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Article

Agnello, Luca, Castro, Vítor and Sousa, Ricardo M. (2023) Interest rate gaps in an uncertain global context: why “too” low (high) for “so” long? Empirical Economics, 64 (2). 539 - 565. ISSN 0377-7332

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 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 (2019) Identification of global and local shocks in international financial markets via general dynamic factor models. Journal of Financial Econometrics, 17 (3). 462–494. 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

Ben Jebli, Mehdi, Madaleno, Mara, Schneider, Nicolas and Shahzad, Umer (2022) What does the EKC theory leave behind? A state-of-the-art review and assessment of export diversification-augmented models. Environmental Monitoring and Assessment, 194 (6). ISSN 0167-6369

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, Chen, Cheng, Qiao, Xinghao ORCID: 0000-0002-6546-6595 and Yao, Qiwei ORCID: 0000-0003-2065-8486 (2023) An autocovariance-based learning framework for high-dimensional functional time series. Journal of Econometrics. ISSN 0304-4076

Chang, Jinyuan, Guo, Bin and Yao, Qiwei ORCID: 0000-0003-2065-8486 (2015) High dimensional stochastic regression with latent factors, endogeneity and nonlinearity. Journal of Econometrics, 189 (2). pp. 297-312. ISSN 0304-4076

Dainauskas, Justas ORCID: 0000-0002-1425-8921 (2023) Time-varying exchange rate pass-through into terms of trade. Journal of International Money and Finance, 137. ISSN 0261-5606

Dou, Baojun, Parrella, Maria Lucia and Yao, Qiwei ORCID: 0000-0003-2065-8486 (2016) Generalized Yule–Walker estimation for spatio-temporal models with unknown diagonal coefficients. Journal of Econometrics, 194 (2). pp. 369-382. ISSN 0304-4076

Elsayed, Ahmed H. and Sousa, Ricardo M. (2022) International monetary policy and cryptocurrency markets: dynamic and spillover effects. European Journal of Finance. ISSN 1351-847X

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

Kalaitzi, Athanasia Stylianou and Chamberlain, Trevor William (2020) Fuel-mining exports and growth in a developing state: the case of the UAE. International Journal of Energy Economics and Policy, 10 (4). 300 - 308. ISSN 2146-4553

Kalaitzi, Athanasia Stylianou and Chamberlain, Trevor William (2021) The validity of the export-led growth hypothesis: some evidence from the GCC. Journal of International Trade and Economic Development, 30 (2). 224 - 245. ISSN 0963-8199

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

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

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

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

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

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

Selmi, Refk, Hammoudeh, Shawkat, Kasmaoui, Kamal, Sousa, Ricardo M. and Errami, Youssef (2022) The dual shocks of the COVID-19 and the oil price collapse: a spark or a setback for the circular economy? Energy Economics, 109. ISSN 0140-9883

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

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

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

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

Monograph

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, 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.

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, 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, UK.

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.

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. Financial Markets Group Discussion Papers (483). Financial Markets Group, The 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.

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. Financial Markets Group Discussion Papers (455). Financial Markets Group, The London School of Economics and Political Science, London, UK.

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.

Hartmann, Philipp (1996) Trading volumes and transaction costs in the foreign market - evidence from daily dollar-yen spot data. Financial Markets Group Discussion Papers (232). Financial Markets Group, The London School of Economics and Political Science, 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, UK.

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, UK.

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

Jarocinski, Marek and Marcet, Albert (2011) Autoregressions in small samples, priors about observables and initial conditions. CEP Discussion Papers (CEPDP1061). London School of Economics and Political Science. Centre for Economic Performance, London, UK.

Kristensen, Dennis (2004) Estimation of partial differential equations with applications in finance. Financial Markets Group Discussion Papers (499). Financial Markets Group, The London School of Economics and Political Science, London, UK.

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, UK.

Marinucci, D and Robinson, Peter M. (1998) Weak convergence of multivariate fractional processes. Econometrics paper series (EM/98/352). Suntory and Toyota International Centres for Economics and Related Disciplines, 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, UK.

Mencia, Javier F. and Sentana, Enrique (2004) Estimation and testing of dynamic models with generalised hyperbolic innovations. Financial Markets Group Discussion Papers (502). Financial Markets Group, The 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. Financial Markets Group Discussion Papers (493). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Patton, Andrew J. (2002) On the out-of-sample importance of skewness and asymetric dependence for asset allocation. Financial Markets Group Discussion Papers (431). Financial Markets Group, The 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. Financial Markets Group Discussion Papers (630). Financial Markets Group, The London School of Economics and Political Science, London, UK.

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.

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

Quah, Danny (1995) Convergence empirics across economies with (some) capital mobility. CEP discussion paper; CEPDP0257 (257). London School of Economics and Political Science. Centre for Economic Performance, London.

Robinson, Peter (2007) Diagnostic testing for cointegration. . Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Robinson, Peter (2008) Inference on nonparametrically trending time series with fractional errors. Econometrics Papers (EM/2009/532). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

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, UK.

Robinson, Peter M. (2007) Multiple local whittle estimation in stationary systems. . Suntory and Toyota International Centres for Economics and Related Disciplines, 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, UK.

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

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

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