Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models
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- Grassi, Stefano & Santucci de Magistris, Paolo, 2015.
"It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model,"
Journal of Empirical Finance,
Elsevier, vol. 30(C), pages 62-78.
- Stefano Grassi & Paolo Santucci de Magistris, 2013. "It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model," CREATES Research Papers 2013-03, Department of Economics and Business Economics, Aarhus University.
- Stefano Grassi & Paolo Santucci de Magistris, 2013. "It's all about volatility of volatility: evidence from a two-factor stochastic volatility model," Studies in Economics 1404, School of Economics, University of Kent.
- Catherine Bruneau & Amine Lahiani, 2006.
"Estimation d'un modèle TIMA avec asymétrie contemporaine par inférence indirecte,"
Swiss Journal of Economics and Statistics (SJES),
Swiss Society of Economics and Statistics (SSES), vol. 142(IV), pages 479-500, December.
- Catherine Bruneau & Amine Lahiani, 2006. "Estimation d'un modèle TIMA avec asymétrie contemporaine par inférence indirecte," EconomiX Working Papers 2006-17, University of Paris Nanterre, EconomiX.
- Gonzalo, Jesus & Martinez, Oscar, 2006. "Large shocks vs. small shocks. (Or does size matter? May be so.)," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 311-347.
- Lahiani, A. & Scaillet, O., 2009.
"Testing for threshold effect in ARFIMA models: Application to US unemployment rate data,"
International Journal of Forecasting,
Elsevier, vol. 25(2), pages 418-428.
- Amine LAHIANI & Olivier SCAILLET, "undated". "Testing for threshold effect in ARFIMA models: Application to US unemployment rate data," Swiss Finance Institute Research Paper Series 08-42, Swiss Finance Institute.
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