Similar Search Results

Forecasting volatility of futures market : the S&P 500 and FTSE 100 futures using high frequency returns and implied volatility

Noh, Jaesun; Kim, Tae-hwan - In: Applied economics 38 (2006) 4, pp. 395-413

Persistent link: https://www.econbiz.de/10003298646

Multi-dimensional portfolio risk and its diversification : a note

Kim, Woohwan; Kim, Youngmin; Kim, Tae-hwan; Bang, Seungbeom - In: Global finance journal 35 (2018), pp. 147-156

Persistent link: https://www.econbiz.de/10012124807

Tests for equal forecast accuracy under heteroskedasticity

Harvey, David I.; Leybourne, Stephen James; Zu, Yang - In: Journal of applied econometrics 39 (2024) 5, pp. 850-869

Persistent link: https://www.econbiz.de/10015156787

Testing for unit roots in the presence of a possible break in trend and nonstationary volatility

Cavaliere, Giuseppe; Harvey, David I.; Leybourne, … - In: Econometric theory 27 (2011) 5, pp. 957-991

Persistent link: https://www.econbiz.de/10009379762

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

Sign-based unit root tests for explosive financial bubbles in the presence of deterministically time-varying volatility

Harvey, David I.; Leybourne, Stephen James; Zu, Yang - In: Econometric theory 36 (2020) 1, pp. 122-169

Persistent link: https://www.econbiz.de/10012156819

Testing explosive bubbles with time-varying volatility

Harvey, David I.; Leybourne, Stephen James; Zu, Yang - In: Econometric reviews 38 (2019) 10, pp. 1131-1151

Persistent link: https://www.econbiz.de/10012181398

CUSUM-based monitoring for explosive episodes in financial data in the presence of time-varying volatility

Astill, Sam; Harvey, David I.; Leybourne, Stephen James; … - In: Journal of financial econometrics 21 (2023) 1, pp. 187-227

Persistent link: https://www.econbiz.de/10013542862

Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility

Cavaliere, Giuseppe - 2008

In this paper we analyse the impact of non-stationary volatility on the recently developed unit root tests which allow for a possible break in trend occurring at an unknown point in the sample, considered in Harris, Harvey, Leybourne and Taylor (2008) [HHLT]. HHLT's analysis hinges on a new...

Persistent link: https://www.econbiz.de/10012722463