Home People Institutions Chairs Agenda Job market  Login Updated: 10/12/2008 09:56  Statistics Related institutions Cass Business School CeNDEF - Center for Nonlinear Dynamics in Economics and Finance Department of Statistics Stockholm School of Economics - Department of Economic Statistics and Decision Support School of Accounting, Economics & Statistics Related working papers and articles   "On the Power of R/S type Tests under Contiguous and Semi Long-Memory Alternatives". Acta Applicandae Mathematicae, 2003, vol 78, p 285-299. "Bootstrap Mispecification Tests for ARCH Based on the Empirical Process of Squared Residuals". A paraitre dans Journal of Statistical Computation and Simulation, 2003. "Rescaled Variance and Related Tests for Long Memory in Volatility and Levels." Journal of Econometrics, 2003, vol 112, p 265-294. "Empirical Processes for the Squared Residuals of an ARCH Sequence". The Annals of Statistics, 2001, vol 29, p 445-469. "Semiparametric Estimation of the Intensity of Long Memory in Conditional Heteroskedasticity". Statistical Inference for Stochastic Processes, 2000, vol 3, p 113-128. "Change-Point Detection in GARCH Models: Asymptotic and Bootstrap Tests", 2002. "Modelling Exchange Rates Volatility with Multivariate Long-Memory ARCH Processes" "Interaction Models for Common Long-Range Dependence in Asset Price Volatilities". Processes with Long Range Correlations: Theory and Applications, 2003, Lecture Notes in Physics vol 621, p 251-269, Springer Verlag. Empirical properties of asset returns: stylized facts and statistical issues. Dynamics of implied volatility surfaces. Semiparametric estimation of first-price auction with risk-averse bidders Estimation of time-varying ARMA models and applications to series subject to Markovian changes in regime "Confidence Intervals for the Autocorrelations of the Squares of GARCH Sequences", 2004. Computational Science- ICCS 2004, Lecture Notes in Computer Science vol 3039, p 837-844, Springer Verlag. Asymptotic Inefficiency of Mean-Correction on Parameter Estimation for a Periodic First-Order Autoregressive Model Propriétés dans L² et estimation des processus purement bilinéaires et strictement superdiagonaux à coefficients périodiques "Blackwell Optimality in Markov Decision Processes with Partial Observation" FDI, Allocation of Talents and Differences in Regulation Bai and Perron's and spectral density methods for structural change detection in the US inflation process Real Convergence, Price Level Convergence and Inflation Differentials in Europe Export Dynamics in Colombia: Transactions Level Evidence Model Selection Uncertainty and Detection of Threshold Effects Can earnings forecasts be improved by taking into account the forecast bias? The Dynamic Correlation Between Growth and Unemployment Nonlinear Censored Regression Using Synthetic Data An objective function for simulation based inference on exchange rate data African Trade Policy in the 1990s: Political Economy or Technocratic Reforms? Testing for duration dependence in economic cycles Seasonality Tests Testing in Unobserved Components Models New test statistics for market timing with applications to emerging markets hedge funds VAT Evasion and VAT Avoidance: is there a European Laffer curve for VAT? Econometrics of testing for jumps in financial economics using bipower variation Econometrics of testing for jumps in financial economics using bipower variation Information and Human Capital Management Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview A Data-Driven Nonparametric Specification Test For Dynamic Regression Models Using Perl for Statistics: Data Processing and Statistical Computing A Test of the Martingale Hypothesis A Bootstrap Theory for Weakly Integrated Processes Estimation of Copula Models for Time Series of Possibly Different Length Panel Cointegration with Global Stochastic Trends Testing for Structural Change of a Time Trend Regression in Panel Data Bootstrapping and hypothesis testing in non-stationary panel data The Effect of Data Transformation on Common Cycle, Cointegration and Unit Root Tests: Monte Carlo Results and a Simple Test Bootstrap conditional distribution tests in the presence of dynamic misspecification Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average Bootstrap refinements for QML estimators of the GARCH(1,1) parameters Using Bayesian variable selection methods to choose style factors in global stock return models Unit Root Tests for Panels in the Presence of Short-run and Long-run Dependencies: Nonlinear IV Approach with Fixed N and Large Nonlinear IV unit root tests in panels with cross-sectional dependency Panel Unit Root Tests in the Presence of Cross-Sectional Dependency and Heterogeneity Bootstrapping cointegrating regressions Nonlinear IV Panel Unit Root Tests Modelling and Testing for Structural Changes in Panel Cointegration Models with Common and Idiosyncratic Stochastic Trend The effect of uncertainty on UK investment authorisation: Homogenous vs. heterogeneous estimators The Effect of Uncertainty on UK Investment Authorisation: Pooled Estimators vs. Heterogeneous Estimators1 Estimating A Risky Term Structure Of Brady Bonds Weighted symmetric tests for a unit root: response functions, power, test dependence and test conflict Temporary Migration and Self-Employment: Evidence from Tunisia Testing for stationarity in heterogeneous panel data where the time dimension is finite Testing for stationarity in heterogeneous panel data Optimal Rules under Adjustment Cost and Infrequent Information The Valuation Of Non-Monetary Consumption SUTEX: Stata module to LaTeX code for summary statistics tables Testing for unit roots on heterogeneous panels: A sequential approach Tests Of Rank The century of education The Effect of Segregation and Spatial Mismatch on Unemployment: Evidence from France The effects of segregation and spatial mismatch on unemployment: evidence from France Ségrégation résidentielle, accessibilité aux emplois et chômage : le cas de l'Ile-de-France How has the euro changed the foreign exchange market? The Demise of Investment Banking Partnerships: Theory and Evidence Verzerrungen von Konsumentenpreisindizes und ihr Einfluss auf das «reale» Wirtschaftswachstum --dargestellt am Beispiel der Non-Walrasian Labor Markets and Real Business Cycles Spatial Agglomeration, Technological Innovations, and Firm Productivity: Evidence from Italian Industrial Districts Econometric analyses with backdated data - unified Germany and the euro area Short-Run Italian GDP Forecasting and Real-Time Data Intertemporal stability of the European credit spread co-movement structure 1 Model Selection Uncertainty and Detection of Threshold Effecs The construction of coincident and leading indicators for the euro area business cycler of the euro area business cycle Testing Non-Correlation and Non-Causality between Multivariate ARMA Time Series Robust Econometrics Robust Estimation in Nonlinear Regression and Limited Dependent Variable Models Comment on: Threshold Autoregressions With a Unit Root Ethnicity and Spatial Externalities in Crime THE DENSITY OF A QUADRATIC FORM IN A VECTOR UNIFORMLY DISTRIBUTED ON THE n-SPHERE Conditional Inference For Possibly Unidentified Structural Equations Computing observation weights for signal extraction and filtering Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series Keynes among the Statisticians Panel Data Unit Roots Tests: The Role of Serial Correlation and the Time Dimension Testing for Granger Non-causality in Heterogeneous Panels Obstacles to Expanding Intra-African Trade Non-stationarity and meta-distribution More pessimism than greediness: a characterization of monotone risk aversion in the Rank-Dependent Expected Utility model Linear-representation Based Estimation of Stochastic Volatility Models On The Recent Extension Of Price And Production Statistics To Health And Education Aggregate Wage Earnings in Germany: 1810-1989. New Measurement and Cliometric Analysis of Shocks Conditional Likelihood Estimators for Hidden Markov Models and Stochastic Volatility Models Academic Patenting in Europe: New Evidence from the KEINS Database The Wild Bootstrap, Tamed at Last Bootstrap Inference in a Linear Equation Estimated by Instrumental Variables Legal versus economic explanations of the rise in bankruptcies in 19th century France Top Income Shares in the Long Run: An Overview The Evolution of Top Incomes: A Historical and International Perspective Income and Wealth Concentration in Switzerland Over the 20th Century Pension Funds in France: Still a Dead-End? Where are the Economists Who Publish? Publication Concentration and Rankings in Europe Based on Cumulative Publications Residual Wage Disparity And Coordination Unemployment Asset Prices and the Conduct of Monetary Policy Nonparametric inference for unbalance time series data Adaptive testing in arch models The CNBC Effect: Welfare Effects of Public Information Welfare effects of public information Trading futures spread portfolios: applications of higher order and recurrent networks New measures of UK private sector software investment Measuring the coherence of ONS and Purchasing Managers' Index data Forcasting GDP using external data sources Construction Of Cpix Data For Forecasting And Modelling In South Africa Precautionary Savings, Credit Constraints, and Irreversible Investment: Evidence from Semi-Arid India `Weak` trends for inference and forecasting in finite samples Further results on weak-exogeneity in vector error correction models Determinants of Pollution Abatement and Control Expenditure: Evidence from Romania Do panel data permit the rescue of the Balassa-Samuelson hypothesis for Latin American countries? Why Go Out to Work? An Analysis Drawn from BHPS Wave One Data The Size Distortion Of Bootstrap Tests Regression-Based Methods for Using Control and Antithetic Variates in Monte Carlo Experiments The Geometry of the Wald Test Adaptive Testing in <B>ARCH</B> Models Asset Prices and Trading Volume in a Beauty Contest Approximations and two-sample tests based on P-P and Q-Q plots of the Kaplan-Meier estimators of lifetime distributions Commercial Bankruptcy and Financial Reorganization in Canada Confidence intervals or surfaces? Uncertainty on the cost-effectiveness plane Alternative forms of external finance : a survey Diagnostic Checking of Unobserved-Components Time Series Models Statistical algorithms for models in state space using SsfPack 2.2 Time series analysis via rank order theory: Signed-rank tests for ARMA models Localized technological change, new information technology and the knowledge-based economy: The European evidence Is Job Turnover Countercyclical? Long-Run Causality, with an Application to International Links between Long-Term Interest Rates Testing for hysteresis : unemployment persistence and wage adjustment Feedback covariates unit root tests : an application to the sustainability of fiscal policy Order Flow and Exchange Rate Dynamics Spurious Regression and Residual-Based Tests for Cointegration in Panel Data When the Cross-Section and Time-Series Dimensions a How Good Are Small Firms at Predicting Employment? How Good Are the U.K. VAT Registration Data at Measuring Firm Births? Announcement Effects and Seasonality in the Intra-day Foreign Exchange Market Stochastic Volatility Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process? From Fault Tree to Credit Risk Assessment: An Empirical Attempt Related journals and reviews Les Annales d'Economie et de Statistique See also   Financial mathematics, econometrics and quantitative economics Chaire Assurance et Risques Majeurs 1st Annual Conference on Econometrics of Hedge Funds Decision Science Project Research Junior Chair position HEC Finance and Statistics Conference 10th International Vilnius Conference on Probability Theory and Mathematical Statistics WARSAW SCHOOL OF ECONOMICS Chaire Dérivés du Futur Chaire Risques Financiers Coming Soon: "Market Microstructure: confronting many viewpoints" MATHEMATIQUE ET RISQUES FINANCIERS :Regards croisés d’Economistes et de Mathématiciens Support and feedback: info@e-fern.org