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Citations of
Gary Stephen Shea

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

| Working papers | Articles | Access and download statistics

Working papers

  1. Gary S. Shea, 2005. " Understanding financial derivatives during the South Sea Bubble: the case of the South Sea subscription shares," CDMA Working Paper Series 0512, Centre for Dynamic Macroeconomic Analysis. [Downloadable!]

    Cited by:

    1. Gary S. Shea, 2007. " Arbitrage and Simple Financial Market Efficiency during the South Sea Bubble: A Comparative Study of the Royal African and South Sea Companies Subscription Share Issues," CDMA Working Paper Series 0716, Centre for Dynamic Macroeconomic Analysis. [Downloadable!]

  2. Gary S. Shea, 2005. " Financial Market Analysis Can Go Mad (in the search for irrational behaviour during the South Sea Bubble)," CDMA Working Paper Series 0508, Centre for Dynamic Macroeconomic Analysis. [Downloadable!]

    Cited by:

    1. Gary S. Shea, 2007. " Arbitrage and Simple Financial Market Efficiency during the South Sea Bubble: A Comparative Study of the Royal African and South Sea Companies Subscription Share Issues," CDMA Working Paper Series 0716, Centre for Dynamic Macroeconomic Analysis. [Downloadable!]
    2. Gary S. Shea, 2006. " Sir George Caswall vs. the Duke of Portland: Financial Contracts and Litigation in the wake of the South Sea Bubble," CDMA Working Paper Series 0605, Centre for Dynamic Macroeconomic Analysis. [Downloadable!]

  3. Gary S. Shea, 2004. "Rational Pricing of Options during the South Sea Bubble: Valuing the 22 August 1720 Options," CRIEFF Discussion Papers 0410, Centre for Research into Industry, Enterprise, Finance and the Firm. [Downloadable!]

    Cited by:

    1. Gary S. Shea, 2004. "South Sea Company Subscription Shares and Warrant Values in 1720," CRIEFF Discussion Papers 0411, Centre for Research into Industry, Enterprise, Finance and the Firm. [Downloadable!]

Articles

  1. Shea, Gary S, 1992. "Benchmarking the Expectations Hypothesis of the Interest-Rate Term Structure: An Analysis of Cointegration Vectors," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 347-66, July.

    Cited by:

    1. Jondeau, E. & Ricart, R., 1996. "The Expectation Theory: Tests on French, German, and American Euro-Rates," Documents de Travail 35, Banque de France. [Downloadable!]
    2. Peter Lildholdt & Nikolaos Panigirtzoglou & Chris Peacock, . "An affine macro-factor model of the UK yield curve," Bank of England working papers 322, Bank of England. [Downloadable!]
    3. PeterTillmann, 2004. "Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates," Computing in Economics and Finance 2004 53, Society for Computational Economics. [Downloadable!]
    4. Eli M. Remolona & Joseph Dziwura & Irene Pedraza, 1995. "The short end of the forward convergence curve and asymmetric cat's tail convergence," Research Paper 9523, Federal Reserve Bank of New York. [Downloadable!]
    5. Francis X. Diebold & Canlin Li, 2004. "Forecasting the Term Structure of Government Bond Yields," CFS Working Paper Series 2004/09, Center for Financial Studies. [Downloadable!]
      Other versions:
    6. Avouyi-Dovi, S. & Jondeau, E., 1999. "Modelling the French Swap Spread," Documents de Travail 65, Banque de France. [Downloadable!]
    7. Giese, Julia V., 2008. "Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model," Economics Discussion Papers 2008-13, Kiel Institute for the World Economy. [Downloadable!]
      Other versions:
    8. Clive Bowsher & Roland Meeks, 2008. "The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve," OFRC Working Papers Series 2008fe24, Oxford Financial Research Centre. [Downloadable!]
      Other versions:
    9. Erdenebat Bataa & Dong H. Kim & Denise R. Osborn, 2006. "A Further Examination of the Expectations Hypothesis for the Term Structure," The School of Economics Discussion Paper Series 0611, Economics, The University of Manchester. [Downloadable!]
      Other versions:
    10. Fabrizio Casalin, 2007. "Single Equation Models, Co-Integration and the Expectations Hypothesis of the Term Structure of Interest Rates," Working Papers 110, University of Milano-Bicocca, Department of Economics, revised 2007. [Downloadable!]
    11. Peter Tillmann, 2003. "Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates," Bonn Econ Discussion Papers bgse27_2003, University of Bonn, Germany. [Downloadable!]
      Other versions:
    12. Markku Lanne, 2000. "Near unit roots, cointegration, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 513-529. [Downloadable!]
    13. Sharon Kozicki & P.A. Tinsley, 1996. "Moving endpoints and the internal consistency of agents' ex ante forecasts," Finance and Economics Discussion Series 96-47, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    14. Jondeau, E. & Ricart, R., 1999. "The Information Content of the French and German Government Bond Tield Curves: Why Such Differences?," Documents de Travail 61, Banque de France. [Downloadable!]
    15. Avouyi-Dovi, S. & Jondeau, E., 1999. "Interest Rate Transmission and Volatility Transmission along the Yield Curve," Documents de Travail 57, Banque de France. [Downloadable!]
    16. Paul A. Johnson, 1997. "Estimation of the specification error in the expectations theory of the term structure," Applied Economics, Taylor and Francis Journals, vol. 29(9), pages 1239-1247, September. [Downloadable!] (restricted)
      Other versions:
    17. Sharon Kozicki & Peter A. Tinsley, . "Moving Endpoints in Macrofinance," Computing in Economics and Finance 1996 _058, Society for Computational Economics. [Downloadable!]
    18. Massimo Guidolin & Allan Timmerman, 2007. "Forecasts of U.S. short-term interest rates: a flexible forecast combination approach," Working Papers 2005-059, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    19. Anonymous, 1993. "Expectations and the term structure of interest rates," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 56, December. [Downloadable!]
    20. Joseph R. Dziwura & Eric M. Green, 1996. "Interest rate expectations and the shape of the yield curve," Research Paper 9631, Federal Reserve Bank of New York. [Downloadable!]
    21. Clive G. Bowsher & Roland Meeks, 2006. "The Impossibility of Stationary Yield Spreads and I(1) Yields under the Expectations Theory of the Term Structure," Economics Papers 2006-W05, Economics Group, Nuffield College, University of Oxford.
    22. Chikashi Tsuji, 2005. "Are investors rational in international bond markets?," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(3), pages 169-175, May. [Downloadable!] (restricted)
    23. Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," CFS Working Paper Series 2004/11, Center for Financial Studies. [Downloadable!]
      Other versions:
    24. Olan T. Henry & Sandy Suardi, 2004. "Testing for a Level Effect in Short-Term Interest Rates," Department of Economics - Working Papers Series 924, The University of Melbourne. [Downloadable!]

  2. Shea, Gary S, 1991. "Uncertainty and Implied Variance Bounds in Long-Memory Models of the Interest Rate Term Structure," Empirical Economics, Springer, vol. 16(3), pages 287-312.

    Cited by:

    1. Esben Hoeg & Per Frederiksen, 2006. "The Fractional OU Process: Term Structure Theory and Application," Computing in Economics and Finance 2006 194, Society for Computational Economics. [Downloadable!]
    2. Høg, Espen P. & Frederiksen, Per H., 2006. "The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application," Finance Research Group Working Papers F-2006-01, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
    3. John T. Barkoulas & Christopher F. Baum & Atreya Chakraborty, 1997. "Waves and Persistence in Merger and Acquisition Activity," Boston College Working Papers in Economics 396, Boston College Department of Economics, revised 14 Dec 1999. [Downloadable!]
      Other versions:
    4. John Barkoulas & Christopher F. Baum & Mustafa Caglayan, 1998. "Fractional Monetary Dynamics," Boston College Working Papers in Economics 321., Boston College Department of Economics. [Downloadable!]
      Other versions:
    5. Sandrine Lardic & Valerie Mignon, 2004. "The exact maximum likelihood estimation of ARFIMA processes and model selection criteria: A Monte Carlo study," Economics Bulletin, Economics Bulletin, vol. 3(21), pages 1-16. [Downloadable!]
      Other versions:
    6. L.A. Gil-Alana & G.M. caporale, 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Econometric Society 2004 Latin American Meetings 344, Econometric Society. [Downloadable!]
      Other versions:
    7. Jin-Chuan Duan & Kris Jacobs, 2001. "Short and Long Memory in Equilibrium Interest Rate Dynamics," CIRANO Working Papers 2001s-22, CIRANO. [Downloadable!]
    8. Ooms, Marius, 1995. "Flexible seasonal long memory and economic time series," Econometric Institute Report 134, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    9. Nakamura, Richard, 2004. "To Merge And Acquire When The Times Are Good? The Influence Of Macro Factors On The Japanese M&A Pattern," EIJS Working Paper Series 197, The European Institute of Japanese Studies. [Downloadable!]
    10. Melvin J. Hinich & Terence T.L. Chong, 2007. "A Class Test for Fractional Integration," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(2). [Downloadable!]
    11. David K. Backus & Stanley E. Zin, 1993. "Long-memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates," NBER Technical Working Papers 0133, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    12. Wei Liu & Alex S. Maynard, 2007. "A New Application of Exact Nonparametric Methods to Long-Horizon Predictability Tests," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(1). [Downloadable!]
    13. Nakamura, H. Richard, 2002. "Mapping Out the Japanese Mergers & Acquisitions Patterns - The Influence of Macro Factors on M & As," EIJS Working Paper Series 164, The European Institute of Japanese Studies. [Downloadable!]
    14. G. Pfann & P. Schotman & R. Tschernig, . "Nonlinear Interest Rate Dynamics and Implications for the Term Structure," Sonderforschungsbereich 373 1994-43, Humboldt Universitaet Berlin.
      Other versions:
    15. Town, R.J., . "Merger," Instructional Stata datasets for econometrics merger, Boston College Department of Economics. [Downloadable!]
    16. Sandrine Lardic & Valérie Mignon, 1999. "Prévision ARFIMA des taux de change : les modélisateurs doivent-ils encore exhorter à la naïveté des prévisions ?," Annales d'Economie et de Statistique, ADRES, issue 54, pages 03, Avril-Jui. [Downloadable!]
    17. Michael Dueker & Richard Startz, 1997. "Maximum-likelihood estimation of fractional cointegration with application to the short end of the yield curve," Working Papers 1994-027, Federal Reserve Bank of St. Louis. [Downloadable!]

  3. Shea, Gary S, 1985. " Interest Rate Term Structure Estimation with Exponential Splines: A Note," Journal of Finance, American Finance Association, vol. 40(1), pages 319-25, March. [Downloadable!] (restricted)

    Cited by:

    1. David Jamieson Bolder & Scott Gusba, 2002. "Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada," Working Papers 02-29, Bank of Canada. [Downloadable!]
    2. Magdalena Massot Perelló & Juan M. Nave Pineda, 2003. "La hipótesis de las expectativas en el largo plazo: evidencia en el mercado español de deuda pública," Investigaciones Economicas, Fundación SEPI, vol. 27(3), pages 533-564, September. [Downloadable!]
    3. Stephen G. Cecchetti, 1989. "The Case of the Negative Nominal Interest Rates: New Estimates of the Term Structure of Interest Rates During the Great Depression," NBER Working Papers 2472, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:

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This page was last updated on 2009-12-10.

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