ECONOMICS WORKING PAPERS

2008 PAPERS

• 2008-W16 Alberto Petrucci Nonoptimality of the Friedman Rule with Capital Income Taxation

• 2008-W15 Thomas Flury and Neil Shephard Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models

• 2008-W14 Bent Nielsen Singular vector autoregressions with deterministic terms: Strong consistency and lag order determination

• 2008-W13 Ole E. Barndorff-Nielsen and Neil Shephard Modelling and measuring volatility

• 2008-W12 Cameron Hepburn, John K.-H. Quah, and Robert A. Ritz Emissions Trading with Profit-Neutral Permit Allocations

• 2008-W11 Robert F. Engle, Neil Shephard and Kevin Shepphard Fitting vast dimensional time-varying covariance models

• 2008-W10 Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde and Neil Shephard Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

• 2008-W09 D. Kuang, B. Nielsen and J.P. Nielsen Forecasting with the age-period-cohort model and the extended chain-ladder model. In Biometrika 95, 2008, pp.987-991.

• 2008-W08 Bruno Strulovici Learning While Voting: Determinants of Collective Experimentation

• 2008-W07 Bent Nielsen and Heino Bohn Nielsen Properties of estimated characteristic roots

• 2008-W06 Brendan K. Beare Unit Root Testing with Unstable Volatility

• 2008-W05 Clive G. Bowsher and Roland Meeks The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve

• 2008-W04 Neil Shephard and Torben G. Andersen Stochastic Volatility: Origins and Overview

• 2008-W03 Søren Johansen and Bent Nielsen An analysis of the indicator saturation estimator as a robust regression estimator . In Castle, J. L. and Shephard, N. The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry. Oxford University Press. p. 1-36.

• 2008-W02 Ole E. Barndorff-Nielsen, Silja Kinnebrock and Neil Shephard Measuring downside risk - realised semivariance

• 2008-W01 Peyton Young, Dean P. Foster The Hedge Fund Game

2007 PAPERS

• 2007-W05 Di Kuang, B. Nielsen and J.P. Nielsen Identification of the age-period-cohort model and the extended chain ladder model. In Biometrika, 95, 2008, pp.979-986.

• 2007-W04 John K-H. Quah and Bruno Strulovici Comparative Statics, Informativeness, and the Interval Dominance Order

• 2007-W03 Jeremy Bulow and Paul Klemperer When are Auctions Best?

• 2007-W02 Carlos Caceres and Bent Nielsen Convergence to Stochastic Integrals with Non-linear Integrands

• 2007-W01 Eric Engler and Bent Nielsen The empirical process of autoregressive residuals
  In Econometrics Journal 12, 2009, pp. 367-381.

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