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Details about Elena Ivona Dumitrescu

Homepage:https://sites.google.com/site/ivonadumitrescu
Workplace:EconomiX, Université Paris-Nanterre (Paris X) (University of Paris-Nanterre), (more information at EDIRC)

Access statistics for papers by Elena Ivona Dumitrescu.

Last updated 2017-08-09. Update your information in the RePEc Author Service.

Short-id: pdu298


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Working Papers

2019

  1. Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems
    EconomiX Working Papers, University of Paris Nanterre, EconomiX Downloads
  2. Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems
    EconomiX Working Papers, University of Paris Nanterre, EconomiX Downloads View citations (1)

2017

  1. Testing for Extreme Volatility Transmission with Realized Volatility Measures
    EconomiX Working Papers, University of Paris Nanterre, EconomiX Downloads View citations (3)

2012

  1. Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests
    Working Papers, HAL Downloads View citations (16)
    See also Journal Article in Finance (2012)
  2. Commodity Prices and Exchange Rate Volatility; Lessons from South Africa’s Capital Account Liberalization
    IMF Working Papers, International Monetary Fund Downloads View citations (10)
    See also Journal Article in Emerging Markets Review (2014)
  3. How to evaluate an Early Warning System ?
    Working Papers, HAL Downloads View citations (15)
  4. Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation
    Working Papers, HAL Downloads View citations (3)
  5. Testing for Granger Non-causality in Heterogeneous Panels
    Working Papers, HAL Downloads View citations (333)
    See also Journal Article in Economic Modelling (2012)

2011

  1. Backesting Value-at-Risk: From DQ (Dynamic Quantile) to DB (Dynamic Binary) Tests
    LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans Downloads
  2. Modelling Financial Crises Mutation
    LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans Downloads
  3. Testing Interval Forecasts: A New GMM-based Test
    LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans Downloads
  4. Testing interval forecasts: a GMM-based approach
    Working Papers, HAL Downloads View citations (1)
    See also Journal Article in Journal of Forecasting (2013)

2010

  1. Currency Crises Early Warning Systems: why they should be Dynamic
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads View citations (7)
    Also in LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2010) Downloads View citations (4)

    See also Journal Article in International Journal of Forecasting (2014)
  2. How to evaluate an Early Warning System? Towards a United Statistical Framework for Assessing Financial Crises Forecasting Methods
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads View citations (4)

Journal Articles

2015

  1. Which are the SIFIs? A Component Expected Shortfall approach to systemic risk
    Journal of Banking & Finance, 2015, 50, (C), 575-588 Downloads View citations (19)

2014

  1. Commodity prices and exchange rate volatility: Lessons from South Africa's capital account liberalization
    Emerging Markets Review, 2014, 19, (C), 96-105 Downloads View citations (6)
    See also Working Paper (2012)
  2. Currency crisis early warning systems: Why they should be dynamic
    International Journal of Forecasting, 2014, 30, (4), 1016-1029 Downloads View citations (10)
    See also Working Paper (2010)

2013

  1. Testing Interval Forecasts: A GMM‐Based Approach
    Journal of Forecasting, 2013, 32, (2), 97-110 View citations (2)
    See also Working Paper (2011)

2012

  1. Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests
    Finance, 2012, 33, (1), 79-112 Downloads View citations (14)
    See also Working Paper (2012)
  2. How to Evaluate an Early-Warning System: Toward a Unified Statistical Framework for Assessing Financial Crises Forecasting Methods
    IMF Economic Review, 2012, 60, (1), 75-113 Downloads View citations (26)
  3. Testing for Granger non-causality in heterogeneous panels
    Economic Modelling, 2012, 29, (4), 1450-1460 Downloads View citations (280)
    See also Working Paper (2012)
 
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