Concepedia
Economic Systems · 2007 · 164 citations · 15 references
Market MicrostructureIntraday DataEconomicsFinancial EconomicsInternational FinanceAsset PricingMarket TrendFinancial EconometricsBusinessFinance
15
Bounds testing approaches to the analysis of level relationships
M. Hashem Pesaran, Yongcheol Shin, Richard J. Smith · Journal of Applied Econometrics · 2001 · 18.9K citations
Statistical inference in vector autoregressions with possibly integrated processes
Hiro Y. Toda, Taku Yamamoto · Journal of Econometrics · 1995 · 5.8K citations
Engineering, Gaussian Process, Statistical Inference +3
A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
James H. Stock, Mark W. Watson · Econometrica · 1993 · 4.8K citations
Macroeconomic Forecasting, Economic Fluctuation, Cointegrating Vectors +18
A Permanent and Transitory Component Model of Stock Return Volatility
Gary G. J. Lee, Robert F. Engle · SSRN Electronic Journal · 1993 · 525 citations · Full text
Empirical Finance, Economics, Volatility Modeling +14
International portfolio diversification: US and Central European equity markets
Claire G. Gilmore, Ginette M. McManus · Emerging Markets Review · 2002 · 267 citations
Economic Diversification, Financial Economics, International Finance +7