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Orthogonal expansion of Lévy process functionals : theory and practice
Dong, Chaohua; Gao, Jiti - 2013
Persistent link: https://www.econbiz.de/10009701598
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A robust test for predictability with unknown persistence
Liu, Guannan; Yao, Shuang - In: Economics letters 189 (2020), pp. 1-5
Persistent link: https://www.econbiz.de/10012228019
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Expansion and estimation of Lévy process functionals in nonlinear and nonstationary time series regression
Dong, Chaohua; Gao, Jiti - In: Econometric reviews 38 (2019) 2, pp. 125-150
Persistent link: https://www.econbiz.de/10012180710
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Pitfalls in bootstrapping spurious regression
Phillips, Peter C. B. - In: Journal of quantitative economics 19 (2021), pp. 163-217
Persistent link: https://www.econbiz.de/10013441715
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A test for second order stationarity of a multivariate time series
Jentsch, Carsten; Subba Rao, Suhasini - In: Journal of econometrics 185 (2015) 1, pp. 124-161
Persistent link: https://www.econbiz.de/10011339888
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Specification testing in nonstationary time series models
Chen, Jia; Gao, Jiti; Li, Degui; Lin, Zhengyan - In: The econometrics journal 18 (2015) 1, pp. 117-136
Persistent link: https://www.econbiz.de/10011345989
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Quasi-likelihood estimation of a threshold diffusion process
Su, Fei; Chan, Kung-sik - In: Journal of econometrics 189 (2015) 2, pp. 473-484
Persistent link: https://www.econbiz.de/10011504631
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Testing for financial crashes using the Log Periodic Power Law model
Brée, David S.; Joseph, Nathan Lael - In: International review of financial analysis 30 (2013), pp. 287-297
Persistent link: https://www.econbiz.de/10010461550
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A stochastic recurrence equation approach to stationarity and phi-mixing of a class of nonlinear ARCH models
Blasques, Francisco; Nientker, Marc - 2017
This article generalises the results of Sadi and Zakoian (2006) to a considerably larger class of nonlinear ARCH models with discontinuities, leverage e ects and robust news impact curves. We propose a new method of proof for the existence of a strictly stationary and phi-mixing solution....
Persistent link: https://www.econbiz.de/10011699508
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Testing for threshold diffusion
Su, Fei; Chan, Kung-sik - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 2, pp. 218-227
Persistent link: https://www.econbiz.de/10011704178