Similar Search Results - EconBiz

Multiple testing for no cointegration under nonstationary volatility

Demetrescu, Matei; Hanck, Christoph - In: Oxford bulletin of economics and statistics 80 (2018) 3, pp. 485-513

Persistent link: https://www.econbiz.de/10011969530

Testing for single bubble episode in the Nigerian stock market : an empirical investigation

Iliyasu, Jamilu; Saba, Ndayezhin D. - In: CBN journal of applied statistics 10 (2019) 1, pp. 29-49

This study evaluates a single bubble episode in the Nigerian Stock Exchange (NSE) by utilizing monthly data on nominal and real all-share index (ASI) from January 2010 to December 2017. Analysis of data based on Sup Augmented Dickey-Fuller (SADF) test for bubble detection suggests non-existence...

Persistent link: https://www.econbiz.de/10012178349

Four essays on the economics of oil and gas markets

Tischler, Benjamin - 2015

Since the 1960s hydrocarbons like crude oil and natural gas have been the most important energy source to fuel the world economy. Despite high recent growth rates for renewable energies, hydro- carbons are expected to be a dominant source of energy for several decades to come. In the last 20...

Persistent link: https://www.econbiz.de/10011475713

Testing for autocorrelation using a modified box-pierce Q test

Lobato, Ignacio N.; Nankervis, John C.; Savin, N. Eugene - In: International economic review 42 (2001) 1, pp. 187-205

Persistent link: https://www.econbiz.de/10001562214

On the robustness of Ljung-Box and McLeod-Li Q tests : a simulation study

Chen, Yi-ting (contributor) - In: Economics bulletin : EB (2002)

Persistent link: https://www.econbiz.de/10001740184

Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing

Dette, Holger (contributor); Podolskij, Mark (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002142062

Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall

Letmathe, Sebastian; Feng, Yuanhua; Uhde, André - In: Journal of risk 25 (2022) 2, pp. 75-105

Persistent link: https://www.econbiz.de/10014342468

Essays on long memory time series

Leschinski, Christian Hendrik - 2016

, Zeitreihenanalyse …

Persistent link: https://www.econbiz.de/10015205527

Weak identification of long memory with implications for inference

Li, Jia; Phillips, Peter C. B.; Shi, Shuping; Yu, Jun - 2022

Persistent link: https://www.econbiz.de/10013326614

The great moderation : updated evidence with joint tests for multiple structural changes in variance and persistence

Perron, Pierre; Yamamoto, Yohei - In: Empirical economics : a quarterly journal of the … 62 (2022) 3, pp. 1193-1218

Persistent link: https://www.econbiz.de/10012819527

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