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Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 1, pp. 173-195

Persistent link: https://www.econbiz.de/10011738476

Data-driven jump detection thresholds for application in jump regressions

Davies, Robert; Tauchen, George Eugene - 2015

This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of sampling frequencies a researcher is most...

Persistent link: https://www.econbiz.de/10011524214

Data-driven jump detection thresholds for application in jump regressions

Davies, Robert; Tauchen, George Eugene - In: Econometrics : open access journal 6 (2018) 2, pp. 1-25

Persistent link: https://www.econbiz.de/10011823308

Estimation and inference in predictive regressions

Kurozumi, Eiji; Aono, Kohei - In: Hitotsubashi journal of economics 54 (2013) 2, pp. 231-250

Persistent link: https://www.econbiz.de/10010343650

Mixed-scale jump regressions with bootstrap inference

Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Chen, Rui - In: Journal of econometrics 201 (2017) 2, pp. 417-432

Persistent link: https://www.econbiz.de/10011920538

Exploring relationship between the stock price of Taiwan and the exchange rate : an autoregressive distributed lag model with a quantile regression

Hsu, Tzu-Kuang - In: International journal of economics and finance 8 (2016) 1, pp. 72-78

Persistent link: https://www.econbiz.de/10011427778

Predicting stock return volatility : can we benefit from regression models for return intervals?

Fischer, Henning; Blanco-Fernández, Ángela; Winker, Peter - In: Journal of forecasting 35 (2016) 2, pp. 113-146

Persistent link: https://www.econbiz.de/10011580244

Functional ARCH directional dependence via copula for intraday volatility from high-frequency financial time series

Kim, Jong-Min; Hwang, Sun Young - In: Applied economics 53 (2021) 4, pp. 506-520

Persistent link: https://www.econbiz.de/10012416072

Generalized jump regressions for local moments

Bollerslev, Tim; Li, Jia; Chaves, Leonardo Salim Saker - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 1015-1025

Persistent link: https://www.econbiz.de/10012653221

Realized regression with asynchronous and noisy high frequency and high dimensional data

Chen, Dachuan; Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 239 (2024) 2, pp. 1-20

Persistent link: https://www.econbiz.de/10015074483