This paper analyses herding in cryptocurrency markets in the time of the COVID-19
pandemic. We employ a combination of quantitative methods to hourly prices of the four …

Using recently developed statistical methods for testing and dating exuberant behaviour in
asset prices we document evidence of episodic bubbles in the New Zealand property market …

Some recent work on the analysis of nonlinear and nonstationary time series models is
reviewed. A couple of novel results are obtained in extending nonlinear cointegrating …

In this article, we describe the implementation of fitting partially linear functional-coefficient
panel models with fixed effects proposed by An, Hsiao, and Li [2016, Semiparametric …

Rajan and Zingales (2003) hypothesize that openness—trade and financial—is a crucial
determinant of financial development. The main policy implication emerging from this …

In this review, we highlight some recent methodological and theoretical developments in
estimation and testing of large panel data models with cross-sectional dependence. The …

Existing research has demonstrated the effectiveness of hybrid models in improving the
accuracy of crude oil forecasting compared to single models. However, these works usually …

This paper considers nonparametric additive models that have a deterministic time trend
and both stationary and integrated variables as components. The diverse nature of the …

This paper studies nonlinear cointegration models in which the structural coefficients may
evolve smoothly over time, and considers time-varying coefficient functions estimated by …

We propose a gradient radial basis function based varying-coefficient autoregressive (GRBF-
AR) model for modeling and predicting time series that exhibit nonlinearity and …