C51 - Model Construction and Estimation

Citations 1-10 of 34 total displayed.

Most recent content (1 Apr 2008):

Articles
Time-Varying Arrival Rates of Informed and Uninformed Trades

David Easley, Robert F. Engle, Maureen O'Hara, and Liuren Wu
J. Financial Econometrics 2008; 6: 171-207. [Abstract] [Full text] [PDF]  

Past content (since Mar 2003):

Articles
Nonparametric Estimation of Expected Shortfall

Song Xi Chen
J. Financial Econometrics 2008; 6: 87-107. [Abstract] [Full text] [PDF]  

Articles
Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations

A. S. Hurn, J. I. Jeisman, and K. A. Lindsay
J. Financial Econometrics 2007; 5: 390-455. [Abstract] [Full text] [PDF]  

Articles
Estimating Cointegrated Panels with Common Factors and the Forward Rate Unbiasedness Hypothesis

Joakim Westerlund
J. Financial Econometrics 2007; 5: 491-522. [Abstract] [Full text] [PDF]  

Articles
Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data

George J. Jiang and Roel C. A. Oomen
J. Financial Econometrics 2007; 5: 1-30. [Abstract] [Full text] [PDF]  

Articles
Integrated Covariance Estimation using High-frequency Data in the Presence of Noise

Valeri Voev and Asger Lunde
J. Financial Econometrics 2007; 5: 68-104. [Abstract] [Full text] [PDF]  

Articles
Switching VARMA Term Structure Models

Alain Monfort and Fulvio Pegoraro
J. Financial Econometrics 2007; 5: 105-153. [Abstract] [Full text] [PDF]  

Articles
Dynamic Asymmetric GARCH

Massimiliano Caporin and Michael McAleer
J. Financial Econometrics 2006; 4: 385-412. [Abstract] [Full text] [PDF]  

Articles
Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation

Ole E. Barndorff-Nielsen and Neil Shephard
J. Financial Econometrics 2006; 4: 1-30. [Abstract] [Full text] [PDF]  

Articles
A Classification of Two-Factor Affine Diffusion Term Structure Models

Christian Gourieroux and Razvan Sufana
J. Financial Econometrics 2006; 4: 31-52. [Abstract] [Full text] [PDF]  

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