| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk |
2 |
7 |
23 |
23 |
7 |
14 |
17 |
17 |
| A MOTE CARLO COMPARISON OF OLS,IV,FIML AND BOOTSTRAP STANDARD ERRORS IN LINEAR MODELS WITH GENERATED REGRESSORS |
0 |
0 |
0 |
0 |
8 |
31 |
90 |
1,125 |
| A NEW APPROACH TO MAXIMUM LIKELIHOOD ESTIMATION OF THE THREE-PARAMATER GAMMA AND WEIBULL DISTRIBUTIONS |
0 |
0 |
0 |
0 |
1 |
4 |
23 |
810 |
| A Note on Identifiability in the Linear Expenditure Family |
0 |
0 |
0 |
0 |
0 |
2 |
2 |
61 |
| A Scientific Classification of Volatility Models |
8 |
21 |
21 |
21 |
10 |
16 |
17 |
17 |
| A Scientific Classification of Volatility Models |
4 |
6 |
7 |
7 |
5 |
7 |
7 |
7 |
| A decision rule to minimize daily capital charges in forecasting value-at-risk |
1 |
5 |
8 |
8 |
1 |
5 |
5 |
5 |
| A simple expected volatility (SEV) index: application to SET50 index options |
1 |
5 |
9 |
9 |
3 |
10 |
10 |
10 |
| ALTERNATIVE APPROACHES TO TESTING NON-NESTED MODELS WITH AUTOCORRELATED DISTURBANCES: AN APPLICATION TO MODELS OF U.S. UNEMPLOYMENT |
0 |
0 |
0 |
1 |
1 |
8 |
31 |
496 |
| ALTERNATIVE APPROACHES TO TESTING NON-NESTED MODELS WITH AUTOCORRELATED DISTURBANCES: AN APPLICATION TO MODELS OF US UNEMPLOYMENT |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
298 |
| Alternative Procedures and Associated Tests of Significance for Non-Nested Hypotheses |
0 |
0 |
0 |
1 |
2 |
10 |
33 |
93 |
| Alternative Procedures for Converting Qualitative Response Data to Quantitative Expectations: An Application to Australian Manufacturing |
0 |
0 |
0 |
0 |
2 |
23 |
42 |
464 |
| An econometric analysis of SARS and Avian flu on international tourist arrivals to Asia |
1 |
14 |
16 |
16 |
6 |
32 |
33 |
33 |
| Application of Transitional Phase Polynomials to a Model of Trade Union Growth in Canada |
0 |
0 |
0 |
0 |
0 |
1 |
4 |
18 |
| Asian Monetary Integration: A Structural VAR Approach |
0 |
6 |
29 |
294 |
0 |
5 |
33 |
354 |
| Asymmetric Multivariate Stochastic Volatility |
5 |
14 |
53 |
161 |
12 |
25 |
114 |
326 |
| Asymmetry and leverage in realized volatility |
8 |
20 |
28 |
28 |
8 |
18 |
19 |
19 |
| Asymptotic Properties of the Estimator of the Long-run Coefficient in a Dynamic Model with Integrated Regressors and Serially Correlated Errors |
0 |
0 |
4 |
55 |
0 |
3 |
13 |
172 |
| COMPARING THE EMPIRICAL PERFOMANCE OF ALTERNATIVE DEMAND SYSTEMS |
0 |
0 |
0 |
0 |
1 |
2 |
8 |
126 |
| Cointegration and Direct Tests of the Rational Expectations Hypothesis |
0 |
0 |
0 |
0 |
3 |
8 |
13 |
282 |
| Comparing the Empirical Performance of Alternative Demand Systems |
0 |
0 |
0 |
0 |
1 |
2 |
8 |
230 |
| Convergence and Catching Up in ASEAN: A Comparative Analysis |
4 |
7 |
20 |
185 |
5 |
10 |
40 |
362 |
| DISCRIMINATION BETWEEN NESTED TWO- AND THREE-PARAMETER DISTRIBUTIONS: AN APPLICATION TO MODELS OF AIR POLLUTION |
0 |
0 |
0 |
0 |
1 |
2 |
10 |
111 |
| DISCRIMINATION BETWEEN NESTED TWO-AND THREE-PARAMETER DISTRIBUTIONS: AN APPLICATION TO MODELS OF AIR POLLUTION |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
265 |
| DISCRIMINATION PROCEDURES FOR FITTING NESTED AND NON-NESTED DISTRIBUTIONS TO ENVIRONMENTAL QUALITY DATA |
0 |
0 |
0 |
0 |
1 |
5 |
12 |
324 |
| Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models |
4 |
18 |
18 |
18 |
5 |
13 |
13 |
13 |
| Does the ROMC have expertise, and can it forecast? |
0 |
3 |
3 |
3 |
1 |
7 |
9 |
9 |
| Durable Goods in the Extended Linear Expenditure System: An Empirical Appraisal |
0 |
0 |
0 |
0 |
4 |
9 |
26 |
78 |
| ESTIMATING THE PERCENTILES OF SOME MISSPECIFIED NON-NESTED DISTRIBUTIONS |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
282 |
| ESTIMATION AND DISCRIMINATION OF ALTERNATIVE AIR POLLUTION MODELS |
0 |
0 |
0 |
0 |
3 |
11 |
21 |
444 |
| Ecologically Sustainable Tourism Management |
2 |
5 |
28 |
330 |
16 |
35 |
151 |
1,023 |
| Econometric modelling in finance and risk management: An overview |
3 |
10 |
70 |
70 |
7 |
20 |
47 |
47 |
| Environmental Technology Strengths: International Rankings Based on US Patent Data |
3 |
6 |
18 |
121 |
5 |
12 |
62 |
373 |
| Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence |
3 |
6 |
30 |
192 |
6 |
10 |
51 |
311 |
| Estimation of the Consumption Function: A Systems Approach to Employment Effects on the Purchases of Durables |
0 |
0 |
0 |
1 |
9 |
30 |
91 |
193 |
| Exact Tests of a Model Against Non-Nested Alternatives |
0 |
0 |
0 |
0 |
0 |
2 |
14 |
24 |
| Exogeneity and Money Demand in a Small Open Economy: The Canadian Case |
0 |
0 |
0 |
0 |
0 |
3 |
14 |
45 |
| Expert opinion versus expertise in forecasting |
1 |
28 |
32 |
32 |
3 |
14 |
14 |
14 |
| Fat Tails and Asymmetry in Financial Volatility Models |
2 |
8 |
35 |
362 |
5 |
18 |
96 |
826 |
| Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis? |
52 |
87 |
87 |
87 |
14 |
24 |
24 |
24 |
| Input-output Structure and Growth in China |
1 |
4 |
24 |
370 |
3 |
13 |
59 |
734 |
| Interest Rates and Durability in the Linear Expenditure Family |
0 |
0 |
0 |
0 |
1 |
2 |
9 |
27 |
| JOINT TEST OF NON-NESTED MODELS AND GENERAL ERRO SPECIFICATIONS |
0 |
0 |
0 |
0 |
1 |
8 |
22 |
616 |
| JOINT TESTS OF NON-NESTED MODLS AND GENERAL ERROR SPECIFICATIONS |
0 |
0 |
0 |
0 |
1 |
6 |
23 |
807 |
| KEYNESIAN AND NEW CLASSICAL MODELS OF UNEMPLOYMENT REVISITED |
0 |
0 |
0 |
0 |
2 |
17 |
24 |
454 |
| Managing Value-at-Risk in Daily Tourist Tax Revenues for the Maldives |
0 |
1 |
7 |
42 |
4 |
13 |
60 |
206 |
| Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments |
5 |
9 |
37 |
125 |
20 |
55 |
201 |
596 |
| Modeling Exchange Rate and Industrial Commodity Volatility Transmissions |
4 |
13 |
20 |
20 |
10 |
29 |
35 |
35 |
| Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns |
2 |
8 |
43 |
334 |
8 |
26 |
178 |
1,333 |
| Modelling Environmental Risk |
2 |
4 |
14 |
100 |
9 |
22 |
80 |
393 |
| Modelling International Tourist Arrivals and Volatility: An Application to Taiwan |
0 |
2 |
2 |
2 |
2 |
4 |
7 |
7 |
| Modelling International Tourist Arrivals and Volatility: An Application to Taiwan |
3 |
10 |
13 |
13 |
10 |
27 |
33 |
33 |
| Modelling International Travel Demand from Singapore to Australia |
1 |
8 |
26 |
282 |
5 |
26 |
108 |
967 |
| Modelling Sustainable International Tourism Demand to the Brazilian Amazon |
6 |
14 |
14 |
14 |
11 |
15 |
15 |
15 |
| Modelling sustainable international tourism demand to the Brazilian Amazon |
0 |
9 |
10 |
10 |
4 |
13 |
17 |
17 |
| Modelling the Asymmetric Volatility of Electronics Patents in the USA |
0 |
0 |
2 |
51 |
1 |
3 |
16 |
190 |
| Moment-bases estimation of smooth transition regression models with endogenous variables |
5 |
16 |
21 |
21 |
7 |
22 |
23 |
23 |
| ON THE ROBUSTNESS OF BARRO'S NEW CLASSICAL UNEMPLOYMENT MODEL |
0 |
0 |
0 |
0 |
0 |
14 |
35 |
646 |
| ON THE ROBUSTNESS OF TESTS OF OUTLIERS AND FUNCTIONAL FORM |
0 |
0 |
0 |
0 |
0 |
1 |
8 |
519 |
| On Efficient Estimation and Correct Inference in Models with Generated Regressions: A General Approach |
0 |
0 |
0 |
1 |
2 |
7 |
15 |
280 |
| On the Consistency of Joint and Paired Tests for Non-Nested Regression Models |
0 |
0 |
0 |
0 |
0 |
1 |
18 |
40 |
| On the Robustness of Alternative Rankings Methodologies: Australian and New Zealand Economics Departments, 1988-2002 |
0 |
2 |
11 |
19 |
2 |
9 |
47 |
93 |
| On the Structure, Asymptotic Theory and Applications of STAR-GARCH Models |
0 |
8 |
21 |
209 |
2 |
16 |
42 |
357 |
| Patent Activity and Technical Change |
1 |
6 |
18 |
38 |
3 |
15 |
58 |
124 |
| Patent Activity and Technical Change |
0 |
0 |
1 |
52 |
1 |
3 |
21 |
208 |
| Pricing of Non-ferrous Metals Futures on the London Metal Exchange |
6 |
17 |
58 |
392 |
18 |
72 |
405 |
1,960 |
| Principles and Methods in the Testing of Alternative Models |
0 |
0 |
0 |
0 |
0 |
2 |
11 |
16 |
| Problems of Estimating the Linear Expenditure System and its Related Forms |
0 |
0 |
0 |
0 |
13 |
29 |
89 |
168 |
| Realized volatility: a review |
9 |
32 |
135 |
303 |
14 |
49 |
201 |
437 |
| Regression Quantiles for Unstable Autoregressive Models |
0 |
0 |
0 |
1 |
0 |
0 |
4 |
178 |
| Regression Quantiles for Unstable Autoregressive Models |
2 |
2 |
5 |
48 |
3 |
3 |
11 |
125 |
| Risk Management of Daily Tourist Tax Revenues for the Maldives |
1 |
2 |
17 |
85 |
2 |
10 |
63 |
317 |
| SIMPLE PROCEDURES FOR TESTING AUTOREGRESSIVE VERSUS MOVING AVERAGE ERRORS IN REGRESSION MODELS |
0 |
0 |
0 |
2 |
5 |
13 |
41 |
770 |
| SOME POWER COMPARISONS OF JOINT AND PAIRED TESTS FOR NON-NESTED MODELS UNDER LOCAL HYPOTHESES |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
757 |
| Separate Misspecified Regressions |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
16 |
| Separate Misspecified Regressions and the U.S. Long Run Demand for Money Function |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
19 |
| Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets |
1 |
5 |
7 |
7 |
2 |
12 |
12 |
12 |
| Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings |
0 |
3 |
35 |
247 |
4 |
15 |
71 |
526 |
| THE EFFECTS OF MISSPECIFICATION IN ESTIMATING THE PERCENTILES OF SOME TWO -AND THREE-PARAMETER DISTRIBUTIONS |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
169 |
| THE EFFECTS OF MISSPECIFICATION IN ESTIMATING THE PERCENTILES OF SOME TWO -AND THREE-PARAMETER DISTRIBUTIONS |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
278 |
| Testing Nested and Non-Nested Periodically Integrated Autoregressive Models |
0 |
0 |
0 |
0 |
1 |
2 |
5 |
107 |
| Testing Nested and Non-Nested Periodically Integrated Autoregressive Models |
0 |
0 |
0 |
0 |
0 |
2 |
6 |
209 |
| Testing Separate Regression Models Subject to Specification Error |
0 |
0 |
0 |
0 |
2 |
7 |
32 |
66 |
| Testing Separate Regression Models Subject to Specification Error |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
31 |
| Testing for Unit Roots and Non-Linear Transformations |
0 |
0 |
0 |
0 |
2 |
6 |
20 |
285 |
| The Interpretation of the Cox Test in Econometrics |
0 |
0 |
0 |
0 |
11 |
40 |
119 |
203 |
| The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges |
1 |
8 |
36 |
36 |
4 |
23 |
28 |
28 |
| The ten commandments for optimizing value-at-risk and daily capital charges |
1 |
3 |
8 |
8 |
2 |
9 |
9 |
9 |
| Theory and Econometric Evaluation of a Systems Approach to Money Demand, The Canadian Case |
0 |
0 |
0 |
0 |
2 |
5 |
14 |
32 |
| Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH |
3 |
9 |
16 |
16 |
3 |
10 |
10 |
10 |
| Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH |
3 |
9 |
53 |
90 |
4 |
16 |
91 |
142 |
| Two Papers on Linear Models |
0 |
0 |
0 |
0 |
0 |
2 |
9 |
36 |
| Two Papers on Model Testing and Discrimination |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
22 |
| Volatility Models of Currency Futures in Developed and Emerging Markets |
0 |
1 |
18 |
146 |
2 |
6 |
42 |
351 |
| Volatility of a Market Index and its Components: An Application to Commodity Markets |
1 |
2 |
5 |
127 |
1 |
4 |
20 |
206 |
| What Will Take the Con Out of Econometrics? |
0 |
1 |
24 |
106 |
4 |
20 |
93 |
569 |
| Total Working Papers |
162 |
484 |
1,240 |
5,342 |
364 |
1,181 |
3,808 |
26,505 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Market-Augmented Model for SIMEX Brent Crude Oil Futures Contracts |
0 |
1 |
2 |
73 |
4 |
12 |
52 |
716 |
| A Monte Carlo Study of Some Tests of Model Adequacy in Time Series Analysis |
0 |
0 |
0 |
0 |
1 |
2 |
13 |
79 |
| A Note on Identifiability in the Linear Expenditure Family |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
20 |
| A Portfolio Index GARCH model |
1 |
7 |
23 |
23 |
3 |
11 |
37 |
37 |
| A Seasonal Analysis of Asian Tourist Arrivals to Australia |
0 |
4 |
17 |
78 |
8 |
29 |
99 |
442 |
| A further result on the sign of restricted least-squares estimates |
0 |
0 |
1 |
3 |
1 |
1 |
2 |
18 |
| A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries |
0 |
3 |
7 |
7 |
0 |
10 |
18 |
18 |
| A neural network demand system with heteroskedastic errors |
1 |
4 |
10 |
10 |
2 |
10 |
20 |
20 |
| A note on the unbiasedness test of rationality using survey data |
0 |
0 |
2 |
12 |
0 |
0 |
7 |
28 |
| A sequential testing procedure for outliers and structural change |
0 |
1 |
4 |
7 |
1 |
8 |
26 |
49 |
| A small sample test for non-nested regression models |
0 |
0 |
5 |
13 |
1 |
3 |
35 |
100 |
| ANALYTICAL POWER COMPARISONS OF NESTED AND NONNESTED TESTS FOR LINEAR AND LOGLINEAR REGRESSION MODELS |
0 |
0 |
0 |
0 |
0 |
2 |
3 |
4 |
| ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL |
3 |
10 |
19 |
20 |
4 |
21 |
32 |
33 |
| AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY |
0 |
3 |
6 |
15 |
0 |
7 |
10 |
30 |
| Alternative Procedures for Converting Qualitative Response Data to Quantitative Expectations: An Application to Australian Manufacturing |
1 |
3 |
32 |
115 |
1 |
5 |
86 |
440 |
| Alternative procedures and associated tests of significance for non-nested hypotheses |
0 |
1 |
11 |
26 |
2 |
15 |
42 |
67 |
| An Empirical Assessment of Country Risk Ratings and Associated Models |
8 |
25 |
98 |
548 |
20 |
63 |
270 |
1,653 |
| An alternative approach to estimating demand: Neural network regression with conditional volatility for high frequency air passenger arrivals |
1 |
2 |
6 |
6 |
3 |
10 |
29 |
29 |
| An econometric analysis of asymmetric volatility: Theory and application to patents |
1 |
3 |
19 |
41 |
4 |
8 |
44 |
98 |
| Asymptotic Properties Of The Estimator Of The Long-Run Coefficient In A Dynamic Model With Integrated Regressors And Serially Correlated Errors |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
| Cointegrated systems I |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
7 |
| Cointegrated systems II |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
5 |
| Cointegration Analysis of Quarterly Tourism Demand by Hong Kong and Singapore for Australia |
0 |
5 |
24 |
167 |
2 |
11 |
51 |
607 |
| Cointegration Analysis of Seasonal Time Series |
0 |
2 |
16 |
93 |
2 |
8 |
36 |
214 |
| Cointegration and direct tests of the rational expectations hypothesis |
3 |
5 |
9 |
21 |
4 |
8 |
17 |
38 |
| Cointegration in Practice |
6 |
10 |
25 |
98 |
7 |
12 |
35 |
157 |
| Comment |
0 |
0 |
1 |
1 |
0 |
1 |
3 |
4 |
| Consumption, liquidity constraints, uncertainty and temptation: An international comparison |
0 |
0 |
0 |
17 |
0 |
0 |
3 |
48 |
| Convergence and catching up in ASEAN: a comparative analysis |
1 |
9 |
11 |
49 |
10 |
22 |
34 |
151 |
| Direct Tests of the Permanent Income Hypothesis under Uncertainty, Inflationary Expectations and Liquidity Constraints |
1 |
4 |
11 |
20 |
1 |
6 |
18 |
68 |
| Dynamic Asymmetric GARCH |
0 |
4 |
19 |
60 |
1 |
6 |
32 |
123 |
| Econometric Issues in Macroeconomic Models with Generated Regressors |
0 |
0 |
0 |
0 |
22 |
56 |
174 |
640 |
| Econometric modelling in finance and risk management: An overview |
2 |
7 |
19 |
19 |
5 |
17 |
49 |
49 |
| Econometric modelling of non-ferrous metal prices |
3 |
9 |
30 |
112 |
6 |
20 |
115 |
450 |
| Efficient Estimation and Testing of Alternative Models of Currency Futures Contracts |
0 |
1 |
5 |
28 |
0 |
2 |
15 |
148 |
| Efficient Estimation: The Rao-Zyskind Condition, Kruskal's Theorem and Ordinary Least Squares |
0 |
0 |
0 |
0 |
1 |
5 |
18 |
133 |
| Efficient estimation and testing of oil futures contracts in a mutual offset system |
0 |
3 |
9 |
66 |
2 |
10 |
66 |
312 |
| Empirical Econometric Modelling of Food Consumption Using a New Informational Complexity Approach: Comments |
0 |
0 |
1 |
11 |
0 |
0 |
3 |
62 |
| Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers |
2 |
6 |
17 |
52 |
8 |
14 |
34 |
122 |
| Evaluating the impact of market reforms on Value-at-Risk forecasts of Chinese A and B shares |
1 |
4 |
21 |
21 |
2 |
7 |
41 |
41 |
| Financial volatility: an introduction |
2 |
16 |
66 |
561 |
15 |
48 |
189 |
1,276 |
| Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks |
4 |
8 |
10 |
10 |
6 |
15 |
24 |
24 |
| Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model |
1 |
8 |
42 |
59 |
4 |
19 |
77 |
128 |
| Further Results on Testing AR (1) against MA (1) Disturbances in the Linear Regression Model |
0 |
1 |
2 |
27 |
19 |
30 |
77 |
185 |
| GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION |
2 |
5 |
12 |
12 |
5 |
17 |
31 |
31 |
| HOW DOES COUNTRY RISK AFFECT INNOVATION? AN APPLICATION TO FOREIGN PATENTS REGISTERED IN THE USA |
1 |
1 |
8 |
23 |
1 |
1 |
25 |
90 |
| How Fragile Are Fragile Inferences? A Re-evaluation of the Deterrent Effect of Capital Punishment |
1 |
1 |
8 |
53 |
2 |
5 |
44 |
284 |
| INTELLECTUAL PROPERTY AND ECONOMIC INCENTIVES |
1 |
1 |
11 |
38 |
3 |
6 |
22 |
78 |
| INTELLECTUAL PROPERTY LITIGATION ACTIVITY IN THE USA |
4 |
7 |
35 |
68 |
10 |
25 |
96 |
185 |
| Interest Rates and Durability in the Linear Expenditure Family |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
25 |
| Is a monetary union feasible for East Asia? |
3 |
10 |
30 |
129 |
5 |
21 |
60 |
246 |
| Joint tests of non-nested models and general error specifications |
0 |
0 |
3 |
4 |
0 |
2 |
13 |
19 |
| Keynesian and New Classical Models of Unemployment Revisited |
1 |
6 |
15 |
85 |
2 |
15 |
76 |
387 |
| Linear and nonlinear causality between changes in consumption and consumer attitudes |
4 |
9 |
9 |
9 |
11 |
21 |
21 |
21 |
| MEASURING RISK IN ENVIRONMENTAL FINANCE |
1 |
8 |
25 |
40 |
2 |
11 |
62 |
104 |
| Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence |
7 |
21 |
73 |
599 |
18 |
51 |
169 |
1,410 |
| Modeling dynamic conditional correlations in WTI oil forward and futures returns |
1 |
3 |
10 |
40 |
3 |
10 |
57 |
161 |
| Modelling time-varying conditional correlations in the volatility of Tapis oil spot and forward returns |
5 |
17 |
54 |
189 |
14 |
46 |
162 |
628 |
| NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS |
2 |
4 |
6 |
7 |
4 |
10 |
16 |
17 |
| Newey-West Covariance Matrix Estimates for Models with Generated Regressors |
0 |
0 |
0 |
11 |
15 |
86 |
352 |
1,983 |
| Non-trading day effects in asymmetric conditional and stochastic volatility models |
1 |
4 |
18 |
36 |
6 |
20 |
74 |
161 |
| On exact and asymptotic tests of non-nested models |
0 |
1 |
1 |
1 |
0 |
2 |
2 |
2 |
| On the Effects of Misspecification Errors in Models with Generated Regressors |
0 |
0 |
0 |
0 |
1 |
2 |
21 |
96 |
| On the Robustness of Barro's New Classical Unemployment Model |
0 |
0 |
0 |
0 |
0 |
4 |
11 |
46 |
| On the interpretation of the cox test in econometrics |
1 |
4 |
9 |
15 |
1 |
4 |
11 |
27 |
| Patent activity and technical change |
0 |
1 |
4 |
11 |
0 |
2 |
16 |
51 |
| Pictures at an Exhibition: The Experiment in Applied Econometrics Conference, Tilburg, the Netherlands, 1996 |
0 |
0 |
1 |
17 |
0 |
0 |
6 |
127 |
| Pricing of Forward and Futures Contracts |
1 |
6 |
21 |
229 |
1 |
13 |
55 |
663 |
| Pricing of non-ferrous metals futures on the London Metal Exchange |
6 |
13 |
32 |
96 |
13 |
37 |
173 |
558 |
| Properties of ordinary least squares estimators in regression models with nonspherical disturbances |
6 |
16 |
43 |
122 |
23 |
54 |
157 |
413 |
| Realized Volatility and Long Memory: An Overview |
3 |
5 |
39 |
54 |
3 |
5 |
53 |
83 |
| Realized Volatility: A Review |
5 |
17 |
60 |
71 |
8 |
32 |
126 |
156 |
| Recent Theoretical Results for Time Series Models with GARCH Errors |
6 |
11 |
38 |
219 |
10 |
23 |
89 |
442 |
| Recursive estimation and generated regressors |
0 |
0 |
3 |
16 |
0 |
1 |
9 |
41 |
| Recursive modelling of symmetric and asymmetric volatility in the presence of extreme observations |
1 |
2 |
6 |
17 |
1 |
2 |
10 |
53 |
| Regression quantiles for unstable autoregressive models |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
1 |
| Revisiting Tobin's 1950 Study of Food Expenditure: Comments |
0 |
1 |
1 |
20 |
0 |
2 |
11 |
130 |
| SIZE CHARACTERISTICS OF TESTS FOR SAMPLE SELECTION BIAS: A MONTE CARLO COMPARISON AND EMPIRICAL EXAMPLE |
0 |
2 |
18 |
53 |
5 |
18 |
125 |
439 |
| Scalar BEKK and indirect DCC |
2 |
10 |
30 |
30 |
6 |
22 |
58 |
58 |
| Separate Misspecified Regressions and the U.S. Long-Run Demand for Money Function |
0 |
0 |
3 |
7 |
0 |
0 |
4 |
29 |
| Sherlock Holmes and the Search for Truth: A Diagnostic Tale |
0 |
0 |
0 |
0 |
4 |
10 |
36 |
606 |
| Simplicity, Scientific Interference and Econometric Modelling |
1 |
2 |
5 |
29 |
1 |
2 |
20 |
142 |
| Simultaneity and the Demand for Money in Canada: Comments and Extensions |
0 |
0 |
1 |
1 |
0 |
2 |
8 |
55 |
| Single-index and portfolio models for forecasting value-at-risk thresholds |
2 |
11 |
58 |
78 |
6 |
25 |
143 |
190 |
| Some Exact Tests for Model Specification |
0 |
0 |
3 |
30 |
0 |
0 |
4 |
116 |
| Some comments on testing time series models |
0 |
0 |
3 |
3 |
0 |
0 |
6 |
10 |
| Stationarity and the existence of moments of a family of GARCH processes |
3 |
9 |
23 |
89 |
3 |
13 |
32 |
172 |
| Statistical Demand Functions for Food in the USA and the Netherlands: Comments |
0 |
0 |
0 |
16 |
0 |
0 |
24 |
105 |
| Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility |
1 |
7 |
7 |
7 |
2 |
12 |
12 |
12 |
| Switching Orthogonality |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
92 |
| Testing Long-Run Neutrality Using Intra-year data |
1 |
1 |
1 |
10 |
1 |
3 |
6 |
44 |
| Testing Non-Nested Specifications of Money Demand for Canada |
0 |
0 |
0 |
0 |
0 |
2 |
4 |
40 |
| Testing separate models with stochastic regressors |
0 |
0 |
0 |
4 |
0 |
0 |
4 |
17 |
| Testing separate regression models subject to specification error |
0 |
0 |
2 |
6 |
0 |
1 |
8 |
19 |
| Testing the Risk Premium and Cost-of-Carry Hypotheses for Currency Futures Contracts |
0 |
0 |
4 |
50 |
2 |
3 |
19 |
163 |
| The 7th World Congress of the Econometric Society: Tokyo, Japan, 1995 |
0 |
0 |
0 |
0 |
0 |
8 |
24 |
130 |
| The Econometrics of Financial Time Series |
1 |
2 |
5 |
75 |
2 |
5 |
13 |
159 |
| The International Congress on Modelling and Simulation, Hobart, Tasmania, December 1997 |
0 |
1 |
1 |
7 |
2 |
4 |
8 |
80 |
| The International Congress on Modelling and Simulation: Hamilton, New Zealand, December 1999 |
0 |
0 |
1 |
3 |
1 |
3 |
10 |
92 |
| The Osaka Econometrics Conference: Osaka, Japan, 1995 |
0 |
0 |
0 |
0 |
1 |
2 |
8 |
43 |
| The Ten Commandments for Academics |
1 |
2 |
16 |
58 |
2 |
3 |
40 |
141 |
| The Ten Commandments for Attending a Conference |
0 |
0 |
9 |
41 |
1 |
1 |
21 |
101 |
| The Ten Commandments for Organizing a Conference |
0 |
0 |
7 |
187 |
1 |
4 |
24 |
464 |
| The Ten Commandments for Presenting a Conference Paper |
4 |
6 |
28 |
209 |
12 |
31 |
100 |
525 |
| The Winter of My Content: The Econometric Society Australasian Meeting 1997, Melbourne, Australia |
0 |
0 |
2 |
2 |
1 |
1 |
5 |
34 |
| The econometrics of intellectual property: An overview |
0 |
0 |
7 |
39 |
1 |
3 |
17 |
93 |
| The minimum error variance rule for non-linear regression models |
0 |
2 |
6 |
13 |
1 |
4 |
21 |
55 |
| The significance of testing empirical non-nested models |
0 |
3 |
15 |
44 |
2 |
9 |
46 |
136 |
| The ten commandments for ranking university quality |
2 |
2 |
14 |
58 |
3 |
5 |
41 |
188 |
| Trends and volatilities in foreign patents registered in the USA |
1 |
3 |
5 |
23 |
3 |
9 |
25 |
109 |
| Variable Addition and LaGrange Multiplier Tests for Linear and Logarithmic Regression Models |
0 |
0 |
12 |
106 |
1 |
8 |
83 |
670 |
| What Will Take the Con out of Econometrics? |
1 |
3 |
23 |
86 |
2 |
7 |
51 |
204 |
| When are two step estimators efficient? |
0 |
1 |
7 |
11 |
1 |
3 |
14 |
25 |
| Total Journal Articles |
125 |
410 |
1,491 |
6,096 |
402 |
1,290 |
5,042 |
23,155 |