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Behavioral heterogeneity in stock prices

, , and . Journal of Economic Dynamics and Control, 31 (6): 1938--1970 (June 2007)

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Absorption of shocks in nonlinear autoregressive models., , and . Comput. Stat. Data Anal., 51 (9): 4206-4226 (2007)Multiple unit roots in periodic autoregression, , and . Journal of Econometrics, 80 (1): 167--193 (September 1997)Book reviews. Econometric Reviews, 17 (3): 329--334 (1998)Special issue on Time Series Econometrics., , , and . Comput. Stat. Data Anal., (2016)Temporal aggregation in a periodically integrated autoregressive process, and . Statistics & Probability Letters, 30 (3): 235--240 (Oct 30, 1996)Behavioral heterogeneity in stock prices, , and . Journal of Economic Dynamics and Control, 31 (6): 1938--1970 (June 2007)Semi-nonparametric cointegration testing, and . Journal of Econometrics, 108 (2): 253--280 (June 2002)CFEnetwork: The Annals of Computational and Financial Econometrics: 2nd Issue., , , , , , , , , and 32 other author(s). Comput. Stat. Data Anal., (2014)Efficient inference on cointegration parameters in structural error correction models. Journal of Econometrics, 69 (1): 133--158 (September 1995)Conditional and structural error correction models reply. Journal of Econometrics, 69 (1): 173--175 (September 1995)