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From National Centre for Econometric Research
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120: A Practical Guide to Harnessing the HAR Volatility Model Downloads
Adam Clements and Daniel Preve
119: Combining Multivariate Volatility Forecasts using Weighted Losses Downloads
Adam Clements and M Doolan
118: Media attention and crude oil volatility: Is there any 'new' news in the newspaper? Downloads
J. Daniel Aromi and Adam Clements
117: A Dynamic Multiple Equation Approach for Forecasting PM2.5 Pollution in Santiago, Chile Downloads
Stella Moisan, Rodrigo Herrera and Adam Clements
116: Does the 4th Estate Deliver? Towards a More Direct Measure of Political Media Bias Downloads
Ralf Dewenter, Uwe Dulleck and Tobias Thomas
115: Modelling Extreme Risks in Commodities and Commodity Currencies Downloads
Fernanda Fuentes, Rodrigo Herrera and Adam Clements
114: An Unintended Consequence of Using "Errors in Variables Shocks" in DSGE Models? Downloads
Adrian Pagan
113: Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship Downloads
Shuping Shi, Stan Hurn and Peter Phillips
112: Investigating the Relationship Between DSGE and SVAR Models Downloads
Adrian Pagan and Tim Robinson
111: Volatility Dependent Dynamic Equicorrelation Downloads
Adam Clements, Ayesha Scott and Annastiina Silvennoinen
110: News and network structures in equity market volatility Downloads
Adam Clements and Yin Liao
109: Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics Downloads
Annastiina Silvennoinen and Susan Thorp
108: Testing constancy of unconditional variance in volatility models by misspecification and specification tests Downloads
Annastiina Silvennoinen and Timo Teräsvirta
107: Change Detection and the Casual Impact of the Yield Curve Downloads
Stan Hurn, Peter Phillips and Shuping Shi
106: Public news flow in intraday component models for trading activity and volatility Downloads
Adam Clements, Joanne Fuller and Vasilios Papalexiou
105: A New Method for Working With Sign Restrictions in SVARs Downloads
S Ouliaris and Adrian Pagan
104: Point process models for extreme returns: Harnessing implied volatility Downloads
Rodrigo Herrera and Adam Clements
103: Forecasting day-ahead electricity load using a multiple equation time series approach Downloads
Adam Clements, Stan Hurn and Zili Li
102: The impact of information flow and trading activity on gold and oil futures volatility Downloads
Adam Clements and Neda Todorova
101: The role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index Downloads
Adam Clements and Yin Liao
100: A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market Downloads
Stan Hurn, Annastiina Silvennoinen and Timo Teräsvirta
99: On the Benefits of Equicorrelation for Portfolio Allocation Downloads
Adam Clements, Ayesha Scott and Annastiina Silvennoinen
98: Structural Credit Risk Model with Stochastic Volatility: A Particle-filter Approach Downloads
Di Bu and Yin Liao
97: Econometric Issues when Modelling with a Mixture of I(1) and I(0) Variables Downloads
Lance A Fisher, Syeon-seung Huh and Adrian Pagan
96: Patterns and Their Uses Downloads
Adrian Pagan
95: Macro-Econometric System Modelling @75 Downloads
Anthony Hall, Jan Jacobs and Adrian Pagan
94: Issues in Estimating New Keynesian Phillips Curves in the Presence of Unknown Structural Change Downloads
Mariano Kulish and Adrian Pagan
93: Modeling and forecasting realized volatility: getting the most out of the jump component Downloads
Adam Clements and Yin Liao
92: Competitive Balance Measures in Sports Leagues: The Effects of Variation in Season Length Downloads
Dorian Owen and Nicholas King
91: The dynamics of co-jumps, volatility and correlation Downloads
Adam Clements and Yin Liao
90: On the Efficacy of Fourier Series Approximations for Pricing European and Digital Options Downloads
Stan Hurn, Kenenth A Lindsay and Andrew McClelland
88: Forecasting increases in the VIX: A time-varying long volatility hedge for equities Downloads
Adam Clements and Joanne Fuller
86: A Spatial Econometric Analysis of the Effect of Vertical Restraints and Branding on Retail Gasoline Pricing Downloads
Stephen Hogg, Stan Hurn, Stuart McDonald and Alicia Rambaldi
85: Selecting forecasting models for portfolio allocation Downloads
Adam Clements, Mark Doolan, Stan Hurn and Ralf Becker
84: Why does child labour persist with declining poverty? Downloads
Jayanta Sarkar and Dipanwita Sarkar
83: Variation in Risk Seeking Behavior in a Natural Experiment on Large Losses Induced by a Natural Disaster Downloads
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? Downloads
Uwe Dulleck, David Johnston, Rudolf Kerschbamer and Matthias Sutter
80: Forecasting multivariate volatility in larger dimensions: some practical issues Downloads
Adam Clements, Ayesha Scott and Annastiina Silvennoinen
79: Expert Politicians, Electoral Control, and Fiscal Restraints Downloads
Uwe Dulleck and Berthold Wigger
78: μ-σ Games Downloads
Uwe Dulleck and Andreas Loffler
77: Monetary Policy and Unemployment in Open Economies Downloads
Philipp Engler
76: Volatility timing and portfolio selection: How best to forecast volatility Downloads
Adam Clements and Annastiina Silvennoinen
75: Econometric Analysis and Prediction of Recurrent Events Downloads
Adrian Pagan and Don Harding
74: Within-subject Intra- and Inter-method consistency of two experimental risk attitude elicitation Downloads
Uwe Dulleck, Jacob Fell and Jonas Fooken
73: Contracting for Infrastructure Projects as Credence Goods Downloads
Uwe Dulleck and Jianpei Li
72: Forecasting Equicorrelation Downloads
Adam Clements, Christopher Coleman-Fenn and Daniel Smith
71: Asymmetric unemployment rate dynamics in Australia Downloads
Gunnar Bårdsen, Stan Hurn and Zoe McHugh
69: Can We Predict Recessions? Downloads
Don Harding and Adrian Pagan
68: Comparing Different Explanations of the Volatility Trend Downloads
Amir Rubin and Daniel Smith
67: Evaluating Value-at-Risk Models via Quantile Regression Downloads
Wagner Gaglianone, Luiz Lima, Oliver Linton and Daniel Smith
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