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Book Chapter

On the Size Distortion from Linearly Interpolating Low-frequency Series for Cointegration Tests

Series: Advances in Econometrics
Published: 21 November 2014
10.1108/S0731-905320140000033004
EISBN: 978-1-78441-182-4
ISBN: 978-1-78441-183-1
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Book Chapter

Mixed-Frequency Vector Autoregressive Models This views expressed herein are solely those of the authors and do not necessarily reflect the views of the Norges Bank. The usual disclaimers apply.

Series: Advances in Econometrics
Published: 18 December 2013
10.1108/S0731-9053(2013)0000031007
EISBN: 978-1-78190-753-5
ISBN: 978-1-78190-752-8
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Book Chapter

Sampling Frequency and Window Length Trade-offs in Data-Driven Volatility Estimation: Appraising the Accuracy of Asymptotic Approximations

Series: Advances in Econometrics
Published: 01 March 2006
10.1016/S0731-9053(05)20006-3
EISBN: 978-1-84950-389-1
ISBN: 978-0-76231-274-0
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