1. Politics and equity markets: Evidence from Canada. (2022). Ngo, Thanh ; Killins, Robert N ; Wang, Hongxia.
   In: Journal of Multinational Financial Management.
   RePEc:eee:mulfin:v:63:y:2022:i:c:s1042444x21000499.

   Full description at Econpapers || Download paper

2. The Halloween indicator, “Sell in May and Go Away”: Everywhere and all the time. (2021). Zhang, Cherry Y ; Jacobsen, Ben.
   In: Journal of International Money and Finance.
   RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302242.

   Full description at Econpapers || Download paper

3. Return dispersion and conditional momentum returns: International evidence. (2018). Docherty, Paul ; Hurst, Gareth.
   In: Pacific-Basin Finance Journal.
   RePEc:eee:pacfin:v:50:y:2018:i:c:p:263-278.

   Full description at Econpapers || Download paper

4. Dividend persistence and dividend behaviour. (2018). Smith, Tom ; Chan, Kam Fong ; Powell, John G ; Shi, Jing.
   In: Accounting and Finance.
   RePEc:bla:acctfi:v:58:y:2018:i:1:p:127-147.

   Full description at Econpapers || Download paper

5. Should stock market return forecasts be conditioned on politics?. (2015). .
   In: Australian Journal of Management.
   RePEc:sae:ausman:v:40:y:2015:i:4:p:672-700.

   Full description at Econpapers || Download paper

6. Military regimes and stock market performance. (2015). wongchoti, udomsak ; Civilize, Sireethorn ; Young, Martin.
   In: Emerging Markets Review.
   RePEc:eee:ememar:v:22:y:2015:i:c:p:76-95.

   Full description at Econpapers || Download paper

7. Recession fears as self-fulfilling prophecies? Influence on stock returns and output. (2012). .
   In: Australian Journal of Management.
   RePEc:sae:ausman:v:37:y:2012:i:2:p:231-260.

   Full description at Econpapers || Download paper

8. Risk and the January effect. (2010). Tong, Wilson H. S., ; Sun, Qian.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:34:y:2010:i:5:p:965-974.

   Full description at Econpapers || Download paper

9. Election outcomes and financial market returns in Canada. (2009). Chretien, Stephane ; Coggins, Frank.
   In: The North American Journal of Economics and Finance.
   RePEc:eee:ecofin:v:20:y:2009:i:1:p:1-23.

   Full description at Econpapers || Download paper

1. Andrews, D.W.K. Heteroskedasticity and autocorrelation consistent covariance matrix estimation. 1991 Econometrica. 59 817-858

2. Basintha, A. ; Kurov, A. Macoeconomic cycles and the stock market’s reaction to monetary policy. 2008 Journal of Banking and Finance. 32 2606-2616
   Paper not yet in RePEc: Add citation now
   

3. Bouman, S. ; Jacobsen, B. The Halloween indicator, “sell in May and go away”: Another puzzle. 2002 American Economic Review. 92 1618-1635

4. Browning, E.S., 2005. For Wall Street, cruelest month is September. Wall Street Journal Online, August 15.
   Paper not yet in RePEc: Add citation now
   

5. Candelon, B. ; Piplack, J. ; Straetmans, S. On measuring synchronization of bulls and bears: The case of East Asia. 2008 Journal of Banking and Finance. 32 1022-1035

6. Chen, S. Predicting the bear market: Macroeconomic variables as leading indicators. 2009 Journal of Banking and Finance. 33 211-223

7. Chordia, T. ; Shivakumar, L. Momentum, business cycle, and time-varying expected returns. 2002 Journal of Finance. 57 985-1019

8. Cooper, M.J. ; Gutierrez, R.C. ; Hameed, A. Market states and momentum. 2004 Journal of Finance. 59 1345-1365

9. Deng, A., 2005. Understanding Spurious Regression in Financial Economics. Working Paper, Boston University.

10. Enders, W. Applied Econometric Time-series. 1995 Wiley: New York
    Paper not yet in RePEc: Add citation now
    

11. Ferson, W.E. ; Sarkissian, S. ; Simin, T.T. Spurious regressions in financial economics?. 2003 Journal of Finance. 58 1393-1413

12. Foster, F.D. ; Smith, T. ; Whaley, R.E. Assessing the goodness-of-fit of asset pricing models: The distribution of the maximal R-squared. 1997 Journal of Finance. 52 591-607

13. Granger, C.W.J. ; Hyung, N. ; Jeon, Y. Spurious regressions with stationary series. 2001 Applied Economics. 33 899-904

14. Granger, C.W.J. ; Newbold, P. Spurious regressions in economics. 1974 Journal of Econometrics. 4 111-120

15. Greene, W.H. Econometric Analysis. 2003 Prentice Hall: New Jersey
    Paper not yet in RePEc: Add citation now
    
16. Hamilton, J.D. Time-series Analysis. 1994 Princeton University Press: Princeton
    Paper not yet in RePEc: Add citation now
    

17. Harding, D., Pagan, A., 2006. The Econometric Analysis of Constructed Binary Time-series. Working Paper, Australian National University.

18. Jacobsen, B. ; Marquering, W. Is it the weather?. 2008 Journal of Banking and Finance. 32 526-540

19. Jensen, G.R. ; Mercer, J.M. ; Johnson, R.R. Business conditions, monetary policy, and expected security returns. 1996 Journal of Financial Economics. 40 213-237

20. Kanas, A. On real interest rate dynamics and regime switching. 2008 Journal of Banking and Finance. 32 2089-2098

21. Kiefer, N.M. ; Vogelsang, T.J. A new asymptotic theory for heteroskedasticity–autocorrelation robust tests. 2005 Econometric Theory. 21 1130-1164

22. Leblang, D. ; Mukherjee, B. Government partisanship, elections, and the stock market: Examining American and British stock returns, 1930–2000. 2005 American Journal of Political Science. 49 780-802

23. Lo, A.W. ; MacKinlay, C.A. An econometric analysis of infrequent trading. 1990 Journal of Econometrics. 45 181-211

24. Lo, A.W. ; MacKinlay, C.A. Data snooping in tests of financial asset pricing models. 1990 Review of Financial Studies. 1 41-66

25. Nabeya, S. ; Perron, P. Local asymptotic distribution related to the AR(1) model with dependent errors. 1994 Journal of Econometrics. 62 229-264

26. Newey, W.K. ; West, K.D. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. 1987 Econometrica. 55 7003-7708

27. Pesaran, M.H., Timmerman, A.G., 2006. Testing Dependence Using Serially Correlated Multi-category Variables. Working Paper, University of Cambridge.
    Paper not yet in RePEc: Add citation now
    
28. Powell, J.G. ; Shi, J. ; Smith, T. ; Whaley, R.E. The persistent presidential dummy. 2007 Journal of Portfolio Management. 33 133-143
    Paper not yet in RePEc: Add citation now
    
29. Resnick, B.G. ; Shoesmith, G.L. Using the yield curve to time the stock market. 2002 Financial Analysts Journal. 58 82-90
    Paper not yet in RePEc: Add citation now
    

30. Richardson, M. ; Stock, J.H. Drawing inferences from statistics based on multiyear asset returns. 1989 Journal of Financial Economics. 25 323-348

31. Roll, R. Orange juice and weather. 1984 American Economic Review. 74 861-880

32. Santa-Clara, P. ; Valkanov, R. The presidential puzzle: Political cycles and the stock market. 2003 Journal of Finance. 58 1841-1872

33. Stoll, H.R. ; Whaley, R.E. The dynamics of stock index and stock index futures returns. 1990 Journal of Financial and Quantitative Analysis. 25 441-468

34. Sullivan, R. ; Timmermann, A. ; White, H. Dangers of data-mining: The case of calendar effects in stock returns. 2001 Journal of Econometrics. 249-286

35. Sullivan, R. ; Timmermann, A. ; White, H. Data-snooping, technical trading rule performance, and the bootstrap. 1999 Journal of Finance. 1647-1691

36. Yan, X., 2005. Are Momentum Profits Due to Common Factors or Idiosyncratic Returns? Evidence from the Volatility of Momentum Returns. Working Paper, University of Missouri-Columbia.
    Paper not yet in RePEc: Add citation now
    
37. Yule, G.U. Why do we sometimes get nonsense correlations between time-series? A study in sampling and the nature of time-series. 1926 Journal of the Royal Statistical Society. 89 1-64
    Paper not yet in RePEc: Add citation now
    

1. The impact of oil shocks on the Spanish economy. (2011). Montañés, Antonio ; Gómez-Loscos, Ana ; Gadea, María ; Montas, Antonio ; Gmez-Loscos, Ana .
   In: Energy Economics.
   RePEc:eee:eneeco:v:33:y:2011:i:6:p:1070-1081.

   Full description at Econpapers || Download paper

2. Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development. (2005). Dacorogna, Michel ; Di Matteo, T. ; Aste, T..
   In: Econometrics.
   RePEc:wpa:wuwpem:0503004.

   Full description at Econpapers || Download paper

3. A Non-local Perspective on the Power Properties of the CUSUM and CUSUM of Squares Tests for Structural Change. (2005). Perron, Pierre ; Deng, Ai.
   In: Boston University - Department of Economics - Working Papers Series.
   RePEc:bos:wpaper:wp2005-047.

   Full description at Econpapers || Download paper

4. Tests of Conditional Predictive Ability. (2003). Giacomini, Raffaella.
   In: Econometrics.
   RePEc:wpa:wuwpem:0308001.

   Full description at Econpapers || Download paper

5. Fixed-B Asymptotics in Single Equation Cointegration Models with Endogenous Regressors. (2003). Bunzel, Helle.
   In: Staff General Research Papers Archive.
   RePEc:isu:genres:10685.

   Full description at Econpapers || Download paper

6. Short Run and Long Run Causality in Time Series: Inference. (2003). Renault, Eric ; Pelletier, Denis ; Dufour, Jean-Marie.
   In: CIRANO Working Papers.
   RePEc:cir:cirwor:2003s-61.

   Full description at Econpapers || Download paper

7. Tests of conditional predictive ability. (2003). Giacomini, Raffaella.
   In: Boston College Working Papers in Economics.
   RePEc:boc:bocoec:572.

   Full description at Econpapers || Download paper

8. Improved nonparametric confidence intervals in time series regressions. (2002). Wolf, Michael ; Romano, Joseph P..
   In: Economics Working Papers.
   RePEc:upf:upfgen:635.

   Full description at Econpapers || Download paper

9. Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?. (2002). Garcia Pascual, Antonio ; Cheung, Yin-Wong ; Chinn, Menzie.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:9393.

   Full description at Econpapers || Download paper

10. Testing for a Unit Root in Panels with Dynamic Factors. (2002). Perron, Benoit ; Moon, Hyungsik.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2002-18.

    Full description at Econpapers || Download paper

11. Efficient Regression in Time Series Partial Linear Models. (2002). Xiao, Zhijie ; Phillips, Peter ; Guo, Binbin.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1363.

    Full description at Econpapers || Download paper

12. Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence. (2002). Sul, Donggyu ; Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1362.

    Full description at Econpapers || Download paper

13. Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models. (2002). Goncalves, Silvia.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-41.

    Full description at Econpapers || Download paper

14. The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond. (2001). Valente, Giorgio ; Taylor, Mark ; Sarno, Lucio ; Clarida, Richard.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8601.

    Full description at Econpapers || Download paper

15. Will the valuation ratios revert to their historical means? Some evidence from breakpoint tests. (2001). Wohar, Mark ; Carlson, John ; Pelz, Eduard A..
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:0113.

    Full description at Econpapers || Download paper

16. Improved nonparametric confidence intervals in time series regressions. (2001). Wolf, Michael ; Romano, Joseph P..
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws010201.

    Full description at Econpapers || Download paper

17. A Dynamic Analysis of the Market for Wide-Bodied Commercial Aircraft. (2000). Benkard, Lanier C..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7710.

    Full description at Econpapers || Download paper

18. The Pseudo-True Score Encompassing Test for Non-Nested Hypothesis. (2000). Kuan, Chung-Ming ; Chen, Yi-Ting.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1723.

    Full description at Econpapers || Download paper

19. One-Sided Testing for ARCH Effect Using Wavelets. (2000). Lee, Jin.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1214.

    Full description at Econpapers || Download paper

20. Wavelet-based Estimation for Heteroskedasticity and Autocorrelation Consistent Variance-Covariance Matrices. (2000). Hong, Yongmiao ; Lee, Jin.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1211.

    Full description at Econpapers || Download paper

21. Long Memory or Structural Change: Testing Method and Empirical Examination. (2000). Hsu, Chih-Chiang.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0867.

    Full description at Econpapers || Download paper

22. Corruption and Resource Allocation Under Chinas Dual Track System. (2000). Li, Wei.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0179.

    Full description at Econpapers || Download paper

23. Agency Costs, Credit Constraints and Corporate Investment. (1999). Hansen, Sten .
    In: Working Paper Series.
    RePEc:hhs:rbnkwp:0079.

    Full description at Econpapers || Download paper

24. On the finite-sample accuracy of nonparametric resampling algorithms for economic time series. (1999). Kilian, Lutz ; Berkowitz, Jeremy ; Birgean, Ionel.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:1999-04.

    Full description at Econpapers || Download paper

25. Emerging Markets and Trading Costs. (1999). Ghysels, Eric ; Cherkaoui, Mouna .
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:99s-04.

    Full description at Econpapers || Download paper

26. Cyclicality and Durability: Evidence from U.S. Consumers Expediture.. (1999). Cook, Steven.
    In: Journal of Applied Economics.
    RePEc:cem:jaecon:v:2:y:1999:n:2:p:299-310.

    Full description at Econpapers || Download paper

27. Regression-Based Tests of Predictive Ability. (1998). West, Kenneth ; McCracken, Michael.
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0226.

    Full description at Econpapers || Download paper

28. The Uncertain Trend in U.S. GDP. (1998). Nelson, Charles ; Murray, Chris.
    In: Discussion Papers in Economics at the University of Washington.
    RePEc:fth:washer:0074.

    Full description at Econpapers || Download paper

29. Long-Run PPP May Not Hold After All. (1998). Engel, Charles.
    In: Discussion Papers in Economics at the University of Washington.
    RePEc:fth:washer:0050.

    Full description at Econpapers || Download paper

30. Consistent covariance matrix estimation in probit models with autocorrelated errors. (1998). Rodrigues, Anthony ; Estrella, Arturo.
    In: Staff Reports.
    RePEc:fip:fednsr:39.

    Full description at Econpapers || Download paper

31. A multivariate cointegration analysis of the role of energy in the U.S. macroeconomy.. (1998). Stern, David.
    In: Working Papers in Ecological Economics.
    RePEc:anu:wpieep:9803.

    Full description at Econpapers || Download paper

32. The Uncertain Trend in U.S. GDP. (1997). Nelson, Charles ; Murray, Christian.
    In: Computational Economics.
    RePEc:wpa:wuwpco:9702001.

    Full description at Econpapers || Download paper

33. Bootstrap Testing for Fractional Integration. (1997). Gredenhoff, Mikael P. ; Andersson, Michael K..
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0188.

    Full description at Econpapers || Download paper

34. The determinants of UK business cycles. (1997). Scott, Andrew ; Holland, Allison .
    In: Bank of England working papers.
    RePEc:boe:boeewp:58.

    Full description at Econpapers || Download paper

35. Time series properties of global climate variables: detection and attribution of climate change. (1997). Stern, David ; Kaufmann, Robert.
    In: Working Papers in Ecological Economics.
    RePEc:anu:wpieep:9702.

    Full description at Econpapers || Download paper

36. The Power of Single Equation Tests for Cointegration when the Cointegrating Vector is Prespecified.. (1996). Zivot, Eric.
    In: Econometrics.
    RePEc:wpa:wuwpem:9612001.

    Full description at Econpapers || Download paper

37. Bootstrap Methods in Econometrics: Theory and Numerical Performance. (1996). Horowitz, Joel.
    In: Econometrics.
    RePEc:wpa:wuwpem:9602009.

    Full description at Econpapers || Download paper

38. Shortages, interest rates, and money demand in Poland, 1969-1995,. (1996). Sterken, Elmer ; Nijsse, Erwin.
    In: Working Papers.
    RePEc:wop:ccsowp:0025.

    Full description at Econpapers || Download paper

39. Long-Run PPP May Not Hold After All. (1996). Engel, Charles.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5646.

    Full description at Econpapers || Download paper

40. Recent developments in bootstrapping time series. (1996). Kilian, Lutz ; Berkowitz, Jeremy.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:96-45.

    Full description at Econpapers || Download paper

41. Unit Root Tests and the Burden of Proof. (1995). van Norden, Simon ; Amano, Robert.
    In: Econometrics.
    RePEc:wpa:wuwpem:9502005.

    Full description at Econpapers || Download paper

42. Likelihood analysis of non-Gaussian parameter driven models. (1995). Shephard, Neil ; Pitt, Michael K.
    In: Economics Papers.
    RePEc:nuf:econwp:0015.

    Full description at Econpapers || Download paper

43. Sampling Errors and Confidence Intervals for Order Statistics: Implementing the Family Support Act. (1995). Schmidt, Peter ; Horrace, William ; Witte, Ann Dryden .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5387.

    Full description at Econpapers || Download paper

44. An Analysis of the Real Interest Rate Under Regime Shifts. (1995). Perron, Pierre ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:95s-05.

    Full description at Econpapers || Download paper

45. ASYMPTOTIC INFERENCE ABOUT PREDICTIVE ABILITY. (1994). West, Kenneth.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:9410002.

    Full description at Econpapers || Download paper

46. A Comparison of Alternative Instrumental Variables Estimators of Dynamic Linear Model. (1994). Wilcox, David ; West, Kenneth.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:9410001.

    Full description at Econpapers || Download paper

47. A Further Analysis of Exchange Rate Targeting in Canada. (1994). Wirjanto, Tony ; Amano, Robert.
    In: Econometrics.
    RePEc:wpa:wuwpem:9406001.

    Full description at Econpapers || Download paper

48. A Further Analysis of Exchange Rate Targeting in Canada. (1994). Wirjanto, Tony ; Amano, Robert.
    In: Staff Working Papers.
    RePEc:bca:bocawp:94-2.

    Full description at Econpapers || Download paper

49. Soft Landing of a Stock Market Bubble, An Experimental Study. (). Fischbacher, Urs ; Hens, Thorsten.
    In: IEW - Working Papers.
    RePEc:zur:iewwpx:090.

    Full description at Econpapers || Download paper

50. Specification Tests in the Efficient Method of Moments Framework with Application to the Stochastic Volatility Models. (). Zhang, Harold ; Liu, Ming.
    In: Computing in Economics and Finance 1997.
    RePEc:sce:scecf7:93.

    Full description at Econpapers || Download paper

Report date: 2025-09-13 01:33:56 || Missing content? Let us know