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Publications in Uncertainty

Common Volatility in International Equity Markets

Journal of Business and Economic Statistics

Social Sciences

English

Pitfalls in the Use of Time as an Explanatory Variable in Regression

Journal of Business and Economic Statistics

Social Sciences

English

Conditional Heteroscedasticity in Qualitative Response Models of Time Series: A Gibbs-Sampling Approach to the Bank Prime Rate

Journal of Business and Economic Statistics

Social Sciences

English

Second-Order Filter Distribution Approximations for Financial Time Series With Extreme Outliers

Journal of Business and Economic Statistics

Social Sciences

English

Testing for the Cointegrating Rank of a VAR Process With Structural Shifts

Journal of Business and Economic Statistics

Social Sciences

English

Tests for Unit Roots: A Monte Carlo Investigation

Journal of Business and Economic Statistics

Social Sciences

English

Contested Tender Offers: An Estimate of the Hazard Function

Journal of Business and Economic Statistics

Social Sciences

English

A Note on Optimal Estimation From a Risk-Management Perspective Under Possibly Misspecified Tail Behavior

Journal of Business and Economic Statistics

Social Sciences

English

Rank Tests for Nonlinear Cointegration

Journal of Business and Economic Statistics

Social Sciences

English

Forecasting With Bayesian Vector Autoregressions: Five Years of Experience

Journal of Business and Economic Statistics

Social Sciences

English