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APPARENT LONG MEMORY IN TIME SERIES AS AN ARTIFACT OF A TIME-VARYING MEAN: CONSIDERING ALTERNATIVES TO THE FRACTIONALLY INTEGRATED MODEL

Ashley, Richard A.; Patterson, Douglas M. - In: Macroeconomic Dynamics 14 (2010) S1, pp. 59-87

Persistent link: https://www.econbiz.de/10008458634

A Nonparametric, Distribution-Free Test for Serial Independence in Stock Returns

Ashley, Richard A.; Patterson, Douglas M. - In: Journal of Financial and Quantitative Analysis 21 (1986) 02, pp. 221-227

A fundamental statistical test of serial independence is developed and applied to daily stock returns. Let <italic>x</italic> be the deviation of the daily return on a stock from its sample mean after any autocorrelation present has been removed. If <italic>x</italic> is serially independent, then the cumulative sum of <italic>x</italic> over...

Persistent link: https://www.econbiz.de/10005609744

Evaluating the Effectiveness of State-Switching Time Series Models for U.S. Real Output

Ashley, Richard A.; Patterson, Douglas M. - In: Journal of Business & Economic Statistics 24 (2006) July, pp. 266-277

Persistent link: https://www.econbiz.de/10005238260

ARE TECHNOLOGY SHOCKS NONLINEAR?

Altug, Sumru; Ashley, Richard A.; Patterson, Douglas M. - In: Macroeconomic Dynamics 3 (1999) 04, pp. 506-533

Persistent link: https://www.econbiz.de/10005264867

Linear versus nonlinear macroeconomies : a statistical test

Ashley, Richard A. - In: International economic review 30 (1989) 3, pp. 685-704

Persistent link: https://www.econbiz.de/10001068609

Nonlinear serial dependence in industrial stock returns

Ashley, Richard A. - In: Advances in mathematical programming and financial … 2 (1990), pp. 163-181

Persistent link: https://www.econbiz.de/10001103781

A new bispectral test for nonlinear serial dependence

Rusticelli, Elena; Ashley, Richard A.; Dagum, Estela Bee; … - In: Econometric reviews 28 (2009) 1/3, pp. 279-293

Persistent link: https://www.econbiz.de/10003800753

Apparent long memory in time series as an artifact of a time-varying mean : considering alternatives to the fractionally integrated model

Ashley, Richard A.; Patterson, Douglas M. - In: Macroeconomic dynamics 14 (2010), pp. 59-87

Persistent link: https://www.econbiz.de/10003981216

A test of the GARCH (1,1) specification for daily stock returns

Ashley, Richard A.; Patterson, Douglas M. - In: Macroeconomic dynamics 14 (2010), pp. 137-144

Persistent link: https://www.econbiz.de/10003981220

Are technology shocks nonlinear?

Altuğ, Sumru; Ashley, Richard A.; Patterson, Douglas M. - In: Macroeconomic dynamics 3 (1999) 4, pp. 506-533

Persistent link: https://www.econbiz.de/10001618378