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Analysis of Economic Time Series
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Analysis of Economic Time Series (1979)Analysis of Economic Time SeriesExperiments on forecasting behavior with several sources of information – A review of the literature (2011)Experiments on forecasting be…Estimating the Effects of Exchange Rate Volatility on Export Volumes (2007)Estimating the Effects of Exc…Forecasting with Unobserved Components Time Series Models (2006)Forecasting with Unobserved C…Chapter 7 Forecasting with Unobserved Components Time Series Models (2006)Chapter 7 Forecasting with Un…Provenance of correlations in psychological data (2005)Provenance of correlations in…Spectral Analysis as a Tool for Financial Policy: An Analysis of the Short-End of the British Term Structure (2004)Spectral Analysis as a Tool f…Wavelets in Economics and Finance: Past and Future (2002)Wavelets in Economics and Fin…On information and market dynamics: The case of the U.S. beef market (2000)On information and market dyn…Tests for bounded rationality with a linear dynamic model distorted by heterogeneous expectations (1999)Tests for bounded rationality…Temporary Components of Stock Returns: What Do the Data Tell Us? 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S. birth and death rates (1983)Arima models of seasonal vari…Testing the Rational Expectations Hypothesis in an Agricultural Market (1982)Testing the Rational Expectat…Time Series Analysis: Forecasting and Control (1977)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Chapter 6 Forecasting with VARMA Models (2006)Kernel density estimation for time series data (2011)Random switching exponential smoothing and inventory forecasting (2014)The Pricing of Options on Assets with Stochastic Volatilities (1987)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Trends, Cycles and Convergence in U.S. Regional House Prices (2009)Forecasting aggregate retail sales: The case of South Africa (2014)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)The impact of exchange rate volatility on plant-level investment: Evidence from Colombia (2010)The effects of exchange rate volatility on trade: evidence from Turkish agricultural trade (2011)Influence of Macroeconomic Variables on Exchange Rates (2013)Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)A Rational Route to Randomness (1997)Heterogeneity and Learning in In‡ation Expectation Formation: An Empirical Assessment (2006)Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500 (2014)Investors’ behavior and dynamics of ship prices: A heterogeneous agent model (2017)The Economy as an Evolving Complex System II (2018)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)An examination of cointegration relations between futures and local grain markets (1993)Price dynamics in refined petroleum spot and futures markets (1996)Nonlinearities in carbon spot-futures price relationships during Phase II of the EU ETS (2012)Fractional Brownian Motions, Fractional Noises and Applications (1968)Long memory relationships and the aggregation of dynamic models (1980)Fractional Differencing (1981)Strong anticipation: Multifractal cascade dynamics modulate scaling in synchronization behaviors (2011)Measuring Fractality (2012)Rational Expectations and the Theory of Price Movements (1961)Why Bounded Rationality (1996)Estimation of an adaptive stock market model with heterogeneous agents (2007)Price Dynamics in Biological Production Processes Exposed to Environmental Shocks (2017)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Econometric Implications of the Rational Expectations Hypothesis (1980)Modeling Expectations of Bounded Prices: An Application to the Market for Corn (1985)Adaptive Expectations and Cobweb Phenomena (1958)Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations (1985)Lectures on Macroeconomics. 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  • 2002Wavelets in Economics and Finance: Past and Future131 cited
  • 2005Provenance of correlations in psychological data126 cited
  • 2000On information and market dynamics: The case of the U.S. beef market121 cited
  • 1991Cointegration: Some results on U.S. cattle prices107 cited
  • 2006Chapter 7 Forecasting with Unobserved Components Time Series Models91 cited
  • 1999Tests for bounded rationality with a linear dynamic model distorted by heterogeneous expectations83 cited
  • 1982Testing the Rational Expectations Hypothesis in an Agricultural Market72 cited
  • 1990Alternative Estimates of Fed Beef Supply Response to Risk71 cited
  • 2006Forecasting with Unobserved Components Time Series Models70 cited
  • 2007Estimating the Effects of Exchange Rate Volatility on Export Volumes69 cited
  • 1986Forecasting Vector Autoregressions with Bayesian Priors67 cited
  • 1996Temporary Components of Stock Returns: What Do the Data Tell Us?61 cited
  • 2011Experiments on forecasting behavior with several sources of information – A review of the literature53 cited
  • 2004Spectral Analysis as a Tool for Financial Policy: An Analysis of the Short-End of the British Term Structure39 cited

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  • 1988On the dynamic shape of aggregated error correction models38 cited
  • 1983Arima models of seasonal variation in U. S. birth and death rates30 cited