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David NETO

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First Name:David
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Last Name:Neto
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RePEc Short-ID:pne324
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Affiliation

United Nations Conference on Trade and Development (UNCTAD)
United Nations

Genève, Switzerland
http://www.unctad.org/
RePEc:edi:unctach (more details at EDIRC)

Research output

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Jump to: Articles

Articles

  1. Neto, David, 2016. "Extracting volatility signal using maximum a posteriori estimation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 788-794.
  2. David Neto, 2015. "Testing for and dating structural break in smooth time-varying cointegration parameters, with an application to retail gasoline price and crude oil price long-run relationship," Empirical Economics, Springer, vol. 49(3), pages 909-928, November.
  3. Neto, David, 2015. "Revisiting the Fisher parity consistency for the Swiss economy around the modification of the National Bank׳s monetary policy strategy," International Economics, Elsevier, vol. 144(C), pages 83-94.
  4. Neto, David, 2014. "The FMLS-based CUSUM statistic for testing the null of smooth time-varying cointegration in the presence of a structural break," Economics Letters, Elsevier, vol. 125(2), pages 208-211.
  5. Alex Diamantopoulos & A. Finckh & T. Huizinga & D. Sungher & L. Sawyer & D. Neto & F. Dejonckheere, 2014. "Tocilizumab in the Treatment of Rheumatoid Arthritis: A Cost-Effectiveness Analysis in the UK," PharmacoEconomics, Springer, vol. 32(8), pages 775-787, August.
  6. David Neto & Sylvain Sardy, 2012. "Moments structure of ℓ 1 -stochastic volatility models," Quality & Quantity: International Journal of Methodology, Springer, vol. 46(6), pages 1947-1952, October.
  7. Jaya Krishnakumar & David Neto, 2012. "Testing Uncovered Interest Rate Parity and Term Structure Using a Three‐regime Threshold Unit Root VECM: An Application to the Swiss ‘Isle’ of Interest Rates," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(2), pages 180-202, April.
  8. Neto, David, 2012. "Testing and estimating time-varying elasticities of Swiss gasoline demand," Energy Economics, Elsevier, vol. 34(6), pages 1755-1762.
  9. Jaya Krishnakumar & David Neto, 2011. "Testing the ‘Inaction Corridor’ in a Three‐Regime Threshold Error Correction Model with an Application to a Buffer‐Stock Model for US Money Demand," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 40(1-2), pages 29-43, February.
  10. David Neto, 2006. "Dépendance non-monotone : Une application à la relation rendement-volume," Annals of Economics and Statistics, GENES, issue 82, pages 187-216.
  11. Avouyi-Dovi, S. & Neto, D., 2004. "Equity market interdependence: the relationship between European and US stock markets," Financial Stability Review, Banque de France, issue 4, pages 108-126, June.

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.

Articles

  1. Neto, David, 2014. "The FMLS-based CUSUM statistic for testing the null of smooth time-varying cointegration in the presence of a structural break," Economics Letters, Elsevier, vol. 125(2), pages 208-211.

    Cited by:

    1. Martin Falk & Xiang Lin, 2018. "Income elasticity of overnight stays over seven decades," Tourism Economics, , vol. 24(8), pages 1015-1028, December.

  2. Alex Diamantopoulos & A. Finckh & T. Huizinga & D. Sungher & L. Sawyer & D. Neto & F. Dejonckheere, 2014. "Tocilizumab in the Treatment of Rheumatoid Arthritis: A Cost-Effectiveness Analysis in the UK," PharmacoEconomics, Springer, vol. 32(8), pages 775-787, August.

    Cited by:

    1. Salah Ghabri & Laurent Lam & François Bocquet & Hans-Martin Spath, 2020. "Systematic Literature Review of Economic Evaluations of Biological Treatment Sequences for Patients with Moderate to Severe Rheumatoid Arthritis Previously Treated with Disease-Modifying Anti-rheumati," PharmacoEconomics, Springer, vol. 38(5), pages 459-471, May.
    2. Devin Incerti & Jeffrey R. Curtis & Jason Shafrin & Darius N. Lakdawalla & Jeroen P. Jansen, 2019. "A Flexible Open-Source Decision Model for Value Assessment of Biologic Treatment for Rheumatoid Arthritis," PharmacoEconomics, Springer, vol. 37(6), pages 829-843, June.

  3. Jaya Krishnakumar & David Neto, 2012. "Testing Uncovered Interest Rate Parity and Term Structure Using a Three‐regime Threshold Unit Root VECM: An Application to the Swiss ‘Isle’ of Interest Rates," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(2), pages 180-202, April.

    Cited by:

    1. Costantini, Mauro & Crespo Cuaresma, Jesus & Hlouskova, Jaroslava, 2014. "Can Macroeconomists Get Rich Forecasting Exchange Rates?," Department of Economics Working Paper Series 176, WU Vienna University of Economics and Business.
    2. Peter Sephton & Janelle Mann, 2013. "Threshold Cointegration: Model Selection with an Application," Journal of Economics and Econometrics, Economics and Econometrics Society, vol. 56(2), pages 54-77.
    3. Feld, Lars P. & Köhler, Ekkehard A., 2015. "Is Switzerland an interest rate island after all? Time series and non-linear switching regime evidence," Freiburg Discussion Papers on Constitutional Economics 15/08, Walter Eucken Institut e.V..
    4. Kirstin Hubrich & Timo Teräsvirta, 2013. "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers 2013-18, Department of Economics and Business Economics, Aarhus University.
    5. Neto, David, 2021. "Adaptive LASSO for selecting Fourier coefficients in a functional smooth time-varying cointegrating regression: An application to the Feldstein–Horioka puzzle," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 179(C), pages 253-264.
    6. Georgoutsos, Dimitris A. & Kouretas, Georgios P., 2016. "Interest parity, cointegration, and the term structure: Testing in an integrated framework," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 281-294.
    7. David Neto, 2015. "Testing for and dating structural break in smooth time-varying cointegration parameters, with an application to retail gasoline price and crude oil price long-run relationship," Empirical Economics, Springer, vol. 49(3), pages 909-928, November.

  4. Neto, David, 2012. "Testing and estimating time-varying elasticities of Swiss gasoline demand," Energy Economics, Elsevier, vol. 34(6), pages 1755-1762.

    Cited by:

    1. Jeyhun I. Mikayilov & Shahriyar Mukhtarov & Jeyhun Mammadov, 2020. "Gasoline Demand Elasticities at the Backdrop of Lower Oil Prices: Fuel-Subsidizing Country Case," Energies, MDPI, vol. 13(24), pages 1-18, December.
    2. Barrientos, Jorge & Velilla, Esteban & Tobón Orozco, David & Villada, Fernando & López Lezama, Jesús M., 2018. "On the estimation of the price elasticity of electricity demand in the manufacturing industry of Colombia," Borradores del CIE 16025, Universidad de Antioquia, CIE.
    3. Liddle, Brantley & Hasanov, Fakhri J. & Parker, Steven, 2022. "Your mileage may vary: Have road-fuel demand elasticities changed over time in middle-income countries?," Transportation Research Part A: Policy and Practice, Elsevier, vol. 165(C), pages 38-53.
    4. Liddle, Brantley, 2023. "Is timing everything? Assessing the evidence on whether energy/electricity demand elasticities are time-varying," Energy Economics, Elsevier, vol. 124(C).
    5. Liddle, Brantley & Parker, Steven, 2022. "One more for the road: Reconsidering whether OECD gasoline income and price elasticities have changed over time," Energy Economics, Elsevier, vol. 114(C).
    6. Deepankar Sinha & Virupaxi Bagodi & Debasri Dey, 2020. "The Supply Chain Disruption Framework Post COVID-19: A System Dynamics Model," Foreign Trade Review, , vol. 55(4), pages 511-534, November.
    7. Scott, K. Rebecca, 2013. "Demand and Price Uncertainty: Rational Habits in International Gasoline Demand," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt25q4w08n, Department of Agricultural & Resource Economics, UC Berkeley.
    8. Eleyan, Mohammed I.Abu & Çatık, Abdurrahman Nazif & Balcılar, Mehmet & Ballı, Esra, 2021. "Are long-run income and price elasticities of oil demand time-varying? New evidence from BRICS countries," Energy, Elsevier, vol. 229(C).
    9. Liddle, Brantley & Smyth, Russell & Zhang, Xibin, 2020. "Time-varying income and price elasticities for energy demand: Evidence from a middle-income panel," Energy Economics, Elsevier, vol. 86(C).
    10. Salisu, Afees A. & Ayinde, Taofeek O., 2016. "Modeling energy demand: Some emerging issues," Renewable and Sustainable Energy Reviews, Elsevier, vol. 54(C), pages 1470-1480.
    11. Neto, David, 2014. "The FMLS-based CUSUM statistic for testing the null of smooth time-varying cointegration in the presence of a structural break," Economics Letters, Elsevier, vol. 125(2), pages 208-211.
    12. Martin Falk & Xiang Lin, 2018. "Income elasticity of overnight stays over seven decades," Tourism Economics, , vol. 24(8), pages 1015-1028, December.
    13. Adewuyi, Adeolu O., 2016. "Determinants of import demand for non-renewable energy (petroleum) products: Empirical evidence from Nigeria," Energy Policy, Elsevier, vol. 95(C), pages 73-93.
    14. Tan, Xiujie & Wang, Banban & Wei, Jie & Taghizadeh-Hesary, Farhad, 2023. "The role of carbon pricing in achieving energy transition in the Post-COP26 era: Evidence from China's industrial energy conservation," Renewable and Sustainable Energy Reviews, Elsevier, vol. 182(C).
    15. Wang, Banban & Wei, Jie & Tan, Xiujie & Su, Bin, 2021. "The sectorally heterogeneous and time-varying price elasticities of energy demand in China," Energy Economics, Elsevier, vol. 102(C).
    16. David Neto, 2015. "Testing for and dating structural break in smooth time-varying cointegration parameters, with an application to retail gasoline price and crude oil price long-run relationship," Empirical Economics, Springer, vol. 49(3), pages 909-928, November.
    17. Jeyhun Mikayilov & Fred Joutz & Fakhri Hasanov, 2019. "Gasoline Demand in Saudi Arabia: Are the Price and Income Elasticities Constant?," Discussion Papers ks--2019-dp81, King Abdullah Petroleum Studies and Research Center.

  5. Jaya Krishnakumar & David Neto, 2011. "Testing the ‘Inaction Corridor’ in a Three‐Regime Threshold Error Correction Model with an Application to a Buffer‐Stock Model for US Money Demand," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 40(1-2), pages 29-43, February.

    Cited by:

    1. David Neto, 2015. "Testing for and dating structural break in smooth time-varying cointegration parameters, with an application to retail gasoline price and crude oil price long-run relationship," Empirical Economics, Springer, vol. 49(3), pages 909-928, November.

  6. Avouyi-Dovi, S. & Neto, D., 2004. "Equity market interdependence: the relationship between European and US stock markets," Financial Stability Review, Banque de France, issue 4, pages 108-126, June.

    Cited by:

    1. Georges Prat & David Le Bris, 2019. "Equity Risk Premium and Time Horizon: what do the French secular data say ?," Working Papers hal-04141877, HAL.
    2. Georges Prat & David Le Bris, 2019. "Equity Risk Premium and Time Horizon: what do the French secular data say ?," EconomiX Working Papers 2019-8, University of Paris Nanterre, EconomiX.
    3. Amos Sodjahin & Claudia Champagne & Frank Coggins & Roland Gillet, 2017. "Leading or lagging indicators of risk? The informational content of extra-financial performance scores," Journal of Asset Management, Palgrave Macmillan, vol. 18(5), pages 347-370, September.
    4. Morten Balling & Ernest Gnan, 2013. "The development of financial markets and financial theory: 50 years of interaction," SUERF 50th Anniversary Volume Chapters, in: Morten Balling & Ernest Gnan (ed.), 50 Years of Money and Finance: Lessons and Challenges, chapter 5, pages 157-194, SUERF - The European Money and Finance Forum.
    5. Vanshu Mahajan & Sunil Thakan & Aashish Malik, 2022. "Modeling and Forecasting the Volatility of NIFTY 50 Using GARCH and RNN Models," Economies, MDPI, vol. 10(5), pages 1-20, April.
    6. Clerc, L., 2007. "Understanding Asset Prices: Determinants and Policy Implications," Working papers 168, Banque de France.

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