Search Results - subject:"Change-point tests"

Bargaining Power and the Labor Share - a Structural Break Approach

Kraft, Kornelius; Lammers, Alexander - 2021

In this paper we investigate the relevance of bargaining institutions for the decline of the labor share. Several explanations for the decline exist, which consider the relevance of technology, globalization and markups. Neglected so far is the influence of bargaining institutions, in particular...

Persistent link: https://www.econbiz.de/10012623088

Bargaining power and the labor share : a structural break approach

Kraft, Kornelius; Lammers, Alexander - Sonderforschungsbereich Statistical Modelling of … - 2021

Persistent link: https://www.econbiz.de/10012592768

Bargaining power and the labor share : a structural break approach

Kraft, Kornelius; Lammers, Alexander - 2021

Persistent link: https://www.econbiz.de/10013328613

Are correlations constant? : empirical and theoretical results on popular correlation models in finance

Adams, Zeno; Füss, Roland; Glück, Thorsten - 2017 - This version: February 2017

Persistent link: https://www.econbiz.de/10011686765

Tests to disentangle breaks in intercept from slope in linear regression models with application to management performance in the mutual fund industry

Olmo, Jose; Pouliot, William - 2014

Persistent link: https://www.econbiz.de/10010362486

Tests to Disentangle Breaks in Intercept from Slope in Linear Regression Models with Application to Management Performance in the Mutual Fund Industry

Olmo, Jose; Pouliot, William - Department of Economics, University of Birmingham - 2014

This article introduces a U-statistic type process that is fashioned from a kernal which can depend on nuisance parameters. It is shown that this process can accommodate, in a straightforward manner, anti-symmetric kernels, which have proved useful for detecting changing patterns in the dynamics...

Persistent link: https://www.econbiz.de/10010818185

Are correlations constant? : empirical and theoretical results on popular correlation models in finance

Adams, Zeno; Füss, Roland; Glück, Thorsten - In: Journal of banking & finance 84 (2017), pp. 9-24

Persistent link: https://www.econbiz.de/10011816833

Testing for changes in volatility in heteroskedastic time series - a further examination

De Pooter, Michiel; van Dijk, Dick - Faculteit der Economische Wetenschappen, Erasmus … - 2004

We consider tests for sudden changes in the unconditional volatility of conditionally heteroskedastic time series based on cumulative sums of squares. When applied to the original series these tests suffer from severe size distortions, where the correct null hypothesis of no volatility change is...

Persistent link: https://www.econbiz.de/10010731577

Testing for changes in volatility in heteroskedastic time series - a further examination

Pooter, M.D. de; Dijk, D.J.C. van - Erasmus University Rotterdam, Econometric Institute - 2004

: change-point tests, structural breaks, CUSUM, GARCH mod- els, emerging markets JEL Classi cation Code: C12, C22, G15 …. and E. Ghysels (2004), The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests, Journal of …

Persistent link: https://www.econbiz.de/10004991110

The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests

Andreou, Elena; Ghysels, Eric - Centre Interuniversitaire de Recherche en Analyse des … - 2004

The paper evaluates the performance of several recently proposed change-point tests applied to conditional variance …

Persistent link: https://www.econbiz.de/10005100727