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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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Multifrequency-band tests for white noise under heteroscedasticity
Liu, Mengya; Zhu, Fukang; Zhu, Ke - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 799-814
Persistent link: https://www.econbiz.de/10013534533
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Testing for the martingale difference hypothesis in multivariate time series models
Wang, Guochang; Zhu, Ke; Shao, Xiaofeng - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 3, pp. 980-994
Persistent link: https://www.econbiz.de/10013539404
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The weekly structure of US stock prices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Applied financial economics 21 (2011) 22/24, pp. 1757-1764
Persistent link: https://www.econbiz.de/10009384839
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Modelling East Asian exchange rates : a Markov-switching approach
Caporale, Guglielmo Maria; Spagnolo, Nicola - In: Applied financial economics 14 (2004) 4, pp. 233-242
Persistent link: https://www.econbiz.de/10001939262
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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
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A new Pearson-type QMLE for conditionally heteroscedastic models
Zhu, Ke; Li, Wai Keung - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 4, pp. 552-565
Persistent link: https://www.econbiz.de/10011403239
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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
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Long rage dependence in daily stock returns
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Applied financial economics 14 (2004) 6, pp. 375-383
Persistent link: https://www.econbiz.de/10001970911