JEL classification

Journal of Economic Literature Classification (10777)

C - Mathematical and Quantitative Methods (1386)

C1 - Econometric and Statistical Methods: General (383)

C10 - General (38)

C11 - Bayesian Analysis (33)

C12 - Hypothesis Testing (54)

C13 - Estimation (136)

C14 - Semiparametric and Nonparametric Methods (144)

C15 - Statistical Simulation Methods; Monte Carlo Methods; Bootstrap Methods (41)

C16 - Specific Distributions (4)

C19 - Other (5) Year LSE creators Item Type Departments File available

Article

Aïd, René, Campi, Luciano, Langrené, Nicolas (2013). A structural risk-neutral model for pricing and hedging electricity derivatives. Mathematical Finance, 23(3), 387-438. https://doi.org/10.1111/j.1467-9965.2011.00507.x

Bikbov, Ruslan, Chernov, Mikhail (2011). Yield curve and volatility: lessons from Eurodollar futures and options. Journal of Financial Econometrics, 9(1), 66-105. https://doi.org/10.1093/jjfinec/nbq019

Chang, Jinyuan, Yao, Qiwei, Zhou, Wen (2017). Testing for high-dimensional white noise using maximum cross-correlations. Biometrika, 104(1), 111 - 127. https://doi.org/10.1093/biomet/asw066

Cho, Haeran, Fryzlewicz, Piotr (2012). High dimensional variable selection via tilting. Journal of the Royal Statistical Society. Series B: Statistical Methodology, 74(3), 593-622. https://doi.org/10.1111/j.1467-9868.2011.01023.x

Cowell, Frank, Victoria-Feser, Maria-Pia (1996). Robustness properties of inequality measures. Econometrica, 64(1), 77-101.

Eliaz, Kfir, Ray, Debraj, Razin, Ronny (2006). Choice shifts in groups: a decision-theoretic basis. American Economic Review, 96(4), 1321-1332. https://doi.org/10.1257/000282806779468580

Hidalgo, Javier (2005). Semiparametric estimation for stationary processes whose spectra have an unknown pole. Annals of Statistics, 33(4), 1843-1889. https://doi.org/10.1214/009053605000000318

Hidalgo, Javier, Delgado, Miguel, Velasco, Carlos (2005). Distribution free goodness-of-fit tests for linear processes. Annals of Statistics, 33(6), 2568-2609. https://doi.org/10.1214/009053605000000606

Jofre-Bonet, Mireia, Pesendorfer, Martin (2003). Estimation of a dynamic auction game. Econometrica, 71(5), 1443-1489. https://doi.org/10.1111/1468-0262.00455

Kallsen, Jan, Rheinlander, Thorsten (2011). Asymptotic utility-based pricing and hedging for exponential utility. Statistics and Decisions, 28(1), 17-36. https://doi.org/10.1524/stnd.2011.1027

Razin, Ronny (2003). Signaling and election motivations in a voting model with common values and responsive candidates. Econometrica, 71(4), 1083 - 1119. https://doi.org/10.1111/1468-0262.00440

Robinson, Peter, Dunsmuir, W (1981). Parametric estimators for stationary time series with missing observations. Advances in Applied Probability, 13, 129-146.

Schiraldi, Pasquale (2011). Automobile replacement: a dynamic structural approach. RAND Journal of Economics, 42(2), 266-291. https://doi.org/10.1111/j.1756-2171.2011.00133.x

Veraart, Almut E. D., Veraart, Luitgard A. M. (2012). Stochastic volatility and stochastic leverage. Annals of Finance, 8(2-3), 205-233. https://doi.org/10.1007/s10436-010-0157-3

Chapter

Cowell, Frank (2008). Modelling Lorenz curves: robust and semi-parametric issues. In Chotikapanich, D. (Ed.), Modeling Income Distributions and Lorenz Curves (pp. 241-245). Springer Berlin / Heidelberg.

Gibbons, Stephen, Overman, Henry G., Patacchini, Eleonora (2015). Spatial methods. In Duranton, G., Henderson, J. V. & Strange, W. C. (Eds.), Handbook of Regional and Urban Economics (pp. 115-168). North-Holland. https://doi.org/10.1016/B978-0-444-59517-1.00003-9

Thesis

Leone, Tiziana (2003). Fertility and union dynamics in Brazil [Doctoral thesis]. University of Southampton. description

Working paper

Abul Naga, Ramses H. (1997). Prediction and sufficiency in the model factor analysis. (DARP 31). Suntory and Toyota International Centres for Economics and Related Disciplines.

Cowell, Frank, Flachaire, Emmanuel (2002). Sensitivity of inequality measures to extreme values. (Distributional Analysis Research Programme; DARP 60 60). Suntory and Toyota International Centres for Economics and Related Disciplines.

Davidson, Russell, Flachaire, Emmanuel (2001). The wild bootstrap, tamed at last. (DARP 58). Suntory and Toyota International Centres for Economics and Related Disciplines.

Gregg, Paul, Wadsworth, Jonathan (2004). Two sides to every story: measuring the polarisation of work. (CEPDP 632). London School of Economics and Political Science. Centre for Economic Performance.

Martin, Ralf (2004). Globalisation, ICT and the nitty gritty of plant level datasets. (CEPDP 653). London School of Economics and Political Science. Centre for Economic Performance.

Masolo, Riccardo M., Paccagnini, Alessia (2015). Identifying noise shocks: a VAR with data revisions. (CFM discussion paper series CFM-DP2015-10). Centre For Macroeconomics.

Schiraldi, Pasquale (2008). Automobile replacement: a dynamic structural approach. Unpublished working paper.