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ARE TECHNOLOGY SHOCKS NONLINEAR?
Altug, Sumru; Ashley, Richard A.; Patterson, Douglas M. - In: Macroeconomic Dynamics 3 (1999) 04, pp. 506-533
Persistent link: https://www.econbiz.de/10005264867
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APPARENT LONG MEMORY IN TIME SERIES AS AN ARTIFACT OF A TIME-VARYING MEAN: CONSIDERING ALTERNATIVES TO THE FRACTIONALLY INTEGRATED MODEL
Ashley, Richard A.; Patterson, Douglas M. - In: Macroeconomic Dynamics 14 (2010) S1, pp. 59-87
Persistent link: https://www.econbiz.de/10008458634
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A TEST OF THE GARCH(1, 1) SPECIFICATION FOR DAILY STOCK RETURNS
Ashley, Richard A.; Patterson, Douglas M. - In: Macroeconomic Dynamics 14 (2010) S1, pp. 137-144
Persistent link: https://www.econbiz.de/10008458636
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THE INCIDENCE OF INFORMATIONAL CASCADES AND THE BEHAVIOR OF TRADE INTERARRIVAL TIMES DURING THE STOCK MARKET BUBBLE
Patterson, Douglas M.; Sharma, Vivek - In: Macroeconomic Dynamics 14 (2010) S1, pp. 111-136
Persistent link: https://www.econbiz.de/10008458630