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.
6 Key Publications
filtered by:
-
-
Hoek, H., Lucas, A.(. and van Dijk, H. (1995). Classical and Bayesian aspects of robust unit root inference Journal of Econometrics, 69:27--59. -
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.