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High dimensional stochastic regression with latent factors, endogeneity and nonlinearity
Chang, Jinyuan; Guo, Bin; Yao, Qiwei - In: Journal of econometrics 189 (2015) 2, pp. 297-312
Persistent link: https://www.econbiz.de/10011504536
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Detecting nonlinear dependencies in eurozone peripheral equity markets : a multistep filtering approach
Avdoulas, Christos; Bekiros, Stelios; Boubaker, Sabri - In: Economic modelling 58 (2016), pp. 580-587
Persistent link: https://www.econbiz.de/10011647569
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London calling : nonlinear mean reversion across national stock markets
Kim, Hyeongwoo; Kim, Jintae - 2017
Persistent link: https://www.econbiz.de/10011703213
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London calling : nonlinear mean reversion across national stock markets
Kim, Hyeongwoo; Kim, Jintae - 2014
Persistent link: https://www.econbiz.de/10010512603
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Testing for nonlinear panel unit roots under cross-sectional dependency : with an application to the PPP hypothesis
Månsson, Kristofer; Sjölander, Pär - In: Economic modelling 38 (2014), pp. 121-132
Persistent link: https://www.econbiz.de/10010418139
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Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects
Gagliardini, Patrick; Gouriéroux, Christian - In: Journal of econometrics 208 (2019) 2, pp. 613-637
Persistent link: https://www.econbiz.de/10012149372
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Nonlinear trends in real exchange rates : a panel unit root test approach
Cushman, David O.; Michael, Nils - In: Journal of international money and finance 30 (2011) 8, pp. 1619-1637
Persistent link: https://www.econbiz.de/10009526260
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An empirical analysis of current account data
Aßmann, Christian - 2009
Persistent link: https://www.econbiz.de/10003806423
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Are the current accounts of Asian-5 economies mean-reverting? : new evidence from Fourier panel stationarity tests
Husein, Jamal; Kara, S. Murat; Pier, Chuck - In: Cogent economics & finance 11 (2023) 2, pp. 1-11
mainly employed traditional unit-root tests, our research stands out for its use of novel panel stationarity tests that …
Persistent link: https://www.econbiz.de/10014501140
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Impact of nonstationarity on estimating and modeling empirical copulas of daily stock returns
Wollschläger, Marcel; Schäfer, Rudi - In: Journal of risk 19 (2016) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10011579750