Pentti Saikkonen : Citation Profile

Are you Pentti Saikkonen?

29

H index

52

i10 index

3834

Citations

RESEARCH PRODUCTION:

71

Articles

70

Papers

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   40 years (1983 - 2023). See details.
   Cites by year: 95
   Journals where Pentti Saikkonen has often published
   Relations with other researchers
   Recent citing documents: 171.    Total self citations: 51 (1.31 %)

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   Permalink: http://citec.repec.org/psa958
   Updated: 2024-12-03    RAS profile: 2024-01-04    
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Relations with other researchers

Works with:

Meitz, Mika (4)

Lütkepohl, Helmut (2)

Kheifets, Igor (2)

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

Is cited by:

Koukouritakis, Minoas (53)

Lütkepohl, Helmut (50)

Lanne, Markku (46)

Wagner, Martin (43)

Hecq, Alain (43)

Nielsen, Morten (39)

Shahbaz, Muhammad (38)

Kurozumi, Eiji (37)

Tiwari, Aviral (34)

Jaussaud, Jacques (34)

rey, serge (32)

Cites to:

Lütkepohl, Helmut (52)

Lanne, Markku (35)

Johansen, Soren (24)

Perron, Pierre (20)

Phillips, Peter (19)

Rahbek, Anders (15)

Hansen, Bruce (13)

Campbell, John (13)

Meitz, Mika (13)

Stock, James (13)

Engle, Robert (11)

Main data

Where Pentti Saikkonen has published?

Journals with more than one article published# docs
Econometric Theory21
Journal of Econometrics10
Journal of Time Series Analysis9
Journal of Business & Economic Statistics4
Econometrics Journal4
Economics Letters3
Econometric Reviews3
Journal of Financial Econometrics2
Statistics & Probability Letters2

Working Papers Series with more than one paper published# docs
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes23
MPRA Paper / University Library of Munich, Germany9
Economics Working Papers / European University Institute7
Papers / arXiv.org6
Bank of Finland Research Discussion Papers / Bank of Finland5
Koç University-TUSIAD Economic Research Forum Working Papers / Koc University-TUSIAD Economic Research Forum4
Economics Series Working Papers / University of Oxford, Department of Economics3
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2
SSE/EFI Working Paper Series in Economics and Finance / Stockholm School of Economics2

Recent works citing Pentti Saikkonen (2024 and 2023)

YearTitle of citing document
2023.

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2023Does 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.

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2023Functional Principal Component Analysis of Cointegrated Functional Time Series. (2020). Seo, Won-Ki. In: Papers. RePEc:arx:papers:2011.12781.

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2024Testing for Nonlinear Cointegration under Heteroskedasticity. (2021). Massing, Till ; Hanck, Christoph. In: Papers. RePEc:arx:papers:2102.08809.

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2023Performance of Empirical Risk Minimization for Linear Regression with Dependent Data. (2021). Brownlees, Christian ; Gudhmundsson, Gudhmundur Stef'An. In: Papers. RePEc:arx:papers:2104.12127.

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2024Gaussian and Students $t$ mixture vector autoregressive model. (2021). Virolainen, Savi. In: Papers. RePEc:arx:papers:2109.13648.

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2024Efficiently 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.

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2024The Local to Unity Dynamic Tobit Model. (2022). Duffy, James A ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2210.02599.

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2023Cointegration with Occasionally Binding Constraints. (2022). Mavroeidis, Sophocles ; Wycherley, Sam ; Duffy, James A. In: Papers. RePEc:arx:papers:2211.09604.

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2023Estimating the non-Gaussian Dimension in Structural Linear Systems. (2022). Cabello, Miguel. In: Papers. RePEc:arx:papers:2212.07263.

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2023Measuring 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.

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2023Quantile Autoregression-based Non-causality Testing. (2023). Jin, Weifeng. In: Papers. RePEc:arx:papers:2301.02937.

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2024Estimating 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.

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2024Uncertain Prior Economic Knowledge and Statistically Identified Structural Vector Autoregressions. (2023). Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2303.13281.

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2023Semiparametrically Optimal Cointegration Test. (2023). Zhou, BO. In: Papers. RePEc:arx:papers:2305.08880.

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2024Optimization of the Generalized Covariance Estimator in Noncausal Processes. (2023). Jasiak, Joann ; Hecq, Alain ; Cubadda, Gianluca ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2306.14653.

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2023Asymptotics for the Generalized Autoregressive Conditional Duration Model. (2023). Cavaliere, Giuseppe ; Vilandt, Frederik ; Rahbek, Anders ; Mikosch, Thomas. In: Papers. RePEc:arx:papers:2307.01779.

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2023Limit Theory under Network Dependence and Nonstationarity. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.01418.

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2023Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.13915.

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2023Spectral identification and estimation of mixed causal-noncausal invertible-noninvertible models. (2023). Hecq, Alain ; Velasquez-Gaviria, Daniel. In: Papers. RePEc:arx:papers:2310.19543.

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2023Optimal Estimation Methodologies for Panel Data Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.03471.

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2024Structural Analysis of Vector Autoregressive Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402.

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2024Common Trends and Long-Run Multipliers in Nonlinear Structural VARs. (2024). Mavroeidis, Sophocles ; Duffy, James A. In: Papers. RePEc:arx:papers:2404.05349.

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2024Partial 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.

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2024Identification by non-Gaussianity in structural threshold and smooth transition vector autoregressive models. (2024). Virolainen, Savi. In: Papers. RePEc:arx:papers:2404.19707.

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2023.

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2023.

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2023Stock 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.

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2024Data?driven identification in SVARs—When and how can statistical characteristics be used to unravel causal relationships?. (2022). Maxand, Simone ; Lange, Alexander ; Herwartz, Helmut. In: Economic Inquiry. RePEc:bla:ecinqu:v:60:y:2022:i:2:p:668-693.

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2024Exchange 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.

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2023Noncausal 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.

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2023Dynamic Mixture Vector Autoregressions with Score-Driven Weights. (2023). Umlandt, Dennis ; Neuenkirch, Matthias ; Gretener, Alexander Georges. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10366.

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2023A 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.

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2023Global spillovers from multi-dimensional US monetary policy. (2023). Georgiadis, Georgios ; Jarociski, Marek. In: Working Paper Series. RePEc:ecb:ecbwps:20232881.

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2023Exchange 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.

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2023Does 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.

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2023Vector 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.

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2023Point 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.

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2024Identification of vector autoregressive models with nonlinear contemporaneous structure. (2024). Moneta, Alessio ; Doremus, Nicolas ; Cordoni, Francesco. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:162:y:2024:i:c:s0165188924000447.

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2023Eurozone 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.

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2023Refining 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.

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2023Discrete 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.

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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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2023Dynamic 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.

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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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2024High-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.

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2024Unraveling the structural sources of oil production and their impact on CO2 emissions. (2024). Wang, Shu ; Theilen, Bernd ; Herwartz, Helmut. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001968.

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2024Re-examining crude oil and natural gas price relationship: Evidence from time-varying regime-switching models. (2024). Hasanli, Mubariz. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002184.

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2024Towards 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.

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2023Domestic 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.

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2024Assessing 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.

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2023Early 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.

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2024Predicting 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.

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2024Forecasting 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.

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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.

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2024Wage – price dynamics and financial market in a disequilibrium macro model: A Keynes – Kaldor – Minsky modeling of recession and inflation using VECM. (2024). Semmler, Willi ; Chen, PU. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:220:y:2024:i:c:p:433-452.

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2023Monetary 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.

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2024A short term credibility index for central banks under inflation targeting: An application to Brazil. (2024). Hecq, Alain ; Voisin, Elisa ; Issler, Joo Victor. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000445.

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2023The 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.

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2023Economic 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.

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2023Innovation, 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.

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2023Natural 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.

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2024FinTech 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.

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2024Estimating the Fed’s unconventional policy shocks. (2024). Jarociński, Marek ; Jarociski, Marek. In: Journal of Monetary Economics. RePEc:eee:moneco:v:144:y:2024:i:c:s0304393224000011.

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2023The 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.

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2024The windfall of green finance: Advancing environmental sustainability through wind energy. (2024). Meo, Muhammad Saeed ; Ali, Sajid ; Zhong, Daojun ; Wang, Mingsen. In: Renewable Energy. RePEc:eee:renene:v:227:y:2024:i:c:s0960148124006517.

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2023Assessing 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.

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2024Environmental 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.

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2024Environmental 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.

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2023The 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.

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2024Evaluating the nonlinear association between PM10 and emergency department visits. (2024). Golinelli, Davide ; Santi, Luca ; Sanmarchi, Francesco ; Bucci, Andrea. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:93:y:2024:i:c:s0038012124000867.

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2023Strong 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.

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2023Does 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.

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2023Labor 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.

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2023Are 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.

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2023Green 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.

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2024Transition 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.

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2024Energy 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.

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2024Robots 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.

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2023Identification Using Higher-Order Moments Restrictions. (2023). ferroni, filippo ; Andrade, Philippe ; Melosi, Leonardo. In: Working Paper Series. RePEc:fip:fedhwp:96666.

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2023Detecting 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.

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More than 100 citations found, this list is not complete...

Pentti Saikkonen has edited the books:

YearTitleTypeCited

Works by Pentti Saikkonen:

YearTitleTypeCited
2008Parameter estimation in nonlinear AR-GARCH models In: CREATES Research Papers.
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2011PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS.(2011) In: Econometric Theory.
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This paper has nother version. Agregated cites: 20		article
2008Parameter Estimation in Nonlinear AR-GARCH Models.(2008) In: Economics Working Papers.
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This paper has nother version. Agregated cites: 20		paper
2010Parameter estimation in nonlinear AR–GARCH models.(2010) In: Koç University-TUSIAD Economic Research Forum Working Papers.
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This paper has nother version. Agregated cites: 20		paper
2008Parameter estimation in nonlinear AR-GARCH models.(2008) In: Economics Series Working Papers.
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This paper has nother version. Agregated cites: 20		paper
2015Identification and estimation of non-Gaussian structural vector autoregressions In: CREATES Research Papers.
[Full Text][Citation analysis]		paper102
2017Identification and estimation of non-Gaussian structural vector autoregressions.(2017) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 102		article
2001Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes In: CeNDEF Workshop Papers, January 2001.
[Citation analysis]		paper26
2003Modeling 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
2000Modeling the US short-term interest rate by mixture autoregressive processes.(2000) In: SFB 373 Discussion Papers.
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This paper has nother version. Agregated cites: 26		paper
2017Testing for observation-dependent regime switching in mixture autoregressive models In: Papers.
[Full Text][Citation analysis]		paper6
2021Testing for observation-dependent regime switching in mixture autoregressive models.(2021) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 6		article
2018A mixture autoregressive model based on Students $t$-distribution In: Papers.
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2001CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS In: Econometric Theory.
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2007Ergodicity, 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.
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2021Testing identification via heteroskedasticity in structural vector autoregressive models.(2021) In: The Econometrics Journal.
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2002Nonlinear GARCH models for highly persistent volatility.(2002) In: SFB 373 Discussion Papers.
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