Econometrics

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0502003: Market price of risk implied by Asian-style electricity options

Rafał Weron

0502002: The Long-Run Forecasting of Energy Prices Using the Model of Shifting Trend

Stanislav I. Radchenko

0502001: PROTECTION OF PRIVACY THROUGH MICROAGGREGATION

Edgar L .Feige and Harold W. Watts

0501015: Overlaying Time Scales in Financial Volatility Data

Eric Hillebrand

0501014: Grocer 1.0, an Econometric Toolbox for Scilab: an Econometrician Point of View

Dubois

0501013: THE INFLATION IN EUROPEAN UNION

Eleftherios Giovanis

0501012: The hunting in the Province of Elassona

Eleftherios Giovanis

0501008: Econometric Analysis of O.U.T.A. – Organisation of Urban Transportations of Athens

Eleftherios Giovanis

0501007: Econometric Analysis for the rural sector in Greek economy

Giovanis Elephtherios

0501006: GMM Estimation for Long Memory Latent Variable Volatility and Duration Models

Willa Chen and Rohit S. Deo

0501005: Tracing the Source of Long Memory in Volatility

Rohit S. Deo, Mengchen Hsieh and Clifford M. Hurvich

0501004: Estimation of mis-specified long memory models

Willa Chen and Rohit S. Deo

0501003: The Variance Ratio Statistic at large Horizons

Willa Chen and Rohit S. Deo

0501002: Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment

Rohit S. Deo, Clifford M. Hurvich and Yi Lu

0501001: Structural VAR identification in asset markets using short-run market inefficiencies

Gultekin Isiklar

0412012: HABIT FORMATION IN CONSUMPTION: A Case Study of Rural India

Puja Guha

0412011: On aggregation bias in fixed-event forecast efficiency tests

Gultekin Isiklar

0412010: Un Modelo Estadístico Flexible para la Estructura Intertemporal de Tasas en Chile

Dante Jara

0412009: Asymptotics for Duration-Driven Long Range Dependent Processes

Mengchen Hsieh, Clifford M. Hurvich and Philippe Soulier

0412008: Predictive Regressions: A Reduced-Bias Estimation Method

Yakov Amihud and Clifford M. Hurvich

0412007: Semiparametric Estimation of Fractional Cointegrating Subspaces

Willa Chen and Clifford M. Hurvich

0412006: Estimating Long Memory in Volatility

Clifford M. Hurvich, Eric Moulines and Philippe Soulier

0412005: Non-stationarities in financial time series, the long range dependence and the IGARCH effects

Thomas Mikosch and Catalin Starica

0412004: Long range dependence effects and ARCH modelling

Thomas Mikosch and Catalin Starica

0412003: Changes of structure in financial time series and the GARCH model

Thomas Mikosch and Catalin Starica

0412002: Is it really long memory we see in financial returns?

Thomas Mikosch

0412001: Threshold Cointegration between Stock Returns: An application of STECM Models

Fredj JAWADI and Koubaa Yousra

0411018: Linear and nonlinear models for the analysis of the relationship between stock market prices and macroeconomic and financial factors

Andreia Dionisio, Rui Menezes, Diana A. Mendes and Jacinto Vidigal Silva

0411017: When did the 2001 recession really start?

J. Polzehl, V. Spokoiny and Catalin Starica

0411016: Non-stationarities in stock returns

Catalin Starica and Clive W. J. Granger

0411015: Is GARCH(1,1) as good a model as the Nobel prize accolades would imply?

Catalin Starica

0411014: Gaussian Tests of "Extremal White Noise" for Dependent, Heterogeneous, Heavy Tailed Time Series with an Application

Jonathan B. Hill

0411013: Model Uncertainty, Complexity and Rank in Finance

Cornelis A. Los

0411012: On the Estimation of Nonlinearly Aggregated Mixed Models

Tommaso Proietti

0411011: Temporal Disaggregation by State Space Methods: Dynamic Regression Methods Revisited

Tommaso Proietti

0411010: The Behavior of HEGY Tests for Quarterly Time Series with Seasonal Mean Shifts

Artur C. B. da Silva Lopes and Antonio Montañes

0411009: Demand Pull and Supply Push in Portuguese Cable Television

João Carlos Correia Leitão

0411008: DATA-DRIVEN RATE-OPTIMAL SPECIFICATION TESTING IN REGRESSION MODELS

Emmanuel Guerre and Pascal Lavergne

0411007: DESIGN-ADAPTIVE POINTWISE NONPARAMETRIC REGRESSION ESTIMATION FOR RECURRENT MARKOV TIME SERIES

Emmanuel Guerre

0411006: Measuring Eco-efficiency of Production: A Frontier Approach

Mika Kortelainen and Timo Kuosmanen

0411005: SPACE-TIME LAGS: SPECIFICATION STRATEGY IN SPATIAL REGRESSION MODELS

Fernando A. López Hernández and Coro Chasco Yrigoyen

0411004: MODELOS DE HETEROGENEIDAD ESPACIAL

Coro Chasco Yrigoyen

0411003: Tests of seasonal integration and cointegration in multivariate unobserved component models

Fabio Busetti

0411002: Do Technology Shocks Drive Hours Up or Down? A Little Evidence From an Agnostic Procedure

Elena Pesavento and Barbara Rossi

0410011: The Unscientific Incompleteness and Bias of Unidirectional Projections (= Regressions): A Questionnaire

Cornelis A. Los

0410010: On the Anatomy of Productivity Growth: A Decomposition of the Fisher Ideal TFP Index

Timo Kuosmanen and Timo Sipiläinen

0410009: SURGAT: Seasonal Unit Roots Graphical Analysis and Testing device

Ignacio Díaz-Emparanza

0410008: TRAMO/SEATS y X12ARIMA. Breve guía de acceso mediante Gretl

Ignacio Díaz-Emparanza

0410007: On the stability of recursive least squares in the Gauss-Markov model

Evens Salies

0410006: Modelling Directional Dispersion Through Hyperspherical Log- Splines

Jose Tome Ferreira and Mark Steel