Browse by JEL codes

Article

Chang, Jinyuan, Qiu, Yumou, Yao, Qiwei ORCID: 0000-0003-2065-8486 and Zou, Tao (2018) Confidence regions for entries of a large precision matrix. Journal of Econometrics, 206 (1). pp. 57-82. 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 0304-4076

Danielsson, Jon, Shin, Hyun Song and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2004) The impact of risk regulation on price dynamics. Journal of Banking and Finance, 28 (5). pp. 1069-1087. ISSN 0378-4266

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

Hajivassiliou, Vassilis and McFadden, Daniel (1998) The method of simulated scores for the estimation of LDV models. Econometrica, 66 (4). pp. 863-896. ISSN 0012-9682

Hajivassiliou, Vassilis and Savignac, Frédérique (2024) Simultaneously incomplete and incoherent (SII) dynamic LDV models: with an application to financing constraints and firms’ decision to innovate. Journal of Econometrics, 238 (1). 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

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, 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

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

Michaelides, Alexander and Ng, Serena (2000) Estimating the rational expectations model of speculative storage : a Monte Carlo comparison of three simulation estimators. Journal of Econometrics, 96 (2). pp. 231-266. ISSN 0304-4076

Qu, Yan, Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2023) Shot-noise cojumps: exact simulation and option pricing. Journal of the Operational Research Society, 74 (3). 647 - 665. ISSN 1476-9360

Taschini, Luca ORCID: 0000-0001-5355-1736 and Urech, Simon (2010) The real option to fuel switch in the presence of expected windfall profits under the EU Emission Trading Scheme. Journal of Energy Markets. ISSN 1756-3607

Ziegelmann, Flavio (2010) Semiparametric estimation of volatility: some models and complexity choice in the adaptive functional-coefficient class. Journal of Statistical Computation and Simulation, 81 (6). pp. 707-728. ISSN 0094-9655

Book Section

Hajivassiliou, Vassilis (2018) Computational methods in econometrics. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan. ISBN 9781349951888

Monograph

Altissimo, Filippo and Mele, Antonio (2004) Simulated nonparametric estimation of continuous time models of asset prices and returns. Discussion paper (476). Financial Markets Group, The 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. Financial Markets Group Discussion Papers (539). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Berry, Steve, Linton, Oliver and Pakes, Ariel (2000) Limit theorems for estimating the parameters of differentiated product demand systems. Econometrics; EM/2000/400 (EM/00/400). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Calzorali, Giorgio, Fiorentini, Gabriele and Sentana, Enrique (2001) Constrained indirect inference estimation. Financial Markets Group Discussion Papers (384). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Cho, Young-Hyun, Linton, Oliver and Whang, Yoon-Jae (2006) Are there Monday effects in stock returns: a stochastic dominance approach. Financial Markets Group Discussion Papers (568). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Connor, Gregory and Sehgal, Sanjay (2001) Tests of the Fama and French model in India. Financial Markets Group Discussion Papers (379). Financial Markets Group, The London School of Economics and Political Science, London, UK.

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.

Danielsson, Jon and Zhou, Chen (2015) Why risk is so hard to measure. Systemic Risk Centre Discussion Papers (36). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Dridi, Ramdan (2000) Simulated asymptotic least squares theory. EM (396). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Dridi, Ramdan and Renault, Eric (2000) Semi-parametric indirect inference. EM (392). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Hajivassiliou, Vassilis (2019) Estimation and specification testing of panel data models with non-ignorable persistent heterogeneity, contemporaneous and intertemporal simultaneity and observable and unobservable dynamics. . Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Hajivassiliou, Vassilis (2019) Switching regressions with imperfect regime classification information: theory and applications. STICERD Econometrics Papers (610). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Hajivassiliou, Vassilis and Savignac, Frédérique (2007) Financing constraints and a firm's decision and ability to innovate: establishing direct and reverse effects. . Financial Markets Group, The London School of Economics and Political Science, London, UK.

Hajivassiliou, Vassilis and Savignac, Frédérique (2019) Novel approaches to coherency conditions in dynamic LDV models: quantifying financing constraints and a firm's decision and ability to innovate. Econometrics Papers (606). 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. EM (452). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

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.

Lee, Sokbae, Linton, Oliver and Whang, Yoon-Jae (2006) Testing for stochastic monotonicity. . Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Linton, Oliver, Maasoumi, Esfandiar and Whang, Yoon-Jae (2002) Consistent testing for stochastic dominance : a subsampling approach. Econometrics; EM/2002/433 (EM/02/433). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

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.

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.