Browse by JEL codes

A

Artis, Michael, Curran, Declan and Sensier, Marianne (2011) Investigating agglomeration economies in a panel of European cities and regions. SERC Discussion Papers (SERCDP0078). Spatial Economics Research Centre (SERC), London School of Economics and Political Science, London, UK.

B

Broto, Carmen, Díaz-Cassou, Javier and Erce, Aitor (2011) Measuring and explaining the volatility of capital flows to emerging countries. Journal of Banking and Finance, 35 (8). pp. 1941-1953. ISSN 0378-4266

Busetti, Fabio and Harvey, Andrew (1998) Testing for the presence of a random walk in series with structural breaks. EM (365). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

C

Carrasco, M., Chernov, Mikhail, Florens, Jean-Pierre and Ghysels, E. (2007) Efficient estimation of general dynamic models with a continuum of moment conditions. Journal of Econometrics, 140 (2). pp. 529-573. ISSN 0304-4076

Chen, Xiaohong, Linton, Oliver and Robinson, Peter (2001) The estimation of conditional densities. Econometrics; EM/2001/415 (EM/01/415). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

D

Dalla, Violetta, Giraitis, Liudas and Hidalgo, Javier (2006) Consistent estimation of the memory parameter for nonlinear time series. EM (497). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Dalla, Violetta, Giraitis, Liudas and Robinson, Peter M. (2020) Asymptotic theory for time series with changing mean and variance. Journal of Econometrics, 219 (2). 281 - 313. ISSN 0304-4076

Dalla, Violetta and Hidalgo, Javier (2005) A parametric bootstrap test for cycles. Econometrics Paper (EM/2005/486). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Dalla, Violetta and Hidalgo, Javier (2005) A parametric bootstrap test for cycles. Journal of Econometrics, 129 (1-2). pp. 219-261. ISSN 0304-4076

Daniele, Vittorio, Foresti, Pasquale and Napolitano, Oreste (2017) The stability of money demand in the long-run: Italy 1861–2011. Cliometrica, 11 (2). pp. 217-244. ISSN 1863-2505

Danielsson, Jon ORCID: 0009-0006-9844-7960 (2011) Financial risk forecasting: the theory and practice of forecasting market risk with implementation in R and Matlab. Wiley-Blackwell. ISBN 9780470669433

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Payne, Richard (1999) Real trading patterns and prices in spot foreign exchange markets. Financial Markets Group Discussion Papers (320). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Delgado, Miguel A, Hidalgo, Javier and Velasco, Carlos (2009) Bootstrap assisted specification tests for the FARIMA model. In: Third Time Series conference, 2009-05-22 - 2009-05-23, Montréal, Canada, CAN.

Delgado, Miguel A., Hidalgo, Javier and Velasco, Carlos (2005) Distribution free goodness-of-fit tests for linear processes. EM (482). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

E

Esteve, Vicente and Prats, María A. (2023) External sustainability in Spanish economy: bubbles and crises, 1970–2020. Review of International Economics, 31 (1). 60 - 80. ISSN 0965-7576

F

Fan, Jianqing, Yao, Qiwei ORCID: 0000-0003-2065-8486 and Cai, Zongwu (2000) Adaptive varying-coefficient linear models. EM (388). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

G

Gil-Alana, L A and Robinson, Peter M. (2000) Testing of seasonal fractional integration in UK and Japanese consumption and income. Econometrics; EM/2000/402 (EM/00/402). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Giraitis, Liudas, Hidalgo, Javier and Robinson, Peter (2001) Gaussian estimation of parametric spectral density with unknown pole. Econometrics; EM/2001/424 (EM/01/424). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Giraitis, Liudas, Leipus, Remigijus, Robinson, Peter M. and Surgailis, Donatas (2003) LARCH, leverage and long memory. Econometrics; EM/2003/460 (EM/03/460). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Giraitis, Liudas and Robinson, Peter M. (2001) Parametric estimation under long-range dependence. Econometrics; EM/2001/416 (EM/01/416). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Giraitis, Liudas and Robinson, Peter M. (1998) Variance-type estimation of long memory. Econometrics; EM/1998/363 (EM/98/363). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Giraitis, Liudas and Robinson, Peter M. (2000) Whittle estimation of ARCH models. Econometrics; EM/2000/406 (EM/00/406). Suntory and Toyota International Centres for Economics and Related Disciplines, London.

Gonçalves da Silva, Afonso and Robinson, Peter (2007) Fractional cointegration in stochastic volatility models. . Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Gospodinov, Nikolay and Otsu, Taisuke ORCID: 0000-0002-2307-143X (2012) Local GMM estimation of time series models with conditional moment restrictions. Journal of Econometrics, 170 (2). pp. 476-490. ISSN 0304-4076

Gómez-Zamudio, Luis M. and Ibarra, Raúl (2017) Are daily financial data useful for forecasting GDP? Evidence from Mexico. Economía, 17 (2). 173 - 203. ISSN 1529-7470

H

Haldane, Andrew and Quah, Danny (1999) UK Phillips curves and monetary policy. Journal of Monetary Economics, 44 (2). pp. 259-278. ISSN 0304-3932

Hidalgo, Javier (2002) Consistent order selection with strongly dependent data and its application to efficient estimation. EM (430). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Hidalgo, Javier (2002) Consistent order selection with strongly dependent data and its application to efficient estimation. Journal of Econometrics, 110 (2). pp. 213-239. ISSN 0304-4076

Hidalgo, Javier (2005) Semiparametric estimation for stationary processes whose spectra have an unknown pole. EM (481). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Hidalgo, Javier (2007) Specification testing for regression models with dependent data. EM (518). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Hidalgo, Javier (2003) An alternative bootstrap to moving blocks for time series regression models. Journal of Econometrics, 117 (2). pp. 369-399. ISSN 0304-4076

Hidalgo, Javier (2003) An alternative bootstrap to moving blocks for time series regression models. EM (452). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Hidalgo, Javier (2003) A bootstrap causality test for covariance stationary processes. EM (462). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Hidalgo, Javier (2005) A bootstrap causality test for covariance stationary processes. Journal of Econometrics, 126 (1). pp. 115-143. ISSN 0304-4076

Hidalgo, Javier and Robinson, Peter (2001) Adapting to unknown disturbance autocorrelation in regression with long memory. Econometrics; EM/2001/427 (EM/01/427). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Hidalgo, Javier and Yajima, Y. (2001) Prediction and signal extraction of strong dependent processess in the frequency domain. EM (418). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Hidalgo, Javier and Zaffaroni, Paolo (2007) A goodness-of-fit test for ARCH(∞)(∞) models. Journal of Econometrics, 141 (2). pp. 835-875. ISSN 0304-4076

Hodgson, Douglas J, Linton, Oliver and Vorkink, Keith (2004) Testing forward exchange rate unbiasedness efficiently : a semiparametric approach. Journal of Applied Economics, 7 (2). pp. 325-353. ISSN 1514-0326

Hodgson, Douglas J, Linton, Oliver and Vorkink, Keith (2000) Testing the capital asset pricing model efficiently under elliptical symmetry : a semiparametric approach. Econometrics; EM/2000/398 (EM/00/398). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Hualde, Javier and Robinson, Peter (2011) Gaussian pseudo-maximum likelihood estimation of fractional time series models. Annals of Statistics, 39 (6). pp. 3152-3181. ISSN 0090-5364

I

Iacone, Fabrizio and Robinson, Peter M. (2004) Cointegration in fractional systems with deterministic trends. Econometrics; EM/2004/476 (EM/04/476). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

J

Jana, Rabin K., Ghosh, Indranil, Jawadi, Fredj, Uddin, Gazi Salah and Sousa, Ricardo M. (2022) COVID-19 news and the US equity market interactions: an inspection through econometric and machine learning lens. Annals of Operations Research. ISSN 0254-5330

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.

Jawadi, Fredj, Mallick, Sushanta Kumar and Sousa, Ricardo J. (2014) Nonlinear monetary policy reaction functions in large emerging economies: the case of Brazil and China. Applied Economics, 46 (9). pp. 973-984. ISSN 0003-6846

Jobst, Andreas A. (2002) Loan securitisation: default term structure and asset pricing based on loss prioritisation. Financial Markets Group Discussion Papers (422). Financial Markets Group, The London School of Economics and Political Science, London, UK.

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, 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

Karadima, Maria and Louri, Helen (2021) Determinants of non-performing loans in Greece: the intricate role of fiscal expansion. GreeSE papers (160). Hellenic Observatory, London School of Economics and Political Science, London, UK.

Kim, Woocheol and Linton, Oliver (2004) A local instrumental variable estimation method for generalized additive volatility models. Financial Markets Group Discussion Papers (509). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Koundouri, Phoebe, Kourogenis, Nikolaos, Pittis, Nikitas and Samartzis, Panagiotis (2016) Factor models of stock returns: GARCH errors versus time-varying betas. Journal of Forecasting, 35 (5). pp. 445-461. ISSN 0277-6693

Kristensen, Dennis (2004) Estimation of partial differential equations with applications in finance. Financial Markets Group Discussion Papers (499). Financial Markets Group, The London School of Economics and Political Science, London, UK.

L

Linton, Oliver (2004) Nonparametric inference for unbalanced time series data. Econometrics; EM/2004/474 (EM/04/474). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Linton, Oliver (2008) A nonparametric threshold model with application to zero returns. Statistics and Its Interface, 1 (2). pp. 321-326. ISSN 1938-7997

Linton, Oliver and Whang, Yoon-Jae (2003) A quantilogram approach to evaluating directional predictability. Econometrics; EM/2003/463 (EM/03/463). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Liu, Jun M., Chen, Rong and Yao, Qiwei ORCID: 0000-0003-2065-8486 (2010) Nonparametric transfer function models. Journal of Econometrics, 157 (1). pp. 151-164. ISSN 0304-4076

M

Malkhozov, Aytek and Tamoni, Andrea (2015) News shocks and asset prices. Systemic Risk Centre Discussion Papers (34). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Marinucci, D and Robinson, Peter (2001) Narrow-band analysis of nonstationary processes. Econometrics; EM/2001/421 (EM/01/421). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Marinucci, D and Robinson, Peter M. (2001) Semiparametric fractional cointegration analysis. Econometrics; EM/2001/420 (EM/01/420). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Marinucci, D and Robinson, Peter M. (1998) Semiparametric frequency domain analysis of fractional cointegration. Econometrics; EM/1998/348 (EM/98/348). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Marinucci, D and Robinson, Peter M. (2000) The averaged periodogram for nonstationary vector time series. Econometrics; EM/2000/408 (EM/00/408). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Marinucci, D. and Robinson, Peter (2001) Finite sample improvements in statistical inference with I(1) processes. Econometrics; EM/2001/422 (EM/01/422). Suntory and Toyota International Centres for Economics and Related Disciplines, London.

Megir, Costas and Quah, Danny (1995) Regional convergence clusters across Europe. CEP discussion paper; CEPDP0274 (274). London School of Economics and Political Science. Centre for Economic Performance, London, UK.

Mencia, Javier F. and Sentana, Enrique (2004) Estimation and testing of dynamic models with generalised hyperbolic innovations. Financial Markets Group Discussion Papers (502). Financial Markets Group, The London School of Economics and Political Science, London, UK.

N

Nobay, A. Robert, Paya, Ivan and Peel, David A. (2007) Inflation dynamics in the US - a nonlinear perspective. Financial Markets Group Discussion Papers (601). Financial Markets Group, The London School of Economics and Political Science, London, UK.

O

Otsu, Taisuke ORCID: 0000-0002-2307-143X, Seo, Myung Hwan and Whang, Yoon-Jae (2012) Testing for non-nested conditional moment restrictions using unconditional empirical likelihood. Journal of Econometrics, 167 (2). pp. 370-382. ISSN 0304-4076

P

Patton, Andrew J. and Timmermann, Allan (2005) Testable implications of forecast optimality. EM (485). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Perez-Quiros, Gabriel and Timmermann, Allan (2001) Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities. Journal of Econometrics, 103 (1-2). 259 - 306. ISSN 0304-4076

Perez-Quiros, Gabriel and Timmermann, Allan (2000) Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities. Financial Markets Group Discussion Papers (360). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Pesaran, M. Hashem and Timmermann, Allan (2002) Market timing and return prediction under model instability. Financial Markets Group Discussion Papers (412). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Petralias, Athanassios, Petros, Sotirios and Prodromídis, Pródromos (2013) Greece in recession: economic predictions, mispredictions and policy implications. GreeSE: Hellenic Observatory papers on Greece and Southeast Europe (75). Hellenic Observatory, London School of Economics and Political Science, London, U.K..

Phillips, Lauren (2011) Politics and efficient markets: the impact of political information on financial market performance. In: ISA Annual Convention 2011: Global Governance: Political Authority in Transition, 2011-03-16 - 2011-03-19, Quebec, Canada, CAN. (Submitted)

Q

Quah, Danny (2000) Cross-country growth comparison : theory to empirics. CEP discussion paper; CEPDP0442 (442). London School of Economics and Political Science. Centre for Economic Performance, London, UK.

Quah, Danny (1999) Cross-country growth comparison : theory to empirics. CEPR discussion paper; no. 2294. Centre for Economic Policy Research (Great Britain), London.

Quah, Danny (1996) Empirics for economic growth and convergence. European Economic Review, 40 (6). pp. 1353-1375. ISSN 0014-2921

Quah, Danny (1995) Empirics for economic growth and convergence. CEP discussion paper; CEPDP0253 (253). London School of Economics and Political Science. Centre for Economic Performance, London, UK.

Quah, Danny (1993) Exploiting cross section variation for unit root inference in dynamic data. Financial Markets Group Discussion Papers (171). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Quah, Danny (1996) Regional convergence clusters across Europe. European Economic Review, 40 (3-5.). pp. 951-958. ISSN 0014-2921

R

Robinson, Peter (2008) Correlation testing in time series, spatial and cross-sectional data. Econometrics Papers (EM/2009/530). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Robinson, Peter (2008) Correlation testing in time series, spatial and cross-sectional data. Journal of Econometrics, 147 (1). pp. 5-16. ISSN 0304-4076

Robinson, Peter (2004) Efficiency improvements in inference on stationary and nonstationary fractional time series. Econometrics; EM/2004/480 (EM/04/480). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Robinson, Peter (2005) Modelling memory of economic and financial time series. Econometrics; EM/2005/487 (EM/05/487). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Robinson, Peter (2005) The distance between rival nonstationary fractional processes. Journal of Econometrics, 128 (2). pp. 283-300. ISSN 0304-4076

Robinson, Peter and Henry, Marc (2002) Higher-order kernel semiparametric M-estimation of long memory. Econometrics; EM/2002/436 (EM/02/436). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Robinson, Peter and Yajima, Yoshihiro (2001) Determination of cointegrating rank in fractional systems. Econometrics; EM/2001/423 (EM/01/423). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Robinson, Peter M. (2006) Nonparametric spectrum estimation for spatial data. . Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Robinson, Peter M. (2004) Robust covariance matrix estimation : HAC estimates with long memory/antipersistence correction. Econometrics; EM/2004/471 (EM/04/471). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Robinson, Peter M. (2004) The distance between rival nonstationary fractional processes. Econometrics; EM/2004/468 (EM/03/468). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Robinson, Peter M. (2014) The estimation of misspecified long memory models. Journal of Econometrics, 178 (2). pp. 225-230. ISSN 0304-4076

Robinson, Peter M. (2001) The memory of stochastic volatility models. Econometrics; EM/2001/410 (EM/01/410). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Robinson, Peter M. and Hualde, Javier (2003) Cointegration in fractional systems with unknown integration orders. Econometrics; EM/2003/449 (EM/03/449). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Robinson, Peter M. and Velasco, Carlos (2000) Edgeworth expansions for spectral density estimates and studentized sample mean. Econometrics; EM/2000/390 (EM/00/390). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Robinson, Peter M. and Velasco, Carlos (2000) Whittle pseudo-maximum likelihood estimation for nonstationary time series. Econometrics; EM/2000/391 (EM/00/391). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Robinson, Peter M. and Zaffaroni, Paolo (1997) Modelling nonlinearity and long memory in time series. Econometrics; EM/1997/319 (EM/1997/319). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

S

Sandmann, G. and Koopman, Siem (1996) Maximum likelihood estimation of stochastic volatility models. Financial Markets Group Discussion Papers (248). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Seo, Myung Hwan (2005) Unit root test in a threshold autoregression: asymptotic theory and residual-based block bootstrap. EM (484). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Shintani, Mototsugu and Linton, Oliver (2002) Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos. Econometrics; EM/2002/434 (EM/02/434). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Shintani, Mototsugu and Linton, Oliver (2003) Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos. Econometrics; EM/2003/455 (EM/03/455). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Sinha, Avik, Schneider, Nicolas, Song, Malin and Shahzad, Umer (2022) The determinants of solid waste generation in the OECD: evidence from cross-elasticity changes in a common correlated effects framework. Resources, Conservation and Recycling, 182. ISSN 0921-3449

Snell, Andy and Tonks, Ian (1996) Using time series methods to assess information and inventory effects in a dealer market in Il-liquid stocks. Financial Markets Group Discussion Papers (242). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Z

Zaffaroni, Paolo (2000) Stationarity and memory of ARCH models. EM (383). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.