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Stochastic unit roots modelling of stock price indices
3 references·1 citing·19 second hop
Stochastic unit roots modelling of stock price indices (2000)Stochastic unit roots modelling of stock …An introduction to stochastic unit-root processes (1997)An introduction to stochastic…Randomized unit root processes for modelling and forecasting financial time series: Theory and applications (1996)Randomized unit root processe…Can Economic Time Series Be Differenced to Stationarity? (1996)Can Economic Time Series Be D…Testing for coefficient stability of AR(1) model when the null is an integrated or a stationary process (2009)Testing for coefficient stabi…Efficient Capital Markets and Martingales (1989)Convergence to Stochastic Integrals for Dependent Heterogeneous Processes (1992)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence?* (2002)The past and future of empirical finance: some personal comments (2004)Random autoregressive models: A structured overview (2022)Time Series Analysis: Forecasting and Control (1977)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Comparing Predictive Accuracy (1994)Varieties of long memory models (1996)Stochastic Permanent Breaks (1999)Modelling Nonlinear Economic Time Series (2010)Trends and random walks in macroeconmic time series (1982)Trends and random walks in macroeconomic time series (1988)Forecasting, Structural Time Series Models and the Kalman Filter (1990)On Markov error‐correction models, with an application to stock prices and dividends (2004)Testing Joint Hypotheses When One of the Alternatives is One-Sided (2006)Russian equity market linkages before and after the 1998 crisis: Evidence from stochastic and regime-switching cointegration tests (2008)Estimating deterministic trends with an integrated or stationary noise component (2009)
this work references cited by second hop

References

  • 1997An introduction to stochastic unit-root processes211 cited
  • 1996Can Economic Time Series Be Differenced to Stationarity?129 cited
  • 1996Randomized unit root processes for modelling and forecasting financial time series: Theory and applications60 cited

Cited by

  • 2009Testing for coefficient stability of AR(1) model when the null is an integrated or a stationary process13 cited

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