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Testing for a single-factor stochastic volatility in bivariate series

Chiba, Masaru; Kobayashi, Masahito - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 31-61

This paper proposes the Lagrange multiplier test for the null hypothesis thatthe bivariate time series has only a single common stochastic volatility factor and noidiosyncratic volatility factor. The test statistic is derived by representing the model in alinear state-space form under the...

Persistent link: https://www.econbiz.de/10011555751

Residual-based block bootstrap unit root testing in the presence of trend breaks

Ioannidis, Evangelos E. - In: The econometrics journal 8 (2005) 3, pp. 323-351

Persistent link: https://www.econbiz.de/10003209129

Adaptive wild bootstrap tests for a unit root with non‐stationary volatility

Boswijk, Herman Peter; Zu, Yang - In: The econometrics journal 21 (2018) 2, pp. 87-113

Persistent link: https://www.econbiz.de/10012166602

A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices

Qu, Zhongjun; Perron, Pierre - In: The econometrics journal 16 (2013) 3, pp. 309-339

Persistent link: https://www.econbiz.de/10010253639

Residuals-based tests for cointegration with generalized least-squares detrended data

Perron, Pierre; Rodríguez, Gabriel - In: The econometrics journal 19 (2016) 1, pp. 84-111

Persistent link: https://www.econbiz.de/10011487613

Point-optimal panel unit root tests with serially correlated errors

Moon, Hyungsik Roger; Perron, Benoit; Phillips, Peter C. B. - In: The econometrics journal 17 (2014) 3, pp. 338-372

Persistent link: https://www.econbiz.de/10010498715

Repeated surveys and the Kalman filter

Lind, Jo Thori - In: The econometrics journal 8 (2005) 3, pp. 418-427

Persistent link: https://www.econbiz.de/10003209177

Functional-coefficient models under unit root behaviour

Juhl, Ted - In: The econometrics journal 8 (2005) 2, pp. 197-213

Persistent link: https://www.econbiz.de/10003018933

Temporal disaggregation using multivariate structural time series models

Moauro, Filippo; Savio, Giovanni - In: The econometrics journal 8 (2005) 2, pp. 214-234

Persistent link: https://www.econbiz.de/10003018947

Tests for a change in persistence against the null of difference-stationarity

Leybourne, Stephen James; Kim, Tae-hwan; Smith, Vanessa; … - In: The econometrics journal 6 (2003) 2, pp. 291-311

Persistent link: https://www.econbiz.de/10001831250

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