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Moments structure of l 1-stochastic volatility models
Neto, David; Sardy, Sylvain - 2009
Persistent link: https://www.econbiz.de/10003926961
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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
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Partial Cointegration
Krishnakumar, Jaya; Neto, David - Institut d'Economie et Econométrie, Université de Genève - 2005
This paper proposes a simple procedure to test the hypothesis of no cointegration against both threshold cointegration and an intermediate possibility that we call partial cointegration. Asymptotic theory is devel- oped, the power of the proposed test is analysed through simulations and an...
Persistent link: https://www.econbiz.de/10005687136
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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
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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
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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
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Are Google searches making the Bitcoin market run amok? : A tail event analysis
Neto, David - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10012822265
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Tracking fiscal discipline : looking for a PIIGS on the wing
Neto, David - In: International economics : a journal published by CEPII … 163 (2020), pp. 147-154
Persistent link: https://www.econbiz.de/10012642571
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What to do when effective exchange rates cannot be calculated for developing economies? : PANIC?
Neto, David - In: Finance research letters 27 (2018), pp. 283-290
Persistent link: https://www.econbiz.de/10012006882
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Examining interconnectedness between media attention and cryptocurrency markets : a transfer entropy story
Neto, David - In: Economics letters 214 (2022), pp. 1-6
Persistent link: https://www.econbiz.de/10013448150