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Citations for "Estimation and Inference in Nonlinear Structural Models"

by Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman

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  1. W. Frame & William Lastrapes, 1998. "Abnormal Returns in the Acquisition Market: The Case of Bank Holding Companies, 1990–1993," Journal of Financial Services Research, Springer;Western Finance Association, vol. 14(2), pages 145-163, October.
  2. Julie L. Hotchkiss & David L. Sjoquist & Stephanie M. Zobay, 1999. "Employment Impact of Inner-city Development Projects: The Case of Underground Atlanta," Urban Studies, Urban Studies Journal Limited, vol. 36(7), pages 1079-1093, June.
  3. R. Kato & S. Nishiyama, 2002. "Optimal Monetary Policy When Interest Rates are Bounded at Zero," Computing in Economics and Finance 2002 8, Society for Computational Economics.
  4. Jeffrey A. Frankel & Charles Engel, 1982. "Do Asset-Demand Functions Optimize over the Mean and Variance of Real Returns? A Six-Currency Test," NBER Working Papers 1051, National Bureau of Economic Research, Inc.
  5. WenShwo Fang & Stephen M. Miller, 2002. "Dynamic Effects of Currency Depreciation on Stock Market Returns during the Asian Financial Crisis," Working papers 2002-31, University of Connecticut, Department of Economics.
  6. Dufour, Alfonso & Engle, Robert F, 1999. "Time and the Price Impact of a Trade," University of California at San Diego, Economics Working Paper Series qt62c0h04j, Department of Economics, UC San Diego.
  7. Bortoluzzo, Adriana B. & Morettin, Pedro A. & Toloi, Clelia M. C., 2008. "Time-Varying Autoregressive Conditional Duration Model," Insper Working Papers wpe_174, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  8. repec:ebl:ecbull:v:6:y:2004:i:3:p:1-13 is not listed on IDEAS
  9. Crosetto, P. & Gaudeul, A., 2014. "Testing the strength and robustness of the attraction effect in consumer decision making," Working Papers 2014-04, Grenoble Applied Economics Laboratory (GAEL).
  10. Jong-Kun Lee & Biaggio Bossone, 2002. "In Finance, Size Matters," IMF Working Papers 02/113, International Monetary Fund.
  11. G. Andrew Karolyi & Rene Stulz, "undated". "Why do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements using ADRS," Research in Financial Economics 9501, Ohio State University.
  12. Cabedo Semper, J. David & Moya Clemente, Ismael, 2003. "Value at risk calculation through ARCH factor methodology: Proposal and comparative analysis," European Journal of Operational Research, Elsevier, vol. 150(3), pages 516-528, November.
  13. Jerry A. Hausman & Andrew W. Lo & A. Craig MacKinlay, 1991. "An Ordered Probit Analysis of Transaction Stock Prices," NBER Working Papers 3888, National Bureau of Economic Research, Inc.
  14. Ivo Arnold & Saskia van Ewijk, 2014. "The impact of sovereign and credit risk on interest rate convergence in the euro area," DNB Working Papers 425, Netherlands Central Bank, Research Department.
  15. Amengual, Dante & Sentana, Enrique, 2010. "A comparison of mean-variance efficiency tests," Journal of Econometrics, Elsevier, vol. 154(1), pages 16-34, January.
  16. Ismail Orgakcioglu & Roy Batchelor, 2002. "Event-related GARCH: the impact of stock dividends in Turkey," Working Papers wp02-02, Warwick Business School, Finance Group.
  17. Baetje, Fabian & Menkhoff, Lukas, 2013. "Macro determinants of U.S. stock market risk premia in bull and bear markets," Hannover Economic Papers (HEP) dp-520, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  18. Mai, Tien & Frejinger, Emma & Fosgerau, Mogens, 2015. "A nested recursive logit model for route choice analysis," MPRA Paper 63161, University Library of Munich, Germany.
  19. Yalta, A. Talha & Jenal, Olaf, 2009. "On the importance of verifying forecasting results," International Journal of Forecasting, Elsevier, vol. 25(1), pages 62-73.
  20. Pierre-Yves Geoffard & Karine Lamiraud, 2007. "Therapeutic non adherence: A rational behavior revealing patient preferences?," Post-Print halshs-00754193, HAL.
  21. Christopher F. Baum & John Barkoulas, 1996. "Time‐varying risk premia in the foreign currency futures basis," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 16(7), pages 735-755, October.
  22. José García Quevedo, 2002. "The location of innovation. Universities and technological infrastructure in Spain," Working Papers 2002/2, Institut d'Economia de Barcelona (IEB).
  23. Spierdijk, Laura, 2004. "An empirical analysis of the role of the trading intensity in information dissemination on the NYSE," Journal of Empirical Finance, Elsevier, vol. 11(2), pages 163-184, March.
  24. Fountas, Stilianos & Karanasos, Menelaos & Kim, Jinki, 2002. "Inflation and output growth uncertainty and their relationship with inflation and output growth," Economics Letters, Elsevier, vol. 75(3), pages 293-301, May.
  25. Flavin, T. J. & Wickens, M. R., 2003. "Macroeconomic influences on optimal asset allocation," Review of Financial Economics, Elsevier, vol. 12(2), pages 207-231.
  26. Enzo Weber, 2007. "Who Leads Financial Markets?," SFB 649 Discussion Papers SFB649DP2007-015, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  27. Morales, Lucía & Andreosso-O'Callaghan, Bernadette, 2011. "Comparative analysis on the effects of the Asian and global financial crises on precious metal markets," Research in International Business and Finance, Elsevier, vol. 25(2), pages 203-227, June.
  28. Tolga OMAY & Nilay ALUFTEKIN & Ece C. KARADAGLI, 2010. "The Relationship Between Output Growth And Inflation: Evidence From Turkey," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 5(1(11)_Spr), pages 55-63.
  29. Chau, Frankie & Deesomsak, Rataporn & Koutmos, Dimitrios, 2016. "Does investor sentiment really matter?," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 221-232.
  30. Del Brio, Esther B. & Perote, Javier, 2012. "Gram–Charlier densities: Maximum likelihood versus the method of moments," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 531-537.
  31. Maria Aguirre & Reza Saidi, 2000. "Volatility behavior of exchange rate future contracts," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 28(4), pages 396-411, December.
  32. Rusdu Saracoglu, 1977. "The maximum likelihood estimation of parameters in mixed autoregressive moving-average multivariate models," Staff Report 20, Federal Reserve Bank of Minneapolis.
  33. Bruce Felmincham & Peter Mansfield, 1997. "Rationality and the Risk Premium on the Australian dollar," International Economic Journal, Taylor & Francis Journals, vol. 11(3), pages 47-59.
  34. Yang-Ho Park & Nicole Abruzzo, 2016. "An Empirical Analysis of Futures Margin Changes: Determinants and Policy Implications," Journal of Financial Services Research, Springer;Western Finance Association, vol. 49(1), pages 65-100, February.
  35. G. Andrew Karoly & Rene Stulz, "undated". "Why do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements," Research in Financial Economics 9603, Ohio State University.
  36. Calzolari, Giorgio & Panattoni, Lorenzo, 1984. "Evaluating Forecast Uncertainty in Econometric Models: The Effect of Alternative Estimators of Maximum Likelihood Covariance Matrix," MPRA Paper 28806, University Library of Munich, Germany.
  37. PRITI Verma, 2016. "The Impact Of Exchange Rates And Interest Rates On Bank Stock Returns: Evidence From U.S. Banks," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 11(1), pages 124-139, April.
  38. repec:feb:framed:0003 is not listed on IDEAS
  39. Nikolaos Dritsakis & Georgios Savvas, 2017. "Forecasting Volatility Stock Return: Evidence from the Nordic Stock Exchanges," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(2), pages 15-31, February.
  40. Supawat Rungsuriyawiboon, 2004. "An Analysis of Cost Structures in the Electricity Generation Industry," CEPA Working Papers Series WP052004, School of Economics, University of Queensland, Australia.
  41. Kobayashi, Masahito, 2009. "Testing for jumps in the stochastic volatility models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2597-2608.
  42. Pablo Mendieta & Sergio Cerezo & Javier Cossio, 2009. "¿La inflación está de vuelta en Sudamérica?: choques exógenos, expectativas y credibilidad de la política monetaria," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(3), pages 359-389, octubre-d.
  43. Hoti, Suhejla, 2005. "Modelling country spillover effects in country risk ratings," Emerging Markets Review, Elsevier, vol. 6(4), pages 324-345, December.
  44. Bauer, Dietmar, 2008. "Using Subspace Methods For Estimating Arma Models For Multivariate Time Series With Conditionally Heteroskedastic Innovations," Econometric Theory, Cambridge University Press, vol. 24(04), pages 1063-1092, August.
  45. Kaddour Hadri & Cherif Guermat & Julie Whittaker, 2003. "Estimating Farm Efficiency in the Presence of Double Heteroscedasticity Using Panel Data," Journal of Applied Economics, Universidad del CEMA, vol. 6, pages 255-268, November.
  46. Keunkwan Ryu, 2001. "Maximum Likelihood Estimation and Specification Test of the Proportional Hazard Model Using Grouped Durations," ISER Discussion Paper 0552, Institute of Social and Economic Research, Osaka University.
  47. Bhar, Ramaprasad & Hamori, Shigeyuki, 2005. "Causality in variance and the type of traders in crude oil futures," Energy Economics, Elsevier, vol. 27(3), pages 527-539, May.
  48. Enzo Weber, 2008. "Structural Dynamic Conditional Correlation," SFB 649 Discussion Papers SFB649DP2008-069, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  49. Halkos, George E. & Papadamou, Stephanos T., 2006. "An investigation of bond term premia in international government bond indices," Research in International Business and Finance, Elsevier, vol. 20(1), pages 45-61, March.
  50. Geoffrey F. Loudon & Wing H. Watt & Pradeep K. Yadav, 2000. "An empirical analysis of alternative parametric ARCH models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(2), pages 117-136.
  51. Brailsford, Timothy J. & Faff, Robert W., 1996. "An evaluation of volatility forecasting techniques," Journal of Banking & Finance, Elsevier, vol. 20(3), pages 419-438, April.
  52. Muller, Aline & Verschoor, Willem F.C., 2006. "Asymmetric foreign exchange risk exposure: Evidence from U.S. multinational firms," Journal of Empirical Finance, Elsevier, vol. 13(4-5), pages 495-518, October.
  53. Robert A. Connolly & Christopher T. Stivers, 2000. "Evidence on the Economics of Equity Return Volatility Clustering," Econometric Society World Congress 2000 Contributed Papers 1575, Econometric Society.
  54. Jakusch, Sven Thorsten & Meyer, Steffen & Hackethal, Andreas, 2016. "Taming models of prospect theory in the Wild? Estimation of Vlcek and Hens (2011)," SAFE Working Paper Series 146, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  55. Alan J. Auerbach & Laurence J. Kotlikoff, 1985. "Life Insurance of the Elderly: Adequacy and Determinants," NBER Working Papers 1737, National Bureau of Economic Research, Inc.
  56. Helmut Herwartz & Helmut Luetkepohl, 2009. "Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity," Economics Working Papers ECO2009/42, European University Institute.
  57. Jeff Fuhrer & Arturo Estrella, 1999. "Are 'Deep' Parameters Stable? The Lucas Critique as an Empirical Hypothesis," Computing in Economics and Finance 1999 621, Society for Computational Economics.
  58. Muller, Ulrich A. & Dacorogna, Michel M. & Dave, Rakhal D. & Olsen, Richard B. & Pictet, Olivier V. & von Weizsacker, Jacob E., 1997. "Volatilities of different time resolutions -- Analyzing the dynamics of market components," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 213-239, June.
  59. Sigauke, C. & Chikobvu, D., 2011. "Prediction of daily peak electricity demand in South Africa using volatility forecasting models," Energy Economics, Elsevier, vol. 33(5), pages 882-888, September.
  60. Jeffrey R. Russell & Robert F. Engle, 1998. "Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model," CRSP working papers 470, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  61. Juan Pablo Domínguez H., 2007. "Cost of Equity Capital and Country Risk: An econometric analysis of the expected rate of return for four Latin American countries," Economía, Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela, vol. 32(23), pages 63-90, january-j.
  62. Laopodis, Nikiforos T., 2004. "European and international asymmetry in the volatility transmission mechanism: the "German Dominance Hypothesis" revisited," Journal of Economics and Business, Elsevier, vol. 56(2), pages 75-97.
  63. Prouteau, Lionel & Wolff, François-Charles, 2008. "On the relational motive for volunteer work," Journal of Economic Psychology, Elsevier, vol. 29(3), pages 314-335, June.
  64. Tony Caporale & Khosrow Doroodian, 1995. "Exchange rate regimes and uncertainty," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 131(3), pages 569-576, September.
  65. Bensafta, Kamel Malik & Semedo, Gervasio, 2009. "De la transmission de la volatilité à la contagion entre marchés boursiers : l’éclairage d’un modèle VAR non linéaire avec bris structurels en variance," L'Actualité Economique, Société Canadienne de Science Economique, vol. 85(1), pages 13-76, mars.
  66. repec:dau:papers:123456789/4598 is not listed on IDEAS
  67. Xu, Xiaoqing Eleanor & Fung, Hung-Gay, 2005. "Cross-market linkages between U.S. and Japanese precious metals futures trading," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(2), pages 107-124, April.
  68. Tabakis, Nikolaos M., 2001. "A Multivariate Model for the Relationship Between Agricultural Prices and Inflation Uncertainty: Evidence Using Greek Data," Agricultural Economics Review, Greek Association of Agricultural Economists, vol. 2(1), January.
  69. Jan Hanousek & Evzen Kocenda & Ali M. Kutan, 2008. "The Reaction of Asset Prices to Macroeconomic Announcements in New EU Markets: Evidence from Intraday Data," CERGE-EI Working Papers wp349, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  70. Sha Yang & Mantian (Mandy) Hu & Russell S. Winer & Henry Assael & Xiaohong Chen, 2012. "An Empirical Study of Word-of-Mouth Generation and Consumption," Marketing Science, INFORMS, vol. 31(6), pages 952-963, November.
  71. Suhejla Hoti & Felix Chan & Michael McAleer, 2003. "Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings," CIRJE F-Series CIRJE-F-203, CIRJE, Faculty of Economics, University of Tokyo.
  72. Theodorou, Petros & Karyampas, Dimitrios, 2008. "Modeling the return and volatility of the Greek electricity marginal system price," Energy Policy, Elsevier, vol. 36(7), pages 2601-2609, July.
  73. Hoti, Suhejla & McAleer, Michael & Pauwels, Laurent L., 2008. "Multivariate volatility in environmental finance," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 189-199.
  74. Henry S. Farber, 1982. "The Determination of the Union Status of Workers," NBER Working Papers 1006, National Bureau of Economic Research, Inc.
  75. Chuang, Wen-I & Lee, Bong-Soo, 2006. "An empirical evaluation of the overconfidence hypothesis," Journal of Banking & Finance, Elsevier, vol. 30(9), pages 2489-2515, September.
  76. Marc Saez Zafra & Jorge V. Pérez Rodríguez, 1994. "Modelos autorregresivos para la varianza condicionada heteroscedastica (ARCH)," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 2, pages 71-106, Diciembre.
  77. Diansheng Dong & Chanjin Chung & Harry Kaiser, 2004. "Modelling milk purchasing behaviour with a panel data double-hurdle model," Applied Economics, Taylor & Francis Journals, vol. 36(8), pages 769-779.
  78. Jørgen Vitting Andersen & Ioannis D. Vrontos & Petros Dellaportas & Serge Galam, 2015. "A Socio-Finance Model: Inference and empirical application," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01242248, HAL.
  79. Julien Chevallier & Benoît Sévi, 2009. "On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting," Working Papers 2009.113, Fondazione Eni Enrico Mattei.
  80. John Y. Campbell & N. Gregory Mankiw, 1986. "Are Output Fluctuations Transitory?," NBER Working Papers 1916, National Bureau of Economic Research, Inc.
  81. Kocenda, Evzen, 1998. "Exchange rate in transition," MPRA Paper 32030, University Library of Munich, Germany.
  82. Jacobi, Frank, 2005. "ARCH-Prozesse und ihre Erweiterungen - Eine empirische Untersuchung für Finanzmarktzeitreihen -," Arbeitspapiere des Instituts für Statistik und Ökonometrie 31, Johannes Gutenberg-Universität Mainz, Institut für Statistik und Ökonometrie.
  83. T M Christensen & A S Hurn & K A Lindsay, 2008. "The Devil is in the Detail: Hints for Practical Optimisation," NCER Working Paper Series 32, National Centre for Econometric Research.
  84. Glenn T. Sueyoshi, 1989. "Social Security and the Determinants of Full and Partial Retirement: A Competing Risks Analysis," NBER Working Papers 3113, National Bureau of Economic Research, Inc.
  85. Bearse, Peter & Gurmu, Shiferaw & Rapaport, Carol & Stern, Steven, 2004. "Paratransit demand of disabled people," Transportation Research Part B: Methodological, Elsevier, vol. 38(9), pages 809-831, November.
  86. Hamilton, James D., 1996. "Specification testing in Markov-switching time-series models," Journal of Econometrics, Elsevier, vol. 70(1), pages 127-157, January.
  87. Petmezas, Dimitris & Santamaria, Daniel, 2014. "Investor induced contagion during the banking and European sovereign debt crisis of 2007–2012: Wealth effect or portfolio rebalancing?," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 401-424.
  88. Julien Chevallier, 2012. "Time-varying correlations in oil, gas and CO 2 prices: an application using BEKK, CCC and DCC-MGARCH models," Applied Economics, Taylor & Francis Journals, vol. 44(32), pages 4257-4274, November.
  89. Dickens, William T & Lang, Kevin, 1985. "A Test of Dual Labor Market Theory," American Economic Review, American Economic Association, vol. 75(4), pages 792-805, September.
  90. Kjersti-Gro Lindquist & Terje Skjerpen, 2000. "Explaining the change in skill structure of labour demand in Norwegian manufacturing," Discussion Papers 293, Statistics Norway, Research Department.
  91. Arago, V. & Corredor, P. & Santamaria, R., 2003. "Transaction costs, arbitrage, and volatility spillover: a note," International Review of Economics & Finance, Elsevier, vol. 12(3), pages 399-415.
  92. Li-gang Liu & Laurent Pauwels & Jun-yu Chan, 2008. "Do External Political Pressures Affect the Renminbi Exchange Rate?," Working Papers 0805, Hong Kong Monetary Authority.
  93. Mazzocchi, Mario, 2004. "Modeling the Impact of Food Safety Information with No Information," 2004 Annual meeting, August 1-4, Denver, CO 20252, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  94. Choudhry, Taufiq, 2004. "The hedging effectiveness of constant and time-varying hedge ratios using three Pacific Basin stock futures," International Review of Economics & Finance, Elsevier, vol. 13(4), pages 371-385.
  95. Alfonso Mendoza V., 2003. "The Inflation-Output Volatility Tradeoff and Exchange Rate Shocks in Mexico and Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 3(1), pages 27-51.
  96. Takashi Kurosaki & Marcel Fafchamps, 1998. "Insurance Market Efficiency and Crop Choices in Pakistan," Discussion Paper Series a358, Institute of Economic Research, Hitotsubashi University.
  97. Naranjo, Andy & Protopapadakis, Aris, 1997. "Financial market integration tests: an investigation using US equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(2), pages 93-135, July.
  98. Brissimis, Sophocles N. & Chionis, Dionysios P., 2004. "Foreign exchange market intervention: implications of publicly announced and secret intervention for the euro exchange rate and its volatility," Journal of Policy Modeling, Elsevier, vol. 26(6), pages 661-673, September.
  99. Yi-Hsien Wang & Chung-Chu Chuang, 2009. "Selecting the portfolio investment strategy under political structure change in United States," Quality & Quantity: International Journal of Methodology, Springer, vol. 43(5), pages 845-854, September.
  100. Peña Sánchez de Rivera, Juan Ignacio & Escribano, Álvaro & Villaplana, Pablo, 2002. "Modeling electricity prices: international evidence," UC3M Working papers. Economics we022708, Universidad Carlos III de Madrid. Departamento de Economía.
  101. Mario Reyna Cerecero & Diana Salazar Cavazos & Héctor Salgado Banda, 2009. "La curva de rendimiento y su relación con la actividad económica: una aplicación para México," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(3), pages 297-357, octubre-d.
  102. Onur Olgun & I. Hakan Yetkiner, 2011. "Determination of Optimal Hedging Strategy for Index Futures: Evidence from Turkey," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 47(6), pages 68-79, November.
  103. Wegener, Christian & von Nitzsch, Rüdiger & Cengiz, Cetin, 2010. "An advanced perspective on the predictability in hedge fund returns," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2694-2708, November.
  104. Mark R. Manfredo. & Raymond M. Leuthold, 1999. "Market Risk Measurement and the Cattle Feeding Margin: An Application of Value-at-Risk," Finance 9908002, EconWPA.
  105. Hong, Yongmiao, 2001. "A test for volatility spillover with application to exchange rates," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 183-224, July.
  106. Broze, Laurence & Scaillet, Olivier & Zakoian, Jean-Michel, 1995. "Testing for continuous-time models of the short-term interest rate," Journal of Empirical Finance, Elsevier, vol. 2(3), pages 199-223, September.
  107. Brad R. Humphreys & Louis J. Maccini & Scott Schuh, 1997. "Input and output inventories," Working Papers 97-7, Federal Reserve Bank of Boston.
  108. Grier, Kevin B. & Perry, Mark J., 1996. "Inflation, inflation uncertainty, and relative price dispersion: Evidence from bivariate GARCH-M models," Journal of Monetary Economics, Elsevier, vol. 38(2), pages 391-405, October.
  109. Michael Thorpe, 2005. "Financial Sector Reform in China," CERT Discussion Papers 0502, Centre for Economic Reform and Transformation, Heriot Watt University.
  110. repec:kap:iaecre:v:18:y:2012:i:1:p:53-62 is not listed on IDEAS
  111. Koutmos, Dimitrios, 2012. "An intertemporal capital asset pricing model with heterogeneous expectations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1176-1187.
  112. Ram Bhar & Carl Chiarella, 1995. "Estimating the Term Structure of Volatility in Futures Yield - A Maximum Likelihood Approach," Working Paper Series 56, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  113. Nasir M. Khilji, 1994. "Nonlinear Dynamics and Chaos: Application to Financial Markets in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 33(4), pages 1417-1429.
  114. P. B. Solibakke, 2005. "Non-linear dependence and conditional heteroscedasticity in stock returns evidence from the norwegian thinly traded equity market," The European Journal of Finance, Taylor & Francis Journals, vol. 11(2), pages 111-136.
  115. Awartani, Basel M.A. & Corradi, Valentina, 2005. "Predicting the volatility of the S&P-500 stock index via GARCH models: the role of asymmetries," International Journal of Forecasting, Elsevier, vol. 21(1), pages 167-183.
  116. Pierdzioch, Christian, 2000. "Noise Traders? Trigger Rates, FX Options, and Smiles," Kiel Working Papers 970, Kiel Institute for the World Economy (IfW).
  117. Belke, Ansgar & Gokus, Christian, 2011. "Volatility Patterns of CDS, Bond and Stock Markets Before and During the Financial Crisis – Evidence from Major Financial Institutions," Ruhr Economic Papers 243, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  118. Diagne, Aliou, 1999. "Determinants of household access to and participation in formal and informal credit markets in Malawi," FCND discussion papers 67, International Food Policy Research Institute (IFPRI).
  119. Dilip Kumar & Srinivasan Maheswaran, 2015. "Return and volatility spillover among the PIIGS economies and India," American Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 4(1), pages 28-49.
  120. Maloney, William F. & Azevedo, Rodrigo R., 1995. "Trade reform, uncertainty, and export promotion: Mexico 1982-88," Journal of Development Economics, Elsevier, vol. 48(1), pages 67-89, October.
  121. Calzolari, Giorgio & Panattoni, Lorenzo, 1985. "Gradient methods in FIML estimation of econometric models," MPRA Paper 24843, University Library of Munich, Germany.
  122. Kocenda, Evzen & Valachy, Juraj, 2006. "Exchange rate volatility and regime change: A Visegrad comparison," Journal of Comparative Economics, Elsevier, vol. 34(4), pages 727-753, December.
  123. Kabatek, J., 2013. "Iteration Capping For Discrete Choice Models Using the EM Algorithm," Discussion Paper 2013-019, Tilburg University, Center for Economic Research.
  124. Fang, WenShwo & Lai, YiHao & Miller, Stephen M., 2009. "Does exchange rate risk affect exports asymmetrically? Asian evidence," Journal of International Money and Finance, Elsevier, vol. 28(2), pages 215-239, March.
  125. Abraham, Katharine G & Farber, Henry S, 1987. "Job Duration, Seniority, and Earnings," American Economic Review, American Economic Association, vol. 77(3), pages 278-297, June.
  126. Demetrescu, Matei, 2006. "An extension of the Gauss-Newton algorithm for estimation under asymmetric loss," Computational Statistics & Data Analysis, Elsevier, vol. 50(2), pages 379-401, January.
  127. Ainhoa Zarraga, 2003. "GMM-based testing procedures of the mixture of distributions model," Applied Financial Economics, Taylor & Francis Journals, vol. 13(11), pages 841-848.
  128. Martin T. Bohl & Janusz Brzeszczynski, 2005. "Do Institutional Investors Destabilize Stock Prices? Evidence from an Emerging Market," CERT Discussion Papers 0501, Centre for Economic Reform and Transformation, Heriot Watt University.
  129. Haigh, Michael S. & Bryant, Henry L., 2000. "Price And Price Risk Dynamics In Barge And Ocean Freight Markets And The Effects On Commodity Trading," 2000 Conference, April 17-18 2000, Chicago, Illinois 18934, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  130. Calzolari, Giorgio, 1987. "La varianza delle previsioni nei modelli econometrici
    [Forecast variance in econometric models]
    ," MPRA Paper 23866, University Library of Munich, Germany.
  131. Stilianos Fountas & Menelaos Karanasos, 2002. "Inflation, Output Growth, and Nominal and Real Uncertainty: Empirical Evidence for the G7," Working Papers 0064, National University of Ireland Galway, Department of Economics, revised 2002.
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  133. van Soest, A.H.O., 1990. "Essays on micro-econometric models of consumer demand and the labour market," Other publications TiSEM be045d62-a73d-4d7c-a591-f, Tilburg University, School of Economics and Management.
  134. Koutmos, Gregory & Martin, Anna D., 2007. "Modeling time variation and asymmetry in foreign exchange exposure," Journal of Multinational Financial Management, Elsevier, vol. 17(1), pages 61-74, February.
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