Search results
Results: 139
Number of items: 139
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Boswijk, H. P., Laeven, R. J. A., & Vladimirov, E. (2024). Estimating option pricing models using a characteristic function-based linear state space representation. Journal of Econometrics, 244(1), Article 105864. https://doi.org/10.1016/j.jeconom.2024.105864 -
Boswijk, H. P., Cavaliere, G., De Angelis, L., & Taylor, A. M. R. (2023). Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models. Econometric Reviews, 42(9-10), 725-757. https://doi.org/10.1080/07474938.2023.2222633
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Boswijk, H. P., & Zu, Y. (2022). Adaptive Testing for Cointegration With Nonstationary Volatility. Journal of Business & Economic Statistics, 40(2), 744-755. https://doi.org/10.1080/07350015.2020.1867558
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Boswijk, H. P., & Zu, Y. (2021). Adaptive Testing for Cointegration With Nonstationary Volatility [Data set]. figshare Academic Research System. https://doi.org/10.6084/m9.figshare.13611039.v2
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Boswijk, H. P., & Zu, Y. (2021). Adaptive Testing for Cointegration with Nonstationary Volatility [Data set]. Taylor & Francis. https://doi.org/10.6084/m9.figshare.13611039.v1
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Boswijk, H. P., & Zu, Y. (2021). Adaptive Testing for Cointegration With Nonstationary Volatility [Data set]. Taylor & Francis. https://doi.org/10.6084/m9.figshare.13611039
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Boswijk, H. P., Cavaliere, G., Georgiev, I., & Rahbek, A. (2021). Bootstrapping non-stationary stochastic volatility. Journal of Econometrics, 224(1), 161-180. https://doi.org/10.1016/j.jeconom.2021.01.005
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Boswijk, H. P., & Zu, Y. (2019). Adaptive Testing for Cointegration with Nonstationary Volatility. (Tinbergen Institute Discussion Paper; No. TI 2019-043/III). Tinbergen Institute. https://www.tinbergen.nl/discussion-paper/5857/19-043-iii-adaptive-testing-for-cointegration-with-nonstationary-volatility
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