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Testing for misspecification in the short-run component of GARCH-type models

Chuffart, Thomas; Flachaire, Emmanuel; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 5, pp. 1-17

Persistent link: https://www.econbiz.de/10011965362

A multivariate cointegration time series model and its applications in analysing stock markets in China

Zhao, Yan-Yong; Ye, Xu-Guo; Han, Zhong-Cheng - In: Economic research 33 (2020) 1,1, pp. 698-711

Persistent link: https://www.econbiz.de/10013173566

Threshold impact of remittances on real exchange rates for WAEMU : a panel smooth transition regression approach

Anoruo, Emmanuel; Afolabi, Felix; Nwala, Kingsley - In: The review of black political economy : analyzing … 51 (2024) 4, pp. 626-644

Persistent link: https://www.econbiz.de/10015195687

An empirical investigation of Purchasing Power Parity (PPP) for NORDIC countries : evidence from linear and nonlinear unit root tests

Güriş, Burak; Yasgül, Yasar Serhat; Tirasoglu, Muhammed - In: International journal of economic perspectives : IJEP 10 (2016) 1, pp. 131-137

Persistent link: https://www.econbiz.de/10011579140

Sustainability of external debt : further evidence from non-linear framework

Nasir, Abm; Noman, Abdullah M. - In: International review of applied economics 26 (2012) 5, pp. 673-685

Persistent link: https://www.econbiz.de/10009612120

Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity

Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36

The objective of this paper is to evaluate the behaviour of Nigerian Stock Exchange (NSE) sector indices. Specifically, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking Index, Consumer Goods Index, Oil & Gas Index, NSE 30...

Persistent link: https://www.econbiz.de/10011862130

Testing the null hypothesis of zero serial correlation in short panel time series: a comparison of tail probabilities

Peiris, Shelton - In: Statistical Papers 55 (2014) 2, pp. 513-523

It is known that the analysis of short panel time series data is very important in many practical problems. This paper calculates the exact moments up to order 4 under the null hypothesis of no serial correlation when there are many independent replications of size 3. We further calculate the...

Persistent link: https://www.econbiz.de/10010998600

Spatial heterogeneity in Danish urban land prices: the expansion method philosophy and variable autocorrelated residuals

Kristensen, Gustav - In: Spatial economic science : new frontiers in theory and …, (pp. 258-278). 2000

Persistent link: https://www.econbiz.de/10001509428

Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes

Dufour, Jean-Marie; Torrès, Olivier - In: Journal of econometrics 99 (2000) 2, pp. 255-289

Persistent link: https://www.econbiz.de/10001511971

Markovian processes, two-side autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes

Dufour, Jean-Marie; Torrès, Olivier - 2000

Persistent link: https://www.econbiz.de/10001504742