Author:
Lui Yiu Lim,Phillips Peter C.B.,Yu Jun
Funder
University of Auckland
Dongbei University of Finance and Economics
National Science Foundation
Ministry of Education - Singapore
Subject
Applied Mathematics,Economics and Econometrics
Reference55 articles.
1. Modeling and forecasting realized volatility;Andersen;Econometrica,2003
2. CUSUM-based monitoring for explosive financial bubbles in the presence of time varying volatility;Astill;J. Financ. Econom.,2023
3. Fractionally integrated generalized autoregressive conditional heteroskedasticity;Baillie;J. Econometrics,1996
4. Tests of convergence and long memory behavior in U.S. housing prices by state;Barros;J. Housing Res.,2014
5. Robustifying Unit Root Tests to Permanent Changes in Innovation Variance;Beare,2004