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Bootstrap inference for Hawkes and general point processes
Cavaliere, Giuseppe; Lu, Ye; Rahbek, Anders; … - In: Journal of econometrics 235 (2023) 1, pp. 133-165
Persistent link: https://www.econbiz.de/10014434387
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Estimation of longrun variance of continuous time stochastic process using discrete sample
Lu, Ye; Park, Joon Y. - In: Journal of econometrics 210 (2019) 2, pp. 236-267
Persistent link: https://www.econbiz.de/10012303516
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Testing for stationarity at high frequency
Jiang, Bibo; Lu, Ye; Park, Joon Y. - In: Journal of econometrics 215 (2020) 2, pp. 341-374
Persistent link: https://www.econbiz.de/10012439463