Financial Econometrics and Empirical Market Microstructure

Financial Econometrics and Empirical Market Microstructure | 2016

Representative edition for this work grouping in the active catalog.

Arch and bilinearity as competing models for nonlinear dependence

Arch and bilinearity as competing models for nonlinear dependence | 1993

Representative edition for this work grouping in the active catalog.

A large sample normality test

A large sample normality test | 1993

Representative edition for this work grouping in the active catalog.

Simple diagnostic tests for spatial dependence

Simple diagnostic tests for spatial dependence | 1993

Representative edition for this work grouping in the active catalog.

On some heteroskedasticity-robust estimators of variance-covariance matrix

On some heteroskedasticity-robust estimators of variance-covariance matrix | 1993

Representative edition for this work grouping in the active catalog.

Specification test for a linear regression model with arch process

Specification test for a linear regression model with arch process | 1993

Representative edition for this work grouping in the active catalog.

Estimation of time-varying hedge ratios for corn and soybeans

Estimation of time-varying hedge ratios for corn and soybeans | 1992

Representative edition for this work grouping in the active catalog.

Robust tests for heteroskedasticity and autocorrelation using score function

Robust tests for heteroskedasticity and autocorrelation using score function | 1992

Representative edition for this work grouping in the active catalog.

Specification testing with misspecified alternatives

Specification testing with misspecified alternatives | 1991

Representative edition for this work grouping in the active catalog.

Tests for general error specifications and non-nested models

Tests for general error specifications and non-nested models | 1991

Representative edition for this work grouping in the active catalog.

A test for conditional heteroskedasticity in time series models

A test for conditional heteroskedasticity in time series models | 1990

Representative edition for this work grouping in the active catalog.

Estimation of systematic risk using Bayesian analysis with hierarchical and non-normal priors

Estimation of systematic risk using Bayesian analysis with hierarchical and non-normal priors | 1989

Representative edition for this work grouping in the active catalog.

Joint tests of non-nested models and general error specifications

Joint tests of non-nested models and general error specifications | 1989

Representative edition for this work grouping in the active catalog.

Information matrix test, parameter heterogeneity and ARCH

Information matrix test, parameter heterogeneity and ARCH | 1989

Representative edition for this work grouping in the active catalog.

Interaction between autocorrelation and conditional heteroskedasticity

Interaction between autocorrelation and conditional heteroskedasticity | 1989

Representative edition for this work grouping in the active catalog.

Linearized estimation of nonlinear simultaneous equation systems

Linearized estimation of nonlinear simultaneous equation systems | 1989

Representative edition for this work grouping in the active catalog.

On the formulation of a general structure for conditional heteroskedasticity

On the formulation of a general structure for conditional heteroskedasticity | 1989

Representative edition for this work grouping in the active catalog.

Adoption of high yielding rice varieties in Bangladesh

Adoption of high yielding rice varieties in Bangladesh | 1988

Representative edition for this work grouping in the active catalog.

A note on the arch effects in hedge ratio estimation

A note on the arch effects in hedge ratio estimation | 1986

Representative edition for this work grouping in the active catalog.

Conditional and unconditional heteroscedasticity in the market model

Conditional and unconditional heteroscedasticity in the market model | 1986

Representative edition for this work grouping in the active catalog.

On exact and asymptotic tests of non-nested models

On exact and asymptotic tests of non-nested models | 1985

Representative edition for this work grouping in the active catalog.

Nested and non-nested procedures for testing linear and log-linear regression models

Nested and non-nested procedures for testing linear and log-linear regression models | 1985

Representative edition for this work grouping in the active catalog.

An adjustment procedure for predicting systematic risk

An adjustment procedure for predicting systematic risk | 1985

Representative edition for this work grouping in the active catalog.

Additivity and separability of the Lagrange multiplier, likelihood ratio and Wald tests

Additivity and separability of the Lagrange multiplier, likelihood ratio and Wald tests | 1985

Representative edition for this work grouping in the active catalog.