Downloadable Published Articles
2025
"On Robust Inference in Time Series Regression," (with F. X. Diebold, G. Kapetanios, K.-H. Kim, and A. Mora), Econometrics Journal, 28, 131-173, 2025. Â
2024
"Combining Long and Short Memory in Time Series Models: the Role of Asymptotic Correlations of the MLEs," (with D. Cho and S. Rho), Econometrics and Statistics, 29, 88-112, 2024.
2023
"A new test for market efficiency and uncovered interest parity," (with F. X. Diebold, G. Kapetanios, and K.-H. Kim), Journal of International Money and Finance, 130, 1-14, 2023.
2020
“Long Memory Volatility, Central Bank Intervention and Uncovered Interest Rate Parity in the 1920s Exchange Markets,” (with Y W Han), Korean Economic Review, 35, 183-203, 2020.
2019
"Long Memory, Realized Volatility and Heterogeneous Autoregressive Models," (with F. Calonaci, D. Cho and S. Rho), Journal of Time Series Analysis, 40, 609-628, 2019.
2018
“Choices Between OLS with Robust Inference and Feasible GLS in Time Series Regressions,” (with K.-H. Kim), Economics Letters, 171, 218-221, 2018.
2017
"Inference for Impulse Response Coefficients from Multivariate Fractionally Integrated Processes," (with G. Kapetanios and F. Papailias), Econometric Reviews, 36, 60-84, 2017.
2016
"On the Estimation of Short Memory Components in Long Memory Time Series Models," (with G. Kapetanios), Studies in Nonlinear Dynamics and Econometrics, 20, 365-375, 2016.
2015
"Was it Risk? Or was it Fundamentals? Explaining Excess Currency Returns with Kernel Smoothed Regressions," (with K.-H. Kim), Journal of Empirical Finance, 34, 99-111, 2015.
2014
"Time Variation in the Standard Forward Premium Regression: Some New Models and Tests," (with D. Cho), Journal of Empirical Finance, 29, 52-63, 2014.
"Bandwidth Selection by Cross Validation for Forecasting Long Memory Financial Time Series," (with G. Kapetanios and F. Papailias), Journal of Empirical Finance, 29, 129-143, 2014.
"Modified Information Criteria and Selection of Long Memory Time Series Models," (with G. Kapetanios and F. Papailias), Computational Statistics and Data Analysis, 76, 116-131, 2014.
2013
"Estimation and Inference for Impulse Response Functions from Univariate Strongly Persistent Processes," (with G. Kapetanios), Econometrics Journal, 16, 373-399, 2013.
2012
"Adaptive ARFIMA Models with Applications to Inflation," (with C. Morana), Economic Modelling, 29, 2451-2459, 2012.Â
2011
"Carry Trades, Momentum Trading and the Forward Premium Anomaly," (with S. S. Chang), Journal of Financial Markets, 14, 441-464, 2011.
2009
"Modeling Long Memory and Structural Breaks in Conditional Variances: an Adaptive FIGARCH Approach," (with C. Morana), Journal of Economic Dynamics and Control, 33, 1577- 1592, 2009.
2008
"Nonlinear Models for Strongly Dependent Processes with Financial Applications," (with G. Kapetanios), Journal of Econometrics, 147, 60-71, 2008.
2007
"Testing for Neglected Nonlinearity in Long-Memory Models," (with G. Kapetanios), Journal of Business and Economic Statistics, 25, 447-461, 2007.
2006
"Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly?," (with R. Kilic), Journal of International Money and Finance, 25, 22-47, 2006.
2004
"Regression Model Fitting with a Long Memory Covariate Process," (with H.L. Koul and D. Surgailis), Econometric Theory, 20, 485-512, 2004.
2002
"The Message in Daily Exchange Rates: a Conditional Variance Tale," (with T. Bollerslev), Journal of Business and Economic Statistics, 20, 60-68, 2002.
"Price Discovery and Common Factor Models," (with G.G. Booth, Y.T. Tse and T. Zabotina), Journal of Financial Markets, 5, 309-321, 2002.
2001
"Estimation of GARCH Models from the Autocorrelations of the Squares of a Process," (with H. Chung), Journal of Time Series Analysis, 22, 631-650, 2001.Â
2000
"The Forward Premium Anomaly is Not as Bad as You Think," (with T. Bollerslev), Journal of International Money and Finance, 19, 471-488, 2000.
1997
"Why do Central Banks Intervene?," (with W.P. Osterberg), Journal of International Money and Finance, 16, 909-919, 1997.
"Central Bank Intervention and Risk in the Forward Premium," (with W.P. Osterberg), Journal of International Economics, 43, 483-497, 1997.
1996
"Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity," (with T. Bollerslev and H.-O. Mikkelsen), Journal of Econometrics, 74, 3-30, 1996.
"Long Memory Processes and Fractional Integration in Econometrics," Journal of Econometrics, 73, 5-59, 1996.
"Analysing Inflation by the Fractionally Integrated ARFIMA-GARCH Model," (with C.-F. Chung and M.A. Tieslau), Journal of Applied Econometrics, 11, 23-40, 1996.
"A Minimum Distance Estimator for Long Memory Processes," (with M.A. Tieslau and P. Schmidt), Journal of Econometrics, 71, 249-264, 1996.
1994
"Cointegration, Fractional Cointegration and Exchange Rate Dynamics," (with T. Bollerslev), Journal of Finance, 49, 737-745, 1994.
"Long Memory in the Forward Premium," (with T. Bollerslev), Journal of International Money and Finance, 13, 565-571, 1994.
1993
"Small Sample Bias in Conditional Sum of Squares Estimators of Fractionally Integrated ARMA Models," (with C.-F. Chung), Empirical Economics, 18, 791-806, 1993.
"Bear Squeezes, Volatility Spillovers and Speculative Attacks in the Hyperinflation 1920's Foreign Exchange," (with T. Bollerslev and M.R. Redfearn), Journal of International Money and Finance, 12, 511-521, 1993.
1992
"Prediction in Dynamic Models with Time Dependent Conditional Variances," (with T. Bollerslev), Journal of Econometrics, 52, 91-113, 1992.
1991
"Intra Day and Inter Market Volatility in Foreign Exchange Rates," (with T. Bollerslev), Review of Economic Studies, 58, 565-585, 1991.
"The Search for Equilibrium Relationships in International Finance: the Case of the Monetary Model," (with R.A. Pecchenino), Journal of International Money and Finance, 10, 582-593, 1991.
"Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge," (with R.J. Myers), Journal of Applied Econometrics, 6, 109-124, 1991.
1990
"A Multivariate Generalized ARCH Approach to Modeling Risk Premia in Forward Foreign Exchange Rate Markets," (with T. Bollerslev), Journal of International Money and Finance, 9, 309-324, 1990.
"Stock Returns and Volatility," (with R.P. DeGennaro), Journal of Financial and Quantitative Analysis, 25, 203-214, 1990.
1989
"Common Stochastic Trends in a System of Exchange Rates," (with T. Bollerslev), Journal of Finance, 44, 167-181, 1989.
"The Message in Daily Exchange Rates: a Conditional Variance Tale," (with T. Bollerslev), Journal of Business and Economic Statistics, 7, 297-305, 1989.
"Econometric Tests of Rationality and Market Efficiency," Econometric Reviews, 8, 151-186, 1989.
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1987
"Inference in Dynamic Models Containing 'Surprise' Variables," Journal of Econometrics, 35, 101-117, 1987.
"Cointegration and Models of Exchange Rate Determination," (with D.D. Selover), International Journal of Forecasting, 3, 43-51, 1987.
1983
"Testing Rational Expectations and Efficiency in the Foreign Exchange Market," (with R.E. Lippens and P.C. McMahon), Econometrica, 51, 553-563, 1983
"Small Sample Properties of Predictions from the Regression Model with Autoregressive Errors," (with J.J. Spitzer), Journal of the American Statistical Association, 78, 258-263, 1983.
1981
"Predictions from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors," Econometrica, 49, 1331-1337, 1981.
1980
"Predictions from ARMAX models," Journal of Econometrics, 12, 365-374, 1980.
1979
"The Asymptotic Mean Squared Error of Multistep Prediction from the Regression Model with Autoregressive Errors," Journal of the American Statistical Association, 74, 175-184, 1979.
"Asymptotic Prediction Mean Squared Error for Vector Autoregressive Models," Biometrika, 66, 675-678, 1979.