Authors: JONES CM LAMONT O LUMSDAINE RL

Citation: Cm. Jones et al., MACROECONOMIC NEWS AND BOND MARKET VOLATILITY, Journal of financial economics, 47(3), 1998, pp. 315-337

Authors: BAI J LUMSDAINE RL STOCK JH

Citation: J. Bai et al., TESTING FOR AND DATING COMMON BREAKS IN MULTIVARIATE TIME-SERIES, Review of Economic Studies, 65(3), 1998, pp. 395-432

Authors: LUMSDAINE RL PAPELL DH

Citation: Rl. Lumsdaine et Dh. Papell, MULTIPLE TREND BREAKS AND THE UNIT-ROOT HYPOTHESIS, Review of economics and statistics, 79(2), 1997, pp. 212-218

Authors: LUMSDAINE RL

Citation: Rl. Lumsdaine, CONSISTENCY AND ASYMPTOTIC NORMALITY OF THE QUASI-MAXIMUM LIKELIHOOD ESTIMATOR IN IGARCH(1,1) AND COVARIANCE STATIONARY GARCH(1,1) MODELS, Econometrica, 64(3), 1996, pp. 575-596

Authors: LUMSDAINE RL

Citation: Rl. Lumsdaine, FINITE-SAMPLE PROPERTIES OF THE MAXIMUM-LIKELIHOOD ESTIMATOR IN GARCH(1,1) AND IGARCH(1,1) MODELS - A MONTE-CARLO INVESTIGATION, Journal of business & economic statistics, 13(1), 1995, pp. 1-10