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Testing efficient market hypothesis in developing Eastern European countries

Tokić, Saša; Bolfek, Berislav; Peša, Anita Radman - In: Investment management and financial innovations 15 (2018) 2, pp. 281-291

Persistent link: https://www.econbiz.de/10012055456

Testing for strict stationarity in a random coefficient autoregressive model

Trapani, Lorenzo - In: Econometric reviews 40 (2021) 3, pp. 220-256

Persistent link: https://www.econbiz.de/10012515596

A unit root test against globally stationary ESTAR models when local condition is non-stationary

Hu, Junjuan; Chen, Zhenlong - In: Economics letters 146 (2016), pp. 89-94

Persistent link: https://www.econbiz.de/10011619120

Threshold effects and unit roots of real commodity prices since the mid-nineteenth century

Clavijo-Cortes, Pedro; Campo, Jacobo; Mendoza Tolosa, … - In: Economics and Business Letters : EBL 9 (2020) 4, pp. 342-349

Persistent link: https://www.econbiz.de/10012424195

Bayesian inference for unit root in smooth transition autoregressive models and its application to OECD countries

Jaiswal, Shivam; Chaturvedi, Anoop; Bhatti, Muhammad Ishaq - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 1, pp. 25-34

Persistent link: https://www.econbiz.de/10013334612

The risk measurement under the variance-gamma process with drift switching

Ivanov, Roman V. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-27

The paper discusses an extension of the variance-gamma process with stochastic linear drift coefficient. It is assumed that the linear drift coefficient may switch to a different value at the exponentially distributed time. The size of the drift jump is supposed to have a multinomial...

Persistent link: https://www.econbiz.de/10012813564