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ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES
16 references·0 citing·32 second hop
ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES (2009)ON DISTINGUISHING BETWEEN RANDOM WALK AND…MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS (2002)MIXING AND MOMENT PROPERTIES …Stock market prices and long-range dependence (1999)Stock market prices and long-…The detection and estimation of long memory in stochastic volatility (1998)The detection and estimation …Limit theorems in change-point analysis (1997)Limit theorems in change-poin…LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES (1994)LEAST SQUARES ESTIMATION OF A…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Testing for a Unit Root in a Time Series With a Changing Mean: Corrections and Extensions (1992)Testing for a Unit Root in a …Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Testing for a Unit Root in a Time Series With a Changing Mean (1990)Testing for a Unit Root in a …Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence (1990)Recursive and Sequential Test…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…Estimating the number of change-points via Schwarz' criterion (1988)Estimating the number of chan…Trends and random walks in macroeconmic time series (1982)Trends and random walks in ma…CONTINUOUS INSPECTION SCHEMES (1954)CONTINUOUS INSPECTION SCHEMESDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Nonstationarity and Level Shifts With an Application to Purchasing Power Parity (1992)Testing for a unit root in variables with a double change in the mean (1998)Time Series Regression with a Unit Root (1987)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)ARCH modeling in finance (1992)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Tests for Parameter Instability in Regressions with 1(1) Processes (1992)Introductory Econometrics for Finance (2008)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Modeling and pricing long memory in stock market volatility (1996)Random matrix approach to cross correlations in financial data (2002)Dealing with Structural Breaks (2005)Penalized Maximal t Test for Detecting Undocumented Mean Change in Climate Data Series (2007)Structural breaks in time series (2012)Procedures for Reacting to a Change in Distribution (1971)changepoint : An R Package for Changepoint Analysis (2014)Selective review of offline change point detection methods (2019)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The econometrics of financial markets (1996)
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References

  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1954CONTINUOUS INSPECTION SCHEMES5,731 cited
  • 1982Trends and random walks in macroeconmic time series4,670 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 1990Testing for a Unit Root in a Time Series With a Changing Mean1,180 cited
  • 1997Limit theorems in change-point analysis1,004 cited
  • 1990Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence870 cited
  • 1988Estimating the number of change-points via Schwarz' criterion628 cited
  • 1998The detection and estimation of long memory in stochastic volatility618 cited
  • 2002MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS566 cited
  • 1994LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES494 cited
  • 1999Stock market prices and long-range dependence374 cited

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  • 1992Testing for a Unit Root in a Time Series With a Changing Mean: Corrections and Extensions346 cited
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