Heather M. Anderson : Citation Profile


Are you Heather M. Anderson?

Monash University

13

H index

17

i10 index

1561

Citations

RESEARCH PRODUCTION:

29

Articles

38

Papers

3

Chapters

EDITOR:

2

Series edited

RESEARCH ACTIVITY:

   33 years (1990 - 2023). See details.
   Cites by year: 47
   Journals where Heather M. Anderson has often published
   Relations with other researchers
   Recent citing documents: 45.    Total self citations: 24 (1.51 %)

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   Permalink: http://citec.repec.org/pan164
   Updated: 2024-11-04    RAS profile: 2023-11-07    
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Relations with other researchers


Works with:

Vahid, Farshid (6)

GAO, Jiti (3)

Caggiano, Giovanni (2)

Wong, Benjamin (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Heather M. Anderson.

Is cited by:

JAWADI, Fredj (35)

Mignon, Valérie (29)

Franses, Philip Hans (27)

Osborn, Denise (25)

van Dijk, Dick (20)

Ferrara, Laurent (19)

Balcilar, Mehmet (19)

Clements, Michael (18)

Hecq, Alain (18)

Swanson, Norman (18)

Reitz, Stefan (17)

Cites to:

Pesaran, Mohammad (48)

Engle, Robert (33)

Campbell, John (31)

Vahid, Farshid (25)

Dees, Stephane (23)

Bollerslev, Tim (21)

Smith, L. Vanessa (21)

Watson, Mark (20)

Diebold, Francis (19)

Holly, Sean (19)

Stock, James (17)

Main data


Where Heather M. Anderson has published?


Journals with more than one article published# docs
Journal of Applied Econometrics4
Journal of Econometrics3
Journal of Economic Dynamics and Control2
Oxford Bulletin of Economics and Statistics2
Journal of Banking & Finance2
Economics Letters2
Economic Modelling2

Working Papers Series with more than one paper published# docs
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics24
Econometric Society 2004 Australasian Meetings / Econometric Society2

Recent works citing Heather M. Anderson (2024 and 2023)


YearTitle of citing document
2023.

Full description at Econpapers || Download paper

2024On LASSO for High Dimensional Predictive Regression. (2022). Shi, Zhentao ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2212.07052.

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2023Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models. (2023). GAO, Jiti ; Peng, Bin ; Tu, Yundong ; Dong, Chaohua. In: Papers. RePEc:arx:papers:2301.06631.

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2023High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.16192.

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2023Longevity, Fertility, and the Real Exchange Rate. (2023). Zhang, Jing ; Zhou, Zhihao ; Liu, Xiaohui. In: China & World Economy. RePEc:bla:chinae:v:31:y:2023:i:2:p:26-57.

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2023The fiscal implications of stringent climate policy. (2023). Tol, Richard. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:80:y:2023:i:c:p:495-504.

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2023The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219.

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2024Does exchange rate volatility affect the impact of appreciation and depreciation on the trade balance? A nonlinear bivariate approach. (2024). Bosupeng, Mpho ; Naranpanawa, Athula. In: Economic Modelling. RePEc:eee:ecmode:v:130:y:2024:i:c:s0264999323004042.

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2023Building optimal regime-switching portfolios. (2023). Bucci, Andrea ; Ciciretti, Vito. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001723.

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2024A robust Beveridge–Nelson decomposition using a score-driven approach with an application. (2024). Koopman, S J ; Gorgi, P ; van Brummelen, J ; Blasques, F. In: Economics Letters. RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524000715.

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2023Forward-selected panel data approach for program evaluation. (2023). Huang, Jingyi ; Shi, Zhentao. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:2:p:512-535.

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2023We modeled long memory with just one lag!. (2023). Chevillon, Guillaume ; Bauwens, Luc ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001616.

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2023Penetrating sporadic return predictability. (2023). Xie, Xinling ; Tu, Yundong. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:1:s0304407623002257.

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2023Predictive quantile regression with mixed roots and increasing dimensions: The ALQR approach. (2023). Shin, Youngki ; Lee, Ji Hyung ; Fan, Rui. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002111.

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2024Semi-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.

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2024Do Chinas pilot emissions trading schemes lead to domestic carbon leakage? Perspective from the firm relocation. (2024). Yu, Lihong ; Pan, Xian. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324000422.

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2024Sentiment and energy price volatility: A nonlinear high frequency analysis. (2024). Uddin, Gazi ; Rozin, Philippe ; Bourghelle, David ; Jawadi, Fredj ; Cheffou, Abdoulkarim Idi. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324001737.

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2023Application of physical model-based machine learning to the temperature prediction of electronic device in oil-gas exploration logging. (2023). Xu, Dongwei ; Ding, Siqi ; Deng, Chao ; Peng, Jiale ; Wei, Fulong ; Wan, Zijing ; Luo, Xiaobing. In: Energy. RePEc:eee:energy:v:282:y:2023:i:c:s0360544223023678.

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2023The impact of crisis periods and monetary decisions of the Fed and the ECB on the sovereign yield curve network. (2023). Kotro, Balazs B ; Huszar, Zsuzsa R ; Badics, Milan Csaba. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123001051.

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2024Reconciling interest rates evidence with theory: Rejecting unit roots when the HD(1) is a competing alternative. (2024). Palandri, Alessandro. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:161:y:2024:i:c:s0378426624000335.

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2024International capital flow in a period of high inflation: The case of China. (2024). Moussa, Faten ; Liu, Zhenya ; Mu, Yuhao. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pb:s0275531923001964.

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2023The Effects of Volatility on Liquidity in the Treasury Market. (2023). Sokolinskiy, Oleg ; Meldrum, Andrew C. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2023-28.

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2023.

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2023Nonlinear Effects of Eco-Industrial Parks on Sulfur Dioxide and Carbon Dioxide Emissions—Estimation Based on Nonlinear DID. (2023). Dai, Yue ; Zhu, Yuanyuan ; Cao, Kairui ; Xu, Qunfang. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:3:p:1988-:d:1042264.

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2023We modeled long memory with just one lag!. (2023). Laurent, Sebastien ; Chevillon, Guillaume ; Bauwens, Luc. In: Post-Print. RePEc:hal:journl:hal-04185755.

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2023Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models. (2023). Tu, Yundong ; Peng, Bin ; Gao, Jiti ; Dong, Chaohua. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-2.

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2023The mean reversion/persistence of financial cycles: Empirical evidence for 24 countries worldwide. (2023). Skare, Marinko ; Qin, Yong ; Fan, Xuecheng ; Xu, Zeshui ; Lv, Shengnan. In: Equilibrium. Quarterly Journal of Economics and Economic Policy. RePEc:pes:ierequ:v:18:y:2023:i:1:p:11-47.

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2023Forecasting House Prices: The Role of Fundamentals, Credit Conditions, and Supply Indicators. (2023). Kishor, Kundan N. In: MPRA Paper. RePEc:pra:mprapa:116819.

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2023Estimating 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.

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2023Liquidity and realized covariance forecasting: a hybrid method with model uncertainty. (2023). Li, Weiping ; Ma, Feng ; Cao, Yangli ; Qiao, Gaoxiu. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02248-y.

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2023Identification 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.

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2023Markov chains, eigenvalues and the stability of economic growth processes. (2023). Delbianco, Fernando ; Tohme, Fernando ; Fioriti, Andres. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:3:d:10.1007_s00181-022-02276-8.

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2023Penalized leads-and-lags cointegrating regression: a simulation study and two empirical applications. (2023). Neto, David. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:2:d:10.1007_s00181-023-02362-5.

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2023Smooth transition regression model relating inflation to economic growth in Tunisia. (2023). Kalai, Maha ; Becha, Hamdi ; Helali, Kamel. In: Journal of Economic Structures. RePEc:spr:jecstr:v:12:y:2023:i:1:d:10.1186_s40008-023-00308-9.

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2023Johansen Test with Fourier-Type Smooth Nonlinear Trends in Cointegrating Relations. (2023). Shintani, Mototsugu ; Kurita, Takamitsu. In: CIRJE F-Series. RePEc:tky:fseres:2023cf1216.

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2023Endogenous Time Variation in Vector Autoregressions. (2023). Uzeda, Luis ; Leiva-Leon, Danilo. In: The Review of Economics and Statistics. RePEc:tpr:restat:v:105:y:2023:i:1:p:125-142.

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Heather M. Anderson is editor of


Journal
Empirical Economics
Studies in Empirical Economics

Works by Heather M. Anderson:


YearTitleTypeCited
2005Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help? In: ANU Working Papers in Economics and Econometrics.
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paper39
2007Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?.(2007) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 39
article
2007Reported Earnings and Analyst Forecasts as Competing Sources of Information: A New Approach In: ANU Working Papers in Economics and Econometrics.
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paper2
2012Reported earnings and analyst forecasts as competing sources of information: A new approach.(2012) In: Australian Journal of Management.
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This paper has nother version. Agregated cites: 2
article
2010Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps In: ANU Working Papers in Economics and Econometrics.
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paper9
2010Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps.(2010) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has nother version. Agregated cites: 9
paper
2001Market Architecture and Nonlinear Dynamics of Australian Stock and Futures Indices In: Australian Economic Papers.
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article6
2001Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices..(2001) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has nother version. Agregated cites: 6
paper
2007New Introduction to Multiple Time Series Analysis - by Helmut Lütkepohl In: The Economic Record.
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article0
1997Transaction Costs and Non-linear Adjustment towards Equilibrium in the US Treasury Bill Market. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]
article140
2005Nonlinear Correlograms and Partial Autocorrelograms* In: Oxford Bulletin of Economics and Statistics.
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article3
2003Nonlinear Correlograms and Partial Autocorrelograms.(2003) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has nother version. Agregated cites: 3
paper
2001PREDICTING THE PROBABILITY OF A RECESSION WITH NONLINEAR AUTOREGRESSIVE LEADING-INDICATOR MODELS In: Macroeconomic Dynamics.
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article43
2000Predicting the Probability of a Recession with Nonlinear Autoregressive Leading Indicator Models..(2000) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has nother version. Agregated cites: 43
paper
2004A Model for Trade Frequency in the Presence of Announcements In: Econometric Society 2004 Australasian Meetings.
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paper0
2004Single Source of Error State Space Approach to the Beveridge Nelson Decomposition In: Econometric Society 2004 Australasian Meetings.
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paper25
2006Single source of error state space approach to the Beveridge Nelson decomposition.(2006) In: Economics Letters.
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This paper has nother version. Agregated cites: 25
article
2005Single source of error state space approach to the Beveridge Nelson decomposition.(2005) In: CAMA Working Papers.
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This paper has nother version. Agregated cites: 25
paper
2004Single Source of Error State Space Approach to the Beveridge Nelson Decomposition.(2004) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has nother version. Agregated cites: 25
paper
2016How do shocks to domestic factors affect real exchange rates of Asian developing countries? In: Journal of Development Economics.
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article10
2015How do Shocks to Domestic Factors Affect Real Exchange Rates of Asian Developing Countries.(2015) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has nother version. Agregated cites: 10
paper
2020The effects of trade size and market depth on immediate price impact in a limit order book market In: Journal of Economic Dynamics and Control.
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article2
2002U.S. and Canadian industrial production indices as coupled oscillators In: Journal of Economic Dynamics and Control.
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article12
2011Financial integration and the construction of historical financial data for the Euro Area In: Economic Modelling.
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article9
2010Financial Integration and the Construction of Historical Financial Data for the Euro Area.(2010) In: Centre for Growth and Business Cycle Research Discussion Paper Series.
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This paper has nother version. Agregated cites: 9
paper
2019The global effects of productivity gains in Asian emerging economies In: Economic Modelling.
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article1
1998On the pooling of cross-sectional and time-series data in the presence of heteroskedasticity In: Economics Letters.
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article2
2006Common features In: Journal of Econometrics.
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article7
2020High-dimensional predictive regression in the presence of cointegration In: Journal of Econometrics.
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article17
1998Testing multiple equation systems for common nonlinear components In: Journal of Econometrics.
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article90
2023Estimating the effect of an EU-ETS type scheme in Australia using a synthetic treatment approach In: Energy Economics.
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article2
2022Estimating the Effect of an EU-ETS Type Scheme in Australia Using a Synthetic Treatment Approach.(2022) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has nother version. Agregated cites: 2
paper
2014Forecast combinations under structural break uncertainty In: International Journal of Forecasting.
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article23
2014How does public information affect the frequency of trading in airline stocks? In: Journal of Banking & Finance.
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article1
2019Testing for cojumps in high-frequency financial data: An approach based on first-high-low-last prices In: Journal of Banking & Finance.
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article4
2011Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices.(2011) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has nother version. Agregated cites: 4
paper
2006Nonlinear autoregressive leading indicator models of output in G-7 countries In: CAMA Working Papers.
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paper14
2007Nonlinear autoregressive leading indicator models of output in G-7 countries.(2007) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 14
article
2002Nonlinear Autoregresssive Leading Indicator Models of Output in G-7 Countries.(2002) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has nother version. Agregated cites: 14
paper
2006BEVERRIDGE NELSON DECOMPOSITION WITH MARKOV SWITCHING In: CAMA Working Papers.
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paper2
2006Beveridge-Nelson Decomposition with Markov Switching.(2006) In: Melbourne Institute Working Paper Series.
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This paper has nother version. Agregated cites: 2
paper
2006Beveridge-Nelson Decomposition with Markov Switching.(2006) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has nother version. Agregated cites: 2
paper
2007CONSTRUCTING HISTORICAL EURO AREA DATA In: CAMA Working Papers.
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paper12
2007Constructing Historical Euro Area Data.(2007) In: Money Macro and Finance (MMF) Research Group Conference 2006.
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This paper has nother version. Agregated cites: 12
paper
2020Sectoral employment dynamics in Australia In: CAMA Working Papers.
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paper1
2020Sectoral Employment Dynamics in Australia.(2020) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has nother version. Agregated cites: 1
paper
In: .
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chapter2
2005Random Walk Smooth Transition Autoregressive Models.(2005) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has nother version. Agregated cites: 2
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1990TREASURY BI;; YIELD CURVES AND COINTEGRATION. In: Australian National University - Department of Economics.
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paper11
1997On the Correspondence between Individual and Aggregate Food Consumption Functions: Evidence from the USA and the Netherlands. In: Journal of Applied Econometrics.
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article4
1997On the Correspondence between Individual and Aggregate Food Consumption Functions: Evidence from the USA and the Netherlands: Reply. In: Journal of Applied Econometrics.
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article4
1992Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models. In: Journal of Applied Econometrics.
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article586
1999Does International Trade Synchronize Business Cycles? In: Monash Econometrics and Business Statistics Working Papers.
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paper22
2001Capturing the Shape of Business Cycles with Nonlinear Autoregressive Leading Indicator Models. In: Monash Econometrics and Business Statistics Working Papers.
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paper2
2002Choosing Lag Lengths in Nonlinear Dynamic Models In: Monash Econometrics and Business Statistics Working Papers.
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paper2
2003The Decline in Income Growth Volatility in the United States: Evidence from Regional Data In: Monash Econometrics and Business Statistics Working Papers.
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paper5
2003Does Beta React to Market Conditions? Estimates of Bull and Bear Betas using a Nonlinear Market Model with an Endogenous Threshold Parameter In: Monash Econometrics and Business Statistics Working Papers.
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paper24
2009Does beta react to market conditions? Estimates of bull and bear betas using a nonlinear market model with an endogenous threshold parameter.(2009) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 24
article
2010VARs, Cointegration and Common Cycle Restrictions In: Monash Econometrics and Business Statistics Working Papers.
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paper5
2011Forecasting Under Strucural Break Uncertainty In: Monash Econometrics and Business Statistics Working Papers.
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paper1
2013Common non-linearities in multiple series of stock market volatility In: Monash Econometrics and Business Statistics Working Papers.
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paper0
2013Do Policy-Related Shocks Affect Real Exchange Rates of Asian Developing Countries? In: Monash Econometrics and Business Statistics Working Papers.
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paper3
2014The Effects of Productivity Gains in Asian Emerging Economies: A Global Perspective In: Monash Econometrics and Business Statistics Working Papers.
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paper3
2017Robust Bayesian exponentially tilted empirical likelihood method In: Monash Econometrics and Business Statistics Working Papers.
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paper0
2023Does Climate Sensitivity Differ Across Regions? In: Monash Econometrics and Business Statistics Working Papers.
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paper0
1993Modeling Nonlinearity over the Business Cycle In: NBER Chapters.
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chapter26
2010Memoirs of A Cointegration Analysis of Treasury Bill Yields In: Journal of Financial Econometrics.
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article0
2010Discussion of Key Elements of Global Inflation In: RBA Annual Conference Volume (Discontinued).
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chapter0
1999Explanations of an empirical puzzle: what can be learnt from a test of the rational expectations hypothesis? In: Journal of Economic Methodology.
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article1
1992A Cointegration Analysis of Treasury Bill Yields. In: The Review of Economics and Statistics.
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article384

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