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Crypto-currency bubbles : an application of the Phillips-Shi-Yu (2013) methodology on Mt. Gox bitcoin prices
Cheung, Adrian Wai Kong; Roca, Eduardo; Su, Jen-je - In: Applied economics 47 (2015) 22/24, pp. 2348-2358
Persistent link: https://www.econbiz.de/10010516627
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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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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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A cointegration analysis of agricultural, energy and bio-fuel spot, and futures prices
Allen, David E.; Chang, Chia-Lin; McAleer, Michael; … - In: Applied economics 50 (2018) 7, pp. 804-823
Persistent link: https://www.econbiz.de/10011847174
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Volatility spillover and multivariate volatility impulse response analysis of GFC news events
Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Applied economics 49 (2017) 31/33, pp. 3246-3262
Persistent link: https://www.econbiz.de/10011774739
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Equity market price interdependence based on bootstrap causality tests : evidence from Australia and its major trading partners
Hatemi-J, Abdulnasser; Roca, Eduardo - In: Applied financial economics 17 (2007) 10/12, pp. 827-835
Persistent link: https://www.econbiz.de/10003537981
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A re-examination of the unbiased forward rate hypothesis in the presence of multiple unknown structural breaks
Hatemi-J, Abdulnasser; Roca, Eduardo - In: Applied economics 44 (2012) 10/12, pp. 1443-1448
Persistent link: https://www.econbiz.de/10009525262
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Estimating the optimal hedge ratio in the presence of potential unknown structural breaks
Hatemi-J, Abdulnasser; Roca, Eduardo - In: Applied economics 46 (2014) 7/9, pp. 790-795
Persistent link: https://www.econbiz.de/10010398935
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Panel stationarity tests for purchasing power parity with cross-sectional dependence
Harris, David; Leybourne, Stephen James; McCabe, … - In: Journal of business & economic statistics : JBES ; a … 23 (2005) 4, pp. 395-409
Persistent link: https://www.econbiz.de/10003193432