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On jumps and ARCH effects in natural resource prices : an application to Pacific Northwest stumpage prices
Saphores, Jean-Daniel M.; Khalaf, Lynda; Pelletier, Denis - In: American journal of agricultural economics 84 (2002) 2, pp. 387-400
Persistent link: https://www.econbiz.de/10001683998
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On jumps and ARCH effects in natural resource prices : an application to stumpage prices from Pacific Northwest national forests
Saphores, Jean-Daniel M.; Khalaf, Lynda; Pelletier, Denis - 2000
Persistent link: https://www.econbiz.de/10001470050
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Simulation-based exact jump tests in models with conditional heteroskedasticity
Khalaf, Lynda; Saphores, Jean-Daniel M.; Bilodeau, … - In: Journal of economic dynamics & control 28 (2003) 3, pp. 531-553
Persistent link: https://www.econbiz.de/10001853762
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Backtesting value-at-risk : a duration-based approach
Christoffersen, Peter F.; Pelletier, Denis - In: Journal of financial econometrics : official journal of … 2 (2004) 1, pp. 84-108
Persistent link: https://www.econbiz.de/10002214210
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Local-linear estimation of time-varying-parameter garch models and associated risk measures
Inoue, Atsushi; Lu, Jin; Pelletier, Denis - In: Journal of financial econometrics 19 (2021) 1, pp. 202-234
Persistent link: https://www.econbiz.de/10012504329
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Finite-sample diagnostics for multivariate regressions with applications to linear asset pricing models
Dufour, Jean-Marie (contributor); Khalaf, Lynda (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001947817
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Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
Dufour, Jean-Marie; Khalaf, Lynda; Bernard, Jean-Thomas; … - In: Journal of econometrics 122 (2004) 2, pp. 317-347
Persistent link: https://www.econbiz.de/10002173151
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Forecasting commodity prices : GARCH, jumps, and mean reversion
Bernard, Jean-Thomas; Khalaf, Lynda; Kichian, Maral; … - In: Journal of forecasting 27 (2008) 4, pp. 279-291
Persistent link: https://www.econbiz.de/10003826728
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Multivariate residual-based finite-sample tests for serial depenedence and ARCH effects with applications to asset pricing models
Dufour, Jean-Marie; Khalaf, Lynda; Beaulieu, Marie-Claude - In: Journal of applied econometrics 25 (2010) 2, pp. 263-285
Persistent link: https://www.econbiz.de/10008667604
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Identification-robust estimation and testing of the zero-beta CAPM
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - In: The review of economic studies 80 (2013) 3, pp. 892-924
Persistent link: https://www.econbiz.de/10010204244