Sandmann, G. and Koopman, S.J. (1998). Estimation of stochastic volatility models via Monte Carlo maximum likelihood Journal of Econometrics, 87(2):271--301.
5 Key Publications
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Franses, P.H.B.F. and Vogelsang, T.J. (1998). On seasonal cycles, unit roots, and mean shifts Review of Economics and Statistics, :231--240. -
Franses, P.H.B.F. and Lucas, A. (1998). Outlier detection in cointegration analysis Journal of Business and Economic Statistics, 16(4):459--468. -
Lumsdaine, R.L., Jones, C.M. and Lamont, O. (1998). Macroeconomic news and bond market volatility Journal of Financial Economics, 47(3):315--337. -
Lumsdaine, R.L. and Bai, J. (1998). Testing for and dating common breaks in multivariate time series Review of Economic Studies, 65(3):395--432.