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Faculty of Economics


Model Construction and Estimation

Title AuthorsYearJEL Codes
Political markets as equity price factorsAuld, T.[2022]C38 C51 D72 G12 G14 G15
Betting and financial markets are cointegrated on election nightAuld, T.[2022]C51 D72 G12 G14 G15
Why Do Couples and Singles Save During Retirement?De Nardi, M., French, E., Bailey Jones, J., McGee, R.[2021]C51 D14 D15 I14
Testing and Modelling Time Series with Time Varying TailsPalumbo, D.[2021]C12 C18 C51 C52 C46 C58 G12
Semiparametric Single-index Predictive RegressionZhou, W., Gao, J., Harris, D. and Kew, H.[2019]C13 C14 C32 C51
Robust Tests for Convergence ClubsCorrado, L., Stengos, T., Weeks, M., Ege Yazgan, M.[2018]C51 R11 R15
Spline-DCS for Forecasting Trade Volume in High-Frequency FinanceIto, R.[2016]C22 C51 C53 C58 G12
Inefficiency persistence and heterogeneity in Colombian electricity distribution utilitiesGalán, J. E. and Pollitt, M.[2014]C11 C23 C51 D24 L94
Modeling Dynamic Diurnal Patterns in High-Frequency Financial DataIto, R.[2013]C22 C51 C53 C58 G01 G12
Estimating market power in homogenous product markets using a composed error model: application to the California electricity marketOrea, L. and Steinbuks, J.[2012]C34 C51 L13 L94
Tests for Convergence ClubsCorrado, L. and Weeks, M.[2011]C51 R11 R15
Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock MarketPesaran , M. H.[2010]C51 C52 G11
Econometric Analysis of High Dimensional VARs Featuring a Dominant UnitPesaran , M. H. and Chudik, A.[2010]C10 C33 C51
Factor Demand Linkages, Technology Shocks and the Business Cycle Holly, S. and Petrella, I.[2010]E20 E32 C31 C51

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