Testing for parameter instability in predictive regression models I Georgiev, DI Harvey, SJ Leybourne, AMR Taylor Journal of Econometrics 204 (1), 101-118, 2018 | 45 | 2018 |
Testing for episodic predictability in stock returns M Demetrescu, I Georgiev, PMM Rodrigues, AMR Taylor Journal of Econometrics 227 (1), 85-113, 2022 | 36 | 2022 |
Inference under random limit bootstrap measures G Cavaliere, I Georgiev Econometrica 88 (6), 2547-2574, 2020 | 26 | 2020 |
Unit root inference for non-stationary linear processes driven by infinite variance innovations G Cavaliere, I Georgiev, AMR Taylor Econometric Theory 34 (2), 302-348, 2018 | 23 | 2018 |
Testing for unit roots in autoregressions with multiple level shifts G Cavaliere, I Georgiev Econometric Theory 23 (6), 1162-1215, 2007 | 21 | 2007 |
A bootstrap stationarity test for predictive regression invalidity I Georgiev, DI Harvey, SJ Leybourne, AMR Taylor Journal of Business & Economic Statistics 37 (3), 528-541, 2019 | 20 | 2019 |
Wild bootstrap of the sample mean in the infinite variance case G Cavaliere, I Georgiev, AM Robert Taylor Econometric Reviews 32 (2), 204-219, 2013 | 17 | 2013 |
Functional weak limit theory for rare outlying events I Georgiev European University Institute, 2002 | 15 | 2002 |
Sieve-based inference for infinite-variance linear processes G Cavaliere, I Georgiev, AMR Taylor | 13 | 2016 |
Robust inference in autoregressions with multiple outliers G Cavaliere, I Georgiev Econometric Theory 25 (6), 1625-1661, 2009 | 13 | 2009 |
Extensions to IVX methods of inference for return predictability M Demetrescu, I Georgiev, PMM Rodrigues, AMR Taylor Journal of Econometrics 237 (2), 105271, 2023 | 12* | 2023 |
Exploiting infinite variance through dummy variables in nonstationary autoregressions G Cavaliere, I Georgiev Econometric Theory 29 (6), 1162-1195, 2013 | 12 | 2013 |
Bootstrapping non-stationary stochastic volatility HP Boswijk, G Cavaliere, I Georgiev, A Rahbek Journal of Econometrics 224 (1), 161-180, 2021 | 8 | 2021 |
A note on unit root testing in the presence of level shifts G Cavaliere, I Georgiev Statistica 66 (1), 4-18, 2006 | 8 | 2006 |
Unit Root Tests and Heavy‐Tailed Innovations I Georgiev, PMM Rodrigues, AM Robert Taylor Journal of Time Series Analysis 38 (5), 733-768, 2017 | 7 | 2017 |
Asymptotics for cointegrated processes with infrequent stochastic level shifts and outliers I Georgiev Econometric Theory 24 (3), 587-615, 2008 | 7 | 2008 |
Bootstrap inference under random distributional limits G Cavaliere, I Georgiev Research Institute for Econometrics Discussion Paper, 1-17, 2017 | 5 | 2017 |
A mixture‐distribution factor model for multivariate outliers I Georgiev The Econometrics Journal 10 (3), 605-636, 2007 | 4 | 2007 |
A factor model for innovational outliers in multivariate time series I Georgiev First Italian Congress of Econometrics and Empirical Economics, Venice …, 2005 | 4 | 2005 |
Regime-switching autoregressive coefficients and the asymptotics for unit root tests G Cavaliere, I Georgiev Econometric Theory 24 (4), 1137-1148, 2008 | 3 | 2008 |