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Details about Robert Sollis

Workplace:Economics Subject Group, Business School, Newcastle University, (more information at EDIRC)

Access statistics for papers by Robert Sollis.

Last updated 2016-03-15. Update your information in the RePEc Author Service.

Short-id: pso294


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Working Papers

2004

  1. Evidence on purchasing power parity from univariate models: the case of smooth transition trend-stationarity
    Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group Downloads View citations (6)
    See also Journal Article Evidence on purchasing power parity from univariate models: the case of smooth transition trend-stationarity, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2005) Downloads View citations (29) (2005)

2001

  1. U.S. and U.K. Inflation: Evidence on Structural Change in the Order of Integration
    Economic Papers, Trinity College Dublin, Economics Department Downloads View citations (2)
  2. U.S. and U.K. Interest Rates 1890 - 1934: New Evidence on Structural Breaks
    Economic Papers, Trinity College Dublin, Economics Department Downloads View citations (7)

Journal Articles

2016

  1. Fixed and Recursive Right-Tailed Dickey–Fuller Tests in the Presence of a Break under the Null
    Journal of Time Series Econometrics, 2016, 8, (1), 1-19 Downloads View citations (1)

2015

  1. Recursive Right-Tailed Unit Root Tests for an Explosive Asset Price Bubble
    Journal of Financial Econometrics, 2015, 13, (1), 166-187 Downloads View citations (20)
  2. The Saturday effect: an interesting anomaly in the Saudi stock market
    Applied Economics, 2015, 47, (58), 6317-6330 Downloads View citations (6)

2011

  1. Spurious regression: A higher-order problem
    Economics Letters, 2011, 111, (2), 141-143 Downloads View citations (4)
  2. Testing the unit root hypothesis against TAR nonlinearity using STAR-based tests
    Economics Letters, 2011, 112, (1), 19-22 Downloads View citations (6)

2009

  1. A simple unit root test against asymmetric STAR nonlinearity with an application to real exchange rates in Nordic countries
    Economic Modelling, 2009, 26, (1), 118-125 Downloads View citations (129)
  2. Value at risk: a critical overview
    Journal of Financial Regulation and Compliance, 2009, 17, (4), 398-414 Downloads View citations (7)

2008

  1. U.S. dollar real exchange rates: Nonlinearity revisited
    Journal of International Money and Finance, 2008, 27, (4), 516-528 Downloads View citations (13)

2007

  1. Tests for Asymmetric Threshold Cointegration with an Application to the Term Structure
    Journal of Economic Insight, 2007, 33, (2), 1-19

2006

  1. Testing for bubbles: an application of tests for change in persistence
    Applied Financial Economics, 2006, 16, (6), 491-498 Downloads View citations (12)
  2. The real exchange rate-real interest rate relation: evidence from tests for symmetric and asymmetric threshold cointegration
    International Journal of Finance & Economics, 2006, 11, (2), 139-153 Downloads View citations (9)

2005

  1. Evidence on purchasing power parity from univariate models: the case of smooth transition trend-stationarity
    Journal of Applied Econometrics, 2005, 20, (1), 79-98 Downloads View citations (29)
    See also Working Paper Evidence on purchasing power parity from univariate models: the case of smooth transition trend-stationarity, Money Macro and Finance (MMF) Research Group Conference 2003 (2004) Downloads View citations (6) (2004)
  2. Predicting returns and volatility with macroeconomic variables: evidence from tests of encompassing
    Journal of Forecasting, 2005, 24, (3), 221-231 Downloads View citations (2)

2004

  1. A Cautionary Note on the Order of Integration of Post‐war Aggregate Wage, Price and Productivity Measures
    Manchester School, 2004, 72, (2), 261-282 Downloads
  2. Asymmetric adjustment and smooth transitions: a combination of some unit root tests
    Journal of Time Series Analysis, 2004, 25, (3), 409-417 Downloads View citations (50)

2002

  1. Tests for Symmetric and Asymmetric Nonlinear Mean Reversion in Real Exchange Rates
    Journal of Money, Credit and Banking, 2002, 34, (3), 686-700 View citations (85)

2000

  1. Stochastic unit roots modelling of stock price indices
    Applied Financial Economics, 2000, 10, (3), 311-315 Downloads View citations (8)
 
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