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Testing for ARCH in the presence of a possibly misspecified conditional mean
Lumsdaine, Robin L.; Ng, Serena - In: Journal of econometrics 93 (1999) 2, pp. 257-279
Persistent link: https://www.econbiz.de/10001406657
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Estimation and inference in nearly unbalanced nearly cointegrated systems
Ng, Serena - In: Journal of econometrics 79 (1997) 1, pp. 53-81
Persistent link: https://www.econbiz.de/10001220088
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A MIDAS approach to modeling first and second moment dynamics
Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen I. - In: Journal of econometrics 193 (2016) 2, pp. 315-334
Persistent link: https://www.econbiz.de/10011704952
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A consistent test for conditional symmetry in time series models
Bai, Jushan; Ng, Serena - In: Journal of econometrics 103 (2001) 1/2, pp. 225-258
Persistent link: https://www.econbiz.de/10001585362
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Business cycle asymmetries in stock returns : evidence from higher order moments and conditional densities
Pérez-Quirós, Gabriel; Timmermann, Allan - In: Journal of econometrics 103 (2001) 1/2, pp. 259-306
Persistent link: https://www.econbiz.de/10001585367
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Moments of Markov switching models
Timmermann, Allan - In: Journal of econometrics 96 (2000) 1, pp. 75-111
Persistent link: https://www.econbiz.de/10001466745
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Estimating the rational expectations model of speculative storage : a Monte Carlo comparison of three simulation estimators
Michaelides, Alexander G.; Ng, Serena - In: Journal of econometrics 96 (2000) 2, pp. 231-266
Persistent link: https://www.econbiz.de/10001468767
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Optimal forecast combinations under general loss functions and forecast error distributions
Elliott, Graham; Timmermann, Allan - In: Journal of econometrics 122 (2004) 1, pp. 47-79
Persistent link: https://www.econbiz.de/10002136491
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Principal components estimation and identification of static factors
Bai, Jushan; Ng, Serena - In: Journal of econometrics 176 (2013) 1, pp. 18-29
Persistent link: https://www.econbiz.de/10009764410
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Complete subset regressions
Elliott, Graham; Gargano, Antonio; Timmermann, Allan - In: Journal of econometrics 177 (2013) 2, pp. 357-373
Persistent link: https://www.econbiz.de/10010255136