8
H index
8
i10 index
293
Citations
Matei Demetrescu : Citation Profile
| RESEARCH PRODUCTION: 45 Articles 20 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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19 years (2005 - 2024). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Matei Demetrescu. | Is cited by:
| Cites to:
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Main data
Where Matei Demetrescu has published?
Recent works citing Matei Demetrescu (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01191. Full description at Econpapers || Download paper |
| 2023 | Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2302.05193. Full description at Econpapers || Download paper |
| 2023 | Estimation and Inference in Threshold Predictive Regression Models with Locally Explosive Regressors. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.00860. Full description at Econpapers || Download paper |
| 2023 | Bootstrapping Nonstationary Autoregressive Processes with Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2307.14463. 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 | Unified Inference for Dynamic Quantile Predictive Regression. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2309.14160. Full description at Econpapers || Download paper |
| 2024 | Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.08218. Full description at Econpapers || Download paper |
| 2024 | Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Lu, Yang ; Hurlin, Christophe. In: Papers. RePEc:arx:papers:2405.02012. Full description at Econpapers || Download paper |
| 2023 | Kolmogorov-Smirnov Type Testing for Structural Breaks: A New Adjusted-Range Based Self-Normalization Approach. (2023). Wang, S ; Sun, J ; McCabe, B ; Linton, O B ; Hong, Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2367. Full description at Econpapers || Download paper |
| 2023 | Assessing the World Bank’s growth forecasts. (2023). Tsuchiya, Yoichi. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:64-84. Full description at Econpapers || Download paper |
| 2023 | A new robust inference for predictive quantile regression. (2023). Liao, Xiaosai ; Chen, Haiqiang ; Cai, Zongwu. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:227-250. Full description at Econpapers || Download paper |
| 2023 | Taking stock of long-horizon predictability tests: Are factor returns predictable?. (2023). KOSTAKIS, ALEXANDROS ; Magdalinos, Tassos ; Stamatogiannis, Michalis P. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623000052. Full description at Econpapers || Download paper |
| 2024 | A residual bootstrap for conditional Value-at-Risk. (2024). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623002701. Full description at Econpapers || Download paper |
| 2023 | Modeling volatility and dependence of European carbon and energy prices. (2023). Arsova, Antonia ; Ziel, Florian ; Pappert, Sven ; Berrisch, Jonathan. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322006791. Full description at Econpapers || Download paper |
| 2024 | (Structural) VAR models with ignored changes in mean and volatility. (2024). Salish, Nazarii ; Demetrescu, Matei. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:840-854. Full description at Econpapers || Download paper |
| 2023 | Sovereign bond and CDS market contagion: A story from the Eurozone crisis. (2023). Panagiotidis, Theodore ; Politsidis, Panagiotis N ; Bampinas, Georgios. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001031. Full description at Econpapers || Download paper |
| 2023 | Decarbonization blueprints for developing countries: The role of energy productivity, renewable energy, and financial development in environmental improvement. (2023). Murshed, Muntasir ; Khudoykulov, Khurshid ; Ghardallou, Wafa ; Siddik, Abu Bakkar ; Ozturk, Ilhan ; Yan, Chen. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003859. Full description at Econpapers || Download paper |
| 2024 | Unraveling Korea’s Energy Challenge: The Consequences of Carbon Dioxide Emissions and Energy Use on Economic Sustainability. (2024). He, Yugang ; Li, Yao. In: Sustainability. RePEc:gam:jsusta:v:16:y:2024:i:5:p:2074-:d:1349965. Full description at Econpapers || Download paper |
| 2023 | Sovereign bond and CDS market contagion: A story from the Eurozone crisis. (2023). Panagiotidis, Theodore ; Politsidis, Panagiotis ; Bampinas, Georgios. In: Post-Print. RePEc:hal:journl:hal-04164277. Full description at Econpapers || Download paper |
| 2023 | Forecasting the Dynamic Correlation of Stock Indices Based on Deep Learning Method. (2023). Xu, Yue ; Ni, Jian. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:1:d:10.1007_s10614-021-10198-3. Full description at Econpapers || Download paper |
| 2024 | Fundamental determinants of exchange rate expectations. (2024). Czudaj, Robert ; Beckmann, Joscha. In: MPRA Paper. RePEc:pra:mprapa:120648. Full description at Econpapers || Download paper |
| 2023 | Global warming and urbanization. (2023). Meierrieks, Daniel ; Helbling, Marc. In: Journal of Population Economics. RePEc:spr:jopoec:v:36:y:2023:i:3:d:10.1007_s00148-022-00924-y. Full description at Econpapers || Download paper |
Works by Matei Demetrescu:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2012 | The Power of Unit Root Tests Against Nonlinear Local Alternatives In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 7 |
| 2013 | The power of unit root tests against nonlinear local alternatives.(2013) In: Journal of Time Series Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2016 | Fixed-b Inference in the Presence of Time-Varying Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | IV-BASED COINTEGRATION TESTING IN DEPENDENT PANELS WITH TIME-VARYING VARIANCE In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 2 |
| 2012 | IV-Based Cointegration Testing in Dependent Panels with Time-Varying Variance.(2012) In: VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2022 | Autoregressive spectral estimates under ignored changes in the mean In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
| 2006 | Combining Significance of Correlated Statistics with Application to Panel Data* In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 61 |
| 2014 | Incorporating Asymmetric Preferences into Fan Charts and Path Forecasts In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 6 |
| 2018 | Multiple Testing for No Cointegration under Nonstationary Volatility In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 2018 | Predictive regressions under asymmetric loss: factor augmentation and model selection In: Bank of England working papers. [Full Text][Citation analysis] | paper | 3 |
| 2019 | Predictive regressions under asymmetric loss: Factor augmentation and model selection.(2019) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2005 | Determining the Parameters of a Multinomial Distribution: The Fiducial Approach In: Stochastics and Quality Control. [Full Text][Citation analysis] | article | 0 |
| 2006 | Loss Reduction in Point Estimation Problems In: Stochastics and Quality Control. [Full Text][Citation analysis] | article | 0 |
| 2009 | Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes In: Journal of Time Series Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2015 | Recursive Adjustment for General Deterministic Components and Improved Cointegration Rank Tests In: Journal of Time Series Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2008 | LONG MEMORY TESTING IN THE TIME DOMAIN In: Econometric Theory. [Full Text][Citation analysis] | article | 55 |
| 2016 | (WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS? In: Econometric Theory. [Full Text][Citation analysis] | article | 3 |
| 2021 | FINITE-SAMPLE SIZE CONTROL OF IVX-BASED TESTS IN PREDICTIVE REGRESSIONS In: Econometric Theory. [Full Text][Citation analysis] | article | 6 |
| 2007 | Volatility Clustering in High-Frequency Data: A self-fulfilling prophecy? In: Economics Bulletin. [Full Text][Citation analysis] | article | 0 |
| 2009 | Panel unit root testing and the martingale difference hypothesis for German stocks In: Economics Bulletin. [Full Text][Citation analysis] | article | 0 |
| 2009 | Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term In: Econometrics Journal. [Full Text][Citation analysis] | article | 12 |
| 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 | |
| 2006 | An extension of the Gauss-Newton algorithm for estimation under asymmetric loss In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 0 |
| 2010 | Joint forecasts of Dow Jones stocks under general multivariate loss function In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 5 |
| 2022 | Testing for no cointegration in vector autoregressions with estimated degree of fractional integration In: Economic Modelling. [Full Text][Citation analysis] | article | 1 |
| 2012 | A simple nonstationary-volatility robust panel unit root test In: Economics Letters. [Full Text][Citation analysis] | article | 15 |
| 2014 | Enhancing the local power of IVX-based tests in predictive regressions In: Economics Letters. [Full Text][Citation analysis] | article | 3 |
| 2016 | Inference on the long-memory properties of time series with non-stationary volatility In: Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 2014 | Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility.(2014) In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2015 | Instrumental variable and variable addition based inference in predictive regressions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 18 |
| 2022 | Testing for episodic predictability in stock returns In: Journal of Econometrics. [Full Text][Citation analysis] | article | 5 |
| 2019 | Testing for Episodic Predictability in Stock Returns.(2019) In: Essex Finance Centre Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2019 | Testing for Episodic Predictability in Stock Returns.(2019) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2022 | Residual-augmented IVX predictive regression In: Journal of Econometrics. [Full Text][Citation analysis] | article | 3 |
| 2016 | Residual-augmented IVX predictive regression.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2023 | Extensions to IVX methods of inference for return predictability In: Journal of Econometrics. [Full Text][Citation analysis] | article | 8 |
| 2022 | Extensions to IVX Methods of Inference for Return Predictability.(2022) In: Essex Finance Centre Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2021 | Extensions to IVX methods of inference for return predictability.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2023 | Transformed regression-based long-horizon predictability tests In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
| 2022 | Transformed Regression-based Long-Horizon Predictability Tests.(2022) In: Essex Finance Centre Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2020 | Bias corrections for exponentially transformed forecasts: Are they worth the effort? In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 1 |
| 2024 | Predictive Quantile Regressions with Persistent and Heteroskedastic Predictors: A Powerful 2SLS Testing Approach In: Essex Finance Centre Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Monitoring Value-at-Risk and Expected Shortfall Forecasts In: Management Science. [Full Text][Citation analysis] | article | 3 |
| 2005 | Spurious Persistence and Unit Roots due to Seasonal Differencing: The Case of Inflation Rates / Künstliche Persistenz und Einheitswurzeln infolge saisonaler Differenzen: Das Beispiel Inflationsraten In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik). [Full Text][Citation analysis] | article | 6 |
| 2007 | Optimal forecast intervals under asymmetric loss In: Journal of Forecasting. [Full Text][Citation analysis] | article | 1 |
| 2019 | Testing for constant correlation of filtered series under structural change In: The Econometrics Journal. [Full Text][Citation analysis] | article | 7 |
| 2018 | Testing the fractionally integrated hypothesis using M estimation: With an application to stock market volatility In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2022 | Cross-Sectional Error Dependence in Panel Quantile Regressions In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Bias correction for the regression-based LM fractional integration test In: AStA Advances in Statistical Analysis. [Full Text][Citation analysis] | article | 0 |
| 2011 | Asymptotic normal tests for integration in panels with cross-dependent units In: AStA Advances in Statistical Analysis. [Full Text][Citation analysis] | article | 12 |
| 2011 | Pitfalls of post-model-selection testing: experimental quantification In: Empirical Economics. [Full Text][Citation analysis] | article | 16 |
| 2007 | Effect of neglected deterministic seasonality on unit root tests In: Statistical Papers. [Full Text][Citation analysis] | article | 10 |
| 2010 | On the Dickey–Fuller test with White standard errors In: Statistical Papers. [Full Text][Citation analysis] | article | 6 |
| 2013 | Nonlinear IV panel unit root testing under structural breaks in the error variance In: Statistical Papers. [Full Text][Citation analysis] | article | 2 |
| 2016 | Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances In: Econometric Reviews. [Full Text][Citation analysis] | article | 2 |
| 2021 | Homogeneous vs. heterogeneous transition functions in panel smooth transition regressions In: Econometric Reviews. [Full Text][Citation analysis] | article | 0 |
| 2010 | Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost In: Journal of Applied Statistics. [Full Text][Citation analysis] | article | 1 |
| 2011 | Unit Root Testing in Heteroscedastic Panels Using the Cauchy Estimator In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 5 |
| 2022 | Nonlinear Predictability of Stock Returns? Parametric Versus Nonparametric Inference in Predictive Regressions In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
| 2021 | Reevaluating the prudence of economic forecasts in the EU: The role of instrument persistence In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2017 | Homogenous vs. heterogenous transition functions in smooth transition regressions: A LM-type test In: Kiel Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Tests of no cross-sectional error dependence in panel quantile regressions In: Ruhr Economic Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility In: VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Testing heteroskedastic time series for normality In: VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy. [Full Text][Citation analysis] | paper | 0 |
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