Working Papers

From Queen Mary University of London, School of Economics and Finance
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491: Inflation Forecast Targeting in an Overlapping Generations Model

Gerhard Sorger

491: Inflation Forecast Targeting in an Overlapping Generations Model

Gerhard Sorger

490: Non-Nested Models and the Likelihood Ratio Statistic: A Comparison of Simulation and Bootstrap Based Tests

George Kapetanios and Melvyn Weeks

490: Non-Nested Models and the Likelihood Ratio Statistic: A Comparison of Simulation and Bootstrap Based Tests

George Kapetanios and Melvyn Weeks

489: A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions

George Kapetanios and Massimiliano Marcellino

489: A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions

George Kapetanios and Massimiliano Marcellino

488: Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary

Elias Tzavalis and Shijun Wang

488: Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary

Elias Tzavalis and Shijun Wang

487: Schelling's Spatial Proximity Model of Segregation Revisited

Romans Pancs and Nicolaas Vriend

487: Schelling's Spatial Proximity Model of Segregation Revisited

Romans Pancs and Nicolaas Vriend

486: A Nonlinear Approach to Public Finance Sustainability in Latin America

Georgios Chortareas, George Kapetanios and Merih Uctum

486: A Nonlinear Approach to Public Finance Sustainability in Latin America

Georgios Chortareas, George Kapetanios and Merih Uctum

485: An Investigation of Current Account Solvency in Latin America Using Non Linear Stationarity Tests

Georgios Chortareas, George Kapetanios and Merih Uctum

485: An Investigation of Current Account Solvency in Latin America Using Non Linear Stationarity Tests

Georgios Chortareas, George Kapetanios and Merih Uctum

484: The Yen Real Exchange Rate May Be Stationary after All: Evidence from Nonlinear Unit-Root Tests

Georgios Chortareas and George Kapetanios

484: The Yen Real Exchange Rate May Be Stationary after All: Evidence from Nonlinear Unit-Root Tests

Georgios Chortareas and George Kapetanios

483: A Note on Joint Estimation of Common Cycles and Common Trends in Nonstationary Multivariate Systems

George Kapetanios

483: A Note on Joint Estimation of Common Cycles and Common Trends in Nonstationary Multivariate Systems

George Kapetanios

482: A New Nonparametric Test of Cointegration Rank

George Kapetanios

482: A New Nonparametric Test of Cointegration Rank

George Kapetanios

481: Network Formation and Social Coordination

Sanjeev Goyal and Fernando Vega-Redondo

481: Network Formation and Social Coordination

Sanjeev Goyal and Fernando Vega-Redondo

480: Unemployment in the European Union: A Dynamic Reappraisal

Marika Karanassou, Hector Sala and Dennis Snower

480: Unemployment in the European Union: A Dynamic Reappraisal

Marika Karanassou, Hector Sala and Dennis J. Snower

479: A Reappraisal of the Inflation-Unemployment Tradeoff

Marika Karanassou, Hector Sala and Dennis Snower

479: A Reappraisal of the Inflation-Unemployment Tradeoff

Marika Karanassou, Hector Sala and Dennis J. Snower

478: An Anatomy of the Phillips Curve

Marika Karanassou and Dennis Snower

478: An Anatomy of the Phillips Curve

Marika Karanassou and Dennis J. Snower

477: Long-Run Inflation-Unemployment Dynamics: The Spanish Phillips Curve and Economic Policy

Marika Karanassou, Hector Sala and Dennis Snower

477: Long-Run Inflation-Unemployment Dynamics: The Spanish Phillips Curve and Economic Policy

Marika Karanassou, Hector Sala and Dennis J. Snower

476: Unemployment Invariance

Marika Karanassou and Dennis J. Snower

476: Unemployment Invariance

Marika Karanassou and Dennis Snower

475: A Note on Covariance Stationarity Conditions for Dynamic Random Coefficient Models

George Kapetanios

475: A Note on Covariance Stationarity Conditions for Dynamic Random Coefficient Models

George Kapetanios

474: Measuring Conditional Persistence in Time Series

George Kapetanios

474: Measuring Conditional Persistence in Time Series

George Kapetanios

473: Testing for Neglected Nonlinearity in Long Memory Models

George Kapetanios

472: GLS Detrending for Nonlinear Unit Root Tests

George Kapetanios and Yongcheol Shin

472: GLS Detrending for Nonlinear Unit Root Tests

George Kapetanios and Yongcheol Shin

471: Modelling Core Inflation for the UK Using a New Dynamic Factor Estimation Method and a Large Disaggregated Price Index Dataset

George Kapetanios

471: Modelling Core Inflation for the UK Using a New Dynamic Factor Estimation Method and a Large Disaggregated Price Index Dataset

George Kapetanios

470: Testing for Structural Breaks in Nonlinear Dynamic Models Using Artificial Neural Network Approximations

George Kapetanios

470: Testing for Structural Breaks in Nonlinear Dynamic Models Using Artificial Neural Network Approximations

George Kapetanios

469: Unit Root Testing against the Alternative Hypothesis of up to m Structural Breaks

George Kapetanios

469: Unit Root Testing against the Alternative Hypothesis of up to m Structural Breaks

George Kapetanios

468: Bootstrap Statistical Tests of Rank Determination for System Identification

Gonzalo Camba-Mendez and George Kapetanios

468: Bootstrap Statistical Tests of Rank Determination for System Identification

Gonzalo Camba-Mendez and George Kapetanios

467: A Note on an Iterative Least Squares Estimation Method for ARMA and VARMA Models

George Kapetanios

467: A Note on an Iterative Least Squares Estimation Method for ARMA and VARMA Models

George Kapetanios

466: Factor Analysis Using Subspace Factor Models: Some Theoretical Results and an Application to UK Inflation Forecasting

George Kapetanios

466: Factor Analysis Using Subspace Factor Models: Some Theoretical Results and an Application to UK Inflation Forecasting

George Kapetanios