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Evidence on purchasing power parity from univariate models : the case of smooth transition trend-stationarity

Sollis, Robert - In: Journal of applied econometrics 20 (2005) 1, pp. 79-98

Persistent link: https://www.econbiz.de/10003027416

Testing the Unit root hypothesis against TAR nonlinearity using STAR-based tests

Sollis, Robert - In: Economics letters 112 (2011) 1, pp. 19-22

Persistent link: https://www.econbiz.de/10009242181

A simple unit root test against asymmetric STAR nonlinearity with an application to real exchange rates in Nordic countries

Sollis, Robert - In: Economic modelling 26 (2009) 1, pp. 118-125

Persistent link: https://www.econbiz.de/10003816703

US dollar real exchange rates : nonlinearity revisited

Sollis, Robert - In: Journal of international money and finance 27 (2008) 4, pp. 516-528

Persistent link: https://www.econbiz.de/10003717294

Stochastic unit roots modelling of stock price indices

Sollis, Robert; Leybourne, Stephen James; Newbold, Paul - In: Applied financial economics 10 (2000) 3, pp. 311-315

Persistent link: https://www.econbiz.de/10001526293

Recursive right-tailed unit root tests for an explosive asset price bubble

Harvey, David I.; Leybourne, Stephen James; Sollis, Robert - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 166-187

Persistent link: https://www.econbiz.de/10010519657

Tests for explosive financial bubbles in the presence of non-stationary volatility

Harvey, David I.; Leybourne, Stephen James; Sollis, Robert - In: Journal of empirical finance 38 (2016), pp. 548-574

Persistent link: https://www.econbiz.de/10011663370

Asymmetric Adjustment and Smooth Transitions : A Combination of Some Unit Root Tests

Sollis, Robert - 2004

Conventional Dickey-Fuller unit root tests have been generalized to allow for nonlinearity under the alternative hypothesis by Enders and Granger [Journal of Business Economics and Statistics, 16 (1998) 304] (EG) and Leybourne, Newbold and Vougas [Journal of Time Series Analysis, 19 (1998) 83]...

Persistent link: https://www.econbiz.de/10014071720

Chapter 14 Forecasting Interest Rates: An Application of the Stochastic Unit Root and Stochastic Cointegration Frameworks

Sollis, Robert - In: Forecasting in the presence of structural breaks and …, (pp. 535-559). 2008

This paper investigates forecasting US Treasury bond and Dollar Eurocurrency rates using the stochastic unit root (STUR) model of Leybourne et al. (1996), and the stochastic cointegration (SC) model of Harris et al. (2002, 2006). Both models have time-varying parameter representations and are...

Persistent link: https://www.econbiz.de/10015382990