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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), pp. 59-87
Persistent link: https://www.econbiz.de/10003981216
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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), pp. 137-144
Persistent link: https://www.econbiz.de/10003981220
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Detection and modeling of regression parameter variation across frequencies : with an application to testing the permanent income hypothesis
Tan, Hui Boon; Ashley, Richard A. - In: Macroeconomic dynamics 3 (1999) 1, pp. 69-83
Persistent link: https://www.econbiz.de/10001617714
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Are technology shocks nonlinear?
Altuğ, Sumru; Ashley, Richard A.; Patterson, Douglas M. - In: Macroeconomic dynamics 3 (1999) 4, pp. 506-533
Persistent link: https://www.econbiz.de/10001618378
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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), pp. 137-145
Persistent link: https://www.econbiz.de/10008417351
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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), pp. 59-88
Persistent link: https://www.econbiz.de/10008417354