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General approach of serial correlation (a) Author info | Abstract | Publisher info | Download info | Related research | Statistics Gourieroux Christian
Monfort Alain
Trognon A
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Paper provided by CEPREMAP in its series CEPREMAP Working Papers (Couverture Orange) with number
8424.
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Length: 46 pages
Date of creation: 1984Date of revision:
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Ulrich Kaiser & Andrea Szczesny, 2000.
"Einfache oekonomische Verfahren fuer die Kreditrisikomessung ,"
CoFE Discussion Paper
00-28, Center of Finance and Econometrics, University of Konstanz.
[Downloadable!]
Christian Gourieroux & Joann Jasiak, 2001.
"Dynamic Factor Models ,"
Econometric Reviews ,
Taylor and Francis Journals, vol. 20(4), pages 385-424.
[Downloadable!] (restricted)
repec:bep:sndecm:11:2007:2:1377-1377 is not listed on IDEAS
Other versions: Jerry A. Hausman & Andrew W. Lo & A. Craig MacKinlay, 1991.
"An Ordered Probit Analysis of Transaction Stock Prices ,"
NBER Working Papers
3888, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Hausman, Jerry A. & Lo, Andrew W. & MacKinlay, Archie Craig, 1955-, 1990.
"An ordered probit analysis of transaction stock prices ,"
Working papers
3234-90., Massachusetts Institute of Technology (MIT), Sloan School of Management.
[Downloadable!] Hausman, J.A. & Lo, A.W. & MacKinlay, A.C., 1991.
"An Ordered Probit Analysis of Transaction Stock Prices ,"
Weiss Center Working Papers
26-91, Wharton School - Weiss Center for International Financial Research.
Hausman, Jerry A. & Lo, Andrew W. & MacKinlay, A. Craig, 1992.
"An ordered probit analysis of transaction stock prices ,"
Journal of Financial Economics ,
Elsevier, vol. 31(3), pages 319-379, June.
[Downloadable!] (restricted) repec:fth:prinin:202 is not listed on IDEAS
Richard Quandt & Harvey Rosen, 1985.
"Unemployment, Disequilibrium and the Short-Run Phillips Curve: An Econometric Approach ,"
Working Papers
582, Princeton University, Department of Economics, Industrial Relations Section..
[Downloadable!]
Choi, Woon Gyu, 1999.
"Estimating the Discount Rate Policy Reaction Function of the Monetary Authority ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 14(4), pages 379-401, July-Aug..
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Sergio Pastorello & Valentin Patilea & Éric Renault, 2003.
"Iterative and Recursive Estimation in Structural Non-Adaptive Models ,"
CIRANO Working Papers
2003s-08, CIRANO.
[Downloadable!]
Henrik Amilon, 2002.
"A Score Test for Discreteness in GARCH Models ,"
Research Paper Series
76, Quantitative Finance Research Centre, University of Technology, Sydney.
[Downloadable!]
Frank Gerhard & Dieter Hess & Winfried Pohlmeier, 1999.
"What a Difference a Day Makes: On the Common Market Microstructure of Trading Days ,"
Finance
9904006, EconWPA.
[Downloadable!]
Other versions: Stefan Gerlach, 2007.
"Interest Rate Setting by the ECB, 1999-2006: Words and Deeds ,"
International Journal of Central Banking ,
International Journal of Central Banking, vol. 3(3), pages 1-46, September.
[Downloadable!]
Nikolaus Hautsch, 1999.
"Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions ,"
Finance
9904002, EconWPA.
[Downloadable!]
Other versions: Jose Montalvo, 2003.
"Liquidity and market makers: a pseudo-experimental analysis with ultrahigh frequency data ,"
European Journal of Finance ,
Taylor and Francis Journals, vol. 9(4), pages 358-378, August.
[Downloadable!] (restricted)
Ulrich Kaiser & Andrea Szczesny, 2000.
"Einfache ökonometrische Verfahren für die Kreditrisikomessung: Verweildauermodelle ,"
Working Paper Series: Finance and Accounting
62, Department of Finance, Goethe University Frankfurt am Main.
[Downloadable!]
Bierings, H. & Sneek, K., 1989.
"Pseudo maximum likelihood techniques in a simple rationing model of the Dutch labour market ,"
Serie Research Memoranda
0063, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
[Downloadable!]
Ricardo Gonçalves Silva, 2004.
"Bayesian Semiparametric Regression for Autoregressive Models with Possible Unit Roots ,"
Econometrics
0405002, EconWPA.
[Downloadable!]
Francisco J. Ruge-Murcia, 2000.
"Uncovering financial markets' beliefs about inflation targets ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 15(5), pages 483-512.
[Downloadable!]
Other versions:
Ruge-Murcia, F.J., 1998.
"Uncovering Financial Markets Beliefs About Inflation Targets ,"
Cahiers de recherche
9803, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
RUGE-MURCIA, Francisco J., 1998.
"Uncovering Financial Markets Beliefs About Inflation Targets ,"
Cahiers de recherche
9803, Universite de Montreal, Departement de sciences economiques.
[Downloadable!]
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