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Mark Salmon

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Matthew Hurd & Mark Salmon & Christoph Schleicher, 2007. "Using copulas to construct bivariate foreign exchange distributions with an application to the sterling exchange rate index," Bank of England working papers 334, Bank of England.

    Cited by:

    1. Fabrizio Durante & Erich Klement & Carlo Sempi & Manuel Úbeda-Flores, 2010. "Measures of non-exchangeability for bivariate random vectors," Statistical Papers, Springer, vol. 51(3), pages 687-699, September.
    2. Zhichao Zhang & Li Ding & Fan Zhang & Zhuang Zhang, 2015. "Optimal Currency Composition for China's Foreign Reserves: A Copula Approach," The World Economy, Wiley Blackwell, vol. 38(12), pages 1947-1965, December.
    3. Constantino, Michel & Candido, Osvaldo & Tabak, Benjamin M. & da Costa, Reginaldo Brito, 2017. "Modeling stochastic frontier based on vine copulas," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 595-609.
    4. Fouad Marri & Khouzeima Moutanabbir, 2021. "Risk aggregation and capital allocation using a new generalized Archimedean copula," Papers 2103.10989, arXiv.org.
    5. Marri, Fouad & Moutanabbir, Khouzeima, 2022. "Risk aggregation and capital allocation using a new generalized Archimedean copula," Insurance: Mathematics and Economics, Elsevier, vol. 102(C), pages 75-90.
    6. Mendoza-Velázquez, Alfonso & Galvanovskis, Evalds, 2009. "Introducing the GED-Copula with an application to Financial Contagion in Latin America," MPRA Paper 46669, University Library of Munich, Germany, revised 01 Feb 2010.
    7. Alvise De Col & Alessandro Gnoatto & Martino Grasselli, 2012. "Smiles all around: FX joint calibration in a multi-Heston model," Papers 1201.1782, arXiv.org, revised Jun 2013.
    8. Tavin, Bertrand, 2015. "Detection of arbitrage in a market with multi-asset derivatives and known risk-neutral marginals," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 158-178.
    9. Mendoza, Alfonso. & Galvanovskis, Evalds., 2014. "La cópula GED bivariada. Una aplicación en entornos de crisis," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(323), pages .721-746, julio-sep.
    10. Fouad Marri & Khouzeima Moutanabbir, 2021. "Risk aggregation and capital allocation using a new generalized Archimedean copula," Working Papers hal-03169291, HAL.
    11. Toan Luu Duc Huynh & Tobias Burggraf, 2020. "If worst comes to worst: Co-movement of global stock markets in the US-China trade war," Economics and Business Letters, Oviedo University Press, vol. 9(1), pages 21-30.
    12. Alessandro Gnoatto & Martino Grasselli, 2013. "An analytic multi-currency model with stochastic volatility and stochastic interest rates," Papers 1302.7246, arXiv.org, revised Mar 2013.

  2. Salmon, Mark & Gemmill, Gordon T & Hwang, Soosung, 2005. "Performance Measurement with Loss Aversion," CEPR Discussion Papers 5173, C.E.P.R. Discussion Papers.

    Cited by:

    1. Zhang, Hanxiong & Auer, Benjamin R. & Vortelinos, Dimitrios I., 2018. "Performance ranking (dis)similarities in commodity markets," Global Finance Journal, Elsevier, vol. 35(C), pages 115-137.

  3. Salmon, Mark & Hwang, Soosung, 2004. "Market Stress and Herding," CEPR Discussion Papers 4340, C.E.P.R. Discussion Papers.

    Cited by:

    1. da Gama Silva, Paulo Vitor Jordão & Klotzle, Marcelo Cabus & Pinto, Antonio Carlos Figueiredo & Gomes, Leonardo Lima, 2019. "Herding behavior and contagion in the cryptocurrency market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 22(C), pages 41-50.
    2. Saadaoui Mallek, Ray & Albaity, Mohamed & Molyneux, Philip, 2022. "Herding behaviour heterogeneity under economic and political risks: Evidence from GCC," Economic Analysis and Policy, Elsevier, vol. 75(C), pages 345-361.
    3. Bouri, Elie & Gupta, Rangan & Roubaud, David, 2019. "Herding behaviour in cryptocurrencies," Finance Research Letters, Elsevier, vol. 29(C), pages 216-221.
    4. Mehdi Darban & Minsun Kim & Ahmet Koksal, 2021. "When the technology abandonment intentions remitted: the case of herd behavior," Information Technology and Management, Springer, vol. 22(3), pages 163-178, September.
    5. Talpsepp, Tõnn & Tänav, Anne-Liis, 2021. "Do gender, age and education affect herding in the real estate market?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 32(C).
    6. Goodfellow, Christiane & Bohl, Martin T. & Gebka, Bartosz, 2009. "Together we invest? Individual and institutional investors' trading behaviour in Poland," International Review of Financial Analysis, Elsevier, vol. 18(4), pages 212-221, September.
    7. Mohamed Es-Sanoun & Jude Gohou & Mounir Benboubker, 2023. "Testing of Herd Behavior In african Stock Markets During COVID-19 Pandemic [Essai de vérification du comportement mimétique dans les marchés boursiers africains au cours de la crise de covid-19]," Post-Print hal-04144289, HAL.
    8. Reveley Callum & Shanaev Savva & Bin Yu & Panta Humnath & Ghimire Binam, 2023. "Analyst herding—whether, why, and when? Two new tests for herding detection in target forecast prices," Economics and Business Review, Sciendo, vol. 9(4), pages 25-55, December.
    9. Emilios C. C Galariotis & Spyros I. Spyrou & Wu Rong, 2015. "Herding on fundamental information: A comparative study," Post-Print hal-01092519, HAL.
    10. Youssef, Mouna & Waked, Sami Sobhi, 2022. "Herding behavior in the cryptocurrency market during COVID-19 pandemic: The role of media coverage," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    11. Bohl, Martin T. & Branger, Nicole & Trede, Mark, 2017. "The case for herding is stronger than you think," Journal of Banking & Finance, Elsevier, vol. 85(C), pages 30-40.
    12. Raphaëlle BELLANDO, 2010. "Measuring herding intensity: a hard task," LEO Working Papers / DR LEO 1202, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    13. Gong, Pu & Dai, Jun, 2017. "Monetary policy, exchange rate fluctuation, and herding behavior in the stock market," Journal of Business Research, Elsevier, vol. 76(C), pages 34-43.
    14. Vassilios Babalos & Mehmet Balcilar & Rangan Gupta & Nikolaos Philippas, 2014. "Revisiting Herding Behavior in REITs: A RegimeSwitching Approach," Working Papers 15-15, Eastern Mediterranean University, Department of Economics.
    15. Jun-Jie Chen & Lei Tan & Bo Zheng, 2015. "Agent-based model with multi-level herding for complex financial systems," Papers 1504.01811, arXiv.org.
    16. Indars, Edgars Rihards & Savin, Aliaksei & Lublóy, Ágnes, 2019. "Herding behaviour in an emerging market: Evidence from the Moscow Exchange," Corvinus Economics Working Papers (CEWP) 2019/01, Corvinus University of Budapest.
    17. Hsieh, Shu-Fan, 2013. "Individual and institutional herding and the impact on stock returns: Evidence from Taiwan stock market," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 175-188.
    18. Hidayati, Lina Nur & Alteza, Muniya & Winarno, Winarno, 2022. "Herding Behavior: intensification and flow in the Indonesian Stock Market," Economic and Regional Studies (Studia Ekonomiczne i Regionalne), John Paul II University of Applied Sciences in Biala Podlaska, vol. 15(3), September.
    19. Jiang, Rui & Wen, Conghua & Zhang, Ruonan & Cui, Yu, 2022. "Investor's herding behavior in Asian equity markets during COVID-19 period," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
    20. Imed Medhioub & Mustapha Chaffai, 2021. "Herding behaviour theory and oil price dispersion: a sectoral analysis of the Gulf Cooperation Council stock market," Journal of Asset Management, Palgrave Macmillan, vol. 22(1), pages 43-50, February.
    21. Elie Bouri & Rangan Gupta & David Roubaud, 2018. "Herding Behaviour in the Cryptocurrency Market," Working Papers 201834, University of Pretoria, Department of Economics.
    22. Calmès, Christian & Théoret, Raymond, 2014. "Bank systemic risk and macroeconomic shocks: Canadian and U.S. evidence," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 388-402.
    23. G. Rubbaniy, 2016. "What Drives Mutual Funds Long-term Herding: Bear or Bull Markets?," Accounting and Finance Research, Sciedu Press, vol. 5(4), pages 214-214, November.
    24. Rahman, M. Arifur & Chowdhury, Shah Saeed Hassan & Shibley Sadique, M., 2015. "Herding where retail investors dominate trading: The case of Saudi Arabia," The Quarterly Review of Economics and Finance, Elsevier, vol. 57(C), pages 46-60.
    25. Radoslav Raykov, 2021. "Systemic Risk and Portfolio Diversification: Evidence from the Futures Market," Staff Working Papers 21-50, Bank of Canada.
    26. Rosy Dhall & Bhanwar Singh, 2020. "The COVID-19 Pandemic and Herding Behaviour: Evidence from India’s Stock Market," Millennial Asia, , vol. 11(3), pages 366-390, December.
    27. Caglayan, Mustafa Onur & Hu, Yu & Xue, Wenjun, 2021. "Mutual fund herding and return comovement in Chinese equities," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    28. Li, Tong & Chen, Hui & Liu, Wei & Yu, Guang & Yu, Yongtian, 2023. "Understanding the role of social media sentiment in identifying irrational herding behavior in the stock market," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 163-179.
    29. Dragomirescu-Gaina, Catalin & Galariotis, Emilios & Philippas, Dionisis, 2021. "Chasing the ‘green bandwagon’ in times of uncertainty," Energy Policy, Elsevier, vol. 151(C).
    30. Litimi, Houda & BenSaïda, Ahmed & Bouraoui, Omar, 2016. "Herding and excessive risk in the American stock market: A sectoral analysis," Research in International Business and Finance, Elsevier, vol. 38(C), pages 6-21.
    31. Tambakis, D.N., 2008. "Feedback Trading and Intermittent Market Turbulence," Cambridge Working Papers in Economics 0847, Faculty of Economics, University of Cambridge.
    32. Mostafa Hussein Abd-Alla, 2020. "Sentimental Herding: The Role Of Covid-19 Crisis In The Egyptian Stock Market," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 9(3), pages 9-23.
    33. Roberto Ivo da Rocha Lima Filho & Armando Freitas Rocha, 2017. "News and markets: The 2008 crisis from a neurofinance perspective—the case of BMFbovespa," Cogent Business & Management, Taylor & Francis Journals, vol. 4(1), pages 1374920-137, January.
    34. Uchida, Hirofumi & Nakagawa, Ryuichi, 2007. "Herd behavior in the Japanese loan market: Evidence from bank panel data," Journal of Financial Intermediation, Elsevier, vol. 16(4), pages 555-583, October.
    35. Bohl, Martin T. & Klein, Arne C. & Siklos, Pierre L., 2014. "Short-selling bans and institutional investors' herding behaviour: Evidence from the global financial crisis," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 262-269.
    36. Jing Long Yu & Tse Mao Lin & Xin Hui Wu, 2021. "Does Brexit Have a Bullish or Bearish Effect on the Taiwan Stock Market?," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 7(3), pages 90-101, 09-2021.
    37. Park, Beum-Jo & Kim, Myung-Joong, 2017. "A Dynamic Measure of Intentional Herd Behavior in Financial Markets," MPRA Paper 82025, University Library of Munich, Germany.
    38. Dina Gabbori & Basel Awartani & Aktham Maghyereh & Nader Virk, 2021. "OPEC meetings, oil market volatility and herding behaviour in the Saudi Arabia stock market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 870-888, January.
    39. Nikolaos Theriou & George Mlekanis & Dimitrios Maditinos, 2011. "Herding the Mutual Fund Managers in the Athens Stock Exchange," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 131-154.
    40. Cajueiro, Daniel O. & Tabak, Benjamin M., 2009. "Multifractality and herding behavior in the Japanese stock market," Chaos, Solitons & Fractals, Elsevier, vol. 40(1), pages 497-504.
    41. Mohamad, Azhar & Stavroyiannis, Stavros, 2022. "Do birds of a feather flock together? Evidence from time-varying herding behaviour of bitcoin and foreign exchange majors during Covid-19," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    42. Jinesh Jain & Nidhi Walia & Simarjeet Singh & Esha Jain, 2022. "Mapping the field of behavioural biases: a literature review using bibliometric analysis," Management Review Quarterly, Springer, vol. 72(3), pages 823-855, September.
    43. Wang, Daxue, 2008. "Herd behavior towards the market index: Evidence from 21 financial markets," IESE Research Papers D/776, IESE Business School.
    44. Wang, Hailong & Hu, Duni, 2021. "Heterogeneous beliefs with herding behaviors and asset pricing in two goods world," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    45. Pegah Dehghani & Ros Zam Zam Sapian, 2014. "Sectoral herding behavior in the aftermarket of Malaysian IPOs," Venture Capital, Taylor & Francis Journals, vol. 16(3), pages 227-246, July.
    46. Yi-Chang Chen & Hung-Che Wu & Yuanyuan Zhang & Shih-Ming Kuo, 2021. "A Transmission of Beta Herding during Subprime Crisis in Taiwan’s Market: DCC-MIDAS Approach," IJFS, MDPI, vol. 9(4), pages 1-16, December.
    47. Gavriilidis, Konstantinos & Kallinterakis, Vasileios & Tsalavoutas, Ioannis, 2016. "Investor mood, herding and the Ramadan effect," Journal of Economic Behavior & Organization, Elsevier, vol. 132(S), pages 23-38.
    48. Mehmet Balcilar & Riza Demirer & Shawkat Hammoudeh & Ahmed Khalifa, 2013. "Do Global Shocks Drive Investor Herds in Oil-Rich Frontier Markets?," Working Papers 819, Economic Research Forum, revised Dec 2013.
    49. SENARATHNE W Chamil & JIANGUO Wei, 2018. "Do Investors Mimic Trading Strategies Of Foreign Investors Or The Market: Implications For Capital Asset Pricing," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 13(3), pages 171-205, December.
    50. Andrey Kudryavtsev, 2021. "Effect of Market-Wide Herding on the Next Day's Stock Return," Bulgarian Economic Papers bep-2021-04, Faculty of Economics and Business Administration, Sofia University St Kliment Ohridski - Bulgaria // Center for Economic Theories and Policies at Sofia University St Kliment Ohridski, revised Mar 2021.
    51. Tsionas, Mike G. & Philippas, Dionisis & Philippas, Nikolaos, 2022. "Multivariate stochastic volatility for herding detection: Evidence from the energy sector," Energy Economics, Elsevier, vol. 109(C).
    52. Batmunkh, Munkh-Ulzii & Choijil, Enkhbayar & Vieito, João Paulo & Espinosa-Méndez, Christian & Wong, Wing-Keung, 2020. "Does herding behavior exist in the Mongolian stock market?," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
    53. Raya Panjaitan & Ika Pratiwi Simbolon, 2020. "Financing and Herd Behaviour in Financial Crises: Investment Decision," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(4), pages 1089-1096.
    54. Christopher Boortz & Simon Jurkatis & Stephanie Kremer & Dieter Nautz, 2013. "Institutional Herding in Financial Markets: New Evidence through the Lens of a Simulated Model," Discussion Papers of DIW Berlin 1336, DIW Berlin, German Institute for Economic Research.
    55. Geoffrey M. Ngene & Daniel P. Sohn & M. Kabir Hassan, 2017. "Time-Varying and Spatial Herding Behavior in the US Housing Market: Evidence from Direct Housing Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 54(4), pages 482-514, May.
    56. Alexakis, Christos & Chantziaras, Antonios & Economou, Fotini & Eleftheriou, Konstantinos & Grose, Christos, 2023. "Animal Behavior in Capital markets: Herding formation dynamics, trading volume, and the role of COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    57. Clements, Adam & Hurn, Stan & Shi, Shuping, 2017. "An empirical investigation of herding in the U.S. stock market," Economic Modelling, Elsevier, vol. 67(C), pages 184-192.
    58. Humayun Kabir, M. & Shakur, Shamim, 2018. "Regime-dependent herding behavior in Asian and Latin American stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 47(C), pages 60-78.
    59. Kremer, Stephanie & Nautz, Dieter, 2013. "Causes and consequences of short-term institutional herding," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1676-1686.
    60. Papapostolou, Nikos C. & Pouliasis, Panos K. & Kyriakou, Ioannis, 2017. "Herd behavior in the drybulk market: an empirical analysis of the decision to invest in new and retire existing fleet capacity," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 104(C), pages 36-51.
    61. Koichiro Kamada & Tetsuo Kurosaki & Ko Miura & Tetsuya Yamada, 2018. "Central Bank Policy Announcements and Changes in Trading Behavior: Evidence from Bond Futures High Frequency Price Data," IMES Discussion Paper Series 18-E-02, Institute for Monetary and Economic Studies, Bank of Japan.
    62. Tihana Škrinjarić, 2018. "Revisiting Herding Investment Behavior on the Zagreb Stock Exchange: A Quantile Regression Approach," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, vol. 3(2), pages 119-162, December.
    63. Celiker, Umut & Chowdhury, Jaideep & Sonaer, Gokhan, 2015. "Do mutual funds herd in industries?," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 1-16.
    64. Martin Waltz & Abhay Kumar Singh & Ostap Okhrin, 2022. "Vulnerability-CoVaR: Investigating the Crypto-market," Papers 2203.10777, arXiv.org.
    65. Lin, Anchor Y. & Lin, Yueh-Neng, 2014. "Herding of institutional investors and margin traders on extreme market movements," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 186-198.
    66. Hidayati Lina Nur & Alteza Muniya & Winarno Winarno, 2022. "Herding Behavior: Intensification and Flow in the Indonesian Stock Market," Economic and Regional Studies / Studia Ekonomiczne i Regionalne, Sciendo, vol. 15(3), pages 351-367, September.
    67. Camara, Omar, 2017. "Industry herd behaviour in financing decision making," Journal of Economics and Business, Elsevier, vol. 94(C), pages 32-42.
    68. BenSaïda, Ahmed, 2017. "Herding effect on idiosyncratic volatility in U.S. industries," Finance Research Letters, Elsevier, vol. 23(C), pages 121-132.
    69. Dieter Nautz, "undated". "Herding in financial markets: Bridging the gap between theory and evidence," BDPEMS Working Papers 2013002, Berlin School of Economics.
    70. Spelta, A. & Flori, A. & Pecora, N. & Pammolli, F., 2021. "Financial crises: Uncovering self-organized patterns and predicting stock markets instability," Journal of Business Research, Elsevier, vol. 129(C), pages 736-756.
    71. Shah, Mohay Ud Din & Shah, Attaullah & Khan, Safi Ullah, 2017. "Herding behavior in the Pakistan stock exchange: Some new insights," Research in International Business and Finance, Elsevier, vol. 42(C), pages 865-873.
    72. Lu, Shuai & Li, Shouwei & Zhou, Wei & Yang, Wenke, 2022. "Network herding of energy funds in the post-Carbon-Peak Policy era: Does it benefit profitability and stability?," Energy Economics, Elsevier, vol. 109(C).
    73. Junkai Wang & Robert Hudson, 2024. "Better ways to test for herding," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 790-818, January.
    74. Puput Tri Komalasari & Marwan Asri & Bernardinus M. Purwanto & Bowo Setiyono, 2022. "Herding behaviour in the capital market: What do we know and what is next?," Management Review Quarterly, Springer, vol. 72(3), pages 745-787, September.
    75. Xiao, Qin & Yan, Meilan & Zhang, Dalu, 2023. "Commodity market financialization, herding and signals: An asymmetric GARCH R-vine copula approach," International Review of Financial Analysis, Elsevier, vol. 89(C).
    76. Ahmad Fawwaz Mohd Nasarudin & Bany Ariffin Amin Noordin & Siong Hook Law & Mohd Hisham Yahya, 2017. "Investigation of Herding Behaviour in Developed and Developing Countries: Does Country Governance Factor Matters?," Capital Markets Review, Malaysian Finance Association, vol. 25(2), pages 1-14.
    77. Chong, Terence Tai-Leung & Liu, Xiaojin & Zhu, Chenqi, 2016. "What Explains Herd Behavior in the Chinese Stock Market?," MPRA Paper 72100, University Library of Munich, Germany.
    78. Chong, Oiping & Bany- Ariffin, A.N. & Matemilola, Bolaji Tunde & McGowan, C.B., 2020. "Can China’s cross-sectional dispersion of stock returns influence the herding behaviour of traders in other local markets and China’s trading partners?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
    79. Ah Mand, Abdollah & Sifat, Imtiaz, 2021. "Static and regime-dependent herding behavior: An emerging market case study," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
    80. Klein, Arne C., 2013. "Time-variations in herding behavior: Evidence from a Markov switching SUR model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 291-304.
    81. Kuppusamy Srinivasan & Parthasarathy Karthikeyan, 2023. "Investigating self-efficacy and behavioural bias on investment decisions," E&M Economics and Management, Technical University of Liberec, Faculty of Economics, vol. 26(4), pages 119-133, December.
    82. Fan Fang & Carmine Ventre & Michail Basios & Leslie Kanthan & David Martinez-Rego & Fan Wu & Lingbo Li, 2022. "Cryptocurrency trading: a comprehensive survey," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-59, December.
    83. Lin, Mei-Chen, 2018. "The impact of aggregate uncertainty on herding in analysts' stock recommendations," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 90-105.
    84. Yarovaya, Larisa & Matkovskyy, Roman & Jalan, Akanksha, 2021. "The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    85. Jun-Jie Chen & Bo Zheng & Lei Tan, 2013. "Agent-Based Model with Asymmetric Trading and Herding for Complex Financial Systems," PLOS ONE, Public Library of Science, vol. 8(11), pages 1-11, November.
    86. Liu, Tengdong & Zheng, Dazhi & Zheng, Suyan & Lu, Yang, 2023. "Herding in Chinese stock markets: Evidence from the dual-investor-group," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
    87. Huang, Teng-Ching & Lin, Bing-Huei & Yang, Tung-Hsiao, 2015. "Herd behavior and idiosyncratic volatility," Journal of Business Research, Elsevier, vol. 68(4), pages 763-770.
    88. Utkarsh Shrivastava & Gyan Prakash & Joydip Dhar & Arti Omar, 2010. "Autoregression and decision making under uncertainty," Modern Applied Science, Canadian Center of Science and Education, vol. 4(8), pages 144-144, August.
    89. Yi-Chang Chen & Hung-Che Wu & Jen-Jsung Huang, 2017. "Herd Behavior and Rational Expectations: A Test of China's Market Using Quantile Regression," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 649-663.
    90. Mehmet Balcilar & Rangan Gupta & Ricardo M. Sousa & Mark E. Wohar, 2020. "Linking U.S. State-Level Housing Market Returns and the Consumption-(Dis)Aggregate Wealth Ratio," Working Papers 202094, University of Pretoria, Department of Economics.
    91. Fei, Tianlun & Liu, Xiaoquan, 2021. "Herding and market volatility," International Review of Financial Analysis, Elsevier, vol. 78(C).
    92. Xie, Tian & Xu, Yi & Zhang, Xinsheng, 2015. "A new method of measuring herding in stock market and its empirical results in Chinese A-share market," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 324-339.
    93. Krokida, Styliani-Iris & Makrychoriti, Panagiota & Spyrou, Spyros, 2020. "Monetary policy and herd behavior: International evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 170(C), pages 386-417.
    94. Fan Fang & Carmine Ventre & Michail Basios & Leslie Kanthan & Lingbo Li & David Martinez-Regoband & Fan Wu, 2020. "Cryptocurrency Trading: A Comprehensive Survey," Papers 2003.11352, arXiv.org, revised Jan 2022.
    95. Hilal Hümeyra Özsu, 2015. "Empirical Analysis of Herd Behavior in Borsa Istanbul," International Journal of Economic Sciences, International Institute of Social and Economic Sciences, vol. 4(4), pages 27-52, December.
    96. Xue, Wenjun & He, Zhongzhi & Hu, Yu, 2023. "The destabilizing effect of mutual fund herding: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 88(C).
    97. Frey, Stefan & Herbst, Patrick & Walter, Andreas, 2014. "Measuring mutual fund herding – A structural approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 219-239.
    98. Ki-Hong Choi & Seong-Min Yoon, 2020. "Investor Sentiment and Herding Behavior in the Korean Stock Market," IJFS, MDPI, vol. 8(2), pages 1-14, June.
    99. Wang, Xinru & Kim, Maria H. & Suardi, Sandy, 2022. "Herding and China's market-wide circuit breaker," Journal of Banking & Finance, Elsevier, vol. 141(C).
    100. Economou, Fotini & Gavriilidis, Konstantinos & Goyal, Abhinav & Kallinterakis, Vasileios, 2015. "Herding dynamics in exchange groups: Evidence from Euronext," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 228-244.
    101. Nath, Harmindar B. & Brooks, Robert D., 2020. "Investor-herding and risk-profiles: A State-Space model-based assessment," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
    102. Vibha Gaba & Ann Terlaak, 2013. "Decomposing Uncertainty and Its Effects on Imitation in Firm Exit Decisions," Organization Science, INFORMS, vol. 24(6), pages 1847-1869, December.
    103. Lee, Kyuseok, 2017. "Herd behavior of the overall market: Evidence based on the cross-sectional comovement of returns," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 266-284.
    104. Mehmet Balcilar & Riza Demirer & Talat Ulussever, 2016. "Does speculation in the oil market drive investor herding in net exporting nations?," Working Papers 15-29, Eastern Mediterranean University, Department of Economics.
    105. Wallace Yu & Yazid M Sharaiha, 2007. "Alpha budgeting — Cross-sectional dispersion decomposed," Journal of Asset Management, Palgrave Macmillan, vol. 8(1), pages 58-72, May.
    106. Vasileios Kallinterakis & Nomana Munir & Mirjana Radovic-Markovic, 2010. "Herd Behaviour, Illiquidity and Extreme Market States," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 9(3), pages 305-324, December.
    107. Philippas, Nikolaos & Economou, Fotini & Babalos, Vassilios & Kostakis, Alexandros, 2013. "Herding behavior in REITs: Novel tests and the role of financial crisis," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 166-174.
    108. Talat Ulussever & Riza Demirer, 2017. "Investor herds and oil prices evidence in the Gulf Cooperation Council (GCC) equity markets," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 17(3), pages 1-77–89.
    109. Paramita Mukherjee & Sweta Tiwari, 2022. "Trading Behaviour of Foreign Institutional Investors: Evidence from Indian Stock Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(4), pages 605-629, December.
    110. Geoffrey M. Ngene & Rangan Gupta, 2021. "Impact of Housing Policy Uncertainty on Herding Behavior: Evidence from UK's Regional Housing Markets," Working Papers 202115, University of Pretoria, Department of Economics.
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  8. Miller, Marcus & Salmon, Mark, 1984. "Dynamic Games and the Time Inconsistency of Optimal Policy in Open Economies," CEPR Discussion Papers 27, C.E.P.R. Discussion Papers.

    Cited by:

    1. Reinhard Neck, 1986. "Kann Stabilisierungspolitik unter Unsicherheit und Risiko "optimal" sein?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 122(III), pages 509-534, September.
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    3. Patrick Artus, 1987. "Fixation de l'objectif monétaire et réputation de la Banque Centrale," Revue Économique, Programme National Persée, vol. 38(4), pages 807-836.
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  9. Salmon, Mark, 1982. "Error Correction Mechanisms," The Warwick Economics Research Paper Series (TWERPS) 199, University of Warwick, Department of Economics.

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    6. Harissis H. & Mesomeris S. & Staikouras S., 2001. "Long-Term Trends and Short-Run Dynamics in International Stock Markets," European Research Studies Journal, European Research Studies Journal, vol. 0(3-4), pages 103-120, July - De.
    7. Wilfried Puwein & Michael Wüger, 1999. "Analyse der Kraftstoffpreise in Österreich," WIFO Monatsberichte (monthly reports), WIFO, vol. 72(11), pages 731-742, November.
    8. David F. Hendry, 2013. "Econometric Modelling: The ‘Consumption Function’ In Retrospect," Scottish Journal of Political Economy, Scottish Economic Society, vol. 60(5), pages 495-522, November.
    9. Egwaikhide Festus 0., 1999. "Determinants of imports in Nigeria: A dynamic specification," Working Papers 91, African Economic Research Consortium, Research Department.
    10. Andrew Hughes Hallett & Laura Piscitelli, 1999. "EMU in Reality: The Effect of a Common Monetary Policy on Economies with Different Transmission Mechanisms," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 26(4), pages 337-358, December.
    11. Blake, Andrew P., 2000. "Optimality and Taylor Rules," National Institute Economic Review, National Institute of Economic and Social Research, vol. 174, pages 80-91, October.
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    13. Burke, A.E. & van Stel, A.J. & Thurik, A.R., 2009. "Blue Ocean versus Competitive Strategy: Theory and Evidence," ERIM Report Series Research in Management ERS-2009-030-ORG, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    14. Michael Wüger, 2000. "Konsumwachstum fiskalisch gestützt. Weihnachtsgeschäft erreicht reales Vorjahresniveau knapp," WIFO Monatsberichte (monthly reports), WIFO, vol. 73(12), pages 727-735, December.
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    21. Siti Saadah & Ruslan Prijadi, 2012. "Capital Structure¡¯s Dynamic Response to Exogenous Variables: A Case of Listed Manufacturing Firms in Indonesia," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 3(2), pages 86-95, April.
    22. Paruolo, Paolo & Rahbek, Anders, 1999. "Weak exogeneity in I(2) VAR systems," Journal of Econometrics, Elsevier, vol. 93(2), pages 281-308, December.
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    24. Shafik, Nemat, 1990. "Modeling investment behavior in developing countries : an application to Egypt," Policy Research Working Paper Series 452, The World Bank.
    25. Joshi, Devin K. & Hughes, Barry B. & Sisk, Timothy D., 2015. "Improving Governance for the Post-2015 Sustainable Development Goals: Scenario Forecasting the Next 50years," World Development, Elsevier, vol. 70(C), pages 286-302.
    26. Michael Wüger, 1998. "Kräftiges Konsumwachstum bei steigender Sparquote. Zuwächse im Weihnachtsgeschäft zu erwarten," WIFO Monatsberichte (monthly reports), WIFO, vol. 71(12), pages 887-895, December.
    27. Michael Wüger, 2002. "Mäßige Konsumsteigerung – Handel hofft auf gutes Weihnachtsgeschäft," WIFO Monatsberichte (monthly reports), WIFO, vol. 75(12), pages 751-762, December.
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    31. Rodolphe Dos Santos Ferreira & Philippe Michel, 2013. "Keynes' Wage–Price Dynamics," Metroeconomica, Wiley Blackwell, vol. 64(1), pages 44-72, February.
    32. Nusrat Akber & Megha Gupta & Kirtti Ranjan Paltasingh, 2020. "The Crowding-in/ out Debate in Investments in India: Fresh Evidence from NARDL Application," South Asian Journal of Macroeconomics and Public Finance, , vol. 9(2), pages 167-189, December.
    33. Ameer, Ayesha & Munir, Kashif, 2016. "Effect of Economic Growth, Trade Openness, Urbanization, and Technology on Environment of Selected Asian Countries," MPRA Paper 74571, University Library of Munich, Germany.
    34. Georges Prat, 1992. "Anticipations, prime de terme et maturité du titre long : que nous enseignent les données séculaires sur la structure des taux d'intérêt ? États-Unis de 1873 à 1975," Revue Économique, Programme National Persée, vol. 43(6), pages 1037-1070.
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    37. Varshavsky, Alexander, 2009. "Questionable Innovations in Data Processing with Incomplete Information about the Analyzed System in Absence of Applications Limitations," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 16(4), pages 116-133.
    38. Azuma, Yoshiaki & Nakao, Takeo, 2009. "Why the saving rate has been falling in Japan," MPRA Paper 62581, University Library of Munich, Germany.
    39. J. Barkley Rosser Jr & Richard P.F. Holt & David Colander, 2010. "European Economics at a Crossroads," Books, Edward Elgar Publishing, number 13585.
    40. In Hwang & Frédéric Reynès & Richard Tol, 2013. "Climate Policy Under Fat-Tailed Risk: An Application of Dice," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 56(3), pages 415-436, November.
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  10. Kiefer, Nicholas M & Salmon, Mark, 1982. "Testing Normality in Econometric Models," The Warwick Economics Research Paper Series (TWERPS) 216, University of Warwick, Department of Economics.

    Cited by:

    1. Bierens, H.J. & Broersma, L., 1991. "The relation between unemployment and interest rate : some international evidence," Serie Research Memoranda 0112, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    2. Aggarwal, Raj & Mougoue, Mbodja, 1996. "Cointegration among Asian currencies: Evidence of the increasing influence of the Japanese yen," Japan and the World Economy, Elsevier, vol. 8(3), pages 291-308, September.
    3. Aggarwal, Raj & Mougoue, Mbodja, 1998. "Common Stochastic Trends among Asian Currencies: Evidence for Japan, ASEANs, and the Asian Tigers," Review of Quantitative Finance and Accounting, Springer, vol. 10(2), pages 193-206, March.
    4. MacKinnon, James G, 1992. "Model Specification Tests and Artificial Regressions," Journal of Economic Literature, American Economic Association, vol. 30(1), pages 102-146, March.
    5. David M. Walsh, 1998. "Evidence of Price Change Volatility Induced by the Number and Proportion of Orders of a Given Size," Australian Journal of Management, Australian School of Business, vol. 23(1), pages 39-55, June.
    6. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "Tests for Random Coefficient Variation in Vector Autoregressive Models," Advances in Econometrics, in: Essays in Honour of Fabio Canova, volume 44, pages 1-35, Emerald Group Publishing Limited.
    7. Bauer, Rob M M J & Nieuwland, Frederick G M C & Verschoor, Willem F C, 1994. "German Stock Market Dynamics," Empirical Economics, Springer, vol. 19(3), pages 397-418.
    8. Yi-Ting Chen, 2008. "A unified approach to standardized-residuals-based correlation tests for GARCH-type models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 111-133.
    9. John Geweke, 1998. "Using simulation methods for Bayesian econometric models: inference, development, and communication," Staff Report 249, Federal Reserve Bank of Minneapolis.
    10. Tsiotas, Georgios, 2012. "On generalised asymmetric stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 151-172, January.
    11. Atanu Saha & Arthur Havenner & Hovav Talpaz, 1997. "Stochastic production function estimation: small sample properties of ML versus FGLS," Applied Economics, Taylor & Francis Journals, vol. 29(4), pages 459-469.
    12. Broersma, L., 1992. "Profits and employment in the United States 1970-1991," Serie Research Memoranda 0039, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    13. Grané, Aurea & Veiga, Helena, 2010. "Outliers in Garch models and the estimation of risk measures," DES - Working Papers. Statistics and Econometrics. WS ws100502, Universidad Carlos III de Madrid. Departamento de Estadística.
    14. Fiorentini, G. & Sentana, E. & Calzolari, G., 2000. "The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality," Papers 0007, Centro de Estudios Monetarios Y Financieros-.
    15. Edgar A. Peden & Mark S. Freeland, 1998. "Insurance effects on US medical spending (1960–1993)," Health Economics, John Wiley & Sons, Ltd., vol. 7(8), pages 671-687, December.
    16. Attila Varga, 1998. "Local academic knowledge spillovers and the concentration of economic activity," ERSA conference papers ersa98p493, European Regional Science Association.
    17. Bierens, H.J. & Broersma, L., 1990. "The relation between unemployment and interest rate : some empirical evidence," Serie Research Memoranda 0078, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    18. Godfrey, Leslie G & Orme, Chris D, 1996. "On the Behavior of Conditional Moment Tests in the Presence of Unconsidered Local Alternatives," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 37(2), pages 263-281, May.
    19. Christian Bontemps & Nour Meddahi, 2002. "Testing Normality: A GMM Approach," CIRANO Working Papers 2002s-63, CIRANO.
    20. Robert C. Jung & Roman Liesenfeld, 1996. "Testing the bivariate mixture hypothesis using German Stock market data," European Financial Management, European Financial Management Association, vol. 2(3), pages 273-297, November.
    21. Grané, Aurea & Veiga, Helena, 2009. "Wavelet-based detection of outliers in volatility models," DES - Working Papers. Statistics and Econometrics. WS ws090403, Universidad Carlos III de Madrid. Departamento de Estadística.
    22. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Multivariate Hermite polynomials and information matrix tests," Econometrics Working Papers Archive 2021_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    23. Grané, Aurea & Veiga, Helena, 2010. "Wavelet-based detection of outliers in financial time series," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2580-2593, November.
    24. Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari, 2003. "On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models," Working Papers wp2003_0306, CEMFI.
    25. O'Brien, Martin, 2004. "Hidden Unemployment and Older Male Workers," Economics Working Papers wp04-02, School of Economics, University of Wollongong, NSW, Australia.
    26. Lahiri, Kajal & Song, Jae G., 1999. "Testing for normality in a probit model with double selection," Economics Letters, Elsevier, vol. 65(1), pages 33-39, October.
    27. Broersma, L., 1991. "The relation between unemployment and interest rate : application of a seasonal Unit Root Test Procedure," Serie Research Memoranda 0068, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    28. Thomas H. McCurdy & Ieuan G. Morgan, 1986. "Tests of the Martingale Hypothesis for Foreign Currency Futures with Time-Varying Volatility," Working Paper 663, Economics Department, Queen's University.
    29. Dimitrios Giannias, 1999. "Market Positioning of Differentiated Products," International Journal of the Economics of Business, Taylor & Francis Journals, vol. 6(1), pages 29-39.
    30. Chen, Yi-Ting, 2012. "A simple approach to standardized-residuals-based higher-moment tests," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 427-453.
    31. Grané, Aurea & Martín-Barragán, Belén & Veiga, Helena, 2014. "Outliers in multivariate Garch models," DES - Working Papers. Statistics and Econometrics. WS ws140503, Universidad Carlos III de Madrid. Departamento de Estadística.
    32. Les Godfrey & Chris Orme, "undated". "The Sensitivity of some General Checks to Omitted Variables in the Linear Model," Discussion Papers 92/3, Department of Economics, University of York.
    33. Aurea Grané & Helena Veiga, 2012. "Asymmetry, realised volatility and stock return risk estimates," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 11(2), pages 147-164, August.
    34. McCurdy, Thomas H & Morgan, Ieuan G, 1988. "Testing the Martingale Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroscedasticity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(3), pages 187-202, July-Sept.
    35. Jung, Robert C. & Liesenfeld, Roman, 1996. "Testing the bivariate mixture hypothesis using German stock market data," Tübinger Diskussionsbeiträge 67, University of Tübingen, School of Business and Economics.
    36. Cable, John & Holland, Kevin, 2000. "Robust vs. OLS estimation of the market model: implications for event studies," Economics Letters, Elsevier, vol. 69(3), pages 385-391, December.
    37. Grané, A. & Veiga, H., 2008. "Accurate minimum capital risk requirements: A comparison of several approaches," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2482-2492, November.
    38. Agnieszka Wyłomańska & D Robert Iskander & Krzysztof Burnecki, 2020. "Omnibus test for normality based on the Edgeworth expansion," PLOS ONE, Public Library of Science, vol. 15(6), pages 1-36, June.

  11. Salmon, Mark & Wallis, Kenneth F, 1980. "Model Validation and Forecast Comparisons : Theoretical and Practical Considerations," The Warwick Economics Research Paper Series (TWERPS) 184, University of Warwick, Department of Economics.

    Cited by:

    1. Gajda, Jan B. & Markowski, Aleksander, 1998. "Model Evaluation Using Stochastic Simulations: The Case of the Econometric Model KOSMOS," Working Papers 61, National Institute of Economic Research.
    2. Jeffrey A. Frankel & Richard Meese, 1987. "Are Exchange Rates Excessively Variable?," NBER Working Papers 2249, National Bureau of Economic Research, Inc.

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  1. Eric Bouye & Mark Salmon, 2009. "Dynamic copula quantile regressions and tail area dynamic dependence in Forex markets," The European Journal of Finance, Taylor & Francis Journals, vol. 15(7-8), pages 721-750.

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    1. Tae-Hwy Lee & Weiping Yang, 2014. "Granger-Causality in Quantiles between Financial Markets: Using Copula Approach," Working Papers 201406, University of California at Riverside, Department of Economics.
    2. Wang, Bo & Xiao, Yang, 2023. "Risk spillovers from China's and the US stock markets during high-volatility periods: Evidence from East Asianstock markets," International Review of Financial Analysis, Elsevier, vol. 86(C).
    3. Beare, Brendan K., 2012. "Archimedean Copulas And Temporal Dependence," Econometric Theory, Cambridge University Press, vol. 28(6), pages 1165-1185, December.
    4. Sun, Xiaolei & Liu, Chang & Wang, Jun & Li, Jianping, 2020. "Assessing the extreme risk spillovers of international commodities on maritime markets: A GARCH-Copula-CoVaR approach," International Review of Financial Analysis, Elsevier, vol. 68(C).
    5. Khalid Almeshal & Nader Naifar, 2016. "A quantile regression approach and nonlinear analysis with Archimedean copulas to explain the movements of residential real estate prices," Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 6(4), pages 374-395.
    6. Kraus, Daniel & Czado, Claudia, 2017. "D-vine copula based quantile regression," Computational Statistics & Data Analysis, Elsevier, vol. 110(C), pages 1-18.
    7. Beare, Brendan K. & Seo, Juwon, 2014. "Time Irreversible Copula-Based Markov Models," Econometric Theory, Cambridge University Press, vol. 30(5), pages 923-960, October.
    8. Sim, Nicholas, 2016. "Modeling the dependence structures of financial assets through the Copula Quantile-on-Quantile approach," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 31-45.
    9. Refk Selmi & Christos Kollias & Stephanos Papadamou & Rangan Gupta, 2017. "A Copula-Based Quantile-on-Quantile Regression Approach to Modeling Dependence Structure between Stock and Bond Returns: Evidence from Historical Data of India, South Africa, UK and US," Working Papers 201747, University of Pretoria, Department of Economics.
    10. Tian, Maoxi & Ji, Hao, 2022. "GARCH copula quantile regression model for risk spillover analysis," Finance Research Letters, Elsevier, vol. 44(C).
    11. Chang, Bo & Joe, Harry, 2019. "Prediction based on conditional distributions of vine copulas," Computational Statistics & Data Analysis, Elsevier, vol. 139(C), pages 45-63.
    12. M. Mesfioui & T. Bouezmarni & M. Belalia, 2023. "Copula-based link functions in binary regression models," Statistical Papers, Springer, vol. 64(2), pages 557-585, April.
    13. Jorge V. Pérez-Rodríguez, 2020. "Another look at the implied and realised volatility relation: a copula-based approach," Risk Management, Palgrave Macmillan, vol. 22(1), pages 38-64, March.
    14. David E. Allen & Abhay K. Singh & Robert J. Powell & Michael McAleer & James Taylor & Lyn Thomas, 2013. "Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression," Tinbergen Institute Discussion Papers 13-020/III, Tinbergen Institute.
    15. Terence D. Agbeyegbe, 2015. "An inverted U‐shaped crude oil price return‐implied volatility relationship," Review of Financial Economics, John Wiley & Sons, vol. 27(1), pages 28-45, November.
    16. Reboredo, Juan C. & Ugolini, Andrea, 2016. "Quantile dependence of oil price movements and stock returns," Energy Economics, Elsevier, vol. 54(C), pages 33-49.
    17. Rémillard, Bruno & Nasri, Bouchra & Bouezmarni, Taoufik, 2017. "On copula-based conditional quantile estimators," Statistics & Probability Letters, Elsevier, vol. 128(C), pages 14-20.
    18. Zhou, Xinmiao & Qian, Huanhuan & Pérez-Rodríguez, Jorge. V. & González López-Valcárcel, Beatriz, 2020. "Risk dependence and cointegration between pharmaceutical stock markets: The case of China and the USA," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    19. Tian, Maoxi & Guo, Fei & Niu, Rong, 2022. "Risk spillover analysis of China’s financial sectors based on a new GARCH copula quantile regression model," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    20. David E Allen & Abhay K Singh & Robert J Powell & Michael McAleer & James Taylor & Lyn Thomas, 2012. "The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions," KIER Working Papers 831, Kyoto University, Institute of Economic Research.
    21. Walid Mensi & Debasish Maitra & Refk Selmi & Xuan Vinh Vo, 2023. "Extreme dependencies and spillovers between gold and stock markets: evidence from MENA countries," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-27, December.
    22. Avdulaj Krenar & Barunik Jozef, 2017. "A semiparametric nonlinear quantile regression model for financial returns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(1), pages 81-97, February.
    23. Sim, Nicholas & Zhou, Hongtao, 2015. "Oil prices, US stock return, and the dependence between their quantiles," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 1-8.
    24. Yanqin Fan & Xiaohong Chen, 2004. "Estimation of Copula-Based Semiparametric Time Series Models," Econometric Society 2004 Far Eastern Meetings 559, Econometric Society.
    25. Giovanni De Luca & Giorgia Rivieccio & Paola Zuccolotto, 2010. "Combining random forest and copula functions: A heuristic approach for selecting assets from a financial crisis perspective," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 17(2), pages 91-109, April.
    26. Bernard, Carole & Czado, Claudia, 2015. "Conditional quantiles and tail dependence," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 104-126.
    27. Limin Wu, 2020. "Tuning the Bivariate Meta-Gaussian Distribution Conditionally in Quantifying Precipitation Prediction Uncertainty," Forecasting, MDPI, vol. 2(1), pages 1-19, January.
    28. Patton, Andrew J., 2012. "A review of copula models for economic time series," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 4-18.
    29. Shanglei Chai, 2015. "Dependence Structure and Hedging of U.S. Spot and Futures Markets in Financial Crisis," Accounting and Finance Research, Sciedu Press, vol. 4(3), pages 1-77, August.
    30. Wattanawongwan, Suttisak & Mues, Christophe & Okhrati, Ramin & Choudhry, Taufiq & So, Mee Chi, 2023. "Modelling credit card exposure at default using vine copula quantile regression," European Journal of Operational Research, Elsevier, vol. 311(1), pages 387-399.
    31. CORONEO, Laura & VEREDAS, David, 2006. "Intradaily seasonality of returns distribution. A quantile regression approach and intradaily VaR estimation," LIDAM Discussion Papers CORE 2006077, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    32. Xiaohong Chen & Wei Biao Wu & Yanping Yi, 2009. "Efficient Estimation of Copula-based Semiparametric Markov Models," Cowles Foundation Discussion Papers 1691, Cowles Foundation for Research in Economics, Yale University, revised Mar 2009.
    33. Harvey,Andrew C., 2013. "Dynamic Models for Volatility and Heavy Tails," Cambridge Books, Cambridge University Press, number 9781107630024, October.
    34. Xianling Ren & Xinping Yu, 2024. "Hedging performance analysis of energy markets: Evidence from copula quantile regression," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(3), pages 432-450, March.
    35. Huo, Lijuan & Kim, Tae-Hwan & Kim, Yunmi, 2012. "Robust estimation of covariance and its application to portfolio optimization," Finance Research Letters, Elsevier, vol. 9(3), pages 121-134.
    36. Arunanondchai, Panit & Sukcharoen, Kunlapath & Leatham, David J., 2020. "Dealing with tail risk in energy commodity markets: Futures contracts versus exchange-traded funds," Journal of Commodity Markets, Elsevier, vol. 20(C).
    37. Elie, Bouri & Naji, Jalkh & Dutta, Anupam & Uddin, Gazi Salah, 2019. "Gold and crude oil as safe-haven assets for clean energy stock indices: Blended copulas approach," Energy, Elsevier, vol. 178(C), pages 544-553.
    38. Fabrizio Cipollini & Giampiero Gallo & Andrea Ugolini, 2016. "Median Response to Shocks: A Model for VaR Spillovers in East Asia," Econometrics Working Papers Archive 2016_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    39. Tian, Maoxi & Alshater, Muneer M. & Yoon, Seong-Min, 2022. "Dynamic risk spillovers from oil to stock markets: Fresh evidence from GARCH copula quantile regression-based CoVaR model," Energy Economics, Elsevier, vol. 115(C).
    40. Li, Danyang & Zhang, Zhekai & Cerrato, Mario, 2023. "Factor investing and currency portfolio management," International Review of Financial Analysis, Elsevier, vol. 87(C).
    41. Benlagha, Noureddine, 2020. "Stock market dependence in crisis periods: Evidence from oil price shocks and the Qatar blockade," Research in International Business and Finance, Elsevier, vol. 54(C).
    42. Al-Yahyaee, Khamis Hamed & Mensi, Walid & Maitra, Debasish & Al-Jarrah, Idries Mohammad Wanas, 2019. "Portfolio management and dependencies among precious metal markets: Evidence from a Copula quantile-on-quantile approach," Resources Policy, Elsevier, vol. 64(C).
    43. Harry Joe, 2018. "Dependence Properties of Conditional Distributions of some Copula Models," Methodology and Computing in Applied Probability, Springer, vol. 20(3), pages 975-1001, September.
    44. Komunjer, Ivana, 2013. "Quantile Prediction," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 961-994, Elsevier.
    45. Sukcharoen, Kunlapath & Leatham, David J., 2017. "Hedging downside risk of oil refineries: A vine copula approach," Energy Economics, Elsevier, vol. 66(C), pages 493-507.

  2. Kozhan, Roman & Salmon, Mark, 2009. "Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1106-1122, May.

    Cited by:

    1. Johanna Etner & Meglena Jeleva & Jean-Marc Tallon, 2009. "Decision theory under uncertainty," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00429573, HAL.
    2. Li, Xiao-Ping & Zhou, Chun-Yang & Tong, Bin, 2019. "Carry trades, agent heterogeneity and the exchange rate," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 343-358.
    3. Joëts, Marc, 2015. "Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics," European Journal of Operational Research, Elsevier, vol. 247(1), pages 204-215.
    4. A. Zapata & A. M. Mármol & L. Monroy & M. A. Caraballo, 2019. "A Maxmin Approach for the Equilibria of Vector-Valued Games," Group Decision and Negotiation, Springer, vol. 28(2), pages 415-432, April.
    5. Li, XiaoPing & Tong, Bin & Zhou, ChunYang, 2020. "Uncertainty aversion, carry trades and agent heterogeneity in the FX market," Finance Research Letters, Elsevier, vol. 36(C).
    6. Taylor, Mark & Xu, Qi & Kozhan, Roman, 2020. "Prospect Theory and Currency Returns: Empirical Evidence," CEPR Discussion Papers 15306, C.E.P.R. Discussion Papers.
    7. Amparo M. Mármol & Luisa Monroy & M. Ángeles Caraballo & Asunción Zapata, 2017. "Equilibria with vector-valued utilities and preference information. The analysis of a mixed duopoly," Theory and Decision, Springer, vol. 83(3), pages 365-383, October.
    8. Gradojevic, Nikola & Gençay, Ramazan, 2013. "Fuzzy logic, trading uncertainty and technical trading," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 578-586.
    9. Marco Rojas & Damián Vergara, 2021. "Ambiguity and long-run cooperation in strategic games," Oxford Economic Papers, Oxford University Press, vol. 73(3), pages 1077-1098.
    10. Lin Liu, 2022. "Economic Uncertainty and Exchange Market Pressure: Evidence From China," SAGE Open, , vol. 12(1), pages 21582440211, January.
    11. He, Kaijian & Wang, Lijun & Zou, Yingchao & Lai, Kin Keung, 2014. "Value at risk estimation with entropy-based wavelet analysis in exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 408(C), pages 62-71.

  3. Hwang, Soosung & Salmon, Mark, 2004. "Market stress and herding," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 585-616, September.
    See citations under working paper version above.
  4. Marcellino, Massimiliano & Salmon, Mark, 2002. "Robust Decision Theory And The Lucas Critique," Macroeconomic Dynamics, Cambridge University Press, vol. 6(1), pages 167-185, February.

    Cited by:

    1. Pataracchia, B., 2011. "Ambiguity and Volatility : Asset Pricing Implications," Discussion Paper 2011-042, Tilburg University, Center for Economic Research.
    2. Ekaterina Pirozhkova, 2017. "Financial frictions and robust monetary policy in the models of New Keynesian framework," BCAM Working Papers 1701, Birkbeck Centre for Applied Macroeconomics.
    3. William A. Brock & Steven N. Durlauf, 2004. "Elements of a Theory of Design Limits to Optimal Policy," Manchester School, University of Manchester, vol. 72(s1), pages 1-18, September.
    4. Rodríguez Arnulfo & González Fidel & González García Jesús R., 2007. "Uncertainty about the Persistence of Cost-Push Shocks and the Optimal Reaction of the Monetary Authority," Working Papers 2007-05, Banco de México.
    5. Brock,W.A. & Durlauf,S.N., 2004. "Macroeconomics and model uncertainty," Working papers 20, Wisconsin Madison - Social Systems.
    6. Brock,W.A. & Durlauf,S.N. & West,K.D., 2004. "Model uncertainty and policy evaluation : some theory and empirics," Working papers 19, Wisconsin Madison - Social Systems.
    7. Katherine Moos, 2016. "The Transvaluation of the Theory of Economic Policy: The Lucas Critique Reconsidered," Working Papers 1603, New School for Social Research, Department of Economics.
    8. Brock,W.A. & Durlauf,S.N., 2004. "Local robustness analysis : theory and application," Working papers 22, Wisconsin Madison - Social Systems.
    9. Gonzalez F. & Rodriguez A. & Gonzalez-Garcia J.R., 2005. "Uncertainty about the Persistence of Periods with Large Price Shocks and the Optimal Reaction of the Monetary Authority," Computing in Economics and Finance 2005 402, Society for Computational Economics.
    10. Kenneth Kasa, 1999. "Model uncertainty, robust policies, and the value of commitment," Working Paper Series 99-14, Federal Reserve Bank of San Francisco.
    11. Gerlach-Kristen, Petra, 2006. "Internal and external shocks in Hong Kong: Empirical evidence and policy options," Economic Modelling, Elsevier, vol. 23(1), pages 56-75, January.

  5. Haldrup, Niels & Salmon, Mark, 1998. "Representations of I(2) cointegrated systems using the Smith-McMillan form," Journal of Econometrics, Elsevier, vol. 84(2), pages 303-325, June.

    Cited by:

    1. Dolado, Juan José & Mármol, Francesc, 1998. "FM-OLS estimation of cointegrating relationships among nonstationary fractionally integrated processes," DES - Working Papers. Statistics and Econometrics. WS 4672, Universidad Carlos III de Madrid. Departamento de Estadística.
    2. Arbués, Ignacio & Ledo, Ramiro & Matilla-García, Mariano, 2016. "Automatic identification of general vector error correction models," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 10, pages 1-41.
    3. Wagner, Martin, 1999. "VAR Cointegration in VARMA Models," Economics Series 65, Institute for Advanced Studies.
    4. Massimo Franchi & Paolo Paruolo, 2011. "Normal forms of regular matrix polynomials via local rank factorization," DSS Empirical Economics and Econometrics Working Papers Series 2011/1, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
    5. Fragiskos Archontakis, 1998. "An alternative proof of Granger’s Representation Theorem forI(1) systems through Jordan matrices," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 7(2), pages 111-127, August.
    6. Mario Faliva & Maria Grazia Zoia, 2021. "Cointegrated Solutions of Unit-Root VARs: An Extended Representation Theorem," Papers 2102.10626, arXiv.org.
    7. Dietmar Bauer & Martin Wagner, 2003. "On Polynomial Cointegration in the State Space Framework," Diskussionsschriften dp0313, Universitaet Bern, Departement Volkswirtschaft.

  6. Critchley, Frank & Marriott, Paul & Salmon, Mark, 1996. "On the Differential Geometry of the Wald Test with Nonlinear Restrictions," Econometrica, Econometric Society, vol. 64(5), pages 1213-1222, September.

    Cited by:

    1. Victor Chernozhukov & Emre Kocatulum & Konrad Menzel, 2012. "Inference on Sets in Finance," Papers 1211.4282, arXiv.org.
    2. K Abadir & W Distaso, "undated". "Testing joint hypotheses when one of the alternatives is one-sided," Discussion Papers 05/13, Department of Economics, University of York.
    3. Jean-Marie Dufour & Alain Trognon & Purevdorj Tuvaandorj, 2015. "Invariant tests based on M-estimators, estimating functions, and the generalized method of moments," CIRANO Working Papers 2015s-27, CIRANO.
    4. Albers, C.J. & Critchley, F. & Gower, J.C., 2011. "Applications of quadratic minimisation problems in statistics," Journal of Multivariate Analysis, Elsevier, vol. 102(3), pages 714-722, March.
    5. Dastoor, Naorayex, 2009. "The perceived framework of a classical statistic: Is the non-invariance of a Wald statistic much ado about null thing?," Working Papers 2009-25, University of Alberta, Department of Economics.
    6. Charles G. Renfro, 2009. "The Practice of Econometric Theory," Advanced Studies in Theoretical and Applied Econometrics, Springer, number 978-3-540-75571-5, July-Dece.
    7. Yoshihiko Nishiyama & Peter Robinson, 2004. "The bootstrap and the Edgeworth correction for semiparametric averaged derivatives," CeMMAP working papers 12/04, Institute for Fiscal Studies.
    8. Wang, Chunlin & Marriott, Paul & Li, Pengfei, 2018. "Semiparametric inference on the means of multiple nonnegative distributions with excess zero observations," Journal of Multivariate Analysis, Elsevier, vol. 166(C), pages 182-197.
    9. Naorayex K Dastoor, 2008. "A simple explanation for the non-invariance of a Wald statistic to a reformulation of a null hypothesis," Economics Bulletin, AccessEcon, vol. 3(62), pages 1-10.

  7. Basar, Tamer & Salmon, Mark, 1990. "Credibility and the value of information transmission in a model of monetary policy and inflation," Journal of Economic Dynamics and Control, Elsevier, vol. 14(1), pages 97-116, February. See citations under working paper version above.
  8. Miller, Marcus & Salmon, Mark, 1990. "When does coordination pay?," Journal of Economic Dynamics and Control, Elsevier, vol. 14(3-4), pages 553-569, October.
    See citations under working paper version above.
  9. Salmon, Mark, 1988. "Error correction models, cointegration and the internal model principle," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 523-549.

    Cited by:

    1. Qin, Duo, 1998. "Disequilibrium institutional factors in aggregate money demand: evidence from three economies," Journal of Development Economics, Elsevier, vol. 57(2), pages 457-471.
    2. Haldrup, Niels & Salmon, Mark, 1998. "Representations of I(2) cointegrated systems using the Smith-McMillan form," Journal of Econometrics, Elsevier, vol. 84(2), pages 303-325, June.
    3. jose ramos pires manso, 2004. "Economical Versus Political Cycles In An Iberian Manufacturing Sector," Industrial Organization 0404003, University Library of Munich, Germany.
    4. Koen Pauwels & Dominique M. Hanssens, 2007. "Performance Regimes and Marketing Policy Shifts," Marketing Science, INFORMS, vol. 26(3), pages 293-311, 05-06.

  10. Fisher, Paul & Salmon, Mark, 1986. "On Evaluating the Importance of Nonlinearity in Large Macroeconometric Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 27(3), pages 625-646, October.
    See citations under working paper version above.
  11. Miller, Marcus & Salmon, Mark, 1985. "Dynamic Games and the Time Inconsistency of Optimal Policy in Open Economies," Economic Journal, Royal Economic Society, vol. 95(380a), pages 124-137, Supplemen.
    See citations under working paper version above.
  12. Kiefer, Nicholas M. & Salmon, Mark, 1983. "Testing normality in econometric models," Economics Letters, Elsevier, vol. 11(1-2), pages 123-127.
    See citations under working paper version above.
  13. Salmon, Mark H, 1982. "Error Correction Mechanisms," Economic Journal, Royal Economic Society, vol. 92(367), pages 615-629, September.
    See citations under working paper version above.

Chapters

  1. Marcus Miller & Mark Salmon, 1985. "Policy Coordination and Dynamic Games," NBER Chapters, in: International Economic Policy Coordination, pages 184-227, National Bureau of Economic Research, Inc.

    Cited by:

    1. Mina Baliamoune, 2000. "Economics of Summitry: An Empirical Assessment of the Economic Effects of Summits," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 27(3), pages 295-319, September.
    2. Van Der Ploeg, F., 1989. "Monetary Disinflation, Fiscal Expansion And The Current Account In An Interdependent World," Papers 8918, Tilburg - Center for Economic Research.
    3. Ott, Ingrid & Soretz, Susanne, 2020. "Institutional design and spatial (in)equality: The Janus face of economic integration," Kiel Working Papers 2163, Kiel Institute for the World Economy (IfW Kiel).
    4. Reinhard Neck & Dmitri Blueschke, 2014. "“Haircuts” for the EMU periphery: virtue or vice?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 41(2), pages 153-175, May.
    5. Stephen J. Turnovsky, 2011. "Stabilization Theory and Policy: 50 Years after the Phillips Curve," Economica, London School of Economics and Political Science, vol. 78(309), pages 67-88, January.
    6. Hansen, Lars Peter & Sargent, Thomas J., 2003. "Robust control of forward-looking models," Journal of Monetary Economics, Elsevier, vol. 50(3), pages 581-604, April.
    7. Henrik Jensen, 1993. "International monetary policy cooperation in economies with centralized wage setting," Open Economies Review, Springer, vol. 4(3), pages 269-285, September.
    8. Alan Sutherland, 2002. "International monetary policy coordination and financial market integration," International Finance Discussion Papers 751, Board of Governors of the Federal Reserve System (U.S.).
    9. Stephen J. Turnovsky, 1985. "Monetary and Fiscal Policy Under Perfect Foresight: A Symmetric Two Country Analysis," NBER Working Papers 1699, National Bureau of Economic Research, Inc.
    10. Cohen, Daniel & Wyplosz, Charles, 1990. "Price and Trade Effects of Exchange Rate Fluctuations and the Design of Policy Coordinaton," CEPR Discussion Papers 440, C.E.P.R. Discussion Papers.
    11. Patrick Artus, 1992. "Passage à l'union économique et monétaire en Europe : effets sur la croissance et les politiques budgétaires," Économie et Prévision, Programme National Persée, vol. 106(5), pages 123-137.
    12. Rui Henrique Alves & Óscar Afonso, 2006. "The “New” Stability and Growth Pact: More Flexible, Less Stupid?," FEP Working Papers 218, Universidade do Porto, Faculdade de Economia do Porto.
    13. van der Ploeg, F., 1988. "Monetary and fiscal policy in interdependent economies with capital accumulation, death and population growth," Other publications TiSEM 0f2e8d07-235f-4801-8a3b-5, Tilburg University, School of Economics and Management.
    14. Obstfeld, Maurice, 1991. "Dynamic Seigniorage Theory: An Exploration," CEPR Discussion Papers 519, C.E.P.R. Discussion Papers.
    15. van der Ploeg, F., 1989. "Capital accumulation, inflation and long-run conflict in international objectives," Other publications TiSEM 9070d8b2-ce02-48e1-880d-4, Tilburg University, School of Economics and Management.
    16. van der Ploeg, Frederick, 1991. "Channels of International Policy Transmission," CEPR Discussion Papers 491, C.E.P.R. Discussion Papers.
    17. Yeh, Kuo-chun, 2012. "Renminbi in the future international monetary system," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 106-114.
    18. van der Ploeg, F., 1990. "Macroeconomic policy coordination during the various phases of economic and monetary integration in Europe," Other publications TiSEM 11b9434e-5399-4b27-81ed-e, Tilburg University, School of Economics and Management.
    19. Stephen J. Turnovsky & Tamer Basar & Vasco d'Orey, 1987. "Dynamic Strategic Monetary Policies and Coordination in Interdependent Economies," NBER Working Papers 2467, National Bureau of Economic Research, Inc.
    20. Jensen, Henrik, 1996. "The advantage of international fiscal cooperation under alternative monetary regimes," European Journal of Political Economy, Elsevier, vol. 12(3), pages 485-504, November.
    21. F. Van der Ploeg, 1992. "Coordinación de políticas macroeconómicas en las diferentes etapas de la integración económica y monetaria en Europa," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, vol. 24(03), pages 240-286.
    22. D. Blueschke & R. Neck & A. Wittmann, 2020. "How relieving is public debt relief? Monetary and fiscal policies in a monetary union during a debt crisis," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 28(2), pages 539-559, June.
    23. van der Ploeg, Frederick, 1987. "International Interdependence and Policy Coordination in Economies with Real and Nominal Wage Rigidity," CEPR Discussion Papers 217, C.E.P.R. Discussion Papers.
    24. Masanao Aoki, 1992. "Interactions of Real GNP Business Cycles in a Three Country Time Series Model," UCLA Economics Working Papers 675, UCLA Department of Economics.
    25. Andrew Brociner, 1993. "L'Union monétaire européenne : une revue de la littérature théorique," Revue de l'OFCE, Programme National Persée, vol. 43(1), pages 349-363.
    26. Stephen J. Turnovsky, 1987. "The Gains from Fiscal Cooperation in the Two Commodity Real Trade Model," NBER Working Papers 2466, National Bureau of Economic Research, Inc.
    27. Genser, Bernd, 1988. "Is there a need to coordinate fiscal policy among large industrial countries?," Discussion Papers, Series II 73, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
    28. Lockwood, Ben, 1996. "Uniqueness of Markov-perfect equilibrium in infinite-time affine-quadratic differential games," Journal of Economic Dynamics and Control, Elsevier, vol. 20(5), pages 751-765, May.
    29. Rui Henrique Alves & Oscar Afonso, 2008. "Evaluating the reform of the stability and growth pact: new and better?," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, vol. 67(01), pages 392-409.
    30. Peter Mooslechner & Martin Schuerz, 1999. "International Macroeconomic Policy Coordination: Any Lessons for EMU? A Selective Survey of the Literature," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 26(3), pages 171-199, September.
    31. Reinhard Neck & Doris Behrens, 2009. "A Macroeconomic Policy Game for a Monetary Union with Adaptive Expectations," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 37(4), pages 335-349, December.
    32. van der Ploeg, F., 1991. "Money and capital in interdependent economies with overlapping generations," Other publications TiSEM 46f03cc8-b46a-47b4-8656-5, Tilburg University, School of Economics and Management.

Books

  1. Marriott,Paul & Salmon,Mark (ed.), 2000. "Applications of Differential Geometry to Econometrics," Cambridge Books, Cambridge University Press, number 9780521651165, October.

    Cited by:

    1. Michael Jansson, 2008. "Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 76(5), pages 1103-1142, September.
    2. Yuichi Kitamura, 2006. "Empirical Likelihood Methods in Econometrics: Theory and Practice," CIRJE F-Series CIRJE-F-430, CIRJE, Faculty of Economics, University of Tokyo.
    3. Andrea Loi & Stefano Matta & Daria Uccheddu, 2023. "Uniqueness of equilibrium and redistributive policies: a geometric approach to efficiency," Papers 2308.03706, arXiv.org.
    4. Parente, Paulo M.D.C. & Smith, Richard J., 2011. "Gel Methods For Nonsmooth Moment Indicators," Econometric Theory, Cambridge University Press, vol. 27(1), pages 74-113, February.
    5. Jean-Marie Dufour & Alain Trognon & Purevdorj Tuvaandorj, 2015. "Invariant tests based on M-estimators, estimating functions, and the generalized method of moments," CIRANO Working Papers 2015s-27, CIRANO.
    6. Guggenberger, Patrik & Smith, Richard J., 2008. "Generalized empirical likelihood tests in time series models with potential identification failure," Journal of Econometrics, Elsevier, vol. 142(1), pages 134-161, January.
    7. Alain Guay & Jean-Francois Lamarche, 2005. "The Information Content of Implied Probabilities to Detect Structural Change," Working Papers 0804, Brock University, Department of Economics, revised Oct 2008.
    8. Jansson, Michael, 2004. "Stationarity Testing With Covariates," Econometric Theory, Cambridge University Press, vol. 20(1), pages 56-94, February.
    9. Imbens, Guido W. & Spady, Richard, 2002. "Confidence intervals in generalized method of moments models," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 87-98, March.
    10. Richard Smith, 2004. "GEL Criteria for Moment Condition Models," CeMMAP working papers CWP19/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    11. James Morley & Irina B. Panovska & Tara M. Sinclair, 2014. "Testing Stationarity for Unobserved Components Models," Discussion Papers 2012-41B, School of Economics, The University of New South Wales.
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    18. Patrik Guggenberger, 2005. "Generalized Empirical Likelihood Tests in Time Series Models With Potential Identification Failure (joint with R.J.Smith), accepted for publication, Journal of Econometrics," UCLA Economics Online Papers 357, UCLA Department of Economics.
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    20. Alain Guay & Florian Pelgrin, 2007. "Using Implied Probabilities to Improve Estimation with Unconditional Moment Restrictions," Cahiers de recherche 0747, CIRPEE.

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