• NEP-ALL-2003-11-03 (All new papers)
• NEP-ECM-2003-11-03 (Econometrics)
• NEP-ETS-2003-11-03 (Econometric Time Series)
• NEP-MFD-2003-11-03 (Microfinance)

1. Carroll, Raymond J. & H rdle, Wolfgang & Mammen, Enno, 2002. "Estimation In An Additive Model When The Components Are Linked Parametrically," Econometric Theory, Cambridge University Press, vol. 18(04), pages 886-912, May. [Downloadable!]
   Other versions:
   • R.J. Carroll & W. Härdle & E. Mammen, . "Estimation in an additive model when the components are linked parametrically," Sonderforschungsbereich 373 1999-1, Humboldt Universitaet Berlin.
2. Woocheol Kim & Oliver Linton, 2004. "A Local Instrumental Variable Estimation Method For Generalized Additive Volatility Models," FMG Discussion Papers dp509, Financial Markets Group. [Downloadable!] (restricted)
   Other versions:
   • Woocheol Kim & Oliver Linton, 2003. "A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models," STICERD - Econometrics Paper Series /2003/456, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
3. Darolles, S. & Florens, J.-P. & Renault, É., 2002. "Nonparametric Instrumental Regression," Cahiers de recherche 05-2002, Centre interuniversitaire de recherche en économie quantitative, CIREQ. [Downloadable!]
4. Drost, Feike C & Nijman, Theo E, 1993. "Temporal Aggregation of GARCH Processes," Econometrica, Econometric Society, vol. 61(4), pages 909-27, July. [Downloadable!] (restricted)
   Other versions:
   • Drost, F.C. & Nijman, T.E., 1992. "Temporal Aggregation of Garch Processes," Papers 9240, Tilburg - Center for Economic Research.
   • Drost, F.C. & Nijman, T.E., 1990. "Temporal Aggregation Of Garch Processes," Papers 9066, Tilburg - Center for Economic Research.
5. Pagan, Adrian R. & Schwert, G. William, 1990. "Alternative models for conditional stock volatility," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 267-290. [Downloadable!] (restricted)
   Other versions:
   • Adrian R. Pagan & G. William Schwert, 1990. "Alternative Models For Conditional Stock Volatility," NBER Working Papers 2955, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   • Pagan, A.R. & Schwert, G.W., 1989. "Alternative Models For Conditional Stock Volatility," Papers 89-02, Rochester, Business - General.
6. Carrasco, Marine & Chen, Xiaohong, 2002. "Mixing And Moment Properties Of Various Garch And Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 18(01), pages 17-39, March. [Downloadable!]
7. Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December. [Downloadable!] (restricted)
   Other versions:
   • Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
8. Joel Horowitz & Enno Mammen, 2002. "Nonparametric estimation of an additive model with a link function," CeMMAP working papers CWP19/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
   Other versions:
   • J. Horowitz & E. Mammen, . "Nonparametric Estimation of an Additive Model with a Link Function," Sonderforschungsbereich 373 2002-63, Humboldt Universitaet Berlin.
9. DAROLLES, Serge & FLORENS, Jean-Pierre & RENAULT, Éric, 2002. "Nonparametric Instrumental Regression," Cahiers de recherche 2002-05, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
10. W. H"Ardle & A. Tsybakov & L. Yang, . "Nonparametric Vector Autoregression," Sonderforschungsbereich 373 1996-61, Humboldt Universitaet Berlin.
11. John Rust, 1997. "Using Randomization to Break the Curse of Dimensionality," Econometrica, Econometric Society, vol. 65(3), pages 487-516, May.
    Other versions:
    • John Rust & Department of Economics & University of Wisconsin, 1994. "Using Randomization to Break the Curse of Dimensionality," Computational Economics 9403001, EconWPA, revised 04 Jul 1994. [Downloadable!]
12. Wu, Guojun & Xiao, Zhijie, 2002. "A generalized partially linear model of asymmetric volatility," Journal of Empirical Finance, Elsevier, vol. 9(3), pages 287-319, August. [Downloadable!] (restricted)
13. Gourieroux, Christian & Monfort, Alain, 1992. "Qualitative threshold ARCH models," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 159-199. [Downloadable!] (restricted)
    Other versions:
    • Gourieroux, C. & Monfort, A., 1990. "Qualitative Threshold Arch Models," Papers 9009, Institut National de la Statistique et des Etudes Economiques-.
    • Gourieroux Christian & Monfort Alain, 1991. "Qualitative threshold arch models," CEPREMAP Working Papers (Couverture Orange) 9109, CEPREMAP.
14. Oliver Linton & E. Mammen & J. Nielsen, 1997. "The Existence and Asymptotic Properties of a Backfitting Projection Algorithm Under Weak Conditions," Cowles Foundation Discussion Papers 1160, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
    • Oliver Linton & Enno Mammen & N Nielsen, 2000. "The Existence and Asymptotic Properties of a Backfitting Projection Algorithm under Weak Conditions," STICERD - Econometrics Paper Series /2000/386, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
15. L. Yang & W. H"Ardle, . "Nonparametric Autoregression with Multiplicative Volatility and Additive Mean," Sonderforschungsbereich 373 1996-62, Humboldt Universitaet Berlin.
    Other versions:
    • L. Yang & W. Härdle & J. Nielsen, . "Nonparametric Autoregression with Multiplicative Volatility and Additive Mean," Sonderforschungsbereich 373 1998-107, Humboldt Universitaet Berlin.
16. Oliver Linton, 1993. "Adaptive Estimation in ARCH Models," Cowles Foundation Discussion Papers 1054, Cowles Foundation, Yale University. [Downloadable!]
17. Lumsdaine, Robin L, 1996. "Consistency and Asymptotic Normality of the Quasi-maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models," Econometrica, Econometric Society, vol. 64(3), pages 575-96, May. [Downloadable!] (restricted)
18. repec:cup:etheor:v:13:y:1997:i:2:p:214-52 is not listed on IDEAS
19. O. Linton & E. Mammen & J. Nielsen & C. Tanggaard, . "Estimating Yield Curves by Kernel Smoothing Methods," Sonderforschungsbereich 373 1999-54, Humboldt Universitaet Berlin.
    Other versions:
    • Oliver Linton & E. Mammen & J. Nielsen & C. Tanggaard, 1998. "Estimating Yield Curves by Kernel Smoothing Methods," Cowles Foundation Discussion Papers 1205, Cowles Foundation, Yale University. [Downloadable!]
20. Peter Hall & Joel L. Horowitz, 2003. "Nonparametric methods for inference in the presence of instrumental variables," CeMMAP working papers CWP02/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
21. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. [Downloadable!] (restricted)
22. Engle, Robert F & Gonzalez-Rivera, Gloria, 1991. "Semiparametric ARCH Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(4), pages 345-59, October.
    Other versions:
    • Robert F. Engle & Gloria Gonzalez-Rivera, 1990. "Semiparametric Arch Models," University of California at San Diego, Economics Working Paper Series 89-17r, Department of Economics, UC San Diego.
23. repec:cup:etheor:v:9:y:1993:i:4:p:539-69 is not listed on IDEAS
24. W. H"Ardle & O. Linton, . "Nonparametric Regression," Sonderforschungsbereich 373 1995-29, Humboldt Universitaet Berlin.

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1. Oliver Linton & Enno Mammen, 2006. "Nonparametric Transformation to White Noise," STICERD - Econometrics Paper Series /2006/503, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
2. Woocheol Kim, 2004. "Identification And Estimation Of Nonparametric Structural," Econometric Society 2004 Far Eastern Meetings 733, Econometric Society. [Downloadable!]