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Closing the GARCH gap: Continuous time GARCH modeling
Drost, Feike C.; Werker, Bas J.M. - In: Journal of econometrics 74 (1996) 1, pp. 31-58
Persistent link: https://www.econbiz.de/10006796324
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Causality effects in return volatility measures with random times
Renault, Eric; Werker, Bas J.M. - In: Journal of econometrics 160 (2011) 1, pp. 272-280
Persistent link: https://www.econbiz.de/10008770538
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A class of simple distribution-free rank-based unit root tests
Hallin, Marc; van den Akker, Ramon; Werker, Bas J.M. - In: Journal of econometrics 163 (2011) 2, pp. 200-215
Persistent link: https://www.econbiz.de/10009163368
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Efficient estimation in semiparametric GARCH models
Drost, Feike C. - In: Journal of econometrics 81 (1997) 1, pp. 193-221
Persistent link: https://www.econbiz.de/10001336797
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Efficiency comparisons of maximum-likelihood-based estimators in GARCH models
González-Rivera, Gloria; Drost, Feike C. - In: Journal of econometrics 93 (1999) 1, pp. 93-111
Persistent link: https://www.econbiz.de/10001406643
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Closing the GARCH gap : continuous time GARCH modeling
Drost, Feike C.; Werker, Bas J. M. - In: Journal of econometrics 74 (1996) 1, pp. 31-57
Persistent link: https://www.econbiz.de/10001755360
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Efficient estimation in semi-parametric GARCH models
Drost, Feike C.; Klaassen, Chris A.J. - In: Journal of econometrics 81 (1997) 1, pp. 193-222
Persistent link: https://www.econbiz.de/10006791205