Measuring Half-Lives Using A Non-Parametric Bootstrap Approach
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Other versions of this item:
- Guglielmo Maria Caporale & Mario Cerrato & Nicola Spagnolo, 2005. "Measuring half-lives: using a non-parametric bootstrap approach," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(1), pages 1-4, January.
- Guglielmo Maria Caporale & Mario Cerrato & Nicola Spagnolo, 2004. "Measuring Half-Lives Using A Non-Parametric Bootstrap Approach," Public Policy Discussion Papers 04-13, Economics and Finance Section, School of Social Sciences, Brunel University.
References listed on IDEAS
- Mario Cerrato & Neil Kellard & Nicholas Sarantis, 2005. "The Purchasing Power Parity Persistence Paradigm: Evidence from Black Currency Markets," Money Macro and Finance (MMF) Research Group Conference 2005 34, Money Macro and Finance Research Group.
- Lutz Kilian & Tao Zha, 2002. "Quantifying the uncertainty about the half-life of deviations from PPP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(2), pages 107-125.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Qian Chen & David E. Giles, 2007. "A Saddlepoint Approximation to the Distribution of the Half-Life Estimator in an Autoregressive Model: New Insights Into the PPP Puzzle," Econometrics Working Papers 0703, Department of Economics, University of Victoria.
- Kim, Jae H. & Ji, Philip Inyeob, 2011. "Mean-reversion in international real interest rates," Economic Modelling, Elsevier, vol. 28(4), pages 1959-1966, July.
- Kim, Jae H. & Silvapulle, Param & Hyndman, Rob J., 2007.
"Half-life estimation based on the bias-corrected bootstrap: A highest density region approach,"
Computational Statistics & Data Analysis,
Elsevier, vol. 51(7), pages 3418-3432, April.
- Jae Kim & Param Silvapulle & Rob J. Hyndman, 2006. "Half-Life Estimation based on the Bias-Corrected Bootstrap: A Highest Density Region Approach," Monash Econometrics and Business Statistics Working Papers 11/06, Monash University, Department of Econometrics and Business Statistics.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-10-18 (All new papers)
- NEP-ETS-2004-10-18 (Econometric Time Series)
- NEP-IFN-2004-10-18 (International Finance)
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