Lumsdaine, R. (1995). Finite sample properties of the maximum likelihood Estimator in GARCH (1,1) and IGARCH (1,1) models: A Monte Carlo investigation Journal of Business and Economic Statistics, 13:1--10.
5 Key Publications
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Lucas, A. (1995). An outlier robust unit root test with an application to the extended Nelson-Plosser data Journal of Econometrics, 66(1-2):153--173. -
Boswijk, H. (1995). Conditional and structural error correction models: Reply Journal of Econometrics, 69(1):173--175. -
Boswijk, H. (1995). Efficient inference on cointegration parameters in structural error correction models Journal of Econometrics, 69(1):133--158. -
Franses, P.H. and Boswijk, H. (1995). Periodic cointegration: representation and inference Review of Economics and Statistics, LXXVII(3):436--454.