Semiparametric Efficiency Bound In Time-Series Models For Conditional Quantiles
Download full text from publisher
References listed on IDEAS
- Fabienne Comte & Eric Renault, 1998.
"Long memory in continuous-time stochastic volatility models,"
Wiley Blackwell, vol. 8(4), pages 291-323.
- Comte, F. & Renault, E., 1996. "Long Memory in Continuous Time Stochastic Volatility Models," Papers 96.406, Toulouse - GREMAQ.
- Barndorff-Nielsen, Ole E. & Graversen, Svend Erik & Jacod, Jean & Shephard, Neil, 2006.
"Limit Theorems For Bipower Variation In Financial Econometrics,"
Cambridge University Press, vol. 22(04), pages 677-719, August.
- Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard, 2005. "Limit theorems for bipower variation in financial econometrics," Economics Papers 2005-W06, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard, 2005. "Limit theorems for bipower variation in financial econometrics," OFRC Working Papers Series 2005fe09, Oxford Financial Research Centre.
- Posch, Olaf, 2011.
"Explaining output volatility: The case of taxation,"
Journal of Public Economics,
Elsevier, vol. 95(11), pages 1589-1606.
- Olaf Posch, 2006. "Explaining Output Volatility: the Case of Taxation," Quantitative Macroeconomics Working Papers 20608, Hamburg University, Department of Economics.
- Olaf Posch, 2009. "Explaining Output Volatility: The Case of Taxation," CESifo Working Paper Series 2751, CESifo Group Munich.
- Olaf Posch, 2008. "Explaining output volatility: The case of taxation," CREATES Research Papers 2008-04, Department of Economics and Business Economics, Aarhus University.
- Barndorff-Nielsen, Ole Eiler & Graversen, Svend Erik & Jacod, Jean & Podolskij, Mark, 2004.
"A central limit theorem for realised power and bipower variations of continuous semimartingales,"
2004,51, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Ole Barndorff-Nielsen & Svend Erik Graversen & Jean Jacod & Mark Podolskij & Neil Shephard, 2004. "A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales," Economics Papers 2004-W29, Economics Group, Nuffield College, University of Oxford.
- Ole BARNDORFF-NIELSEN & Svend Erik GRAVERSEN & Jean JACOD & Mark PODOLSKIJ & Neil SHEPHARD, 2004. "A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales," OFRC Working Papers Series 2004fe21, Oxford Financial Research Centre.
- Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Ebens, Heiko, 2001. "The distribution of realized stock return volatility," Journal of Financial Economics, Elsevier, vol. 61(1), pages 43-76, July.
- Xin Huang & George Tauchen, 2005. "The Relative Contribution of Jumps to Total Price Variance," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(4), pages 456-499.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Antonio Galvao & Kengo Kato & Gabriel Montes-Rojas & Jose Olmo, 2014. "Testing linearity against threshold effects: uniform inference in quantile regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 66(2), pages 413-439, April.
- Komunjer, Ivana, 2013. "Quantile Prediction," Handbook of Economic Forecasting, Elsevier.
- Komunjer, Ivana & Ragusa, Giuseppe, 2009. "Existence and Uniqueness of Semiparametric Projections," University of California at San Diego, Economics Working Paper Series qt0wg3j51c, Department of Economics, UC San Diego.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:26:y:2010:i:02:p:383-405_10. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters). General contact details of provider: http://journals.cambridge.org/jid_ECT .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.