@Copyright, Alex Maynard 2006-2022, All Rights Reserved.
Refereed Publications
"Long-horizon stock valuation and return forecasts based on demographic projections" (with Chaoyi Chen, Nikolay Gospodinov, and Elena Pesavento) Journal of Empirical Finance 2022, vol 68, p. 190–21 ( pre-print )
"Conditional Inference in Nearly Cointegrated Vector Error Correction Models with Small Signal-to-Noise-Ratio" (with Nikolay Gospodinov and Elena Pesavento) forthcoming, Advances in Econometrics, special issue in honor of Joon Y. Park.
"Fuel-Feed-Livestock Price Linkages under Structural Changes" (with Zhige Wu and Alfons Weersink)
Applied Economics 2022, vol 54 (Issue 2), p. 206-223
"The Finite Sample Power of Long-Horizon Predictive Tests in
Models with Financial Bubbles" (with Dongmeng Ren) International
Review of Financial Analysis 2019, Vol 63 418–430.
"Asymmetric Spot-Futures Price Adjustments in Grain Markets"
(with Zhige Wu, Alfons Weersink, and Getu Hailu) Journal of Futures
Markets 2018, Vol 38, 8 (Issue 12), p.1549-1564
"The Impact of Local Ethanol Production on Grain Basis in
Ontario," (with Wu, Z., Weersink, A., Hailu, G., & Vyn, R.)
Canadian Journal of Agricultural Economics 2017, Volume 65
(Issue 3), p.409-430
"Empirical Analysis of Corn and Soybean Basis in
Canada" (with Getu Hailu and Alfons Weersink) Applied Economics
incorporating Applied Financial Economics , 2015, Vol. 51 Issue
47, pp. 5491-5509.
"Assessing the Power of Long-Horizon Predictive Tests in
Models of Bull and Bear Markets" (with Dongmeng Ren) in Yoosoon Chang
, Thomas B. Fomby , Joon Y. Park (ed.) Essays in Honor of Peter
C. B. Phillips (Advances in Econometrics, Volume 33), 2014, Emerald
Group Publishing Limited, pp.673 - 711   (
pre-publication version )
"Long Memory Regressors and Predictive Regressions: A two-stage
rebalancing approach" (with Aaron Smallwood and
Mark
E. Wohar), Econometric Reviews 2013, Vol 32, Issue 3
pp. 318-360     Abstract     On-line appendix
"Persistence-robust Granger causality testing" (with Dietmar
Bauer), Journal of Econometrics, 2012, Vol 169, Issue 2, pg. 293-300.
   
Abstract
    Extended version
"Level crossing random walk test robust to the presence of
structural breaks" (with Vitali Alexeev),
Computational Statistics and Data Analysis 2012, Vol. 56, Isuue 11, pg. 3322-3344.     Abstract     working paper version
  link to publication
"Sensitivity of Impulse Responses to Small Low Frequency
Co-movements: Reconciling the Evidence on the Effects of Technology Shocks" (with Nikolay Gospodinov and Elena Pesavento),
Journal of Business and Economic Statistics, Vol. 29, Issue 4,
2011, pg 455-467.
    Abstract
    Paper
    Online Appendix
"Public insurance and private savings: who is
affected and by how much?" (with Jiaping Qiu), Journal of Applied Econometrics
Vol. 24, Issue 2, March 2009, pg 282-308   Abstract   preprint   replication files
"Covariance-based orthogonality tests for regressors with unknown persistence" (with Katsumi Shimotsu), Econometric Theory, Vol. 25, Issue 01, February 2009, pg 63-116.     Abstract
   
working paper version  
  (Supplement: kernel comparison)
"A new application of exact non-parametric methods to long-horizon predictability tests" (with Wei Liu ), Studies in Nonlinear Dynamics & Econometrics: Vol. 11 No. 1, Article 7. (2007)
http://www.bepress.com/snde/vol11/iss1/art7 (39 pages.)
    Abstract
  replication files
"The forward premium anomaly: statistical artifact or economic puzzle? New evidence from robust tests", Canadian Journal of Economics 39 (4) (November, 2006), 1244-1281.   Abstract
"Testing forward rate unbiasedness allowing for persistent regressors" (with Wei Liu ), Journal of Empirical Finance 12 (2005), 613-628.
  Abstract
"Testing for forward rate unbiasedness: on regression in levels and in returns," The Review of Economics and Statistics 85(2) (2003), 313-327.   Abstract
"Rethinking an old empirical puzzle: Econometric evidence on the forward discount anomaly" (with Peter C.B. Phillips), Journal of Applied Econometrics 16(6) (2001), 671-708.   Abstract  
  Preprint (Cowles Foundation Paper 1035)     Data submission
Book Reviews
"Review of Econometric Theory by James Davidson (Blackwell Publishers)", Econometric Theory 19 (2003), 665-674.
Editorials
"Special Issue “Celebrated Econometricians: Peter Phillips”" (with Federico Bandi, Hyungsik Roger R. Moon and Benoit Perron) Econometrics 9, no. 3: 29. https://doi.org/10.3390/econometrics9030029
Working Papers
Liu, Ruifeng and Maynard, Alex and Tsiakas, Ilias, Robust Conditional Kurtosis and the Cross-Section of International Stock Returns (December 9, 2022). Available at SSRN: https://ssrn.com/abstract=4397194
or http://dx.doi.org/10.2139/ssrn.4397194
"Inference in Predictive Quantile Regressions" (with Katsumi
Shimotsu, and Yini Wang), conditionally accepted, Journal of Econometrics , latest version ( Original
working paper version Under submission.)
"Improving Forecasts of Inflation using the
Term Structure of Interest Rates," (with Alonso Gomez and John Maheu), University of Toronto, Department of Economics, Working Paper 319.
   
Abstract
   
Paper