Walter Distaso

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Cross-section without factors: a string model for expected returns Quantitative Finance	2024-08-26	Paper
Testing for jump spillovers without testing for jumps Journal of the American Statistical Association	2020-09-15	Paper
Balancing cryptoassets and gold: a weighted-risk-contribution index for the alternative asset space Mathematical Research for Blockchain Economy	2020-06-29	Paper
International market links and volatility transmission Journal of Econometrics	2017-05-12	Paper
An I(\(d\)) model with trend and cycles Journal of Econometrics	2016-08-12	Paper
Predictive density estimators for daily volatility based on the use of realized measures Journal of Econometrics	2016-07-04	Paper
Two estimators of the long-run variance: beyond short memory Journal of Econometrics	2016-07-04	Paper
Testing for unit root processes in random coefficient autoregressive models Journal of Econometrics	2016-06-03	Paper
Nonstationarity-extended local Whittle estimation Journal of Econometrics	2016-05-27	Paper
Asymptotic normality for weighted sums of linear processes Econometric Theory	2014-06-20	Paper
Design-free estimation of variance matrices Journal of Econometrics	2014-06-04	Paper
Testing joint hypotheses when one of the alternatives is one-sided Journal of Econometrics	2012-09-23	Paper
Predictive Inference for Integrated Volatility Journal of the American Statistical Association	2012-03-22	Paper
Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures Review of Economic Studies	2006-09-22	Paper

Research outcomes over time

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