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Asymptotic inference about predictive accuracy using high frequency data

Li, Jia; Patton, Andrew J. - In: Journal of econometrics 203 (2018) 2, pp. 223-240

Persistent link: https://www.econbiz.de/10011974659

A recovery that we can trust? : deducing and testing the restrictions of the recovery theorem

Bakshi, Gurdip S.; Chabi-Yo, Fousseni; Gao, Xiaohui - In: The review of financial studies 31 (2018) 2, pp. 532-555

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About stochastic calculus in presence of jumps at predictable stopping times

Galtchouk, Leonid - In: Journal of mathematical finance 6 (2016) 3, pp. 443-456

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Low frequency and weighted likelihood solutions for mixed frequency dynamic factor models

Blasques, Francisco; Koopman, Siem Jan; Mallee, Max I. P. - 2014

The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...

Persistent link: https://www.econbiz.de/10010391543