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The Effects of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance

Rodrigues, Paulo M. M.; Rubia, Antonio - In: Oxford Bulletin of Economics and Statistics 73 (2011) 4, pp. 449-468

Persistent link: https://www.econbiz.de/10009215609

Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume

Balboa, Marina; Rodrigues, Paulo M. M.; Rubia, Antonio; … - In: Journal of Applied Econometrics 36 (2021) 5, pp. 544-565

Persistent link: https://www.econbiz.de/10012632810

On the Small Sample Properties of Dickey Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates

Rodrigues, Paulo M. M.; Rubia, Antonio - EconWPA - 2004

Testing for unit roots in short-term interest rates plays a key role in the empirical modelling of these series. It is widely assumed that the volatility of interest rates follows some time-varying function which is dependent of the level of the series. This may cause distortions in the...

Persistent link: https://www.econbiz.de/10005556282

Quantile regression for long memory testing : a case of realized volatility

Hassler, Uwe; Rodrigues, Paulo M. M.; Rubia, Antonio - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 693-724

Persistent link: https://www.econbiz.de/10011623824

Persistence in the banking industry : fractional integration and breaks in memory

Hassler, Uwe; Rodrigues, Paulo M. M.; Rubia, Antonio - In: Journal of empirical finance 29 (2014), pp. 95-112

Persistent link: https://www.econbiz.de/10011300502

On the small sample properties of Dickey Fuller and maximum likelihood unit root tests on discrete-sampled short-term interest rates

Rodrigues, Paulo M. M. (contributor); … - 2004 - [Elektronische Ressource], 1. ed.

Persistent link: https://www.econbiz.de/10002201140

Testing for the general fractional unit root hypothesis in the time domain

Hassler, Uwe; Rodrigues, Paulo M. M.; Rubia, Antonio - 2008

Persistent link: https://www.econbiz.de/10003827435

Testing for general fractional integration in the time domain

Hassler, Uwe; Rodrigues, Paulo M. M.; Rubia, Antonio - In: Econometric theory 25 (2009) 6, pp. 1793-1828

Persistent link: https://www.econbiz.de/10003904445

The effects of additive outliers and measurement errors when testing for structural breaks in variance

Rodrigues, Paulo M. M.; Rubia, Antonio - In: Oxford bulletin of economics and statistics 73 (2011) 4, pp. 449-468

Persistent link: https://www.econbiz.de/10009241614

Testing for causality in variance under nonstationarity in variance

Rodrigues, Paulo M. M.; Rubia, Antonio - In: Economics letters 97 (2007) 2, pp. 133-137

Persistent link: https://www.econbiz.de/10003575417