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Can portmanteau nonlinearity tests serve as general mis-specification tests?: Evidence from symmetric and asymmetric GARCH models

Brooks, Chris; Henry, Olan T. - In: Economics Letters 67 (2000) 3, pp. 245-251

Persistent link: https://www.econbiz.de/10005307328

Is there a unit root in inflation?

Henry, Olan T.; Shields, Kalvinder - In: Journal of Macroeconomics 26 (2004) 3, pp. 481-500

Persistent link: https://www.econbiz.de/10005247019

Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia

Brooks, Chris; Henry, Olan T. - In: Economic Modelling 17 (2000) 4, pp. 497-513

Persistent link: https://www.econbiz.de/10005171271

Long memory in stock returns: some international evidence

Henry, Olan T. - In: Applied financial economics 12 (2002) 10, pp. 725-730

Persistent link: https://www.econbiz.de/10007660442

Modelling Trade Duration in U.S. Treasury Markets

McKenzie, Michael D. - 2010

This paper models the trading intensity of the US Treasury bond market, which has a unique expandable limit order book that distinguishes it from other asset markets. The results indicate that the trade duration exhibits significant clustering and threshold effects. Further, the time taken to...

Persistent link: https://www.econbiz.de/10013135493