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Estimating time varying risk premia in the term structure : the ARCH-M model

Engle, Robert F. - In: Econometrica : journal of the Econometric Society, an … 55 (1987) 2, pp. 391-407

Persistent link: https://www.econbiz.de/10001020996

A test for regression coefficient stability when a parameter is identified only under the alternative

Watson, Mark W. - 1982

Persistent link: https://www.econbiz.de/10001532164

Vector autoregressions and cointegration

Watson, Mark W. - 1994

Persistent link: https://www.econbiz.de/10001327599

Vector autoregressions and cointegration

Watson, Mark W. - 1993

Persistent link: https://www.econbiz.de/10000892029

Uncertainty in model based seasonal adjustment procedures : bounds on mean square error and construction of minimax filters

Watson, Mark W. - 1984

Persistent link: https://www.econbiz.de/10002973401

The econometrics of ultra-high frequency data

Engle, Robert F. - 1996

Persistent link: https://www.econbiz.de/10000613076

CAViaR : conditional autoregressive value-at-risk by regression quantiles

Engle, Robert F. - 2001

Persistent link: https://www.econbiz.de/10001633554

Dynamic conditional beta

Engle, Robert F. - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 643-667

Persistent link: https://www.econbiz.de/10011623818

The Econometrics of Ultra-High Frequency Data

Engle, Robert F. - 1996

Ultra-high frequency data are complete transactions data which inherently arrive at random times. Marked point processes provide a theoretical framework for analysis of such data sets. The ACD model developed by Engle and Russell (1995) is then applied to IBM transactions data to develop...

Persistent link: https://www.econbiz.de/10012473012

Seasonal adjustment with measurement error present

Hausman, Jerry A.; Watson, Mark W. - 1983

Persistent link: https://www.econbiz.de/10001531507