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Weak identification of long memory with implications for inference

Li, Jia; Phillips, Peter C. B.; Shi, Shuping; Yu, Jun - 2022

Persistent link: https://www.econbiz.de/10013542193

Weak identification of long memory with implications for inference

Li, Jia; Phillips, Peter C. B.; Shi, Shuping; Yu, Jun - 2022

Persistent link: https://www.econbiz.de/10013326614

Testing mean stability of heteroskedastic time series

Dalla, Violetta; Giraitis, Liudas; Phillips, Peter C. B. - 2015

series. Application of the new methods to analyze the volatility properties of stock market returns leads to some unexpected …

Persistent link: https://www.econbiz.de/10011405222

Understanding temporal aggregation effects on kurtosis in financial indices

Lieberman, Offer; Phillips, Peter C. B. - 2018

Indices of ﬁnancial returns typically display sample kurtosis that declines towards the Gaussian value 3 as the sampling interval increases. This paper uses stochastic unit root (STUR) and continuous time analysis to explain the phenomenon. Limit theory for the sample kurtosis reveals that...

Persistent link: https://www.econbiz.de/10011948760