| 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 |
2 |
241 |
0 |
0 |
7 |
545 |
| A Fractionally Cointegrated Var Analysis Of Economic Voting And Political Support |
1 |
1 |
2 |
181 |
1 |
2 |
6 |
383 |
| A Fractionally Cointegrated Var Analysis Of Price Discovery In Commodity Futures Markets |
0 |
0 |
0 |
91 |
0 |
1 |
2 |
258 |
| A Fractionally Cointegrated Var Model With Deterministic Trends And Application To Commodity Futures Markets |
0 |
0 |
0 |
189 |
2 |
4 |
5 |
406 |
| A Matlab Program And User's Guide For The Fractionally Cointegrated Var Model |
2 |
4 |
32 |
1,086 |
5 |
11 |
74 |
1,984 |
| A Necessary Moment Condition For The Fractional Functional Central Limit Theorem |
0 |
0 |
0 |
62 |
0 |
0 |
1 |
171 |
| A Necessary Moment Condition for the Fractional Functional Central Limit Theorem |
0 |
0 |
1 |
25 |
0 |
0 |
2 |
144 |
| A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic |
0 |
0 |
0 |
79 |
0 |
1 |
1 |
272 |
| A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic |
0 |
0 |
0 |
59 |
0 |
0 |
0 |
154 |
| A Powerful Tuning Parameter Free Test Of The Autoregressive Unit Root Hypothesis |
0 |
0 |
0 |
116 |
0 |
0 |
0 |
487 |
| A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis |
0 |
0 |
0 |
37 |
0 |
0 |
1 |
142 |
| A Regime Switching Long Memory Model for Electricity Prices |
0 |
0 |
0 |
630 |
0 |
0 |
1 |
1,456 |
| A Vector Autoregressive Model For Electricity Prices Subject To Long Memory And Regime Switching |
0 |
0 |
0 |
271 |
0 |
0 |
1 |
758 |
| A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching |
0 |
0 |
1 |
132 |
0 |
1 |
2 |
386 |
| A fast fractional difference algorithm |
0 |
0 |
2 |
41 |
0 |
0 |
5 |
126 |
| A fractionally cointegrated VAR analysis of economic voting and political support |
0 |
0 |
1 |
52 |
0 |
0 |
1 |
93 |
| A fractionally cointegrated VAR analysis of price discovery in commodity futures markets |
0 |
0 |
0 |
42 |
0 |
0 |
1 |
128 |
| A necessary moment condition for the fractional functional central limit theorem |
0 |
0 |
0 |
15 |
0 |
0 |
0 |
64 |
| Adaptive Inference In Heteroskedastic Fractional Time Series Models |
0 |
0 |
0 |
186 |
0 |
0 |
3 |
329 |
| Adaptive Inference in Heteroskedastic Fractional Time Series Models |
0 |
0 |
1 |
7 |
0 |
0 |
4 |
34 |
| Asset Market Perspectives on the Israeli-Palestinian Conflict |
0 |
0 |
0 |
5 |
1 |
2 |
3 |
26 |
| Asymptotic Theory And Wild Bootstrap Inference With Clustered Errors |
1 |
4 |
12 |
259 |
2 |
5 |
17 |
504 |
| Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors |
0 |
0 |
0 |
12 |
0 |
1 |
3 |
65 |
| Asymptotics For The Conditional-sum-of-squares Estimator In Multivariate Fractional Time Series Models |
0 |
0 |
0 |
211 |
0 |
1 |
2 |
412 |
| Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models |
0 |
0 |
0 |
23 |
0 |
0 |
0 |
55 |
| Bias-reduced estimation of long memory stochastic volatility |
0 |
0 |
0 |
63 |
0 |
0 |
0 |
193 |
| Bootstrap And Asymptotic Inference With Multiway Clustering |
0 |
1 |
3 |
237 |
1 |
3 |
10 |
454 |
| 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 |
0 |
0 |
0 |
403 |
| 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 |
0 |
88 |
| Bootstrap inference in the presence of bias |
2 |
7 |
21 |
41 |
14 |
28 |
65 |
77 |
| Cluster-Robust Inference: A Guide to Empirical Practice |
0 |
1 |
3 |
12 |
0 |
1 |
7 |
22 |
| Cluster-Robust Inference: A Guide to Empirical Practice |
9 |
22 |
83 |
357 |
17 |
37 |
184 |
680 |
| Cluster-Robust Inference: A Guide to Empirical Practice |
1 |
1 |
9 |
18 |
1 |
1 |
21 |
44 |
| Cluster–robust inference: A guide to empirical practice |
0 |
1 |
6 |
13 |
2 |
6 |
27 |
50 |
| Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns |
0 |
0 |
0 |
61 |
0 |
0 |
7 |
294 |
| Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns |
1 |
1 |
2 |
373 |
1 |
2 |
8 |
921 |
| Determining The Cointegrating Rank In Nonstationary Fractional Systems By The Exact Local Whittle Approach |
0 |
0 |
0 |
164 |
0 |
0 |
0 |
523 |
| Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices |
0 |
0 |
0 |
133 |
0 |
0 |
0 |
362 |
| Economic Significance Of Commodity Return Forecasts From The Fractionally Cointegrated Var Model |
0 |
0 |
2 |
228 |
1 |
1 |
7 |
543 |
| Economic significance of commodity return forecasts from the fractionally cointegrated VAR model |
0 |
0 |
1 |
7 |
0 |
1 |
5 |
49 |
| Efficient Inference in Multivariate Fractionally Integrated Time Series Models |
0 |
0 |
0 |
188 |
0 |
0 |
0 |
541 |
| Efficient Likelihold Inference in Nonstationary Univariate Models |
0 |
0 |
0 |
21 |
0 |
0 |
0 |
108 |
| Estimation of Fractional Integration in the Presence of Data Noise |
0 |
0 |
1 |
35 |
0 |
0 |
1 |
127 |
| Fast And Wild: Bootstrap Inference In Stata Using Boottest |
11 |
25 |
121 |
921 |
37 |
97 |
448 |
2,755 |
| Fast and Reliable Jackknife and Bootstrap Methods for Cluster-Robust Inference |
8 |
14 |
47 |
109 |
12 |
24 |
96 |
199 |
| Fast and Reliable Jackknife and Bootstrap Methods for Cluster-Robust Inference |
0 |
0 |
5 |
5 |
1 |
2 |
19 |
19 |
| Fast and Wild: Bootstrap Inference in Stata Using boottest |
1 |
1 |
4 |
42 |
3 |
4 |
16 |
192 |
| Fcvarmodel.m: A Matlab Software Package For Estimation And Testing In The Fractionally Cointegrated Var Model |
0 |
1 |
5 |
785 |
0 |
1 |
17 |
1,688 |
| Finite Sample Accuracy Of Integrated Volatility Estimators |
0 |
0 |
0 |
23 |
0 |
0 |
0 |
129 |
| Finite Sample Comparison Of Parametric, Semiparametric, And Wavelet Estimators Of Fractional Integration |
0 |
0 |
0 |
73 |
1 |
1 |
2 |
302 |
| Forecasting Exchange Rate Volatility In The Presence Of Jumps |
0 |
0 |
1 |
144 |
0 |
0 |
2 |
565 |
| Forecasting daily political opinion polls using the fractionally cointegrated VAR model |
0 |
1 |
1 |
194 |
0 |
2 |
3 |
472 |
| Forecasting daily political opinion polls using the fractionally cointegrated VAR model |
0 |
0 |
1 |
35 |
0 |
0 |
1 |
78 |
| Fractional integration and cointegration |
0 |
0 |
8 |
134 |
0 |
1 |
14 |
91 |
| Fractional integration and cointegration |
1 |
2 |
11 |
11 |
3 |
6 |
23 |
23 |
| Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration |
0 |
0 |
0 |
12 |
0 |
0 |
0 |
51 |
| Fully Modified Narrow-band Least Squares Estimation Of Stationary Fractional Cointegration |
0 |
0 |
0 |
105 |
0 |
0 |
1 |
350 |
| Fully Modified Narrow-band Least Squares Estimation Of Weak Fractional Cointegration |
0 |
0 |
0 |
50 |
0 |
0 |
0 |
157 |
| Improved Likelihood Ratio Tests For Cointegration Rank In The Var Model |
0 |
0 |
0 |
48 |
0 |
0 |
0 |
180 |
| Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model |
0 |
0 |
0 |
14 |
0 |
0 |
0 |
81 |
| Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model |
0 |
0 |
0 |
49 |
0 |
0 |
0 |
132 |
| Inference on the dimension of the nonstationary subspace in functional time series |
1 |
2 |
8 |
260 |
5 |
6 |
25 |
555 |
| Inference on the dimension of the nonstationary subspace in functional time series |
0 |
1 |
4 |
10 |
0 |
1 |
5 |
21 |
| Leverage, Influence, and the Jackknife in Clustered Regression Models: Reliable Inference Using summclust |
3 |
3 |
17 |
69 |
6 |
9 |
42 |
123 |
| Leverage, Influence, and the Jackknife in Clustered Regression Models: Reliable Inference Using summclust |
0 |
0 |
9 |
20 |
2 |
5 |
34 |
43 |
| Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model |
0 |
0 |
1 |
322 |
0 |
0 |
5 |
554 |
| Likelihood Inference For A Nonstationary Fractional Autoregressive Model |
0 |
0 |
1 |
223 |
0 |
0 |
1 |
554 |
| Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model |
0 |
0 |
0 |
46 |
0 |
0 |
3 |
173 |
| Likelihood Inference for a Nonstationary Fractional Autoregressive Model |
0 |
0 |
0 |
110 |
0 |
0 |
0 |
259 |
| Likelihood inference for a fractionally cointegrated vector autoregressive model |
0 |
0 |
1 |
122 |
0 |
0 |
2 |
198 |
| Likelihood inference for a nonstationary fractional autoregressive model |
0 |
0 |
0 |
28 |
0 |
0 |
0 |
98 |
| 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 |
78 |
0 |
0 |
0 |
225 |
| Local Whittle Analysis of Stationary Fractional Cointegration |
0 |
1 |
1 |
109 |
0 |
3 |
4 |
392 |
| Local polynomial Whittle estimation of perturbed fractional processes |
0 |
0 |
0 |
54 |
0 |
0 |
0 |
163 |
| Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model |
0 |
0 |
1 |
196 |
0 |
0 |
5 |
509 |
| Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model |
0 |
0 |
0 |
141 |
0 |
0 |
1 |
320 |
| Multivariate Lagrange Multiplier Tests for Fractional Integration |
0 |
0 |
0 |
169 |
0 |
0 |
0 |
874 |
| Nearly Efficient Likelihood Ratio Tests For Seasonal Unit Roots |
0 |
0 |
0 |
37 |
0 |
0 |
0 |
156 |
| Nearly Efficient Likelihood Ratio Tests Of The Unit Root Hypothesis |
0 |
0 |
2 |
184 |
0 |
0 |
3 |
410 |
| Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots |
0 |
0 |
0 |
17 |
0 |
0 |
2 |
73 |
| Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order |
1 |
1 |
9 |
87 |
1 |
1 |
15 |
121 |
| Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis |
0 |
0 |
0 |
34 |
0 |
0 |
1 |
116 |
| Nonparametric Cointegration Analysis Of Fractional Systems With Unknown Integration Orders |
0 |
0 |
0 |
145 |
0 |
0 |
1 |
384 |
| Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders |
0 |
0 |
1 |
67 |
0 |
0 |
1 |
167 |
| Nonstationary Cointegration In The Fractionally Cointegrated Var Model |
0 |
0 |
1 |
134 |
0 |
0 |
7 |
221 |
| Nonstationary cointegration in the fractionally cointegrated VAR model |
0 |
0 |
0 |
34 |
0 |
1 |
1 |
53 |
| Nonstationary cointegration in the fractionally cointegrated VAR model |
0 |
0 |
0 |
12 |
0 |
0 |
1 |
43 |
| Numerical Distribution Functions Of Fractional Unit Root And Cointegration Tests |
0 |
0 |
4 |
491 |
0 |
0 |
6 |
936 |
| Numerical distribution functions of fractional unit root and cointegration tests |
0 |
0 |
0 |
57 |
0 |
0 |
1 |
130 |
| Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics |
0 |
0 |
0 |
176 |
0 |
0 |
0 |
525 |
| Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form |
0 |
0 |
0 |
26 |
1 |
1 |
1 |
47 |
| Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form |
0 |
0 |
1 |
222 |
1 |
3 |
6 |
438 |
| Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data |
0 |
0 |
0 |
300 |
0 |
0 |
1 |
1,179 |
| Semiparametric Estimation in Time Series Regression with Long Range Dependence |
0 |
0 |
0 |
115 |
0 |
0 |
0 |
429 |
| Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks |
1 |
1 |
2 |
5 |
1 |
1 |
3 |
21 |
| Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks |
0 |
0 |
0 |
60 |
0 |
0 |
0 |
117 |
| Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
9 |
| Spectral Analysis of Fractionally Cointegrated Systems |
0 |
0 |
0 |
110 |
0 |
0 |
0 |
264 |
| Testing The Cvar In The Fractional Cvar Model |
0 |
0 |
0 |
74 |
0 |
0 |
1 |
96 |
| Testing for the appropriate level of clustering in linear regression models |
1 |
2 |
16 |
16 |
1 |
4 |
29 |
29 |
| Testing for the appropriate level of clustering in linear regression models |
3 |
5 |
50 |
375 |
8 |
11 |
141 |
789 |
| Testing the CVAR in the fractional CVAR model |
0 |
0 |
0 |
18 |
0 |
0 |
2 |
42 |
| Testing the CVAR in the fractional CVAR model |
0 |
0 |
1 |
6 |
0 |
0 |
2 |
41 |
| The Cointegrated Vector Autoregressive Model With General Deterministic Terms |
0 |
0 |
0 |
83 |
0 |
0 |
2 |
147 |
| The Effect of Long Memory in Volatility on Stock Market Fluctuations |
0 |
0 |
1 |
81 |
0 |
1 |
4 |
239 |
| The Impact Of Financial Crises On The Risk-return Tradeoff And The Leverage Effect |
0 |
0 |
0 |
114 |
0 |
0 |
1 |
418 |
| The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices |
0 |
1 |
1 |
195 |
1 |
2 |
18 |
743 |
| The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps |
0 |
0 |
2 |
208 |
1 |
1 |
15 |
1,115 |
| The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets |
0 |
0 |
2 |
383 |
1 |
1 |
9 |
1,173 |
| The Role Of Initial Values In Conditional Sum-of-squares Estimation Of Nonstationary Fractional Time Series Models |
1 |
1 |
1 |
215 |
1 |
2 |
5 |
420 |
| The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets |
0 |
0 |
1 |
213 |
0 |
1 |
6 |
604 |
| The cointegrated vector autoregressive model with general deterministic terms |
0 |
0 |
0 |
11 |
0 |
0 |
0 |
51 |
| The cointegrated vector autoregressive model with general deterministic terms |
0 |
0 |
0 |
63 |
0 |
0 |
1 |
59 |
| The impact of financial crises on the risk-return tradeoff and the leverage effect |
0 |
0 |
0 |
88 |
0 |
0 |
0 |
327 |
| The role of initial values in nonstationary fractional time series models |
0 |
0 |
0 |
32 |
0 |
0 |
0 |
69 |
| The role of initial values in nonstationary fractional time series models |
0 |
0 |
1 |
17 |
0 |
1 |
6 |
66 |
| To infinity and beyond: Efficient computation of ARCH(1) models |
0 |
1 |
1 |
179 |
0 |
1 |
1 |
26 |
| To infinity and beyond: Efficient computation of ARCH(\infty) models |
0 |
0 |
0 |
101 |
0 |
0 |
4 |
130 |
| Truncated Sum Of Squares Estimation Of Fractional Time Series Models With Deterministic Trends |
0 |
0 |
0 |
106 |
0 |
0 |
1 |
172 |
| Truncated sum of squares estimation of fractional time series models with deterministic trends |
0 |
0 |
0 |
8 |
0 |
0 |
1 |
28 |
| Truncated sum-of-squares estimation of fractional time series models with generalized power law trend |
0 |
0 |
1 |
4 |
0 |
1 |
4 |
10 |
| Truncated sum-of-squares estimation of fractional time series models with generalized power law trend |
0 |
0 |
0 |
38 |
0 |
0 |
0 |
60 |
| Validity Of Wild Bootstrap Inference With Clustered Errors |
0 |
0 |
0 |
115 |
0 |
0 |
3 |
193 |
| Weak convergence to derivatives of fractional Brownian motion |
0 |
2 |
7 |
8 |
1 |
5 |
18 |
27 |
| Wild Bootstrap and Asymptotic Inference with Multiway Clustering |
0 |
0 |
3 |
157 |
0 |
2 |
9 |
335 |
| Wild Bootstrap and Asymptotic Inference with Multiway Clustering |
0 |
1 |
4 |
20 |
0 |
1 |
7 |
47 |
| Total Working Papers |
49 |
109 |
544 |
16,285 |
136 |
312 |
1,593 |
41,012 |
| 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 |
0 |
1 |
8 |
125 |
1 |
3 |
18 |
299 |
| A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets |
0 |
0 |
0 |
87 |
0 |
0 |
2 |
230 |
| A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM |
0 |
0 |
2 |
48 |
0 |
1 |
3 |
214 |
| A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC |
0 |
0 |
0 |
63 |
0 |
0 |
1 |
174 |
| A fractionally cointegrated VAR analysis of economic voting and political support |
0 |
0 |
1 |
103 |
0 |
0 |
6 |
242 |
| A fractionally cointegrated VAR analysis of economic voting and political support |
0 |
0 |
0 |
2 |
0 |
0 |
3 |
18 |
| A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets |
0 |
0 |
4 |
54 |
1 |
2 |
11 |
216 |
| A regime switching long memory model for electricity prices |
0 |
2 |
5 |
337 |
1 |
5 |
11 |
904 |
| A vector autoregressive model for electricity prices subject to long memory and regime switching |
0 |
0 |
2 |
94 |
1 |
1 |
5 |
311 |
| Adaptive Inference in Heteroscedastic Fractional Time Series Models |
1 |
1 |
4 |
9 |
1 |
5 |
15 |
31 |
| Asset Market Perspectives on the Israeli–Palestinian Conflict |
0 |
1 |
4 |
83 |
0 |
1 |
7 |
352 |
| Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting |
0 |
0 |
0 |
176 |
0 |
0 |
3 |
414 |
| Asymptotic theory and wild bootstrap inference with clustered errors |
1 |
3 |
10 |
34 |
1 |
5 |
30 |
111 |
| Asymptotics for the Conditional-Sum-of-Squares Estimator in Multivariate Fractional Time-Series Models |
0 |
0 |
0 |
41 |
0 |
1 |
2 |
114 |
| Bias-Reduced Estimation of Long-Memory Stochastic Volatility |
0 |
0 |
1 |
49 |
0 |
0 |
2 |
176 |
| 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 |
61 |
0 |
0 |
0 |
192 |
| Cluster-robust inference: A guide to empirical practice |
0 |
2 |
15 |
15 |
3 |
11 |
44 |
44 |
| Comment |
1 |
2 |
2 |
29 |
1 |
2 |
2 |
143 |
| Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns |
0 |
0 |
0 |
167 |
0 |
1 |
4 |
564 |
| Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach |
0 |
0 |
0 |
249 |
1 |
5 |
11 |
679 |
| Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices |
0 |
0 |
0 |
96 |
2 |
2 |
2 |
270 |
| EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS |
0 |
0 |
0 |
52 |
0 |
0 |
0 |
152 |
| Economic significance of commodity return forecasts from the fractionally cointegrated VAR model |
0 |
0 |
3 |
40 |
0 |
0 |
6 |
136 |
| Efficient inference in multivariate fractionally integrated time series models |
0 |
0 |
0 |
83 |
0 |
1 |
1 |
327 |
| Estimation of fractional integration in the presence of data noise |
0 |
0 |
0 |
104 |
0 |
0 |
0 |
253 |
| Fast and reliable jackknife and bootstrap methods for cluster‐robust inference |
0 |
2 |
2 |
2 |
3 |
8 |
11 |
11 |
| Fast and wild: Bootstrap inference in Stata using boottest |
0 |
1 |
14 |
126 |
2 |
9 |
42 |
456 |
| Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration |
2 |
2 |
5 |
60 |
3 |
3 |
6 |
239 |
| Finite sample accuracy and choice of sampling frequency in integrated volatility estimation |
0 |
0 |
1 |
116 |
0 |
0 |
2 |
480 |
| Forecasting daily political opinion polls using the fractionally cointegrated vector auto‐regressive model |
0 |
1 |
5 |
72 |
1 |
3 |
15 |
203 |
| Fully modified narrow‐band least squares estimation of weak fractional cointegration |
0 |
0 |
0 |
98 |
0 |
0 |
2 |
321 |
| Fully modified narrow‐band least squares estimation of weak fractional cointegration |
0 |
0 |
0 |
6 |
0 |
0 |
0 |
27 |
| INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES |
1 |
1 |
2 |
2 |
3 |
5 |
9 |
9 |
| Improved likelihood ratio tests for cointegration rank in the VAR model |
0 |
0 |
0 |
29 |
0 |
1 |
4 |
123 |
| Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model |
0 |
2 |
18 |
597 |
1 |
5 |
40 |
1,441 |
| Likelihood inference for a nonstationary fractional autoregressive model |
1 |
2 |
3 |
79 |
1 |
2 |
5 |
210 |
| Local Whittle Analysis of Stationary Fractional Cointegration and the ImpliedRealized Volatility Relation |
0 |
0 |
0 |
65 |
0 |
0 |
0 |
174 |
| Local empirical spectral measure of multivariate processes with long range dependence |
0 |
0 |
1 |
15 |
0 |
0 |
1 |
67 |
| Local polynomial Whittle estimation of perturbed fractional processes |
0 |
0 |
0 |
43 |
0 |
0 |
2 |
238 |
| Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model |
0 |
0 |
1 |
122 |
0 |
0 |
8 |
413 |
| Multivariate Lagrange Multiplier Tests for Fractional Integration |
0 |
0 |
0 |
134 |
0 |
0 |
0 |
773 |
| NUMERICAL DISTRIBUTION FUNCTIONS OF FRACTIONAL UNIT ROOT AND COINTEGRATION TESTS |
0 |
2 |
4 |
87 |
0 |
2 |
8 |
210 |
| Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots |
0 |
0 |
0 |
28 |
0 |
0 |
1 |
128 |
| Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis |
0 |
0 |
0 |
147 |
0 |
0 |
3 |
501 |
| Noncontemporaneous cointegration and the importance of timing |
0 |
1 |
1 |
49 |
0 |
1 |
1 |
161 |
| Nonparametric cointegration analysis of fractional systems with unknown integration orders |
0 |
0 |
1 |
240 |
0 |
0 |
8 |
597 |
| Nonstationary Cointegration in the Fractionally Cointegrated VAR Model |
0 |
0 |
1 |
22 |
0 |
1 |
5 |
75 |
| Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics |
0 |
0 |
0 |
84 |
0 |
0 |
0 |
203 |
| Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form |
0 |
0 |
2 |
45 |
1 |
1 |
7 |
167 |
| Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence |
0 |
0 |
1 |
92 |
0 |
0 |
1 |
357 |
| Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks |
0 |
3 |
10 |
12 |
1 |
6 |
29 |
37 |
| 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 |
0 |
6 |
0 |
0 |
0 |
26 |
| Spectral analysis of fractionally cointegrated systems |
1 |
1 |
1 |
102 |
1 |
1 |
4 |
286 |
| THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS |
0 |
0 |
0 |
29 |
0 |
0 |
0 |
94 |
| TRUNCATED SUM OF SQUARES ESTIMATION OF FRACTIONAL TIME SERIES MODELS WITH DETERMINISTIC TRENDS |
0 |
0 |
2 |
21 |
0 |
0 |
4 |
40 |
| Testing for the appropriate level of clustering in linear regression models |
0 |
0 |
1 |
1 |
3 |
5 |
10 |
10 |
| Testing the CVAR in the Fractional CVAR Model |
0 |
0 |
2 |
28 |
0 |
0 |
6 |
114 |
| The Effect of Long Memory in Volatility on Stock Market Fluctuations |
0 |
0 |
2 |
201 |
0 |
1 |
6 |
606 |
| The cointegrated vector autoregressive model with general deterministic terms |
0 |
0 |
3 |
45 |
0 |
2 |
9 |
178 |
| The impact of financial crises on the risk–return tradeoff and the leverage effect |
0 |
0 |
0 |
30 |
0 |
0 |
1 |
123 |
| The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets |
0 |
2 |
4 |
388 |
1 |
6 |
44 |
1,376 |
| To infinity and beyond: Efficient computation of ARCH(∞) models |
0 |
0 |
4 |
19 |
0 |
1 |
29 |
143 |
| Wild Bootstrap and Asymptotic Inference With Multiway Clustering |
0 |
0 |
4 |
13 |
0 |
2 |
15 |
54 |
| Total Journal Articles |
8 |
32 |
156 |
5,456 |
34 |
111 |
527 |
17,237 |
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