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Cited by 512

The DOI matches its Crossref record; 62 of the 62 references it cites were found in a registry or an index.

Quantile cointegration in the autoregressive distributed-lag modeling framework

Cho, Jin Seo, Kim, Tae-hwan, Shin, Yongcheol·2015·Journal of Econometrics
DOI 10.1016/j.jeconom.2015.05.003
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Citations

Cites

Show all 62 references

Research works printed but not linked: 10

  1. Acharya, V., Pedersen, L.H., Philippon, T., Richardson, M., 2011. Measuring Systemic Risk. Working Paper. New York University. · doi:10.26509/frbc-wp-201002
  2. Adrian, T., Brunnermeier, M., 2010. CoVaR. Working Paper. Princeton University. · doi:10.3386/w17454
  3. Cho, 2010, LAD asymptotics for conditionally heteroskedastic time-series data with possibly infinite error densities, Econometric Theory, 26, 953, 10.1017/S0266466609990703 · doi:10.1017/s0266466609990703
  4. Garrett, 2000, Dividend behavior and dividend signaling, J. Financ. Quant. Anal., 35, 173, 10.2307/2676189 · doi:10.2307/2676189
  5. Hall, 1988, On the distribution of a studentized quantile, J. R. Stat. Soc. Ser. B Stat. Methodol., 50, 381, 10.1111/j.2517-6161.1988.tb01735.x · doi:10.1111/j.2517-6161.1988.tb01735.x
  6. Han, 2011, Infinite density at the median and the typical shape of stock return distributions, J. Bus. Econom. Statist., 29, 282, 10.1198/jbes.2010.07327 · doi:10.1198/jbes.2010.07327
  7. Hanyunga, 2009, Dividend behavior of US equity REITs, J. Prop. Res., 26, 105, 10.1080/09599910903441549 · doi:10.1080/09599910903441549
  8. Knight, 1998, Limiting distributions for L1 regression estimators under general conditions, Ann. Statist., 26, 755, 10.1214/aos/1028144858 · doi:10.1214/aos/1028144858
  9. Phillips, 1991, A shortcut to LAD estimator asymptotics, Econometric Theory, 7, 450, 10.1017/S0266466600004709 · doi:10.1017/s0266466600004709
  10. Tsong, 2013, Quantile cointegration analysis of the Fisher hypothesis, J. Macroecon., 35, 186, 10.1016/j.jmacro.2012.11.001 · doi:10.1016/j.jmacro.2012.11.001

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Metadata

Authors
Cho, J. S., Kim, T.-H., & Shin, Y.
Venue
Journal of Econometrics
Publisher
Elsevier BV
Published
2015-09
Volume
188
Issue
1
Pages
281-300
ISSN
0304-4076 (ISSN-L)
DOI
10.1016/j.jeconom.2015.05.003
OpenAlex
W2135603423
Cited by
512
References
62
FWCI
13.72
Type
journal article
Language
en
Open access
closed
Licence
  • www.elsevier.com/tdm/userlicense/1.0/ (tdm)
  • www.elsevier.com/legal/tdmrep-license (tdm)
Funders
Korean Government (NRF-2013S1A3A2053799)

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CoChat. (2026). Citation check: Quantile cointegration in the autoregressive distributed-lag modeling framework. https://app.cochat.ai/papers/10.1016/j.jeconom.2015.05.003
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Cho, J. S., Kim, T.-H., & Shin, Y. (2015). Quantile cointegration in the autoregressive distributed-lag modeling framework. Journal of Econometrics. https://doi.org/10.1016/j.jeconom.2015.05.003

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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.