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ARCH model
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ECONIS (ZBW)
14
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1
Finite-sample diagnostics for multivariate regressions with applications to linear asset pricing models
Dufour, Jean-Marie
(
contributor
);
Khalaf, Lynda
(
contributor
)
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001947817
Saved in:
2
Multivariate residual-based finite-sample tests for serial depenedence and ARCH effects with applications to asset pricing models
Dufour, Jean-Marie
;
Khalaf, Lynda
;
Beaulieu, Marie-Claude
- In:
Journal of applied econometrics
25
(
2010
)
2
,
pp. 263-285
Persistent link: https://www.econbiz.de/10008667604
Saved in:
3
Identification-robust estimation and testing of the zero-beta CAPM
Beaulieu, Marie-Claude
;
Dufour, Jean-Marie
;
Khalaf, Lynda
- In:
The review of economic studies
80
(
2013
)
3
,
pp. 892-924
Persistent link: https://www.econbiz.de/10010204244
Saved in:
4
Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
Dufour, Jean-Marie
;
Khalaf, Lynda
;
Bernard, Jean-Thomas
; …
- In:
Journal of econometrics
122
(
2004
)
2
,
pp. 317-347
Persistent link: https://www.econbiz.de/10002173151
Saved in:
5
On jumps and ARCH effects in natural resource prices : an application to stumpage prices from Pacific Northwest national forests
Saphores, Jean-Daniel
;
Khalaf, Lynda
;
Pelletier, Denis
-
2000
Persistent link: https://www.econbiz.de/10001470050
Saved in:
6
Simulation-based exact jump tests in models with conditional heteroskedasticity
Khalaf, Lynda
;
Saphores, Jean-Daniel
;
Bilodeau, …
- In:
Journal of economic dynamics & control
28
(
2003
)
3
,
pp. 531-553
Persistent link: https://www.econbiz.de/10001853762
Saved in:
7
On jumps and ARCH effects in natural resource prices : an application to Pacific Northwest stumpage prices
Saphores, Jean-Daniel
;
Khalaf, Lynda
;
Pelletier, Denis
- In:
American journal of agricultural economics
84
(
2002
)
2
,
pp. 387-400
Persistent link: https://www.econbiz.de/10001683998
Saved in:
8
Forecasting commodity prices : GARCH, jumps, and mean reversion
Bernard, Jean-Thomas
;
Khalaf, Lynda
;
Kichian, Maral
; …
-
2006
Persistent link: https://www.econbiz.de/10003317527
Saved in:
9
Forecasting commodity prices : GARCH, jumps, and mean reversion
Bernard, Jean-Thomas
;
Khalaf, Lynda
;
Kichian, Maral
; …
- In:
Journal of forecasting
27
(
2008
)
4
,
pp. 279-291
Persistent link: https://www.econbiz.de/10003826728
Saved in:
10
Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
Dufour, Jean-Marie
(
contributor
)
-
2001
Persistent link: https://www.econbiz.de/10001614503
Saved in:
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