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Consistent nonparametric specification tests for stochastic volatility models based on the return distribution

Zu, Yang; Boswijk, Herman Peter - In: Journal of empirical finance 41 (2017), pp. 53-75

Persistent link: https://www.econbiz.de/10011746959

Adaptive wild bootstrap tests for a unit root with non‐stationary volatility

Boswijk, Herman Peter; Zu, Yang - In: The econometrics journal 21 (2018) 2, pp. 87-113

Persistent link: https://www.econbiz.de/10012166602

Tests for equal forecast accuracy under heteroskedasticity

Harvey, David I.; Leybourne, Stephen James; Zu, Yang - In: Journal of applied econometrics 39 (2024) 5, pp. 850-869

Persistent link: https://www.econbiz.de/10015156787

Nonparametric specification tests for stochastic volatility models based on volatility density

Zu, Yang - In: Journal of econometrics 187 (2015) 1, pp. 323-344

Persistent link: https://www.econbiz.de/10011499459

Sign-based unit root tests for explosive financial bubbles in the presence of deterministically time-varying volatility

Harvey, David I.; Leybourne, Stephen James; Zu, Yang - In: Econometric theory 36 (2020) 1, pp. 122-169

Persistent link: https://www.econbiz.de/10012156819

Testing explosive bubbles with time-varying volatility

Harvey, David I.; Leybourne, Stephen James; Zu, Yang - In: Econometric reviews 38 (2019) 10, pp. 1131-1151

Persistent link: https://www.econbiz.de/10012181398

Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors

Garderen, Kees Jan van; Peter Boswijk, H. - In: Economics Letters 122 (2014) 2, pp. 224-228

The maximum likelihood estimator of the adjustment coefficient in a cointegrated vector autoregressive model (CVAR) is generally biased. For the case where the cointegrating vector is known in a first-order CVAR with no intercept, we derive a condition for the unbiasedness of the maximum...

Persistent link: https://www.econbiz.de/10010743683

Absorption of shocks in nonlinear autoregressive models

van Dijk, Dick; Hans Franses, Philip; Peter Boswijk, H. - In: Computational Statistics & Data Analysis 51 (2007) 9, pp. 4206-4226

Persistent link: https://www.econbiz.de/10005130467

Testing for an unstable root in conditional and structural error correction models

Peter Boswijk, H. - In: Journal of Econometrics 63 (1994) 1, pp. 37-60

Persistent link: https://www.econbiz.de/10005228788

Testing for periodic integration

Peter Boswijk, H.; Franses, Philip Hans - In: Economics Letters 48 (1995) 3-4, pp. 241-248

Persistent link: https://www.econbiz.de/10005257988