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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
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Evaluating the Effectiveness of State-Switching Time Series Models for U.S. Real Output
Ashley, Richard A.; Patterson, Douglas M. - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 3, pp. 266-277
Persistent link: https://www.econbiz.de/10008222503
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A New Bispectral Test for NonLinear Serial Dependence
Rusticelli, Elena; Ashley, Richard A.; Dagum, Estela Bee; … - In: Econometric reviews 28 (2008) 1, pp. 279-294
Persistent link: https://www.econbiz.de/10009266571
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Nonlinear Dynamics, Chaos, and Instability.
Brock, William A.; Hsieh, David A.; LeBaron, Blake; … - In: The journal of finance : the journal of the American … 48 (1993) 1, pp. 404-406
Persistent link: https://www.econbiz.de/10006603708
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A Transactions Data Analysis of Nonsynchronous Trading
Kadlec, Gregory B.; Patterson, Douglas M. - In: The review of financial studies 12 (1999) 3, pp. 609-630
Persistent link: https://www.econbiz.de/10007374873
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THE INCIDENCE OF INFORMATIONAL CASCADES AND THE BEHAVIOR OF TRADE INTERARRIVAL TIMES DURING THE STOCK MARKET BUBBLE
Patterson, Douglas M.; Sharma, Vivek - In: Macroeconomic dynamics 14 (2010), pp. 111-137
Persistent link: https://www.econbiz.de/10008417352
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The cross-sectional and cross-temporal universality of nonlinear serial dependencies: Evidence from world stock indices and the Taiwan Stock Exchange
Ammermann, Peter A.; Patterson, Douglas M. - In: Pacific-Basin finance journal 11 (2003) 2, pp. 175-196
Persistent link: https://www.econbiz.de/10007233545
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Current Tax Developments
Cuddy, Michael J.; Ashley, Richard A.; Waldecker, Joseph B. - In: Best's review / Life health insurance edition 94 (1993) 1, pp. 99-101
Persistent link: https://www.econbiz.de/10006224886