The present paper utilizes the portmanteau bicorrelation test statistic of Hinich (1996) in a
rolling sample approach to capture the evolution of market efficiency over time. The …

Bringing together leading-edge research and innovative energy markets econometrics, this
book collects the authorOCOs most important recent contributions in energy economics. In …

The subsampling of a linear periodically time-varying system results in a collection of linear
time-invariant systems with common poles. This key fact, known as “lifting”, is used in a two …

This paper uses hourly electricity prices and MW hour demand for Alberta, Canada over the
deregulated period after 1996 to test for randomly modulated periodicity. In doing so, we …

We use a new statistical test based on the signal coherence function to detect subtle
periodicities in the Chilean exchange rate. We resort to a unique intraday data set that …

In this article, we use half hourly spot electricity prices and load data for the National
Electricity Market (NEM) of Australia for the period from December 1998 to June 2009 to test …

In this article, we show how tests of nonlinear serial dependence can be applied to high-
frequency time series data that exhibit high volatility, strong mean reversion, and …

We derive a definition of linear cointegration for nonlinear stochastic processes using a
martingale representation theorem. The result shows that stationary linear cointegrations …

All signals that appear to be periodic have some sort of variability from period to period
regardless of how stable they appear to be in a data plot. A true sinusoidal time series is a …

The signal coherence (SC) function was developed for detecting signals that exhibit an
inherent nondeterminism in their genesis. To allow the use of this technique as an objective …