Robert Taylor : Citation Profile

Are you Robert Taylor?

University of Essex

24

H index

54

i10 index

1995

Citations

RESEARCH PRODUCTION:

142

Articles

86

Papers

1

Chapters

RESEARCH ACTIVITY:

   27 years (1995 - 2022). See details.
   Cites by year: 73
   Journals where Robert Taylor has often published
   Relations with other researchers
   Recent citing documents: 168.    Total self citations: 94 (4.5 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pta27
   Updated: 2023-01-28    RAS profile: 2023-01-06    
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Relations with other researchers

Works with:

Rodrigues, Paulo (10)

Cavaliere, Giuseppe (9)

Nielsen, Morten (8)

Harvey, David (7)

Leybourne, Stephen (6)

Iacone, Fabrizio (4)

del Barrio Castro, Tomás (3)

Demetrescu, Matei (3)

De Angelis, Luca (2)

Kapetanios, George (2)

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

Is cited by:

Skrobotov, Anton (91)

Rodrigues, Paulo (60)

Perron, Pierre (59)

Cavaliere, Giuseppe (56)

Kruse, Robinson (49)

del Barrio Castro, Tomás (49)

Demetrescu, Matei (45)

Phillips, Peter (39)

Kejriwal, Mohitosh (39)

Sibbertsen, Philipp (37)

Nielsen, Morten (36)

Cites to:

Perron, Pierre (126)

Cavaliere, Giuseppe (92)

Phillips, Peter (88)

Leybourne, Stephen (74)

Stock, James (60)

Hansen, Bruce (51)

Harvey, David (50)

Elliott, Graham (49)

Vogelsang, Timothy (46)

Campbell, John (45)

Andrews, Donald (42)

Main data

Where Robert Taylor has published?

Journals with more than one article published# docs
Journal of Time Series Analysis32
Journal of Econometrics30
Econometric Theory25
Oxford Bulletin of Economics and Statistics12
Econometric Reviews10
Journal of Business & Economic Statistics5
Econometrics Journal3
Economics Bulletin3
Journal of Business & Economic Statistics3
Journal of Empirical Finance3
Journal of Applied Econometrics2
Studies in Nonlinear Dynamics & Econometrics2
International Journal of Forecasting2
Economics Letters2
Econometrics Journal2

Working Papers Series with more than one paper published# docs
Working Papers / Banco de Portugal, Economics and Research Department5
Quaderni di Dipartimento / Department of Statistics, University of Bologna5
Essex Finance Centre Working Papers / University of Essex, Essex Business School4
Working Paper / Economics Department, Queen's University4
Discussion Papers / University of Copenhagen. Department of Economics4
Research Memorandum / Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)2
DEA Working Papers / Universitat de les Illes Balears, Departament d'Economa Aplicada2
Discussion Papers / Department of Economics, University of Birmingham2

Recent works citing Robert Taylor (2022 and 2021)

YearTitle of citing document
2021Is 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.

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2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02.

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2022Truncated 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.

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2021Are 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.

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2022.

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2021Permanent-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.

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2021The Effect of Amazon Deforestationon Global Climate Variables. (2021). Cornejo, Magdalena ; Ahumada, Hildegart. In: Working Papers. RePEc:aoz:wpaper:94.

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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.

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2021Unit-root test within a threshold ARMA framework. (2020). Tong, Howell ; Goracci, Greta ; Giannerini, Simone ; Chan, Kung-Sik. In: Papers. RePEc:arx:papers:2002.09968.

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2021Revealing Cluster Structures Based on Mixed Sampling Frequencies. (2020). Ahn, Hie Joo ; Liu, Yun ; Rho, Yeonwoo. In: Papers. RePEc:arx:papers:2004.09770.

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2021New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01191.

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2021Cointegration in large VARs. (2020). Gorin, Vadim ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2006.14179.

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2021COVID-19: Tail Risk and Predictive Regressions. (2020). Skrobotov, Anton ; Semenov, Alexander ; Ibragimov, Rustam ; Distaso, Walter. In: Papers. RePEc:arx:papers:2009.02486.

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2021Time-Transformed Test for the Explosive Bubbles under Non-stationary Volatility. (2020). Skrobotov, Anton ; Tsarev, Alexey ; Kurozumi, Eiji. In: Papers. RePEc:arx:papers:2012.13937.

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2021Bootstrapping Non-Stationary Stochastic Volatility. (2021). Georgiev, Iliyan ; Rahbek, Anders ; Cavaliere, Giuseppe ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2101.03562.

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2022Predictive Quantile Regression with Mixed Roots and Increasing Dimensions. (2021). Shin, Youngki ; Lee, Ji Hyung ; Fan, Rui. In: Papers. RePEc:arx:papers:2101.11568.

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2021Testing for Nonlinear Cointegration under Heteroskedasticity. (2021). Massing, Till ; Hanck, Christoph. In: Papers. RePEc:arx:papers:2102.08809.

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2021Standing 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.

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2021Bootstrap Inference for Hawkes and General Point Processes. (2021). Cavaliere, Giuseppe ; Staerk-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE. In: Papers. RePEc:arx:papers:2104.03122.

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2021Changepoint detection in random coefficient autoregressive models. (2021). Horvath, Lajos ; Trapani, Lorenzo. In: Papers. RePEc:arx:papers:2104.13440.

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2021Inference in heavy-tailed non-stationary multivariate time series. (2021). Cavaliere, Giuseppe ; Barigozzi, Matteo ; Trapani, Lorenzo. In: Papers. RePEc:arx:papers:2107.13894.

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2021Money Creation and Banking: Theory and Evidence. (2021). Lee, Heon. In: Papers. RePEc:arx:papers:2109.15096.

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2022On the asymptotic behavior of bubble date estimators. (2021). Skrobotov, Anton ; Kurozumi, Eiji. In: Papers. RePEc:arx:papers:2110.04500.

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2022Testing for long-range dependence in non-stationary time series time-varying regression. (2021). Wu, Weichi ; Bai, Lujia. In: Papers. RePEc:arx:papers:2110.08089.

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2022Asymptotics of Cointegration Tests for High-Dimensional VAR($k$). (2022). Bykhovskaya, Anna ; Gorin, Vadim. In: Papers. RePEc:arx:papers:2202.07150.

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2022On the dependence structure of the trade/no trade sequence of illiquid assets. (2022). Raissi, Hamdi. In: Papers. RePEc:arx:papers:2203.08223.

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2022Cryptocurrency 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.

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2022Testing for explosive bubbles: a review. (2022). Skrobotov, Anton. In: Papers. RePEc:arx:papers:2207.08249.

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2022A Residuals-Based Nonparametric Variance Ratio Test for Cointegration. (2022). Reichold, Karsten. In: Papers. RePEc:arx:papers:2211.06288.

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2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Hualde, Javier. In: Papers. RePEc:arx:papers:2211.10235.

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2022The Rising Interconnectedness of the Insurance Sector. (2022). Jourde, Tristan. In: Working papers. RePEc:bfr:banfra:857.

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2021Evaluating Forecast Performance with State Dependence. (2021). Sekhposyan, Tatevik ; Rossi, Barbara ; Odendahl, Florens. In: Working Papers. RePEc:bge:wpaper:1295.

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2022Uniform and Distribution-Free Inference with General Autoregressive Processes. (2022). Petrova, Katerina ; Magdalinos, Tassos. In: Working Papers. RePEc:bge:wpaper:1344.

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2022The 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.

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

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2022Persistence 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.

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2022The 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.

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2021Robust 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.

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2021Unit 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.

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2021Asymptotic 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.

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2022On 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.

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2022Structural 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.

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2022On 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.

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2022Johansen?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.

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2021A 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.

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2021Discovering 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.

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2021Uncovering 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.

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2021A 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.

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2022Testing 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.

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2021Detecting 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.

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2022Small 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.

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2022Econometric Analysis of Asset Price Bubbles. (2022). Phillips, Peter ; Shi, Shuping. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2331.

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2022Robust 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.

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2021Testing 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.

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202150 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.

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2022Testing 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.

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2021U.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.

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2022Bootstrapping 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.

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2021The 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.

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2021Convergence 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.

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2022Unit roots in lower-bounded series with outliers. (2022). Alanya-Beltran, Willy. In: Economic Modelling. RePEc:eee:ecmode:v:115:y:2022:i:c:s0264999322002279.

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2021Global 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.

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2022Evolving 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.

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2021Recursive 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.

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2022On robust testing for trend. (2022). Skrobotov, Anton. In: Economics Letters. RePEc:eee:ecolet:v:212:y:2022:i:c:s0165176522000040.

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2021Estimating 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.

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2021Bootstrapping 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.

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2021Continuous 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.

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2021Adaptive 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.

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2022Bootstrap 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.

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2022Residual-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.

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2021Aggregation 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.

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2021Bootstrap 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.

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2021Fixed-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.

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2022Testing 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.

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2022Financial 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.

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2021Exogeneity in climate econometrics. (2021). Pretis, Felix. In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s014098832100027x.

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2021Realized 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.

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2021Can 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.

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2021International stock return predictability. (2021). Smith, Simon C. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002805.

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2022Multivariate 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.

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2021When 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.

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2022How 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.

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2021Emerging 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.

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2022Comparing 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.

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2022Forecasting: 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
2021Stock 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.

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2021The 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.

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2021Currency 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.

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2021Unit 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.

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2022Gold 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.

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2022Bubbles 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.

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2021Detection 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.

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2021Impact 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.

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2022Financial 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.

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2022An 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.

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2022Land availability and housing price in China: Empirical evidence from nonlinear autoregressive distributed lag (NARDL). (2022). Wong, Kar-Horn ; Tan, Yan-Yi ; Nerissa, Feng-Ting Shim ; Kwan, Xiao-Hui ; Ho, Wing-Ken ; Yii, Kwang-Jing. In: Land Use Policy. RePEc:eee:lauspo:v:113:y:2022:i:c:s0264837721006116.

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2021International evidence on long-run money demand. (2021). Lucas, Robert ; Benati, Luca ; Weber, Warren ; Nicolini, Juan Pablo. In: Journal of Monetary Economics. RePEc:eee:moneco:v:117:y:2021:i:c:p:43-63.

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2022Detecting periodically collapsing bubbles in the S&P 500. (2022). Waters, George A ; Nguyen, Quynh Nhu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:83:y:2022:i:c:p:83-91.

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2021Stock 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.

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2022Testing for Granger causality in quantiles between the wage share in income and productive capacity utilization. (2022). Lima, Gilberto Tadeu ; Marques, Andre M. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:62:y:2022:i:c:p:290-312.

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

Works by Robert Taylor:

YearTitleTypeCited
2008Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]		paper66
2010Testing for co-integration in vector autoregressions with non-stationary volatility.(2010) In: Journal of Econometrics.
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2008Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility.(2008) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 66		paper
2007Testing for co-integration in vector autoregressions with non-stationary volatility.(2007) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 66		paper
2008Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]		paper24
2011TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY.(2011) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24		article
2009Testing for unit roots in the presence of a possible break in trend and non-stationary volatility.(2009) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24		paper
2009Co-integration Rank Testing under Conditional Heteroskedasticity In: CREATES Research Papers.
[Full Text][Citation analysis]		paper46
2010COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY.(2010) In: Econometric Theory.
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This paper has another version. Agregated cites: 46		article
2010Bootstrap Sequential Determination of the Co-integration Rank in VAR Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2010Bootstrap Sequential Determination of the Co-integration Rank in VAR Models.(2010) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2012Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper28
2012Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models.(2012) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28		paper
2014Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models.(2014) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28		article
2014Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets In: CREATES Research Papers.
[Full Text][Citation analysis]		paper11
2015Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets.(2015) In: Journal of Econometrics.
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2013Bootstrap Score Tests For Fractional Integration In Heteroskedastic Arfima Models, With An Application To Price Dynamics In Commodity Spot And Futures Markets.(2013) In: Working Paper.
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This paper has another version. Agregated cites: 11		paper
2017Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form In: CREATES Research Papers.
[Full Text][Citation analysis]		paper9
2017Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form.(2017) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 9		article
2016Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form.(2016) In: Working Paper.
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This paper has another version. Agregated cites: 9		paper
2020Adaptive Inference in Heteroskedastic Fractional Time Series Models In: CREATES Research Papers.
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2019Adaptive Inference In Heteroskedastic Fractional Time Series Models.(2019) In: Working Paper.
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This paper has another version. Agregated cites: 5		paper
2022Adaptive Inference in Heteroscedastic Fractional Time Series Models.(2022) In: Journal of Business & Economic Statistics.
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2021Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2020Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks.(2020) In: Working Paper.
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This paper has another version. Agregated cites: 3		paper
2022Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks.(2022) In: Journal of Business & Economic Statistics.
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2022Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models In: Papers.
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2003Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots In: Temi di discussione (Economic working papers).
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2003Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots.(2003) In: Journal of Econometrics.
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2001Tests of the Seasonal Unit-Root Hypothesis against Heteroscedastic Seasonal Integration. In: Journal of Business & Economic Statistics.
[Citation analysis]		article5
2001On the Properties of Regression-Based Tests for Seasonal Unit Roots in the Presence of Higher-Order Serial Correlation. In: Journal of Business & Economic Statistics.
[Citation analysis]		article24
2002Regression-Based Unit Root Tests with Recursive Mean Adjustment for Seasonal and Nonseasonal Time Series. In: Journal of Business & Economic Statistics.
[Citation analysis]		article30
2003Robust Stationarity Tests in Seasonal Time Series Processes. In: Journal of Business & Economic Statistics.
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2003Variance Shifts, Structural Breaks, and Stationarity Tests. In: Journal of Business & Economic Statistics.
[Citation analysis]		article17
2005On Robust Trend Function Hypothesis Testing In: Discussion Papers.
[Citation analysis]		paper1
2006On Robust Trend Function Hypothesis Testing.(2006) In: Studies in Nonlinear Dynamics & Econometrics.
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2005Testing the Null of Co-integration in the Presence of Variance Breaks In: Discussion Papers.
[Citation analysis]		paper1
2006Testing the Null of Co?integration in the Presence of Variance Breaks.(2006) In: Journal of Time Series Analysis.
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This paper has another version. Agregated cites: 1		article
1998Testing for Unit Roots in Monthly Time Series In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article25
1999On the Definitions of (Co?)integration In: Journal of Time Series Analysis.
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1997On the Definitions of (Co-)Integration.(1997) In: Discussion Papers.
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1999Likelihood Ratio Tests for Seasonal Unit Roots In: Journal of Time Series Analysis.
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2003Seasonal Unit Root Tests Based on Forward and Reverse Estimation In: Journal of Time Series Analysis.
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2003Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes In: Journal of Time Series Analysis.
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2005On the use of Sub?sample Unit Root Tests to Detect Changes in Persistence In: Journal of Time Series Analysis.
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2006Additive Outlier Detection Via Extreme?Value Theory In: Journal of Time Series Analysis.
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2007CUSUM of Squares?Based Tests for a Change in Persistence In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article43
2008Time?Transformed Unit Root Tests for Models with Non?Stationary Volatility In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article21
2010The impact of the initial condition on robust tests for a linear trend In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article5
2009The impact of the initial condition on robust tests for a linear trend.(2009) In: Discussion Papers.
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2013Editorial In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2013A bootstrap test for additive outliers in non-stationary time series In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article2
2013Editorial Announcement In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2014A FIXED- b TEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article11
2015Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article3
2017Unit Root Tests and Heavy-Tailed Innovations In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article2
2017Unit Root Tests and Heavy-Tailed Innovations.(2017) In: Essex Finance Centre Working Papers.
[Full Text][Citation analysis]
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2018Editorial, January 2018 In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2018Editorial, September 2018 In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2018Editorial Announcement In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2018Special Issue of the Journal of Time Series Analysis In Honour of Professor Paul Newbold: Guest Editors Introduction In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2018Real?Time Monitoring for Explosive Financial Bubbles In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article5
2019Editorial Announcement In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2019A Generalised Fractional Differencing Bootstrap for Long Memory Processes In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article4
2019Temporal Aggregation of Seasonally Near?Integrated Processes In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article3
2018Temporal Aggregation of Seasonally Near-Integrated Processes.(2018) In: DEA Working Papers.
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2020Deterministic Parameter Change Models in Continuous and Discrete Time In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article1
2020Editorial Announcement: Journal of Time Series Analysis Distinguished Authors In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2021Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2020 In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2021Editorial Announcement In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2021Corrigendum to “A Generalised Fractional Differencing Bootstrap for Long Memory Processes” Journal of Time Series Analysis 40: 467?492 (2019) DOI: 10.1111/jtsa.12460 In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2022Editorial Announcement: Professor Michael McAleer In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2022Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2021 In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
1999Detecting Seasonal Unit Roots: an Approach Based on the Sample Autocorrelation Function In: Manchester School.
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2000The Finite Sample Effects of Deterministic Variables on Conventional Methods of Lag?selection in Unit Root Tests In: Oxford Bulletin of Economics and Statistics.
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2000On the Power of GLS?Type Unit Root Tests In: Oxford Bulletin of Economics and Statistics.
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2002Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence? In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article6
2005Fluctuation Tests for a Change in Persistence In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article11
2006Regression?based Tests for a Change in Persistence* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article17
2006Testing for a Change in Persistence in the Presence of a Volatility Shift* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article9
2012The Flexible Fourier Form and Local Generalised Least Squares De-trended Unit Root Tests-super- In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article55
2014Unit Root Testing under a Local Break in Trend using Partial Information on the Break Date In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article4
2015A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article4
2013A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models.(2013) In: Quaderni di Dipartimento.
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2015On the Behaviour of Phillips–Perron Tests in the Presence of Persistent Cycles In: Oxford Bulletin of Economics and Statistics.
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2013On the Behaviour of Phillips-Perron Tests in the Presence of Persistent Cycles.(2013) In: CEFAGE-UE Working Papers.
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2015Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article1
2013Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates.(2013) In: Working Papers.
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This paper has another version. Agregated cites: 1		paper
2015Robust and Powerful Tests for Nonlinear Deterministic Components In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article8
2011Wild bootstrap of the mean in the infinite variance case In: Quaderni di Dipartimento.
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2011Bootstrap determination of the co-integration rank in VAR models In: Quaderni di Dipartimento.
[Full Text][Citation analysis]		paper9
2015Sieve-based inference for infinite-variance linear processes In: Quaderni di Dipartimento.
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2016Unit root inference for non-stationary linear processes driven by infinite variance innovations In: Quaderni di Dipartimento.
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2018UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS.(2018) In: Econometric Theory.
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2007Detecting Multiple Changes in Persistence In: Studies in Nonlinear Dynamics & Econometrics.
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1995Additional Critical Values and Asymptotic Representations for Seasonal Unit Roots Tests. In: Cambridge Working Papers in Economics.
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1998Additional critical values and asymptotic representations for seasonal unit root tests.(1998) In: Journal of Econometrics.
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1995Additional Critical Values and Asymptotic Representations for Seasonal Unit Root Tests.(1995) In: Discussion Papers.
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2003On Tests for Double Differencing: Some Extensions and the Role of Initial Values In: Economic Working Papers at Centro de Estudios Andaluces.
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2003ON THE ASYMPTOTIC PROPERTIES OF SOME SEASONAL UNIT ROOT TESTS In: Econometric Theory.
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2004ON TESTS FOR DOUBLE DIFFERENCING: METHODS OF DEMEANING AND DETRENDING AND THE ROLE OF INITIAL VALUES In: Econometric Theory.
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2004ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL In: Econometric Theory.
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2005STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER In: Econometric Theory.
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2004Stationarity Tests for Irregularly Spaced Observations and the Effects of Sampling Frequency on Power.(2004) In: Econometric Society 2004 Far Eastern Meetings.
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2005STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS In: Econometric Theory.
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2008BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY In: Econometric Theory.
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2009REGRESSION-BASED SEASONAL UNIT ROOT TESTS In: Econometric Theory.
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2007Regression-based seasonal unit root tests.(2007) In: Discussion Papers.
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2009UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION In: Econometric Theory.
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2007Unit root testing in practice: dealing with uncertainty over the trend and initial condition.(2007) In: Discussion Papers.
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2009REJOINDER In: Econometric Theory.
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2009SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS In: Econometric Theory.
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2006Simple, Robust and Powerful Tests of the Breaking Trend Hypothesis*.(2006) In: Discussion Papers.
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2009HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT In: Econometric Theory.
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2009SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PAUL NEWBOLD: GUEST EDITORS’ INTRODUCTION In: Econometric Theory.
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2009TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND In: Econometric Theory.
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2007Testing for a unit root in the presence of a possible break in trend.(2007) In: Discussion Papers.
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2011SPECIAL ISSUE OF ECONOMETRIC THEORY ON BOOTSTRAP AND NUMERICAL METHODS IN TIME SERIES: GUEST EDITORS’ INTRODUCTION In: Econometric Theory.
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2012BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY In: Econometric Theory.
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2010Bootstrap union tests for unit roots in the presence of nonstationary volatility.(2010) In: Discussion Papers.
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2010Bootstrap union tests for unit roots in the presence of nonstationary volatility.(2010) In: Research Memorandum.
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2012ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS In: Econometric Theory.
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2011On Augmented HEGY Tests for Seasonal Unit Roots.(2011) In: Economics Discussion Paper Series.
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2013ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION In: Econometric Theory.
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2011On the behaviour of fixed-b trend break tests under fractional integration.(2011) In: Discussion Papers.
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2013THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS In: Econometric Theory.
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2011The Impact of Persistent Cycles on Zero Frequency Unit Root Tests.(2011) In: Working Papers.
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2018SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PROFESSOR RICHARD J. SMITH: GUEST EDITORS’ INTRODUCTION In: Econometric Theory.
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2018DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER In: Econometric Theory.
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2016Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order.(2016) In: Essex Finance Centre Working Papers.
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2018SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS In: Econometric Theory.
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2015Semi-Parametric Seasonal Unit Root Tests.(2015) In: Essex Finance Centre Working Papers.
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2015Semi-Parametric Seasonal Unit Root Tests.(2015) In: DEA Working Papers.
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2019TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT In: Econometric Theory.
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2012Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility In: Cowles Foundation Discussion Papers.
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2015Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility.(2015) In: Econometric Reviews.
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2011Lag length selection for unit root tests in the presence of nonstationary volatility.(2011) In: Research Memorandum.
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2004Some New Tests for a Change in Persistence In: Economics Bulletin.
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2005On the limiting behaviour of augmented seasonal unit root tests In: Economics Bulletin.
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2007Conference in honour of Paul Newbold In: Economics Bulletin.
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1997Controversy: On Modelling the Long Run in Applied Economics. In: Economic Journal.
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2004Modified Tests for a Change in Persistence In: Econometric Society 2004 Australasian Meetings.
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2006Modified tests for a change in persistence.(2006) In: Journal of Econometrics.
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2012Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models In: Econometrica.
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2004Bootstrapping the HEGY Seasonal Unit Root Tests In: Econometric Society 2004 North American Summer Meetings.
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2004Bootstrapping the HEGY seasonal unit root tests.(2004) In: Journal of Econometrics.
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2008Seasonal unit root tests and the role of initial conditions In: Econometrics Journal.
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2008Seasonal unit root tests and the role of initial conditions.(2008) In: Discussion Papers.
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2000Determining the order of differencing in seasonal time series processes In: Econometrics Journal.
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1997Determining the Order of Differencing in Seasonal Time Series Processes.(1997) In: Discussion Papers.
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