28
H index
52
i10 index
3709
Citations
| 28 H index 52 i10 index 3709 Citations RESEARCH PRODUCTION: 73 Articles 69 Papers EDITOR: Books edited RESEARCH ACTIVITY: 40 years (1983 - 2023). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/psa958 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Pentti Saikkonen. | Is cited by: | Cites to: |
Year | Title of citing document |
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2023 | . Full description at Econpapers || Download paper |
2023 | Does Domestic Food Production Contribute to Improved Life Expectancy? Evidence from Low-Income Food-Deficit Countries (LIFDCS In Africa. (2023). Nzeh, Innocent Chile. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:330864. Full description at Econpapers || Download paper |
2023 | Functional Principal Component Analysis of Cointegrated Functional Time Series. (2020). Seo, Won-Ki. In: Papers. RePEc:arx:papers:2011.12781. Full description at Econpapers || Download paper |
2023 | Testing for Nonlinear Cointegration under Heteroskedasticity. (2021). Massing, Till ; Hanck, Christoph. In: Papers. RePEc:arx:papers:2102.08809. Full description at Econpapers || Download paper |
2023 | Performance of Empirical Risk Minimization for Linear Regression with Dependent Data. (2021). Brownlees, Christian ; Gudhmundsson, Gudhmundur Stef'An. In: Papers. RePEc:arx:papers:2104.12127. Full description at Econpapers || Download paper |
2023 | Efficiently Detecting Multiple Structural Breaks in Systems of Linear Regression Equations with Integrated and Stationary Regressors. (2022). Schweikert, Karsten. In: Papers. RePEc:arx:papers:2201.05430. Full description at Econpapers || Download paper |
2023 | The Local to Unity Dynamic Tobit Model. (2022). Duffy, James A ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2210.02599. Full description at Econpapers || Download paper |
2023 | Cointegration with Occasionally Binding Constraints. (2022). Mavroeidis, Sophocles ; Wycherley, Sam ; Duffy, James A. In: Papers. RePEc:arx:papers:2211.09604. Full description at Econpapers || Download paper |
2023 | Estimating the non-Gaussian Dimension in Structural Linear Systems. (2022). Cabello, Miguel. In: Papers. RePEc:arx:papers:2212.07263. Full description at Econpapers || Download paper |
2023 | Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors. (2023). Trapin, Luca ; Sun, LI ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2301.01362. Full description at Econpapers || Download paper |
2023 | Quantile Autoregression-based Non-causality Testing. (2023). Jin, Weifeng. In: Papers. RePEc:arx:papers:2301.02937. Full description at Econpapers || Download paper |
2024 | Estimating the Effects of Fiscal Policy using a Novel Proxy Shrinkage Prior. (2023). Pruser, Jan ; Klein, Mathias ; Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2302.13066. Full description at Econpapers || Download paper |
2024 | Uncertain Prior Economic Knowledge and Statistically Identified Structural Vector Autoregressions. (2023). Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2303.13281. Full description at Econpapers || Download paper |
2023 | Semiparametrically Optimal Cointegration Test. (2023). Zhou, BO. In: Papers. RePEc:arx:papers:2305.08880. Full description at Econpapers || Download paper |
2024 | Optimization of the Generalized Covariance Estimator in Noncausal Processes. (2023). Jasiak, Joann ; Hecq, Alain ; Cubadda, Gianluca ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2306.14653. Full description at Econpapers || Download paper |
2023 | Asymptotics for the Generalized Autoregressive Conditional Duration Model. (2023). Cavaliere, Giuseppe ; Vilandt, Frederik ; Rahbek, Anders ; Mikosch, Thomas. In: Papers. RePEc:arx:papers:2307.01779. Full description at Econpapers || Download paper |
2023 | Limit Theory under Network Dependence and Nonstationarity. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.01418. Full description at Econpapers || Download paper |
2023 | Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.13915. Full description at Econpapers || Download paper |
2023 | Spectral identification and estimation of mixed causal-noncausal invertible-noninvertible models. (2023). Hecq, Alain ; Velasquez-Gaviria, Daniel. In: Papers. RePEc:arx:papers:2310.19543. Full description at Econpapers || Download paper |
2023 | Optimal Estimation Methodologies for Panel Data Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.03471. Full description at Econpapers || Download paper |
2024 | Structural Analysis of Vector Autoregressive Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Stock Markets Response to Real Output Shocks in China: A VARwAL Estimation. (2023). Wu, Kexing ; Ulku, Numan. In: China & World Economy. RePEc:bla:chinae:v:31:y:2023:i:5:p:1-25. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Noncausal affine processes with applications to derivative pricing. (2023). Lu, Yang ; Gourieroux, Christian. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:766-796. Full description at Econpapers || Download paper |
2023 | Dynamic Mixture Vector Autoregressions with Score-Driven Weights. (2023). Umlandt, Dennis ; Neuenkirch, Matthias ; Gretener, Alexander Georges. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10366. Full description at Econpapers || Download paper |
2023 | A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523. Full description at Econpapers || Download paper |
2023 | Global spillovers from multi-dimensional US monetary policy. (2023). Georgiadis, Georgios ; Jarociski, Marek. In: Working Paper Series. RePEc:ecb:ecbwps:20232881. Full description at Econpapers || Download paper |
2023 | Exchange Rate (MIS-) Alignment: An Application of the Behavioural Equilibrium Exchange Rate (beer) Approach to Zimbabwe (1990-2018). (2023). Mugwira, Vincent ; Pasara, Michael Takudzwa. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2023-05-15. Full description at Econpapers || Download paper |
2023 | Does digital finance change the stability of money demand function? Evidence from China. (2023). Lu, Yao ; Zhan, Shuwei ; Wang, Lijun. In: Journal of Asian Economics. RePEc:eee:asieco:v:88:y:2023:i:c:s1049007823000696. Full description at Econpapers || Download paper |
2023 | Vector autoregression models with skewness and heavy tails. (2023). Karlsson, Sune ; Nguyen, Hoang ; Mazur, Stepan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002834. Full description at Econpapers || Download paper |
2023 | Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles. (2023). Wang, Shu ; Herwartz, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:151:y:2023:i:c:s0165188923000362. Full description at Econpapers || Download paper |
2023 | Eurozone prices: A tale of convergence and divergence. (2023). Garcia-Hiernaux, Alfredo ; Guerrero, David E ; Gonzalez-Perez, Maria T. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002304. Full description at Econpapers || Download paper |
2023 | Refining set-identification in VARs through independence. (2023). Wright, Jonathan H ; Drautzburg, Thorsten. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1827-1847. Full description at Econpapers || Download paper |
2023 | Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions. (2023). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:643-665. Full description at Econpapers || Download paper |
2023 | Domestic macroeconomic determinants of precious metals prices in developed and emerging economies: An international analysis of the long and short run. (2023). O'Connor, Fergal ; Usman, Hafiz Muhammad. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003290. Full description at Econpapers || Download paper |
2023 | Early Warning Systems for identifying financial instability. (2023). Sanfelici, Simona ; Allaj, Erindi. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1777-1803. Full description at Econpapers || Download paper |
2023 | Monetary policy and information shocks in a block-recursive SVAR. (2023). Seepe, Andre ; Hetzenecker, Stephan ; Keweloh, Sascha A. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623000931. Full description at Econpapers || Download paper |
2023 | The sustainability of current account in the BRICS countries depends on economic policies’ support to structural adaptation. (2023). Singh, Tarlok. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:45:y:2023:i:3:p:570-591. Full description at Econpapers || Download paper |
2023 | Economic development, natural resource utilization, GHG emissions and sustainable development: A case study of China. (2023). Muda, Iskandar ; Ali, Anis ; al Shraah, Ata ; Alhasan, Tariq Kamal ; Wong, Wing-Keung ; Ze, FU. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003070. Full description at Econpapers || Download paper |
2023 | Innovation, natural resources abundance, climate change and green growth in agriculture. (2023). Huang, Zilong ; He, Jun ; Ren, Xiaocong. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pa:s0301420723006815. Full description at Econpapers || Download paper |
2023 | Natural resources revenues, shadow economy and financial institutions depth: The way forward. (2023). Ali, Adnan ; Ur, Sami ; Ul, Zahoor ; Amin, Muhammad Yusuf ; Faisal, Faisal. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pb:s0301420723005603. Full description at Econpapers || Download paper |
2023 | The key roles of renewable energy and economic growth in disaggregated environmental degradation: Evidence from highly developed, heterogeneous and cross-correlated countries. (2023). Arauzo-Carod, Josep-Maria ; Kostakis, Ioannis. In: Renewable Energy. RePEc:eee:renene:v:206:y:2023:i:c:p:1315-1325. Full description at Econpapers || Download paper |
2023 | The motifs of risk transmission in multivariate time series: Application to commodity prices. (2023). Spelta, Alessandro ; Pagnottoni, Paolo. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:87:y:2023:i:pb:s0038012122002609. Full description at Econpapers || Download paper |
2023 | Strong mixing properties of discrete-valued time series with exogenous covariates. (2023). Truquet, Lionel. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:160:y:2023:i:c:p:294-317. Full description at Econpapers || Download paper |
2023 | Does exporting cause productivity growth? Evidence from Chilean firms. (2023). Coad, Alex ; Ciarli, Tommaso ; Moneta, Alessio. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:66:y:2023:i:c:p:228-239. Full description at Econpapers || Download paper |
2023 | Labor Productivity, Real Wages, and Employment in OECD Economies. (2023). Cruz, Manuel David. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:66:y:2023:i:c:p:367-382. Full description at Econpapers || Download paper |
2023 | Are we making progress on decarbonization? A panel heterogeneous study of the long-run relationship in selected economies. (2023). Skare, Marinko ; Porada-Rocho, Magorzata. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:188:y:2023:i:c:s0040162522008009. Full description at Econpapers || Download paper |
2023 | Green trade or green technology? The way forward for G-7 economies to achieve COP 26 targets while making competing policy choices. (2023). Naqvi, Bushra ; Abbas, Syed Kumail ; Han, Zhiyong ; Bai, Jiancheng. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:191:y:2023:i:c:s0040162523001622. Full description at Econpapers || Download paper |
2023 | Identification Using Higher-Order Moments Restrictions. (2023). ferroni, filippo ; Andrade, Philippe ; Melosi, Leonardo. In: Working Paper Series. RePEc:fip:fedhwp:96666. Full description at Econpapers || Download paper |
2023 | Detecting Common Bubbles in Multivariate Mixed Causal–Noncausal Models. (2023). Hecq, Alain ; Cubadda, Gianluca ; Voisin, Elisa. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:1:p:9-:d:1092261. Full description at Econpapers || Download paper |
2023 | Forecasting Methods of Key Ratios and Their Impact in Company’s Value. (2023). Galanos, Christos ; Artsidakis, Stylianos ; Liapis, Angelos. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:3:p:140-:d:1075564. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Does political risk undermine environment and economic development in Pakistan? Empirical evidence from China–Pakistan economic corridor. (2023). Ashraf, Junaid. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:1:d:10.1007_s10644-022-09434-z. Full description at Econpapers || Download paper |
2023 | Climate risk and investment in equities in Europe: a Panel SVAR approach. (2023). Parla, Fabio ; Cipollini, Andrea. In: Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance). RePEc:mod:wcefin:0093. Full description at Econpapers || Download paper |
2023 | The price and income elasticities of natural gas demand in Azerbaijan: Is there room to export more?. (2023). Gurbanov, Sarvar ; Maharramli, Shahin ; Mukhtarov, Shahriyar ; Mikayilov, Jeyhun I. In: Palgrave Communications. RePEc:pal:palcom:v:10:y:2023:i:1:d:10.1057_s41599-023-01987-2. Full description at Econpapers || Download paper |
2023 | State-level Taylor rule and monetary policy stress. (2023). Gajewski, Pawe ; Duran, Hasan Engin. In: Equilibrium. Quarterly Journal of Economics and Economic Policy. RePEc:pes:ierequ:v:18:y:2023:i:1:p:89-120. Full description at Econpapers || Download paper |
2023 | Estimating and Testing for Functional Coefficient Quantile Cointegrating Regression. (2023). Zheng, Chaowen ; Zhang, Jing ; Li, Haiqi. In: Economics Discussion Papers. RePEc:rdg:emxxdp:em-dp2023-07. Full description at Econpapers || Download paper |
2023 | Detecting Common Bubbles in Multivariate Mixed Causal-noncausal Models. (2023). Hecq, Alain ; Cubadda, Gianluca ; Voisin, Elisa. In: CEIS Research Paper. RePEc:rtv:ceisrp:555. Full description at Econpapers || Download paper |
2023 | Asymmetric effect of financial globalization on carbon emissions in G7 countries: Fresh insight from quantile-on-quantile regression. (2023). Aladenika, Bisola ; Akpan, Usenobong ; Akadiri, Seyi Saint ; Adebayo, Tomiwa Sunday. In: Energy & Environment. RePEc:sae:engenv:v:34:y:2023:i:5:p:1285-1304. Full description at Econpapers || Download paper |
2023 | Analyzing the Drivers of the Shadow Economy for the Case of the CESEE Region. (2023). Gkmenoalu, Korhan ; Amir, Aysel. In: Journal of Economics / Ekonomicky casopis. RePEc:sav:journl:v:71:y:2023:i:2:p:155-181. Full description at Econpapers || Download paper |
2023 | Forecasting binary outcomes in soccer. (2023). Mattera, Raffaele. In: Annals of Operations Research. RePEc:spr:annopr:v:325:y:2023:i:1:d:10.1007_s10479-021-04224-8. Full description at Econpapers || Download paper |
2023 | Identification of causal relationships in non-stationary time series with an information measure: Evidence for simulated and financial data. (2023). Diks, Cees ; Kugiumtzis, Dimitris ; Kyrtsou, Catherine ; Papana, Angeliki. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:3:d:10.1007_s00181-022-02275-9. Full description at Econpapers || Download paper |
2023 | A new quadratic asymmetric error correction model: does size matter?. (2023). Alsamara, Mouyad ; Mrabet, Zouhair ; Mnasri, Ayman. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:1:d:10.1007_s00181-022-02323-4. Full description at Econpapers || Download paper |
2023 | Simultaneous identification of fiscal and monetary policy shocks. (2023). Mansur, Alfan. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:2:d:10.1007_s00181-022-02352-z. Full description at Econpapers || Download paper |
2023 | Penalized leads-and-lags cointegrating regression: a simulation study and two empirical applications. (2023). Neto, David. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:2:d:10.1007_s00181-023-02362-5. Full description at Econpapers || Download paper |
2023 | Linking personal remittance and fossil fuels energy consumption to environmental degradation: evidence from all SAARC countries. (2023). Ali, Hamid ; Ul, Qurat ; Rauf, Fawad ; Wang, Feng ; Rani, Tayyaba. In: Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development. RePEc:spr:endesu:v:25:y:2023:i:8:d:10.1007_s10668-022-02407-2. Full description at Econpapers || Download paper |
2023 | Investment, autonomous demand and long-run capacity utilization: an empirical test for the Euro Area. (2023). Gallo, Ettore ; Barbieri, Maria Cristina. In: Economia Politica: Journal of Analytical and Institutional Economics. RePEc:spr:epolit:v:40:y:2023:i:1:d:10.1007_s40888-022-00291-7. Full description at Econpapers || Download paper |
2023 | Linear and Nonlinear Causal Linkages Between Exports and Growth in Next Eleven Economies. (2023). el Montasser, Ghassen ; Abid, Abir ; Ben-Salha, Ousama. In: Journal of the Knowledge Economy. RePEc:spr:jknowl:v:14:y:2023:i:2:d:10.1007_s13132-022-00958-3. Full description at Econpapers || Download paper |
2023 | Robust and efficient specification tests in Markov-switching autoregressive models. (2023). Chiba, Masaru. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:26:y:2023:i:1:d:10.1007_s11203-022-09277-5. Full description at Econpapers || Download paper |
2023 | Estimating energy demand elasticities for gas exporting countries: a dynamic panel data approach. (2023). Mansourkiaee, Eshagh. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:1:d:10.1007_s43546-022-00373-5. Full description at Econpapers || Download paper |
2023 | A non-Normal framework for price discovery: The independent component based information shares measure. (2023). Zema, Sebastiano Michele. In: LEM Papers Series. RePEc:ssa:lemwps:2023/03. Full description at Econpapers || Download paper |
2023 | Identification of Vector Autoregressive Models with Nonlinear Contemporaneous Structure. (2023). Moneta, Alessio ; Doremus, Nicolas ; Cordoni, Francesco. In: LEM Papers Series. RePEc:ssa:lemwps:2023/07. Full description at Econpapers || Download paper |
2023 | The effects of market integration on pollution: an analysis of EU enlargements. (2023). Klaassen, Franc ; Sommer, Konstantin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20220039. Full description at Econpapers || Download paper |
2023 | Observation-Driven filters for Time-Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics. (2023). Koopman, Siem Jan ; Mingoli, Gabriele ; Blasques, Francisco. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230065. Full description at Econpapers || Download paper |
2023 | Johansen Test with Fourier-Type Smooth Nonlinear Trends in Cointegrating Relations. (2023). Shintani, Mototsugu ; Kurita, Takamitsu. In: CIRJE F-Series. RePEc:tky:fseres:2023cf1216. Full description at Econpapers || Download paper |
2023 | A Truncated Mixture Transition Model for Interval-valued Time Series. (2023). Luo, Yun ; Gonzalez-Rivera, Gloria. In: Working Papers. RePEc:ucr:wpaper:202315. Full description at Econpapers || Download paper |
2023 | Do terms of trade affect economic growth? Robust evidence from India. (2023). Singh, Tarlok. In: Economics of Transition and Institutional Change. RePEc:wly:ectrin:v:31:y:2023:i:2:p:491-521. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | The multifaceted impact of US trade policy on financial markets. (2023). Menkhoff, Lukas ; Boer, Lukas ; Rieth, Malte. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:3:p:388-406. Full description at Econpapers || Download paper |
2023 | Environmental sustainability in South Africa: Understanding the criticality of economic policy uncertainty, fiscal decentralization, and green innovation. (2023). Muchapondwa, Edwin ; Udeagha, Maxwell Chukwudi. In: Sustainable Development. RePEc:wly:sustdv:v:31:y:2023:i:3:p:1638-1651. Full description at Econpapers || Download paper |
2023 | Die internationale Integration der Geldmärkte in den mittel- und osteuropäischen Beitrittsländern: Abweichungen von der gedeckten Zinsparität, Kapitalverkehrskontrollen und Ineffizienzen des Finan. (2003). JOCHEM, Axel ; Herrmann, Sabine. In: Discussion Paper Series 1: Economic Studies. RePEc:zbw:bubdp1:4202. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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Year | Title | Type | Cited |
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2008 | Parameter estimation in nonlinear AR-GARCH models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 19 |
2011 | PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS.(2011) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | article | |
2008 | Parameter Estimation in Nonlinear AR-GARCH Models.(2008) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
2010 | Parameter estimation in nonlinear AR–GARCH models.(2010) In: Koç University-TUSIAD Economic Research Forum Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
2008 | Parameter estimation in nonlinear AR-GARCH models.(2008) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
2015 | Identification and estimation of non-Gaussian structural vector autoregressions In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 91 |
2017 | Identification and estimation of non-Gaussian structural vector autoregressions.(2017) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 91 | article | |
2001 | Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes In: CeNDEF Workshop Papers, January 2001. [Citation analysis] | paper | 26 |
2003 | Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes.(2003) In: Journal of Financial Econometrics. [Citation analysis] This paper has nother version. Agregated cites: 26 | article | |
2000 | Modeling the US short-term interest rate by mixture autoregressive processes.(2000) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
2017 | Testing for observation-dependent regime switching in mixture autoregressive models In: Papers. [Full Text][Citation analysis] | paper | 6 |
2021 | Testing for observation-dependent regime switching in mixture autoregressive models.(2021) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2018 | A mixture autoregressive model based on Students $t$-distribution In: Papers. [Full Text][Citation analysis] | paper | 1 |
2023 | A mixture autoregressive model based on Student’s t–distribution.(2023) In: Communications in Statistics - Theory and Methods. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2019 | Stationarity and ergodicity of vector STAR models In: Papers. [Full Text][Citation analysis] | paper | 1 |
2020 | Stationarity and ergodicity of vector STAR models.(2020) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2020 | Subgeometrically ergodic autoregressions In: Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS.(2022) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2019 | Subgeometric ergodicity and $\beta$-mixing In: Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity In: Papers. [Full Text][Citation analysis] | paper | 0 |
1999 | Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 17 |
2000 | Testing for the Cointegrating Rank of a VAR Process with Structural Shifts. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 211 |
2001 | Testing for the cointegrating rank of a VAR process with structural shifts.(2001) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 211 | paper | |
2002 | Threshold Autoregressions for Strongly Autocorrelated Time Series. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 15 |
2000 | Threshold Autoregression for Strongly Autocorrelated Time Series..(2000) In: University of Helsinki, Department of Economics. [Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
2007 | A Multivariate Generalized Orthogonal Factor GARCH Model In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 75 |
2005 | A Multivariate Generalized Orthogonal Factor GARCH Model.(2005) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 75 | paper | |
2008 | Introduction to Modern Time Series Analysis by Gebhard Kirchgässner, Jürgen Wolters In: International Statistical Review. [Full Text][Citation analysis] | article | 0 |
1996 | TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 1 |
2000 | Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 25 |
2002 | Comparison of unit root tests for time series with level shifts In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 213 |
2002 | Comparison of Unit Root Tests for Time Series with Level Shifts.(2002) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 213 | paper | |
1999 | Comparison of unit root tests for time series with level shifts.(1999) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 213 | paper | |
2003 | Reducing size distortions of parametric stationarity tests In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 6 |
2000 | Reducing size distortions of parametric stationarity tests.(2000) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2008 | Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 25 |
2006 | Testing 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 nother version. Agregated cites: 25 | paper | |
2006 | Testing 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 nother version. Agregated cites: 25 | paper | |
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2006 | Stability of nonlinear AR-GARCH models.(2006) In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
2007 | Stability of nonlinear AR-GARCH models.(2007) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
2015 | A Gaussian Mixture Autoregressive Model for Univariate Time Series In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 19 |
2016 | Testing for a Unit Root in Noncausal Autoregressive Models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 10 |
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2001 | Test 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 nother version. Agregated cites: 84 | paper | |
2011 | GMM Estimation with Non?causal Instruments In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 7 |
2009 | GMM Estimation with Noncausal Instruments.(2009) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2011 | Noncausal Autoregressions for Economic Time Series In: Journal of Time Series Econometrics. [Full Text][Citation analysis] | article | 67 |
2010 | Noncausal autoregressions for economic time series.(2010) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 67 | paper | |
1995 | Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems In: Econometric Theory. [Full Text][Citation analysis] | article | 34 |
1996 | Infinite-Order Cointegrated Vector Autoregressive Processes In: Econometric Theory. [Full Text][Citation analysis] | article | 30 |
1999 | LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS In: Econometric Theory. [Full Text][Citation analysis] | article | 28 |
1997 | Local 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 nother version. Agregated cites: 28 | paper | |
2000 | TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT In: Econometric Theory. [Full Text][Citation analysis] | article | 187 |
1998 | Testing for the cointegrating rank of a VAR process with an intercept.(1998) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 187 | paper | |
2001 | CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS In: Econometric Theory. [Full Text][Citation analysis] | article | 14 |
2001 | STATISTICAL INFERENCE IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS In: Econometric Theory. [Full Text][Citation analysis] | article | 8 |
2002 | TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME In: Econometric Theory. [Full Text][Citation analysis] | article | 188 |
2000 | Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time.(2000) In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 188 | paper | |
1999 | Testing 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 nother version. Agregated cites: 188 | paper | |
2004 | COINTEGRATING SMOOTH TRANSITION REGRESSIONS In: Econometric Theory. [Full Text][Citation analysis] | article | 99 |
2006 | BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING In: Econometric Theory. [Full Text][Citation analysis] | article | 14 |
2008 | STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION In: Econometric Theory. [Full Text][Citation analysis] | article | 19 |
2008 | ERGODICITY, 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] | article | 46 |
2007 | Ergodicity, 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. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 46 | paper | |
2007 | Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models.(2007) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 46 | paper | |
2010 | TESTS FOR NONLINEAR COINTEGRATION In: Econometric Theory. [Full Text][Citation analysis] | article | 36 |
2013 | NONCAUSAL VECTOR AUTOREGRESSION In: Econometric Theory. [Full Text][Citation analysis] | article | 47 |
2010 | Noncausal Vector Autoregression.(2010) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | paper | |
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1992 | Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation In: Econometric Theory. [Full Text][Citation analysis] | article | 214 |
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1993 | Continuous 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] | article | 8 |
1993 | Point Optimal Tests for Testing the Order of Differencing in ARIMA Models In: Econometric Theory. [Full Text][Citation analysis] | article | 18 |
1993 | A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root In: Econometric Theory. [Full Text][Citation analysis] | article | 0 |
2018 | Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] | paper | 7 |
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2004 | Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time In: Econometrica. [Full Text][Citation analysis] | article | 66 |
2001 | Testing for the cointegrating rank of a VAR process with level shift at unknown time.(2001) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 66 | paper | |
2004 | A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns In: Econometric Society 2004 North American Summer Meetings. [Full Text][Citation analysis] | paper | 3 |
2000 | Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 69 |
2003 | Comparison of tests for the cointegrating rank of a VAR process with a structural shift.(2003) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 69 | article | |
2000 | Comparison of tests for the cointegrating rank of a VAR process with a structural shift.(2000) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 69 | paper | |
2009 | Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term In: Econometrics Journal. [Full Text][Citation analysis] | article | 12 |
2008 | Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term.(2008) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
2001 | Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process In: Econometrics Journal. [Citation analysis] | article | 105 |
2000 | Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process.(2000) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 105 | paper | |
2004 | Testing linearity in cointegrating smooth transition regressions In: Econometrics Journal. [Full Text][Citation analysis] | article | 87 |
2005 | Non-linear GARCH models for highly persistent volatility In: Econometrics Journal. [Full Text][Citation analysis] | article | 27 |
2002 | Nonlinear GARCH models for highly persistent volatility.(2002) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
2014 | Forecasting with a noncausal VAR model In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 10 |
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2006 | Why is it so difficult to uncover the risk-return tradeoff in stock returns? In: Economics Letters. [Full Text][Citation analysis] | article | 33 |
2005 | Stability results for nonlinear error correction models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 26 |
2006 | Residual autocorrelation testing for vector error correction models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 29 |
2004 | Residual Autocorrelation Testing for Vector Error Correction Models.(2004) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
2016 | Gaussian mixture vector autoregression In: Journal of Econometrics. [Full Text][Citation analysis] | article | 22 |
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1997 | Impulse response analysis in infinite order cointegrated vector autoregressive processes In: Journal of Econometrics. [Full Text][Citation analysis] | article | 32 |
1995 | Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes.(1995) In: SFB 373 Discussion Papers. [Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
1997 | Testing cointegration in infinite order vector autoregressive processes In: Journal of Econometrics. [Full Text][Citation analysis] | article | 68 |
2000 | Testing for the cointegrating rank of a VAR process with a time trend In: Journal of Econometrics. [Full Text][Citation analysis] | article | 209 |
1997 | Testing for the Cointegrating Rank of a VAR Process with a Time Trend.(1997) In: SFB 373 Discussion Papers. [Citation analysis] This paper has nother version. Agregated cites: 209 | paper | |
2012 | Optimal forecasting of noncausal autoregressive time series In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 41 |
2010 | Optimal Forecasting of Noncausal Autoregressive Time Series.(2010) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 41 | paper | |
2013 | Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 7 |
2012 | Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity.(2012) In: Koç University-TUSIAD Economic Research Forum Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
1995 | Dependent versions of a central limit theorem for the squared length of a sample mean In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
2010 | A note on the geometric ergodicity of a nonlinear AR-ARCH model In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 2 |
2010 | A note on the geometric ergodicity of a nonlinear AR–ARCH model.(2010) In: Koç University-TUSIAD Economic Research Forum Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2004 | Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift In: Economics Working Papers. [Full Text][Citation analysis] | paper | 16 |
2005 | Modeling Conditional Skewness in Stock Returns In: Economics Working Papers. [Full Text][Citation analysis] | paper | 15 |
2007 | Modeling Conditional Skewness in Stock Returns.(2007) In: The European Journal of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | article | |
2008 | Modeling Expectations with Noncausal Autoregressions In: Economics Working Papers. [Full Text][Citation analysis] | paper | 7 |
2008 | Modeling Expectations with Noncausal Autoregressions.(2008) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2012 | Testing for Predictability in a Noninvertible ARMA Model In: Koç University-TUSIAD Economic Research Forum Working Papers. [Full Text][Citation analysis] | paper | 0 |
2012 | Testing for predictability in a noninvertible ARMA model.(2012) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2013 | Testing for Linear and Nonlinear Predictability of Stock Returns In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 4 |
2012 | Supplementary appendix to noncausal vector autoregression In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
1999 | Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes In: Econometric Reviews. [Full Text][Citation analysis] | article | 19 |
2001 | A REVIEW OF SYSTEMS COINTEGRATION TESTS In: Econometric Reviews. [Full Text][Citation analysis] | article | 66 |
1998 | A review of systemscointegration tests.(1998) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 66 | paper | |
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1995 | Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes In: SFB 373 Discussion Papers. [Citation analysis] | paper | 0 |
1997 | Trend adjustment prior to testing for the cointegrating rank of a VAR process In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
1997 | Order selection in testing for the cointegrating rank of a VAR process In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
1999 | Testing for unit roots in time series with level shifts In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
1999 | Unit root tests for time series with a structural break: When the break point is known In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
2000 | Cointegrating smooth transition regressions with applications to the Asian currency crisis In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2001 | Unit root tests in the presence of innovational outliers In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2001 | Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
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