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Testing for unit roots in flow data sampled at different frequencies

Ng, Serena - In: Economics letters 47 (1995) 3, pp. 237-242

Persistent link: https://www.econbiz.de/10001178231

Viewpoint: boosting recessions

Ng, Serena - In: The Canadian journal of economics 47 (2014) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10010373290

An analysis of the real interest rate under regime shifts

Garcia, René; Perron, Pierre - 1990 - Rev

Persistent link: https://www.econbiz.de/10000809705

Can a well-fitted equilibrium asset-pricing model produce mean reversion?

Bonomo, Marco Antonio - In: Journal of applied econometrics 9 (1994) 1, pp. 19-29

Persistent link: https://www.econbiz.de/10001153860

An analysis of the real interest rate under regime shifts

Garcia, René - In: The review of economics and statistics 78 (1996) 1, pp. 111-125

Persistent link: https://www.econbiz.de/10001202955

Measuring high-frequency causality between returns, realized volatility, and implied volatility

Dufour, Jean-Marie; Garcia, René; Taamouti, Abderrahim - In: Journal of financial econometrics : official journal of … 10 (2012) 1, pp. 124-163

Persistent link: https://www.econbiz.de/10009519709

Measuring High-Frequency Causality between Returns, Realized Volatility and Implied Volatility

Dufour, Jean-Marie - 2011

In this paper, we provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility, and find that implied...

Persistent link: https://www.econbiz.de/10013128856

The exact error in estimating the spectral density at the origin

Ng, Serena; Perron, Pierre - 1995

Persistent link: https://www.econbiz.de/10001512725

Estimation and inference in nearly unbalanced, nearly cointegrated systems

Ng, Serena; Perron, Pierre - 1995

Persistent link: https://www.econbiz.de/10001512729

An autoregressive spectral density estimator at frequency zero for nonstationarity tests

Perron, Pierre; Ng, Serena - In: Econometric theory 14 (1998) 5, pp. 560-603

Persistent link: https://www.econbiz.de/10001381121