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- Cited by 28
ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS
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- 08 December 2016, pp. 1457-1501
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TESTING FOR SERIAL CORRELATION OF UNKNOWN FORM USING WAVELET METHODS
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- 03 March 2001, pp. 386-423
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An Approximation to the Null Distribution of the Durbin-Watson Statistic in Models Containing Lagged Dependent Variables
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- 18 October 2010, pp. 413-428
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ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE
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- 16 January 2013, pp. 771-807
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Semiparametric Generalized Least Squares in the Multivariate Nonlinear Regression Model
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- 18 October 2010, pp. 203-222
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ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
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- 08 April 2015, pp. 533-611
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ASYMPTOTIC THEORY FOR EMPIRICAL SIMILARITY MODELS
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- 04 November 2009, pp. 1032-1059
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UNIT ROOT TESTING FOR FUNCTIONALS OF LINEAR PROCESSES
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- 12 December 2005, pp. 1-14
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Gaussian Estimation of Mixed-Order Continuous-Time Dynamic Models with Unobservable Stochastic Trends from Mixed Stock and Flow Data
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- 11 February 2009, pp. 467-505
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A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY
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- 20 August 2013, pp. 3-59
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THE ERROR TERM IN THE HISTORY OF TIME SERIES ECONOMETRICS
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- 03 March 2001, pp. 424-450
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ESTIMATION RISK IN GARCH VaR AND ES ESTIMATES
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- 23 June 2008, pp. 1404-1424
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IDENTIFICATION IN TRIANGULAR SYSTEMS USING CONTROL FUNCTIONS
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- 24 September 2010, pp. 663-671
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ASYMPTOTIC INFERENCE FOR AR MODELS WITH HEAVY-TAILED G-GARCH NOISES
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- 03 November 2014, pp. 880-890
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ASYMPTOTICS FOR GARCH SQUARED RESIDUAL CORRELATIONS
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- 06 June 2003, pp. 515-540
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A General Framework for Testing a Null Hypothesis in a “Mixed” Form
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- 18 October 2010, pp. 63-82
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A SPECTRAL METHOD FOR DECONVOLVING A DENSITY
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- 11 October 2010, pp. 546-581
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Noncausality in Continuous Time Models
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- 11 February 2009, pp. 215-256
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INSTRUMENTAL VARIABLES ESTIMATION WITH PANEL DATA
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- 19 July 2005, pp. 865-869
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COMMENTS ON NEUBERG'S REVIEW OF CAUSALITY
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- 06 June 2003, pp. 686-689
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