| Publication | Date of Publication | Type |
|---|
Large returns, conditional correlation and portfolio diversification: a value-at-risk approach
Quantitative Finance | 2019-01-14 | Paper |
Investigating Causal Relations by Econometric Models and Cross-spectral Methods
Econometrica | 2017-07-20 | Paper |
Useful conclusions from surprising results
Journal of Econometrics | 2017-05-12 | Paper |
Some thoughts on the development of cointegration
Journal of Econometrics | 2016-08-04 | Paper |
Common factors in conditional distributions for bivariate time series
Journal of Econometrics | 2016-06-10 | Paper |
Opening comments: Predictive methodology and application in economics and finance.: presentation for the San Diego conference, January, 2004
Journal of Econometrics | 2016-06-10 | Paper |
Structural attribution of observed volatility clustering
Journal of Econometrics | 2016-06-10 | Paper |
Forecasting -- looking back and forward: paper to celebrate the 50th anniversary of the Econometrics Institute at the Erasmus University, Rotterdam
Journal of Econometrics | 2016-05-04 | Paper |
Introduction to m-m processes
Journal of Econometrics | 2016-04-18 | Paper |
The past and future of empirical finance: some personal comments
Journal of Econometrics | 2016-04-01 | Paper |
Modelling Nonlinear Economic Time Series
| 2014-06-27 | Paper |
Consideration of trends in time series
Journal of Time Series Econometrics | 2013-06-14 | Paper |
scientific article; zbMATH DE number 5984096 (Why is no real title available?)
| 2011-12-01 | Paper |
Non-linear models: where do we go next - time varying parameter models?
Studies in Nonlinear Dynamics & Econometrics | 2010-07-02 | Paper |
Personal Comments on Yoon's Discussion of My 1957 Paper
Advances in Econometrics | 2010-06-30 | Paper |
scientific article; zbMATH DE number 5258476 (Why is no real title available?)
| 2008-04-03 | Paper |
Forecasting Performance of Information Criteria with Many Macro Series
Journal of Applied Statistics | 2007-09-11 | Paper |
Dynamics of Model Overfitting Measured in terms of Autoregressive Roots
Journal of Time Series Analysis | 2006-12-08 | Paper |
A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING
Econometric Theory | 2005-10-18 | Paper |
FORECASTING BUSINESS CYCLES USING DEVIATIONS FROM LONG-RUN ECONOMIC RELATIONSHIPS
Macroeconomic Dynamics | 2004-09-07 | Paper |
Aggregation of space-time processes.
Journal of Econometrics | 2004-01-26 | Paper |
scientific article; zbMATH DE number 1975653 (Why is no real title available?)
| 2003-09-07 | Paper |
scientific article; zbMATH DE number 1975652 (Why is no real title available?)
| 2003-09-07 | Paper |
Properties of nonlinear transformations of fractionally integrated processes.
Journal of Econometrics | 2003-02-17 | Paper |
Overview of nonlinear macroeconometric empirical models
Macroeconomic Dynamics | 2002-04-16 | Paper |
Macroeconometrics -- past and future. (With comments)
Journal of Econometrics | 2001-01-01 | Paper |
Data mining with local model specification uncertainty: a discussion of Hoover and Perez
Econometrics Journal | 2000-10-26 | Paper |
Nonlinear stochastic trends
Journal of Econometrics | 2000-09-24 | Paper |
Extracting information from mega‐panels and high‐frequency data
Statistica Neerlandica | 1999-11-09 | Paper |
Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration. Theory and evidence
Journal of Econometrics | 1999-11-08 | Paper |
Comments on testing economic theories and the use of model selection criteria
Journal of Econometrics | 1999-11-08 | Paper |
A simple nonlinear time series model with misleading linear properties
Economics Letters | 1999-04-28 | Paper |
REGIME-SENSITIVE COINTEGRATION WITH AN APPLICATION TO INTEREST-RATE PARITY
Macroeconomic Dynamics | 1999-04-22 | Paper |
The effect of aggregation on nonlinearity
Econometric Reviews | 1999-01-01 | Paper |
scientific article; zbMATH DE number 1098831 (Why is no real title available?)
| 1998-09-20 | Paper |
scientific article; zbMATH DE number 1168350 (Why is no real title available?)
| 1998-06-23 | Paper |
An introduction to stochastic unit-root processes
Journal of Econometrics | 1998-05-03 | Paper |
scientific article; zbMATH DE number 1069579 (Why is no real title available?)
| 1998-01-22 | Paper |
Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions
| 1997-11-18 | Paper |
Varieties of long memory models
Journal of Econometrics | 1997-01-19 | Paper |
Modeling volatility persistence of speculative returns: a new approach
Journal of Econometrics | 1996-01-01 | Paper |
Modelling Nonlinear Relationships between Extended-Memory Variables
Econometrica | 1995-06-19 | Paper |
USING THE MUTUAL INFORMATION COEFFICIENT TO IDENTIFY LAGS IN NONLINEAR MODELS
Journal of Time Series Analysis | 1995-02-06 | Paper |
Implications of seeing economic variables through an aggregation window
Ricerche Economiche | 1994-09-19 | Paper |
Some generalizations on the algebra of I(1) processes
Journal of Econometrics | 1993-08-25 | Paper |
Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
Journal of Econometrics | 1993-05-16 | Paper |
Seasonal cointegration. The Japanese consumption function (with discussion)
Journal of Econometrics | 1993-02-04 | Paper |
NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
Journal of Time Series Analysis | 1991-01-01 | Paper |
Seasonal integration and cointegration
Journal of Econometrics | 1990-04-01 | Paper |
Seasonal integration and cointegration
Journal of Econometrics | 1990-01-01 | Paper |
Reasonable extreme-bounds analysis
Journal of Econometrics | 1990-01-01 | Paper |
MODELS THAT GENERATE TRENDS
Journal of Time Series Analysis | 1988-01-01 | Paper |
Co-Integration and Error Correction: Representation, Estimation, and Testing
Econometrica | 1987-01-01 | Paper |
scientific article; zbMATH DE number 4047369 (Why is no real title available?)
| 1986-01-01 | Paper |
scientific article; zbMATH DE number 3926051 (Why is no real title available?)
| 1984-01-01 | Paper |
scientific article; zbMATH DE number 3872515 (Why is no real title available?)
| 1983-01-01 | Paper |
scientific article; zbMATH DE number 3852282 (Why is no real title available?)
| 1983-01-01 | Paper |
scientific article; zbMATH DE number 3846724 (Why is no real title available?)
| 1982-01-01 | Paper |
AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
Journal of Time Series Analysis | 1980-01-01 | Paper |
scientific article; zbMATH DE number 3860263 (Why is no real title available?)
| 1980-01-01 | Paper |
Long memory relationships and the aggregation of dynamic models
Journal of Econometrics | 1980-01-01 | Paper |
Advertising and Aggregate Consumption: An Analysis of Causality
Econometrica | 1980-01-01 | Paper |
scientific article; zbMATH DE number 3718806 (Why is no real title available?)
| 1980-01-01 | Paper |
Experience with using the Box-Cox transformation when forecasting economic time series
Journal of Econometrics | 1979-01-01 | Paper |
Nearer-Normality and Some Econometric Models
Econometrica | 1979-01-01 | Paper |
On the invertibility of time series models
Stochastic Processes and their Applications | 1978-01-01 | Paper |
scientific article; zbMATH DE number 3729325 (Why is no real title available?)
| 1978-01-01 | Paper |
scientific article; zbMATH DE number 3591256 (Why is no real title available?)
| 1978-01-01 | Paper |
scientific article; zbMATH DE number 3599360 (Why is no real title available?)
| 1977-01-01 | Paper |
scientific article; zbMATH DE number 3537122 (Why is no real title available?)
| 1976-01-01 | Paper |
The use of \(R^2\) to determine the appropriate transformation of regression variables
Journal of Econometrics | 1976-01-01 | Paper |
Tendency towards normality of linear combinations of random variables
Metrika | 1976-01-01 | Paper |
Spurious regressions in econometrics
Journal of Econometrics | 1974-01-01 | Paper |
"Infinite Variance" and Research Strategy in Time Series Analysis
Journal of the American Statistical Association | 1972-01-01 | Paper |
Prediction with a Generalized Cost of Error Function
The Journal of the Operational Research Society | 1969-01-01 | Paper |
Some Aspects of the Random walk Model of Stock Market Prices
International Economic Review | 1968-01-01 | Paper |
A Quick Test for Slippage
Revue de l'Institut International de Statistique / Review of the International Statistical Institute | 1968-01-01 | Paper |
scientific article; zbMATH DE number 3208729 (Why is no real title available?)
| 1964-01-01 | Paper |
Economic processes involving feedback
Information and Control | 1963-01-01 | Paper |
A Quick Test for Serial Correlation Suitable for Use with Non-Stationary Time Series
| 1963-01-01 | Paper |
