We provide novel evidence of two different types of volatility-patterns of oil spot prices that
are generated depending on which is the predominant trigger: a) spikes of volatility (which …

Andrews (1999, Econometrica 67, 1341–1383) derived the first-order asymptotic theory for a
very general class of estimators when a parameter is on a boundary. We derive the second …

Timberland ownership has drastically changed in the United States since the 1980s, driven
by the divestitures of vertically integrated forest products companies. Having sold their …

We provide three new results concerning quasi-maximum likelihood (QML) estimators in
generalized autoregressive conditional heteroskedastic in mean (GARCH-M) models. We …

We develop the analytical second-order bias of a Value-at-Risk estimator based on an
ARCH (1) volatility specification when the parameters are estimated by the method of quasi …

We provide simulation and theoretical results concerning the finite‐sample theory of quasi‐
maximum‐likelihood estimators in autoregressive conditional heteroskedastic (ARCH) …

This paper provides two main new results: the first shows theoretically that large biases and
variances can arise when the quasi-maximum likelihood (QML) estimation method is …

In this paper, we define a set of indirect inference estimators based on moment
approximations of the auxiliary estimators. Their introduction is motivated by reasons of …

In this paper we extend the findings in Linton (1997) and Iglesias and Phillips (2003) by
providing simulation and theoretical results concerning the finite sample theory of maximum …

Timberland investment performance depends on internal and external factors. Forestland
owners can control the establishment location, the level of genetically improved seedlings …