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Now showing items 11-20 of 20
On the (Mis)Specification of Seasonality and Its Consequences: an Empirical Investigation with U.S. Data
(Université de Montréal. Département de sciences économiques., 1992)
Market Time and Asset Price Movements: Theory and Estimation
(Université de Montréal. Département de sciences économiques., 1995)
Predictive Tests for Structural Change with Unknown Breakpoint
(Université de Montréal. Département de sciences économiques., 1995)
Dynamic Regression and Filtered Data Series: a Laplace Approximation to the Effects of Filtering in Small Samples
(Université de Montréal. Département de sciences économiques., 1993)
The Effect of Linear Filters on Dynamic Time series with Structural Change
(Université de Montréal. Département de sciences économiques., 1994)
Changes in Seasonal Patters: Are They Cyclical?
(Université de Montréal. Département de sciences économiques., 1992)
Stochastic Volatility
(Université de Montréal. Département de sciences économiques., 1996)
This paper prepared for the Handbook of Statistics (Vol.14: Statistical Methods in Finance), surveys the subject of stochastic volatility. the following subjects are covered: volatility in financial markets (instantaneous ...
Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process
(Université de Montréal. Département de sciences économiques., 1995)
On Periodic Structures and Testing for Seasonal Unit Roots
(Université de Montréal. Département de sciences économiques., 1995)
On Stable Factor Structurs in the Pricing of Risk
(Université de Montréal. Département de sciences économiques., 1995)