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Structuring global Property Portfolios: A Cointegration Approach
16 references·0 citing·26 second hop
Structuring global Property Portfolios: A Cointegration Approach (2013)Structuring global Property Portfolios: A…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Further Evidence on the Great…Value versus Growth: The International Evidence (1998)Value versus Growth: The Inte…Time-Varying World Market Integration (1995)Time-Varying World Market Int…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)Further Evidence on the Great…DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND (1992)DETERMINATION OF COINTEGRATIO…Cointegration in partial systems and the efficiency of single-equation analysis (1992)Cointegration in partial syst…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…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)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)The saving and investment nexus for China: evidence from cointegration tests (2005)Introductory Econometrics for Finance (2008)Book Review: Time Series Analysis: Forecasting and Control (1977)Trends and random walks in macroeconmic time series (1982)A simple panel unit root test in the presence of cross‐section dependence (2007)Residual-based tests for cointegration in models with regime shifts (1996)The Quarterly Journal of Economics (2024)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing32,281 cited
  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1988Testing for a Unit Root in Time Series Regression19,420 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,677 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,637 cited
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  • 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,248 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1995Time-Varying World Market Integration2,280 cited
  • 1998Value versus Growth: The International Evidence2,233 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited

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1992
DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND
1,011 cited
  • 1992Cointegration in partial systems and the efficiency of single-equation analysis982 cited
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