Citation Impact
Citing Papers
A Regional Dynamic General-Equilibrium Model of Alternative Climate-Change Strategies
2016 StandoutNobel
Declining discount rates and the Fisher Effect: Inflated past, discounted future?
2015
Nonlinearity and temporal dependence
2009 StandoutNobel
Is health care really a luxury?
1997
Copula Modeling: An Introduction for Practitioners
2007
Microeconomic Origins of Macroeconomic Tail Risks
2016 StandoutNobel
Deciphering the Liquidity and Credit Crunch 2007–2008
2009 Standout
Testing for Error Correction in Panel Data*
2007 Standout
Modeling river flows with heavy tails
1998
Giving Content to Investor Sentiment: The Role of Media in the Stock Market
2007 Standout
Spurious regression and residual-based tests for cointegration in panel data
1999 Standout
Robust tests of forward exchange market efficiency with empirical evidence from the 1920s
1996
On the Estimation and Inference of a Cointegrated Regression in Panel Data
1997
Extreme Correlation of International Equity Markets
2001 Standout
Unit root tests in panel data: asymptotic and finite-sample properties
2002 Standout
A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration
1994
Sample Splitting and Threshold Estimation
2000 Standout
Asset pricing with liquidity risk
2005 Standout
Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis
2002 Standout
The Predictive Ability of Several Models of Exchange Rate Volatility
2018
Modeling and Forecasting Realized Volatility
2003 Standout
Robust Standard Errors in Small Samples: Some Practical Advice
2016 StandoutNobel
CoVaR
2016 Standout
Volatility Spillovers and Contagion from Mature to Emerging Stock Markets
2009
Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
1993 Standout
Rank − 1 / 2: A Simple Way to Improve the OLS Estimation of Tail Exponents
2009
Are output growth‐rate distributions fat‐tailed? some evidence from OECD countries
2008
LAPM: A Liquidity‐Based Asset Pricing Model
2001 StandoutNobel
Income and Health Spending: Evidence from Oil Price Shocks
2009 StandoutNobel
Bounds testing approaches to the analysis of level relationships
2001 Standout
A residual-based test of the null of cointegration in panel data
1998
Where is the land of Opportunity? The Geography of Intergenerational Mobility in the United States *
2014 Standout
Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches
2008 Standout
A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test
1999 Standout
Common Persistence in Conditional Variances
1993 StandoutNobel
Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility
1996
Two Illustrations of the Quantity Theory of Money: Breakdowns and Revivals
2011 StandoutNobel
Efficient inference on cointegration parameters in structural error correction models
1995
t-Statistic Based Correlation and Heterogeneity Robust Inference
2009
A revival of the autoregressive distributed lag model in estimating energy demand relationships
2001
Modeling of end-use energy consumption in the residential sector: A review of modeling techniques
2009 Standout
An Introduction to Econophysics: Correlations and Complexity in Finance
2000 Standout
T-Statistic Based Correlation and Heterogeneity Robust Inference
2007
Volatilities of different time resolutions — Analyzing the dynamics of market components
1997
Measuring Systemic Risk
2016 Standout
A test for independence based on the correlation dimension
1996 Standout
No contagion, only globalization and flight to quality
2012
Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
2001 Standout
The Impact of Large Changes in Asset Prices on Intra‐Market Correlations in the Domestic and International Markets
2009
Asymmetric correlations of equity portfolios
2002
PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
2004 Standout
Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks
2003 Standout
An LM Test for a Unit Root in the Presence of a Structural Change
1995
Systemic Risk Contributions
2011
Tests for Parameter Instability in Regressions with 1(1) Processes
1992
Bootstrap-Based Improvements for Inference with Clustered Errors
2008 Standout
Forecasting Volatility in Financial Markets: A Review
2003 StandoutNobel
The Network Origins of Aggregate Fluctuations
2012 StandoutNobel
Stochastic Permanent Breaks
1999 StandoutNobel
Assessing the Systemic Risk of a Heterogeneous Portfolio of Banks During the Recent Financial Crisis
2009
Active Labour Market Policy Evaluations: A Meta‐Analysis
2010 StandoutNobel
Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework
1998 Standout
Consumption, Aggregate Wealth, and Expected Stock Returns
2001 Standout
The Distribution of Realized Exchange Rate Volatility
2001 Standout
Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots
1991
Unit root tests with conditional heteroskedasticity
1993
Estimation of Common Long-Memory Components in Cointegrated Systems
1995 StandoutNobel
The Mechanics of the Industrial Revolution
2022 StandoutNobel
The distribution of realized stock return volatility
2001 Standout
The econometrics of financial markets
1996
Automatic Lag Selection in Covariance Matrix Estimation
1994 Standout
The random walk's guide to anomalous diffusion: a fractional dynamics approach
2000 Standout
A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
1993 Standout
Testing for nonlinearity in time series: the method of surrogate data
1992 Standout
Determining Benefits and Costs for Future Generations
2013 StandoutScienceNobel
Energy models for demand forecasting—A review
2011 Standout
Five alternative methods of estimating long-run equilibrium relationships
1994
Catastrophic regime shifts in ecosystems: linking theory to observation
2003 Standout
ARCH modeling in finance
1992 Standout
Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards
2004 Standout
Stock-Watson dynamic OLS (DOLS) and error-correction modelling approaches to estimating long- and short-run elasticities in a demand function: new evidence and methodological implications from an application to the demand for coal in mainland China
1996
The limits of diversification when losses may be large
2007
Asymmetric Correlations of Equity Portfolios
2000
Works of Mico Loretan being referenced
Evaluating 'Correlation Breakdowns' during Periods of Market Volatility
2000
Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets
1994
Pitfalls in Tests for Changes in Correlations
1997
Estimating Long-Run Economic Equilibria
1991
Contagion and risk premia in the amplification of crisis: Evidence from Asian names in the global CDS market
2009
The Durbin-Watson ratio under infinite-variance errors
1991