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Number of items at this level: 81.

Article

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

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

Dalla, Violetta and Hidalgo, Javier (2005) A parametric bootstrap test for cycles. Journal of Econometrics, 129 (1-2). pp. 219-261. ISSN 1872-6895

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

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. Journal of Econometrics, 110 (2). pp. 213-239. ISSN 0304-4076

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

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

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

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

Kalogeropoulos, Konstantinos (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, 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

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

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

Otsu, Taisuke, 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

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

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

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

Monograph

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.

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 School of Economics and Political Science, London, UK.

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 School of Economics and Political Science, London, UK.

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 School of Economics and Political Science, London, UK.

Dalla, Violetta and Hidalgo, Javier (2005) A parametric bootstrap test for cycles. EM, 486. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.

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 School of Economics and Political Science, London, UK.

Fan, Jianqing, Yao, Qiwei and Cai, Zongwu (2000) Adaptive varying-coefficient linear models. EM, 388. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.

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 School of Economics and Political Science, 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 School of Economics and Political Science, 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 School of Economics and Political Science, 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 School of Economics and Political Science, 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 School of Economics and Political Science, 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 School of Economics and Political Science, London.

Gonçalves da Silva, Afonso and Robinson, Peter (2007) Fractional cointegration in stochastic volatility models. EM/2007/519. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.

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 School of Economics and Political Science, London, UK.

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 School of Economics and Political Science, 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 School of Economics and Political Science, London, UK.

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 School of Economics and Political Science, 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 School of Economics and Political Science, London, UK.

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 School of Economics and Political Science, 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 School of Economics and Political Science, London, UK.

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 School of Economics and Political Science, London, UK.

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 School of Economics and Political Science, London, UK.

Jobst, Andreas A. (2002) Loan securitisation: default term structure and asset pricing based on loss prioritisation. Discussion paper, 422. Financial Markets Group, 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. Discussion paper, 509. Financial Markets Group, London School of Economics and Political Science, London, UK.

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 School of Economics and Political Science, London, UK.

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 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 School of Economics and Political Science, 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 School of Economics and Political Science, 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 School of Economics and Political Science, 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 School of Economics and Political Science, 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 School of Economics and Political Science, London.

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

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

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

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 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..

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

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

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

Robinson, Peter (2008) Correlation testing in time series, spatial and cross-sectional data. Econometrics Papers, EM/2009/530. Suntory Centre, London School of Economics and Political Science, London, UK.

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 School of Economics and Political Science, 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 School of Economics and Political Science, London, UK.

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 School of Economics and Political Science, 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 School of Economics and Political Science, London, UK.

Robinson, Peter M. (2006) Nonparametric spectrum estimation for spatial data. EM/06/498. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, 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 School of Economics and Political Science, 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 School of Economics and Political Science, London, UK.

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 School of Economics and Political Science, 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 School of Economics and Political Science, 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 School of Economics and Political Science, 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 School of Economics and Political Science, 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 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 School of Economics and Political Science, 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 School of Economics and Political Science, 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 School of Economics and Political Science, London, UK.

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

Conference or Workshop Item

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

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, 16-19 March 2011, Le Centre Sheraton Montreal Hotel, Montreal, Quebec, Canada. (Unpublished)

Book

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

This list was generated on Mon Oct 20 14:09:12 2014 BST.