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Stochastic conditional duration model with intraday seasonality and limit order book information

Toyabe, Tomoki; Nakatsuma, Teruo - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-25

stocks obtained from Nikkei NEEDS are used for estimation, and model selection is performed on smooth parameters, Weibull …

Persistent link: https://www.econbiz.de/10013471159

Fast and order-invariant inference in Bayesian VARs with non-parametric shocks

Huber, Florian; Koop, Gary - 2023

Persistent link: https://www.econbiz.de/10014316241

Volatility spillover in foreign exchange markets

Rajhans, Rajni Kant; Jain, Anuradha - In: Paradigm : the journal of Institute of Management Technology 19 (2015) 2, pp. 137-151

Persistent link: https://www.econbiz.de/10011761392

Random walks and market efficiency : evidence from Indian stock market

Tripathy, Nalini Prava - In: International journal of economics and business research 6 (2013) 2, pp. 210-228

Persistent link: https://www.econbiz.de/10010351158

Modeling stock market return volatility : GARCH evidence from Nifty Realty Index

Jain, Dhara; Mittal, Sachin K.; Choudhary, Vipin - In: Finance India : the quarterly journal of Indian … 36 (2022) 1, pp. 159-169

Persistent link: https://www.econbiz.de/10013349014

Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models

Burda, Martin; Maheu, John M. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 4, pp. 345-372

Persistent link: https://www.econbiz.de/10009787988

Threshold models with time-varying threshold values and their application in estimating regime-sensitive Taylor rules

Zhu, Yanli; Chen, Haiqiang; Lin, Ming - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 5, pp. 1-17

Persistent link: https://www.econbiz.de/10012198389

Deterministic seasonality in Dickey-Fuller tests : should we care?

Lopes, Artur C. B. da Silva - In: Empirical economics : a journal of the Institute for … 31 (2006) 1, pp. 165-182

Persistent link: https://www.econbiz.de/10003307069

Phillips-Perron-type unit root tests in the nonlinear ESTAR framework

Rothe, Christoph (contributor); … - 2005

In this paper, we propose Phillips-Perron type, semiparametric testing procedures to distinguish a unit root process from a mean-reverting exponential smooth transition autoregressive one. The limiting nonstandard distributions are derived under very general conditions and simulation evidence...

Persistent link: https://www.econbiz.de/10002926863

New unit root tests in the nonlinear ESTAR framework : the movement and volatility characteristics of crude oil and copper prices

Li, Yanglin - In: Computational economics 63 (2024) 5, pp. 1757-1776

Persistent link: https://www.econbiz.de/10014549246

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