75 Kallipoleos Street
P.O. Box 20537
University of Cyprus - Department of Economics
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Structural change, historical tests, sequential tests
MIDAS Regressions, Macro Forecasting, Leads, Daily Financial Information, Daily Factors
Factor asset pricing models, ARCH filters
Rolling sample estimators, quadratic variation, volatility, efficient filtering, continuous record asymptotics, high-frequency data
change-point, break dates, ARCH, high-frequency data
Structural Change, Sequential Tests Merton Model
Structural change, CUSUM, GARCH, quadratic variation, power variation, high frequency data, Brownian bridge, boundary crossing, sequential tests, local power
growth uncertainty, learning-by-doing, monetary uncertainty, multivariate
growth uncertainty, learning-by-doing, monetary uncertainty, multivariate GARCH-in-mean, nominal rigidity
Conditional heteroskedasticity, Linear and quadratic residual auto- correlation tests, Model misspecification test, Nonlinear time series, Parameter constancy, Residual symmetry tests
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP9583.
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conditional heteroskedasticity, linear and quadratic residual autocorrelation tests, model misspecification test, nonlinear time series, parameter constancy, residual symmetry tests
Asymptotic size, discretized estimators, goodness-of-fit tests, local asymptotic normality, rank statistics, structural break tests, temporal dependence tests, two-stage inference
Statistics, estimation, testing
Inflation expectations, monetary policy, shocks, Crisis
File name: DP11306.
crisis, Inflation expectations, Monetary policy, shocks
File name: DP11307.
bias, efficiency, high-frequency volatility estimators, MIDAS regression model
structural change, sup Wald test, dynamic misspecification
File name: DP10236.
ARCH filters, Factor asset pricing models
Functional regression, Nonparametric predictability test, Nonparametric regression, Stock returns, Predictive regression
functional regression, nonparametric predictability test, nonparametric regression, predictive regression, stock returns
change-point tests, CUSUM, GARCH, high-frequency data, Kolmogorov-Smirnov, location-scale distribution family, power variation, quadratic variation
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