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Discrete Fourier transform filters : cycle extraction and Gibbs effect considerations
Hinich, Melvin J.; Foster, John; Wild, Phillip - In: Macroeconomic dynamics 13 (2009) 4, pp. 523-534
Persistent link: https://www.econbiz.de/10003888730
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Testing for the existence of a generalized Wiener process : the case of stock prices
Hinich, Melvin J.; Wild, Phillip; Foster, John - 2010
In this article, we present two nonparametric trispectrum based tests for testing the hypothesis that an observed time series was generated by what we call a generalized Wiener process (GWP). Assuming the existence of a Weiner process for asset rates of return is critical to the Black- Scholes...
Persistent link: https://www.econbiz.de/10008668224
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Identifying nonlinear serial dependence in volatile, high-frequency time series and its implications for volatility modeling
Wild, Phillip; Foster, John; Hinich, Melvin J. - In: Macroeconomic dynamics 14 (2010), pp. 88-110
Persistent link: https://www.econbiz.de/10003981218
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Are daily and weekly load and spot price dynamics in Australia's National Electricity Market governed by episodic nonlinearity?
Wild, Phillip; Hinich, Melvin J.; Foster, John - In: Energy economics 32 (2010) 5, pp. 1082-1091
Persistent link: https://www.econbiz.de/10008934303
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Structural change in macroeconomic time series: A complex systems perspective
Hinich, Melvin J.; Foster, John; Wild, Phillip - In: Journal of macroeconomics 28 (2006) 1, pp. 136-150
Persistent link: https://www.econbiz.de/10003291147
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Comments on "Structural change in macroeconomic time series"
Rothman, Philip - In: Journal of macroeconomics 28 (2006) 1, pp. 151-153
Persistent link: https://www.econbiz.de/10003291154
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Randomly modulated periodic signals in Australia's national electricity market
Foster, John; Hinich, Melvin J.; Wild, Phillip - In: The energy journal 29 (2008) 3, pp. 105-129
Persistent link: https://www.econbiz.de/10003733966
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Discrete Fourier Transform filters as business cycle extraction tools : an investigation of cycle extraction properties and applicability of 'Gibbs' Effect
Hinich, Melvin J. (contributor); Foster, John (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003714012
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An investigation of the cycle extraction properties of several bandpass filters used to identify business cycles
Hinich, Melvin J. (contributor); Foster, John (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003714016
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The use of trimming to improve the performance of tests for nonlinear serial dependence with application to the Australian national electricity market
Wild, Phillip (contributor); Hinich, Melvin J. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003714105