Zacharias Psaradakis : Citation Profile


Are you Zacharias Psaradakis?

Birkbeck College

16

H index

23

i10 index

941

Citations

RESEARCH PRODUCTION:

50

Articles

35

Papers

RESEARCH ACTIVITY:

   27 years (1993 - 2020). See details.
   Cites by year: 34
   Journals where Zacharias Psaradakis has often published
   Relations with other researchers
   Recent citing documents: 60.    Total self citations: 31 (3.19 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pps8
   Updated: 2021-10-16    RAS profile: 2021-07-15    
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Relations with other researchers


Works with:

Vavra, Marian (8)

Sola, Martin (4)

Aksoy, Yunus (2)

Morita, Rubens (2)

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 (37)

GUPTA, RANGAN (28)

Gabriel, Vasco (23)

Shi, Shuping (23)

Sola, Martin (18)

Phillips, Peter (16)

Miller, Stephen (16)

Yu, Jun (14)

Spagnolo, Fabio (13)

Frömmel, Michael (12)

Lütkepohl, Helmut (12)

Cites to:

Sola, Martin (47)

Hansen, Bruce (25)

Andrews, Donald (22)

Spagnolo, Fabio (20)

Hamilton, James (18)

White, Halbert (15)

Granger, Clive (14)

Hall, Stephen (13)

Dueker, Michael (11)

Startz, Richard (9)

Leybourne, Stephen (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
Economics Letters5
Econometric Reviews5
Statistics & Probability Letters4
Studies in Nonlinear Dynamics & Econometrics4
Oxford Bulletin of Economics and Statistics3
Journal of Econometrics3
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 Slovakia4

Recent works citing Zacharias Psaradakis (2021 and 2020)


YearTitle of citing document
2020To infinity and beyond: Efficient computation of ARCH(1) models. (2020). Nielsen, Morten ; Noel, Antoine L. In: CREATES Research Papers. RePEc:aah:create:2020-13.

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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.

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

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2020Asymptotic Properties of the Maximum Likelihood Estimator in Endogenous Regime-Switching Models. (2020). Liu, Yan. In: Papers. RePEc:arx:papers:2010.04930.

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2021Efficiency of Tanzanias foreign exchange market. (2021). Kazungu, Khatibu ; Epaphra, Manamba. In: African Development Review. RePEc:bla:afrdev:v:33:y:2021:i:2:p:368-381.

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2021Green bonds, sustainable development and environmental policy in the European Union carbon market. (2021). Leitão, João ; Santibanezgonzalez, Ernesto ; Ferreira, Joaquim ; Leitao, Joao . In: Business Strategy and the Environment. RePEc:bla:bstrat:v:30:y:2021:i:4:p:2077-2090.

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2021Bootstrap tests for structural breaks when the regressors and the serially correlated error term are unstable. (2021). Lee, Dongjin. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:2:p:212-229.

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2020Low Mortgage Rates and Securitization: A Distinct Perspective on the US Housing Boom. (2020). Xu, Fang ; Herwartz, Helmut. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:122:y:2020:i:1:p:164-190.

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2020Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence. (2020). Lingbing, Feng ; Yanlin, Shi. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:1:p:27:n:1.

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2020Uncertainty and Effectiveness of Monetary Policy: A Bayesian Markov Switching-VAR Analysis. (2020). Kamaiah, Bandi ; Nain, Zulquar. In: Journal of Central Banking Theory and Practice. RePEc:cbk:journl:v:9:y:2020:i:si:p:237-265.

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2020Diagnosing Housing Fever with an Econometric Thermometer. (2020). Phillips, Peter ; Shi, Shuping. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2248.

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2020Government Spending Multipliers in (Un)certain Times. (2020). Rieth, Malte ; Klein, Mathias ; Fritsche, Jan Philipp. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1901.

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2020Renewable energy consumption-economic growth nexus in G7 countries: New evidence from a nonlinear ARDL approach. (2020). Shahbaz, Muhammad ; Czudaj, Robert ; Khraief, Naceur. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00291.

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2020Functional monetary aggregates, monetary policy, and business cycles. (2020). Serletis, Apostolos ; Xu, Libo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301627.

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2021Speculative bubbles in present-value models: A Bayesian Markov-switching state space approach. (2021). Santi, Caterina ; Chan, Joshua. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000361.

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2021Assessing India’s productivity trends and endogenous growth: New evidence from technology, human capital and foreign direct investment. (2021). Ghosh, Taniya ; Parab, Prashant Mehul. In: Economic Modelling. RePEc:eee:ecmode:v:97:y:2021:i:c:p:182-195.

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2020Stock prices, dividends, and structural changes in the long-term: The case of U.S.. (2020). Prats, María ; Navarro-Ibáñez, Manuel ; Navarro-Ibaez, Manuel ; Esteve, Vicente. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302633.

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2020(Consistently) testing strict exogeneity against the alternative of predeterminedness in linear time-series models. (2020). Mayer, Alexander. In: Economics Letters. RePEc:eee:ecolet:v:193:y:2020:i:c:s0165176520302184.

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2020The fast iterated bootstrap. (2020). Davidson, Russell ; Troki, Mirza. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:451-475.

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2021Testing for observation-dependent regime switching in mixture autoregressive models. (2021). Saikkonen, Pentti ; Meitz, Mika. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:601-624.

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2021Oil price and US dollar exchange rate: Change detection of bi-directional causal impact. (2021). Albulescu, Claudiu ; Ajmi, Ahdi Noomen. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002863.

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2021Research on imbalance between supply and demand in Chinas natural gas market under the double-track price system. (2021). Wang, Yabo ; Zhang, Xuejun ; Lu, Quanying ; Chai, Jian. In: Energy Policy. RePEc:eee:enepol:v:155:y:2021:i:c:s0301421521002500.

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2020Have Chinas regulations on imported waste paper improved its quality. (2020). Zhao, Xiaodi ; Diao, Gang ; Shang, DI. In: Forest Policy and Economics. RePEc:eee:forpol:v:119:y:2020:i:c:s1389934120305268.

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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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2020Momentum and Reversion to Fundamentals: Are They Captured by Subjective Expectations of House Prices?. (2020). Ma, Chao. In: Journal of Housing Economics. RePEc:eee:jhouse:v:49:y:2020:i:c:s1051137720300243.

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2020Policy implications of the Lucas Critique empirically tested along the global financial crisis. (2020). Orhan, Mehmet ; Simsek, Esra ; Karimova, Amira. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:42:y:2020:i:1:p:153-172.

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2020The impact of oil price shocks on Tehran Stock Exchange returns: Application of the Markov switching vector autoregressive models. (2020). Rafei, Meysam ; Shahrestani, Parnia. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420719302843.

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2021Pass-through of commodity price to Mongolian stock price: Symmetric or asymmetric?. (2021). Kakinaka, Makoto ; Islam, Moinul ; Badamvaanchig, Mungunzul. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309843.

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2021How do energy productivity and water resources affect air pollution in Iran? New evidence from a Markov Switching perspective. (2021). Rafei, Meysam ; Ashouri, Mohammad Javad. In: Resources Policy. RePEc:eee:jrpoli:v:71:y:2021:i:c:s0301420721000039.

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2021Adaptive LASSO for selecting Fourier coefficients in a functional smooth time-varying cointegrating regression: An application to the Feldstein–Horioka puzzle. (2021). Neto, David. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:179:y:2021:i:c:p:253-264.

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2021Information flow between bitcoin and other financial assets. (2021). Yang, Jae-Suk ; Jang, Kwahngsoo ; Park, Sang Jin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:566:y:2021:i:c:s037843712030902x.

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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.

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2020Threshold cointegration, nonlinearity, and frequency domain causality relationship between stock price and Turkish Lira. (2020). Yacouba, kassouri ; Altinta, Halil ; Kassouri, Yacouba. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531918309875.

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2020A systematic review of the bubble dynamics of cryptocurrency prices. (2020). Corbet, Shaen ; Kyriazis, Nikolaos ; Papadamou, Stephanos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919310037.

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2021Asymptotic analysis of model selection criteria for general hidden Markov models. (2021). Singh, Sumeetpal S ; Beskos, Alexandros ; Yonekura, Shouto. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:132:y:2021:i:c:p:164-191.

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2020A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of West Texas Intermediate Oil Prices and the DOW JONES Index. (2020). McAleer, Michael ; Allen, David. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:15:p:4011-:d:394147.

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2021Assessing the Sustainable Development and Renewable Energy Sources Relationship in EU Countries. (2021). Wodarczyk, Bogdan ; Markowski, Lesaw ; Szturo, Marek ; Ghiocel, Florin ; Ionescu, George H ; Firoiu, Daniela. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:8:p:2323-:d:539714.

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2021EU Labor Market Inequalities and Sustainable Development Goals. (2021). Murtaza, Flavia ; Cojocaru, Andrei Valentin ; Toma, Ovidiu ; Axinte, Gheorghe ; Pirvu, Ramona ; Jianu, Elena. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:5:p:2675-:d:509105.

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2021Assessing Indias productivity trends and endogenous growth: New evidence from technology, human capital and foreign direct investment. (2021). Ghosh, Taniya ; Parab, Prashant Mehul. In: Indira Gandhi Institute of Development Research, Mumbai Working Papers. RePEc:ind:igiwpp:2021-004.

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2020Fractionally integrated Log-GARCH with application to value at risk and expected shortfall. (2020). Letmathe, Sebastian ; Beran, Jan ; Feng, Yuanhua ; Ghosh, Sucharita. In: Working Papers CIE. RePEc:pdn:ciepap:137.

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2020On cointegration for processes integrated at different frequencies. (2020). del Barrio Castro, Tomás ; Cubadda, Gianluca ; Osborn, Denise R ; Cubada, Ginaluca. In: MPRA Paper. RePEc:pra:mprapa:102611.

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2020On the Stationarity of Futures Hedge Ratios. (2020). Degiannakis, Stavros ; Vougas, Dimitrios ; Salvador, Enrique ; Floros, Christos. In: MPRA Paper. RePEc:pra:mprapa:102907.

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2020Renewable Energy Consumption-Economic Growth Nexus in G7 Countries: New Evidence from a Nonlinear ARDL Approach. (2020). Shahbaz, Muhammad ; Czudaj, Robert ; Khraief, Naceur. In: MPRA Paper. RePEc:pra:mprapa:103525.

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2021Is There Really Hysteresis in OECD Countries’ Unemployment Rates? New Evidence Using a Fourier Panel Unit Root Test. (2021). Stewart, Chris ; Shahbaz, Muhammad ; Omay, Tolga. In: MPRA Paper. RePEc:pra:mprapa:107691.

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2021Testing for explosivity in US-Pak Exchange Rate via Sequential ADF Procedures. (2021). Ullah, Irfan ; Bashir, Uzma ; Ahmed, Mumtaz. In: MPRA Paper. RePEc:pra:mprapa:109607.

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2021An Efficient Long-Run Economic Growth Strategy for Estonia. (2021). Jenkins, Glenn ; Sokhanvar, Amin. In: Development Discussion Papers. RePEc:qed:dpaper:4575.

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

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2021Impact of Exchange Rate Changes on the Trade Balance of India: An Asymmetric Nonlinear Cointegration Approach. (2021). Bhat, Javed Ahmad. In: Foreign Trade Review. RePEc:sae:fortra:v:56:y:2021:i:1:p:71-88.

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2020.

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2020.

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2020Models for autoregressive processes of bounded counts: How different are they?. (2020). Moller, Tobias A ; Weiss, Christian H ; Kim, Hee-Young. In: Computational Statistics. RePEc:spr:compst:v:35:y:2020:i:4:d:10.1007_s00180-020-00980-6.

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2020Markov switching in exchange rate models: will more regimes help?. (2020). Stillwagon, Josh ; Sullivan, Peter . In: Empirical Economics. RePEc:spr:empeco:v:59:y:2020:i:1:d:10.1007_s00181-019-01623-6.

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2020Assessing distributional properties of forecast errors for fan-chart modelling. (2020). Vavra, Marian. In: Empirical Economics. RePEc:spr:empeco:v:59:y:2020:i:6:d:10.1007_s00181-019-01726-0.

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2020State-dependent biases and the quality of China’s preliminary GDP announcements. (2020). Yang, Lixiong. In: Empirical Economics. RePEc:spr:empeco:v:59:y:2020:i:6:d:10.1007_s00181-019-01751-z.

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2021Can country-specific interest rate factors explain the forward premium anomaly?. (2021). Tzavalis, Elias ; Smyrnakis, Dimitris ; Argyropoulos, Efthymios. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:45:y:2021:i:2:d:10.1007_s12197-020-09509-5.

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2020Empirical Assessment of Money Demand Stability Under India’s Open Economy: Non-linear ARDL Approach. (2020). Hatekar, Neeraj R ; Haider, Salman ; Adil, Masudul Hasan. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:18:y:2020:i:4:d:10.1007_s40953-020-00203-1.

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2020Testing for boundary conditions in case of fractionally integrated processes. (2020). Magrini, Stefano ; Gerolimetto, Margherita. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:29:y:2020:i:2:d:10.1007_s10260-019-00474-w.

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2021An empirical study on the parsimony and descriptive power of TARMA models. (2021). Goracci, Greta. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:30:y:2021:i:1:d:10.1007_s10260-020-00516-8.

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2020Improvement on the LR Test Statistic on the Cointegrating Relations in VAR Models: Bootstrap Methods and Applications.. (2020). Canepa, Alessandra. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:202007.

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2021Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors. (2021). Canepa, Alessandra. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:202108.

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Works by Zacharias Psaradakis:


YearTitleTypeCited
2018Maximum Likelihood Estimation in Possibly Misspecified Dynamic Models with Time-Inhomogeneous Markov Regimes In: Papers.
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2016Maximum Likelihood Estimation in Possibly Misspeci ed Dynamic Models with Time-Inhomogeneous Markov Regimes.(2016) In: Department of Economics Working Papers.
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2010Multivariate Contemporaneous-Threshold Autoregressive Models In: UFAE and IAE Working Papers.
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2011Multivariate contemporaneous-threshold autoregressive models.(2011) In: Journal of Econometrics.
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2007Multivariate contemporaneous threshold autoregressive models.(2007) In: Working Papers.
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2009Multivariate Contemporaneous Threshold Autoregressive Models.(2009) In: Department of Economics Working Papers.
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2010State-Dependent Threshold STAR Models In: UFAE and IAE Working Papers.
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2019The Chair of the U.S. Federal Reserve and the Macroeconomic Causality Regimes In: BCAM Working Papers.
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2019The Chair of the U.S. Federal Reserve and the Macroeconomic Causality Regimes.(2019) In: CESifo Working Paper Series.
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2015A Distance Test of Normality for a Wide Class of Stationary Processes In: Birkbeck Working Papers in Economics and Finance.
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2017A distance test of normality for a wide class of stationary processes.(2017) In: Econometrics and Statistics.
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2015Portmanteau Tests for Linearity of Stationary Time Series In: Birkbeck Working Papers in Economics and Finance.
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2016Portmanteau Tests for Linearity of Stationary Time Series.(2016) In: Working and Discussion Papers.
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2019Portmanteau tests for linearity of stationary time series.(2019) In: Econometric Reviews.
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2017Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities In: Birkbeck Working Papers in Economics and Finance.
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2017Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities.(2017) In: Department of Economics Working Papers.
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2017Normality Tests for Dependent Data: Large-Sample and Bootstrap Approaches In: Birkbeck Working Papers in Economics and Finance.
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2017Normality Tests for Dependent Data.(2017) In: Working and Discussion Papers.
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2018Bootstrap-Assisted Tests of Symmetry for Dependent Data In: Birkbeck Working Papers in Economics and Finance.
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2018Bootstrap Assisted Tests of Symmetry for Dependent Data.(2018) In: Working and Discussion Papers.
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1996Testing for Unit Roots in Time Series with Nearly Deterministic Seasonal Variation In: Archive Discussion Papers.
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1997Testing for unit roots in time series with nearly deterministic seasonal variation.(1997) In: Econometric Reviews.
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1993 PcGive and PcFiml Version 7 [Review Article]. In: Journal of Economic Surveys.
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2001Bootstrap Tests for an Autoregressive Unit Root in the Presence of Weakly Dependent Errors In: Journal of Time Series Analysis.
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2003ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV?SWITCHING AUTOREGRESSIVE MODELS In: Journal of Time Series Analysis.
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2002On the Determination of the Number of Regimes in Markov-Switching Autoregressive Models.(2002) In: Computing in Economics and Finance 2002.
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2004On the Autocorrelation Properties of Long?Memory GARCH Processes In: Journal of Time Series Analysis.
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2002On the autocorrelation properties of Long Memory Garch Processes.(2002) In: Department of Economics Working Papers.
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2006Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching In: Journal of Time Series Analysis.
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2008Assessing Time?Reversibility Under Minimal Assumptions In: Journal of Time Series Analysis.
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2009Selecting nonlinear time series models using information criteria In: Journal of Time Series Analysis.
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2015A Quantile-based Test for Symmetry of Weakly Dependent Processes In: Journal of Time Series Analysis.
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1993The Demand for Money in Greece: An Exercise in Econometric Modelling with Cointegrated Variables. In: Oxford Bulletin of Economics and Statistics.
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1997A Reconciliation of Some Paradoxical Empirical Results on the Expectations Model of the Term Structure. In: Oxford Bulletin of Economics and Statistics.
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2013State-Dependent Threshold Smooth Transition Autoregressive Models In: Oxford Bulletin of Economics and Statistics.
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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.
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2011Contemporaneous-Threshold Smooth Transition GARCH Models In: Studies in Nonlinear Dynamics & Econometrics.
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2009Contemporaneous-Threshold Smooth Transition GARCH Models.(2009) In: Department of Economics Working Papers.
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2000p-Value Adjustments for Multiple Tests for Nonlinearity In: Studies in Nonlinear Dynamics & Econometrics.
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2002Power Properties of Nonlinearity Tests for Time Series with Markov Regimes In: Studies in Nonlinear Dynamics & Econometrics.
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1998An Empirical Reassessment of Target-zone Nonlinearities In: Cambridge Working Papers in Economics.
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2001An empirical reassessment of target-zone nonlinearities.(2001) In: Journal of International Money and Finance.
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2003Markov Switching Causality and the Money-Output Relationship In: CEPR Discussion Papers.
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2005Markov switching causality and the money-output relationship.(2005) In: Journal of Applied Econometrics.
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1995An Analysis of Seasonality in the U.K. Equity Market. In: Economic Journal.
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2001Markov level shifts and the unit-root hypothesis In: Econometrics Journal.
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1997Switching error-correction models of house prices in the United Kingdom In: Economic Modelling.
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2003Target zone credibility and economic fundamentals In: Economic Modelling.
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2014On testing for nonlinearity in multivariate time series In: Economics Letters.
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1994A comparison of tests of linear hypotheses in cointegrated vector autoregressive models In: Economics Letters.
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2001On bootstrap inference in cointegrating regressions In: Economics Letters.
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2001A simple procedure for detecting periodically collapsing rational bubbles In: Economics Letters.
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2002A simple method of testing for cointegration subject to multiple regime changes In: Economics Letters.
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1996On the power of tests for superexogeneity and structural invariance In: Journal of Econometrics.
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1993On the power of tests for superexogeneity and structural invariance.(1993) In: Documentos de Trabajo (working papers).
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