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The Effect of Non-normal Disturbances and Conditional Heterskedasticity on Multiple Cointegration Tests

Silvapulle, Param; Padivinsky, J.M. - Department of Economics and Finance, La Trobe Business … - 1995

Persistent link: https://www.econbiz.de/10010541490

A Score Test for Seasonal Fraction Integration and Cointegration

Silvapulle, Param - Department of Economics and Finance, La Trobe Business … - 1996

This paper develops a time domaine score statistic for testing fractional integration at zero and seasonal frequencies in quarterly time series models.

Persistent link: https://www.econbiz.de/10010541590

Testing Stationary Nonnested Short Memory Against Long Memory Processes

Silvapulle, Param - Department of Economics and Finance, La Trobe Business … - 1995

Persistent link: https://www.econbiz.de/10010541659

Testing for Linear and Non-linear Granger Causality in the Stock Price-Volume Relation: Korean Evidence

Silvapulle, Param; Choi, Jong-Seo - Department of Economics and Finance, La Trobe Business … - 1997

In this paper, linear and non-linear Granger causality tests are used to examine the dynamic relationship between daily Korean stock returns and trading volume. We find evidence of significant bidirectional linear and non-linear causality between these two series. ARCH-type models are used to...

Persistent link: https://www.econbiz.de/10010541765

A Lagrange Multiplier Test Seasonal Fractional Integration

Silvapulle, Param - Department of Economics and Finance, La Trobe Business … - 1995

Persistent link: https://www.econbiz.de/10010541777

A Lagrange Multiplier Test Seasonal Fractional Integration

Silvapulle, Param - Department of Economics and Finance, La Trobe Business … - 1995

Persistent link: https://www.econbiz.de/10008867742

Testing Stationary Nonnested Short Memory Against Long Memory Processes

Silvapulle, Param - Department of Economics and Finance, La Trobe Business … - 1995

Persistent link: https://www.econbiz.de/10008867818

Testing for Linear and Non-linear Granger Causality in the Stock Price-Volume Relation: Korean Evidence

Silvapulle, Param; Choi, Jong-Seo - Department of Economics and Finance, La Trobe Business … - 1997

Persistent link: https://www.econbiz.de/10008867882

A Score Test for Seasonal Fraction Integration and Cointegration

Silvapulle, Param - Department of Economics and Finance, La Trobe Business … - 1996

This paper develops a time domaine score statistic for testing fractional integration at zero and seasonal frequencies in quarterly time series models.

Persistent link: https://www.econbiz.de/10008867887