James Davidson : Citation Profile


Are you James Davidson?

University of Exeter

16

H index

21

i10 index

1658

Citations

RESEARCH PRODUCTION:

44

Articles

13

Papers

1

Books

RESEARCH ACTIVITY:

   35 years (1978 - 2013). See details.
   Cites by year: 47
   Journals where James Davidson has often published
   Relations with other researchers
   Recent citing documents: 138.    Total self citations: 18 (1.07 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pda34
   Updated: 2022-05-21    RAS profile: 2014-11-06    
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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 James Davidson.

Is cited by:

Nielsen, Morten (41)

Kapetanios, George (34)

Ericsson, Neil (29)

Hendry, David (29)

Price, Simon (15)

Sibbertsen, Philipp (14)

Hall, Stephen (13)

Perron, Pierre (13)

Pesaran, M (13)

Chevillon, Guillaume (12)

LINTON, OLIVER (12)

Cites to:

Phillips, Peter (14)

Johansen, Soren (14)

Granger, Clive (10)

de jong, Robert (10)

Peel, David (9)

Byers, David (7)

Dolado, Juan (6)

Hassler, Uwe (6)

Diebold, Francis (5)

Hansen, Bruce (5)

Breitung, Jörg (5)

Main data


Where James Davidson has published?


Journals with more than one article published# docs
Journal of Econometrics8
Econometric Theory7
Economics Letters5
Computational Statistics & Data Analysis2
Journal of the Royal Statistical Society Series A2
Statistics & Probability Letters2
Economic Journal2
Econometric Reviews2
Journal of Policy Modeling2

Working Papers Series with more than one paper published# docs
Discussion Papers / University of Exeter, Department of Economics6

Recent works citing James Davidson (2021 and 2020)


YearTitle of citing document
2020To infinity and beyond: Efficient computation of ARCH(1) models. (2020). Nielsen, Morten ; Noel, Antoine L. In: CREATES Research Papers. RePEc:aah:create:2020-13.

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2021Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models. (2021). Kruse-Becher, Robinson ; Demetrescu, Matei. In: CREATES Research Papers. RePEc:aah:create:2021-07.

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2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02.

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2020On bootstrapping tests of equal forecast accuracy for nested models. (2020). Haque, Qazi ; Doko Tchatoka, Firmin. In: School of Economics Working Papers. RePEc:adl:wpaper:2020-03.

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2020Factor-Driven Two-Regime Regression. (2019). Shin, Youngki ; SEO, MYUNG HWAN ; Lee, Sokbae (Simon) ; Liao, Yuan. In: Papers. RePEc:arx:papers:1810.11109.

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2021Limit Theorems for Network Dependent Random Variables. (2019). Marmer, Vadim ; Song, Kyungchul ; Kojevnikov, Denis. In: Papers. RePEc:arx:papers:1903.01059.

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2020Efficient Estimation by Fully Modified GLS with an Application to the Environmental Kuznets Curve. (2019). Reuvers, Hanno ; Lin, Yicong. In: Papers. RePEc:arx:papers:1908.02552.

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2022Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2019). Barigozzi, Matteo ; Luciani, Matteo. In: Papers. RePEc:arx:papers:1910.03821.

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2021Testing Forecast Rationality for Measures of Central Tendency. (2019). Schmidt, Patrick ; Patton, Andrew J ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1910.12545.

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2021Regularized Estimation of High-Dimensional Vector AutoRegressions with Weakly Dependent Innovations. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:1912.09002.

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2021Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions. (2020). Schweikert, Karsten. In: Papers. RePEc:arx:papers:2001.07949.

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2020Unit Root Testing with Slowly Varying Trends. (2020). Otto, Sven. In: Papers. RePEc:arx:papers:2003.04066.

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2020Multi-frequency-band tests for white noise under heteroskedasticity. (2020). Zhu, Ke ; Liu, Mengya. In: Papers. RePEc:arx:papers:2004.09161.

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2020Fractional trends in unobserved components models. (2020). Weber, Enzo ; Hartl, Tobias ; Tschernig, Rolf. In: Papers. RePEc:arx:papers:2005.03988.

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2022Permutation-based tests for discontinuities in event studies. (2020). Li, Jia ; Bugni, Federico A. In: Papers. RePEc:arx:papers:2007.09837.

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2020Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary. (2020). Schnaitmann, Julie ; Liu, Xiaochun ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2009.07341.

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2021Instrumental Variable Identification of Dynamic Variance Decompositions. (2020). Wolf, Christian K ; Plagborg-Moller, Mikkel. In: Papers. RePEc:arx:papers:2011.01380.

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2021A Distance Covariance-based Estimator. (2021). Soale, Abdul-Nasah ; Tsyawo, Emmanuel Selorm. In: Papers. RePEc:arx:papers:2102.07008.

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2021Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings. (2021). Perron, Pierre ; Grassi, Stefano ; Catania, Leopoldo ; Casini, Alessandro ; Belotti, Federico. In: Papers. RePEc:arx:papers:2103.00060.

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2022Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. (2021). Fissler, Tobias ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2104.10673.

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2021Inference and forecasting for continuous-time integer-valued trawl processes and their use in financial economics. (2021). , Almut ; Shephard, Neil ; Lunde, Asger ; Bennedsen, Mikkel. In: Papers. RePEc:arx:papers:2107.03674.

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2021Inference in heavy-tailed non-stationary multivariate time series. (2021). Cavaliere, Giuseppe ; Barigozzi, Matteo ; Trapani, Lorenzo. In: Papers. RePEc:arx:papers:2107.13894.

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2022Tests for Group-Specific Heterogeneity in High-Dimensional Factor Models. (2021). Djogbenou, Antoine ; Sufana, Razvan . In: Papers. RePEc:arx:papers:2109.09049.

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2022Standard errors for two-way clustering with serially correlated time effects. (2022). Sasaki, Yuya ; Hansen, Bruce E ; Chiang, Harold D. In: Papers. RePEc:arx:papers:2201.11304.

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2022On the dependence structure of the trade/no trade sequence of illiquid assets. (2022). Raissi, Hamdi. In: Papers. RePEc:arx:papers:2203.08223.

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2020Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series. (2020). Perron, Pierre ; Yu, Xuewen ; Kejriwal, Mohitosh. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:5:p:676-690.

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2021Unit root testing with slowly varying trends. (2021). Otto, Sven. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:1:p:85-106.

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2021To infinity and beyond: Efficient computation of ARCH(?) models. (2021). Noël, Antoine ; Nielsen, Morten. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:3:p:338-354.

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2022Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions. (2022). Schweikert, Karsten. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:83-104.

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2022Autoregressive spectral estimates under ignored changes in the mean. (2022). Hosseinkouchack, Mehdi ; Demetrescu, Matei. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:2:p:329-340.

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2021The Consumption Euler Equation or the Keynesian Consumption Function?. (2021). Jansen, Eilev S ; Cappelen, Dne ; Boug, PL ; Swensen, Anders Rygh ; RyghSwensen, Anders. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:1:p:252-272.

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2022Autoregressive and moving average models for zero?inflated count time series. (2022). Tiwari, Rashmi ; Mukhopadhyay, Siuli ; Sathish, Vurukonda. In: Statistica Neerlandica. RePEc:bla:stanee:v:76:y:2022:i:2:p:190-218.

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2021Disaggregate income and wealth effects on private consumption in Greece. (2021). Pavlou, Georgia ; Sideris, Dimitrios. In: Working Papers. RePEc:bog:wpaper:293.

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2020Testing Stochastic Dominance with Many Conditioning Variables. (2020). Whang, Y-J., ; Seo, M ; Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2004.

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2022Exponential High-Frequency-Based-Volatility (EHEAVY) Models. (2022). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2022/5.

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2020Hypothesis Tests with a Repeatedly Singular Information Matrix. (2020). Sentana, Enrique ; Amengual, Dante ; Bei, Xinyue. In: Working Papers. RePEc:cmf:wpaper:wp2020_2002.

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2020Hypothesis tests with a repeatedly singular information matrix. (2020). Amengual, Dante ; Bei, Xinyue ; Sentana, Enrique. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14415.

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2021The effect of COVID-19 on long memory in returns and volatility of cryptocurrency and stock markets. (2021). Bekiros, Stelios ; Lahmiri, Salim. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:151:y:2021:i:c:s0960077921005750.

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2021Spatial dynamic game models for coevolution of intertemporal economic decision-making and spatial networks. (2021). Lee, Lung-Fei ; Jeong, Hanbat. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:129:y:2021:i:c:s0165188921001214.

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2021Interdependence between exchange rates: Evidence from multivariate analysis since the financial crisis to the COVID-19 crisis. (2021). Bannour, Nawres ; ben Saad, Mouna ; Boubaker, Heni. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:71:y:2021:i:c:p:592-608.

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2020The economic and financial properties of crude oil: A review. (2020). Auer, Benjamin R ; Lang, Korbinian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940818302559.

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2020A new consistency proof for HAC variance estimators. (2020). Davidson, James. In: Economics Letters. RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519304112.

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2020Multiscale clustering of nonparametric regression curves. (2020). Linton, Oliver ; Vogt, Michael. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:305-325.

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2020Efficient estimation of heterogeneous coefficients in panel data models with common shocks. (2020). Cui, Guowei ; Li, Kunpeng ; Lu, Lina. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:2:p:327-353.

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2020Deviance information criterion for latent variable models and misspecified models. (2020). Yu, Jun ; Zeng, Tao ; Li, Yong. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:2:p:450-493.

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2020The fast iterated bootstrap. (2020). Davidson, Russell ; Troki, Mirza. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:451-475.

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2020Regression discontinuity designs, white noise models, and minimax. (2020). Tuvaandorj, Purevdorj . In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:587-608.

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2020Uniform nonparametric inference for time series. (2020). Liao, Zhipeng. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:1:p:38-51.

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2020Heterogeneous panel data models with cross-sectional dependence. (2020). Zhu, Huanjun ; Xia, Kai ; Gao, Jiti. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:329-353.

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2020Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem. (2020). Taylor, Robert ; Robert, A M ; Kew, Hsein ; Harris, David. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:354-388.

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2020Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff. (2020). Linton, Oliver ; Hong, Seok Young . In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:389-424.

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2021Estimation of a nonparametric model for bond prices from cross-section and time series information. (2021). LINTON, OLIVER ; la Vecchia, Davide ; Koo, Bonsoo. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:562-588.

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2021Spatial dynamic panel data models with correlated random effects. (2021). Yang, Zhenlin ; Li, Liyao. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:424-454.

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2021Limit theorems for network dependent random variables. (2021). Marmer, Vadim ; Kojevnikov, Denis ; Song, Kyungchul. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:2:p:882-908.

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2021Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models. (2021). Baltagi, Badi ; Yang, Zhenlin ; Pirotte, Alain. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:2:p:245-270.

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2022A time-varying parameter model for local explosions. (2022). Koopman, Siem Jan ; Nientker, Marc ; Blasques, Francisco. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:65-84.

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2020Iterative estimation correcting for error auto-correlation in short panels, applied to lagged dependent variable models. (2020). De Blander, Rembert ; Deblander, Rembert . In: Econometrics and Statistics. RePEc:eee:ecosta:v:15:y:2020:i:c:p:3-29.

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2020A financial accelerator in the business sector of a macroeconometric model of a small open economy. (2020). Hammersland, Roger ; Benedictow, Andreas. In: Economic Systems. RePEc:eee:ecosys:v:44:y:2020:i:1:s0939362518300578.

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2021Diversification benefits in the cryptocurrency market under mild explosivity. (2021). Arvanitis, Stelios ; Anyfantaki, Sofia ; Topaloglou, Nikolas. In: European Journal of Operational Research. RePEc:eee:ejores:v:295:y:2021:i:1:p:378-393.

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2020Time-varying income and price elasticities for energy demand: Evidence from a middle-income panel. (2020). Smyth, Russell ; liddle, brantley ; Zhang, Xibin. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988320300207.

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2020Global economic activity, crude oil price and production, stock market behaviour and the Nigeria-US exchange rate. (2020). Tiwari, Aviral ; Olayeni, Olaolu ; Wohar, Mark E. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320302784.

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2020Estimating retail gasoline price dynamics: The effects of sample characteristics and research design. (2020). POLEMIS, MICHAEL ; Deltas, George. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303169.

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2020Co-movements and spillovers of oil and renewable firms under extreme conditions: New evidence from negative WTI prices during COVID-19. (2020). Corbet, Shaen ; Gunay, Samet ; Goodell, John W. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303182.

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2021Study on the impacts of Shanghai crude oil futures on global oil market and oil industry based on VECM and DAG models. (2021). Di, Peng ; Zhang, QI ; Farnoosh, Arash. In: Energy. RePEc:eee:energy:v:223:y:2021:i:c:s0360544221002991.

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2021Oil price changes, uncertainty, and geopolitical risks: On the resilience of GCC countries to global tensions. (2021). Klein, Tony ; Alqahtani, Abdullah. In: Energy. RePEc:eee:energy:v:236:y:2021:i:c:s0360544221017898.

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2021News sentiment and states of stock return volatility: Evidence from long memory and discrete choice models. (2021). Ho, Kin-Yip ; Shi, Yanlin. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319309961.

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2021Infinitely stochastic micro reserving. (2021). Peta, Michal ; Okhrin, Ostap ; MacIak, Matu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:30-58.

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2021Forecasting mortality with a hyperbolic spatial temporal VAR model. (2021). Chang, LE ; Shi, Yanlin ; Feng, Lingbing. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:255-273.

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2021Forecasting upon a star: Forecasting or wishful thinking?. (2021). Strambi, Orlando ; Martins, Diogo Barreto. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:91:y:2021:i:c:s0969699720305743.

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2020Policy implications of the Lucas Critique empirically tested along the global financial crisis. (2020). Orhan, Mehmet ; Simsek, Esra ; Karimova, Amira. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:42:y:2020:i:1:p:153-172.

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2020Long memory or regime switching in volatility? Evidence from high-frequency returns on the U.S. stock indices. (2020). Ho, Kin-Yip ; Gao, Guangyuan ; Shi, Yanlin. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:61:y:2020:i:c:s0927538x18300441.

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2020A hybrid deep learning approach by integrating LSTM-ANN networks with GARCH model for copper price volatility prediction. (2020). Wen, Liu ; Ni, Jian ; Hu, Yan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:557:y:2020:i:c:s0378437120304696.

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2020Persistence, non-linearities and structural breaks in European stock market indices. (2020). Caporale, Guglielmo Maria ; Poza, Carlos ; Gil-Alana, Luis A. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:77:y:2020:i:c:p:50-61.

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2020Estimation of fixed effects spatial dynamic panel data models with small T and unknown heteroskedasticity. (2020). Yang, Zhenlin ; Li, Liyao. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:81:y:2020:i:c:s0166046219301139.

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2020High and low prices and the range in the European stock markets: A long-memory approach. (2020). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Poza, Carlos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919306348.

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2021The recovery of global stock markets indices after impacts due to pandemics. (2021). Tenreiro, Jose A ; Inacio Jr., C. M. C., ; David, S A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:55:y:2021:i:c:s0275531920309429.

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2020Limit theorems in the context of multivariate long-range dependence. (2020). Duker, Marie-Christine. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:9:p:5394-5425.

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2020A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels. (2017). Pesaran, M ; Chudik, Alexander. In: Globalization Institute Working Papers. RePEc:fip:feddgw:327.

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2021Dynamic Econometrics in Action: A Biography of David F. Hendry. (2021). Ericsson, Neil. In: International Finance Discussion Papers. RePEc:fip:fedgif:1311.

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2022A Conversation with Søren Johansen. (2022). Paruolo, Paolo ; Mosconi, Rocco. In: Econometrics. RePEc:gam:jecnmx:v:10:y:2022:i:2:p:21-:d:793005.

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2020The Discovery of Long-Run Causal Order: A Preliminary Investigation. (2020). Hoover, Kevin. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:3:p:31-:d:393890.

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2020Long Memory in the Volatility of Selected Cryptocurrencies: Bitcoin, Ethereum and Ripple. (2020). Altintig, Ayca Z ; Atikka, Ozgur ; Okur, Mustafa ; Soylu, Pinar Kaya. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:6:p:107-:d:364466.

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2020True versus Spurious Long Memory in Cryptocurrencies. (2020). Mazibas, Murat ; Rambaccussing, Dooruj. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:9:p:186-:d:400757.

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2021A Survey on Volatility Fluctuations in the Decentralized Cryptocurrency Financial Assets. (2021). Kyriazis, Nikolaos A. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:293-:d:582208.

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2020The accuracy of asymmetric GARCH model estimation. (2020). Charles, Amelie ; Darne, Olivier. In: Working Papers. RePEc:hal:wpaper:hal-01943883.

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2022On Local Projection Based Inference. (2022). Xu, Ke-Li. In: CAEPR Working Papers. RePEc:inu:caeprp:2022002.

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2020Time Inhomogeneous Multivariate Markov Chains: Detecting and Testing Multiple Structural Breaks Occurring at Unknown. (2020). Nicolau, Jo o ; Damasio, Bruno. In: Working Papers REM. RePEc:ise:remwps:wp01362020.

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2020Investment Home Bias in the European Union. (2020). Martins, Antonio. In: Working Papers REM. RePEc:ise:remwps:wp01402020.

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2020Investment Home Bias in the European Union. (2020). Martins, Antonio. In: Working Papers REM. RePEc:ise:remwps:wp01472020.

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2020Diagnostic Tests for Homoskedasticity in Spatial Cross-Sectional or Panel Models. (2020). Pirotte, Alain ; Baltagi, Badi H ; Yang, Zhenlin. In: IZA Discussion Papers. RePEc:iza:izadps:dp13803.

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2020Real Time Forecasting of Covid-19 Intensive Care Units demand. (2020). Verzillo, Stefano ; Paruolo, Paolo ; Lovaglio, Pietro Giorgio ; Berta, Paolo. In: Working Papers. RePEc:jrs:wpaper:202008.

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2020Forecasting volatility in bitcoin market. (2020). Bekiros, Stelios ; Segnon, Mawuli. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:3:d:10.1007_s10436-020-00368-y.

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2021Performance and Market Maturity in Mutual Funds: Is Real Estate Different?. (2021). Schulz, Rainer ; MacGregor, Bryan D ; Zhao, Yuan. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:63:y:2021:i:3:d:10.1007_s11146-020-09787-0.

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2020Inference in Threshold Models. (2020). Wang, Yulong ; Lee, Yoonseok. In: Center for Policy Research Working Papers. RePEc:max:cprwps:223.

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2020On GMM Inference: Partial Identification, Identification Strength, and Non-Standard. (2020). Poskitt, Donald. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-40.

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2020Determining the rank of cointegration with infinite variance. (2020). Trapani, Lorenzo ; Cavaliere, Giuseppe ; Barigozzi, Matteo. In: Discussion Papers. RePEc:not:notgts:20/01.

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2020A Short History of Macro-econometric Modelling. (2020). Hendry, David. In: Economics Papers. RePEc:nuf:econwp:2001.

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2020.

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2020Rethinking Error Correction Model in Macroeconometric Analysis: A Relevant Review. (2020). Pinshi, Christian P. In: MPRA Paper. RePEc:pra:mprapa:102644.

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2021Repenser le modèle à correction d’erreurs dans l’analyse macroéconométrique : Une revue. (2021). Pinshi, Christian P. In: MPRA Paper. RePEc:pra:mprapa:106694.

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

Works by James Davidson:


YearTitleTypeCited
2007Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes In: CREATES Research Papers.
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2009REPRESENTATION AND WEAK CONVERGENCE OF STOCHASTIC INTEGRALS WITH FRACTIONAL INTEGRATOR PROCESSES.(2009) In: Econometric Theory.
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This paper has another version. Agregated cites: 3
article
2008Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes.(2008) In: Discussion Papers.
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This paper has another version. Agregated cites: 3
paper
2004Moment and Memory Properties of Linear Conditional Heteroscedasticity Models, and a New Model. In: Journal of Business & Economic Statistics.
[Citation analysis]
article197
1997Modelling Political Popularity: an Analysis of Long?range Dependence in Opinion Poll Series In: Journal of the Royal Statistical Society Series A.
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article31
2002Modelling political popularity: a correction In: Journal of the Royal Statistical Society Series A.
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article4
1994Identifying Cointegrating Regressions by the Rank Condition. In: Oxford Bulletin of Economics and Statistics.
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article11
2006Support for Governments and Leaders: Fractional Cointegration Analysis of Poll Evidence from the UK, 1960-2004 In: Studies in Nonlinear Dynamics & Econometrics.
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article5
2010Why crises happen - nonstationary macroeconomics In: Cardiff Economics Working Papers.
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paper8
2010Why crises happen - nonstationary macroeconomics.(2010) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 8
paper
2000THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS I In: Econometric Theory.
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article57
2000THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS II.(2000) In: Econometric Theory.
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This paper has another version. Agregated cites: 57
article
2008ALTERNATIVE FREQUENCY AND TIME DOMAIN VERSIONS OF FRACTIONAL BROWNIAN MOTION In: Econometric Theory.
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article6
2008NOTES AND PROBLEMS A GENERAL BOUND FOR THE LIMITING DISTRIBUTION OF BREITUNGS STATISTIC In: Econometric Theory.
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article1
1992A Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes In: Econometric Theory.
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article16
1993The Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes: The Asymptotically Degenerate Case In: Econometric Theory.
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article9
1991Cointegration in Recursive Systems. In: Economic Journal.
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article23
1978Econometric Modelling of the Aggregate Time-Series Relationship between Consumers Expenditure and Income in the United Kingdom. In: Economic Journal.
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article440
2000Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices In: Econometrica.
[Citation analysis]
article67
2000Bootstrap Tests for Fractional Cointegration: A Reappraisal of the Relationship Between Government Popularity and Economic Performance in the UK In: Econometric Society World Congress 2000 Contributed Papers.
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paper0
2002Consistency of kernel variance estimators for sums of semiparametric linear processes In: Econometrics Journal.
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article2
2009Type I and type II fractional Brownian motions: A reconsideration In: Computational Statistics & Data Analysis.
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article7
2008Type I and Type II Fractional Brownian Motions: a Reconsideration.(2008) In: Discussion Papers.
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This paper has another version. Agregated cites: 7
paper
2010Tests for cointegration with structural breaks based on subsamples In: Computational Statistics & Data Analysis.
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article9
2007Tests for Cointegration with Structural Breaks Based on Subsamples.(2007) In: Discussion Papers.
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This paper has another version. Agregated cites: 9
paper
2009Tests of bias in log-periodogram regression In: Economics Letters.
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article18
2008Tests of Bias in Log-Periodogram Regression.(2008) In: Discussion Papers.
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This paper has another version. Agregated cites: 18
paper
2005Tests of Bias in Log-Periodogram Regression.(2005) In: Hannover Economic Papers (HEP).
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This paper has another version. Agregated cites: 18
paper
1985FIML estimation of models with multiple regimes and covariance restrictions In: Economics Letters.
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article0
1998A non-linear error correction mechanism based on the bilinear model1 In: Economics Letters.
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article20
1998A Wald test of restrictions on the cointegrating space based on Johansens estimator In: Economics Letters.
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article6
2007Implementing the wild bootstrap using a two-point distribution In: Economics Letters.
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article23
2002Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes In: Journal of Econometrics.
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article30
2002Corrigendum to Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes: [Journal of Econometrics 106 (2) (2002) 243-269] In: Journal of Econometrics.
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article2
2002Long memory and nonlinear time series In: Journal of Econometrics.
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article11
2002A model of fractional cointegration, and tests for cointegration using the bootstrap In: Journal of Econometrics.
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article35
2005Generating schemes for long memory processes: regimes, aggregation and linearity In: Journal of Econometrics.
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article48
2002Generating schemes for long memory processes: Regimes, aggregation and linearity.(2002) In: Technical Reports.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 48
paper
2006Alternative bootstrap procedures for testing cointegration in fractionally integrated processes In: Journal of Econometrics.
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article10
1981Problems with the estimation of moving average processes In: Journal of Econometrics.
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article13
1998Structural relations, cointegration and identification: some simple results and their application In: Journal of Econometrics.
[Full Text][Citation analysis]
article69
1981Interpreting econometric evidence : The behaviour of consumers expenditure in the UK In: European Economic Review.
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article39
2001Econometric Modelling: Techniques and Applications,: Sean Holly and Martin Weale (Eds.) (2000), Cambridge: Cambridge University Press, x+296 pages. ISBN 0 521 65069 0 Hardback [UK pound]45, $74.95. In: International Journal of Forecasting.
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1990Buffer stocks, credit, and aggregation effects in the demand for broad money: Theory and an application to the U.K. personal sector In: Journal of Policy Modeling.
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article2
1990Buffer stocks, credit, and aggregation effects in the demand for broad money: theory and an application to the U.K. personal sector.(1990) In: Proceedings.
[Citation analysis]
This paper has another version. Agregated cites: 2
article
1990Reply to Rasches comments on Buffer stock, credit, and aggregation effects in the demand for broad money: Theory and an application to the U.K. personal sector In: Journal of Policy Modeling.
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article0
1993An L1-convergence theorem for heterogeneous mixingale arrays with trending moments In: Statistics & Probability Letters.
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article8
2004Forecasting Markov-switching dynamic, conditionally heteroscedastic processes In: Statistics & Probability Letters.
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article8
2008When is a Time Series I(0)? In: Discussion Papers.
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paper0
2013Consistent Model Specification Testing In: Discussion Papers.
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paper0
1994Modelling the UK Gilt-Edged Market. In: Journal of Applied Econometrics.
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article0
2010“Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and the EU Using Indirect Inference” by Mai Le, David Meenagh, Patrick Minford and Mike Wickens: Discussion In: Open Economies Review.
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article0
2005The long memory model of political support: some further results In: Working Papers.
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paper7
2007The long memory model of political support: some further results.(2007) In: Applied Economics.
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This paper has another version. Agregated cites: 7
article
1994Stochastic Limit Theory: An Introduction for Econometricians In: OUP Catalogue.
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book399
1987Buffer Stock Models of the Monetary Sector In: National Institute Economic Review.
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article3
1997Strong laws of large numbers for dependent heterogeneous processes: a synthesis of recent and new results In: Econometric Reviews.
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article11
2007A Review of: “Book Review: Mathematical and Statistical Foundations” In: Econometric Reviews.
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