| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Fast Fractional Difference Algorithm |
0 |
0 |
0 |
241 |
0 |
0 |
3 |
552 |
| A Fractionally Cointegrated Var Analysis Of Economic Voting And Political Support |
0 |
0 |
0 |
182 |
3 |
8 |
8 |
395 |
| A Fractionally Cointegrated Var Analysis Of Price Discovery In Commodity Futures Markets |
0 |
0 |
0 |
92 |
0 |
1 |
3 |
263 |
| A Fractionally Cointegrated Var Model With Deterministic Trends And Application To Commodity Futures Markets |
0 |
0 |
0 |
190 |
1 |
2 |
4 |
417 |
| A Matlab Program And User's Guide For The Fractionally Cointegrated Var Model |
0 |
1 |
21 |
1,132 |
3 |
5 |
43 |
2,081 |
| A Necessary Moment Condition For The Fractional Functional Central Limit Theorem |
0 |
0 |
0 |
62 |
1 |
2 |
2 |
174 |
| A Necessary Moment Condition for the Fractional Functional Central Limit Theorem |
0 |
0 |
0 |
25 |
0 |
0 |
0 |
144 |
| A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic |
0 |
0 |
0 |
79 |
3 |
3 |
5 |
277 |
| A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic |
0 |
0 |
0 |
59 |
0 |
0 |
0 |
155 |
| A Powerful Tuning Parameter Free Test Of The Autoregressive Unit Root Hypothesis |
0 |
0 |
0 |
116 |
0 |
0 |
0 |
488 |
| A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis |
0 |
0 |
0 |
37 |
1 |
3 |
4 |
146 |
| A Regime Switching Long Memory Model for Electricity Prices |
0 |
0 |
0 |
632 |
3 |
3 |
4 |
1,463 |
| A Vector Autoregressive Model For Electricity Prices Subject To Long Memory And Regime Switching |
0 |
0 |
0 |
271 |
2 |
2 |
5 |
763 |
| A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching |
0 |
0 |
0 |
132 |
3 |
3 |
3 |
391 |
| A fast fractional difference algorithm |
0 |
0 |
2 |
43 |
2 |
5 |
9 |
138 |
| A fractionally cointegrated VAR analysis of economic voting and political support |
0 |
0 |
0 |
54 |
1 |
2 |
3 |
100 |
| A fractionally cointegrated VAR analysis of price discovery in commodity futures markets |
0 |
0 |
0 |
42 |
0 |
0 |
0 |
128 |
| A necessary moment condition for the fractional functional central limit theorem |
0 |
0 |
0 |
15 |
1 |
1 |
1 |
67 |
| Adaptive Inference In Heteroskedastic Fractional Time Series Models |
0 |
0 |
0 |
188 |
0 |
0 |
3 |
336 |
| Adaptive Inference in Heteroskedastic Fractional Time Series Models |
0 |
0 |
2 |
10 |
0 |
0 |
4 |
41 |
| Asset Market Perspectives on the Israeli-Palestinian Conflict |
0 |
0 |
0 |
6 |
0 |
0 |
2 |
29 |
| Asymptotic Theory And Wild Bootstrap Inference With Clustered Errors |
0 |
0 |
5 |
279 |
7 |
9 |
21 |
549 |
| Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors |
0 |
0 |
0 |
13 |
2 |
4 |
8 |
76 |
| Asymptotics For The Conditional-sum-of-squares Estimator In Multivariate Fractional Time Series Models |
0 |
0 |
0 |
211 |
1 |
4 |
8 |
421 |
| Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models |
0 |
0 |
0 |
23 |
1 |
2 |
2 |
57 |
| Bias-reduced estimation of long memory stochastic volatility |
0 |
0 |
0 |
63 |
1 |
3 |
4 |
197 |
| Bootstrap And Asymptotic Inference With Multiway Clustering |
1 |
1 |
3 |
240 |
1 |
8 |
18 |
482 |
| Bootstrap Score Tests For Fractional Integration In Heteroskedastic Arfima Models, With An Application To Price Dynamics In Commodity Spot And Futures Markets |
0 |
0 |
0 |
178 |
1 |
1 |
1 |
404 |
| Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets |
0 |
0 |
0 |
45 |
0 |
0 |
1 |
89 |
| Bootstrap inference in the presence of bias |
2 |
6 |
16 |
102 |
5 |
12 |
43 |
230 |
| Cluster-Robust Inference: A Guide to Empirical Practice |
0 |
0 |
0 |
13 |
4 |
10 |
13 |
42 |
| Cluster-Robust Inference: A Guide to Empirical Practice |
0 |
0 |
2 |
23 |
2 |
10 |
16 |
73 |
| Cluster-Robust Inference: A Guide to Empirical Practice |
2 |
5 |
24 |
444 |
10 |
21 |
76 |
882 |
| Cluster-Robust Jackknife and Bootstrap Inference for Binary Response Models |
0 |
1 |
2 |
5 |
2 |
4 |
10 |
17 |
| Cluster-robust jackknife and bootstrap inference for logistic regression models |
2 |
4 |
12 |
26 |
9 |
15 |
37 |
65 |
| Cluster–robust inference: A guide to empirical practice |
0 |
0 |
2 |
21 |
6 |
10 |
20 |
93 |
| Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns |
0 |
0 |
0 |
61 |
1 |
1 |
5 |
301 |
| Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns |
0 |
0 |
0 |
373 |
5 |
6 |
11 |
935 |
| Determining The Cointegrating Rank In Nonstationary Fractional Systems By The Exact Local Whittle Approach |
0 |
0 |
0 |
164 |
3 |
3 |
3 |
526 |
| Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices |
0 |
0 |
0 |
133 |
0 |
0 |
1 |
363 |
| Economic Significance Of Commodity Return Forecasts From The Fractionally Cointegrated Var Model |
0 |
1 |
1 |
230 |
0 |
2 |
6 |
556 |
| Economic significance of commodity return forecasts from the fractionally cointegrated VAR model |
0 |
0 |
0 |
8 |
2 |
3 |
4 |
57 |
| Efficient Inference in Multivariate Fractionally Integrated Time Series Models |
0 |
0 |
0 |
188 |
0 |
0 |
0 |
542 |
| Efficient Likelihold Inference in Nonstationary Univariate Models |
0 |
0 |
0 |
21 |
0 |
0 |
1 |
109 |
| Estimation of Fractional Integration in the Presence of Data Noise |
0 |
0 |
0 |
35 |
0 |
2 |
4 |
131 |
| Fast And Wild: Bootstrap Inference In Stata Using Boottest |
4 |
15 |
58 |
1,069 |
25 |
76 |
251 |
3,351 |
| Fast and Reliable Jackknife and Bootstrap Methods for Cluster-Robust Inference |
2 |
2 |
11 |
137 |
6 |
7 |
27 |
263 |
| Fast and Reliable Jackknife and Bootstrap Methods for Cluster-Robust Inference |
0 |
0 |
0 |
5 |
2 |
3 |
5 |
29 |
| Fast and Wild: Bootstrap Inference in Stata Using boottest |
1 |
2 |
3 |
47 |
3 |
9 |
16 |
219 |
| Fcvarmodel.m: A Matlab Software Package For Estimation And Testing In The Fractionally Cointegrated Var Model |
0 |
0 |
1 |
791 |
1 |
3 |
8 |
1,713 |
| Finite Sample Accuracy Of Integrated Volatility Estimators |
0 |
0 |
0 |
23 |
0 |
2 |
5 |
136 |
| Finite Sample Comparison Of Parametric, Semiparametric, And Wavelet Estimators Of Fractional Integration |
0 |
0 |
0 |
73 |
4 |
4 |
5 |
308 |
| Forecasting Exchange Rate Volatility In The Presence Of Jumps |
0 |
0 |
0 |
144 |
1 |
1 |
5 |
572 |
| Forecasting daily political opinion polls using the fractionally cointegrated VAR model |
0 |
0 |
0 |
36 |
0 |
0 |
1 |
81 |
| Forecasting daily political opinion polls using the fractionally cointegrated VAR model |
0 |
0 |
1 |
196 |
1 |
3 |
4 |
479 |
| Fractional integration and cointegration |
0 |
0 |
0 |
136 |
4 |
5 |
7 |
106 |
| Fractional integration and cointegration |
0 |
0 |
3 |
18 |
3 |
5 |
13 |
44 |
| Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration |
0 |
0 |
0 |
12 |
0 |
0 |
2 |
53 |
| Fully Modified Narrow-band Least Squares Estimation Of Stationary Fractional Cointegration |
0 |
0 |
0 |
105 |
2 |
3 |
3 |
355 |
| Fully Modified Narrow-band Least Squares Estimation Of Weak Fractional Cointegration |
0 |
0 |
0 |
50 |
1 |
1 |
1 |
158 |
| Improved Inference for Nonparametric Regression |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| Improved Likelihood Ratio Tests For Cointegration Rank In The Var Model |
0 |
0 |
0 |
48 |
0 |
1 |
2 |
182 |
| Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model |
0 |
0 |
0 |
49 |
3 |
4 |
4 |
136 |
| Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model |
0 |
0 |
2 |
16 |
1 |
2 |
5 |
86 |
| Inference on common trends in functional time series |
3 |
5 |
16 |
35 |
5 |
7 |
27 |
62 |
| Inference on the dimension of the nonstationary subspace in functional time series |
0 |
0 |
0 |
11 |
1 |
1 |
3 |
26 |
| Inference on the dimension of the nonstationary subspace in functional time series |
0 |
0 |
2 |
267 |
1 |
1 |
11 |
585 |
| Jackknife Inference with Two-Way Clustering |
0 |
1 |
1 |
8 |
0 |
3 |
7 |
26 |
| Jackknife inference with two-way clustering |
4 |
8 |
23 |
39 |
8 |
15 |
48 |
79 |
| Leverage, Influence, and the Jackknife in Clustered Regression Models: Reliable Inference Using summclust |
0 |
0 |
0 |
20 |
0 |
4 |
5 |
51 |
| Leverage, Influence, and the Jackknife in Clustered Regression Models: Reliable Inference Using summclust |
0 |
0 |
2 |
74 |
1 |
2 |
10 |
146 |
| Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model |
0 |
0 |
2 |
326 |
1 |
1 |
4 |
562 |
| Likelihood Inference For A Nonstationary Fractional Autoregressive Model |
0 |
0 |
0 |
223 |
1 |
2 |
3 |
558 |
| Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model |
0 |
0 |
0 |
47 |
1 |
2 |
4 |
181 |
| Likelihood Inference for a Nonstationary Fractional Autoregressive Model |
0 |
0 |
0 |
110 |
1 |
1 |
1 |
261 |
| Likelihood inference for a fractionally cointegrated vector autoregressive model |
0 |
0 |
0 |
123 |
0 |
1 |
2 |
203 |
| Likelihood inference for a nonstationary fractional autoregressive model |
0 |
0 |
0 |
29 |
0 |
1 |
1 |
100 |
| Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence |
0 |
0 |
0 |
105 |
0 |
0 |
0 |
331 |
| Local Polynomial Whittle Estimation Of Perturbed Fractional Processes |
0 |
0 |
0 |
79 |
0 |
0 |
0 |
226 |
| Local Whittle Analysis of Stationary Fractional Cointegration |
0 |
0 |
0 |
110 |
1 |
2 |
3 |
396 |
| Local polynomial Whittle estimation of perturbed fractional processes |
0 |
0 |
0 |
54 |
2 |
4 |
5 |
169 |
| Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model |
0 |
0 |
0 |
197 |
1 |
2 |
4 |
514 |
| Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model |
0 |
0 |
0 |
141 |
1 |
1 |
2 |
322 |
| Multivariate Lagrange Multiplier Tests for Fractional Integration |
0 |
1 |
2 |
171 |
0 |
1 |
2 |
876 |
| Nearly Efficient Likelihood Ratio Tests For Seasonal Unit Roots |
0 |
0 |
0 |
37 |
2 |
4 |
5 |
163 |
| Nearly Efficient Likelihood Ratio Tests Of The Unit Root Hypothesis |
0 |
0 |
0 |
184 |
0 |
1 |
4 |
415 |
| Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots |
0 |
0 |
0 |
17 |
2 |
2 |
2 |
75 |
| Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order |
1 |
2 |
2 |
96 |
2 |
3 |
6 |
139 |
| Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis |
0 |
0 |
0 |
34 |
2 |
3 |
6 |
122 |
| Nonparametric Cointegration Analysis Of Fractional Systems With Unknown Integration Orders |
0 |
0 |
1 |
146 |
4 |
4 |
6 |
391 |
| Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders |
0 |
0 |
1 |
68 |
0 |
3 |
7 |
174 |
| Nonstationary Cointegration In The Fractionally Cointegrated Var Model |
0 |
0 |
0 |
134 |
0 |
1 |
2 |
225 |
| Nonstationary cointegration in the fractionally cointegrated VAR model |
0 |
1 |
1 |
13 |
1 |
3 |
4 |
48 |
| Nonstationary cointegration in the fractionally cointegrated VAR model |
0 |
0 |
0 |
35 |
0 |
3 |
5 |
59 |
| Numerical Distribution Functions Of Fractional Unit Root And Cointegration Tests |
0 |
0 |
6 |
501 |
0 |
1 |
11 |
953 |
| Numerical distribution functions of fractional unit root and cointegration tests |
0 |
0 |
0 |
58 |
0 |
1 |
2 |
135 |
| Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics |
0 |
0 |
0 |
176 |
0 |
0 |
1 |
526 |
| Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form |
0 |
0 |
0 |
26 |
0 |
0 |
1 |
51 |
| Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form |
0 |
0 |
0 |
224 |
3 |
3 |
4 |
446 |
| Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data |
0 |
0 |
0 |
300 |
3 |
3 |
4 |
1,184 |
| Semiparametric Estimation in Time Series Regression with Long Range Dependence |
0 |
0 |
0 |
115 |
1 |
3 |
3 |
432 |
| Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks |
0 |
1 |
1 |
3 |
1 |
2 |
5 |
14 |
| Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks |
0 |
0 |
1 |
8 |
1 |
1 |
9 |
35 |
| Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks |
0 |
0 |
0 |
60 |
2 |
2 |
4 |
121 |
| Spectral Analysis of Fractionally Cointegrated Systems |
0 |
0 |
0 |
110 |
0 |
0 |
1 |
265 |
| Testing The Cvar In The Fractional Cvar Model |
0 |
1 |
1 |
75 |
0 |
1 |
2 |
99 |
| Testing for the appropriate level of clustering in linear regression models |
0 |
0 |
0 |
19 |
2 |
3 |
7 |
41 |
| Testing for the appropriate level of clustering in linear regression models |
1 |
1 |
6 |
386 |
5 |
6 |
21 |
835 |
| Testing the CVAR in the fractional CVAR model |
0 |
0 |
1 |
19 |
2 |
2 |
6 |
49 |
| Testing the CVAR in the fractional CVAR model |
0 |
0 |
0 |
6 |
1 |
1 |
2 |
45 |
| The Cointegrated Vector Autoregressive Model With General Deterministic Terms |
1 |
1 |
1 |
84 |
2 |
4 |
5 |
153 |
| The Effect of Long Memory in Volatility on Stock Market Fluctuations |
0 |
0 |
0 |
82 |
2 |
4 |
7 |
253 |
| The Global Carbon Budget as a cointegrated system |
1 |
4 |
49 |
49 |
3 |
13 |
73 |
73 |
| The Impact Of Financial Crises On The Risk-return Tradeoff And The Leverage Effect |
0 |
0 |
0 |
115 |
2 |
3 |
4 |
424 |
| The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices |
0 |
0 |
0 |
195 |
0 |
0 |
1 |
747 |
| The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps |
0 |
0 |
0 |
211 |
3 |
5 |
10 |
1,132 |
| The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets |
0 |
1 |
1 |
385 |
3 |
5 |
10 |
1,190 |
| The Role Of Initial Values In Conditional Sum-of-squares Estimation Of Nonstationary Fractional Time Series Models |
0 |
0 |
0 |
217 |
3 |
5 |
13 |
437 |
| The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets |
1 |
1 |
2 |
215 |
1 |
3 |
6 |
613 |
| The cointegrated vector autoregressive model with general deterministic terms |
0 |
0 |
0 |
11 |
0 |
2 |
3 |
56 |
| The cointegrated vector autoregressive model with general deterministic terms |
0 |
0 |
0 |
63 |
0 |
1 |
1 |
62 |
| The impact of financial crises on the risk-return tradeoff and the leverage effect |
0 |
0 |
0 |
89 |
1 |
3 |
7 |
336 |
| The role of initial values in nonstationary fractional time series models |
0 |
0 |
0 |
32 |
2 |
2 |
3 |
73 |
| The role of initial values in nonstationary fractional time series models |
0 |
0 |
0 |
17 |
1 |
1 |
3 |
72 |
| To infinity and beyond: Efficient computation of ARCH(1) models |
0 |
0 |
0 |
179 |
0 |
1 |
3 |
30 |
| To infinity and beyond: Efficient computation of ARCH(\infty) models |
0 |
0 |
1 |
102 |
1 |
1 |
2 |
133 |
| Truncated Sum Of Squares Estimation Of Fractional Time Series Models With Deterministic Trends |
0 |
0 |
0 |
112 |
1 |
1 |
2 |
180 |
| Truncated sum of squares estimation of fractional time series models with deterministic trends |
0 |
0 |
1 |
9 |
0 |
0 |
3 |
32 |
| Truncated sum-of-squares estimation of fractional time series models with generalized power law trend |
0 |
0 |
0 |
7 |
1 |
1 |
5 |
25 |
| Truncated sum-of-squares estimation of fractional time series models with generalized power law trend |
0 |
0 |
2 |
41 |
0 |
1 |
6 |
70 |
| Validity Of Wild Bootstrap Inference With Clustered Errors |
0 |
0 |
0 |
115 |
3 |
4 |
5 |
199 |
| Weak convergence to derivatives of fractional Brownian motion |
0 |
1 |
4 |
15 |
2 |
3 |
8 |
45 |
| Wild Bootstrap and Asymptotic Inference with Multiway Clustering |
1 |
2 |
6 |
167 |
8 |
13 |
20 |
366 |
| Wild Bootstrap and Asymptotic Inference with Multiway Clustering |
0 |
0 |
1 |
21 |
1 |
2 |
6 |
59 |
| Total Working Papers |
27 |
69 |
308 |
17,014 |
243 |
484 |
1,261 |
43,492 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A FAST FRACTIONAL DIFFERENCE ALGORITHM |
1 |
1 |
3 |
132 |
3 |
8 |
13 |
324 |
| A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets |
0 |
0 |
1 |
88 |
1 |
3 |
4 |
238 |
| A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM |
0 |
0 |
0 |
48 |
4 |
7 |
10 |
227 |
| A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC |
0 |
0 |
0 |
63 |
2 |
5 |
9 |
191 |
| A fractionally cointegrated VAR analysis of economic voting and political support |
0 |
0 |
0 |
4 |
1 |
2 |
5 |
28 |
| A fractionally cointegrated VAR analysis of economic voting and political support |
0 |
0 |
1 |
108 |
0 |
2 |
5 |
255 |
| A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets |
0 |
0 |
1 |
61 |
0 |
1 |
4 |
230 |
| A regime switching long memory model for electricity prices |
0 |
0 |
4 |
346 |
4 |
7 |
17 |
929 |
| A vector autoregressive model for electricity prices subject to long memory and regime switching |
0 |
1 |
2 |
97 |
2 |
5 |
7 |
325 |
| Adaptive Inference in Heteroscedastic Fractional Time Series Models |
0 |
0 |
4 |
21 |
0 |
0 |
6 |
47 |
| Asset Market Perspectives on the Israeli–Palestinian Conflict |
1 |
1 |
4 |
92 |
2 |
5 |
19 |
379 |
| Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting |
0 |
0 |
1 |
179 |
1 |
2 |
8 |
429 |
| Asymptotic theory and wild bootstrap inference with clustered errors |
0 |
2 |
6 |
50 |
3 |
9 |
27 |
157 |
| Asymptotics for the Conditional-Sum-of-Squares Estimator in Multivariate Fractional Time-Series Models |
0 |
0 |
0 |
41 |
1 |
5 |
9 |
123 |
| Bias-Reduced Estimation of Long-Memory Stochastic Volatility |
0 |
0 |
3 |
52 |
2 |
3 |
7 |
183 |
| Bootstrap Inference in the Presence of Bias |
3 |
6 |
14 |
14 |
6 |
19 |
44 |
44 |
| Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets |
0 |
0 |
1 |
65 |
0 |
1 |
6 |
202 |
| Cluster-robust inference: A guide to empirical practice |
1 |
1 |
9 |
45 |
7 |
16 |
56 |
157 |
| Comment |
0 |
0 |
0 |
29 |
0 |
0 |
2 |
146 |
| Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns |
0 |
0 |
1 |
170 |
5 |
6 |
10 |
585 |
| Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach |
0 |
0 |
0 |
249 |
1 |
1 |
6 |
696 |
| Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices |
0 |
0 |
0 |
96 |
0 |
1 |
4 |
276 |
| EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS |
0 |
0 |
3 |
56 |
0 |
2 |
8 |
162 |
| Economic significance of commodity return forecasts from the fractionally cointegrated VAR model |
0 |
1 |
2 |
43 |
0 |
1 |
2 |
142 |
| Efficient inference in multivariate fractionally integrated time series models |
0 |
0 |
0 |
83 |
0 |
0 |
0 |
329 |
| Estimation of fractional integration in the presence of data noise |
0 |
0 |
0 |
104 |
1 |
3 |
6 |
261 |
| Fast and reliable jackknife and bootstrap methods for cluster‐robust inference |
1 |
2 |
5 |
12 |
5 |
6 |
14 |
46 |
| Fast and wild: Bootstrap inference in Stata using boottest |
1 |
5 |
22 |
164 |
19 |
48 |
105 |
627 |
| Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration |
1 |
1 |
1 |
62 |
8 |
11 |
12 |
255 |
| Finite sample accuracy and choice of sampling frequency in integrated volatility estimation |
0 |
0 |
0 |
117 |
2 |
4 |
5 |
487 |
| Forecasting daily political opinion polls using the fractionally cointegrated vector auto‐regressive model |
0 |
1 |
4 |
81 |
2 |
3 |
12 |
225 |
| Fully modified narrow‐band least squares estimation of weak fractional cointegration |
0 |
0 |
1 |
100 |
1 |
1 |
2 |
327 |
| Fully modified narrow‐band least squares estimation of weak fractional cointegration |
0 |
0 |
1 |
8 |
0 |
0 |
2 |
32 |
| INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES |
0 |
0 |
3 |
11 |
0 |
0 |
9 |
30 |
| Improved likelihood ratio tests for cointegration rank in the VAR model |
0 |
0 |
0 |
29 |
1 |
3 |
5 |
130 |
| Leverage, influence, and the jackknife in clustered regression models: Reliable inference using summclust |
0 |
0 |
2 |
12 |
1 |
4 |
14 |
41 |
| Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model |
2 |
4 |
15 |
641 |
6 |
14 |
44 |
1,556 |
| Likelihood inference for a nonstationary fractional autoregressive model |
0 |
0 |
0 |
81 |
1 |
5 |
6 |
224 |
| Local Whittle Analysis of Stationary Fractional Cointegration and the ImpliedRealized Volatility Relation |
0 |
0 |
1 |
66 |
2 |
2 |
4 |
182 |
| Local empirical spectral measure of multivariate processes with long range dependence |
0 |
0 |
1 |
17 |
1 |
1 |
2 |
70 |
| Local polynomial Whittle estimation of perturbed fractional processes |
0 |
0 |
1 |
44 |
0 |
2 |
5 |
244 |
| Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model |
0 |
0 |
2 |
124 |
2 |
4 |
9 |
423 |
| Multivariate Lagrange Multiplier Tests for Fractional Integration |
0 |
0 |
1 |
136 |
0 |
2 |
4 |
778 |
| NUMERICAL DISTRIBUTION FUNCTIONS OF FRACTIONAL UNIT ROOT AND COINTEGRATION TESTS |
0 |
0 |
6 |
99 |
2 |
4 |
14 |
231 |
| Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots |
0 |
0 |
0 |
29 |
0 |
1 |
1 |
131 |
| Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis |
1 |
1 |
2 |
151 |
4 |
8 |
13 |
520 |
| Noncontemporaneous cointegration and the importance of timing |
0 |
0 |
0 |
49 |
0 |
1 |
2 |
163 |
| Nonparametric cointegration analysis of fractional systems with unknown integration orders |
0 |
1 |
3 |
245 |
0 |
3 |
8 |
608 |
| Nonstationary Cointegration in the Fractionally Cointegrated VAR Model |
0 |
1 |
1 |
25 |
1 |
3 |
5 |
85 |
| Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics |
0 |
0 |
0 |
85 |
2 |
3 |
6 |
211 |
| Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form |
0 |
0 |
0 |
49 |
1 |
1 |
5 |
179 |
| Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence |
0 |
0 |
0 |
93 |
0 |
2 |
3 |
361 |
| Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks |
0 |
1 |
3 |
18 |
2 |
5 |
12 |
60 |
| Special Issue of the Journal of Time Series Analysis in Honour of the 35th Anniversary of the Publication of Geweke and Porter‐Hudak (1983): Guest Editors' Introduction |
0 |
0 |
1 |
7 |
0 |
0 |
3 |
30 |
| Spectral analysis of fractionally cointegrated systems |
0 |
0 |
0 |
102 |
0 |
1 |
4 |
292 |
| THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS |
0 |
0 |
2 |
35 |
1 |
1 |
10 |
111 |
| TRUNCATED SUM OF SQUARES ESTIMATION OF FRACTIONAL TIME SERIES MODELS WITH DETERMINISTIC TRENDS |
0 |
0 |
0 |
28 |
0 |
3 |
8 |
59 |
| Testing for the appropriate level of clustering in linear regression models |
1 |
1 |
5 |
14 |
4 |
5 |
23 |
54 |
| Testing the CVAR in the Fractional CVAR Model |
0 |
0 |
1 |
29 |
1 |
4 |
6 |
122 |
| The Effect of Long Memory in Volatility on Stock Market Fluctuations |
0 |
0 |
1 |
202 |
3 |
4 |
10 |
621 |
| The cointegrated vector autoregressive model with general deterministic terms |
1 |
2 |
3 |
50 |
2 |
3 |
5 |
190 |
| The impact of financial crises on the risk–return tradeoff and the leverage effect |
0 |
0 |
1 |
31 |
0 |
0 |
5 |
130 |
| The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets |
0 |
0 |
9 |
401 |
0 |
8 |
30 |
1,427 |
| To infinity and beyond: Efficient computation of ARCH(∞) models |
0 |
0 |
2 |
25 |
1 |
2 |
9 |
163 |
| Wild Bootstrap and Asymptotic Inference With Multiway Clustering |
0 |
2 |
5 |
22 |
9 |
14 |
25 |
89 |
| Total Journal Articles |
14 |
35 |
165 |
5,830 |
130 |
300 |
755 |
18,579 |
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