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Examination of some more powerful modifications of the Dickey-Fuller test

Leybourne, Stephen James (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001777071

Simple, robust and powerful tests of the breaking trend hypothesis

Harvey, David I. (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003389563

Testing for co-explosive behaviour in financial time series

Evripidou, Andria C.; Harvey, David I.; Leybourne, … - In: Oxford bulletin of economics and statistics 84 (2022) 3, pp. 624-650

Persistent link: https://www.econbiz.de/10013348446

CUSUM-based monitoring for explosive episodes in financial data in the presence of time-varying volatility

Astill, Sam; Harvey, David I.; Leybourne, Stephen James; … - In: Journal of financial econometrics 21 (2023) 1, pp. 187-227

Persistent link: https://www.econbiz.de/10013542862

Improved tests for stock return predictability

Harvey, David I.; Leybourne, Stephen James; Taylor, Robert - In: Econometric reviews 42 (2023) 9/10, pp. 834-861

Persistent link: https://www.econbiz.de/10014420348

Real-time monitoring of bubbles and crashes

Whitehouse, Emily J.; Harvey, David I.; Leybourne, … - In: Oxford bulletin of economics and statistics 85 (2023) 3, pp. 482-513

Persistent link: https://www.econbiz.de/10014304411

Bonferroni type tests for return predictability and the initial condition

Astill, Sam; Harvey, David I.; Leybourne, Stephen James; … - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 499-515

Persistent link: https://www.econbiz.de/10015053422

U.S. and U.K. Interest Rates 1890 - 1934: New Evidence on Structural Breaks

Newbold, P.; Leybourne, S. J.; Sollis, R.; Wohar, M. E. - Department of Economics, Trinity College Dublin - 2001

This paper presents econometric evidence on whether the founding of the Federal Reserve in 1914 caused a structural change from level-stationarity to difference-stationarity in U.S. and U.K. short-term nominal interest rates. We develop new econometric tests that allow for parameter transitions...

Persistent link: https://www.econbiz.de/10005345870

Revisiting the martingale hypothesis for exchange rates

Lee, Young-Sook (contributor); Kim, Tae-hwan (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002435695

Spurious regressions with processes around linear trends or drifts

Kim, Tai-Hwan (contributor); Lee, Young-Sook (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001762063