Matei Demetrescu
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Matei |
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Demetrescu |
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Affiliations
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TU Dortmund, Fakultät Statistik
- https://www.statistik.uni-dortmund.de
- location: Dortmund, Germany
Research profile
author of:
- The Power of Unit Root Tests Against Nonlinear Local Alternatives (RePEc:aah:create:2012-01)
by Matei Demetrescu & Robinson Kruse - Fixed-b Inference in the Presence of Time-Varying Volatility (RePEc:aah:create:2016-01)
by Matei Demetrescu & Christoph Hanck & Robinson Kruse - Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models (RePEc:aah:create:2021-07)
by Matei Demetrescu & Robinson Kruse-Becher - The power of unit root tests against nonlinear local alternatives (RePEc:bla:jtsera:v:34:y:2013:i:1:p:40-61)
by Matei Demetrescu & Robinson Kruse - Iv-Based Cointegration Testing In Dependent Panels With Time-Varying Variance (RePEc:bla:jtsera:v:35:y:2014:i:5:p:393-406)
by Matei Demetrescu & Christoph Hanck & Adina I. Tarcolea - Autoregressive spectral estimates under ignored changes in the mean (RePEc:bla:jtsera:v:43:y:2022:i:2:p:329-340)
by Matei Demetrescu & Mehdi Hosseinkouchack - Combining Significance of Correlated Statistics with Application to Panel Data (RePEc:bla:obuest:v:68:y:2006:i:5:p:647-663)
by Matei Demetrescu & Uwe Hassler & Adina‐Ioana Tarcolea - Incorporating Asymmetric Preferences into Fan Charts and Path Forecasts (RePEc:bla:obuest:v:76:y:2014:i:2:p:287-297)
by Matei Demetrescu & Mu-Chun Wang - Multiple Testing for No Cointegration under Nonstationary Volatility (RePEc:bla:obuest:v:80:y:2018:i:3:p:485-513)
by Matei Demetrescu & Christoph Hanck - Predictive regressions under asymmetric loss: factor augmentation and model selection (RePEc:boe:boeewp:0723)
by Demetrescu, Matei & Hacioglu Hoke, Sinem - Determining the Parameters of a Multinomial Distribution: The Fiducial Approach (RePEc:bpj:ecqcon:v:20:y:2005:i:2:p:177-189:n:3)
by Heike Hans-Dieter & Târcolea Constantin & Demetrescu Matei & Tarcolea Adina-Ioana - Loss Reduction in Point Estimation Problems (RePEc:bpj:ecqcon:v:21:y:2006:i:2:p:209-217:n:4)
by Heike Hans-Dieter & Demetrescu Matei - Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes (RePEc:bpj:jtsmet:v:1:y:2009:i:2:n:3)
by Demetrescu Matei - Recursive Adjustment for General Deterministic Components and Improved Cointegration Rank Tests (RePEc:bpj:jtsmet:v:7:y:2015:i:2:p:143-179:n:2)
by Born Benjamin & Demetrescu Matei - Long Memory Testing In The Time Domain (RePEc:cup:etheor:v:24:y:2008:i:01:p:176-215_08)
by Demetrescu, Matei & Kuzin, Vladimir & Hassler, Uwe - (When) Do Long Autoregressions Account For Neglected Changes In Parameters? (RePEc:cup:etheor:v:32:y:2016:i:06:p:1317-1348_00)
by Demetrescu, Matei & Hassler, Uwe - Finite-Sample Size Control Of Ivx-Based Tests In Predictive Regressions (RePEc:cup:etheor:v:37:y:2021:i:4:p:769-793_5)
by Hosseinkouchack, Mehdi & Demetrescu, Matei - Volatility Clustering in High-Frequency Data: A self-fulfilling prophecy? (RePEc:ebl:ecbull:eb-07g10014)
by Matei Demetrescu - Panel unit root testing and the martingale difference hypothesis for German stocks (RePEc:ebl:ecbull:eb-09-00155)
by Matei Demetrescu - Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term (RePEc:ect:emjrnl:v:12:y:2009:i:3:p:414-435)
by Matei Demetrescu & Helmut Lütkepohl & Pentti Saikkonen - An extension of the Gauss-Newton algorithm for estimation under asymmetric loss (RePEc:eee:csdana:v:50:y:2006:i:2:p:379-401)
by Demetrescu, Matei - Joint forecasts of Dow Jones stocks under general multivariate loss function (RePEc:eee:csdana:v:54:y:2010:i:11:p:2360-2371)
by Alp, Tansel & Demetrescu, Matei - Testing for no cointegration in vector autoregressions with estimated degree of fractional integration (RePEc:eee:ecmode:v:108:y:2022:i:c:s0264999321002832)
by Demetrescu, Matei & Kusin, Vladimir & Salish, Nazarii - A simple nonstationary-volatility robust panel unit root test (RePEc:eee:ecolet:v:117:y:2012:i:1:p:10-13)
by Demetrescu, Matei & Hanck, Christoph - Enhancing the local power of IVX-based tests in predictive regressions (RePEc:eee:ecolet:v:124:y:2014:i:2:p:269-273)
by Demetrescu, Matei - Inference on the long-memory properties of time series with non-stationary volatility (RePEc:eee:ecolet:v:144:y:2016:i:c:p:80-84)
by Demetrescu, Matei & Sibbertsen, Philipp - Instrumental variable and variable addition based inference in predictive regressions (RePEc:eee:econom:v:187:y:2015:i:1:p:358-375)
by Breitung, Jörg & Demetrescu, Matei - Testing for episodic predictability in stock returns (RePEc:eee:econom:v:227:y:2022:i:1:p:85-113)
by Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo M.M. & Taylor, A.M. Robert - Residual-augmented IVX predictive regression (RePEc:eee:econom:v:227:y:2022:i:2:p:429-460)
by Demetrescu, Matei & Rodrigues, Paulo M.M. - Extensions to IVX methods of inference for return predictability (RePEc:eee:econom:v:237:y:2023:i:2:s0304407622000586)
by Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo M.M. & Taylor, A.M. Robert - Transformed regression-based long-horizon predictability tests (RePEc:eee:econom:v:237:y:2023:i:2:s0304407622001294)
by Demetrescu, Matei & Rodrigues, Paulo M.M. & Taylor, A.M. Robert - Predictive regressions under asymmetric loss: Factor augmentation and model selection (RePEc:eee:intfor:v:35:y:2019:i:1:p:80-99)
by Demetrescu, Matei & Hacıoğlu Hoke, Sinem - Bias corrections for exponentially transformed forecasts: Are they worth the effort? (RePEc:eee:intfor:v:36:y:2020:i:3:p:761-780)
by Demetrescu, Matei & Golosnoy, Vasyl & Titova, Anna - Testing for Episodic Predictability in Stock Returns (RePEc:esy:uefcwp:24137)
by Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo MM & Taylor, AM Robert - Extensions to IVX Methods of Inference for Return Predictability (RePEc:esy:uefcwp:29779)
by Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo MM & Taylor, AM Robert - Transformed Regression-based Long-Horizon Predictability Tests (RePEc:esy:uefcwp:30620)
by Demetrescu, Matei & Rodrigues, Paulo MM & Taylor, AM Robert - Predictive Quantile Regressions with Persistent and Heteroskedastic Predictors: A Powerful 2SLS Testing Approach (RePEc:esy:uefcwp:37486)
by Demetrescu, Matei & Rodrigues, Paulo MM & Taylor, AM Robert - Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term (RePEc:eui:euiwps:eco2008/24)
by Matei Demetrescu & Helmut Luetkepohl & Pentti Saikkonen - Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility (RePEc:han:dpaper:dp-531)
by Demetrescu, Matei & Sibbertsen, Philipp - Monitoring Value-at-Risk and Expected Shortfall Forecasts (RePEc:inm:ormnsc:v:69:y:2023:i:5:p:2954-2971)
by Yannick Hoga & Matei Demetrescu - Spurious Persistence and Unit Roots due to Seasonal Differencing: The Case of Inflation Rates / Künstliche Persistenz und Einheitswurzeln infolge saisonaler Differenzen: Das Beispiel Inflationsraten (RePEc:jns:jbstat:v:225:y:2005:i:4:p:413-426)
by Hassler Uwe & Demetrescu Matei - Optimal forecast intervals under asymmetric loss (RePEc:jof:jforec:v:26:y:2007:i:4:p:227-238)
by Matei Demetrescu - Testing for constant correlation of filtered series under structural change (RePEc:oup:emjrnl:v:22:y:2019:i:1:p:10-33.)
by Matei Demetrescu & Dominik Wied - Residual-augmented IVX predictive regression (RePEc:ptu:wpaper:w201605)
by Paulo M.M. Rodrigues & Matei Demetrescu - Testing the fractionally integrated hypothesis using M estimation: With an application to stock market volatility (RePEc:ptu:wpaper:w201817)
by Paulo M.M. Rodrigues & Matei Demetrescu - Testing for Episodic Predictability in Stock Returns (RePEc:ptu:wpaper:w201906)
by Paulo M.M. Rodrigues & Matei Demetrescu - Extensions to IVX methods of inference for return predictability (RePEc:ptu:wpaper:w202104)
by Paulo M.M. Rodrigues & Matei Demetrescu - Cross-Sectional Error Dependence in Panel Quantile Regressions (RePEc:ptu:wpaper:w202213)
by Paulo M.M. Rodrigues & Matei Demetrescu - Bias correction for the regression-based LM fractional integration test (RePEc:spr:alstar:v:92:y:2008:i:1:p:91-99)
by Matei Demetrescu & Adina Tarcolea - Asymptotic normal tests for integration in panels with cross-dependent units (RePEc:spr:alstar:v:95:y:2011:i:2:p:187-204)
by Uwe Hassler & Matei Demetrescu & Adina Tarcolea - Pitfalls of post-model-selection testing: experimental quantification (RePEc:spr:empeco:v:40:y:2011:i:2:p:359-372)
by Matei Demetrescu & Uwe Hassler & Vladimir Kuzin - Effect of neglected deterministic seasonality on unit root tests (RePEc:spr:stpapr:v:48:y:2007:i:3:p:385-402)
by Matei Demetrescu & Uwe Hassler - On the Dickey–Fuller test with White standard errors (RePEc:spr:stpapr:v:51:y:2010:i:1:p:11-25)
by Matei Demetrescu - Nonlinear IV panel unit root testing under structural breaks in the error variance (RePEc:spr:stpapr:v:54:y:2013:i:4:p:1043-1066)
by Matei Demetrescu & Christoph Hanck - Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances (RePEc:taf:emetrv:v:35:y:2016:i:5:p:751-781)
by Matei Demetrescu & Christoph Hanck - Homogeneous vs. heterogeneous transition functions in panel smooth transition regressions (RePEc:taf:emetrv:v:40:y:2021:i:2:p:177-196)
by Matei Demetrescu & Julian S. Leppin & Stefan Reitz - Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost (RePEc:taf:japsta:v:37:y:2010:i:8:p:1381-1397)
by Matei Demetrescu & Uwe Hassler & Adina Tarcolea - Unit Root Testing in Heteroscedastic Panels Using the Cauchy Estimator (RePEc:taf:jnlbes:v:30:y:2011:i:2:p:256-264)
by Matei Demetrescu & Christoph Hanck - Nonlinear Predictability of Stock Returns? Parametric Versus Nonparametric Inference in Predictive Regressions (RePEc:taf:jnlbes:v:40:y:2022:i:1:p:382-397)
by Matei Demetrescu & Benjamin Hillmann - Directed Tests of No Cross‐Sectional Correlation in Large‐N Panel Data Models (RePEc:wly:japmet:v:31:y:2016:i:1:p:4-31)
by Matei Demetrescu & Ulrich Homm - Reevaluating the prudence of economic forecasts in the EU: The role of instrument persistence (RePEc:wly:japmet:v:36:y:2021:i:1:p:151-161)
by Matei Demetrescu & Christoph Roling & Anna Titova - Robust inference under time‐varying volatility: A real‐time evaluation of professional forecasters (RePEc:wly:japmet:v:37:y:2022:i:5:p:1010-1030)
by Matei Demetrescu & Christoph Hanck & Robinson Kruse‐Becher - Homogenous vs. heterogenous transition functions in smooth transition regressions: A LM-type test (RePEc:zbw:ifwkwp:2094)
by Demetrescu, Matei & Leppin, Julian Sebastian & Reitz, Stefan - Tests of no cross-sectional error dependence in panel quantile regressions (RePEc:zbw:rwirep:1041)
by Demetrescu, Matei & Hosseinkouchack, Mehdi & Rodrigues, Paulo M. M. - IV-Based Cointegration Testing in Dependent Panels with Time-Varying Variance (RePEc:zbw:vfsc12:62072)
by Hanck, Christoph & Demetrescu, Matei & Tarcolea, Adina - Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility (RePEc:zbw:vfsc15:112916)
by Hanck, Christoph & Demetrescu, Matei & Kruse, Robinson - Testing heteroskedastic time series for normality (RePEc:zbw:vfsc15:113221)
by Demetrescu, Matei & Kruse, Robinson