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Local Explosion Modelling by Non-Causal Process
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Local Explosion Modelling by Non-Causal Process (2016)Local Explosion Modelling by Non-Causal P…TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 (2015)TESTING FOR MULTIPLE BUBBLES:…Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods (2011)Testing for Speculative Bubbl…GARCH Models (2010)GARCH ModelsEXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)EXPLOSIVE BEHAVIOR IN THE 199…The Origin of Financial Crises: Central Banks, Credit Bubbles, and the Efficient Market Fallacy (2008)The Origin of Financial Crise…Tests of stationarity against a change in persistence (2004)Tests of stationarity against…Empirical Characteristic Function Estimation and Its Applications (2004)Empirical Characteristic Func…Modelling Extremal Events (1997)Modelling Extremal EventsTime Irreversibility and Business Cycle Asymmetry (1996)Time Irreversibility and Busi…Pitfalls in Testing for Explosive Bubbles in Asset Prices (1991)Pitfalls in Testing for Explo…Explosive Rational Bubbles in Stock Prices (1988)Explosive Rational Bubbles in…Towards a Unified Asymptotic Theory for Autoregression (1987)Towards a Unified Asymptotic …Limit Theory for Moving Averages of Random Variables with Regularly Varying Tail Probabilities (1985)Limit Theory for Moving Avera…Market Fundamentals versus Price-Level Bubbles: The First Tests (1980)Market Fundamentals versus Pr…Testing for explosive bubbles in the presence of autocorrelated innovations (2020)Testing for explosive bubbles…Mixed Causal–Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing1 (2020)Mixed Causal–Noncausal Autore…Mixed causal–noncausal autoregressions with exogenous regressors (2020)Mixed causal–noncausal autore…Testing for Explosive Bubbles in the Presence of Autocorrelated Innovations (2017)Testing for Explosive Bubbles…Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation (2017)Noncausal vector autoregressi…Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Cointegration and Tests of Present Value Models (1987)ECONOMETRIC TESTS OF ASSET PRICE BUBBLES: TAKING STOCK* (2008)RETRACTED: Datestamping the Bitcoin and Ethereum bubbles (2017)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Ants, Rationality, and Recruitment (1993)Efficient market hypothesis and forecasting (2003)Dating the timeline of financial bubbles during the subprime crisis (2011)Rational Expectations, the Real Rate of Interest, and the Natural Rate of Unemployment (1973)Some International Evidence on Output-Inflation Tradeoffs. (1973)Time Series Analysis: Forecasting and Control (1977)Speculative bubbles, crashes and rational expectations (1979)On Non-Uniqueness in Rational Expectations Models: An Attempt at Perspective (1981)Allowance price drivers in the first phase of the EU ETS (2009)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)The Econometrics of Financial Markets (2012)Bubbles in food commodity markets: Four decades of evidence (2013)Testing for multiple bubbles: limit theory of real-time detectors: Testing for multiple bubbles (2015)Tests for explosive financial bubbles in the presence of non-stationary volatility (2015)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a unit root in panels with dynamic factors (2004)The local power of some unit root tests for panel data (2004)Efficient tests of stock return predictability☆ (2006)Testing for a Unit Root in Time Series Regression (1988)The Econometrics of Financial Markets (1997)Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Corn Cash Price Forecasting (2020)Extremal Theory for Stochastic Processes (1988)Heavy tail modeling and teletraffic data: special invited paper (1997)Stable Non-Gaussian Random ProcessesGennady Samorodnitsky and Murad S. Taqqu Chapman and Hall, 1994 (1997)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)Conditional value-at-risk for general loss distributions (2002)Extensions of some classical methods in change point analysis (2014)Robust Econometric Inference for Stock Return Predictability (2014)Exponential GARCH Modeling With Realized Measures of Volatility (2015)
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References

  • 1997Modelling Extremal Events4,397 cited
  • 2009EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?*1,130 cited
  • 2015TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 5001,123 cited
  • 1987Towards a Unified Asymptotic Theory for Autoregression842 cited
  • 1988Explosive Rational Bubbles in Stock Prices705 cited
  • 1991Pitfalls in Testing for Explosive Bubbles in Asset Prices685 cited
  • 1980Market Fundamentals versus Price-Level Bubbles: The First Tests544 cited
  • 2011Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods455 cited
  • 2010GARCH Models325 cited
  • 1985Limit Theory for Moving Averages of Random Variables with Regularly Varying Tail Probabilities301 cited
  • 1996Time Irreversibility and Business Cycle Asymmetry259 cited
  • 2004Tests of stationarity against a change in persistence248 cited
  • 2004Empirical Characteristic Function Estimation and Its Applications178 cited
  • 2008The Origin of Financial Crises: Central Banks, Credit Bubbles, and the Efficient Market Fallacy166 cited

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  • 2017Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation

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26 cited
  • 2020Mixed causal–noncausal autoregressions with exogenous regressors21 cited
  • 2020Testing for explosive bubbles in the presence of autocorrelated innovations19 cited
  • 2020Mixed Causal–Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing114 cited
  • 2017Testing for Explosive Bubbles in the Presence of Autocorrelated Innovations12 cited