Similar Search Results

Publications Events

Retain my current filters

Search options

Open Access only

Advanced Search history

My EconBiz

Favorites

A High Frequency Assessment of the ECB Securities Markets Programme

Ghysels, Eric - 2014

Policy impact studies often suffer from endogeneity problems. Consider the case of the ECB Securities Markets Programme: If Eurosystem interventions were triggered by sudden and strong price deteriorations, looking at daily price changes may bias downwards the correlation between yields and the...

Persistent link: https://www.econbiz.de/10013059119

US and UK interest rates 1890 - 1934 : new evidence on structural breaks

Newbold, Paul; Leybourne, Stephen James; Wohar, Mark E. - 2001

Persistent link: https://www.econbiz.de/10001536960

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

Periodic autoregressive conditional heteroscedasticity

Bollerslev, Tim - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 2, pp. 139-160

Persistent link: https://www.econbiz.de/10001203173

A high frequency assessment of the ECB securities markets programme

Ghysels, Eric; Idier, Julien; Manganelli, Simone; … - 2014

Persistent link: https://www.econbiz.de/10011605687

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

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

Seasonal extraction in the presence of feedback

Ghysels, Eric - In: Journal of business & economic statistics : JBES ; a … 5 (1987) 2, pp. 191-194

Persistent link: https://www.econbiz.de/10003559445

Should macroeconomic forecasters use daily financial data and how?

Andreou, Elena; Ghysels, Eric; Kourtellos, Andros - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 240-251

Persistent link: https://www.econbiz.de/10009753968

Can economic time series be differenced to stationarity?

Leybourne, Stephen James - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 4, pp. 435-446

Persistent link: https://www.econbiz.de/10001209345