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Forecasting with the age-period-cohort model and the extended chain-ladder model.
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Econometrics of testing for jumps in financial economics using bipower variation.
Published 2003Working paper -
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Strong consistency results for least squares estimators in general vector autoregressions with deterministic terms.
Published 2003Working paper -
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Singular vector autoregressions with deterministic terms: Strong consistency and lag order determination.
Published 2008Working paper -
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Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient
Published 2019-01-01Get full text
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Identification of the age-period-cohort model and the extended chain ladder model.
Published 2007Working paper -
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