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Items where Author is "Leybourne, Stephen J"

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Number of items: 22.

Article

Astill, Sam and Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert and Zu, Yang (2021) 'CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility.' Journal of Financial Econometrics. ISSN 1479-8409

Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2021) 'Simple tests for stock return predictability with good size and power properties.' Journal of Econometrics, 224 (1). pp. 198-214. ISSN 0304-4076

Harvey, David I and Leybourne, Stephen J and Sollis, Robert and Taylor, AM Robert (2021) 'Real-Time Detection of Regimes of Predictability in the U.S. Equity Premium.' Journal of Applied Econometrics, 36 (1). pp. 45-70. ISSN 0883-7252

Iacone, Fabrizio and Leybourne, Stephen J and Taylor, AM Robert (2019) 'Testing the Order of Fractional Integration of a Time Series in the Possible Presence of a Trend Break at an Unknown Point.' Econometric Theory, 35 (6). pp. 1201-1233. ISSN 0266-4666

Georgiev, Iliyan and Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2018) 'Testing for parameter instability in predictive regression models.' Journal of Econometrics, 204 (1). pp. 101-118. ISSN 0304-4076

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. ISSN 0747-4938

Harvey, David I and Leybourne, Stephen J and Sollis, Robert and Taylor, AM Robert (2016) 'Tests for explosive financial bubbles in the presence of non-stationary volatility.' Journal of Empirical Finance, 38 (Pt.B). pp. 548-574. ISSN 0927-5398

Cavaliere, Giuseppe and Harvey, David I and Leybourne, Stephen J and Robert Taylor, AM (2015) 'Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey-Fuller Statistics.' Journal of Time Series Analysis, 36 (5). pp. 603-629. ISSN 0143-9782

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. ISSN 0927-5398

Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2014) 'On infimum Dickey–Fuller unit root tests allowing for a trend break under the null.' Computational Statistics & Data Analysis, 78. pp. 235-242. ISSN 0167-9473

Harvey, David I and Leybourne, Stephen J and Robert Taylor, AM (2014) 'Unit Root Testing under a Local Break in Trend using Partial Information on the Break Date*.' Oxford Bulletin of Economics and Statistics, 76 (1). pp. 93-111. ISSN 0305-9049

Iacone, Fabrizio and Leybourne, Stephen J and Robert Taylor, AM (2014) 'A FIXED-<i>b</i>TEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION.' Journal of Time Series Analysis, 35 (1). pp. 40-54. ISSN 0143-9782

Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2013) 'Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey–Fuller statistics.' Journal of Econometrics, 177 (2). pp. 265-284. ISSN 0304-4076

Iacone, Fabrizio and Leybourne, Stephen J and Robert Taylor, AM (2013) 'Testing for a break in trend when the order of integration is unknown.' Journal of Econometrics, 176 (1). pp. 30-45. ISSN 0304-4076

Iacone, Fabrizio and Leybourne, Stephen J and Taylor, AM Robert (2013) 'ON THE BEHAVIOR OF FIXED-<i>b</i> TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION.' Econometric Theory, 29 (2). pp. 393-418. ISSN 0266-4666

Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2012) 'Unit root testing under a local break in trend.' Journal of Econometrics, 167 (1). pp. 140-167. ISSN 0304-4076

Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2010) 'Robust methods for detecting multiple level breaks in autocorrelated time series.' Journal of Econometrics, 157 (2). pp. 342-358. ISSN 0304-4076

Monograph

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)

Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2021) Simple Tests for Stock Return Predictability with Good Size and Power Properties. Working Paper. Essex Finance Centre Working Papers. (Unpublished)

Harvey, David I and Leybourne, Stephen J and Sollis, Robert and Taylor, AM Robert (2020) Real-Time Detection of Regimes of Predictability in the U.S. Equity Premium. Working Paper. Essex Finance Centre Working Papers, Colchester, UK.. (Unpublished)

Harvey, David I and Leybourne, Stephen J and Sollis, Robert and Taylor, AM Robert (2018) Detecting Regimes of Predictability in the U.S. Equity Premium. Working Paper. Essex Finance Centre Working Papers, Colchester.

Iacone, Fabrizio and Leybourne, Stephen J and Taylor, AM Robert (2017) Testing the Order of Fractional Integration of a Time Series in the Possible Presence of a Trend Break at an Unknown Point. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)

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