All Outputs (5)

Testing explosive bubbles with time-varying volatility (2018)
Journal Article

This paper considers the problem of testing for an explosive bubble in financial data in the presence of time-varying volatility. We propose a weighted least squares-based variant of the Phillips, Wu and Yu (2011) test for explosive autoregressive be... Read More about Testing explosive bubbles with time-varying volatility.

Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point (2018)
Journal Article

We develop a test, based on the Lagrange multiplier [LM] testing principle, for the value of the long memory parameter of a univariate time series that is composed of a fractionally integrated shock around a potentially broken deterministic trend. Ou... Read More about Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point.

Real-time monitoring for explosive financial bubbles (2018)
Journal Article

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... Read More about Real-time monitoring for explosive financial bubbles.

A Bootstrap Stationarity Test for Predictive Regression Invalidity (2018)
Journal Article

In order for predictive regression tests to deliver asymptotically valid inference, account has to be taken of the degree of persistence of the predictors under test. There is also a maintained assumption that any predictability in the variable of in... Read More about A Bootstrap Stationarity Test for Predictive Regression Invalidity.

Testing for parameter instability in predictive regression models (2018)
Journal Article

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... Read More about Testing for parameter instability in predictive regression models.