Extensions to IVX Methods of Inference for Return Predictability
14.01
Matei Demetrescu,
Iliyan Georgiev,
Paulo M. M. Rodrigues,
A M Robert Taylor
Journal of Econometrics,
vol. 237, 2023, p. .
Testing for Episodic Predictability in Stock Returns
14.01
Matei Demetrescu,
Iliyan Georgiev,
Paulo M. M. Rodrigues,
A M Robert Taylor
Journal of Econometrics,
vol. 227, 2022, p. 85-113.
Exploiting Infinite Variance through Dummy Variables in Nonstationary Autoregressions
20.71
Giuseppe Cavaliere,
Iliyan Georgiev
Econometric Theory,
vol. 29, 2013, p. 1162-1195.
Wild Bootstrap of the Sample Mean in the Infinite Variance Case
10.02
Giuseppe Cavaliere,
Iliyan Georgiev,
A M Robert Taylor
Econometric Reviews,
vol. 32, 2013, p. 204-219.
Model-Based Asymptotic Inference on the Effect of Infrequent Large Shocks on Cointegrated Variables
56.02
Iliyan Georgiev
Journal of Econometrics,
vol. 158, 2010, p. 37-50.
Robust Inference in Autoregressions with Multiple Outliers
20.71
Giuseppe Cavaliere,
Iliyan Georgiev
Econometric Theory,
vol. 25, 2009, p. 1625-1661.
Asymptotics for Cointegrated Processes with Infrequent Stochastic Level Shifts and Outliers
41.41
Iliyan Georgiev
Econometric Theory,
vol. 24, 2008, p. 587-615.
Regime-Switching Autoregressive Coefficients and the Asymptotics for Unit Root Tests
20.71
Giuseppe Cavaliere,
Iliyan Georgiev
Econometric Theory,
vol. 24, 2008, p. 1137-1148.
A Mixture-Distribution Factor Model for Multivariate Outliers
28.93
Iliyan Georgiev
Econometrics Journal,
vol. 10, 2007, p. 605-636.
Testing for Unit Roots in Autoregressions with Multiple Level Shifts
20.71
Giuseppe Cavaliere,
Iliyan Georgiev
Econometric Theory,
vol. 23, 2007, p. 1162-1215.