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Journal of econometrics
Discussion Paper / Tilburg University, Center for Economic Research
2,740
Discussion paper / Center for Economic Research, Tilburg University
17
Journal of Econometrics
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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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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2
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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3
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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4
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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5
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
Saved in:
6
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
Saved in:
7
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
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