The Econometrics seminar series is held on Wednesdays at 5: Please see the seminars website for more details.

Cockerill Nonparametric and Semiparametric Methods in Economics and Finance Prof O. Linton Prospective Students More to come Phil in Economics M. Phil in Economics Research M.

University of Cambridge Faculty of Economics Research Research Groups Econometrics Microeconomic Theory Macroeconomics Empirical Microeconomics Economics History Alternative approaches. Research Grants Research Grants. Hashem Pesaran Donald Robertson Mark Salmon Richard Smith Chen Wang Melvyn Weeks.

An investigation into multivariate variance ratio statistics and their application to stock market predictability Journal of Financial Econometrics Funie, A-I. Run-time Reconfigurable Acceleration for Genetic Programming Fitness Evaluation in Trading Strategies Journal of Signal Processing Systems Harvey, A. Lange Volatility Modelling with a Generalized t-distribution Journal of Time Series Analysis Boneva, L.

A discrete-choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance Journal of Applied Econometrics Robertson, D.

Unit root inference in generally trending and cross-correlated fixed-T panels Journal of Business and Economic Statistics Vogt, M. Classification of non-parametric regression functions in longitudinal data models Journal of the Royal Statistical Society. Statistical Methodology Harvey, A. Testing against changing correlation Journal of Empirical Finance Linton, O.

A nonparametric test of a strong leverage hypothesis Journal of Econometrics Linton, O. Reflections on the probability space induced by moment conditions with implications for Bayesian Inference Journal of Financial Econometrics Han, H.

Measuring quantile dependence and testing directional predictability between time series Journal of Econometrics Bhattacharya, D. Are university admissions academically fair? Robust time series models with trend and seasonal components SERIEs: Journal of the Spanish Economic Association Chen, J. Semiparametric dynamic portfolio choice with multiple conditioning variables Journal of Econometrics Park,S. Estimating the quadratic covariation matrix for asynchronously observed high frquency stock returns corrupted by additive measurement error Journal of Econometrics Bhattacharya, D.

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Nonparametric welfare analysis for discrete choice Econometrica Isohatala, J. Leverage constraints and real interest rates Manchester School Li, D. A flexible semiparametric forecasting model for time series Journal of Econometrics Boneva, L. The effect of fragmentation in trading on market quality in the UK equity market Journal of Applied Econometrics Boneva, L. A semiparametric model for heterogeneous panel data with fixed effects Journal of Econometrics Onatski, A. Asymptotic analysis of the squared estimation error in misspecified factor models Journal of Econometrics Robertson, D.

IV estimation of panels with factor residuals Journal of Econometrics Koo, B. Do high-frequency data improve high-dimensional porfolio allocations? A Discrete Choice Model For Large Heterogeneous Panels with Interactive Fixed Effects with an Application to the Determinants of Corporate Bond Issuance Cambridge Working Papers in EconomicsCWPE Doppelhofer, G. Determinants of long-term economic growth redux: A Measurement Error Model Averaging MEMA approach Cambridge Working Papers in EconomicsCWPE Pesaran, Hashem.

Double-question Survey Measures for the Analysis of A bayesian dsge model of stock market bubbles and business cycles Bubbles and Crashes Cambridge Working Papers in EconomicsCWPE Pesaran, H. Econometric Analysis of Production Networks with Dominant Units Cambridge Working Papers in EconomicsCWPE Chudik, A.

Long-Run Debt Ratios with Fiscal Fatigue Cambridge Working Papers in EconomicsCWPE Linton, O. A coupled component GARCH model for intraday and overnight volatility Cambridge Working Papers in Savage 111 338 lapua replacement stockCWPE Hafner, C.

Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case Cambridge Working Papers in EconomicsCWPE Mohaddes, K. Oil Prices and the Global Economy: Is It Different This Time Around? Alternative Asymptotics for Cointegration Tests in Large VARs Cambridge Working Papers in EconomicsCWPE Malec, P.

A Semiparametric Intraday GARCH Model Cambridge Working Papers in EconomicsCWPE Chen, X. Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model Cambridge Working Papers in EconomicsCWPE Chudik, A.

A New Trading stocks and shares demo Cambridge Working Papers in EconomicsCWPE Escanciano, Best place to trade penny stocks online. Nonparametric Euler Equation Identification andEstimation Cambridge Working Papers in EconomicsCWPE Harvey, A.

Modeling the Interactions between Volatility and Returns Cambridge Working Papers in EconomicsCWPE Harvey, A. Volatility Modeling with a Generalized t-distribution Cambridge Working Papers in EconomicsCWPE Bibinger, M.

The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market Cambridge Working Papers in EconomicsCWPE Brugler, J.

Circuit Breakers on the London Stock Become a broker binary options business plan Do they improve subsequent cien market report stock exchange quality? Measuring Quantile Dependence and Testing Directional Predictability between How much money does a auto body technician make Series Cambridge Working Papers in EconomicsCWPE Harvey, A.

Testing against Changing Correlation Cambridge Working Papers in EconomicsCWPE Pesaran, H. Tests of Policy Ineffectiveness in Macroeconometrics Cambridge Working Papers in EconomicsCWPE BaileyN.

期 12月9日 ：A Bayesian DSGE Model of Stock Market Bubbles and Business Cycles（许志伟 讲师, 上海交通大学安泰经济与管理学院）

A bayesian dsge model of stock market bubbles and business cycles multiple testing approach to the regularisation of large sample correlation matrices Cambridge Working Papers in EconomicsCWPE Hayakawa, K. Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with interactive effects Cambridge Working Papers in EconomicsCWPE Chudik, A. Theory and Practice of GVAR Modeling Cambridge Working Papers in EconomicsCWPE Pesaran, H. Uncertainty and Economic Activity: A Global Perspective Cambridge Working Papers in EconomicsCWPE Caivano, M.

Two EGARCH models and one fat tail Cambridge Working Papers in EconomicsCWPE Caivano, M. Time series models with an EGB2 conditional distribution Cambridge Working Papers in EconomicsCWPE Robertson, D. IV Estimation of Panels with Factor Residuals Cambridge Working Papers in EconomicsCWPE Pesaran, H. Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Data Models with Weakly Exogenous Regressors Cambridge Working Papers in EconomicsCWPE Andres, P.

EGARCH models with fat tails, skewness and leverage Cambridge Working Papers in EconomicsCWPE Hayakawa, K. Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Models Cambridge Working Papers in EconomicsCWPE Pesaran, M. Testing CAPM with a Large Number of Assets Updated 28th March Cambridge Working Papers in EconomicsCWPE Pesaran, M.

Testing Weak Cross-Sectional Dependence in Large Panels Cambridge Working Papers in EconomicsCWPE Bailey, N. Exponent of Cross-sectional Dependence: Estimation and Inference Cambridge Working Papers in EconomicsCWPE Pesaran, M. Optimal Forecasts in the Presence of Structural Breaks Updated 14 November Cambridge Working Papers in EconomicsCWPE Pesaran, M.

Federal Reserve Bank of San Francisco | Research, Economic Research, Publications, Working Papers

Business Cycle Effects of Credit and Technology Shocks in a DSGE Model with Firm Defaults Cambridge Working Papers in EconomicsCWPE Cesa-Bianchi, A. Beyond the DSGE straightjacket Cambridge Working Papers in EconomicsCWPE Koop, G.

On Identification of Bayesian DSGE Models Cambridge Working Papers in EconomicsCWPE Winkelried, D. Principal Components Instrumental Variable Estimation Cambridge Working Papers in EconomicsCWPE Pesaran, M. Aggregation in Large Dynamic Panels Cambridge Working Papers in EconomicsCWPE Doppelhofer, G.

Faculty of Economics

Robust Growth Determinants Cambridge Working Papers in EconomicsCWPE Harvey, A. Exponential Conditional Volatility Models Cambridge Working Papers in EconomicsCWPE Pesaran, M. Predictability of Asset Returns and the Efficient Market Hypothesis Cambridge Working Papers in EconomicsCWPE PesaranM. Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of Stock Market Cambridge Working Papers in EconomicsCWPE PesaranM.

Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit Cambridge Working Papers in EconomicsCWPE more Research Grants Published Papers Cambridge Working Papers.