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ETF Basket-Adjusted Covariance estimation
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Nearest comoment estimation with unobserved factors
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Flexible multivariate Hill estimators
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Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
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Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
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One-step R-estimation in linear models with stable errors
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The method of simulated quantiles
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Market liquidity as dynamic factors
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Estimation of stable distributions by indirect inference
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The stochastic conditional duration model : a latent variable model for the analysis of financial durations