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12 months |
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Last month |
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12 months |
Total |

A Multivariate Generalized Orthogonal Factor GARCH Model |
1 |
2 |
8 |
33 |
2 |
9 |
24 |
92 |

A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns |
1 |
1 |
6 |
947 |
2 |
11 |
48 |
2,168 |

A note on the geometric ergodicity of a nonlinear AR–ARCH model |
0 |
2 |
7 |
97 |
2 |
12 |
45 |
283 |

A review of systemscointegration tests |
2 |
3 |
8 |
15 |
2 |
3 |
14 |
592 |

Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes |
0 |
0 |
0 |
25 |
0 |
0 |
0 |
171 |

Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift |
2 |
2 |
2 |
315 |
5 |
7 |
8 |
707 |

Cointegrated Vector Autoregressive Processes with Continuous Structural Changes |
0 |
0 |
0 |
20 |
0 |
0 |
3 |
46 |

Cointegrating smooth transition regressions with applications to the Asian currency crisis |
0 |
0 |
5 |
38 |
0 |
0 |
11 |
194 |

Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift |
0 |
2 |
2 |
197 |
0 |
6 |
10 |
509 |

Comparison of tests for the cointegrating rank of a VAR process with a structural shift |
0 |
0 |
0 |
44 |
0 |
0 |
3 |
219 |

Comparison of unit root tests for time series with level shifts |
0 |
1 |
2 |
105 |
0 |
2 |
6 |
612 |

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models |
0 |
0 |
0 |
323 |
3 |
5 |
18 |
1,045 |

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models |
0 |
1 |
2 |
147 |
0 |
4 |
11 |
358 |

Forecasting with a noncausal VAR model |
2 |
3 |
8 |
92 |
5 |
7 |
20 |
88 |

GMM Estimation with Noncausal Instruments |
0 |
0 |
2 |
39 |
1 |
4 |
10 |
59 |

Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes |
0 |
0 |
0 |
111 |
0 |
0 |
4 |
521 |

Local power of likelihood ratio tests for the cointegrating rank of a VAR process |
0 |
1 |
1 |
2 |
1 |
2 |
4 |
114 |

Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity |
2 |
2 |
8 |
54 |
3 |
8 |
48 |
188 |

Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process |
3 |
17 |
89 |
298 |
35 |
122 |
423 |
1,650 |

Modeling Conditional Skewness in Stock Returns |
0 |
0 |
0 |
374 |
0 |
0 |
3 |
1,089 |

Modeling Expectations with Noncausal Autoregressions |
0 |
0 |
3 |
109 |
0 |
3 |
18 |
309 |

Modeling Expectations with Noncausal Autoregressions |
0 |
0 |
1 |
43 |
0 |
2 |
6 |
95 |

Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes |
0 |
0 |
0 |
0 |
2 |
4 |
12 |
612 |

Modeling the US short-term interest rate by mixture autoregressive processes |
1 |
1 |
4 |
27 |
1 |
1 |
11 |
131 |

Noncausal Vector Autoregression |
1 |
2 |
6 |
76 |
1 |
4 |
13 |
133 |

Noncausal autoregressions for economic time series |
1 |
3 |
10 |
40 |
3 |
9 |
39 |
123 |

Noncausal vector autoregression |
0 |
0 |
4 |
82 |
0 |
3 |
13 |
181 |

Nonlinear GARCH models for highly persistent volatility |
0 |
1 |
1 |
77 |
1 |
4 |
9 |
348 |

On the Estimation of Euler Equations in the Presence of a Potential Regime Shift |
0 |
0 |
0 |
13 |
0 |
0 |
4 |
49 |

Optimal Forecasting of Noncausal Autoregressive Time Series |
0 |
0 |
5 |
75 |
1 |
2 |
14 |
124 |

Order selection in testing for the cointegrating rank of a VAR process |
0 |
4 |
7 |
12 |
0 |
4 |
11 |
262 |

Parameter Estimation in Nonlinear AR-GARCH Models |
0 |
0 |
0 |
179 |
1 |
3 |
5 |
403 |

Parameter estimation in nonlinear AR-GARCH models |
1 |
1 |
3 |
232 |
5 |
10 |
16 |
603 |

Parameter estimation in nonlinear AR-GARCH models |
0 |
1 |
2 |
44 |
3 |
11 |
17 |
145 |

Parameter estimation in nonlinear AR–GARCH models |
0 |
0 |
9 |
119 |
2 |
5 |
51 |
421 |

Reducing size distortions of parametric stationarity tests |
1 |
1 |
1 |
6 |
1 |
1 |
2 |
59 |

Residual Autocorrelation Testing for Vector Error Correction Models |
1 |
2 |
13 |
550 |
5 |
17 |
49 |
1,736 |

Stability of nonlinear AR-GARCH models |
2 |
2 |
2 |
6 |
2 |
3 |
5 |
36 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
0 |
169 |
0 |
3 |
8 |
379 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
0 |
192 |
1 |
4 |
6 |
502 |

Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model |
0 |
0 |
2 |
50 |
0 |
0 |
5 |
438 |

Supplementary appendix to "noncausal vector autoregression" |
0 |
0 |
2 |
17 |
0 |
2 |
7 |
32 |

Test procedures for unit roots in time series with level shifts at unknown time |
1 |
1 |
9 |
88 |
1 |
3 |
27 |
454 |

Testing for Predictability in a Noninvertible ARMA Model |
0 |
1 |
5 |
38 |
3 |
8 |
29 |
115 |

Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time |
0 |
0 |
4 |
403 |
2 |
3 |
13 |
752 |

Testing for a unit root in a time series with a level shift at unknown time |
0 |
0 |
0 |
71 |
0 |
0 |
1 |
307 |

Testing for a unit root in noncausal autoregressive models |
0 |
1 |
11 |
41 |
3 |
6 |
29 |
46 |

Testing for predictability in a noninvertible ARMA model |
0 |
0 |
5 |
68 |
4 |
8 |
17 |
103 |

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break |
1 |
2 |
5 |
130 |
5 |
11 |
21 |
352 |

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break |
2 |
5 |
5 |
124 |
2 |
5 |
8 |
253 |

Testing for the Cointegrating Rank of a VAR Process with a Time Trend |
0 |
0 |
0 |
0 |
1 |
2 |
7 |
212 |

Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term |
1 |
3 |
5 |
125 |
1 |
7 |
11 |
264 |

Testing for the cointegrating rank of a VAR process with an intercept |
0 |
1 |
7 |
13 |
0 |
3 |
22 |
191 |

Testing for the cointegrating rank of a VAR process with level shift at unknown time |
1 |
1 |
3 |
98 |
1 |
1 |
8 |
446 |

Testing for the cointegrating rank of a VAR process with structural shifts |
0 |
2 |
4 |
15 |
0 |
2 |
6 |
243 |

Testing for unit roots in time series with level shifts |
0 |
0 |
0 |
2 |
0 |
0 |
3 |
345 |

Threshold Autoregression for Strongly Autocorrelated Time Series |
0 |
0 |
0 |
0 |
0 |
1 |
14 |
514 |

Trend adjustment prior to testing for the cointegrating rank of a VAR process |
0 |
0 |
1 |
5 |
0 |
1 |
3 |
176 |

Unit root tests for time series with a structural break: When the break point is known |
0 |
2 |
3 |
262 |
2 |
4 |
9 |
952 |

Unit root tests in the presence of innovational outliers |
1 |
1 |
2 |
46 |
1 |
2 |
4 |
244 |

Total Working Papers |
28 |
75 |
294 |
6,923 |
116 |
364 |
1,266 |
23,795 |