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Long memory in stock-market trading volume
Lobato, Ignacio N.; Velasco, Carlos - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 4, pp. 410-427
Persistent link: https://www.econbiz.de/10001521494
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A nonparametric test for I(0)
Lobato, Ignacio N. - In: The review of economic studies 65 (1998) 3, pp. 475-495
Persistent link: https://www.econbiz.de/10001244372
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Real and spurious long-memory properties of stock-market data
Lobato, Ignacio N. - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 3, pp. 261-268
Persistent link: https://www.econbiz.de/10001246513
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Estimation of fractionally integrated panels with fixed effects and cross-section dependence
Ergemen, Yunus Emre; Velasco, Carlos - In: Journal of econometrics 196 (2017) 2, pp. 248-258
Persistent link: https://www.econbiz.de/10011818289
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On the properties of regression test of stock returns predictability using dividend-price ratios
Moon, Seongman; Velasco, Carlos - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 151-173
Persistent link: https://www.econbiz.de/10010233601
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Efficient inference on fractionally integrated panel data models with fixed effects
Robinson, Peter M.; Velasco, Carlos - 2013
Persistent link: https://www.econbiz.de/10010260243
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Residual log-periodogram inference for long-run relationships
Hassler, Uwe; Mármol, Francesc; Velasco, Carlos - 2002
Persistent link: https://www.econbiz.de/10001751669
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Distribution-free tests of fractional cointegration
Hualde, Javier; Velasco, Carlos - In: Econometric theory 24 (2008) 1, pp. 216-255
Persistent link: https://www.econbiz.de/10003894150
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Do foreign exchange return regressions convey useful information on return predictability?
Moon, Seongman; Velasco, Carlos - In: Revista de economía aplicada : REA 25 (2017) 73, pp. 5-19
Persistent link: https://www.econbiz.de/10012261655
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LM tests for joint breaks in the dynamics and level of a long-memory time series
Dolado, Juan J.; Rachinger, Heiko; Velasco, Carlos - 2020
Persistent link: https://www.econbiz.de/10012321115