Jiang, George J.; Knight, John L. ECF estimation of Markov models where the transition density is unknown. (English) Zbl 1230.62107 Econom. J. 13, No. 2, 245-270 (2010). MSC: 62M05 62G05 62G07 65C60 PDFBibTeX XMLCite \textit{G. J. Jiang} and \textit{J. L. Knight}, Econom. J. 13, No. 2, 245--270 (2010; Zbl 1230.62107) Full Text: DOI
Hafner, Christian M. Causality and forecasting in temporally aggregated multivariate GARCH processes. (English) Zbl 1190.62170 Econom. J. 12, No. 1, 127-146 (2009). MSC: 62M20 62M10 62P05 PDFBibTeX XMLCite \textit{C. M. Hafner}, Econom. J. 12, No. 1, 127--146 (2009; Zbl 1190.62170) Full Text: DOI
Li, Qiaoling; Pan, Jiazhu Determining the number of factors in a multivariate error correction-volatility factor model. (English) Zbl 1190.62159 Econom. J. 12, No. 1, 45-61 (2009). MSC: 62M10 65C05 62P05 91G70 PDFBibTeX XMLCite \textit{Q. Li} and \textit{J. Pan}, Econom. J. 12, No. 1, 45--61 (2009; Zbl 1190.62159) Full Text: DOI
Barndorff-Nielsen, O. E.; Hansen, P. Reinhard; Lunde, A.; Shephard, N. Realized kernels in practise : trades and quotes. (English) Zbl 1179.91259 Econom. J. 12, No. 3, C1-C32 (2009). MSC: 91G70 91B84 PDFBibTeX XMLCite \textit{O. E. Barndorff-Nielsen} et al., Econom. J. 12, No. 3, C1--C32 (2009; Zbl 1179.91259) Full Text: DOI
Pong, Shiuyan; Shackleton, Mark B.; Taylor, Stephen J. Distinguishing short and long memory volatility specifications. (English) Zbl 1153.91556 Econom. J. 11, No. 3, 617-637 (2008). MSC: 91B28 91B82 PDFBibTeX XMLCite \textit{S. Pong} et al., Econom. J. 11, No. 3, 617--637 (2008; Zbl 1153.91556) Full Text: DOI
Knight, John; Ning, Cathy Q. Estimation of the stochastic conditional duration model via alternative methods. (English) Zbl 1154.62026 Econom. J. 11, No. 3, 593-616 (2008). MSC: 62G05 62P05 65C05 PDFBibTeX XMLCite \textit{J. Knight} and \textit{C. Q. Ning}, Econom. J. 11, No. 3, 593--616 (2008; Zbl 1154.62026) Full Text: DOI
Takada, Teruko Asymptotic and qualitative performance of non-parametric density estimators: a comparative study. (English) Zbl 1274.62273 Econom. J. 11, No. 3, 573-592 (2008). MSC: 62G07 62G20 PDFBibTeX XMLCite \textit{T. Takada}, Econom. J. 11, No. 3, 573--592 (2008; Zbl 1274.62273) Full Text: DOI
Meddahi, Nour ARMA representation of integrated and realized variances. (English) Zbl 1036.62085 Econom. J. 6, No. 2, 335-356 (2003). MSC: 62M10 PDFBibTeX XMLCite \textit{N. Meddahi}, Econom. J. 6, No. 2, 335--356 (2003; Zbl 1036.62085) Full Text: DOI