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Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert and Zu, Yang (2024) A New Heteroskedasticity-Robust Test for Explosive Bubbles. Journal of Time Series Analysis. DOI https://doi.org/10.1111/jtsa.12784
Astill, Sam and Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2024) Bonferroni Type Tests for Return Predictability and the Initial Condition. Journal of Business and Economic Statistics, 42 (2). pp. 499-515. DOI https://doi.org/10.1080/07350015.2023.2201313
Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2023) Improved tests for stock return predictability. Econometric Reviews, 42 (9-10). pp. 834-861. DOI https://doi.org/10.1080/07474938.2023.2222634
Boswijk, H Peter and Cavaliere, Giuseppe and De Angelis, Luca and Taylor, AM Robert (2023) Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models. Econometric Reviews, 42 (9-10). pp. 725-757. DOI https://doi.org/10.1080/07474938.2023.2222633
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
Demetrescu, Matei and Rodrigues, Paulo MM and Taylor, AM Robert (2022) Transformed regression-based long-horizon predictability tests. Journal of Econometrics, 237 (2). p. 105316. DOI https://doi.org/10.1016/j.jeconom.2022.06.006
Demetrescu, Matei and Georgiev, Iliyan and Rodrigues, Paulo MM and Taylor, AM Robert (2022) Extensions to IVX methods of inference for return predictability. Journal of Econometrics, 237 (2). p. 105271. DOI https://doi.org/10.1016/j.jeconom.2022.02.007
Iacone, Fabrizio and Ărregaard Nielsen, Morten and Taylor, AM Robert (2022) Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks. Journal of Business and Economic Statistics, 40 (2). pp. 880-896. DOI https://doi.org/10.1080/07350015.2021.1876712
Demetrescu, Matei and Georgiev, Iliyan and Rodrigues, Paulo MM and Taylor, AM Robert (2022) Testing for Episodic Predictability in Stock Returns. Journal of Econometrics, 227 (1). pp. 85-113. DOI https://doi.org/10.1016/j.jeconom.2020.01.001
Cavaliere, Giuseppe and Ărregaard Nielsen, Morten and Taylor, AM Robert (2022) Adaptive Inference in Heteroskedastic Fractional Time Series Models. Journal of Business and Economic Statistics, 40 (1). pp. 50-65. DOI https://doi.org/10.1080/07350015.2020.1773275
Balboa, Marina and Rodrigues, Paulo MM and Rubia, Antonio and Taylor, AM Robert (2021) Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume. Journal of Applied Econometrics, 36 (5). pp. 544-565. DOI https://doi.org/10.1002/jae.2829
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
Harris, David and Kew, Hsein and Taylor, AM Robert (2020) Level Shift Estimation in the Presence of Non-stationary Volatility with an Application to the Unit Root Testing Problem. Journal of Econometrics, 219 (2). pp. 354-388. DOI https://doi.org/10.1016/j.jeconom.2020.03.008
Chambers, Marcus J and Taylor, AM Robert (2020) Deterministic Parameter Change Models in Continuous and Discrete Time. Journal of Time Series Analysis, 41 (1). pp. 134-145. DOI https://doi.org/10.1111/jtsa.12456
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
del Barrio Castro, TomĂĄs and Rodrigues, Paulo MM and Taylor, AM Robert (2019) Temporal aggregation of seasonally near-integrated processes. Journal of Time Series Analysis, 40 (6). pp. 872-886. DOI https://doi.org/10.1111/jtsa.12453
Georgiev, I and Harvey, DI and Taylor, AMR and Leybourne, SJ (2019) A Bootstrap Stationarity Test for Predictive Regression Invalidity. Journal of Business and Economic Statistics, 37 (3). pp. 528-541. DOI https://doi.org/10.1080/07350015.2017.1385467
Kapetanios, George and Papailias, Fotis and Taylor, AM Robert (2019) A Generalised Fractional Differencing Bootstrap for Long Memory Processes. Journal of Time Series Analysis, 40 (4). pp. 467-492. DOI https://doi.org/10.1111/jtsa.12460
Cavaliere, Giuseppe and Skrobotov, Anton and Taylor, AM Robert (2019) Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility. Econometric Reviews, 38 (5). pp. 509-532. DOI https://doi.org/10.1080/07474938.2017.1348684
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, S and Taylor, AMR (2018) Robust Tests for Deterministic Seasonality and Seasonal Mean Shifts. The Econometrics Journal, 21 (3). pp. 277-297. DOI https://doi.org/10.1111/ectj.12111
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
Cavaliere, Giuseppe and De Angelis, Luca and Rahbek, Anders and Taylor, AM Robert (2018) Determining the cointegration rank in heteroskedastic VAR models of unknown order. Econometric Theory, 34 (02). pp. 349-382. DOI https://doi.org/10.1017/S0266466616000335
del Barrio Castro, TomĂĄs and Rodrigues, Paulo MM and Taylor, AM Robert (2018) Semi-parametric seasonal unit root tests. Econometric Theory, 34 (02). pp. 447-476. DOI https://doi.org/10.1017/S0266466617000135
Cavaliere, Giuseppe and Georgiev, Iliyan and Taylor, AM Robert (2018) Unit root inference for non-stationary linear processes driven by infinite variance innovations. Econometric Theory, 34 (02). pp. 302-348. DOI https://doi.org/10.1017/S0266466616000037
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
Georgiev, Iliyan and Rodrigues, Paulo MM and Taylor, AM Robert (2017) Unit Root Tests and Heavy-Tailed Innovations. Journal of Time Series Analysis, 38 (5). pp. 733-768. DOI https://doi.org/10.1111/jtsa.12233
Boswijk, P and Hallin, M and Li, D and Politis, DN and Taylor, AMR (2017) Editorial: Special issue on time series econometrics. Econometrics and Statistics.
Cavaliere, Giuseppe and Nielsen, Morten Ărregaard and Taylor, AM Robert (2017) Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form. Journal of Econometrics, 198 (1). pp. 165-188. DOI https://doi.org/10.1016/j.jeconom.2017.01.008
Iacone, F and Leybourne, SJ and Taylor, AMR (2017) Testing for a Change in Mean under Fractional Integration. Journal of Time Series Econometrics, 9 (1). DOI https://doi.org/10.1515/jtse-2015-0006
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
Boswijk, P and Francq, C and Hallin, M and Taylor, AMR (2016) Editorial - Special issue on time series econometrics. Computational Statistics & Data Analysis, 100. pp. 631-632.
Cavaliere, Giuseppe and Georgiev, Iliyan and Taylor, AM Robert (2016) Sieve-based inference for infinite-variance linear processes. Annals of Statistics, 44 (4). pp. 1467-1494. DOI https://doi.org/10.1214/15-AOS1419
Harris, D and Leybourne, SJ and Taylor, AMR (2016) Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point. Journal of Econometrics, 192 (2). pp. 451-467. DOI https://doi.org/10.1016/j.jeconom.2016.02.010
Boswijk, H Peter and Cavaliere, Giuseppe and Rahbek, Anders and Taylor, AM Robert (2016) Inference on co-integration parameters in heteroskedastic vector autoregressions. Journal of Econometrics, 192 (1). pp. 64-85. DOI https://doi.org/10.1016/j.jeconom.2015.07.005
del Barrio Castro, TomĂĄs and Osborn, Denise R and Taylor, AM Robert (2016) The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests. Econometric Reviews, 35 (1). pp. 122-168. DOI https://doi.org/10.1080/07474938.2013.807710
Astill, S and Harvey, DI and Leybourne, SJ and Taylor, AMR (2015) Robust and Powerful Tests for Nonlinear Deterministic Components. Oxford Bulletin of Economics and Statistics, 77 (6). pp. 780-799. DOI https://doi.org/10.1111/obes.12079
Cavaliere, Giuseppe and Taylor, AM Robert and Trenkler, Carsten (2015) Bootstrap Coâintegration Rank Testing: The Effect of BiasâCorrecting Parameter Estimates. Oxford Bulletin of Economics and Statistics, 77 (5). pp. 740-759. DOI https://doi.org/10.1111/obes.12090
Cavaliere, Giuseppe and Nielsen, Morten Ărregaard and Taylor, AM Robert (2015) Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets. Journal of Econometrics, 187 (2). pp. 557-579. DOI https://doi.org/10.1016/j.jeconom.2015.02.039
Del Barrio Castro, TomĂĄs and Rodrigues, Paulo MM and Taylor, AM Robert (2015) On the Behaviour of PhillipsâPerron Tests in the Presence of Persistent Cycles. Oxford Bulletin of Economics and Statistics, 77 (4). pp. 495-511. DOI https://doi.org/10.1111/obes.12091
Cavaliere, Giuseppe and Phillips, Peter CB and Smeekes, Stephan and Taylor, AM Robert (2015) Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility. Econometric Reviews, 34 (4). pp. 512-536. DOI https://doi.org/10.1080/07474938.2013.808065
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 DickeyâFuller 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
Chambers, Marcus J and Ercolani, Joanne S and Taylor, AM Robert (2014) Testing for seasonal unit roots by frequency domain regression. Journal of Econometrics, 178 (Pt 2). pp. 243-258. DOI https://doi.org/10.1016/j.jeconom.2013.08.025
Chambers, Marcus J and Ercolani, Joanne S and Taylor, AM Robert (2014) Testing for seasonal unit roots by frequency domain regression. Journal of Econometrics, 178 (PART 2). pp. 243-258. DOI https://doi.org/10.1016/j.jeconom.2013.08.025
Castro, TomĂĄs del Barrio and Rodrigues, Paulo MM and Taylor, AM Robert (2013) THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS. Econometric Theory, 29 (6). pp. 1289-1313. DOI https://doi.org/10.1017/s0266466613000066
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 DickeyâFuller statistics. Journal of Econometrics, 177 (2). pp. 265-284. DOI https://doi.org/10.1016/j.jeconom.2013.04.012
Astill, S and Harvey, DI and Taylor, AMR (2013) A bootstrap test for additive outliers in non-stationary time series. Journal of Time Series Analysis, 34 (4). pp. 454-465. DOI https://doi.org/10.1111/jtsa.12033
Cavaliere, Giuseppe and Taylor, AM Robert and Trenkler, Carsten (2013) Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion. Econometric Reviews, 32 (7). pp. 814-847. DOI https://doi.org/10.1080/07474938.2012.690677
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
Cavaliere, G and Rahbek, A and Taylor, AMR (2012) Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models. Econometrica, 80 (4). pp. 1721-1740. DOI https://doi.org/10.3982/ecta9099
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
Cavaliere, Giuseppe and Rahbek, Anders and Taylor, AM Robert (2010) Testing for co-integration in vector autoregressions with non-stationary volatility. Journal of Econometrics, 158 (1). pp. 7-24. DOI https://doi.org/10.1016/j.jeconom.2010.03.003
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
Chambers, Marcus J and Phillips, Peter CB and Taylor, AM Robert (2009) <i>ECONOMETRIC THEORY</i> MEMORIAL TO ALBERT REX BERGSTROMâINTRODUCTION. Econometric Theory, 25 (4). pp. 891-900. DOI https://doi.org/10.1017/s0266466608090324
Monograph
Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert and Zu, Yang (2024) A New Heteroskedasticity-Robust Test for Explosive Bubbles. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)
Astill, Sam and Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2024) Bonferroni-Type Tests for Return Predictability with Possibly Trending Predictors. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)
Demetrescu, Matei and Rodrigues, Paulo MM and Taylor, AM Robert (2024) Predictive Quantile Regressions with Persistent and Heteroskedastic Predictors: A Powerful 2SLS Testing Approach. Working Paper. Essex Finance Centre Working Papers. (Unpublished)
Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2023) Improved Tests for Stock Return Predictability. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)
Boswijk, H Peter and Cavaliere, Giuseppe and De Angelis, Luca and Taylor, AM Robert (2022) Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)
Demetrescu, Matei and Rodrigues, Paulo MM and Taylor, AM Robert (2022) Transformed Regression-based Long-Horizon Predictability Tests. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)
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)
Demetrescu, Matei and Georgiev, Iliyan and Rodrigues, Paulo MM and Taylor, AM Robert (2022) Extensions to IVX Methods of Inference for Return Predictability. Working Paper. Essex Finance Centre Working Papers. (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)
Balboa, Marina and Rodrigues, Paulo MM and Rubia, Antonio and Taylor, AM Robert (2021) Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume. Working Paper. Essex Finance Centre Working Papers. (Unpublished)
Iacone, Fabrizio and Ărregaard Nielsen, Morten and Taylor, AM Robert (2021) Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks. 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)
Cavaliere, Giuseppe and Ărregaard Nielsen, Morten and Taylor, AM Robert (2020) Adaptive Inference in Heteroskedastic Fractional Time Series Models. Working Paper. Essex Finance Centre Woring Papers. (Unpublished)
Harris, David and Kew, Hsein and Taylor, AM Robert (2019) Level Shift Estimation in the Presence of Non-stationary Volatility with an Application to the Unit Root Testing Problem. Working Paper. Essex Finance Centre Working Papers, Colchester.
Demetrescu, Matei and Georgiev, Iliyan and Rodrigues, Paulo MM and Taylor, AM Robert (2019) Testing for Episodic Predictability in Stock Returns. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)
Kapetanios, George and Papailias, Fotis and Taylor, AM Robert (2019) A Generalised Fractional Differencing Bootstrap for Long Memory Processes. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)
Chambers, Marcus J and Taylor, AM Robert (2019) Deterministic Parameter Change Models in Continuous and Discrete Time. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)
del Barrio Castro, TomĂĄs and Rodrigues, Paulo MM and Taylor, AM Robert (2019) Temporal aggregation of seasonally near-integrated processes. Working Paper. Essex Finance Centre Working Papers, Colchester. (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.
Chambers, Marcus J and Taylor, AM Robert (2018) Time-Varying Parameters in Continuous and Discrete Time. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)
Georgiev, I and Harvey, DI and Leybourne, SJ and Taylor, AMR (2018) A Bootstrap Stationarity Test for Predictive Regression Invalidity. Working Paper. Essex Finance Centre Working Papers. (Unpublished)
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)
Georgiev, I and Harvey, DI and Leybourne, SJ and Taylor, AM (2018) Testing for Parameter Instability in Predictive Regression Models. Working Paper. Essex Finance Centre Working Papers. (Unpublished)
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)
Georgiev, I and Rodrigues, PMM and Taylor, AMR (2017) Unit Root Tests and Heavy-Tailed Innovations. UNSPECIFIED. Essex Finance Centre Working Papers.
Cavaliere, G and De Angelis, L and Rahbek, A and Taylor, AMR (2016) Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order. UNSPECIFIED. Essex Finance Centre Working Papers.
Harris, D and Leybourne, SJ and Taylor, AMR (2016) Tests of the Co-integration Rank in VAR Models in the Presence of a Possible Break in Trend at an Unknown Point. Working Paper. Essex Finance Centre Working Papers.
Del Barrio Castro, T and Rodrigues, PMM and Taylor, AMR (2015) Semi-Parametric Seasonal Unit Root Tests. UNSPECIFIED. Essex Finance Centre Working Papers.
Conference or Workshop Item
Elliott, Graham and Taylor, AM Robert (2014) Annals issue of Journal of Econometrics âRecent Advances in Time Series Econometricsâ Guest Editorsâ introduction. In: UNSPECIFIED, ? - ?.