Econometrics

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0502003: Market price of risk implied by Asian-style electricity options

Rafał Weron

0502002: The Long-Run Forecasting of Energy Prices Using the Model of Shifting Trend

Stanislav Radchenko

0502001: PROTECTION OF PRIVACY THROUGH MICROAGGREGATION

Edgar Feige and Harold W. Watts

0501015: Overlaying Time Scales in Financial Volatility Data

Eric Hillebrand

0501014: Grocer 1.0, an Econometric Toolbox for Scilab: an Econometrician Point of View

Dubois

0501013: THE INFLATION IN EUROPEAN UNION

Eleftherios Giovanis

0501012: The hunting in the Province of Elassona

Eleftherios Giovanis

0501008: Econometric Analysis of O.U.T.A. – Organisation of Urban Transportations of Athens

Eleftherios Giovanis

0501007: Econometric Analysis for the rural sector in Greek economy

Eleftherios Giovanis

0501006: GMM Estimation for Long Memory Latent Variable Volatility and Duration Models

Willa Chen and Rohit Deo

0501005: Tracing the Source of Long Memory in Volatility

Rohit Deo, Mengchen Hsieh and Clifford Hurvich

0501004: Estimation of mis-specified long memory models

Willa Chen and Rohit Deo

0501003: The Variance Ratio Statistic at large Horizons

Willa Chen and Rohit Deo

0501002: Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment

Rohit Deo, Clifford Hurvich and Yi Lu

0501001: Structural VAR identification in asset markets using short-run market inefficiencies

Gultekin Isiklar

0412012: HABIT FORMATION IN CONSUMPTION: A Case Study of Rural India

Puja Guha

0412011: On aggregation bias in fixed-event forecast efficiency tests

Gultekin Isiklar

0412010: Un Modelo Estadístico Flexible para la Estructura Intertemporal de Tasas en Chile

Dante Jara

0412009: Asymptotics for Duration-Driven Long Range Dependent Processes

Mengchen Hsieh, Clifford Hurvich and Philippe Soulier

0412008: Predictive Regressions: A Reduced-Bias Estimation Method

Yakov Amihud and Clifford Hurvich

0412007: Semiparametric Estimation of Fractional Cointegrating Subspaces

Willa Chen and Clifford Hurvich

0412006: Estimating Long Memory in Volatility

Clifford Hurvich, Eric Moulines and Philippe Soulier

0412005: Non-stationarities in financial time series, the long range dependence and the IGARCH effects

Thomas Mikosch and Catalin Starica

0412004: Long range dependence effects and ARCH modelling

Thomas Mikosch and Catalin Starica

0412003: Changes of structure in financial time series and the GARCH model

Thomas Mikosch and Catalin Starica

0412002: Is it really long memory we see in financial returns?

Thomas Mikosch

0412001: Threshold Cointegration between Stock Returns: An application of STECM Models

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

Andreia Dionisio, Rui Menezes, Diana A. Mendes and Jacinto Silva

0411017: When did the 2001 recession really start?

J. Polzehl, V. Spokoiny and Catalin Starica

0411016: Non-stationarities in stock returns

Catalin Starica and Clive Granger

0411015: Is GARCH(1,1) as good a model as the Nobel prize accolades would imply?

Catalin Starica

0411014: Gaussian Tests of "Extremal White Noise" for Dependent, Heterogeneous, Heavy Tailed Time Series with an Application

Jonathan B. Hill

0411013: Model Uncertainty, Complexity and Rank in Finance

Cornelis Los

0411012: On the Estimation of Nonlinearly Aggregated Mixed Models

Tommaso Proietti

0411011: Temporal Disaggregation by State Space Methods: Dynamic Regression Methods Revisited

Tommaso Proietti

0411010: The Behavior of HEGY Tests for Quarterly Time Series with Seasonal Mean Shifts

Artur Silva Lopes and Antonio Montañés

0411009: Demand Pull and Supply Push in Portuguese Cable Television

João Leitão

0411008: DATA-DRIVEN RATE-OPTIMAL SPECIFICATION TESTING IN REGRESSION MODELS

Emmanuel Guerre and Pascal Lavergne

0411007: DESIGN-ADAPTIVE POINTWISE NONPARAMETRIC REGRESSION ESTIMATION FOR RECURRENT MARKOV TIME SERIES

Guerre

0411006: Measuring Eco-efficiency of Production: A Frontier Approach

Mika Kortelainen and Timo Kuosmanen

0411005: SPACE-TIME LAGS: SPECIFICATION STRATEGY IN SPATIAL REGRESSION MODELS

Lopez Fernando A and Coro Chasco Yrigoyen

0411004: MODELOS DE HETEROGENEIDAD ESPACIAL

Coro Chasco Yrigoyen

0411003: Tests of seasonal integration and cointegration in multivariate unobserved component models

Fabio Busetti

0411002: Do Technology Shocks Drive Hours Up or Down? A Little Evidence From an Agnostic Procedure

Elena Pesavento and Barbara Rossi

0410011: The Unscientific Incompleteness and Bias of Unidirectional Projections (= Regressions): A Questionnaire

Cornelis Los

0410010: On the Anatomy of Productivity Growth: A Decomposition of the Fisher Ideal TFP Index

Timo Kuosmanen and Timo Sipiläinen

0410009: SURGAT: Seasonal Unit Roots Graphical Analysis and Testing device

Ignacio Díaz-Emparanza

0410008: TRAMO/SEATS y X12ARIMA. Breve guía de acceso mediante Gretl

Ignacio Díaz-Emparanza

0410007: On the stability of recursive least squares in the Gauss-Markov model

Evens Salies

0410006: Modelling Directional Dispersion Through Hyperspherical Log- Splines

Jose Ferreira and Mark Steel