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Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns
Wright, Jonathan H. - 2000
Persistent link: https://www.econbiz.de/10001531381
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Frequency domain inference for univariate impule responses
Wright, Jonathan H. - In: Economics letters 63 (1999) 3, pp. 269-277
Persistent link: https://www.econbiz.de/10001398929
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Confidence intervals for univariate impulse responses with a near unit root
Wright, Jonathan H. - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 3, pp. 368-373
Persistent link: https://www.econbiz.de/10001493869
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Structural stability tests in the linear regression model when the regressors have roots local to unity
Wright, Jonathan H. - In: Economics letters 52 (1996) 3, pp. 257-262
Persistent link: https://www.econbiz.de/10001212510
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Exact confidence intervals for impulse responses in a Gaussian vector autoregression
Wright, Jonathan H. - 2000
Persistent link: https://www.econbiz.de/10001521727
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A co-integration based analysis of Irish purchasing power parity relationships using the Johansen procedure
Wright, Jonathan H. - In: The economic and social review 25 (1994) 3, pp. 261-278
Persistent link: https://www.econbiz.de/10001166246
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The limiting distribution of post-sample stability tests for GMM estimation when the potential break date is unknown
Wright, Jonathan H. - In: Oxford bulletin of economics and statistics 59 (1997) 2, pp. 299-303
Persistent link: https://www.econbiz.de/10001223697
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Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns
Wright, Jonathan H. - In: Econometric reviews 21 (2002) 4, pp. 397-417
Persistent link: https://www.econbiz.de/10001718218
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Testing the adequacy of conventional asymptotics in GMM
Wright, Jonathan H. - In: The econometrics journal 13 (2010) 2, pp. 205-217
Persistent link: https://www.econbiz.de/10003978511
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High frequency data, frequency domain inference and volatility forecasting
Wright, Jonathan H.; Bollerslev, Tim - 1999
Persistent link: https://www.econbiz.de/10001433207