Similar Search Results - EconBiz

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

A general limit theory for nonlinear functionals of nonstationary time series

Wang, Qiying; Phillips, Peter C. B. - 2022

Persistent link: https://www.econbiz.de/10013326692

Copula-based nonlinear quantile autoregression

Chen, Xiaohong (contributor); Koenker, Roger (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003773621

Testing linearity in cointegrating relations with an application to purchasing power parity

Hong, Seung Hyun - 2005

Persistent link: https://www.econbiz.de/10003468425

Nonlinearity and temporal dependence

Chen, Xiaohong (contributor); Hansen, Lars Peter (contributor) - 2008

Persistent link: https://www.econbiz.de/10003724264

Copula-based time series with filtered nonstationarity

Chen, Xiaohong; Xiao, Zhijie; Wang, Bo - 2020 - Final version: October 2020

Persistent link: https://www.econbiz.de/10012320594

Structural change in tail behavior and the Asian financial crisis

Quintos, Carmela E.; Fan, Zhenhong; Phillips, Peter C. B. - 2000

Persistent link: https://www.econbiz.de/10001548868

Comparing wealth effects : the stock market versus the housing market

Case, Karl E.; Quigley, John M.; Shiller, Robert J. - 2001

Persistent link: https://www.econbiz.de/10001627293

Testing for a new economy in the 1990s

Fair, Ray C. - 2002

Persistent link: https://www.econbiz.de/10001722338

A Bayesian analysis of trend determination in economic time series

Zivot, Eric; Phillips, Peter C. B. - 1991

Persistent link: https://www.econbiz.de/10000828953

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