Pentti Saikkonen : Citation Profile


Are you Pentti Saikkonen?

24

H index

45

i10 index

2682

Citations

RESEARCH PRODUCTION:

68

Articles

69

Papers

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   36 years (1983 - 2019). See details.
   Cites by year: 74
   Journals where Pentti Saikkonen has often published
   Relations with other researchers
   Recent citing documents: 145.    Total self citations: 49 (1.79 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psa958
   Updated: 2019-08-17    RAS profile: 2019-08-06    
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Relations with other researchers


Works with:

Meitz, Mika (5)

Lanne, Markku (2)

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

Is cited by:

Koukouritakis, Minoas (52)

Lanne, Markku (43)

Kurozumi, Eiji (36)

Shahbaz, Muhammad (36)

Lütkepohl, Helmut (35)

Wagner, Martin (31)

Nielsen, Morten (31)

Tiwari, Aviral (29)

Perron, Pierre (28)

Panagiotidis, Theodore (28)

rey, serge (28)

Cites to:

Lütkepohl, Helmut (31)

Lanne, Markku (23)

Johansen, Soren (17)

Rahbek, Anders (15)

Meitz, Mika (14)

Phillips, Peter (13)

Hansen, Bruce (10)

Engle, Robert (9)

Campbell, John (9)

Bec, Frédérique (8)

Granger, Clive (7)

Main data


Where Pentti Saikkonen has published?


Journals with more than one article published# docs
Econometric Theory20
Journal of Time Series Analysis10
Journal of Econometrics9
Journal of Business & Economic Statistics4
Econometrics Journal4
Economics Letters3
Statistics & Probability Letters2
Oxford Bulletin of Economics and Statistics2
Econometric Reviews2
Journal of Financial Econometrics2

Working Papers Series with more than one paper published# docs
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes23
MPRA Paper / University Library of Munich, Germany9
Economics Working Papers / European University Institute7
Papers / arXiv.org5
Ko University-TUSIAD Economic Research Forum Working Papers / Koc University-TUSIAD Economic Research Forum4
Economics Series Working Papers / University of Oxford, Department of Economics3
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2

Recent works citing Pentti Saikkonen (2019 and 2018)


YearTitle of citing document
2018Transition from the Taylor rule to the zero lower bound. (2018). Teräsvirta, Timo ; Terasvirta, Timo ; Silvennoinen, Annastiina ; Johnson, Nicholas ; Hurn, Stan. In: CREATES Research Papers. RePEc:aah:create:2018-31.

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2018The Relationship among Economic Growth, Trade, Unemployment, and Inflation in South Asia: A Vector Autoregressive Model Approach. (2018). Nguyen, Anh Tru. In: Asian Journal of Economics and Empirical Research. RePEc:aoj:ajeaer:2018:p:165-172.

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2018Testing for Common Breaks in a Multiple Equations System. (2018). Perron, Pierre ; Oka, Tatsushi. In: Papers. RePEc:arx:papers:1606.00092.

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2018Maximum Likelihood Estimation in Possibly Misspecified Dynamic Models with Time-Inhomogeneous Markov Regimes. (2018). Sola, Martin ; Psaradakis, Zacharias ; Pouzo, Demian. In: Papers. RePEc:arx:papers:1612.04932.

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2019Improved Inference on the Rank of a Matrix. (2018). Chen, Qihui ; Fang, Zheng. In: Papers. RePEc:arx:papers:1812.02337.

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2019Identification of Noncausal Models by Quantile Autoregressions. (2019). Hecq, Alain ; Sun, LI. In: Papers. RePEc:arx:papers:1904.05952.

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2018The Expectations Hypothesis of the Term Structure in the Philippines: An Empirical Note (2001-2017). (2018). Tronzano, Marco. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2018:p:704-716.

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2018The Impact of Economic Growth on CO2 Emissions in Azerbaijan. (2018). Hasanov, Fakhri ; Galeotti, Marzio ; Mikayilov, Jeyhun I. In: IEFE Working Papers. RePEc:bcu:iefewp:iefewp102.

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2019Migración internacional y determinantes de las remesas de trabajadores en Colombia. (2019). Garavito, Aaron ; Montes-Uribe, Enrique ; Hernandez-Bejarano, Manuel Dario ; Collazos-Gaitan, Maria Mercedes ; Garavito-Acosta, Aaron Levi. In: Borradores de Economia. RePEc:bdr:borrec:1066.

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2017Identification of Small Open Economy SVARs via Markov-Switching Heteroskedasticity. (2017). Turnip, Guido. In: The Economic Record. RePEc:bla:ecorec:v:93:y:2017:i:302:p:465-483.

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2018UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND BOOTSTRAP PROCEDURES. (2018). Veiga, Helena ; Ruiz, Esther ; Gonalves, Joo Henrique . In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:388-419.

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2018Modeling the Interactions between Volatility and Returns using EGARCH‐M. (2018). Lange, Rutger-Jan ; Harvey, Andrew. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:909-919.

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2018State Space Models with Endogenous Regime Switching. (2018). Tan, Fei ; Chang, Yoosoon ; Maih, Junior. In: Working Papers. RePEc:bny:wpaper:0067.

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2018How do shocks to bank capital affect lending and growth?. (2018). Tolo, Eero ; Miettinen, Paavo. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_025.

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2019Does Business Confidence Matter for Investment?. (2017). Khan, Hashmat ; Upadhayaya, Santosh. In: Carleton Economic Papers. RePEc:car:carecp:17-13.

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2018Divorce and Gold Coins: A Case Study of Iran. (2018). Gholipour Fereidouni, Hassan ; Farzanegan, Mohammad Reza. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6873.

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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.

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2018Fiscal Sustainability in the EU After the Global Crisis: Is there any Progress?. (2018). Wysocki, Maciej ; Wojcik, Cezary. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7230.

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2018Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2018_1802.

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2018Specification Tests for Non-Gaussian Maximum Likelihood Estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2018_1804.

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2018The Slope of the Term Structure and Recessions: The Pre-Fed Evidence, 1857-1913. (2018). Stuart, Rebecca ; Gerlach, Stefan. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13013.

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2018Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH. (2018). Schlaak, Thore ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1750.

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2018Sentiment and sign predictability of stock returns. (2018). Pönkä, Harri ; Pnk, Harri. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00948.

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2018Inequality and relative saving rates at the top. (2018). Vermeulen, Philip ; Lieberknecht, Philipp. In: Working Paper Series. RePEc:ecb:ecbwps:20182204.

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2019A two-step short-term probabilistic wind forecasting methodology based on predictive distribution optimization. (2019). Hodge, Bri-Mathias ; Chartan, Erol Kevin ; Feng, Cong ; Sun, Mucun ; Zhang, Jie. In: Applied Energy. RePEc:eee:appene:v:238:y:2019:i:c:p:1497-1505.

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2018Multivariate specification tests based on a dynamic Rosenblatt transform. (2018). Kheifets, Igor L. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:124:y:2018:i:c:p:1-14.

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2019Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH. (2019). Schlaak, Thore ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:101:y:2019:i:c:p:41-61.

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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.

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2018Upward wage rigidity and Japans dispatched worker system. (2018). Chen, W D. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:152-162.

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2018Useful Exergy Is Key in Obtaining Plausible Aggregate Production Functions and Recognizing the Role of Energy in Economic Growth: Portugal 1960–2009. (2018). Aubyn, Miguel ; st Aubyn, Miguel ; Sousa, Tania ; Domingos, Tiago ; Santos, Joo. In: Ecological Economics. RePEc:eee:ecolec:v:148:y:2018:i:c:p:103-120.

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2018Testing for cointegration in I(1) state space systems via a finite order approximation. (2018). Franchi, Massimo. In: Economics Letters. RePEc:eee:ecolet:v:165:y:2018:i:c:p:73-76.

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2017Statistical inference for independent component analysis: Application to structural VAR models. (2017). Renne, Jean-Paul ; Monfort, Alain ; gourieroux, christian. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:111-126.

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2018The cointegrated vector autoregressive model with general deterministic terms. (2018). Nielsen, Morten ; Johansen, Soren. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:214-229.

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2018Bayesian nonparametric vector autoregressive models. (2018). Kalli, Maria ; Griffin, Jim E. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:267-282.

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2018Testing for common breaks in a multiple equations system. (2018). Perron, Pierre ; Oka, Tatsushi. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:66-85.

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2018Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes. (2018). Shintani, Mototsugu ; Okui, Ryo ; Lee, Yoon-Jin . In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:147-158.

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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Francq, Christian ; darolles, serge ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:223-247.

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2018Misspecification of noncausal order in autoregressive processes. (2018). Jasiak, Joann ; gourieroux, christian. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:226-248.

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2019Determination of vector error correction models in high dimensions. (2019). Schienle, Melanie ; Liang, Chong. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:418-441.

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2017Structural vector autoregressions with heteroskedasticity: A review of different volatility models. (2017). Lütkepohl, Helmut ; Netunajev, Aleksei ; Lutkepohl, Helmut. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:2-18.

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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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2018Renewable energy, oil prices, and economic activity: A Granger-causality in quantiles analysis. (2018). Uddin, Gazi ; Troster, Victor ; Shahbaz, Muhammad. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:440-452.

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2019Price and volatility spillovers across the international steam coal market. (2019). , Marco ; Ciner, Cetin ; Brzeszczynski, Janusz ; Batten, Jonathan A ; Yarovaya, Larisa ; Lucey, Brian. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:119-138.

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2019Does electricity price matter for innovation in renewable energy technologies in China?. (2019). Lin, Boqiang ; Chen, Yufang. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:259-266.

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2019Market integration and technology mix: Evidence from the German and French electricity markets. (2019). Haxhimusa, Adhurim ; Gugler, Klaus. In: Energy Policy. RePEc:eee:enepol:v:126:y:2019:i:c:p:30-46.

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2019The role of natural gas consumption in Saudi Arabias output and its implication for trade and environmental quality. (2019). Akadiri, Seyi ; Gungor, Hasan . In: Energy Policy. RePEc:eee:enepol:v:129:y:2019:i:c:p:230-238.

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2018Impact of technological progress on Chinas textile industry and future energy saving potential forecast. (2018). Lin, Boqiang ; Zhang, Guoliang ; Chen, YU. In: Energy. RePEc:eee:energy:v:161:y:2018:i:c:p:859-869.

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2019Modeling the relationship between firm and user generated content and the stages of the marketing funnel. (2019). O'Connor, Peter ; Kumar, Ashish ; Colicev, Anatoli. In: International Journal of Research in Marketing. RePEc:eee:ijrema:v:36:y:2019:i:1:p:100-116.

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2018Capital controls and the real exchange rate: Do controls promote disequilibria?. (2018). Montecino, Juan Antonio . In: Journal of International Economics. RePEc:eee:inecon:v:114:y:2018:i:c:p:80-95.

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2018Forecasting banking crises with dynamic panel probit models. (2018). Rodrigues, Paulo ; Bonfim, Diana ; Antunes, António ; Monteiro, Nuno . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:2:p:249-275.

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2018Are gold and silver cointegrated? New evidence from quantile cointegrating regressions. (2018). Schweikert, Karsten. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:44-51.

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2018Endogenous growth and entropy. (2018). Sequeira, Tiago ; Gil, Pedro ; Afonso, Oscar . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:154:y:2018:i:c:p:100-120.

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2018The pre-history of econophysics and the history of economics: Boltzmann versus the marginalists. (2018). Poitras, Geoffrey. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:507:y:2018:i:c:p:89-98.

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2018Simple tests for endogeneity of spatial weights matrices. (2018). Bera, Anil K ; Tapinar, Suleyman ; Doan, Osman. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:69:y:2018:i:c:p:130-142.

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2018The dynamic linkage effect between energy and emissions allowances price for regional emissions trading scheme pilots in China. (2018). Chang, Kai ; Wang, Weihong ; Zhang, Chao ; Ge, Fangping. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:98:y:2018:i:c:p:415-425.

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2018Do house prices hedge inflation in the US? A quantile cointegration approach. (2018). Wohar, Mark ; GUPTA, RANGAN ; Nyakabawo, Wendy ; Christou, Christina. In: International Review of Economics & Finance. RePEc:eee:reveco:v:54:y:2018:i:c:p:15-26.

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2019Does the long-run monetary model hold for Sub-Saharan Africa? A time series and panel-cointegration study. (2019). Ibhagui, Oyakhilome W. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:279-303.

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2019Estimating the conditional equity risk premium in African frontier markets. (2019). Othieno, Ferdinand ; Biekpe, Nicholas. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:538-551.

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2019The effects of economic policy and political uncertainties on economic activities. (2019). Gholipour Fereidouni, Hassan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:210-218.

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2018A power comparison between autocorrelation based tests. (2018). RAÏSSI, HAMDI ; Raissi, Hamdi ; Khardani, Salah ; ben Hajria, Raja. In: Statistics & Probability Letters. RePEc:eee:stapro:v:143:y:2018:i:c:p:1-6.

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2018Entrepreneurship contribution to the three pillars of sustainable development: What does the evidence really say?. (2018). OMRI, Anis ; Dhahri, Sabrine. In: World Development. RePEc:eee:wdevel:v:106:y:2018:i:c:p:64-77.

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2018Public Investment and Growth Accelerations: The Case of Southern Italy, 1951-1995. (2018). Papagni, Erasmo ; Felice, Emanuele ; Alfano, Maria Rosaria ; Baraldi, Anna Laura ; Lepore, Amedeo. In: EERI Research Paper Series. RePEc:eei:rpaper:eeri_rp_2018_10.

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2018Identifying cointegration by eigenanalysis. (2018). Robinson, Peter ; Zhang, Rongmao ; Yao, Qiwei. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:87431.

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2018Environmentally sustainable investment: Dynamics between global thematic indices. (2018). Gabriel, Vitor . In: Cuadernos de Gestión. RePEc:ehu:cuader:30018.

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2018Modelling the Relationship between Crude Oil and Agricultural Commodity Prices. (2018). Vu, Tan ; Vo, Duc ; McAleer, Michael. In: Econometric Institute Research Papers. RePEc:ems:eureir:115608.

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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.

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2017Disagreement in inflation forecasts and inflation risk premia in Brazil. (2017). Fernandes, Marcelo ; de Azevedo, Clemens V ; Doi, Jonas Takayuki . In: Textos para discussão. RePEc:fgv:eesptd:453.

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2019Business Cycles Across Space and Time. (2019). Owyang, Michael ; Soques, Daniel ; Francis, Neville. In: Working Papers. RePEc:fip:fedlwp:2019-010.

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2018Consistent non-Gaussian pseudo maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2018_01.

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2018Specification tests for non-Gaussian maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2018_05.

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2019Cointegration and Adjustment in the CVAR(∞) Representation of Some Partially Observed CVAR(1) Models. (2019). Johansen, Soren. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:1:p:2-:d:196454.

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2019Detection of Lead-Lag Relationships Using Both Time Domain and Time-Frequency Domain; An Application to Wealth-To-Income Ratio. (2019). Skoura, Angeliki. In: Economies. RePEc:gam:jecomi:v:7:y:2019:i:2:p:28-:d:219048.

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2019Modeling the Relationship between Crude Oil and Agricultural Commodity Prices. (2019). Vu, Tan ; Vo, Duc ; McAleer, Michael. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:7:p:1344-:d:220919.

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2019What Factors Affect Income Inequality and Economic Growth in Middle-Income Countries?. (2019). Vo, Duc ; Nguyen, Thang ; Tran, Ngoc Phu. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:1:p:40-:d:212308.

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2018Measuring and Spatio-Temporal Evolution for the Late-Development Advantage in China’s Provinces. (2018). Ma, Fei ; Li, Xiaodan ; Wang, Wenlin ; Sun, Qipeng ; Liu, Fei. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:8:p:2773-:d:162138.

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2018The Importance of the Public Sector in Sustainable Development in Poland. (2018). Aliska, Agnieszka ; Kosztowniak, Aneta ; Filipiak, Beata Zofia. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:9:p:3278-:d:169770.

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2019Investigating the Energy–Economic Growth–Governance Nexus: Evidence from Central and Eastern European Countries. (2019). Lupu, Dan ; Paraschiv, Gigel ; Bercu, Ana-Maria. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:12:p:3355-:d:240610.

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2017Testing for Leverage Effects in the Returns of US Equities. (2017). Lalaharison, Hanjarivo ; Ielpo, Florian ; GUEGAN, Dominique ; Chorro, Christophe. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-00973922.

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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Laurent, Sébastien ; Francq, Christian ; darolles, serge. In: Post-Print. RePEc:hal:journl:hal-01980815.

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2018Money demand stability, monetary overhang and inflation forecast in the CEE countries. (2018). Pépin, Dominique ; Albulescu, Claudiu. In: Working Papers. RePEc:hal:wpaper:hal-01720319.

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2019Mixed Causal-Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing *. (2019). Bec, Frédérique ; Saidi, Sarra ; Nielsen, Heino Bohn . In: Working Papers. RePEc:hal:wpaper:hal-02175760.

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2018The Yen Exchange Rate and the Hollowing-out of the Japanese Industry. (2018). Belke, Ansgar ; Volz, Ulrich. In: Working Papers. RePEc:hal:wpaper:halshs-01917940.

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2018Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas. (2018). Francq, Christian ; darolles, serge ; Laurent, Sebastien. In: Working Papers. RePEc:hal:wpaper:halshs-01944656.

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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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2018INVESTIGATING THE EFFECT OF FINANCIAL INNOVATIONS ON THE DEMAND FOR MONEY IN AUSTRALIA USING DOLS AND FMOLS AND COMPARING THEIR PREDICTIVE POWERS. (2018). Aliha, Payam Mohammad ; Said, Fathin Faizah ; Sarmidi, Tamat. In: Regional Science Inquiry. RePEc:hrs:journl:v:x:y:2018:i:2:p:17-30.

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2018State Space Models with Endogenous Regime Switching. (2018). Maih, Junior ; Chang, Yoosoon ; Tan, Fei. In: Caepr Working Papers. RePEc:inu:caeprp:2018011.

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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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2018Is SADC an optimal currency area? Evidence from the generalized purchasing power parity test. (2018). Breitenbach, Marthinus ; Zerihun, Mulatu F. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:51:y:2018:i:2:d:10.1007_s10644-017-9204-7.

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2018Monetary policy implications of short-term capital flows in Turkey. (2018). Dalarolu, Tolga ; Mahmud, Syed F ; Demirel, Baki . In: Empirica. RePEc:kap:empiri:v:45:y:2018:i:4:d:10.1007_s10663-017-9388-0.

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2018Does Gold Price Matter for Divorce Rate in Iran?. (2018). Gholipour Fereidouni, Hassan ; Farzanegan, Mohammad Reza. In: Journal of Family and Economic Issues. RePEc:kap:jfamec:v:39:y:2018:i:4:d:10.1007_s10834-018-9581-8.

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2018GARCH option pricing models with Meixner innovations. (2018). Fengler, Matthias ; Melnikov, Alexander. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:3:d:10.1007_s11147-017-9141-7.

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2018Identification of Structural Vector Autoregressions by Stochastic Volatility. (2018). Braun, Robin ; Bertsche, Dominik. In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1803.

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2018Cointegration and adjustment in the infinite order CVAR representation of some partially observed CVAR(1) models. (2018). Johansen, Soren. In: Discussion Papers. RePEc:kud:kuiedp:1805.

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2018Investigating credit transmission mechanism in the Republic of Macedonia: evidence from Vector Error Correction Model. (2018). Eliskovski, Milan. In: Working Papers. RePEc:mae:wpaper:2018-02.

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2018The Relationship Between Greek Exports and Foreign Income. (2018). Panagiotidis, Theodore ; Chisiridis, Konstantinos. In: Discussion Paper Series. RePEc:mcd:mcddps:2018_03.

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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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2018Testing for common breaks in a multiple equations system. (2018). Perron, Pierre ; Oka, Tatsushi. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-3.

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More than 100 citations found, this list is not complete...

Pentti Saikkonen has edited the books:


YearTitleTypeCited

Works by Pentti Saikkonen:


YearTitleTypeCited
2008Parameter estimation in nonlinear AR-GARCH models In: CREATES Research Papers.
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paper16
2011PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS.(2011) In: Econometric Theory.
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This paper has another version. Agregated cites: 16
article
2008Parameter Estimation in Nonlinear AR-GARCH Models.(2008) In: Economics Working Papers.
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This paper has another version. Agregated cites: 16
paper
2010Parameter estimation in nonlinear AR–GARCH models.(2010) In: Koç University-TUSIAD Economic Research Forum Working Papers.
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This paper has another version. Agregated cites: 16
paper
2008Parameter estimation in nonlinear AR-GARCH models.(2008) In: Economics Series Working Papers.
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This paper has another version. Agregated cites: 16
paper
2015Identification and estimation of non-Gaussian structural vector autoregressions In: CREATES Research Papers.
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paper25
2017Identification and estimation of non-Gaussian structural vector autoregressions.(2017) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 25
article
2001Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes In: CeNDEF Workshop Papers, January 2001.
[Citation analysis]
paper23
2003Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes.(2003) In: Journal of Financial Econometrics.
[Citation analysis]
This paper has another version. Agregated cites: 23
article
2000Modeling the US short-term interest rate by mixture autoregressive processes.(2000) In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23
paper
2017Testing for observation-dependent regime switching in mixture autoregressive models In: Papers.
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paper0
2018A mixture autoregressive model based on Students $t$-distribution In: Papers.
[Full Text][Citation analysis]
paper0
2018Stationarity and ergodicity of vector STAR models In: Papers.
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paper0
2019Subgeometrically ergodic autoregressions In: Papers.
[Full Text][Citation analysis]
paper0
2019Subgeometric ergodicity and $\beta$-mixing In: Papers.
[Full Text][Citation analysis]
paper0
1999Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes. In: Journal of Business & Economic Statistics.
[Citation analysis]
article13
2000Testing for the Cointegrating Rank of a VAR Process with Structural Shifts. In: Journal of Business & Economic Statistics.
[Citation analysis]
article172
2001Testing for the cointegrating rank of a VAR process with structural shifts.(2001) In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 172
paper
2002Threshold Autoregressions for Strongly Autocorrelated Time Series. In: Journal of Business & Economic Statistics.
[Citation analysis]
article8
2000Threshold Autoregression for Strongly Autocorrelated Time Series..(2000) In: University of Helsinki, Department of Economics.
[Citation analysis]
This paper has another version. Agregated cites: 8
paper
2007A Multivariate Generalized Orthogonal Factor GARCH Model In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article57
2005A Multivariate Generalized Orthogonal Factor GARCH Model.(2005) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 57
paper
2008Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters In: International Statistical Review.
[Full Text][Citation analysis]
article0
1996TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article0
2000Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article2
2002Comparison of unit root tests for time series with level shifts In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article171
2002Comparison of Unit Root Tests for Time Series with Level Shifts.(2002) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 171
paper
1999Comparison of unit root tests for time series with level shifts.(1999) In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 171
paper
2003Reducing size distortions of parametric stationarity tests In: Journal of Time Series Analysis.
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article6
2000Reducing size distortions of parametric stationarity tests.(2000) In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
paper
2008Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article15
2006Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break.(2006) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
paper
2006Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break.(2006) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
paper
2008Stability of nonlinear AR-GARCH models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article13
2006Stability of nonlinear AR-GARCH models.(2006) In: CORE Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2006Stability of nonlinear AR-GARCH models.(2006) In: SSE/EFI Working Paper Series in Economics and Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2007Stability of nonlinear AR-GARCH models.(2007) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2015A Gaussian Mixture Autoregressive Model for Univariate Time Series In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article11
2016Testing for a Unit Root in Noncausal Autoregressive Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article3
2013Testing for a unit root in noncausal autoregressive models.(2013) In: Research Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
1983ASYMPTOTIC RELATIVE EFFICIENCY OF SOME TESTS OF FIT IN TIME SERIES MODELS In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article0
1986ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article0
2000On the Estimation of Euler Equations in the Presence of a Potential Regime Shift. In: Manchester School.
[Full Text][Citation analysis]
article6
1999On the estimation of Euler equations in the presence of a potential regime shift.(1999) In: Research Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
paper
2003Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
article70
2001Test procedures for unit roots in time series with level shifts at unknown time.(2001) In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 70
paper
2011GMM Estimation with Non‐causal Instruments In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
article4
2009GMM Estimation with Noncausal Instruments.(2009) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
1985 Modelling the Dynamic Relationship between Wages and Prices in Finland. In: Scandinavian Journal of Economics.
[Citation analysis]
article2
1998Cointegrated vector autoregressive processes with continuous structural changes In: Research Discussion Papers.
[Full Text][Citation analysis]
paper1
2009Noncausal vector autoregression In: Research Discussion Papers.
[Full Text][Citation analysis]
paper21
2013NONCAUSAL VECTOR AUTOREGRESSION.(2013) In: Econometric Theory.
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This paper has another version. Agregated cites: 21
article
2010Noncausal Vector Autoregression.(2010) In: MPRA Paper.
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This paper has another version. Agregated cites: 21
paper
2012Forecasting with a noncausal VAR model In: Research Discussion Papers.
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paper8
2014Forecasting with a noncausal VAR model.(2014) In: Computational Statistics & Data Analysis.
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This paper has another version. Agregated cites: 8
article
2011Noncausal Autoregressions for Economic Time Series In: Journal of Time Series Econometrics.
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article39
2010Noncausal autoregressions for economic time series.(2010) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39
paper
2001A mixture autoregressive model based on Student’s t–distribution In: GRU Working Paper Series.
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paper0
1995Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems In: Econometric Theory.
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article24
1996Infinite-Order Cointegrated Vector Autoregressive Processes In: Econometric Theory.
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article20
1999LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS In: Econometric Theory.
[Full Text][Citation analysis]
article25
1997Local power of likelihood ratio tests for the cointegrating rank of a VAR process.(1997) In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25
paper
2000TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT In: Econometric Theory.
[Full Text][Citation analysis]
article155
1998Testing for the cointegrating rank of a VAR process with an intercept.(1998) In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 155
paper
2001CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS In: Econometric Theory.
[Full Text][Citation analysis]
article5
2001STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS In: Econometric Theory.
[Full Text][Citation analysis]
article4
2002TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME In: Econometric Theory.
[Full Text][Citation analysis]
article151
2000Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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This paper has another version. Agregated cites: 151
paper
1999Testing for a unit root in a time series with a level shift at unknown time.(1999) In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 151
paper
2004COINTEGRATING SMOOTH TRANSITION REGRESSIONS In: Econometric Theory.
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article60
2006BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING In: Econometric Theory.
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article11
2008STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION In: Econometric Theory.
[Full Text][Citation analysis]
article16
2008ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS In: Econometric Theory.
[Full Text][Citation analysis]
article38
2007Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models.(2007) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has another version. Agregated cites: 38
paper
2007Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models.(2007) In: Economics Series Working Papers.
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This paper has another version. Agregated cites: 38
paper
2010TESTS FOR NONLINEAR COINTEGRATION In: Econometric Theory.
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article22
1991Asymptotically Efficient Estimation of Cointegration Regressions In: Econometric Theory.
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article457
1992Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation In: Econometric Theory.
[Full Text][Citation analysis]
article139
1993Estimation of Cointegration Vectors with Linear Restrictions In: Econometric Theory.
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article21
1993Continuous Weak Convergence and Stochastic Equicontinuity Results for Integrated Processes with an Application to the Estimation of a Regression Model In: Econometric Theory.
[Full Text][Citation analysis]
article6
1993Point Optimal Tests for Testing the Order of Differencing in ARIMA Models In: Econometric Theory.
[Full Text][Citation analysis]
article17
1993A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root In: Econometric Theory.
[Full Text][Citation analysis]
article0
2018Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models In: Discussion Papers of DIW Berlin.
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paper0
2004Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time In: Econometrica.
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article54
2001Testing for the cointegrating rank of a VAR process with level shift at unknown time.(2001) In: SFB 373 Discussion Papers.
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This paper has another version. Agregated cites: 54
paper
2004A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns In: Econometric Society 2004 North American Summer Meetings.
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paper2
2000Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift In: Econometric Society World Congress 2000 Contributed Papers.
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paper62
2003Comparison of tests for the cointegrating rank of a VAR process with a structural shift.(2003) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 62
article
2000Comparison of tests for the cointegrating rank of a VAR process with a structural shift.(2000) In: SFB 373 Discussion Papers.
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This paper has another version. Agregated cites: 62
paper
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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This paper has another version. Agregated cites: 10
paper
2001Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process In: Econometrics Journal.
[Citation analysis]
article66
2000Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process.(2000) In: SFB 373 Discussion Papers.
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This paper has another version. Agregated cites: 66
paper
2004Testing linearity in cointegrating smooth transition regressions In: Econometrics Journal.
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article71
2005Non-linear GARCH models for highly persistent volatility In: Econometrics Journal.
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article20
2002Nonlinear GARCH models for highly persistent volatility.(2002) In: SFB 373 Discussion Papers.
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1996Power of the Lagrange multiplier test for testing an autoregressive unit root In: Economics Letters.
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1999A lag augmentation test for the cointegrating rank of a VAR process In: Economics Letters.
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2006Why is it so difficult to uncover the risk-return tradeoff in stock returns? In: Economics Letters.
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article30
2005Stability results for nonlinear error correction models In: Journal of Econometrics.
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article22
2006Residual autocorrelation testing for vector error correction models In: Journal of Econometrics.
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article21
2004Residual Autocorrelation Testing for Vector Error Correction Models.(2004) In: Economics Working Papers.
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2016Gaussian mixture vector autoregression In: Journal of Econometrics.
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1989Asymptotic relative efficiency of the classical test statistics under misspecification In: Journal of Econometrics.
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article18
1997Impulse response analysis in infinite order cointegrated vector autoregressive processes In: Journal of Econometrics.
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article27
1995Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes.(1995) In: SFB 373 Discussion Papers.
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1997Testing cointegration in infinite order vector autoregressive processes In: Journal of Econometrics.
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article59
2000Testing for the cointegrating rank of a VAR process with a time trend In: Journal of Econometrics.
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1997Testing for the Cointegrating Rank of a VAR Process with a Time Trend.(1997) In: SFB 373 Discussion Papers.
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2012Optimal forecasting of noncausal autoregressive time series In: International Journal of Forecasting.
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2010Optimal Forecasting of Noncausal Autoregressive Time Series.(2010) In: MPRA Paper.
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2013Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity In: Journal of Multivariate Analysis.
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2012Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity.(2012) In: Koç University-TUSIAD Economic Research Forum Working Papers.
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1995Dependent versions of a central limit theorem for the squared length of a sample mean In: Statistics & Probability Letters.
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2010A note on the geometric ergodicity of a nonlinear AR-ARCH model In: Statistics & Probability Letters.
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article2
2010A note on the geometric ergodicity of a nonlinear AR–ARCH model.(2010) In: Koç University-TUSIAD Economic Research Forum Working Papers.
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2004Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift In: Economics Working Papers.
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paper11
2005Modeling Conditional Skewness in Stock Returns In: Economics Working Papers.
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paper11
2007Modeling Conditional Skewness in Stock Returns.(2007) In: The European Journal of Finance.
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2008Modeling Expectations with Noncausal Autoregressions In: Economics Working Papers.
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paper2
2008Modeling Expectations with Noncausal Autoregressions.(2008) In: MPRA Paper.
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2012Testing for Predictability in a Noninvertible ARMA Model In: Koç University-TUSIAD Economic Research Forum Working Papers.
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2012Testing for predictability in a noninvertible ARMA model.(2012) In: MPRA Paper.
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2013Testing for Linear and Nonlinear Predictability of Stock Returns In: Journal of Financial Econometrics.
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article2
2012Supplementary appendix to noncausal vector autoregression In: MPRA Paper.
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1999Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes In: Econometric Reviews.
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2001A REVIEW OF SYSTEMS COINTEGRATION TESTS In: Econometric Reviews.
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1998A review of systemscointegration tests.(1998) In: SFB 373 Discussion Papers.
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2008Predicting U.S. Recessions with Dynamic Binary Response Models In: The Review of Economics and Statistics.
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1995Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes In: SFB 373 Discussion Papers.
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1997Trend adjustment prior to testing for the cointegrating rank of a VAR process In: SFB 373 Discussion Papers.
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paper3
1997Order selection in testing for the cointegrating rank of a VAR process In: SFB 373 Discussion Papers.
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paper0
1999Testing for unit roots in time series with level shifts In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
paper1
1999Unit root tests for time series with a structural break: When the break point is known In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
paper2
2000Cointegrating smooth transition regressions with applications to the Asian currency crisis In: SFB 373 Discussion Papers.
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paper0
2001Unit root tests in the presence of innovational outliers In: SFB 373 Discussion Papers.
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paper1
2001Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
paper1

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