We estimate by Bayesian inference the mixed conditional heteroskedasticity model of Haas et al. (2004a Journal of Financial Econometrics 2, 211–50). We construct a Gibbs sampler algorithm to compute ...
Journal of Applied Econometrics, Vol. 14, No. 5 (Sep. - Oct., 1999), pp. 539-562 (24 pages) In this paper we investigate the properties of the Lagrange Multiplier [LM] test for autoregressive ...
Froot, K. A. "Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Cross-Sectional Financial Data." Journal of Financial and Quantitative Analysis 24, no.
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