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The results of a Monte Carlo research for the Hansen Lc, MeanF and SupF stability tests for long-run relationships are reported. The tests are related to the Phillips-Hansen and Hansen semiparametric methods, which involve kernel density estimation of the long-run covariance matrix. We compare...
Persistent link: https://www.econbiz.de/10009363271
We analyze daily quotes of the BUX index, main index of the Budapest stock exchange, for period 2nd Jan. 1991–30th Sept. 2008, checking nonstationarity of series, stationarity of returns, applying the ARCH tests to the series. This period was not without its perils for the Hungarian economy....
Persistent link: https://www.econbiz.de/10008675325