T. Bollerslev, “Modeling the Coherence in Short-Term Nominal Exchange Rates...
T. Bollerslev, “Modeling the Coherence in Short-Term Nominal Exchange Rates: A Multivariate Generalized ARCH Approach,” Review of Economics and Statistics, 1990. Okay, I need to […]
1 total views, 1 today
R. Tsay, “Analysis of Financial Time Series,” John Wiley & Sons, New Je...
R. Tsay, “Analysis of Financial Time Series,” John Wiley & Sons, New Jersey, 2005. Okay, the user wants me to create a blog post with […]
1 total views, 1 today
T. Bollerslev, R. Engle and J. M. Wooldridge, “A Capital-Asset Pricing Mode...
T. Bollerslev, R. Engle and J. M. Wooldridge, “A Capital-Asset Pricing Model with Time-Varying Covariances,” Journal of political Economy, Vol. 96, No. 1, 1988, pp. […]
1 total views, 1 today
R. Engle, “Wald, Likelihood Ratio and Lagrange Multiplier Tests in Economet...
R. Engle, “Wald, Likelihood Ratio and Lagrange Multiplier Tests in Econometrics,” In: Z. Griliches and M. D. lntriligator, Eds., Handbook of Econometrics II, 1983, pp. […]
1 total views, 1 today
C. Gourieroux and J. Jasiak, “Financial Econometrics,” Princeton University...
C. Gourieroux and J. Jasiak, “Financial Econometrics,” Princeton University Press, Princeton and Oxford, 2001. None
2 total views, 2 today
R. F. Engle and C. W. J. Granger, “Cointegration and Error Correction: Repr...
R. F. Engle and C. W. J. Granger, “Cointegration and Error Correction: Representation, Estimation and Testing,” Econometrica, Vol. 55, No. 2, 1987, pp. 251-276. “Cointegration […]
1 total views, 1 today
R. Harris and R. Sollis, “Applied Time Series Modelling and Forecasting,” J...
R. Harris and R. Sollis, “Applied Time Series Modelling and Forecasting,” John Wiley, New York, 2003. None
2 total views, 2 today
H. Akaike, “Information Theory and an Extension of the Maximum Likelihood P...
H. Akaike, “Information Theory and an Extension of the Maximum Likelihood Principle,” In: B. N. Petrov and Csaki, Eds., 2nd International Symposium on Information Theory, […]
1 total views, 1 today
D. A. Dickey and W. A. Fuller, “Likelihood Ratio Statistics for Autoregress...
D. A. Dickey and W. A. Fuller, “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root,” Econometrica, Vol. 49, No. 4, 1981, pp. […]
2 total views, 2 today
D. A. Dickey and W. A. Fuller, “Distributions of the Estimators for Autoreg...
D. A. Dickey and W. A. Fuller, “Distributions of the Estimators for Autoregressive Time Series with a Unit Root,” Journal of American Statistical Association, Vol. […]
2 total views, 2 today
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