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1
Asymptotics for out of sample tests of Granger causality
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Asymptotics for out of sample tests of Granger causality

Journal of econometrics, 2007-10, Vol.140 (2), p.719-752 [Peer Reviewed Journal]

ISSN: 0304-4076 ;EISSN: 1872-6895 ;DOI: 10.1016/j.jeconom.2006.07.020

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2
Quasi-maximum likelihood estimation of volatility with high frequency data
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Quasi-maximum likelihood estimation of volatility with high frequency data

Journal of econometrics, 2010-11, Vol.159 (1), p.235-250 [Peer Reviewed Journal]

ISSN: 0304-4076 ;EISSN: 1872-6895 ;DOI: 10.1016/j.jeconom.2010.07.002

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3
Instrumental quantile regression inference for structural and treatment effect models
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Instrumental quantile regression inference for structural and treatment effect models

Journal of econometrics, 2006-06, Vol.132 (2), p.491-525 [Peer Reviewed Journal]

ISSN: 0304-4076 ;EISSN: 1872-6895 ;DOI: 10.1016/j.jeconom.2005.02.009

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4
Assessing value at risk with CARE, the Conditional Autoregressive Expectile models
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Assessing value at risk with CARE, the Conditional Autoregressive Expectile models

Journal of econometrics, 2009-06, Vol.150 (2), p.261-270 [Peer Reviewed Journal]

ISSN: 0304-4076 ;EISSN: 1872-6895 ;DOI: 10.1016/j.jeconom.2008.12.002

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5
Maximum entropy autoregressive conditional heteroskedasticity model
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Maximum entropy autoregressive conditional heteroskedasticity model

Journal of econometrics, 2009-06, Vol.150 (2), p.219-230 [Peer Reviewed Journal]

ISSN: 0304-4076 ;EISSN: 1872-6895 ;DOI: 10.1016/j.jeconom.2008.12.014

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6
A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
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A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries

Journal of econometrics, 2008-11, Vol.147 (1), p.104-119 [Peer Reviewed Journal]

ISSN: 0304-4076 ;EISSN: 1872-6895 ;DOI: 10.1016/j.jeconom.2008.09.032

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7
Fixed effects estimation of structural parameters and marginal effects in panel probit models
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Fixed effects estimation of structural parameters and marginal effects in panel probit models

Journal of econometrics, 2009-05, Vol.150 (1), p.71-85 [Peer Reviewed Journal]

ISSN: 0304-4076 ;EISSN: 1872-6895 ;DOI: 10.1016/j.jeconom.2009.02.007

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8
Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach
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Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach

Journal of econometrics, 2008-09, Vol.146 (1), p.26-43 [Peer Reviewed Journal]

ISSN: 0304-4076 ;EISSN: 1872-6895 ;DOI: 10.1016/j.jeconom.2008.06.002

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9
Predictable returns and asset allocation: Should a skeptical investor time the market?
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Predictable returns and asset allocation: Should a skeptical investor time the market?

Journal of econometrics, 2009-02, Vol.148 (2), p.162-178 [Peer Reviewed Journal]

ISSN: 0304-4076 ;EISSN: 1872-6895 ;DOI: 10.1016/j.jeconom.2008.10.009

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10
Marketing models of consumer heterogeneity
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Marketing models of consumer heterogeneity

Journal of econometrics, 1999-03, Vol.89 (1/2), p.57-78 [Peer Reviewed Journal]

Copyright Elsevier Sequoia S.A. Mar/Apr 1999 ;ISSN: 0304-4076 ;EISSN: 1872-6895 ;CODEN: JECMB6

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11
Fractionally integrated generalized autoregressive conditional heteroskedasticity
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Fractionally integrated generalized autoregressive conditional heteroskedasticity

Journal of econometrics, 1996-09, Vol.74 (1), p.3-30 [Peer Reviewed Journal]

1996 ;Copyright Elsevier Sequoia S.A. Sep 1996 ;ISSN: 0304-4076 ;EISSN: 1872-6895 ;DOI: 10.1016/S0304-4076(95)01749-6 ;CODEN: JECMB6

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12
The surprise element: jumps in interest rates
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The surprise element: jumps in interest rates

Journal of econometrics, 2002, Vol.106 (1), p.27-65 [Peer Reviewed Journal]

ISSN: 0304-4076 ;EISSN: 1872-6895 ;DOI: 10.1016/S0304-4076(01)00085-9

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13
A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation
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A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation

Journal of econometrics, 2009-11, Vol.153 (1), p.21-32 [Peer Reviewed Journal]

ISSN: 0304-4076 ;EISSN: 1872-6895 ;DOI: 10.1016/j.jeconom.2009.04.004

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14
Modeling the diffusion of scientific publications
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Article
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Modeling the diffusion of scientific publications

Journal of econometrics, 2007-08, Vol.139 (2), p.376-390 [Peer Reviewed Journal]

ISSN: 0304-4076 ;EISSN: 1872-6895 ;DOI: 10.1016/j.jeconom.2006.10.021

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15
A nonlinear autoregressive conditional duration model with applications to financial transaction data
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A nonlinear autoregressive conditional duration model with applications to financial transaction data

Journal of econometrics, 2001-08, Vol.104 (1), p.179-207 [Peer Reviewed Journal]

2001 Elsevier Science S.A. ;2001 INIST-CNRS ;Copyright Elsevier Sequoia S.A. Aug 2001 ;ISSN: 0304-4076 ;EISSN: 1872-6895 ;DOI: 10.1016/S0304-4076(01)00063-X ;CODEN: JECMB6

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16
GLS detrending, efficient unit root tests and structural change
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GLS detrending, efficient unit root tests and structural change

Journal of econometrics, 2003-07, Vol.115 (1), p.1-27 [Peer Reviewed Journal]

ISSN: 0304-4076 ;EISSN: 1872-6895 ;DOI: 10.1016/S0304-4076(03)00090-3

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17
Bayesian analysis of the ordered probit model with endogenous selection
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Bayesian analysis of the ordered probit model with endogenous selection

Journal of econometrics, 2008-04, Vol.143 (2), p.334-348 [Peer Reviewed Journal]

ISSN: 0304-4076 ;EISSN: 1872-6895 ;DOI: 10.1016/j.jeconom.2007.11.001

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18
Multivariate contemporaneous-threshold autoregressive models
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Multivariate contemporaneous-threshold autoregressive models

Journal of econometrics, 2011-02, Vol.160 (2), p.311-325 [Peer Reviewed Journal]

ISSN: 0304-4076 ;EISSN: 1872-6895 ;DOI: 10.1016/j.jeconom.2010.09.011

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19
Nonlinear models for strongly dependent processes with financial applications
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Nonlinear models for strongly dependent processes with financial applications

Journal of econometrics, 2008-11, Vol.147 (1), p.60-71 [Peer Reviewed Journal]

ISSN: 0304-4076 ;EISSN: 1872-6895 ;DOI: 10.1016/j.jeconom.2008.09.034

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20
Speed of adjustment in cointegrated systems
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Speed of adjustment in cointegrated systems

Journal of econometrics, 2010-09, Vol.158 (1), p.130-141 [Peer Reviewed Journal]

ISSN: 0304-4076 ;EISSN: 1872-6895 ;DOI: 10.1016/j.jeconom.2010.03.020

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