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Group by: Creators | Item Type
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Number of items at this level: 64.

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.

Alloza, Mario (2016) Is fiscal policy more effective in uncertain times or during recessions? CFM discussion paper series (CFM-DP2016-31). Centre For Macroeconomics, London, UK.

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.

Antolin-Diaz, Juan, Drechsel, Thomas and Petrella, Ivan (2016) Tracking the slowdown in long-run GDP growth. CFM discussion paper series (CFM-DP2016-04). Centre For Macroeconomics, 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 (2018) On the stability of euro area money demand and its implications for monetary policy. Oxford Bulletin of Economics and Statistics, 80 (4). pp. 755-787. ISSN 0305-9049

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. (Submitted)

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

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.

Barigozzi, Matteo and Hallin, Marc (2017) Generalized dynamic factor models and volatilities estimation and forecasting. Journal of Econometrics, 201 (2). pp. 307-321. ISSN 0304-4076

Barigozzi, Matteo, Hallin, Marc and Soccorsi, Stefano (2018) Identification of global and local shocks in international financial markets via general dynamic factor models. Journal of Financial Econometrics. ISSN 1479-8409

Barigozzi, Matteo and Hallin, Mark (2015) Generalized dynamic factor models and volatilities: recovering the market volatility shocks. Econometrics Journal, 19 (1). C33-C60. ISSN 1368-4221

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

Chang, Jinyuan, Guo, Bin and Yao, Qiwei (2015) High dimensional stochastic regression with latent factors, endogeneity and nonlinearity. Journal of Econometrics, 189 (2). pp. 297-312. ISSN 0304-4076

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.

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

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

Dou, Baojun, Parrella, Maria Lucia and Yao, Qiwei (2016) Generalized Yule–Walker estimation for spatio-temporal models with unknown diagonal coefficients. Journal of Econometrics, 194 (2). pp. 369-382. ISSN 0304-4076

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.

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 aVAR-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. . 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. . 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.

Miranda-Agrippino, Silvia and Ricco, Giovanni (2018) Bayesian vector autoregressions. CFM Discussion Paper Series (CFM-DP2018-08). Centre For Macroeconomics, London School of Economics and Political Science, London, UK.

Miranda-Agrippino, Silvia and Ricco, Giovanni (2017) The transmission of monetary policy shocks. CFM discussion paper series (CFM-DP2017-11). Centre For Macroeconomics, London, UK.

Monti, Francesca (2015) Can a data-rich environment help identify the sources of model misspecification? CFM discussion paper series (CFM-DP2015-05). Centre For Macroeconomics, 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.

O

Olivares Rios, A., Rodríguez, G. and Ataurima Arellano, M. (2019) Estimation of Peru’s sovereign yield curve: the role of macroeconomic and latent factors. Journal of Economic Studies, 46 (3). pp. 533-563. ISSN 0144-3585

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

Pinter, Gabor (2018) Macroeconomic shocks and risk premia. CFM Discussion Paper Series (CFM-DP2018-12). Centre For Macroeconomics, London School of Economics and Political Science, London, UK.

Pintor, Gabor (2016) The macroeconomic shock with the highest price of risk. CFM discussion paper series (CFM-DP2016-23). Centre For Macroeconomics, London, UK.

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. . 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. 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. . Suntory and Toyota International Centres, London School of Economics and Political Science, London, UK.

Robinson, Peter M. and Gerolimetto, M. (2006) Instrumental variables estimation of stationary and nonstationary cointegrating regressions. . 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.

T

Toczydlowska, Dorota and Peters, Gareth W. (2018) Financial big data solutions for state space panel regression in interest rate dynamics. Econometrics, 6 (3).

W

Wong, Shiu Fung, Tong, Howell, Siu, Tak Kuen and Lu, Zudi (2017) A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach. Journal of Time Series Analysis, 38 (2). pp. 243-265. ISSN 0143-9782

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 Wed Sep 18 10:07:29 2019 BST.