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Bootstrapping I(1) data

Phillips, Peter C. B. - 2009

Persistent link: https://www.econbiz.de/10003795696

Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes

Andrews, Donald W. K.; Lieberman, Offer - 2002

Persistent link: https://www.econbiz.de/10001694737

Multifractality of Deutschemark US dollar exchange rates

Fisher, Adlai; Calvet, Laurent E.; Mandelbrot, Benoît B. - 1997

Persistent link: https://www.econbiz.de/10000974392

Testing the null hypothesis of stationarity against the alternative of a unit root : how sure are we that economic time series have a unit root?

Kwiatkowski, Denis E.; Phillips, Peter C. B.; Schmidt, Peter - 1991

Persistent link: https://www.econbiz.de/10000828125

Descriptive econometrics for nonstationary time series with empirical illustrations

Phillips, Peter C. B. - 1999

Persistent link: https://www.econbiz.de/10001389305

Understanding temporal aggregation effects on kurtosis in financial indices

Lieberman, Offer; Phillips, Peter C. B. - 2018

Indices of ﬁnancial returns typically display sample kurtosis that declines towards the Gaussian value 3 as the sampling interval increases. This paper uses stochastic unit root (STUR) and continuous time analysis to explain the phenomenon. Limit theory for the sample kurtosis reveals that...

Persistent link: https://www.econbiz.de/10011948760