Zobrazeno 1 - 8
of 8
pro vyhledávání: '"Sam Astill"'
Publikováno v:
Journal of Business & Economic Statistics. :1-26
Publikováno v:
Journal of Empirical Finance. 70:342-366
We generalize the Homm and Breitung (2012) CUSUM-based procedure for the real-time detection of explosive autoregressive episodes in financial price data to allow for time-varying volatility. Such behavior can heavily inflate the false positive rate
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6ce1722e4cf18d28dde57c8c2c258994
Autor:
Sam Astill, A. M. R. Taylor
Publikováno v:
The Econometrics Journal. 21:277-297
We develop tests for the presence of deterministic seasonal behaviour and seasonal mean shifts in a seasonally observed univariate time series. These tests are designed to be asymptotically robust to the order of integration of the series at both the
Publikováno v:
Journal of Time Series Analysis. 39:863-891
We propose new methods for the real-time detection of explosive bubbles in financial time series. Most extant methods are constructed for a fixed sample of data and, as such, are only appropriate when applied as one-shot tests. Sequential application
Publikováno v:
Oxford Bulletin of Economics and Statistics. 77:780-799
We develop a test for the presence of nonlinear deterministic components in a univariate time series, approximated using a Fourier series expansion, designed to be asymptotically robust to the order of integration of the process and to any weak depen
Publikováno v:
Journal of Time Series Analysis. 34:454-465
In this paper we propose a new procedure for detecting additive outliers in a univariate time series based on a bootstrap implementation of the test of Perron and Rodriguez (2003, Journal of Time Series Analysis 24, 193-220). This procedure is used t
In this paper we develop a testing procedure for the presence of a deterministic linear trend in a univariate time series which is robust to whether the series is I(0) or I(1) and requires no knowledge of the form of weak dependence present in the da
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::dada86b14b6ba84f65fa9c31c0d81fc9
http://eprints.nottingham.ac.uk/32665/
http://eprints.nottingham.ac.uk/32665/