2013-W05 María Dolores Martínez Miranda, Bent Nielsen and Jens Perch Nielsen
Inference and forecasting in the age-period-cohort model with unknown exposure with an application to mesothelioma mortality
2009-W17 Thomas Flury and Neil Shephard Learning and Filtering via simulation: smoothly jittered particle Filters
2009-W16 Fabian Eser Monetary Policy in a Currency Union with Heterogeneous Limited Asset Markets Participation
2009-W15 Andrés Carvajal and John Quah A Nonparametric Analysis of the Cournot Model
2009-W14 Fabian Eser Optimal Fiscal Stabilisation through Government Spending
2009-W13 Neil Shephard Income contingent tuition fees for universities
2009-W12 Cavit Pakel, Neil Shephard and Kevin Sheppard Nuisance parameters, composite likelihoods and a panel of GARCH models
2009-W11 Aytek Erdil and Paul Klemperer A New Payment Rule for Core-Selecting Package Auctions
2009-W10 Bent Nielsen Test for cointegration rank in general vector autoregressions
2009-W09 Bent Nielsen and Jouni Sohkanen Asymptotic behaviour of the CUSUM of squares test under stochastic and deterministric time trends
2009-W08 D. Kuang, Bent Nielsen and J. P. Nielsen Chain-Ladder as Maximum Likelihood Revisited
2009-W07 Jeremy Below and Paul Klemperer Price Controls and Consumer Surplus (Revised, 2012).
2009-W06 Paul Klemperer The Product-Mix Auction: a New Auction Design for Differentiated Goods (previous version called: "A New Auction for Substitutes: Central-Bank Liquidity Auctions, “Toxic Asset” Auctions, and Variable Product-Mix Auctions").
2009-W05 Jeremy Bulow and Paul Klemperer Why Do Sellers (Usually) Prefer Auctions?
2009-W04 Nathaniel Frank Linkages between asset classes during the financial crisis, accounting for market microstructure noise and non-synchronous trading
2009-W03 Neil Shephard and Kevin Sheppard Realising the future: forecasting with high frequency based volatility (HEAVY) models
2009-W02 Zorica Mladenović and Bent Nielsen The role of income in money demand during hyper-inflation: the case of Yugoslavaia
2008-W16 Alberto Petrucci Nonoptimality of the Friedman Rule with Capital Income Taxation
2008-W15 Thomas Flury and Neil Shephard Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models
2008-W14 Bent Nielsen Singular vector autoregressions with deterministic terms: Strong consistency and lag order determination
2008-W13 Ole E. Barndorff-Nielsen and Neil Shephard Modelling and measuring volatility
2008-W12 Cameron Hepburn, John K.-H. Quah, and Robert A. Ritz Emissions Trading with Profit-Neutral Permit Allocations
2008-W11 Robert F. Engle, Neil Shephard and Kevin Shepphard Fitting vast dimensional time-varying covariance models
2008-W10 Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde and Neil Shephard Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
2008-W09 D. Kuang, B. Nielsen and J.P. Nielsen Forecasting with the age-period-cohort model and the extended chain-ladder model. In Biometrika 95, 2008, pp.987-991.
2008-W08 Bruno Strulovici Learning While Voting: Determinants of Collective Experimentation
2008-W07 Bent Nielsen and Heino Bohn Nielsen Properties of estimated characteristic roots
2008-W06 Brendan K. Beare Unit Root Testing with Unstable Volatility
2008-W05 Clive G. Bowsher and Roland Meeks The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve
2008-W04 Neil Shephard and Torben G. Andersen Stochastic Volatility: Origins and Overview
2008-W03 Søren Johansen and Bent Nielsen An analysis of the indicator saturation estimator as a robust regression estimator . In Castle, J. L. and Shephard, N. The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry. Oxford University Press. p. 1-36.
2008-W02 Ole E. Barndorff-Nielsen, Silja Kinnebrock and Neil Shephard Measuring downside risk - realised semivariance
2008-W01 Peyton Young, Dean P. Foster The Hedge Fund Game
2007-W05 Di Kuang, B. Nielsen and J.P. Nielsen Identification of the age-period-cohort model and the extended chain ladder model. In Biometrika, 95, 2008, pp.979-986.
2007-W04 John K-H. Quah and Bruno Strulovici Comparative Statics, Informativeness, and the Interval Dominance Order
2007-W03 Jeremy Bulow and Paul Klemperer When are Auctions Best?
2007-W02 Carlos Caceres and Bent Nielsen Convergence to Stochastic Integrals with Non-linear Integrands
2007-W01 Eric Engler and Bent Nielsen The empirical process of autoregressive residuals. Also published in Econometrics Journal 12, 2009, pp. 367-381.
2006-W12 Clive G. Bowsher and Roland Meeks High Dimensional Yield Curves: Models and Forecasting
2006-W11 Roland Meeks Credit shocks and cycles: a Bayesian calibration approach
2006-W10 Ole E. Barndorff-Nielsen, Peter Hansen, Asger Lunde and Neil Shephard Subsampling realised kernels
2006-W09 John Quah Additional Notes on the Comparative Statics of Constrained Optimization Problems
2006-W08 Jeremy Large A Market-Clearing Role for Inefficiency on a Limit Order Book
2006-W07 Joseph Farrell and Paul Klemperer Coordination and Lock-In: Competition with Switching Costs and Network Effects
2006-W06 Paul Klemperer Network Effects and Switching Costs: two short essays for the new New Palgrave
2006-W04 John C. Bluedorn and Christopher Bowdler The Open Economy Consequences of U.S. Monetary Policy
2006-W03 Ole E. Barndorff-Nielsen, Peter Hansen, Asger Lunde and Neil Shephard Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise
2006-W02 Paul Milgrom and Bruno Strulovici Concepts and Properties of Substitute Goods
2006-W01 Christopher J. Tyson Management of a Capital Stock by Strotz's Naive Planner
2005-W26 Clive G. Bowsher Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models
2005-W25 Christopher Bowdler Openness, exchange rate regimes and the Phillips curve
2005-W24 Jurgen A. Doornik and Marius Ooms Outlier Detection in GARCH Models
2005-W23 Kevin Roberts Social Choice Theory and the Informational Basis Approach
2005-W22 John Bluedorn Hurricanes: Intertemporal Trade and Capital Shocks
2005-W21 John Bluedorn and Elizabeth U. Cascio Education and Intergenerational Mobility: Evidence from a Natural Experiment in Puerto Rico Abstract
2005-W20 Victoria Prowse State dependence in a multi-state model of employment dynamics
2005-W19 Victoria Prowse How damaging is part-time employment to a woman's occupational prospects?
2005-W18 John C. Bluedorn and Christopher Bowdler Monetary Policy and Exchange Rate Dynamics: New Evidence from the Narrative Approach to Shock Indentification
2005-W17 Neil Shephard Stochastic volatility. To appear in New Palgrave Dictionary of Economics, 2nd edition, (edited by Steven Durlauf and Lawrence Blume), 2006.
2005-W16 Ole E. Barndorff-Nielsen and Neil Shephard Variation, jumps, market frictions and high frequency data in financial econometrics.
2005-W15 Kevin Roberts Condorcet Cycles? A Model of Intertemporal Voting
2005-W14 Christopher Bowdler and Adeel Malik Openness and Inflation Volatility: Cross-Country Evidence
2005-W13 Florin O. Bilbiie The Utopia of Implementing Monetary Policy Cooperation through Domestic Institutions
2005-W12 Florin O. Bilbiie and David Stasavage Incomplete Fiscal Rules with Imperfect Enforcement
2005-W11 Florin O. Bilbiie Fiscal Contracts for a Monetary Union
2005-W10 Florin O. Bilbiie Deus ex machina wanted: time inconsistency of time consistency solutions in monetary policy Abstract
2005-W09 Florin O. Bilbiie Limited Asset Markets Participation, Monetary Policy and (Inverted) Keynesian Logic
2005-W08 Bent Nielsen Analysis of co-explosive processes
2005-W07 Ole E. Barndorff-Nielsen, Neil Shephard and Matthias Winkel Limit theorems for multipower variation in the presence of jumps Abstract To appear in Stochastic Processes and Their Applications, 2006.
2005-W06 Ole E. Barndorff-Nielsen, Sven Erik Graversen, Jean Jacod and Neil Shephard Limit theorems for bipower variation in financial econometrics To appear in Econometric Theory, 2006.
2005-W05 Jeremy Large Estimating quadratic variation when quoted prices jump by a constant increment
2005-W04 Stephen Bond and Måns Söderbom Adjustment Costs and the Identification of Cobb Douglas Production Functions
2005-W03 Christopher J. Tyson Axiomatic Foundations for Satisficing Behavior
2005-W02 Christopher Bliss Tradeable Goods, Non-Tradeable Goods and Participation
2005-W01 Takamitsu Kurita and Bent Nielsen Short-Run Parameter Changes in a Conintegrated Vector Autoregressive Model
2004-W31 Bent Nielsen (2003) Money Demany in the Yugoslavian Hyperinflation 1991-1994. In Economics: The Open-Access, Open-Assessment E-Journal 2, 2008-21, On the Explosive Nature of Hyper-Inflation Data (note different title).
2004-W30 Ole E. Barndorff-Nielsen and Neil Shephard Multipower variation and stochastic volatility. In Stochastic Finance, (edited by A.N. Shiryaev, M.R. Grossinho, P.E. Oliveira, M.L. Esquivel) Springer, 2005, 73-82.
2004-W29 Ole E. Barndorff-Nielsen, Sven Erik Gravensen, Jean Jacod, Marc Podolskij and Neil Shephard A central limit theorem for realised power and bipower variations of continuous semimartingales. Iin From Stochastic Analysis to Mathematical Finance, Festschrift for Albert Shiryaev (edited by Kabanov, Y and R Lipster), Springer, 2006, forthcoming.
2004-W28 Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde and Neil Shephard Regular and modified kernel-based estimators of integrated variance: the case with independent noise
2004-W27 Marc Fleurbaey Two Criteria for Social Decisions
2004-W26 Christopher Bliss Some Implications of a Variable EIS
2004-W25 Lars Hougaard Hansen, Bent Nielsen and Jens Perch Nielsen Two sided analysis of variance with a latent time series
2004-W24 Bent Nielsen, J. James Reade Simulating Properties of the Likelihood Ratio Test for a Unit Root in an Explosive Second Order Autoregression, Econometric Reviews 26, 487-501 (2007).
2004-W23 Christopher Tyson Iterative Dominance and Sequential Bargaining
2004-W22 Victoria Prowse Estimating Time Demand Elasticities Under Rationing
2004-W21 Clive G. Bowsher Modelling the Dynamics of Cross-Sectional Price Functions: an Econometric Analysis of the Bid and Ask Curves of an Automated Exchange
2004-W20 Siddhartha Chib, Michael Pitt and Neil Shephard Likelihood based inference for diffusion driven models
2004-W19 Yasuhiro Omori, Siddhartha Chib, Neil Shephard and Jouchi Nakajima Stochastic volatility with leverage: fast likelihood inference.
2004-W18 John K.-H. Quah The Aggregate Weak Axiom in a Financial Economy Through Dominant Substitution Effects.
2004-W17 David F. Hendry and Hans-Martin Krolzig We Ran One Regression
2004-W16 Jurgen A. Doornik, Neil Shephard and David F. Hendry Parallel Computation in Econometrics: A Simplified Approach. In Handbook of Parallel Computing and Statistics, Marcel Dekker, 2005.
2004-W15 David F. Hendry Unpredictability and the Foundations of Economic Forecasting
2004-W14 David F. Hendry Robustifying Forecasts from Equilibrium-Correction Models
2004-W13 David F. Hendry and Carlos Santos Regression Models with Data-based Indicator Variables
2004-W12 Guillaume Chevillon and David F. Hendry Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes
2004-W11 Christopher Bowdler and Luca Nunziata A note on the determinants of inflation starts in the OECD
2004-W10 Christopher Bowdler and Eilev S. Jansen Testing for time-varying price-cost markup in the Euro area inflation process
2004-W9 Paul Klemperer Auctions: Theory and Practice
2004-W8 Steve Bond, Asli Leblebicioglu and Fabio Schiantarelli Capital Accumulation and Growth: A New Look at the Empirical Evidence
2004-W7 John Quah The existence of equilibrium when excess demand obeys the weak axiom
2004-W6 John Muellbauer and Justin van de Ven Estimating equivalence scales for tax and benefits systems
2004-W5 Jeremy Large Cancellation and uncertainty aversion on limit order books
2004-W4 David F Hendry and Carlos Santos Regression models with data-based indicator variables
2004-W3 Ole E. Barndorff-Nielsen and Neil Shephard A feasible central limit theory for realised volatility under leverage
2004-W2 Charles Bos and Neil Shephard Inference for adaptive time series models: stochastic volatility and conditionally Gaussian state space form
2004-W1 John Quah Comparative Statics with Concave and Supermodular Functions
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