16
H index
21
i10 index
1658
Citations
University of Exeter | 16 H index 21 i10 index 1658 Citations RESEARCH PRODUCTION: 44 Articles 13 Papers 1 Books RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 8 |
Econometric Theory | 7 |
Economics Letters | 5 |
Computational Statistics & Data Analysis | 2 |
Journal of the Royal Statistical Society Series A | 2 |
Statistics & Probability Letters | 2 |
Economic Journal | 2 |
Econometric Reviews | 2 |
Journal of Policy Modeling | 2 |
Working Papers Series with more than one paper published | # docs |
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Discussion Papers / University of Exeter, Department of Economics | 6 |
Year | Title of citing document | |
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2020 | To infinity and beyond: Efficient computation of ARCH(1) models. (2020). Nielsen, Morten ; Noel, Antoine L. In: CREATES Research Papers. RePEc:aah:create:2020-13. Full description at Econpapers || Download paper | |
2021 | Is 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. Full description at Econpapers || Download paper | |
2022 | Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02. Full description at Econpapers || Download paper | |
2020 | On 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. Full description at Econpapers || Download paper | |
2020 | Factor-Driven Two-Regime Regression. (2019). Shin, Youngki ; SEO, MYUNG HWAN ; Lee, Sokbae (Simon) ; Liao, Yuan. In: Papers. RePEc:arx:papers:1810.11109. Full description at Econpapers || Download paper | |
2021 | Limit Theorems for Network Dependent Random Variables. (2019). Marmer, Vadim ; Song, Kyungchul ; Kojevnikov, Denis. In: Papers. RePEc:arx:papers:1903.01059. Full description at Econpapers || Download paper | |
2020 | Efficient 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. Full description at Econpapers || Download paper | |
2022 | Quasi 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. Full description at Econpapers || Download paper | |
2021 | Testing Forecast Rationality for Measures of Central Tendency. (2019). Schmidt, Patrick ; Patton, Andrew J ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1910.12545. Full description at Econpapers || Download paper | |
2021 | Regularized 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. Full description at Econpapers || Download paper | |
2021 | Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions. (2020). Schweikert, Karsten. In: Papers. RePEc:arx:papers:2001.07949. Full description at Econpapers || Download paper | |
2020 | Unit Root Testing with Slowly Varying Trends. (2020). Otto, Sven. In: Papers. RePEc:arx:papers:2003.04066. Full description at Econpapers || Download paper | |
2020 | Multi-frequency-band tests for white noise under heteroskedasticity. (2020). Zhu, Ke ; Liu, Mengya. In: Papers. RePEc:arx:papers:2004.09161. Full description at Econpapers || Download paper | |
2020 | Fractional trends in unobserved components models. (2020). Weber, Enzo ; Hartl, Tobias ; Tschernig, Rolf. In: Papers. RePEc:arx:papers:2005.03988. Full description at Econpapers || Download paper | |
2022 | Permutation-based tests for discontinuities in event studies. (2020). Li, Jia ; Bugni, Federico A. In: Papers. RePEc:arx:papers:2007.09837. Full description at Econpapers || Download paper | |
2020 | Encompassing 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. Full description at Econpapers || Download paper | |
2021 | Instrumental Variable Identification of Dynamic Variance Decompositions. (2020). Wolf, Christian K ; Plagborg-Moller, Mikkel. In: Papers. RePEc:arx:papers:2011.01380. Full description at Econpapers || Download paper | |
2021 | A Distance Covariance-based Estimator. (2021). Soale, Abdul-Nasah ; Tsyawo, Emmanuel Selorm. In: Papers. RePEc:arx:papers:2102.07008. Full description at Econpapers || Download paper | |
2021 | Simultaneous 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. Full description at Econpapers || Download paper | |
2022 | Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. (2021). Fissler, Tobias ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2104.10673. Full description at Econpapers || Download paper | |
2021 | Inference 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. Full description at Econpapers || Download paper | |
2021 | Inference in heavy-tailed non-stationary multivariate time series. (2021). Cavaliere, Giuseppe ; Barigozzi, Matteo ; Trapani, Lorenzo. In: Papers. RePEc:arx:papers:2107.13894. Full description at Econpapers || Download paper | |
2022 | Tests for Group-Specific Heterogeneity in High-Dimensional Factor Models. (2021). Djogbenou, Antoine ; Sufana, Razvan . In: Papers. RePEc:arx:papers:2109.09049. Full description at Econpapers || Download paper | |
2022 | Standard 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. Full description at Econpapers || Download paper | |
2022 | On the dependence structure of the trade/no trade sequence of illiquid assets. (2022). Raissi, Hamdi. In: Papers. RePEc:arx:papers:2203.08223. Full description at Econpapers || Download paper | |
2020 | Bootstrap 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. Full description at Econpapers || Download paper | |
2021 | Unit 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. Full description at Econpapers || Download paper | |
2021 | To 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. Full description at Econpapers || Download paper | |
2022 | Oracle 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. Full description at Econpapers || Download paper | |
2022 | Autoregressive 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. Full description at Econpapers || Download paper | |
2021 | The 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. Full description at Econpapers || Download paper | |
2022 | Autoregressive 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. Full description at Econpapers || Download paper | |
2021 | Disaggregate income and wealth effects on private consumption in Greece. (2021). Pavlou, Georgia ; Sideris, Dimitrios. In: Working Papers. RePEc:bog:wpaper:293. Full description at Econpapers || Download paper | |
2020 | Testing Stochastic Dominance with Many Conditioning Variables. (2020). Whang, Y-J., ; Seo, M ; Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2004. Full description at Econpapers || Download paper | |
2022 | Exponential High-Frequency-Based-Volatility (EHEAVY) Models. (2022). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2022/5. Full description at Econpapers || Download paper | |
2020 | Hypothesis Tests with a Repeatedly Singular Information Matrix. (2020). Sentana, Enrique ; Amengual, Dante ; Bei, Xinyue. In: Working Papers. RePEc:cmf:wpaper:wp2020_2002. Full description at Econpapers || Download paper | |
2020 | Hypothesis tests with a repeatedly singular information matrix. (2020). Amengual, Dante ; Bei, Xinyue ; Sentana, Enrique. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14415. Full description at Econpapers || Download paper | |
2021 | The 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. Full description at Econpapers || Download paper | |
2021 | Spatial 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. Full description at Econpapers || Download paper | |
2021 | Interdependence 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. Full description at Econpapers || Download paper | |
2020 | The 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. Full description at Econpapers || Download paper | |
2020 | A new consistency proof for HAC variance estimators. (2020). Davidson, James. In: Economics Letters. RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519304112. Full description at Econpapers || Download paper | |
2020 | Multiscale 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. Full description at Econpapers || Download paper | |
2020 | Efficient 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. Full description at Econpapers || Download paper | |
2020 | Deviance 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. Full description at Econpapers || Download paper | |
2020 | The fast iterated bootstrap. (2020). Davidson, Russell ; Troki, Mirza. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:451-475. Full description at Econpapers || Download paper | |
2020 | Regression 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. Full description at Econpapers || Download paper | |
2020 | Uniform nonparametric inference for time series. (2020). Liao, Zhipeng. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:1:p:38-51. Full description at Econpapers || Download paper | |
2020 | Heterogeneous 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. Full description at Econpapers || Download paper | |
2020 | Level 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. Full description at Econpapers || Download paper | |
2020 | Nonparametric 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. Full description at Econpapers || Download paper | |
2021 | Estimation 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. Full description at Econpapers || Download paper | |
2021 | Spatial 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. Full description at Econpapers || Download paper | |
2021 | Limit 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. Full description at Econpapers || Download paper | |
2021 | Diagnostic 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. Full description at Econpapers || Download paper | |
2022 | A 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. Full description at Econpapers || Download paper | |
2020 | Iterative 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. Full description at Econpapers || Download paper | |
2020 | A 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. Full description at Econpapers || Download paper | |
2021 | Diversification 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. Full description at Econpapers || Download paper | |
2020 | Time-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. Full description at Econpapers || Download paper | |
2020 | Global 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. Full description at Econpapers || Download paper | |
2020 | Estimating 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. Full description at Econpapers || Download paper | |
2020 | Co-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. Full description at Econpapers || Download paper | |
2021 | Study 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. Full description at Econpapers || Download paper | |
2021 | Oil 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. Full description at Econpapers || Download paper | |
2021 | News 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. Full description at Econpapers || Download paper | |
2021 | Infinitely 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. Full description at Econpapers || Download paper | |
2021 | Forecasting 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. Full description at Econpapers || Download paper | |
2021 | Forecasting 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. Full description at Econpapers || Download paper | |
2020 | Policy 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. Full description at Econpapers || Download paper | |
2020 | Long 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. Full description at Econpapers || Download paper | |
2020 | A 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. Full description at Econpapers || Download paper | |
2020 | Persistence, 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. Full description at Econpapers || Download paper | |
2020 | Estimation 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. Full description at Econpapers || Download paper | |
2020 | High 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. Full description at Econpapers || Download paper | |
2021 | The 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. Full description at Econpapers || Download paper | |
2020 | Limit 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. Full description at Econpapers || Download paper | |
2020 | A 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. Full description at Econpapers || Download paper | |
2021 | Dynamic Econometrics in Action: A Biography of David F. Hendry. (2021). Ericsson, Neil. In: International Finance Discussion Papers. RePEc:fip:fedgif:1311. Full description at Econpapers || Download paper | |
2022 | A Conversation with Søren Johansen. (2022). Paruolo, Paolo ; Mosconi, Rocco. In: Econometrics. RePEc:gam:jecnmx:v:10:y:2022:i:2:p:21-:d:793005. Full description at Econpapers || Download paper | |
2020 | The 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. Full description at Econpapers || Download paper | |
2020 | Long 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. Full description at Econpapers || Download paper | |
2020 | True 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. Full description at Econpapers || Download paper | |
2021 | A 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. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2020 | The accuracy of asymmetric GARCH model estimation. (2020). Charles, Amelie ; Darne, Olivier. In: Working Papers. RePEc:hal:wpaper:hal-01943883. Full description at Econpapers || Download paper | |
2022 | On Local Projection Based Inference. (2022). Xu, Ke-Li. In: CAEPR Working Papers. RePEc:inu:caeprp:2022002. Full description at Econpapers || Download paper | |
2020 | Time 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. Full description at Econpapers || Download paper | |
2020 | Investment Home Bias in the European Union. (2020). Martins, Antonio. In: Working Papers REM. RePEc:ise:remwps:wp01402020. Full description at Econpapers || Download paper | |
2020 | Investment Home Bias in the European Union. (2020). Martins, Antonio. In: Working Papers REM. RePEc:ise:remwps:wp01472020. Full description at Econpapers || Download paper | |
2020 | Diagnostic 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. Full description at Econpapers || Download paper | |
2020 | Real 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. Full description at Econpapers || Download paper | |
2020 | Forecasting 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. Full description at Econpapers || Download paper | |
2021 | Performance 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. Full description at Econpapers || Download paper | |
2020 | Inference in Threshold Models. (2020). Wang, Yulong ; Lee, Yoonseok. In: Center for Policy Research Working Papers. RePEc:max:cprwps:223. Full description at Econpapers || Download paper | |
2020 | On 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. Full description at Econpapers || Download paper | |
2020 | Determining the rank of cointegration with infinite variance. (2020). Trapani, Lorenzo ; Cavaliere, Giuseppe ; Barigozzi, Matteo. In: Discussion Papers. RePEc:not:notgts:20/01. Full description at Econpapers || Download paper | |
2020 | A Short History of Macro-econometric Modelling. (2020). Hendry, David. In: Economics Papers. RePEc:nuf:econwp:2001. Full description at Econpapers || Download paper | |
2020 | . Full description at Econpapers || Download paper | |
2020 | Rethinking Error Correction Model in Macroeconometric Analysis: A Relevant Review. (2020). Pinshi, Christian P. In: MPRA Paper. RePEc:pra:mprapa:102644. Full description at Econpapers || Download paper | |
2021 | Repenser le modèle à correction d’erreurs dans l’analyse macroéconométrique : Une revue. (2021). Pinshi, Christian P. In: MPRA Paper. RePEc:pra:mprapa:106694. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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