Search Results - "Autoregression"

Recursive right-tailed unit root tests for an explosive asset price bubble by Harvey, David I., Leybourne, Stephen J., Sollis, Robert

Subjects: “…Rational bubble; Explosive autoregression; Unit root testing…”
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Approximation for the conditional distribution of the MLE with application to autoregression by Marsh, Patrick

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Time series properties of the class of generalized first order autoregressive processes with moving average errors by Shitan, Mahendran, Shelton, Peiris

Subjects: “…Autoregression (Statistics)…”
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Inference for autoregressive and moving average models with extreme value distribution via simulation study by Samuel, Bako Sunday

Subjects: “…Autoregression (Statistics)…”
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The Co-Movement among Taiwan and International Stock Market by Chi, Ching-Hsin

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Asymptotic behaviour of tests for a unit root against an explosive alternative by Harvey, David I., Leybourne, Stephen J.

Subjects: “…Unit root testing; Explosive autoregression; Asymptotic power; Initial condition…”
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Improving the accuracy of asset price bubble start and end date estimators by Harvey, David I., Leybourne, Stephen J., Sollis, Robert

Subjects: “…Rational bubble; Explosive autoregression; Regime change; Break date estimation…”
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Real-time monitoring for explosive financial bubbles by Astill, Sam, Harvey, David I., Leybourne, Stephen J., Sollis, Robert, Taylor, A.M. Robert

Subjects: “…Rational bubble; Explosive autoregression; Real-time monitoring procedure; Subsampling…”
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Statistical inference in a random coefficient panel model by Horváth, Lajos, Trapani, Lorenzo

Subjects: “…Random Coefficient Autoregression; Panel data; WLS estimator; Common factors…”
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Volatility modeling and prediction: the role of price impact by Jiang, Ying, Cao, Yi, Liu, Xiaoquan, Zhai, Jia

Subjects: “…Market Microstructure; Chinese Stock Market; Panel Vector Autoregression; Volatility Modeling…”
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Tests for an end-of-sample bubble in financial time series by Astill, Sam, Harvey, David I., Leybourne, Stephen J., Taylor, Robert

Subjects: “…Rational bubble; Explosive autoregression; Right-tailed unit root testing: Sub-sampling…”
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Tests for explosive financial bubbles in the presence of non-stationary volatility by Harvey, David I., Leybourne, Stephen J., Sollis, Robert, Taylor, A.M. Robert

Subjects: “…Rational bubble; Explosive autoregression; Non-stationary volatility; Right-tailed unit root testing…”
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Modelling bivariate count series with excess zeros by Lee, Andy, Wang, Kui, Carrivick, Philip, Yau, K., Stevenson, M.

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Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point by Harris, David, Leybourne, Stephen J., Taylor, A.M. Robert

Subjects: “…Co-integration rank; vector autoregression; error-correction model; trend break; break point estimation; information criteria…”
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Testing explosive bubbles with time-varying volatility by Harvey, David I., Leybourne, Stephen J., Zu, Yang

Subjects: “…Rational bubble; Explosive autoregression; Time-varying volatility; Weighted least squares; Right-tailed unit root testing…”
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Econometric inference in models with nonstationary time series by Stamatogiannis, Michalis P.

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Parameter estimation of smooth threshold autoregressive models. by Nur, Darfiana

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L1 Linear Interpolator of Missing Values in Time Series by Lu, Zudi, Hui, Y.

Subjects: “…Autoregressive process…”
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Is there any link between commodity price and monetary policy? Evidence from Australia by Hassan, A., Salim, Ruhul

Subjects: “…Vector autoregressive…”
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Multivariate Prediction of Total Water Storage Changes Over West Africa from Multi-Satellite Data by Forootan, E., Kusche, J., Loth, I., Schuh, W., Eicker, A., Awange, Joseph, Longuevergne, L., Diekkruger, B., Schmidt, M., Shum, C.

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