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Stationary Processes That Look Like Random Walks The Bounded Random Walk Process In Discrete And Continuous Time

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  • Nicolau, Jo o
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    Article provided by Cambridge University Press in its journal Econometric Theory.

    Volume (Year): 18 (2002)
    Issue (Month): 01 (February)
    Pages: 99-118

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    Handle: RePEc:cup:etheor:v:18:y:2002:i:01:p:99-118_18

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    Cited by:
    1. Paulo M.M. Rodrigues & Antonio Rubia, 2004. "On The Small Sample Properties Of Dickey Fuller And Maximum Likelihood Unit Root Tests On Discrete-Sampled Short-Term Interest Rates," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) 2004-11, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    2. Ott, Herve, 2012. "Which factors drive which volatility in the grain sector?," 123rd Seminar, February 23-24, 2012, Dublin, Ireland, European Association of Agricultural Economists 122486, European Association of Agricultural Economists.
    3. Clive G. Bowsher & Roland Meeks, 2008. "Stationarity and the term structure of interest rates: a characterisation of stationary and unit root yield curves," Working Papers 0811, Federal Reserve Bank of Dallas.
    4. Rodolfo Cermeño & Bernardo D. Roth & F. Alejandro Villagómez, 2008. "Fiscal Policy and National Saving in Mexico, 1980-2006," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 23(2), pages 281-312.
    5. Magnus Gustavsson & P�R �Sterholm, 2007. "Does Unemployment Hysteresis Equal Employment Hysteresis?," The Economic Record, The Economic Society of Australia, vol. 83(261), pages 159-173, 06.
    6. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2012. "Unit roots, nonlinearities and structural breaks," CREATES Research Papers 2012-14, School of Economics and Management, University of Aarhus.
    7. Gustavsson, Magnus & Österholm, Pär, 2012. "Labor-force participation rates and the informational value of unemployment rates: Evidence from disaggregated US data," Economics Letters, Elsevier, vol. 116(3), pages 408-410.
    8. Alex Ferrer & José Casals & Sonia Sotoca, 2014. "A new approach to the unconditional measurement of default risk," Documentos de Trabajo del ICAE 2014-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    9. Giuseppe Cavaliere, 2005. "Testing mean reversion in target-zone exchange rates," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 37(20), pages 2335-2347.
    10. Meredith Beechey & Erik Hjalmarsson & Par Osterholm, 2008. "Testing the expectations hypothesis when interest rates are near integrated," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 953, Board of Governors of the Federal Reserve System (U.S.).
    11. Genberg, Hans & Hui, Cho-Hoi, 2008. "The credibility of 'The Link' from the perspective of modern financial theory," IMFS Working Paper Series 18, Institute for Monetary and Financial Stability (IMFS), Goethe University Frankfurt.
    12. Cavaliere, Giuseppe & Xu, Fang, 2014. "Testing for unit roots in bounded time series," Journal of Econometrics, Elsevier, Elsevier, vol. 178(P2), pages 259-272.
    13. De-Chih Liu, 2014. "Labor-Force Participation Rates and the Informational Value of Unemployment Rates in US: Evidence from Regional Data," Social Indicators Research, Springer, Springer, vol. 116(2), pages 447-455, April.

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