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Frequency domain principal components estimation of fractionally cointegrated processes
Morana, Claudio, (2004)
Unobservable cyclical components in term premia of fixed-term financial instruments
MacDonald, Alexander David, (1993)
Nonparametric detection and estimation of structural change
Kristensen, Dennis, (2011)
Mcmc Bayesian Estimation of a Skew-Ged Stochastic Volatility Model
Cappuccio, Nunzio, (2003)
The fragility of the KPSS stationarity test
Cappuccio, Nunzio, (2010)
Investigating asymmetry in US stock market indexes : evidence from a stochastic volatility model
Cappuccio, Nunzio, (2006)