Matei Demetrescu : Citation Profile


Are you Matei Demetrescu?

Christian-Albrechts-Universität Kiel

7

H index

4

i10 index

185

Citations

RESEARCH PRODUCTION:

34

Articles

13

Papers

RESEARCH ACTIVITY:

   14 years (2005 - 2019). See details.
   Cites by year: 13
   Journals where Matei Demetrescu has often published
   Relations with other researchers
   Recent citing documents: 18.    Total self citations: 22 (10.63 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pde359
   Updated: 2019-10-15    RAS profile: 2019-05-14    
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Relations with other researchers


Works with:

Kruse, Robinson (4)

Rodrigues, Paulo (4)

Sibbertsen, Philipp (2)

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 (20)

Hassler, Uwe (20)

Rodrigues, Paulo (13)

Caporale, Guglielmo Maria (10)

Czudaj, Robert (7)

Taylor, Robert (7)

GUPTA, RANGAN (6)

Walle, Yabibal (6)

Velasco, Carlos (6)

Costantini, Mauro (6)

Lupi, Claudio (6)

Cites to:

Phillips, Peter (48)

Taylor, Robert (40)

Cavaliere, Giuseppe (32)

Hassler, Uwe (27)

Chang, Yoosoon (25)

Diebold, Francis (24)

Vogelsang, Timothy (17)

Teräsvirta, Timo (16)

Christoffersen, Peter (15)

Park, Joon (15)

Pesaran, M (14)

Main data


Where Matei Demetrescu has published?


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

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 (2019 and 2018)


YearTitle of citing document
2019Predictive Regressions. (2019). Gonzalo, Jesus ; Pitarakis, Jean-Yves. 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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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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2018Inference on trending panel data. (2018). Velasco, Carlos ; Robinson, Peter M. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:2:p:282-304.

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2018Does energy efficiency promote economic growth? Evidence from a multicountry and multisectoral panel dataset. (2018). Rajbhandari, Ashish ; Zhang, Fan. In: Energy Economics. RePEc:eee:eneeco:v:69:y:2018:i:c:p:128-139.

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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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2018Is market fear persistent? A long-memory analysis. (2018). Plastun, Alex ; Caporale, Guglielmo Maria ; Gil-Alana, Luis. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:140-147.

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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). Rodrigues, Paulo ; Voges, Michelle ; Sibbertsen, Philipp. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-656.

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2018Education and health: welfare state composition and growth across country groups. (2018). Simões, Marta ; Andrade, João. In: Eastern Journal of European Studies. RePEc:jes:journl:y:2018:v:9:p:111-144.

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2018Unified Tests for a Dynamic Predictive Regression. (2018). Yang, Bingduo ; Cai, Zongwu ; Peng, Liang ; Liu, Xiaohui. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201808.

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2018African stock markets integration: an analysis of the relationship between major stock markets in Africa. (2018). Anyikwa, Izunna ; le Roux, Pierre ; Brookes, Micheal. In: Working Papers. RePEc:mnd:wpaper:1812.

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2017Testing for a unit root against ESTAR stationarity. (2002). Whitehouse, Emily ; Leybourne, Stephen ; Harvey, David. In: Discussion Papers. RePEc:not:notgts:17/02.

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

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2018A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility. (2018). Walle, Yabibal ; Herwartz, Helmut. In: Computational Statistics. RePEc:spr:compst:v:33:y:2018:i:1:d:10.1007_s00180-017-0784-5.

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2017FOOD AND AGRICULTURAL PRICES ACROSS COUNTRIES AND THE LAW OF ONE PRICE. (2017). Vo, Long ; Si, Jiawei ; Clements, Ken W. In: Economics Discussion / Working Papers. RePEc:uwa:wpaper:17-04.

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2018The emergence of the RMB: A New Normal for Chinas exchange rate system?. (2018). Kunze, Frederik ; Spiwoks, Markus ; Wegener, Christoph ; Basse, Tobias. In: Center for European, Governance and Economic Development Research Discussion Papers. RePEc:zbw:cegedp:348.

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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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paper6
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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article48
2014Incorporating Asymmetric Preferences into Fan Charts and Path Forecasts In: Oxford Bulletin of Economics and Statistics.
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article4
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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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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article46
2016(WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS? In: Econometric Theory.
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article0
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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article8
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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article5
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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article0
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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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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article15
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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article2
2013Nonlinear IV panel unit root testing under structural breaks in the error variance In: Statistical Papers.
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article0
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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article1
2011Unit Root Testing in Heteroscedastic Panels Using the Cauchy Estimator In: Journal of Business & Economic Statistics.
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2016Directed Tests of No Cross‐Sectional Correlation in Large‐N Panel Data Models In: Journal of Applied Econometrics.
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article0
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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