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Long memory and structural breaks in commodity futures markets
Coakley, Jerry; Wang, Jian; Kellard, Neil - In: The journal of futures markets 31 (2011) 11, pp. 1076-1113
Persistent link: https://www.econbiz.de/10009355739
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Can exchange rate volatility explain persistence in the forward premium?
Kellard, Neil; Sarantis, Nicholas - In: Journal of empirical finance 15 (2008) 4, pp. 714-728
Persistent link: https://www.econbiz.de/10003759755
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On the prevalence of trends in primary commodity prices
Kellard, Neil; Wohar, Mark E. - In: Journal of development economics 79 (2006) 1, pp. 146-167
Persistent link: https://www.econbiz.de/10003226244
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Commodity futures returns : more memory than you might think!
Coakley, Jerry; Kellard, Neil; Wang, Jian - In: The European journal of finance 22 (2016) 13/15, pp. 1457-1483
Persistent link: https://www.econbiz.de/10011715477
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The strength of evidence for unit autoregressive roots and structural breaks : a Bayesian perspective
Marriott, John Arthur Ransome; Newbold, Paul - In: Journal of econometrics 98 (2000) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10001497668
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Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
Leybourne, Stephen James; Newbold, Paul - In: The econometrics journal 3 (2000) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10001532194
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Behavior of Dickey-Fuller t-tests when there is a break under the alternative hypothesis
Leybourne, Stephen James; Newbold, Paul - In: Econometric theory 16 (2000) 5, pp. 779-789
Persistent link: https://www.econbiz.de/10001533177
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US and UK interest rates 1890 - 1934 : new evidence on structural breaks
Newbold, Paul; Leybourne, Stephen James; Wohar, Mark E. - 2001
Persistent link: https://www.econbiz.de/10001536960
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Spurious break
Nunes, Luis C.; Kuan, Chung-ming; Newbold, Paul - 1993
Persistent link: https://www.econbiz.de/10000866015
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Seasonal unit root tests with seasonal mean shifts
Harvey, David I. (contributor);  … - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001603799