NCER Working Paper Series

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120: A Practical Guide to Harnessing the HAR Volatility Model

Adam Clements and Daniel Preve

119: Combining Multivariate Volatility Forecasts using Weighted Losses

Adam Clements and M Doolan

118: Media attention and crude oil volatility: Is there any 'new' news in the newspaper?

J. Daniel Aromi and Adam Clements

117: A Dynamic Multiple Equation Approach for Forecasting PM2.5 Pollution in Santiago, Chile

Stella Moisan, Rodrigo Herrera and Adam Clements

116: Does the 4th Estate Deliver? Towards a More Direct Measure of Political Media Bias

Ralf Dewenter, Uwe Dulleck and Tobias Thomas

115: Modelling Extreme Risks in Commodities and Commodity Currencies

Fernanda Fuentes, Rodrigo Herrera and Adam Clements

114: An Unintended Consequence of Using "Errors in Variables Shocks" in DSGE Models?

Adrian Pagan

113: Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship

Shuping Shi, Stan Hurn and Peter Phillips

112: Investigating the Relationship Between DSGE and SVAR Models

Adrian Pagan and Tim Robinson

111: Volatility Dependent Dynamic Equicorrelation

Adam Clements, Ayesha Scott and Annastiina Silvennoinen

110: News and network structures in equity market volatility

Adam Clements and Yin Liao

109: Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics

Annastiina Silvennoinen and Susan Thorp

108: Testing constancy of unconditional variance in volatility models by misspecification and specification tests

Annastiina Silvennoinen and Timo Teräsvirta

107: Change Detection and the Casual Impact of the Yield Curve

Stan Hurn, Peter Phillips and Shuping Shi

106: Public news flow in intraday component models for trading activity and volatility

Adam Clements, Joanne Fuller and Vasilios Papalexiou

105: A New Method for Working With Sign Restrictions in SVARs

Sam Ouliaris and Adrian Pagan

104: Point process models for extreme returns: Harnessing implied volatility

Rodrigo Herrera and Adam Clements

103: Forecasting day-ahead electricity load using a multiple equation time series approach

Adam Clements, Stan Hurn and Zili Li

102: The impact of information flow and trading activity on gold and oil futures volatility

Adam Clements and Neda Todorova

101: The role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index

Adam Clements and Yin Liao

100: A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market

Stan Hurn, Annastiina Silvennoinen and Timo Teräsvirta

99: On the Benefits of Equicorrelation for Portfolio Allocation

Adam Clements, Ayesha Scott and Annastiina Silvennoinen

98: Structural Credit Risk Model with Stochastic Volatility: A Particle-filter Approach

Di Bu and Yin Liao

97: Econometric Issues when Modelling with a Mixture of I(1) and I(0) Variables

Lance A Fisher, Hyeon-seung Huh and Adrian Pagan

96: Patterns and Their Uses

Adrian Pagan

95: Macro-Econometric System Modelling @75

Anthony Hall, Jan Jacobs and Adrian Pagan

94: Issues in Estimating New Keynesian Phillips Curves in the Presence of Unknown Structural Change

Mariano Kulish and Adrian Pagan

93: Modeling and forecasting realized volatility: getting the most out of the jump component

Adam Clements and Yin Liao

92: Competitive Balance Measures in Sports Leagues: The Effects of Variation in Season Length

Dorian Owen and Nicholas King

91: The dynamics of co-jumps, volatility and correlation

Adam Clements and Yin Liao

90: On the Efficacy of Fourier Series Approximations for Pricing European and Digital Options

Stan Hurn, Kenenth A Lindsay and Andrew McClelland

88: Forecasting increases in the VIX: A time-varying long volatility hedge for equities

Adam Clements and Joanne Fuller

86: A Spatial Econometric Analysis of the Effect of Vertical Restraints and Branding on Retail Gasoline Pricing

Stephen Hogg, Stan Hurn, Stuart McDonald and Alicia Rambaldi

85: Selecting forecasting models for portfolio allocation

Adam Clements, Mark Doolan, Stan Hurn and Ralf Becker

84: Why does child labour persist with declining poverty?

Jayanta Sarkar and Dipanwita Sarkar

83: Variation in Risk Seeking Behavior in a Natural Experiment on Large Losses Induced by a Natural Disaster

Lionel Page, David Savage and Benno Torgler

81: The Good, the Bad and the Naive: Do fair prices signal good types or do they induce good behaviour?

Uwe Dulleck, David Johnston, Rudolf Kerschbamer and Matthias Sutter

80: Forecasting multivariate volatility in larger dimensions: some practical issues

Adam Clements, Ayesha Scott and Annastiina Silvennoinen

79: Expert Politicians, Electoral Control, and Fiscal Restraints

Uwe Dulleck and Berthold Wigger

78: μ-σ Games

Uwe Dulleck and Andreas Loffler

77: Monetary Policy and Unemployment in Open Economies

Philipp Engler

76: Volatility timing and portfolio selection: How best to forecast volatility

Adam Clements and Annastiina Silvennoinen

75: Econometric Analysis and Prediction of Recurrent Events

Adrian Pagan and Don Harding

74: Within-subject Intra- and Inter-method consistency of two experimental risk attitude elicitation

Uwe Dulleck, Jacob Fell and Jonas Fooken

73: Contracting for Infrastructure Projects as Credence Goods

Uwe Dulleck and Jianpei Li

72: Forecasting Equicorrelation

Adam Clements, Christopher Coleman-Fenn and Daniel Smith

71: Asymmetric unemployment rate dynamics in Australia

Gunnar Bårdsen, Stan Hurn and Zoe McHugh

69: Can We Predict Recessions?

Don Harding and Adrian Pagan

68: Comparing Different Explanations of the Volatility Trend

Amir Rubin and Daniel Smith

67: Evaluating Value-at-Risk Models via Quantile Regression

Wagner Gaglianone, Luiz Lima, Oliver Linton and Daniel Smith