16
H index
24
i10 index
955
Citations
University of Exeter (50% share) | 16 H index 24 i10 index 955 Citations RESEARCH PRODUCTION: 65 Articles 67 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Giuseppe Cavaliere. | Is cited by: | Cites to: |
Year | Title of citing document | |
---|---|---|
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 | |
2023 | The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Casoli, Chiara ; Bastianin, Andrea. In: FEEM Working Papers. RePEc:ags:feemwp:336984. Full description at Econpapers || Download paper | |
2023 | A Residual Bootstrap for Conditional Value-at-Risk. (2018). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1808.09125. Full description at Econpapers || Download paper | |
2023 | 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 | |
2022 | Inference in mixed causal and noncausal models with generalized Students t-distributions. (2020). Hecq, Alain ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2012.01888. 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 | |
2023 | 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 | A Bootstrap-Assisted Self-Normalization Approach to Inference in Cointegrating Regressions. (2022). Jentsch, Carsten ; Reichold, Karsten. In: Papers. RePEc:arx:papers:2204.01373. Full description at Econpapers || Download paper | |
2022 | Asymptotic Theory for Moderate Deviations from the Unit Boundary in Quantile Autoregressive Time Series. (2022). Katsouris, Christis. In: Papers. RePEc:arx:papers:2204.02073. 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 | |
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 | On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness. (2022). Yilmaz, Kamil ; Diebold, Francis X. In: Papers. RePEc:arx:papers:2211.04184. 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 | |
2023 | Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2022). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610. 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 | |
2023 | Penalized Quasi-likelihood Estimation and Model Selection in Time Series Models with Parameters on the Boundary. (2023). Rahbek, Anders ; Nielsen, Heino Bohn. In: Papers. RePEc:arx:papers:2302.02867. Full description at Econpapers || Download paper | |
2023 | Improving the accuracy of bubble date estimators under time-varying volatility. (2023). Skrobotov, Anton ; Kurozumi, Eiji. In: Papers. RePEc:arx:papers:2306.02977. Full description at Econpapers || Download paper | |
2022 | Popularity of Unit Root Tests - A Review. (2022). Akram, Vaseem ; Rath, Badri Narayan. In: Asian Economics Letters. RePEc:ayb:jrnael:72. Full description at Econpapers || Download paper | |
2023 | Convergence Determinants and Club Formation in the EU over 1999-2021. (2023). Ignatov, Ignat. In: Economic Studies journal. RePEc:bas:econst:y:2023:i:3:p:37-63. Full description at Econpapers || Download paper | |
2022 | The economics of domestic market integration. (2022). Zhang, Cheng ; Gunessee, Saileshsingh. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:36:y:2022:i:4:p:1069-1095. Full description at Econpapers || Download paper | |
2022 | Modelling clusters of corporate defaults: Regime?switching models significantly reduce the contagion source. (2022). Maruotti, Antonello ; Bulla, Jan ; Berentsen, Geir D ; Stove, Brd. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:71:y:2022:i:3:p:698-722. 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 | Necessary and sufficient conditions for the identifiability of observation?driven models. (2021). Sim, Tepmony ; Roueff, Franois ; Douc, Randal. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:2:p:140-160. 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 | Rank test of unit?root hypothesis with AR?GARCH errors. (2022). Zhang, Rongmao ; Liu, Qimeng ; Liao, Guili. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:5:p:695-719. Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2023 | Flexible bivariate INGARCH process with a broad range of contemporaneous correlation. (2023). Ombao, Hernando ; Barretosouza, Wagner. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:2:p:206-222. 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 | |
2023 | . 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 | Nonparametric prediction with spatial data. (2022). Hidalgo, Javier ; Gupta, Abhimanyu. In: STICERD - Econometrics Paper Series. RePEc:cep:stiecm:621. 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 | |
2022 | Forecasting Uncertainty Intervals for Return Period of Extreme Daily Electricity Consumption. (2022). Makatjane, Katleho. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-04-25. 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 | |
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 | |
2022 | On MCMC sampling in self-exciting integer-valued threshold time series models. (2022). Dong, Xiaogang ; Zhang, Qingqing ; Yu, Xinyang ; Yang, Kai. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:169:y:2022:i:c:s0167947321002449. Full description at Econpapers || Download paper | |
2023 | Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models. (2023). Li, Muyi ; Wang, Xuqin. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:184:y:2023:i:c:s0167947323000555. 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 | Default clustering of the nonfinancial sector and systemic risk: Evidence from China. (2021). Shen, Jie ; Hou, Siyuan ; Wang, Xiaoting. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:196-208. 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 | |
2023 | Inter-regional dependence of J-REIT stock prices: A heteroscedasticity-robust time series approach. (2023). Iitsuka, Yoshitaka ; Motegi, Kaiji. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001759. 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 | |
2022 | Testing the existence of moments for GARCH processes. (2022). Zakoian, Jean-Michel ; Francq, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:47-64. Full description at Econpapers || Download paper | |
2022 | Testing for episodic predictability in stock returns. (2022). Taylor, Robert ; Rodrigues, Paulo ; Demetrescu, Matei ; Georgiev, Iliyan. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:85-113. 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 | |
2022 | Testing for the presence of jump components in jump diffusion models. (2022). Zheng, XU ; Wang, Bin. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:2:p:483-509. Full description at Econpapers || Download paper | |
2022 | Convergence of spectral density estimators in the locally stationary framework. (2022). Kawka, Rafael. In: Econometrics and Statistics. RePEc:eee:ecosta:v:24:y:2022:i:c:p:94-115. 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 | |
2023 | Testing explosive bubbles with time-varying volatility: The case of Spanish public debt. (2023). Prats, Maria A ; Esteve, Vicente. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005098. Full description at Econpapers || Download paper | |
2021 | Semiparametric time series models driven by latent factor. (2021). Ombao, Hernando ; de Souza, Fernando ; Barreto-Souza, Wagner ; de Oliveira, Gisele. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1463-1479. 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 | |
2023 | Risk sharing channels in OECD countries: A heterogeneous panel VAR approach. (2023). Asdrubali, Pierfederico ; Poncela, Pilar ; Pericoli, Filippo Maria ; Kim, Soyoung. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:131:y:2023:i:c:s0261560623000050. 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 | |
2022 | Canonical quantile regression. (2022). Portnoy, Stephen. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:192:y:2022:i:c:s0047259x22000768. 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 | |
2022 | Asymmetric influences on Latin American stock markets: A quantile approach. (2022). Ceretta, Paulo Sergio ; Kruel, Maximiliano. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:26:y:2022:i:c:s1703494922000238. Full description at Econpapers || Download paper | |
2023 | Discerning trends in international metal prices in the presence of nonstationary volatility. (2023). Ghoshray, Atanu ; Addison, Tony. In: Resource and Energy Economics. RePEc:eee:resene:v:71:y:2023:i:c:s0928765522000513. Full description at Econpapers || Download paper | |
2022 | Monitoring network changes in social media. (2022). Wang, Tengyao ; Okhrin, Yarema ; Chen, Cathy Yi-Hsuan. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:113742. Full description at Econpapers || Download paper | |
2022 | Testing for unit roots based on sample autocovariances. (2022). Yao, Qiwei ; Cheng, Guanghui ; Chang, Jinyuan. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:114620. Full description at Econpapers || Download paper | |
2022 | Nonparametric prediction with spatial data. (2022). Hidalgo, Javier ; Gupta, Abhimanyu. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:115292. Full description at Econpapers || Download paper | |
2023 | Testing explosive bubbles with time-varying volatility: the case of Spanish public debt. (2022). Prats, Maria A ; Esteve, Vicente. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:116980. Full description at Econpapers || Download paper | |
2023 | Studying the Welfare State by Analysing Time-Series-Cross-Section Data. (2023). Podesta, Federico. In: FBK-IRVAPP Working Papers. RePEc:fbk:wpaper:2023-03. Full description at Econpapers || Download paper | |
2023 | The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Casoli, Chiara ; Bastianin, Andrea. In: Working Papers. RePEc:fem:femwpa:2023.11. Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2022 | Multivariate Cointegration and Temporal Aggregation: Some Further Simulation Results. (2022). Papapanagiotou, Georgios ; Panagiotidis, Theodore ; Otero, Jesus. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:1:d:10.1007_s10614-020-10062-w. Full description at Econpapers || Download paper | |
2022 | On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness. (2022). Yilmaz, Kamil ; Diebold, Francis X. In: Koç University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:2207. Full description at Econpapers || Download paper | |
2022 | Testing for unit roots based on sample autocovariances. (2022). Yao, Qiwei ; Cheng, Guanghui ; Chang, Jinyuan. In: Biometrika. RePEc:oup:biomet:v:109:y:2022:i:2:p:543-550.. Full description at Econpapers || Download paper | |
2021 | Size-corrected Bootstrap Test after Pretesting for Exogeneity with Heteroskedastic or Clustered Data. (2021). Doko Tchatoka, Firmin ; Wang, Wenjie. In: MPRA Paper. RePEc:pra:mprapa:110899. Full description at Econpapers || Download paper | |
2021 | Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume. (2021). Taylor, Robert ; Rodrigues, Paulo ; Rubia, Antonio ; Balboa, Marina. In: Working Papers. RePEc:ptu:wpaper:w202102. Full description at Econpapers || Download paper | |
2022 | Dimension Reduction for High Dimensional Vector Autoregressive Models. (2022). Hecq, Alain ; Cubadda, Gianluca. In: CEIS Research Paper. RePEc:rtv:ceisrp:534. Full description at Econpapers || Download paper | |
2022 | Dimension Reduction for High Dimensional Vector Autoregressive Models. (2022). Hecq, Alain ; Cubadda, Gianluca . In: CEIS Research Paper. RePEc:rtv:ceisrp:534shoc. Full description at Econpapers || Download paper | |
2023 | The Vector Error Correction Index Model: Representation, Estimation and Identification. (2023). Cubadda, Gianluca ; Mazzali, Marco. In: CEIS Research Paper. RePEc:rtv:ceisrp:556. Full description at Econpapers || Download paper | |
2022 | Tourism and economic growth: Multi-country evidence from mixed-frequency Granger causality tests. (2022). Wang, Yuan ; Enilov, Martin. In: Tourism Economics. RePEc:sae:toueco:v:28:y:2022:i:5:p:1216-1239. Full description at Econpapers || Download paper | |
2022 | A new class of integer-valued GARCH models for time series of bounded counts with extra-binomial variation. (2022). Zhu, Fukang ; Li, QI ; Chen, Huaping. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:106:y:2022:i:2:d:10.1007_s10182-021-00414-8. Full description at Econpapers || Download paper | |
2022 | Concurrent neural network: a model of competition between times series. (2022). Garnier, Remy. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-021-04253-3. Full description at Econpapers || Download paper | |
2022 | Non-parametric seasonal unit root tests under periodic non-stationary volatility. (2022). Eroglu, Burak Alparslan ; Gogebakan, Kemal Aglar. In: Computational Statistics. RePEc:spr:compst:v:37:y:2022:i:5:d:10.1007_s00180-022-01211-w. Full description at Econpapers || Download paper | |
2022 | Fiscal reaction functions for the advanced economies revisited. (2022). Fachin, Stefano ; di Iorio, Francesca. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:6:d:10.1007_s00181-021-02119-y. Full description at Econpapers || Download paper | |
2022 | Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships. (2022). Wroblewska, Justyna ; Pajor, Anna. In: Eurasian Economic Review. RePEc:spr:eurase:v:12:y:2022:i:3:d:10.1007_s40822-022-00203-x. Full description at Econpapers || Download paper | |
2021 | Co-movement of commodity price indexes and energy price index: a wavelet coherence approach. (2021). Kirikkaleli, Dervis ; Güngör, Hasan ; Gungor, Hasan. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00230-8. Full description at Econpapers || Download paper | |
2022 | Characterizing growth instability: new evidence on unit roots and structural breaks in countries’ long run trajectories. (2022). Foster-McGregor, Neil ; Russo, Emanuele. In: Journal of Evolutionary Economics. RePEc:spr:joevec:v:32:y:2022:i:2:d:10.1007_s00191-021-00727-6. Full description at Econpapers || Download paper | |
2021 | Estimating FARIMA models with uncorrelated but non-independent error terms. (2021). Saussereau, Bruno ; Esstafa, Youssef ; Mainassara, Yacouba Boubacar. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:24:y:2021:i:3:d:10.1007_s11203-021-09243-7. Full description at Econpapers || Download paper | |
2023 | Trends in Income Inequality: Evidence from Developing and Developed Countries. (2023). Makhlouf, Yousef. In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:165:y:2023:i:1:d:10.1007_s11205-022-03010-8. Full description at Econpapers || Download paper | |
2021 | Financial contagion through space-time point processes. (2021). Giudici, Paolo ; Agosto, Arianna ; Adelfio, Giada ; Chiodi, Marcello. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:30:y:2021:i:2:d:10.1007_s10260-020-00538-2. Full description at Econpapers || Download paper | |
2022 | A New Approach to Estimating the Natural Rate of Interest. (2022). Benati, Luca. In: Diskussionsschriften. RePEc:ube:dpvwib:dp2210. Full description at Econpapers || Download paper | |
2022 | Bootstrap Inference Under Cross Sectional Dependence. (2022). Perron, Benoit ; Kim, Min Seong ; Goncalves, Silvia ; conley, timothy ; Gonalves, Silvia. In: Working papers. RePEc:uct:uconnp:2022-14. Full description at Econpapers || Download paper | |
2021 | Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors. (2021). Canepa, Alessandra. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:202108. Full description at Econpapers || Download paper | |
2023 | Testing for explosive bubbles: a review. (2023). Anton, Skrobotov. In: Dependence Modeling. RePEc:vrs:demode:v:11:y:2023:i:1:p:26:n:1. Full description at Econpapers || Download paper | |
2021 | Mapping US presidential terms with S&P500 index: Time series analysis approach. (2021). YAYA, OLAOLUWA ; Ogbonna, Ahamuefula ; Mudida, Robert ; Osuolale, Kazeem A ; Gilalana, Luis A. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:1938-1954. Full description at Econpapers || Download paper | |
2021 | Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume. (2021). Taylor, Robert ; Rodrigues, Paulo ; Rubia, Antonio ; Balboa, Marina. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:36:y:2021:i:5:p:544-565. Full description at Econpapers || Download paper | |
2023 | Calibrating the Magnitude of the Countercyclical Capital Buffer Using Market?Based Stress Tests. (2023). van Oordt, Maarten. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:55:y:2023:i:2-3:p:465-501. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
---|---|---|---|
2008 | Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 64 |
2010 | Testing for co-integration in vector autoregressions with non-stationary volatility.(2010) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 64 | article | |
2008 | Testing 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: 64 | paper | |
2007 | Testing 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: 64 | paper | |
2008 | Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 29 |
2011 | TESTING 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: 29 | article | |
2009 | Testing 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: 29 | paper | |
2009 | Co-integration Rank Testing under Conditional Heteroskedasticity In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 44 |
2010 | COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY.(2010) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 44 | article | |
2010 | Bootstrap Sequential Determination of the Co-integration Rank in VAR Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
2010 | Bootstrap 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 | |
2012 | Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 25 |
2012 | Bootstrap 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: 25 | paper | |
2014 | Bootstrap 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: 25 | article | |
2014 | Bootstrap 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] | paper | 11 |
2015 | Bootstrap 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. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | article | |
2013 | Bootstrap 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. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2015 | Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 21 |
2016 | Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX).(2016) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | article | |
2017 | Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 12 |
2017 | Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form.(2017) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | article | |
2016 | Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form.(2016) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2020 | Adaptive Inference in Heteroskedastic Fractional Time Series Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 6 |
2019 | Adaptive Inference In Heteroskedastic Fractional Time Series Models.(2019) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2022 | Adaptive Inference in Heteroscedastic Fractional Time Series Models.(2022) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
2019 | Inference under random limit bootstrap measures In: Papers. [Full Text][Citation analysis] | paper | 7 |
2020 | Inference Under Random Limit Bootstrap Measures.(2020) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
2021 | Bootstrapping Non-Stationary Stochastic Volatility In: Papers. [Full Text][Citation analysis] | paper | 1 |
2021 | Bootstrapping non-stationary stochastic volatility.(2021) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2019 | Bootstrapping Non-Stationary Stochastic Volatility.(2019) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2021 | Bootstrap Inference for Hawkes and General Point Processes In: Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Bootstrap inference for Hawkes and general point processes.(2023) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2021 | Bootstrap inference for Hawkes and general point processes.(2021) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2021 | BOOTSTRAP INFERENCE FOR HAWKES AND GENERAL POINT PROCESSES.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2021 | Specification tests for GARCH processes In: Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Specification tests for GARCH processes.(2021) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2021 | MinP Score Tests with an Inequality Constrained Parameter Space In: Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Inference in heavy-tailed non-stationary multivariate time series In: Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models In: Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models.(2022) In: Essex Finance Centre Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2022 | Time-Varying Poisson Autoregression In: Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Bootstrap inference in the presence of bias In: Papers. [Full Text][Citation analysis] | paper | 1 |
2022 | The Econometrics of Financial Duration Modeling In: Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Factor Network Autoregressions In: Papers. [Full Text][Citation analysis] | paper | 5 |
2023 | An identification and testing strategy for proxy-SVARs with weak proxies In: Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Asymptotics for the Generalized Autoregressive Conditional Duration Model In: Papers. [Full Text][Citation analysis] | paper | 0 |
2005 | Testing the Null of Co-integration in the Presence of Variance Breaks In: Discussion Papers. [Citation analysis] | paper | 1 |
2006 | Testing the Null of Co?integration in the Presence of Variance Breaks.(2006) In: Journal of Time Series Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2008 | Time?Transformed Unit Root Tests for Models with Non?Stationary Volatility In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 26 |
2015 | Recent developments in bootstrap methods for dependent data In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 1 |
2015 | Recent developments in bootstrap methods for dependent data.(2015) In: Journal of Time Series Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2015 | Testing 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] | article | 3 |
2017 | On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 4 |
2016 | On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space.(2016) In: Quaderni di Dipartimento. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2018 | The Fixed Volatility Bootstrap for a Class of Arch(q) Models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 5 |
2006 | Testing for a Change in Persistence in the Presence of a Volatility Shift* In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 9 |
2015 | A 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] | article | 6 |
2013 | A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models.(2013) In: Quaderni di Dipartimento. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2015 | Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 1 |
2013 | Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2018 | Co†integration Rank Determination in Partial Systems Using Information Criteria In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 3 |
2006 | International dynamic risk sharing In: Quaderni di Dipartimento. [Full Text][Citation analysis] | paper | 7 |
2008 | International dynamic risk sharing.(2008) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
2011 | Wild bootstrap of the mean in the infinite variance case In: Quaderni di Dipartimento. [Full Text][Citation analysis] | paper | 0 |
2011 | Bootstrap determination of the co-integration rank in VAR models In: Quaderni di Dipartimento. [Full Text][Citation analysis] | paper | 9 |
2013 | Exploiting infinite variance through Dummy Variables in non-stationary autoregressions In: Quaderni di Dipartimento. [Full Text][Citation analysis] | paper | 8 |
2013 | EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS.(2013) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
2015 | Sieve-based inference for infinite-variance linear processes In: Quaderni di Dipartimento. [Full Text][Citation analysis] | paper | 4 |
2016 | Unit root inference for non-stationary linear processes driven by infinite variance innovations In: Quaderni di Dipartimento. [Full Text][Citation analysis] | paper | 7 |
2018 | UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS.(2018) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
2016 | Bootstrapping DSGE models In: Quaderni di Dipartimento. [Full Text][Citation analysis] | paper | 1 |
2016 | Co-integration rank determination in partial systems using information criteria In: Quaderni di Dipartimento. [Full Text][Citation analysis] | paper | 1 |
2006 | Testing for unit roots in autoregressions with multiple level shifts In: Quaderni di Dipartimento. [Full Text][Citation analysis] | paper | 10 |
2007 | TESTING FOR UNIT ROOTS IN AUTOREGRESSIONS WITH MULTIPLE LEVEL SHIFTS.(2007) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | article | |
2006 | Risk sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia. In: Quaderni di Dipartimento. [Full Text][Citation analysis] | paper | 3 |
2005 | Risk Sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia.(2005) In: Rivista di Politica Economica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
2003 | Limited time series with a unit root In: Quaderni di Dipartimento. [Full Text][Citation analysis] | paper | 48 |
2005 | LIMITED TIME SERIES WITH A UNIT ROOT.(2005) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 48 | article | |
2003 | Unit root tests under time-varying variances In: Quaderni di Dipartimento. [Full Text][Citation analysis] | paper | 55 |
2005 | Unit Root Tests under Time-Varying Variances.(2005) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 55 | article | |
2006 | A note on unit root testing in the presence of level shifts In: Statistica. [Citation analysis] | article | 0 |
2003 | 03.4.2. The Asymptotic Distribution of the Dickey–Fuller Statistic under Nonnegativity Constraint In: Econometric Theory. [Full Text][Citation analysis] | article | 0 |
2005 | STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS In: Econometric Theory. [Full Text][Citation analysis] | article | 18 |
2008 | BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY In: Econometric Theory. [Full Text][Citation analysis] | article | 69 |
2008 | REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS In: Econometric Theory. [Full Text][Citation analysis] | article | 0 |
2009 | HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT In: Econometric Theory. [Full Text][Citation analysis] | article | 43 |
2009 | ROBUST INFERENCE IN AUTOREGRESSIONS WITH MULTIPLE OUTLIERS In: Econometric Theory. [Full Text][Citation analysis] | article | 7 |
2018 | DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER In: Econometric Theory. [Full Text][Citation analysis] | article | 9 |
2016 | Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order.(2016) In: Essex Finance Centre Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
2012 | Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 12 |
2015 | Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility.(2015) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | article | |
2011 | Lag length selection for unit root tests in the presence of nonstationary volatility.(2011) In: Research Memorandum. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2009 | Consumption risk sharing and adjustment costs In: Economics Bulletin. [Full Text][Citation analysis] | article | 0 |
2006 | Consumption risk sharing and adjustment costs.(2006) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2012 | Bootstrap Determination of the Coâ€Integration Rank in Vector Autoregressive Models In: Econometrica. [Full Text][Citation analysis] | article | 63 |
2000 | A Rescaled Range Statistics Approach to Unit Root Tests In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 0 |
2001 | Testing the unit root hypothesis using generalized range statistics In: Econometrics Journal. [Citation analysis] | article | 10 |
2003 | Asymptotics for unit root tests under Markov regime-switching In: Econometrics Journal. [Full Text][Citation analysis] | article | 7 |
2004 | Testing stationarity under a permanent variance shift In: Economics Letters. [Full Text][Citation analysis] | article | 11 |
2007 | Testing for unit roots in time series models with non-stationary volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 98 |
2008 | Testing for a change in persistence in the presence of non-stationary volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 20 |
2006 | Testing for a change in persistence in the presence of non-stationary volatility.(2006) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
2014 | Testing for unit roots in bounded time series In: Journal of Econometrics. [Full Text][Citation analysis] | article | 57 |
2016 | Inference on co-integration parameters in heteroskedastic vector autoregressions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 23 |
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: 23 | 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: 23 | paper | |
2022 | Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 5 |
2018 | BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS.(2018) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2006 | Regional consumption dynamics and risk sharing in Italy In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 5 |
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 | |
2001 | Determining the number of cointegrating relations under rank constraints In: Economics and Quantitative Methods. [Full Text][Citation analysis] | paper | 1 |
2020 | The Wealth of Parents: Trends over Time in Assortative Mating Based on Parental Wealth In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | What Is Real and What Is Not in the Global FDI Network? In: Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
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 |
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 | 4 |
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: 4 | article | |
2020 | Determining the rank of cointegration with infinite variance In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2002 | Bounded integrated processes and unit root tests In: Statistical Methods & Applications. [Full Text][Citation analysis] | article | 2 |
2003 | Fundamentals and asset price dynamics In: Statistical Methods & Applications. [Full Text][Citation analysis] | article | 0 |
2009 | Tests for cointegration rank and choice of the alternative In: Statistical Methods & Applications. [Full Text][Citation analysis] | article | 0 |
1999 | A new approach to stock price modelling and the efficiency of the Italian stock exchange In: Statistical Methods & Applications. [Full Text][Citation analysis] | article | 0 |
1999 | Firm size and the Italian Stock Exchange In: Applied Economics Letters. [Full Text][Citation analysis] | article | 4 |
2005 | Testing mean reversion in target-zone exchange rates In: Applied Economics. [Full Text][Citation analysis] | article | 3 |
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 | 13 |
2013 | Wild Bootstrap of the Sample Mean in the Infinite Variance Case In: Econometric Reviews. [Full Text][Citation analysis] | article | 3 |
2020 | Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 12 |
2015 | Bootstrap Testing of Hypotheses on Co?Integration Relations in Vector Autoregressive Models In: Econometrica. [Full Text][Citation analysis] | article | 8 |
2022 | Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 0 |
2018 | EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT In: Annals of Financial Economics (AFE). [Full Text][Citation analysis] | article | 2 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 3 2023. Contact: CitEc Team