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A note on the size of the KPSS unit root test

Su, Jen-je; Amsler, Christine Elaine; Schmidt, Peter - In: Economics letters 117 (2012) 3, pp. 697-699

Persistent link: https://www.econbiz.de/10009680830

A robust version of the KPSS test based on indicators

Jong, Robert M. de; Amsler, Christine Elaine; Schmidt, Peter - In: Journal of econometrics 137 (2007) 2, pp. 311-333

Persistent link: https://www.econbiz.de/10003441741

A test of the null of integer integration against the alternative of fractional integration

Cho, Cheol-Keun; Amsler, Christine Elaine; Schmidt, Peter - In: Journal of econometrics 187 (2015) 1, pp. 217-237

Persistent link: https://www.econbiz.de/10011498931

Consistency of the KPSS unit root test against fractionally integrated alternative

Lee, Hyung S. - In: Economics letters 55 (1997) 2, pp. 151-160

Persistent link: https://www.econbiz.de/10001227371

A joint test for a unit root and common factor restrictions in the presence of a structual break

Lee, Junsoo - In: Structural change and economic dynamics : SC+ED 8 (1997) 2, pp. 221-232

Persistent link: https://www.econbiz.de/10001224626

Forecasting Tail Risk Measures for Financial Time Series : An Extreme Value Approach With Covariates

James, Robert; Leung, Henry; Leung, Jessica Wai Yin; … - 2021

The paper develops a tail risk forecasting model that incorporates the wealth of economic and financial information available to risk managers. The approach can be viewed as a regularized extension of the two-stage GARCH-EVT model of McNeil and Frey (2000) where we permit a time-varying...

Persistent link: https://www.econbiz.de/10013214142