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Faculty of Economics


Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

Title AuthorsYearJEL Codes
Spatial and Spatio-temporal Engle-Granger representations, Networks and Common Correlated EffectsBhattacharjee, A., Ditzen, J. and Holly, S.[2020]C21 C22 C23 R3
Weak Diffusion Limit of Real-Time GARCH Models: The Role of Current Return InformationDing, Y.[2020]C22 C32 C58
Emerging Markets and the Conditional CAPMAhmed, M. F. and Satchell, S.[2019]C22 G11 G15
Modeling directional (circular) time seriesHarvey, A. C., Hurn, S., Thiele, S.[2019]C22
Quantilograms under Strong DependenceLee, L., Linton, O., Whang, Y-J.[2019]C22
Nonparametric Predictive Regressions for Stock Return PredictionCheng, T., Gao, J., Linton, O.[2019]C14 C22 G17
Some Dynamic and Steady-State Properties of Threshold Autoregressions with Applications to Stationarity and Local ExplosivityAhmed, M. F. and Satchell, S.[2019]C22 C32 C53
Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series InformationKoo, B., La Vecchia, D., Linton, O.[2019]C13 C14 C22 G12
Dynamic Tobit modelsHarvey, A. C., Liao, Y.[2019]C22 C24
High Dimensional Semiparametric Moment Restriction ModelsDong, C., Gao, J., Linton, O.[2018]C12 C14 C22 C30
A Semiparametric Intraday GARCH ModelMalec, P.[2016]C14 C22 C53 C58
Asymptotic Theory for Beta-t-GARCHIto, R.[2016]C22 C58
Spline-DCS for Forecasting Trade Volume in High-Frequency FinanceIto, R.[2016]C22 C51 C53 C58 G12
Modeling the Interactions between Volatility and ReturnsHarvey, A. C. and Lange, R.-J.[2015]C22 G15
Testing against Changing CorrelationHarvey, A. C. and Thiele, S.[2014]C14 C22 F36
Two EGARCH models and one fat tailCaivano, M. and Harvey, A. C.[2013]C22 G17
Time series models with an EGB2 conditional distributionCaivano, M. and Harvey, A. C.[2013]C22 G17
Modeling Dynamic Diurnal Patterns in High-Frequency Financial DataIto, R.[2013]C22 C51 C53 C58 G01 G12
Filtering with heavy tailsHarvey, A. C. and Luati, A.[2012]C22
The Dyanamic Location/Scale Model: with applications to intra-day financial dataAndres, P. and Harvey, A. C.[2012]C22 G10
EGARCH models with fat tails, skewness and leverageHarvey, A. C. and Sucarrat, G.[2012]C22 G17
Optimal Forecasts in the Presence of Structural Breaks (Updated 14 November 2011)Pesaran, M. H., Pick, A. and Pranovich, M.[2011]C22 C53
Market Integration, Efficiency, and Interconnectors: The Irish Single Electricity MarketNepal, R. and Jamasb, T.[2011]L94 C22 D02 G1
Exponential Conditional Volatility ModelsHarvey, A. C.[2010]C22 G17

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