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On the network topology of variance decompositions : measuring the connectedness of financial firms
Diebold, Francis X.; Yılmaz, Kamil - In: Journal of econometrics 182 (2014) 1, pp. 119-134
Persistent link: https://www.econbiz.de/10010497110
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TENET : Tail-Event driven NETwork risk
Härdle, Wolfgang; Wang, Weining; Yu, Lining - In: Journal of econometrics 192 (2016) 2, pp. 499-513
Persistent link: https://www.econbiz.de/10011704738
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Dynamic semiparametric models for expected shortfall (and Value-at-Risk)
Patton, Andrew J.; Ziegel, Johanna F.; Chen, Rui - In: Journal of econometrics 211 (2019) 2, pp. 388-413
Persistent link: https://www.econbiz.de/10012303806
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On theory testing in econometrics : modeling with nonexperimental data
Spanos, Aris - In: Journal of econometrics 67 (1995) 1, pp. 189-226
Persistent link: https://www.econbiz.de/10001333011
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Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - In: Journal of econometrics 187 (2015) 2, pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
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Efficiency of thin and thick markets
Gan, Li; Li, Qi - In: Journal of econometrics 192 (2016) 1, pp. 40-54
Persistent link: https://www.econbiz.de/10011610655
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Mixture of distribution hypothesis : analyzing daily liquidity frictions and information flows
Darolles, Serge; LeFol, Gaëlle; Mero, Gulten - In: Journal of econometrics 201 (2017) 2, pp. 367-383
Persistent link: https://www.econbiz.de/10011920520
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Modeling the interdependence of volatility and inter-transaction duration processes
Grammig, Joachim; Wellner, Marc - In: Journal of econometrics 106 (2002) 2, pp. 369-400
Persistent link: https://www.econbiz.de/10001638904
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Dangers of data mining : the case of calendar effects in stock returns
Sullivan, Ryan; Timmermann, Allan; White, Halbert - In: Journal of econometrics 105 (2001) 1, pp. 249-286
Persistent link: https://www.econbiz.de/10001617167
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Market efficiency, asset returns, and the size of the risk premium in global equity markets
Bansal, Ravi; Lundblad, Christian - In: Journal of econometrics 109 (2002) 2, pp. 195-237
Persistent link: https://www.econbiz.de/10001689009