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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
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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
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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
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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
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A New Bispectral Test for Nonlinear Serial Dependence
Rusticelli, Elena; Ashley, Richard A.; Dagum, Estela Bee; … - Department of Economics, Virginia Polytechnic Institute … - 2006
Persistent link: https://www.econbiz.de/10005704248
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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
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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
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Evaluating the effectiveness of state-switching time series models for US real output
Ashley, Richard A. (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002092071
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Identification of coefficients in a quadratic moving average process using the generalized method of moments : preliminary
Ashley, Richard A. (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002092126
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Evaluating the effectiveness of nonlinear time series models : a new approach
Ashley, Richard A. (contributor);  … - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001631177