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Understanding regressions with observations collected at high frequency over long span
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
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On the functional central limit theorem and the law of the iterated logarithm for Markov processes
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The information in the term structure
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Spurious regressions in econometrics
inferredcites →https://doi.org/10.1016/0304-4076(86)90001-1openalex-snapshot
Understanding spurious regressions in econometrics
inferredcites →https://doi.org/10.1016/j.jeconom.2004.08.012openalex-snapshot
Size and power of tests of stationarity in highly autocorrelated time series
inferredcites →https://doi.org/10.1016/j.jeconom.2013.10.001openalex-snapshot
Let’s fix it: Fixed- asymptotics versus small- asymptotics in heteroskedasticity and autocorrelation robust inference
inferredcites →https://doi.org/10.1016/j.jeconom.2015.02.048openalex-snapshot
A reexamination of stock return predictability
inferredcites →https://doi.org/10.1016/j.jeconom.2015.12.019openalex-snapshot
Asymptotics for recurrent diffusions with application to high frequency regression
inferredcites →https://doi.org/10.1016/j.jeconom.2018.04.006openalex-snapshot
Estimation of longrun variance of continuous time stochastic process using discrete sample
inferredcites →https://doi.org/10.1016/j.jeconom.2019.09.004openalex-snapshot
Testing for Stationarity at High Frequency
inferredcites →https://doi.org/10.1016/j.jfineco.2005.10.006openalex-snapshot
Maximum likelihood estimation of stochastic volatility models
inferredcites →https://doi.org/10.1016/j.jmoneco.2007.06.029openalex-snapshot
The U.S. Treasury yield curve: 1961 to the present
inferredcites →https://doi.org/10.1016/s0304-3932(03)00032-1openalex-snapshot
A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables
inferredcites →https://doi.org/10.1017/s0266466600004436openalex-snapshot
A Continuous Time Approximation to the Stationary First-Order Autoregressive Model
inferredcites →https://doi.org/10.1080/07350015.2014.931238openalex-snapshot
HAC Corrections for Strongly Autocorrelated Time Series
inferredcites →https://doi.org/10.1086/322834openalex-snapshot
Famous First Bubbles: The Fundamentals of Early Manias. By Peter M. Garber. Cambridge, Mass.: MIT Press, 2000. Pp. xi+163. $24.95 (cloth); $13.95 (paper).
inferredcites →https://doi.org/10.1093/rfs/6.2.327openalex-snapshot
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
inferredcites →https://doi.org/10.1111/jmcb.12469openalex-snapshot
Greenspan's Conundrum and the Fed's Ability to Affect Long‐Term Yields
inferredcites →https://doi.org/10.1137/1105022openalex-snapshot
A Central Limit Theorem for Additive Random Functions
inferredcites →https://doi.org/10.1257/aer.110.4.943openalex-snapshot
The New Tools of Monetary Policy
inferredcites →https://doi.org/10.2139/ssrn.1003033openalex-snapshot
The Bond Yield 'Conundrum' from a Macro-Finance Perspective
inferredcites →https://doi.org/10.2307/2297912openalex-snapshot
Automatic Lag Selection in Covariance Matrix Estimation
inferredcites →https://doi.org/10.2307/2298008openalex-snapshot
Yield Spreads and Interest Rate Movements: A Bird's Eye View
inferredcites →https://doi.org/10.2307/2938229openalex-snapshot
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
inferredcites →https://doi.org/10.2307/2938247openalex-snapshot
A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept
inferredcites →https://doi.org/10.3982/qe251openalex-snapshot
Evaluating factor pricing models using high-frequency panels
What points at this work
Incoming claims: where this work appears in other papers’ reference lists and arguments.
inferred← citeshttps://doi.org/10.2139/ssrn.4623989openalex-extracted
Statistical Properties of News Sentiment Inhibit Return Predictability
inferred← citeshttps://doi.org/10.1016/j.econmod.2022.105776openalex-snapshot
Modelling persistent stationary processes in continuous time
inferred← citeshttps://doi.org/10.1016/j.jeconom.2018.04.006openalex-snapshot
Estimation of longrun variance of continuous time stochastic process using discrete sample
inferred← citeshttps://doi.org/10.1016/j.jeconom.2019.09.004openalex-snapshot
Testing for Stationarity at High Frequency
inferred← citeshttps://doi.org/10.1016/j.jeconom.2022.10.007openalex-snapshot
Asymptotic F test in regressions with observations collected at high frequency over long span
inferred← citeshttps://doi.org/10.1016/j.jeconom.2024.105773openalex-snapshot
Some fixed- b results for regressions with high frequency data over long spans
inferred← citeshttps://doi.org/10.1214/26-ejs2581openalex-snapshot
Inference optimal long run variance estimation with lugsail kernels
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