Matei Demetrescu : Citation Profile


Are you Matei Demetrescu?

8

H index

8

i10 index

268

Citations

RESEARCH PRODUCTION:

44

Articles

17

Papers

RESEARCH ACTIVITY:

   17 years (2005 - 2022). See details.
   Cites by year: 15
   Journals where Matei Demetrescu has often published
   Relations with other researchers
   Recent citing documents: 26.    Total self citations: 28 (9.46 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pde359
   Updated: 2023-11-04    RAS profile: 2022-09-27    
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Relations with other researchers


Works with:

Rodrigues, Paulo (8)

Taylor, Robert (3)

Hosseinkouchack, Mehdi (2)

Hacioglu Hoke, Sinem (2)

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

Is cited by:

Gil-Alana, Luis (22)

Hassler, Uwe (21)

Rodrigues, Paulo (19)

Taylor, Robert (11)

Czudaj, Robert (10)

Caporale, Guglielmo Maria (10)

Velasco, Carlos (9)

Costantini, Mauro (7)

GUPTA, RANGAN (7)

Lupi, Claudio (6)

Nielsen, Morten (5)

Cites to:

Phillips, Peter (61)

Taylor, Robert (45)

Cavaliere, Giuseppe (37)

Hassler, Uwe (37)

Campbell, John (36)

Diebold, Francis (30)

Chang, Yoosoon (27)

Vogelsang, Timothy (26)

Elliott, Graham (24)

Kiefer, Nicholas (20)

Teräsvirta, Timo (18)

Main data


Where Matei Demetrescu has published?


Journals with more than one article published# docs
Statistical Papers3
Economics Letters3
Journal of Time Series Analysis3
Econometric Theory3
Journal of Econometrics3
Journal of Applied Econometrics3
Oxford Bulletin of Economics and Statistics3
Computational Statistics & Data Analysis2
Journal of Business & Economic Statistics2
International Journal of Forecasting2
Economics Bulletin2
Journal of Time Series Econometrics2
Econometric Reviews2
AStA Advances in Statistical Analysis2
Stochastics and Quality Control2

Working Papers Series with more than one paper published# docs
Working Papers / Banco de Portugal, Economics and Research Department4
Essex Finance Centre Working Papers / University of Essex, Essex Business School3
VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy / Verein für Socialpolitik / German Economic Association2

Recent works citing Matei Demetrescu (2023 and 2022)


YearTitle of citing document
2023New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01191.

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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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2023Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2302.05193.

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2023Estimation and Inference in Threshold Predictive Regression Models with Locally Explosive Regressors. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.00860.

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2023Bootstrapping Nonstationary Autoregressive Processes with Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2307.14463.

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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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2023Assessing the World Bank’s growth forecasts. (2023). Tsuchiya, Yoichi. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:64-84.

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2023A new robust inference for predictive quantile regression. (2023). Liao, Xiaosai ; Chen, Haiqiang ; Cai, Zongwu. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:227-250.

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2022Research on influencing factors of renewable energy, energy efficiency, on technological innovation. Does trade, investment and human capital development matter?. (2022). Kolani, Kibir ; Ugwuoke, Ifeanyi Celestine ; Okolo, Chukwuemeka Valentine ; Wen, Jun. In: Energy Policy. RePEc:eee:enepol:v:160:y:2022:i:c:s0301421521005838.

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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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2023Modeling volatility and dependence of European carbon and energy prices. (2023). Arsova, Antonia ; Ziel, Florian ; Pappert, Sven ; Berrisch, Jonathan. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322006791.

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2022The criticality of international tourism and technological innovation for carbon neutrality across regional development levels. (2022). Wu, Yiyun ; Zhu, Xiwei ; Ahmad, Munir. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:182:y:2022:i:c:s0040162522003729.

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2023Sovereign bond and CDS market contagion: A story from the Eurozone crisis. (2023). Panagiotidis, Theodore ; Politsidis, Panagiotis ; Bampinas, Georgios. In: Post-Print. RePEc:hal:journl:hal-04164277.

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2023Forecasting the Dynamic Correlation of Stock Indices Based on Deep Learning Method. (2023). Xu, Yue ; Ni, Jian. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:1:d:10.1007_s10614-021-10198-3.

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2022Cross-Sectional Error Dependence in Panel Quantile Regressions. (2022). , Paulo ; Demetrescu, Matei ; Hosseinkouchack, Mehdi. In: Working Papers. RePEc:ptu:wpaper:w202213.

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2022Does tourism promote economic growth? A fractionally integrated heterogeneous panel data analysis. (2022). Rachinger, Heiko ; Santana-Gallego, Mara ; Prez-Rodrguez, Jorge V. In: Tourism Economics. RePEc:sae:toueco:v:28:y:2022:i:5:p:1355-1376.

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2022The role of domestic and foreign economic uncertainties in determining the foreign exchange rates: an extended monetary approach. (2022). Woahid, S M. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:46:y:2022:i:4:d:10.1007_s12197-022-09589-5.

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2023Global warming and urbanization. (2023). Meierrieks, Daniel ; Helbling, Marc. In: Journal of Population Economics. RePEc:spr:jopoec:v:36:y:2023:i:3:d:10.1007_s00148-022-00924-y.

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2022Dynamic factor models: Does the specification matter?. (2022). Miranda, Karen ; Ruiz, Esther ; Poncela, Pilar. In: SERIEs: Journal of the Spanish Economic Association. RePEc:spr:series:v:13:y:2022:i:1:d:10.1007_s13209-021-00248-2.

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2022Quantifying the data-dredging bias in structural break tests. (2022). Hoga, Yannick. In: Statistical Papers. RePEc:spr:stpapr:v:63:y:2022:i:1:d:10.1007_s00362-021-01233-4.

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2022Fundamental determinants of exchange rate expectations. (2022). Czudaj, Robert ; Beckmann, Joscha. In: Chemnitz Economic Papers. RePEc:tch:wpaper:cep056.

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2022Long?run predictability tests are even worse than you thought. (2022). Hjalmarsson, Erik ; Kiss, Tamas. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:7:p:1334-1355.

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Works by Matei Demetrescu:


YearTitleTypeCited
2012The Power of Unit Root Tests Against Nonlinear Local Alternatives In: CREATES Research Papers.
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paper7
2013The power of unit root tests against nonlinear local alternatives.(2013) In: Journal of Time Series Analysis.
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article
2016Fixed-b Inference in the Presence of Time-Varying Volatility In: CREATES Research Papers.
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paper0
2021Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models In: CREATES Research Papers.
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paper0
2014IV-BASED COINTEGRATION TESTING IN DEPENDENT PANELS WITH TIME-VARYING VARIANCE In: Journal of Time Series Analysis.
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article2
2012IV-Based Cointegration Testing in Dependent Panels with Time-Varying Variance.(2012) In: VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century.
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paper
2022Autoregressive spectral estimates under ignored changes in the mean In: Journal of Time Series Analysis.
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article0
2006Combining Significance of Correlated Statistics with Application to Panel Data* In: Oxford Bulletin of Economics and Statistics.
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article58
2014Incorporating Asymmetric Preferences into Fan Charts and Path Forecasts In: Oxford Bulletin of Economics and Statistics.
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article6
2018Multiple Testing for No Cointegration under Nonstationary Volatility In: Oxford Bulletin of Economics and Statistics.
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article0
2018Predictive regressions under asymmetric loss: factor augmentation and model selection In: Bank of England working papers.
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paper3
2019Predictive regressions under asymmetric loss: Factor augmentation and model selection.(2019) In: International Journal of Forecasting.
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article
2005Determining the Parameters of a Multinomial Distribution: The Fiducial Approach In: Stochastics and Quality Control.
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article0
2006Loss Reduction in Point Estimation Problems In: Stochastics and Quality Control.
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article0
2009Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes In: Journal of Time Series Econometrics.
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article1
2015Recursive Adjustment for General Deterministic Components and Improved Cointegration Rank Tests In: Journal of Time Series Econometrics.
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article1
2008LONG MEMORY TESTING IN THE TIME DOMAIN In: Econometric Theory.
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article53
2016(WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS? In: Econometric Theory.
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article2
2021FINITE-SAMPLE SIZE CONTROL OF IVX-BASED TESTS IN PREDICTIVE REGRESSIONS In: Econometric Theory.
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article5
2007Volatility Clustering in High-Frequency Data: A self-fulfilling prophecy? In: Economics Bulletin.
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article0
2009Panel unit root testing and the martingale difference hypothesis for German stocks In: Economics Bulletin.
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article0
2009Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term In: Econometrics Journal.
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article12
2008Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term.(2008) In: Economics Working Papers.
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paper
2006An extension of the Gauss-Newton algorithm for estimation under asymmetric loss In: Computational Statistics & Data Analysis.
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article0
2010Joint forecasts of Dow Jones stocks under general multivariate loss function In: Computational Statistics & Data Analysis.
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article5
2022Testing for no cointegration in vector autoregressions with estimated degree of fractional integration In: Economic Modelling.
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article0
2012A simple nonstationary-volatility robust panel unit root test In: Economics Letters.
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article13
2014Enhancing the local power of IVX-based tests in predictive regressions In: Economics Letters.
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article2
2016Inference on the long-memory properties of time series with non-stationary volatility In: Economics Letters.
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article1
2014Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility.(2014) In: Hannover Economic Papers (HEP).
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2015Instrumental variable and variable addition based inference in predictive regressions In: Journal of Econometrics.
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article16
2022Testing for episodic predictability in stock returns In: Journal of Econometrics.
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article3
2019Testing for Episodic Predictability in Stock Returns.(2019) In: Essex Finance Centre Working Papers.
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2019Testing for Episodic Predictability in Stock Returns.(2019) In: Working Papers.
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2022Residual-augmented IVX predictive regression In: Journal of Econometrics.
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article1
2016Residual-augmented IVX predictive regression.(2016) In: Working Papers.
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2020Bias corrections for exponentially transformed forecasts: Are they worth the effort? In: International Journal of Forecasting.
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article1
2022Extensions to IVX Methods of Inference for Return Predictability In: Essex Finance Centre Working Papers.
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2021Extensions to IVX methods of inference for return predictability.(2021) In: Working Papers.
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2022Transformed Regression-based Long-Horizon Predictability Tests In: Essex Finance Centre Working Papers.
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2005Spurious Persistence and Unit Roots due to Seasonal Differencing: The Case of Inflation Rates / Künstliche Persistenz und Einheitswurzeln infolge saisonaler Differenzen: Das Beispiel Inflationsraten In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
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article6
2007Optimal forecast intervals under asymmetric loss In: Journal of Forecasting.
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article1
2019Testing for constant correlation of filtered series under structural change In: The Econometrics Journal.
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article4
2018Testing the fractionally integrated hypothesis using M estimation: With an application to stock market volatility In: Working Papers.
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paper2
2008Bias correction for the regression-based LM fractional integration test In: AStA Advances in Statistical Analysis.
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2011Asymptotic normal tests for integration in panels with cross-dependent units In: AStA Advances in Statistical Analysis.
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2011Pitfalls of post-model-selection testing: experimental quantification In: Empirical Economics.
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article16
2007Effect of neglected deterministic seasonality on unit root tests In: Statistical Papers.
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article10
2010On the Dickey–Fuller test with White standard errors In: Statistical Papers.
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article6
2013Nonlinear IV panel unit root testing under structural breaks in the error variance In: Statistical Papers.
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article2
2016Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances In: Econometric Reviews.
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article1
2021Homogeneous vs. heterogeneous transition functions in panel smooth transition regressions In: Econometric Reviews.
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2010Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost In: Journal of Applied Statistics.
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article1
2011Unit Root Testing in Heteroscedastic Panels Using the Cauchy Estimator In: Journal of Business & Economic Statistics.
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2022Nonlinear Predictability of Stock Returns? Parametric Versus Nonparametric Inference in Predictive Regressions In: Journal of Business & Economic Statistics.
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2016Directed Tests of No Cross?Sectional Correlation in Large?N Panel Data Models In: Journal of Applied Econometrics.
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article4
2021Reevaluating the prudence of economic forecasts in the EU: The role of instrument persistence In: Journal of Applied Econometrics.
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article1
2022Robust inference under time?varying volatility: A real?time evaluation of professional forecasters In: Journal of Applied Econometrics.
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2017Homogenous vs. heterogenous transition functions in smooth transition regressions: A LM-type test In: Kiel Working Papers.
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2015Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility In: VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy.
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2015Testing heteroskedastic time series for normality In: VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy.
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