Publicacións en colaboración con investigadores/as de University of Southern Denmark (3)

2022

  1. The Tail Behavior due to the Presence of the Risk Premium in AR-GARCH-in-Mean, GARCH-AR, and Double-Autoregressive-in-Mean Models*

    Journal of Financial Econometrics, Vol. 20, Núm. 1, pp. 139-159

2021

  1. Asymptotic normality of the MLE in the level-effect ARCH model

    Statistical Papers, Vol. 62, Núm. 1, pp. 117-135

2012

  1. Semiparametric inference in a GARCH-in-mean model

    Journal of Econometrics