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isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
subject:"Simulation"
~isPartOf:"CREATES research paper"
~person:"Hall, Peter"
~person:"Pedersen, Rasmus Søndergaard"
~subject:"ARCH model"
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Hall, Peter
Pedersen, Rasmus Søndergaard
Teräsvirta, Timo
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
CREATES research paper
Discussion papers / Department of Economics, University of Copenhagen
2
Journal of econometrics
2
Economics letters
1
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Nonstationary ARCH and GARCH with t-distributed innovations
Pedersen, Rasmus Søndergaard
;
Rahbek, Anders
-
2015
Persistent link: https://www.econbiz.de/10010529443
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2
Multivariate variance targeting in the BEKK-GARCH Model
Pedersen, Rasmus Søndergaard
;
Rahbek, Anders
-
2012
Persistent link: https://www.econbiz.de/10009667363
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3
Bootstrap critical values for tests based on generalized-method-of-moments estimators
Hall, Peter
- In:
Econometrica : journal of the Econometric Society, an …
64
(
1996
)
4
,
pp. 891-916
Persistent link: https://www.econbiz.de/10001203908
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