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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

Multifractality of Deutschemark US dollar exchange rates

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

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

The limiting behavior of kernel estimates of the Lyapunov exponent for stochastic time series

Whang, Yoon-Jae; Linton, Oliver - 1996

Persistent link: https://www.econbiz.de/10000621990

Series estimation of stochastic processes recent developments and econometric applications

Phillips, Peter C. B.; Liao, Zhipeng - 2012

Persistent link: https://www.econbiz.de/10009615049

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