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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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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
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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 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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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
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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
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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