Economics Papers

From Economics Group, Nuffield College, University of Oxford
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0912: Nuisance parameters, composite likelihoods and a panel of GARCH models

Cavit Pakel, Neil Shephard and Kevin Sheppard

0911: A New Payment Rule for Core-Selecting Package Auctions

Aytek Erdil and Paul Klemperer

0910: Test for cointegration rank in general vector autoregressions

Bent Nielsen

0909: Asymptotic behaviour of the CUSUM of squares test under stochastic and deterministic time trends

Jouni Sohkanen and Bent Nielsen

0908: Chain-Ladder as Maximum Likelihood Revisited

D. Kuang, B. Nielsen and J. P. Nielsen

0907: Price Controls and Consumer Surplus

Jeremy Bulow and Paul Klemperer

0906: A New Auction for Substitutes: Central-Bank Liquidity Auctions, “Toxic Asset” Auctions, and Variable Product-Mix Auctions

Paul Klemperer

0905: Why Do Sellers (Usually) Prefer Auctions?

Jeremy Bulow and Paul Klemperer

0904: Linkages between asset classes during the financial crisis, accounting for market microstructure noise and non-synchronous trading

Nathaniel Frank

0903: Realising the future: forecasting with high frequency based volatility (HEAVY) models

Neil Shephard and Kevin Sheppard

0902: The role of income in money demand during hyper-inflation: the case of Yugoslavia

Zorica Mladenovic and Bent Nielsen

0901: What is the Top Priority on Climate Change?

Paul Klemperer

0812: Emissions Trading with Profit-Neutral Permit Allocations

Cameron Hepburn, John Quah and Robert Ritz

0810: Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

Ole Barndorff-Nielsen, Peter Hansen, Asger Lunde and Neil Shephard

0809: Forecasting with the age-period-cohort model and the extended chain-ladder model

D. Kuang, Bent Nielsen and J. P. Nielsen

0808: Learning while voting: determinants of collective experimentation

Bruno Strulovici

0807: Properties of etimated characteristic roots

Bent Nielsen and Heino Bohn Nielsen

0806: Unit Root Testing with Unstable Volatility

Brendan Beare

0805: The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve

Clive Bowsher and Roland Meeks

0804: Stochastic Volatility: Origins and Overview

Neil Shephard and Torben Andersen

0803: An analysis of the indicator saturation estimator as a robust regression estimator

Soren Johansen and Bent Nielsen

0802: Measuring downside risk-realised semivariance

Ole Barndorff-Nielsen, Silja Kinnebrock and Neil Shephard

0801: The Hedge Fund Game

H. Young and Dean P Foster

0705: Identification of the age-period-cohort model and the extended chain ladder model

Di Kuang, Bent Nielsen and J. P. Nielsen

0704: Comparative Statics, Informativeness, and the Interval Dominance Order

John Quah and Bruno Strulovici

0703: When are Auctions Best?

Jeremy Bulow and Paul Klemperer

0702: Convergence to Stochastic Integrals with Non-linear integrands

Bent Nielsen and Carlos Caceres

0701: The empirical process of autoregressive residuals

Bent Nielsen and Eric Engler

0612: High Dimensional Yield Curves: Models and Forecasting

Clive Bowsher and Roland Meeks

0611: Credit Shocks and Cycles: a Bayesian Calibration Approach

Roland Meeks

0610: Subsampling realised kernels

Ole Barndorff-Nielsen, Peter Hansen, Asger Lunde and Neil Shephard

0609: Additional Notes on the Comparative Statics of Constrained Optimization Problems

John Quah

0608: A Market-Clearing Role for Inefficiency on a Limit Order Book

Jeremy Large

0607: Co-ordination and Lock-in: Competition with Switching Costs and Network Effects

Joseph Farrell and Paul Klemperer

0606: Network Effects and Switching Costs: two short essays for the new New Palgrave

Paul Klemperer

0605: The Impossibility of Stationary Yield Spreads and I(1) Yields under the Expectations Theory of the Term Structure

Clive G. Bowsher and Roland Meeks

0604: The Open Economy Consequences of U.S. Monetary Policy

John Bluedorn and Christopher Bowdler

0603: Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise

Ole Barndorff-Nielsen, Peter Hansen, Asger Lunde and Neil Shephard

0602: Concepts and Properties of Substitute Goods

Paul Milgrom and Bruno Strulovici

0601: Management of a Capital Stock by Strotz's Naive Planner

Christopher Tyson

0526: Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models

Clive Bowsher

0525: Openness, exchange rate regimes and the Phillips curve

Christopher Bowdler

0524: Outlier Detection in GARCH Models

Jurgen Doornik and Marius Ooms

0523: Social Choice Theory and the Informational Basis Approach

Kevin Roberts

0522: Hurricanes: Intertemporal Trade and Capital Shocks

John Bluedorn

0521: Education and Intergenerational Mobility: Evidence from a Natural Experiment in Purerto Rico

John Bluedorn and Elizabeth Cascio

0520: State Dependence in a Multi-state Model of Employment

Victoria Prowse

0519: How Damaging is Part-time Employment to a Woman's Occupational Prospects?

Victoria Prowse

0518: Monetary Policy and Exchange Rate Dynamics: New Evidence from the Narrative Approach to Shock Identification

John Bluedorn and Christopher Bowdler

0517: Stochastic Volatility

Neil Shephard