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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
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Efficient estimation of copula-based semiparametric Markov models
Chen, Xiaohong; Wu, Wei Biao; Yi, Yanping - 2009
Persistent link: https://www.econbiz.de/10003808786
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Nonlinearity and temporal dependence
Chen, Xiaohong (contributor); Hansen, Lars Peter (contributor) - 2008
Persistent link: https://www.econbiz.de/10003724264
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Higher-order improvements of the parametric bootstrap for Markov processes
Andrews, Donald W. K. - 2001
Persistent link: https://www.econbiz.de/10001622513
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A bias-reduced log-periodogram regression estimator for the long-memory parameter
Andrews, Donald W. K.; Guggenberger, Patrik - 2000 - Rev.: May 2000
Persistent link: https://www.econbiz.de/10001512674
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Pooled log periodogram regression
Shimotsu, Katsumi; Phillips, Peter C. B. - 2000
Persistent link: https://www.econbiz.de/10001499557
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Exactly unbiased estimation of first order autoregressive unit root models
Andrews, Donald W. K. - 1991 - Rev
Persistent link: https://www.econbiz.de/10000828074
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Vector autoregression and causality
Toda, Hiro Y.; Phillips, Peter C. B. - 1991
Persistent link: https://www.econbiz.de/10000828076
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The spurious effect of unit roots on exogeneity tests in vector autoregressions : an analytical study
Toda, Hiro Y.; Phillips, Peter C. B. - 1991
Persistent link: https://www.econbiz.de/10000828077
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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