eCite Digital Repository

Items where Subject is Field of Research, Economics, Econometrics, Time-series analysis

Journal Article
Dungey, M and Fry-Mckibbin, F and Volkov, V, Transmission of a resource boom: the case of Australia, Oxford Bulletin of Economics and Statistics pp. 1-23. ISSN 1468-0084 (2019) [Refereed Article] 
Poskitt, DS and Yao, W, Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy, Journal of Business and Economic Statistics, 35, (3) pp. 407-419. ISSN 0735-0015 (2017) [Refereed Article] 
Athanasopoulos, G and Poskitt, DS and Vahid, F and Yao, W, Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations, Journal of Applied Econometrics, 31, (6) pp. 1100-1119. ISSN 1099-1255 (2016) [Refereed Article] 
Alexeev, V and Maynard, A, Localized level crossing random walk test robust to the presence of structural breaks, Computational Statistics and Data Analysis, 56, (11) pp. 3322-3344. ISSN 0167-9473 (2012) [Refereed Article] 
Dungey, M and Milunovich, G and Thorp, S, Unobservable shocks as carriers of contagion, Journal of Banking and Finance, 34, (5) pp. 1008-1021. ISSN 0378-4266 (2010) [Refereed Article]
Jeyasreedharan, N, A DoW-statistic for Gauging Day-of-the-Week Anomalies, Finance Letters, 5, (1) pp. 1-10. ISSN 1740-6242 (2007) [Refereed Article] 
Yan, YH and Felmingham, BS, First and second order instability of the Shanghai and Shenzhen share price indices, Applied Economics Letters, 13, (9) pp. 605-608. ISSN 1350-4851 (2006) [Refereed Article]
Dungey, MH and Martin, V and Pagan, A, A Multivariate Latent Factor Decomposition of International Bond Yield Spreads, Journal of Applied Econometrics, 15, (6) pp. 697-715. ISSN 0883-7252 (2000) [Refereed Article] 
Chapter in Book
Bartholdy, J and Peare, P and Willett, RJ, A Theoretical and Empirical Analysis of the Relationship Between Market and Book Values, Advances in Quantitative Analysis of Finance and Accounting, World Scientific Publishing Co. Pty. Ltd., Lee, Cheng-Few (ed), Singapore, pp. 111-144. ISBN 981-238-669-6 (2004) [Other Book Chapter] 

This list was generated on Wed May 12 03:27:29 2021.