NCER Working Paper Series

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66: A Kernel Technique for Forecasting the Variance-Covariance Matrix

Ralf Becker, Adam Clements and Robert O'Neill

65: A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions

Stan Hurn, Andrew McClelland and Kenneth Lindsay

64: Volatility and the role of order book structure

Ralf Becker and Adam Clements

63: Can Turkish Recessions be Predicted?

Adrian Pagan

62: Evidence of referees' national favouritism in rugby

Lionel Page and Katie Page

61: Playoff Uncertainty, Match Uncertainty and Attendance at Australian National Rugby League Matches

Nicholas King, Dorian Owen and Rick Audas

60: A Cholesky-MIDAS model for predicting stock portfolio volatility

Ralf Becker, Adam Clements and Robert O'Neill

59: Measuring Parity in Sports Leagues with Draws: Further Comments

Dorian Owen

58: Applying shape and phase restrictions in generalized dynamic categorical models of the business cycle

Don Harding

57: Sign Restrictions in Structural Vector Autoregressions: A Critical Review

Renee Fry-McKibbin and Adrian Pagan

56: Cojumping: Evidence from the US Treasury Bond and Futures Markets

Mardi Dungey and Lyudmyla Hvozdyk

55: Psychological pressure in competitive environments: Evidence from a randomized natural experiment: Comment

Martin Kocher, Marc V. Lenz and Matthias Sutter

54: Portfolio allocation: Getting the most out of realised volatility

Adam Clements and Annastiina Silvennoinen

53: The Credit Channel and Monetary Transmission in Brazil and Chile: A Structured VAR Approach

Luis Catão and Adrian Pagan

52: Testing the Profitability of Technical Analysis as a Portfolio Selection Strategy

Vlad Pavlov and Stan Hurn

51: Substitution Between Managers and Subordinates: Evidence from British Football

Sue Bridgewater, Lawrence Kahn and Amanda Goodall

50: Structural Macro-Econometric Modelling in a Policy Environment

Martin Fukač and Adrian Pagan

49: Detecting Common Dynamics in Transitory Components

Tim M Christensen, Stan Hurn and Adrian Pagan

48: Inter- market Arbitrage in Sports Betting

Egon Franck, Erwin Verbeek and Stephan Nuesch

47: Relational Good at Work! Crime and Sport Participation in Italy. Evidence from Panel Data Regional Analysis over the Period 1997-2003

Raul Caruso

46: The Influence of Social Pressure and Nationality on Individual Decisions: Evidence from the Behaviour of Referees

Peter Dawson and Stephen Dobson

45: Forecast performance of implied volatility and the impact of the volatility risk premium

Ralf Becker, Adam Clements and Christopher Coleman-Fenn

44: On the economic benefit of utility based estimation of a volatility model

Adam Clements and Annastiina Silvennoinen

43: A nonparametric approach to forecasting realized volatility

Adam Clements and Ralf Becker

42: The Economics of Credence Goods: On the Role of Liability, Verifiability, Reputation and Competition

Uwe Dulleck, Rudolf Kerschbamer and Matthias Sutter

41: Evaluating multivariate volatility forecasts

Adam Clements, Mark Doolan, Stan Hurn and Ralf Becker

40: The Economics of Discrimination: Evidence from Basketball

Lawrence Kahn

39: An Econometric Analysis of Some Models for Constructed Binary Time Series

Don Harding and Adrian Pagan

38: Timeless Perspective Policymaking: When is Discretion Superior?

Richard Dennis

37: Are optimistic expectations keeping the Chinese happy?

Paul Frijters, Amy Liu and Xin Meng

36: Inequality Aversion and Performance in and on the Field

Benno Torgler, Markus Schaffner, Bruno Frey, Sascha Schmidt and Uwe Dulleck

35: Discrete time-series models when counts are unobservable

T M Christensen, Stan Hurn and K A Lindsay

34: Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives

Adam Clements, Stan Hurn and K A Lindsay

33: Estimating the Payoffs of Temperature-based Weather Derivatives

Adam Clements, Stan Hurn and K A Lindsay

32: The Devil is in the Detail: Hints for Practical Optimisation

T M Christensen, Stan Hurn and K A Lindsay

31: Buying Online: Sequential Decision Making by Shopbot Visitors

Uwe Dulleck, Franz Hackl, Bernhard Weiss and Rudolf Winter-Ebmer

30: Model Uncertainty and Monetary Policy

Richard Dennis

28: Robustness in Health Research: Do differences in health measures, techniques, and time frame matter?

Paul Frijters and Aydogan Ulker

27: Early Child Development and Maternal Labor Force Participation: Using Handedness as an Instrument

Paul Frijters, David Johnston, Manisha Shah and Michael Shields

26: The mystery of the U-shaped relationship between happiness and age

Paul Frijters and Tony Beatton

25: It never rains but it pours: Modelling the persistence of spikes in electricity prices

T M Christensen, Stan Hurn and K A Lindsay

24: The Jump component of S&P 500 volatility and the VIX index

Ralf Becker, Adam Clements and Andrew McClelland

23: Momentum in Australian Stock Returns: An Update

Stan Hurn and Vlad Pavlov

22: Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH

Mardi Dungey, George Milunovich and Susan Thorp

21: Extending an SVAR Model of the Australian Economy

Mardi Dungey and Adrian Pagan

20: Mirror, Mirror on the Wall, who is the Happiest of Them All?

Benno Torgler, Nemanja Antic and Uwe Dulleck

19: Social Capital And Relative Income Concerns: Evidence From 26 Countries

Justina A. V. Fischer and Benno Torgler

18: Forecasting stock market volatility conditional on macroeconomic conditions

Ralf Becker and Adam Clements

17: Are combination forecasts of S&P 500 volatility statistically superior?

Ralf Becker and Adam Clements

16: Imported Equipment, Human Capital and Economic Growth in Developing Countries

Uwe Dulleck and Neil Foster-McGregor

15: Does implied volatility reflect a wider information set than econometric forecasts?

Ralf Becker, Adam Clements and James Curchin

14: Some Issues in Using Sign Restrictions for Identifying Structural VARs

Renee Fry-McKibbin and Adrian Pagan

13: Weak Instruments: A Guide to the Literature

Adrian Pagan

12: Effects of Tax Morale on Tax Compliance: Experimental and Survey Evidence

Ronald G. Cummings, Jorge Martinez-Vazquez, Michael McKee and Benno Torgler

11: The Power of Positional Concerns: A Panel Analysis

Benno Torgler, Sascha Schmidt and Bruno Frey

9: Teaching an Old Dog New Tricks: Improved Estimation of the Parameters of Stochastic Differential Equations by Numerical Solution of the Fokker-Planck Equation

Stan Hurn, J. Jeisman and K. Lindsay

8: Testing for nonlinearity in mean in the presence of heteroskedasticity. Working paper #8

Stan Hurn and Ralf Becker

7: Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7

Adrian Pagan and Mohammad Pesaran

6: Limited Information Estimation and Evaluation of DSGE Models. Working paper #6

Martin Fukač and Adrian Pagan

5: Income and Happiness: Evidence, Explanations and Economic Implications. Working paper #5

Andrew Clark, Paul Frijters and Michael Shields

4: Inventories, Fluctuations and Business Cycles. Working paper #4

Louis Maccini and Adrian Pagan

3: Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3

Adam Clements, Stan Hurn and Scott White

2: Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations. Working paper #2

Stan Hurn, J.Jeisman and K.A. Lindsay

1: The Econometric Analysis of Constructed Binary Time Series. Working paper #1

Adrian Pagan and Don Harding