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Frequency domain principal components estimation of fractionally cointegrated processes
Morana, Claudio, (2004)
Power properties of linearity tests for time series
Teräsvirta, Timo, (1990)
Modelling economic high-frequency time series with STAR-STGARCH models
Lundbergh, Stefan, (1998)
An empirical evaluation of large dynamic covariance models in portfolio value-at-risk estimation
Law, Keith K. F., (2020)
The lead lag relationship of money, income, and prices in Malaysia
Lee, Sheng-yi, (1985)
An alternative nonparametric tail risk measure
Law, Keith K. F., (2021)