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Unit root testing with known and unknown structural breaks in property and equity markets

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Forecasting Australian unemployment rates using spectral analysis

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Modelling the expected value of the classical rescaled adjusted range for long-term dependent series

Ellis, Craig - 1998

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Are long-term return anomalies illusions? : Evidence from the spot yen

Batten, Jonathan A.; Ellis, Craig; Fetherston, Thomas Austin - In: Japan and the world economy : international journal of … 12 (2000) 4, pp. 337-349

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Scaling laws in variance as a measure of long-term dependence

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Statistical long-term dependence in currency futures markets

Batten, Jonathan A. - In: Advances in Pacific Basin financial markets 4 (1998), pp. 159-170

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Scaling relationships of Gaussian processes

Batten, Jonathan A.; Ellis, Craig - In: Economics letters 72 (2001) 3, pp. 291-296

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Transmission of the global financial crisis to the East Asian equity markets

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A stochastic approach to modelling the USD/AUD exchange rate : Implications for managing foreign exchange exposure

Ellis, Craig; Wilson, Patrick - In: International Journal of Managerial Finance 1 (2005) 1, pp. 36-48

Purpose – To develop an integrated approach to forecasting spot foreign exchange rates by incorporating some principles underlying long‐term dependence. Design/methodology/approach – The paper utilises the random‐walk framework to develop a stochastic forecast model wherein the sign...

Persistent link: https://www.econbiz.de/10014785225

A stochastic approach to modelling the USD/AUD exchange rate: Implications for managing foreign exchange exposure

Ellis, Craig; Wilson, Patrick - In: International Journal of Managerial Finance 1 (2005) January, pp. 36-48

Purpose – To develop an integrated approach to forecasting spot foreign exchange rates by incorporating some principles underlying long-term dependence. Design/methodology/approach – The paper utilises the random-walk framework to develop a stochastic forecast model wherein the sign...

Persistent link: https://www.econbiz.de/10005002480