Lucas, A.

model return result outlier distribution series value parameter market process panel moment table order ratio period method price lm test journal curve section function error variance estimate portfolio estimator sample future procedure observation statistic stock factor volatility time series equation / journal garch testing hypothesis transaction costs copyright paper i.i.d frequency post-set dependence 1999 john wiley signi approach figure moment ratio curves likelihood student speci minute post-sets period analysis transaction transition autoregressive cointegration unit root hypothesis index number exchange variable additive market share e ffects example regression weight pre-set additive outliers confidence copula quintile