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A hybrid joint moment ratio test for financial time series
Groenendijk, Patrick A.; Lucas, André; Vries, Casper G. de - 1998
We advocate the use of absolute moment ratio statistics in conjunctionwith standard variance ratio statistics in order to disentangle lineardependence, non-linear dependence, and leptokurtosis in financial timeseries. Both statistics are computed for multiple return horizonssimultaneously, and...
Persistent link: https://www.econbiz.de/10011299968
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The learning curve in a competitive industry
Petrakis, Emmanuel; Rasmusen, Eric; Roy, Santanu - 1994
Persistent link: https://www.econbiz.de/10000151685
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Outlier robust GMM estimation of leverage determinants
Lucas, André; Dijk, Ronald van; Kloek, Teun - 1994
Persistent link: https://www.econbiz.de/10000151692
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Testing for periodic integration
Boswijk, H. P.; Franses, Philip H. - 1992
Persistent link: https://www.econbiz.de/10000122458
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A note on state space method in time series modelling
Heij, Christiaan - 1992
Persistent link: https://www.econbiz.de/10000122465
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Nonstationarity in GARCH models : a Bayesian analysis
Kleibergen, Frank; Dijk, Herman K. van - 1993
Persistent link: https://www.econbiz.de/10000122477
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Detecting shocks : outliers and breaks in time series
Atkinson, A. C.; Kooiman, Siem J.; Shephard, Neil - 1993
Persistent link: https://www.econbiz.de/10000122498
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A Bayesian analysis of periodic integration
Franses, Philip H.; Koop, Gary - 1994
Persistent link: https://www.econbiz.de/10000122538
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Bayesian analysis of ARMA models using noninformative priors
Kleibergen, Frank; Hoek, Henk - 1997
Persistent link: https://www.econbiz.de/10000952481
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Gaussianity and nonlinearity of foreign exchange rates and macroeconomic time series
Terui, Nobuhiko; Kariya, Takeaki - 1997
Persistent link: https://www.econbiz.de/10000952482