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0502003: Market price of risk implied by Asian-style electricity options Downloads
Rafał Weron
0502002: The Long-Run Forecasting of Energy Prices Using the Model of Shifting Trend Downloads
Stanislav Radchenko
0502001: PROTECTION OF PRIVACY THROUGH MICROAGGREGATION Downloads
Edgar Feige and Harold W. Watts
0501015: Overlaying Time Scales in Financial Volatility Data Downloads
Eric Hillebrand
0501014: Grocer 1.0, an Econometric Toolbox for Scilab: an Econometrician Point of View Downloads
Dubois
0501013: THE INFLATION IN EUROPEAN UNION Downloads
Eleftherios Giovanis
0501012: The hunting in the Province of Elassona Downloads
Eleftherios Giovanis
0501008: Econometric Analysis of O.U.T.A. – Organisation of Urban Transportations of Athens Downloads
Eleftherios Giovanis
0501007: Econometric Analysis for the rural sector in Greek economy Downloads
Eleftherios Giovanis
0501006: GMM Estimation for Long Memory Latent Variable Volatility and Duration Models Downloads
Willa Chen and Rohit Deo
0501005: Tracing the Source of Long Memory in Volatility Downloads
Rohit Deo, Mengchen Hsieh and Clifford Hurvich
0501004: Estimation of mis-specified long memory models Downloads
Willa Chen and Rohit Deo
0501003: The Variance Ratio Statistic at large Horizons Downloads
Willa Chen and Rohit Deo
0501002: Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment Downloads
Rohit Deo, Clifford Hurvich and Yi Lu
0501001: Structural VAR identification in asset markets using short-run market inefficiencies Downloads
Gultekin Isiklar
0412012: HABIT FORMATION IN CONSUMPTION: A Case Study of Rural India Downloads
Puja Guha
0412011: On aggregation bias in fixed-event forecast efficiency tests Downloads
Gultekin Isiklar
0412010: Un Modelo Estadístico Flexible para la Estructura Intertemporal de Tasas en Chile Downloads
Dante Jara
0412009: Asymptotics for Duration-Driven Long Range Dependent Processes Downloads
Mengchen Hsieh, Clifford Hurvich and Philippe Soulier
0412008: Predictive Regressions: A Reduced-Bias Estimation Method Downloads
Yakov Amihud and Clifford Hurvich
0412007: Semiparametric Estimation of Fractional Cointegrating Subspaces Downloads
Willa Chen and Clifford Hurvich
0412006: Estimating Long Memory in Volatility Downloads
Clifford Hurvich, Eric Moulines and Philippe Soulier
0412005: Non-stationarities in financial time series, the long range dependence and the IGARCH effects Downloads
Thomas Mikosch and Catalin Starica
0412004: Long range dependence effects and ARCH modelling Downloads
Thomas Mikosch and Catalin Starica
0412003: Changes of structure in financial time series and the GARCH model Downloads
Thomas Mikosch and Catalin Starica
0412002: Is it really long memory we see in financial returns? Downloads
Thomas Mikosch
0412001: Threshold Cointegration between Stock Returns: An application of STECM Models Downloads
Fredj Jawadi and Koubaa Yousra
0411018: Linear and nonlinear models for the analysis of the relationship between stock market prices and macroeconomic and financial factors Downloads
Andreia Dionisio, Rui Menezes, Diana A. Mendes and Jacinto Silva
0411017: When did the 2001 recession really start? Downloads
J. Polzehl, V. Spokoiny and Catalin Starica
0411016: Non-stationarities in stock returns Downloads
Catalin Starica and Clive Granger
0411015: Is GARCH(1,1) as good a model as the Nobel prize accolades would imply? Downloads
Catalin Starica
0411014: Gaussian Tests of "Extremal White Noise" for Dependent, Heterogeneous, Heavy Tailed Time Series with an Application Downloads
Jonathan Hill
0411013: Model Uncertainty, Complexity and Rank in Finance Downloads
Cornelis Los
0411012: On the Estimation of Nonlinearly Aggregated Mixed Models Downloads
Tommaso Proietti
0411011: Temporal Disaggregation by State Space Methods: Dynamic Regression Methods Revisited Downloads
Tommaso Proietti
0411010: The Behavior of HEGY Tests for Quarterly Time Series with Seasonal Mean Shifts Downloads
Artur Silva Lopes and Antonio Montañés
0411009: Demand Pull and Supply Push in Portuguese Cable Television Downloads
João Leitão
0411008: DATA-DRIVEN RATE-OPTIMAL SPECIFICATION TESTING IN REGRESSION MODELS Downloads
Emmanuel Guerre and Pascal Lavergne
0411007: DESIGN-ADAPTIVE POINTWISE NONPARAMETRIC REGRESSION ESTIMATION FOR RECURRENT MARKOV TIME SERIES Downloads
Guerre
0411006: Measuring Eco-efficiency of Production: A Frontier Approach Downloads
Mika Kortelainen and Timo Kuosmanen
0411005: SPACE-TIME LAGS: SPECIFICATION STRATEGY IN SPATIAL REGRESSION MODELS Downloads
Lopez Fernando A and Coro Chasco Yrigoyen
0411004: MODELOS DE HETEROGENEIDAD ESPACIAL Downloads
Coro Chasco Yrigoyen
0411003: Tests of seasonal integration and cointegration in multivariate unobserved component models Downloads
Fabio Busetti
0411002: Do Technology Shocks Drive Hours Up or Down? A Little Evidence From an Agnostic Procedure Downloads
Elena Pesavento and Barbara Rossi
0410011: The Unscientific Incompleteness and Bias of Unidirectional Projections (= Regressions): A Questionnaire Downloads
Cornelis Los
0410010: On the Anatomy of Productivity Growth: A Decomposition of the Fisher Ideal TFP Index Downloads
Timo Kuosmanen and Timo Sipiläinen
0410009: SURGAT: Seasonal Unit Roots Graphical Analysis and Testing device Downloads
Ignacio Díaz-Emparanza
0410008: TRAMO/SEATS y X12ARIMA. Breve guía de acceso mediante Gretl Downloads
Ignacio Díaz-Emparanza
0410007: On the stability of recursive least squares in the Gauss-Markov model Downloads
Evens Salies
0410006: Modelling Directional Dispersion Through Hyperspherical Log- Splines Downloads
Jose Ferreira and Mark Steel
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