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Detecting evolutionary change in an augmented logistic diffusion econometric model using time-varying spectral methods
Foster, John; Wild, Phillip - 1996
Persistent link: https://www.econbiz.de/10000932754
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The application of time-varying spectra to detect evolutionary change in economic processes
Foster, John - 1995
Persistent link: https://www.econbiz.de/10000923144
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The logistic diffusion approach to econometric modelling in the presence of evolutionary change
Foster, John - 1995
Persistent link: https://www.econbiz.de/10000923145
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Testing for the existence of a generalized Wiener process : the case of stock prices
Hinich, Melvin J.; Wild, Phillip; Foster, John - 2010
In this article, we present two nonparametric trispectrum based tests for testing the hypothesis that an observed time series was generated by what we call a generalized Wiener process (GWP). Assuming the existence of a Weiner process for asset rates of return is critical to the Black- Scholes...
Persistent link: https://www.econbiz.de/10008668224
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On testing for non-linear and time irreversible probabilistic structure in high frequency ASX financial time series data
Wild, Phillip; Foster, John - 2012
Persistent link: https://www.econbiz.de/10009563439
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The use of trimming to improve the performance of tests for nonlinear serial dependence with application to the Australian national electricity market
Wild, Phillip (contributor); Hinich, Melvin J. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003714105
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Are daily and weekly load and spot price dynamics in Australia's national electricity market governed by episodic nonlinearity?
Wild, Phillip (contributor); Hinich, Melvin J. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003714111