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Items where Author is "Astill, Sam"

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Astill, Sam and Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2023) Bonferroni Type Tests for Return Predictability and the Initial Condition. Journal of Business and Economic Statistics. pp. 1-17. DOI https://doi.org/10.1080/07350015.2023.2201313

Astill, Sam and Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert and Zu, Yang (2023) CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility. Journal of Financial Econometrics, 21 (1). pp. 187-227. DOI https://doi.org/10.1093/jjfinec/nbab009

Astill, Sam and Taylor, AM Robert and Kellard, Neil and Korkos, Ioannis (2023) Using Covariates to Improve the Efficacy of Univariate Bubble Detection Methods. Journal of Empirical Finance, 70. pp. 342-366. DOI https://doi.org/10.1016/j.jempfin.2022.12.008

Astill, Sam and Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2022) Bonferroni Type Tests for Return Predictability and the Initial Condition. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)

Astill, Sam and Harvey, David and Leybourne, Stephen and Sollis, Robert and Taylor, AM Robert (2018) Real-Time Monitoring for Explosive Financial Bubbles. Journal of Time Series Analysis, 39 (6). pp. 863-891. DOI https://doi.org/10.1111/jtsa.12409

Astill, Sam and Taylor, AM Robert (2018) Robust Tests for Deterministic Seasonality and Seasonal Mean Shifts. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)

Astill, Sam and Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2017) Tests for an end-of-sample bubble in financial time series. Econometric Reviews, 36 (6-9). pp. 651-666. DOI https://doi.org/10.1080/07474938.2017.1307490

Astill, Sam and Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2014) Robust tests for a linear trend with an application to equity indices. Journal of Empirical Finance, 29 (C). pp. 168-185. DOI https://doi.org/10.1016/j.jempfin.2014.02.004

This list was generated on Thu Mar 28 15:29:41 2024 GMT.