24
H index
54
i10 index
1995
Citations
University of Essex | 24 H index 54 i10 index 1995 Citations RESEARCH PRODUCTION: 142 Articles 86 Papers 1 Chapters RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Robert Taylor. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2021 | Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models. (2021). Kruse-Becher, Robinson ; Demetrescu, Matei. In: CREATES Research Papers. RePEc:aah:create:2021-07. Full description at Econpapers || Download paper | |
2022 | Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02. Full description at Econpapers || Download paper | |
2022 | Truncated sum-of-squares estimation of fractional time series models with generalized power law trend. (2022). Nielsen, Morten ; Hualde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-07. Full description at Econpapers || Download paper | |
2021 | Are coffee farmers worse off in the long run?. (2021). Ghoshray, Atanu. In: 94th Annual Conference, March 29-30, 2021, Warwick, UK (Hybrid). RePEc:ags:aesc21:311084. Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2021 | Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices. (2021). Lucchetti, Riccardo (Jack) ; Casoli, Chiara. In: FEEM Working Papers. RePEc:ags:feemwp:312367. Full description at Econpapers || Download paper | |
2021 | The Effect of Amazon Deforestationon Global Climate Variables. (2021). Cornejo, Magdalena ; Ahumada, Hildegart. In: Working Papers. RePEc:aoz:wpaper:94. Full description at Econpapers || Download paper | |
2021 | “Detecting multiple level shifts in bounded time series”. (2021). Carrion-i-Silvestre, Josep ; Gadea, Maria Dolores. In: AQR Working Papers. RePEc:aqr:wpaper:202106. Full description at Econpapers || Download paper | |
2021 | Unit-root test within a threshold ARMA framework. (2020). Tong, Howell ; Goracci, Greta ; Giannerini, Simone ; Chan, Kung-Sik. In: Papers. RePEc:arx:papers:2002.09968. Full description at Econpapers || Download paper | |
2021 | Revealing Cluster Structures Based on Mixed Sampling Frequencies. (2020). Ahn, Hie Joo ; Liu, Yun ; Rho, Yeonwoo. In: Papers. RePEc:arx:papers:2004.09770. Full description at Econpapers || Download paper | |
2021 | New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01191. Full description at Econpapers || Download paper | |
2021 | Cointegration in large VARs. (2020). Gorin, Vadim ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2006.14179. Full description at Econpapers || Download paper | |
2021 | COVID-19: Tail Risk and Predictive Regressions. (2020). Skrobotov, Anton ; Semenov, Alexander ; Ibragimov, Rustam ; Distaso, Walter. In: Papers. RePEc:arx:papers:2009.02486. Full description at Econpapers || Download paper | |
2021 | Time-Transformed Test for the Explosive Bubbles under Non-stationary Volatility. (2020). Skrobotov, Anton ; Tsarev, Alexey ; Kurozumi, Eiji. In: Papers. RePEc:arx:papers:2012.13937. Full description at Econpapers || Download paper | |
2021 | Bootstrapping Non-Stationary Stochastic Volatility. (2021). Georgiev, Iliyan ; Rahbek, Anders ; Cavaliere, Giuseppe ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2101.03562. Full description at Econpapers || Download paper | |
2022 | Predictive Quantile Regression with Mixed Roots and Increasing Dimensions. (2021). Shin, Youngki ; Lee, Ji Hyung ; Fan, Rui. In: Papers. RePEc:arx:papers:2101.11568. Full description at Econpapers || Download paper | |
2021 | Testing for Nonlinear Cointegration under Heteroskedasticity. (2021). Massing, Till ; Hanck, Christoph. In: Papers. RePEc:arx:papers:2102.08809. Full description at Econpapers || Download paper | |
2021 | Standing on the Shoulders of Machine Learning: Can We Improve Hypothesis Testing?. (2021). Cornwall, Gary ; Sauley, Beau ; Chen, Jeff . In: Papers. RePEc:arx:papers:2103.01368. Full description at Econpapers || Download paper | |
2021 | Bootstrap Inference for Hawkes and General Point Processes. (2021). Cavaliere, Giuseppe ; Staerk-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE. In: Papers. RePEc:arx:papers:2104.03122. Full description at Econpapers || Download paper | |
2021 | Changepoint detection in random coefficient autoregressive models. (2021). Horvath, Lajos ; Trapani, Lorenzo. In: Papers. RePEc:arx:papers:2104.13440. Full description at Econpapers || Download paper | |
2021 | Inference in heavy-tailed non-stationary multivariate time series. (2021). Cavaliere, Giuseppe ; Barigozzi, Matteo ; Trapani, Lorenzo. In: Papers. RePEc:arx:papers:2107.13894. Full description at Econpapers || Download paper | |
2021 | Money Creation and Banking: Theory and Evidence. (2021). Lee, Heon. In: Papers. RePEc:arx:papers:2109.15096. Full description at Econpapers || Download paper | |
2022 | On the asymptotic behavior of bubble date estimators. (2021). Skrobotov, Anton ; Kurozumi, Eiji. In: Papers. RePEc:arx:papers:2110.04500. Full description at Econpapers || Download paper | |
2022 | Testing for long-range dependence in non-stationary time series time-varying regression. (2021). Wu, Weichi ; Bai, Lujia. In: Papers. RePEc:arx:papers:2110.08089. Full description at Econpapers || Download paper | |
2022 | Asymptotics of Cointegration Tests for High-Dimensional VAR($k$). (2022). Bykhovskaya, Anna ; Gorin, Vadim. In: Papers. RePEc:arx:papers:2202.07150. Full description at Econpapers || Download paper | |
2022 | On the dependence structure of the trade/no trade sequence of illiquid assets. (2022). Raissi, Hamdi. In: Papers. RePEc:arx:papers:2203.08223. Full description at Econpapers || Download paper | |
2022 | Cryptocurrency Bubble Detection: A New Stock Market Dataset, Financial Task & Hyperbolic Models. (2022). Chava, Sudheer ; Nanda, Vikram ; Rosso, Paolo ; Mittal, Vivek ; Agarwal, Shivam ; Sawhney, Ramit. In: Papers. RePEc:arx:papers:2206.06320. Full description at Econpapers || Download paper | |
2022 | Testing for explosive bubbles: a review. (2022). Skrobotov, Anton. In: Papers. RePEc:arx:papers:2207.08249. Full description at Econpapers || Download paper | |
2022 | A Residuals-Based Nonparametric Variance Ratio Test for Cointegration. (2022). Reichold, Karsten. In: Papers. RePEc:arx:papers:2211.06288. Full description at Econpapers || Download paper | |
2022 | Fractional integration and cointegration. (2022). Nielsen, Morten ; Hualde, Javier. In: Papers. RePEc:arx:papers:2211.10235. Full description at Econpapers || Download paper | |
2022 | The Rising Interconnectedness of the Insurance Sector. (2022). Jourde, Tristan. In: Working papers. RePEc:bfr:banfra:857. Full description at Econpapers || Download paper | |
2021 | Evaluating Forecast Performance with State Dependence. (2021). Sekhposyan, Tatevik ; Rossi, Barbara ; Odendahl, Florens. In: Working Papers. RePEc:bge:wpaper:1295. Full description at Econpapers || Download paper | |
2022 | Uniform and Distribution-Free Inference with General Autoregressive Processes. (2022). Petrova, Katerina ; Magdalinos, Tassos. In: Working Papers. RePEc:bge:wpaper:1344. Full description at Econpapers || Download paper | |
2022 | The prices of renewable commodities: a robust stationarity analysis. (2022). Presno, Maria Jose ; Landajo, Manuel. In: Australian Journal of Agricultural and Resource Economics. RePEc:bla:ajarec:v:66:y:2022:i:2:p:447-470. Full description at Econpapers || Download paper | |
2021 | Bootstrap tests for structural breaks when the regressors and the serially correlated error term are unstable. (2021). Lee, Dongjin. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:2:p:212-229. Full description at Econpapers || Download paper | |
2022 | Persistence of investor sentiment and market mispricing. (2022). Eshraghi, Arman ; Danbolt, JO ; Sakkas, Nikolaos ; Han, Xiao. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:3:p:617-640. Full description at Econpapers || Download paper | |
2022 | The rising interconnectedness of the insurance sector. (2022). Jourde, Tristan. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:2:p:397-425. Full description at Econpapers || Download paper | |
2021 | Robust discrimination between long?range dependence and a change in mean. (2021). Gerstenberger, Carina. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:1:p:34-62. Full description at Econpapers || Download paper | |
2021 | Unit root testing with slowly varying trends. (2021). Otto, Sven. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:1:p:85-106. Full description at Econpapers || Download paper | |
2021 | Asymptotic Behavior of Delay Times of Bubble Monitoring Tests. (2021). Kurozumi, Eiji. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:3:p:314-337. Full description at Econpapers || Download paper | |
2022 | On causal and non?causal cointegrated vector autoregressive time series. (2022). Swensen, Anders Rygh ; RyghSwensen, Anders. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:2:p:178-196. Full description at Econpapers || Download paper | |
2022 | Structural change tests under heteroskedasticity: Joint estimation versus two?steps methods. (2022). Yamamoto, Yohei ; Perron, Pierre. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:3:p:389-411. Full description at Econpapers || Download paper | |
2022 | On cointegration for processes integrated at different frequencies. (2022). del Barrio Castro, Tomás ; Cubadda, Gianluca ; Osborn, Denise R. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:3:p:412-435. Full description at Econpapers || Download paper | |
2022 | Johansen?type cointegration tests with a Fourier function. (2022). Lee, Junsoo ; Pascalau, Razvan ; Lu, Yan ; Nazlioglu, Saban. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:5:p:828-852. Full description at Econpapers || Download paper | |
2021 | A Unified test for the Intercept of a Predictive Regression Model. (2021). Rao, Yao ; Liu, Yuzi ; Lu, Fucai. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:2:p:571-588. Full description at Econpapers || Download paper | |
2021 | Discovering Specific Common Trends in a Large Set of Disaggregates: Statistical Procedures, their Properties and an Empirical Application. (2021). Carlomagno, Guillermo ; Espasa, Antoni. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:3:p:641-662. Full description at Econpapers || Download paper | |
2021 | Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions. (2021). Pitarakis, Jean-Yves ; Gonzalo, Jesus ; da Silva, Anibal Emiliano. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:3:p:713-741. Full description at Econpapers || Download paper | |
2021 | A Re?Examination of Inflation Persistence Dynamics in OECD Countries: A New Approach. (2021). Rodrigues, Paulo ; Nicolau, Jo o ; Zsurkis, Gabriel. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:4:p:935-959. Full description at Econpapers || Download paper | |
2022 | Testing for Co?explosive Behaviour in Financial Time Series. (2022). Leybourne, Stephen J ; Harvey, David I ; Evripidou, Andria C ; Sollis, Robert. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:3:p:624-650. Full description at Econpapers || Download paper | |
2021 | Detecting early or late changes in linear models with heteroscedastic errors. (2021). Horvath, Lajos ; Rice, Gregory ; Miller, Curtis. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:48:y:2021:i:2:p:577-609. Full description at Econpapers || Download paper | |
2022 | Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors. (2022). Canepa, Alessandra ; Alessandra, Canepa. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:14:y:2022:i:1:p:51-85:n:1. Full description at Econpapers || Download paper | |
2022 | Econometric Analysis of Asset Price Bubbles. (2022). Phillips, Peter ; Shi, Shuping. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2331. Full description at Econpapers || Download paper | |
2022 | Robust Testing for Explosive Behavior with Strongly Dependent Errors. (2022). , Peter ; PEter, ; Yu, Jun ; JunYu, ; Lui, Yiu Lim. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2350. Full description at Econpapers || Download paper | |
2021 | Testing Purchasing Power Parity in Cambodia: Time-Varying Trade Weights in Constructing Real Effective Exchange Rate. (2021). Lim, Siphat. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2021-03-16. Full description at Econpapers || Download paper | |
2021 | 50 years of capital mobility in the Eurozone: breaking the Feldstein-Horioka Puzzle. (2021). Muoz, Alejandro ; Camarero, Mariam ; Tamarit, Cecilio. In: Working Papers. RePEc:eec:wpaper:2102. Full description at Econpapers || Download paper | |
2022 | Testing explosive bubbles with time-varying volatility: The case of the Spanish public debt, 1850–2021. (2022). Prats, Mara A ; Esteve, Vicente. In: Working Papers. RePEc:eec:wpaper:2205. Full description at Econpapers || Download paper | |
2021 | U.S. stock prices and the dot.com-bubble: Can dividend policy rescue the efficient market hypothesis?. (2021). Wegener, Christoph ; Vigne, Samuel A ; Klein, Tony ; Basse, Tobias. In: Journal of Corporate Finance. RePEc:eee:corfin:v:67:y:2021:i:c:s0929119921000122. Full description at Econpapers || Download paper | |
2022 | Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors. (2022). Zhang, Yanfen ; Li, Muyi. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:165:y:2022:i:c:s0167947321001559. Full description at Econpapers || Download paper | |
2021 | The asymmetric effects of COVID19 on wholesale fuel prices in Australia. (2021). Moradi-Motlagh, Amir ; Nguyen, Jeremy ; Ghazanfari, Arezoo ; Valadkhani, Abbas. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:71:y:2021:i:c:p:255-266. Full description at Econpapers || Download paper | |
2021 | Convergence in OPEC carbon dioxide emissions: Evidence from new panel stationarity tests with factors and breaks. (2021). Payne, James E ; Nazlioglu, Saban ; Karul, Cagin ; Rayos-Velazquez, Marco ; Lee, Jun Soo. In: Economic Modelling. RePEc:eee:ecmode:v:100:y:2021:i:c:s0264999321000870. Full description at Econpapers || Download paper | |
2022 | Unit roots in lower-bounded series with outliers. (2022). Alanya-Beltran, Willy. In: Economic Modelling. RePEc:eee:ecmode:v:115:y:2022:i:c:s0264999322002279. Full description at Econpapers || Download paper | |
2021 | Global convergence of inflation rates. (2021). Lee, Chien-Chiang ; Liu, Tie-Ying. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001212. Full description at Econpapers || Download paper | |
2022 | Evolving United States stock market volatility: The role of conventional and unconventional monetary policies. (2022). GUPTA, RANGAN ; Balcilar, Mehmet ; Ji, Qiang ; Plakandaras, Vasilios. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000249. Full description at Econpapers || Download paper | |
2021 | Recursive adjusted unit root tests under non-stationary volatility. (2021). Wen, Kuangyu ; Li, Yanglin ; Wang, Shaoping. In: Economics Letters. RePEc:eee:ecolet:v:205:y:2021:i:c:s0165176521002184. Full description at Econpapers || Download paper | |
2022 | On robust testing for trend. (2022). Skrobotov, Anton. In: Economics Letters. RePEc:eee:ecolet:v:212:y:2022:i:c:s0165176522000040. Full description at Econpapers || Download paper | |
2021 | Estimating multiple breaks in nonstationary autoregressive models. (2021). CHONG, Terence Tai Leung ; Du, Lingjie ; Pang, Tianxiao. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:277-311. Full description at Econpapers || Download paper | |
2021 | Bootstrapping non-stationary stochastic volatility. (2021). Rahbek, Anders ; Cavaliere, Giuseppe ; Georgiev, Iliyan ; Boswijk, Peter H. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:161-180. Full description at Econpapers || Download paper | |
2021 | Continuous record Laplace-based inference about the break date in structural change models. (2021). Perron, Pierre ; Casini, Alessandro. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:3-21. Full description at Econpapers || Download paper | |
2021 | Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model. (2021). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:2:p:306-329. Full description at Econpapers || Download paper | |
2022 | Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models. (2022). Cavaliere, Giuseppe ; Rahbek, Anders ; Pedersen, Rasmus Sondergaard ; Nielsen, Heino Bohn . In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:241-263. Full description at Econpapers || Download paper | |
2022 | Residual-augmented IVX predictive regression. (2022). Rodrigues, Paulo ; Demetrescu, Matei. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:2:p:429-460. Full description at Econpapers || Download paper | |
2021 | Aggregation of Seasonal Long-Memory Processes. (2021). del Barrio Castro, Tomás ; Rachinger, Heiko. In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:95-106. Full description at Econpapers || Download paper | |
2021 | Bootstrap seasonal unit root test under periodic variation. (2021). Politis, Dimitris N ; Zou, Nan. In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:1-21. Full description at Econpapers || Download paper | |
2021 | Fixed-bandwidth CUSUM tests under long memory. (2021). Leschinski, Christian ; Wenger, Kai. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:46-61. Full description at Econpapers || Download paper | |
2022 | Testing predictability of stock returns under possible bubbles. (2022). Yang, Zihui ; Long, Wei. In: Journal of Empirical Finance. RePEc:eee:empfin:v:68:y:2022:i:c:p:246-260. Full description at Econpapers || Download paper | |
2022 | Financial development, renewable energy and CO2 emission in G7 countries: New evidence from non-linear and asymmetric analysis. (2022). Sinha, Avik ; Ullah, Saif ; Hassan, Arshad ; Sheraz, Muhammad ; Xu, Deyi. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001669. Full description at Econpapers || Download paper | |
2021 | Exogeneity in climate econometrics. (2021). Pretis, Felix. In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s014098832100027x. Full description at Econpapers || Download paper | |
2021 | Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis. (2021). Tsagkanos, Athanasios ; Floros, Christos ; Konstantatos, Christoforos ; Gkillas, Konstantinos. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000491. Full description at Econpapers || Download paper | |
2021 | Can digital financial inclusion promote Chinas economic growth?. (2021). Hsu, Yen ; Zhang, Zhiqiang ; Wu, Weilong ; Luan, Lin ; Liu, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002167. Full description at Econpapers || Download paper | |
2021 | International stock return predictability. (2021). Smith, Simon C. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002805. Full description at Econpapers || Download paper | |
2022 | Multivariate long memory structure in the cryptocurrency market: The impact of COVID-19. (2022). Demir, Ender ; Bhandari, Avishek ; Assaf, Ata ; Charif, Husni. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001004. Full description at Econpapers || Download paper | |
2021 | When does the stock market recover from a crisis?. (2021). Zhao, Qing ; Wang, Shaoping ; Li, Yanglin. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319314448. Full description at Econpapers || Download paper | |
2022 | How to identify the different phases of stock market bubbles statistically?. (2022). Horvath, Lajos ; Liu, Zhenya. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s154461232100369x. Full description at Econpapers || Download paper | |
2021 | Emerging stock market exuberance and international short-term flows. (2021). Gözgör, Giray ; Gozgor, Giray ; Yan, Cheng ; Wang, Xichen. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121001323. Full description at Econpapers || Download paper | |
2022 | Comparing probabilistic forecasts of the daily minimum and maximum temperature. (2022). Taylor, James W ; Meng, Xiaochun. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:267-281. Full description at Econpapers || Download paper | |
2022 | Forecasting: theory and practice. (2022). Shang, Han Lin ; Rubaszek, Michał ; Martinez, Andrew ; Grossi, Luigi ; Franses, Philip Hans ; Fiszeder, Piotr ; Clements, Michael ; Castle, Jennifer ; Carnevale, Claudio ; Kolassa, Stephan ; Thorarinsdottir, Thordis ; Guo, Xiaojia ; Reade, James J ; Petropoulos, Fotios ; Nikolopoulos, Konstantinos ; Koehler, Anne B ; Thomakos, Dimitrios ; Browell, Jethro ; Rapach, David E ; Modis, Theodore ; Kang, Yanfei ; Tashman, Len ; Boylan, John E ; Gunter, Ulrich ; Ramos, Patricia ; Ellison, Joanne ; Meeran, Sheik ; Richmond, Victor ; Talagala, Thiyanga S ; Bijak, Jakub ; Guidolin, Massimo ; Pinson, Pierre ; Dokumentov, Alexander ; Jeon, Jooyoung ; Bessa, Ricardo J ; Pedregal, Diego J ; de Baets, Shari ; Ziel, Florian ; Syntetos, Aris A ; Bergmeir, Christoph | |
2021 | Stock merger activity and industry performance. (2021). Vijh, Anand M ; Meng, BO. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:129:y:2021:i:c:s0378426621001199. Full description at Econpapers || Download paper | |
2021 | The interaction of actual and fundamental house prices: A general model with an application to Sweden. (2021). Sorensen, Peter Birch ; Bergman, Michael U. In: Journal of Housing Economics. RePEc:eee:jhouse:v:54:y:2021:i:c:s1051137721000425. Full description at Econpapers || Download paper | |
2021 | Currency returns and downside risk: Debt, volatility, and the gap from benchmark values. (2021). Stillwagon, Josh ; Goldberg, Michael D ; Cavusoglu, Nevin. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:68:y:2021:i:c:s0164070421000161. Full description at Econpapers || Download paper | |
2021 | Unit roots in real primary commodity prices? A meta-analysis of the Grilli and Yang data set. (2021). Winkelried, Diego. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:23:y:2021:i:c:s2405851321000027. Full description at Econpapers || Download paper | |
2022 | Gold as a financial instrument. (2022). Tan, David ; Shi, Shuping ; Gomis-Porqueras, Pedro. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:27:y:2022:i:c:s2405851321000519. Full description at Econpapers || Download paper | |
2022 | Bubbles in US gasoline prices: Assessing the role of hurricanes and anti–price gouging laws. (2022). Oladosu, Gbadebo. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:27:y:2022:i:c:s2405851321000520. Full description at Econpapers || Download paper | |
2021 | Detection of bubbles in WTI, brent, and Dubai oil prices: A novel double recursive algorithm. (2021). Mokni, Khaled ; Ajmi, Ahdi Noomen ; Hammoudeh, Shawkat. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309855. Full description at Econpapers || Download paper | |
2021 | Impact of COVID-19 pandemic on crude oil prices: Evidence from Econophysics approach. (2021). ben Jabeur, Sami ; Serret, Vanessa ; Mefteh-Wali, Salma ; Gharib, Cheima. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721004013. Full description at Econpapers || Download paper | |
2022 | Financial development and natural resources. Is there a stock market resource curse?. (2022). , Faisal ; Ramakrishnan, Suresh ; Ali, Adnan. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721004657. Full description at Econpapers || Download paper | |
2022 | An analysis of the interactions between daily electricity demand levels in France. (2022). Marques, Antonio Cardoso ; Pereira, Diogo Santos. In: Utilities Policy. RePEc:eee:juipol:v:76:y:2022:i:c:s0957178722000339. Full description at Econpapers || Download paper | |
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2021 | Stock price bubbles, leverage and systemic risk. (2021). Qu, Yuxuan ; Liu, Yanzhen ; Chen, Lingling. In: International Review of Economics & Finance. RePEc:eee:reveco:v:74:y:2021:i:c:p:405-417. Full description at Econpapers || Download paper | |
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2010 | Robust methods for detecting multiple level breaks in autocorrelated time series In: Journal of Econometrics. [Full Text][Citation analysis] | article | 35 |
2010 | Robust methods for detecting multiple level breaks in autocorrelated time series.(2010) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 35 | paper | |
2011 | Robust methods for detecting multiple level breaks in autocorrelated time series.(2011) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 35 | paper | |
2012 | Unit root testing under a local break in trend In: Journal of Econometrics. [Full Text][Citation analysis] | article | 7 |
2010 | Unit root testing under a local break in trend.(2010) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2011 | Unit root testing under a local break in trend.(2011) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2012 | Testing for unit roots in the presence of uncertainty over both the trend and initial condition In: Journal of Econometrics. [Full Text][Citation analysis] | article | 19 |
2008 | Testing for unit roots in the presence of uncertainty over both the trend and initial condition.(2008) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
2013 | Testing for a break in trend when the order of integration is unknown In: Journal of Econometrics. [Full Text][Citation analysis] | article | 13 |
2013 | Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey–Fuller statistics In: Journal of Econometrics. [Full Text][Citation analysis] | article | 41 |
2014 | Testing for seasonal unit roots by frequency domain regression In: Journal of Econometrics. [Full Text][Citation analysis] | article | 5 |
2010 | Testing for seasonal unit roots by frequency domain regression.(2010) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2016 | Inference on co-integration parameters in heteroskedastic vector autoregressions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 21 |
2013 | Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions.(2013) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
2013 | Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions.(2013) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
2016 | Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point In: Journal of Econometrics. [Full Text][Citation analysis] | article | 5 |
2016 | Tests of the Co-integration Rank in VAR Models in the Presence of a Possible Break in Trend at an Unknown Point.(2016) In: Essex Finance Centre Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2018 | Testing for parameter instability in predictive regression models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 9 |
2020 | Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
2020 | Level Shift Estimation in the Presence of Non-stationary Volatility with an Application to the Unit Root Testing Problem.(2020) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2021 | Simple tests for stock return predictability with good size and power properties In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
2022 | Testing for episodic predictability in stock returns In: Journal of Econometrics. [Full Text][Citation analysis] | article | 3 |
2019 | Testing for Episodic Predictability in Stock Returns.(2019) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2014 | Robust tests for a linear trend with an application to equity indices In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 0 |
2016 | Special issue of the Journal of Empirical Finance Guest Editors introduction In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 0 |
2016 | Tests for explosive financial bubbles in the presence of non-stationary volatility In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 62 |
1997 | On the practical problems of computing seasonal unit root tests In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 10 |
2007 | New Introduction to Multiple Time Series Analysis, Helmut Lutkepohl. Springer-Verlag (2005), ISBN 3-540-40172-5 (hardcover), 149.95 [euro], ISBN 3-540-26239-3 (softcover), 54.95 [euro], 764 pages. In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 2 |
1999 | Testing for Stochastic Unit Roots - Some Monte Carlo evidence In: Econometric Institute Research Papers. [Citation analysis] | paper | 2 |
2016 | Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2019 | Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility.(2019) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
2010 | Determination of the Number of Common Stochastic Trends Under Conditional Heteroskedasticity/Determinación del número de tendencias estocásticas comunes bajo heteroscedasticidad condicional In: Estudios de Economia Aplicada. [Full Text][Citation analysis] | article | 0 |
2012 | The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests In: Economics Discussion Paper Series. [Full Text][Citation analysis] | paper | 11 |
2016 | The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests.(2016) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | article | |
2007 | Testing for a unit root when uncertain about the trend [Revised to become 07/03 above] In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2008 | Testing for unit roots and the impact of quadratic trends, with an application to relative primary commodity prices In: Discussion Papers. [Full Text][Citation analysis] | paper | 16 |
2011 | Testing for Unit Roots and the Impact of Quadratic Trends, with an Application to Relative Primary Commodity Prices.(2011) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | article | |
2009 | Robust methods for detecting multiple level breaks in autocorrelated time series [Revised to become No. 10/01 above] In: Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2009 | Co-integration rank tests under conditional heteroskedasticity In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2010 | Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion In: Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
2013 | Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion.(2013) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
2016 | Tests for an end-of-sample bubble in financial time series In: Discussion Papers. [Full Text][Citation analysis] | paper | 9 |
2017 | Tests for an end-of-sample bubble in financial time series.(2017) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
2017 | A bootstrap stationarity test for predictive regression invalidity In: Discussion Papers. [Full Text][Citation analysis] | paper | 6 |
2019 | A Bootstrap Stationarity Test for Predictive Regression Invalidity.(2019) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
2009 | The Flexible Fourier Form and Local GLS De-trended Unit Root Tests In: Working Papers. [Full Text][Citation analysis] | paper | 8 |
2021 | Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume.(2021) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2021 | Extensions to IVX methods of inference for return predictability In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
2022 | Introduction and Overview In: Contributions to Economics. [Citation analysis] | chapter | 0 |
1997 | Book Reviews In: Asia Pacific Business Review. [Full Text][Citation analysis] | article | 0 |
2009 | A Note on Testing Covariance Stationarity In: Econometric Reviews. [Full Text][Citation analysis] | article | 1 |
2009 | Bootstrap M Unit Root Tests In: Econometric Reviews. [Full Text][Citation analysis] | article | 11 |
2013 | Wild Bootstrap of the Sample Mean in the Infinite Variance Case In: Econometric Reviews. [Full Text][Citation analysis] | article | 4 |
2013 | A Review of Unit Root Tests in Time Series: Volumes 1 and 2 In: Econometrics Journal. [Full Text][Citation analysis] | article | 0 |
2018 | Robust tests for deterministic seasonality and seasonal mean shifts In: Econometrics Journal. [Full Text][Citation analysis] | article | 0 |
2021 | Real?time detection of regimes of predictability in the US equity premium In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 6 |
1995 | Testing for Seasonal Unit Roots: a simple alternative to HEGY In: Discussion Papers. [Citation analysis] | paper | 0 |
1996 | On the Practical Problems of Computing Seasonal Unit Root Tests: The Case of Non-Durable Consumers Expenditures In: Discussion Papers. [Citation analysis] | paper | 0 |
1996 | Additional Critical Values and Asymptotic Representations for Monthly Seasonal Unit Root Tests In: Discussion Papers. [Citation analysis] | paper | 1 |
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