Matei Demetrescu : Citation Profile


Are you Matei Demetrescu?

Christian-Albrechts-Universität Kiel

7

H index

4

i10 index

203

Citations

RESEARCH PRODUCTION:

35

Articles

13

Papers

RESEARCH ACTIVITY:

   15 years (2005 - 2020). See details.
   Cites by year: 13
   Journals where Matei Demetrescu has often published
   Relations with other researchers
   Recent citing documents: 22.    Total self citations: 22 (9.78 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pde359
   Updated: 2020-09-26    RAS profile: 2020-08-11    
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Relations with other researchers


Works with:

Rodrigues, Paulo (4)

Kruse, Robinson (3)

Hacioglu Hoke, Sinem (2)

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

Is cited by:

Gil-Alana, Luis (22)

Hassler, Uwe (21)

Rodrigues, Paulo (15)

Caporale, Guglielmo Maria (10)

GUPTA, RANGAN (7)

Czudaj, Robert (7)

Costantini, Mauro (7)

Taylor, Robert (7)

Lupi, Claudio (6)

Velasco, Carlos (6)

Walle, Yabibal (6)

Cites to:

Phillips, Peter (47)

Taylor, Robert (40)

Cavaliere, Giuseppe (32)

Hassler, Uwe (30)

Chang, Yoosoon (25)

Diebold, Francis (23)

Teräsvirta, Timo (17)

Park, Joon (15)

Christoffersen, Peter (15)

Pesaran, M (14)

Vogelsang, Timothy (14)

Main data


Where Matei Demetrescu has published?


Journals with more than one article published# docs
Economics Letters3
Oxford Bulletin of Economics and Statistics3
Statistical Papers3
Computational Statistics & Data Analysis2
International Journal of Forecasting2
Stochastics and Quality Control2
Journal of Time Series Analysis2
Journal of Time Series Econometrics2
Econometric Theory2
AStA Advances in Statistical Analysis2
Economics Bulletin2

Working Papers Series with more than one paper published# docs
Working Papers / Banco de Portugal, Economics and Research Department3
Annual Conference 2015 (Muenster): Economic Development - Theory and Policy / Verein fr Socialpolitik / German Economic Association2

Recent works citing Matei Demetrescu (2020 and 2019)


YearTitle of citing document
2019Forecasting under Long Memory and Nonstationarity. (2019). Hassler, Uwe ; Pohle, Marc-Oliver. In: Papers. RePEc:arx:papers:1910.08202.

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2020Proper scoring rules for evaluating asymmetry in density forecasting. (2020). Ravazzolo, Francesco ; Iacopini, Matteo ; Rossini, Luca. In: Papers. RePEc:arx:papers:2006.11265.

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2020Locally trimmed least squares: conventional inference in possibly nonstationary models. (2020). Kasparis, Ioannis ; Hu, Zhishui ; Wang, Qiying. In: Papers. RePEc:arx:papers:2006.12595.

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2019Predictive Regressions. (2019). Pitarakis, Jean-Yves ; Gonzalo, Jesus. In: UC3M Working papers. Economics. RePEc:cte:werepe:28554.

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2019Exchange rates and fundamentals: A bootstrap panel data analysis. (2019). Chen, Shyh-Wei ; Xie, Zixiong. In: Economic Modelling. RePEc:eee:ecmode:v:78:y:2019:i:c:p:209-224.

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2019Nonlinear exchange rate pass-through in timber products: The case of oriented strand board in Canada and the United States. (2019). Goodwin, Barry ; Prestemon, Jeffrey P ; Holt, Matthew T. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818303802.

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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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2020Time-varying persistence in real oil prices and its determinant. (2020). Wegener, Christoph ; Kruse, Robinson. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319300805.

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2019Testing the predictive ability of house price bubbles for macroeconomic performance: A meta-analytic approach. (2019). Floro, Danvee. In: International Review of Financial Analysis. RePEc:eee:finana:v:62:y:2019:i:c:p:164-181.

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2019Market efficiency of the top market-cap cryptocurrencies: Further evidence from a panel framework. (2019). Oxley, Les ; Glenn, Harold ; Hu, Yang. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:p:138-145.

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2020Is the recent increase in national homicide abnormal? Testing the application of fan charts in monitoring national homicide trends over time. (2020). Wheeler, Andrew P ; Riddell, Jordan R ; Yim, Ha-Neul. In: Journal of Criminal Justice. RePEc:eee:jcjust:v:66:y:2020:i:c:s0047235219304672.

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2019Price volatility and speculative activities in futures commodity markets: A combination of combinations of p-values test. (2019). Leccadito, Arturo ; Algieri, Bernardina. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:13:y:2019:i:c:p:40-54.

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2019Testing for breaks in the cointegrating relationship: On the stability of government bond markets equilibrium. (2019). Sibbertsen, Philipp ; Rodrigues, Paulo ; Voges, Michelle. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-656.

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2020A New Robust Inference for Asset Return Predictability Via Quantile Regression. (2020). Liao, Xiaosai ; Chen, Haiqiang ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202002.

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2019Exchange rate pass-through to import prices in Europe: A panel cointegration approach. (2019). Arsova, Antonia. In: Working Paper Series in Economics. RePEc:lue:wpaper:384.

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2019Can the South African Reserve Bank (SARB) protect the purchasing power of citizens? A new look at Fisher’s hypothesis. (2019). Phiri, Andrew ; Mbekeni, Lutho. In: Working Papers. RePEc:mnd:wpaper:1906.

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2019.

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2019Testing for breaks in the cointegrating relationship: On the stability of government bond markets’ equilibrium. (2019). Sibbertsen, Philipp ; Rodrigues, Paulo ; Voges, Michelle. In: Working Papers. RePEc:ptu:wpaper:w201912.

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2019Market integration and the persistence of electricity prices. (2019). Rua, António ; Rodrigues, Paulo ; Pereira, Joo Pedro ; Pesquita, Vasco . In: Empirical Economics. RePEc:spr:empeco:v:57:y:2019:i:5:d:10.1007_s00181-018-1520-x.

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2020Modeling US historical time-series prices and inflation using alternative long-memory approaches. (2020). GUPTA, RANGAN ; Gil-Alana, Luis ; Miller, Stephen M ; Canarella, Giorgio. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:4:d:10.1007_s00181-018-1597-2.

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2019Unit Root Tests for Dependent Micropanels. (2019). Choi, In. In: The Japanese Economic Review. RePEc:spr:jecrev:v:70:y:2019:i:2:d:10.1111_jere.12170.

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2019Panel stationary tests against changes in persistence. (2019). Westerlund, Joakim ; Costantini, Mauro ; Cerqueti, Roy ; Gutierrez, Luciano . In: Statistical Papers. RePEc:spr:stpapr:v:60:y:2019:i:4:d:10.1007_s00362-016-0864-6.

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Works by Matei Demetrescu:


YearTitleTypeCited
2012The Power of Unit Root Tests Against Nonlinear Local Alternatives In: CREATES Research Papers.
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paper7
2013The power of unit root tests against nonlinear local alternatives.(2013) In: Journal of Time Series Analysis.
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article
2016Fixed-b Inference in the Presence of Time-Varying Volatility In: CREATES Research Papers.
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paper0
2014IV-BASED COINTEGRATION TESTING IN DEPENDENT PANELS WITH TIME-VARYING VARIANCE In: Journal of Time Series Analysis.
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article2
2012IV-Based Cointegration Testing in Dependent Panels with Time-Varying Variance.(2012) In: Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century.
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paper
2006Combining Significance of Correlated Statistics with Application to Panel Data* In: Oxford Bulletin of Economics and Statistics.
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article50
2014Incorporating Asymmetric Preferences into Fan Charts and Path Forecasts In: Oxford Bulletin of Economics and Statistics.
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article6
2018Multiple Testing for No Cointegration under Nonstationary Volatility In: Oxford Bulletin of Economics and Statistics.
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article0
2018Predictive regressions under asymmetric loss: factor augmentation and model selection In: Bank of England working papers.
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paper1
2019Predictive regressions under asymmetric loss: Factor augmentation and model selection.(2019) In: International Journal of Forecasting.
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article
2005Determining the Parameters of a Multinomial Distribution: The Fiducial Approach In: Stochastics and Quality Control.
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article0
2006Loss Reduction in Point Estimation Problems In: Stochastics and Quality Control.
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article0
2009Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes In: Journal of Time Series Econometrics.
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article1
2015Recursive Adjustment for General Deterministic Components and Improved Cointegration Rank Tests In: Journal of Time Series Econometrics.
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article0
2008LONG MEMORY TESTING IN THE TIME DOMAIN In: Econometric Theory.
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article49
2016(WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS? In: Econometric Theory.
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article1
2007Volatility Clustering in High-Frequency Data: A self-fulfilling prophecy? In: Economics Bulletin.
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article0
2009Panel unit root testing and the martingale difference hypothesis for German stocks In: Economics Bulletin.
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article0
2009Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term In: Econometrics Journal.
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article10
2008Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term.(2008) In: Economics Working Papers.
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paper
2006An extension of the Gauss-Newton algorithm for estimation under asymmetric loss In: Computational Statistics & Data Analysis.
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article0
2010Joint forecasts of Dow Jones stocks under general multivariate loss function In: Computational Statistics & Data Analysis.
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article3
2012A simple nonstationary-volatility robust panel unit root test In: Economics Letters.
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article9
2014Enhancing the local power of IVX-based tests in predictive regressions In: Economics Letters.
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article1
2016Inference on the long-memory properties of time series with non-stationary volatility In: Economics Letters.
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article1
2014Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility.(2014) In: Hannover Economic Papers (HEP).
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2015Instrumental variable and variable addition based inference in predictive regressions In: Journal of Econometrics.
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article7
2020Bias corrections for exponentially transformed forecasts: Are they worth the effort? In: International Journal of Forecasting.
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article0
2019Testing for Episodic Predictability in Stock Returns In: Essex Finance Centre Working Papers.
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paper1
2019Testing for Episodic Predictability in Stock Returns.(2019) In: Working Papers.
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2005Spurious Persistence and Unit Roots due to Seasonal Differencing: The Case of Inflation Rates / Künstliche Persistenz und Einheitswurzeln infolge saisonaler Differenzen: Das Beispiel Inflationsraten In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
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article6
2007Optimal forecast intervals under asymmetric loss In: Journal of Forecasting.
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article1
2019Testing for constant correlation of filtered series under structural change In: Econometrics Journal.
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article1
2016Residual-augmented IVX predictive regression In: Working Papers.
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paper1
2018Testing the fractionally integrated hypothesis using M estimation: With an application to stock market volatility In: Working Papers.
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paper1
2008Bias correction for the regression-based LM fractional integration test In: AStA Advances in Statistical Analysis.
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article0
2011Asymptotic normal tests for integration in panels with cross-dependent units In: AStA Advances in Statistical Analysis.
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article7
2011Pitfalls of post-model-selection testing: experimental quantification In: Empirical Economics.
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article16
2007Effect of neglected deterministic seasonality on unit root tests In: Statistical Papers.
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article9
2010On the Dickey–Fuller test with White standard errors In: Statistical Papers.
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article4
2013Nonlinear IV panel unit root testing under structural breaks in the error variance In: Statistical Papers.
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article1
2016Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances In: Econometric Reviews.
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article1
2010Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost In: Journal of Applied Statistics.
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2011Unit Root Testing in Heteroscedastic Panels Using the Cauchy Estimator In: Journal of Business & Economic Statistics.
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article5
2016Directed Tests of No Cross‐Sectional Correlation in Large‐N Panel Data Models In: Journal of Applied Econometrics.
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2017Homogenous vs. heterogenous transition functions in smooth transition regressions: A LM-type test In: Kiel Working Papers.
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2015Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy.
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2015Testing heteroskedastic time series for normality In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy.
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