts. The new research no longer makes production function accounting a central part of the analysis....

Persistent link: https://www.econbiz.de/10014024246