Details about Douglas Gardiner Steigerwald

Access statistics for papers by Douglas Gardiner Steigerwald.

Last updated 2009-11-05. Update your information in the RePEc Author Service.

Short-id: pst324

Working Papers

2007

1. Accurately Sized Test Statistics with Misspecified Conditional Homoskedasticity
   University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara
2. Do Daylight-Saving Time Adjustments Really Impact Stock Returns?
   University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara

2006

3. A Note on Adaptive Estimation
   University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara

2001

4. Option Market Microstructure and Stochastic Volatility
   University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara

2000

5. Explaining Stochastic Volatility in Asset Prices
   Econometric Society World Congress 2000 Contributed Papers, Econometric Society

1998

6. Consumption Adjustment under Changing Income Uncertainty
   Working Papers, Australian National University - Department of Economics View citations
   Also in University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara (1997) View citations

1995

7. Adaptive Testing in ARCH Models
   Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
   See also Journal Article in Econometric Reviews (2000)

1994

8. Conditional Heteroscedasticity Modeling in Macroeconomics and Finance
   University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara

1993

9. Efficient Estimation of Models with Conditional Heteroscedasticity
   University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara View citations
10. Purchasing Power Parity, Unit Roots, and Dynamic Structure
    University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara
    See also Journal Article in Journal of Empirical Finance (1996)

1992

11. Policy Expectations: Taxes and Investment in the U.S
    University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara
12. Volatility
    University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara

1991

13. A Course in Econometrics: A Review
    University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara

1990

14. GENERALIZED ADAPTIVE ESTIMATION FOR ECONOMETRIC AND FINANCIAL MODELS
    University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara

1989

15. ON THE FINITE SAMPLE BEHAVIOR OF ADAPTATIVE ESTIMATORS
    University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara
    See also Journal Article in Journal of Econometrics (1992)

1988

16. Raiders, Junk Bonds, and Risk
    Economics Working Papers, University of California at Berkeley
    See also Journal Article in Proceedings (1989)

Undated

17. Optimal Policies for Investment with Time-Varying Return Distributions
    University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara

Journal Articles

2005

1. Inferring Information Frequency and Quality
   Journal of Financial Econometrics, 2005, 3, (4), 500-524 View citations

2004

2. Private Information and High-Frequency Stochastic Volatility
   Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (1)

2000

3. Adaptive testing in arch models
   Econometric Reviews, 2000, 19, (2), 145-174 View citations
   See also Working Paper (1995)

1997

4. Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
   Econometrica, 1997, 65, (3), 587-600 View citations
5. Econometric Estimation Of Foresight: Tax Policy And Investment In The United States
   The Review of Economics and Statistics, 1997, 79, (1), 32-40 View citations
6. Uniformly adaptive estimation for models with arma errors
   Econometric Reviews, 1997, 16, (4), 393-409

1996

7. Purchasing power parity, unit roots, and dynamic structure
   Journal of Empirical Finance, 1996, 2, (4), 343-357 View citations
   See also Working Paper (1993)
8. Testing for absolute purchasing power parity
   Journal of International Money and Finance, 1996, 15, (5), 783-796 View citations

1995

9. Reply to B.M. Potscher's comment on 'adaptive estimation in time series regression models'
   Journal of Econometrics, 1995, 66, (1-2), 131-132

1992

10. Adaptive estimation in time series regression models
    Journal of Econometrics, 1992, 54, (1-3), 251-275 View citations
11. On the finite sample behavior of adaptive estimators
    Journal of Econometrics, 1992, 54, (1-3), 371-400 View citations
    See also Working Paper (1989)

1989

12. Raiders, junk bonds, and risk
    Proceedings, 1989, 280-300 View citations
    See also Working Paper (1988)