28
H index
53
i10 index
3741
Citations
| 28 H index 53 i10 index 3741 Citations RESEARCH PRODUCTION: 73 Articles 69 Papers EDITOR: Books edited RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Pentti Saikkonen. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2023 | . Full description at Econpapers || Download paper | |
2023 | Does Domestic Food Production Contribute to Improved Life Expectancy? Evidence from Low-Income Food-Deficit Countries (LIFDCS In Africa. (2023). Nzeh, Innocent Chile. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:330864. Full description at Econpapers || Download paper | |
2023 | Functional Principal Component Analysis of Cointegrated Functional Time Series. (2020). Seo, Won-Ki. In: Papers. RePEc:arx:papers:2011.12781. Full description at Econpapers || Download paper | |
2024 | Testing for Nonlinear Cointegration under Heteroskedasticity. (2021). Massing, Till ; Hanck, Christoph. In: Papers. RePEc:arx:papers:2102.08809. Full description at Econpapers || Download paper | |
2023 | Performance of Empirical Risk Minimization for Linear Regression with Dependent Data. (2021). Brownlees, Christian ; Gudhmundsson, Gudhmundur Stef'An. In: Papers. RePEc:arx:papers:2104.12127. Full description at Econpapers || Download paper | |
2023 | Efficiently Detecting Multiple Structural Breaks in Systems of Linear Regression Equations with Integrated and Stationary Regressors. (2022). Schweikert, Karsten. In: Papers. RePEc:arx:papers:2201.05430. Full description at Econpapers || Download paper | |
2024 | The Local to Unity Dynamic Tobit Model. (2022). Duffy, James A ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2210.02599. Full description at Econpapers || Download paper | |
2023 | Cointegration with Occasionally Binding Constraints. (2022). Mavroeidis, Sophocles ; Wycherley, Sam ; Duffy, James A. In: Papers. RePEc:arx:papers:2211.09604. Full description at Econpapers || Download paper | |
2023 | Estimating the non-Gaussian Dimension in Structural Linear Systems. (2022). Cabello, Miguel. In: Papers. RePEc:arx:papers:2212.07263. Full description at Econpapers || Download paper | |
2023 | Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors. (2023). Trapin, Luca ; Sun, LI ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2301.01362. Full description at Econpapers || Download paper | |
2023 | Quantile Autoregression-based Non-causality Testing. (2023). Jin, Weifeng. In: Papers. RePEc:arx:papers:2301.02937. Full description at Econpapers || Download paper | |
2024 | Estimating the Effects of Fiscal Policy using a Novel Proxy Shrinkage Prior. (2023). Pruser, Jan ; Klein, Mathias ; Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2302.13066. Full description at Econpapers || Download paper | |
2024 | Uncertain Prior Economic Knowledge and Statistically Identified Structural Vector Autoregressions. (2023). Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2303.13281. Full description at Econpapers || Download paper | |
2023 | Semiparametrically Optimal Cointegration Test. (2023). Zhou, BO. In: Papers. RePEc:arx:papers:2305.08880. Full description at Econpapers || Download paper | |
2024 | Optimization of the Generalized Covariance Estimator in Noncausal Processes. (2023). Jasiak, Joann ; Hecq, Alain ; Cubadda, Gianluca ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2306.14653. Full description at Econpapers || Download paper | |
2023 | Asymptotics for the Generalized Autoregressive Conditional Duration Model. (2023). Cavaliere, Giuseppe ; Vilandt, Frederik ; Rahbek, Anders ; Mikosch, Thomas. In: Papers. RePEc:arx:papers:2307.01779. Full description at Econpapers || Download paper | |
2023 | Limit Theory under Network Dependence and Nonstationarity. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.01418. Full description at Econpapers || Download paper | |
2023 | Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.13915. Full description at Econpapers || Download paper | |
2023 | Spectral identification and estimation of mixed causal-noncausal invertible-noninvertible models. (2023). Hecq, Alain ; Velasquez-Gaviria, Daniel. In: Papers. RePEc:arx:papers:2310.19543. Full description at Econpapers || Download paper | |
2023 | Optimal Estimation Methodologies for Panel Data Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.03471. Full description at Econpapers || Download paper | |
2024 | Structural Analysis of Vector Autoregressive Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402. Full description at Econpapers || Download paper | |
2024 | Common Trends and Long-Run Multipliers in Nonlinear Structural VARs. (2024). Mavroeidis, Sophocles ; Duffy, James A. In: Papers. RePEc:arx:papers:2404.05349. Full description at Econpapers || Download paper | |
2024 | Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference. (2024). Lütkepohl, Helmut ; Lutkepohl, Helmut ; Wo, Tomasz ; Uzeda, Luis ; Shang, Fei. In: Papers. RePEc:arx:papers:2404.11057. Full description at Econpapers || Download paper | |
2024 | Identification by non-Gaussianity in structural threshold and smooth transition vector autoregressive models. (2024). Virolainen, Savi. In: Papers. RePEc:arx:papers:2404.19707. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Stock Markets Response to Real Output Shocks in China: A VARwAL Estimation. (2023). Wu, Kexing ; Ulku, Numan. In: China & World Economy. RePEc:bla:chinae:v:31:y:2023:i:5:p:1-25. Full description at Econpapers || Download paper | |
2024 | Exchange rates and political uncertainty: the Brexit case. (2024). Moramarco, Graziano ; Manasse, Paolo ; Trigilia, Giulio. In: Economica. RePEc:bla:econom:v:91:y:2024:i:362:p:621-652. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Noncausal affine processes with applications to derivative pricing. (2023). Lu, Yang ; Gourieroux, Christian. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:766-796. Full description at Econpapers || Download paper | |
2023 | Dynamic Mixture Vector Autoregressions with Score-Driven Weights. (2023). Umlandt, Dennis ; Neuenkirch, Matthias ; Gretener, Alexander Georges. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10366. Full description at Econpapers || Download paper | |
2023 | A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523. Full description at Econpapers || Download paper | |
2023 | Global spillovers from multi-dimensional US monetary policy. (2023). Georgiadis, Georgios ; Jarociski, Marek. In: Working Paper Series. RePEc:ecb:ecbwps:20232881. Full description at Econpapers || Download paper | |
2023 | Exchange Rate (MIS-) Alignment: An Application of the Behavioural Equilibrium Exchange Rate (beer) Approach to Zimbabwe (1990-2018). (2023). Mugwira, Vincent ; Pasara, Michael Takudzwa. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2023-05-15. Full description at Econpapers || Download paper | |
2023 | Does digital finance change the stability of money demand function? Evidence from China. (2023). Lu, Yao ; Zhan, Shuwei ; Wang, Lijun. In: Journal of Asian Economics. RePEc:eee:asieco:v:88:y:2023:i:c:s1049007823000696. Full description at Econpapers || Download paper | |
2023 | Vector autoregression models with skewness and heavy tails. (2023). Karlsson, Sune ; Nguyen, Hoang ; Mazur, Stepan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002834. Full description at Econpapers || Download paper | |
2023 | Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles. (2023). Wang, Shu ; Herwartz, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:151:y:2023:i:c:s0165188923000362. Full description at Econpapers || Download paper | |
2023 | Eurozone prices: A tale of convergence and divergence. (2023). Garcia-Hiernaux, Alfredo ; Guerrero, David E ; Gonzalez-Perez, Maria T. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002304. Full description at Econpapers || Download paper | |
2023 | Refining set-identification in VARs through independence. (2023). Wright, Jonathan H ; Drautzburg, Thorsten. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1827-1847. Full description at Econpapers || Download paper | |
2023 | Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions. (2023). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:643-665. Full description at Econpapers || Download paper | |
2023 | Penetrating sporadic return predictability. (2023). Xie, Xinling ; Tu, Yundong. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:1:s0304407623002257. Full description at Econpapers || Download paper | |
2023 | Dynamic conditional eigenvalue GARCH. (2023). Rahbek, Anders ; Pedersen, Rasmus Sondergaard ; Hetland, Simon. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002141. Full description at Econpapers || Download paper | |
2024 | Semi-parametric single-index predictive regression models with cointegrated regressors. (2024). GAO, Jiti ; Zhou, Weilun ; Kew, Hsein ; Harris, David. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002932. Full description at Econpapers || Download paper | |
2024 | High-dimensional IV cointegration estimation and inference. (2024). Phillips, Peter ; Kheifets, Igor L. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s030440762300338x. Full description at Econpapers || Download paper | |
2024 | Towards a greener future: How green technology innovation and energy efficiency are transforming sustainability. (2024). Nazar, Raima ; Rasool, Zeeshan ; Song, Aifeng ; Anser, Muhammad Khalid. In: Energy. RePEc:eee:energy:v:290:y:2024:i:c:s0360544223032851. Full description at Econpapers || Download paper | |
2023 | Domestic macroeconomic determinants of precious metals prices in developed and emerging economies: An international analysis of the long and short run. (2023). O'Connor, Fergal ; Usman, Hafiz Muhammad. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003290. Full description at Econpapers || Download paper | |
2024 | Assessing deforestation in the Brazilian forests: An econometric inquiry into the load capacity curve for deforestation. (2024). Ayad, Hicham ; Abdelkader, Salim Bourchid ; Hassoun, Salaheddine Sari ; Abddel-Jalil, Osama Azmi. In: Forest Policy and Economics. RePEc:eee:forpol:v:159:y:2024:i:c:s1389934123002307. Full description at Econpapers || Download paper | |
2023 | Early Warning Systems for identifying financial instability. (2023). Sanfelici, Simona ; Allaj, Erindi. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1777-1803. Full description at Econpapers || Download paper | |
2024 | Predicting recessions using VIX–yield curve cycles. (2024). Hansen, Anne Lundgaard. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:409-422. Full description at Econpapers || Download paper | |
2024 | Forecasting the equity premium with frequency-decomposed technical indicators. (2024). Stein, Tobias. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:6-28. Full description at Econpapers || Download paper | |
2023 | Monetary policy and information shocks in a block-recursive SVAR. (2023). Seepe, Andre ; Hetzenecker, Stephan ; Keweloh, Sascha A. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623000931. Full description at Econpapers || Download paper | |
2023 | The sustainability of current account in the BRICS countries depends on economic policies’ support to structural adaptation. (2023). Singh, Tarlok. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:45:y:2023:i:3:p:570-591. Full description at Econpapers || Download paper | |
2023 | Economic development, natural resource utilization, GHG emissions and sustainable development: A case study of China. (2023). Muda, Iskandar ; Ali, Anis ; al Shraah, Ata ; Alhasan, Tariq Kamal ; Wong, Wing-Keung ; Ze, FU. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003070. Full description at Econpapers || Download paper | |
2023 | Innovation, natural resources abundance, climate change and green growth in agriculture. (2023). Huang, Zilong ; He, Jun ; Ren, Xiaocong. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pa:s0301420723006815. Full description at Econpapers || Download paper | |
2023 | Natural resources revenues, shadow economy and financial institutions depth: The way forward. (2023). Ali, Adnan ; Ur, Sami ; Ul, Zahoor ; Amin, Muhammad Yusuf ; Faisal, Faisal. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pb:s0301420723005603. Full description at Econpapers || Download paper | |
2024 | FinTech and sustainable financing for low carbon energy transitions: A biodiversity and natural resource perspective in BRICS economies. (2024). Fu, HU ; Wong, Wing-Keung ; Zeng, LI ; Bach, Pham Xuan ; Thanh, Dinh Thi ; Cong, Phan The ; Mahmoud, Haitham A. In: Resources Policy. RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723011972. Full description at Econpapers || Download paper | |
2023 | The key roles of renewable energy and economic growth in disaggregated environmental degradation: Evidence from highly developed, heterogeneous and cross-correlated countries. (2023). Arauzo-Carod, Josep-Maria ; Kostakis, Ioannis. In: Renewable Energy. RePEc:eee:renene:v:206:y:2023:i:c:p:1315-1325. Full description at Econpapers || Download paper | |
2023 | Assessing consensus on nexus between natural gas consumption and economic growth. (2023). Olafuyi, Saburi G ; Okoro, Emeka E. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:187:y:2023:i:c:s1364032123005324. Full description at Econpapers || Download paper | |
2024 | Environmental consequences of trade-induced uncertainty: Evidence from econometric estimation. (2024). Ali, Sajid ; Nazar, Raima ; Wan, Lihong ; Anser, Muhammad Khalid. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:191:y:2024:i:c:s1364032123009644. Full description at Econpapers || Download paper | |
2024 | Environmental sustainability and health outcomes: Do ICT diffusion and technological innovation matter?. (2024). OMRI, Anis ; Kahouli, Bassem ; Kahia, Montassar. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:1-11. Full description at Econpapers || Download paper | |
2023 | The motifs of risk transmission in multivariate time series: Application to commodity prices. (2023). Spelta, Alessandro ; Pagnottoni, Paolo. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:87:y:2023:i:pb:s0038012122002609. Full description at Econpapers || Download paper | |
2023 | Strong mixing properties of discrete-valued time series with exogenous covariates. (2023). Truquet, Lionel. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:160:y:2023:i:c:p:294-317. Full description at Econpapers || Download paper | |
2023 | Does exporting cause productivity growth? Evidence from Chilean firms. (2023). Coad, Alex ; Ciarli, Tommaso ; Moneta, Alessio. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:66:y:2023:i:c:p:228-239. Full description at Econpapers || Download paper | |
2023 | Labor Productivity, Real Wages, and Employment in OECD Economies. (2023). Cruz, Manuel David. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:66:y:2023:i:c:p:367-382. Full description at Econpapers || Download paper | |
2023 | Are we making progress on decarbonization? A panel heterogeneous study of the long-run relationship in selected economies. (2023). Skare, Marinko ; Porada-Rocho, Magorzata. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:188:y:2023:i:c:s0040162522008009. Full description at Econpapers || Download paper | |
2023 | Green trade or green technology? The way forward for G-7 economies to achieve COP 26 targets while making competing policy choices. (2023). Naqvi, Bushra ; Abbas, Syed Kumail ; Han, Zhiyong ; Bai, Jiancheng. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:191:y:2023:i:c:s0040162523001622. Full description at Econpapers || Download paper | |
2024 | Transition towards environmental sustainability through financial inclusion, and digitalization in China: Evidence from novel quantile-on-quantile regression and wavelet coherence approach. (2024). Ali, Kishwar ; Zhang, Wei ; Bakhsh, Satar ; Anas, Muhammad. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:198:y:2024:i:c:s0040162523006984. Full description at Econpapers || Download paper | |
2024 | Energy as the new frontier: Dynamic panel data analysis revealing energys transformative role in economic growth and technological progress. (2024). Skare, Marinko ; Ozturk, Ilhan ; Stjepanovic, Sasa ; Porada-Rocho, Magorzata. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:200:y:2024:i:c:s0040162523008600. Full description at Econpapers || Download paper | |
2024 | Robots for sustainability: Evaluating ecological footprints in leading AI-driven industrial nations. (2024). Ali, Sajid ; Rasool, Zeeshan ; Liu, Lei ; Nazar, Raima ; Wang, Canghong. In: Technology in Society. RePEc:eee:teinso:v:76:y:2024:i:c:s0160791x24000083. Full description at Econpapers || Download paper | |
2023 | Identification Using Higher-Order Moments Restrictions. (2023). ferroni, filippo ; Andrade, Philippe ; Melosi, Leonardo. In: Working Paper Series. RePEc:fip:fedhwp:96666. Full description at Econpapers || Download paper | |
2023 | Detecting Common Bubbles in Multivariate Mixed Causal–Noncausal Models. (2023). Hecq, Alain ; Cubadda, Gianluca ; Voisin, Elisa. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:1:p:9-:d:1092261. Full description at Econpapers || Download paper | |
2023 | Forecasting Methods of Key Ratios and Their Impact in Company’s Value. (2023). Galanos, Christos ; Artsidakis, Stylianos ; Liapis, Angelos. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:3:p:140-:d:1075564. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2024 | Price Dynamics in South African Agriculture: A Study of Cross-Commodity Spillovers between Grain and Livestock Markets. (2024). Jammer, Brent Damian ; Monteiro, Markus Arlindo. In: Sustainability. RePEc:gam:jsusta:v:16:y:2024:i:8:p:3136-:d:1372755. Full description at Econpapers || Download paper | |
2023 | Does political risk undermine environment and economic development in Pakistan? Empirical evidence from China–Pakistan economic corridor. (2023). Ashraf, Junaid. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:1:d:10.1007_s10644-022-09434-z. Full description at Econpapers || Download paper | |
2023 | Climate risk and investment in equities in Europe: a Panel SVAR approach. (2023). Parla, Fabio ; Cipollini, Andrea. In: Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance). RePEc:mod:wcefin:0093. Full description at Econpapers || Download paper | |
2023 | The price and income elasticities of natural gas demand in Azerbaijan: Is there room to export more?. (2023). Gurbanov, Sarvar ; Maharramli, Shahin ; Mukhtarov, Shahriyar ; Mikayilov, Jeyhun I. In: Palgrave Communications. RePEc:pal:palcom:v:10:y:2023:i:1:d:10.1057_s41599-023-01987-2. Full description at Econpapers || Download paper | |
2024 | Risk-taking and systemic banking crisis in Africa: do regulatory policy framework provide new insight in threshold models?. (2024). Sarpong-Kumankoma, Emmanuel ; Ofori-Sasu, Daniel ; Abor, Joshua Yindenaba ; Agbloyor, Elikplimi Komla ; Kuttu, Saint. In: Risk Management. RePEc:pal:risman:v:26:y:2024:i:2:d:10.1057_s41283-023-00137-x. Full description at Econpapers || Download paper | |
2023 | State-level Taylor rule and monetary policy stress. (2023). Gajewski, Pawe ; Duran, Hasan Engin. In: Equilibrium. Quarterly Journal of Economics and Economic Policy. RePEc:pes:ierequ:v:18:y:2023:i:1:p:89-120. Full description at Econpapers || Download paper | |
2024 | Monetary Policy: Crafting a Path for Pakistan’s Economic Stability. (2024). . In: PIDE Books. RePEc:pid:pbooks:2024:03. Full description at Econpapers || Download paper | |
2023 | Estimating and Testing for Functional Coefficient Quantile Cointegrating Regression. (2023). Zheng, Chaowen ; Zhang, Jing ; Li, Haiqi. In: Economics Discussion Papers. RePEc:rdg:emxxdp:em-dp2023-07. Full description at Econpapers || Download paper | |
2023 | Detecting Common Bubbles in Multivariate Mixed Causal-noncausal Models. (2023). Hecq, Alain ; Cubadda, Gianluca ; Voisin, Elisa. In: CEIS Research Paper. RePEc:rtv:ceisrp:555. Full description at Econpapers || Download paper | |
2023 | Asymmetric effect of financial globalization on carbon emissions in G7 countries: Fresh insight from quantile-on-quantile regression. (2023). Aladenika, Bisola ; Akpan, Usenobong ; Akadiri, Seyi Saint ; Adebayo, Tomiwa Sunday. In: Energy & Environment. RePEc:sae:engenv:v:34:y:2023:i:5:p:1285-1304. Full description at Econpapers || Download paper | |
2023 | Analyzing the Drivers of the Shadow Economy for the Case of the CESEE Region. (2023). Gkmenoalu, Korhan ; Amir, Aysel. In: Journal of Economics / Ekonomicky casopis. RePEc:sav:journl:v:71:y:2023:i:2:p:155-181. Full description at Econpapers || Download paper | |
2023 | Forecasting binary outcomes in soccer. (2023). Mattera, Raffaele. In: Annals of Operations Research. RePEc:spr:annopr:v:325:y:2023:i:1:d:10.1007_s10479-021-04224-8. Full description at Econpapers || Download paper | |
2023 | Identification of causal relationships in non-stationary time series with an information measure: Evidence for simulated and financial data. (2023). Diks, Cees ; Kugiumtzis, Dimitris ; Kyrtsou, Catherine ; Papana, Angeliki. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:3:d:10.1007_s00181-022-02275-9. Full description at Econpapers || Download paper | |
2023 | A new quadratic asymmetric error correction model: does size matter?. (2023). Alsamara, Mouyad ; Mrabet, Zouhair ; Mnasri, Ayman. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:1:d:10.1007_s00181-022-02323-4. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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Year | Title | Type | Cited |
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2008 | Parameter estimation in nonlinear AR-GARCH models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 19 |
2011 | PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS.(2011) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | article | |
2008 | Parameter Estimation in Nonlinear AR-GARCH Models.(2008) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
2010 | Parameter estimation in nonlinear AR–GARCH models.(2010) In: Koç University-TUSIAD Economic Research Forum Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
2008 | Parameter estimation in nonlinear AR-GARCH models.(2008) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
2015 | Identification and estimation of non-Gaussian structural vector autoregressions In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 91 |
2017 | Identification and estimation of non-Gaussian structural vector autoregressions.(2017) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 91 | article | |
2001 | Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes In: CeNDEF Workshop Papers, January 2001. [Citation analysis] | paper | 26 |
2003 | Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes.(2003) In: Journal of Financial Econometrics. [Citation analysis] This paper has nother version. Agregated cites: 26 | article | |
2000 | Modeling the US short-term interest rate by mixture autoregressive processes.(2000) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
2017 | Testing for observation-dependent regime switching in mixture autoregressive models In: Papers. [Full Text][Citation analysis] | paper | 6 |
2021 | Testing for observation-dependent regime switching in mixture autoregressive models.(2021) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2018 | A mixture autoregressive model based on Students $t$-distribution In: Papers. [Full Text][Citation analysis] | paper | 1 |
2023 | A mixture autoregressive model based on Student’s t–distribution.(2023) In: Communications in Statistics - Theory and Methods. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2019 | Stationarity and ergodicity of vector STAR models In: Papers. [Full Text][Citation analysis] | paper | 2 |
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2019 | Subgeometric ergodicity and $\beta$-mixing In: Papers. [Full Text][Citation analysis] | paper | 0 |
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2001 | Testing for the cointegrating rank of a VAR process with structural shifts.(2001) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 211 | paper | |
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2002 | Comparison of Unit Root Tests for Time Series with Level Shifts.(2002) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 214 | paper | |
1999 | Comparison of unit root tests for time series with level shifts.(1999) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 214 | paper | |
2003 | Reducing size distortions of parametric stationarity tests In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 6 |
2000 | Reducing size distortions of parametric stationarity tests.(2000) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
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2006 | Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break.(2006) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | paper | |
2006 | Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break.(2006) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | paper | |
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2007 | Stability of nonlinear AR-GARCH models.(2007) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
2015 | A Gaussian Mixture Autoregressive Model for Univariate Time Series In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 20 |
2016 | Testing for a Unit Root in Noncausal Autoregressive Models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 10 |
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2001 | Test procedures for unit roots in time series with level shifts at unknown time.(2001) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 84 | paper | |
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2009 | GMM Estimation with Noncausal Instruments.(2009) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2011 | Noncausal Autoregressions for Economic Time Series In: Journal of Time Series Econometrics. [Full Text][Citation analysis] | article | 67 |
2010 | Noncausal autoregressions for economic time series.(2010) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 67 | paper | |
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1999 | LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS In: Econometric Theory. [Full Text][Citation analysis] | article | 28 |
1997 | Local power of likelihood ratio tests for the cointegrating rank of a VAR process.(1997) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | paper | |
2000 | TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT In: Econometric Theory. [Full Text][Citation analysis] | article | 187 |
1998 | Testing for the cointegrating rank of a VAR process with an intercept.(1998) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 187 | paper | |
2001 | CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS In: Econometric Theory. [Full Text][Citation analysis] | article | 14 |
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2002 | TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME In: Econometric Theory. [Full Text][Citation analysis] | article | 188 |
2000 | Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time.(2000) In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 188 | paper | |
1999 | Testing for a unit root in a time series with a level shift at unknown time.(1999) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 188 | paper | |
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2006 | BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING In: Econometric Theory. [Full Text][Citation analysis] | article | 14 |
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2007 | Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models.(2007) In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 46 | paper | |
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2010 | Noncausal Vector Autoregression.(2010) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | paper | |
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1993 | Point Optimal Tests for Testing the Order of Differencing in ARIMA Models In: Econometric Theory. [Full Text][Citation analysis] | article | 18 |
1993 | A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root In: Econometric Theory. [Full Text][Citation analysis] | article | 0 |
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2001 | Testing for the cointegrating rank of a VAR process with level shift at unknown time.(2001) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 66 | paper | |
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2000 | Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 69 |
2003 | Comparison of tests for the cointegrating rank of a VAR process with a structural shift.(2003) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 69 | article | |
2000 | Comparison of tests for the cointegrating rank of a VAR process with a structural shift.(2000) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 69 | paper | |
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2008 | Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term.(2008) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
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2000 | Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process.(2000) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 107 | paper | |
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2005 | Non-linear GARCH models for highly persistent volatility In: Econometrics Journal. [Full Text][Citation analysis] | article | 27 |
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2004 | Residual Autocorrelation Testing for Vector Error Correction Models.(2004) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
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1995 | Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes.(1995) In: SFB 373 Discussion Papers. [Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
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2000 | Testing for the cointegrating rank of a VAR process with a time trend In: Journal of Econometrics. [Full Text][Citation analysis] | article | 209 |
1997 | Testing for the Cointegrating Rank of a VAR Process with a Time Trend.(1997) In: SFB 373 Discussion Papers. [Citation analysis] This paper has nother version. Agregated cites: 209 | paper | |
2012 | Optimal forecasting of noncausal autoregressive time series In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 41 |
2010 | Optimal Forecasting of Noncausal Autoregressive Time Series.(2010) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 41 | paper | |
2013 | Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 7 |
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2010 | A note on the geometric ergodicity of a nonlinear AR–ARCH model.(2010) In: Koç University-TUSIAD Economic Research Forum Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2004 | Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift In: Economics Working Papers. [Full Text][Citation analysis] | paper | 16 |
2005 | Modeling Conditional Skewness in Stock Returns In: Economics Working Papers. [Full Text][Citation analysis] | paper | 15 |
2007 | Modeling Conditional Skewness in Stock Returns.(2007) In: The European Journal of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | article | |
2008 | Modeling Expectations with Noncausal Autoregressions In: Economics Working Papers. [Full Text][Citation analysis] | paper | 7 |
2008 | Modeling Expectations with Noncausal Autoregressions.(2008) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
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1999 | Testing for unit roots in time series with level shifts In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
1999 | Unit root tests for time series with a structural break: When the break point is known In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
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