Journal
JOURNAL OF ECONOMETRICS
Volume 147, Issue 1, Pages 1-4Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2008.09.025
Keywords
Continuous-time model; Correlation test; Dynamic additive model; Estimation of realized volatility; Factor model; Long-range dependence
Categories
Funding
- Australian Research Council Discovery
Ask authors/readers for more resources
This paper gives an overview about the sixteen papers included in this special issue. The papers in this special issue cover a wide range of topics. Such topics include discussing a class of tests for correlation, estimation of realized volatility, modeling time Series and continuous-time models with long-range dependence, estimation and specification testing of time series models, estimation in a factor model with high-dimensional problems, finite-sample examination of quasi-maximum likelihood estimation in all autoregressive conditional duration model, and estimation in a dynamic additive quantile model. (C) 2008 Elsevier B.V. All rights reserved.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available