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Nonstationary nonlinear heteroskedasticity in regression
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Nonstationary nonlinear heteroskedasticity in regression (2006)Nonstationary nonlinear heteroskedasticit…Stochastic Volatility: Selected Readings (2006)Stochastic Volatility: Select…Stochastic volatility : selected readings (2005)Stochastic volatility : selec…Nonstationary nonlinear heteroskedasticity (2002)Nonstationary nonlinear heter…Nonlinear Regressions with Integrated Time Series (2001)Nonlinear Regressions with In…Regression with Nonstationary Volatility (1995)Regression with Nonstationary…Canonical Cointegrating Regressions (1992)Canonical Cointegrating Regre…Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Statistical Inference in Inst…Understanding spurious regressions in econometrics (1986)Understanding spurious regres…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Testing for structural change under non‐stationary variances (2015)Testing for structural change…Robustifying multivariate trend tests to nonstationary volatility (2012)Robustifying multivariate tre…Cointegrating Regressions with Time Heterogeneity (2010)Cointegrating Regressions wit…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)The Pricing of Options on Assets with Stochastic Volatilities (1987)Alternative models for conditional stock volatility (1990)Optimal Inference in Cointegrated Systems (1991)HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT (2009)A GARCH model for testing market efficiency (2015)The impact of tourism arrivals, tourism receipts and renewable energy consumption on quality of life: A panel study of Southern African region (2020)Time Series Regression with a Unit Root (1987)Testing for a Unit Root in Time Series Regression (1988)Inference in Linear Time Series Models with some Unit Roots (1990)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)ARCH models as diffusion approximations (1990)Bootstrapping Autoregression under Non-stationary Volatility (2008)Inference on co-integration parameters in heteroskedastic vector autoregressions (2015)A reexamination of stock return predictability (2016)Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors (1987)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Structural analysis of vector error correction models with exogenous I(1) variables (2000)Dealing with Structural Breaks (2005)Time Series Analysis, Forecasting and Control. (1971)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Forecasting Economic Time Series (2000)Tourism as a long-run economic growth factor: the Spanish case (2002)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Chapter 15 Volatility and Correlation Forecasting (2006)No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications (2006)Copula Methods for Forecasting Multivariate Time Series (2013)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)A General Framework for Observation Driven Time-Varying Parameter Models (2008)Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t -distribution (2010)Price volatility in the carbon market in China (2020)Nonlinear IV unit root tests in panels with cross-sectional dependency (2002)The carbon Kuznets curve: A cloudy picture emitted by bad econometrics? (2007)Sovereign bond yield spreads: A time-varying coefficient approach (2011)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes4,930 cited
  • 1986Understanding spurious regressions in econometrics1,782 cited
  • 1992Canonical Cointegrating Regressions1,383 cited
  • 2001Nonlinear Regressions with Integrated Time Series426 cited
  • 2005Stochastic volatility : selected readings333 cited
  • 2006Stochastic Volatility: Selected Readings114 cited
  • 1995Regression with Nonstationary Volatility90 cited
  • 2002Nonstationary nonlinear heteroskedasticity51 cited

Cited by

  • 2015Testing for structural change under non‐stationary variances28 cited
  • 2012Robustifying multivariate trend tests to nonstationary volatility25 cited
  • 2010Cointegrating Regressions with Time Heterogeneity16 cited

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