Similar Search Results - EconBiz

Revisiting the martingale hypothesis for exchange rates

Lee, Young-Sook (contributor); Kim, Tae-hwan (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002435695

Asymptotic Mean-Squared Forecast Error When an Autoregression with Linear Trend is Fitted to Data Generated by an I(0) or I(1) Process

Kim, Tae-Hwan; Leybourne, Stephen J.; Newbold, Paul - 2004

Assume that a time series is generated by an autoregression which has atmost one unit root. A correctly specified model, including linear time trend, is estimated by ordinary least squares, but no allowance is made for any unit root in the generating process. We investigate the impact of...

Persistent link: https://www.econbiz.de/10014070645

Forecast evaluation tests in the presence of ARCH

Harvey, David I.; Leybourne, Stephen James; Newbold, Paul - In: Journal of forecasting 18 (1999) 6, pp. 435-445

Persistent link: https://www.econbiz.de/10001494029

Forecast evaluation tests in the presence of ARCH

Harvey, David I.; Leybourne, Stephen James; Newbold, Paul - 1997

Persistent link: https://www.econbiz.de/10000974766

Spurious rejections by Dickey-Fuller tests in the presence of a break under the null

Leybourne, Stephen James; Mills, Terence C.; Newbold, Paul - 1996

Persistent link: https://www.econbiz.de/10000949555

Spurious rejections by Dickey-Fuller tests in the presence of a break under the null

Leybourne, Stephen James - In: Journal of econometrics 87 (1998) 1, pp. 191-203

Persistent link: https://www.econbiz.de/10001248301

On more robust estimation of skewness and kurtosis : simulation and application to the S&P500 index

Kim, Tae-hwan; White, Halbert - 2003

Persistent link: https://www.econbiz.de/10002118385

Behaviour of cointegration tests in the presence of structural breaks in variance

Noh, Jaesun; Kim, Tae-hwan - In: Applied economics letters 10 (2003) 15, pp. 999-1002

Persistent link: https://www.econbiz.de/10001876763

Estimation, inference, and specification testing for possibly misspecified quantile regression

Kim, Tae-hwan; White, Halbert - In: Maximum likelihood estimation of misspecified models : …, (pp. 107-132). 2003

Persistent link: https://www.econbiz.de/10001916288

Two-stage Huber estimation

Kim, Tae-hwan (contributor); Muller, Christophe (contributor) - 2005 - 1. ed.

Persistent link: https://www.econbiz.de/10002816264

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