Quantile Regression for Long Memory Testing: A Case of Realized Volatility
Uwe Hassler,
Paulo M. M. Rodrigues,
Antonio Rubia
Journal Of Financial Econometrics,
vol. 14, 2016, p. 693-724.
Persistence in the Banking Industry: Fractional Integration and Breaks in Memory
Uwe Hassler,
Paulo M. M. Rodrigues,
Antonio Rubia
Journal Of Empirical Finance,
vol. 29, 2014, p. 95-112.
The Effects of Additive Outliers and Measurement Errors When Testing for Structural Breaks in Variance
Paulo M. M. Rodrigues,
Antonio Rubia
Oxford Bulletin of Economics and Statistics,
vol. 73, 2011, p. 449-468.
Testing for General Fractional Integration in the Time Domain
Uwe Hassler,
Paulo M. M. Rodrigues,
Antonio Rubia
Econometric Theory,
vol. 25, 2009, p. 1793-1828.
A Note on Testing for Nonstationarity in Autoregressive Processes with Level Dependent Conditional Heteroskedasticity
Paulo M. M. Rodrigues,
Antonio Rubia
Statistical Papers,
vol. 49, 2008, p. 581-593.
Testing for Causality in Variance under Nonstationarity in Variance
Paulo M. M. Rodrigues,
Antonio Rubia
Economics Letters,
vol. 97, 2007, p. 133-137.
The Performance of Unit Root Tests under Level-Dependent Heteroskedasticity
Paulo M. M. Rodrigues,
Antonio Rubia
Economics Letters,
vol. 89, 2005, p. 262-268.