17
H index
23
i10 index
1197
Citations
Universidad Carlos III de Madrid | 17 H index 23 i10 index 1197 Citations RESEARCH PRODUCTION: 48 Articles 48 Papers 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 Carlos Velasco. | Is cited by: | Cites to: |
Year | Title of citing document |
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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 |
2022 | Parametric Estimation of Long Memory in Factor Models. (2022). Ergemen, Yunus Emre. In: CREATES Research Papers. RePEc:aah:create:2022-10. Full description at Econpapers || Download paper |
2023 | A fractional Hawkes process for illiquidity modeling. (2023). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023001. Full description at Econpapers || Download paper |
2022 | Measuring the Time-Varying Market Efficiency in the Prewar Japanese Stock Market. (2019). Noda, Akihiko. In: Papers. RePEc:arx:papers:1911.04059. Full description at Econpapers || Download paper |
2022 | Cryptocurrency Trading: A Comprehensive Survey. (2020). Wu, Fan ; Martinez-Regoband, David ; Li, Lingbo ; Kanthan, Leslie ; Kong, Hoiliong ; Basios, Michail ; Ventre, Carmine ; Fang, Fan. In: Papers. RePEc:arx:papers:2003.11352. Full description at Econpapers || Download paper |
2022 | An Agent-Based Model With Realistic Financial Time Series: A Method for Agent-Based Models Validation. (2022). de Faria, Luis Goncalves. In: Papers. RePEc:arx:papers:2206.09772. Full description at Econpapers || Download paper |
2022 | Fractional integration and cointegration. (2022). Nielsen, Morten ; Hualde, Javier. In: Papers. RePEc:arx:papers:2211.10235. Full description at Econpapers || Download paper |
2022 | Spectral estimation for mixed causal-noncausal autoregressive models. (2022). Hecq, Alain ; Velasquez-Gaviria, Daniel. In: Papers. RePEc:arx:papers:2211.13830. 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 | Structured Multifractal Scaling of the Principal Cryptocurrencies: Examination using a Self-Explainable Machine Learning. (2023). Saadaoui, Foued. In: Papers. RePEc:arx:papers:2304.08440. Full description at Econpapers || Download paper |
2023 | Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617. Full description at Econpapers || Download paper |
2023 | SGMM: Stochastic Approximation to Generalized Method of Moments. (2023). Song, Myunghyun ; Shin, Youngki ; Seo, Myung Hwan ; Liao, Yuan ; Lee, Sokbae ; Chen, Xiaohong. In: Papers. RePEc:arx:papers:2308.13564. Full description at Econpapers || Download paper |
2023 | From constant to rough: A survey of continuous volatility modeling. (2023). Yurchenko-Tytarenko, Anton ; Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2309.01033. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2022 | Private sector debt and financial stability. (2022). Bank for International Settlements, . In: CGFS Papers. RePEc:bis:biscgf:67. Full description at Econpapers || Download paper |
2023 | University attendance and academic performance: Encouraging student engagement. (2023). Grydaki, Maria ; Lucey, Siobhan. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:70:y:2023:i:2:p:180-199. Full description at Econpapers || Download paper |
2022 | Do consumption-based asset pricing models explain own-history predictability in stock market returns?. (2022). Ashby, M ; Linton, O B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2259. Full description at Econpapers || Download paper |
2022 | . Full description at Econpapers || Download paper |
2022 | Exchange rate volatility and the effectiveness of FX interventions: the case of Chile. (2022). Pia, Marco ; Jara, Alejandro. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:962. Full description at Econpapers || Download paper |
2022 | Weak Identification of Long Memory with Implications for Inference. (2022). Yu, Jun ; Phillips, Peter ; Shi, Shuping. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2334. Full description at Econpapers || Download paper |
2022 | A simple and efficient numerical method for pricing discretely monitored early-exercise options. (2022). Luo, Guo ; Huang, Min. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:422:y:2022:i:c:s0096300322000716. Full description at Econpapers || Download paper |
2022 | On the semi-varying coefficient dynamic panel data model with autocorrelated errors. (2022). Huang, Lei ; Jiang, Hui ; Zhang, Hongfan ; Wei, Honglei. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:173:y:2022:i:c:s016794732200038x. Full description at Econpapers || Download paper |
2022 | Testing for no cointegration in vector autoregressions with estimated degree of fractional integration. (2022). Demetrescu, Matei ; Salish, Nazarii ; Kusin, Vladimir. In: Economic Modelling. RePEc:eee:ecmode:v:108:y:2022:i:c:s0264999321002832. Full description at Econpapers || Download paper |
2022 | Adaptive testing using data-driven method selecting smoothing parameters. (2022). Wang, Luya. In: Economics Letters. RePEc:eee:ecolet:v:215:y:2022:i:c:s0165176522001495. Full description at Econpapers || Download paper |
2022 | Quantile regression methods for first-price auctions. (2022). Guerre, Emmanuel ; Gimenes, Nathalie. In: Journal of Econometrics. RePEc:eee:econom:v:226:y:2022:i:2:p:224-247. Full description at Econpapers || Download paper |
2022 | Energy consumption and GDP: a panel data analysis with multi-level cross-sectional dependence. (2022). RodrÃÂguez Caballero, Carlos ; RodrÃÂÂguez Caballero, Carlos ; RodrÃguez Caballero, Carlos ; Rodriguez-Caballero, Carlos Vladimir. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:128-146. Full description at Econpapers || Download paper |
2022 | Overnight rate and signalling effects of central bank bills. (2022). Kaufmann, Daniel ; Canetg, Fabio. In: European Economic Review. RePEc:eee:eecrev:v:143:y:2022:i:c:s0014292122000216. Full description at Econpapers || Download paper |
2022 | Generic improvements to least squares monte carlo methods with applications to optimal stopping problems. (2022). Zhu, Dan ; Wei, Wei. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:3:p:1132-1144. Full description at Econpapers || Download paper |
2023 | Uncovering risk transmission between socially responsible investments, alternative energy investments and the implied volatility of major commodities. (2023). Aun, Syed ; Islam, Muhammad Umar ; Ali, Mohsin ; Azmi, Wajahat ; Shahid, Muhammad Naeem. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001329. Full description at Econpapers || Download paper |
2022 | Which cryptocurrency data sources should scholars use?. (2022). Vidal-Tomas, David. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000369. Full description at Econpapers || Download paper |
2023 | Multifractal cross-correlations between green bonds and financial assets. (2023). Tabak, Benjamin M. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612322007796. Full description at Econpapers || Download paper |
2022 | The effects of permanent monetary shocks on exchange rates and uncovered interest rate differentials. (2022). Uribe, Martin ; Schmitt-Grohe, Stephanie. In: Journal of International Economics. RePEc:eee:inecon:v:135:y:2022:i:c:s0022199621001409. Full description at Econpapers || Download paper |
2023 | Estimation of a dynamic multi-level factor model with possible long-range dependence. (2023). Rodriguez-Caballero, Vladimir C ; Ergemen, Yunus Emre. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:405-430. Full description at Econpapers || Download paper |
2022 | The role of heterogeneity in price rigidities for delayed nominal exchange rate overshooting. (2022). Kara, Engin ; Cooke, Dudley. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:120:y:2022:i:c:s0261560621001923. Full description at Econpapers || Download paper |
2022 | Revisiting the inflation-hedging properties of precious metals in Africa. (2022). Sephton, Peter S. In: Resources Policy. RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722001830. Full description at Econpapers || Download paper |
2023 | Price efficiency of the foreign exchange rates of BRICS countries: A comparative analysis. (2023). Sheng, Hsia Hua ; Rasheed, Abdul A ; Diniz-Maganini, Natalia. In: Latin American Journal of Central Banking (previously Monetaria). RePEc:eee:lajcba:v:4:y:2023:i:1:s2666143822000357. Full description at Econpapers || Download paper |
2022 | Multivariate rescaled range analysis. (2022). Rodriguez, E ; Alvarez-Ramirez, J ; Meraz, M. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:589:y:2022:i:c:s0378437121008815. Full description at Econpapers || Download paper |
2022 | Testing Long memory in exchange rates and its implications for the adaptive market hypothesis. (2022). Frommel, Michael ; Asif, Raheel. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:593:y:2022:i:c:s0378437122000140. Full description at Econpapers || Download paper |
2023 | Asymptotic normality of wavelet covariances and multivariate wavelet Whittle estimators. (2023). Gannaz, Irene. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:155:y:2023:i:c:p:485-534. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Social Media and Influencer Marketing for Promoting Sustainable Tourism Destinations: The Instagram Case. (2023). Kotzaivazoglou, Iordanis ; Papaioannou, Eugenia ; Kilipiri, Eleni. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:8:p:6374-:d:1118416. Full description at Econpapers || Download paper |
2023 | Which Monetary Shocks Matter in Small Open Economies? Evidence from Canada. (2023). Ha, Jongrim ; So, Inhwan. In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2023:q:2:a:8. Full description at Econpapers || Download paper |
2023 | Volatility Puzzle: Long Memory or Antipersistency. (2023). Yu, Jun ; Shi, Shuping. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:7:p:3861-3883. Full description at Econpapers || Download paper |
2022 | Inferring Causal Interactions in Financial Markets Using Conditional Granger Causality Based on Quantile Regression. (2022). Yang, Tinggan ; Wang, Yihong ; Cheng, Hong. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:2:d:10.1007_s10614-021-10107-8. Full description at Econpapers || Download paper |
2023 | Bootstrapping Whittle estimators. (2023). Paparoditis, E ; J -P Kreiss, . In: Biometrika. RePEc:oup:biomet:v:110:y:2023:i:2:p:499-518.. Full description at Econpapers || Download paper |
2022 | Comparing Past and Present Inflation*. (2022). Summers, Lawrence H ; Bolhuis, Marijn A. In: Review of Finance. RePEc:oup:revfin:v:26:y:2022:i:5:p:1073-1100.. Full description at Econpapers || Download paper |
2022 | COVID-19 and adaptive behavior of returns: evidence from commodity markets. (2022). Shahid, Muhammad Naeem. In: Palgrave Communications. RePEc:pal:palcom:v:9:y:2022:i:1:d:10.1057_s41599-022-01332-z. Full description at Econpapers || Download paper |
2022 | Does 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. Full description at Econpapers || Download paper |
2022 | A harmonically weighted filter for cyclical long memory processes. (2022). Maddanu, Federico. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:106:y:2022:i:1:d:10.1007_s10182-021-00394-9. Full description at Econpapers || Download paper |
2022 | Cryptocurrency trading: a comprehensive survey. (2022). Kanthan, Leslie ; Basios, Michail ; Ventre, Carmine ; Fang, Fan ; Li, Lingbo ; Wu, Fan ; Martinez-Rego, David. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-021-00321-6. Full description at Econpapers || Download paper |
2023 | Forecasting highly persistent time series with bounded spectrum processes. (2023). Maddanu, Federico. In: Statistical Papers. RePEc:spr:stpapr:v:64:y:2023:i:1:d:10.1007_s00362-022-01321-z. Full description at Econpapers || Download paper |
2023 | Homogeneity tests for one-way models with dependent errors under correlated groups. (2023). Taniguchi, Masanobu ; Liu, Yan ; Arakaki, Koichi ; Goto, Yuichi. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:32:y:2023:i:1:d:10.1007_s11749-022-00828-9. Full description at Econpapers || Download paper |
2023 | Gaussian semiparametric estimation Gaussian semiparametric estimation of two-dimensional intrinsically stationary random fields. (2023). Matsuda, Yasumasa ; Yajima, Yoshihiro. In: DSSR Discussion Papers. RePEc:toh:dssraa:136. Full description at Econpapers || Download paper |
2022 | A nonstationary and non?Gaussian moving average model for solar irradiance. (2022). Mather, Barry ; Hodge, Brimathias ; Kleiber, William ; Zhang, Wenqi. In: Environmetrics. RePEc:wly:envmet:v:33:y:2022:i:3:n:e2712. Full description at Econpapers || Download paper |
2022 | On the persistence of UK inflation: A long?range dependence approach. (2022). Gil-Alana, Luis ; Trani, Tommaso ; Gilalana, Luis Alberiko ; Caporale, Guglielmo Maria. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:1:p:439-454. Full description at Econpapers || Download paper |
2022 | Generalized band spectrum estimation with an application to the New Keynesian Phillips curve. (2022). Choi, Jinho ; Guo, Junjie ; Escanciano, Juan Carlos. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:5:p:1055-1078. Full description at Econpapers || Download paper |
2022 | Evaluating the Eurosystem/ECB staff macroeconomic projections: The first 20 years. (2022). Lambrias, Kyriacos ; Kontogeorgos, G. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:2:p:213-229. Full description at Econpapers || Download paper |
2022 | The Term Structure of Currency Futures Risk Premia. (2022). Bernoth, Kerstin ; de Vries, Casper ; von Hagen, Jurgen ; Vonhagen, Jurgen. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:54:y:2022:i:1:p:5-38. Full description at Econpapers || Download paper |
2022 | A consistent specification test for dynamic quantile models. (2022). Patton, Andrew ; Liao, Zhipeng ; Horvath, Peter. In: Quantitative Economics. RePEc:wly:quante:v:13:y:2022:i:1:p:125-151. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2013 | Fractional cointegration rank estimation In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 8 |
2015 | Fractional Cointegration Rank Estimation.(2015) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
2014 | Fractional Cointegration Rank Estimation.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2015 | Estimation of Fractionally Integrated Panels with Fixed Effects and Cross-Section Dependence In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 21 |
2017 | Estimation of fractionally integrated panels with fixed effects and cross-section dependence.(2017) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | article | |
2018 | Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
2019 | Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects.(2019) In: Journal of Time Series Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2012 | Model Adequacy Checks for Discrete Choice Dynamic Models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2012 | Model Adequacy Checks for Discrete Choice Dynamic Models.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2011 | An Asymptotically Pivotal Transform of the Residuals Sample Autocorrelations With Application to Model Checking In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 7 |
2000 | Long Memory in Stock-Market Trading Volume. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 105 |
1999 | Gaussian Semiparametric Estimation of Non?stationary Time Series In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 67 |
1998 | Gaussian semiparametric estimation of non-stationary time series.(1998) In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] This paper has another version. Agregated cites: 67 | paper | |
2000 | Local Cross?validation for Spectrum Bandwidth Choice In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
1998 | Local cross validation for spectrum bandwidth choice.(1998) In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2003 | Gaussian Semi?parametric Estimation of Fractional Cointegration In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 54 |
2005 | Trimming and Tapering Semi?Parametric Estimates in Asymmetric Long Memory Time Series In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 11 |
2007 | The Periodogram of fractional processes1 In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 1 |
2008 | Fractional cointegration in the presence of linear trends In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
2015 | A JOINT PORTMANTEAU TEST FOR CONDITIONAL MEAN AND VARIANCE TIME-SERIES MODELS In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
2018 | The optimal method for pricing Bermudan options by simulation In: Mathematical Finance. [Full Text][Citation analysis] | article | 2 |
1996 | Autocorrelation-Robust Inference - (Now published in Handbook of Statistics, vol.15, G S Maddala and C R Rao (eds), Elsevier Science Publishers BV (1997), pp.267-298.) In: STICERD - Econometrics Paper Series. [Citation analysis] | paper | 0 |
2000 | Edgeworth Expansions for Spectral Density Estimates and Studentized Sample Mean - (Now published in Economic Theory, 17 (2001), pp.497-539. In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 0 |
2000 | Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now published in Journal of the American Statistical Association, 95, (2000), pp.1229-1243.) In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 85 |
2005 | Distribution Free Goodness-of-Fit Tests for Linear Processes In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 27 |
2005 | Distribution free goodness-of-fit tests for linear processes.(2005) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | paper | |
2013 | Efficient Inference on Fractionally Integrated Panel Data Models with Fixed Effects In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 8 |
2015 | Efficient inference on fractionally integrated panel data models with fixed effects.(2015) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
2013 | Efficient inference on fractionally integrated panel data models with fixed effects.(2013) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2015 | Efficient inference on fractionally integrated panel data models with fixed effects.(2015) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2004 | Optimal Fractional Dickey-Fuller Tests for Unit Roots In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2020 | LM tests for joint breaks in the dynamics and level of a long-memory time series In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | LM Tests for Joint Breaks in the Dynamics and Level of a Long-Memory Time Series.(2022) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2005 | Efficient wald tests for fractional unit roots In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 83 |
2007 | Efficient Wald Tests for Fractional Unit Roots.(2007) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 83 | article | |
2007 | A new class of distribution-free tests for time series models specification In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 2 |
2009 | A new class of distribution-free tests for time series models specification.(2009) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2008 | Class Attendance and Academic Performance among Spanish Economics Students In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 1 |
2010 | A distribution-free transform of the residuals sample autocorrelations with application to model checking In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 0 |
1998 | Non-Gaussian log-periodogram regression In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 51 |
2000 | NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION.(2000) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 51 | article | |
1998 | Non-stationary log-periodogram regression In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 170 |
1999 | Non-stationary log-periodogram regression.(1999) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 170 | article | |
2003 | Generalized spectral tests for the martingale difference hypothesis In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 100 |
2006 | Generalized spectral tests for the martingale difference hypothesis.(2006) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 100 | article | |
2001 | EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN In: Econometric Theory. [Full Text][Citation analysis] | article | 30 |
2000 | Edgeworth expansions for spectral density estimates and studentized sample mean.(2000) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | paper | |
2001 | Edgeworth expansions for spectral density estimates and studentized sample mean.(2001) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | paper | |
2004 | A SIMPLE TEST OF NORMALITY FOR TIME SERIES In: Econometric Theory. [Full Text][Citation analysis] | article | 16 |
2008 | DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION In: Econometric Theory. [Full Text][Citation analysis] | article | 12 |
2006 | Distribution-free Tests of Fractional Cointegration.(2006) In: Faculty Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2011 | BOOTSTRAP ASSISTED SPECIFICATION TESTS FOR THE ARFIMA MODEL In: Econometric Theory. [Full Text][Citation analysis] | article | 2 |
2020 | ESTIMATION FOR DYNAMIC PANEL DATA WITH INDIVIDUAL EFFECTS In: Econometric Theory. [Full Text][Citation analysis] | article | 0 |
2013 | New Goodness-of-fit Diagnostics for Conditional Discrete Response Models In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
2017 | New Goodness-of-fit Diagnostics for Conditional Discrete Response Models.(2017) In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2017 | New goodness-of-fit diagnostics for conditional discrete response models.(2017) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
2002 | Residual log-periodogram inference for long-run relationships In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL). [Citation analysis] | paper | 34 |
2002 | Residual Log-Periodogram Inference for Long-Run-Relationships.(2002) In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL). [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | paper | |
2002 | Residual Log-Periodogram Inference for Long-Run-Relationships.(2002) In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL). [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | paper | |
2006 | Residual log-periodogram inference for long-run relationships.(2006) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | article | |
2002 | Residual Log-Periodogram Inference for Long-Run Relationships.(2002) In: Darmstadt Discussion Papers in Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | paper | |
2004 | Consistent Testing of Cointegrating Relationships In: Econometrica. [Full Text][Citation analysis] | article | 25 |
2004 | A simple and general test for white noise In: Econometric Society 2004 Latin American Meetings. [Full Text][Citation analysis] | paper | 0 |
2009 | Distribution-free specification tests for dynamic linear models In: Econometrics Journal. [Full Text][Citation analysis] | article | 0 |
2006 | Optimal Fractional Dickey-Fuller tests In: Econometrics Journal. [Full Text][Citation analysis] | article | 13 |
2006 | Testing the martingale difference hypothesis using integrated regression functions In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 4 |
2006 | Testing the Martingale Difference Hypothesis Using Integrated Regression Functions.(2006) In: Faculty Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2018 | Efficiency improvements for minimum distance estimation of causal and invertible ARMA models In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
2008 | Power comparison among tests for fractional unit roots In: Economics Letters. [Full Text][Citation analysis] | article | 2 |
2002 | Trend stationarity versus long-range dependence in time series analysis In: Journal of Econometrics. [Full Text][Citation analysis] | article | 11 |
2005 | Sign tests for long-memory time series In: Journal of Econometrics. [Full Text][Citation analysis] | article | 4 |
2009 | A Wald test for the cointegration rank in nonstationary fractional systems In: Journal of Econometrics. [Full Text][Citation analysis] | article | 13 |
2008 | A wald test for the cointegration rank in nonstationary fractional systems.(2008) In: Research Memorandum. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2010 | Distribution-free tests for time series models specification In: Journal of Econometrics. [Full Text][Citation analysis] | article | 3 |
2010 | Specification tests of parametric dynamic conditional quantiles In: Journal of Econometrics. [Full Text][Citation analysis] | article | 24 |
2010 | Specification tests of parametric dynamic conditional quantiles.(2010) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | paper | |
2008 | Specification Tests of Parametric Dynamic Conditional Quantiles.(2008) In: CAEPR Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | paper | |
2013 | Tests for m-dependence based on sample splitting methods In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
2011 | Tests for m-dependence Based on Sample Splitting Methods.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2018 | Inference on trending panel data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
2018 | Inference on trending panel data.(2018) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2020 | Recursive lower and dual upper bounds for Bermudan-style options In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 2 |
2000 | Whittle pseudo-maximum likelihood estimation for nonstationary time series In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 117 |
2022 | Single step estimation of ARMA roots for nonfundamental nonstationary fractional models In: The Econometrics Journal. [Full Text][Citation analysis] | article | 1 |
2013 | On the Properties of Regression Tests of Stock Return Predictability Using Dividend-Price Ratios In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
2014 | On the Properties of Regression Tests of Stock Return Predictability Using Dividend-Price Ratios.(2014) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2014 | Delayed Overshooting: Its an 80s Puzzle In: Staff Papers. [Full Text][Citation analysis] | paper | 24 |
2000 | FRACTIONAL COINTEGRATING REGRESSION IN THE PRESENCE OF LINEAR TIME TRENDS In: Computing in Economics and Finance 2000. [Citation analysis] | paper | 2 |
2011 | Do Foreign Excess Return Regressions Convey Valid Information? In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2011 | On the Properties of Regression Tests of Asset Return Predictability In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2011 | The Forward Discount Puzzle: Identi cation of Economic Assumptions In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
2009 | Comments on: A review on empirical likelihood methods for regression In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. [Full Text][Citation analysis] | article | 1 |
2011 | Comments on: Subsampling weakly dependent time series and application to extremes In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. [Full Text][Citation analysis] | article | 0 |
2013 | Comments on: Model-free model-fitting and predictive distributions In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. [Full Text][Citation analysis] | article | 0 |
2015 | Lecture Attendance, Study Time, and Academic Performance: A Panel Data Study In: The Journal of Economic Education. [Full Text][Citation analysis] | article | 7 |
2017 | Delayed Overshooting: Is It an 80s Puzzle? In: Journal of Political Economy. [Full Text][Citation analysis] | article | 34 |
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