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Group by: Creators | Item Type
Jump to: A | B | C | D | G | H | K | M | P | Q | R | S | X | Z
Number of items at this level: 48.

A

Alessi, Lucia, Barigozzi, Matteo and Capasso, Marco (2007) Generalized dynamic factor model + GARCH: exploiting multivariant information for univariate prediction. LEM working paper series, 2006/13. Laboratory of Economics and Management (LEM), Pisa, Italy.

Altissimo, Filippo and Mele, Antonio (2004) Simulated nonparametric estimation of continuous time models of asset prices and returns. Discussion paper, 476. Financial Markets Group, London School of Economics and Political Science, London, UK.

Altissimo, Filippo and Mele, Antonio (2005) Simulated nonparametric estimation of dynamic models with applications to finance. Discussion paper, 539. Financial Markets Group, London School of Economics and Political Science, London, UK.

Arteche, Josu and Robinson, Peter M. (1998) Seasonal and cyclical long memory. Econometrics; EM/1998/360, EM/98/360. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.

Arteche, Josu and Robinson, Peter M. (1998) Semiparametric inference in seasonal and cyclical long memory processes. Econometrics; EM/1998/359, EM/98/359. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.

B

Barigozzi, Matteo, Brownlees, Christian T., Gallo, Giampiero M. and Veredas, David (2010) Disentangling systematic and idiosyncratic risk for large panels of assets. ECARES working paper, 2010‐019. Université Libre de Bruxelles, Brussels, Belgium.

Barigozzi, Matteo and Conti, Antonio (2012) Understanding Euro area money demand. The Authors. (Unpublished)

Barigozzi, Matteo, Conti, Antonio and Luciani, Matteo (2012) Do Euro area countries respond asymmetrically to the common monetary policy? The Authors. (Unpublished)

Barigozzi, Matteo and Conti, Antonio M. (2010) On the sources of Euro area money demand stability: a time-varying cointegration analysis. ECARES working paper, 2010‐022. Université Libre de Bruxelles, Brussels, Belgium.

C

Chan, W., Ng, M. W. and Tong, Howell (2006) On a simple graphical approach to modelling economic fluctuations with an application to United Kingdom price inflation, 1265-2005. Annals of Actuarial Science, 1 (1). pp. 103-128. ISSN 1748-4995

Chen, Xiaohong, Fan, Yanqin and Patton, Andrew J. (2004) Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates. Discussion paper: IAM Series No 003, 483. Financial Markets Group, London School of Economics and Political Science, London, UK.

D

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

da Silva, Afonso Gonçalves and Robinson, Peter (2008) Finite sample performance in cointegration analysis of nonlinear time series with long memory. Econometric Reviews, 27 (1). pp. 268-297. ISSN 0747-4938

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.

Gerba, Eddie and Hauzenberger, Klemens (2014) Estimating US fiscal and monetary interactions in a time varying VAR. Journal of Money, Credit, and Banking . ISSN 1538-4616 (Submitted)

Granger, Clive W. J., Terasvirta, Timo and Patton, Andrew J. (2003) Common factors in conditional distributions for Bivariate time series. Discussion paper, 455. Financial Markets Group, London School of Economics and Political Science, London, UK.

H

Haberis, Alex and Sokol, Andrej (2014) A procedure for combining zero and sign restrictions in a VAR-identification scheme. CFM discussion paper series, CFM-DP2014-10. Centre For Macroeconomics , London, UK.

Hidalgo, Javier (2000) Nonparametric test for causality with long-range dependence. EM, 387. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.

Hidalgo, Javier and Robinson, Peter (2002) Adapting to unknown disturbance autocorrelation in regression with long memory. Econometrica, 70 (4). pp. 1545-1581. ISSN 0012-9682

Hualde, J. and Robinson, Peter (2007) Root-n-consistent estimation of weak fractional cointegration. Journal of Econometrics, 140 (2). pp. 450-484. ISSN 0304-4076

Hualde, J. and Robinson, Peter M. (2006) Root-n-consistent estimation of weak fractional cointegration. EM/06/499. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.

Hualde, Javier and Robinson, Peter M. (2006) Semiparametric Estimation of Fractional Cointegration. EM/2006/502. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.

K

Kalogeropoulos, Konstantinos, 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

M

Marinucci, D and Robinson, Peter M. (1998) Alternative forms of fractional Brownian motion. Econometrics; EM/1998/354, EM/98/354. 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) Weak convergence of multivariate fractional processes. Econometrics; EM/1998/352, EM/98/352. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.

Marinucci, D. (1998) Band spectrum regression for cointegrated time series with long memory innovations. EM, 353. Suntory and Toyota International Centres for Economics and Related Disciplines, 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.

Muñoz, Sònia (2004) Real effects of regional house prices: dynamic panel estimation with heterogeneity. Discussion paper, 493. Financial Markets Group, London School of Economics and Political Science, London, UK.

P

Patton, Andrew J. (2002) On the out-of-sample importance of skewness and asymetric dependence for asset allocation. Discussion paper: IAM Series No 001, 431. Financial Markets Group, London School of Economics and Political Science, London, UK.

Patton, Andrew J. and Verardo, Michela (2009) Does beta move with news?: Systematic risk and firm-specific information flows. Discussion paper, 630. Financial Markets Group, London School of Economics and Political Science, London, UK.

Patton, Andrew J. and Verardo, Michela (2012) Does beta move with news?: firm-specific information flows and learning about profitability. Review of Financial Studies, 25 (9). pp. 2789-2839. ISSN 0893-9454

Q

Quah, Danny (1996) Aggregate and regional disaggregate fluctuations. CEP discussion paper; CEPDP0275, 275. Centre for Economic Performance, London School of Economics and Political Science, London, UK.

Quah, Danny (1995) Misinterpreting the dynamic effects of aggregate demand and supply disturbances. Economics Letters, 49 (3). pp. 247-250. ISSN 0165-1765

R

Robinson, Peter (2007) Diagnostic testing for cointegration. EM/2007/522. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.

Robinson, Peter (2008) Diagnostic testing for cointegration. Journal of Econometrics, 143 (1). pp. 206-225. ISSN 0304-4076

Robinson, Peter (2008) Inference on nonparametrically trending time series with fractional errors. Econometrics Papers, EM/2009/532. Suntory Centre, London School of Economics and Political Science, London, UK.

Robinson, Peter (1984) Kernel estimation and interpolation for time series containing missing observations. Annals of the Institute of Statistical Mathematics, 36 (1). pp. 403-417. ISSN 0020-3157

Robinson, Peter (2008) Multiple local whittle estimation in stationary systems. The Annals of Statistics, 36 (5). pp. 2508-2530. ISSN 0090-5364

Robinson, Peter (1986) Nonparametric estimation from time series residuals. Cahiers du Centre d'études de Recherche Opérationnelle, 28 (1). pp. 197-208. ISSN 0008-9737

Robinson, Peter (1993) Nonparametric time series with long range dependence. Bulletin of the International Statistical Institute, 49th s (1). pp. 315-325. ISSN 0074-8609

Robinson, Peter (2007) On discrete sampling of time-varying continuous-time systems. EM, 520. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.

Robinson, Peter and Iacone, F (2004) Cointegration in fractional systems with deterministic trends. Journal of Econometrics . ISSN 0304-4076

Robinson, Peter M. (2007) Multiple local whittle estimation in stationary systems. EM/2007/525. Suntory and Toyota International Centres, London School of Economics and Political Science, London, UK. (Unpublished)

Robinson, Peter M. and Gerolimetto, M. (2006) Instrumental variables estimation of stationary and nonstationary cointegrating regressions. EM/2006/500. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.

S

Seo, Myung Hwan (2007) Estimation of nonlinear error correction models. EM, 517. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.

X

Xia, Yingcun and Tong, Howell (2011) Discussion of "Feature matching in time series modeling": Rejoinder. Statistical Science, 26 (1). pp. 59-61. ISSN 0883-4237

Xia, Yingcun and Tong, Howell (2011) Feature matching in time series modeling. Statistical Science, 26 (1). pp. 21-46. ISSN 0883-4237

Z

Zaffaroni, Paolo (2000) Contemporaneous aggregation of GARCH processes. EM, 378. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.

This list was generated on Thu Jul 24 13:18:52 2014 BST.