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An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator
Andrews, Donald W. K. - In: Econometrica : journal of the Econometric Society, an … 60 (1992) 4, pp. 953-966
Persistent link: https://www.econbiz.de/10001129056
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Approximately median-unbiased estimation of autoregressive models
Andrews, Donald W. K. - In: Journal of business & economic statistics : JBES ; a … 12 (1994) 2, pp. 187-204
Persistent link: https://www.econbiz.de/10001167115
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Exactly median-unbiased estimation of first order autoregressive unit root models
Andrews, Donald W. K. - In: Econometrica : journal of the Econometric Society, an … 61 (1993) 1, pp. 139-165
Persistent link: https://www.econbiz.de/10001139699
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Estimation of an asymmetric stochastic volatility model for asset returns
Harvey, Andrew C. - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 4, pp. 429-434
Persistent link: https://www.econbiz.de/10001209347