FinMetrics: analysis of financial data in S-PLUS
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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.
Volume (Year): 19 (2004)
Issue (Month): 2 ()
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Web page: http://www.interscience.wiley.com/jpages/0883-7252/
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- Franses, Ph.H.B.F., 1999.
"How to deal with intercept and trend in pratical cointegration analysis?,"
Econometric Institute Research Papers
EI 9904-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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- Bollerslev, Tim & Ghysels, Eric, 1996.
"Periodic Autoregressive Conditional Heteroscedasticity,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 14(2), pages 139-51, April.
- Bollerslev, T. & Ghysels, E., 1994. "Periodic Autoregressive Conditional Heteroskedasticity," Cahiers de recherche 9408, Universite de Montreal, Departement de sciences economiques.
- Bollerslev, T. & Ghysels, E., 1994. "Periodic Autoregressive Conditional Heteroskedasticity," Cahiers de recherche 9408, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Brooks, Chris & Burke, Simon P. & Persand, Gita, 2001. "Benchmarks and the accuracy of GARCH model estimation," International Journal of Forecasting, Elsevier, vol. 17(1), pages 45-56.
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