Details about Abdulnasser Hatemi-J

Homepage:	https://www.uaeu.ac.ae/en/cbe/profile.shtml?email=ahatemi@uaeu.ac.ae
Phone:	+9717135262
Postal address:	Department of Economics and Finance,
Workplace:	Department of Economics and Finance, Faculty of Business and Economics, United Arab Emirates University, (more information at EDIRC)

Access statistics for papers by Abdulnasser Hatemi-J.

Last updated 2024-08-07. Update your information in the RePEc Author Service.

Short-id: pha24

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Working Papers

2024

1. An Asymmetric Capital Asset Pricing Model
   Papers, arXiv.org
2. Efficient Asymmetric Causality Tests
   Papers, arXiv.org
3. On the Asymmetric Volatility Connectedness
   Papers, arXiv.org
4. Testing for the Asymmetric Optimal Hedge Ratios: With an Application to Bitcoin
   Papers, arXiv.org

2023

5. A Simulation Package in VBA to Support Finance Students for Constructing Optimal Portfolios
   Papers, arXiv.org

2022

6. On a Regime Switching Illiquid High Volatile Prediction Model for Cryptocurrencies
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article On a regime switching illiquid high volatile prediction model for cryptocurrencies, Journal of Economic Studies, Emerald Group Publishing Limited (2023) (2023)

2021

7. Dynamic Asymmetric Causality Tests with an Application
   Papers, arXiv.org View citations (3)

2020

8. Bear Markets and Recessions versus Bull Markets and Expansions
   Papers, arXiv.org

2019

9. Exact Solution for the Portfolio Diversification Problem Based on Maximizing the Risk Adjusted Return
   Papers, arXiv.org View citations (2)
   See also Journal Article Exact solution for the portfolio diversification problem based on maximizing the risk adjusted return, Research in International Business and Finance, Elsevier (2022) View citations (3) (2022)
10. The Benefits of Diversification between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article The Benefits of Diversification Between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction, Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd. (2022) View citations (4) (2022)

2018

11. Computation of second order price sensitivities in depressed markets
    Papers, arXiv.org View citations (1)
12. Insurance Activity and Economic Performance: Fresh Evidence from Asymmetric Panel Causality Tests
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article Insurance activity and economic performance: Fresh evidence from asymmetric panel causality tests, International Finance, Wiley Blackwell (2019) View citations (6) (2019)
13. Model Selection in Time Series Analysis: Using Information Criteria as an Alternative to Hypothesis Testing
    Papers, arXiv.org
    See also Journal Article Model selection in time series analysis: using information criteria as an alternative to hypothesis testing, Journal of Economic Studies, Emerald Group Publishing Limited (2021) (2021)
14. Oil Price-Inflation Pass-Through in the United States over 1871 to 2018: A Wavelet Coherency Analysis
    Working Papers, University of Pretoria, Department of Economics View citations (14)
    See also Journal Article Oil price-inflation pass-through in the United States over 1871 to 2018: A wavelet coherency analysis, Structural Change and Economic Dynamics, Elsevier (2019) View citations (22) (2019)
15. The Dividend Discount Model with Multiple Growth Rates of Any Order for Stock Evaluation
    Papers, arXiv.org
    See also Journal Article The Dividend Discount Model with Multiple Growth Rates of any Order for Stock Evaluation, Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova (2023) View citations (1) (2023)
16. Valuation of Currency Options in Markets with a Crunch
    Papers, arXiv.org

2016

17. A MS-Excel Module to Transform an Integrated Variable into Cumulative Partial Sums for Negative and Positive Components with and without Deterministic Trend Parts
    MPRA Paper, University Library of Munich, Germany View citations (8)
18. Testing for Financial Market Integration of the Chinese Market with the US Market
    MPRA Paper, University Library of Munich, Germany

2015

19. Asymmetric Granger Causality between Military Expenditures and Economic Growth in Top Six Defense Suppliers
    Working Papers, University of Pretoria, Department of Economics View citations (1)

2014

20. Are there Asymmetric Causal Relationships between Tourism and Economic Growth in a Panel of G-7 Countries?
    Working Papers, University of Pretoria, Department of Economics View citations (11)
21. BRICs and PIGS in the presence of Uncle Sam and big brothers: Who drive who? Evidence based on asymmetric causality tests
    Discussion Papers in Accounting, Griffith University, Department of Accounting, Finance and Economics View citations (7)
22. Research Output and Economic Growth in G7 Countries: New Evidence from Asymmetric Panel Causality Testing
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article Research output and economic growth in G7 countries: new evidence from asymmetric panel causality testing, Applied Economics, Taylor & Francis Journals (2016) View citations (21) (2016)

2013

23. A New Asymmetric GARCH Model: Testing, Estimation and Application
    MPRA Paper, University Library of Munich, Germany View citations (3)
24. On option pricing in illiquid markets with jumps
    Papers, arXiv.org View citations (1)
25. On option pricing in illiquid markets with random jumps
    MPRA Paper, University Library of Munich, Germany View citations (1)
26. On the pricing and hedging of options for highly volatile periods
    MPRA Paper, University Library of Munich, Germany View citations (1)
    Also in Papers, arXiv.org (2013) View citations (1)

2011

27. Are Real Estate Markets Integrated with the World Market?
    Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics
28. Asymmetric Panel Causality Tests with an Application to the Impact of Fiscal Policy on Economic Performance in Scandinavia
    MPRA Paper, University Library of Munich, Germany View citations (17)
    See also Journal Article Asymmetric Panel Causality Tests with an Application to the Impact of Fiscal Policy on Economic Performance in Scandinavia, Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova (2020) View citations (4) (2020)
29. Asymmetric generalized impulse responses and variance decompositions with an application
    MPRA Paper, University Library of Munich, Germany View citations (3)
30. Hidden panel cointegration
    MPRA Paper, University Library of Munich, Germany View citations (3)
31. On the calculation of price sensitivities with jump-diffusion structure
    MPRA Paper, University Library of Munich, Germany View citations (2)

2010

32. A Bootstrap Test for Causality with Endogenous Lag Length Choice - theory and application in finance
    Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies View citations (5)
    See also Journal Article A bootstrap test for causality with endogenous lag length choice: theory and application in finance, Journal of Economic Studies, Emerald Group Publishing Limited (2012) View citations (35) (2012)
33. Estimating Optimal Hedge Ratio with Unknown Structural Breaks
    Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics View citations (1)
34. Stochastic optimal hedge ratio: Theory and evidence
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article Stochastic optimal hedge ratio: theory and evidence, Applied Economics Letters, Taylor & Francis Journals (2012) View citations (2) (2012)
35. The Impact of the US Real Estate Market on Other Major Markets During Normal and Crisis Periods
    Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics View citations (6)
36. The Properties of Procedures Dealing with Uncertainty about Intercept and Deterministic Trend in Unit Root Testing
    Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies View citations (9)

2004

37. Evidence on the Direction of Causation in the Money-Income Relationship: An Alternative Methodology
    Working Papers, Örebro University, School of Business
38. The Causal Links Between Equity Market Prices: The Case of Australia and Its Major Trading Partners
    Econometric Society 2004 Australasian Meetings, Econometric Society

1999

39. Fiscal Policy in Sweden: Effects of EMU Criteria Convergence
    Working Papers, Lund University, Department of Economics View citations (11)
    See also Journal Article Fiscal policy in Sweden: effects of EMU criteria convergence, Economic Modelling, Elsevier (2002) View citations (38) (2002)

Journal Articles

2023

1. On a regime switching illiquid high volatile prediction model for cryptocurrencies
   Journal of Economic Studies, 2023, 51, (2), 485-498
   See also Working Paper On a Regime Switching Illiquid High Volatile Prediction Model for Cryptocurrencies, MPRA Paper (2022) (2022)
2. The Dividend Discount Model with Multiple Growth Rates of any Order for Stock Evaluation
   Economia Internazionale / International Economics, 2023, 76, (1), 135-146 View citations (1)
   See also Working Paper The Dividend Discount Model with Multiple Growth Rates of Any Order for Stock Evaluation, Papers (2018) (2018)

2022

3. Exact solution for the portfolio diversification problem based on maximizing the risk adjusted return
   Research in International Business and Finance, 2022, 59, (C) View citations (3)
   See also Working Paper Exact Solution for the Portfolio Diversification Problem Based on Maximizing the Risk Adjusted Return, Papers (2019) View citations (2) (2019)
4. Portfolio diversification impact of oil and asymmetric interaction between oil, equity and bonds in the global market: fresh evidence from alternative approaches
   Journal of Economic Studies, 2022, 50, (4), 790-805 View citations (1)
5. The Benefits of Diversification Between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction
   Asia-Pacific Journal of Operational Research (APJOR), 2022, 39, (04), 1-11 View citations (4)
   See also Working Paper The Benefits of Diversification between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction, Working Papers (2019) View citations (2) (2019)

2021

6. Model selection in time series analysis: using information criteria as an alternative to hypothesis testing
   Journal of Economic Studies, 2021, 49, (6), 1055-1075
   See also Working Paper Model Selection in Time Series Analysis: Using Information Criteria as an Alternative to Hypothesis Testing, Papers (2018) (2018)
7. Portfolio Diversification Benefits between Financial Markets of the US and China: Empirical Evidence from two Alternative Methods
   Economia Internazionale / International Economics, 2021, 74, (4), 537-546 View citations (1)
8. Testing for the Tourism Led Economic Growth Hypothesis in Sweden with Structural Breaks
   Economia Internazionale / International Economics, 2021, 74, (3), 293-310

2020

9. Asymmetric Panel Causality Tests with an Application to the Impact of Fiscal Policy on Economic Performance in Scandinavia
   Economia Internazionale / International Economics, 2020, 73, (3), 389-404 View citations (4)
   See also Working Paper Asymmetric Panel Causality Tests with an Application to the Impact of Fiscal Policy on Economic Performance in Scandinavia, MPRA Paper (2011) View citations (17) (2011)
10. Pass-through of import cost into consumer prices and inflation in GCC countries: Evidence from a nonlinear autoregressive distributed lags model
    International Review of Economics & Finance, 2020, 70, (C), 89-101 View citations (6)
11. The nexus of trade-weighted dollar rates and the oil prices: an asymmetric approach
    Journal of Economic Studies, 2020, 47, (7), 1579-1589 View citations (2)

2019

12. Insurance activity and economic performance: Fresh evidence from asymmetric panel causality tests
    International Finance, 2019, 22, (2), 221-240 View citations (6)
    See also Working Paper Insurance Activity and Economic Performance: Fresh Evidence from Asymmetric Panel Causality Tests, Working Papers (2018) View citations (1) (2018)
13. Oil price-inflation pass-through in the United States over 1871 to 2018: A wavelet coherency analysis
    Structural Change and Economic Dynamics, 2019, 50, (C), 51-55 View citations (22)
    See also Working Paper Oil Price-Inflation Pass-Through in the United States over 1871 to 2018: A Wavelet Coherency Analysis, Working Papers (2018) View citations (14) (2018)
14. Testing for Financial Market Integration of the UAE Market with the Global Market
    Economia Internazionale / International Economics, 2019, 72, (4), 475-492
15. The Causal Impact of Stock Market Development on Economic Development in the UAE: An Asymmetric Approach
    Economia Internazionale / International Economics, 2019, 72, (2), 171-184 View citations (7)

2018

16. Asymmetric causality between military expenditures and economic growth in top six defense spenders
    Quality & Quantity: International Journal of Methodology, 2018, 52, (3), 1193-1207 View citations (15)
17. Does tourism cause growth asymmetrically in a panel of G-7 countries? A short note
    Empirica, 2018, 45, (1), 49-57 View citations (7)

2017

18. Option valuation and hedging in markets with a crunch
    Journal of Economic Studies, 2017, 44, (5), 801-815 View citations (1)
19. The effect of oil prices on stock prices: fresh evidence from asymmetric causality tests
    Applied Economics, 2017, 49, (16), 1584-1592 View citations (33)

2016

20. An extension of the asymmetric causality tests for dealing with deterministic trend components
    Applied Economics, 2016, 48, (42), 4033-4041 View citations (22)
21. BRIC and GIPS – who drives who? Evidence from newly developed asymmetric causality tests
    Applied Economics, 2016, 48, (59), 5772-5778 View citations (3)
22. On the tourism-led growth hypothesis in the UAE: a bootstrap approach with leveraged adjustments
    Applied Economics Letters, 2016, 23, (6), 424-427 View citations (7)
23. Research output and economic growth in G7 countries: new evidence from asymmetric panel causality testing
    Applied Economics, 2016, 48, (24), 2301-2308 View citations (21)
    See also Working Paper Research Output and Economic Growth in G7 Countries: New Evidence from Asymmetric Panel Causality Testing, Working Papers (2014) View citations (2) (2014)
24. The Impact of Recent Crisis on the Real Estate Market on the UAE: Evidence from Asymmetric Methods
    Economia Internazionale / International Economics, 2016, 69, (4), 389-428 View citations (1)
25. The causal interaction between financial development and human development in Bangladesh
    Applied Economics Letters, 2016, 23, (14), 995-998 View citations (27)
26. Trade openness and economic development in the UAE: an asymmetric approach
    Journal of Economic Studies, 2016, 43, (4), 587-597 View citations (64)

2015

27. Modelling Asymmetry in Oil, Gold and Stock Markets by a Hidden Cointegration Technique. - Modelli di asimmetria nel mercato del petrolio, dell’oro e nei mercati azionari attraverso una tecnica di cointegrazione nascosta
    Economia Internazionale / International Economics, 2015, 68, (2), 213-228
28. Portfolio selection: An alternative approach
    Economics Letters, 2015, 135, (C), 141-143 View citations (10)

2014

29. Asymmetric generalized impulse responses with an application in finance
    Economic Modelling, 2014, 36, (C), 18-22 View citations (27)
30. Estimating the optimal hedge ratio in the presence of potential unknown structural breaks
    Applied Economics, 2014, 46, (8), 790-795 View citations (3)
31. How integrated are real estate markets with the world market? Evidence from case-wise bootstrap analysis
    Economic Modelling, 2014, 37, (C), 137-142 View citations (13)
32. On the causal nexus of remittances and poverty reduction in Bangladesh
    Applied Economics, 2014, 46, (4), 374-382 View citations (16)
33. On the interaction between government spending and economic performance in Sweden: an asymmetric approach
    Applied Economics Letters, 2014, 21, (15), 1099-1103 View citations (1)
34. The Performance of the Banking Sector in the UAE - La performance del settore bancario negli Emirati Arabi Uniti
    Economia Internazionale / International Economics, 2014, 67, (4), 439-448

2013

35. An Empirical Investigation of the Colombian Stock Market Reaction to the US Market: Evidence from a Casewise Bootstrap Approach - Un’analisi empirica della reazione del mercato azionario colombiano al mercato USA
    Economia Internazionale / International Economics, 2013, 66, (1), 57-67
36. An Empirical Investigation of the Potential Asymmetric Relationship between the Stock Market and the Exchange Rates in the UAE - Un esame empirico della potenziale relazione asimmetrica tra mercato azionario e tasso di cambio negli Emirati Arabi
    Economia Internazionale / International Economics, 2013, 66, (4), 425-438
37. Testing for the government's intertemporal budget restriction in Brazil during 1823--1889
    Applied Economics, 2013, 45, (12), 1533-1540 View citations (1)

2012

38. A bootstrap test for causality with endogenous lag length choice: theory and application in finance
    Journal of Economic Studies, 2012, 39, (2), 144-160 View citations (35)
    See also Working Paper A Bootstrap Test for Causality with Endogenous Lag Length Choice - theory and application in finance, Working Paper Series in Economics and Institutions of Innovation (2010) View citations (5) (2010)
39. A re-examination of the unbiased forward rate hypothesis in the presence of multiple unknown structural breaks
    Applied Economics, 2012, 44, (11), 1443-1448 View citations (3)
40. Asymmetric causality tests with an application
    Empirical Economics, 2012, 43, (1), 447-456 View citations (260)
41. Asymmetric interaction between government spending and terms of trade volatility
    Journal of Economic Studies, 2012, 39, (3), 368-378 View citations (2)
42. Is the UAE stock market integrated with the USA stock market? New evidence from asymmetric causality testing
    Research in International Business and Finance, 2012, 26, (2), 273-280 View citations (12)
43. Is the causal nexus of energy utilization and economic growth asymmetric in the US?
    Economic Systems, 2012, 36, (3), 461-469 View citations (33)
44. Stochastic optimal hedge ratio: theory and evidence
    Applied Economics Letters, 2012, 19, (8), 699-703 View citations (2)
    See also Working Paper Stochastic optimal hedge ratio: Theory and evidence, MPRA Paper (2010) View citations (1) (2010)

2011

45. A re-examination of the Fisher effect using an alternative approach
    Applied Economics Letters, 2011, 18, (9), 855-858 View citations (1)
46. How globally contagious was the recent US real estate market crisis? Evidence based on a new contagion test
    Economic Modelling, 2011, 28, (6), 2560-2565 View citations (13)
47. The dynamic interaction between volatility and returns in the US stock market using leveraged bootstrap simulations
    Research in International Business and Finance, 2011, 25, (3), 329-334 View citations (9)

2010

48. An empirical investigation of the informational efficiency of the GCC equity markets: Evidence from bootstrap simulation
    International Review of Financial Analysis, 2010, 19, (1), 47-54 View citations (61)
49. Did the Austrian Financial Market Become more Integrated with the German Market after EU Accession? - Il mercato finanziario austriaco si è integrato maggiormente con quello tedesco dopo l’adesione all’Unione europea?
    Economia Internazionale / International Economics, 2010, 63, (3), 297-304
50. Modeling Time-Varying Volatility and Expected Returns: Evidence from the GCC and MENA Regions
    Emerging Markets Finance and Trade, 2010, 46, (5), 39-47 View citations (14)

2009

51. An empirical analysis of the informational efficiency of Australian equity markets
    Journal of Economic Studies, 2009, 36, (5), 437-445 View citations (2)
52. Can the LR test be helpful in choosing the optimal lag order in the VAR model when information criteria suggest different lag orders?
    Applied Economics, 2009, 41, (9), 1121-1125 View citations (13)

2008

53. Estimating banks' equity duration: a panel cointegration approach
    Applied Financial Economics, 2008, 18, (14), 1173-1180 View citations (3)
54. Is the Swedish Stock Market Becoming more Integrated with those of Germany and France?
    Economia Internazionale / International Economics, 2008, 61, (4), 665-685
55. Optimal lag-length choice in stable and unstable VAR models under situations of homoscedasticity and ARCH
    Journal of Applied Statistics, 2008, 35, (6), 601-615 View citations (36)
56. Tests for cointegration with two unknown regime shifts with an application to financial market integration
    Empirical Economics, 2008, 35, (3), 497-505 View citations (156)
57. The Fisher effect: a Kalman filter approach to detecting structural change
    Applied Economics Letters, 2008, 15, (8), 619-624 View citations (7)

2007

58. Capital mobility in Sweden: a time-varying parameter approach
    Applied Economics Letters, 2007, 14, (15), 1115-1118 View citations (4)
59. Equity market price interdependence based on bootstrap causality tests: evidence from Australia and its major trading partners
    Applied Financial Economics, 2007, 17, (10), 827-835 View citations (5)
60. Forecasting properties of a new method to determine optimal lag order in stable and unstable VAR models
    Applied Economics Letters, 2007, 15, (4), 239-243 View citations (10)
61. Liberalized emerging markets and the world economy: testing for increased integration with time-varying volatility
    Applied Financial Economics, 2007, 17, (15), 1245-1250 View citations (2)

2006

62. A bootstrap-corrected causality test: another look at the money–income relationship
    Empirical Economics, 2006, 31, (1), 207-216 View citations (5)
63. A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods
    Economic Modelling, 2006, 23, (6), 993-1007 View citations (10)
64. Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach
    Applied Economics Letters, 2006, 13, (5), 293-299 View citations (12)
65. Does it Pay for Australian Investors to Diversify into their Country's Major Trading Partners?
    Economia Internazionale / International Economics, 2006, 59, (3), 295-316
66. Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application
    Applied Economics, 2006, 38, (13), 1489-1500 View citations (229)
67. The response of industry employment to exchange rate shocks: evidence from panel cointegration
    Applied Economics, 2006, 38, (4), 415-421 View citations (2)

2005

68. A test for multivariate ARCH effects
    Applied Economics Letters, 2005, 12, (7), 411-417 View citations (54)
69. Energy Consumption and Economic Growth in Sweden: A Leveraged Bootstrap Approach, 1965-2000
    International Journal of Applied Econometrics and Quantitative Studies, 2005, 2, (4), 87-98 View citations (27)
70. Exchange rates and stock prices interaction during good and bad times: evidence from the ASEAN4 countries
    Applied Financial Economics, 2005, 15, (8), 539-546 View citations (21)
71. FOREIGN AID AND ECONOMIC GROWTH: NEW EVIDENCE FROM PANEL COINTEGRATION
    Journal of Economic Development, 2005, 30, (1), 71-80 View citations (22)
72. Is the tourism-led growth hypothesis valid for Turkey?
    Applied Economics Letters, 2005, 12, (8), 499-504 View citations (183)
73. Pricing strategy, mark-up adjustment and foreign competition in the car industry
    International Journal of Automotive Technology and Management, 2005, 5, (3), 305-319
74. Stock Price and Volume Relation in Emerging Markets
    Emerging Markets Finance and Trade, 2005, 41, (1), 29-44 View citations (12)
75. The effect of regime shifts on the long-run relationships for Swedish money demand
    Applied Economics, 2005, 37, (15), 1731-1736 View citations (3)
76. Time-Varying Estimates for the Natural Rate of Unemployment and the Phillips Curve in the US Using the Kalman Filter
    Economia Internazionale / International Economics, 2005, 58, (3), 327-336
77. US Equity Market Spili-Over and Contagion Effects on Selected Asian Markets Vis-à-vis September 11
    Economia Internazionale / International Economics, 2005, 58, (4), 449-470

2004

78. An examination of the equity market price linkage between Australia and the European Union using leveraged bootstrap method
    The European Journal of Finance, 2004, 10, (6), 475-488 View citations (7)
79. Do birds of the same feather flock together?: The case of the Chinese states equity markets
    Journal of International Financial Markets, Institutions and Money, 2004, 14, (3), 281-294 View citations (12)
80. Is Pricing to Market Behavior a Long-Run Phenomenon? A Non-Stationary Panel Analysis
    Empirica, 2004, 31, (1), 55-67 View citations (7)
81. Is the Equity Market Informationally Efficient in Japan? Evidence from Leveraged Bootstrap Analysis
    Economia Internazionale / International Economics, 2004, 57, (4), 461-473 View citations (3)
82. Multivariate tests for autocorrelation in the stable and unstable VAR models
    Economic Modelling, 2004, 21, (4), 661-683 View citations (21)
83. The Risk-Adjusted Interest Rate Parity: Panel Data Evidence
    Economia Internazionale / International Economics, 2004, 57, (1), 1-10
84. The effect of exchange rate changes on trade balances in the short and long run
    The Economics of Transition, 2004, 12, (4), 777-799 View citations (29)

2003

85. A new method to choose optimal lag order in stable and unstable VAR models
    Applied Economics Letters, 2003, 10, (3), 135-137 View citations (109)
86. How productivity and domestic output are related to exports and foreign output in the case of Sweden
    Empirical Economics, 2003, 28, (4), 767-782 View citations (5)
87. Is the J-Curve Effect Observable for Small North European Economies?
    Open Economies Review, 2003, 14, (2), 119-134 View citations (33)

2002

88. Empirical Analysis of Business Growth Factors Using Swedish Data
    Journal of Small Business Management, 2002, 40, (4), 332-349 View citations (5)
89. Export performance and economic growth nexus in Japan: a bootstrap approach
    Japan and the World Economy, 2002, 14, (1), 25-33 View citations (35)
90. Fiscal policy in Sweden: effects of EMU criteria convergence
    Economic Modelling, 2002, 19, (1), 121-136 View citations (38)
    See also Working Paper Fiscal Policy in Sweden: Effects of EMU Criteria Convergence, Working Papers (1999) View citations (11) (1999)
91. Investigating Causal Relations between Fixed Investment and Economic Growth
    Economia Internazionale / International Economics, 2002, 55, (1), 25-35 View citations (1)
92. Is the Government's intertemporal budget constraint fulfilled in Sweden? An application of the Kalman filter
    Applied Economics Letters, 2002, 9, (7), 433-439 View citations (7)
93. Money Supply and the Informational Efficiency of the Stock Market in Korea: Evidence from an Alternative Methodology
    Journal of Economic Integration, 2002, 17, 517-526 View citations (5)
94. Multivariate-based causality tests of twin deficits in the US
    Journal of Applied Statistics, 2002, 29, (6), 817-824 View citations (27)
95. On the Causality between Exchange Rates and Stock Prices: A Note
    Bulletin of Economic Research, 2002, 54, (2), 197-203 View citations (30)

2001

96. Does Any Long-Run Relation Exist Between the Terms of Trade and the Trade Balance?
    Economia Internazionale / International Economics, 2001, 54, (2), 177-185
97. Productivity Performance and Export Performance: A Time-Series Perspective
    Eastern Economic Journal, 2001, 27, (2), 149-164 View citations (9)
98. Time-series evidence for Balassa's export-led growth hypothesis
    The Journal of International Trade & Economic Development, 2001, 9, (3), 355-365 View citations (14)

2000

99. Export performance and economic growth causality: An empirical analysis
    Atlantic Economic Journal, 2000, 28, (4), 412-426 View citations (7)

1999

100. The causal nexus of government spending and revenue in Finland: a bootstrap approach
     Applied Economics Letters, 1999, 6, (10), 641-644 View citations (12)

Chapters

2020

1. Has the Causal Nexus of Oil Prices and Consumer Prices Been Asymmetric in the US during the Last Fifteen Decades?
   Chapter 5 in Risk Factors and Contagion in Commodity Markets and Stocks Markets, 2020, pp 121-131 View citations (2)

Software Items

2024

1. PYDDOP: Python Module for Determining the Dimension of the Optimal Portfolio
   Statistical Software Components, Boston College Department of Economics

2023

2. PyCPTAM: Python Module for Constructing Portfolios via Two Alternative Methods
   Statistical Software Components, Boston College Department of Economics

2022

3. PMCT2ES: Python Module for Cointegration Tests with Two Endogenous Structural Shifts
   Statistical Software Components, Boston College Department of Economics

2021

4. DASCT01: Gauss Module for estimating Dynamic Asymmetric and Symmetric Causality Tests
   Statistical Software Components, Boston College Department of Economics
5. MODELSEL: GAUSS module for Model Selection in Time Series Analysis
   Statistical Software Components, Boston College Department of Economics
6. OPTVTAM: GAUSS module for Option Pricing via Two Alternative Methods
   Statistical Software Components, Boston College Department of Economics
7. PYEOCPS: Python Module for the Evaluation of Options and Calculation of the Price Sensitivities
   Statistical Software Components, Boston College Department of Economics

2020

8. PDBVRAR: GAUSS module to Construct Portfolios via the Maximization of the Risk Adjusted Return
   Statistical Software Components, Boston College Department of Economics View citations (1)

2017

9. ASYM_CAUS: C++ module for Transforming an Integrated Variable with Deterministic Trend Parts into Negative and Positive Cumulative Partial Sums
   Statistical Software Components, Boston College Department of Economics View citations (2)
10. HJC: OCTAVE module to Determine the Optimal Lag Order in A VAR Model by Minimizing a New Information Criterion
    Statistical Software Components, Boston College Department of Economics

2016

11. TDICPS: OCTAVE module to Transform an Integrated Variable into Cumulative Partial Sums for Negative and Positive Components with Deterministic Trend Parts
    Statistical Software Components, Boston College Department of Economics View citations (4)

2014

12. ASCOMP: GAUSS module to Transform Data into Cumulative Positive and Negative Components
    Statistical Software Components, Boston College Department of Economics View citations (2)

2011

13. ACTEST: GAUSS module to Apply Asymmetric Causality Tests
    Statistical Software Components, Boston College Department of Economics View citations (1)

2010

14. HHcte: GAUSS module to Apply a Bootstrap Test for Causality with Endogenous Lag Order
    Statistical Software Components, Boston College Department of Economics View citations (2)
15. LRAPP: GAUSS module to calculate multivariate IC with the LR test used in conflict to determine the optimal lag order in a VAR model
    Statistical Software Components, Boston College Department of Economics
16. MV-AR: GAUSS module to calculate three multivariate tests for autocorrelation in VAR model
    Statistical Software Components, Boston College Department of Economics

2009

17. CItest2b: GAUSS module to implement tests for cointegration with two unknown structural breaks
    Statistical Software Components, Boston College Department of Economics View citations (3)
18. ContagT: GAUSS module to implement a pairwise bootstrap test for contagion
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19. HHtest: GAUSS module to implement bootstrap test for causality with leverage adjustments
    Statistical Software Components, Boston College Department of Economics
20. LagOrder: GAUSS module to determine the optimal lag order in the VAR model based on Information Criteria
    Statistical Software Components, Boston College Department of Economics
21. MV-ARCH: GAUSS module to implement the multivariate ARCH test
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