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Tests for stochastic seasonality applied to daily financial time series

Andrade, I.C.; Clare, A.D.; O'Brien, R.J.; Thomas, S.H. - 1999

We develop tests for seasonal unit roots for daily data by extending the methodology of Hylleberg et al. ('Seasonal Integration and Cointegration', Journal of Econometrics, Vol. 44 (1990), No. 1–2, pp. 215–238) and apply our tests to UK and US daily stock market indices. We also investigate...

Persistent link: https://www.econbiz.de/10009458195

TESTS FOR STOCHASTIC SEASONALITY APPLIED TO DAILY FINANCIAL TIME SERIES

Andrade, I.C.; Clare, A.D.; O'Brien, R.J.; Thomas, S.H. - In: The Manchester School 67 (1999) 1, pp. 39-59

Persistent link: https://www.econbiz.de/10007820640

A multivariate study of the Fisher hypothesis and the UK stock market

Andrade, I.C. - Economics Division, University of Southampton - 1994

Persistent link: https://www.econbiz.de/10005401185

Cointegration tests and mean shifts

Andrade, I.C.; O'Brien, R.; Podivinsky, J.M. - Economics Division, University of Southampton - 1994

Persistent link: https://www.econbiz.de/10005110093