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Nonlinear common trends for the global crude oil market : Markov-switching score-driven models of the multivariate t-distribution
Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2020
Persistent link: https://www.econbiz.de/10012221928
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Prediction accuracy of bivariate score-driven risk premium and volatility filters : an illustration for the Dow Jones
Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2020
Persistent link: https://www.econbiz.de/10012310604
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Markov-switching score-driven multivariate models : outlier-robust measurement of the relationships between world crude oil production and US industrial production
Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2019
Persistent link: https://www.econbiz.de/10012158760
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Co-integration and common trends analysis with score-driven models : an application to the federal funds effective rate and US inflation rate
Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2019
Persistent link: https://www.econbiz.de/10012100515
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A time series paradox : unit root tests perform poorly when data are cointegrated
Reed, W. Robert; Smith, Aaron D. - 2016
Persistent link: https://www.econbiz.de/10011592764
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Testing for unit roots with cointergated data
Reed, W. Robert - 2015
Persistent link: https://www.econbiz.de/10011296226
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Unit root tests, size distortions, and cointegrated data
Reed, W. Robert - 2014
Persistent link: https://www.econbiz.de/10011296518
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Univariate unit root tests perform poorly when data are cointegrated
Reed, W. Robert - 2016 - Revised edition
Persistent link: https://www.econbiz.de/10011514491