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Bivariate Arch Models: Finite-Sample Properties Of Qml Estimators And An Application To An Lm-Type Test

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  • Iglesias, Emma M.
  • Phillips, Garry D.A.

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  • Iglesias, Emma M. & Phillips, Garry D.A., 2005. "Bivariate Arch Models: Finite-Sample Properties Of Qml Estimators And An Application To An Lm-Type Test," Econometric Theory, Cambridge University Press, vol. 21(06), pages 1058-1086, December.
  • Handle: RePEc:cup:etheor:v:21:y:2005:i:06:p:1058-1086_05
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    Cited by:

    1. Iglesias, Emma M., 2014. "Testing of the mean reversion parameter in continuous time models," Economics Letters, Elsevier, vol. 122(2), pages 187-189.
    2. Chambers, Marcus J., 2013. "Jackknife estimation of stationary autoregressive models," Journal of Econometrics, Elsevier, vol. 172(1), pages 142-157.
    3. Maixé-Altés, J. Carles & Iglesias, Emma M., 2009. "Domestic monetary transfers and the inland bill of exchange markets in Spain (1775-1885)," Journal of International Money and Finance, Elsevier, vol. 28(3), pages 496-521, April.

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