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A Note on Some Properties of STUR Processes*
6 references·3 citing·39 second hop
A Note on Some Properties of STUR Processes* (2006)A Note on Some Properties of STUR Process…Modeling Dependence and Tails of Financial Time Series (2003)Modeling Dependence and Tails…Mean Reversion of Real Exchange Rates in High-Inflation Countries (1999)Mean Reversion of Real Exchan…The sample autocorrelations of heavy-tailed processes with applications to ARCH (1998)The sample autocorrelations o…Pitfalls in testing for long run relationships (1998)Pitfalls in testing for long …An introduction to stochastic unit-root processes (1997)An introduction to stochastic…Can Economic Time Series Be Differenced to Stationarity? (1996)Can Economic Time Series Be D…Testing for strict stationarity in a random coefficient autoregressive model (2020)Testing for strict stationari…Hybrid stochastic local unit roots (2019)Hybrid stochastic local unit …Summability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes (2011)Summability of stochastic pro…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Co-summability from linear to non-linear co-integration (2011)Time Series Analysis: Forecasting and Control (1977)Comparing Predictive Accuracy (1994)Varieties of long memory models (1996)Stochastic Permanent Breaks (1999)Modelling Nonlinear Economic Time Series (2010)Purchasing power parity (1978)Long-run purchasing power parity during the recent float (1993)A Consistent Test for a Unit Root (1994)Government spending and economic growth in Tanzania, 1965 - 1996 (2000)Explaining Growth: A Contest Between Models (2002)Inequality and Economic Growth: The Empirical Relationship Reconsidered in the Light of Comparable Data (2004)A geographical model for the daily and weekly seasonal volatility in the foreign exchange market (1993)Modelling Extremal Events (1997)Temporal aggregation of volatility models (2003)Modelling Financial Time Series (2007)The quantilogram: With an application to evaluating directional predictability (2007)The extremogram: A correlogram for extreme events (2009)Specification Tests in Econometrics (1978)Stock prices and domestic and international macroeconomic activity: a cointegration approach (2000)Environmental Kuznets curve in an open economy: A bounds testing and causality analysis for Tunisia (2014)Energy consumption, economic growth and carbon emissions: Cointegration and causality evidence from selected African countries (2016)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)The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Efficient Tests for an Autoregressive Unit Root (1996)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models (2022)Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations (2005)On the Tail Behavior of Sums of Dependent Risks (2006)Interdependence of oil prices and stock market indices: A copula approach (2014)
this work references cited by second hop

References

  • 1998Pitfalls in testing for long run relationships226 cited
  • 1998The sample autocorrelations of heavy-tailed processes with applications to ARCH225 cited
  • 1997An introduction to stochastic unit-root processes211 cited
  • 1996Can Economic Time Series Be Differenced to Stationarity?129 cited
  • 2003Modeling Dependence and Tails of Financial Time Series77 cited
  • 1999Mean Reversion of Real Exchange Rates in High-Inflation Countries61 cited

Cited by

  • 2020Testing for strict stationarity in a random coefficient autoregressive model17 cited
  • 2019Hybrid stochastic local unit roots17 cited
  • 2011Summability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes17 cited

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