James Davidson : Citation Profile


Are you James Davidson?

University of Exeter

16

H index

25

i10 index

1881

Citations

RESEARCH PRODUCTION:

44

Articles

13

Papers

1

Books

RESEARCH ACTIVITY:

   35 years (1978 - 2013). See details.
   Cites by year: 53
   Journals where James Davidson has often published
   Relations with other researchers
   Recent citing documents: 129.    Total self citations: 19 (1 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pda34
   Updated: 2023-05-27    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 (48)

Kapetanios, George (41)

Ericsson, Neil (30)

Hendry, David (29)

Cizek, Pavel (20)

Sibbertsen, Philipp (16)

Phillips, Peter (15)

Price, Simon (15)

Perron, Pierre (15)

LINTON, OLIVER (14)

Pesaran, Mohammad (14)

Cites to:

de jong, Robert (18)

Johansen, Soren (14)

Phillips, Peter (14)

Peel, David (9)

Byers, David (7)

Hansen, Bruce (7)

Dolado, Juan (6)

Kreps, David (6)

Wallis, Kenneth (6)

Stock, James (6)

Hassler, Uwe (6)

Main data


Where James Davidson has published?


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

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

Recent works citing James Davidson (2022 and 2021)


YearTitle of citing document
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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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: CREATES Research Papers. RePEc:aah:create:2021-12.

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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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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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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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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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2022Local Projection Inference is Simpler and More Robust Than You Think. (2020). Plagborg-Moller, Mikkel ; Jos'e Luis Montiel Olea, . In: Papers. RePEc:arx:papers:2007.13888.

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2022The Efficiency Gap. (2020). Fissler, Tobias ; Dimitriadis, Timo ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:2010.14146.

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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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2023Inference 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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2022Bootstrap Cointegration Tests in ARDL Models. (2022). Zoia, Maria Grazia ; Vacca, Gianmarco ; Bertelli, Stefano. In: Papers. RePEc:arx:papers:2204.04939.

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2022Two-step estimation in linear regressions with adaptive learning. (2022). Mayer, Alexander. In: Papers. RePEc:arx:papers:2204.05298.

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2023Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity. (2022). Saikkonen, Pentti ; Meitz, Mika. In: Papers. RePEc:arx:papers:2205.11953.

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2023Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2023High Dimensional Generalised Penalised Least Squares. (2022). Kapetanios, George ; Chrysikou, Katerina ; Chronopoulos, Ilias. In: Papers. RePEc:arx:papers:2207.07055.

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2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Hualde, Javier. In: Papers. RePEc:arx:papers:2211.10235.

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2023Statistical inference for the logarithmic spatial heteroskedasticity model with exogenous variables. (2023). Zhu, KE ; Su, Bing. In: Papers. RePEc:arx:papers:2301.06658.

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2022Robust Inference for Non-Gaussian SVAR Models. (2022). Mesters, Geert ; Lee, Adam ; Hoesch, Lukas. In: Working Papers. RePEc:bge:wpaper:1367.

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2021Measuring the impact of clean energy production on CO2 abatement in Denmark: Upper bound estimation and forecasting. (2021). Santucci de Magistris, Paolo ; Datta Gupta, Nabanita ; Christensen, Bent Jesper. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:184:y:2021:i:1:p:118-149.

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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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2022Structural change tests under heteroskedasticity: Joint estimation versus two?steps methods. (2022). Yamamoto, Yohei ; Perron, Pierre. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:3:p:389-411.

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2022Regularized estimation of high?dimensional vector autoregressions with weakly dependent innovations. (2022). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:4:p:532-557.

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2022Estimation and inference in adaptive learning models with slowly decreasing gains. (2022). Mayer, Alexander. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:5:p:720-749.

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

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2022EU-induced Financialisation and Its Impact on the Greek Wage Share, 1999-2021. (2022). Galanis, Giorgos ; Iliopoulos, Panagiotis ; Gouzoulis, Giorgos. In: Working Papers. RePEc:cgs:wpaper:109.

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2022Financial-market volatility prediction with multiplicative Markov-switching MIDAS components. (2022). Wilfling, Bernd ; Segnon, Mawuli ; Schulte-Tillman, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:9922.

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2021Discrete Fourier Transforms of Fractional Processes with Econometric Applications. (2021). PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2303.

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2022Robust Testing for Explosive Behavior with Strongly Dependent Errors. (2022). , Peter ; PEter, ; Yu, Jun ; JunYu, ; Lui, Yiu Lim. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2350.

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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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2022Generalized ordinal patterns allowing for ties and their applications in hydrology. (2022). Fischer, Svenja ; Schnurr, Alexander. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:171:y:2022:i:c:s0167947322000524.

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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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2022Bootstrap cointegration tests in ARDL models. (2022). Zoia, Maria ; Vacca, Gianmarco ; Bertelli, Stefano. In: Economic Modelling. RePEc:eee:ecmode:v:116:y:2022:i:c:s0264999322002310.

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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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2022Maximum likelihood estimation for score-driven models. (2022). Lucas, Andre ; Koopman, Siem Jan ; van Brummelen, Janneke ; Blasques, Francisco. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:2:p:325-346.

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2022Residual-augmented IVX predictive regression. (2022). Rodrigues, Paulo ; Demetrescu, Matei. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:2:p:429-460.

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2022Posterior-based Wald-type statistics for hypothesis testing. (2022). Yu, Jun ; Zeng, Tao ; JunYu, ; Li, Yong ; Liu, Xiaobin. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:1:p:83-113.

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2023Estimation of spatial sample selection models: A partial maximum likelihood approach. (2023). Iek, Pavel ; Rabovi, Renata. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:1:p:214-243.

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2023When bias contributes to variance: True limit theory in functional coefficient cointegrating regression. (2023). Phillips, Peter ; Wang, Ying. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:469-489.

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2022On the local power of some tests of strict exogeneity in linear fixed effects models. (2022). Mayer, Alexander. In: Econometrics and Statistics. RePEc:eee:ecosta:v:24:y:2022:i:c:p:49-74.

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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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2022Implications of clean energy, oil and emissions pricing for the GCC energy sector stock. (2022). Nasir, Muhammad Ali ; Chaudhuri, Kausik ; Alkathery, Mohammed A. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s014098832200278x.

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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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2022How does news sentiment affect the states of Japanese stock return volatility?. (2022). Shi, Yanlin ; Fu, Tong ; Feng, Lingbing. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922002241.

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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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2022Modeling and forecasting firm-specific volatility: The role of asymmetry and long-memory. (2022). Gonzalez-Pla, Francisco ; Lovreta, Lidija. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322001933.

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2022Modelling short-and long-term marketing effects in the consumer purchase journey. (2022). Cain, P M. In: International Journal of Research in Marketing. RePEc:eee:ijrema:v:39:y:2022:i:1:p:96-116.

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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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2023Estimation of a dynamic multi-level factor model with possible long-range dependence. (2023). Rodriguez-Caballero, Vladimir C ; Ergemen, Yunus Emre. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:405-430.

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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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2022Functional delta residuals and applications to simultaneous confidence bands of moment based statistics. (2022). Schwartzman, Armin ; Davenport, Samuel. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:192:y:2022:i:c:s0047259x22000835.

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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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2023Two-step estimation in linear regressions with adaptive learning. (2023). Mayer, Alexander. In: Statistics & Probability Letters. RePEc:eee:stapro:v:195:y:2023:i:c:s0167715222002747.

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2022Connecting emerging industry and regional innovation system: Linkages, effect and paradigm in China. (2022). Ceriani, Alessandra ; Lei, Zhen ; Li, Yan ; Wei, Yigang. In: Technovation. RePEc:eee:techno:v:111:y:2022:i:c:s0166497221001693.

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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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2021Monitoring Cointegrating Polynomial Regressions: Theory and Application to the Environmental Kuznets Curves for Carbon and Sulfur Dioxide Emissions. (2021). Wagner, Martin ; Knorre, Fabian ; Grupe, Maximilian. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:1:p:12-:d:516201.

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

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2023Effects of Crude Oil Price Shocks on Stock Markets and Currency Exchange Rates in the Context of Russia-Ukraine Conflict: Evidence from G7 Countries. (2023). Paul, Biswajit ; Bagchi, Bhaskar. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:2:p:64-:d:1045044.

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2021.

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2022The Conflict between Technology and Scale: Evidence from China’s Wooden Furniture Industry. (2022). Lin, Meng. In: Sustainability. RePEc:gam:jsusta:v:15:y:2022:i:1:p:230-:d:1012900.

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2023Risks in Major Cryptocurrency Markets: Modeling the Dual Long Memory Property and Structural Breaks. (2023). Yoon, Seong-Min ; Mensi, Walid ; Jiang, Zhuhua. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:3:p:2193-:d:1045871.

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2022On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market. (2022). de Peretti, Christian ; Sabkha, Saker. In: Post-Print. RePEc:hal:journl:hal-01710398.

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2021Wages and prices of foreign goods in the inflationary process in Iceland. (2021). Danielsson, Asgeir . In: Economics. RePEc:ice:wpaper:wp87.

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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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2023Local Projection Based Inference under General Conditions. (2023). Xu, Ke-Li. In: CAEPR Working Papers. RePEc:inu:caeprp:2023001.

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2022Presidential approval in Peru: an empirical analysis using a fractionally cointegrated VAR. (2022). Rodríguez, Gabriel ; Rodriguez, Gabriel ; Saravia, Alexander Boca. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:55:y:2022:i:3:d:10.1007_s10644-021-09374-0.

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2021Performance and Market Maturity in Mutual Funds: Is Real Estate Different?. (2021). Zhao, Yuan ; Schulz, Rainer ; MacGregor, Bryan D. 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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2022Should Stock Returns Predictability be hooked on Long Horizon Regressions?. (2021). Dergiades, Theologos ; Pouliasis, Panos K. In: Discussion Paper Series. RePEc:mcd:mcddps:2021_03.

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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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2021Modelling Cycles in Climate Series: the Fractional Sinusoidal Waveform Process. (2021). Proietti, Tommaso ; Maddanu, Federico. In: CEIS Research Paper. RePEc:rtv:ceisrp:518.

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2021Nonparametric regression with warped wavelets and strong mixing processes. (2021). Morettin, Pedro A ; Porto, Rogerio F ; Gomez, Luz M. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:73:y:2021:i:6:d:10.1007_s10463-021-00789-0.

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2021The long memory HEAVY process: modeling and forecasting financial volatility. (2021). Christopoulos, A ; Yfanti, S ; Karanasos, M. In: Annals of Operations Research. RePEc:spr:annopr:v:306:y:2021:i:1:d:10.1007_s10479-019-03493-8.

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2021Say anything you want about me if you spell my name right: the effect of Internet searches on financial market. (2021). Kliber, Agata ; Rutkowska, Aleksandra. In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:29:y:2021:i:2:d:10.1007_s10100-019-00665-6.

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2021Monitoring memory parameter change-points in long-memory time series. (2021). Chen, Zhanshou ; Li, Fuxiao ; Xiao, Yanting. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:5:d:10.1007_s00181-020-01840-4.

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2021Does cross-shareholding lead to Chinas stock returns comovement? Evidence from a GMM-based spatial AR model. (2021). Li, Xin ; Feng, Yun. In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:6:d:10.1007_s00181-020-02002-2.

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2022Tests for segmented cointegration: an application to US governments budgets. (2022). , Paulo ; Martins, Luis F. In: Empirical Economics. RePEc:spr:empeco:v:63:y:2022:i:2:d:10.1007_s00181-021-02156-7.

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2021Modeling Bitcoin price volatility: long memory vs Markov switching. (2021). Chkili, Walid. In: Eurasian Economic Review. RePEc:spr:eurase:v:11:y:2021:i:3:d:10.1007_s40822-021-00180-7.

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2022A new analytical approach for identifying market contagion. (2022). Kim, Taeyoon ; Lee, Heesoo. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00339-4.

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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.
[Citation analysis]
article220
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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article36
2002Modelling political popularity: a correction In: Journal of the Royal Statistical Society Series A.
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article3
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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article15
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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article81
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: 81
article
2008ALTERNATIVE FREQUENCY AND TIME DOMAIN VERSIONS OF FRACTIONAL BROWNIAN MOTION In: Econometric Theory.
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article7
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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article17
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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article14
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.
[Full Text][Citation analysis]
article510
2000Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices In: Econometrica.
[Citation analysis]
article78
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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article3
2009Type I and type II fractional Brownian motions: A reconsideration In: Computational Statistics & Data Analysis.
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article10
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: 10
paper
2010Tests for cointegration with structural breaks based on subsamples In: Computational Statistics & Data Analysis.
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article13
2007Tests for Cointegration with Structural Breaks Based on Subsamples.(2007) In: Discussion Papers.
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This paper has another version. Agregated cites: 13
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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article24
2002Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes In: Journal of Econometrics.
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article31
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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article3
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.
[Full Text][Citation analysis]
article40
2005Generating schemes for long memory processes: regimes, aggregation and linearity In: Journal of Econometrics.
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article50
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: 50
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]
article72
1981Interpreting econometric evidence : The behaviour of consumers expenditure in the UK In: European Economic Review.
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article41
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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article0
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.
[Full Text][Citation analysis]
article8
2004Forecasting Markov-switching dynamic, conditionally heteroscedastic processes In: Statistics & Probability Letters.
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article9
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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paper9
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: 9
article
1994Stochastic Limit Theory: An Introduction for Econometricians In: OUP Catalogue.
[Citation analysis]
book446
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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