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Long memory versus structural breaks in modeling and forecasting realized volatility

Choi, Kyongwook; Yu, Wei-choun; Zivot, Eric - In: Journal of international money and finance 29 (2010) 5, pp. 857-875

Persistent link: https://www.econbiz.de/10003989920

Essays on the volatility of macroeconomic and financial time series

Yu, Wei-choun - 2006

Persistent link: https://www.econbiz.de/10003973905

Volatility spillovers between the US and China stock markets : structural break test with symmetric and asymmetric GARCH approaches

Moon, Gyu-hyen; Yu, Wei-choun - In: Global economic review 39 (2010) 2, pp. 129-149

Persistent link: https://www.econbiz.de/10003997793

A Bayesian time series model of multiple structural changes in level, trend, and variance

Wang, Jiahui; Zivot, Eric - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 3, pp. 374-386

Persistent link: https://www.econbiz.de/10001494009

Further evidence on the Great Crash, the oil-price shock, and the unit-root hypothesis

Zivot, Eric; Andrews, Donald W. K. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 1, pp. 25-44

Persistent link: https://www.econbiz.de/10001639874

A Comment on Weak Instrument Robust Tests in GMM and the New Keynesian Phillips Curve

Zivot, Eric - 2009

Persistent link: https://www.econbiz.de/10013160293

Postwar slowdowns and long-run growth : a Bayesian analysis of structural break models

Chen, Yi-Chi; Zivot, Eric - In: Empirical economics : a journal of the Institute for … 39 (2010) 3, pp. 897-921

Persistent link: https://www.econbiz.de/10008747582

Long memory and structural changes in the forward discount : an empirical investigation

Choi, Kyongwook; Zivot, Eric - In: Journal of international money and finance 26 (2007) 3, pp. 342-363

Persistent link: https://www.econbiz.de/10003441997

Long memory and structural changes in the forward discount : an empirical investigation

Choi, Kyongwook; Zivot, Eric - 2003

Many empirical studies find a negative correlation between the returns on the nominal spot exchange rate and the lagged forward discount. This forward discount anomaly implies that the current forward rate is a biased predictor of the future spot rate. A large number of studies in the existing...

Persistent link: https://www.econbiz.de/10011512994