Mean-variance cointegration and the expectations hypothesis (Q5247279): Difference between revisions

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+Fractionally integrated generalized autoregressive conditional heteroskedasticity
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+Error-correction Mechanism Tests for Cointegration in a Single-equation Framework
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+Generalized autoregressive conditional heteroscedasticity
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+Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
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+A robust LR test for the GARCH model
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+Nonstationary term premia and cointegration of the term structure
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+A Note on Unit Root Tests and GARCH Errors: A Simulation Experiment
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+A Theory of the Term Structure of Interest Rates
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Modelling the persistence of conditional variances
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+Distributions of error correction tests for cointegration
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+Structural changes in the cointegrated vector autoregressive model
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+ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL
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+Testing for a unit root under errors with just barely infinite variance
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+Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
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+Asset Prices in an Exchange Economy
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+Distribution theory for unit root tests with conditional heteroskedasticity
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+Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity
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+Q4727203
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+Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
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+The persistence in volatility of the US term premium 1970--1986
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+An equilibrium characterization of the term structure
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+On the term structure of interest rates -- empirical results for Germany
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