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Parametric inference and dynamic state recovery from option panels
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Econometrica : journal of the Econometric Society, an … 83 (2015) 3, pp. 1081-1145
Persistent link: https://www.econbiz.de/10011378591
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Unified inference for nonlinear factor models from panels with fixed and large time span
Andersen, Torben; Fusari, Nicola; Todorov, Viktor; … - In: Journal of econometrics 212 (2019) 1, pp. 4-25
Persistent link: https://www.econbiz.de/10012303860
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The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
Mykland, Per A.; Zhang, Lan; Chen, Dachuan - In: Journal of econometrics 208 (2019) 1, pp. 101-119
Persistent link: https://www.econbiz.de/10012139798
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Intraday cross-sectional distributions of systematic risk
Andersen, Torben; Riva, Raul; Thyrsgaard, Martin; … - In: Journal of econometrics 235 (2023) 2, pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
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Capturing non-exchangeable dependence in multivariate loss processes with nested Archimedean Lévy copulas
Avanzi, Benjamin; Tao, Jamie; Wong, Bernard; Yang, Xinda - In: Annals of actuarial science : publ. by the Institute of … 10 (2016) 1, pp. 87-117
Persistent link: https://www.econbiz.de/10011554307
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Stochastic equicontinuity in nonlinear time series models
Hagemann, Andreas - In: The econometrics journal 17 (2014) 1, pp. 188-196
Persistent link: https://www.econbiz.de/10010498747
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Testing stochastic dominance with many conditioning variables
Linton, Oliver; Seo, Myung Hwan; Whang, Yoon-jae - 2020
Persistent link: https://www.econbiz.de/10012793096