Penalized Leads-And-Lags Cointegrating Regression: A Simulation Study and Two Empirical Applications
David Neto
Empirical Economics, vol. 65, 2023, p. 949-971.

Examining Interconnectedness between Media Attention and Cryptocurrency Markets: A Transfer Entropy Story
David Neto
Economics Letters, vol. 214, 2022, p. 1-6.

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
David Neto
Empirical Economics, vol. 49, 2015, p. 909-928.

The FMLS-Based CUSUM Statistic for Testing the Null of Smooth Time-Varying Cointegration in the Presence of a Structural Break
David Neto
Economics Letters, vol. 125, 2014, p. 208-211.