1. Modeling the spillovers between stock market and money market in Nigeria. (2017). Salisu, Afees ; Isah, Kazeem.
   In: Working Papers.
   RePEc:cui:wpaper:0023.

   Full description at Econpapers || Download paper

2. A 10 min tick volatility analysis between the Ibovespa and the S&P500. (2013). Righi, Marcelo ; Ceretta, Paulo Sergio ; Muller, Fernanda Maria ; da Costa, Alexandre Silva.
   In: Economics Bulletin.
   RePEc:ebl:ecbull:eb-13-00459.

   Full description at Econpapers || Download paper

1. Amsler, C. and J. Lee (1995), An LM Test for a Unit Root in the Presence of a Structural Change, Econometric Theory,11, 359-368.

2. Andersen, T.G., T. Bollerslev, F.X. Diebold and C. Vega (2007), Real-time Price Discovery in Global Stock, Bond and Foreign Exchange Markets, Journal of International Economics, 73, 251-277.

3. Baba, Y., R.F. Engle, D. Kraft and K.F. Kroner (1989), Multivariate Simultaneous Generalized ARCH, UCSD, Department of Economics, Manuscript.
   Paper not yet in RePEc: Add citation now
   

4. Bailey, W. (1989), The Effect of U.S. Money Supply Announcements on Canadian Stock, Bond and Currency Prices, Canadian Journal of Economics, 22, 607-618.

5. Bodart, V. and P. Reding (1999), Exchange Rate Regime, Volatility and International Correlations on Bond and Stock Markets, Journal of International Money and Finance,18, 133-151.

6. Bollerslev, T. (1986), Generalized Autoregressive Conditional Heteroscedasticity, Journal of Econometrics, 31, 307-327.

7. Bollerslev, T. (1990), Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH model, Review of Economics and Statistics, 72, 498-505.

8. Bollerslev, T., R.F. Engle and J.M. Wooldridge (1988), A Capital Asset Pricing Model with TimeVarying Covariances, Journal of Political Economy, 96, 116-131.

9. Byrne, J.P. and R. Perman (2007), Unit Roots and Structural Breaks: A Survey of the Literature, In B.B. Rao (ed.), Cointegration for the Applied Economist, Second Edition, 129-142, Great Britain : Palgrave Macmillan.

10. Choi, J.J., E. Elyasiani and K.J. Kopecky (1992), The Sensitivity of Bank Stock Returns to Market, Interest and Exchange Rate Risks, Journal of Banking and Finance, 16, 983-1004.

11. Cumby, R., Figlewski, S. and J. Hasbrouck (1994), International Asset Allocation with Time Varying Risk: An Analysis and Implementation, Japan and The World Economy, 6, 1-25.

12. Dickey, D. A. and W. A. Fuller (1979), Distribution of the Estimators for Autoregressive Time Series with a Unit Root,Journal of the American Statistical Association, 74, 427-31 Dickey, D. A. and W. A. Fuller. (1981), Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root, Econometrica, 49, 1057-72.

13. Ehrmann, M., M. Fratzscher and R. Rigobon (2011), Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission, Journal of Applied Econometrics, 26, 948-974.

14. Elliott, G., T.J. Rothenberg and J.H. Stock (1996), Efficient Tests for an Autoregressive Unit Root, Econometrica, 64, 813-36.

15. Enders, W. (2004), Applied Econometric Time Series, Second Edition, New Jersey: John Wiley and Sons.
    Paper not yet in RePEc: Add citation now
    

16. Engle, R.F. (1982), Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation, Econometrica, 50, 987-1007.

17. Engle, R.F. (2002), Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroscedasticity Models, Journal of Business and Statistics, 20, 339-350.

18. Engle, R.F. and K.F. Kroner (1995), Multivariate Simultaneous Generalized ARCH, Econometric Theory, 11, 122-150.

19. Fair, R.C. (2003), Shock Effects on Stocks, Bonds, and Exchange Rates, Journal of International Money and Finance, 22, 307-341.

20. Fama, E.F. (1981), Stock Returns, Real Activity, Inflation, and Money, The American Economic Review, 71, 545-565.

21. Flavin, T.J. and M.R. Wickens (2006), Optimal International Asset Allocation with Time-Varying Risk, Scottish Journal of Political Economy, 53, 543-564.

22. Geske, R. and R. Roll (1983), The Fiscal and Monetary Linkages Between Stock Returns and Inflation, The Journal of Finance, 38, 1-33.

23. Giannellis, N. and A.P. Papadopoulos (2011), What Causes Exchange Rate Volatility? Evidence from Selected EMU Members and Candidates for EMU Membership Countries, Journal of International Money and Finance, 30, 39-61.

24. Giovannini, A. and P. Jorion (1987), Interest Rates and Risk Premia in the Stock Market and in the Foreign Exchange Market, Journal of International Money and Finance, 6, 107-123.

25. Hakim, A. and M. McAleer (2009), Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence, CIRJE, Faculty of Economics Discussion Paper No. 677.

26. Hakim, A. and M. McAleer (2010), Modelling the Interactions across the International Stock, Bond and Foreign Exchange Markets, Applied Economics, 7, 825-850.

27. Hau, H. and H. Rey (2006), Exchange Rates, Equity Prices, and Capital Flows, The Review of Financial Studies, 19, 273-317.

28. Hausman, J. and J. Wongswan (2006), Global Asset Prices and FOMC Announcements, Board of Governors of the Federal Reserve System, International Finance Discussion Papers, No. 886.

29. Herwatz, H. (2004), Conditional Heteroscedasticity, in H. Lütkepohl and M. Krätzig (eds.), Applied Time Series Econometrics, Cambridge University Press, 197-221.

30. Kim, S.-J., McKenzie, M.D. and R.W. Faff (2004), Macroeconomic News Announcements and the Role of Expectations: Evidence for US Bond, Stock and Foreign Exchange Markets, Journal of Multinational Financial Management, 14, 217-232.

31. Kuper, G.H. and L. Lestano (2007), Dynamic Conditional Correlation Analysis of Financial Market Interdependence: An Application to Thailand and Indonesia, Journal of Asian Economics, 18, 670-684.

32. Kwiatkowski, D., P.C.B. Phillips, P. Schmidt and Y. Shin (1992), Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root, Journal of Econometrics, 54, 159-178.

33. Lütkepohl, H. (2005), New Introduction to Multiple Time Series Analysis, Berlin: Springer-Verlag.

34. Lee, J. and M.C. Strazicich (2003), Minimum Lagrange Multiplier Unit Root Test with Structural Breaks, The Review of Economics and Statistics, 85, 1082-1089.

35. Lumsdaine, R. and D. Papell (1997), Multiple Trend Breaks and the Unit-Root Hypothesis, Review of Economics and Statistics, 79, 212-218.

36. Ma, C.K. and G.W. Kao (1990), On Exchange Rate Changes and Stock Price Reactions, Journal of Business Finance and Accounting, 17, 441-449.
    Paper not yet in RePEc: Add citation now
    

37. McNelis, P.D. (1993), The Response of Australian Stock, Foreign Exchange and Bond Markets to Foreign Asset Returns and Volatilities, Research Discussion Paper 9301, Economics Research Department, Reserve Bank of Australia.

38. Pavlova, A. and R. Rigobon (2007), Asset Prices and Exchange Rates, The Review of Financial Studies, 20, 1139-1181.

39. Perron, P. (1989), The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis, Econometrica, 57, 1361-1401.

40. Rigobon, R. (2003), Identification through Heteroskedasticity, The Review of Economics and Statistics, 85, 777-792.

41. Riskmetrics(1996),Riskmetrics Technical Document, 4th edition, J.P. Morgan: New York.
    Paper not yet in RePEc: Add citation now
    

42. Schmidt, P. and P.C.B. Phillips (1992), LM Tests for a Unit Root in the Presence of Deterministic Trends, Oxford Bulletin of Economics and Statistics,54, 257-287.

43. Swanson, P. (2003), The Interrelatedness of Global Equity Markets, Money Markets and Foreign Exchange Markets, International Review of Financial Analysis, 12, 135-155.

44. Tse, Y.K. (2000), A Test for Constant Correlations in a Multivariate GARCH Model, Journal of Econometrics, 98, 107-127.

45. Tse, Y.K. and A.K.C. Tsui (2002), A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model with Time-Varying Correlations, Journal of Business and Economic Statistics, 20, 351-362.

46. Uppal, R. (1993), A General Equilibrium Model of International Portfolio Choice, The Journal of Finance, 48, 529-553.

47. Wang, P. (2009), Financial Econometrics, Second Edition, London: Routledge, Taylor and Francis Group.
    Paper not yet in RePEc: Add citation now
    

48. Weber, E. (2007), Who Leads Financial Markets, MPRA Paper No. 5099.

49. Zapatero, F. (1995), Equilibrium Asset Prices and Exchange Rates, Journal of International Economics, Vol. 19, 787-811.

50. Zivot, E. and D.W.K. Andrews (1992), Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis, Journal of Business and Economic Statistics, 10, 251-270. TABLES

1. Regional convergence or divergence in China? Evidence from unit root tests with breaks. (2013). Lin, Pei-Chien ; I-Ling Ho, .
   In: The Annals of Regional Science.
   RePEc:spr:anresc:v:50:y:2013:i:1:p:223-243.

   Full description at Econpapers || Download paper

2. Minimum LM unit root test with one structural break. (2013). Strazicich, Mark ; Lee, Junsoo.
   In: Economics Bulletin.
   RePEc:ebl:ecbull:eb-13-00296.

   Full description at Econpapers || Download paper

3. Determinants of Sovereign Bond Yield Spreads in the EMU. An Optimal Currency Area Perspective. (2013). Melina, Giovanni ; Fragetta, Matteo ; Costantini, Mauro.
   In: Working Papers.
   RePEc:cty:dpaper:13/15.

   Full description at Econpapers || Download paper

4. INTERDEPENDENCE OF INTERNATIONAL FINANCIAL MARKET-- THE CASE OF INDIA AND U.S.. (2013). Tuteja, Divya ; Dua, Pami.
   In: Working papers.
   RePEc:cde:cdewps:223.

   Full description at Econpapers || Download paper

5. Recursive adjustment, unit root tests and structural breaks. (2013). Rodrigues, Paulo ; Paulo M. M. Rodrigues, .
   In: Journal of Time Series Analysis.
   RePEc:bla:jtsera:v:34:y:2013:i:1:p:62-82.

   Full description at Econpapers || Download paper

6. Convergence in income inequality? evidence from panel unit root tests with structural breaks. (2012). Huang, Ho-Chuan ; Lin, Pei-Chien.
   In: Empirical Economics.
   RePEc:spr:empeco:v:43:y:2012:i:1:p:153-174.

   Full description at Econpapers || Download paper

7. Revisiting the palm oil boom in Southeast Asia: The role of fuel versus food demand drivers. (2012). Gruère, Guillaume ; Balagtas, Joseph ; Sanders, Daniel J..
   In: IFPRI discussion papers.
   RePEc:fpr:ifprid:1167.

   Full description at Econpapers || Download paper

8. Real interest rate parity with Flexible Fourier stationary test for Central and Eastern European countries. (2012). Liu, Lin ; Chang, Hsu-Ling ; Su, Chi-Wei.
   In: Economic Modelling.
   RePEc:eee:ecmode:v:29:y:2012:i:6:p:2719-2723.

   Full description at Econpapers || Download paper

9. Are Fluctuations in Energy Consumption Transitory or Permanent? Evidence From a Panel of East Asia & Pacific Countries. (2012). Kum, Hakan.
   In: International Journal of Energy Economics and Policy.
   RePEc:eco:journ2:2012-03-1.

   Full description at Econpapers || Download paper

10. The Global Financial Crisis and Stochastic Convergence in the Euro Area. (2011). Pollard, Stephen ; Miller, Stephen ; Canarella, Giorgio.
    In: International Advances in Economic Research.
    RePEc:kap:iaecre:v:17:y:2011:i:3:p:315-333.

    Full description at Econpapers || Download paper

11. The nature of regional unemployment in Italy. (2010). Lanzafame, Matteo.
    In: Empirical Economics.
    RePEc:spr:empeco:v:39:y:2010:i:3:p:877-895.

    Full description at Econpapers || Download paper

12. The equilibrium real exchange rate of China: a productivity approach. (2010). Kakkar, Vikas ; Yan, Isabel K..
    In: MPRA Paper.
    RePEc:pra:mprapa:35229.

    Full description at Econpapers || Download paper

13. Current account and relative prices: cointegration in the presence of structural breaks in emerging economies. (2010). Uz Akdogan, Idil ; Ketenci, Natalya.
    In: MPRA Paper.
    RePEc:pra:mprapa:27467.

    Full description at Econpapers || Download paper

14. A Dynamic Stochastic Model of Asset Pricing with Heterogeneous Beliefs. (2010). Cerqueti, Roy.
    In: Computational Economics.
    RePEc:kap:compec:v:35:y:2010:i:2:p:165-188.

    Full description at Econpapers || Download paper

15. Are shocks to natural gas consumption temporary or permanent? Evidence from a panel of U.S. states. (2010). Payne, James ; Apergis, Nicholas ; Loomis, David.
    In: Energy Policy.
    RePEc:eee:enepol:v:38:y:2010:i:8:p:4734-4736.

    Full description at Econpapers || Download paper

16. Coal consumption and economic growth: Evidence from a panel of OECD countries. (2010). Payne, James ; Apergis, Nicholas.
    In: Energy Policy.
    RePEc:eee:enepol:v:38:y:2010:i:3:p:1353-1359.

    Full description at Econpapers || Download paper

17. Quantifying U.S. aluminum in-use stocks and their relationship with economic output. (2010). Moore, Michael R. ; Bulkley, Jonathan W. ; Keoleian, Gregory A. ; McMillan, Colin A..
    In: Ecological Economics.
    RePEc:eee:ecolec:v:69:y:2010:i:12:p:2606-2613.

    Full description at Econpapers || Download paper

18. Testing for Unit Roots in Panel Time Series Models with Multiple Breaks. (2009). Westerlund, Joakim.
    In: Working Papers in Economics.
    RePEc:hhs:gunwpe:0384.

    Full description at Econpapers || Download paper

19. Testing for a Unit Root in a Random Coefficient Panel Data Model. (2009). Westerlund, Joakim ; Larsson, Rolf.
    In: Working Papers in Economics.
    RePEc:hhs:gunwpe:0383.

    Full description at Econpapers || Download paper

20. Structural breaks and Purchasing Power Parity in the CEE and Post-War former Yugoslav States. (2008). Tica, Josip ; Sonora, Robert.
    In: EFZG Working Papers Series.
    RePEc:zag:wpaper:0804.

    Full description at Econpapers || Download paper

21. Unit Roots Tests with Smooth Breaks: An Application to the Nelson-Plosser Data Set. (2008). Pascalau, Razvan.
    In: MPRA Paper.
    RePEc:pra:mprapa:7220.

    Full description at Econpapers || Download paper

22. Simple Tests for Cointegration in Dependent Panels with Structural Breaks. (2007). Westerlund, Joakim ; Edgerton, David.
    In: Working Papers.
    RePEc:hhs:lunewp:2006_013.

    Full description at Econpapers || Download paper

23. Euro Area Inflation: Aggregation Bias and Convergence. (2007). Fiess, Norbert ; Byrne, Joseph.
    In: Working Papers.
    RePEc:gla:glaewp:2007_41.

    Full description at Econpapers || Download paper

24. Is the trend in post-WW II US real GDP uncertain or non-linear?. (2007). Vougas, Dimitrios.
    In: Economics Letters.
    RePEc:eee:ecolet:v:94:y:2007:i:3:p:348-355.

    Full description at Econpapers || Download paper

25. Performance of LM-type unit root tests with trend break: A bootstrap approach. (2007). Chou, Win Lin.
    In: Economics Letters.
    RePEc:eee:ecolet:v:94:y:2007:i:1:p:76-82.

    Full description at Econpapers || Download paper

26. Industrial business cycle linkages between Taiwan and the United States: Evidence from the IT industry. (2007). Chou, Win Lin ; Liang, Kuo-Yuan ; Gau, Joshua J. S., .
    In: Journal of Asian Economics.
    RePEc:eee:asieco:v:18:y:2007:i:3:p:439-447.

    Full description at Econpapers || Download paper

27. The Nature of Regional Unemployment in Italy. (2006). Lanzafame, Matteo.
    In: ERSA conference papers.
    RePEc:wiw:wiwrsa:ersa06p155.

    Full description at Econpapers || Download paper

28. The Nature of Regional Unemployment in Italy. (2006). Lanzafame, Matteo.
    In: Studies in Economics.
    RePEc:ukc:ukcedp:0607.

    Full description at Econpapers || Download paper

29. Scale of variance, unit of data and the power of unit root tests under structural changes - a strategy for analysing Nelson-Plosser data. (2006). Hu, Teng-Yuan ; Chang, Meng-Shiuh.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:13:y:2006:i:1:p:51-56.

    Full description at Econpapers || Download paper

30. Breaking trend panel unit root tests. (2006). Tam, Pui Sun.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:341.

    Full description at Econpapers || Download paper

31. Panel Stationarity Test with Structural Breaks. (2006). Hadri, Kaddour ; Rao, Yao.
    In: Research Papers.
    RePEc:liv:livedp:200615.

    Full description at Econpapers || Download paper

32. New Improved Tests for Cointegration with Structural Breaks. (2006). Westerlund, Joakim ; Edgerton, David.
    In: Working Papers.
    RePEc:hhs:lunewp:2006_003.

    Full description at Econpapers || Download paper

33. Non-renewable resource prices: Deterministic or stochastic trends?. (2006). Strazicich, Mark ; List, John ; Lee, Junsoo.
    In: Journal of Environmental Economics and Management.
    RePEc:eee:jeeman:v:51:y:2006:i:3:p:354-370.

    Full description at Econpapers || Download paper

34. Unit root testing. (2005). Hassler, Uwe ; Wolters, Jurgen.
    In: Discussion Papers.
    RePEc:zbw:fubsbe:200523.

    Full description at Econpapers || Download paper

35. Nonrenewable Resource Prices: Deterministic or Stochastic Trends?. (2005). Strazicich, Mark ; List, John ; Lee, Junsoo.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11487.

    Full description at Econpapers || Download paper

36. Panel Cointegration Tests with Deterministic Trends and Structural Breaks. (2005). Westerlund, Joakim ; Edgerton, David.
    In: Working Papers.
    RePEc:hhs:lunewp:2005_042.

    Full description at Econpapers || Download paper

37. Testing for Panel Cointegration with Multiple Structural Breaks. (2005). Westerlund, Joakim.
    In: Working Papers.
    RePEc:hhs:lunewp:2005_012.

    Full description at Econpapers || Download paper

38. Quantifying Structural Change in U.S. Agriculture: The Case of Research and Productivity. (2004). Schimmelpfennig, David ; Oehmke, James.
    In: Journal of Productivity Analysis.
    RePEc:kap:jproda:v:21:y:2004:i:3:p:297-315.

    Full description at Econpapers || Download paper

39. Time series analysis of private healthcare expenditures GDP: cointegration results with structural breaks. (2004). Jain, Nishant ; Bhat, Ramesh.
    In: IIMA Working Papers.
    RePEc:iim:iimawp:wp01822.

    Full description at Econpapers || Download paper

40. LM-Type tests for a Unit Root Allowing for a Break in Trend. (2004). Nunes, Luis.
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:190.

    Full description at Econpapers || Download paper

41. Minimum LM Unit Root Test with One Structural Break. (2004). Strazicich, Mark ; Lee, Junsoo.
    In: Working Papers.
    RePEc:apl:wpaper:04-17.

    Full description at Econpapers || Download paper

42. Stationarity of health expenditures and GDP: evidence from panel unit root tests with heterogeneous structural breaks. (2003). Strazicich, Mark ; Lee, Junsoo ; Jewell, Todd ; Tieslau, Margie.
    In: Journal of Health Economics.
    RePEc:eee:jhecon:v:22:y:2003:i:2:p:313-323.

    Full description at Econpapers || Download paper

43. Breaking the panels. An application to the GDP per capita. (2003). Lopez-Bazo, Enrique ; del Barrio Castro, Tomás ; Carrion-i-Silvestre, Josep.
    In: Working Papers in Economics.
    RePEc:bar:bedcje:200397.

    Full description at Econpapers || Download paper

44. Unit root tests for time series with level shifts: a comparison of different proposals. (2002). Lütkepohl, Helmut ; Lanne, Markku.
    In: Economics Letters.
    RePEc:eee:ecolet:v:75:y:2002:i:1:p:109-114.

    Full description at Econpapers || Download paper

45. On the end-point issue in unit root tests in the presence of a structural break. (2000). Lee, Junsoo.
    In: Economics Letters.
    RePEc:eee:ecolet:v:68:y:2000:i:1:p:7-11.

    Full description at Econpapers || Download paper

46. LM Unit Root Test with Panel Data: A Test Robust To Structural Changes. (2000). Lee, Junsoo ; Im, Kyung So .
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0648.

    Full description at Econpapers || Download paper

47. Testing for unit roots in time series with level shifts. (1999). Saikkonen, Pentti ; Lütkepohl, Helmut ; Lutkepohl, Helmut.
    In: SFB 373 Discussion Papers.
    RePEc:zbw:sfb373:199927.

    Full description at Econpapers || Download paper

48. On stationary tests in the presence of structural breaks. (1997). shin, yongcheol ; Lee, Junsoo ; Huang, Cliff J..
    In: Economics Letters.
    RePEc:eee:ecolet:v:55:y:1997:i:2:p:165-172.

    Full description at Econpapers || Download paper

49. Rank tests for unit roots. (1996). gourieroux, christian ; Breitung, Jörg.
    In: SFB 373 Discussion Papers.
    RePEc:zbw:sfb373:19969.

    Full description at Econpapers || Download paper

50. Testing the null of stationarity in the presence of structural breaks for multiple time series. (1994). Chul, Byung.
    In: Econometrics.
    RePEc:wpa:wuwpem:9411001.

    Full description at Econpapers || Download paper

Report date: 2025-10-03 21:34:00 || Missing content? Let us know