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Information about:
Douglas Gardiner Steigerwald

Personal Details | Affiliation | Works
This is information that was supplied by Douglas Steigerwald in registering through RePEc. If you are Douglas Gardiner Steigerwald , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Douglas
Middle Name: Gardiner
Last Name: Steigerwald
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RePEc Short-ID: pst324

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Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML, plain text, BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Douglas Steigerwald & Marc Conte, 2007. "Do Daylight-Saving Time Adjustments Really Impact Stock Returns?," University of California at Santa Barbara, Economics Working Paper Series 10-07, Department of Economics, UC Santa Barbara. [Downloadable!]

  2. Douglas Steigerwald & Jack Erb, 2007. "Accurately Sized Test Statistics with Misspecified Conditional Homoskedasticity," University of California at Santa Barbara, Economics Working Paper Series 09-07, Department of Economics, UC Santa Barbara. [Downloadable!]

  3. Douglas Steigerwald, 2006. "A Note on Adaptive Estimation," University of California at Santa Barbara, Economics Working Paper Series 04-06, Department of Economics, UC Santa Barbara. [Downloadable!]

  4. Doug Steigerwald & Richard Vagnoni, 2001. "Option Market Microstructure and Stochastic Volatility," University of California at Santa Barbara, Economics Working Paper Series 17-01, Department of Economics, UC Santa Barbara. [Downloadable!]

  5. Douglas G. Steigerwald, 2000. "Explaining Stochastic Volatility in Asset Prices," Econometric Society World Congress 2000 Contributed Papers 0441, Econometric Society. [Downloadable!]

  6. Hahm, J.-H. & Steigerwald, D.G., 1998. "Consumption Adjustment under Changing Income Uncertainty," Papers 345, Australian National University - Department of Economics.
    Other versions:

  7. Oliver Linton & Douglas G. Steigerwald, 1995. "Adaptive Testing in ARCH Models," Cowles Foundation Discussion Papers 1105, Cowles Foundation, Yale University. [Downloadable!]
    Published as:

  8. Steigerwald, D.G., 1994. "Conditional Heteroscedasticity Modeling in Macroeconomics and Finance," University of California at Santa Barbara, Economics Working Paper Series 17-94, Department of Economics, UC Santa Barbara.

  9. Steigerwald, D.G., 1993. "Efficient Estimation of Models with Conditional Heteroscedasticity," University of California at Santa Barbara, Economics Working Paper Series 5-93, Department of Economics, UC Santa Barbara.

  10. Pippenger, J. & Steigerwald, D.G., 1993. "Purchasing Power Parity, Unit Roots, and Dynamic Structure," University of California at Santa Barbara, Economics Working Paper Series 10-93, Department of Economics, UC Santa Barbara.
    Published as:

  11. LeRoy, S.F. & Steigerwald, D.G., 1992. "Volatility," University of California at Santa Barbara, Economics Working Paper Series 6-92, Department of Economics, UC Santa Barbara.

  12. Steigerwald, D.G. & Stuart, C., 1992. "Policy Expectations: Taxes and Investment in the U.S," University of California at Santa Barbara, Economics Working Paper Series 17-92, Department of Economics, UC Santa Barbara.

  13. Steigerwald, D.G., 1991. "A Course in Econometrics: A Review," University of California at Santa Barbara, Economics Working Paper Series 7-91, Department of Economics, UC Santa Barbara.

  14. Steigerwald, D.G., 1990. "Generalized Adaptive Estimation For Econometric And Financial Models," University of California at Santa Barbara, Economics Working Paper Series 13-90, Department of Economics, UC Santa Barbara.

  15. Steigerwald, D., 1989. "On The Finite Sample Behavior Of Adaptative Estimators," University of California at Santa Barbara, Economics Working Paper Series 31-89, Department of Economics, UC Santa Barbara.
    Published as:

  16. Roger Craine and Douglas Steigerwald., 1988. "Raiders, Junk Bonds, and Risk," Economics Working Papers 8893, University of California at Berkeley.
    Published as:

  17. Doncho S. Donchev & Svetlosar T. Rachev & Douglas G. Steigerwald, . "Optimal Policies for Investment with Time-Varying Return Distributions," University of California at Santa Barbara, Economics Working Paper Series 9-97, Department of Economics, UC Santa Barbara. [Downloadable!]

Articles

  1. John Owens & Douglas G. Steigerwald, 2005. "Inferring Information Frequency and Quality," Journal of Financial Econometrics, Oxford University Press, vol. 3(4), pages 500-524. [Downloadable!] (restricted)

  2. David Kelly & Douglas Steigerwald, 2004. "Private Information and High-Frequency Stochastic Volatility," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 8(1), pages 1167-1167. [Downloadable!] (restricted)

  3. Oliver Linton & Douglas Steigerwald, 2000. "Adaptive testing in arch models," Econometric Reviews, Taylor and Francis Journals, vol. 19(2), pages 145-174. [Downloadable!] (restricted)
    Other versions:

  4. Dougas Steigerwald, 1997. "Uniformly adaptive estimation for models with arma errors," Econometric Reviews, Taylor and Francis Journals, vol. 16(4), pages 393-409. [Downloadable!] (restricted)

  5. Whitney K. Newey & Douglas G. Steigerwald, 1997. "Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models," Econometrica, Econometric Society, vol. 65(3), pages 587-600, May.

  6. Douglas G. Steigerwald & Charles Stuart, 1997. "Econometric Estimation Of Foresight: Tax Policy And Investment In The United States," The Review of Economics and Statistics, MIT Press, vol. 79(1), pages 32-40, February. [Downloadable!] (restricted)

  7. Crownover, Collin & Pippenger, John & Steigerwald, Douglas G., 1996. "Testing for absolute purchasing power parity," Journal of International Money and Finance, Elsevier, vol. 15(5), pages 783-796, October. [Downloadable!] (restricted)

  8. Steigerwald, Douglas G., 1996. "Purchasing power parity, unit roots, and dynamic structure," Journal of Empirical Finance, Elsevier, vol. 2(4), pages 343-357, February. [Downloadable!] (restricted)
    Other versions:

  9. Steigerwald, Douglas G., 1995. "Reply to B.M. Potscher's comment on 'adaptive estimation in time series regression models'," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 131-132. [Downloadable!] (restricted)

  10. Steigerwald, Douglas G., 1992. "Adaptive estimation in time series regression models," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 251-275. [Downloadable!] (restricted)

  11. Steigerwald, Douglas G., 1992. "On the finite sample behavior of adaptive estimators," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 371-400. [Downloadable!] (restricted)
    Other versions:

  12. Roger Craine & Douglas Steigerwald, 1989. "Raiders, junk bonds, and risk," Proceedings, Federal Reserve Bank of Chicago, pages 280-300.
    Other versions:

NEP Fields

2 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (1) 2008-03-01 Author is listed
  2. NEP-ETS: Econometric Time Series (1) 2008-03-01 Author is listed
  3. NEP-RMG: Risk Management (1) 2008-03-01 Author is listed
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This page was last updated on 2009-6-22.

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