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A comparison of parametric, seminonparametric, adaptive, and nonparametric cointegration tests

Boswijk, Herman Peter; Lucas, André; Taylor, Nicholas - 1999

Persistent link: https://www.econbiz.de/10001365108

A comparison of parametric semi-nonparametric, adaptive, and nonparametric cointegration tests

Boswijk, Herman Peter; Lucas, André; Taylor, Nicholas - In: Applying Kernel and nonparametric estimation to …, (pp. 25-47). 2000

Persistent link: https://www.econbiz.de/10001548459

Realised variance forecasting under Box-Cox transformations

Taylor, Nicholas - In: International journal of forecasting 33 (2017) 4, pp. 770-785

Persistent link: https://www.econbiz.de/10011746906

Risk control : who cares?

Taylor, Nicholas - In: European financial management : the journal of the … 23 (2017) 1, pp. 153-179

Persistent link: https://www.econbiz.de/10011713430

Identifiability of cointegrated systems

Boswijk, Herman Peter - 1995

Persistent link: https://www.econbiz.de/10000909278

Mixed normality and ancillarity in (2) systems

Boswijk, Herman Peter - 1996

Persistent link: https://www.econbiz.de/10000942649

Block local to unity and continous record asymptotics

Boswijk, Herman Peter - 2001

Persistent link: https://www.econbiz.de/10001616911

Testing for a unit root with near-integrated volatility

Boswijk, Herman Peter - 2001 - Rev.

This paper considers tests for a unit root when the innovations follow a near-integrated GARCH process. We compare the asymptotic properties of the likelihoodratio statistic with that of the least-squares based Dickey-Fuller statistic. We first useasymptotics where the GARCH variance process is...

Persistent link: https://www.econbiz.de/10011317451

Cointegration, identification and exogeneity : inference in structural error correction models

Boswijk, Herman Peter - 1992

Persistent link: https://www.econbiz.de/10013265215

SETS, arbitrage activity, and stock price dynamics

Taylor, Nicholas (contributor) - In: Journal of banking & finance 24 (2000) 8, pp. 1289-1306

Persistent link: https://www.econbiz.de/10001491422

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