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Financial econometrics : methods and models
12 references·3 citing·44 second hop
Financial econometrics : methods and models (2003)Financial econometrics : methods and mode…STOCK PRICE EFFECTS OF PERMANENT AND TRANSITORY SHOCKS (1998)STOCK PRICE EFFECTS OF PERMAN…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Cointegration tests of present value models with a time‐varying discount factor (1995)Cointegration tests of presen…The Monetary Approach to the Exchange Rate: Rational Expectations, Long-Run Equilibrium, and Forecasting (1993)The Monetary Approach to the …Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…The present value model of rational commodity pricing (1991)The present value model of ra…Financial Investment Opportunities and the Macroeconomy (1991)Financial Investment Opportun…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Analysis for the Validity of Compensation and Efficiency Hypotheses in Turkey between 1975 and 2013 (2015)The Analysis for the Validity…The impact of global oil price shocks on the Lebanese stock market (2013)The impact of global oil pric…The real exchange rate of an oil exporting economy: Empirical evidence from Nigeria (2011)The real exchange rate of an …Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)Stock Returns and the Term Structure (1985)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Threshold heteroskedastic models (1994)The variation of certain speculative prices (1997)Macroeconomics and Reality (1980)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Trends and random walks in macroeconmic time series (1982)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Chapter 33 Empirical research on nominal exchange rates (1995)What Determines Real Exchange Rates? 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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1991Financial Investment Opportunities and the Macroeconomy844 cited
  • 1993The Monetary Approach to the Exchange Rate: Rational Expectations, Long-Run Equilibrium, and Forecasting222 cited
  • 1991The present value model of rational commodity pricing176 cited
  • 1995Cointegration tests of present value models with a time‐varying discount factor70 cited
  • 1998STOCK PRICE EFFECTS OF PERMANENT AND TRANSITORY SHOCKS60 cited

Cited by

  • 2013The impact of global oil price shocks on the Lebanese stock market71 cited
  • 2015The Analysis for the Validity of Compensation and Efficiency Hypotheses in Turkey between 1975 and 2013

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16 cited
  • 2011The real exchange rate of an oil exporting economy: Empirical evidence from Nigeria16 cited