Similar Search Results - EconBiz

Measuring nonlinear Granger causality in mean

Song, Xiaojun; Taamouti, Abderrahim - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 321-333

Persistent link: https://www.econbiz.de/10011895015

Nonparametric estimation and forecasting for time-varying coefficient realized volatility models

Chen, Xiangjin B.; Gao, Jiti; Li, Degui; Silvapulle, … - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 88-100

Persistent link: https://www.econbiz.de/10011894402

Jump variation estimation with noisy high frequency financial data via wavelets

Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence … of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component … of volatility in finance for portfolio allocation, derivative pricing and risk management. The method has a two …

Persistent link: https://www.econbiz.de/10011568279

Semiparametric diffusion estimation and application to a stock market index

Härdle, Wolfgang (contributor) - 2001

Persistent link: https://www.econbiz.de/10001595495

Semiparametric diffusion estimation and application to a stock market model

Härdle, Wolfgang (contributor) - 2001

Persistent link: https://www.econbiz.de/10001619299

Joint dynamics of stock returns and cash flows : a time-varying present-value framework

Yu, Deshui; Yan, Yayi - In: Financial management : FM 52 (2023) 3, pp. 513-541

Persistent link: https://www.econbiz.de/10014375505

Semiparametric diffusion estimation and application to a stock market index

Härdle, Wolfgang; Kleinow, Torsten; Korostelev, … - 2001

bootstrap resampling technique. The method is illustrated on S&P 500 index data. -- Identification, Bootstrap, Diffusion …

Persistent link: https://www.econbiz.de/10009613611

Estimating spot volatility under infinite variation jumps with dependent market microstructure noise

Liu, Qiang; Liu, Zhi - In: The econometrics journal 27 (2024) 2, pp. 278-298

Persistent link: https://www.econbiz.de/10015046377

Adaptive testing for cointegration with nonstationary volatility

Boswijk, Herman Peter; Zu, Yang - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 744-755

Persistent link: https://www.econbiz.de/10013534484

Nonparametric estimation and inference for conditional density based Granger causality measures

Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar - In: Journal of econometrics 180 (2014) 2, pp. 251-264

Persistent link: https://www.econbiz.de/10010433362

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