Conditional Independence, Noncausality and International Market Links: A Realized Measure Approach
Lead Research Organisation:
Imperial College London
Department Name: Imperial College Business School
Abstract
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Organisations
Publications
Abadir K
(2007)
Nonstationarity-extended local Whittle estimation
in Journal of Econometrics
Abadir K
(2007)
Testing joint hypotheses when one of the alternatives is one-sided
in Journal of Econometrics
Abadir K
(2009)
Two estimators of the long-run variance: Beyond short memory
in Journal of Econometrics
Amaro De Matos J
(2007)
Testing the Markov property with high frequency data
in Journal of Econometrics
Awartani B
(2009)
Assessing Market Microstructure Effects via Realized Volatility Measures with an Application to the Dow Jones Industrial Average Stocks
in Journal of Business & Economic Statistics
Bhardwaj G
(2008)
A Simulation-Based Specification Test for Diffusion Processes
in Journal of Business & Economic Statistics
Corradi V
(2007)
Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data
in Journal of Econometrics
Corradi V
(2009)
Predictive density estimators for daily volatility based on the use of realized measures
in Journal of Econometrics
Corradi V
(2007)
NONPARAMETRIC BOOTSTRAP PROCEDURES FOR PREDICTIVE INFERENCE BASED ON RECURSIVE ESTIMATION SCHEMES*
in International Economic Review
Distaso W
(2008)
Testing for unit root processes in random coefficient autoregressive models
in Journal of Econometrics