Felix Chan : Citation Profile


Are you Felix Chan?

Curtin University (50% share)
Curtin University (50% share)

10

H index

11

i10 index

769

Citations

RESEARCH PRODUCTION:

29

Articles

23

Papers

RESEARCH ACTIVITY:

   17 years (2001 - 2018). See details.
   Cites by year: 45
   Journals where Felix Chan has often published
   Relations with other researchers
   Recent citing documents: 40.    Total self citations: 19 (2.41 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pch631
   Updated: 2021-11-28    RAS profile: 2019-02-11    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Felix Chan.

Is cited by:

McAleer, Michael (432)

Chang, Chia-Lin (240)

Tansuchat, Roengchai (74)

Caporin, Massimiliano (59)

Jimenez-Martin, Juan (50)

Pérez-Amaral, Teodosio (32)

Allen, David (31)

Hakim, Abdul (22)

Asai, Manabu (21)

Powell, Robert (17)

Hsu, Hui-Kuang (16)

Cites to:

McAleer, Michael (66)

Ling, Shiqing (33)

Bollerslev, Tim (30)

Engle, Robert (22)

Bai, Jushan (11)

Teräsvirta, Timo (11)

Perron, Pierre (10)

Oxley, Les (9)

Andrews, Donald (8)

Taylor, Mark (8)

Pesaran, M (7)

Main data


Where Felix Chan has published?


Journals with more than one article published# docs
Mathematics and Computers in Simulation (MATCOM)8
Journal of Econometrics2
Applied Economics2

Working Papers Series with more than one paper published# docs
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo4
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute3
KIER Working Papers / Kyoto University, Institute of Economic Research2

Recent works citing Felix Chan (2021 and 2020)


YearTitle of citing document
2021Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model. (2021). Terasvirta, Timo ; Silvennoinen, Annastiina ; Hall, Anthony D. In: CREATES Research Papers. RePEc:aah:create:2021-13.

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2021TESTING THE WEAK FORM EFFICIENCY OF THE FRENCH ETF MARKET WITH LSTAR-ANLSTGARCH APPROACH USING A SEMIPARAMETRIC ESTIMATION. (2021). Chikhi, Mohamed ; Diebolt, Claude. In: Working Papers. RePEc:afc:wpaper:09-21.

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2020A study on the leverage effect on financial series using a TAR model: a Bayesian approach. (2020). Nieto, Fabio ; Espinosa, Oscar. In: Papers. RePEc:arx:papers:2002.05319.

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2020High Dimensional Forecast Combinations Under Latent Structures. (2020). Su, Liangjun ; Shi, Zhentao ; Xie, Tian. In: Papers. RePEc:arx:papers:2010.09477.

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2021A Wavelet Method for Panel Models with Jump Discontinuities in the Parameters. (2021). Kneip, Alois ; Bada, Oualid ; Sickles, Robin C ; Gualtieri, James ; Mensinger, Tim ; Liebl, Dominik. In: Papers. RePEc:arx:papers:2109.10950.

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2021Connectedness between the Crude Oil Futures and Equity Markets during the Pre- and Post-Financialisation Eras. (2021). Gronwald, Marc ; Durand, Robert D ; Wadud, Sania. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9202.

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2020Volatility Modelling for Tourism Sector Stocks in Borsa Istanbul. (2020). Elik, Gulah Gener. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-03-20.

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2020Does the Choice of the Multivariate GARCH Model on Volatility Spillovers Matter? Evidence from Oil Prices and Stock Markets in G7 Countries. (2020). Dritsakis, Nikolaos ; Kartsonakis-Mademlis, Dimitrios. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-05-21.

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2020Comovement amongst the demand for New Zealand tourism. (2020). Vatsa, Puneet. In: Annals of Tourism Research. RePEc:eee:anture:v:83:y:2020:i:c:s0160738320301092.

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2021Risk spillovers between cryptocurrencies and traditional currencies and gold under different global economic conditions. (2021). Sheu, Chwen ; Hsu, Shu-Han ; Yoon, Jiho. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000711.

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2020Liquidity and volatility in the U.S. Treasury market. (2020). Fleming, Michael ; Engle, Robert ; Ghysels, Eric ; Nguyen, Giang. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:207-229.

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2020Multivariate leverage effects and realized semicovariance GARCH models. (2020). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:411-430.

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2021Heterogeneous structural breaks in panel data models. (2021). Okui, Ryo ; Wang, Wendun. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:447-473.

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2021Bootstrap based probability forecasting in multiplicative error models. (2021). Silvapulle, Mervyn J ; Perera, Indeewara . In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:1-24.

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2020Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models. (2020). Di Iorio, Francesca ; Tamvakis, Michael ; Kyriakou, Ioannis ; Marchese, Malvina. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300967.

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2020Volatility spillovers for energy prices: A diagonal BEKK approach. (2020). Faghihian, Fatemeh ; Ghoddusi, Hamed ; Zolfaghari, Mehdi. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303054.

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2020Dynamics of spillover network among oil and leading Asian oil trading countries’ stock markets. (2020). Maqbool, Rashid ; Tang, Yong ; Ashfaq, Saleha. In: Energy. RePEc:eee:energy:v:207:y:2020:i:c:s0360544220311841.

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2020Asymmetric volatility in cryptocurrency markets: New evidence from smooth transition GARCH models. (2020). Ben Cheikh, Nidhaleddine ; Chevallier, Julien ; ben Zaied, Younes. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s154461231930162x.

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2021Forecasting stock returns: A time-dependent weighted least squares approach. (2021). Wang, Yudong ; Wu, Chongfeng ; Hao, Xianfeng. In: Journal of Financial Markets. RePEc:eee:finmar:v:53:y:2021:i:c:s1386418120300379.

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2020The M4 Competition: 100,000 time series and 61 forecasting methods. (2020). Assimakopoulos, Vassilios ; Spiliotis, Evangelos ; Makridakis, Spyros. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:1:p:54-74.

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2020A hybrid method of exponential smoothing and recurrent neural networks for time series forecasting. (2020). Smyl, Slawek. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:1:p:75-85.

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2020Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks. (2020). McAleer, Michael ; GUPTA, RANGAN ; Asai, Manabu. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:933-948.

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2021Hedging oil price risk with gold during COVID-19 pandemic. (2021). Vo, Xuan Vinh ; Salisu, Afees ; Lawal, Adedoyin. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309284.

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2020Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China. (2020). Li, Steven ; Hou, Yang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:166-188.

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2021Gold and US sectoral stocks during COVID-19 pandemic. (2021). Salisu, Afees ; Lucey, Brian ; Vo, Xuan Vinh. In: Research in International Business and Finance. RePEc:eee:riibaf:v:57:y:2021:i:c:s0275531921000453.

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2020Analyzing Crude Oil Prices under the Impact of COVID-19 by Using LSTARGARCHLSTM. (2020). Ucan, Yasemen ; Bayazit, Nilgun Guler ; Bildirici, Melike. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:11:p:2980-:d:369469.

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2020A General Family of Autoregressive Conditional Duration Models Applied to High-Frequency Financial Data. (2020). Vila, Roberto ; Cunha, Danubia R ; Fernandez, Rodrigo N ; Saulo, Helton. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:3:p:45-:d:327540.

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2021A new test for common breaks in heterogeneous panel data models. (2021). Kurozumi, Eiji ; Jiang, Peiyun. In: Discussion paper series. RePEc:hit:hiasdp:hias-e-107.

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2020DETECTING INTERREGIONAL PATTERNS IN TOURISM SEASONALITY OF GREECE: A PRINCIPAL COMPONENTS ANALYSIS APPROACH. (2020). Polyzos, Serafeim ; Krabokoukis, Thomas ; Tsiotas, Dimitrios. In: Regional Science Inquiry. RePEc:hrs:journl:v:xii:y:2020:i:2:p:91-112.

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2020Realized Volatility Forecasting Based on Dynamic Quantile Model Averaging. (2020). Mi, Xianhua ; Ma, Chaoqun ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202016.

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2020Estimation of STAR–GARCH Models with Iteratively Weighted Least Squares. (2020). Midili, Murat. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:1:d:10.1007_s10614-018-9876-8.

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2021High-Frequency Volatility Forecasting of US Housing Markets. (2021). Wohar, Mark ; Segnon, Mawuli ; Gupta, Rangan ; Lesame, Keagile. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:62:y:2021:i:2:d:10.1007_s11146-020-09745-w.

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2020Volatility spillover and hedging effectiveness among crude oil and Islamic markets: evidence from the Gulf region. (2020). Walid, Haykel Hamdi. In: European Journal of Comparative Economics. RePEc:liu:liucej:v:17:y:2020:i:1:p:103-126.

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2020.

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2021Evaluation model of competitive and innovative tourism practices based on information entropy and alternative criteria weight. (2021). Ferreira, Joo J ; Teixeira, Srgio J ; Moreira, Jorge Junio ; Wanke, Peter. In: Tourism Economics. RePEc:sae:toueco:v:27:y:2021:i:1:p:23-44.

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2020Discovering interlinkages between major cryptocurrencies using high-frequency data: new evidence from COVID-19 pandemic. (2020). Ali, Shoaib ; Yousaf, Imran. In: Financial Innovation. RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00213-1.

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2020Bayesian inference of smooth transition autoregressive (STAR)(k)–GARCH(l, m) models. (2020). Nur, Darfiana ; Livingston, Glen. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:6:d:10.1007_s00362-018-1056-3.

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2021TESTING THE WEAK FORM EFFICIENCY OF THE FRENCH ETF MARKET WITH LSTAR-ANLSTGARCH APPROACH USING A SEMIPARAMETRIC ESTIMATION.. (2021). DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers of BETA. RePEc:ulp:sbbeta:2021-36.

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2020Impact of Expected Shortfall Approach on Capital Requirement Under Basel. (2020). Siu, Yam Wing. In: Review of Pacific Basin Financial Markets and Policies (RPBFMP). RePEc:wsi:rpbfmp:v:22:y:2020:i:04:n:s0219091519500255.

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2020Recession probabilities falling from the STARs. (2020). Noller, Marvin ; Eraslan, Sercan. In: Discussion Papers. RePEc:zbw:bubdps:082020.

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Works by Felix Chan:


YearTitleTypeCited
2015Structure and asymptotic theory for nonlinear models with GARCH erros In: Economia.
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article1
2010Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors.(2010) In: Working Papers in Economics.
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This paper has another version. Agregated cites: 1
paper
2011Structure and Asymptotic theory for Nonlinear Models with GARCH Errors.(2011) In: Econometric Institute Research Papers.
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paper
2010Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors.(2010) In: KIER Working Papers.
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This paper has another version. Agregated cites: 1
paper
2012It pays to violate: how effective are the Basel accord penalties in encouraging risk management? In: Accounting and Finance.
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article3
2017The Validity of Investor Sentiment Proxies In: International Review of Finance.
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article1
2012Testing for Structural Change in Heterogeneous Panels with an Application to the Euros Trade Effect In: Journal of Time Series Econometrics.
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article10
2013Modeling and Simulation: An Overview In: Working Papers in Economics.
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paper18
2013Modelling and Simulation: An Overview.(2013) In: Econometric Institute Research Papers.
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paper
2013Modelling and Simulation: An Overview.(2013) In: KIER Working Papers.
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paper
2013Modelling and Simulation: An Overview.(2013) In: Tinbergen Institute Discussion Papers.
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paper
2013Modelling and Simulation: An Overview.(2013) In: Documentos de Trabajo del ICAE.
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paper
2018Even Count Estimation In: CEU Working Papers.
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paper0
2009It Pays to Violate: How Effective are the Basel Accord Penalties? In: CARF F-Series.
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paper1
2009It Pays to Violate: How Effective are the Basel Accord Penalties?.(2009) In: Econometric Institute Research Papers.
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paper
2009It Pays to Violate: How Effective are the Basel Accord Penalties?.(2009) In: CIRJE F-Series.
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paper
2008GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION In: Econometric Theory.
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article153
2001Estimating Smooth Transition Autoregressive Models with GARCH Errors in the Presence of Extreme Observations and Outliers, In: ISER Discussion Paper.
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paper25
2003Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers.(2003) In: Applied Financial Economics.
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article
2017Nonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies? In: Journal of Asian Economics.
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article2
2007An econometric analysis of asymmetric volatility: Theory and application to patents In: Journal of Econometrics.
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article215
2008Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks In: Journal of Econometrics.
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article29
2016Liquidation discount—a novel application of ARFIMA–GARCH In: Journal of Empirical Finance.
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article0
2008Efficiency of the foreign currency options market In: Global Finance Journal.
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article2
2018Some theoretical results on forecast combinations In: International Journal of Forecasting.
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article14
2004Modelling the asymmetric volatility of electronics patents in the USA In: Mathematics and Computers in Simulation (MATCOM).
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article1
2003Modelling the Asymmetric Volatility of Electronics Patents in the USA.(2003) In: CIRJE F-Series.
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This paper has another version. Agregated cites: 1
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2005Modelling the spillover effects in the volatility of atmospheric carbon dioxide concentrations In: Mathematics and Computers in Simulation (MATCOM).
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article1
2008Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk In: Mathematics and Computers in Simulation (MATCOM).
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article10
2009Modelling time-varying higher moments with maximum entropy density In: Mathematics and Computers in Simulation (MATCOM).
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article2
2011Model specification in panel data unit root tests with an unknown break In: Mathematics and Computers in Simulation (MATCOM).
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article5
2011Estimating m-regimes STAR-GARCH model using QMLE with parameter transformation In: Mathematics and Computers in Simulation (MATCOM).
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article14
2011Spectral analysis of seasonality in tourism demand In: Mathematics and Computers in Simulation (MATCOM).
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article4
2013The impact of serial correlation on testing for structural change in binary choice model: Monte Carlo evidence In: Mathematics and Computers in Simulation (MATCOM).
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article0
2008Evaluating the impact of market reforms on Value-at-Risk forecasts of Chinese A and B shares In: Pacific-Basin Finance Journal.
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article3
2006Stability Tests for Heterogeneous Panel Data In: IHEID Working Papers.
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paper3
2006Stability tests for heterogeneous panel data.(2006) In: PSE Working Papers.
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This paper has another version. Agregated cites: 3
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2008Stability Tests for Heterogeneous Panel Data.(2008) In: Working Papers.
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2011An econometric analysis of hotel–motel room nights in New Zealand with stochastic seasonality In: International Journal of Revenue Management.
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article0
2002Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence In: Journal of Applied Econometrics.
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article34
2009Modeling Volatility in Foreign Currency Option Pricing In: Multinational Finance Journal.
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article2
2013Advantages of Non-Normality in Testing Cointegration Rank In: Bankwest Curtin Economics Centre Working Paper series.
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paper0
2017A note on the relation between fiscal equalization and economic growth In: MPRA Paper.
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paper0
2005Structure and asymptotic theory for STAR(1)-GARCH(1,1) models In: Textos para discussão.
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paper0
2004Modelling the asymmetric volatility of anti-pollution patents in the USA In: Scientometrics.
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article1
2014Gravity Models of Trade: Unobserved Heterogeneity and Endogeneity In: Working Papers.
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paper1
2004Trends and volatilities in foreign patents registered in the USA In: Applied Economics.
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article1
2015Permanent and transitory shocks in the presence of asymmetric error correction In: Applied Economics.
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article0
2009Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility In: Econometric Reviews.
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article205
2008Determinants of commercial mortgage?backed securities credit ratings: Australian evidence In: International Journal of Strategic Property Management.
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2003Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings In: CIRJE F-Series.
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2003On the Structure, Asymptotic Theory and Applications of STAR-GARCH Models In: CIRJE F-Series.
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paper1

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