H. Peter Boswijk : Citation Profile

Are you H. Peter Boswijk?

Universiteit van Amsterdam (53% share)
Tinbergen Instituut (47% share)

13

H index

19

i10 index

778

Citations

RESEARCH PRODUCTION:

40

Articles

35

Papers

RESEARCH ACTIVITY:

   31 years (1988 - 2019). See details.
   Cites by year: 25
   Journals where H. Peter Boswijk has often published
   Relations with other researchers
   Recent citing documents: 132.    Total self citations: 19 (2.38 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbo14
   Updated: 2019-10-21    RAS profile: 2019-07-29    
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Relations with other researchers

Works with:

Cavaliere, Giuseppe (3)

Taylor, Robert (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with H. Peter Boswijk.

Is cited by:

Hommes, Cars (30)

Shahbaz, Muhammad (26)

Westerhoff, Frank (23)

Paruolo, Paolo (22)

He, Xuezhong (13)

Franses, Philip Hans (12)

Lütkepohl, Helmut (11)

del Barrio Castro, Tomás (10)

Mosconi, Rocco (10)

Chiarella, Carl (9)

Ahad, Muhammad (9)

Cites to:

Johansen, Soren (31)

Phillips, Peter (18)

Lucas, Andre (18)

Franses, Philip Hans (13)

Hansen, Bruce (11)

Doornik, Jurgen (10)

Shiller, Robert (9)

Cavaliere, Giuseppe (9)

Taylor, Robert (9)

Granger, Clive (8)

Engle, Robert (8)

Main data

Where H. Peter Boswijk has published?

Journals with more than one article published# docs
Journal of Econometrics12
Econometric Theory7
Oxford Bulletin of Economics and Statistics3
Economics Letters2
Econometric Reviews2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute14
CeNDEF Working Papers / Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance5
Serie Research Memoranda / VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics2
UvA-Econometrics Working Papers / Universiteit van Amsterdam, Dept. of Econometrics2
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2

Recent works citing H. Peter Boswijk (2019 and 2018)

YearTitle of citing document
2017The role of cointegration for optimal hedging with heteroscedastic error term. (2017). Johansen, Soren ; Gatarek, Lukasz . In: CREATES Research Papers. RePEc:aah:create:2017-12.

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2019Does Agricultural Value Added Induce Environmental Degradation? Empirical Evidence from an Agrarian Country. (2019). Bekun, Festus ; Agboola, Mary O. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:19/040.

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2018A Model-Free Bubble Detection Method: Application to the World Market for Superstar Wines. (2018). Tolhurst, Tor. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274387.

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2017Agent-Based Model Calibration using Machine Learning Surrogates. (2017). Roventini, Andrea ; Lamperti, Francesco ; Sani, Amir. In: Papers. RePEc:arx:papers:1703.10639.

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2017Deep Learning in (and of) Agent-Based Models: A Prospectus. (2017). van der Hoog, Sander ; Sander van der Hoog, . In: Papers. RePEc:arx:papers:1706.06302.

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2018Structural Estimation of Behavioral Heterogeneity. (2018). Shi, Zhentao ; Zheng, Huanhuan. In: Papers. RePEc:arx:papers:1802.03735.

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2018Co-existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model. (2018). Majewski, Adam ; Bouchaud, Jean-Philippe ; Ciliberti, Stefano. In: Papers. RePEc:arx:papers:1807.11751.

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2018Bootstrapping Structural Change Tests. (2018). Cornea-Madeira, Adriana ; Boldea, Otilia ; Hall, Alastair R. In: Papers. RePEc:arx:papers:1811.04125.

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2019Non-Stationary Dividend-Price Ratios. (2019). Neokosmidis, Ioannis ; Polimenis, Vassilis . In: Papers. RePEc:arx:papers:1902.06053.

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2017ANIMAL SPIRITS, HETEROGENEOUS EXPECTATIONS, AND THE AMPLIFICATION AND DURATION OF CRISES. (2017). Hommes, Cars ; Brock, William A ; Assenza, Tiziana. In: Economic Inquiry. RePEc:bla:ecinqu:v:55:y:2017:i:1:p:542-564.

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2017On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space. (2017). Cavaliere, Giuseppe ; Rahbek, Anders ; Nielsen, Heino Bohn . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:4:p:513-534.

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2018Change Detection and the Causal Impact of the Yield Curve. (2018). Shi, Shuping ; Phillips, Peter ; Hurn, Stan ; PEter, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:966-987.

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2017System-Equation ADL Test for Threshold Cointegration with an Application to the Term Structure of Interest Rates. (2017). Li, Jing. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:1:p:1-24.

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2017Comparing behavioural heterogeneity across asset classes. (2017). ter Ellen, Saskia ; Hommes, Cars. In: Working Paper. RePEc:bno:worpap:2017_12.

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2017Heterogeneous beliefs and asset price dynamics: a survey of recent evidence. (2017). Verschoor, Willem ; ter Ellen, Saskia. In: Working Paper. RePEc:bno:worpap:2017_22.

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2018Financial Cycles, Credit Bubbles and Stabilization Policies. (2018). Corrado, Luisa ; Schuler, Tobias. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7422.

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2018Long run analysis of trade openness on economic growth for Pakistan; Evidence from standard and optimal time series tests. (2018). Rocha de Sousa, Miguel ; Israr, Fahad. In: CEFAGE-UE Working Papers. RePEc:cfe:wpcefa:2018_01.

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2018The Relationship between the Oil Price Shocks and the Stock Markets: The Example of Commonwealth of Independent States Countries. (2018). Syzdykova, Aziza. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-06-20.

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2019Contagion between asset markets: A two market heterogeneous agents model with destabilising spillover effects. (2019). Hommes, Cars ; Vroegop, Joris. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:314-333.

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2019Identifying booms and busts in house prices under heterogeneous expectations. (2019). Hommes, Cars ; Bolt, Wilko ; van der Leij, Marco ; Diks, Cees ; Demertzis, Maria. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:103:y:2019:i:c:p:234-259.

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2017Empirical properties of a heterogeneous agent model in large dimensions. (2017). Coqueret, Guillaume. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:180-201.

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2017Booms, busts and behavioural heterogeneity in stock prices. (2017). Hommes, Cars ; In, Daan . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:80:y:2017:i:c:p:101-124.

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2017On the bimodality of the distribution of the S&P 500s distortion: Empirical evidence and theoretical explanations. (2017). Westerhoff, Frank ; Schmitt, Noemi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:80:y:2017:i:c:p:34-53.

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2017Estimation of financial agent-based models with simulated maximum likelihood. (2017). Baruník, Jozef ; Kukacka, Jiri. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:85:y:2017:i:c:p:21-45.

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2018Agent-based model calibration using machine learning surrogates. (2018). Roventini, Andrea ; Sani, Amir ; Lamperti, Francesco. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:366-389.

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2018A laboratory experiment on the heuristic switching model. (2018). Tuinstra, Jan ; Chernulich, Aleksei ; Anufriev, Mikhail. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:21-42.

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2018Estimation of agent-based models using sequential Monte Carlo methods. (2018). Lux, Thomas. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:391-408.

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2018An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets. (2018). JAWADI, Fredj ; Ftiti, Zied ; Namouri, Hela. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:469-484.

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2018Time-varying arbitrage and dynamic price discovery. (2018). Frijns, Bart. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:485-502.

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2017Speculative behavior in a housing market: Boom and bust. (2017). Zheng, Min ; Wang, Shouyang. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:50-64.

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2018Asymmetric effects of government spending shocks during the financial cycle. (2018). Tsintzos, Panagiotis ; Plakandaras, Vasilios ; Pragidis, I C. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:372-387.

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2018Optimal hedge ratios for clean energy equities. (2018). Ahmad, Wasim ; Sharma, Amit ; Sadorsky, Perry. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:278-295.

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2019The macro determinants of firms and households investment: Evidence from Italy. (2019). Silvestrini, Andrea ; Marinucci, Marco ; Giordano, Claire. In: Economic Modelling. RePEc:eee:ecmode:v:78:y:2019:i:c:p:118-133.

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2019Revisiting global economic activity and crude oil prices: A wavelet analysis. (2019). Chu, Yin ; Gong, Qiang ; Chang, Chun-Ping ; Dong, Minyi. In: Economic Modelling. RePEc:eee:ecmode:v:78:y:2019:i:c:p:134-149.

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2017Mispricing and trader positions in the S&P 500 index futures market. (2017). Lai, Ya-Wen ; Tang, Mei-Ling ; Lin, Chiou-Fa. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:250-265.

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2019Evaluation of multivariate GARCH models in an optimal asset allocation framework. (2019). Hasim, Haslifah M ; Vrontos, Spyridon ; Abdul, Nor Syahilla. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:568-596.

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2018On bootstrap implementation of likelihood ratio test for a unit root. (2018). Skrobotov, Anton. In: Economics Letters. RePEc:eee:ecolet:v:171:y:2018:i:c:p:154-158.

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2017Identification conditions in simultaneous systems of cointegrating equations with integrated variables of higher order. (2017). Paruolo, Paolo ; Mosconi, Rocco . In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:2:p:271-276.

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2017A unifying theory of tests of rank. (2017). Al-Sadoon, Majid. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:1:p:49-62.

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2017Inference in continuous systems with mildly explosive regressors. (2017). Yu, Jun ; Phillips, Peter ; Chen, YE ; PEter, ; JunYu, . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:400-416.

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2018Testing for parameter instability in predictive regression models. (2018). Taylor, Robert ; Leybourne, Stephen ; Harvey, David ; Robert, A M ; Georgiev, Iliyan. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:101-118.

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2018Testing for jumps and jump intensity path dependence. (2018). Corradi, Valentina ; Swanson, Norman R ; Silvapulle, Mervyn J. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:248-267.

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2019Determination of vector error correction models in high dimensions. (2019). Schienle, Melanie ; Liang, Chong. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:418-441.

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2018An information theoretic criterion for empirical validation of simulation models. (2018). Lamperti, Francesco. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:83-106.

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2018Is crude oil price detrimental to domestic private investment for an emerging economy? The role of public sector investment and financial sector development in an era of globalization. (2018). Mahalik, Mantu ; Sahoo, Manoranjan ; Mallick, Hrushikesh. In: Energy Economics. RePEc:eee:eneeco:v:69:y:2018:i:c:p:307-324.

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2017Financial development and energy demand in the United States: New evidence from combined cointegration and asymmetric causality tests. (2017). solarin, sakiru ; FARHANI, Sahbi. In: Energy. RePEc:eee:energy:v:134:y:2017:i:c:p:1029-1037.

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2018Long memory in financial markets: A heterogeneous agent model perspective. (2018). Li, Youwei ; Liu, Ruipeng ; Zheng, Min. In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:38-51.

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2019Behavioral heterogeneity and excess stock price volatility in China. (2019). Xiong, Xiong ; Zhou, Zhong-Qiang ; Zhang, Wei. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:348-354.

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2017Excess stock return comovements and the role of investor sentiment. (2017). Verschoor, Willem ; Frijns, Bart. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:49:y:2017:i:c:p:74-87.

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2017A vector heterogeneous autoregressive index model for realized volatility measures. (2017). Hecq, Alain ; Guardabascio, Barbara ; Cubadda, Gianluca. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:337-344.

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2018Market entry waves and volatility outbursts in stock markets. (2018). Westerhoff, Frank ; Schmitt, Noemi ; Blaurock, Ivonne . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:153:y:2018:i:c:p:19-37.

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2019Fee structure and mutual fund choice: An experiment. (2019). Bao, Te ; Tuinstra, Jan ; Sutan, Angela ; Anufriev, Mikhail. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:158:y:2019:i:c:p:449-474.

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2019An approach to identifying micro behavior: How banks’ strategies influence financial cycles. (2019). Recchioni, Maria Cristina ; Tedeschi, Gabriele ; Berardi, Simone. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:162:y:2019:i:c:p:329-346.

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2018China’s first priority in post-war state building: A wealthy state, or a strong army?. (2018). Du, Jane ; King, Cheng. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:40:y:2018:i:5:p:851-872.

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2018Is natural resource abundance a stimulus for financial development in the USA?. (2018). Shahbaz, Muhammad ; Ahad, Muhammad ; Tahir, Iqbal ; Naeem, Muhammad. In: Resources Policy. RePEc:eee:jrpoli:v:55:y:2018:i:c:p:223-232.

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2018The impact of gold and crude oil prices on stock market in Turkey: Empirical evidences from ARDL bounds test and combined cointegration. (2018). Türsoy, Turgut ; Faisal, Faisal ; Tursoy, Turgut . In: Resources Policy. RePEc:eee:jrpoli:v:55:y:2018:i:c:p:49-54.

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2018Regime-dependent herding behavior in Asian and Latin American stock markets. (2018). Kabir, Humayun M ; Shakur, Shamim. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:47:y:2018:i:c:p:60-78.

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2017Does financial development intensify energy consumption in Saudi Arabia?. (2017). Shahbaz, Muhammad ; Mahalik, Mantu ; Loganathan, Nanthakumar ; Babu, Suresh M. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:75:y:2017:i:c:p:1022-1034.

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2017Impacts of renewable energy consumption on the German economic growth: Evidence from combined cointegration test. (2017). Ozturk, Ilhan ; Rafindadi, Abdulkadir Abdulrashid. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:75:y:2017:i:c:p:1130-1141.

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2018Can the interaction between a single long-term attractor and heterogeneous trading explain the exchange rate conundrum?. (2018). Cifarelli, Giulio ; Paladino, Giovanna. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:313-323.

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2019Limit theory for moderate deviation from Integrated GARCH processes. (2019). Tao, Yubo. In: Statistics & Probability Letters. RePEc:eee:stapro:v:150:y:2019:i:c:p:126-136.

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2017Investors’ behavior and dynamics of ship prices: A heterogeneous agent model. (2017). Alizadeh, Amir H ; Yip, Tsz Leung ; Thanopoulou, Helen. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:106:y:2017:i:c:p:98-114.

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2019Does Agricultural Value Added Induce Environmental Degradation? Empirical Evidence from an Agrarian Country. (2019). Bekun, Festus ; Agboola, Mary O. In: Working Papers. RePEc:exs:wpaper:19/040.

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2018The relationship among renewable energy, economic growth, labor and capital formation in Italy. (2018). Magazzino, Cosimo ; Brady, Gordon L. In: RIVISTA DI STUDI SULLA SOSTENIBILITA'. RePEc:fan:rissri:v:html10.3280/riss2018-001005.

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2017Agent-based model calibration using machine learning surrogates. (2017). Roventini, Andrea ; Sani, Amir ; Lamperti, Frencesco. In: Documents de Travail de l'OFCE. RePEc:fce:doctra:1709.

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2018On Bootstrap Implementation of Likelihood Ratio Test for a Unit Root. (2018). Skrobotov, Anton ; Anton, Skrobotov. In: Working Papers. RePEc:gai:wpaper:wpaper-2018-302.

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2017Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions. (2017). Doornik, Jurgen. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:19-:d:98597.

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2017Formula I(1) and I(2): Race Tracks for Likelihood Maximization Algorithms of I(1) and I(2) Cointegrated VAR Models. (2017). Paruolo, Paolo ; Doornik, Jurgen ; Mosconi, Rocco . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:49-:d:119536.

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2017Causality between Stock Prices and Exchange Rates in Turkey: Empirical Evidence from the ARDL Bounds Test and a Combined Cointegration Approach. (2017). Türsoy, Turgut ; Tursoy, Turgut . In: International Journal of Financial Studies. RePEc:gam:jijfss:v:5:y:2017:i:1:p:8-:d:91783.

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2018Can Bitcoin Replace Gold in an Investment Portfolio?. (2018). Henriques, Irene ; Sadorsky, Perry. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:3:p:48-:d:163664.

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2019Effectiveness of Diversification Strategies for Ensuring Financial Sustainability of Construction Companies in the Republic of Korea. (2019). Kim, Jaejun ; Lee, Sanghyo ; Han, Manchun. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:11:p:3076-:d:235930.

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2017Analysis of the Dynamic Relationship between Fluctuations in the Korean Housing Market and the Occurrence of Unsold New Housing Stocks. (2017). Lee, Younghoon ; Kim, Jaejun. In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:1:p:107-:d:87697.

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2017Agent-Based Model Calibration using Machine Learning Surrogates. (2017). Roventini, Andrea ; Lamperti, Francesco ; Sani, Amir. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-01499344.

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2017Empirical properties of a heterogeneous agent model in large dimensions. (2017). Coqueret, Guillaume. In: Post-Print. RePEc:hal:journl:hal-02000726.

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2018Trading Volume and Price Distortion: An Agent-Based Model with Heterogenous Knowledge of Fundamentals. (2018). Rouchier, Juliette ; Lespagnol, Vivien. In: Post-Print. RePEc:hal:journl:hal-02084910.

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2019Interest rates, inflation, and exchange rates in fragile EMEs: A fresh look at the long-run interrelationships. (2019). Comert, Metehan ; Kaptan, Sava ; Kaya, Aye ; En, Huseyin . In: Working Papers. RePEc:hal:wpaper:halshs-02095652.

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2018Discovering Traders’ Heterogeneous Behavior in High-Frequency Financial Data. (2018). Huang, Ya-Chi ; Tsao, Chueh-Yung. In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:4:d:10.1007_s10614-016-9643-7.

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2018A New Predictive Measure Using Agent-Based Behavioral Finance. (2018). Feldman, Todd ; Liu, Shuming. In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:4:d:10.1007_s10614-017-9652-1.

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2018Trading Volume and Price Distortion: An Agent-Based Model with Heterogenous Knowledge of Fundamentals. (2018). Lespagnol, Vivien ; Rouchier, Juliette. In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:4:d:10.1007_s10614-017-9655-y.

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2019Testing for Periodic Integration with a Changing Mean. (2019). Tamarit, Cecilio ; del Barrio Castro, Tomás ; Camarero, Mariam. In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:1:d:10.1007_s10614-017-9680-x.

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2017Equity prices and fundamentals: a DDM–APT mixed approach. (2017). JAWADI, Fredj ; Prat, Georges. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:49:y:2017:i:3:d:10.1007_s11156-016-0604-y.

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2017The role of cointegration for optimal hedging with heteroscedastic error term. (2017). Johansen, Soren ; Gatarek, Lukasz . In: Discussion Papers. RePEc:kud:kuiedp:1703.

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2017Does fundamental value run asset price formation process? Evidence from option price information content. (2017). Aloulou, Abderrahmen ; Ellouze, Siwar . In: Journal of Asset Management. RePEc:pal:assmgt:v:18:y:2017:i:4:d:10.1057_s41260-016-0032-5.

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2017Does Financial Development Promote Industrial Production in Pakistan? Evidence from Combine Cointegration and Causality Approach.. (2017). Dar, Adeel ; Ahad, Muhammad ; Imran, Muhammad. In: MPRA Paper. RePEc:pra:mprapa:76458.

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2017Modeling the Asymmetric Impact of Defense Spending on Economic Growth: An Evidence from Nonlinear ARDL and Multipliers. (2017). Dar, Adeel Ahmad. In: MPRA Paper. RePEc:pra:mprapa:80085.

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2017Is Natural Resource Abundance a Stimulus for Financial Development in the USA?. (2017). Shahbaz, Muhammad ; Ahad, Muhammad ; Tahir, Iqbal ; Naeem, Muhammad. In: MPRA Paper. RePEc:pra:mprapa:83280.

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2018Can the interaction between a single long-term attractor and heterogeneous trading explain exchange rate behaviour? A nonlinear econometric investigation. (2018). Cifarelli, Giulio ; Paladino, Giovanna. In: MPRA Paper. RePEc:pra:mprapa:83894.

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2018Long memory in financial markets: A heterogeneous agent model perspective. (2018). Li, Youwei ; Liu, Ruipeng ; Zheng, Min. In: MPRA Paper. RePEc:pra:mprapa:84886.

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2018Two Distinct Seasonally Fractionally Differenced Periodic Processes. (2018). BENSALMA, AHMED. In: MPRA Paper. RePEc:pra:mprapa:84969.

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2018Accounting for Busines Cycles in Canada: II. The Role of Money. (2018). Accolley, Delali. In: MPRA Paper. RePEc:pra:mprapa:85481.

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2018The dynamic relationship between Financial Development and the Energy Demand in North Cyprus: Evidence from ARDL Bounds and Combine Cointegration Tests. (2018). Türsoy, Turgut. In: MPRA Paper. RePEc:pra:mprapa:88324.

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2018How do Stock Prices and Metal Prices Contribute to Economic Activity in Turkey? The Importance of Linear and Non-linear ARDL. (2018). Türsoy, Turgut ; Shahbaz, Muhammad ; Berk, Niyazi ; Faisal, Faisal. In: MPRA Paper. RePEc:pra:mprapa:88899.

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2017Examination of Seasonal Volatility in HICP for Baltic Region Countries: Non-Parametric Test versus Forecasting Experiment. (2017). Lenart, Łukasz. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:9:y:2017:i:1:p:29-67.

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2019Testing for Episodic Predictability in Stock Returns. (2019). Taylor, Robert ; Rodrigues, Paulo ; Robert, A M ; Georgiev, Iliyan ; Demetrescu, Matei. In: Working Papers. RePEc:ptu:wpaper:w201906.

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2018A Matlab program and users guide for the fractionally cointegrated VAR model. (2018). Popiel, Michal ; Nielsen, Morten. In: Working Papers. RePEc:qed:wpaper:1330.

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2018Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of The US Banking Sector. (2018). Hecq, Alain ; Cubadda, Gianluca ; Riccardo, Antonio. In: CEIS Research Paper. RePEc:rtv:ceisrp:445.

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2017Agent-Based Model Calibration using Machine Learning Surrogates. (2017). Roventini, Andrea ; Lamperti, Francesco ; Sani, Amir. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/20hflp7eqn97boh50no50tv67n.

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More than 100 citations found, this list is not complete...

Works by H. Peter Boswijk:

YearTitleTypeCited
2012Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model In: CREATES Research Papers.
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2015Improved likelihood ratio tests for cointegration rank in the VAR model.(2015) In: Journal of Econometrics.
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2012Improved Likelihood Ratio Tests For Cointegration Rank In The Var Model.(2012) In: Working Paper.
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This paper has another version. Agregated cites: 10		paper
2012Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model.(2012) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 10		paper
2013Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors In: UvA-Econometrics Working Papers.
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2016Cartel dating In: UvA-Econometrics Working Papers.
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2016Cartel Dating.(2016) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 1		paper
2001Success and Failure of Technical Trading Strategies in the Cocoa Futures Market In: CeNDEF Workshop Papers, January 2001.
[Citation analysis]		paper5
2000Succes and Failure of Technical Trading Strategies in the Cocoa Futures Markets.(2000) In: CeNDEF Working Papers.
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2001Succes and Failure of Technical Trading Strategies in the Cocoa Futures Market.(2001) In: Computing in Economics and Finance 2001.
[Citation analysis]
This paper has another version. Agregated cites: 5		paper
2001Success and Failure of Technical Trading Strategies in the Cocoa Futures Market.(2001) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 5		paper
2000Testing for a Unit Root with Near-Integrated Volatility In: CeNDEF Working Papers.
[Full Text][Citation analysis]		paper18
2000Testing for a Unit Root with Near-Integrated Volatility.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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This paper has another version. Agregated cites: 18		paper
2001Testing for a Unit Root with Near-Integrated Volatility.(2001) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 18		paper
2000Asymmetric and Common Abssorbtion of Shocks in Nonlinear Autoregressive Models In: CeNDEF Working Papers.
[Full Text][Citation analysis]		paper14
2000Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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2005Behavioral Heterogeneity in Stock Prices In: CeNDEF Working Papers.
[Full Text][Citation analysis]		paper238
2007Behavioral heterogeneity in stock prices.(2007) In: Journal of Economic Dynamics and Control.
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This paper has another version. Agregated cites: 238		article
2005Behavioral Heterogeneity in Stock Prices.(2005) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 238		paper
2006Wake me up before you GO-GARCH In: CeNDEF Working Papers.
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2006Wake me up before you GO-GARCH.(2006) In: Tinbergen Institute Discussion Papers.
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1996Testing Identifiability of Cointegrating Vectors. In: Journal of Business & Economic Statistics.
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2005On the Econometrics of the Bass Diffusion Model In: Journal of Business & Economic Statistics.
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1996UNIT ROOTS IN PERIODIC AUTOREGRESSIONS In: Journal of Time Series Analysis.
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1992Dynamic Specification and Cointegration. In: Oxford Bulletin of Economics and Statistics.
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1993On the Formulation of Wald Tests on Long-Run Parameters. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]		article3
2006Robust Inference on Average Economic Growth In: Oxford Bulletin of Economics and Statistics.
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2004Identifying, estimating and testing restricted cointegrated systems: An overview In: Statistica Neerlandica.
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2003Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview.(2003) In: Economics Papers.
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1994An Inequality Between Perpendicular Least-Squares and Ordinary Least-Squares In: Econometric Theory.
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1997Roots of an Orthogonal Matrix—Solution In: Econometric Theory.
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2000MIXED NORMALITY AND ANCILLARITY IN I(2) SYSTEMS In: Econometric Theory.
[Full Text][Citation analysis]		article14
2010MIXED NORMAL INFERENCE ON MULTICOINTEGRATION In: Econometric Theory.
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1990Property of a Matrix Used in Multidimensional Scaling In: Econometric Theory.
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1991Optimal Structural Estimation of Triangular Systems: I. The Stationary Case In: Econometric Theory.
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1991Optimal Structural Estimation of Triangular Systems: II. The Nonstationary Case In: Econometric Theory.
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2007Absorption of shocks in nonlinear autoregressive models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article17
2010Nuisance parameter free inference on cointegration parameters in the presence of a variance shift In: Economics Letters.
[Full Text][Citation analysis]		article2
1995Testing for periodic integration In: Economics Letters.
[Full Text][Citation analysis]		article10
2002Semi-nonparametric cointegration testing In: Journal of Econometrics.
[Full Text][Citation analysis]		article8
1997Semi-nonparametric cointegration testing.(1997) In: Serie Research Memoranda.
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2002Finite sample and asymptotic methods in econometrics In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2006Causality and exogeneity in econometrics In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
2010Twenty years of cointegration In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2010Cointegration in a historical perspective In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2016Inference on co-integration parameters in heteroskedastic vector autoregressions In: Journal of Econometrics.
[Full Text][Citation analysis]		article11
2013Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions.(2013) In: Discussion Papers.
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This paper has another version. Agregated cites: 11		paper
2013Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions.(2013) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 11		paper
2018Testing for self-excitation in jumps In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
1994Testing for an unstable root in conditional and structural error correction models In: Journal of Econometrics.
[Full Text][Citation analysis]		article136
1995Efficient inference on cointegration parameters in structural error correction models In: Journal of Econometrics.
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1995Conditional and structural error correction models reply In: Journal of Econometrics.
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1997Multiple unit roots in periodic autoregression In: Journal of Econometrics.
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2017Consistent nonparametric specification tests for stochastic volatility models based on the return distribution In: Journal of Empirical Finance.
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1996Temporal aggregation in a periodically integrated autoregressive process In: Statistics & Probability Letters.
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1993Temporal aggregation in a periodically integrated autoregressive process.(1993) In: Research Memorandum.
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1988JOINT PREDICTION OF AUTOMOBILE OWNERSHIP AND MILEAGE BY A CROSS-SECTION MODEL In: Universiteit Amsterdam - Institute of Actuarial Sciences and Econometrics.
[Citation analysis]		paper0
1988JOINT PREDICTION OF AUTOMOBILE OWNERSHIP AND MILEAGE BY A CROSS-SECTION MODEL.(1988) In: Universiteit Amsterdam - Institute of Actuarial Sciences and Econometrics.
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This paper has another version. Agregated cites: 0		paper
2017Likelihood Ratio Tests of Restrictions on Common Trends Loading Matrices in I(2) VAR Systems In: Econometrics.
[Full Text][Citation analysis]		article1
2005Distribution approximations for cointegration tests with stationary exogenous regressors In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article18
1999Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors.(1999) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 18		paper
2003Mean Reversion, Bubbles and Heterogeneous Beliefs in Stock Prices In: Computing in Economics and Finance 2003.
[Full Text][Citation analysis]		paper0
1997Lagrance-multiplier tersts for weak exogeneity: a synthesis In: Econometric Reviews.
[Full Text][Citation analysis]		article9
1998Book reviews In: Econometric Reviews.
[Full Text][Citation analysis]		article0
2011Why Frequency Matters for Unit Root Testing in Financial Time Series In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0
1999A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper5
2001Block Local to Unity and Continuous Record Asymptotics In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper1
2002How Large is Average Economic Growth? Evidence from a Robust Method In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2005Why Frequency Matters for Unit Root Testing In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper3
2006A New Multivariate Product Growth Model In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper1
2019Adaptive Testing for Cointegration with Nonstationary Volatility In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
1995Periodic Cointegration: Representation and Inference. In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article19
1998A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests In: Serie Research Memoranda.
[Full Text][Citation analysis]		paper2
2018Adaptive wild bootstrap tests for a unit root with non‐stationary volatility In: Econometrics Journal.
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2019Cartel dating In: Journal of Applied Econometrics.
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