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DateTitle Authors
2008 Likelihood Functions for State Space Models with Diffuse Initial ConditionsFrancke, Marc K. / Koopman, Siem Jan / de Vos, Aart
2011 Relating Stochastic Volatility Estimation MethodsBos, Charles S.
2004 Efficient importance sampling maximum likelihood estimation of stochastic differential equationsPastorello, Sergio / Rossi, Eduardo
1999 The recursive thick frontier approach to estimating efficiencyWagenvoort, Rien / Schure, Paul
2008 Long memory and tail dependence in trading volume and volatilityRossi, Eduardo / Santucci de Magistris, Paolo / Fantazzini, Dean
2006 Time dependent relative risk aversionGiacomini, Enzo / Handel, Michael / Härdle, Wolfgang Karl
2008 Spline Smoothing over Difficult RegionsKoopman, Siem Jan / Wong, Soon Yip
2009 The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data ModelsBun, Maurice J.G. / Windmeijer, Frank
2010 Flexible and robust modelling of volatility comovements: a comparison of two multifractal modelsLiu, Ruipeng / Lux, Thomas
2010 GMM estimation of Multifractal Random Walks using an efficient algorithm for HAC covariance matrix estimationSattarhoff, Cristina

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