This paper studies the empirical applications of the autocorrelation tests, the unit root tests, and the efficient estimation procedures introduced in Guo and Phillips (1999a) to daily return series for the Samp;P 500 Index and a set of eight individual stocks. As a further example of estimating...

This paper studies efficient estimation of partial linear regression in time series models. In particular, it combines two topics that have attracted a good deal of attention in econometrics, viz. spectral regression and partial linear regression, and proposes an efficient frequency domain...

The presence of conditional heteroskedasticity invalidates standard autocorrelation tests such as the Durbin-Watson statistic and its many variants, and reduces the power of standard unit root tests like the Dickey-Fuller test. This paper addresses the problem of testing for AR(1) and AR(p)...

This paper studies currency risk hedge when volatilities and correlations of forward currency contracts and underlying assets returns are all time-varying. A multivariate GARCH model withtime-varying correlations is adopted to fit the dynamic structure of the conditional volatilities and...

The outbreak of coronavirus disease 2019 (COVID-19) caused by severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) raised a global pandemic and caused over 4.2 million deaths worldwide. However, there is no specific treatment for COVID-19 patients. In this study, we noticed that male...

This paper studies efficient estimation of partial linear regression in time series models. In particular, it combines two topics that have attracted a good deal of attention in econometrics, viz. spectral regression and partial linear regression, and proposes an efficient frequency domain...