Economics Papers

From Economics Group, Nuffield College, University of Oxford
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0319: Power variation & stochastic volatility: a review and some new results

Ole Barndorff-Nielsen, Svend Erik Graversen and Neil Shephard

0318: Power and bipower variation with stochastic volatility and jumps

Ole Barndorff-Nielsen and Neil Shephard

0317: Sub-sample Model Selection Procedures in Gets Modelling

David Hendry and Hans-Martin Krolzig

0316: Wage and Price Phillips Curves An empirical analysis of destabilizing wage-price spirals

Peter Flaschel and Hans-Martin Krolzig

0315: General-to-Specific Model Selection Procedures for Structural Vector Autoregressions

Hans-Martin Krolzig

0314: The Properties of Automatic Gets Modelling

David Hendry and Hans-Martin Krolzig

0313: Comparison of Model Reduction Methods for VAR Processes

Ralf Brüggemann, Hans-Martin Krolzig and Helmut Lütkepohl

0312: Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes

Ole Barndorff-Nielsen and Neil Shephard

0311: Correlograms for non-stationary autoregressions

Bent Nielsen

0310: Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview

H. Peter Boswijk and Jurgen Doornik

0309: Risk Aversion over Incomes and Risk Aversion over Commodities

Juan Enrique Martinez-Legaz and John Quah

0308: Step-by-Step Evolution with State-Dependent Mutations

Thomas Norman

0307: The Evolution of Conflict under Inertia

Thomas Norman

0306: The Evolution of Coordination under Inertia

Thomas Norman

0305: Inflation Adjustment in the Open Economy: An I(2) Analysis of UK Prices

Heino Bohn Nielsen and Christopher Bowdler

0304: Openness and the Output-Inflation Tradeoff

Christopher Bowdler

0303: Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models

Clive Bowsher

0301: Regional Convergence and Catch-up in India between 1960 and 1992

Kamakshya Trivedi

0224: Power Variation and Time Change

Ole Barndorff-Nielsen and Neil Shephard

0223: A Model of Jury Decisions Where All Jurors Have the Same Evidence

Franz Dietrich and Christian List

0222: Modelling Security Market Events in Continuous Time: Intensity based, Multivariate Point Process Models

Clive Bowsher

0221: Measuring and forecasting financial variability using realised variance with and without a model

Ole Barndorff-Nielsen, Bent Nielsen, Neil Shephard and Carla Ysusi

0220: Some Observations on the British and German 3G Telecom Auctions

Paul Klemperer

0219: Likelihood-based estimation of latent generalised ARCH structures

Gabriele Fiorentini, Enrique Sentana and Neil Shephard

0218: Heterotic Models of Aggregate Demand

Gaël Giraud and John Quah

0217: Testing the Assumptions Behind the Use of Importance Sampling

Siem Jan Koopman and Neil Shephard

0216: Unemployment, Labour Market Institutions and Shocks

Luca Nunziata

0215: A Model of Path-Dependence in Decisions over Multiple Propositions

Christian List

0214: Buyer Countervailing Power versus Monopoly Power: Evidence from Experimental Posted-Offer Markets

Jim Engle-Warnick and Bradley Ruffle

0213: Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics

Ole Barndorff-Nielsen and Neil Shephard

0207: Autoregressive conditional root model

Anders Rahbek and Neil Shephard

0206: The Stationery Distribution of Wealth with Random Shocks

Christopher Bliss

0203: The Law of Demand and Risk Aversion

John Quah

0302: Using and Abusing Economic Theory

Paul Klemperer

0202: Semiparametric autoregressive conditional proportional hazard models

Frank Gerhard and Nikolaus Hautsch

0201: Dynamics of trade-by-trade price movements: decomposition and models

Tina Hviid Rydberg and Neil Shephard

0129: Institutions and Wage Determination: a Multi-Country Approach

Luca Nunziata

0128: Inferring Buyer Strategies and their Impact on Monopolist Pricing

Jim Engle-Warnick and Bradley Ruffle

0127: Computational Aspects of Maximum Likelihood Estimation of Autoregressive Fractionally Integrated Moving Average Models

Jurgen Doornik and Marius Ooms

0126: Comment on Garland B. Durham and A. Ronald Gallant's "Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes"

Siddhartha Chib and Neil Shephard

0125: Some recent developments in stochastic volatility modelling

Ole Barndorff-Nielsen, Elisa Nicolato and Neil Shephard

0124: Comparative Statics and Welfare Theorems When Goods Are Normal

John Quah

0123: Complex Collective Decisions and the Probability of Collective Inconsistencies

Christian List

0122: Computationally-intensive Econometrics using a Distributed Matrix-programming Language

Jurgen Doornik, David Hendry and Neil Shephard

0121: GMM Estimation of Empirical Growth Models

Stephen Bond, Anke Hoeffler and Jonathan Temple

0120: Estimating quadratic variation using realised volatility

Ole Barndorff-Nielsen and Neil Shephard

0119: IMF Conditionality

Giulio Federico

0118: Realised power variation and stochastic volatility models

Ole Barndorff-Nielsen and Neil Shephard

0117: Hyperbolic Discounting and Secondary Markets

Volker Nocke and Martin Pietz

0116: How accurate is the asymptotic approximation to the distribution of realised volatility?

Ole Barndorff-Nielsen and Neil Shephard