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On the Small Sample Properties of Dickey-Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates

Rodrigues, Paulo M. M.; Serrano, Antonio Rubia - 2004

Testing for unit roots in short-term interest rates plays a key role in the empirical modelling of these series. It is widely assumed that the volatility of interest rates follows some time-varying function which is dependent of the level of the series. This may cause distortions in the...

Persistent link: https://www.econbiz.de/10014070695

On the small sample properties of Dickey Fuller and maximum likelihood unit root tests on discrete-sampled short-term interest rates

Rodrigues, Paulo M. M. (contributor); … - 2004 - [Elektronische Ressource], 1. ed.

Persistent link: https://www.econbiz.de/10002201140

Testing for the general fractional unit root hypothesis in the time domain

Hassler, Uwe; Rodrigues, Paulo M. M.; Rubia, Antonio - 2008

Persistent link: https://www.econbiz.de/10003827435

Testing for weekly seasonal unit roots in the Spanish power pool

León Valle, Ángel Manuel; Rubia, Antonio - In: Modelling prices in competitive electricity markets, (pp. [131]-145). 2004

Persistent link: https://www.econbiz.de/10003232761