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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/10001755360
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Causality effects in return volatility measures with random times
Renault, Eric; Werker, Bas J. M. - In: Journal of econometrics 160 (2011) 1, pp. 272-279
Persistent link: https://www.econbiz.de/10009242519
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The dynamic mixed hitting-time model for multiple transaction prices and times
Renault, Eric; Heijden, Thijs van der; Werker, Bas J. M. - In: Journal of econometrics 180 (2014) 2, pp. 233-250
Persistent link: https://www.econbiz.de/10010433364
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A class of simple distribution-free-rank-based unit root tests
Hallin, Marc; Akker, Ramon van den; Werker, Bas J. M. - In: Journal of econometrics 163 (2011) 2, pp. 200-214
Persistent link: https://www.econbiz.de/10009270609
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Semiparametric error-correction models for cointegration with trends : Pseudo-Gaussian and optimal rank-based tests of the cointegration rank
Hallin, Marc; Akker, Ramon van den; Werker, Bas J. M. - In: Journal of econometrics 190 (2016) 1, pp. 46-61
Persistent link: https://www.econbiz.de/10011591614
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Residual-based rank specification tests for AR-GARCH type models
Andreou, Elena; Werker, Bas J. M. - In: Journal of econometrics 185 (2015) 2, pp. 305-331
Persistent link: https://www.econbiz.de/10011348447
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Semiparametric testing with highly persistent predictors
Werker, Bas J. M.; Zhou, Bo - In: Journal of econometrics 227 (2022) 2, pp. 347-370
Persistent link: https://www.econbiz.de/10013442061
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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
Persistent link: https://www.econbiz.de/10006749124
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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. 71-88
Persistent link: https://www.econbiz.de/10006794485
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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/10006805254