National Centre for Econometric Research
NCER Working Paper Series
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2013
- 91 The dynamics of co-jumps, volatility and correlation
by Adam Clements & Yin Liao - 90 On the Efficacy of Fourier Series Approximations for Pricing European and Digital Options
by A. S. Hurn & K. A. Lindsay & A. J. Mcclelland - 89 City Relative Price Dynamics in Australia: Are Structural Breaks Important?
by Hiranya K Nath & Jayanta Sarkar
2012
- 88 Forecasting increases in the VIX: A time-varying long volatility hedge for equities
by Adam Clements & Joanne Fuller - 87 Estimating the Parameters of Stochastic Volatility Models using Option Price Data
by Stan Hurn & Ken Lindsay & Andrew McClelland - 86 A Spatial Econometric Analysis of the Effect of Vertical Restraints and Branding on Retail Gasoline Pricing
by Stephen Hogg & Stan Hurn & Stuart McDonald & Alicia Rambaldi - 85 Selecting forecasting models for portfolio allocation
by Adam E Clements & Mark Doolan & Stan Hurn & Ralf Becker - 84 Why does child labour persist with declining poverty?
by Jayanta Sarkar & Dipanwita Sarkar - 83 Variation in Risk Seeking Behavior in a Natural Experiment on Large Losses Induced by a Natural Disaster
by Lionel Page & David Savage & Benno Torgler - 82 Semi-parametric forecasting of Spikes in Electricity Prices
by Adam E Clements & Joanne Fuller & Stan Hurn - 81 The Good, the Bad and the Naive: Do fair prices signal good types or do they induce good behaviour?
by Uwe Dulleck & David Johnston & Rudolf Kerschbamer & Matthias Sutter - 80 Forecasting multivariate volatility in larger dimensions: some practical issues
by Adam E Clements & Ayesha Scott & Annastiina Silvennoinen - 79 Expert Politicians, Electoral Control, and Fiscal Restraints
by Uwe Dulleck & Berthold U Wigger - 78 μ-σ Games
by Uwe Dulleck & Andreas Loffler
2011
- 77 Monetary Policy and Unemployment in Open Economies
by Philipp Engler - 76 Volatility timing and portfolio selection: How best to forecast volatility
by Adam E Clements & Annastiina Silvennoinen - 75 Econometric Analysis and Prediction of Recurrent Events
by Adrian Pagan & Don Harding - 74 Within-subject Intra- and Inter-method consistency of two experimental risk attitude elicitation
by Uwe Dulleck & Jacob Fell & Jonas Fooken - 73 Contracting for Infrastructure Projects as Credence Goods
by Uwe Dulleck & Jianpei Li - 72 Forecasting Equicorrelation
by Adam E Clements & Christopher A Coleman-Fenn & Daniel R Smith - 71 Asymmetric unemployment rate dynamics in Australia
by Gunnar Bardsen & Stan Hurn & Zoe McHugh - 70 Forecasting Spikes in Electricity Prices
by Tim Christensen & Stan Hurn & Ken Lindsay
2010
- 69 Can We Predict Recessions?
by Don Harding & Adrian Pagan - 68 Comparing Different Explanations of the Volatility Trend
by Amir Rubin & Daniel Smith - 67 Evaluating Value-at-Risk Models via Quantile Regression
by Wagner Piazza Gaglianone & Luiz Renato Lima & Oliver Linton & Daniel Smith - 66 A Kernel Technique for Forecasting the Variance-Covariance Matrix
by Ralf Becker & Adam Clements & Robert O'Neill - 65 A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions
by Stan Hurn & Andrew McClelland & Kenneth Lindsay - 64 Volatility and the role of order book structure
by Ralf Becker & Adam Clements - 63 Can Turkish Recessions be Predicted?
by Adrian Pagan - 62 Evidence of referees' national favouritism in rugby
by Lionel Page & Katie Page - 61 Playoff Uncertainty, Match Uncertainty and Attendance at Australian National Rugby League Matches
by Nicholas King & P Dorian Owen & Rick Audas - 60 A Cholesky-MIDAS model for predicting stock portfolio volatility
by Ralf Becker & Adam Clements & Robert O'Neill - 59 Measuring Parity in Sports Leagues with Draws: Further Comments
by P Dorian Owen - 58 Applying shape and phase restrictions in generalized dynamic categorical models of the business cycle
by Don Harding - 57 Sign Restrictions in Structural Vector Autoregressions: A Critical Review
by Renee Fry & Adrian Pagan - 56 Cojumping: Evidence from the US Treasury Bond and Futures Markets
by Mardi Dungey & Lyudmyla Hvozdyk - 55 Psychological pressure in competitive environments: Evidence from a randomized natural experiment: Comment
by Martin G. Kocher & Marc V. Lenz & Matthias Sutter - 54 Portfolio allocation: Getting the most out of realised volatility
by Adam Clements & Annastiina Silvennoinen - 53 The Credit Channel and Monetary Transmission in Brazil and Chile: A Structured VAR Approach
by Luis Catão & Adrian Pagan
2009
- 52 Testing the Profitability of Technical Analysis as a Portfolio Selection Strategy
by Vlad Pavlov & Stan Hurn - 51 Substitution Between Managers and Subordinates: Evidence from British Football
by Sue Bridgewater & Lawrence M. Kahn & Amanda H. Goodall - 50 Structural Macro-Econometric Modelling in a Policy Environment
by Martin Fukac & Adrian Pagan - 49 Detecting Common Dynamics in Transitory Components
by Tim M Christensen & Stan Hurn & Adrian Pagan - 48 Inter-market Arbitrage in Sports Betting
by Egon Franck & Erwin Verbeek & Stephan Nuesch - 47 Relational Good at Work! Crime and Sport Participation in Italy. Evidence from Panel Data Regional Analysis over the Period 1997-2003
by Raul Caruso - 46 The Influence of Social Pressure and Nationality on Individual Decisions: Evidence from the Behaviour of Referees
by Peter Dawson & Stephen Dobson - 45 Forecast performance of implied volatility and the impact of the volatility risk premium
by Ralf Becker & Adam Clements & Christopher Coleman-Fenn - 44 On the economic benefit of utility based estimation of a volatility model
by Adam Clements & Annastiina Silvennoinen - 43 A nonparametric approach to forecasting realized volatility
by Adam Clements & Ralf Becker - 42 The Economics of Credence Goods: On the Role of Liability, Verifiability, Reputation and Competition
by Uwe Dulleck & Rudolf Kerschbamer & Matthias Sutter - 41 Evaluating multivariate volatility forecasts
by Adam Clements & Mark Doolan & Stan Hurn & Ralf Becker - 40 The Economics of Discrimination: Evidence from Basketball
by Lawrence M. Kahn - 39 An Econometric Analysis of Some Models for Constructed Binary Time Series
by Don Harding & Adrian Pagan - 38 Timeless Perspective Policymaking: When is Discretion Superior?
by Richard Dennis
2008
- 37 Are optimistic expectations keeping the Chinese happy?
by Paul Frijters & Amy Y.C. Liu & Xin Meng - 36 Inequality Aversion and Performance in and on the Field
by Benno Torgler & Markus Schaffner & Bruno S. Frey & Sascha L. Schmidt & Uwe Dulleck - 35 Discrete time-series models when counts are unobservable
by T M Christensen & A. S. Hurn & K A Lindsay - 34 Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives
by Adam Clements & A S Hurn & K A Lindsay - 33 Estimating the Payoffs of Temperature-based Weather Derivatives
by Adam Clements & A S Hurn & K A Lindsay - 32 The Devil is in the Detail: Hints for Practical Optimisation
by T M Christensen & A S Hurn & K A Lindsay - 31 Buying Online: Sequential Decision Making by Shopbot Visitors
by Uwe Dulleck & Franz Hackl & Bernhard Weiss & Rudolf Winter-Ebmer - 30 Model Uncertainty and Monetary Policy
by Richard Dennis - 29 The Frequency of Price Adjustment and New Keynesian Business Cycle Dynamics
by Richard Dennis - 28 Robustness in Health Research: Do differences in health measures, techniques, and time frame matter?
by Paul Frijters & Aydogan Ulker - 27 Early Child Development and Maternal Labor Force Participation: Using Handedness as an Instrument
by Paul Frijters & David W. Johnston & Manisha Shah & Michael A. Shields - 26 The mystery of the U-shaped relationship between happiness and age
by Paul Frijters & Tony Beatton - 25 It never rains but it pours: Modelling the persistence of spikes in electricity prices
by T M Christensen & A S Hurn & K A Lindsay - 24 The Jump component of S&P 500 volatility and the VIX index
by Ralf Becker & Adam Clements & Andrew McClelland - 23 Momentum in Australian Stock Returns: An Update
by A. S. Hurn & V.Pavlov - 22 Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH
by Mardi Dungey & George Milunovich & Susan Thorp - 21 Extending an SVAR Model of the Australian Economy
by Mardi Dungey & Adrian Pagan
2007
- 9 Teaching an Old Dog New Tricks: Improved Estimation of the Parameters of Stochastic Differential Equations by Numerical Solution of the Fokker-Planck Equation
by A. Hurn & J. Jeisman & K. Lindsay - 8 Testing for nonlinearity in mean in the presence of heteroskedasticity. Working paper #8
by Stan Hurn & Ralf Becker - 7 Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7
by Adrian Pagan & Hashem Pesaran - 20 Mirror, Mirror on the Wall, who is the Happiest of Them All?
by Benno Torgler & Nemanja Antic & Uwe Dulleck - 19 Social Capital And Relative Income Concerns: Evidence From 26 Countries
by Justina AV Fischer & Benno Torgler - 18 Forecasting stock market volatility conditional on macroeconomic conditions
by Ralf Becker & Adam Clements - 17 Are combination forecasts of S&P 500 volatility statistically superior?
by Ralf Becker & Adam Clements - 16 Imported Equipment, Human Capital and Economic Growth in Developing Countries
by Uwe Dulleck & Neil Foster - 15 Does implied volatility reflect a wider information set than econometric forecasts?
by Ralf Becker & Adam Clements & James Curchin - 14 Some Issues in Using Sign Restrictions for Identifying Structural VARs
by Renee Fry & Adrian Pagan - 13 Weak Instruments: A Guide to the Literature
by Adrian Pagan - 12 Effects of Tax Morale on Tax Compliance: Experimental and Survey Evidence
by Ronald G. Cummings & Jorge Martinez-Vazquez & Michael McKee & Benno Torgler - 11 The Power of Positional Concerns: A Panel Analysis
by Benno Torgler & Sascha L. Schmidt & Bruno S. Frey - 10 Modelling Spikes in Electricity Prices
by Ralf Becker & Stan Hurn & Vlad Pavlov
2006
- 6 Limited Information Estimation and Evaluation of DSGE Models. Working paper #6
by Martin Fukac & Adrian Pagan - 5 Income and Happiness: Evidence, Explanations and Economic Implications. Working paper #5
by Andrew E. Clark & Paul Frijters & Michael A. Shields - 4 Inventories, Fluctuations and Business Cycles. Working paper #4
by Louis J. Maccini & Adrian Pagan - 3 Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3
by Adam Clements & Stan Hurn & Scott White - 2 Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations. Working paper #2
by Stan Hurn & J.Jeisman & K.A. Lindsay - 1 The Econometric Analysis of Constructed Binary Time Series. Working paper #1
by Adrian pagan & Don Harding