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.

Alessi, Lucia, Barigozzi, Matteo and Capasso, Marco (2009) Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors. European Central Bank working paper series. European Central Bank, Frankfurt, Germany.

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.

Anesti, Nikoleta, Galvao, Ana Beatriz and Miranda-Agrippino, Silvia (2018) Uncertain kingdom: nowcasting GDP and its revisions. CFM Discussion Paper Series (CFM-DP2018-24). Centre For Macroeconomics, London School of Economics and Political Science, London, UK.

Aron, Janine and Muellbauer, John (2010) Modelling and forecasting UK mortgage arrears and possessions. SERC Discussion Papers (SERCDP0053). Spatial Economics Research Centre (SERC), London School of Economics and Political Science, London, UK.

B

Bianchi, Daniele and Tamoni, Andrea (2016) The dynamics of expected returns: evidence from multi-scale time series modelling. Financial Markets Group Discussion Papers (752). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Blake, David (2002) The impact of wealth on consumption and retirement behaviour in the UK. Financial Markets Group Discussion Papers (429). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Bovens, Luc and Rabinowicz, Wlodek (2011) Bets on hats: on Dutch books against groups, degrees of belief as betting rates, and group-reflection. Episteme, 8 (3). pp. 281-300. ISSN 1742-3600

C

Cai, Xiaoming, Den Haan, Wouter J. ORCID: 0000-0001-6214-8156 and Pinder, Jonathan (2016) Predictable recoveries. Economica, 83 (330). 307 - 337. ISSN 0013-0427

Chernov, Mikhail (2003) Alternative models for stock price dynamics. Journal of Econometrics, 116 (1-2). pp. 225-257. ISSN 0304-4076

Chernov, Mikhail (2003) Empirical reverse engineering of the pricing kernel. Journal of Econometrics, 116 (1-2). pp. 329-364. ISSN 0304-4076

Chernov, Mikhail and Ghysels, Eric (2000) A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation. Journal of Financial Economics, 56 (3). pp. 407-458. ISSN 0304-405X

D

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

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2017) Efficient simulation of clustering jumps with CIR intensity. Operations Research, 65 (6). pp. 1494-1515. ISSN 0030-364X

Delajara, Marcelo, Álvarez, Federico Hernández and Tirado, Abel Rodríguez (2016) Nowcasting Mexico’s short-term GDP growth in real-time: a factor model versus professional forecasters. Economía, 17 (1). 167 - 182. ISSN 1529-7470

E

Engle, Robert F. and Patton, Andrew J. (2007) What good is a volatility model? In: Knight, John and Satchell, Stephen, (eds.) Forecasting Volatility in the Financial Markets. Elsevier (Firm), 47 - 63. ISBN 9780750669429

F

Fingleton, Bernard and Szumilo, Nikodem (2019) Simulating the impact of transport infrastructure investment on wages: a dynamic spatial panel model approach. Regional Science and Urban Economics, 75. pp. 148-164. ISSN 0166-0462

Freeman, Mark C., Groom, Ben ORCID: 0000-0003-0729-143X, Panopoulou, Ekaterini and Pantelidis, Theologos (2015) Declining discount rates and the Fisher Effect: inflated past, discounted future? Journal of Environmental Economics and Management, 73. pp. 32-49. ISSN 0095-0696

G

Gamtkitsulashvili, Tea and Plekhanov, Alexander (2023) Mobility and economic activity around the world during the Covid-19 crisis. Applied Economics Letters, 30 (5). 608 - 614. ISSN 1350-4851

Gandy, Axel and Veraart, Luitgard A. M. ORCID: 0000-0003-1183-2227 (2021) Compound poisson models for weighted networks with applications in finance. Mathematics and Financial Economics, 15 (1). 131 - 153. ISSN 1862-9679

Ghosh, Anisha, Julliard, Christian ORCID: 0000-0001-8177-7441 and Taylor, Alex (2016) An information based one-factor asset pricing model. Financial Markets Group Discussion Papers (749). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Giannone, Domenico, Monti, Francesca and Reichlin, Lucrezia (2014) Exploiting the monthly data-flow in structural forecasting. CFM discussion paper series (CFM-DP2014-16). Centre For Macroeconomics, London, UK.

Goodhart, Charles and Bin Lim, Wen (2008) Do errors in forecasting inflation lead to errors in forecasting interest rates? Financial Markets Group Discussion Papers (611). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Goodhart, Charles and Bin Lim, Wen (2008) Interest rate forecasts: a pathology. Financial Markets Group Discussion Papers (612). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Goodhart, Charles and Lim, Wen Bin (2011) Interest rate forecasts: a pathology. International Journal of Central Banking, 7 (2). pp. 135-171. ISSN 1815-4654

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

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.

I

Ibarra, Raul (2023) The yield spread as a predictor of economic activity in Mexico: the role of the term premium. Economía, 22 (1). 153 – 174. ISSN 1529-7470

Iglesias, Ana, Quiroga, Sonia, Diz, Agustin and Garrote, Luis (2011) Adapting agriculture to climate change. Economia Agraria y Recursos Naturales, 11 (2). pp. 109-122. ISSN 1578-0732

J

Jarvis, Stephen ORCID: 0000-0001-9039-3407, Deschenes, Olivier and Jha, Akshaya (2022) The private and external costs of Germany’s nuclear phase-out. Journal of the European Economic Association, 20 (3). 1311 - 1346. ISSN 1542-4766

K

Kirtac, Kemal and Germano, Guido (2024) Sentiment trading with large language models. Finance Research Letters, 62 (Part B). ISSN 1544-6123

Kumar, Utkarsh, Ahmad, Wasim and Uddin, Gazi Salah (2024) Bayesian Markov switching model for BRICS currencies' exchange rates. Journal of Forecasting, 43 (6). 2322 - 2340. ISSN 0277-6693

N

Niguez, Trino-Manuel and Perote, Javier (2004) Forecasting the density of asset returns. EM (479). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

O

Oparina, Ekaterina ORCID: 0000-0002-1544-8751, Kaiser, Caspar, Gentile, Niccoló, Tkatchenko, Alexandre, Clark, Andrew E., De Neve, Jan-Emmanuel and D'Ambrosio, Conchita (2022) Human wellbeing and machine learning. CEP Discussion Papers (1863). London School of Economics and Political Science. Centre for Economic Performance, London, UK.

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.

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..

Peñaranda, Francisco (2003) Evaluation of joint density forecasts of stock and bond returns: predictability and parameter uncertainty. Financial Markets Group Discussion Papers (458). Financial Markets Group, The London School of Economics and Political Science, London, UK.

R

Ritschl, Albrecht and Salferaz, Samad (2010) Crisis?: What crisis?: currency vs. banking in the financial crisis of 1931. CEP Discussion Paper (977). London School of Economics and Political Science. Centre for Economic Performance, London, UK.

S

Schöni, Olivier (2014) Asymptotic properties of imputed hedonic price indices. SERC discussion papers (SERCDP0166). Spatial Economics Research Centre, London, UK.

Simionescu, Mihaela, Schneider, Nicolas and Gavurova, Beata (2024) A Bayesian vector-autoregressive application with time-varying parameters on the monetary shocks-production network nexus. Journal of Applied Economics, 27 (1). ISSN 1514-0326

T

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

Z

Zhang, Ning, Gong, Yujing and Xue, Xiaohan (2023) Less disagreement, better forecasts: adjusted risk measures in the energy futures market. Journal of Futures Markets, 43 (10). 1332 - 1372. ISSN 0270-7314