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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/10005115487
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The efficiency of rotating-panel designs in an analysis-of-variance model
Nijman, Theo; Verbeek, Marno; van Soest, Arthur - In: Journal of Econometrics 49 (1991) 3, pp. 373-399
Persistent link: https://www.econbiz.de/10005122519
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Estimation of time-dependent parameters in linear models using cross-sections, panels, or both
Nijman, Theo; Verbeek, Marno - In: Journal of Econometrics 46 (1990) 3, pp. 333-346
Persistent link: https://www.econbiz.de/10005228717
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Marginalization and contemporaneous aggregation in multivariate GARCH processes
Nijman, Theo; Sentana, Enrique - In: Journal of Econometrics 71 (1996) 1-2, pp. 71-87
Persistent link: https://www.econbiz.de/10005228766
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The optimal choice of controls and pre-experimental observations
Nijman, Theo; Verbeek, Marno - In: Journal of Econometrics 51 (1992) 1-2, pp. 183-189
Persistent link: https://www.econbiz.de/10005228806
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Minimum MSE estimation of a regression model with fixed effects from a series of cross-sections
Verbeek, Marno; Nijman, Theo - In: Journal of Econometrics 59 (1993) 1-2, pp. 125-136
Persistent link: https://www.econbiz.de/10005286058
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Testing affine term structure models in case of transaction costs
Driessen, Joost; Melenberg, Bertrand; Nijman, Theo - In: Journal of Econometrics 126 (2005) 1, pp. 201-232
Persistent link: https://www.econbiz.de/10005238942