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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

Dépendance non-monotone : une application à la relation rendement-volume

Neto, David - In: Annales d'économie et de statistique 82 (2006), pp. 187-216

Persistent link: https://www.econbiz.de/10003511010

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

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

Estimation and testing for the cointegration rank in a threshold cointegrated system

Krishnakumar, Jayalakshmi; Neto, David - 2009

Persistent link: https://www.econbiz.de/10003926954

l 1 - penalized likelihood smoothing of volatility processes allowing for abrupt changes

Neto, David; Sardy, Sylvain; Tseng, Paul - 2009

Persistent link: https://www.econbiz.de/10003926975

Revisiting the Fisher parity consistency for the Swiss economy around the modification of the National Bank's monetary policy strategy

Neto, David - In: International economics : a journal published by CEPII … 144 (2015), pp. 83-94

Persistent link: https://www.econbiz.de/10011525395

Testing the 'Inaction Corridor' in a Three-Regime Threshold Error Correction Model with an Application to a Buffer-Stock Model for US Money Demand

Neto, David - 2014

In this paper, we develop a test for the existence of a middle 'band of inaction' in a three-regime threshold vector error correction model (TVECM). A Wald statistic is proposed for this purpose, its limiting distribution is derived (which is non-standard) and critical values calculated through...

Persistent link: https://www.econbiz.de/10013043908