Zobrazeno 1 - 10
of 128
pro vyhledávání: '"Stephen J. Leybourne"'
Publikováno v:
Journal of Business & Economic Statistics. :1-26
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::334dff513feef73980a85e404ff819b0
https://doi.org/10.1080/07350015.2023.2201313
https://doi.org/10.1080/07350015.2023.2201313
Publikováno v:
Oxford Bulletin of Economics and Statistics. 85:482-513
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a9ea73c86c36ee5f01ba9f1cec02b068
https://doi.org/10.1111/obes.12540
https://doi.org/10.1111/obes.12540
Publikováno v:
Oxford Bulletin of Economics and Statistics. 84:624-650
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::02c528669fed727d0a8889bcb0631ce8
https://doi.org/10.1111/obes.12487
https://doi.org/10.1111/obes.12487
Publikováno v:
Journal of Applied Econometrics. 36:45-70
We propose new real-time monitoring procedures for the emergence of end-of-sample predictive regimes using sequential implementations of standard (heteroskedasticity-robust) regression t-statistics for predictability applied over relatively short tim
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d8e87bd2c4d21a82dadb5ea31ad7adde
https://doi.org/10.1002/jae.2794
https://doi.org/10.1002/jae.2794
Publikováno v:
Journal of Empirical Finance. 58:226-246
Identifying the start and end dates of explosive bubble regimes has become a prominent issue in the econometric literature. Recent research has demonstrated the advantage of a model-based minimum sum of squared residuals estimator, combined with Baye
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7fb5c4b4f9355418f91293900c60603d
https://doi.org/10.1016/j.jempfin.2020.06.004
https://doi.org/10.1016/j.jempfin.2020.06.004
Publikováno v:
Econometric Theory. 36:122-169
This article considers the problem of testing for an explosive bubble in financial data in the presence of time-varying volatility. We propose a sign-based variant of the Phillips, Shi, and Yu (2015, International Economic Review 56, 1043–1077) tes
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::386aa2eb0eed858240d2fbde0dc8b704
https://doi.org/10.1017/s0266466619000057
https://doi.org/10.1017/s0266466619000057
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
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
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e6c72e1a02b46f6e976813936b2ef78a
https://doi.org/10.1111/jtsa.12409
https://doi.org/10.1111/jtsa.12409
Publikováno v:
Journal of Econometrics. 204:101-118
We consider tests for structural change, based on the SupF and Cramer-von-Mises type statistics of Andrews (1993) and Nyblom (1989), respectively, in the slope and/or intercept parameters of a predictive regression model where the predictors display
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7e6717ed540e88f8b8b66969df9f23ba
https://doi.org/10.1016/j.jeconom.2018.01.005
https://doi.org/10.1016/j.jeconom.2018.01.005
Publikováno v:
International Journal of Forecasting. 33:833-847
In this paper, we show that when computing standard Diebold-Mariano-type tests for equal forecast accuracy and forecast encompassing, the long-run variance can frequently be negative when dealing with multi-step-ahead predictions in small, but empiri
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6f712f14bdd1ec4f7ff4503a70b8a350
https://doi.org/10.1016/j.ijforecast.2017.05.001
https://doi.org/10.1016/j.ijforecast.2017.05.001