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Publications

by members of

London School of Economics (LSE) → Financial Markets Group (FMG)

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. Find also a compilation of publications from alumni here.

This page is updated in the first days of each month.

| Working papers | Journal articles | Books | Chapters | Software components |

Working papers

2026

  1. Simeon Djankov & Edward L. Glaeser & Andrei Shleifer, 2026, "How Reform Happens," NBER Working Papers, National Bureau of Economic Research, Inc, number 35119, Apr.
  2. Dong Hwan Oh & Andrew J. Patton, 2026, "Skill and Efficiency in the U.S. Mutual Fund Industry," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2026-032, Mar, DOI: 10.17016/FEDS.2026.032.
  3. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2026, "Information matrix tests for switching regressions," Working Papers, CEMFI, number wp2026_2601, Feb.
  4. Gabriele Fiorentini & Alessandro Galesi & Rodrigo Peña & Gabriel Pérez Quirós & Enrique Sentana, 2026, "Unobservable no more: estimating the natural rate of interest under flat IS and Phillips curves," Working Papers, CEMFI, number wp2026_2603, Mar.

2025

  1. Azmat, Ghazala & Cuñat, Vicente & Henry, Emeric, 2025, "Gender promotion gaps and career aspirations," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 120741, Mar.
  2. Cuñat, Vicente & Xu, Moqi, 2025, "Timing complex news to target attention," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 122380, Sep.
  3. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2025, "The information matrix test for Markov switching autoregressive models with covariate-dependent transition probabilities," Working Papers, CEMFI, number wp2025_2502, Jan.
  4. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2025, "Testing shock independence in Gaussian structural VARs," Working Papers, CEMFI, number wp2025_2532, Dec.

2024

  1. Aguilera, Ruth V. & J. Bermejo, Vicente & Capapé, Javier & Cuñat, Vicente, 2024, "The systemic governance influence of expectation documents: evidence from a universal owner," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 122267, May.
  2. Jon Danielsson & Andreas Uthemann, 2024, "Artificial intelligence and financial crises," Papers, arXiv.org, number 2407.17048, Jul, revised Jul 2025.
  3. Djankov, Simeon & Su, Meng, 2024, "Are U.S. sanctions off-target: evidence from the Magnitsky act," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 124415, Sep.
  4. Hajivassiliou, Vassilis & Savignac, Frédérique, 2024, "Simultaneously incomplete and incoherent (SII) dynamic LDV models: with an application to financing constraints and firms’ decision to innovate," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119379, Jan.
  5. Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac, 2024, "Nonstandard errors," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 123002, Jun.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad‐Díaz & Menachem (Meni) Abudy , 2024, "Nonstandard Errors," Journal of Finance, American Finance Association, volume 79, issue 3, pages 2339-2390, June, DOI: 10.1111/jofi.13337.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Hasse, Jean-Baptiste & e.a.,, 2023, "Non-Standard Errors," LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2023002, Jan.
    • Utz Weitzel & Michael Razen & Sebastian Neussüs & Michael Kirchler & Magnus Johannesson & Juergen Huber & Felix Holzmeister & Anna Dreber & Albert J. Menkveld & Javier Gil-Bazo, 2021, "Non-Standard Errors," Working Papers, Barcelona School of Economics, number 1303, Dec.
    • Gerardo Ferrara & Simon Jurkatis, 2021, "Non-standard errors," Bank of England Staff Working Paper series, Bank of England, number 955, Dec.
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021, "Non-Standard Errors," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2182, Nov.
    • Albert J. et al. Menkveld, 2021, "Non-Standard Errors," CESifo Working Paper Series, CESifo, number 9453.
    • Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli, 2022, "Non-Standard Errors," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-09, Jan.
    • Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021, "Non-Standard Errors," CEPR Discussion Papers, Centre for Economic Policy Research, number 16751, Nov.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-05077550, Apr, DOI: 10.1111/jofi.13337.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021, "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-03500882, Nov.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Post-Print, HAL, number hal-04676112, Apr, DOI: 10.1111/jofi.13337.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Post-Print, HAL, number hal-05077550, Apr, DOI: 10.1111/jofi.13337.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021, "Non-Standard Errors," Post-Print, HAL, number halshs-03500882, Nov.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021, "Non-Standard Errors," Working Papers, Lund University, Department of Economics, number 2021:17, Nov.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Dí­az & Menachem Abudy & Tobi, 2021, "Non-Standard Errors," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2021-31.
    • Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021, "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 21033, Nov.
    • Ciril Bosch-Rosa & Bernhard Kassner, 2023, "Non-Standard Errors," Rationality and Competition Discussion Paper Series, CRC TRR 190 Rationality and Competition, number 385, Feb.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neus ss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Fr mmel & et al, 2021, "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 21/1032, Nov.
    • Menkveld, Albert J. & Dreber, Anna & Declerck, Fany & Moinas, Sophie, 2023, "Non-Standard Errors," TSE Working Papers, Toulouse School of Economics (TSE), number 23-1451, Jun.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021, "Non-standard errors," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1807, Dec.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021, "Non-standard errors," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 11/2021.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021, "Non-standard errors," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 327, DOI: 10.2139/ssrn.3961574.
  6. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2024, "The information matrix test for Gaussian mixtures," Working Papers, CEMFI, number wp2024_2401, Feb.
  7. Dante Amengual & Gariele Fiorentini & Enrique Sentan, 2024, "Information matrix tests for multinomial logit models," Working Papers, CEMFI, number wp2024_2406, Jun.
  8. Francisco Peñaranda & Enrique Sentana, 2024, "Portfolio management with big data," Working Papers, CEMFI, number wp2024_2411, Jun.

2023

  1. Jon Danielsson & Andreas Uthemann, 2023, "On the use of artificial intelligence in financial regulations and the impact on financial stability," Papers, arXiv.org, number 2310.11293, Oct, revised Jun 2024.
  2. Danielsson, Jon & Valenzuela, Marcela & Zer, Ilknur, 2023, "The impact of risk cycles on business cycles: a historical view," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 117384, Jul.
  3. Julliard, Christian & Shi, Ran & Yuan, Kathy, 2023, "The spread of COVID-19 in London: network effects and optimal lockdowns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118825, Aug.
  4. Andrew J. Patton & Yasin Simsek, 2023, "Generalized Autoregressive Score Trees and Forests," Papers, arXiv.org, number 2305.18991, May.
  5. Dante Amengual & Xinyue Bei & Marine Carrasco & Enrique Sentana, 2023, "Score-type tests for normal mixtures," CIRANO Working Papers, CIRANO, number 2023s-02, Jan.
  6. Dante Amengual & Xinyue Bei & Enrique Sentana, 2023, "Highly Irregular Serial Correlation Tests," Working Papers, CEMFI, number wp2023_2302, May.

2022

  1. Danielsson, Jon & Macrae, Robert & Uthemann, Andreas, 2022, "Artificial intelligence and systemic risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 111601, Jul.
  2. Jón Daníelsson & Marcela Valenzuela & Ilknur Zer, 2022, "How global risk perceptions affect economic growth," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2022-02-03-2, Feb, DOI: 10.17016/2380-7172.3054.
  3. Mr. Yan Carriere-Swallow & Mr. Pragyan Deb & Davide Furceri & Daniel Jimenez & Mr. Jonathan David Ostry, 2022, "Shipping Costs and Inflation," IMF Working Papers, International Monetary Fund, number 2022/061, Mar.
  4. Rabah Arezki & Simeon Djankov & Ha Nguyen & Ivan Yotzov, 2022, "The Political Costs of Oil Price Shocks," CESifo Working Paper Series, CESifo, number 9763.
  5. Bosio, Erica & Djankov, Simeon & Glaeser, Edward & Shleifer, Andrei, 2022, "Public procurement in law and practice," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 115158, Apr.
  6. Djankov, Simeon & Luksic, Igor & Zhang, Eva (Yiwen), 2022, "Some evidence of regulatory convergence," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 115270, Jul.
  7. Djankov, Simeon & Luksic, Igor & Zhang, Eva, 2022, "Technology as deregulation," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118882, Feb.
  8. Christian Julliard & Gabor Pinter & Karamfil Todorov & Jean-Charles Wijnandts & Kathy Yuan, 2022, "What drives repo haircuts? Evidence from the UK market," BIS Working Papers, Bank for International Settlements, number 1027, Jul.
  9. Martín Almuzara & Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022, "GDP Solera. The Ideal Vintage Mix," Working Papers, CEMFI, number wp2022_2204, Apr.
  10. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022, "PML vs minimum χ 2 : the comeback," Working Papers, CEMFI, number wp2022_2210, Oct.
  11. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022, "Specification tests for non-Gaussian structural vector autoregressions," Working Papers, CEMFI, number wp2022_2212, Dec.

2021

  1. Bar-Isaac, Heski & Caruana, Guillermo & Cuñat, Vicente, 2021, "Targeted product design," CEPR Discussion Papers, Centre for Economic Policy Research, number 15708, Jan.
  2. Cuñat, Vicente & Lu, Yiqing & Wu, Hong, 2021, "Managerial response to shareholder empowerment: evidence from majority- voting legislation changes," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118896, Feb.
  3. Aguilera, Ruth & Bermejo, Vicente & Capapé, Javier & Cuñat, Vicente, 2021, "The systemic governance influence of universal owners: evidence from an expectation document," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118899, Feb.
  4. Mr. Pragyan Deb & Miss Sanaa Nadeem & Mr. Shanaka J Peiris, 2021, "The Transmission of External Shocks in Asia: Country Characteristics and Policy Responses," IMF Working Papers, International Monetary Fund, number 2021/003, Jan.
  5. Mr. Pragyan Deb & Ms. TengTeng Xu, 2021, "State-Level Health and Economic Impact of COVID-19 in India," IMF Working Papers, International Monetary Fund, number 2021/279, Nov.
  6. Mr. Pragyan Deb & Davide Furceri & Daniel Jimenez & Siddharth Kothari & Mr. Jonathan David Ostry & Nour Tawk, 2021, "The Effects of COVID-19 Vaccines on Economic Activity," IMF Working Papers, International Monetary Fund, number 2021/248, Oct.
  7. Mr. Pragyan Deb & Davide Furceri & Mr. Jonathan David Ostry & Nour Tawk & Naihan Yang, 2021, "The Effects of Fiscal Measures During COVID-19," IMF Working Papers, International Monetary Fund, number 2021/262, Nov.
  8. Mr. Pragyan Deb & Davide Furceri & Daniel Jimenez & Siddharth Kothari & Mr. Jonathan David Ostry & Nour Tawk, 2021, "Determinants of COVID-19 Vaccine Rollouts and Their Effects on Health Outcomes," IMF Working Papers, International Monetary Fund, number 2021/247, Oct.
  9. Mr. Pragyan Deb & Davide Furceri & Mr. Jonathan David Ostry & Nour Tawk, 2021, "Creative Destruction During Crises - An Opportunity for a Cleaner Energy Mix," IMF Working Papers, International Monetary Fund, number 2021/284, Dec.
  10. Arezki, Rabah & Djankov, Simeon & Nguyen, Ha & Yotzov, Ivan, 2021, "Reversal of Fortune for Political Incumbents: Evidence from Oil Shocks," CAGE Online Working Paper Series, Competitive Advantage in the Global Economy (CAGE), number 572.
  11. Angrist, Noam & Djankov, Simeon & Goldberg, Pinelopi K. & Patrinos, Harry A., 2021, "Measuring human capital using global learning data," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 110409, Apr.
  12. Hyland, Marie & Djankov, Simeon & Goldberg, Pinelopi, 2021, "Do gendered laws matter?," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118845, Jan.
  13. Djankov, Simeon & Glaeser, Edward & Perotti, Valeria & Shleifer, Andrei, 2021, "Property rights and urban form," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118881, Apr.
  14. Simeon Djankov & Eva (Yiwen) Zhang & Pinelopi Koujianou Goldberg & Marie Hyland, 2021, "The evolving gender gap in labor force participation during COVID-19," Policy Briefs, Peterson Institute for International Economics, number PB21-8, Apr.
  15. Simeon Djankov & Eva (Yiwen) Zhang, 2021, "Startups in the United States during the pandemic reflect some dynamism amid job losses," Policy Briefs, Peterson Institute for International Economics, number PB21-9, May.
  16. Marie Hyland & Simeon Djankov & Pinelopi Koujianou Goldberg, 2021, "Do gendered laws matter for women’s economic empowerment?," Working Paper Series, Peterson Institute for International Economics, number WP21-5, Mar.
  17. Dong Hwan Oh & Andrew J. Patton, 2021, "Dynamic Factor Copula Models with Estimated Cluster Assignments," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2021-029r1, Apr, revised 06 May 2022, DOI: 10.17016/FEDS.2021.029r1.
  18. Dong Hwan Oh & Andrew J. Patton, 2021, "Better the Devil You Know: Improved Forecasts from Imperfect Models," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2021-071, Nov, DOI: 10.17016/FEDS.2021.071.
  19. Rahi, Rohit, 2021, "Information acquisition with heterogeneous valuations," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 107152, Jan.
  20. Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2021, "Aggregate Output Measurements: A Common Trend Approach," Working Papers, CEMFI, number wp2021_2101, Jan.
  21. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021, "Moment tests of independent components," Working Papers, CEMFI, number wp2021_2102, Feb.
  22. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021, "Multivariate Hermite polynomials and information matrix tests," Working Papers, CEMFI, number wp2021_2103, May.
  23. Dante Amengual & Xinyue Bei & Enrique Sentana, 2021, "Normal but Skewed?," Working Papers, CEMFI, number wp2021_2104, May.
  24. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021, "Tests for random coefficient variation in vector autoregressive models," Working Papers, CEMFI, number wp2021_2108, Sep.

2020

  1. Azmat, Ghazala & Cuñat, Vicente & Henry, Emeric, 2020, "Gender Promotion Gaps: Career Aspirations and Workplace Discrimination," CEPR Discussion Papers, Centre for Economic Policy Research, number 14311, Jan.
  2. Danielsson, Jon & Valenzuela, Marcela & Zer, Ilknur, 2020, "Financial volatility and economic growth, 1870-2016," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118886, Jun.
  3. Mr. David J Hofman & Mr. Marcos Chamon & Mr. Pragyan Deb & Mr. Thomas Harjes & Umang Rawat & Itaru Yamamoto, 2020, "Intervention Under Inflation Targeting--When Could It Make Sense?," IMF Working Papers, International Monetary Fund, number 2020/009, Jan.
  4. Ostry, Jonathan D. & Deb, Pragyan & Furceri, Davide & Tawk, Nour, 2020, "The Economic Effects of COVID-19 Containment Measures," CEPR Discussion Papers, Centre for Economic Policy Research, number 15087, Jul.
  5. Ostry, Jonathan D. & Deb, Pragyan & Furceri, Davide & Tawk, Nour, 2020, "The Effect of Containment Measures on the COVID-19 Pandemic," CEPR Discussion Papers, Centre for Economic Policy Research, number 15086, Jul.
  6. Arezki, Rabah & Djankov, Simeon & Nguyenc, Ha & Yotzov, Ivan, 2020, "Reform chatter and democracy," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118883, Jul.
  7. Arezki, Rabah & Djankov, Simeon & Nguyen, Ha & Yotzov, Ivan, 2020, "Reversal of fortune for political incumbents after oil shocks," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118898, Jun.
  8. Hyland, Marie & Djankov, Simeon & Goldberg, Pinelopi, 2020, "Gendered laws and women in the workforce," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118903, May.
  9. Bosio, Erica & Djankov, Simeon & Jolevski, Filip & Ramalho, Rita, 2020, "Survival of firms during economic crisis," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118912, May.
  10. Djankov, Simeon & Jolevski, Filip, 2020, "The post-communist transition at 30," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118920, Feb.
  11. Simeon Djankov & Edward L. Glaeser & Valeria Perotti & Andrei Shleifer, 2020, "Measuring Property Rights Institutions," NBER Working Papers, National Bureau of Economic Research, Inc, number 27839, Sep.
  12. Arezki,Rabah & Dama,Alou Adesse & Djankov,Simeon & Nguyen,Ha Minh, 2020, "Contagious Protests," Policy Research Working Paper Series, The World Bank, number 9321, Jul.
    • Rabah Arezki & Alou Adesse Dama & Simeon Djankov & Ha Nguyen, 2024, "Contagious protests," Empirical Economics, Springer, volume 66, issue 6, pages 2397-2434, June, DOI: 10.1007/s00181-023-02539-y.
  13. Bryzgalova, Svetlana & Huang, Jiantao & Julliard, Christian, 2020, "Bayesian solutions for the factor zoo: we just ran two quadrillion models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118924, Jan.
  14. Sander Barendse & Andrew J. Patton, 2020, "Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter," Economics Series Working Papers, University of Oxford, Department of Economics, number 909, May.
  15. Dante Amengual & Xinyue Bei & Enrique Sentana, 2020, "Hypothesis Tests with a Repeatedly Singular Information Matrix," Working Papers, CEMFI, number wp2020_2002, Jan.
  16. Dante Amengual & Enrique Sentana & Zhanyuan Tian, 2020, "Gaussian Rank Correlation and Regression," Working Papers, CEMFI, number wp2020_2004, Jun.
  17. Jan R. Magnus & Henk G. J. Pijls & Enrique Sentana, 2020, "The Jacobian of the Exponential Function," Working Papers, CEMFI, number wp2020_2005, Jun.
  18. Jan R. Magnus & Enrique Sentana, 2020, "Zero-Diagonality as a Linear Structure," Working Papers, CEMFI, number wp2020_2016, Jun.
  19. Gabriele Fiorentini & Enrique Sentana, 2020, "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," Working Papers, CEMFI, number wp2020_2023, Oct.

2019

  1. Jon Danielsson & Lerby Ergun & Laurens de Haan & Casper G. de Vries, 2019, "Tail Index Estimation: Quantile-Driven Threshold Selection," Staff Working Papers, Bank of Canada, number 19-28, Aug, DOI: 10.34989/swp-2019-28.
  2. Mr. Eugenio M Cerutti & Shan Chen & Mr. Pragyan Deb & Albe Gjonbalaj & Swarnali A Hannan & Mr. Adil Mohommad, 2019, "Managed Trade: What Could be Possible Spillover Effects of a Potential Trade Agreement Between the U.S. and China?," IMF Working Papers, International Monetary Fund, number 2019/251, Nov.
  3. Mr. Pragyan Deb & Albe Gjonbalaj & Swarnali A Hannan, 2019, "The Drivers, Implications and Outlook for China’s Shrinking Current Account Surplus," IMF Working Papers, International Monetary Fund, number 2019/244, Nov.
  4. Angrist, Noam & Djankov, Simeon & Goldberg, Pinelopi & Patrinos, Harry, 2019, "Measuring human capital," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118907, Feb.
  5. V A Hajivassiliou & Frédérique Savignac & Frédérique Savignac, 2019, "Novel Approaches to Coherency Conditions in Dynamic LDV Models: Quantifying Financing Constraints and a Firm's Decision and Ability to Innovate," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 606, Oct.
  6. V A Hajivassiliou, 2019, "Estimation and Specification Testing of Panel Data Models with Non-Ignorable Persistent Heterogeneity, Contemporaneous and Intertemporal Simultaneity, and Observable and Unobservable Dynamics," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 609, Sep.
  7. V A Hajivassiliou, 2019, "Switching Regressions with Imperfect Regime Classification Information: Theory and Applications," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 610, Nov.
  8. Andrew J. Patton & Brian M. Weller, 2019, "Testing for Unobserved Heterogeneity via k-means Clustering," Papers, arXiv.org, number 1907.07582, Jul.
  9. Timo Dimitriadis & Andrew J. Patton & Patrick W. Schmidt, 2019, "Testing Forecast Rationality for Measures of Central Tendency," Papers, arXiv.org, number 1910.12545, Oct, revised Jul 2024.

2018

  1. Edward L. Glaeser & Giacomo A.M. Ponzetto, 2018, "The Political Economy of Transportation Investment," Working Papers, Barcelona School of Economics, number 1057, Oct.
  2. Daniel Metzger & Vicente Cuñat & Andrea Caggese, 2018, "Firing the Wrong Workers: Financing Constraints and Labor Misallocation," Working Papers, Barcelona School of Economics, number 1058, Oct.
  3. Cuñat, Vicente & Cvijanovic, Dragana & Yuan, Kathy, 2018, "Within-bank spillovers of real estate shocks," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 87374, Sep.
  4. Jon Danielsson & Lerby Ergun & Casper G. de Vries, 2018, "Challenges in Implementing Worst-Case Analysis," Staff Working Papers, Bank of Canada, number 18-47, DOI: 10.34989/swp-2018-47.
  5. Danielsson, Jon, 2018, "Cryptocurrencies: policy, economics and fairness," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118913, Nov.
  6. Danielsson, Jon & Panayi, Efstathios & Peters, Gareth & Zigrand, Jean-Pierre, 2018, "Market resilience," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118932, Apr.
  7. Danielsson, Jon & Valenzuela, Marcela & Zer, Ilknur, 2018, "Learning from history: volatility and financial crises," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118942, Feb.
  8. Jón Daníelsson & Marcela Valenzuela & Ilknur Zer, 2018, "Low Risk as a Predictor of Financial Crises," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2018-05-09, May, DOI: 10.17016/2380-7172.2169.
  9. Ron Anderson & Jon Danielsson & Chikako Baba & Mr. Udaibir S Das & Mr. Heedon Kang & Miguel A. Segoviano, 2018, "Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks," IMF Working Papers, International Monetary Fund, number 2018/197, Sep.
  10. Djankov, Simeon & Nikolova, Elena, 2018, "Communism as the unhappy coming," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118940, Apr.
  11. Denbee, Edward & Julliard, Christian & Li, Ye & Yuan, Kathy, 2018, "Network Risk and Key Players: A Structural Analysis of Interbank Liquidity," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2018-11, Mar.
  12. Rahi, Rohit & Zigrand, Jean-Pierre, 2018, "Information acquisition, price informativeness, and welfare," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 89385, Jul.
  13. Gabriele Fiorentini & Alessandro Galesi & Gabriel Pérez-Quirós & Enrique Sentana, 2018, "The rise and fall of the natural interest rate," Working Papers, Banco de España, number 1822, Jul.
  14. Gabriele Fiorentini & Enrique Sentana, 2018, "Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators," Working Papers, CEMFI, number wp2018_1802, Jan.
  15. Enrique Sentana, 2018, "Volatility, Diversification and Contagion," Working Papers, CEMFI, number wp2018_1803, Mar.
  16. Gabriele Fiorentini & Enrique Sentana, 2018, "Specification Tests for Non-Gaussian Maximum Likelihood Estimators," Working Papers, CEMFI, number wp2018_1804, May.
  17. Gabriele Fiorentini & Enrique Sentana, 2018, "New Testing Approaches for Mean-Variance Predictability," Working Papers, CEMFI, number wp2018_1814, Dec.

2017

  1. Guadalupe, Maria & Cuñat, Vicente & Gine, Mireia, 2017, "Price and Probability: Decomposing the Takeover Effects of Anti-Takeover Provisions," CEPR Discussion Papers, Centre for Economic Policy Research, number 12059, May.
  2. Danielsson, Jon & Macrae, Robert & Micheler, Eva, 2017, "Brexit and systemic risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 85124, May.
  3. Ms. Dora Benedek & Mr. Pragyan Deb & Mr. Borja Gracia & Mr. Sergejs Saksonovs & Ms. Anna Shabunina & Nina Budina, 2017, "The Right Kind of Help? Tax Incentives for Staying Small," IMF Working Papers, International Monetary Fund, number 2017/139, Jun.
  4. Djankov, Simeon & Georgieva, Dorina & Ramalho, Rita, 2017, "Business regulation and poverty," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118950, Sep.
  5. Djankov, Simeon, 2017, "The City of London after Brexit," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118951, Feb.
  6. Djankov, Simeon & Georgieva, Dorina & Ramalho, Rita, 2017, "Determinants of regulatory reform," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118969, Jun.
  7. Djankov, Simeon, 2017, "Corporate tax cuts: examining the record in advanced economies," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118975, May.
  8. Simeon Djankov, 2017, "Corporate Tax Cuts: Examining the Record in Other Countries," Policy Briefs, Peterson Institute for International Economics, number PB17-14, May.
  9. Simeon Djankov, 2017, "United States Is Outlier in Tax Trends in Advanced and Large Emerging Economies," Policy Briefs, Peterson Institute for International Economics, number PB17-29, Nov.
  10. Djankov,Simeon & Ghossein,Tania & Islam,Asif Mohammed & Saliola,Federica, 2017, "Public procurement regulation and road quality," Policy Research Working Paper Series, The World Bank, number 8234, Nov.
  11. Andrew J. Patton & Johanna F. Ziegel & Rui Chen, 2017, "Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk)," Papers, arXiv.org, number 1707.05108, Jul.
  12. Tincho Almuzara & Dante Amengual & Enrique Sentana, 2017, "Normality Tests for Latent Variables," Working Papers, CEMFI, number wp2017_1708, Feb.
  13. Dante Amengual & Marine Carrasco & Enrique Sentana, 2017, "Testing Distributional Assumptions Using a Continuum of Moments," Working Papers, CEMFI, number wp2017_1709, Mar.
  14. Elena Manresa & Francisco Peñaranda & Enrique Sentana, 2017, "Empirical Evaluation of Overspecified Asset Pricing Models," Working Papers, CEMFI, number wp2017_1711, May.

2016

  1. Danielsson, Jon & Macrae, Robert, 2016, "The fatal flaw in macropru: it ignores political risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 70703, Dec.
  2. Danielsson, Jon & Macrae, Robert & Tsomocos, Dimitrios P. & Zigrand, Jean-Pierre, 2016, "Why macropru can end up being procyclical," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 70711, Dec.
  3. Mr. Pragyan Deb, 2016, "Market Frictions, Interbank Linkages and Excessive Interconnections," IMF Working Papers, International Monetary Fund, number 2016/180, Aug.
  4. Djankov, Simeon, 2016, "The divergent postcommunist paths to democracy and economic freedom," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118966, Jul.
  5. Djankov, Simeon, 2016, "The Doing Business project: how it started: correspondence," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 69646, Nov.
  6. Zilinsky, Jan & Nikolova, Elena & Djankov, Simeon, 2016, "The Happiness Gap in Eastern Europe," SocArXiv, Center for Open Science, number et7vz, Feb, DOI: 10.31235/osf.io/et7vz.
  7. Ghosh, Anisha & Julliard, Christian & Taylor, Alex, 2016, "An information based one-factor asset pricing model," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118978, Apr.
  8. Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg, 2016, "Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-10, Apr.
  9. Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2016, "A spectral EM algorithm for dynamic factor models," Working Papers, Banco de España, number 1619, Sep.

2015

  1. Efstathios Panayi & Gareth W. Peters & Jon Danielsson & Jean-Pierre Zigrand, 2015, "Designating market maker behaviour in Limit Order Book markets," Papers, arXiv.org, number 1508.04348, Aug.
  2. Danielsson, Jon & James, Kevin R. & Valenzuela, Marcela & Zer, Ilknur, 2015, "Can we prove a bank guilty of creating systemic risk? A minority report," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119462, Sep.
  3. Danielsson, Jon & Zhou, Chen, 2015, "Why risk is so hard to measure," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 62002, Apr.
  4. Simeon Djankov & Marta Reynal-Querol & José García-Montalvo, 2015, "The curse of aid," Working Papers, Barcelona School of Economics, number 257, Sep.
  5. Simeon Djankov, 2015, "Hungary under Orbán: Can Central Planning Revive Its Economy?," Policy Briefs, Peterson Institute for International Economics, number PB15-11, Jul.
  6. Simeon Djankov, 2015, "Russia's Economy under Putin: From Crony Capitalism to State Capitalism," Policy Briefs, Peterson Institute for International Economics, number PB15-18, Sep.
  7. Danilova, Albina & Julliard, Christian, 2015, "Information asymmetries, volatility, liquidity and the Tobin Tax," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119016, Feb.
  8. Bretscher, Lorenzo & Julliard, Christian & Rosa, Carlo, 2015, "Human capital and international portfolio diversification: a reappraisal," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119454, Oct.
  9. Tim Bollerslev & Andrew J. Patton & Wenjing Wang, 2015, "Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-02, Jan.
  10. Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg, 2015, "Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-14, Mar.
  11. Dong Hwan Oh & Andrew J. Patton, 2015, "High-Dimensional Copula-Based Distributions with Mixed Frequency Data," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-50, May, DOI: 10.17016/FEDS.2015.050.
  12. Dong Hwan Oh & Andrew J. Patton, 2015, "Modelling Dependence in High Dimensions with Factor Copulas," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-51, May, DOI: 10.17016/FEDS.2015.051.
  13. Javier Mencía & Enrique Sentana, 2015, "Volatility-related exchange traded assets: an econometric investigation," Working Papers, Banco de España, number 1510, Apr.
  14. Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2015, "Fast ML estimation of dynamic bifactor models: an application to European inflation," Working Papers, Banco de España, number 1525, Sep.
  15. Francisco Peñaranda & Enrique Sentana, 2015, "A Unifying Approach to the Empirical Evaluation of Asset Pricing Models," Working Papers, Barcelona School of Economics, number 488, Sep.
  16. Dante Amengual & Enrique Sentana, 2015, "Is a Normal Copula the Right Copula?," Working Papers, CEMFI, number wp2015_1504, Aug.
  17. Enrique Sentana, 2015, "Finite Underidentification," Working Papers, CEMFI, number wp2015_1508, Nov.

2014

  1. Cuñat, Vicente & Guadalupe, Maria & Gine, Mireia, 2014, "Say Pays! Shareholder Voice and Firm Performance," CEPR Discussion Papers, Centre for Economic Policy Research, number 10141, Sep.
  2. Danielsson, Jon & James, Kevin R. & Valenzuela, Marcela & Zer, Ilknur, 2014, "Model risk of risk models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 59296, Apr.
  3. Boucher, Christophe M. & Danielsson, Jon & Kouontchou, Patrick S. & Maillet, Bertrand B., 2014, "Risk models–at–risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 59299, Jan.
    • Boucher, Christophe M. & Daníelsson, Jón & Kouontchou, Patrick S. & Maillet, Bertrand B., 2014, "Risk models-at-risk," Journal of Banking & Finance, Elsevier, volume 44, issue C, pages 72-92, DOI: 10.1016/j.jbankfin.2014.03.019.
    • Christophe Boucher & Jón Daníelsson & Patrick Kouontchou & Bertrand Maillet, 2014, "Risk models-at-risk," Post-Print, HAL, number hal-01243413, DOI: 10.1016/j.jbankfin.2014.03.019.
    • Christophe Boucher & Jon Danielsson & Patrick Kouontchou & Bertrand Maillet, 2014, "Risk Model-at-Risk," Post-Print, HAL, number hal-01386003.
  4. Sequeira, Sandra & Djankov, Simeon, 2014, "Corruption and firm behavior: evidence from African ports," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 60833, Nov.
  5. Patton, Andrew & Kruttli, Mathias, 2014, "The Impact of Hedge Funds on Asset Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 10151, Sep.
  6. Rahi, Rohit & Zigrand, Jean-Pierre, 2014, "Walrasian foundations for equilibria in segmented markets," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 55940, Jun.
  7. Gabriele Fiorentini & Enrique Sentana, 2014, "Neglected Serial Correlation Tests in UCARIMA Models," Working Papers, CEMFI, number wp2014_1406, Oct.

2013

  1. Chwieroth, Jeffrey & Danielsson, Jon, 2013, "Political challenges of the macroprudential agenda," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 56385, Sep.
  2. Sequeira, Sandra & Djankov, Simeon, 2013, "Corruption and firm behavior," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 54321, Feb.
  3. Vayanos, Dimitri & Guibaud, Stéphane & Nosbusch, Yves, 2013, "Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt," CEPR Discussion Papers, Centre for Economic Policy Research, number 9407, Mar.
  4. Jia Li & Andrew J. Patton, 2013, "Asymptotic Inference about Predictive Accuracy Using High Frequency Data," Working Papers, Duke University, Department of Economics, number 13-27.
  5. Irving Arturo De Lira Salvatierra & Andrew J. Patton, 2013, "Dynamic Copula Models and High Frequency Data," Working Papers, Duke University, Department of Economics, number 13-28.
  6. Dong Hwan Oh & Andrew J. Patton, 2013, "Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads," Working Papers, Duke University, Department of Economics, number 13-30.
  7. Kevin Sheppard & Lily Liu & Andrew J. Patton, 2013, "Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes," Economics Series Working Papers, University of Oxford, Department of Economics, number 645, Feb.
  8. Rahi, Rohit & Zigrand, Jean-Pierre, 2013, "Market quality and contagion in fragmented markets," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 60971, Sep.
  9. Gabriele Fiorentini & Enrique Sentana, 2013, "Dynamic Specification Tests for Dynamic Factor Models," Working Papers, CEMFI, number wp2013_1306, Jun.

2012

  1. Kris Boudt & Jon Danielsson & Siem Jan Koopman & Andre Lucas, 2012, "Regime switches in the volatility and correlation of financial institutions," Working Paper Research, National Bank of Belgium, number 227, Oct.
  2. Simeon Djankov & Neil Gregory & Michael Klein & Facundo Martin, 2012, "The Road to 2020," World Bank Publications - Reports, The World Bank Group, number 26781.
  3. Julliard, Christian & Ghosh, Anisha, 2012, "Can Rare Events Explain the Equity Premium Puzzle?," CEPR Discussion Papers, Centre for Economic Policy Research, number 8899, Mar.
  4. Patton, Andrew & Streatfield, Michael, 2012, "Change You Can Believe In? Hedge Fund Data Revisions," CEPR Discussion Papers, Centre for Economic Policy Research, number 8898, Mar.
  5. Piero Gottardi & Rohit Rahi, 2012, "Risk-Sharing and Retrading in Incomplete Markets," Economics Working Papers, European University Institute, number ECO2012/03.
  6. Javier Mencía & Enrique Sentana, 2012, "Valuation of vix derivatives," Working Papers, Banco de España, number 1232, Sep.
  7. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2012, "Sequential Estimation of Shape Parameters in Multivariate Dynamic Models," Working Papers, CEMFI, number wp2012_1201, Feb.
  8. Gabriele Fiorentini & Enrique Sentana, 2012, "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers, CEMFI, number wp2012_1211, Oct.

2011

  1. Caggese, Andrea & Cuñat, Vicente, 2011, "Financing constraints, firm dynamics, export decisions, and aggregate productivity," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 43160, Jun.
  2. Bar-Isaac, Heski & Caruana, Guillermo & Cuñat, Vicente, 2011, "Locating inside the Salop circle: demand rotations in a micro-founded model," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 43163, Dec.
  3. Danielsson, Jon & Song Shin, Hyun & Zigrand, Jean-Pierre, 2011, "Balance sheet capacity and endogenous risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 43141, Jan.
  4. Pragyan Deb & Mark Manning & Gareth Murphy & Adrian Penalver & Aron Toth, 2011, "Financial Stability Paper No 9: Whither the Credit Ratings Industry?," Bank of England Financial Stability Papers, Bank of England, number 9, Mar.
  5. Ghosh, Anisha & Julliard, Christian & Taylor, Alex, 2011, "What is the Consumption-CAPM missing? An information-theoretic framework for the analysis of asset pricing models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119061, Oct.
  6. Timmermann, Allan & Patton, Andrew, 2011, "Forecast Rationality Tests Based on Multi-Horizon Bounds," CEPR Discussion Papers, Centre for Economic Policy Research, number 8194, Jan.
  7. Patton, Andrew, 2011, "On the High-Frequency Dynamics of Hedge Fund Risk Exposures," CEPR Discussion Papers, Centre for Economic Policy Research, number 8479, Jul.

2010

  1. Cuñat, Vicente & Giné, Mireia & Guadalupe, Maria, 2010, "The vote is cast: the effect of corporate governance on shareholder value," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119079, Dec.
  2. Vicente Cuñat & Luis Garicano, 2010, "Did Good Cajas Extend Bad Loans? Governance, Human Capital and Loan Portfolios," Working Papers, FEDEA, number 2010-08, Feb.
  3. Jean-Pierre Zigrand & Hyun Song Shin & Jon Danielsson, 2010, "Risk Appetite and Endogenous Risk," FMG Discussion Papers, Financial Markets Group, number dp647, Feb.
  4. Nelson Camanho & Pragyan Deb & Zijun Liu, 2010, "Credit Rating and Competition," FMG Discussion Papers, Financial Markets Group, number dp653, Apr.
  5. Rmalho, Rita & Ganser, Tim Christian & Shleifer, Andrei & McLiesh, Caralee & Djankov, Simeon, 2010, "The Effect of Corporate Taxes on Investment and Entrepreneurship," Scholarly Articles, Harvard University Department of Economics, number 8705900.
  6. Sequeira, Sandra & Djankov, Simeon, 2010, "An Empirical Study of Corruption in Ports," MPRA Paper, University Library of Munich, Germany, number 21791.
  7. Patton, Andrew, 2010, "On the Dynamics of Hedge Fund Risk Exposures," CEPR Discussion Papers, Centre for Economic Policy Research, number 7780, Apr.

2009

  1. Heski Bar-Isaac & Guillermo Caruana & Vicente Cuñat, 2009, "Search, Design and Market Structure," Working Papers, NET Institute, number 09-17, Sep, revised Sep 2009.
  2. Heski Bar-Isaac & Guillermo Caruana & Vicente Cuñat, 2009, "Costly search and design," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1155, Apr.
  3. Djankov, Simeon & Amin, Mohammad, 2009, "Democracy and Reforms," CEPR Discussion Papers, Centre for Economic Policy Research, number 7151, Jan.
  4. Shleifer, Andrei & Djankov, Simeon & Lopez-de-Silanes, Florencio & La Porta, Rafael, 2009, "Disclosure by Politicians," CEPR Discussion Papers, Centre for Economic Policy Research, number 7168, Feb.
  5. Djankov, Simeon & Amin, Mohammad, 2009, "Natural Resources and Reforms," CEPR Discussion Papers, Centre for Economic Policy Research, number 7229, Mar.
  6. Patton, Andrew J. & Verardo, Michela, 2009, "Does beta move with news? Systematic risk and firm-specific information flows," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24421, Mar.
  7. Jean-Pierre Zigrand & Rohit Rahi, 2009, "Endogenous Liquidity and Contagion," FMG Discussion Papers, Financial Markets Group, number dp637, Aug.
  8. Javier Mencía & Enrique Sentana, 2009, "Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation," Working Papers, Banco de España, number 0909, Jun.
  9. Javier Mencía & Enrique Sentana, 2009, "Distributional tests in multivariate dynamic models with Normal and Student t innovations," Working Papers, Banco de España, number 0929, Dec.
  10. Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009, "Underidentification? (Resumen)," Working Papers, CEMFI, number wp2009_0905, Aug.
  11. Gabriele Fiorentini & Enrique Sentana, 2009, "Dynamic Specification Tests for Static Factor Models," Working Papers, CEMFI, number wp2009_0912, Dec.

2008

  1. Heski Bar-Isaac & Guillermo Caruana & Vicente Cunat, 2008, "Information Gathering and Marketing," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics, number 08-17.
  2. Djankov, Simeon & Reynal-Querol, Marta, 2008, "Poverty and Civil War: Revisiting the evidence," CEPR Discussion Papers, Centre for Economic Policy Research, number 6980, Oct.
  3. Djankov, Simeon, 2008, "The Regulation of Entry: A Survey," CEPR Discussion Papers, Centre for Economic Policy Research, number 7080, Dec.
  4. Djankov, Simeon & Ramalho, Rita, 2008, "Employment Laws in Developing Countries," CEPR Discussion Papers, Centre for Economic Policy Research, number 7097, Dec.
  5. Lopez-de-Silanes, Florencio & Djankov, Simeon & La Porta, Rafael & Shleifer, Andrei, 2008, "The Law and Economics of Self-dealing," Scholarly Articles, Harvard University Department of Economics, number 2907526.
  6. Shleifer, Andrei & McLiesh, Caralee & Hart, Oliver & Djankov, Simeon, 2008, "Debt Enforcement Around the World," Scholarly Articles, Harvard University Department of Economics, number 2961825.
  7. Djankov, Simeon & Miranda, Pedro & Seira, Enrique & Sharma, Siddharth, 2008, "Who are the unbanked ?," Policy Research Working Paper Series, The World Bank, number 4647, Jun.
  8. Vassillis Hajivassiliou & Frédérique Savignac, 2008, "Financing Constraints and a Firm's Decision and Ability to Innovate: Establishing Direct and Reverse Effects," Working papers, Banque de France, number 202.
  9. Nikolaj Schmidt & Ashley Taylor & Charles Goodhart & Amil Dasgupta, 2008, "Cycles, Contagion and Crises," FMG Special Papers, Financial Markets Group, number sp183, Nov.
  10. Andrew J. Patton & Allan Timmermann, 2008, "The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-54, Sep.
  11. Andrew J. Patton, 2008, "Copula-Based Models for Financial Time Series," Economics Series Working Papers, University of Oxford, Department of Economics, number 2008fe21, Mar.
  12. Kevin Sheppard & Andrew J. Patton, 2008, "Evaluating Volatility and Correlation Forecasts," Economics Series Working Papers, University of Oxford, Department of Economics, number 2008fe22, Mar.
  13. Rahi, Rohit & Zigrand, Jean-Pierre, 2008, "Arbitrage networks," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 4787, Jan.
  14. Dante Amengual & Enrique Sentana, 2008, "A Comparison of Mean-Variance Efficiency Tests," Working Papers, CEMFI, number wp2008_0806, Apr.
  15. Enrique Sentana, 2008, "The Econometrics of Mean-Variance Efficiency Tests: A Survey," Working Papers, CEMFI, number wp2008_0807, May.

2007

  1. Danielsson, Jon & Penaranda, Francisco, 2007, "On the impact of fundamentals, liquidity and coordination on market stability," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24480, Jan.
  2. Simeon Djankov & Yingyi Qian & Gerard Roland & Ekaterina Zhuravskaya, 2007, "What Makes a Successful Entrepreneur? Evidence from Brazil," Working Papers, New Economic School (NES), number w0104, May.
  3. Shleifer, Andrei & Djankov, Simeon & McLiesh, Caralee, 2007, "Private credit in 129 countries?," Scholarly Articles, Harvard University Department of Economics, number 27867134.
  4. Simeon Djankov & Marta Reynal-Querol, 2007, "The colonial origins of Civil War," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1038, May.
  5. Djankov, Simeon & Reynal-Querol, Marta, 2007, "The causes of civil war," Policy Research Working Paper Series, The World Bank, number 4254, Jun.
  6. Carlo Fiorio & Vassilis Hajivassiliou, 2007, "Inference and Thick Tails: Some Surprising Results," UNIMI - Research Papers in Economics, Business, and Statistics, Universitá degli Studi di Milano, number unimi-1054, May.
  7. Ossip Hühnerbein & Tobias Seidel, 2007, "Intra-regional Tax Competition and Economic Geography," CESifo Working Paper Series, CESifo, number 2113.
  8. Hühnerbein, Ossip Robert, 2007, "Sovereign Debt Contracts and Financial Stability in Emerging Market Economies," Munich Dissertations in Economics, University of Munich, Department of Economics, number 7302, Jan.
  9. Brunnermeier, Markus & Julliard, Christian, 2007, "Money Illusion and Housing Frenzies," CEPR Discussion Papers, Centre for Economic Policy Research, number 6183, Mar.
  10. Julliard, Christian, 2007, "Labor income risk and asset returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 4811, May.
  11. Tullio Jappelli & Christian Julliard & Marco Pagano, 2007, "Households’ Portfolio Diversification," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 180, Jun.
  12. Campbell, John Y. & Nosbusch, Yves, 2007, "Intergenerational risksharing and equilibrium asset prices," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24484, Feb.
  13. Jens Hilscher & Yves Nosbusch, 2007, "Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt," Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group, number 114, Feb, revised 24 Apr 2007.
  14. Timmermann, Allan & Patton, Andrew, 2007, "Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts," CEPR Discussion Papers, Centre for Economic Policy Research, number 6526, Oct.
  15. Rohit Rahi & Piero Gottardi, 2007, "Value of Information in Competitive Economies with Incomplete Markets," FMG Discussion Papers, Financial Markets Group, number dp596, Sep.
  16. Rahi, Rohit & Zigrand, Jean-Pierre, 2007, "A theory of strategic intermediation and endogenous liquidity," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 4764, Dec.
  17. Antonio Diez de los Rios & Enrique Sentana, 2007, "Testing Uncovered Interest Parity: A Continuous-Time Approach," Staff Working Papers, Bank of Canada, number 07-53, DOI: 10.34989/swp-2007-53.
  18. Ángel León & Javier Mencía & Enrique Sentana, 2007, "Parametric properties of semi-nonparametric distributions, with applications to option valuation," Working Papers, Banco de España, number 0707, Mar.
  19. Gabriele Fiorentini & Enrique Sentana, 2007, "On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models," Working Papers, CEMFI, number wp2007_0713.
  20. Francisco Peñaranda & Enrique Sentana, 2007, "Duality in Mean-Variance Frontiers with Conditioning Information," Working Papers, CEMFI, number wp2007_0715.
  21. Gabriele Fiorentini & Giorgio Calzolari & Enrique Sentana, 2007, "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Working Paper series, Rimini Centre for Economic Analysis, number 40_07, Jul.

2006

  1. Cuñat, Vicente & Guadalupe, Maria, 2006, "Globalization and the Provision of Incentives Inside the Firm," CEPR Discussion Papers, Centre for Economic Policy Research, number 5950, Nov.
  2. Cuñat, Vicente & Guadalupe, Maria, 2006, "Globalization and the Provision of Incentives Inside the Firm: The Effect of Foreign Competition," IZA Discussion Papers, IZA Network @ LISER, number 2408, Oct.
  3. Heski Bar-Isaac & Guillermo Caruana & Vicente Cunat, 2006, "Diversity and demand externalities: How cheap information can reduce welfare," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics, number 06-08.
  4. Andrea Caggese & Vicente Cuñat, 2006, "Financing constraints and fixed-term employment contracts," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1010, Jun.
  5. Danielsson, Jon & Zigrand, Jean-Pierre, 2006, "Equilibrium asset pricing with systemic risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24515, May.
  6. Danielsson, Jon & Zigrand, Jean-Pierre & Jorgensen, Bjørn N. & Sarma, Mandira & de Vries, C. G., 2006, "Consistent measures of risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24517, May.
  7. Simeon Djankov & Yingyi Qian & Gerard Roland & Ekaterina Zhuravskaya, 2006, "Entrepreneurship in Brazil, China, and Russia," Working Papers, New Economic School (NES), number w0066, Jul.
  8. Marianne Bertrand & Simeon Djankov & Rema Hanna & Sendhil Mullainathan, 2006, "Does corruption produce unsafe drivers?," Natural Field Experiments, The Field Experiments Website, number 00218.
  9. Djankov, Simeon & Freund, Caroline & Pham, Cong S., 2006, "Trading on time," Policy Research Working Paper Series, The World Bank, number 3909, May.
  10. Andrew Patton, 2006, "Volatility Forecast Comparison using Imperfect Volatility Proxies," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 175, May.
  11. David C Webb, 2006, "(UBS Pensions series 034) Long-Term Care Insurance, Annuities and Asymmetric Information: The Case for Bundling Contracts," FMG Discussion Papers, Financial Markets Group, number dp530, Jun.
  12. David De Meza & David C Webb, 2006, "Incentive Design under Loss Aversion," FMG Discussion Papers, Financial Markets Group, number dp571, May.

2005

  1. Vicente Cuñat & María Guadalupe, 2005, "How Does Product Market Competition Shape Incentive Contracts?," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp0687, May.
  2. Bar-Isaac, Heski & Cuñat, Alejandro, 2005, "Long-term debt and hidden borrowing," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24661, Jun.
  3. Cuñat, Vicente & Gonzalez-Iturriaga, Claudio, 2005, "Shocks to the cost of borrowing and capital structure," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 43165, Jul.
  4. Heski Bar-Isaac & Vicente Cuñat, 2005, "Long term debt with Hidden Borrowing," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics, number 05-04.
  5. Danielsson, Jon & Jorgensen, Bjørn N. & Mandira, Sarma & Samorodnitsky, Gennady & Vries, C. G. de, 2005, "Subadditivity re–examined: the case for value-at-risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24668, Oct.
  6. Danielsson, Jon & Jorgensen, Bjørn N. & Sarma, Mandira & Vries, C. G. de, 2005, "Comparing downside risk measures for heavy tailed distribution," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24671, Dec.
  7. Simeon Djankov & Yingyi Qian & Gerard Roland & Ekaterina Zhuravskaya, 2005, "Who Are China’s Entrepreneurs?," Working Papers, New Economic School (NES), number w0047, Oct.
  8. Simeon Djankov & Edward Miguel & Yingyi Qian & Gerard Roland & Ekaterina Zhuravskaya, 2005, "Who are Russia’s entrepreneurs?," Working Papers, New Economic School (NES), number w0048, Oct.
  9. Simeon Djankov & Yingyi Qian & Gerard Roland & Ekaterina Zhuravskaya, 2005, "Entrepreneurship in China and Russia Compared," Working Papers, New Economic School (NES), number w0049, Oct.
  10. Andrew J. Patton & Allan Timmermann, 2005, "Testable Implications of Forecast Optimality," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 485, Jan.
  11. David C Webb, 2005, "(UBS Pensions Series 032) Pension Plan Funding, Risk Sharing and Technology Choice," FMG Discussion Papers, Financial Markets Group, number dp527, Jan.

2004

  1. Vicente Cuñat & María Guadalupe, 2004, "Executive Compensation and Product Market Competition," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp0617, Feb.
  2. Cuñat, Vicente & Guadalupe, Maria, 2004, "Executive Compensation and Competition in the Banking and Financial Sectors," CEPR Discussion Papers, Centre for Economic Policy Research, number 4425, Jun.
  3. Danielsson, Jon & Shin, Hyun Song & Zigrand, Jean-Pierre, 2004, "The impact of risk regulation on price dynamics," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 16628, May.
  4. Danielsson, Jon & Love, Ryan, 2004, "Feedback trading," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24760, Jul.
  5. Jean-Pierre Zigrand & Ashley Taylor & Jon Danielsson, 2004, "(IAM Series No 004) Highwaymen or Heroes: Should Hedge Funds be Regulated?," FMG Discussion Papers, Financial Markets Group, number dp518, Sep.
  6. Simeon Djankov & Edward Miguel & Yingyi Qian & Gerard Roland & Ekaterina Zhuravskaya, 2004, "Entrepreneurship: First Results from Russia," Working Papers, New Economic School (NES), number w0046, Aug.
  7. Botero, J. C. & Djankov, S. & Porta, R. L. & Lopez-de-Silanes, F. & Shleifer, Andrei, 2004, "The Regulation of Labor," Scholarly Articles, Harvard University Department of Economics, number 27867241.
  8. Julliard, Christian, 2004, "Human capital and international portfolio choice," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 4813, Oct.
  9. Jonathan A. Parker & Christian Julliard, 2004, "Consumption Risk and the Cross-Section of Expected Returns," Working Papers, Princeton University, School of Public and International Affairs, Discussion Papers in Economics, number 138, Mar.
  10. Chen, Xiaohong & Fan, Yanqin & Patton, Andrew J., 2004, "Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24681, Feb.
  11. Patton, Andrew J., 2004, "Are "market neutral" hedge funds really market neutral?," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24819, Oct.
  12. Yanqin Fan & Xiaohong Chen & Andrew Patton, 2004, "(IAM Series No 003) Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates," FMG Discussion Papers, Financial Markets Group, number dp483, Feb.
  13. Andrew Patton, 2004, "(IAM Series No 005) Are “Market Neutral” Hedge Funds Really Market Neutral?," FMG Discussion Papers, Financial Markets Group, number dp522, Oct.
  14. Jean-Pierre Zigrand & Rohit Rahi, 2004, "Strategic Financial Innovation in Segmented Markets," FMG Discussion Papers, Financial Markets Group, number dp520, Oct.
  15. Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004, "Indirect Estimation of Conditionally Heteroskedastic Factor Models," Working Papers, CEMFI, number wp2004_0409.
  16. Francisco Peñaranda & Enrique Sentana, 2004, "Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," Working Papers, CEMFI, number wp2004_0410.
  17. F. Javier Mencía & Enrique Sentana, 2004, "Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations," Working Papers, CEMFI, number wp2004_0411.
  18. David De Meza & David C Webb, 2004, "Principal Agent Problems Under Loss Aversion: An Application to Executive Stock Options," FMG Discussion Papers, Financial Markets Group, number dp478, Jan.
  19. David C Webb, 2004, "(UBS Pensions series 23) Sponsoring Company Finance and Investment and Defined Benefit Pension Scheme Deficits," FMG Discussion Papers, Financial Markets Group, number dp487, Mar.

2003

  1. Danielsson, Jon & Zigrand, Jean-Pierre, 2003, "On time-scaling of risk and the square–root–of–time rule," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24827, Mar.
  2. Danielsson, Jon & Saltoglu, Burak, 2003, "Anatomy of a market crash: a market microstructure analysis of the Turkish overnight liquidity crisis," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24855, Jun.
  3. Djankov, Simeon & Glaeser, Edward & La Porta, Rafael & Lopez-de-Silanes, Florencio & Shleifer, Andrei, 2003, "The New Comparative Economics," CEPR Discussion Papers, Centre for Economic Policy Research, number 3882, May.
  4. Jonathan A. Parker & Christian Julliard, 2003, "Consumption Risk and Cross-Sectional Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 9538, Mar.
  5. Jonathan A. Parker & Christian Julliard, 2003, "Consumption Risk And Expected Stock Returns," Working Papers, Princeton University, School of Public and International Affairs, Discussion Papers in Economics, number 144, Jan.
  6. Timmermann, Allan & Patton, Andrew, 2003, "Properties of Optimal Forecasts," CEPR Discussion Papers, Centre for Economic Policy Research, number 4037, Aug.
  7. Granger, Clive W. J. & Terasvirta, Timo & Patton, Andrew J., 2003, "Common factors in conditional distributions for Bivariate time series," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24854, Jun.
  8. Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari, 2003, "On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models," Working Papers, CEMFI, number wp2003_0306.
  9. Neil Shephard & Enrique Sentana & Gabriele Fiorentini, 2003, "Likelihood-based estimation of latent generalised ARCH," Economics Series Working Papers, University of Oxford, Department of Economics, number 2004-FE-02, Jun.
  10. David De Meza & David C Webb, 2003, "The Near Impossibility of Credit Rationing," FMG Discussion Papers, Financial Markets Group, number dp459, Jul.

2002

  1. Djankov, Simeon & Murrell, Peter, 2002, "Enterprise Restructuring in Transition: A Quantitative Survey," CEPR Discussion Papers, Centre for Economic Policy Research, number 3319, Apr.
  2. Djankov, Simeon & La Porta, Rafael & Lopez-de-Silanes, Florencio & Shleifer, Andrei, 2002, "Courts: The Lex Mundi project," CEPR Discussion Papers, Centre for Economic Policy Research, number 3344, Apr.
  3. Julliard, Christian, 2002, "The international diversification puzzle is not worse than you think," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 4814, Jun.
  4. Granger, Clive W.J. & Teräsvirta, Timo & Patton, Andrew J, 2002, "Common Factors in Conditional Distributions," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt3bd1n1x5, Nov.
  5. Patton, Andrew J., 2002, "On the out-of-sample importance of skewness and asymetric dependence for asset allocation," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24951, Dec.
  6. Andrew Patton, 2002, "(IAM Series No 001) On the Out-Of-Sample Importance of Skewness and Asymetric Dependence for Asset Allocation," FMG Discussion Papers, Financial Markets Group, number dp431, Dec.
  7. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002, "Likelihood-Based Estimation of Latent Generalised ARCH Structures," Working Papers, CEMFI, number wp2002_0204.
  8. Jean-Pierre Zigrand, 2002, "Rational Asset Pricing Implications from Realistic Trading Frictions," FMG Discussion Papers, Financial Markets Group, number dp414, May.

2001

  1. Danielsson, Jon & Shin, Hyun Song & Zigrand, Jean-Pierre, 2001, "Asset price dynamics with value-at-risk constrained traders," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119092, Oct.
  2. Zigrand, Jean-Pierre & Danielsson, Jon, 2001, "What happens when you regulate risk?: evidence from a simple equilibrium model," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 25069, Oct.
  3. Con Keating & Hyun Song Shin & Charles Goodhart & Jon Danielsson, 2001, "An Academic Response to Basel II," FMG Special Papers, Financial Markets Group, number sp130, May.
  4. Jón Daníelsson & Bjørn N. Jorgensen & Casper G. de Vries & Xiaogang Yang, 2001, "Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 01-069/2, Jul.
  5. Jón Daníelsson & Bjørn N. Jorgensen & Casper G. de Vries, 2001, "Incentives for Effective Risk Management," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 01-094/2, Oct.
  6. Coricelli, Fabrizio & Djankov, Simeon, 2001, "Hardened Budgets and Enterprise Restructuring: Theory and an Application to Romania," CEPR Discussion Papers, Centre for Economic Policy Research, number 2950, Sep.
  7. Djankov, Simeon & La Porta, Rafael & Lopez-de-Silanes, Florencio & Shleifer, Andrei, 2001, "The Regulation of Entry," CEPR Discussion Papers, Centre for Economic Policy Research, number 2953, Sep.
  8. Simeon Djankov & Caralee McLiesh & Tatiana Nenova & Andrei Shleifer, 2001, "Who Owns the Media?," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1919.
  9. Claessens, Stijn & Djankov, Simeon & Fan, Joseph P.H. & Lang, Larry H.P., 2001, "The Benefits and Costs of Internal Markets: Evidence from Asia's Financial Crisis," CEI Working Paper Series, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University, number 2001-15, Sep.
  10. Stijn Claessens & Simeon Djankov & Joseph P. H. Fan & Larry H. P. Lang, 2001, "The Pattern and Valuation Effects of Corporate Diversification: A Comparison of the United States, Japan, and Other East Asian Economies," WIDER Working Paper Series, World Institute for Development Economic Research (UNU-WIDER), number DP2001-127.
  11. Patton, Andrew J, 2001, "Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt01q7j1s2, Jun.
  12. Patton, Andrew J, 2001, "Estimation of Copula Models for Time Series of Possibly Different Length," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt3fc1c8hw, Nov.
  13. Rohit Rahi & Piero Gottardi, 2001, "Efficiency Properties of Rational Expectations Equilibria with Asymmetric Information," FMG Discussion Papers, Financial Markets Group, number dp381, Jun.
  14. Enrique Sentana, 2001, "Mean-Variance Portfolio Allocation with a Value at Risk Constraint," Working Papers, CEMFI, number wp2001_0105.
  15. Calzorali, Giorgio & Fiorentini, Gabriele & Sentana, Enrique, 2001, "Constrained indirect inference estimation," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 25061, Jun.
  16. David C Webb & David De Meza, 2001, "Saving Eliminates Credit Rationing," FMG Discussion Papers, Financial Markets Group, number dp391, Sep.
  17. Jean-Pierre Zigrand, 2001, "Rational Limits to Arbitrage," FMG Discussion Papers, Financial Markets Group, number dp392, Oct.
  18. Jean-Pierre Zigrand, 2001, "On Physics and Finance," FMG Special Papers, Financial Markets Group, number sp128, Jan.

2000

  1. Vincente Cuñat, 2000, "Trade Credit: Suppliers as Debt Collectors and Insurance Providers," FMG Discussion Papers, Financial Markets Group, number dp365, Nov.
  2. Daníelsson, J. & de Haan, L.F.M. & Peng, L. & de Vries, C.G., 2000, "Using a bootstrap method to choose the sample fraction in tail index estimation," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2000-19/A, May.
  3. Jon Danielsson, 2000, "The Emperor has no Clothes: Limits to Risk Modelling," FMG Special Papers, Financial Markets Group, number sp126, Oct.
  4. Djankov, Simeon & Freund, Caroline, 2000, "Disintegration," CEPR Discussion Papers, Centre for Economic Policy Research, number 2545, Aug.
  5. Simeon Djankov & Jan Jindra & Leora Klapper, 2000, "Resolution of bank insolvency and borrower evaluation in East Asia," Proceedings, Federal Reserve Bank of Chicago, number 681.
  6. Claessens, Stijn & Djankov, Simeon & Fan, Joseph P.H. & Lang, Larry H.P., 2000, "Expropriation of Minority Shareholders in East Asia," CEI Working Paper Series, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University, number 2000-4, Jul.
  7. Claessens, Stijn & Djankov, Simeon & Fan, Joseph P.H. & Lang, Larry H.P., 2000, "The Costs of Group Affiliation: Evidence from East Asia," CEI Working Paper Series, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University, number 2000-5, Jul.
  8. Deardorff, A.V. & Djankov, S., 2000, "Knowledge Transfer Under Subcontracting: Evidence from Czech Firms," Working Papers, Research Seminar in International Economics, University of Michigan, number 454.
  9. Claessens, Stijn & Djankov, Simeon & Nenova, Tatiana, 2000, "Corporate risk around the world," Policy Research Working Paper Series, The World Bank, number 2271, Jan.
  10. Djankov, Simeon & Freund, Caroline, 2000, "Disintegration and trade flows : evidence from the Former Soviet Union," Policy Research Working Paper Series, The World Bank, number 2378, Jun.
  11. Freund, Caroline & Djankov, Simeon, 2000, "Which firms do foreigners buy : evidence from the Republic of Korea," Policy Research Working Paper Series, The World Bank, number 2450, Sep.
  12. Engle, Robert F & Patton, Andrew J, 2000, "Impacts of Trades in an Error-Correction Model of Quote Prices," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt6dm6093f, Aug.
  13. Enrique Sentana, 2000, "Factor Representing Portfolios in Large Asset Markets.Versión Revisada," Working Papers, CEMFI, number wp2000_0001.
  14. Giorgio Calzolari & Gabriele Fiorentini & Enrique Sentana, 2000, "Constrained EMM and Indirect Inference Estimation. Versión Revisada," Working Papers, CEMFI, number wp2000_0005.
  15. Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari, 2000, "The Score of Conditionally Heteroskedastic Dynamic Regression Models with Student t Innovations, and an LM Test for Multivariate Normality.Versión Revisada," Working Papers, CEMFI, number wp2000_0007.
  16. Sentana, Enrique, 2000, "Did the EMS Reduce the Cost of Capital?," CEPR Discussion Papers, Centre for Economic Policy Research, number 2640, Dec.
  17. Manuel Arellano & Lars P. Hansen & Enrique Sentana, 2000, "Underidentification?," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 1824, Aug.
  18. Sentana, E., 2000, "Factor Representing Portfolios in Large Asset Markets," Papers, Centro de Estudios Monetarios Y Financieros-, number 0001.
  19. Calzolari, G. & Fiorentini, G. & Sentana, E., 2000, "Constrained EMM and Indirect Inference Estimation," Papers, Centro de Estudios Monetarios Y Financieros-, number 0005.
  20. Fiorentini, G. & Sentana, E. & Calzolari, G., 2000, "The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality," Papers, Centro de Estudios Monetarios Y Financieros-, number 0007.

1999

  1. Danielsson, Jon & Payne, Richard, 1999, "Real trading patterns and prices in spot foreign exchange markets," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119126, Mar.
  2. Djankov, Simeon, 1999, "The Enterprise Isolation Programme in Romania," CEPR Discussion Papers, Centre for Economic Policy Research, number 2131, Apr.
  3. Claessens, Stijn & Djankov, Simeon, 1999, "Ownership Concentration and Corporate Performance in the Czech Republic," CEPR Discussion Papers, Centre for Economic Policy Research, number 2145, May.
  4. Claessens, S. & Djankov, S. & Lang, L.H.P., 1999, "East Asian Corporations. Heroes or Villains?," World Bank - Discussion Papers, World Bank, number 409.
  5. Stijn Claessens & Simeon Djankov & Daniela Klingebiel, 1999, "How to Accelerate Corporate and Financial Sector Restructuring in East Asia," World Bank Publications - Reports, The World Bank Group, number 11452, Nov.
  6. Stijn Claessens & Simeon Djankov & Larry H. P. Lang, 1999, "Who Controls East Asian Corporations—and the Implications for Legal Reform," World Bank Publications - Reports, The World Bank Group, number 11465, Sep.
  7. Stijn Claessens & Simeon Djankov & Giovanni Ferri, 1999, "Corporate Distress in East Asia : The Effect of Currency and Interest Rate Shocks," World Bank Publications - Reports, The World Bank Group, number 11500, Jan.
  8. Djankov, Simeon, 1999, "Restructuring of insider-dominated firms," Policy Research Working Paper Series, The World Bank, number 2046, Jan.
  9. Djankov, Simeon, 1999, "Ownership structure and enterprise restructuring in six newly independent states," Policy Research Working Paper Series, The World Bank, number 2047, Feb.
  10. Claessens, Constantijn A. & Djankov, Simeon & Lang, Larry H. P., 1999, "Who controls East Asian corporations ?," Policy Research Working Paper Series, The World Bank, number 2054, Feb.
  11. Claessens, Stijn & Djankov, Simeon & Joseph P. H. Fan & Lang, Larry H. P., 1999, "Expropriation of minority shareholders : evidence from East Asia," Policy Research Working Paper Series, The World Bank, number 2088, Mar.
  12. Claessens, Stijn & Djankov, Simeon & Joseph P. H. Fan & Lang, Larry H. P., 1999, "Corporate diversification in East Asia : the role of ultimate ownership and group affiliation," Policy Research Working Paper Series, The World Bank, number 2089, Mar.
  13. Djankov, Simeon & Hoekman, Bernard, 1999, "Foreign investment and productivity growth in Czech enterprises," Policy Research Working Paper Series, The World Bank, number 2115, May.
  14. Claessens, Stijn & Djankov, Simeon & Klapper, Leora, 1999, "Resolution of corporate distress - evidence from East Asia's financial crisis," Policy Research Working Paper Series, The World Bank, number 2133, Jun.
  15. Simeon Djankov, 1999, "The Enterprise Isolation Program in Russia," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 228, Apr.
  16. Sentana, Enrique, 1999, "Least Squares Predictions and Mean-Variance Analysis," CEPR Discussion Papers, Centre for Economic Policy Research, number 2088, Feb.
  17. Jean-Pierre Zigrand, 1999, "Arbitrage and Endogenous Market Integration," FMG Discussion Papers, Financial Markets Group, number dp319, Mar.

1998

  1. Danielsson, Jon & Vries, Casper, 1998, "Beyond the sample: extreme quantile and probability estimation," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119141, Jul.
  2. Philipp Hartmann & Jon Danielsson, 1998, "The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplicaiton Factor," FMG Special Papers, Financial Markets Group, number sp100, Feb.
  3. Silvia Caserta & Jon Danielsson & Casper G. de Vries, 1998, "Abnormal Returns, Risk, and Options in Large Data Sets," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 98-107/2, Oct.
  4. Djankov, Simeon & Hoekman, Bernard, 1998, "Avenues of Technology Transfer: Foreign Investment and Productivity Change in the Czech Republic," CEPR Discussion Papers, Centre for Economic Policy Research, number 1883, May.
  5. Djankov, Simeon, 1998, "Conditions of Competition and Multilateral Surveillance," CEPR Discussion Papers, Centre for Economic Policy Research, number 1988, Oct.
  6. Djankov, Simeon, 1998, "Enterprise isolation programs in transition economies : evidence from Romania," Policy Research Working Paper Series, The World Bank, number 1952, Aug.
  7. Claessens,Constantijn A. & Djankov, Simeon, 1998, "Politicians and firms in seven central and eastern European countries," Policy Research Working Paper Series, The World Bank, number 1954, Aug.
  8. Alba, Pedro & Claessens, Stijn & Djankov, Simeon, 1998, "Thailand's corporate financing and governance structures," Policy Research Working Paper Series, The World Bank, number 2003, Nov.
  9. Claessens, Stijn & Djankov, Simeon & Lang, Larry, 1998, "Corporate growth, financing, and risks in the decade before East Asia's financial crisis," Policy Research Working Paper Series, The World Bank, number 2017, Nov.
  10. Claessens, Constantijn A. & Djankov, Simeon & Joseph P. H. Fan & Lang, Larry H. P., 1998, "Diversification and efficiency of investment by East Asian corporations," Policy Research Working Paper Series, The World Bank, number 2033, Dec.
  11. David C Webb, 1998, "The Impact of Liquidity Constraints on Bank Lending Policy," FMG Discussion Papers, Financial Markets Group, number dp299, Jul.

1997

  1. Danielsson, Jon & Vries, Casper, 1997, "Value-at-risk and extreme returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119166, Sep.
  2. Jon Danielsson, 1997, "Extreme Returns, Tail Estimation, and Value-at-Risk," FMG Discussion Papers, Financial Markets Group, number dp273, Jul.
  3. Djankov, Simeon & Aturupane, Chonira, 1997, "Determinants of Intra-Industry Trade between East and West Europe," CEPR Discussion Papers, Centre for Economic Policy Research, number 1721, Oct.
  4. Djankov, Simeon, 1997, "Competition Law in Post-Central Planning Bulgaria," CEPR Discussion Papers, Centre for Economic Policy Research, number 1723, Oct.
  5. Pohl, G. & Anderson, R.E. & Claessens, S. & Djankov, S., 1997, "Privatization and Restructuring in Central and Eastern Europe: Evidence and Policy Options," Papers, World Bank - Technical Papers, number 368.
  6. Stijn Claesens & Simeon Djankov & Gerhard Pohl, 1997, "Ownership and Corporate Governance : Evidence from the Czech Republic," World Bank Publications - Reports, The World Bank Group, number 11584, May.
  7. Djankov, Simeon & Hoekman, Bernard, 1997, "Trade reorientation and productivity growth in Bulgarian enterprises," Policy Research Working Paper Series, The World Bank, number 1707, Jan.
  8. Djankov, Simeon & Pohl, Gerhard, 1997, "The restructuring of large firms in Slovakia," Policy Research Working Paper Series, The World Bank, number 1758, Apr.
  9. Hoekman, Bernard & Djankov, Simeon, 1997, "Competition law in Bulgaria after central planning," Policy Research Working Paper Series, The World Bank, number 1789, Jun.
  10. Simeon Djankov & Stijn Claessens, 1997, "Enterprise Performance and Managers' Profiles," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 115, Dec.
  11. Simeon Djankov & Kosali Ilayperuma, 1997, "The Failure of Government-led Program of Corporate Reorganization in Romania," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 139, Sep.
  12. Stijn Claessens & Simeon Djankov & Gerhard Pohl, 1997, "Determinants of Performance of Manufacturing Firms in Seven European Transition Economies," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 74, Feb.
  13. V A Hajivassiliou, 1997, "Testing Game-Theoretic Models of Price Fixing Behaviour," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 324, Mar.
  14. V A Hajivassiliou & DL McFadden, 1997, "The Method of Simulated Scores for the Estimation of LDV Models," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 328, May.
  15. V A Hajivassiliou, 1997, "Some Practical Issues in Maximum Simulated Likelihood," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 340, Nov.
  16. Dow, J. & Rahi, R., 1997, "Should Speculators be Taxed?," Economics Working Papers, European University Institute, number eco97/21.
  17. José M. Marín & Rohit Rahi, 1997, "Speculative securities," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 223, Apr.
  18. Enrique Sentana, 1997, "Risk and Return in the Spanish Stock Market: Some Evidence from Individual Assets," Working Papers, CEMFI, number wp1997_9702.
  19. Ángel León & Enrique Sentana, 1997, "Pricing Options on Assets with Predictable White Noise Returns," Working Papers, CEMFI, number wp1997_9704.
  20. Enrique Sentana & Gabriele Fiorentini, 1997, "Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada," Working Papers, CEMFI, number wp1997_9709.
  21. Enrique Sentana, 1997, "Least Squares Predictions and Mean-Variance Analysis. Versión Revisada," Working Papers, CEMFI, number wp1997_9711.
  22. Enrique Sentana, 1997, "The Relation Between Conditionally Heteroskedastic Factor Models and Factor GARCH Models," Working Papers, CEMFI, number wp1997_9719.
  23. Sentana, E. & Fiorentini, G., 1997, "Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model," Papers, Centro de Estudios Monetarios Y Financieros-, number 9709.

1996

  1. Casper De Vries & Jon Danielsson & Casper G, de Vries, 1996, "Tail Index and Quantile Estimation with Very High Frequency Data," CESifo Working Paper Series, CESifo, number 116.
  2. Djankov, Simeon, 1996, "Intra-Industry Trade, Foreign Direct Investment and the Reorientation of East European Exports," CEPR Discussion Papers, Centre for Economic Policy Research, number 1377, Apr.
  3. Djankov, Simeon, 1996, "Effective Protection and Investment Incentives in Egypt and Jordan During the Transition to Free Trade with Europe," CEPR Discussion Papers, Centre for Economic Policy Research, number 1415, Jun.
  4. Djankov, Simeon, 1996, "Fuzzy Transition and Firm Efficiency: Evidence from Bulgaria, 1991-4," CEPR Discussion Papers, Centre for Economic Policy Research, number 1424, Jul.
  5. Pohl, G. & Djankov, S. & Anderson, R.E., 1996, "Restructuring Large Industrial Firms in Central and Eastern Europe: An Empirical Analysis," Papers, World Bank - Technical Papers, number 332.
  6. Hoekman, Bernard & Djankov, Simeon, 1996, "Intra-industry trade, foreign direct investment, and the reorientation of Eastern European exports," Policy Research Working Paper Series, The World Bank, number 1652, Sep.
  7. James Dow & Rohit Rahi, 1996, "Informed Trading, Investment and Welfare," Archive Working Papers, Birkbeck, Department of Economics, Mathematics & Statistics, number 029, Nov.
  8. José M. Marín & Rohit Rahi, 1996, "Information revelation and market incompleteness," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 145, Feb.
  9. Antonis Demos & Enrique Sentana, 1996, "Testing for GARCH Effects: A One-Sided Approach," Working Papers, CEMFI, number wp1996_9611.
  10. Antonis Demos & Enrique Sentana, 1996, "An EM Algorithm for Conditionally Heteroskedastic Factor Models," Working Papers, CEMFI, number wp1996_9615.
  11. Gabriele Fiorentini & Enrique Sentana, 1996, "Conditional Means of Time Series Processes and Time Series Processes for Conditional Means," Working Papers, CEMFI, number wp1996_9617.

1995

  1. Djankov, Simeon, 1995, "Catching Up With Eastern Europe? The European Union's Mediterranean Free Trade Initiative," CEPR Discussion Papers, Centre for Economic Policy Research, number 1300, Nov.
  2. Djankov, Simeon, 1995, "Trade Liberalization and Enterprise Restructuring in Bulgaria, 1992-4," CEPR Discussion Papers, Centre for Economic Policy Research, number 1301, Nov.
  3. Brown, D. & Deardorff & A. & Djankov, S. & Stern, R., 1995, "An Economic Assessment of the Integration of Czechoslovakia, Hungary and Poland into the European Union," Papers, American Institute for Contemporary German Studies-, number 8.
  4. V A Hajivassiliou & Y Ioannides, 1995, "Unemployment and Liquidity Constraints," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp0243, May.
  5. Enrique Sentana, 1995, "Riesgo y rentabilidad en el mercado de valores español," Working Papers, CEMFI, number wp1995_9507.
  6. Enrique Sentana & Mustaq Shah & Sushil Wadhwani, 1995, "Has the EMS Reduced the Cost of Capital? Versión Revisada," Working Papers, CEMFI, number wp1995_9514.
  7. Enrique Sentana, 1995, "Quadratic ARCH Models," Working Papers, CEMFI, number wp1995_9517.
  8. Sentana, Enrique, 1995, "Risk and return in the Spanish stock market," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119179, Aug.
  9. Sentana, E. & Shah, M. & Wadhwani, S., 1995, "Has the EMS Reduced the Cost of Capital?," Papers, Centro de Estudios Monetarios Y Financieros-, number 9514.

1994

  1. Vassilis A. Hajivassiliou & Daniel McFadden & Paul A. Ruud, 1994, "Simulation of Multivariate Normal Rectangle Probabilities: Theoretical and Computational Results," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1021R, Oct.
  2. Horowitz, Joel & Keane, Michael & Bolduc, Denis & Divakar, Suresh & Geweke, John & Gonul, Fosun & Hajivassiliou, Vassilis & Koppelman, Frank & Matzkin, Rosa & Rossi, Peter & Ruud, Paul, 1994, "Advances in Random Utility Models," MPRA Paper, University Library of Munich, Germany, number 53026.
  3. Enrique Sentana & Mushtaq Shah, 1994, "An Index of Co-Movements in Financial Time Series," Working Papers, CEMFI, number wp1994_9415.
  4. Theo Nijman # Enrique Sentana, 1994, "Marginalization and Contemporaneous Aggregation in Multivariate GARCH Processes," Working Papers, CEMFI, number wp1994_9419.
  5. Enrique Sentana, 1994, "The Likelihood Function of a Conditionally Heteroskedastic Factor Model with Heywood Cases," Working Papers, CEMFI, number wp1994_9420.
  6. Enrique Sentana, 1994, "A Positive Rank-One Modification of the Symmetric Factorization of a Positive Semi-Definite Matrix," Working Papers, CEMFI, number wp1994_9421.

1993

  1. Hajivassiliou, Vassilis A & Ruud, Paul A., 1993, "Classical Estimation Methods for LDV Models Using Simulation," Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley, number qt3cg196fr, Oct.
  2. Vassilis A. Hajivassiliou, 1993, "Simulating Normal Rectangle Probabilities and Their Derivatives: The Effects of Vectorization," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1049, Jul.
  3. Hajivassiliou, 1993, "A Simulation Estimation Analysis of the External Debt Crises of Developing Countries," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1057, Sep.
  4. Hajivassiliou, 1993, "Macroeconomic Shocks in an Aggregative Disequilibrium Model," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1063, Oct.
  5. Vassilis A. Hajivassiliou & Yannis M. Ioannides, 1993, "Duality, Consumption Decisions Under Uncertainty, and Liquidity Constraints: A Note," Working Papers, Yale University, number _018, Apr.
  6. Stelios Corres & Vassilis A. Hajivassiliou & Yannis M. Ioannides, 1993, "An Empirical Investigation on the Dynamics of Qualitative Decisions of Firms," Working Papers, Yale University, number _020, Apr.
  7. Vassilis A. Hajivassiliou & Paul A. Ruud, 1993, "Handbook of Econometrics: Classical Estimation Methods for LDV Models Using Simulation," Working Papers, Yale University, number _021, Apr.
  8. Vassilis A. Hajivassiliou & Daniel L. McFadden & Paul Ruud, 1993, "Simulation of Multivariate Normal Rectangle Probabilities and their Derivatives: Theoretical and Computational Results," Working Papers, Yale University, number _024, Apr.
  9. Rohit Rahi, 1993, "Adverse selection and security design," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 64, Jul, revised Feb 1994.

1992

  1. Vassilis A. Hajivassiliou & Yannis M. Ioannides, 1992, "A Note on the Dual Approach to the Existence and Characterization of Optimal Consumption Decisions Under Uncertainty and Liquidity Constraints," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1018, May.

1991

  1. Vassilis A. Hajivassiliou, 1991, "Simulation Estimation Methods for Limited Dependent Variable Models," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1007, Dec.

1990

  1. Vassilis A. Hajivassiliou & Axel Borsch-Supan, 1990, "Smooth Unbiased Multivariate Probability Simulators for Maximum Likelihood Estimation of Limited Dependent Variable Models," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 960, Sep.
  2. Vassilis A. Hajivassiliou & Daniel McFadden, 1990, "The Method of Simulated Scores for the Estimation of LDV Models with an Application to External Debt Crisis," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 967, Dec.
  3. Axel Borsch-Supan & Vassilis Hajivassiliou & Laurence J. Kotlikoff & John N. Morris, 1990, "Health, Children, and Elderly Living Arrangements: A Multiperiod-Multinomial Probit Model with Unobserved Heterogeneity and Autocorrelated Errors," NBER Working Papers, National Bureau of Economic Research, Inc, number 3343, Apr.
  4. Mervyn King & Enrique Sentana & Sushil Wadhwani, 1990, "Volatiltiy and Links Between National Stock Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 3357, May.

1989

  1. Vassilis A. Hajivassiliou, 1989, "Do the Secondary Markets Believe in Life After Debt?," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 911, May.

1987

  1. Peter C.B. Phillips & Vassilis A. Hajivassiliou, 1987, "Bimodal t-Ratios," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 842, Jul.
  2. Vassilis A. Hajivassiliou, 1987, "An Aggregative Disequilibrium Model of the U.S. Labour Market," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 848, Jul.

1986

  1. Vassilis A. Hajivassiliou, 1986, "Two Misspecification Tests for the Simple Switching Regressions Disequilibrium Model," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 792, May.
  2. Vassilis A. Hajivassiliou, 1986, "Temporal Dependence in Limited Dependent Variable Models: Theoretical and Monte-Carlo Results," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 803, Aug.

Undated

  1. Simeon Djankov & Rafael LaPorta & Florencio Lopez-de-Silanes & Andrei Shleifer, undated, "Courts," Working Paper, Harvard University OpenScholar, number 19471.
    • Simeon Djankov & Rafael La Porta & Florencio Lopez-de-Silanes & Andrei Shleifer, 2003, "Courts," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 118, issue 2, pages 453-517.

Journal articles

2026

  1. Patton, Andrew J. & Zhang, Haozhe, 2026, "Bespoke realized volatility: Tailored measures of risk for volatility prediction," Journal of Econometrics, Elsevier, volume 254, issue PA, DOI: 10.1016/j.jeconom.2025.106122.
  2. Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2026, "The information matrix test for Gaussian mixtures," Journal of Econometrics, Elsevier, volume 255, issue C, DOI: 10.1016/j.jeconom.2026.106234.
  3. Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2026, "Multivariate Hermite polynomials and information matrix tests," Econometrics and Statistics, Elsevier, volume 39, issue C, pages 22-48, DOI: 10.1016/j.ecosta.2024.01.005.
  4. Amengual, Dante & Bei, Xinyue & Sentana, Enrique, 2026, "Highly irregular serial correlation tests," Econometrics and Statistics, Elsevier, volume 39, issue C, pages 4-21, DOI: 10.1016/j.ecosta.2024.01.001.

2025

  1. Cuñat, Vicente & Lü, Yiqing & Wu, Hong, 2025, "Managerial Response to Shareholder Empowerment: Evidence from Majority-Voting Legislation Changes," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 60, issue 5, pages 2500-2525, August.
  2. Ghazala Azmat & Vicente Cuñat & Emeric Henry, 2025, "Gender Promotion Gaps and Career Aspirations," Management Science, INFORMS, volume 71, issue 3, pages 2127-2141, March, DOI: 10.1287/mnsc.2023.00715.
  3. Vicente Cuñat & Moqi Groen-Xu, 2025, "Timing Complex News to Target Attention," Management Science, INFORMS, volume 71, issue 9, pages 7774-7799, September, DOI: 10.1287/mnsc.2021.03722.
  4. Ruth V Aguilera & Vicente J Bermejo & Javier Capapé & Vicente Cuñat, 2025, "The Systemic Governance Influence of Expectation Documents: Evidence from a Universal Owner," The Review of Corporate Finance Studies, Society for Financial Studies, volume 14, issue 2, pages 372-407.
  5. Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2025, "Information matrix tests for multinomial logit models," Economics Letters, Elsevier, volume 247, issue C, DOI: 10.1016/j.econlet.2025.112180.
  6. Amengual, Dante & Bei, Xinyue & Carrasco, Marine & Sentana, Enrique, 2025, "Score-type tests for normal mixtures," Journal of Econometrics, Elsevier, volume 248, issue C, DOI: 10.1016/j.jeconom.2024.105717.
  7. Antoine, Bertille & Gagliardini, Patrick & Garcia, René & Sentana, Enrique, 2025, "Identification, inference and risk," Journal of Econometrics, Elsevier, volume 248, issue C, DOI: 10.1016/j.jeconom.2024.105938.
  8. Sentana, Enrique, 2025, "Reprint of: Finite underidentification," Journal of Econometrics, Elsevier, volume 248, issue C, DOI: 10.1016/j.jeconom.2025.105947.

2024

  1. Djankov, Simeon & Su, Meng, 2024, "Are U.S. sanctions off-target: Evidence from the Magnitsky act," Economics Letters, Elsevier, volume 242, issue C, DOI: 10.1016/j.econlet.2024.111889.
  2. Rabah Arezki & Alou Adesse Dama & Simeon Djankov & Ha Nguyen, 2024, "Contagious protests," Empirical Economics, Springer, volume 66, issue 6, pages 2397-2434, June, DOI: 10.1007/s00181-023-02539-y.
  3. Hajivassiliou, Vassilis & Savignac, Frédérique, 2024, "Simultaneously Incomplete and Incoherent (SII) Dynamic LDV Models: With an Application to Financing Constraints and Firms’ Decision to Innovate," Journal of Econometrics, Elsevier, volume 238, issue 1, DOI: 10.1016/j.jeconom.2023.105546.
  4. Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad‐Díaz & Menachem (Meni) Abudy , 2024, "Nonstandard Errors," Journal of Finance, American Finance Association, volume 79, issue 3, pages 2339-2390, June, DOI: 10.1111/jofi.13337.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Hasse, Jean-Baptiste & e.a.,, 2023, "Non-Standard Errors," LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2023002, Jan.
    • Utz Weitzel & Michael Razen & Sebastian Neussüs & Michael Kirchler & Magnus Johannesson & Juergen Huber & Felix Holzmeister & Anna Dreber & Albert J. Menkveld & Javier Gil-Bazo, 2021, "Non-Standard Errors," Working Papers, Barcelona School of Economics, number 1303, Dec.
    • Gerardo Ferrara & Simon Jurkatis, 2021, "Non-standard errors," Bank of England Staff Working Paper series, Bank of England, number 955, Dec.
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021, "Non-Standard Errors," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2182, Nov.
    • Albert J. et al. Menkveld, 2021, "Non-Standard Errors," CESifo Working Paper Series, CESifo, number 9453.
    • Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli, 2022, "Non-Standard Errors," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-09, Jan.
    • Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021, "Non-Standard Errors," CEPR Discussion Papers, Centre for Economic Policy Research, number 16751, Nov.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac, 2024, "Nonstandard errors," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 123002, Jun.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-05077550, Apr, DOI: 10.1111/jofi.13337.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021, "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-03500882, Nov.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Post-Print, HAL, number hal-04676112, Apr, DOI: 10.1111/jofi.13337.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Post-Print, HAL, number hal-05077550, Apr, DOI: 10.1111/jofi.13337.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021, "Non-Standard Errors," Post-Print, HAL, number halshs-03500882, Nov.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021, "Non-Standard Errors," Working Papers, Lund University, Department of Economics, number 2021:17, Nov.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Dí­az & Menachem Abudy & Tobi, 2021, "Non-Standard Errors," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2021-31.
    • Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021, "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 21033, Nov.
    • Ciril Bosch-Rosa & Bernhard Kassner, 2023, "Non-Standard Errors," Rationality and Competition Discussion Paper Series, CRC TRR 190 Rationality and Competition, number 385, Feb.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neus ss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Fr mmel & et al, 2021, "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 21/1032, Nov.
    • Menkveld, Albert J. & Dreber, Anna & Declerck, Fany & Moinas, Sophie, 2023, "Non-Standard Errors," TSE Working Papers, Toulouse School of Economics (TSE), number 23-1451, Jun.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021, "Non-standard errors," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1807, Dec.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021, "Non-standard errors," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 11/2021.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021, "Non-standard errors," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 327, DOI: 10.2139/ssrn.3961574.
  5. Oh, Dong Hwan & Patton, Andrew J., 2024, "Better the devil you know: Improved forecasts from imperfect models," Journal of Econometrics, Elsevier, volume 242, issue 1, DOI: 10.1016/j.jeconom.2024.105767.
  6. Sentana, Enrique, 2024, "Finite underidentification," Journal of Econometrics, Elsevier, volume 240, issue 1, DOI: 10.1016/j.jeconom.2024.105692.
  7. Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2024, "Specification tests for non-Gaussian structural vector autoregressions," Journal of Econometrics, Elsevier, volume 244, issue 2, DOI: 10.1016/j.jeconom.2024.105803.
  8. Martín Almuzara & Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2024, "GDP Solera: The Ideal Vintage Mix," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 42, issue 3, pages 984-997, July, DOI: 10.1080/07350015.2023.2273622.

2023

  1. Heski Bar-Isaac & Guillermo Caruana & Vicente Cuñat, 2023, "Targeted Product Design," American Economic Journal: Microeconomics, American Economic Association, volume 15, issue 2, pages 157-186, May, DOI: 10.1257/mic.20200474.
  2. Jon Danielsson & Marcela Valenzuela & Ilknur Zer, 2023, "The Impact of Risk Cycles on Business Cycles: A Historical View," The Review of Financial Studies, Society for Financial Studies, volume 36, issue 7, pages 2922-2961.
  3. Svetlana Bryzgalova & Jiantao Huang & Christian Julliard, 2023, "Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models," Journal of Finance, American Finance Association, volume 78, issue 1, pages 487-557, February, DOI: 10.1111/jofi.13197.
  4. Julliard, Christian & Shi, Ran & Yuan, Kathy, 2023, "The spread of COVID-19 in London: Network effects and optimal lockdowns," Journal of Econometrics, Elsevier, volume 235, issue 2, pages 2125-2154, DOI: 10.1016/j.jeconom.2023.02.012.
  5. Oh, Dong Hwan & Patton, Andrew J., 2023, "Dynamic factor copula models with estimated cluster assignments," Journal of Econometrics, Elsevier, volume 237, issue 2, DOI: 10.1016/j.jeconom.2022.07.012.
  6. Sílvia Gonçalves & Ulrich Hounyo & Andrew J. Patton & Kevin Sheppard, 2023, "Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 41, issue 3, pages 683-694, July, DOI: 10.1080/07350015.2022.2058949.
  7. Andrew J. Patton & Brian M. Weller, 2023, "Testing for Unobserved Heterogeneity via k-means Clustering," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 41, issue 3, pages 737-751, July, DOI: 10.1080/07350015.2022.2061983.
  8. Fiorentini, Gabriele & Sentana, Enrique, 2023, "Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions," Journal of Econometrics, Elsevier, volume 235, issue 2, pages 643-665, DOI: 10.1016/j.jeconom.2022.02.010.
  9. Manresa, Elena & Peñaranda, Francisco & Sentana, Enrique, 2023, "Empirical evaluation of overspecified asset pricing models," Journal of Financial Economics, Elsevier, volume 147, issue 2, pages 338-351, DOI: 10.1016/j.jfineco.2022.10.002.
  10. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2023, "PML versus minimum $${\chi }^{2}$$ χ 2 : the comeback," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, volume 14, issue 3, pages 253-300, December, DOI: 10.1007/s13209-023-00280-4.

2022

  1. Daníelsson, Jón & Macrae, Robert & Uthemann, Andreas, 2022, "Artificial intelligence and systemic risk," Journal of Banking & Finance, Elsevier, volume 140, issue C, DOI: 10.1016/j.jbankfin.2021.106290.
  2. Pragyan Deb & Davide Furceri & Daniel Jimenez & Siddharth Kothari & Jonathan D. Ostry & Nour Tawk, 2022, "The effects of COVID-19 vaccines on economic activity," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, volume 158, issue 1, pages 1-25, December, DOI: 10.1186/s41937-021-00082-0.
  3. Pragyan Deb & Davide Furceri & Jonathan D. Ostry & Nour Tawk, 2022, "The Economic Effects of COVID-19 Containment Measures," Open Economies Review, Springer, volume 33, issue 1, pages 1-32, February, DOI: 10.1007/s11079-021-09638-2.
  4. Nelson Camanho & Pragyan Deb & Zijun Liu, 2022, "Credit rating and competition," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 27, issue 3, pages 2873-2897, July, DOI: 10.1002/ijfe.2303.
  5. Erica Bosio & Simeon Djankov & Edward Glaeser & Andrei Shleifer, 2022, "Public Procurement in Law and Practice," American Economic Review, American Economic Association, volume 112, issue 4, pages 1091-1117, April, DOI: 10.1257/aer.20200738.
  6. Djankov, Simeon & Luksic, Igor & Zhang, Eva (Yiwen), 2022, "Some evidence of regulatory convergence," Economics Letters, Elsevier, volume 216, issue C, DOI: 10.1016/j.econlet.2022.110522.
  7. Simeon Djankov & Edward Glaeser & Valeria Perotti & Andrei Shleifer, 2022, "Property Rights and Urban Form," Journal of Law and Economics, University of Chicago Press, volume 65, issue S1, pages 35-64, DOI: 10.1086/718854.
  8. Bollerslev, Tim & Patton, Andrew J. & Zhang, Haozhe, 2022, "Equity clusters through the lens of realized semicorrelations," Economics Letters, Elsevier, volume 211, issue C, DOI: 10.1016/j.econlet.2021.110245.
  9. Bollerslev, Tim & Medeiros, Marcelo C. & Patton, Andrew J. & Quaedvlieg, Rogier, 2022, "From zero to hero: Realized partial (co)variances," Journal of Econometrics, Elsevier, volume 231, issue 2, pages 348-360, DOI: 10.1016/j.jeconom.2021.04.013.
  10. Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2022, "Realized semibetas: Disentangling “good” and “bad” downside risks," Journal of Financial Economics, Elsevier, volume 144, issue 1, pages 227-246, DOI: 10.1016/j.jfineco.2021.05.056.
  11. Andrew J Patton & Brian M Weller, 2022, "Risk Price Variation: The Missing Half of Empirical Asset Pricing," The Review of Financial Studies, Society for Financial Studies, volume 35, issue 11, pages 5127-5184.
  12. Sander Barendse & Andrew J. Patton, 2022, "Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 40, issue 3, pages 1057-1069, June, DOI: 10.1080/07350015.2021.1896527.
  13. Peter Horvath & Jia Li & Zhipeng Liao & Andrew J. Patton, 2022, "A consistent specification test for dynamic quantile models," Quantitative Economics, Econometric Society, volume 13, issue 1, pages 125-151, January, DOI: 10.3982/QE1727.
  14. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022, "Moment tests of independent components," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, volume 13, issue 1, pages 429-474, May, DOI: 10.1007/s13209-021-00247-3.
  15. Dante Amengual & Xinyue Bei & Enrique Sentana, 2022, "Normal but skewed?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 37, issue 7, pages 1295-1313, November, DOI: 10.1002/jae.2927.

2021

  1. Noam Angrist & Simeon Djankov & Pinelopi K. Goldberg & Harry A. Patrinos, 2021, "Measuring human capital using global learning data," Nature, Nature, volume 592, issue 7854, pages 403-408, April, DOI: 10.1038/s41586-021-03323-7.
  2. Denbee, Edward & Julliard, Christian & Li, Ye & Yuan, Kathy, 2021, "Network risk and key players: A structural analysis of interbank liquidity," Journal of Financial Economics, Elsevier, volume 141, issue 3, pages 831-859, DOI: 10.1016/j.jfineco.2021.05.010.
  3. Rahi, Rohit, 2021, "Information acquisition with heterogeneous valuations," Journal of Economic Theory, Elsevier, volume 191, issue C, DOI: 10.1016/j.jet.2020.105155.
  4. Magnus, Jan R. & Pijls, Henk G.J. & Sentana, Enrique, 2021, "The Jacobian of the exponential function," Journal of Economic Dynamics and Control, Elsevier, volume 127, issue C, DOI: 10.1016/j.jedc.2021.104122.
  5. Fiorentini, Gabriele & Sentana, Enrique, 2021, "New testing approaches for mean–variance predictability," Journal of Econometrics, Elsevier, volume 222, issue 1, pages 516-538, DOI: 10.1016/j.jeconom.2020.07.014.
  6. Gabriele Fiorentini & Enrique Sentana, 2021, "Specification tests for non‐Gaussian maximum likelihood estimators," Quantitative Economics, Econometric Society, volume 12, issue 3, pages 683-742, July, DOI: 10.3982/QE1406.

2020

  1. Vicente Cuñat & Mireia Giné & Maria Guadalupe, 2020, "Price and Probability: Decomposing the Takeover Effects of Anti‐Takeover Provisions," Journal of Finance, American Finance Association, volume 75, issue 5, pages 2591-2629, October, DOI: 10.1111/jofi.12908.
  2. Marie Hyland & Simeon Djankov & Pinelopi Koujianou Goldberg, 2020, "Gendered Laws and Women in the Workforce," American Economic Review: Insights, American Economic Association, volume 2, issue 4, pages 475-490, December, DOI: 10.1257/aeri.20190542.
  3. Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2020, "Multivariate leverage effects and realized semicovariance GARCH models," Journal of Econometrics, Elsevier, volume 217, issue 2, pages 411-430, DOI: 10.1016/j.jeconom.2019.12.011.
  4. Patton, Andrew J. & Weller, Brian M., 2020, "What you see is not what you get: The costs of trading market anomalies," Journal of Financial Economics, Elsevier, volume 137, issue 2, pages 515-549, DOI: 10.1016/j.jfineco.2020.02.012.
  5. Andrew J. Patton, 2020, "Comparing Possibly Misspecified Forecasts," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 38, issue 4, pages 796-809, October, DOI: 10.1080/07350015.2019.1585256.
  6. Tim Bollerslev & Jia Li & Andrew J. Patton & Rogier Quaedvlieg, 2020, "Realized Semicovariances," Econometrica, Econometric Society, volume 88, issue 4, pages 1515-1551, July, DOI: 10.3982/ECTA17056.
  7. Magnus, Jan R. & Sentana, Enrique, 2020, "Zero-diagonality as a linear structure," Economics Letters, Elsevier, volume 196, issue C, DOI: 10.1016/j.econlet.2020.109513.
  8. Amengual, Dante & Carrasco, Marine & Sentana, Enrique, 2020, "Testing distributional assumptions using a continuum of moments," Journal of Econometrics, Elsevier, volume 218, issue 2, pages 655-689, DOI: 10.1016/j.jeconom.2020.04.033.
  9. Dante Amengual & Enrique Sentana, 2020, "Is a Normal Copula the Right Copula?," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 38, issue 2, pages 350-366, April, DOI: 10.1080/07350015.2018.1505631.

2019

  1. Caggese, Andrea & Cuñat, Vicente & Metzger, Daniel, 2019, "Firing the wrong workers: Financing constraints and labor misallocation," Journal of Financial Economics, Elsevier, volume 133, issue 3, pages 589-607, DOI: 10.1016/j.jfineco.2017.10.008.
  2. Patton, Andrew J. & Ziegel, Johanna F. & Chen, Rui, 2019, "Dynamic semiparametric models for expected shortfall (and Value-at-Risk)," Journal of Econometrics, Elsevier, volume 211, issue 2, pages 388-413, DOI: 10.1016/j.jeconom.2018.10.008.
  3. Federico M Bandi & Andrew J Patton, 2019, "Farewell Editorial," Journal of Financial Econometrics, Oxford University Press, volume 17, issue 3, pages 339-340.
  4. Fiorentini, Gabriele & Sentana, Enrique, 2019, "Consistent non-Gaussian pseudo maximum likelihood estimators," Journal of Econometrics, Elsevier, volume 213, issue 2, pages 321-358, DOI: 10.1016/j.jeconom.2019.05.017.
  5. Gabriele Fiorentini & Enrique Sentana, 2019, "Dynamic specification tests for dynamic factor models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 34, issue 3, pages 325-346, April, DOI: 10.1002/jae.2678.
  6. Martín Almuzara & Dante Amengual & Enrique Sentana, 2019, "Normality tests for latent variables," Quantitative Economics, Econometric Society, volume 10, issue 3, pages 981-1017, July, DOI: 10.3982/QE859.

2018

  1. Vicente Cuñat & Dragana Cvijanović & Kathy Yuan, 2018, "Within-Bank Spillovers of Real Estate Shocks," The Review of Corporate Finance Studies, Society for Financial Studies, volume 7, issue 2, pages 157-193.
  2. Panayi, Efstathios & Peters, Gareth W. & Danielsson, Jon & Zigrand, Jean-Pierre, 2018, "Designating market maker behaviour in limit order book markets," Econometrics and Statistics, Elsevier, volume 5, issue C, pages 20-44, DOI: 10.1016/j.ecosta.2016.10.008.
  3. Jon Danielsson & Marcela Valenzuela & Ilknur Zer, 2018, "Learning from History: Volatility and Financial Crises," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 7, pages 2774-2805.
  4. Djankov, Simeon & Georgieva, Dorina & Ramalho, Rita, 2018, "Business regulations and poverty," Economics Letters, Elsevier, volume 165, issue C, pages 82-87, DOI: 10.1016/j.econlet.2018.02.002.
  5. Djankov, Simeon & Nikolova, Elena, 2018, "Communism as the unhappy coming," Journal of Comparative Economics, Elsevier, volume 46, issue 3, pages 708-721, DOI: 10.1016/j.jce.2018.07.002.
  6. Li, Jia & Patton, Andrew J., 2018, "Asymptotic inference about predictive accuracy using high frequency data," Journal of Econometrics, Elsevier, volume 203, issue 2, pages 223-240, DOI: 10.1016/j.jeconom.2017.10.005.
  7. Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2018, "Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions," Journal of Econometrics, Elsevier, volume 207, issue 1, pages 71-91, DOI: 10.1016/j.jeconom.2018.05.004.
  8. Federico M Bandi & Andrew J Patton, 2018, "Editorial," Journal of Financial Econometrics, Oxford University Press, volume 16, issue 4, pages 523-525.
  9. Dong Hwan Oh & Andrew J. Patton, 2018, "Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 36, issue 2, pages 181-195, April, DOI: 10.1080/07350015.2016.1177535.
  10. Rahi, Rohit & Zigrand, Jean-Pierre, 2018, "Information acquisition, price informativeness, and welfare," Journal of Economic Theory, Elsevier, volume 177, issue C, pages 558-593, DOI: 10.1016/j.jet.2018.07.007.
  11. Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique, 2018, "A spectral EM algorithm for dynamic factor models," Journal of Econometrics, Elsevier, volume 205, issue 1, pages 249-279, DOI: 10.1016/j.jeconom.2018.03.013.
  12. Javier Mencía & Enrique Sentana, 2018, "Volatility-Related Exchange Traded Assets: An Econometric Investigation," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 36, issue 4, pages 599-614, October, DOI: 10.1080/07350015.2016.1216852.

2017

  1. Anisha Ghosh & Christian Julliard & Alex P. Taylor, 2017, "What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 2, pages 442-504.
  2. The Managing Co-Editors & Federico M. Bandi & Andrew J. Patton, 2017, "Introduction to the 2016 Hal White Memorial Lecture," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 3, pages 331-332.
  3. Dong Hwan Oh & Andrew J. Patton, 2017, "Modeling Dependence in High Dimensions With Factor Copulas," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 35, issue 1, pages 139-154, January, DOI: 10.1080/07350015.2015.1062384.

2016

  1. Vicente Cuñat & Mireia Giné & Maria Guadalupe, 2016, "Say Pays! Shareholder Voice and Firm Performance," Review of Finance, European Finance Association, volume 20, issue 5, pages 1799-1834.
  2. Danielsson, Jon & James, Kevin R. & Valenzuela, Marcela & Zer, Ilknur, 2016, "Model risk of risk models," Journal of Financial Stability, Elsevier, volume 23, issue C, pages 79-91, DOI: 10.1016/j.jfs.2016.02.002.
  3. Jon Danielsson & Kevin R. James & Marcela Valenzuela & Ilknur Zer, 2016, "Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report," Journal of Money, Credit and Banking, Blackwell Publishing, volume 48, issue 4, pages 795-812, June, DOI: 10.1111/jmcb.12318.
  4. Simeon Djankov, 2016, "The Doing Business Project: How It Started: Correspondence," Journal of Economic Perspectives, American Economic Association, volume 30, issue 1, pages 247-248, Winter.
  5. Djankov, Simeon & Nikolova, Elena & Zilinsky, Jan, 2016, "The happiness gap in Eastern Europe," Journal of Comparative Economics, Elsevier, volume 44, issue 1, pages 108-124, DOI: 10.1016/j.jce.2015.10.006.
  6. Bretscher, Lorenzo & Julliard, Christian & Rosa, Carlo, 2016, "Human capital and international portfolio diversification: A reappraisal," Journal of International Economics, Elsevier, volume 99, issue S1, pages 78-96, DOI: 10.1016/j.jinteco.2015.12.007.
  7. Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2016, "Exploiting the errors: A simple approach for improved volatility forecasting," Journal of Econometrics, Elsevier, volume 192, issue 1, pages 1-18, DOI: 10.1016/j.jeconom.2015.10.007.
  8. Oh, Dong Hwan & Patton, Andrew J., 2016, "High-dimensional copula-based distributions with mixed frequency data," Journal of Econometrics, Elsevier, volume 193, issue 2, pages 349-366, DOI: 10.1016/j.jeconom.2016.04.011.
  9. Andrew J. Patton & Richard J. Smith, 2016, "Royal Economic Society Annual Conference 2014 Special Issue on Large Dimensional Models," Econometrics Journal, Royal Economic Society, volume 19, issue 1, pages 1-1, February.
  10. Tim Bollerslev & Andrew J. Patton & Wenjing Wang, 2016, "Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 31, issue 6, pages 1005-1025, September.
  11. Peñaranda, Francisco & Sentana, Enrique, 2016, "Duality in mean-variance frontiers with conditioning information," Journal of Empirical Finance, Elsevier, volume 38, issue PB, pages 762-785, DOI: 10.1016/j.jempfin.2016.03.008.
  12. Dante Amengual & Enrique Sentana, 2016, "Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference," Journal of Financial Econometrics, Oxford University Press, volume 14, issue 2, pages 248-252.
  13. Gabriele Fiorentini & Enrique Sentana, 2016, "Neglected serial correlation tests in UCARIMA models," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, volume 7, issue 1, pages 121-178, March, DOI: 10.1007/s13209-015-0132-3.

2015

  1. Andrew J. Patton & Tarun Ramadorai & Michael Streatfield, 2015, "Change You Can Believe In? Hedge Fund Data Revisions," Journal of Finance, American Finance Association, volume 70, issue 3, pages 963-999, June.
  2. Liu, Lily Y. & Patton, Andrew J. & Sheppard, Kevin, 2015, "Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes," Journal of Econometrics, Elsevier, volume 187, issue 1, pages 293-311, DOI: 10.1016/j.jeconom.2015.02.008.
  3. De Lira Salvatierra, Irving & Patton, Andrew J., 2015, "Dynamic copula models and high frequency data," Journal of Empirical Finance, Elsevier, volume 30, issue C, pages 120-135, DOI: 10.1016/j.jempfin.2014.11.008.
  4. Mathias S. Kruttli & Andrew J. Patton & Tarun Ramadorai, 2015, "The Impact of Hedge Funds on Asset Markets," The Review of Asset Pricing Studies, Society for Financial Studies, volume 5, issue 2, pages 185-226.
  5. Andrew J. Patton, 2015, "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 33, issue 1, pages 22-24, January, DOI: 10.1080/07350015.2014.977445.
  6. Andrew J. Patton & Kevin Sheppard, 2015, "Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility," The Review of Economics and Statistics, MIT Press, volume 97, issue 3, pages 683-697, July.
  7. Francisco Peñaranda & Enrique Sentana, 2015, "A Unifying Approach to the Empirical Evaluation of Asset Pricing Models," The Review of Economics and Statistics, MIT Press, volume 97, issue 2, pages 412-435, May.

2014

  1. Vicente Cuñat, 2014, "Why Some Firms Thrive While Others Fail: Governance and Management Lessons from the Crisis . By Thomas S. Stanton . Oxford University Press , New York . xii + 278 pp. Hbk £30.00," Economica, London School of Economics and Political Science, volume 81, issue 321, pages 187-188, January.
  2. Heski Bar-Isaac & Vicente Cuñat, 2014, "Long-Term Debt and Hidden Borrowing," The Review of Corporate Finance Studies, Society for Financial Studies, volume 3, issue 1-2, pages 87-122.
  3. Boucher, Christophe M. & Daníelsson, Jón & Kouontchou, Patrick S. & Maillet, Bertrand B., 2014, "Risk models-at-risk," Journal of Banking & Finance, Elsevier, volume 44, issue C, pages 72-92, DOI: 10.1016/j.jbankfin.2014.03.019.
  4. Deb, Pragyan & Koo, Bonsoo & Liu, Zijun, 2014, "Competition, premature trading and excess volatility," Journal of Banking & Finance, Elsevier, volume 41, issue C, pages 178-193, DOI: 10.1016/j.jbankfin.2013.12.022.
  5. Sequeira, Sandra & Djankov, Simeon, 2014, "Corruption and firm behavior: Evidence from African ports," Journal of International Economics, Elsevier, volume 94, issue 2, pages 277-294, DOI: 10.1016/j.jinteco.2014.08.010.
  6. Amin, Mohammad & Djankov, Simeon, 2014, "Democratic institutions and regulatory reforms," Journal of Comparative Economics, Elsevier, volume 42, issue 4, pages 839-854, DOI: 10.1016/j.jce.2014.08.005.
  7. Yanqin Fan & Andrew J. Patton, 2014, "Copulas in Econometrics," Annual Review of Economics, Annual Reviews, volume 6, issue 1, pages 179-200, August.
  8. Piero Gottardi & Rohit Rahi, 2014, "Value Of Information In Competitive Economies With Incomplete Markets," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 55, issue 1, pages 57-81, February, DOI: 10.1111/iere.12041.
  9. Gabriele Fiorentini & Enrique Sentana, 2014, "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 32, issue 2, pages 193-198, April, DOI: 10.1080/07350015.2013.878661.

2013

  1. Vicente Cuñat & Mireia Gine & Maria Guadalupe, 2013, "Corporate Governance and Value: Evidence from “Close Calls” On Shareholder Governance Proposals," Journal of Applied Corporate Finance, Morgan Stanley, volume 25, issue 1, pages 44-54, March, DOI: j.1745-6622.2013.12005.x.
  2. Andrea Caggese & Vicente Cunat, 2013, "Financing Constraints, Firm Dynamics, Export Decisions, and Aggregate Productivity," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 16, issue 1, pages 177-193, January, DOI: 10.1010/j.red.2012.10.004.
  3. Daníelsson, Jón & Jorgensen, Bjørn N. & Samorodnitsky, Gennady & Sarma, Mandira & de Vries, Casper G., 2013, "Fat tails, VaR and subadditivity," Journal of Econometrics, Elsevier, volume 172, issue 2, pages 283-291, DOI: 10.1016/j.jeconom.2012.08.011.
  4. Boudt, Kris & Daníelsson, Jón & Laurent, Sébastien, 2013, "Robust forecasting of dynamic conditional correlation GARCH models," International Journal of Forecasting, Elsevier, volume 29, issue 2, pages 244-257, DOI: 10.1016/j.ijforecast.2012.06.003.
  5. Stéphane Guibaud & Yves Nosbusch & Dimitri Vayanos, 2013, "Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt," The Review of Financial Studies, Society for Financial Studies, volume 26, issue 8, pages 1914-1961.
  6. Andrew J. Patton & Tarun Ramadorai, 2013, "On the High-Frequency Dynamics of Hedge Fund Risk Exposures," Journal of Finance, American Finance Association, volume 68, issue 2, pages 597-635, April, DOI: jofi.12008.
  7. Dong Hwan Oh & Andrew J. Patton, 2013, "Simulated Method of Moments Estimation for Copula-Based Multivariate Models," Journal of the American Statistical Association, Taylor & Francis Journals, volume 108, issue 502, pages 689-700, June, DOI: 10.1080/01621459.2013.785952.
  8. Piero Gottardi & Rohit Rahi, 2013, "Risk sharing and retrading in incomplete markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 54, issue 2, pages 287-304, October, DOI: 10.1007/s00199-012-0717-z.
  9. Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2013, "Sequential estimation of shape parameters in multivariate dynamic models," Journal of Econometrics, Elsevier, volume 177, issue 2, pages 233-249, DOI: 10.1016/j.jeconom.2013.04.010.
  10. Mencía, Javier & Sentana, Enrique, 2013, "Valuation of VIX derivatives," Journal of Financial Economics, Elsevier, volume 108, issue 2, pages 367-391, DOI: 10.1016/j.jfineco.2012.12.003.

2012

  1. Heski Bar-Isaac & Guillermo Caruana & Vicente Cunat, 2012, "Search, Design, and Market Structure," American Economic Review, American Economic Association, volume 102, issue 2, pages 1140-1160, April.
  2. Vicente Cuñat & Mireia Gine & Maria Guadalupe, 2012, "The Vote Is Cast: The Effect of Corporate Governance on Shareholder Value," Journal of Finance, American Finance Association, volume 67, issue 5, pages 1943-1977, October, DOI: j.1540-6261.2012.01776.x.
  3. Heski Bar‐Isaac & Guillermo Caruana & Vicente Cuñat, 2012, "Information Gathering Externalities for a Multi‐Attribute Good," Journal of Industrial Economics, Wiley Blackwell, volume 60, issue 1, pages 162-185, March.
  4. Jon Danielsson & Hyun Song Shin & Jean-Pierre Zigrand, 2012, "Endogenous Extreme Events and the Dual Role of Prices," Annual Review of Economics, Annual Reviews, volume 4, issue 1, pages 111-129, July.
  5. Jón Daníelsson & Richard Payne, 2012, "Liquidity determination in an order-driven market," The European Journal of Finance, Taylor & Francis Journals, volume 18, issue 9, pages 799-821, October, DOI: 10.1080/1351847X.2011.601654.
  6. Jón Daníelsson & Jinhui Luo & Richard Payne, 2012, "Exchange rate determination and inter-market order flow effects," The European Journal of Finance, Taylor & Francis Journals, volume 18, issue 9, pages 823-840, October, DOI: 10.1080/1351847X.2011.601655.
  7. Christian Julliard & Anisha Ghosh, 2012, "Can Rare Events Explain the Equity Premium Puzzle?," The Review of Financial Studies, Society for Financial Studies, volume 25, issue 10, pages 3037-3076.
  8. Patton, Andrew J., 2012, "A review of copula models for economic time series," Journal of Multivariate Analysis, Elsevier, volume 110, issue C, pages 4-18, DOI: 10.1016/j.jmva.2012.02.021.
  9. Andrew J. Patton & Michela Verardo, 2012, "Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability," The Review of Financial Studies, Society for Financial Studies, volume 25, issue 9, pages 2789-2839.
  10. Andrew J. Patton & Allan Timmermann, 2012, "Rejoinder," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 1, pages 36-40, January, DOI: 10.1080/07350015.2012.634354.
  11. Arellano, Manuel & Hansen, Lars Peter & Sentana, Enrique, 2012, "Underidentification?," Journal of Econometrics, Elsevier, volume 170, issue 2, pages 256-280, DOI: 10.1016/j.jeconom.2012.05.005.
  12. Peñaranda, Francisco & Sentana, Enrique, 2012, "Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach," Journal of Econometrics, Elsevier, volume 170, issue 2, pages 303-324, DOI: 10.1016/j.jeconom.2012.05.007.
  13. Javier Mencía & Enrique Sentana, 2012, "Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations," The Review of Economics and Statistics, MIT Press, volume 94, issue 1, pages 133-152, February.

2011

  1. Jón Daníelsson & Francisco Peñaranda, 2011, "On The Impact Of Fundamentals, Liquidity, And Coordination On Market Stability," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 52, issue 3, pages 621-638, August, DOI: j.1468-2354.2011.00642.x.
  2. Sigridur Benediktsdottir & Jon Danielsson & Gylfi Zoega, 2011, "Lessons from a collapse of a financial system
    [Looting: The economic underworld of bankruptcy for profit]    ," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, volume 26, issue 66, pages 183-235.
  3. Patton, Andrew J. & Timmermann, Allan, 2011, "Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach," Journal of Business & Economic Statistics, American Statistical Association, volume 29, issue 3, pages 397-410.
  4. Patton, Andrew J., 2011, "Volatility forecast comparison using imperfect volatility proxies," Journal of Econometrics, Elsevier, volume 160, issue 1, pages 246-256, January.
  5. Patton, Andrew J., 2011, "Data-based ranking of realised volatility estimators," Journal of Econometrics, Elsevier, volume 161, issue 2, pages 284-303, April.
  6. Andrew J. Patton & Allan Timmermann, 2011, "Forecast Rationality Tests Based on Multi-Horizon Bounds," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 1, pages 1-17, June, DOI: 10.1080/07350015.2012.634337.
  7. Antonio Diez de los Rios & Enrique Sentana, 2011, "Testing Uncovered Interest Parity: A Continuous‐Time Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 52, issue 4, pages 1215-1251, November, DOI: j.1468-2354.2011.00665.x.

2010

  1. Heski Bar‐Isaac & Guillermo Caruana & Vicente Cuñat, 2010, "Information Gathering and Marketing," Journal of Economics & Management Strategy, Wiley Blackwell, volume 19, issue 2, pages 375-401, June, DOI: 10.1111/j.1530-9134.2010.00255.x.
  2. Simeon Djankov & Rafael La Porta & Florencio Lopez-de-Silanes & Andrei Shleifer, 2010, "Disclosure by Politicians," American Economic Journal: Applied Economics, American Economic Association, volume 2, issue 2, pages 179-209, April.
  3. Simeon Djankov & Tim Ganser & Caralee McLiesh & Rita Ramalho & Andrei Shleifer, 2010, "The Effect of Corporate Taxes on Investment and Entrepreneurship," American Economic Journal: Macroeconomics, American Economic Association, volume 2, issue 3, pages 31-64, July.
  4. Simeon Djankov & Caroline Freund & Cong S. Pham, 2010, "Trading on Time," The Review of Economics and Statistics, MIT Press, volume 92, issue 1, pages 166-173, February.
  5. Simeon Djankov & Marta Reynal-Querol, 2010, "Poverty and Civil War: Revisiting the Evidence," The Review of Economics and Statistics, MIT Press, volume 92, issue 4, pages 1035-1041, November.
  6. Carlo V. Fiorio & Vassilis A. Hajivassiliou & Peter C. B. Phillips, 2010, "Bimodal t-ratios: the impact of thick tails on inference," Econometrics Journal, Royal Economic Society, volume 13, issue 2, pages 271-289, July.
  7. Ossip Hühnerbein & Tobias Seidel, 2010, "Intra‐regional Tax Competition and Economic Geography," The World Economy, Wiley Blackwell, volume 33, issue 8, pages 1042-1051, August, DOI: 10.1111/j.1467-9701.2010.01312.x.
  8. Tullio Jappelli & Christian Julliard & Marco Pagano, 2010, "Households' Portfolio Diversification," STUDI ECONOMICI, FrancoAngeli Editore, volume 0, issue 100, pages 117-143.
  9. Jens Hilscher & Yves Nosbusch, 2010, "Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt," Review of Finance, European Finance Association, volume 14, issue 2, pages 235-262.
  10. Patton, Andrew J. & Timmermann, Allan, 2010, "Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts," Journal of Financial Economics, Elsevier, volume 98, issue 3, pages 605-625, December.
  11. Patton, Andrew J. & Timmermann, Allan, 2010, "Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion," Journal of Monetary Economics, Elsevier, volume 57, issue 7, pages 803-820, October.
  12. Amengual, Dante & Sentana, Enrique, 2010, "A comparison of mean-variance efficiency tests," Journal of Econometrics, Elsevier, volume 154, issue 1, pages 16-34, January.

2009

  1. Vicente Cuñat, 2009, "Finance for Development: Latin America in a Comparative Perspective. By BARBARA STALLINGS with ROGERIO STUDART," Economica, London School of Economics and Political Science, volume 76, issue 301, pages 216-217, February, DOI: 10.1111/j.1468-0335.2009.00701.x.
  2. Cuñat, Vicente & Guadalupe, Maria, 2009, "Executive compensation and competition in the banking and financial sectors," Journal of Banking & Finance, Elsevier, volume 33, issue 3, pages 495-504, March.
  3. Vicente Cuñat & Maria Guadalupe, 2009, "Globalization and the Provision of Incentives inside the Firm: The Effect of Foreign Competition," Journal of Labor Economics, University of Chicago Press, volume 27, issue 2, pages 179-212, April, DOI: 10.1086/599817.
  4. Daníelsson, J., 2009, "On the efficacy of financial regulations," Financial Stability Review, Banque de France, issue 13, pages 53-63, September.
  5. Djankov, Simeon & Ramalho, Rita, 2009, "Employment laws in developing countries," Journal of Comparative Economics, Elsevier, volume 37, issue 1, pages 3-13, March.
  6. Djankov, Simeon & Montalvo, Jose G. & Reynal-Querol, Marta, 2009, "Aid with multiple personalities," Journal of Comparative Economics, Elsevier, volume 37, issue 2, pages 217-229, June.
  7. Patton, Andrew J. & Sheppard, Kevin, 2009, "Optimal combinations of realised volatility estimators," International Journal of Forecasting, Elsevier, volume 25, issue 2, pages 218-238.
  8. Andrew J. Patton, 2009, "Are "Market Neutral" Hedge Funds Really Market Neutral?," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 7, pages 2295-2330, July.
  9. Andrew Patton & Dimitris Politis & Halbert White, 2009, "Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White," Econometric Reviews, Taylor & Francis Journals, volume 28, issue 4, pages 372-375, DOI: 10.1080/07474930802459016.
  10. Rohit Rahi & Jean-Pierre Zigrand, 2009, "Strategic Financial Innovation in Segmented Markets," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 8, pages 2941-2971, August.
  11. León, à ngel & Mencía, Javier & Sentana, Enrique, 2009, "Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation," Journal of Business & Economic Statistics, American Statistical Association, volume 27, issue 2, pages 176-192.
  12. Enrique Sentana, 2009, "The econometrics of mean-variance efficiency tests: a survey," Econometrics Journal, Royal Economic Society, volume 12, issue 3, pages 65-101, November.
  13. Mencía, Javier & Sentana, Enrique, 2009, "Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation," Journal of Econometrics, Elsevier, volume 153, issue 2, pages 105-121, December.

2008

  1. Andrea Caggese & Vicente Cuñat, 2008, "Financing Constraints and Fixed-term Employment Contracts," Economic Journal, Royal Economic Society, volume 118, issue 533, pages 2013-2046, November.
  2. Daníelsson, Jón, 2008, "Blame the models," Journal of Financial Stability, Elsevier, volume 4, issue 4, pages 321-328, December.
  3. Jón Daníelsson & Bjørn Jorgensen & Casper Vries & Xiaoguang Yang, 2008, "Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation," Annals of Finance, Springer, volume 4, issue 3, pages 345-367, July, DOI: 10.1007/s10436-007-0081-3.
  4. Jón Daníelsson & Jean-Pierre Zigrand, 2008, "Equilibrium asset pricing with systemic risk," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 35, issue 2, pages 293-319, May, DOI: 10.1007/s00199-007-0238-3.
  5. Harald Benink & Jón Daníelsson & Ásgeir Jónsson, 2008, "On the Role of Regulatory Banking Capital," Financial Markets, Institutions & Instruments, John Wiley & Sons, volume 17, issue 1, pages 85-96, February, DOI: 10.1111/j.1468-0416.2007.00134.x.
  6. Djankov, Simeon & La Porta, Rafael & Lopez-de-Silanes, Florencio & Shleifer, Andrei, 2008, "The law and economics of self-dealing," Journal of Financial Economics, Elsevier, volume 88, issue 3, pages 430-465, June.
  7. Simeon Djankov & Jose Montalvo & Marta Reynal-Querol, 2008, "The curse of aid," Journal of Economic Growth, Springer, volume 13, issue 3, pages 169-194, September, DOI: 10.1007/s10887-008-9032-8.
  8. Simeon Djankov & Oliver Hart & Caralee McLiesh & Andrei Shleifer, 2008, "Debt Enforcement around the World," Journal of Political Economy, University of Chicago Press, volume 116, issue 6, pages 1105-1149, December, DOI: 10.1086/595015.
  9. Markus K. Brunnermeier & Christian Julliard, 2008, "Money Illusion and Housing Frenzies," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 1, pages 135-180, January.
  10. Yves Nosbusch, 2008, "Interest Costs and the Optimal Maturity Structure Of Government Debt," Economic Journal, Royal Economic Society, volume 118, issue 527, pages 477-498, March.
  11. Sentana, Enrique & Calzolari, Giorgio & Fiorentini, Gabriele, 2008, "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Journal of Econometrics, Elsevier, volume 146, issue 1, pages 10-25, September.

2007

  1. Vicente Cuñat, 2007, "Trade Credit: Suppliers as Debt Collectors and Insurance Providers," The Review of Financial Studies, Society for Financial Studies, volume 20, issue 2, pages 491-527.
  2. Daníelsson, J. & Zigrand, JP., 2007, "Regulating hedge funds," Financial Stability Review, Banque de France, issue 10, pages 29-36, April.
  3. Djankov, Simeon & McLiesh, Caralee & Shleifer, Andrei, 2007, "Private credit in 129 countries," Journal of Financial Economics, Elsevier, volume 84, issue 2, pages 299-329, May.
  4. Marianne Bertrand & Simeon Djankov & Rema Hanna & Sendhil Mullainathan, 2007, "Obtaining a Driver's License in India: An Experimental Approach to Studying Corruption," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 122, issue 4, pages 1639-1676.
  5. Yannis M. Ioannides & Vassilis A. Hajivassiliou, 2007, "Unemployment and liquidity constraints," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 22, issue 3, pages 479-510, DOI: 10.1002/jae.953.
  6. Campbell, John Y. & Nosbusch, Yves, 2007, "Intergenerational risksharing and equilibrium asset prices," Journal of Monetary Economics, Elsevier, volume 54, issue 8, pages 2251-2268, November.
  7. Patton, Andrew J. & Timmermann, Allan, 2007, "Testing Forecast Optimality Under Unknown Loss," Journal of the American Statistical Association, American Statistical Association, volume 102, pages 1172-1184, December.
  8. Patton, Andrew J. & Timmermann, Allan, 2007, "Properties of optimal forecasts under asymmetric loss and nonlinearity," Journal of Econometrics, Elsevier, volume 140, issue 2, pages 884-918, October.

2006

  1. Vicente Cuñat, 2006, "Efficient Monopolies: The Limits of Competition in the European Property Insurance Market. By THOMAS VON UNGERN‐STERNBERG," Economica, London School of Economics and Political Science, volume 73, issue 291, pages 553-554, August, DOI: 10.1111/j.1468-0335.2006.00081_5.x.
  2. Danielsson, Jon & Jorgensen, Bjorn N. & Sarma, Mandira & de Vries, Casper G., 2006, "Comparing downside risk measures for heavy tailed distributions," Economics Letters, Elsevier, volume 92, issue 2, pages 202-208, August.
  3. Danielsson, Jon & Zigrand, Jean-Pierre, 2006, "On time-scaling of risk and the square-root-of-time rule," Journal of Banking & Finance, Elsevier, volume 30, issue 10, pages 2701-2713, October.
  4. Jón Daníelsson & Ryan Love, 2006, "Feedback trading This paper is also available at www.riskresearch.org," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 11, issue 1, pages 35-53, DOI: 10.1002/ijfe.286.
  5. Simeon Djankov & Yingyi Qian & Gérard Roland & Ekaterina Zhuravskaya, 2006, "Who Are China's Entrepreneurs?," American Economic Review, American Economic Association, volume 96, issue 2, pages 348-352, May, DOI: 10.1257/000282806777212387.
  6. Simeon Djankov & Jose G. Montalvo & Marta Reynal-Querol, 2006, "Does Foreign Aid Help," Cato Journal, Cato Journal, Cato Institute, volume 26, issue 1, pages 1-28, Winter.
  7. Djankov, Simeon & McLiesh, Caralee & Ramalho, Rita Maria, 2006, "Regulation and growth," Economics Letters, Elsevier, volume 92, issue 3, pages 395-401, September.
  8. Simeon Djankov & Yingyi Qian & Gérard Roland & Ekaterina Zhuravskaya, 2006, "Entrepreneurship in China and Russia Compared," Journal of the European Economic Association, MIT Press, volume 4, issue 2-3, pages 352-365, 04-05.
  9. Granger, Clive W.J. & Terasvirta, Timo & Patton, Andrew J., 2006, "Common factors in conditional distributions for bivariate time series," Journal of Econometrics, Elsevier, volume 132, issue 1, pages 43-57, May.
  10. Andrew J. Patton, 2006, "Modelling Asymmetric Exchange Rate Dependence," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 47, issue 2, pages 527-556, May.
  11. Andrew J. Patton, 2006, "Estimation of multivariate models for time series of possibly different lengths," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 21, issue 2, pages 147-173, DOI: 10.1002/jae.865.
  12. Zigrand, Jean-Pierre, 2006, "Endogenous market integration, manipulation and limits to arbitrage," Journal of Mathematical Economics, Elsevier, volume 42, issue 3, pages 301-314, June.

2005

  1. Vicente Cuñat & Maria Guadalupe, 2005, "How Does Product Market Competition Shape Incentive Contracts?," Journal of the European Economic Association, MIT Press, volume 3, issue 5, pages 1058-1082, September.
  2. Danielsson, Jon & Taylor, Ashley & Zigrand, Jean-Pierre, 2005, "Highwaymen or heroes: Should hedge funds be regulated?: A survey," Journal of Financial Stability, Elsevier, volume 1, issue 4, pages 522-543, October.
  3. Harald Benink & Jón Daníelsson & Charles Goodhart, 2005, "Foreword," Financial Markets, Institutions & Instruments, John Wiley & Sons, volume 14, issue 5, pages 243-245, December, DOI: 10.1111/j.0963-8008.2005.00105.x.
  4. Jón Daníelsson & Ásgeir Jónsson, 2005, "Countercyclical Capital and Currency Dependence," Financial Markets, Institutions & Instruments, John Wiley & Sons, volume 14, issue 5, pages 329-348, December, DOI: 10.1111/j.0963-8008.2005.00110.x.
  5. Djankov, Simeon & Jindra, Jan & Klapper, Leora F., 2005, "Corporate valuation and the resolution of bank insolvency in East Asia," Journal of Banking & Finance, Elsevier, volume 29, issue 8-9, pages 2095-2118, August.
  6. Simeon Djankov & Edward Miguel & Yingyi Qian & Gérard Roland & Ekaterina Zhuravskaya, 2005, "Who are Russia's Entrepreneurs?," Journal of the European Economic Association, MIT Press, volume 3, issue 2-3, pages 587-597, 04/05.
  7. Jonathan A. Parker & Christian Julliard, 2005, "Consumption Risk and the Cross Section of Expected Returns," Journal of Political Economy, University of Chicago Press, volume 113, issue 1, pages 185-222, February, DOI: 10.1086/426042.
  8. Enrique Sentana, 2005, "Least Squares Predictions and Mean-Variance Analysis," Journal of Financial Econometrics, Oxford University Press, volume 3, issue 1, pages 56-78.
  9. Jean-Pierre Zigrand, 2005, "Rational Asset Pricing Implications from Realistic Trading Frictions," The Journal of Business, University of Chicago Press, volume 78, issue 3, pages 871-892, May, DOI: 10.1086/429647.

2004

  1. Danielsson, Jon & Shin, Hyun Song & Zigrand, Jean-Pierre, 2004, "The impact of risk regulation on price dynamics," Journal of Banking & Finance, Elsevier, volume 28, issue 5, pages 1069-1087, May.
  2. Juan C. Botero & Simeon Djankov & Rafael La Porta & Florencio Lopez-de-Silanes & Andrei Shleifer, 2004, "The Regulation of Labor," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 119, issue 4, pages 1339-1382.
  3. Engle, Robert F. & Patton, Andrew J., 2004, "Impacts of trades in an error-correction model of quote prices," Journal of Financial Markets, Elsevier, volume 7, issue 1, pages 1-25, January.
  4. Andrew J. Patton, 2004, "On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation," Journal of Financial Econometrics, Oxford University Press, volume 2, issue 1, pages 130-168.
  5. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004, "Likelihood-Based Estimation of Latent Generalized ARCH Structures," Econometrica, Econometric Society, volume 72, issue 5, pages 1481-1517, September.
  6. Fiorentini, Gabriele & Sentana, Enrique & Calzolari, Giorgio, 2004, "On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models," Economics Letters, Elsevier, volume 83, issue 3, pages 307-312, June.
  7. Sentana, Enrique, 2004, "Factor representing portfolios in large asset markets," Journal of Econometrics, Elsevier, volume 119, issue 2, pages 257-289, April.
  8. Giorgio Calzolari & Gabriele Fiorentini & Enrique Sentana, 2004, "Constrained Indirect Estimation," The Review of Economic Studies, Review of Economic Studies Ltd, volume 71, issue 4, pages 945-973.
  9. Zigrand, Jean-Pierre, 2004, "A general equilibrium analysis of strategic arbitrage," Journal of Mathematical Economics, Elsevier, volume 40, issue 8, pages 923-952, December.

2003

  1. Jón Daníelson, 2003, "On the Feasibility of Risk Based Regulation," CESifo Economic Studies, CESifo Group, volume 49, issue 2, pages 157-179.
  2. Claessens, Stijn & Djankov, Simeon & Klapper, Leora, 2003, "Resolution of corporate distress in East Asia," Journal of Empirical Finance, Elsevier, volume 10, issue 1-2, pages 199-216, February.
  3. Djankov, Simeon & Glaeser, Edward & La Porta, Rafael & Lopez-de-Silanes, Florencio & Shleifer, Andrei, 2003, "The new comparative economics," Journal of Comparative Economics, Elsevier, volume 31, issue 4, pages 595-619, December.
  4. Claessens, Stijn & Djankov, Simeon & Fan, Joseph P. H. & Lang, Larry H. P., 2003, "When does corporate diversification matter to productivity and performance? Evidence from East Asia," Pacific-Basin Finance Journal, Elsevier, volume 11, issue 3, pages 365-392, July.
  5. Simeon Djankov & Rafael La Porta & Florencio Lopez-de-Silanes & Andrei Shleifer, 2003, "Courts," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 118, issue 2, pages 453-517.
    • Simeon Djankov & Rafael LaPorta & Florencio Lopez-de-Silanes & Andrei Shleifer, undated, "Courts," Working Paper, Harvard University OpenScholar, number 19471.
  6. Djankov, Simeon & McLiesh, Caralee & Nenova, Tatiana & Shleifer, Andrei, 2003, "Who Owns the Media?," Journal of Law and Economics, University of Chicago Press, volume 46, issue 2, pages 341-381, October, DOI: 10.1086/377116.
  7. Fiorentini, Gabriele & Sentana, Enrique & Calzolari, Giorgio, 2003, "Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations," Journal of Business & Economic Statistics, American Statistical Association, volume 21, issue 4, pages 532-546, October.

2002

  1. Danielsson, Jon, 2002, "The emperor has no clothes: Limits to risk modelling," Journal of Banking & Finance, Elsevier, volume 26, issue 7, pages 1273-1296, July.
  2. Danielsson, Jon & Jorgensen, Bjorn N. & de Vries, Casper G., 2002, "Incentives for effective risk management," Journal of Banking & Finance, Elsevier, volume 26, issue 7, pages 1407-1425, July.
  3. Danielsson, J. & Payne, R., 2002, "Real trading patterns and prices in spot foreign exchange markets," Journal of International Money and Finance, Elsevier, volume 21, issue 2, pages 203-222, April.
  4. Simeon Djankov & Peter Murrell, 2002, "Enterprise Restructuring in Transition: A Quantitative Survey," Journal of Economic Literature, American Economic Association, volume 40, issue 3, pages 739-792, September.
  5. Stijn Claessens & Simeon Djankov & Joseph P. H. Fan & Larry H. P. Lang, 2002, "Disentangling the Incentive and Entrenchment Effects of Large Shareholdings," Journal of Finance, American Finance Association, volume 57, issue 6, pages 2741-2771, December, DOI: 10.1111/1540-6261.00511.
  6. Djankov, Simeon & Freund, Caroline, 2002, "Trade Flows in the Former Soviet Union, 1987 to 1996," Journal of Comparative Economics, Elsevier, volume 30, issue 1, pages 76-90, March.
  7. Claessens, Stijn & Djankov, Simeon, 2002, "Privatization benefits in Eastern Europe," Journal of Public Economics, Elsevier, volume 83, issue 3, pages 307-324, March.
  8. Simeon Djankov & Rafael La Porta & Florencio Lopez-de-Silanes & Andrei Shleifer, 2002, "The Regulation of Entry," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 117, issue 1, pages 1-37.
  9. Simeon Djankov & Caroline Freund, 2002, "New borders: Evidence from the former Soviet Union," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 138, issue 3, pages 493-508, September, DOI: 10.1007/BF02707951.
  10. Enrique Sentana, 2002, "Did the EMS Reduce the Cost of Capital?," Economic Journal, Royal Economic Society, volume 112, issue 482, pages 786-809, October.

2001

  1. Danielsson, J. & de Haan, L. & Peng, L. & de Vries, C. G., 2001, "Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation," Journal of Multivariate Analysis, Elsevier, volume 76, issue 2, pages 226-248, February.
  2. Coricelli, Fabrizio & Djankov, Simeon, 2001, "Hardened Budgets and Enterprise Restructuring: Theory and an Application to Romania," Journal of Comparative Economics, Elsevier, volume 29, issue 4, pages 749-763, December.
  3. R. F. Engle & A. J. Patton, 2001, "What good is a volatility model?," Quantitative Finance, Taylor & Francis Journals, volume 1, issue 2, pages 237-245, DOI: 10.1088/1469-7688/1/2/305.
  4. Sentana, Enrique & Fiorentini, Gabriele, 2001, "Identification, estimation and testing of conditionally heteroskedastic factor models," Journal of Econometrics, Elsevier, volume 102, issue 2, pages 143-164, June.
  5. de Meza, David & Webb, David C, 2001, "Advantageous Selection in Insurance Markets," RAND Journal of Economics, The RAND Corporation, volume 32, issue 2, pages 249-262, Summer.

2000

  1. Jon Danielsson & Casper G. De Vries, 2000, "Value-at-Risk and Extreme Returns," Annals of Economics and Statistics, GENES, issue 60, pages 239-270.
  2. Danielsson, Jon & Morimoto, Yuji, 2000, "Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 18, issue 2, pages 25-48, December.
  3. Simeon Djankov & Bernard Hoekman, 2000, "Market discipline and corporate efficiency: evidence from Bulgaria," Canadian Journal of Economics, Canadian Economics Association, volume 33, issue 1, pages 190-212, February.
  4. Claessens, Stijn & Djankov, Simeon & Lang, Larry H. P., 2000, "The separation of ownership and control in East Asian Corporations," Journal of Financial Economics, Elsevier, volume 58, issue 1-2, pages 81-112.
  5. Deardorff, Alan & Djankov, Simeon, 2000, "Knowledge Transfer Under Subcontracting: Evidence from Czech Firms," World Development, Elsevier, volume 28, issue 10, pages 1837-1847, October.
  6. Djankov, Simeon & Hoekman, Bernard M, 2000, "Foreign Investment and Productivity Growth in Czech Enterprises," The World Bank Economic Review, World Bank, volume 14, issue 1, pages 49-64, January.
  7. Claessens, Stijn & Djankov, Simeon & Xu, Lixin Colin, 2000, "Corporate Performance in the East Asian Financial Crisis," The World Bank Research Observer, World Bank, volume 15, issue 1, pages 23-46, February.
  8. Stijn Claessens & Simeon Djankov & Leora Klapper1, 2000, "The Role And Functioning Of Business Groups In East Asia And Chile," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., volume 3, issue 1, pages 91-107.
  9. Kearney, Colm & Patton, Andrew J, 2000, "Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System," The Financial Review, Eastern Finance Association, volume 35, issue 1, pages 29-48, February.
  10. Dow, James & Rahi, Rohit, 2000, "Should Speculators Be Taxed?," The Journal of Business, University of Chicago Press, volume 73, issue 1, pages 89-107, January, DOI: 10.1086/209633.
  11. José M. Marín & Rohit Rahi, 2000, "Information Revelation and Market Incompleteness," The Review of Economic Studies, Review of Economic Studies Ltd, volume 67, issue 3, pages 563-579.
  12. Enrique Sentana, 2000, "The Likelihood Function of Conditionally Heteroskedastic Factor Models," Annals of Economics and Statistics, GENES, issue 58, pages 1-19.
  13. Webb, David C, 2000, "The Impact of Liquidity Constraints on Bank Lending Policy," Economic Journal, Royal Economic Society, volume 110, issue 460, pages 69-91, January.
  14. de Meza, David & Webb, David, 2000, "Does credit rationing imply insufficient lending?," Journal of Public Economics, Elsevier, volume 78, issue 3, pages 215-234, November.

1999

  1. Vicente Cuñat, 1999, "Determinantes del plazo de endeudamiento de las empresas españolas," Investigaciones Economicas, Fundación SEPI, volume 23, issue 3, pages 351-392, September.
  2. Simeon Djankov, 1999, "The restructuring of insider‐dominated firms: A comparative analysis," The Economics of Transition, The European Bank for Reconstruction and Development, volume 7, issue 2, pages 467-479, July, DOI: 10.1111/1468-0351.00021.
  3. Claessens, Stijn & Djankov, Simeon, 1999, "Enterprise performance and management turnover in the Czech Republic," European Economic Review, Elsevier, volume 43, issue 4-6, pages 1115-1124, April.
  4. Djankov, Simeon, 1999, "The Enterprise Isolation Program in Romania," Journal of Comparative Economics, Elsevier, volume 27, issue 2, pages 281-293, June.
  5. Claessens, Stijn & Djankov, Simeon, 1999, "Ownership Concentration and Corporate Performance in the Czech Republic," Journal of Comparative Economics, Elsevier, volume 27, issue 3, pages 498-513, September.
  6. Stijn Claessens & Simeon Djankov & Tatiana Nenova, 1999, "Corporate growth and risk around the world," Proceedings, Federal Reserve Bank of San Francisco, issue Sep.
  7. Simeon Djankov, 1999, "Ownership Structure and Enterprise Restructuring in Six Newly Independent States," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, volume 41, issue 1, pages 75-95, April.
  8. Chonira Aturupane & Simeon Djankov & Bernard Hoekman, 1999, "Horizontal and vertical intra-industry trade between Eastern Europe and the European union," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 135, issue 1, pages 62-81, March, DOI: 10.1007/BF02708159.
  9. Rohit Rahi & José M. Marín, 1999, "Speculative securities," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 14, issue 3, pages 653-668.
  10. Enrique Sentana, 1999, "Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix," Spanish Economic Review, Springer;Spanish Economic Association, volume 1, issue 1, pages 79-90.
  11. de Meza, David & Webb, David, 1999, "Wealth, Enterprise and Credit Policy," Economic Journal, Royal Economic Society, volume 109, issue 455, pages 153-163, April.

1998

  1. Danielsson, Jon, 1998, "Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models," Journal of Empirical Finance, Elsevier, volume 5, issue 2, pages 155-173, June.
  2. Jón Daníelsson & Casper G. De Vries & Bjorn N. Jorgensen, 1998, "The value of value at risk: statistical, financial, and regulatory considerations (summary)," Economic Policy Review, Federal Reserve Bank of New York, volume 4, issue Oct, pages 107-108.
  3. Simeon Djankov & Gerhard Pohl, 1998, "The restructuring of large firms in the Slovak Republic1," The Economics of Transition, The European Bank for Reconstruction and Development, volume 6, issue 1, pages 67-85, May, DOI: 10.1111/j.1468-0351.1998.tb00037.x.
  4. Simeon Djankov & Bernard Hoekman, 1998, "Conditions of Competition and Multilateral Surveillance," The World Economy, Wiley Blackwell, volume 21, issue 8, pages 1109-1128, November, DOI: 10.1111/1467-9701.00184.
  5. Simeon Djankov & Bernard Hoekman, 1998, "Trade reorientation and post-reform productivity growth in Bulgarian enterprises," Journal of Economic Policy Reform, Taylor & Francis Journals, volume 2, issue 2, pages 151-168, DOI: 10.1080/13841289808523379.
  6. Vassilis A. Hajivassiliou & Daniel L. McFadden, 1998, "The Method of Simulated Scores for the Estimation of LDV Models," Econometrica, Econometric Society, volume 66, issue 4, pages 863-896, July.
  7. Demos, Antonis & Sentana, Enrique, 1998, "An EM Algorithm for Conditionally Heteroscedastic Factor Models," Journal of Business & Economic Statistics, American Statistical Association, volume 16, issue 3, pages 357-361, July.
  8. Enrique Sentana, 1998, "The relation between conditionally heteroskedastic factor models and factor GARCH models," Econometrics Journal, Royal Economic Society, volume 1, issue RegularPa, pages 1-9.
  9. Demos, Antonis & Sentana, Enrique, 1998, "Testing for GARCH effects: a one-sided approach," Journal of Econometrics, Elsevier, volume 86, issue 1, pages 97-127, June.
  10. Pedro L. Sánchez-Torres & Enrique Sentana, 1998, "Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market," Investigaciones Economicas, Fundación SEPI, volume 22, issue 1, pages 5-17, January.
  11. Fiorentini, Gabriele & Sentana, Enrique, 1998, "Conditional Means of Time Series Processes and Time Series Processes for Conditional Means," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 39, issue 4, pages 1101-1118, November.

1997

  1. Hoekman, Bernard & Djankov, Simeon, 1997, "Effective protection and investment incentives in Egypt and Jordan during the transition to free trade With Europe," World Development, Elsevier, volume 25, issue 2, pages 281-291, February.
  2. Hoekman, Bernard & Djankov, Simeon, 1997, "Determinants of the Export Structure of Countries in Central and Eastern Europe," The World Bank Economic Review, World Bank, volume 11, issue 3, pages 471-487, September.
  3. Enrique Sentana, 1997, "Risk and return in the Spanish stock market: some evidence from individual assets," Investigaciones Economicas, Fundación SEPI, volume 21, issue 2, pages 297-360, May.

1996

  1. Daníelsson Jón, 1996, "Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 1, issue 1, pages 1-8, April, DOI: 10.2202/1558-3708.1011.
  2. Bernard Hoekman & Simeon Djankov, 1996, "The European Union's Mediterranean Free Trade Initiative," The World Economy, Wiley Blackwell, volume 19, issue 4, pages 387-405, July.
  3. Hajivassiliou, Vassilis A. & Ioannides, Yannis M., 1996, "Duality and liquidity constraints under uncertainty," Journal of Economic Dynamics and Control, Elsevier, volume 20, issue 6-7, pages 1177-1192.
  4. Hajivassiliou, Vassilis & McFadden, Daniel & Ruud, Paul, 1996, "Simulation of multivariate normal rectangle probabilities and their derivatives theoretical and computational results," Journal of Econometrics, Elsevier, volume 72, issue 1-2, pages 85-134.
  5. Rohit Rahi, 1996, "Adverse Selection and Security Design," The Review of Economic Studies, Review of Economic Studies Ltd, volume 63, issue 2, pages 287-300.
  6. Nijman, Theo & Sentana, Enrique, 1996, "Marginalization and contemporaneous aggregation in multivariate GARCH processes," Journal of Econometrics, Elsevier, volume 71, issue 1-2, pages 71-87.

1995

  1. Rahi, Rohit, 1995, "Partially revealing rational expectations equilibria with nominal assets," Journal of Mathematical Economics, Elsevier, volume 24, issue 2, pages 137-146.
  2. Rahi Rohit, 1995, "Optimal Incomplete Markets with Asymmetric Information," Journal of Economic Theory, Elsevier, volume 65, issue 1, pages 171-197, February.
  3. Duffie Darrell & Rahi Rohit, 1995, "Financial Market Innovation and Security Design: An Introduction," Journal of Economic Theory, Elsevier, volume 65, issue 1, pages 1-42, February.
  4. Enrique Sentana, 1995, "Quadratic ARCH Models," The Review of Economic Studies, Review of Economic Studies Ltd, volume 62, issue 4, pages 639-661.

1994

  1. Danielsson, Jon, 1994, "Bayesian Analysis of Stochastic Volatility Models: Comment," Journal of Business & Economic Statistics, American Statistical Association, volume 12, issue 4, pages 393-395, October.
  2. Danielsson, Jon, 1994, "Stochastic volatility in asset prices estimation with simulated maximum likelihood," Journal of Econometrics, Elsevier, volume 64, issue 1-2, pages 375-400.
  3. Hajivassiliou, V A, 1994, "A Simulation Estimation Analysis of the External Debt Crises of Developing Countries," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 9, issue 2, pages 109-131, April-Jun.
  4. King, Mervyn & Sentana, Enrique & Wadhwani, Sushil, 1994, "Volatility and Links between National Stock Markets," Econometrica, Econometric Society, volume 62, issue 4, pages 901-933, July.

1993

  1. Danielsson, J & Richard, J-F, 1993, "Accelerated Gaussian Importance Sampler with Application to Dynamic Latent Variable Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 8, issue S, pages 153-173, Suppl. De.
  2. Borsch-Supan, Axel & Hajivassiliou, Vassilis A., 1993, "Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models," Journal of Econometrics, Elsevier, volume 58, issue 3, pages 347-368, August.
  3. Enrique Sentana, 1993, "The econometrics of the stock market I: rationality tests," Investigaciones Economicas, Fundación SEPI, volume 17, issue 3, pages 401-420, September.
  4. Enrique Sentana, 1993, "The econometrics of the stock market II: asset pricing," Investigaciones Economicas, Fundación SEPI, volume 17, issue 3, pages 421-444, September.

1992

  1. Sentana, Enrique & Wadhwani, Sushil B, 1992, "Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data," Economic Journal, Royal Economic Society, volume 102, issue 411, pages 415-425, March.
  2. Harvey, Andrew & Ruiz, Esther & Sentana, Enrique, 1992, "Unobserved component time series models with Arch disturbances," Journal of Econometrics, Elsevier, volume 52, issue 1-2, pages 129-157.
  3. de Mesa, David & Webb, David C., 1992, "Efficient credit rationing," European Economic Review, Elsevier, volume 36, issue 6, pages 1277-1290, August.

1991

  1. Enrique Sentana & Sushil Wadhwani, 1991, "Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan," The Review of Economic Studies, Review of Economic Studies Ltd, volume 58, issue 3, pages 547-563.
  2. Webb, David C, 1991, "Long-term Financial Contracts Can Mitigate the Adverse Selection Problem in Project Financing," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 32, issue 2, pages 305-320, May.
  3. Webb, David C, 1991, "An Economic Evaluation of Insolvency Procedures in the United Kingdom: Does the 1986 Insolvency Act Satisfy the Creditors' Bargain?," Oxford Economic Papers, Oxford University Press, volume 43, issue 1, pages 139-157, January.

1990

  1. de Meza, David & Webb, David, 1990, "Risk, Adverse Selection and Capital Market Failure," Economic Journal, Royal Economic Society, volume 100, issue 399, pages 206-214, March.

1989

  1. De Meza, David & Webb, David C., 1989, "The role of interest rate taxes in credit markets with divisible projects and asymmetric information," Journal of Public Economics, Elsevier, volume 39, issue 1, pages 33-44, June.

1988

  1. Hajivassiliou, Vassilis A., 1988, "Statistical Foundations of Econometric Modelling Aris Spanos, Cambridge University Press, 1986," Econometric Theory, Cambridge University Press, volume 4, issue 2, pages 341-348, August.
  2. Enrique Sentana Ivañez, 1988, "Nota sobre la inclusión en el sistema de precios en un modelo de Leontief de dos regímenes de imposición indirecta sobre el consumo," Investigaciones Economicas, Fundación SEPI, volume 12, issue 1, pages 169-176, January.
  3. De Meza, David & Webb, David C., 1988, "Credit market efficiency and tax policy in the presence of screening costs," Journal of Public Economics, Elsevier, volume 36, issue 1, pages 1-22, June.

1987

  1. Hajivassiliou, Vassilis A., 1987, "The external debt repayments problems of LDC's : An econometric model based on panel data," Journal of Econometrics, Elsevier, volume 36, issue 1-2, pages 205-230.

1986

  1. Hajivassiliou, Vassilis Argyrou, 1986, "Two misspecification tests for the simple switching regressions disequilibrium model," Economics Letters, Elsevier, volume 22, issue 4, pages 343-348.

1984

  1. Webb, David C., 1984, "Imperfect information and credit market equilibrium," European Economic Review, Elsevier, volume 26, issue 1-2, pages 247-258.

1983

  1. Webb, David C, 1983, "Contingent Claims, Personal Loans and the Irrelevance of Corporate Financial Structure," Economic Journal, Royal Economic Society, volume 93, issue 372, pages 832-846, December.

1982

  1. Webb, David C., 1982, "Default risk in a model of corporate and government finance," Journal of Public Economics, Elsevier, volume 17, issue 3, pages 287-306, April.

1981

  1. Webb, David C, 1981, "The Net Wealth Effect of Government Bonds When Credit Markets are Imperfect," Economic Journal, Royal Economic Society, volume 91, issue 362, pages 405-414, June.

Books

2023

  1. Esther L George & Daron Acemoglu & Hilary J Allen & Jón Daníelsson & Fabio Panetta & Ida Wolden Bache & Shaktikanta Das & Tiff Macklem, 2023, "Central banks, macro-financial stability and the future of the financial system," BIS Papers, Bank for International Settlements, number 140, ISBN: ARRAY(0x8c472b58).

2017

  1. Patricia Jackson (ed.), 2017, "Brexit and the implications for financial services," SUERF Studies, SUERF - The European Money and Finance Forum, number 2017/1, ISBN: ARRAY(0x98f86530), October.
  2. Aslund, Anders & Djankov, Simeon, 2017, "Europe's Growth Challenge," OUP Catalogue, Oxford University Press, number 9780190499204, ISBN: ARRAY(0x81262a10).

2014

  1. Simeon Djankov, 2014, "Inside the Euro Crisis: An Eyewitness Account," Peterson Institute Press: All Books, Peterson Institute for International Economics, number 6857, ISBN: ARRAY(0x8596ddd0), January.
  2. Anders Aslund & Simeon Djankov (ed.), 2014, "The Great Rebirth: Lessons from the Victory of Capitalism over Communism," Peterson Institute Press: All Books, Peterson Institute for International Economics, number 6970, ISBN: ARRAY(0x8567a820), January.

Undated

  1. Simeon Djankov & Sean Miner, undated, "China’s Belt and Road Initiative: Motives, Scope, and Challenges," PIIE Briefings, Peterson Institute for International Economics, number PIIEB16-2, April.

Chapters

2023

  1. Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2023, "Aggregate Output Measurements: A Common Trend Approach," Advances in Econometrics, Emerald Group Publishing Limited, "Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications", DOI: 10.1108/S0731-90532023000045B001.

2022

  1. Dante Amengual & Enrique Sentana & Zhanyuan Tian, 2022, "Gaussian Rank Correlation and Regression," Advances in Econometrics, Emerald Group Publishing Limited, "Essays in Honor of M. Hashem Pesaran: Panel Modeling, Micro Applications, and Econometric Methodology", DOI: 10.1108/S0731-90532021000043B012.
  2. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022, "Tests for Random Coefficient Variation in Vector Autoregressive Models," Advances in Econometrics, Emerald Group Publishing Limited, "Essays in Honour of Fabio Canova", DOI: 10.1108/S0731-90532022000044B001.

2021

  1. Simeon Djankov, 2021, "Effect of Historical Forces on Liberalization and Democratization in Transition," Springer Books, Springer, chapter 10, in: Elodie Douarin & Oleh Havrylyshyn, "The Palgrave Handbook of Comparative Economics", DOI: 10.1007/978-3-030-50888-3_10.

2020

  1. Simeon Djankov & Ugo Panizza, 2020, "Developing economies after COVID-19: An introduction," CEPR Press Book Chapters, Centre for Economic Policy Research, chapter 1, in: Simeon Djankov & Ugo Panizza, "COVID-19 in Developing Economies".
  2. Cynthia Balloch & Simeon Djankov & Juanita Gonzalez-Uribe & Dimitri Vayanos, 2020, "A restart procedure to deal with COVID-19," CEPR Press Book Chapters, Centre for Economic Policy Research, chapter 1, in: Simeon Djankov & Ugo Panizza, "COVID-19 in Developing Economies".
  3. Simeon Djankov & Dorina Georgieva & Hibret Maemir, 2020, "Regulatory reforms after COVID†19," CEPR Press Book Chapters, Centre for Economic Policy Research, chapter 1, in: Simeon Djankov & Ugo Panizza, "COVID-19 in Developing Economies".
  4. Simeon Djankov & Anne-Laure Kiechel, 2020, "The IMF and the World Bank can do more," CEPR Press Book Chapters, Centre for Economic Policy Research, chapter 1, in: Simeon Djankov & Ugo Panizza, "COVID-19 in Developing Economies".

2016

  1. Lorenzo Bretscher & Christian Julliard & Carlo Rosa, 2016, "Human Capital and International Portfolio Diversification: A Reappraisal," NBER Chapters, National Bureau of Economic Research, Inc, "NBER International Seminar on Macroeconomics 2015".
  2. Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2016, "Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation," Advances in Econometrics, Emerald Group Publishing Limited, "Dynamic Factor Models", DOI: 10.1108/S0731-905320150000035006.

2013

  1. Patton, Andrew, 2013, "Copula Methods for Forecasting Multivariate Time Series," Handbook of Economic Forecasting, Elsevier, chapter 0, in: G. Elliott & C. Granger & A. Timmermann, "Handbook of Economic Forecasting", DOI: 10.1016/B978-0-444-62731-5.00016-6.

2012

  1. Jon Danielsson & Hyun Song Shin & Jean-Pierre Zigrand, 2012, "Endogenous and Systemic Risk," NBER Chapters, National Bureau of Economic Research, Inc, "Quantifying Systemic Risk".

2009

  1. Simeon Djankov & Yingyi Qian & Gérard Roland & Ekaterina Zhuravskaya, 2009, "A Portrait of the Chinese Entrepreneur," International Economic Association Series, Palgrave Macmillan, chapter 5, in: János Kornai & László Mátyás & Gérard Roland, "Corruption, Development and Institutional Design", DOI: 10.1057/9780230242173_5.
  2. Andrew J. Patton, 2009, "Copula–Based Models for Financial Time Series," Springer Books, Springer, chapter 34, in: Thomas Mikosch & Jens-Peter Kreiß & Richard A. Davis & Torben Gustav Andersen, "Handbook of Financial Time Series", DOI: 10.1007/978-3-540-71297-8_34.
  3. Andrew J. Patton & Kevin Sheppard, 2009, "Evaluating Volatility and Correlation Forecasts," Springer Books, Springer, chapter 36, in: Thomas Mikosch & Jens-Peter Kreiß & Richard A. Davis & Torben Gustav Andersen, "Handbook of Financial Time Series", DOI: 10.1007/978-3-540-71297-8_36.

2007

  1. Max Bruche & Jon Danielsson & Gabriele Galati, 2007, "Currency Crises, (Hidden) Linkages and Volume," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, in: Douglas D Evanoff & George G Kaufman & John R LaBrosse, "International Financial Instability Global Banking and National Regulation".

2000

  1. Stijn Claessens & Simeon Djankov, 2000, "Manager Incentives and Turnover of Managers: Evidence from the Czech Republic," Studies in Economic Transition, Palgrave Macmillan, chapter 11, in: Eckehard F. Rosenbaum & Frank Bönker & Hans-Jürgen Wagener, "Privatization, Corporate Governance and the Emergence of Markets", DOI: 10.1057/9780230286078_11.

1992

  1. Axel Borsch-Supan & Vassilis Hajivassiliou & Laurence J. Kotlikoff, 1992, "Health, Children, and Elderly Living Arrangements: A Multiperiod-Multinomial Probit Model with Unobserved Heterogeneity and Autocorrelated Errors," NBER Chapters, National Bureau of Economic Research, Inc, "Topics in the Economics of Aging".

1986

  1. Hajivassiliou, Vassilis A. & Ruud, Paul A., 1986, "Classical estimation methods for LDV models using simulation," Handbook of Econometrics, Elsevier, chapter 40, in: R. F. Engle & D. McFadden, "Handbook of Econometrics".

Software components

2012

  1. Andrea Caggese & Vicente Cunat, 2012, "Code and data files for "Financing Constraints, Firm Dynamics, Export Decisions, and Aggregate Productivity"," Computer Codes, Review of Economic Dynamics, number 11-37, revised .

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