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Tests for explosive financial bubbles in the presence of non-stationary volatility
Harvey, David I.; Leybourne, Stephen James; Sollis, Robert - In: Journal of empirical finance 38 (2016), pp. 548-574
Persistent link: https://www.econbiz.de/10011663370
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Date-stamping multiple bubble regimes
Harvey, David I.; Leybourne, Stephen James; Whitehouse, … - In: Journal of empirical finance 58 (2020), pp. 226-246
Persistent link: https://www.econbiz.de/10012430678
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Improving the accuracy of asset price bubble start and end date estimators
Harvey, David I.; Leybourne, Stephen James; Sollis, Robert - In: Journal of empirical finance 40 (2017), pp. 121-138
Persistent link: https://www.econbiz.de/10011744469
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Modelling inflation shifts and persistence in Tunisia : perspectives from an evolutionary spectral approach
Ftiti, Zied; Guesmi, Khaled; Nguyen, Duc Khuong; … - In: Applied economics 47 (2015) 55/57, pp. 6200-6210
Persistent link: https://www.econbiz.de/10011381288
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Spurious rejections by cointegration tests induced by structural breaks
Leybourne, Stephen James; Newbold, Paul - In: Applied economics 35 (2003) 9, pp. 1117-1121
Persistent link: https://www.econbiz.de/10001761588
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Robust tests for a linear trend with an application to equity indices
Astill, Sam; Harvey, David I.; Leybourne, Stephen James; … - In: Journal of empirical finance 29 (2014), pp. 168-185
Persistent link: https://www.econbiz.de/10011300487
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A more powerful modification of Johansen's cointegration tests
Leybourne, Stephen James; Kim, Tae-hwan; Newbold, Paul - In: Applied economics 40 (2008) 4/6, pp. 725-729
Persistent link: https://www.econbiz.de/10003722969
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A bootstrap stationarity test for predictive regression invalidity
Georgiev, Iliyan; Harvey, David I.; Leybourne, Stephen James - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 3, pp. 528-541
Persistent link: https://www.econbiz.de/10012178194
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Which power variation predicts volatility well?
Ghysels, Eric; Sohn, Bumjean - In: Journal of empirical finance 16 (2009) 4, pp. 686-700
We estimate MIDAS regressions with various (bi)power variations to predict future volatility measured via increments in quadratic variation. Instead of pre-determining the (bi)power variation we parameterize it and estimate the intra-daily return power transformation that optimally predicts...
Persistent link: https://www.econbiz.de/10003900365
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On the detection of extreme movements and persistent behaviour in Mediterranean stock markets : a wavelet-based approach
Aloui, Chaker; Nguyen, Duc Khuong - In: Applied economics 46 (2014) 22/24, pp. 2611-2622
Persistent link: https://www.econbiz.de/10010417178