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The fisher relationship in Nigeria
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The fisher relationship in Nigeria (2016)The fisher relationship in NigeriaCritical values for multiple structural change tests (2003)Critical values for multiple …Estimation of a Change Point in Multiple Regression Models (1997)Estimation of a Change Point …Efficient Tests for an Autoregressive Unit Root (1996)Efficient Tests for an Autore…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Integration Versus Trend Stationary in Time Series (1992)Integration Versus Trend Stat…Efficient Tests for an Autoregressive Unit Root (1992)Efficient Tests for an Autore…Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Pitfalls and Opportunities: W…Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots (1991)Pitfalls and Opportunities: W…Is the Fisher Effect for Real? A Reexamination of the Relationship Between Inflation and Interest Rates (1991)Is the Fisher Effect for Real…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Efficient Parameter Estimation for Self-Similar Processes (1989)Efficient Parameter Estimatio…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Is the Real Interest Rate Stable? (1988)Is the Real Interest Rate Sta…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Asset returns and inflation (1977)Asset returns and inflationPatterns and Expectations (2020)Patterns and ExpectationsFeatures of the Laboratory Data (2020)Features of the Laboratory Da…Are common stocks a hedge against inflation in emerging markets? (2018)Are common stocks a hedge aga…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)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)Fractional Brownian Motions, Fractional Noises and Applications (1968)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Fractional Differencing (1981)The distribution of realized stock return volatility (2001)Modeling and Forecasting Realized Volatility (2003)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Expected stock returns and volatility (1987)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)ARCH modeling in finance (1992)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Time Series Regression with a Unit Root (1987)LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Modelling structural breaks, long memory and stock market volatility: an overview (2004)Dealing with Structural Breaks (2005)Inequality and Unsustainable Growth: Two Sides of the Same Coin? (2017)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Testing for Error Correction in Panel Data* (2007)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1996Efficient Tests for an Autoregressive Unit Root5,637 cited
  • 1992Efficient Tests for an Autoregressive Unit Root4,234 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1977Asset returns and inflation2,701 cited
  • 1991Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots1,314 cited
  • 2003Critical values for multiple structural change tests860 cited
  • 1997Estimation of a Change Point in Multiple Regression Models829 cited
  • 1989Efficient Parameter Estimation for Self-Similar Processes692 cited
  • 1991Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots681 cited
  • 1992Integration Versus Trend Stationary in Time Series504 cited
  • 1988Is the Real Interest Rate Stable?489 cited

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  • 1991Is the Fisher Effect for Real? A Reexamination of the Relationship Between Inflation and Interest Rates438 cited
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    • 2018Are common stocks a hedge against inflation in emerging markets?15 cited
    • 2020Patterns and Expectations0 cited
    • 2020Features of the Laboratory Data0 cited