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Luis F. Martins

Personal Details

First Name:Luis
Middle Name:F.
Last Name:Martins
Suffix:
RePEc Short-ID:pma1017
http://iscte.pt/~lfsm
Terminal Degree:2005 Department of Economics; Pennsylvania State University (from RePEc Genealogy)

Affiliation

Business School
ISCTE - Instituto Universitário de Lisboa (ISCTE-IUL)

Lisboa, Portugal
http://ibs.iscte.pt/

:


RePEc:edi:bsiscpt (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Francisco Estrada & Luis Filipe Martins & Pierre Perron, 2017. "Characterizing and attributing the warming trend in sea and land surface temperatures," Boston University - Department of Economics - Working Papers Series WP2017-009, Boston University - Department of Economics.
  2. Marta Silva & Luis Filipe Martins & Helena Lopes, 2015. "Asymmetric labour market reforms and wage growth with fixed-term contracts: does learning about match quality matter?," Working Papers Series 2 15-04, ISCTE-IUL, Business Research Unit (BRU-IUL).
  3. Luis Filipe Martins & Pierre Perron, 2015. "Improved Tests for Forecast Comparisons in the Presence of Instabilities," Boston University - Department of Economics - Working Papers Series wp2015-014, Boston University - Department of Economics.
  4. Stephen M. Miller & Luis F. Martins & Rangan Gupta, 2014. "A Time-Varying Approach of the US Welfare Cost of Inflation," Working papers 2014-11, University of Connecticut, Department of Economics.
  5. Giorgio Gualberti & Luis Filipe Martins & Morgan Bazilian, 2012. "An Econometric Analysis of the Effectiveness of Development Finance for the Energy Sector," Working Papers 2012.100, Fondazione Eni Enrico Mattei.
  6. Luis F. Martins, 2011. "Moment conditions model averaging with an application to a forward-looking monetary policy reaction function," Working Papers w201116, Banco de Portugal, Economics and Research Department.
  7. Vasco Gabriel & Luis Martins, 2010. "The Cost Channel Reconsidered: A Comment Using an Identification-Robust Approach," School of Economics Discussion Papers 1010, School of Economics, University of Surrey.
  8. Vasco J. Gabriel & Luis F. Martins, 2010. "Cointegration Tests Under Multiple Regime Shifts: An Application to the Stock Price-Dividend Relationship," NIPE Working Papers 28/2010, NIPE - Universidade do Minho.
  9. Luis F. Martins & Paulo M.M. Rodrigues, 2010. "Testing for Persistence Change in Fractionally Integrated Models: An Application to World Inflation Rates," Working Papers w201030, Banco de Portugal, Economics and Research Department.
  10. Paul Levine & Luis F. Martins & Vasco J. Gabriel, 2006. "Robust Estimates of the New Keynesian Phillips Curve," School of Economics Discussion Papers 0206, School of Economics, University of Surrey.
  11. Vasco J. Gabriel & Luis F. Martins, 2000. "The Forecast Performance of Long Memory and Markov Switching Models," NIPE Working Papers 2/2000, NIPE - Universidade do Minho.
  12. Vasco J. Gabriel & Luis F. Martins, 2000. "The Properties of Cointegration Tests in Models with Structural Change," NIPE Working Papers 1/2000, NIPE - Universidade do Minho.

Articles

  1. Marta Silva & Luis Filipe Martins & Helena Lopes, 2018. "Asymmetric Labor Market Reforms: Effects on Wage Growth and Conversion Probability of Fixed-Term Contracts," ILR Review, Cornell University, ILR School, vol. 71(3), pages 760-788, May.
  2. Luis F. Martins, 2018. "Bootstrap tests for time varying cointegration," Econometric Reviews, Taylor & Francis Journals, vol. 37(5), pages 466-483, May.
  3. Martins, Luís Filipe & Gan, Yi & Ferreira-Lopes, Alexandra, 2017. "An empirical analysis of the influence of macroeconomic determinants on World tourism demand," Tourism Management, Elsevier, vol. 61(C), pages 248-260.
  4. Luis Filipe Martins & Pierre Perron, 2016. "Improved Tests for Forecast Comparisons in the Presence of Instabilities," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(5), pages 650-659, September.
  5. Paulo Horta & Sérgio Lagoa & Luís Martins, 2016. "Unveiling investor-induced channels of financial contagion in the 2008 financial crisis using copulas," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 625-637, April.
  6. Cátia Sousa & Catarina Roseta‐Palma & Luís Filipe Martins, 2015. "Economic growth and transport: On the road to sustainability," Natural Resources Forum, Blackwell Publishing, vol. 0(1), pages 3-14, February.
  7. Martins, Luis F. & Rodrigues, Paulo M.M., 2014. "Testing for persistence change in fractionally integrated models: An application to world inflation rates," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 502-522.
  8. Horta, Paulo & Lagoa, Sérgio & Martins, Luís, 2014. "The impact of the 2008 and 2010 financial crises on the Hurst exponents of international stock markets: Implications for efficiency and contagion," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 140-153.
  9. Martins, Luis F. & Gabriel, Vasco J., 2014. "Linear instrumental variables model averaging estimation," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 709-724.
  10. Martins, Luis F. & Gabriel, Vasco J., 2014. "Modelling long run comovements in equity markets: A flexible approach," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 288-295.
  11. Martins Luis Filipe & Gabriel Vasco J., 2013. "Time-varying cointegration, identification, and cointegration spaces," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(2), pages 199-209, April.
  12. Luis F. Martins, 2013. "Testing For Parameter Constancy Using Chebyshev Time Polynomials," Manchester School, University of Manchester, vol. 81(4), pages 586-598, July.
  13. Vasco Gabriel & Luis Martins, 2011. "Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship," Empirical Economics, Springer, vol. 41(3), pages 639-662, December.
  14. Vasco J. Gabriel & Luis F. Martins, 2010. "The Cost Channel Reconsidered: A Comment Using an Identification‐Robust Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(8), pages 1703-1712, December.
  15. Bierens, Herman J. & Martins, Luis F., 2010. "Time-Varying Cointegration," Econometric Theory, Cambridge University Press, vol. 26(05), pages 1453-1490, October.
  16. Luis Martins, 2009. "Unit root tests and dramatic shifts with infinite variance processes," Journal of Applied Statistics, Taylor & Francis Journals, vol. 36(5), pages 547-571.
  17. Martins, Luis F. & Gabriel, Vasco J., 2009. "New Keynesian Phillips Curves and potential identification failures: A Generalized Empirical Likelihood analysis," Journal of Macroeconomics, Elsevier, vol. 31(4), pages 561-571, December.
  18. Vasco J. Gabriel & Luis F. Martins, 2004. "On the forecasting ability of ARFIMA models when infrequent breaks occur," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 455-475, December.

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. Luis Filipe Martins & Pierre Perron, 2015. "Improved Tests for Forecast Comparisons in the Presence of Instabilities," Boston University - Department of Economics - Working Papers Series wp2015-014, Boston University - Department of Economics.

    Cited by:

    1. Alessandro Casini, 2018. "Tests for Forecast Instability and Forecast Failure under a Continuous Record Asymptotic Framework," Papers 1803.10883, arXiv.org, revised Dec 2018.
    2. Ye Li & Pierre Perron & Jiawen Xu, 2017. "Modelling exchange rate volatility with random level shifts," Applied Economics, Taylor & Francis Journals, vol. 49(26), pages 2579-2589, June.
    3. Ciner, Cetin, 2017. "Predicting white metal prices by a commodity sensitive exchange rate," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 309-315.
    4. Fossati, Sebastian, 2017. "Testing for State-Dependent Predictive Ability," Working Papers 2017-9, University of Alberta, Department of Economics.
    5. Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Papers 1805.03807, arXiv.org.
    6. PERRON, Pierre & YAMAMOTO, Yohei, 2018. "Testing for Changes in Forecasting Performance," Discussion Papers 2018-03, Graduate School of Economics, Hitotsubashi University.

  2. Stephen M. Miller & Luis F. Martins & Rangan Gupta, 2014. "A Time-Varying Approach of the US Welfare Cost of Inflation," Working papers 2014-11, University of Connecticut, Department of Economics.

    Cited by:

    1. Mehmet Balcilar & Rangan Gupta & Charl Jooste, 2014. "The Growth-Inflation Nexus for the US over 1801-2013: A Semiparametric Approach," Working Papers 15-17, Eastern Mediterranean University, Department of Economics.
    2. Claudiu Tiberiu Albulescu & Dominique P'epin & Stephen Miller, 2017. "The micro-foundations of an open economy money demand: An application to the Central and Eastern European countries," Papers 1704.01840, arXiv.org.
    3. Claudiu Tiberiu Albulescu & Dominique Pépin, 2018. "Money demand stability, monetary overhang and inflation forecast in the CEE countries," Working Papers hal-01720319, HAL.

  3. Giorgio Gualberti & Luis Filipe Martins & Morgan Bazilian, 2012. "An Econometric Analysis of the Effectiveness of Development Finance for the Energy Sector," Working Papers 2012.100, Fondazione Eni Enrico Mattei.

    Cited by:

    1. Gualberti, Giorgio & Singer, Christine Eibs & Bazilian, Morgan, 2013. "The capacity to spend development funds in the energy sector," Utilities Policy, Elsevier, vol. 26(C), pages 36-44.

  4. Vasco Gabriel & Luis Martins, 2010. "The Cost Channel Reconsidered: A Comment Using an Identification-Robust Approach," School of Economics Discussion Papers 1010, School of Economics, University of Surrey.

    Cited by:

    1. Meixing Dai & Qiao Zhang, 2013. "Central bank transparency with the cost channel," Working Papers of BETA 2013-06, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    2. Jochen Michaelis & Jakob Palek, 2014. "Optimal Monetary Policy in a Currency Union: Implications of a Country-specific Cost Channel," MAGKS Papers on Economics 201444, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    3. Jochen Michaelis, 2012. "Optimal Monetary Policy in a Currency Union: The Role of the Cost Channel," MAGKS Papers on Economics 201203, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    4. Meixing Dai & Qiao Zhang, 2017. "Central bank transparency under the cost channel," International Finance, Wiley Blackwell, vol. 20(2), pages 189-209, June.

  5. Vasco J. Gabriel & Luis F. Martins, 2010. "Cointegration Tests Under Multiple Regime Shifts: An Application to the Stock Price-Dividend Relationship," NIPE Working Papers 28/2010, NIPE - Universidade do Minho.

    Cited by:

    1. Mehmet Balcilar & Charl Jooste & Shawkat Hammoudeh & Rangan Gupta & Vassilios Babalos, 2014. "Are there Long-Run Diversification Gains from the Dow Jones Islamic Finance Index?," Working Papers 201433, University of Pretoria, Department of Economics.
    2. Maki, Daiki, 2012. "Tests for cointegration allowing for an unknown number of breaks," Economic Modelling, Elsevier, vol. 29(5), pages 2011-2015.

  6. Luis F. Martins & Paulo M.M. Rodrigues, 2010. "Testing for Persistence Change in Fractionally Integrated Models: An Application to World Inflation Rates," Working Papers w201030, Banco de Portugal, Economics and Research Department.

    Cited by:

    1. João Pedro Pereira & Vasco Pesquita & António Rua & Paulo M.M. Rodrigues, 2016. "Market integration and the persistence of electricity prices," Working Papers w201609, Banco de Portugal, Economics and Research Department.
    2. Uwe Hassler & Antonio Rubia & Paulo M.M. Rodrigues, 2014. "Persistence in the Banking Industry: Fractional integration and breaks in memory," Working Papers w201406, Banco de Portugal, Economics and Research Department.
    3. Giorgio Canarella & Stephen M. Miller, 2016. "Inflation Persistence and Structural Breaks: The Experience of Inflation Targeting Countries and the US," Working papers 2016-11, University of Connecticut, Department of Economics.
    4. Robinson Kruse & Daniel Ventosa-Santaulària & Antonio E. Noriega, 2013. "Changes in persistence, spurious regressions and the Fisher hypothesis," CREATES Research Papers 2013-11, Department of Economics and Business Economics, Aarhus University.
    5. Martins, Luis F. & Rodrigues, Paulo M.M., 2014. "Testing for persistence change in fractionally integrated models: An application to world inflation rates," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 502-522.
    6. Bolat, Süleyman & Tiwari, Aviral Kumar & Kyophilavong, Phouphet, 2017. "Testing the inflation rates in MENA countries: Evidence from quantile regression approach and seasonal unit root test," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1089-1095.
    7. Chen, Zhanshou & Xing, Yuhong & Li, Fuxiao, 2016. "Sieve bootstrap monitoring for change from short to long memory," Economics Letters, Elsevier, vol. 140(C), pages 53-56.
    8. Massimiliano Caporin & Rangan Gupta, 2017. "Time-varying persistence in US inflation," Empirical Economics, Springer, vol. 53(2), pages 423-439, September.
    9. Antonakakis, Nikolaos & Cunado, Juncal & Gil-Alana, Luis A. & Gupta, Rangan, 2016. "Is inflation persistence different in reality?," Economics Letters, Elsevier, vol. 148(C), pages 55-58.
    10. Shyh-Wei Chen & Chi-Sheng Hsu & Cyun-Jhen Pen, 2016. "Are Inflation Rates Mean-reverting Processes? Evidence from Six Asian Countries," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 12(1), pages 119-155, February.
    11. Jorge M. L. Andraz & Raúl F. C. Guerreiro & Paulo M. M. Rodrigues, 2018. "Persistence of travel and leisure sector equity indices," Empirical Economics, Springer, vol. 54(4), pages 1801-1825, June.
    12. Chen, Shyh-Wei & Hsu, Chi-Sheng, 2016. "Threshold, smooth transition and mean reversion in inflation: New evidence from European countries," Economic Modelling, Elsevier, vol. 53(C), pages 23-36.

  7. Paul Levine & Luis F. Martins & Vasco J. Gabriel, 2006. "Robust Estimates of the New Keynesian Phillips Curve," School of Economics Discussion Papers 0206, School of Economics, University of Surrey.

    Cited by:

    1. Scheufele, Rolf, 2008. "Evaluating the German (New Keynesian) Phillips Curve," IWH Discussion Papers 10/2008, Halle Institute for Economic Research (IWH).
    2. Vasilev, Aleksandar, 2015. "New Keynesian Phillips Curve Estimation: The Case of Hungary /1981-2006/," EconStor Preprints 142472, ZBW - Leibniz Information Centre for Economics.

Articles

  1. Marta Silva & Luis Filipe Martins & Helena Lopes, 2018. "Asymmetric Labor Market Reforms: Effects on Wage Growth and Conversion Probability of Fixed-Term Contracts," ILR Review, Cornell University, ILR School, vol. 71(3), pages 760-788, May.

    Cited by:

    1. Paolo Barbieri & Giorgio Cutuli, 2018. "Dual Labour Market Intermediaries in Italy: How to Lay off “Lemons”—Thereby Creating a Problem of Adverse Selection," De Economist, Springer, vol. 166(4), pages 477-502, December.

  2. Martins, Luís Filipe & Gan, Yi & Ferreira-Lopes, Alexandra, 2017. "An empirical analysis of the influence of macroeconomic determinants on World tourism demand," Tourism Management, Elsevier, vol. 61(C), pages 248-260.

    Cited by:

    1. Katarzyna Przybyła & Alina Kulczyk-Dynowska, 2018. "Transformations and the Level of Tourist Function Development in Polish Voivodeship Capital Cities," Sustainability, MDPI, Open Access Journal, vol. 10(6), pages 1-16, June.

  3. Luis Filipe Martins & Pierre Perron, 2016. "Improved Tests for Forecast Comparisons in the Presence of Instabilities," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(5), pages 650-659, September.
    See citations under working paper version above.
  4. Paulo Horta & Sérgio Lagoa & Luís Martins, 2016. "Unveiling investor-induced channels of financial contagion in the 2008 financial crisis using copulas," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 625-637, April.

    Cited by:

    1. Roy, Rudra Prosad & Sinha Roy, Saikat, 2017. "Financial contagion and volatility spillover: An exploration into Indian commodity derivative market," Economic Modelling, Elsevier, vol. 67(C), pages 368-380.
    2. BenSaïda, Ahmed, 2018. "The contagion effect in European sovereign debt markets: A regime-switching vine copula approach," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 153-165.

  5. Cátia Sousa & Catarina Roseta‐Palma & Luís Filipe Martins, 2015. "Economic growth and transport: On the road to sustainability," Natural Resources Forum, Blackwell Publishing, vol. 0(1), pages 3-14, February.

    Cited by:

    1. Lijun Zhang & Caiyun Kou & Ji Zheng & Yu Li, 2018. "Decoupling Analysis of CO 2 Emissions in Transportation Sector from Economic Growth during 1995–2015 for Six Cities in Hebei, China," Sustainability, MDPI, Open Access Journal, vol. 10(11), pages 1-15, November.
    2. Ştefan Cristian Gherghina & Mihaela Onofrei & Georgeta Vintilă & Daniel Ştefan Armeanu, 2018. "Empirical Evidence from EU-28 Countries on Resilient Transport Infrastructure Systems and Sustainable Economic Growth," Sustainability, MDPI, Open Access Journal, vol. 10(8), pages 1-34, August.
    3. Elena Cigu & Daniela Tatiana Agheorghiesei & Anca Florentina Gavriluță (Vatamanu) & Elena Toader, 2018. "Transport Infrastructure Development, Public Performance and Long-Run Economic Growth: A Case Study for the Eu-28 Countries," Sustainability, MDPI, Open Access Journal, vol. 11(1), pages 1-22, December.

  6. Martins, Luis F. & Rodrigues, Paulo M.M., 2014. "Testing for persistence change in fractionally integrated models: An application to world inflation rates," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 502-522.
    See citations under working paper version above.
  7. Horta, Paulo & Lagoa, Sérgio & Martins, Luís, 2014. "The impact of the 2008 and 2010 financial crises on the Hurst exponents of international stock markets: Implications for efficiency and contagion," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 140-153.

    Cited by:

    1. Vieito, João Paulo & Wong, Wing-Keung & Zhu, Zhenzhen, 2015. "Could the global financial crisis improve the performance of the G7 stocks markets?," MPRA Paper 66521, University Library of Munich, Germany.
    2. Jayech, Selma, 2016. "The contagion channels of July–August-2011 stock market crash: A DAG-copula based approach," European Journal of Operational Research, Elsevier, vol. 249(2), pages 631-646.
    3. Alam, Nafis & Arshad, Shaista & Rizvi, Syed Aun R., 2016. "Do Islamic stock indices perform better than conventional counterparts? An empirical investigation of sectoral efficiency," Review of Financial Economics, Elsevier, vol. 31(C), pages 108-114.
    4. Lee, Minhyuk & Song, Jae Wook & Kim, Sondo & Chang, Woojin, 2018. "Asymmetric market efficiency using the index-based asymmetric-MFDFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 1278-1294.
    5. Tiwari, Aviral Kumar & Albulescu, Claudiu Tiberiu & Yoon, Seong-Min, 2017. "A multifractal detrended fluctuation analysis of financial market efficiency: Comparison using Dow Jones sector ETF indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 182-192.
    6. Roy, Rudra Prosad & Sinha Roy, Saikat, 2017. "Financial contagion and volatility spillover: An exploration into Indian commodity derivative market," Economic Modelling, Elsevier, vol. 67(C), pages 368-380.
    7. Gomes, Luís M. P. & Soares, Vasco J. S. & Gama, Sílvio M. A. & Matos, José A. O., 2018. "Long-term memory in Euronext stock indexes returns: an econophysics approach," Business and Economic Horizons (BEH), Prague Development Center, vol. 14(4), pages 862-881, August.
    8. Sensoy, Ahmet & Tabak, Benjamin M., 2016. "Dynamic efficiency of stock markets and exchange rates," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 353-371.
    9. Jin, Xiaoye, 2016. "The impact of 2008 financial crisis on the efficiency and contagion of Asian stock markets: A Hurst exponent approach," Finance Research Letters, Elsevier, vol. 17(C), pages 167-175.
    10. Gu, Rongbao & Xiong, Wei & Li, Xinjie, 2015. "Does the singular value decomposition entropy have predictive power for stock market? — Evidence from the Shenzhen stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 439(C), pages 103-113.
    11. Anagnostidis, P. & Varsakelis, C. & Emmanouilides, C.J., 2016. "Has the 2008 financial crisis affected stock market efficiency? The case of Eurozone," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 447(C), pages 116-128.
    12. Ma, Pengcheng & Li, Daye & Li, Shuo, 2016. "Efficiency and cross-correlation in equity market during global financial crisis: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 163-176.
    13. Aristeidis, Samitas & Elias, Kampouris, 2018. "Empirical analysis of market reactions to the UK’s referendum results – How strong will Brexit be?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 263-286.

  8. Martins, Luis F. & Gabriel, Vasco J., 2014. "Linear instrumental variables model averaging estimation," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 709-724.

    Cited by:

    1. Naoya Sueishi, 2013. "Generalized Empirical Likelihood-Based Focused Information Criterion and Model Averaging," Econometrics, MDPI, Open Access Journal, vol. 1(2), pages 1-16, July.

  9. Martins, Luis F. & Gabriel, Vasco J., 2014. "Modelling long run comovements in equity markets: A flexible approach," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 288-295.

    Cited by:

    1. Chikashi Tsuji & David McMillan, 2016. "Did the expectations channel work? Evidence from quantitative easing in Japan, 2001–06," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1210996-121, December.
    2. Aye, Goodness C. & Chang, Tsangyao & Gupta, Rangan, 2016. "Is gold an inflation-hedge? Evidence from an interrupted Markov-switching cointegration model," Resources Policy, Elsevier, vol. 48(C), pages 77-84.
    3. Christou, Christina & Gupta, Rangan & Nyakabawo, Wendy & Wohar, Mark E., 2018. "Do house prices hedge inflation in the US? A quantile cointegration approach," International Review of Economics & Finance, Elsevier, vol. 54(C), pages 15-26.
    4. Lei Wu & Qingbin Meng & Kuan Xu, 2015. "'Slow-burn' spillover and 'fast and furious' contagion: a study of international stock markets," Quantitative Finance, Taylor & Francis Journals, vol. 15(6), pages 933-958, June.
    5. Chlibi Souhir & Jawadi Fredj & Sellami Mohamed, 2017. "Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(1), pages 47-63, February.

  10. Martins Luis Filipe & Gabriel Vasco J., 2013. "Time-varying cointegration, identification, and cointegration spaces," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(2), pages 199-209, April.

    Cited by:

    1. Bampinas, Georgios & Panagiotidis, Theodore, 2015. "Are gold and silver a hedge against inflation? A two century perspective," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 267-276.

  11. Vasco Gabriel & Luis Martins, 2011. "Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship," Empirical Economics, Springer, vol. 41(3), pages 639-662, December. See citations under working paper version above.
  12. Vasco J. Gabriel & Luis F. Martins, 2010. "The Cost Channel Reconsidered: A Comment Using an Identification‐Robust Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(8), pages 1703-1712, December.
    See citations under working paper version above.
  13. Bierens, Herman J. & Martins, Luis F., 2010. "Time-Varying Cointegration," Econometric Theory, Cambridge University Press, vol. 26(05), pages 1453-1490, October.

    Cited by:

    1. Yukai Yang & Luc Bauwens, 2018. "State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering," Econometrics, MDPI, Open Access Journal, vol. 6(4), pages 1-22, December.
    2. Campos, Eduardo Lima & Cysne, Rubens Penha, 2017. "A time-varying fiscal reaction function for Brazil," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 795, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    3. Plakandaras, Vasilios & Gupta, Rangan & Wohar, Mark E., 2018. "UK macroeconomic volatility: Historical evidence over seven centuries," Journal of Policy Modeling, Elsevier, vol. 40(4), pages 767-789.
    4. Vasilios Plakandaras & Rangan Gupta & Mark E. Wohar, 2017. "An Assessment of UK Macroeconomic Volatility: Historical Evidence Using Over Seven Centuries of Data," Working Papers 201779, University of Pretoria, Department of Economics.
    5. Bampinas, Georgios & Panagiotidis, Theodore, 2015. "Are gold and silver a hedge against inflation? A two century perspective," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 267-276.
    6. Jochmann, Markus & Koop, Gary, 2011. "Regime-Switching Cointegration," SIRE Discussion Papers 2011-60, Scottish Institute for Research in Economics (SIRE).
    7. Chang-Jin Kim & Cheolbeom Park, 2012. "Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability," Discussion Paper Series 1205, Institute of Economic Research, Korea University.
    8. Panopoulou, Ekaterini & Pantelidis, Theologos, 2016. "The Fisher effect in the presence of time-varying coefficients," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 495-511.
    9. Mehmet Balcilar & Charl Jooste & Shawkat Hammoudeh & Rangan Gupta & Vassilios Babalos, 2014. "Are there Long-Run Diversification Gains from the Dow Jones Islamic Finance Index?," Working Papers 201433, University of Pretoria, Department of Economics.
    10. Grote, Claudia & Sibbertsen, Philipp, 2013. "Testing for Cointegration in a Double-LSTR Framework," Hannover Economic Papers (HEP) dp-514, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    11. Chen, Haiqiang & Fang, Ying & Li, Yingxing, 2015. "Estimation And Inference For Varying-Coefficient Models With Nonstationary Regressors Using Penalized Splines," Econometric Theory, Cambridge University Press, vol. 31(04), pages 753-777, August.
    12. Lips, Johannes, 2016. "Do they still matter? – Impact of Fossil Fuels on Electricity Prices in the Light of Increased Renewable Generation," Annual Conference 2016 (Augsburg): Demographic Change 145601, Verein für Socialpolitik / German Economic Association.
    13. Chen, Jing & Buckland, Roger & Williams, Julian, 2011. "Regulatory changes, market integration and spillover effects in the Chinese A, B and Hong Kong equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 19(4), pages 351-373, September.
    14. Labidi, Chiaz & Rahman, Md Lutfur & Hedström, Axel & Uddin, Gazi Salah & Bekiros, Stelios, 2018. "Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 179-211.
    15. Cheolbeom Park & Sookyung Park, 2013. "Exchange Rate Predictability and a Monetary Model with Time-varying Cointegration Coefficients," Discussion Paper Series 1302, Institute of Economic Research, Korea University.
    16. Cuestas Juan Carlos & Gil-Alana Luis Alberiko, 2016. "Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(1), pages 57-74, February.
    17. Simwaka, Kisu, 2012. "Time varying fractional cointegration," MPRA Paper 39505, University Library of Munich, Germany.
    18. da Fonseca, Eder Lucio & Alencar, Airlane Pereira & Morettin, Pedro Alberto, 2019. "Time-varying cointegration model using wavelets," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 260-267.
    19. Vasco J. Gabriel & Luis F. Martins, 2010. "Cointegration Tests Under Multiple Regime Shifts: An Application to the Stock Price-Dividend Relationship," NIPE Working Papers 28/2010, NIPE - Universidade do Minho.
    20. Joseph, Kishore & Garcia, Philip & Peterson, Paul E., 2016. "Does the Boxed Beef Price Inform the Live Cattle Futures Price?," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 236166, Agricultural and Applied Economics Association.
    21. Gu, Jingping & Liang, Zhongwen, 2014. "Testing cointegration relationship in a semiparametric varying coefficient model," Journal of Econometrics, Elsevier, vol. 178(P1), pages 57-70.
    22. Stephen M. Miller & Luis F. Martins & Rangan Gupta, 2014. "A Time-Varying Approach of the US Welfare Cost of Inflation," Working Papers 201419, University of Pretoria, Department of Economics.
    23. Bilgin, Mehmet Huseyin & Gogolin, Fabian & Lau, Marco Chi Keung & Vigne, Samuel A., 2018. "Time-variation in the relationship between white precious metals and inflation: A cross-country analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 55-70.
    24. El-Shazly, Alaa, 2016. "Structural breaks and monetary dynamics: A time series analysis," Economic Modelling, Elsevier, vol. 53(C), pages 133-143.
    25. Jing Chen & David G. McMillan & Mike Buckle, 2018. "Information Transmission across European Equity Markets During Crisis Periods," Manchester School, University of Manchester, vol. 86(6), pages 770-788, December.
    26. Roselyne Joyeux & George Milunovich, 2015. "Speculative bubbles, financial crises and convergence in global real estate investment trusts," Applied Economics, Taylor & Francis Journals, vol. 47(27), pages 2878-2898, June.
    27. Chen-Huan Shieh & Shou-Hsiang Liu & Chung-Ching Lee, 2017. "How Stable is the Money Demand in Taiwan?," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 3(5), pages 54-64, 05-2017.
    28. Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney W., 2011. "Bayesian inference in a time varying cointegration model," Journal of Econometrics, Elsevier, vol. 165(2), pages 210-220.
    29. Chen, Pei-Fen & Zeng, Jhih-Hong & Lee, Chien-Chiang, 2018. "Renminbi exchange rate assessment and competitors' exports: New perspective," China Economic Review, Elsevier, vol. 50(C), pages 187-205.
    30. Hassani, Hossein & Silva, Emmanuel Sirimal & Gupta, Rangan & Das, Sonali, 2018. "Predicting global temperature anomaly: A definitive investigation using an ensemble of twelve competing forecasting models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 121-139.
    31. Christou, Christina & Gupta, Rangan & Nyakabawo, Wendy & Wohar, Mark E., 2018. "Do house prices hedge inflation in the US? A quantile cointegration approach," International Review of Economics & Finance, Elsevier, vol. 54(C), pages 15-26.
    32. Lucey, Brian M. & Sharma, Susan Sunila & Vigne, Samuel A., 2017. "Gold and inflation(s) – A time-varying relationship," Economic Modelling, Elsevier, vol. 67(C), pages 88-101.
    33. Haiqiang Chen, "undated". "Robust Estimation and Inference for Threshold Models with Integrated Regressors," Working Papers 2013-12-02, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    34. 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.
    35. Ripamonti, Alexandre, 2016. "Corwin-Schultz bid-ask spread estimator in the Brazilian stock market," MPRA Paper 79459, University Library of Munich, Germany.
    36. Rickard Sandberg, 2017. "Sample Moments and Weak Convergence to Multivariate Stochastic Power Integrals," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(6), pages 1000-1009, November.
    37. Chen, Pei-Fen & Lee, Chien-Chiang & Zeng, Jhih-Hong, 2014. "The relationship between spot and futures oil prices: Do structural breaks matter?," Energy Economics, Elsevier, vol. 43(C), pages 206-217.
    38. Matteo Barigozzi & Antonio Conti, 2013. "On the Stability of Euro Area Money Demand and its Implications for Monetary Policy," LEM Papers Series 2013/11, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    39. Gogolin, Fabian & Kearney, Fearghal & Lucey, Brian M. & Peat, Maurice & Vigne, Samuel A., 2018. "Uncovering long term relationships between oil prices and the economy: A time-varying cointegration analysis," Energy Economics, Elsevier, vol. 76(C), pages 584-593.
    40. Xianguo Huang & Roberto Leon-Gonzalez & Somrasri Yupho, 2012. "Financial Integration from a Time-Varying Cointegration Perspective," GRIPS Discussion Papers 12-07, National Graduate Institute for Policy Studies.
    41. Neto, David, 2012. "Testing and estimating time-varying elasticities of Swiss gasoline demand," Energy Economics, Elsevier, vol. 34(6), pages 1755-1762.
    42. Martins, Luis F. & Gabriel, Vasco J., 2014. "Modelling long run comovements in equity markets: A flexible approach," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 288-295.
    43. Apergis, Nicholas & Payne, James E., 2014. "The oil curse, institutional quality, and growth in MENA countries: Evidence from time-varying cointegration," Energy Economics, Elsevier, vol. 46(C), pages 1-9.
    44. Xiaojie Xu, 2015. "Cointegration among regional corn cash prices," Economics Bulletin, AccessEcon, vol. 35(4), pages 2581-2594.
    45. Apergis, Nicholas, 2016. "Environmental Kuznets curves: New evidence on both panel and country-level CO2 emissions," Energy Economics, Elsevier, vol. 54(C), pages 263-271.
    46. Miroslav Plasil & Stepan Radkovsky & Pavel Rezabek, 2013. "Modelling bank loans to non-financial corporations," Occasional Publications - Chapters in Edited Volumes,in: CNB Financial Stability Report 2012/2013, chapter 0, pages 128-136 Czech National Bank, Research Department.
    47. Matteo Barigozzi & Antonio Conti, 2010. "On the Sources of Euro Area Money Demand Stability. A Time-Varying Cointegration Analysis," Working Papers ECARES ECARES 2010-022, ULB -- Universite Libre de Bruxelles.
    48. Cardinali Alessandro & Nason Guy P, 2011. "Costationarity of Locally Stationary Time Series," Journal of Time Series Econometrics, De Gruyter, vol. 2(2), pages 1-35, January.
    49. Martins Luis Filipe & Gabriel Vasco J., 2013. "Time-varying cointegration, identification, and cointegration spaces," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(2), pages 199-209, April.
    50. ap Gwilym, Rhys & Kanas, Angelos & Molyneux, Philip, 2013. "U.S. prompt corrective action and bank risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 239-257.
    51. Chew Lian Chua & Sarantis Tsiaplias, 2014. "A Bayesian Approach to Modelling Bivariate Time-Varying Cointegration and Cointegrating Rank," Melbourne Institute Working Paper Series wp2014n27, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.

  14. Luis Martins, 2009. "Unit root tests and dramatic shifts with infinite variance processes," Journal of Applied Statistics, Taylor & Francis Journals, vol. 36(5), pages 547-571.

    Cited by:

    1. Serttas, Fatma Ozgu, 2010. "Essays on infinite-variance stable errors and robust estimation procedures," ISU General Staff Papers 201001010800002742, Iowa State University, Department of Economics.

  15. Martins, Luis F. & Gabriel, Vasco J., 2009. "New Keynesian Phillips Curves and potential identification failures: A Generalized Empirical Likelihood analysis," Journal of Macroeconomics, Elsevier, vol. 31(4), pages 561-571, December.

    Cited by:

    1. Gross, Marco, 2009. "Nonparametric Hybrid Phillips Curves Based on Subjective Expectations: Estimates for the Euro Area," Working Paper Series 1119, European Central Bank.
    2. Scheufele, Rolf, 2008. "Evaluating the German (New Keynesian) Phillips Curve," IWH Discussion Papers 10/2008, Halle Institute for Economic Research (IWH).
    3. McAdam, Peter & Willman, Alpo, 2011. "Technology, utilization and inflation: what drives the New Keynesian Phillips Curve?," Working Paper Series 1369, European Central Bank.
    4. Malikane, Christopher, 2013. "A New Keynesian Triangle Phillips Curve," MPRA Paper 43548, University Library of Munich, Germany.
    5. Sophocles Mavroeidis & Mikkel Plagborg-Møller & James H. Stock, 2014. "Empirical Evidence on Inflation Expectations in the New Keynesian Phillips Curve," Journal of Economic Literature, American Economic Association, vol. 52(1), pages 124-188, March.
    6. Malikane, Christopher, 2012. "Inflation dynamics and the cost channel in emerging markets," MPRA Paper 42688, University Library of Munich, Germany.
    7. Boug, Pål & Cappelen, Adne & Swensen, Anders Rygh, 2010. "The new Keynesian Phillips curve revisited," Journal of Economic Dynamics and Control, Elsevier, vol. 34(5), pages 858-874, May.
    8. McAdam, Peter & Muck, Jakub & Growiec, Jakub, 2015. "Will the true labor share stand up?," Working Paper Series 1806, European Central Bank.
    9. Christopher Malikane & Tshepo Mokoka, 2014. "The new Keynesian Phillips curve: endogeneity and misspecification," Applied Economics, Taylor & Francis Journals, vol. 46(25), pages 3082-3089, September.
    10. Malikane, Christopher & Mokoka, Tshepo, 2012. "Monetary policy credibility: A Phillips curve view," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(3), pages 266-271.
    11. Malikane, Christopher, 2012. "The Microfoundations of the Keynesian Wage-Price Spiral," MPRA Paper 42923, University Library of Munich, Germany, revised 2012.

  16. Vasco J. Gabriel & Luis F. Martins, 2004. "On the forecasting ability of ARFIMA models when infrequent breaks occur," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 455-475, December.

    Cited by:

    1. Di Sanzo, Silvestro, 2018. "A Markov switching long memory model of crude oil price return volatility," Energy Economics, Elsevier, vol. 74(C), pages 351-359.
    2. Rodríguez, Gabriel, 2017. "Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 393-420.
    3. Rasmus Tangsgaard Varneskov & Pierre Perron, 2011. "Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns," CREATES Research Papers 2011-26, Department of Economics and Business Economics, Aarhus University.
    4. Augustine Arize & John Malindretos & Kiseok Nam, 2005. "Inflation and Structural Change in 50 Developing Countries," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 33(4), pages 461-471, December.
    5. Vasco J. Gabriel & Luis F. Martins, 2010. "Cointegration Tests Under Multiple Regime Shifts: An Application to the Stock Price-Dividend Relationship," NIPE Working Papers 28/2010, NIPE - Universidade do Minho.
    6. Bisaglia, Luisa & Gerolimetto, Margherita, 2008. "Forecasting long memory time series when occasional breaks occur," Economics Letters, Elsevier, vol. 98(3), pages 253-258, March.
    7. José Belbute & Alfredo M. Pereira, 2016. "Updated Reference Forecasts for Global CO2 Emissions from Fossil-Fuel Consumption," CEFAGE-UE Working Papers 2016_08, University of Evora, CEFAGE-UE (Portugal).
    8. Gabriel Rodríguez, 2016. " Modeling Latin-American Stock and Forex Markets Volatility: Empirical Application of a Model with Random Level Shifts and Genuine Long Memory [Modelando la volatilidad de los mercados bursátiles y ca," Documentos de Trabajo / Working Papers 2016-416, Departamento de Economía - Pontificia Universidad Católica del Perú.

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 13 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MON: Monetary Economics (6) 2006-04-01 2010-12-23 2011-01-30 2011-08-02 2014-06-02 2014-06-14. Author is listed
  2. NEP-CBA: Central Banking (4) 2006-04-01 2010-12-23 2011-01-30 2011-08-02
  3. NEP-ECM: Econometrics (4) 2010-12-18 2010-12-23 2011-08-02 2016-08-28
  4. NEP-ETS: Econometric Time Series (3) 2010-12-18 2011-01-30 2016-08-28
  5. NEP-MAC: Macroeconomics (3) 2006-04-01 2014-06-02 2014-06-14
  6. NEP-FOR: Forecasting (2) 2006-04-01 2016-08-28
  7. NEP-AGR: Agricultural Economics (1) 2017-07-09
  8. NEP-CTA: Contract Theory & Applications (1) 2015-07-11
  9. NEP-ENE: Energy Economics (1) 2013-02-08
  10. NEP-ENV: Environmental Economics (1) 2017-07-09
  11. NEP-ORE: Operations Research (1) 2016-08-28
  12. NEP-REG: Regulation (1) 2013-02-08

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