| 1 August 2006 | Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
| Davidson, James |
| 6 September 2007 | Alternative frequency and time domain versions of fractional Brownian motion
| Davidson, James; Hashimzade, Nigar |
| 21 February 2006 | Asymptotic methods and functional central limit theorems
| Davidson, James |
| 13 July 2013 | Cointegration and error correction
| Davidson, James |
| 1 March 2012 | Consistent model specification testing
| Davidson, James; Halunga, Andreea G. |
| 1 August 2014 | Consistent testing of functional form in time series models
| Halunga, Andreea G.; Davidson, James |
| 26 November 2001 | Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes
| Davidson, James |
| 22 April 2004 | Forecasting Markov-switching dynamic, conditionally heteroscedastic processes
| Davidson, James |
| 1 October 2000 | The functional central limit theorem and weak convergence to stochastic integrals I: weakly dependent processes
| De Jong, Robert M.; Davidson, James |
| 1 October 2000 | The functional central limit theorem and weak convergence to stochastic integrals II: fractionally integrated processes
| Davidson, James; De Jong, Robert M. |
| 1 October 2008 | A general bound for the limiting distribution of Breitung's statistic
| Davidson, James; Magnus, Jan R.; Wiegerinck, Jan |
| 1 October 2005 | Generating schemes for long memory processes: regimes, aggregation and linearity
| Davidson, James; Sibbertsen, Philipp |
| 21 May 2007 | Implementing the wild bootstrap using a two-point distribution
| Davidson, James; Monticini, Andrea; Peel, David |
| 12 August 2002 | Long memory and nonlinear time series
| Davidson, James; Teräsvirta, Timo |
| 1 November 2007 | The long memory model of political support: some further results
| Byers, David; Davidson, James; Peel, David |
| 14 June 2002 | A model of fractional cointegration, and tests for cointegration using the bootstrap
| Davidson, James |
| 2004 | Moment and memory properties of linear conditional heteroscedasticity models, and a new model
| Davidson, James |
| 2008 | Representation and weak convergence of stochastic integrals with fractional integrator processes
| Davidson, James; Hashimzade, Nigar |
| 2009 | Representation and weak convergence of stochastic integrals with fractional integrator processes
| Davidson, James; Hashimzade, Nigar |
| 5 September 2015 | Strict stationarity, persistence and volatility forecasting in ARCH(∞) processes
| Davidson, James; Li, X |
