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Tests for symmetric and asymmetric nonlinear mean reversion in real exchange rates
Sollis, Robert; Leybourne, Stephen James; Newbold, Paul - In: Journal of money, credit and banking : JMCB 34 (2002) 3,1, pp. 686-699
Persistent link: https://www.econbiz.de/10001698124
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Stochastic unit roots modelling of stock price indices
Sollis, Robert; Leybourne, Stephen James; Newbold, Paul - In: Applied financial economics 10 (2000) 3, pp. 311-315
Persistent link: https://www.econbiz.de/10001526293
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Stochastic unit roots modelling of stock price indices
Sollis, Robert; Newbold, Paul; Leybourne, Stephen - In: Applied Financial Economics 10 (2000) 3, pp. 311-315
Recently developed methodology to allow the possibility of a stochastic unit root process as an alternative to a fixed parameter unit root model is applied to six national indices of stock market prices. Evidence supporting the stochastic unit root hypothesis is found. However, the...
Persistent link: https://www.econbiz.de/10009206712
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Tests for Symmetric and Asymmetric Nonlinear Mean Reversion in Real Exchange Rates
Sollis, Robert; Leybourne, Stephen; Newbold, Paul - In: Journal of money, credit and banking : JMCB 34 (2002) 3, pp. 686
Persistent link: https://www.econbiz.de/10006654204
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Special issue of Econometric theory in honor of Paul Newbold : guest editors' introduction
Leybourne, Stephen James; Taylor, Robert - In: Econometric theory 25 (2009) 6, pp. 1451-1456
Persistent link: https://www.econbiz.de/10003904365
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Recursive right-tailed unit root tests for an explosive asset price bubble
Harvey, David I.; Leybourne, Stephen James; Sollis, Robert - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 166-187
Persistent link: https://www.econbiz.de/10010519657
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Tests for explosive financial bubbles in the presence of non-stationary volatility
Harvey, David I.; Leybourne, Stephen James; Sollis, Robert - In: Journal of empirical finance 38 (2016), pp. 548-574
Persistent link: https://www.econbiz.de/10011663370
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Improving the accuracy of asset price bubble start and end date estimators
Harvey, David I.; Leybourne, Stephen James; Sollis, Robert - In: Journal of empirical finance 40 (2017), pp. 121-138
Persistent link: https://www.econbiz.de/10011744469
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Testing for co-explosive behaviour in financial time series
Evripidou, Andria C.; Harvey, David I.; Leybourne, … - In: Oxford bulletin of economics and statistics 84 (2022) 3, pp. 624-650
Persistent link: https://www.econbiz.de/10013348446
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ARTICLES - U.S. and U.K. Interest Rates, 1890-1934: New Evidence on Structural Breaks
Newbold, Paul; Leybourne, Stephen J.; Sollis, Robert; … - In: Journal of money, credit and banking : JMCB 33 (2001) 2, pp. 235-250
Persistent link: https://www.econbiz.de/10006659147