1 - 7 of 7 articles
Abstract Many papers in the housing literature treat the intertemporal evolution of the logarithm of US real house prices as a unit root process. They also study the cointegration relationship among the logarithm of real house prices and fundamental economic variables such as income and they...
Abstract We discuss the probabilistic properties of the variation based third and fourth moments of financial returns as estimators of the actual moments of the return distributions. The moment variations are defined under non-parametric assumptions with quadratic variation method but for the...
Abstract This paper uses Monte Carlo simulations to investigate the effects of outlier observations on the properties of linearity tests against threshold autoregressive (TAR) processes. By considering different specifications and levels of persistence for the data-generating processes, we find...
Abstract This paper examines the interaction between non-linear deterministic trends and long run dependence by means of employing Chebyshev time polynomials and assuming that the detrended series displays long memory with the pole or singularity in the spectrum occurring at one or more possibly...
Abstract In this paper we propose an enhancement of recurrence quantification analysis (RQA) performance in extracting the underlying non-linear dynamics of market index returns, under the assumption of data corrupted by additive white Gaussian noise. More specifically, first we show that the...
Abstract The ℓ 1 trend filter, which is similar to the popular Hodrick–Prescott (HP) filter, seems to be very promising because it enables us to estimate a piecewise linear trend without specifying the location and number of kink points a priori . Such a trend may be regarded as a result of...
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