Similar Search Results

Wall Street sneezes and global finance catches a cold : How does geopolitical risk contribute? A tale of tail

Neto, David - In: Finance research letters 73 (2025), pp. 1-7

Persistent link: https://www.econbiz.de/10015211455

Testing and estimating time-varying elasticities of Swiss gasoline demand

Neto, David - In: Energy economics 34 (2012) 6, pp. 1755-1762

Persistent link: https://www.econbiz.de/10009687888

The FMLS-based CUSUM statistic for testing the null of smooth time-varying cointegration in the presence of a structural break

Neto, David - In: Economics letters 125 (2014) 2, pp. 208-211

Persistent link: https://www.econbiz.de/10010505390

Testing for and dating structural break in smooth time-varying cointegration parameters, with an application to retail gasoline price and crude oil price long-run relationship

Neto, David - In: Empirical economics : a journal of the Institute for … 49 (2015) 3, pp. 909-928

Persistent link: https://www.econbiz.de/10011377316

Are Google searches making the Bitcoin market run amok? : A tail event analysis

Neto, David - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10012822265

Tracking fiscal discipline : looking for a PIIGS on the wing

Neto, David - In: International economics : a journal published by CEPII … 163 (2020), pp. 147-154

Persistent link: https://www.econbiz.de/10012642571

What to do when effective exchange rates cannot be calculated for developing economies? : PANIC?

Neto, David - In: Finance research letters 27 (2018), pp. 283-290

Persistent link: https://www.econbiz.de/10012006882

Examining interconnectedness between media attention and cryptocurrency markets : a transfer entropy story

Neto, David - In: Economics letters 214 (2022), pp. 1-6

Persistent link: https://www.econbiz.de/10013448150

Penalized leads-and-lags cointegrating regression : a simulation study and two empirical applications

Neto, David - In: Empirical economics : a quarterly journal of the … 65 (2023) 2, pp. 949-971

Persistent link: https://www.econbiz.de/10014329094

Partial Cointegration

Krishnakumar, Jaya; Neto, David - Institut d'Economie et Econométrie, Université de Genève - 2005

This paper proposes a simple procedure to test the hypothesis of no cointegration against both threshold cointegration and an intermediate possibility that we call partial cointegration. Asymptotic theory is devel- oped, the power of the proposed test is analysed through simulations and an...

Persistent link: https://www.econbiz.de/10005687136