Karim M. Abadir

Imperial College Business School

Professor of Financial Econometrics

South Kensington Campus

Exhibition Road

London SW7 2AZ, SW7 2AZ

United Kingdom

http://www3.imperial.ac.uk/portal/page?_pageid=61,629646&_dad=portallive&_schema=PORTALLIVE

  • Imperial College Business School

SCHOLARLY PAPERS

50

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2,930

SSRN CITATIONS
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23

CROSSREF CITATIONS

158

Scholarly Papers (50)

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1.

An Introduction to Hypergeometric Functions for Economists

Econometric Reviews, Vol. 18, pp. 287-330, 1999
Number of pages: 44 Posted: 15 Jan 2012
Karim M. Abadir
Imperial College Business School
Downloads 430 (97,187)

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2.

The Characteristic Function from a Family of Truncated Normal Distributions

Econometric Theory, Vol. 18, p. 1276, 2002
Number of pages: 9 Posted: 15 Jan 2012
Karim M. Abadir and Tassos Magdalinos
Imperial College Business School and University of York
Downloads 254 (171,223)

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3.

Liquidity Constraints and the Demand for Assets: An Application to the Festivity Effect

Number of pages: 35 Posted: 02 Nov 2005
Karim M. Abadir and Laura Spierdijk
Imperial College Business School and University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section
Downloads 245 (177,186)
Citation 3

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Liquidity constraints, autocorrelation of returns and volumes,festivity effect, January effect, anomalies

4.

The Mean-Median-Mode Inequality: Counterexamples

Econometric Theory, Vol. 21, p. 477, 2005
Number of pages: 7 Posted: 15 Jan 2012
Karim M. Abadir
Imperial College Business School
Downloads 196 (218,428)

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5.

The Square Root of a Matrix

Number of pages: 7 Posted: 15 Jan 2012 Last Revised: 26 Feb 2012
Karim M. Abadir
Imperial College Business School
Downloads 177 (238,705)

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6.

Beyond Co-Integration: Modelling Co-Movements in Macro Finance

Number of pages: 39 Posted: 22 Jan 2012 Last Revised: 26 Feb 2012
Karim M. Abadir and Gabriel Talmain
Imperial College Business School and University of York - Department of Economics and Related Studies
Downloads 128 (309,723)
Citation 1

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7.

Design-Free Estimation of Variance Matrices

Number of pages: 43 Posted: 09 Aug 2011 Last Revised: 20 Nov 2014
Karim M. Abadir, Walter Distaso and Filip Zikes
Imperial College Business School, Imperial College Business School and Imperial College London
Downloads 127 (311,572)
Citation 13

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Variance matrices, ill-conditioning, mean squared error, mean absolute deviations, resampling

8.

Distilling Co-Movements from Persistent Macro and Financial Series

ECB Working Paper No. 525
Number of pages: 40 Posted: 19 Oct 2005
Karim M. Abadir and Gabriel Talmain
Imperial College Business School and University of York - Department of Economics and Related Studies
Downloads 114 (336,596)

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ACF-based GLS procedure, Autocorrelation Function, Long memory, Nonlinearities, Uncovered Interest Parity anomaly

9.

Lies, Damned Lies, and Statistics? Examples from Finance and Economics

CEJEME 5: 231-248 (2013)
Number of pages: 18 Posted: 30 Dec 2015
Karim M. Abadir
Imperial College Business School
Downloads 92 (387,463)

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Flexible density specification, option pricing, term structure of interest rates, expectation hypothesis, nonlinear long-memory, macroeconomic dynamics.

10.

Two Estimators of the Long-Run Variance: Beyond Short Memory

Number of pages: 38 Posted: 14 Jan 2012
Karim M. Abadir, Walter Distaso and Liudas Giraitis
Imperial College Business School, Imperial College Business School and University of York - Department of Mathematics and Economics
Downloads 87 (401,061)

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11.

The Joint Density of Two Functionals of a Brownian Motion

Mathematical Methods of Statistics, Vol. 4, No. 4, pp. 449-462, Allerton Press Inc., 1995
Number of pages: 16 Posted: 22 Jan 2012 Last Revised: 26 Feb 2012
Karim M. Abadir
Imperial College Business School
Downloads 83 (412,418)

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12.

Quantiles for T-Statistics Based on M-Estimators of Unit Roots

Number of pages: 10 Posted: 26 Nov 1997
Karim M. Abadir and Andre Lucas
Imperial College Business School and Vrije Universiteit Amsterdam
Downloads 82 (415,378)

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13.

Asymptotic Normality for Weighted Sums of Linear Processes

Number of pages: 24 Posted: 15 Jan 2012
Karim M. Abadir, Walter Distaso, Liudas Giraitis and Hira Koul
Imperial College Business School, Imperial College Business School, University of York - Department of Mathematics and Economics and Michigan State University
Downloads 75 (437,011)
Citation 2

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14.

Link of Moments Before and After Transformations, with an Application to Resampling from Fat-Tailed Distributions

Number of pages: 29 Posted: 15 Oct 2011 Last Revised: 28 Feb 2018
Karim M. Abadir and Adriana Cornea
Imperial College Business School and University of Exeter
Downloads 62 (482,545)

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characteristic function, bootstrap, moments, con fidence interval, infi nite variance, heavy tails, stable law, domain of attraction, expansion of functions, remainder's bound, complex analysis

15.

Nonstationarity-Extended Local Whittle Estimation

Journal of Econometrics, Vol. 141, No. 2, p. 1353, December 2007
Number of pages: 48 Posted: 14 Jan 2012
Karim M. Abadir, Walter Distaso and Liudas Giraitis
Imperial College Business School, Imperial College Business School and University of York - Department of Mathematics and Economics
Downloads 59 (494,207)
Citation 7

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16.

Nelson-Plosser Revisited: The ACF Approach

Number of pages: 31 Posted: 13 Jan 2012 Last Revised: 26 Feb 2012
Karim M. Abadir, Giovanni Caggiano and Gabriel Talmain
Imperial College Business School, Department of Economics, Monash University and University of York - Department of Economics and Related Studies
Downloads 59 (494,207)
Citation 6

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17.

The Joint Moment Generating Function of Quadratic Forms in Multivariate Autoregressive Series: The Case with Deterministic Components

Econometric Theory, Vol. 12, p. 682, 1996
Number of pages: 22 Posted: 15 Jan 2012
Karim M. Abadir and Rolf Larsson
Imperial College Business School and Stockholm University
Downloads 55 (510,392)

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18.

Density Functionals, with an Option-Pricing Application

Econometric Theory, Vol. 19, p. 778, 2003
Number of pages: 34 Posted: 15 Jan 2012
Karim M. Abadir and Michael Rockinger
Imperial College Business School and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 53 (518,993)
Citation 2

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19.

Depreciation Rates and Capital Stocks

The Manchester School, Vol. 69, No. 1, pp. 42-51, January 2001
Number of pages: 15 Posted: 15 Jan 2012
Karim M. Abadir and Gabriel Talmain
Imperial College Business School and University of York - Department of Economics and Related Studies
Downloads 48 (541,336)
Citation 1

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20.

Outlier-Robust Evidence for the Expectation Hypothesis

Number of pages: 18 Posted: 25 Sep 2012
Karim M. Abadir and Christina V. Atanasova
Imperial College Business School and Simon Fraser University
Downloads 47 (546,016)

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21.

On the Definitions of (Co-) Integration

Journal of Time Series Analysis, Vol. 20, pp. 129-137, 1999
Number of pages: 12 Posted: 15 Jan 2012
Karim M. Abadir and A. M. Robert Taylor
Imperial College Business School and University of Birmingham - Department of Economics
Downloads 43 (565,626)

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22.

Optimal Asymmetric Kernels

Economics Letters, Vol. 83, No. 1, p. 61, April 2004
Number of pages: 9 Posted: 15 Jan 2012
Karim M. Abadir and Steve Lawford
Imperial College Business School and ENAC
Downloads 43 (565,626)

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23.

Simple Robust Testing of Regression Hypotheses: A Comment

Econometrica, Vol. 70, No. 5, p. 2097, September 2002
Number of pages: 3 Posted: 15 Jan 2012
Karim M. Abadir, Paolo Paruolo and Paolo Paruolo
Imperial College Business School and Joint Research Center of the European CommissionEuropean Commission DG Joint Research Centre
Downloads 34 (614,712)

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24.

The Joint Moment Generating Function of Quadratic Forms in Multivariate Autoregressive Series

Econometric Theory, Vol. 17, p. 222, 2001
Number of pages: 28 Posted: 15 Jan 2012
Karim M. Abadir and Rolf Larsson
Imperial College Business School and Stockholm University
Downloads 33 (620,698)

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25.

Cointegration Theory, Equilibrium and Disequilibrium Economics

Number of pages: 12 Posted: 05 Apr 2004
Karim M. Abadir
Imperial College Business School
Downloads 29 (646,151)

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26.

Is the Economic Crisis Over (and Out)?

Review of Economic Analysis, Vol. 3, pp. 102-108, 2011
Number of pages: 7 Posted: 15 Jan 2012
Karim M. Abadir
Imperial College Business School
Downloads 28 (652,862)

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27.

Aggregation, Persistence and Volatility in a Macro Model

Review of Economic Studies, Vol. 69, No. 4, pp. 749-779, October 2002
Number of pages: 47 Posted: 15 Jan 2012
Karim M. Abadir and Gabriel Talmain
Imperial College Business School and University of York - Department of Economics and Related Studies
Downloads 28 (652,862)
Citation 3

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28.

The Influence of VAR Dimensions on Estimator Biases

Econometrica, Vol. 67, No. 1, p. 163, January 1999
Number of pages: 18 Posted: 15 Jan 2012
Karim M. Abadir, Kaddour Hadri and Elias Tzavalis
Imperial College Business School, Queen's University Belfast and Athens University of Economics and Business - Department of Economics
Downloads 28 (652,862)

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29.

An I(d) Model with Trend and Cycles

Number of pages: 32 Posted: 14 Jan 2012
Karim M. Abadir, Walter Distaso and Liudas Giraitis
Imperial College Business School, Imperial College Business School and University of York - Department of Mathematics and Economics
Downloads 28 (652,862)
Citation 1

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30.

Testing Joint Hypotheses When One of the Alternatives is One-Sided

Number of pages: 45 Posted: 15 Jan 2012
Karim M. Abadir and Walter Distaso
Imperial College Business School and Imperial College Business School
Downloads 27 (659,921)
Citation 1

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31.

Semiparametric Estimation and Inference for Trending I(D) and Related Processes

Number of pages: 27 Posted: 14 Jan 2012
Karim M. Abadir, Walter Distaso and Liudas Giraitis
Imperial College Business School, Imperial College Business School and University of York - Department of Mathematics and Economics
Downloads 26 (667,198)
Citation 4

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32.

Approximate Normality of T-Ratios Based on M-Estimators for the Unit Root

Economics Letters, Forthcoming
Number of pages: 11 Posted: 06 Jan 1998 Last Revised: 15 Jan 2012
Karim M. Abadir and Andre Lucas
Imperial College Business School and Vrije Universiteit Amsterdam
Downloads 25 (674,598)

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33.

Autocovariance Functions of Series and of Their Transforms

Journal of Econometrics, Vol. 124, No. 2, p. 227, 2005
Number of pages: 27 Posted: 15 Jan 2012
Karim M. Abadir and Gabriel Talmain
Imperial College Business School and University of York - Department of Economics and Related Studies
Downloads 24 (682,119)

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34.

Explicit Solutions for the Asymptotically-Optimal Bandwidth in Cross Validation

Number of pages: 37 Posted: 13 Jan 2012 Last Revised: 26 Feb 2012
Karim M. Abadir and Michel Lubrano
Imperial College Business School and Ecole des Hautes Etudes en Sciences Sociales (EHESS)
Downloads 22 (697,825)

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35.

Biases of Correlograms and of AR Representations of Stationary Series

Number of pages: 10 Posted: 13 Jan 2012 Last Revised: 27 Feb 2012
Karim M. Abadir and Rolf Larsson
Imperial College Business School and Stockholm University
Downloads 19 (721,786)

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36.

Is More Information a Good Thing? Bias Nonmonotonicity in Stochastic Difference Equations

Bulletin of Economic Research, Vol. 52, Issue 2
Number of pages: 10 Posted: 27 Sep 2000 Last Revised: 15 Jan 2012
Karim M. Abadir and Kaddour Hadri
Imperial College Business School and Durham Business School
Downloads 14 (765,464)

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37.

A Comparison of Minimum MSE and Maximum Power for the Nearly Integrated Non-Gaussian Model

Journal of Econometrics, Vol. 119, No. 1, p. 45, 2004
Number of pages: 26 Posted: 15 Jan 2012
Karim M. Abadir and Andre Lucas
Imperial College Business School and Vrije Universiteit Amsterdam
Downloads 6 (846,795)

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38.

A Statistical Proof of the Transformation Theorem

Posted: 19 Mar 2012
Karim M. Abadir and J.R. Magnus
Imperial College Business School and Vrije Universiteit Amsterdam, School of Business and Economics

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39.

On Efficient Simulations in Dynamic Models

Posted: 19 Mar 2012
Karim M. Abadir, Paolo Paruolo and Paolo Paruolo
Imperial College Business School and Joint Research Center of the European CommissionEuropean Commission DG Joint Research Centre

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40.

The Unconventional Dynamics of Economic and Financial Aggregates

Posted: 19 Mar 2012
Karim M. Abadir and Gabriel Talmain
Imperial College Business School and University of York - Department of Economics and Related Studies

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41.

A New Test for Nonstationarity Against the Stable Alternative

Posted: 22 Jan 2012
Karim M. Abadir
Imperial College Business School

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42.

Unbiased Estimation as a Solution to Testing for Random Walks

Posted: 22 Jan 2012
Karim M. Abadir
Imperial College Business School

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43.

The Limiting Distribution of the T Ratio Under a Unit Root

Posted: 22 Jan 2012
Karim M. Abadir
Imperial College Business School

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44.

On the Asymptotic Power of Unit Root Tests

Posted: 22 Jan 2012
Karim M. Abadir
Imperial College Business School

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45.

OLS Bias in a Nonstationary Autoregression

Posted: 22 Jan 2012
Karim M. Abadir
Imperial College Business School

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46.

A Distribution Generating Equation for Unit-Root Statistics

Posted: 22 Jan 2012
Karim M. Abadir
Imperial College Business School

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47.

The Limiting Distribution of the Autocorrelation Coefficient Under a Unit Root

Posted: 22 Jan 2012
Karim M. Abadir
Imperial College Business School

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48.

Expansions for Some Confluent Hypergeometric Functions

Posted: 22 Jan 2012
Karim M. Abadir
Imperial College Business School

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49.

The 'Devil's Horns' Problem of Inverting Confluent Characteristic Functions

Econometrica, Vol. 65, No. 5, September 1997
Posted: 15 Jan 2012
Karim M. Abadir and Michael Rockinger
Imperial College Business School and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

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50.

Two Mixed Normal Densities from Cointegration Analysis

Econometrica, Vol. 65, No. 3, p. 671, 1997
Posted: 15 Jan 2012
Karim M. Abadir, Paolo Paruolo and Paolo Paruolo
Imperial College Business School and Joint Research Center of the European CommissionEuropean Commission DG Joint Research Centre

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