Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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- scientific article; zbMATH DE number 1211744
Cited in
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- Robustifying multivariate trend tests to nonstationary volatility
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- Generalized empirical likelihood-based model selection criteria for moment condition models
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- Matrix exponential GARCH
- Estimating restricted structural change models
- Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases
- Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison
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- Long-run risk-return trade-offs
- A fractionally integrated Wishart stochastic volatility model
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