Jensen, Mark J (1995): A Monte Carlo study on two methods of calculating the MLEs covariance matrix in a seemingly unrelated nonlinear regression. Published in: Econometric Review , Vol. 14, : pp. 315-330.
Jensen, Mark J (1999): Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter. Published in: Journal of Forecasting , Vol. 18, (1999): pp. 17-32.
Jensen, Mark J and Maheu, John M (2013): Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.
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