James Davidson : Citation Profile


Are you James Davidson?

University of Exeter

15

H index

18

i10 index

1435

Citations

RESEARCH PRODUCTION:

44

Articles

13

Papers

1

Books

RESEARCH ACTIVITY:

   35 years (1978 - 2013). See details.
   Cites by year: 41
   Journals where James Davidson has often published
   Relations with other researchers
   Recent citing documents: 186.    Total self citations: 18 (1.24 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pda34
   Updated: 2020-03-21    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 (32)

Hendry, David (28)

Ericsson, Neil (27)

Sibbertsen, Philipp (14)

Price, Simon (13)

Hall, Stephen (13)

Mayoral, Laura (12)

Chevillon, Guillaume (12)

Phillips, Peter (12)

MacKinnon, James (11)

Pesaran, M (11)

Cites to:

Johansen, Soren (14)

Phillips, Peter (14)

de jong, Robert (10)

Granger, Clive (10)

Peel, David (9)

Byers, David (7)

Dolado, Juan (6)

Hansen, Bruce (5)

Stock, James (5)

Diebold, Francis (5)

Hassler, Uwe (4)

Main data


Where James Davidson has published?


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

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

Recent works citing James Davidson (2018 and 2017)


YearTitle of citing document
2017Modelling and forecasting WIG20 daily returns. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-29.

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2018Fast and Wild: Bootstrap Inference in Stata Using boottest. (2018). Webb, Matthew ; Roodman, David ; Nielsen, Morten ; MacKinnon, James. In: CREATES Research Papers. RePEc:aah:create:2018-34.

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2019Resuscitating the co-fractional model of Granger (1986). (2019). Santucci de Magistris, Paolo ; Carlini, Federico. In: CREATES Research Papers. RePEc:aah:create:2019-02.

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2019Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors. (2019). Nielsen, Morten ; MacKinnon, James ; Djogbenou, Antoine. In: CREATES Research Papers. RePEc:aah:create:2019-05.

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2019Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood. (2019). Johansen, Soren ; Nielsen, Bent ; Berenguer-Rico, Vanessa. In: CREATES Research Papers. RePEc:aah:create:2019-15.

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2019Relevant moment selection under mixed identification strength. (2019). Dovonon, Prosper ; Doko Tchatoka, Firmin ; Aguessy, Michael. In: School of Economics Working Papers. RePEc:adl:wpaper:2019-04.

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2018Would a discount on fruits and vegetables provide more relative welfare to the poor? Evaluating the impact of policy mechanisms. (2018). Rolando, Dominique J. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:273848.

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2018European Market for Mercosur Agricultural Exports: An econometric study of commodity trade flows. (2018). Niemi, J. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:275934.

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2018Testing for Common Breaks in a Multiple Equations System. (2018). Perron, Pierre ; Oka, Tatsushi. In: Papers. RePEc:arx:papers:1606.00092.

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2019Representation of I(1) and I(2) autoregressive Hilbertian processes. (2019). Seo, Won-Ki ; Beare, Brendan K. In: Papers. RePEc:arx:papers:1701.08149.

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2017A note on the Nelson Cao inequality constraints in the GJR-GARCH model: Is there a leverage effect?. (2017). Stavroyiannis, Stavros. In: Papers. RePEc:arx:papers:1705.00535.

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2019Sampling-based vs. Design-based Uncertainty in Regression Analysis. (2019). Wooldridge, Jeffrey ; Athey, Susan ; Abadie, Alberto ; Imbens, Guido W. In: Papers. RePEc:arx:papers:1706.01778.

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2018Statistical inference for autoregressive models under heteroscedasticity of unknown form. (2018). Zhu, Ke. In: Papers. RePEc:arx:papers:1804.02348.

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2018Determining the dimension of factor structures in non-stationary large datasets. (2018). Trapani, Lorenzo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1806.03647.

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2018Using generalized estimating equations to estimate nonlinear models with spatial data. (2018). Wooldridge, Jeffrey ; Wang, Weining ; Lu, Cuicui . In: Papers. RePEc:arx:papers:1810.05855.

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2019Factor-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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2019Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals. (2019). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1811.10045.

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2019A General Framework for Prediction in Time Series Models. (2019). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1902.01622.

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2019Counterfactual Inference in Duration Models with Random Censoring. (2019). Su, Jiun-Hua. In: Papers. RePEc:arx:papers:1902.08502.

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2019Robust Nearly-Efficient Estimation of Large Panels with Factor Structures. (2019). Zaffaroni, Paolo ; Avarucci, Marco . In: Papers. RePEc:arx:papers:1902.11181.

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

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2019Efficient 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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2019Monotonicity-Constrained Nonparametric Estimation and Inference for First-Price Auctions. (2019). Marmer, Vadim ; Xu, Pai ; Shneyerov, Artyom. In: Papers. RePEc:arx:papers:1909.12974.

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2019Quasi 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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2019Testing 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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2020Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions. (2020). Schweikert, Karsten. In: Papers. RePEc:arx:papers:2001.07949.

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2017Volatility Modelling and Parametric Value-At-Risk Forecast Accuracy: Evidence from Metal Products. (2017). Mabrouk, Samir. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2017:p:63-80.

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2019Fractional Integration in Corporate Social Responsibility Indices: A FIGARCH and HYGARCH Approach. (2019). Lee, Ming-Yen ; Chen, Jo-Hui ; Diaz, John Francis ; Nguyen, Quynh-Trang . In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2019:p:836-850.

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2019Testing for Correlated Factor Loadings in Cross Sectionally Dependent Panels. (2019). Serlenga, Laura ; Shin, Yongcheol ; Kapetanios, George. In: SERIES. RePEc:bai:series:series_wp_02-2019.

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2019Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects. (2019). Tuzcuoglu, Kerem. In: Staff Working Papers. RePEc:bca:bocawp:19-16.

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2017Identifying Dornbuschs Exchange Rate Overshooting with Structural VECs: Evidence from Mexico. (2017). Hernandez, Juan ; Chiquiar, Daniel ; Capistrán, Carlos ; Juan, Hernandez ; Daniel, Chiquiar ; Carlos, Capistran . In: Working Papers. RePEc:bdm:wpaper:2017-11.

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2017Sustainable Development in Four East Asian Countries Agricultural Sectors Post-World War II: Measuring Nutrient Balance and Estimating the Environmental Kuznets Curve. (2017). Moriwaki, Shota. In: Asia and the Pacific Policy Studies. RePEc:bla:asiaps:v:4:y:2017:i:3:p:467-483.

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2018Hedge Fund Styles and their Contagion from the Equity Market. (2018). Kim, Tae Yoon ; Lee, Hee Soo. In: International Review of Finance. RePEc:bla:irvfin:v:18:y:2018:i:1:p:91-112.

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2018MIS†SPECIFICATION TESTING IN RETROSPECT. (2018). Spanos, Aris. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:541-577.

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2017Marginal Estimation of Parameter Driven Binomial Time Series Models. (2017). Dunsmuir, William ; He, Jieyi. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:1:p:120-144.

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2017On Asymptotic Theory for ARCH (∞) Models. (2017). Hafner, Christian ; Preminger, Arie. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:6:p:865-879.

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2018Mildly Explosive Autoregression Under Stationary Conditional Heteroskedasticity. (2018). Arvanitis, Stelios ; Magdalinos, Tassos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:892-908.

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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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2017The Long-run Relationship Between Trade and Population Health: Evidence from Five Decades. (2017). Herzer, Dierk. In: The World Economy. RePEc:bla:worlde:v:40:y:2017:i:2:p:462-487.

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2018THE PRIVATE CONSUMPTION FUNCTION IN ISRAEL. (2018). Barak, Arnon. In: Israel Economic Review. RePEc:boi:isrerv:v:16:y:2018:i:1:p:65-103.

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2017The private consumption function in Israel. (2017). Barak, Arnon. In: Bank of Israel Working Papers. RePEc:boi:wpaper:2017.04b.

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2018Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff. (2018). LINTON, OLIVER ; Hong, S-Y., . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1877.

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2017Electoral Externalities in Federations - Evidence from German Opinion Polls. (2017). Roesel, Felix ; Lehmann, Robert ; Langer, Sebastian ; Frei, Xenia. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6375.

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2017A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels. (2017). Pesaran, M ; Chudik, Alexander. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6688.

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2019Estimation and inference in spatial models with dominant units. (2019). Yang, Cynthia Fan ; Pesaran, M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7563.

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2019The accuracy of asymmetric GARCH model estimation. (2019). Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: International Economics. RePEc:cii:cepiie:2019-q1-157-11.

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2019Long Memory Conditional Heteroscedasticity in Count Data. (2019). Stapper, Manuel ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:8219.

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2017John Denis Sargan at the London School of Economics. (2017). Phillips, Peter ; Hendry, David ; PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2082.

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2018DETERMINANTS OF HOUSEHOLD FINAL CONSUMPTION EXPENDITURES IN ASIAN COUNTRIES: A PANEL MODEL, 1991-2015. (2018). Arapova, Ekaterina. In: Applied Econometrics and International Development. RePEc:eaa:aeinde:v:18:y:2018:i:1_8.

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2018Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/278905.

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2019Estimation of impulse response functions when shocks are observed at a higher frequency than outcome variables. (2019). Georgiadis, Georgios ; Chudik, Alexander. In: Working Paper Series. RePEc:ecb:ecbwps:20192307.

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2018Examining the Value-at-risk Performance of Fractionally Integrated GARCH Models: Evidence from Energy Commodities. (2018). Buberkoku, Onder. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-03-6.

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2018Economic Survey of Latin America and the Caribbean 2018. Evolution of investment in Latin America and the Caribbean: stylized facts, determinants and policy challenges. (2018). -, . In: Estudio Económico de América Latina y el Caribe. RePEc:ecr:col005:43965.

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2018Alternative HAC covariance matrix estimators with improved finite sample properties. (2018). Hartigan, Luke . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:119:y:2018:i:c:p:55-73.

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2019Effective energy commodity risk management: Econometric modeling of price volatility. (2019). HALKOS, GEORGE ; Tsirivis, Apostolos S. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:63:y:2019:i:c:p:234-250.

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2017Calculating Value-at-Risk for high-dimensional time series using a nonlinear random mapping model. (2017). Zhang, Heng-Guo ; Su, Fei ; Xiao, Ran ; Qiu, Shuqi ; Song, Yan. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:355-367.

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2019A moving blocks empirical likelihood method for panel linear fixed effects models with serial correlations and cross-sectional dependences. (2019). Wu, Lang ; Ma, Qing ; Qiu, Jin . In: Economic Modelling. RePEc:eee:ecmode:v:83:y:2019:i:c:p:394-405.

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2018Are low-frequency data really uninformative? A forecasting combination perspective. (2018). Ma, Feng ; Zhang, Yaojie ; Liu, LI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:92-108.

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2019Volatility forecasting, downside risk, and diversification benefits of Bitcoin and oil and international commodity markets: A comparative analysis with yellow metal. (2019). Wanas, Idries Mohammad ; Mensi, Walid ; Al-Yahyaee, Khamis Hamed ; Kang, Sang Hoon ; Hamdi, Atef. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:49:y:2019:i:c:p:104-120.

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2018Stationarity and functional central limit theorem for ARCH(∞) models. (2018). Lee, Oesook . In: Economics Letters. RePEc:eee:ecolet:v:162:y:2018:i:c:p:107-111.

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2017Inference and testing breaks in large dynamic panels with strong cross sectional dependence. (2017). Hidalgo, Javier ; Schafgans, Marcia . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:259-274.

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2017Learning can generate long memory. (2017). Mavroeidis, Sophocles ; Chevillon, Guillaume. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:1-9.

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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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2017Long memory, fractional integration, and cross-sectional aggregation. (2017). Vera-Valdés, J ; Haldrup, Niels. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:1:p:1-11.

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2017Tests of additional conditional moment restrictions. (2017). Parente, Paulo ; Smith, Richard J. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:1-16.

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2017Inferences in panel data with interactive effects using large covariance matrices. (2017). Bai, Jushan ; Liao, Yuan. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:59-78.

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2018Asymptotic inference about predictive accuracy using high frequency data. (2018). Li, Jia ; Patton, Andrew J. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:223-240.

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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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2018Generating univariate fractional integration within a large VAR(1). (2018). Hecq, Alain ; Chevillon, Guillaume ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:54-65.

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2018Testing for common breaks in a multiple equations system. (2018). Perron, Pierre ; Oka, Tatsushi. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:66-85.

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2018Portmanteau-type tests for unit-root and cointegration. (2018). Zhang, Rongmao ; Chan, Ngai Hang. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:2:p:307-324.

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2019Alternative tests for correct specification of conditional predictive densities. (2019). Sekhposyan, Tatevik ; Rossi, Barbara. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:638-657.

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2019Testing for randomness in a random coefficient autoregression model. (2019). Horvath, Lajos ; Trapani, Lorenzo. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:338-352.

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2019Estimation of longrun variance of continuous time stochastic process using discrete sample. (2019). Park, Joon Y ; Lu, YE. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:2:p:236-267.

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2019A moment-based notion of time dependence for functional time series. (2019). Gleim, Alexander ; Salish, Nazarii . In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:377-392.

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2019Asymptotic theory and wild bootstrap inference with clustered errors. (2019). Nielsen, Morten ; MacKinnon, James ; Djogbenou, Antoine. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:393-412.

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2019Panel data analysis with heterogeneous dynamics. (2019). Okui, Ryo ; Yanagi, Takahide. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:451-475.

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2019Smoothed GMM for quantile models. (2019). Kaplan, David ; Liu, Xin ; Galvao, Antonio F ; de Castro, Luciano. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:1:p:121-144.

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2019A likelihood ratio test for spatial model selection. (2019). Lee, Lung-Fei ; Liu, Tuo. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:434-458.

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2018Change point detection in heteroscedastic time series. (2018). Gorecki, Tomasz ; Kokoszka, Piotr ; Horvath, Lajos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:7:y:2018:i:c:p:63-88.

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2018Multivariate models with long memory dependence in conditional correlation and volatility. (2018). Dark, Jonathan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:162-180.

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2017Persistence and cycles in the us federal funds rate. (2017). Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:1-8.

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2018A conditional regime switching CAPM. (2018). Vendrame, Vasco ; Tucker, Jon ; Guermat, Cherif. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:1-11.

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2018Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance. (2018). Walther, Thomas ; Thu, Hien Pham ; Klein, Tony. In: International Review of Financial Analysis. RePEc:eee:finana:v:59:y:2018:i:c:p:105-116.

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2017Fast fractional differencing in modeling long memory of conditional variance for high-frequency data. (2017). Walther, Thomas ; Klein, Tony. In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:274-279.

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2019Structural breaks and double long memory of cryptocurrency prices: A comparative analysis from Bitcoin and Ethereum. (2019). Kang, Sanghoon ; Al-Yahyaee, Khamis Hamed ; Mensi, Walid. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:222-230.

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2017Value-at-Risk under Lévy GARCH models: Evidence from global stock markets. (2017). BenSaïda, Ahmed ; Slim, Skander ; Bensaida, Ahmed ; Koubaa, Yosra. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:46:y:2017:i:c:p:30-53.

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2017Forecasting stochastic processes using singular spectrum analysis: Aspects of the theory and application. (2017). Poskitt, Donald ; Rahman, Atikur M. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:199-213.

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2017Economic forecasting in theory and practice: An interview with David F. Hendry. (2017). Ericsson, Neil. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:523-542.

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2017Interpreting estimates of forecast bias. (2017). Ericsson, Neil. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:563-568.

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2017Are correlations constant? Empirical and theoretical results on popular correlation models in finance. (2017). Füss, Roland ; Gluck, Thorsten ; Adams, Zeno ; Fuss, Roland ; ROLAND FSS, . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:9-24.

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2019The divergence of bank lending rates from policy rates after the financial crisis: The role of bank funding costs. (2019). Mizen, Paul ; Lombardi, Marco ; Illes, Anamaria. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:93:y:2019:i:c:p:117-141.

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2019Optimal rate for covariance operator estimators of functional autoregressive processes with random coefficients. (2019). Allam, Abdelaziz ; Mourid, Tahar. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:169:y:2019:i:c:p:130-137.

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2019Analysing volatility spillover between the oil market and the stock market in oil-importing and oil-exporting countries: Implications on portfolio management. (2019). Tiwari, Aviral ; Sarwar, Suleman ; Khalfaoui, Rabeh. In: Resources Policy. RePEc:eee:jrpoli:v:62:y:2019:i:c:p:22-32.

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2017Can economic policy uncertainty help to forecast the volatility: A multifractal perspective. (2017). Liu, Zhicao ; Ma, Feng ; Ye, Yong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:482:y:2017:i:c:p:181-188.

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2018The predictive content of CBOE crude oil volatility index. (2018). Li, Xiaolei ; Liu, LI ; Chen, Hongtao. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:492:y:2018:i:c:p:837-850.

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2018Forecasting the realized volatility of the Chinese stock market: Do the G7 stock markets help?. (2018). Peng, Huan ; Diao, Xiaohua ; Mei, Dexiang ; Chen, Ruoxun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:501:y:2018:i:c:p:78-85.

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2019The dynamic behavior of evolving efficiency: Evidence from the UAE stock markets. (2019). Al-Shboul, Mohammad ; Alsharari, Nizar. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:73:y:2019:i:c:p:119-135.

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2018Outer-product-of-gradients tests for spatial autoregressive models. (2018). Lee, Lung-Fei ; Jin, Fei. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:72:y:2018:i:c:p:35-57.

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2017Mutual information and persistence in the stochastic volatility of market returns: An emergent market example. (2017). Dima, Bogdan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:36-59.

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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
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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.
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article162
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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article30
2002Modelling political popularity: a correction In: Journal of the Royal Statistical Society Series A.
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article5
1994Identifying Cointegrating Regressions by the Rank Condition. In: Oxford Bulletin of Economics and Statistics.
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article10
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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article4
2010Why crises happen - nonstationary macroeconomics In: Cardiff Economics Working Papers.
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paper9
2010Why crises happen - nonstationary macroeconomics.(2010) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 9
paper
2000THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS I In: Econometric Theory.
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article51
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: 51
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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article13
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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article7
1991Cointegration in Recursive Systems. In: Economic Journal.
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article22
1978Econometric Modelling of the Aggregate Time-Series Relationship between Consumers Expenditure and Income in the United Kingdom. In: Economic Journal.
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article407
2000Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices In: Econometrica.
[Citation analysis]
article57
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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article1
2009Type I and type II fractional Brownian motions: A reconsideration In: Computational Statistics & Data Analysis.
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article6
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: 6
paper
2010Tests for cointegration with structural breaks based on subsamples In: Computational Statistics & Data Analysis.
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article8
2007Tests for Cointegration with Structural Breaks Based on Subsamples.(2007) In: Discussion Papers.
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This paper has another version. Agregated cites: 8
paper
2009Tests of bias in log-periodogram regression In: Economics Letters.
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article15
2008Tests of Bias in Log-Periodogram Regression.(2008) In: Discussion Papers.
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This paper has another version. Agregated cites: 15
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: 15
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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article19
1998A Wald test of restrictions on the cointegrating space based on Johansens estimator In: Economics Letters.
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article5
2007Implementing the wild bootstrap using a two-point distribution In: Economics Letters.
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article19
2002Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes In: Journal of Econometrics.
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article27
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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article9
2002A model of fractional cointegration, and tests for cointegration using the bootstrap In: Journal of Econometrics.
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article34
2005Generating schemes for long memory processes: regimes, aggregation and linearity In: Journal of Econometrics.
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article40
2002Generating schemes for long memory processes: Regimes, aggregation and linearity.(2002) In: Technical Reports.
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This paper has another version. Agregated cites: 40
paper
2006Alternative bootstrap procedures for testing cointegration in fractionally integrated processes In: Journal of Econometrics.
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article8
1981Problems with the estimation of moving average processes In: Journal of Econometrics.
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article12
1998Structural relations, cointegration and identification: some simple results and their application In: Journal of Econometrics.
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article63
1981Interpreting econometric evidence : The behaviour of consumers expenditure in the UK In: European Economic Review.
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article36
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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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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2005The long memory model of political support: some further results In: Working Papers.
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paper5
2007The long memory model of political support: some further results.(2007) In: Applied Economics.
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1994Stochastic Limit Theory: An Introduction for Econometricians In: OUP Catalogue.
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In: .
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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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article9
2007A Review of: “Book Review: Mathematical and Statistical Foundations” In: Econometric Reviews.
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