Similar Search Results

Is lead-lag stronger under bad news? : Evidence from a complementary test

Jokivuolle, Esa; Lanne, Markku - 1997

Persistent link: https://www.econbiz.de/10000963925

Stock price adjustment under short-selling restriction : evidence from nonlinear time series tests

Jokivuolle, Esa; Lanne, Markku - 1995

Persistent link: https://www.econbiz.de/10000926351

Essays on inference in time series models with near unit roots : applications to interest rates

Lanne, Markku - 1997

Persistent link: https://www.econbiz.de/10000974874

Near unit roots, cointegration, and the term structure of interest rates

Lanne, Markku - In: Journal of applied econometrics 15 (2000) 5, pp. 513-529

Persistent link: https://www.econbiz.de/10001533584

Testing for Predictability in a Noninvertible ARMA Model

Lanne, Markku; Meitz, Mika; Saikkonen, Pentti - 2012

We develop likelihood-based tests for autocorrelation and predictability in a first order non-Gaussian and noninvertible ARMA model. Tests based on a special case of the general model, referred to as an all-pass model, are also obtained. Data generated by an all-pass process are uncorrelated...

Persistent link: https://www.econbiz.de/10010500219