Unit root test with high-frequency data
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Publication:5065460
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Cites work
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept
- A jump-diffusion model for option pricing
- ARCH models as diffusion approximations
- Adaptive Wild Bootstrap Tests for a Unit Root With Non‐Stationary Volatility
- Asymptotic theory for linear diffusions under alternative sampling schemes
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bubble detection and sector trading in real time
- Dating the timeline of financial bubbles during the subprime crisis
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Do 18th century `bubbles' survive the scrutiny of 21st century time series econometrics?
- Double asymptotics for explosive continuous time models
- Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results
- Financial bubble implosion and reverse regression
- Further evidence on breaking trend functions in macroeconomic variables
- Generalized autoregressive conditional heteroscedasticity
- Handbook of Volatility Models and Their Applications
- High frequency market microstructure noise estimates and liquidity measures
- How often to sample a continuous-time process in the presence of market microstructure noise
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
- New distribution theory for the estimation of structural break point in mean
- No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
- Option pricing when underlying stock returns are discontinuous
- Random coefficient continuous systems: testing for extreme sample path behavior
- Structural change in AR(1) models
- TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME
- Testing explosive bubbles with time-varying volatility
- Testing for a unit root in time series regression
- Testing for a unit root in variables with a double change in the mean
- Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500
- Testing for multiple bubbles: limit theory of real-time detectors
- Testing for unit roots in autoregressive-moving average models of unknown order
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Testing the random walk hypothesis: power versus frequency of observation
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- Time Series Regression with a Unit Root
- Towards a unified asymptotic theory for autoregression
- Unit root tests with a break in innovation variance.
- Volatility estimation and jump detection for drift-diffusion processes
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