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Testing uncovered interest rate parity and term structure using multivariate threshold cointegration

Krishnakumar, Jayalakshmi; Neto, David - In: Computational methods in financial engineering : essays …, (pp. 191-210). 2008

Persistent link: https://www.econbiz.de/10003669639

Testing uncovered interest rate parity and term structure using three-regime threshold unit root VECM

Krishnakumar, Jayalakshmi; Neto, David - 2009

Persistent link: https://www.econbiz.de/10003926957

Testing the "Inaction corridor" in a three-regime threshold error correction model with an application to a buffer-stock model for US money demand

Krishnakumar, Jayalakshmi; Neto, David - In: Economic notes : economic review of Banca Monte dei … 40 (2011) 1/2, pp. 29-43

Persistent link: https://www.econbiz.de/10009299641

On endogeneity bias : some general remarks and correction of the ROIW paper by Bourguignon, Ferreira and Menéndez (2007)

Krishnakumar, Jayalakshmi - In: The review of income and wealth : journal of the … 59 (2013) 3, pp. 539-550

Persistent link: https://www.econbiz.de/10010195546

Panel data estimation of the intergenerationhal correlation of incomes

Abul Naga, Ramses H.; Krishnakumar, Jayalakshmi - In: Panel data econometrics : future directions : papers in …, (pp. 85-105). 2000

Persistent link: https://www.econbiz.de/10001488002

Panel data estimation of the intergenerational correlation of incomes

Abul Naga, Ramses H.; Krishnakumar, Jayalakshmi - 1999

Persistent link: https://www.econbiz.de/10001454531

Testing the 'Inaction Corridor' in a Three-Regime Threshold Error Correction Model with an Application to a Buffer-Stock Model for US Money Demand

Neto, David - 2014

In this paper, we develop a test for the existence of a middle 'band of inaction' in a three-regime threshold vector error correction model (TVECM). A Wald statistic is proposed for this purpose, its limiting distribution is derived (which is non-standard) and critical values calculated through...

Persistent link: https://www.econbiz.de/10013043908

Equity market interdependence : the relationship between European and US stock markets

Avouyi-Dovi, Sanvi; Neto, David - In: Financial stability review : FSR (2004) 4, pp. 108-126

Persistent link: https://www.econbiz.de/10002353975