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A new heteroskedasticity-robust test for explosive bubbles Journal article
Harvey, David I., Leybourne, Stephen J., Taylor, A. M.Robert, Zu, Yang. A new heteroskedasticity-robust test for explosive bubbles[J]. Journal of Time Series Analysis, 2024.
Authors:  Harvey, David I.;  Leybourne, Stephen J.;  Taylor, A. M.Robert;  Zu, Yang
Favorite | TC[WOS]:0 TC[Scopus]:0  IF:1.2/1.4 | Submit date：2024/11/05
Rational Bubble  Explosive Autoregression  Time-varying Volatility  Kernel Smoothing  Right-tailed Unit Root Testing  Union Of Rejections  
Robust testing for explosive behavior with strongly dependent errors Journal article
Lui, Yiu Lim, Phillips, Peter C.B., Yu, Jun. Robust testing for explosive behavior with strongly dependent errors[J]. Journal of Econometrics, 2024, 238(2), 105626.
Authors:  Lui, Yiu Lim;  Phillips, Peter C.B.;  Yu, Jun
Favorite | TC[WOS]:3 TC[Scopus]:3  IF:9.9/6.7 | Submit date：2024/02/22
Explosiveness  Har Test  Long Memory  s&p 500  Unit Root Test  
Stock price prediction based on error correction model and Granger causality test Journal article
Ning, Yang, Wah, Liu Chun, Erdan, Luo. Stock price prediction based on error correction model and Granger causality test[J]. Cluster Computing, 2019, 22, 4849-4858.
Authors:  Ning, Yang;  Wah, Liu Chun;  Erdan, Luo
Favorite | TC[WOS]:7 TC[Scopus]:16  IF:3.6/2.2 | Submit date：2022/04/15
Cointegration Test  Granger-causality  Macroeconomic Variables  Stock Market Return  Unit Root Test  
Nonparametric regression with nearly integrated regressors under long-run dependence Journal article
Cai, Zongwu, Jing, Bingyi, Kong, Xinbing, Liu, Zhi. Nonparametric regression with nearly integrated regressors under long-run dependence[J]. ECONOMETRICS JOURNAL, 2017, 20(1), 118-138.
Authors:  Cai, Zongwu;  Jing, Bingyi;  Kong, Xinbing;  Liu, Zhi
Favorite | TC[WOS]:1 TC[Scopus]:1  IF:2.9/4.8 | Submit date：2018/10/30
Local Time  Ornstein-uhlenbeck Fractional Brownian Motion  Unit Root  
Finite-sample distribution of the augmented Dickey-Fuller test with lag optimization Journal article
Pui Sun Tam. Finite-sample distribution of the augmented Dickey-Fuller test with lag optimization[J]. Applied Economics, 2012, 45(24), 3495–3511.
Authors:  Pui Sun Tam
Favorite | TC[WOS]:2 TC[Scopus]:3  IF:1.8/2.2 | Submit date：2019/11/01
Unit Root Test  Lag Optimization  Response Surface  Monte Carlo  
Relationship between Macroeconomic Variables and Net Asset Values (NAV) of Equity Funds: Cointegration Evidence and Vector Error Correction Model of the Hong Kong Mandatory Provident Funds (MPFs) Journal article
Chu, Patrick Kuok Kun. Relationship between Macroeconomic Variables and Net Asset Values (NAV) of Equity Funds: Cointegration Evidence and Vector Error Correction Model of the Hong Kong Mandatory Provident Funds (MPFs)[J]. Journal of International Financial Markets Institutions & Money, 2011, 21(5), 792-810.
Authors:  Chu, Patrick Kuok Kun
Adobe PDF | Favorite | TC[WOS]:6 TC[Scopus]:9  IF:5.4/5.3 | Submit date：2019/11/11
Pension Fund  Causality Test  Cointegration Analysis  Unit Root Test  
A panel data approach to the income convergence among Mainland China, Hong Kong and Macao Journal article
Chun Kwok Lei, Pui Sun Tam. A panel data approach to the income convergence among Mainland China, Hong Kong and Macao[J]. Journal of the Asia Pacific Economy, 2010, 15(4), 420-435.
Authors:  Chun Kwok Lei;  Pui Sun Tam
Favorite | TC[WOS]:4 TC[Scopus]:6  IF:1.4/1.8 | Submit date：2019/11/01
China  Income Convergence  Panel Unit Root  
The Price Linkages between the Equity Fund Price Levels and the Stock Markets: Evidences from Cointegration Approach and Causality Analysis of Hong Kong Mandatory Provident Fund (MPF) Journal article
Chu, Patrick Kuok Kun. The Price Linkages between the Equity Fund Price Levels and the Stock Markets: Evidences from Cointegration Approach and Causality Analysis of Hong Kong Mandatory Provident Fund (MPF)[J]. International Review of Financial Analysis, 2010, 19(4), 281-288.
Authors:  Chu, Patrick Kuok Kun
Adobe PDF | Favorite | TC[Scopus]:8 | Submit date：2019/11/11
Pension Fund  Causality Test  Cointegration Analysis  Unit Root Test