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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 (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

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. DOI https://doi.org/10.1016/j.jeconom.2021.01.004

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. DOI https://doi.org/10.1002/jae.2794

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. DOI https://doi.org/10.1017/S0266466618000361

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. DOI https://doi.org/10.1016/j.jeconom.2018.01.005

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

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. DOI https://doi.org/10.1016/j.jempfin.2015.09.002

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. DOI https://doi.org/10.1111/jtsa.12067

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

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. DOI https://doi.org/10.1016/j.csda.2012.10.017

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. DOI https://doi.org/10.1111/obes.12013

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. DOI https://doi.org/10.1111/jtsa.12049

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. DOI https://doi.org/10.1016/j.jeconom.2013.04.012

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. DOI https://doi.org/10.1016/j.jeconom.2013.03.008

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. DOI https://doi.org/10.1017/s0266466612000291

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. DOI https://doi.org/10.1016/j.jeconom.2011.10.006

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. DOI https://doi.org/10.1016/j.jeconom.2010.02.003

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)

This list was generated on Tue Jan 31 06:28:46 2023 GMT.