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Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity
Luger, Richard - In: Journal of econometrics 115 (2003) 2, pp. 259-276
Persistent link: https://www.econbiz.de/10001768298
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Nonlinearity, nonstationarity, and thick tails : how they interact to generate persistence in memory
Miller, J. Isaac; Park, Joon Y. - In: Journal of econometrics 155 (2010) 1, pp. 83-89
Persistent link: https://www.econbiz.de/10003965416
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Econometric analysis of present value models when the discount factor is near one
West, Kenneth D. - In: Journal of econometrics 171 (2012) 1, pp. 86-97
Persistent link: https://www.econbiz.de/10009686727
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Random walk or chaos : a formal test on the Lyapunov exponent
Park, Joon Y.; Wang, Yoon-Jae - In: Journal of econometrics 169 (2012) 1, pp. 61-74
Persistent link: https://www.econbiz.de/10009666751
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Bayesian model averaging and exchange rate forecasts
Wright, Jonathan H. - In: Journal of econometrics 146 (2008) 2, pp. 329-341
Persistent link: https://www.econbiz.de/10003782994
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Can the random walk model be beaten in out-of-sample density forecasts? : Evidence form intraday foreign exchange rates
Hong, Yongmiao; Li, Haitao; Zhao, Feng - In: Journal of econometrics 141 (2007) 2, pp. 736-776
Persistent link: https://www.econbiz.de/10003571349
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A non-parametric independence test using permutation entropy
Matilla-García, Mariano; Marín, Manuel Ruiz - In: Journal of econometrics 144 (2008) 1, pp. 139-155
Persistent link: https://www.econbiz.de/10003723626