Browse by JEL codes

A

Ahmadi, Pooyan Amir and Ritschl, Albrecht (2009) Depression econometrics: a FAVAR model of monetary policy during the Great Depression. CEP Discussion Papers (CEPDP0967). London School of Economics and Political Science. Centre for Economic Performance, London, UK.

B

Bryzgalova, Svetlana, Huang, Jiantao and Julliard, Christian ORCID: 0000-0001-8177-7441 (2020) Bayesian solutions for the factor zoo: we just ran two quadrillion models. Systemic Risk Centre Discussion Papers (93). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Bryzgalova, Svetlana and Julliard, Christian ORCID: 0000-0001-8177-7441 (2020) Consumption in asset returns. Systemic Risk Centre Discussion Papers (92). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

C

Chiu, Ching-Wai (Jeremy), Mumtaz, Haroon and Pinter, Gabor (2016) VAR models with non-Gaussian shocks. CFM discussion paper series (CFM-DP2016-09). Centre For Macroeconomics, London, UK.

D

Dasgupta, Amil ORCID: 0000-0001-8474-9470, Leon-Gonzalez, Roberto and Shortland, Anja (2006) Regionality revisited: an examination of the direction of spread of currency crises. Financial Markets Group Discussion Papers (584). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Dasgupta, Amil ORCID: 0000-0001-8474-9470, Leon-Gonzalez, Roberto and Shortland, Anja (2011) Regionality revisited: an examination of the direction of spread of currency crises. Journal of International Money and Finance, 30 (5). 831 - 848. ISSN 0261-5606

Ding, Yihong, Balcombe, Kelvin and Robinson, Elizabeth ORCID: 0000-0002-4950-0183 (2021) Time discounting and implications for Chinese farmer responses to an upward trend in precipitation. Journal of Agricultural Economics, 72 (3). 916 - 930. ISSN 0021-857X

E

Ellul, Andrew (2001) The dealers ride again: volatility and order flow dynamics in a hybrid market. Financial Markets Group Discussion Papers (368). Financial Markets Group, The London School of Economics and Political Science, London, UK.

F

Fiorentini, Gabriele, Sentana, Enrique and Shephard, Neil (2003) Likelihood-based estimation of latent generalised ARCH structures. Financial Markets Group Discussion Papers (453). Financial Markets Group, The London School of Economics and Political Science, London, UK.

G

Gerba, Eddie and Hauzenberger, Klemens (2013) Estimating US fiscal and monetary interactions in a time varying VAR. School of Economics discussion paper (KDPE 1303). University of Kent, Canterbury, UK.

H

Hobcraft, John and Sigle-Rushton, Wendy ORCID: 0000-0002-8450-960X (2005) An exploration of childhood antecedents of female adult malaise in two British birth cohorts: combining Bayesian model averaging and recursive partitioning. CASEpaper (95). Centre for Analysis of Social Exclusion, London, UK.

J

Jarocinski, Marek and Marcet, Albert (2011) Autoregressions in small samples, priors about observables and initial conditions. CEP Discussion Papers (CEPDP1061). London School of Economics and Political Science. Centre for Economic Performance, London, UK.

Julliard, Christian ORCID: 0000-0001-8177-7441 and Ghosh, Anisha (2008) Can rare events explain the equity premium puzzle? Financial Markets Group Discussion Papers (610). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Julliard, Christian ORCID: 0000-0001-8177-7441 and Ghosh, Anisha (2012) Can rare events explain the equity premium puzzle? Review of Financial Studies, 25 (10). pp. 3037-3076. ISSN 0893-9454

K

Kalogeropoulos, Konstantinos ORCID: 0000-0002-0330-9105 (2007) Likelihood-based inference for a class of multivariate diffusions with unobserved paths. Journal of Statistical Planning and Inference, 137 (10). pp. 3092-3102. ISSN 0378-3758

Kalogeropoulos, Konstantinos ORCID: 0000-0002-0330-9105, Dellaportas, Petros and Roberts, Gareth O. (2011) Likelihood based inference for correlated diffusions. Canadian Journal of Statistics, 39 (1). pp. 52-72. ISSN 0319-5724

Kalogeropoulos, Konstantinos ORCID: 0000-0002-0330-9105, Roberts, Gareth O. and Dellaportas, Petros (2010) Inference for stochastic volatility models using time change transformations. Annals of Statistics, 38 (2). pp. 784-807. ISSN 0090-5364

Kardaras, Constantinos ORCID: 0000-0001-6903-4506 and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2020) Filtration shrinkage, the structure of deflators, and failure of market completeness. Finance and Stochastics, 24 (4). 871 - 901. ISSN 0949-2984

M

Mariolis, Theodore, Konstantakis, Konstantinos N., Michaelides, Panayotis G. and Tsionas, Efthymios G. (2019) A non-linear Keynesian Goodwin-type endogenous model of the cycle: Bayesian evidence for the USA. Studies in Nonlinear Dynamics and Econometrics, 23 (1). ISSN 1081-1826

Martin, Ian W.R. ORCID: 0000-0001-8373-5317 and Nagel, Stefan (2022) Market efficiency in the age of big data. Journal of Financial Economics, 145 (1). 154 - 177. ISSN 0304-405X

Maynou, Laia, Coll-de-Tuero, Gabriel and Saez, Marc (2019) The effects of copayment in primary health care: evidence from a natural experiment. European Journal of Health Economics, 20 (8). pp. 1237-1248. ISSN 1618-7601

Maynou-Pujolras, Laia ORCID: 0000-0002-0447-2959, Saez, Marc, Bacaria, Jordi and Lopez-Casasnovas, Guillem (2014) Health inequalities in the European Union: an empirical analysis of the dynamics of regional differences. European Journal of Health Economics, 16 (5). pp. 543-559. ISSN 1618-7598

N

Nascimento, Marcus Gerardus L., Becker, Kalinca L. and Mendonça, Mario Jorge (2020) Implications of Brazilian institutional guidelines on educational efficiency. Economía, 21 (1). 147 - 168. ISSN 1529-7470

P

Peters, Michael and Szentes, Balázs (2012) Definable and contractible contracts. Econometrica, 80 (1). pp. 363-411. ISSN 0012-9682

Pizzinelli, Carlo, Theodoridis, Konstantinos and Zanetti, Francesco (2018) State dependence in labor market fluctuations: evidence, theory, and policy implications. CFM Discussion Paper Series (CFM-DP2018-22). Centre For Macroeconomics, London School of Economics and Political Science, London, UK.

S

Sariev, Eduard and Germano, Guido (2020) Bayesian regularized artificial neural networks for the estimation of the probability of default. Quantitative Finance, 20 (2). pp. 311-328. ISSN 1469-7688

Sattler, Thomas, Brandt, Patrick T. and Freeman, John R. (2010) Democratic accountability in open economies. Quarterly Journal of Political Science, 5 (1). pp. 71-97. ISSN 1554-0626

Shanken, Jay and Tamayo, Ane ORCID: 0000-0001-7154-0221 (2012) Payout yield, risk, and mispricing: A Bayesian analysis. Journal of Financial Economics, 105 (1). pp. 131-152. ISSN 0304-405X

Shiryaev, Albert N., Zhitlukhin, Mikhail N. and Ziemba, William T. (2014) Land and stock bubbles, crashes and exit strategies in Japan circa 1990 and in 2013. Systemic Risk Centre Discussion Papers (20). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

T

Tsionas, Efthymios G., Tran, Kien C. and Michaelides, Panayotis G. (2017) Bayesian inference in threshold stochastic frontier models. Empirical Economics. ISSN 0377-7332