Narrow search
Showing 1 - 10 of 10
Cover Image
Nonlinearity induced weak instrumentation
Kasparis, Ioannis; Phillips, Peter C. B.; Magdalinos, Tassos - In: Econometric reviews 33 (2014) 5/6, pp. 676-712
Persistent link: https://www.econbiz.de/10010363893
Cover Image
Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
Aït-Sahalia, Yacine; Park, Joon Y. - In: Journal of econometrics 192 (2016) 1, pp. 119-138
Persistent link: https://www.econbiz.de/10011616006
Cover Image
Nonparametric estimation of jump diffusion models
Park, Joon Y.; Wang, Bin - In: Journal of econometrics 222 (2021) 1,3, pp. 688-715
Persistent link: https://www.econbiz.de/10012619778
Cover Image
Jointly estimating jump beats
Polimenis, Vassilis; Papantonis, Ioannis - In: Journal of risk finance : the convergence of financial … 15 (2014) 2, pp. 131-148
Persistent link: https://www.econbiz.de/10010337468
Cover Image
Simulation of tempered stable Lévy bridges and its applications
Kim, Kyoung-Kuk; Kim, Sojung - In: Operations research 64 (2016) 2, pp. 495-509
Persistent link: https://www.econbiz.de/10011485601
Cover Image
The estimation for Lévy processes in high frequency data
Zheng, Jing; Gu, Wentao; Xu, Baolin; Cai, Zongwu - In: Econometric reviews 37 (2018) 6/10, pp. 1051-1066
Persistent link: https://www.econbiz.de/10012040536
Cover Image
Nonparametric analysis of a duration model with stochastic unobserved heterogeneity
Botosaru, Irene - In: Journal of econometrics 217 (2020) 1, pp. 112-139
Persistent link: https://www.econbiz.de/10012482741
Cover Image
Random matrix models for datasets with fixed time horizons
Zitelli, G. L. - In: Quantitative finance 20 (2020) 5, pp. 769-781
Persistent link: https://www.econbiz.de/10012262618
Cover Image
Expansion and estimation of Lévy process functionals in nonlinear and nonstationary time series regression
Dong, Chaohua; Gao, Jiti - In: Econometric reviews 38 (2019) 2, pp. 125-150
Persistent link: https://www.econbiz.de/10012180710
Cover Image
Likelihood inference for a COGARCH process using sequential Monte Carlo
Wee, Damien C.H.; Chen, Feng; Dunsmuir, William T.M. - In: Journal of financial econometrics 17 (2019) 2, pp. 229-253
Persistent link: https://www.econbiz.de/10012054439