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AN ANALYSIS OF ASIAN MARKET INTEGRATION PRE- AND POST-CRISIS

International journal of theoretical and applied finance, 2006-06, Vol.9 (4), p.483-501

2006

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THE SEQUENTIAL ESTIMATION OF SUBSET VAR WITH FORGETTING FACTOR AND INTERCEPT VARIABLE

International journal of theoretical and applied finance, 2004-12, Vol.7 (8), p.979-995

2004

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A note on the sequential fitting of multichannel subset autoregressions using the prewindowed case

IEEE transactions on signal processing, 1995-01, Vol.43 (1), p.322-327

1995

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The Equivalence of Causality Detection in VAR and VECM Modeling with Applications to Exchange Rates

Multinational finance journal, 2006-09, Vol.10 (3/4), p.153-177

2006

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Multivariate subset autoregressive modelling with zero constraints for detecting ‘overall causality’

Journal of econometrics, 1984-03, Vol.24 (3), p.311-330

1984

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The ‘derived’ moving-average model and its role in causality

Journal of applied probability, 1986, Vol.23 (A), p.99-111

1986

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The Sequential Fitting of Subset Autoregressions with a Forgetting Factor

Journal of Economic Research (JER), 2004, 9(1), , pp.29-57

2004

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A Robust Algorithm in Sequentially Selecting Subset Time Series Systems Using Neural Networks

Journal of time series analysis, 2000-07, Vol.21 (4), p.389-412

2000

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Multivariate subset autoregression

Communications in statistics. Simulation and computation, 1984-01, Vol.13 (4), p.449-461

1984

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The Sequential Fitting of Subset Autoregressions with a Forgetting Factor

Journal of economic research, 2004-05, Vol.9 (1), p.29

2004

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A NEW APPROACH TO TESTING PPP: EVIDENCE FROM THE YEN

Research in Finance, 2004, Vol.21, p.135-154

2004

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USING ZERO-NON-ZERO PATTERNED VECTOR AUTOREGRESSIVE MODELLING TO TEST FOR CAUSALITY BETWEEN MONEY SUPPLY, GDP GROWTH, THE LONDON STOCK MARKET INDEX AND THE EURO EXCHANGE RATE

Research in Finance, 2003, Vol.20, p.99-117

2003

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The ‘derived’ moving-average model and its role in causality

Journal of applied probability, 1986, Vol.23 (A), p.99-111

1986

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Conditional risk, return and contagion in the banking sector in asia

Research in international business and finance, 2006-09, Vol.20 (3), p.322-339

2006

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The role of higher oil prices: A case of major developed countries

Research in Finance, 2008, Vol.24, p.287-299

2008

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Selecting the forgetting factor in subset autoregressive modelling

Journal of time series analysis, 2002-11, Vol.23 (6), p.629-649

2002

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TESTING PPP BY MEANS OF ZNZ PATTERNED VECM

International journal of theoretical and applied finance, 2008-06, Vol.11 (4), p.345-362

2008

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Zero-Non-Zero Patterned Vector Error Correction Modelling For I(2) Cointegrated Time Series With Applications In Testing Ppp And Stock Market Relationships

Research in finance, 2005, Vol.22, p.305

2005

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Kernel Bandwidth Applications to the Euro and the U.S. Mutual Fund Movements

Research in Finance, 2006, Vol.23, p.81-97

2006

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THE RECURSIVE FITTING OF SUBSET VARX MODELS

Journal of time series analysis, 1993-11, Vol.14 (6), p.603-619

1993

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Non-linear modelling of the relationship between price movements in the OECD housing markets and significant economic activities

Research in Finance, 2009, Vol.25, p.159-175

2009

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Using the Bootstrap as an Aid in Choosing the Approximate Representation for Vector Time Series

Journal of business & economic statistics, 1992-04, Vol.10 (2), p.213

1992

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The Adjustment of the Yule-Walker Relations in VAR Modeling: The Impact of the Euro on the Hong Kong Stock Market

Multinational finance journal, 2001-03, Vol.5 (1), p.35-58

2001

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A new approach for estimating relationships between stock market returns: Evidence of financial integration in the Southeast Asian region

Asia-Pacific Financial Markets: Integration, Innovation and Challenges, 2007, Vol.8, p.17-37

2007

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AN ANALYSIS OF ASIAN MARKET INTEGRATION PRE- AND POST-CRISIS

THE SEQUENTIAL ESTIMATION OF SUBSET VAR WITH FORGETTING FACTOR AND INTERCEPT VARIABLE

A note on the sequential fitting of multichannel subset autoregressions using the prewindowed case

The Equivalence of Causality Detection in VAR and VECM Modeling with Applications to Exchange Rates

Multivariate subset autoregressive modelling with zero constraints for detecting ‘overall causality’

The ‘derived’ moving-average model and its role in causality

The Sequential Fitting of Subset Autoregressions with a Forgetting Factor

A Robust Algorithm in Sequentially Selecting Subset Time Series Systems Using Neural Networks

Multivariate subset autoregression

The Sequential Fitting of Subset Autoregressions with a Forgetting Factor

A NEW APPROACH TO TESTING PPP: EVIDENCE FROM THE YEN

USING ZERO-NON-ZERO PATTERNED VECTOR AUTOREGRESSIVE MODELLING TO TEST FOR CAUSALITY BETWEEN MONEY SUPPLY, GDP GROWTH, THE LONDON STOCK MARKET INDEX AND THE EURO EXCHANGE RATE

The ‘derived’ moving-average model and its role in causality

Conditional risk, return and contagion in the banking sector in asia

The role of higher oil prices: A case of major developed countries

Selecting the forgetting factor in subset autoregressive modelling

TESTING PPP BY MEANS OF ZNZ PATTERNED VECM

Zero-Non-Zero Patterned Vector Error Correction Modelling For I(2) Cointegrated Time Series With Applications In Testing Ppp And Stock Market Relationships

Kernel Bandwidth Applications to the Euro and the U.S. Mutual Fund Movements

THE RECURSIVE FITTING OF SUBSET VARX MODELS

Non-linear modelling of the relationship between price movements in the OECD housing markets and significant economic activities

Using the Bootstrap as an Aid in Choosing the Approximate Representation for Vector Time Series

The Adjustment of the Yule-Walker Relations in VAR Modeling: The Impact of the Euro on the Hong Kong Stock Market

A new approach for estimating relationships between stock market returns: Evidence of financial integration in the Southeast Asian region

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