Items where Author is "Rodrigues, Paulo MM"

Demetrescu, Matei and Rodrigues, Paulo MM and Taylor, AM Robert (2024) Predictive Quantile Regressions with Persistent and Heteroskedastic Predictors: A Powerful 2SLS Testing Approach. Working Paper. Essex Finance Centre Working Papers. (Unpublished)

Demetrescu, Matei and Rodrigues, Paulo MM and Taylor, AM Robert (2022) Transformed regression-based long-horizon predictability tests. Journal of Econometrics, 237 (2). p. 105316. DOI https://doi.org/10.1016/j.jeconom.2022.06.006

Demetrescu, Matei and Rodrigues, Paulo MM and Taylor, AM Robert (2022) Transformed Regression-based Long-Horizon Predictability Tests. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)

Demetrescu, Matei and Georgiev, Iliyan and Rodrigues, Paulo MM and Taylor, AM Robert (2022) Extensions to IVX methods of inference for return predictability. Journal of Econometrics, 237 (2). p. 105271. DOI https://doi.org/10.1016/j.jeconom.2022.02.007

Demetrescu, Matei and Georgiev, Iliyan and Rodrigues, Paulo MM and Taylor, AM Robert (2022) Testing for Episodic Predictability in Stock Returns. Journal of Econometrics, 227 (1). pp. 85-113. DOI https://doi.org/10.1016/j.jeconom.2020.01.001

Demetrescu, Matei and Georgiev, Iliyan and Rodrigues, Paulo MM and Taylor, AM Robert (2022) Extensions to IVX Methods of Inference for Return Predictability. Working Paper. Essex Finance Centre Working Papers. (Unpublished)

Balboa, Marina and Rodrigues, Paulo MM and Rubia, Antonio and Taylor, AM Robert (2021) Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume. Journal of Applied Econometrics, 36 (5). pp. 544-565. DOI https://doi.org/10.1002/jae.2829

Balboa, Marina and Rodrigues, Paulo MM and Rubia, Antonio and Taylor, AM Robert (2021) Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume. Working Paper. Essex Finance Centre Working Papers. (Unpublished)

Demetrescu, Matei and Georgiev, Iliyan and Rodrigues, Paulo MM and Taylor, AM Robert (2019) Testing for Episodic Predictability in Stock Returns. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)

del Barrio Castro, Tomás and Rodrigues, Paulo MM and Taylor, AM Robert (2019) Temporal aggregation of seasonally near-integrated processes. Journal of Time Series Analysis, 40 (6). pp. 872-886. DOI https://doi.org/10.1111/jtsa.12453

del Barrio Castro, Tomás and Rodrigues, Paulo MM and Taylor, AM Robert (2019) Temporal aggregation of seasonally near-integrated processes. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)

del Barrio Castro, Tomás and Rodrigues, Paulo MM and Taylor, AM Robert (2018) Semi-parametric seasonal unit root tests. Econometric Theory, 34 (02). pp. 447-476. DOI https://doi.org/10.1017/S0266466617000135

Georgiev, Iliyan and Rodrigues, Paulo MM and Taylor, AM Robert (2017) Unit Root Tests and Heavy-Tailed Innovations. Journal of Time Series Analysis, 38 (5). pp. 733-768. DOI https://doi.org/10.1111/jtsa.12233

Del Barrio Castro, Tomás and Rodrigues, Paulo MM and Taylor, AM Robert (2015) On the Behaviour of Phillips–Perron Tests in the Presence of Persistent Cycles. Oxford Bulletin of Economics and Statistics, 77 (4). pp. 495-511. DOI https://doi.org/10.1111/obes.12091

Castro, Tomás del Barrio and Rodrigues, Paulo MM and Taylor, AM Robert (2013) THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS. Econometric Theory, 29 (6). pp. 1289-1313. DOI https://doi.org/10.1017/s0266466613000066