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Transaction Costs and Nonlinear Adjustment Towards Equilibrium in the US Treasury Bill Market
13 references·16 citing·45 second hop
Transaction Costs and Nonlinear Adjustment Towards Equilibrium in the US Treasury Bill Market (1997)Transaction Costs and Nonlinear Adjustmen…A Cointegration Analysis of Treasury Bill Yields (2008)A Cointegration Analysis of T…Microeconomic Rigidities and Aggregate Price Dynamics (1992)Microeconomic Rigidities and …Asset Pricing Explorations for Macroeconomics (1992)Asset Pricing Explorations fo…Asset returns with transactions costs and uninsured individual risk (1991)Asset returns with transactio…Persistence in Variance, Structural Change, and the GARCH Model (1990)Persistence in Variance, Stru…Kinked Adjustment Costs and Aggregate Dynamics (1990)Kinked Adjustment Costs and A…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Interpreting cointegrated models (1988)Interpreting cointegrated mod…Capital Market Equilibrium with Transaction Costs (1986)Capital Market Equilibrium wi…The equity premium: A puzzle (1985)The equity premium: A puzzleSome properties of time series data and their use in econometric model specification (1981)Some properties of time serie…Testing for causality (1980)Testing for causalityInvestigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Finding the Tipping Point: When Heterogeneous Evaluations in Social Media Converge and Influence Organizational Legitimacy (2022)Finding the Tipping Point: Wh…An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets (2017)An analysis of the effect of …Stock market volatility and business cycle: Evidence from linear and nonlinear causality tests (2016)Stock market volatility and b…Nonlinearities in carbon spot-futures price relationships during Phase II of the EU ETS (2012)Nonlinearities in carbon spot…ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS (2011)ESTIMATION OF NONLINEAR ERROR…The ACR Model: A Multivariate Dynamic Mixture Autoregression* (2008)The ACR Model: A Multivariate…An empirical study of the asymmetric cointegration relationships among the Chinese stock markets (2007)An empirical study of the asy…Adaptive consistent unit-root tests based on autoregressive threshold model (2007)Adaptive consistent unit-root…Semi-Parametric Modelling of Correlation Dynamics (2005)Semi-Parametric Modelling of …Vector equilibrium correction models with non‐linear discontinuous adjustments (2004)Vector equilibrium correction…Central Bank's interventions and the Fisher hypothesis: a threshold cointegration investigation (2004)Central Bank's interventions …Further Evidence on PPP Adjustment Speeds: the Case of Effective Real Exchange Rates and the EMS* (2003)Further Evidence on PPP Adjus…Index arbitrage with heterogeneous investors: A smooth transition error correction analysis (2001)Index arbitrage with heteroge…Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes (2000)Testing for stationarity-ergo…SETS, arbitrage activity, and stock price dynamics (2000)SETS, arbitrage activity, and…4 Modeling the term structure (1996)4 Modeling the term structureTime Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Cross-Sectional versus Longitudinal Survey Research: Concepts, Findings, and Guidelines (2008)Testing for Granger non-causality in heterogeneous panels (2012)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The arbitrage theory of capital asset pricing (1976)A Monetary Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles (1996)The 6D Bias and the Equity-Premium Puzzle (2001)The Equity Premium in Retrospect (2003)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Forecasting Volatility in Financial Markets: A Review (2003)Stock Market Volatility and Macroeconomic Fundamentals (2012)Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory processes and fractional integration in econometrics (1996)The contribution of tourism development to economic growth in the Korean economy (2003)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)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Asset Prices in an Exchange Economy (1978)Entry and Exit Decisions under Uncertainty (1989)Asset‐pricing Puzzles and Incomplete Markets (1993)Asset pricing with undiversifiable income risk and short sales constraints (1994)Quantitative Macroeconomics with Heterogeneous Households (2009)An Intertemporal Capital Asset Pricing Model (1973)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Optimal control of execution costs (1998)Corporate Yield Spreads and Bond Liquidity (2007)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Some Consequences of Temporal Aggregation in Empirical Analysis (1999)Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth (2005)Quantile cointegrating regression (2008)
this work references cited by second hop

References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1981Some properties of time series data and their use in econometric model specification2,406 cited
  • 1980Testing for causality1,747 cited
  • 1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
  • 1986Capital Market Equilibrium with Transaction Costs1,096 cited
  • 2008A Cointegration Analysis of Treasury Bill Yields320 cited
  • 1991Asset returns with transactions costs and uninsured individual risk320 cited
  • 1992Asset Pricing Explorations for Macroeconomics262 cited
  • 1988Interpreting cointegrated models246 cited
  • 1990Kinked Adjustment Costs and Aggregate Dynamics227 cited
  • 1992Microeconomic Rigidities and Aggregate Price Dynamics109 cited

Cited by

  • 2016Stock market volatility and business cycle: Evidence from linear and nonlinear causality tests121 cited
  • 2004Vector equilibrium correction models with non‐linear discontinuous adjustments104 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2012Nonlinearities in carbon spot-futures price relationships during Phase II of the EU ETS102 cited
  • 2008The ACR Model: A Multivariate Dynamic Mixture Autoregression*70 cited
  • 2000SETS, arbitrage activity, and stock price dynamics66 cited
  • 2001Index arbitrage with heterogeneous investors: A smooth transition error correction analysis62 cited
  • 19964 Modeling the term structure52 cited
  • 2007Adaptive consistent unit-root tests based on autoregressive threshold model51 cited
  • 2003Further Evidence on PPP Adjustment Speeds: the Case of Effective Real Exchange Rates and the EMS*49 cited
  • 2000Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes47 cited
  • 2011ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS44 cited
  • 2007An empirical study of the asymmetric cointegration relationships among the Chinese stock markets44 cited
  • 2017An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets44 cited
  • 2004Central Bank's interventions and the Fisher hypothesis: a threshold cointegration investigation43 cited
  • 2022Finding the Tipping Point: When Heterogeneous Evaluations in Social Media Converge and Influence Organizational Legitimacy42 cited
  • 2005Semi-Parametric Modelling of Correlation Dynamics41 cited