H. Peter Boswijk

Available identifiers

zbMath Open boswijk.h-peterMaRDI QIDQ250877

List of research outcomes

Publication	Date of Publication	Type
Why Frequency Matters for Unit Root Testing in Financial Time Series	2025-01-20	Paper
Estimating option pricing models using a characteristic function-based linear state space representation	2025-01-16	Paper
Adaptive Testing for Cointegration With Nonstationary Volatility	2024-10-17	Paper
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models	2023-12-07	Paper
Adaptive Wild Bootstrap Tests for a Unit Root With Non‐Stationary Volatility	2022-06-24	Paper
Bootstrapping non-stationary stochastic volatility	2021-07-30	Paper
Testing for self-excitation in jumps	2018-03-22	Paper
Method of moments estimation of GO-GARCH models	2016-08-12	Paper
Cointegration in a historical perspective	2016-08-04	Paper
Inference on co-integration parameters in heteroskedastic vector autoregressions	2016-03-01	Paper
Improved likelihood ratio tests for cointegration rank in the VAR model	2014-11-24	Paper
Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors	2014-08-07	Paper
Estimating spot volatility with high-frequency financial data	2014-06-04	Paper
Mixed normal inference on multicointegration	2010-10-14	Paper
Nuisance parameter free inference on cointegration parameters in the presence of a variance shift	2010-05-27	Paper
Absorption of shocks in nonlinear autoregressive models	2009-05-29	Paper
Behavioral heterogeneity in stock prices	2009-05-18	Paper
Identifying, estimating and testing restricted cointegrated systems: An overview	2005-04-11	Paper
Semi-nonparametric cointegration testing	2003-04-02	Paper
A comparison of parametric, semi-nonparametric, adaptive, and nonparametric cointegration tests	2002-04-07	Paper
Mixed normality and ancillarity in \(I(2)\) systems	2001-09-02	Paper
Temporal aggregation in a periodically integrated autoregressive process	1998-12-14	Paper
Multiple unit roots in periodic autoregression	1998-05-03	Paper
Lagrance-multiplier tersts for weak exogeneity: a synthesis	1997-09-17	Paper
Testing for periodic integration	1997-02-28	Paper
UNIT ROOTS IN PERIODIC AUTOREGRESSIONS	1996-09-01	Paper
Efficient inference on cointegration parameters in structural error correction models	1996-03-05	Paper
Testing for an unstable root in conditional and structural error correction models	1995-01-02	Paper
A note on the asymptotics of a stochastic vector difference equation	1994-08-22	Paper

Research outcomes over time

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