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On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models
0 references·4 citing·12 second hop
On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models (2007)On the efficiency and consistency of like…New testing approaches for mean–variance predictability (2020)New testing approaches for me…Normality tests for latent variables (2019)Normality tests for latent va…Tests for serial dependence in static, non-Gaussian factor models (2015)Tests for serial dependence i…Multiplicity of mixed equilibria in mechanisms: A unified approach to exact and approximate implementation (2010)Multiplicity of mixed equilib…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Common risk factors in the returns on stocks and bonds (1993)The Precision of National Income Estimates (1942)EM Algorithms for ML Factor Analysis (1982)Diagnostic tests for models based on individual data: A survey (1989)Nash Equilibrium and Welfare Optimality (1999)Dynamic discrete choice structural models: A survey (2009)Does Competition Reduce the Risk of Bank Failure? (2010)The arbitrage theory of capital asset pricing (1976)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)
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  • 2010Multiplicity of mixed equilibria in mechanisms: A unified approach to exact and approximate implementation33 cited
  • 2015Tests for serial dependence in static, non-Gaussian factor models31 cited
  • 2020New testing approaches for mean–variance predictability23 cited
  • 2019Normality tests for latent variables13 cited

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