Details about Robert Sollis

Access statistics for papers by Robert Sollis.

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

Short-id: pso294

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 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) View citations (29) (2005)

2001

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

2015

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

2011

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

2009

6. 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 View citations (131)
7. Value at risk: a critical overview
   Journal of Financial Regulation and Compliance, 2009, 17, (4), 398-414 View citations (7)

2008

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

2007

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

2006

10. Testing for bubbles: an application of tests for change in persistence
    Applied Financial Economics, 2006, 16, (6), 491-498 View citations (12)
11. 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 View citations (9)

2005

12. Evidence on purchasing power parity from univariate models: the case of smooth transition trend-stationarity
    Journal of Applied Econometrics, 2005, 20, (1), 79-98 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) View citations (6) (2004)
13. Predicting returns and volatility with macroeconomic variables: evidence from tests of encompassing
    Journal of Forecasting, 2005, 24, (3), 221-231 View citations (2)

2004

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

2002

16. 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

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