Robert Taylor

University of Essex - Essex Business School

Wivenhoe Park

Colchester, CO4 3SQ

United Kingdom

University of Essex

SCHOLARLY PAPERS

2

DOWNLOADS

280

SSRN CITATIONS
Rank 29,908

SSRN RANKINGS

Top 29,908

in Total Papers Citations

33

CROSSREF CITATIONS

4

Scholarly Papers (2)

1.

Testing for Co-Integration in Vector Autoregressions with Non-Stationary Volatility

CREATES Research Paper No. 2008-50, Univ. of Copenhagen Dept. of Economics Discussion Paper No. 08-34
Number of pages: 39 Posted: 03 Oct 2008
Giuseppe Cavaliere, Anders Rahbek, Robert Taylor and Robert Taylor
University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of EssexUniversity of Essex - Essex Business School
Downloads 163 (336,238)
Citation 22

Abstract:

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Co-integration, non-stationary volatility, trace and maximum eigenvalue tests, wild bootstrap

Inference on Co-Integration Parameters in Heteroskedastic Vector Autoregressions

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 13-13
Number of pages: 52 Posted: 28 Nov 2013
H. Peter Boswijk, Giuseppe Cavaliere, Anders Rahbek, Robert Taylor and Robert Taylor
Amsterdam School of Economics, University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of EssexUniversity of Essex - Essex Business School
Downloads 61 (662,798)
Citation 8

Abstract:

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Co-integration, adjustment coefficients, (un)conditional heteroskedasticity, heteroskedasticity-robust inference, wild bootstrap

Inference on Co-Integration Parameters in Heteroskedastic Vector Autoregressions

Tinbergen Institute 13-187/III
Number of pages: 53 Posted: 27 Nov 2013
H. Peter Boswijk, Giuseppe Cavaliere, Anders Rahbek, Robert Taylor and Robert Taylor
Amsterdam School of Economics, University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of EssexUniversity of Essex - Essex Business School
Downloads 56 (691,772)
Citation 1

Abstract:

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co-integration, adjustment coefficients, (un)conditional heteroskedasticity, heteroskedasticity-robust inference, wild bootstrap