Shiqing Ling : Citation Profile


Are you Shiqing Ling?

13

H index

16

i10 index

1470

Citations

RESEARCH PRODUCTION:

27

Articles

15

Papers

RESEARCH ACTIVITY:

   14 years (2001 - 2015). See details.
   Cites by year: 105
   Journals where Shiqing Ling has often published
   Relations with other researchers
   Recent citing documents: 68.    Total self citations: 14 (0.94 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pli831
   Updated: 2021-11-28    RAS profile: 2014-09-28    
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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 Shiqing Ling.

Is cited by:

McAleer, Michael (631)

Chang, Chia-Lin (325)

Jimenez-Martin, Juan (171)

Pérez-Amaral, Teodosio (126)

Caporin, Massimiliano (48)

Tansuchat, Roengchai (42)

Chan, Felix (38)

Francq, Christian (37)

Zakoian, Jean-Michel (37)

Maasoumi, Esfandiar (29)

Zhu, Ke (29)

Cites to:

McAleer, Michael (19)

Bollerslev, Tim (15)

Engle, Robert (14)

Phillips, Peter (11)

Hansen, Bruce (10)

Drost, Feike C. (10)

Zakoian, Jean-Michel (9)

Teräsvirta, Timo (5)

Francq, Christian (5)

LINTON, OLIVER (5)

Potter, Simon (4)

Main data


Where Shiqing Ling has published?


Journals with more than one article published# docs
Econometric Theory8
Journal of Time Series Analysis5
Journal of Econometrics3
Journal of the Royal Statistical Society Series B2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
ISER Discussion Paper / Institute of Social and Economic Research, Osaka University7
MPRA Paper / University Library of Munich, Germany3
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo3

Recent works citing Shiqing Ling (2021 and 2020)


YearTitle of citing document
2020Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077.

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2020Spectral Targeting Estimation of $\lambda$-GARCH models. (2020). Hetland, Simon. In: Papers. RePEc:arx:papers:2007.02588.

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2020Testing error distribution by kernelized Stein discrepancy in multivariate time series models. (2020). Li, Dong ; Gong, Huan ; Zhu, KE ; Luo, Donghang. In: Papers. RePEc:arx:papers:2008.00747.

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2021Autoregressive conditional duration modelling of high frequency data. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02300.

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2020Inference for short‐memory time series models based on modified empirical likelihood. (2020). Ning, Wei ; Piyadi, Ramadha D. In: Australian & New Zealand Journal of Statistics. RePEc:bla:anzsta:v:62:y:2020:i:3:p:322-339.

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2020On the three‐step non‐Gaussian quasi‐maximum likelihood estimation of heavy‐tailed double autoregressive models. (2020). Li, Dong ; Gong, Huan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:6:p:883-891.

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2021Connectedness between the Crude Oil Futures and Equity Markets during the Pre- and Post-Financialisation Eras. (2021). Gronwald, Marc ; Durand, Robert D ; Wadud, Sania. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9202.

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2020Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions. (2020). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2020_2023.

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2020Robust Tests for White Noise and Cross-Correlation. (2020). Phillips, Peter ; Giraitis, Liudas ; Dalla, Violetta. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2194r.

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2020An Indirect Proof for the Asymptotic Properties of VARMA Model Estimators. (2020). Melard, Guy. In: Working Papers ECARES. RePEc:eca:wpaper:2013/304272.

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2020Does the Choice of the Multivariate GARCH Model on Volatility Spillovers Matter? Evidence from Oil Prices and Stock Markets in G7 Countries. (2020). Dritsakis, Nikolaos ; Kartsonakis-Mademlis, Dimitrios. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-05-21.

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2021Volatility Spillovers between Oil Prices and Stock Returns in Developing Countries. (2021). Massadikov, Khairulla. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-04-16.

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2020Diversification and optimal hedges for socially responsible investment in Brazil. (2020). Penabad, Maria-Celia ; Lopez-Andion, Carmen ; Iglesias, Ana ; Maside-Sanfiz, Jose Manuel ; Lopez-Penabad, Maria-Celia ; Iglesias-Casal, Ana. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:106-118.

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2020Asymmetric risk spillovers between Shanghai and Hong Kong stock markets under China’s capital account liberalization. (2020). He, Jianmin ; Li, Shouwei ; Wei, YU ; Yang, Kun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302384.

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2020Exchange rate regimes and market integration: evidence from the dynamic relations between renminbi onshore and offshore markets. (2020). Zeng, Zhixiong ; Yan, Yuruo ; Wan, Xiaoli. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s106294082030070x.

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2021Risk spillovers between cryptocurrencies and traditional currencies and gold under different global economic conditions. (2021). Sheu, Chwen ; Hsu, Shu-Han ; Yoon, Jiho. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000711.

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2020Distinguishing between breaks in the mean and breaks in persistence under long memory. (2020). Sibbertsen, Philipp ; Mboya, Mwasi Paza ; Wingert, Simon. In: Economics Letters. RePEc:eee:ecolet:v:193:y:2020:i:c:s0165176520302196.

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2020Panel threshold regressions with latent group structures. (2020). Su, Liangjun ; Wang, Wendun ; Miao, KE. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:451-481.

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2020Non-standard inference for augmented double autoregressive models with null volatility coefficients. (2020). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:165-183.

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2020Robust causality test of infinite variance processes. (2020). Taniguchi, Masanobu ; Akashi, Fumiya ; Monti, Anna Clara. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:235-245.

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2021Bootstrap based probability forecasting in multiplicative error models. (2021). Silvapulle, Mervyn J ; Perera, Indeewara . In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:1-24.

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2021Using heteroscedasticity-non-consistent or heteroscedasticity-consistent variances in linear regression. (2021). SIN, Chor-yiu (CY) ; Lee, Cheng-Few. In: Econometrics and Statistics. RePEc:eee:ecosta:v:18:y:2021:i:c:p:117-142.

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2021On diagnostic checking in ARMA models with conditionally heteroscedastic martingale difference using wavelet methods. (2021). Liou, Chu Pheuil ; Duchesne, Pierre . In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:169-187.

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2020Do structural breaks in volatility cause spurious volatility transmission?. (2020). Caporin, Massimiliano ; Malik, Farooq. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:60-82.

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2020Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models. (2020). Di Iorio, Francesca ; Tamvakis, Michael ; Kyriakou, Ioannis ; Marchese, Malvina. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300967.

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2020Frequency dynamics of volatility spillovers among crude oil and international stock markets: The role of the interest rate. (2020). Wang, Xunxiao. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302401.

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2020Volatility spillovers for energy prices: A diagonal BEKK approach. (2020). Faghihian, Fatemeh ; Ghoddusi, Hamed ; Zolfaghari, Mehdi. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303054.

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2021Analytic moments for GJR-GARCH (1, 1) processes. (2021). Stanescu, Silvia ; Lazar, Emese ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:105-124.

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2020Modeling asset returns under time-varying semi-nonparametric distributions. (2020). Iguez, Trino-Manuel ; Leon, Angel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301369.

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2020Modeling the nexus of crude oil, new energy and rare earth in China: An asymmetric VAR-BEKK (DCC)-GARCH approach. (2020). Zheng, Biao ; Chen, Yufeng ; Qu, Fang. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420718306950.

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2020Analyzing volatility spillovers between oil market and Asian stock markets. (2020). Tiwari, Aviral ; Tingqiu, Cao ; Sarwar, Suleman. In: Resources Policy. RePEc:eee:jrpoli:v:66:y:2020:i:c:s0301420719304957.

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2020The impact of oil and gold price fluctuations on the South African equity market: Volatility spillovers and financial policy implications. (2020). Bonga-Bonga, Lumengo ; Morema, Kgotso. In: Resources Policy. RePEc:eee:jrpoli:v:68:y:2020:i:c:s0301420719305999.

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2021Hedging oil price risk with gold during COVID-19 pandemic. (2021). Vo, Xuan Vinh ; Salisu, Afees ; Lawal, Adedoyin. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309284.

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2021Exploring shock and volatility transmission between oil and Chinese industrial raw materials. (2021). Safarzadeh, Omid ; Kirkulak-Uludag, Berna. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720310023.

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2021Forecasting price of financial market crash via a new nonlinear potential GARCH model. (2021). Long, Chao ; Li, Jiang-Cheng ; Xing, Dun-Zhong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:566:y:2021:i:c:s037843712030947x.

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2021Geopolitical risk and volatility spillovers in oil and stock markets. (2021). Smales, Lee. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:358-366.

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2021Housing price dynamics: The impact of stock market sentiment and the spillover effect. (2021). Osmer, Eric ; Zheng, Yao. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:854-867.

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2021Gold and US sectoral stocks during COVID-19 pandemic. (2021). Salisu, Afees ; Lucey, Brian ; Vo, Xuan Vinh. In: Research in International Business and Finance. RePEc:eee:riibaf:v:57:y:2021:i:c:s0275531921000453.

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2021Comments on the presence of serial correlation in the random coefficients of an autoregressive process. (2021). Soltane, Marius ; Proia, Frederic. In: Statistics & Probability Letters. RePEc:eee:stapro:v:170:y:2021:i:c:s0167715220302911.

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2021A test for strict stationarity in a random coefficient autoregressive model of order 1. (2021). Trapani, Lorenzo. In: Statistics & Probability Letters. RePEc:eee:stapro:v:177:y:2021:i:c:s0167715221001267.

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2020Detecting Possible Reduction of the Housing Bubble in Korea for Different Residential Types and Regions. (2020). Song, Jae Wook ; Kim, Kyungwon. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:3:p:1220-:d:318002.

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2021Econometric history of the growth–volatility relationship in the USA: 1919–2017. (2021). Darne, Olivier ; Charles, Amelie. In: Post-Print. RePEc:hal:journl:hal-03186891.

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2020The accuracy of asymmetric GARCH model estimation. (2020). Charles, Amelie ; Darne, Olivier. In: Working Papers. RePEc:hal:wpaper:hal-01943883.

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2020Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model. (2020). Cai, Zongwu ; Ling, Shiqing ; Qingling, Shi ; Liu, Mengya ; Zhu, Fukang. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202021.

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2020Forecasting volatility in bitcoin market. (2020). Bekiros, Stelios ; Segnon, Mawuli. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:3:d:10.1007_s10436-020-00368-y.

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2020A Perturbation Method to Optimize the Parameters of Autoregressive Conditional Heteroscedasticity Model. (2020). Zhang, Chiping ; Feng, Xuejie. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:3:d:10.1007_s10614-019-09919-6.

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2021High-Frequency Volatility Forecasting of US Housing Markets. (2021). Wohar, Mark ; Segnon, Mawuli ; Gupta, Rangan ; Lesame, Keagile. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:62:y:2021:i:2:d:10.1007_s11146-020-09745-w.

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2020THE WEALTH OF PARENTS: TRENDS OVER TIME IN ASSORTATIVE MATING BASED ON PARENTAL HEALTH. (2019). Cavaliere, Giuseppe ; Rahbek, Anders. In: Discussion Papers. RePEc:kud:kuiedp:1903.

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2020Inference in Threshold Models. (2020). Wang, Yulong ; Lee, Yoonseok. In: Center for Policy Research Working Papers. RePEc:max:cprwps:223.

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2021Some Markov-Switching Models for the Toronto Stock Exchange. (2021). Accolley, Delali. In: MPRA Paper. RePEc:pra:mprapa:108072.

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2021Testing the existence of moments and estimating the tail index of augmented garch processes. (2021). Zakoian, Jean-Michel ; Francq, Christian. In: MPRA Paper. RePEc:pra:mprapa:110511.

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2020Multivariate GARCH Approaches: case of major sectorial Tunisian stock markets. (2020). Neifar, Malika. In: MPRA Paper. RePEc:pra:mprapa:99658.

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2021New Approach in Dealing with the Non-Negativity of the Conditional Variance in the Estimation of GARCH Model. (2021). Fatmi, Nadia Idrissi ; Settar, Abdeljalil ; Badaoui, Mohammed. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:13:y:2021:i:1:p:55-74.

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2020Robust Tests for White Noise and Cross-Correlation. (2020). , Peter ; PEter, ; Giraitis, Liudas ; Dalla, Violetta. In: Working Papers. RePEc:qmw:qmwecw:906.

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2020Survey on structural breaks and unit root tests. (2020). Skrobotov, Anton. In: Applied Econometrics. RePEc:ris:apltrx:0396.

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2021Was there ever a shift: Empirical analysis of structural-shift tests for return volatility. (2021). Kostyrka, Andreï ; Malakhov, Dmitry. In: Applied Econometrics. RePEc:ris:apltrx:0416.

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2021Oil Volatility Spillover into Oil Dependent Equity-Sector Stock Returns: Evidence from Major Oil Producing Countries. (2021). Talukder, Bakhtear ; Robbani, Mohammad ; Bhuyan, Rafiqul. In: Bulletin of Applied Economics. RePEc:rmk:rmkbae:v:8:y:2021:i:1:p:149-165.

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2020.

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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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2021Econometric history of the growth–volatility relationship in the USA: 1919–2017. (2021). Darné, Olivier ; Charles, Amelie. In: Cliometrica. RePEc:spr:cliomt:v:15:y:2021:i:2:d:10.1007_s11698-020-00209-y.

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2021Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach. (2021). Yang, Kai ; Wang, Dehui. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:84:y:2021:i:5:d:10.1007_s00184-020-00799-7.

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2021Estimating FARIMA models with uncorrelated but non-independent error terms. (2021). Saussereau, Bruno ; Esstafa, Youssef ; Mainassara, Yacouba Boubacar. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:24:y:2021:i:3:d:10.1007_s11203-021-09243-7.

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2021Asymptotic normality of the MLE in the level-effect ARCH model. (2021). Iglesias, Emma ; Dahl, Christian M. In: Statistical Papers. RePEc:spr:stpapr:v:62:y:2021:i:1:d:10.1007_s00362-019-01086-y.

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2021Estimating multiple breaks in mean sequentially with fractionally integrated errors. (2021). Pang, Tianxiao. In: Statistical Papers. RePEc:spr:stpapr:v:62:y:2021:i:1:d:10.1007_s00362-019-01104-z.

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2021Asymptotics for the conditional self-weighted M-estimator of GRCA(1) models with possibly heavy-tailed errors. (2021). Ni, Chang ; Li, Ting ; Fu, Ke-Ang ; Wu, Renshui ; He, Wenkai . In: Statistical Papers. RePEc:spr:stpapr:v:62:y:2021:i:3:d:10.1007_s00362-019-01141-8.

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2020Higher Moment Constraints for Predictive Density Combinations. (2020). Vasnev, Andrey ; Radchenko, Peter ; Pauwels, Laurent. In: Working Papers. RePEc:syb:wpbsba:2123/22140.

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2021Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence. (2021). Koopman, Siem Jan ; D'Innocenzo, Enzo ; Blasques, Francisco. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20210057.

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2020A data-driven P-spline smoother and the P-Spline-GARCH models. (2020). Hardle, Wolfgang Karl ; Feng, Yuanhua. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2020016.

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Works by Shiqing Ling:


YearTitleTypeCited
2003Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA-GARCH Models In: Journal of the American Statistical Association.
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article10
2004Estimation and testing stationarity for double?autoregressive models In: Journal of the Royal Statistical Society Series B.
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article41
2005Self?weighted least absolute deviation estimation for infinite variance autoregressive models In: Journal of the Royal Statistical Society Series B.
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article28
2005Mixed Portmanteau Tests for Time?Series Models In: Journal of Time Series Analysis.
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article13
2009Estimation in nonstationary random coefficient autoregressive models In: Journal of Time Series Analysis.
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article18
2011Testing for structural change of AR model to threshold AR model In: Journal of Time Series Analysis.
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article2
2012Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model In: Journal of Time Series Analysis.
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article3
2014NON-STATIONARITY AND QUASI-MAXIMUM LIKELIHOOD ESTIMATION ON A DOUBLE AUTOREGRESSIVE MODEL In: Journal of Time Series Analysis.
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article8
2010A general asymptotic theory for time?series models In: Statistica Neerlandica.
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article11
2009A General Asymptotic Theory for Time Series Models.(2009) In: CIRJE F-Series.
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paper
2013Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models In: Working Papers.
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paper0
2001ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS In: Econometric Theory.
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article7
2002NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS In: Econometric Theory.
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article211
2001Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models,.(2001) In: ISER Discussion Paper.
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This paper has another version. Agregated cites: 211
paper
2003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL In: Econometric Theory.
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article607
2001Asymptotic Theory for a Vector ARMA-GARCH Model,.(2001) In: ISER Discussion Paper.
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2003ASYMPTOTIC INFERENCE FOR UNIT ROOT PROCESSES WITH GARCH(1,1) ERRORS In: Econometric Theory.
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article29
2006EMPIRICAL LIKELIHOOD FOR GARCH MODELS In: Econometric Theory.
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article15
2009ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES In: Econometric Theory.
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article3
2012THE GLOBAL WEIGHTED LAD ESTIMATORS FOR FINITE/INFINITE VARIANCE ARMA(p,q) MODELS In: Econometric Theory.
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article4
2013ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS In: Econometric Theory.
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article4
2001Regression Quantiles for Unstable Autoregressive Models. In: ISER Discussion Paper.
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paper3
2004Regression quantiles for unstable autoregressive models.(2004) In: Journal of Multivariate Analysis.
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2003Regression Quantiles for Unstable Autoregressive Models.(2003) In: CIRJE F-Series.
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This paper has another version. Agregated cites: 3
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2001Stationarity and the Existence of Moments of a Family of GARCH Processes, In: ISER Discussion Paper.
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2002Stationarity and the existence of moments of a family of GARCH processes.(2002) In: Journal of Econometrics.
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article
2001Estimation and Testing for Unit Root Processes with GARCH(1,1) Errors: Theory and Monte Carlo Evidence, In: ISER Discussion Paper.
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paper31
2003Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence.(2003) In: Econometric Reviews.
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This paper has another version. Agregated cites: 31
article
2003Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence.(2003) In: CIRJE F-Series.
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This paper has another version. Agregated cites: 31
paper
2001A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors, In: ISER Discussion Paper.
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paper8
2001On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors, In: ISER Discussion Paper.
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paper100
2013Diagnostic checking for non-stationary ARMA models with an application to financial data In: The North American Journal of Economics and Finance.
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article2
2007Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models In: Journal of Econometrics.
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article38
2012On the least squares estimation of multiple-regime threshold autoregressive models In: Journal of Econometrics.
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article24
2008Asymptotic inference for a nonstationary double AR (1) model In: Biometrika.
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article16
2013Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models In: MPRA Paper.
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paper0
2013Factor double autoregressive models with application to simultaneous causality testing In: MPRA Paper.
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2014Model-based pricing for financial derivatives In: MPRA Paper.
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2005Joint modeling of cointegration and conditional heteroscedasticity with applications In: Annals of the Institute of Statistical Mathematics.
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2014Comment In: Journal of Business & Economic Statistics.
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2014Comment In: Journal of Business & Economic Statistics.
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2015Frontiers in Time Series and Financial Econometrics: An Overview In: Documentos de Trabajo del ICAE.
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