Zacharias Psaradakis : Citation Profile


Are you Zacharias Psaradakis?

Birkbeck College

15

H index

19

i10 index

811

Citations

RESEARCH PRODUCTION:

49

Articles

32

Papers

RESEARCH ACTIVITY:

   25 years (1993 - 2018). See details.
   Cites by year: 32
   Journals where Zacharias Psaradakis has often published
   Relations with other researchers
   Recent citing documents: 50.    Total self citations: 24 (2.87 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pps8
   Updated: 2020-05-23    RAS profile: 2019-07-22    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Vavra, Marian (11)

Sola, Martin (4)

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

Is cited by:

Balcilar, Mehmet (38)

GUPTA, RANGAN (28)

Gabriel, Vasco (22)

Shi, Shuping (21)

Sola, Martin (18)

Miller, Stephen (16)

Phillips, Peter (15)

Spagnolo, Fabio (13)

Yu, Jun (13)

Frömmel, Michael (12)

Lütkepohl, Helmut (12)

Cites to:

Sola, Martin (46)

Hansen, Bruce (24)

Andrews, Donald (22)

Spagnolo, Fabio (19)

Hamilton, James (17)

Hall, Stephen (13)

White, Halbert (13)

Granger, Clive (11)

Dueker, Michael (11)

Startz, Richard (9)

Driffill, Edward (8)

Main data


Where Zacharias Psaradakis has published?


Journals with more than one article published# docs
Journal of Time Series Analysis7
Journal of Applied Econometrics6
Econometric Reviews5
Economics Letters5
Statistics & Probability Letters4
Studies in Nonlinear Dynamics & Econometrics4
Journal of Econometrics3
Oxford Bulletin of Economics and Statistics3
Economic Modelling2
International Journal of Finance & Economics2

Working Papers Series with more than one paper published# docs
Department of Economics Working Papers / Universidad Torcuato Di Tella7
Working and Discussion Papers / Research Department, National Bank of Slovakia3

Recent works citing Zacharias Psaradakis (2019 and 2018)


YearTitle of citing document
2020Leverage and Deepening Business-Cycle Skewness. (2020). Ravn, Søren Hove ; Petrella, Ivan ; Santoro, Emiliano ; Jensen, Henrik. In: American Economic Journal: Macroeconomics. RePEc:aea:aejmac:v:12:y:2020:i:1:p:245-81.

Full description at Econpapers || Download paper

2018A Model-Free Bubble Detection Method: Application to the World Market for Superstar Wines. (2018). Tolhurst, Tor. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274387.

Full description at Econpapers || Download paper

2018Analytic Moments for GARCH Processes. (2018). Alexander, Carol ; Stanescu, Silvia ; Lazar, Emese. In: Papers. RePEc:arx:papers:1808.09666.

Full description at Econpapers || Download paper

2020Markov Switching. (2020). Wo, Tomasz ; Song, Yong. In: Papers. RePEc:arx:papers:2002.03598.

Full description at Econpapers || Download paper

2018Okun´s law in Colombia: a non-linear cointegration. (2018). Ramos-Veloza, Mario ; Florez, Luz ; Pulido-Mahecha, Karen L. In: Borradores de Economia. RePEc:bdr:borrec:1039.

Full description at Econpapers || Download paper

2017Vulnerabilities to housing bubbles: Evidence from linkages between housing prices and income fundamentals. (2017). Huang, Meichi. In: International Finance. RePEc:bla:intfin:v:20:y:2017:i:1:p:64-91.

Full description at Econpapers || Download paper

2018Unit Root Testing in Multiple Smooth Break Models with Nonlinear Dynamics. (2018). Sandberg, Rickard. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:942-952.

Full description at Econpapers || Download paper

2018Change Detection and the Causal Impact of the Yield Curve. (2018). Shi, Shuping ; Phillips, Peter ; Hurn, Stan ; PEter, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:966-987.

Full description at Econpapers || Download paper

2018Measuring and trading volatility on the US stock market: A regime switching approach. (2018). Dapena, Jose ; Siri, Julian R ; Serur, Juan A. In: CEMA Working Papers: Serie Documentos de Trabajo.. RePEc:cem:doctra:659.

Full description at Econpapers || Download paper

2019Risk on-Risk off: A regime switching model for active portfolio management. (2019). Siri, Julian R ; Serur, Juan A ; Dapena, Jose P. In: CEMA Working Papers: Serie Documentos de Trabajo.. RePEc:cem:doctra:706.

Full description at Econpapers || Download paper

2018State-Dependent Transmission of Monetary Policy in the Euro Area. (2018). Neuenkirch, Matthias ; Nockel, Matthias ; Burgard, Jan Pablo. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7074.

Full description at Econpapers || Download paper

2019The Chair of the U.S. Federal Reserve and the Macroeconomic Causality Regimes. (2019). Morita, Rubens ; Aksoy, Yunus ; Psaradakis, Zacharias. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8035.

Full description at Econpapers || Download paper

2018Nonlinear Intermediary Pricing in the Oil Futures Market. (2018). Rieth, Malte ; Velinov, Anton ; Bierbaumer, Daniel. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1722.

Full description at Econpapers || Download paper

2018The Electricity-growth Nexus in South Africa: Evidence from Asymmetric Cointegration and Co-feature Analysis. (2018). Phiri, Andrew ; Nyoni, Bothwell. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-06-11.

Full description at Econpapers || Download paper

2018The impact of setting negative policy rates on banking flows and exchange rates. (2018). Khayat, Guillaume A. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:1-10.

Full description at Econpapers || Download paper

2018Testing for bubbles in the art markets: An empirical investigation. (2018). Assaf, Ata. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:340-355.

Full description at Econpapers || Download paper

2018Borrowing constraints and housing price expectations in the euro area. (2018). Mayordomo, Sergio ; Ampudia Fraile, Miguel. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:410-421.

Full description at Econpapers || Download paper

2018Volatility spillover shifts in global financial markets. (2018). Bensaida, Ahmed ; Abdallah, Oussama ; Litimi, Houda. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:343-353.

Full description at Econpapers || Download paper

2019Relationships among regional housing markets: Evidence on adjustments of housing burden. (2019). Tsai, I-Chun ; I-Chun Tsai, . In: Economic Modelling. RePEc:eee:ecmode:v:78:y:2019:i:c:p:309-318.

Full description at Econpapers || Download paper

2019The January effect in the foreign exchange market: Evidence for seasonal equity carry trades. (2019). Salimi Namin, Fatemeh ; girardin, eric. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:422-439.

Full description at Econpapers || Download paper

2019Asymmetric adjustment, non-linearity and housing price bubbles: New international evidence. (2019). Wu, An-Chi ; Chen, Shyh-Wei ; Xie, Zixiong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818305849.

Full description at Econpapers || Download paper

2018The synergistic effect of insurance and banking sector activities on economic growth in Africa. (2018). Olasehinde-Williams, Godwin ; Balcilar, Mehmet ; Lee, Chien-Chiang ; Gupta, Rangan. In: Economic Systems. RePEc:eee:ecosys:v:42:y:2018:i:4:p:637-648.

Full description at Econpapers || Download paper

2019The asymmetric role of shadow economy in the energy-growth nexus in Bolivia. (2019). Shahbaz, Muhammad ; Miloudi, Anthony ; Lahiani, Amine ; Benkraiem, Ramzi. In: Energy Policy. RePEc:eee:enepol:v:125:y:2019:i:c:p:405-417.

Full description at Econpapers || Download paper

2019Regime switching effect of financial development on energy intensity: Evidence from Markov-switching vector error correction model. (2019). Guo, Ranran ; Saima, Umme ; Uddin, Md Kamal ; Pan, Xiongfeng. In: Energy Policy. RePEc:eee:enepol:v:135:y:2019:i:c:s0301421519305828.

Full description at Econpapers || Download paper

2019A time varying approach on the price elasticity of electricity in India during 1975–2013. (2019). Tiwari, Aviral ; Menegaki, Angeliki N. In: Energy. RePEc:eee:energy:v:183:y:2019:i:c:p:385-397.

Full description at Econpapers || Download paper

2019Risk transmission between natural gas market and stock markets: portfolio and hedging strategy analysis. (2019). Zhou, Zhongbao ; Lin, Ling ; Jiang, Yong ; Liu, Qing. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:245-254.

Full description at Econpapers || Download paper

2018Predictions of short-term rates and the expectations hypothesis. (2018). Guidolin, Massimo ; Thornton, Daniel L. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:636-664.

Full description at Econpapers || Download paper

2018Testing for multiple bubbles in bitcoin markets: A generalized sup ADF test. (2018). Su, Chi-Wei ; Si, Deng-Kui ; Tao, Ran ; Li, Zheng-Zheng. In: Japan and the World Economy. RePEc:eee:japwor:v:46:y:2018:i:c:p:56-63.

Full description at Econpapers || Download paper

2018Debt and growth: Is there a constant tipping point?. (2018). Yang, Lixiong ; Su, Jen-Je. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:87:y:2018:i:c:p:133-143.

Full description at Econpapers || Download paper

2019Modelling the symmetric and asymmetric relationships between oil prices and those of corn, barley, and rapeseed oil. (2019). al Refai, Hisham ; Eissa, Mohamad Abdelaziz. In: Resources Policy. RePEc:eee:jrpoli:v:64:y:2019:i:c:s030142071930460x.

Full description at Econpapers || Download paper

2020A new mechanism for anticipating price exuberance. (2020). Moreira, Afonso M ; Martins, Luis F. In: International Review of Economics & Finance. RePEc:eee:reveco:v:65:y:2020:i:c:p:199-221.

Full description at Econpapers || Download paper

2018On the time-varying links between oil and gold: New insights from the rolling and recursive rolling approaches. (2018). Shahbaz, Muhammad ; Ozdemir, Zeynel ; Balcilar, Mehmet. In: Working Papers. RePEc:emu:wpaper:15-35.pdf.

Full description at Econpapers || Download paper

2018Asymmetric Dynamics of Insurance Premium: The Impact of Monetary Policy Uncertainty on Insurance Premiums in Japan. (2018). Shahbaz, Muhammad ; Olasehinde-Williams, Godwin ; Balcilar, Mehmet. In: Working Papers. RePEc:emu:wpaper:15-39.pdf.

Full description at Econpapers || Download paper

2018Is Mexicos Forward Exchange Rate Market Efficient?. (2018). Islas-Camargo, Alejandro ; Sanabria, Tania Pamela ; Cortez, Willy Walter. In: Remef - The Mexican Journal of Economics and Finance. RePEc:imx:journl:v:13:y:2018:i:2:p:273-289.

Full description at Econpapers || Download paper

2019Wavelet Multiresolution Analysis of the Liquidity Effect and Monetary Neutrality. (2019). Habimana, Olivier. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:1:d:10.1007_s10614-017-9725-1.

Full description at Econpapers || Download paper

2018Modeling the Dynamics between Stock Price and Dividend: An Endogenous Regime Switching Approach. (2018). Han, Heejoon ; Kyeong, NA. In: Korean Economic Review. RePEc:kea:keappr:ker-20180701-34-2-05.

Full description at Econpapers || Download paper

2019Long Memory Volatility, Central Bank Intervention and Uncovered Interest Rate Parity in the 1920s Exchange Markets. (2019). Baillie, Richard T ; Han, Young Wook . In: Korean Economic Review. RePEc:kea:keappr:ker-20190101-35-1-07.

Full description at Econpapers || Download paper

2018Estimating Gaussian Mixture Autoregressive model with Sequential Monte Carlo algorithm: A parallel GPU implementation. (2018). Yin, Ming . In: MPRA Paper. RePEc:pra:mprapa:88111.

Full description at Econpapers || Download paper

2018Conditional heteroskedasticity in crypto-asset returns. (2018). Shaw, Charles. In: MPRA Paper. RePEc:pra:mprapa:90437.

Full description at Econpapers || Download paper

2019An analysis of the unbiased forward rate hypothesis in developed and emerging economies. (2019). Bonga-Bonga, Lumengo ; Phungo, Muka. In: MPRA Paper. RePEc:pra:mprapa:92222.

Full description at Econpapers || Download paper

2018The Synergistic Effect of Insurance and Banking Sector Activities on Economic Growth in Africa. (2018). Olasehinde-Williams, Godwin ; Lee, Chien-Chiang ; GUPTA, RANGAN ; Balcilar, Mehmet. In: Working Papers. RePEc:pre:wpaper:201818.

Full description at Econpapers || Download paper

2020To infinity and beyond: Efficient computation of ARCH(\infty) models. (2020). Noël, Antoine ; Nielsen, Morten ; Nol, Antoine. In: Working Paper. RePEc:qed:wpaper:1425.

Full description at Econpapers || Download paper

2019Modeling Stock Market Returns of BRICS with a Markov-Switching Dynamic Regression Model. (2019). Rapoo, Ishmael ; Moroke, Ntebogang Dinah ; Xaba, Diteboho . In: Journal of Economics and Behavioral Studies. RePEc:rnd:arjebs:v:11:y:2019:i:3:p:10-22.

Full description at Econpapers || Download paper

2018Assessing Distributional Properties of Forecast Errors. (2018). Vavra, Marian. In: Working and Discussion Papers. RePEc:svk:wpaper:1056.

Full description at Econpapers || Download paper

2017Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities. (2017). Psaradakis, Zacharias ; Sola, Martin. In: Department of Economics Working Papers. RePEc:udt:wpecon:2017_1.

Full description at Econpapers || Download paper

2018Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model. (2018). Nyberg, Henri. In: Journal of Forecasting. RePEc:wly:jforec:v:37:y:2018:i:1:p:1-15.

Full description at Econpapers || Download paper

2019Leverage and Deepening Business Cycle Skewness. (2019). Ravn, Søren Hove ; Petrella, Ivan ; Jensen, Henrik ; Santoro, Emiliano. In: EMF Research Papers. RePEc:wrk:wrkemf:21.

Full description at Econpapers || Download paper

2019The influence of Brazilian exports on price transmission processes in the coffee sector: A Markov-switching approach. (2019). von Cramon-Taubadel, Stephan ; Vollmer, Teresa. In: DARE Discussion Papers. RePEc:zbw:daredp:1904.

Full description at Econpapers || Download paper

Works by Zacharias Psaradakis:


YearTitleTypeCited
2018Maximum Likelihood Estimation in Possibly Misspecified Dynamic Models with Time-Inhomogeneous Markov Regimes In: Papers.
[Full Text][Citation analysis]
paper1
2016Maximum Likelihood Estimation in Possibly Misspeci ed Dynamic Models with Time-Inhomogeneous Markov Regimes.(2016) In: Department of Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2010Multivariate Contemporaneous-Threshold Autoregressive Models In: UFAE and IAE Working Papers.
[Full Text][Citation analysis]
paper8
2011Multivariate contemporaneous-threshold autoregressive models.(2011) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
article
2007Multivariate contemporaneous threshold autoregressive models.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2009Multivariate Contemporaneous Threshold Autoregressive Models.(2009) In: Department of Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2010State-Dependent Threshold STAR Models In: UFAE and IAE Working Papers.
[Full Text][Citation analysis]
paper1
2015A Distance Test of Normality for a Wide Class of Stationary Processes In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]
paper1
2017A distance test of normality for a wide class of stationary processes.(2017) In: Econometrics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
article
2015Portmanteau Tests for Linearity of Stationary Time Series In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]
paper0
2016Portmanteau Tests for Linearity of Stationary Time Series.(2016) In: Working and Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2019Portmanteau tests for linearity of stationary time series.(2019) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
article
2017Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]
paper0
2017Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities.(2017) In: Department of Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2017Normality Tests for Dependent Data: Large-Sample and Bootstrap Approaches In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]
paper0
2017Normality Tests for Dependent Data.(2017) In: Working and Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2018Bootstrap-Assisted Tests of Symmetry for Dependent Data In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]
paper0
2018Bootstrap Assisted Tests of Symmetry for Dependent Data.(2018) In: Working and Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
1996Testing for Unit Roots in Time Series with Nearly Deterministic Seasonal Variation In: Archive Discussion Papers.
[Citation analysis]
paper7
1997Testing for unit roots in time series with nearly deterministic seasonal variation.(1997) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
article
1993 PcGive and PcFiml Version 7 [Review Article]. In: Journal of Economic Surveys.
[Citation analysis]
article0
2001Bootstrap Tests for an Autoregressive Unit Root in the Presence of Weakly Dependent Errors In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article0
2003ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article72
2002On the Determination of the Number of Regimes in Markov-Switching Autoregressive Models.(2002) In: Computing in Economics and Finance 2002.
[Citation analysis]
This paper has another version. Agregated cites: 72
paper
2004On the Autocorrelation Properties of Long-Memory GARCH Processes In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article27
2002On the autocorrelation properties of Long Memory Garch Processes.(2002) In: Department of Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27
paper
2006Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article35
2008Assessing Time‐Reversibility Under Minimal Assumptions In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article3
2009Selecting nonlinear time series models using information criteria In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article11
2015A Quantile-based Test for Symmetry of Weakly Dependent Processes In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article1
1993The Demand for Money in Greece: An Exercise in Econometric Modelling with Cointegrated Variables. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]
article5
1997A Reconciliation of Some Paradoxical Empirical Results on the Expectations Model of the Term Structure. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]
article16
2013State-Dependent Threshold Smooth Transition Autoregressive Models In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
article1
2006Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article6
2011Contemporaneous-Threshold Smooth Transition GARCH Models In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article1
2009Contemporaneous-Threshold Smooth Transition GARCH Models.(2009) In: Department of Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2000p-Value Adjustments for Multiple Tests for Nonlinearity In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article5
2002Power Properties of Nonlinearity Tests for Time Series with Markov Regimes In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article16
1998An Empirical Reassessment of Target-zone Nonlinearities In: Cambridge Working Papers in Economics.
[Citation analysis]
paper4
2001An empirical reassessment of target-zone nonlinearities.(2001) In: Journal of International Money and Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
article
2003Markov Switching Causality and the Money-Output Relationship In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper63
2005Markov switching causality and the money-output relationship.(2005) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 63
article
1995An Analysis of Seasonality in the U.K. Equity Market. In: Economic Journal.
[Full Text][Citation analysis]
article14
2001Markov level shifts and the unit-root hypothesis In: Econometrics Journal.
[Citation analysis]
article5
1997Switching error-correction models of house prices in the United Kingdom In: Economic Modelling.
[Full Text][Citation analysis]
article43
2003Target zone credibility and economic fundamentals In: Economic Modelling.
[Full Text][Citation analysis]
article13
2014On testing for nonlinearity in multivariate time series In: Economics Letters.
[Full Text][Citation analysis]
article1
1994A comparison of tests of linear hypotheses in cointegrated vector autoregressive models In: Economics Letters.
[Full Text][Citation analysis]
article6
2001On bootstrap inference in cointegrating regressions In: Economics Letters.
[Full Text][Citation analysis]
article9
2001A simple procedure for detecting periodically collapsing rational bubbles In: Economics Letters.
[Full Text][Citation analysis]
article15
2002A simple method of testing for cointegration subject to multiple regime changes In: Economics Letters.
[Full Text][Citation analysis]
article18
1996On the power of tests for superexogeneity and structural invariance In: Journal of Econometrics.
[Full Text][Citation analysis]
article17
1993On the power of tests for superexogeneity and structural invariance.(1993) In: Documentos de Trabajo (working papers).
[Citation analysis]
This paper has another version. Agregated cites: 17
paper
1998Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching In: Journal of Econometrics.
[Full Text][Citation analysis]
article31
2000Bootstrap tests for unit roots in seasonal autoregressive models In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article2
2002On the asymptotic behaviour of unit-root tests in the presence of a Markov trend In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article3
2003A sieve bootstrap test for stationarity In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article3
2006Blockwise bootstrap testing for stationarity In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article1
1995Regression-Based Tests for Persistence in Conditional Variances. In: Discussion Papers.
[Citation analysis]
paper2
1998Testing the Expectations Hypothesis of the Term Structure Using Instrumental Variables. In: International Journal of Finance & Economics.
[Full Text][Citation analysis]
article9
2000Assessing the Credibility of a Target Zone: Evidence from EMS Countries. In: International Journal of Finance & Economics.
[Full Text][Citation analysis]
article6
1997Cointegration and Changes in Regime: The Japanese Consumption Function. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article42
1999Detecting Periodically Collapsing Bubbles: A Markov-Switching Unit Root Test. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article128
2003On detrending and cyclical asymmetry In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article29
2002On Detrending and Cyclical Asymmetry.(2002) In: Department of Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29
paper
2004On Markov error-correction models, with an application to stock prices and dividends In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article75
2005Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article23
2005Forecast performance of nonlinear error-correction models with multiple regimes In: Journal of Forecasting.
[Full Text][Citation analysis]
article2
2001A simple method for testing cointegration subject to regime changes In: NIPE Working Papers.
[Full Text][Citation analysis]
paper0
2002Residual-based tests for cointegration and multiple regime shifts In: NIPE Working Papers.
[Full Text][Citation analysis]
paper2
2006Sieve Bootstrap for Strongly Dependent Stationary Processes In: Working Papers.
[Full Text][Citation analysis]
paper2
2006Sieve Bootstrap for Strongly Dependent Stationary Processes.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2007Semiparametric Sieve-Type GLS Inference in Regressions with Long-Range Dependence In: Working Papers.
[Full Text][Citation analysis]
paper0
2007Semiparametric Sieve-Type GLS Inference in Regressions with Long-Range Dependence.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2010On inference based on the one-sample sign statistic for long-range dependent data In: Computational Statistics.
[Full Text][Citation analysis]
article0
1998Bootstrap-based evaluation of markov-switching time series models In: Econometric Reviews.
[Full Text][Citation analysis]
article8
1999On regression-based tests for persistence in logarithmic volatility models In: Econometric Reviews.
[Full Text][Citation analysis]
article9
2016Semiparametric Sieve-Type Generalized Least Squares Inference In: Econometric Reviews.
[Full Text][Citation analysis]
article0
2016Using the Bootstrap to Test for Symmetry Under Unknown Dependence In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article1
2010Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities In: Department of Economics Working Papers.
[Full Text][Citation analysis]
paper4
2000Cross-Sectional Aggregation and Persistence in Conditional Variance In: Discussion Papers.
[Full Text][Citation analysis]
paper4

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated May, 3 2020. Contact: CitEc Team