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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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A class of simple distribution-free rank-based unit root tests
Hallin, Marc; van den Akker, Ramon; Werker, Bas J.M. - In: Journal of econometrics 163 (2011) 2, pp. 200-215
Persistent link: https://www.econbiz.de/10009163368
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Efficient estimation in semi-parametric GARCH models
Drost, Feike C.; Klaassen, Chris A.J. - In: Journal of econometrics 81 (1997) 1, pp. 193-222
Persistent link: https://www.econbiz.de/10006791205
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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. 31-58
Persistent link: https://www.econbiz.de/10006796324
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Efficiency comparisons of maximum-likelihood-based estimators in GARCH models
González-Rivera, Gloria; Drost, Feike C. - In: Journal of econometrics 93 (1999) 1, pp. 93-111
Persistent link: https://www.econbiz.de/10001406643
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Efficient estimation in semiparametric GARCH models
Drost, Feike C. - In: Journal of econometrics 81 (1997) 1, pp. 193-221
Persistent link: https://www.econbiz.de/10001336797
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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