Likelihood inference for discretely observed non-linear diffusions

Citations

Cited by:

1. Bauwens, Luc & Rombouts, Jeroen V.K., 2012. "On marginal likelihood computation in change-point models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3415-3429.
   • BAUWENS, Luc & ROMBOUTS, Jeroen, 2009. "On marginal likelihood computation in change-point models," LIDAM Discussion Papers CORE 2009061, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
   • BAUWENS, Luc & ROMBOUTS, Jeroen VK, 2012. "On marginal likelihood computation in change-point models," LIDAM Reprints CORE 2403, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
   • Luc Bauwens & Jeroen V.K. Rombouts, 2009. "On Marginal Likelihood Computation in Change-point Models," Cahiers de recherche 0942, CIRPEE.
2. Collin-Dufresne, Pierre & Goldstein, Robert S. & Jones, Christopher S., 2009. "Can interest rate volatility be extracted from the cross section of bond yields?," Journal of Financial Economics, Elsevier, vol. 94(1), pages 47-66, October.
3. Jensen, Mark J. & Maheu, John M., 2010. "Bayesian semiparametric stochastic volatility modeling," Journal of Econometrics, Elsevier, vol. 157(2), pages 306-316, August.
   • Mark J Jensen & John M Maheu, 2008. "Bayesian semiparametric stochastic volatility modeling," Working Papers tecipa-314, University of Toronto, Department of Economics.
   • Mark J. Jensen & John M. Maheu, 2009. "Bayesian Semiparametric Stochastic Volatility Modeling," Working Paper series 23_09, Rimini Centre for Economic Analysis.
   • Mark J. Jensen & John M. Maheu, 2008. "Bayesian semiparametric stochastic volatility modeling," FRB Atlanta Working Paper 2008-15, Federal Reserve Bank of Atlanta.
4. Koopman, Siem Jan & Shephard, Neil & Creal, Drew, 2009. "Testing the assumptions behind importance sampling," Journal of Econometrics, Elsevier, vol. 149(1), pages 2-11, April.
5. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, December.
6. Matthew M. Graham & Alexandre H. Thiery & Alexandros Beskos, 2022. "Manifold Markov chain Monte Carlo methods for Bayesian inference in diffusion models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(4), pages 1229-1256, September.
7. Carrasco, Marine & Chernov, Mikhaël & Florens, Jean-Pierre & Ghysels, Eric, 2000. "Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions," IDEI Working Papers 116, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2002.
   • Eric Ghysels & Jean-Pierre Florens & Mikhail Chernov & Marine Carrasco, 2003. "Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions," CIRANO Working Papers 2003s-02, CIRANO.
8. Ruijun Bu & Fredj Jawadi & Yuyi Li, 2020. "A multifactor transformed diffusion model with applications to VIX and VIX futures," Econometric Reviews, Taylor & Francis Journals, vol. 39(1), pages 27-53, January.
   • Ruijun Bu & Fredj Jawadi & Yuyi Li, 2018. "A Multi-Factor Transformed Diffusion Model with Applications to VIX and VIX Futures," Working Papers 20183, University of Liverpool, Department of Economics.
9. Lüders, Erik, 2002. "Why Are Asset Returns Predictable?," ZEW Discussion Papers 02-48, ZEW - Leibniz Centre for European Economic Research.
10. Malik, Sheheryar & Pitt, Michael K., 2011. "Particle filters for continuous likelihood evaluation and maximisation," Journal of Econometrics, Elsevier, vol. 165(2), pages 190-209.
11. Neil Shephard, 2005. "Stochastic Volatility," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford.
12. Jun Yu & Peter C. B. Phillips, 2001. "A Gaussian approach for continuous time models of the short-term interest rate," Econometrics Journal, Royal Economic Society, vol. 4(2), pages 1-3.
13. Xiao Huang, 2011. "Quasi‐maximum likelihood estimation of discretely observed diffusions," Econometrics Journal, Royal Economic Society, vol. 14(2), pages 241-256, July.
14. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
15. Dennis Kristensen, 2004. "A Semiparametric Single-Factor Model of the Term Structure," FMG Discussion Papers dp501, Financial Markets Group.
    • Kristensen, Dennis, 2004. "A semiparametric single-factor model of the term structure," LSE Research Online Documents on Economics 24741, London School of Economics and Political Science, LSE Library.
16. repec:wyi:journl:002118 is not listed on IDEAS
17. Hong, Yongmiao & Lin, Hai & Wang, Shouyang, 2010. "Modeling the dynamics of Chinese spot interest rates," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1047-1061, May.
    • Yongmiao Hong & Hai Lin & Shouyang Wang, 2013. "Modeling the Dynamics of Chinese Spot Interest Rates," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
18. Filipović, Damir & Mayerhofer, Eberhard & Schneider, Paul, 2013. "Density approximations for multivariate affine jump-diffusion processes," Journal of Econometrics, Elsevier, vol. 176(2), pages 93-111.
    • Damir Filipovi'c & Eberhard Mayerhofer & Paul Schneider, 2011. "Density Approximations for Multivariate Affine Jump-Diffusion Processes," Papers 1104.5326, arXiv.org, revised Oct 2011.
    • Damir FILIPOVIC & Eberhard BERHARD & Paul SCHNEIDER, 2011. "Density Approximations For Multivariate Affine Jump-Diffusion Processes," Swiss Finance Institute Research Paper Series 11-20, Swiss Finance Institute.
19. Guay, François & Schwenkler, Gustavo, 2021. "Efficient estimation and filtering for multivariate jump–diffusions," Journal of Econometrics, Elsevier, vol. 223(1), pages 251-275.
20. Osnat Stramer & Jun Yan, 2007. "Asymptotics of an Efficient Monte Carlo Estimation for the Transition Density of Diffusion Processes," Methodology and Computing in Applied Probability, Springer, vol. 9(4), pages 483-496, December.
21. Jaeho Yun & Yongmiao Hong, 2013. "A Simulation Test for Continuous-Time Models," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
22. Isambi Mbalawata & Simo Särkkä & Heikki Haario, 2013. "Parameter estimation in stochastic differential equations with Markov chain Monte Carlo and non-linear Kalman filtering," Computational Statistics, Springer, vol. 28(3), pages 1195-1223, June.
23. Konstantinos Kalogeropoulos & Gareth O. Roberts & Petros Dellaportas, 2007. "Inference for stochastic volatility models using time change transformations," Papers 0711.1594, arXiv.org.
    • Kalogeropoulos, Konstantinos & Roberts, Gareth O. & Dellaportas, Petros, 2010. "Inference for stochastic volatility models using time change transformations," LSE Research Online Documents on Economics 31421, London School of Economics and Political Science, LSE Library.
    • Kalogeropoulos, Konstantinos & Roberts, Gareth O. & Dellaportas, Petros, 2007. "Inference for stochastic volatility model using time change transformations," MPRA Paper 5697, University Library of Munich, Germany.
24. Wilfling Bernd, 2003. "Interest Rate Volatility Prior to Monetary Union under Alternative Pre-Switch Regimes," German Economic Review, De Gruyter, vol. 4(4), pages 433-457, December.
    • Bernd Wilfling, 2003. "Interest Rate Volatility Prior to Monetary Union under Alternative Pre‐Switch Regimes," German Economic Review, Verein für Socialpolitik, vol. 4(4), pages 433-457, November.
    • Wilfling, Bernd, 2001. "Interest rate volatility prior to monetary union under alternative pre-switch regimes," HWWA Discussion Papers 143, Hamburg Institute of International Economics (HWWA).
    • Wilfling, Bernd, 2001. "Interest Rate Volatility Prior to Monetary Union Under Alternative Pre-Switch Regimes," Discussion Paper Series 26277, Hamburg Institute of International Economics.
25. Jun Yu, 2009. "Econometric Analysis of Continuous Time Models : A Survey of Peter Phillips’ Work and Some New Results," Microeconomics Working Papers 23046, East Asian Bureau of Economic Research.
26. Yun, Jaeho, 2014. "Out-of-sample density forecasts with affine jump diffusion models," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 74-87.
27. Mikkelsen, Peter, 2003. "Estimating intractable non-linear term structure models," Finance Working Papers 02-7, University of Aarhus, Aarhus School of Business, Department of Business Studies.
28. Wichitaksorn, Nuttanan & Tsurumi, Hiroki, 2013. "Comparison of MCMC algorithms for the estimation of Tobit model with non-normal error: The case of asymmetric Laplace distribution," Computational Statistics & Data Analysis, Elsevier, vol. 67(C), pages 226-235.
29. Antonio Mele & Filippo Altissimo, 2004. "Simulated Nonparametric Estimation of Continuous Time Models of Asset Prices and Returns," FMG Discussion Papers dp476, Financial Markets Group.
    • Altissimo, Filippo & Mele, Antonio, 2004. "Simulated nonparametric estimation of continuous time models of asset prices and returns," LSE Research Online Documents on Economics 24674, London School of Economics and Political Science, LSE Library.
30. Bu, Ruijun & Cheng, Jie & Hadri, Kaddour, 2016. "Reducible diffusions with time-varying transformations with application to short-term interest rates," Economic Modelling, Elsevier, vol. 52(PA), pages 266-277.
    • Ruijun Bu & Jie Cheng & Kaddour Hadri, 2014. "Reducible Diffusions with Time-Varying Transformations with Application to Short-Term Interest Rates," Economics Working Papers 14-01, Queen's Management School, Queen's University Belfast.
31. Peter C. B. Phillips & Jun Yu, 2006. "A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete," Macroeconomics Working Papers 22472, East Asian Bureau of Economic Research.
32. Strickland, Chris M. & Forbes, Catherine S. & Martin, Gael M., 2006. "Bayesian analysis of the stochastic conditional duration model," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2247-2267, May.
    • Chris M. Strickland & Catherine S. Forbes & Gael M. Martin, 2003. "Bayesian Analysis of the Stochastic Conditional Duration Model," Monash Econometrics and Business Statistics Working Papers 14/03, Monash University, Department of Econometrics and Business Statistics.
33. Kristensen, Dennis, 2010. "Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models," Journal of Econometrics, Elsevier, vol. 156(2), pages 239-259, June.
    • Dennis Kristensen, 2009. "Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models," CREATES Research Papers 2009-41, Department of Economics and Business Economics, Aarhus University.
34. Xiaohong Chen & Yanqin Fan, 2002. "Evaluating Density Forecasts via the Copula Approach," Vanderbilt University Department of Economics Working Papers 0225, Vanderbilt University Department of Economics, revised Sep 2003.
35. Altissimo, Filippo & Mele, Antonio, 2005. "Simulated nonparametric estimation of dynamic models with applications to finance," LSE Research Online Documents on Economics 24658, London School of Economics and Political Science, LSE Library.
36. Ole Barndorff-Nielsen & Elisa Nicolato & Neil Shephard, 2002. "Some recent developments in stochastic volatility modelling," Quantitative Finance, Taylor & Francis Journals, vol. 2(1), pages 11-23.
    • Ole E. Barndorff-Nielsen & Elisa Nicolato & Neil Shephard, 2001. "Some recent developments in stochastic volatility modelling," Economics Papers 2001-W25, Economics Group, Nuffield College, University of Oxford.
    • Jurgen A. Doornik & David F. Hendry & Neil Shephard, . "Computationally-intensive Econometrics using a Distributed Matrix-programming Language," Economics Papers 2001-W22, Economics Group, Nuffield College, University of Oxford.
37. Stan Hurn & J.Jeisman & K.A. Lindsay, 2006. "Teaching an old dog new tricks: Improved estimation of the parameters of SDEs by numerical solution of the Fokker-Planck equation," Stan Hurn Discussion Papers 2006-01, School of Economics and Finance, Queensland University of Technology.
38. Tse, Y.K. & Zhang, Bill & Yu, Jun, 2002. "Estimation of Hyperbolic Diffusion using MCMC Method," Working Papers 182, Department of Economics, The University of Auckland.
    • Y.K. Tse & Xibin Zhang & Jun Yu, 2002. "Estimation of Hyperbolic Diffusion Using MCMC Method," Monash Econometrics and Business Statistics Working Papers 18/02, Monash University, Department of Econometrics and Business Statistics.
39. Comte, F. & Genon-Catalot, V. & Rozenholc, Y., 2009. "Nonparametric adaptive estimation for integrated diffusions," Stochastic Processes and their Applications, Elsevier, vol. 119(3), pages 811-834, March.
40. Monica Gentile & Roberto Renò, 2005. "Specification Analysis of Diffusion Models for the Italian Short Rate," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 34(1), pages 51-83, February.
41. Aliu, A. Hassan & Abiodun A. A. & Ipinyomi R.A., 2017. "Statistical Inference for Discretely Observed Diffusion Epidemic Models," International Journal of Mathematics Research, Conscientia Beam, vol. 6(1), pages 29-35.
42. Maneesoonthorn, Worapree & Martin, Gael M. & Forbes, Catherine S. & Grose, Simone D., 2012. "Probabilistic forecasts of volatility and its risk premia," Journal of Econometrics, Elsevier, vol. 171(2), pages 217-236.
    • Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes & Simone Grose, 2010. "Probabilistic Forecasts of Volatility and its Risk Premia," Monash Econometrics and Business Statistics Working Papers 22/10, Monash University, Department of Econometrics and Business Statistics.
43. Philip Gray, 2005. "Bayesian Estimation of Short-Rate Models," Australian Journal of Management, Australian School of Business, vol. 30(1), pages 1-22, June.
44. repec:bla:germec:v:4:y:2003:i::p:433-457 is not listed on IDEAS
45. Théo Michelot & Richard Glennie & Catriona Harris & Len Thomas, 2021. "Varying-Coefficient Stochastic Differential Equations with Applications in Ecology," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 26(3), pages 446-463, September.
46. Seungmoon Choi, 2011. "Closed-Form Likelihood Expansions for Multivariate Time-Inhomogeneous Diffusions," School of Economics and Public Policy Working Papers 2011-26, University of Adelaide, School of Economics and Public Policy.
47. Sanford, Andrew D. & Martin, Gael M., 2005. "Simulation-based Bayesian estimation of an affine term structure model," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 527-554, April.
    • Andrew D. Sanford & Gael M. Martin, 2003. "Simulation-Based Bayesian Estimation of Affine Term Structure Models," Monash Econometrics and Business Statistics Working Papers 15/03, Monash University, Department of Econometrics and Business Statistics.
48. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting," PIER Working Paper Archive 05-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    • Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Volatility forecasting," CFS Working Paper Series 2005/08, Center for Financial Studies (CFS).
    • Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting," NBER Working Papers 11188, National Bureau of Economic Research, Inc.
49. Wang, Xiaohu & Xiao, Weilin & Yu, Jun, 2023. "Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process," Journal of Econometrics, Elsevier, vol. 232(2), pages 389-415.
50. John Stachurski & Vance Martin, 2008. "Computing the Distributions of Economic Models via Simulation," Econometrica, Econometric Society, vol. 76(2), pages 443-450, March.
    • John Stachurski, 2005. "Computing the Distributions of Economic Models Via Simulation," Department of Economics - Working Papers Series 949, The University of Melbourne.
    • John Stachurski, 2006. "Computing the Distributions of Economic Models Via Simulation," KIER Working Papers 615, Kyoto University, Institute of Economic Research.
    • John Stachurski & University of Melbourne, 2006. "Computing the Distributions of Economic Models via Simulation," Computing in Economics and Finance 2006 185, Society for Computational Economics.
51. Jones, Christopher S., 2003. "The dynamics of stochastic volatility: evidence from underlying and options markets," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 181-224.
52. J. Jimenez & R. Biscay & T. Ozaki, 2005. "Inference Methods for Discretely Observed Continuous-Time Stochastic Volatility Models: A Commented Overview," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 12(2), pages 109-141, June.
53. Zongwu Cai & Yongmiao Hong, 2013. "Some Recent Developments in Nonparametric Finance," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
54. Ole E. Barndorff‐Nielsen & Neil Shephard, 2002. "Econometric analysis of realized volatility and its use in estimating stochastic volatility models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(2), pages 253-280, May.
    • Ole E. Barndorff-Nielsen & Neil Shephard, 2000. "Econometric analysis of realised volatility and its use in estimating stochastic volatility models," Economics Papers 2001-W4, Economics Group, Nuffield College, University of Oxford, revised 05 Jul 2001.
    • Neil Shephard & Ole E. Barndorff-Nielsen & University of Aarhus, 2001. "Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models," Economics Series Working Papers 71, University of Oxford, Department of Economics.
55. A. Hurn & J. Jeisman & K. Lindsay, 2007. "Teaching an Old Dog New Tricks: Improved Estimation of the Parameters of Stochastic Differential Equations by Numerical Solution of the Fokker-Planck Equation," NCER Working Paper Series 9, National Centre for Econometric Research.
56. Kam Fong Chan, 2005. "Modelling conditional heteroscedasticity and jumps in Australian short‐term interest rates," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 45(4), pages 537-551, December.
57. Yu, Jun, 2012. "Bias in the estimation of the mean reversion parameter in continuous time models," Journal of Econometrics, Elsevier, vol. 169(1), pages 114-122.
    • Jun Yu, 2007. "Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models," Working Papers CoFie-06-2008, Singapore Management University, Sim Kee Boon Institute for Financial Economics, revised Oct 2008.
    • Jun Yu, 2009. "Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models," Working Papers 16-2009, Singapore Management University, School of Economics.
    • Jun Yu, 2009. "Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models," Microeconomics Working Papers 23045, East Asian Bureau of Economic Research.
58. Meddahi, Nour & Renault, Eric, 2004. "Temporal aggregation of volatility models," Journal of Econometrics, Elsevier, vol. 119(2), pages 355-379, April.
    • Nour Meddahi, 2000. "Temporal Aggregation of Volatility Models," Econometric Society World Congress 2000 Contributed Papers 1903, Econometric Society.
    • Nour Meddahi & Eric Renault, 2000. "Temporal Aggregation of Volatility Models," CIRANO Working Papers 2000s-22, CIRANO.
59. Leah Kelly, 2004. "Inference and Intraday Analysis of Diversified World Stock Indices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2004, January-A.
60. Vinicius P. Israel & H�lio S. Migon, 2012. "Stochastic models for greenhouse gas emission rate estimation from hydroelectric reservoirs: a Bayesian hierarchical approach," Journal of Applied Statistics, Taylor & Francis Journals, vol. 39(5), pages 1069-1086, October.
61. Brandt, Michael W. & Santa-Clara, Pedro, 2002. "Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets," Journal of Financial Economics, Elsevier, vol. 63(2), pages 161-210, February.
    • Michael W. Brandt & Pedro Santa-Clara, 2001. "Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets," NBER Technical Working Papers 0274, National Bureau of Economic Research, Inc.
62. Erik Lindström, 2007. "Estimating parameters in diffusion processes using an approximate maximum likelihood approach," Annals of Operations Research, Springer, vol. 151(1), pages 269-288, April.
63. Peter C. B. Phillips & Jun Yu, 2005. "Comments on “A selective overview of nonparametric methods in financial econometricsâ€Â," Finance Working Papers 22469, East Asian Bureau of Economic Research.
64. Neil Shephard & Siddhartha Chib, 1998. "Markov Chain Monte Carlo methods for Generalized Stochastic Volatility Models," Economics Series Working Papers 1998-W21, University of Oxford, Department of Economics.
65. Choi, Seungmoon, 2013. "Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions," Journal of Econometrics, Elsevier, vol. 174(2), pages 45-65.
66. Justin Sirignano & Konstantinos Spiliopoulos, 2017. "Stochastic Gradient Descent in Continuous Time: A Central Limit Theorem," Papers 1710.04273, arXiv.org, revised Jun 2019.
67. Torben G. Andersen & Luca Benzoni & Jesper Lund, 2002. "An Empirical Investigation of Continuous‐Time Equity Return Models," Journal of Finance, American Finance Association, vol. 57(3), pages 1239-1284, June.
    • Torben G. Andersen & Luca Benzoni & Jesper Lund, 2001. "An Empirical Investigation of Continuous-Time Equity Return Models," NBER Working Papers 8510, National Bureau of Economic Research, Inc.
68. Su, Fei & Chan, Kung-Sik, 2015. "Quasi-likelihood estimation of a threshold diffusion process," Journal of Econometrics, Elsevier, vol. 189(2), pages 473-484.
69. Hong, Yongmiao & Li, Haitao, 2002. "Nonparametric specification testing for continuous-time models with application to spot interest rates," SFB 373 Discussion Papers 2002,32, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
70. Nils Bertschinger & Oliver Pfante, 2015. "Inferring Volatility in the Heston Model and its Relatives -- an Information Theoretical Approach," Papers 1512.08381, arXiv.org.
71. Griffin, J.E. & Steel, M.F.J., 2006. "Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility," Journal of Econometrics, Elsevier, vol. 134(2), pages 605-644, October.
    • James E. Griffin & Mark F.J. Steel, 2002. "Inference With Non-Gaussian Ornstein-Uhlenbeck Processes for Stochastic Volatility," Econometrics 0201002, University Library of Munich, Germany, revised 04 Apr 2003.
72. Andrew D. Sanford & Gael Martin, 2004. "Bayesian Analysis of Continuous Time Models of the Australian Short Rate," Monash Econometrics and Business Statistics Working Papers 11/04, Monash University, Department of Econometrics and Business Statistics.
73. Franke, Günter & Lüders, Erik, 2004. "Why Do Asset Prices Not Follow Random Walks?," CoFE Discussion Papers 04/05, University of Konstanz, Center of Finance and Econometrics (CoFE).
74. Chib, Siddhartha & Ramamurthy, Srikanth, 2010. "Tailored randomized block MCMC methods with application to DSGE models," Journal of Econometrics, Elsevier, vol. 155(1), pages 19-38, March.
75. Omori, Yasuhiro & Chib, Siddhartha & Shephard, Neil & Nakajima, Jouchi, 2007. "Stochastic volatility with leverage: Fast and efficient likelihood inference," Journal of Econometrics, Elsevier, vol. 140(2), pages 425-449, October.
76. Peter C.B.Phillips & Jun Yu, "undated". "Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance," Working Papers CoFie-08-2009, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
    • Peter C.B. Phillips & Jun Yu, 2007. "Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance," Cowles Foundation Discussion Papers 1597, Cowles Foundation for Research in Economics, Yale University.
    • Peter C. B. Phillips & Jun Yu, 2006. "Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance," Development Economics Working Papers 22471, East Asian Bureau of Economic Research.
77. Christopher S. Jones, 2003. "Nonlinear Mean Reversion in the Short-Term Interest Rate," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 793-843, July.
78. Simone Alfarano & Thomas Lux & Friedrich Wagner, 2005. "Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model," Computational Economics, Springer;Society for Computational Economics, vol. 26(1), pages 19-49, August.
79. Kristensen, Dennis & Shin, Yongseok, 2012. "Estimation of dynamic models with nonparametric simulated maximum likelihood," Journal of Econometrics, Elsevier, vol. 167(1), pages 76-94.
    • Dennis Kristensen & Yongseok Shin, 2008. "Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood," CREATES Research Papers 2008-58, Department of Economics and Business Economics, Aarhus University.
80. Mark Trede & Bernd Wilfling, 2007. "Estimating exchange rate dynamics with diffusion processes: an application to Greek EMU data," Empirical Economics, Springer, vol. 33(1), pages 23-39, July.
    • Wilfling, Bernd & Trede, Mark, 2004. "Estimating Exchange Rate Dynamics with Diffusion Processes: An Application to Greek EMU Data," HWWA Discussion Papers 267, Hamburg Institute of International Economics (HWWA).
81. Chiarella, Carl & Hung, Hing & T, Thuy-Duong, 2009. "The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2075-2088, April.
    • Carl Chiarella & Hing Hung & Thuy-Duong To, 2005. "The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach," Research Paper Series 151, Quantitative Finance Research Centre, University of Technology, Sydney.
82. Suk Kim, Myung & Wang, Suojin, 2006. "On the applicability of stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2210-2217, December.
83. Michael Sørensen, 2008. "Parametric inference for discretely sampled stochastic differential equations," CREATES Research Papers 2008-18, Department of Economics and Business Economics, Aarhus University.
84. Neil Shephard & Ole E. Barndorff-Nielsen, 2000. "Econometric analysis of realised volatility and its use in estimating Levy based non-Gaussian OU type stochastic volatility models," Economics Series Working Papers 2000-W29, University of Oxford, Department of Economics.
85. repec:wyi:journl:002108 is not listed on IDEAS
86. Charles S. Bos, 2008. "Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility," Tinbergen Institute Discussion Papers 08-011/4, Tinbergen Institute.
87. Kristensen, Dennis, 2008. "Estimation of partial differential equations with applications in finance," Journal of Econometrics, Elsevier, vol. 144(2), pages 392-408, June.
    • Kristensen, Dennis, 2004. "Estimation of partial differential equations with applications in finance," LSE Research Online Documents on Economics 24738, London School of Economics and Political Science, LSE Library.
88. Kalogeropoulos, Konstantinos, 2007. "Likelihood-based inference for a class of multivariate diffusions with unobserved paths," LSE Research Online Documents on Economics 31423, London School of Economics and Political Science, LSE Library.
89. Dennis Kristensen & Young Jun Lee & Antonio Mele, 2023. "Closed-form approximations of moments and densities of continuous-time Markov models," Papers 2308.09009, arXiv.org.
90. A. S. Hurn & K. A. Lindsay & V. L. Martin, 2003. "On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(1), pages 45-63, January.
91. Siddhartha Chib & Michael K Pitt & Neil Shephard, 2004. "Likelihood based inference for diffusion driven models," OFRC Working Papers Series 2004fe17, Oxford Financial Research Centre.
    • Siddhartha Chib & Michael K Pitt & Neil Shephard, 2004. "Likelihood based inference for diffusion driven models," Economics Papers 2004-W20, Economics Group, Nuffield College, University of Oxford.
92. Chernov, Mikhail & Ronald Gallant, A. & Ghysels, Eric & Tauchen, George, 2003. "Alternative models for stock price dynamics," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 225-257.
    • Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen, 2002. "Alternative Models for Stock Price Dynamics," CIRANO Working Papers 2002s-58, CIRANO.
    • Chernov, Mikhail & Gallant, A. Ronald & Ghysels, Eric & Tauchen, George, 2002. "Alternative Models for Stock Price Dynamic," Working Papers 02-03, Duke University, Department of Economics.
93. esposito, francesco paolo & cummins, mark, 2015. "Filtering and likelihood estimation of latent factor jump-diffusions with an application to stochastic volatility models," MPRA Paper 64987, University Library of Munich, Germany.
94. Bandi, Federico M. & Phillips, Peter C.B., 2007. "A simple approach to the parametric estimation of potentially nonstationary diffusions," Journal of Econometrics, Elsevier, vol. 137(2), pages 354-395, April.
    • Federico M. Bandi & Peter C.B. Phillips, 2005. "A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions," Cowles Foundation Discussion Papers 1522, Cowles Foundation for Research in Economics, Yale University.
95. Mogens Bladt & Samuel Finch & Michael Sørensen, 2016. "Simulation of multivariate diffusion bridges," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(2), pages 343-369, March.
    • Mogens Bladt & Samuel Finch & Michael Sørensen, 2014. "Simulation of multivariate diffusion bridges," CREATES Research Papers 2014-16, Department of Economics and Business Economics, Aarhus University.
96. Calvet, Laurent E. & Fisher, Adlai J. & Thompson, Samuel B., 2006. "Volatility comovement: a multifrequency approach," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 179-215.
    • Laurent E. Calvet & Adlai J. Fisher & Samuel B. Thompson, 2004. "Volatility Comovement: A Multifrequency Approach," NBER Technical Working Papers 0300, National Bureau of Economic Research, Inc.
    • Laurent-Emmanuel Calvet & Adlai J. Fisher & Samuel B. Thompson, 2006. "Volatility Comovement: a multifrequency approach," Post-Print hal-00459667, HAL.
97. João Nicolau, 2002. "A new technique for simulating the likelihood of stochastic differential equations," Econometrics Journal, Royal Economic Society, vol. 5(1), pages 91-103, June.
98. Shota Gugushvili & Frank van der Meulen & Moritz Schauer & Peter Spreij, 2018. "Nonparametric Bayesian volatility estimation," Papers 1801.09956, arXiv.org, revised Mar 2019.
99. Bakshi, Gurdip & Ju, Nengjiu & Ou-Yang, Hui, 2006. "Estimation of continuous-time models with an application to equity volatility dynamics," Journal of Financial Economics, Elsevier, vol. 82(1), pages 227-249, October.
100. repec:wyi:journl:002109 is not listed on IDEAS
101. Czellar, Veronika & Karolyi, G. Andrew & Ronchetti, Elvezio, 2007. "Indirect robust estimation of the short-term interest rate process," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 546-563, September.
     • Veronika Czellar & G. Andrew Karolyi & Elvezio Ronchetti, 2005. "Indirect Robust Estimation of the Short-term interest Rate Process," FAME Research Paper Series rp135, International Center for Financial Asset Management and Engineering.
     • Czellar, Veronika & Karolyi, G. Andrew & Ronchetti, Elvezio, 2005. "Indirect Robust Estimation of the Short-term Interest Rate Process," Working Paper Series 2005-4, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
     • Veronika Czellar & G. Andrew Karolyi & Elvezio Ronchetti, 2007. "Indirect robust estimation of the short-term interest rate process," Post-Print hal-00463251, HAL.
102. Cai, Zongwu & Hong, Yongmiao, 2003. "Nonparametric Methods in Continuous-Time Finance: A Selective Review," SFB 373 Discussion Papers 2003,15, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
103. Siddhartha Chib & Neil Shephard, 2001. "Comment on Garland B. Durham and A. Ronald Gallant's "Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes"," Economics Papers 2001-W26, Economics Group, Nuffield College, University of Oxford.
104. Pastorello, S. & Rossi, E., 2010. "Efficient importance sampling maximum likelihood estimation of stochastic differential equations," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2753-2762, November.
105. Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004. "Stochastic volatility with leverage: fast likelihood inference," Economics Papers 2004-W19, Economics Group, Nuffield College, University of Oxford.
     • Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004. "Stochastic Volatility with Leverage: Fast Likelihood Inference," CIRJE F-Series CIRJE-F-297, CIRJE, Faculty of Economics, University of Tokyo.
     • Neil Shephard & Yashurio Omori & Faculty of Economics & University of Tokyo & Siddhartha Chib & Olin School of Business & Washington University & Jouchi Nakajima & Faculty of Economics & University of, 2004. "Stochastic volatility with leverage: fast likelihood inference," Economics Series Working Papers 2004-FE-16, University of Oxford, Department of Economics.
106. Helle Sørensen, 2002. "Parametric Inference for Diffusion Processes Observed at Discrete Points in Time: a Survey," Discussion Papers 02-08, University of Copenhagen. Department of Economics.
107. Yuan Shen & Dan Cornford & Manfred Opper & Cedric Archambeau, 2012. "Variational Markov chain Monte Carlo for Bayesian smoothing of non-linear diffusions," Computational Statistics, Springer, vol. 27(1), pages 149-176, March.
108. Kleppe, Tore Selland & Yu, Jun & Skaug, Hans J., 2014. "Maximum likelihood estimation of partially observed diffusion models," Journal of Econometrics, Elsevier, vol. 180(1), pages 73-80.
109. Leah Kelly, 2004. "Inference and Intraday Analysis of Diversified World Stock Indices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 24, July-Dece.
110. Alejandra López-Pérez & Manuel Febrero-Bande & Wencesalo González-Manteiga, 2021. "Parametric Estimation of Diffusion Processes: A Review and Comparative Study," Mathematics, MDPI, vol. 9(8), pages 1-27, April.
111. Marcos Massaki Abe & Eui Jung Chang & Benjamin Miranda Tabak, 2007. "Forecasting Exchange Rate Density Using Parametric Models: the Case of Brazil," Brazilian Review of Finance, Brazilian Society of Finance, vol. 5(1), pages 29-39.
     • Marcos M. Abe & Eui J. Chang & Benjamin M. Tabak, 2007. "Forecasting Exchange Rate Density using Parametric Models: The Case of Brazil," Working Papers Series 138, Central Bank of Brazil, Research Department.
112. A. S. Hurn & K. A. Lindsay, 2002. "On the Specification of the Drift and Diffusion Functions for Continuous‐time Models of the Spot Interest Rate," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 64(5), pages 547-564, December.
113. Peter C.B. Phillips & Jun Yu, 2005. "A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations," Cowles Foundation Discussion Papers 1523, Cowles Foundation for Research in Economics, Yale University.
114. Yu, Jun, 2014. "Econometric Analysis Of Continuous Time Models: A Survey Of Peter Phillips’S Work And Some New Results," Econometric Theory, Cambridge University Press, vol. 30(4), pages 737-774, August.
     • Jun Yu, 2009. "Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results," Working Papers CoFie-04-2009, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
     • Jun YU, 2009. "Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results," Working Papers 21-2009, Singapore Management University, School of Economics.
115. Detemple, Jerome & Garcia, Rene & Rindisbacher, Marcel, 2006. "Asymptotic properties of Monte Carlo estimators of diffusion processes," Journal of Econometrics, Elsevier, vol. 134(1), pages 1-68, September.
     • Jérôme Detemple & René Garcia & Marcel Rindisbacher, 2003. "Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes," CIRANO Working Papers 2003s-11, CIRANO.
     • Marcel Rindisbacher & Jérôme Detemple & René Garcia, 2004. "Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes," Econometric Society 2004 North American Winter Meetings 483, Econometric Society.
116. Chib, Siddhartha & Nardari, Federico & Shephard, Neil, 2002. "Markov chain Monte Carlo methods for stochastic volatility models," Journal of Econometrics, Elsevier, vol. 108(2), pages 281-316, June.
117. Zhao-Hua Lu & Sy-Miin Chow & Nilam Ram & Pamela M. Cole, 2019. "Zero-Inflated Regime-Switching Stochastic Differential Equation Models for Highly Unbalanced Multivariate, Multi-Subject Time-Series Data," Psychometrika, Springer;The Psychometric Society, vol. 84(2), pages 611-645, June.
118. Andrew D. Sanford & Gael M. Martin, 2006. "Bayesian comparison of several continuous time models of the Australian short rate," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 46(2), pages 309-326, June.
119. Michael Smith & Andrew Pitts, 2006. "Foreign Exchange Intervention by the Bank of Japan: Bayesian Analysis Using a Bivariate Stochastic Volatility Model," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 425-451.
120. A. S. Hurn & J. I. Jeisman & K. A. Lindsay, 0. "Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations," Journal of Financial Econometrics, Oxford University Press, vol. 5(3), pages 390-455.
     • Stan Hurn & J.Jeisman & K.A. Lindsay, 2006. "Seeing the wood for the trees: A critical evaluation of methods to estimate the parameters of stochastic differential equations," Stan Hurn Discussion Papers 2006, School of Economics and Finance, Queensland University of Technology.
121. Stan Hurn & J.Jeisman & K.A. Lindsay, 2006. "Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations. Working paper #2," NCER Working Paper Series 2, National Centre for Econometric Research.
122. Theodore Simos & Mike Tsionas, 2018. "Bayesian inference of the fractional Ornstein–Uhlenbeck process under a flow sampling scheme," Computational Statistics, Springer, vol. 33(4), pages 1687-1713, December.
123. Cheng, Ai-ru (Meg) & Gallant, A. Ronald & Ji, Chuanshu & Lee, Beom S., 2008. "A Gaussian approximation scheme for computation of option prices in stochastic volatility models," Journal of Econometrics, Elsevier, vol. 146(1), pages 44-58, September.
124. James Hamilton, 2000. "Book review," Econometric Reviews, Taylor & Francis Journals, vol. 19(1), pages 135-137.
125. S. C. Kou & Benjamin P. Olding & Martin Lysy & Jun S. Liu, 2012. "A Multiresolution Method for Parameter Estimation of Diffusion Processes," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(500), pages 1558-1574, December.
126. Catherine S. Forbes & Gael M. Martin & Jill Wright, 2007. "Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 387-418.
127. Giet, Ludovic & Lubrano, Michel, 2008. "A minimum Hellinger distance estimator for stochastic differential equations: An application to statistical inference for continuous time interest rate models," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2945-2965, February.
128. Golightly, A. & Wilkinson, D.J., 2008. "Bayesian inference for nonlinear multivariate diffusion models observed with error," Computational Statistics & Data Analysis, Elsevier, vol. 52(3), pages 1674-1693, January.
129. Yu, Jialin, 2007. "Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan," Journal of Econometrics, Elsevier, vol. 141(2), pages 1245-1280, December.
130. Hermann Singer, 2011. "Continuous-discrete state-space modeling of panel data with nonlinear filter algorithms," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 95(4), pages 375-413, December.
131. Ole Barndorff-Nielsen & Elisa Nicolato & Neil Shephard, 2002. "Some recent developments in stochastic volatility modelling," Quantitative Finance, Taylor & Francis Journals, vol. 2(1), pages 11-23.
     • Nolte, Stephan & Grethe, Harald, 2008. "Der Markt für Zucker," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 57(1).
     • Nolte, Stephan & Grethe, Harald, 2009. "Der Markt für Zucker," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 58(1).
     • Nolte, Stephan & Grethe, Harald, 2010. "Der Markt für Zucker," Journal of International Agricultural Trade and Development, Journal of International Agricultural Trade and Development, vol. 60.
     • Nolte, Stephan & Grethe, Harald, 2009. "Der Markt für Zucker," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 58(1).
     • Nolte, Stephan & Grethe, Harald, 2008. "Der Markt für Zucker," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 57(1).
     • Nolte, Stephan & Grethe, Harald, 2009. "Der Markt für Zucker," Journal of International Agricultural Trade and Development, Journal of International Agricultural Trade and Development, vol. 59.
     • Nolte, Stephan & Grethe, Harald, 2008. "Der Markt für Zucker," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 57(1).
     • Nolte, Stephan & Grethe, Harald, 2009. "Der Markt für Zucker," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 58(1).
     • Nolte, Stephan & Grethe, Harald, 2009. "Der Markt für Zucker," Journal of International Agricultural Trade and Development, Journal of International Agricultural Trade and Development, vol. 59.
     • Ruttan, Vernon W., 1977. "Induced innovation and agricultural development," Food Policy, Elsevier, vol. 2(3), pages 196-216, August.
     • Senauer, Benjamin, 1989. "Major Consumer Trends Affecting the U.S. Food System," Choices, Agricultural and Applied Economics Association, vol. 4(4).
     • Clement A. Tisdell, 2007. "Sustainable Agriculture," Chapters, in: Handbook of Sustainable Development, chapter 22 Edward Elgar Publishing.
     • Thomas Grebel & Andreas Pyka & Horst Hanusch, 2003. "An Evolutionary Approach to the Theory of Entrepreneurship," Industry and Innovation, Taylor & Francis Journals, vol. 10(4), pages 493-514.
     • Friebel, Guido & Schnedler, Wendelin, 2011. "Team governance: Empowerment or hierarchical control," Journal of Economic Behavior & Organization, Elsevier, vol. 78(1-2), pages 1-13, April.
     • Llavador, Humberto & Solano-García, Angel, 2011. "Immigration policy with partisan parties," Journal of Public Economics, Elsevier, vol. 95(1), pages 134-142.
     • Brañas-Garza, Pablo & Espinosa, María Paz & Rey-Biel, Pedro, 2011. "Travelers’ types," Journal of Economic Behavior & Organization, Elsevier, vol. 78(1), pages 25-36.
     • J. Galí & D. López-Salido & J. Vallés, 2003. "Understanding the effects of government spending on consumption," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
     • Jordi Galí & Luca Gambetti, 2013. "The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence," NBER Chapters, in: Lessons from the Financial Crisis for Monetary Policy National Bureau of Economic Research, Inc.
     • Alison Booth & Melvyn Coles, 2010. "Education, Matching, and the Allocative Value of Romance," Journal of the European Economic Association, MIT Press, vol. 8(4), pages 744-775, 06.
     • Olivier Jean Blanchard & Jordi Galí, 2005. "Real wage rigidities and the New Keynesian model," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
     • Jordi Galí & Frank Smets & Rafael Wouters, 2011. "Unemployment in an Estimated New Keynesian Model," NBER Chapters, in: NBER Macroeconomics Annual 2011, Volume 26, pages 329-360 National Bureau of Economic Research, Inc.
     • Broner, Fernando & Gelos, Gaston & Reinhart, Carmen, 2004. "When in peril, retrench: testing the portfolio channel of contagion," Proceedings, Federal Reserve Bank of San Francisco, issue Jun, pages 1-34.
     • Chow, Gregory C & Lin, An-loh, 1971. "Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 372-75, November.
     • Fernandez, Roque B, 1981. "A Methodological Note on the Estimation of Time Series," The Review of Economics and Statistics, MIT Press, vol. 63(3), pages 471-76, August.
     • Edgerton, David & Wells, Curt, 1994. "Critical Values for the Cusumsq Statistic in Medium and Large Sized Samples," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 56(3), pages 355-65, August.
     • Chow, Gregory C & Lin, An-loh, 1971. "Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 372-75, November.
     • Fernandez, Roque B, 1981. "A Methodological Note on the Estimation of Time Series," The Review of Economics and Statistics, MIT Press, vol. 63(3), pages 471-76, August.
     • Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July.
     • Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July.
     • Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January.
     • Peter Pedroni, 2000. "Fully Modified OLS for Heterogeneous Cointegrated Panels," Department of Economics Working Papers 2000-03, Department of Economics, Williams College.
     • Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 795R, Cowles Foundation for Research in Economics, Yale University, revised Sep 1987.
     • Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
     • Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-93, January.
     • Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-93, January.
     • Holtz-Eakin, Douglas & Newey, Whitney & Rosen, Harvey S, 1988. "Estimating Vector Autoregressions with Panel Data," Econometrica, Econometric Society, vol. 56(6), pages 1371-95, November.
     • Kenji Nishizaki & Toshitaka Sekine & Yuichi Ueno & Yuko Kawai, 2013. "Chronic deflation in Japan," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and inflation dynamics in Asia and the Pacific, volume 70, pages 9-19 Bank for International Settlements.
     • Klaus Wohlrabe, 2012. "ifo Konjunkturtest Juli 2012 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 65(15), pages 67-69, 08.
     • Klaus Wohlrabe, 2012. "ifo Konjunkturtest Juni 2012 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 65(12), pages 55-57, 06.
     • Klaus Wohlrabe, 2012. "ifo Konjunkturtest Juli 2012 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 65(15), pages 67-69, 08.
     • Klaus Wohlrabe, 2012. "ifo Konjunkturtest Juni 2012 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 65(12), pages 55-57, 06.
     • Klaus Abberger, 2010. "ifo Konjunkturtest Juli 2010 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 63(14), pages 44-46, 07.
     • Klaus Abberger, 2010. "ifo Konjunkturtest Juni 2010 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 63(12), pages 69-71, 06.
     • Klaus Abberger, 2010. "ifo Konjunkturtest Juli 2010 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 63(14), pages 44-46, 07.
     • Klaus Abberger, 2010. "ifo Konjunkturtest Juni 2010 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 63(12), pages 69-71, 06.
     • Klaus Abberger, 2008. "ifo Konjunkturtest Juli 2008 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 61(14), pages 46-48, 07.
     • Klaus Abberger, 2008. "ifo Konjunkturtest Juni 2008 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 61(12), pages 61-63, 06.
     • Gernot Nerb & Anna Stangl, 2008. "ifo Indikator für das Weltwirtschaftsklima weiter gesunken," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 61(23), pages 53-61, December.
     • Klaus Abberger, 2008. "ifo Konjunkturtest Juli 2008 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 61(14), pages 46-48, 07.
     • Klaus Abberger, 2008. "ifo Konjunkturtest Juni 2008 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 61(12), pages 61-63, 06.
     • Gernot Nerb & Anna Stangl, 2008. "ifo Indikator für das Weltwirtschaftsklima weiter gesunken," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 61(10), pages 44-53, 05.
     • Gernot Nerb & Anna Stangl, 2008. "ifo Indikator für das Weltwirtschaftsklima weiter gesunken," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 61(16), pages 35-42, 08.
     • Hans G. Russ, 2004. "ifo Konjunkturtest Juli 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(14), pages 28-29, 07.
     • Hans G. Russ, 2006. "ifo Konjunkturtest Juli 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(15), pages 41-42, 08.
     • Hans G. Russ, 2005. "ifo Konjunkturtest Juli 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(15), pages 52-53, 08.
     • Hans G. Russ, 2003. "ifo Konjunkturtest Juli 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(15), pages 40-41, 08.
     • Hans G. Russ, 2003. "ifo Konjunkturtest Juni 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(12), pages 42-43, 06.
     • Hans G. Russ, 2002. "ifo Konjunkturtest Juni 2002 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 55(13), pages 44-45, 07.
     • Hans G. Russ, 2004. "ifo Konjunkturtest Juni 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(12), pages 55-56, 06.
     • Hans G. Russ, 2005. "ifo Konjunkturtest Juni 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(13), pages 49-50, 07.
     • Hans G. Russ, 2006. "ifo Konjunkturtest Juni 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(12), pages 55-56, 06.
     • Hans G. Russ, 2004. "ifo Konjunkturtest Juli 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(14), pages 28-29, 07.
     • Hans G. Russ, 2003. "ifo Konjunkturtest Juli 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(15), pages 40-41, 08.
     • Hans G. Russ, 2005. "ifo Konjunkturtest Juli 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(15), pages 52-53, 08.
     • Hans G. Russ, 2006. "ifo Konjunkturtest Juli 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(15), pages 41-42, 08.
     • Hans G. Russ, 2002. "ifo Konjunkturtest Juni 2002 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 55(13), pages 44-45, 07.
     • Hans G. Russ, 2003. "ifo Konjunkturtest Juni 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(12), pages 42-43, 06.
     • Hans G. Russ, 2005. "ifo Konjunkturtest Juni 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(13), pages 49-50, 07.
     • Hans G. Russ, 2006. "ifo Konjunkturtest Juni 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(12), pages 55-56, 06.
     • Hans G. Russ, 2004. "ifo Konjunkturtest Juni 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(12), pages 55-56, 06.
     • Hans G. Russ, 2003. "ifo Konjunkturtest Juli 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(15), pages 40-41, 08.
     • Hans G. Russ, 2005. "ifo Konjunkturtest Juli 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(15), pages 52-53, 08.
     • Hans G. Russ, 2004. "ifo Konjunkturtest Juli 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(14), pages 28-29, 07.
     • Hans G. Russ, 2006. "ifo Konjunkturtest Juli 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(15), pages 41-42, 08.
     • Hans G. Russ, 2004. "ifo Konjunkturtest Juni 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(12), pages 55-56, 06.
     • Hans G. Russ, 2006. "ifo Konjunkturtest Juni 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(12), pages 55-56, 06.
     • Hans G. Russ, 2005. "ifo Konjunkturtest Juni 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(13), pages 49-50, 07.
     • Hans G. Russ, 2002. "ifo Konjunkturtest Juni 2002 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 55(13), pages 44-45, 07.
     • Hans G. Russ, 2003. "ifo Konjunkturtest Juni 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(12), pages 42-43, 06.
     • Hans G. Russ, 2003. "ifo Konjunkturtest Juli 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(15), pages 40-41, 08.
     • Hans G. Russ, 2005. "ifo Konjunkturtest Juli 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(15), pages 52-53, 08.
     • Hans G. Russ, 2004. "ifo Konjunkturtest Juli 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(14), pages 28-29, 07.
     • Hans G. Russ, 2006. "ifo Konjunkturtest Juli 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(15), pages 41-42, 08.
     • Hans G. Russ, 2002. "ifo Konjunkturtest Juni 2002 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 55(13), pages 44-45, 07.
     • Hans G. Russ, 2003. "ifo Konjunkturtest Juni 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(12), pages 42-43, 06.
     • Hans G. Russ, 2005. "ifo Konjunkturtest Juni 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(13), pages 49-50, 07.
     • Hans G. Russ, 2004. "ifo Konjunkturtest Juni 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(12), pages 55-56, 06.
     • Hans G. Russ, 2006. "ifo Konjunkturtest Juni 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(12), pages 55-56, 06.
     • Hans G. Russ, 2003. "ifo Konjunkturtest Juli 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(15), pages 40-41, 08.
     • Hans G. Russ, 2005. "ifo Konjunkturtest Juli 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(15), pages 52-53, 08.
     • Hans G. Russ, 2004. "ifo Konjunkturtest Juli 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(14), pages 28-29, 07.
     • Hans G. Russ, 2006. "ifo Konjunkturtest Juli 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(15), pages 41-42, 08.
     • Hans G. Russ, 2004. "ifo Konjunkturtest Juni 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(12), pages 55-56, 06.
     • Hans G. Russ, 2006. "ifo Konjunkturtest Juni 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(12), pages 55-56, 06.
     • Hans G. Russ, 2005. "ifo Konjunkturtest Juni 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(13), pages 49-50, 07.
     • Hans G. Russ, 2003. "ifo Konjunkturtest Juni 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(12), pages 42-43, 06.
     • Hans G. Russ, 2002. "ifo Konjunkturtest Juni 2002 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 55(13), pages 44-45, 07.
     • Hans G. Russ, 2004. "ifo Konjunkturtest Juli 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(14), pages 28-29, 07.
     • Hans G. Russ, 2006. "ifo Konjunkturtest Juli 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(15), pages 41-42, 08.
     • Hans G. Russ, 2003. "ifo Konjunkturtest Juli 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(15), pages 40-41, 08.
     • Hans G. Russ, 2005. "ifo Konjunkturtest Juli 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(15), pages 52-53, 08.
     • Owens, Trudy & Hoddinott, John & Kinsey, Bill, 2003. "The Impact of Agricultural Extension on Farm Production in Resettlement Areas of Zimbabwe," Economic Development and Cultural Change, University of Chicago Press, vol. 51(2), pages 337-57, January.
     • Facchini, Giovanni & Steinhardt, Max Friedrich, 2011. "What drives U.S. immigration policy? Evidence from congressional roll call votes," Journal of Public Economics, Elsevier, vol. 95(7), pages 734-743.
     • Davide Castellani & Giorgia Giovannetti, 2010. "Productivity and the international firm: dissecting heterogeneity," Journal of Economic Policy Reform, Taylor & Francis Journals, vol. 13(1), pages 25-42.
     • Artjoms Ivlevs & Jaime De Melo, 2010. "FDI, the Brain Drain and Trade: Channels and Evidence," Annals of Economics and Statistics, GENES, issue 97-98, pages 103-121.
     • Julien Gourdon & Nicolas Maystre & Jaime de Melo, 2008. "Openness, inequality and poverty: Endowments matter," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 17(3), pages 343-378.
     • Robert N. McCauley, 2012. "Risk-on/risk-off, capital flows, leverage and safe assets," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 8(3), pages 281-298, August.
     • Robert N. McCauley, 2012. "Risk-on/risk-off, capital flows, leverage and safe assets," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 8(3), pages 281-298, August.
     • Lars E. O. Svensson & Michael Woodford, 2000. "Indicator variables for optimal policy," Proceedings, Federal Reserve Bank of San Francisco.
     • Miklós Koren & Silvana Tenreyro, 2007. "Technological diversification," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
     • Keith Kuester & Volker Wieland, 2010. "Insurance Policies for Monetary Policy in the Euro Area," Journal of the European Economic Association, European Economic Association, vol. 8(4), pages 872-912, 06.
     • Elena Angelini & Gonzalo Camba‐Mendez & Domenico Giannone & Lucrezia Reichlin & Gerhard Rünstler, 2011. "Short‐term forecasts of euro area GDP growth," Econometrics Journal, Royal Economic Society, vol. 14(1), pages C25-C44, February.
     • Domenico Giannone & Michele Lenza, 2010. "The Feldstein-Horioka Fact," NBER Chapters, in: NBER International Seminar on Macroeconomics 2009, pages 103-117 National Bureau of Economic Research, Inc.
     • Christian Dreger & Hans-Eggert Reimers & Barbara Roffia, 2007. "Long-Run Money Demand in the New EU Member States with Exchange Rate Effects," Eastern European Economics, Taylor & Francis Journals, vol. 45(2), pages 75-94, April.
     • Christian Daude & Marcel Fratzscher, 2007. "The pecking order of cross-border investment," CGFS Papers chapters, in: Bank for International Settlements (ed.), Research on global financial stability: the use of BIS international financial statistics, volume 29, pages 53-89 Bank for International Settlements.
     • Reint Gropp & Jukka M. Vesala & Giuseppe Vulpes, 2002. "Equity and bond market signals as leading indicators of bank fragility," Conference Series ; [Proceedings], Federal Reserve Bank of Boston.
     • Kalin Nikolov, 2012. "Bubbles, banks and financial stability," Research Bulletin, European Central Bank, vol. 15, pages 2-6.
     • Forbes, Kristin J. & Fratzscher, Marcel & Kostka, Thomas & Straub, Roland, 2012. "Bubble thy neighbor: portfolio effects and externalities from capital controls," Proceedings, Federal Reserve Bank of San Francisco, issue Nov, pages 1-48.
     • Marcel Fratzscher, 2012. "Capital Controls and Foreign Exchange Policy," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 15(2), pages 66-98, August.
     • Geert Bekaert & Marie Hoerova, 2010. "Risk, uncertainty and monetary policy," Research Bulletin, European Central Bank, vol. 10, pages 11-13.
     • António Afonso & João Tovar Jalles, 2013. "Fiscal Composition and Long-term Growth," Chapters in SUERF Studies, SUERF - The European Money and Finance Forum.
     • Alexander Chudik & M. Hashem Pesaran & Elisa Tosetti, 2011. "Weak and strong cross‐section dependence and estimation of large panels," Econometrics Journal, Royal Economic Society, vol. 14, pages C45-C90, 02.
     • Marcel Fratzscher, 2011. "Capital Flows, Push versus Pull Factors and the Global Financial Crisis," NBER Chapters, in: Global Financial Crisis National Bureau of Economic Research, Inc.
     • Hendry, David F. & Hubrich, Kirstin, 2011. "Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(2), pages 216-227.
     • Elena Bobeica & Paulo Esteves & António Rua & Karsten Staehr, 2016. "Exports and domestic demand pressure: a dynamic panel data model for the euro area countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 152(1), pages 107-125, February.
     • Peter Hördahl & David Vestin, 2005. "Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia," Review of Finance, European Finance Association, vol. 9(1), pages 97-137.
     • Charles Engel & Kenneth D. West, 2003. "Exchange rates and fundamentals," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
     • Pierpaolo Benigno & Michael Woodford, 2003. "Optimal monetary and fiscal policy: a linear-quadratic approach," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
     • J. Galí & D. López-Salido & J. Vallés, 2003. "Understanding the effects of government spending on consumption," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
     • Athanasios Orphanides & John C. Williams, 2003. "The decline of activist stabilization policy: natural rate misperceptions, learning, and expectations," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
     • Fabrice Collard & Harris Dellas, 2003. "The great inflation of the 1970s," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
     • Banbura, Marta & Rünstler, Gerhard, 2011. "A look into the factor model black box: Publication lags and the role of hard and soft data in forecasting GDP," International Journal of Forecasting, Elsevier, vol. 27(2), pages 333-346, April.
     • Stephen Bond & Dietmar Harhoff & John Van Reenen, 2005. "Investment, R&D and Financial Constraints in Britain and Germany," Annals of Economics and Statistics, GENES, issue 79-80, pages 433-460.
     • Nick Bloom & Mark Schankerman & John Van Reenen, 2005. "Identifying technology spillovers and product market rivalry," Proceedings, Federal Reserve Bank of San Francisco.
     • Francesco Caselli & Silvana Tenreyro, 2004. "Is Poland the next Spain?," Communities and Banking, Federal Reserve Bank of Boston.
     • Saul Lach & Mark Schankerman, 2003. "Incentives and invention in universities," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
     • Nick Bloom & Mark Schankerman & John Van Reenen, 2005. "Identifying technology spillovers and product market rivalry," Proceedings, Federal Reserve Bank of San Francisco.
     • Miklós Koren & Silvana Tenreyro, 2007. "Technological diversification," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
     • Christopher A. Pissarides, 2009. "The Unemployment Volatility Puzzle: Is Wage Stickiness the Answer?," Econometrica, Econometric Society, vol. 77(5), pages 1339-1369, 09.
     • Saul Lach & Mark Schankerman, 2003. "Incentives and invention in universities," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
     • Nick Bloom & Mark Schankerman & John Van Reenen, 2005. "Identifying technology spillovers and product market rivalry," Proceedings, Federal Reserve Bank of San Francisco.
     • Nick Bloom & Mark Schankerman & John Van Reenen, 2005. "Identifying technology spillovers and product market rivalry," Proceedings, Federal Reserve Bank of San Francisco.
     • Jo Blanden & Stephen Machin, 2004. "Educational Inequality and the Expansion of UK Higher Education," Scottish Journal of Political Economy, Scottish Economic Society, vol. 51(2), pages 230-249, 05.
     • Anthony J. Venables, 2006. "Shifts in economic geography and their causes," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 15-39.
     • Eva Catarineu-Rabell & Patricia Jackson & Dimitrios P. Tsomocos, 2002. "Procyclicality and the New Basel Accord: banks' choice of loan rating system," Conference Series ; [Proceedings], Federal Reserve Bank of Boston.
     • Jean-Charles Rochet & Jean Tirole, 2003. "Platform Competition in Two-Sided Markets," Journal of the European Economic Association, MIT Press, vol. 1(4), pages 990-1029, 06.
     • Larcinese, Valentino & Puglisi, Riccardo & Snyder, James M., 2011. "Partisan bias in economic news: Evidence on the agenda-setting behavior of U.S. newspapers," Journal of Public Economics, Elsevier, vol. 95(9), pages 1178-1189.
     • Saul Lach & Mark Schankerman, 2003. "Incentives and invention in universities," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
     • Richard Freeman & John Van Reenen, 2009. "What if Congress Doubled R&D Spending on the Physical Sciences?," NBER Chapters, in: Innovation Policy and the Economy, Volume 9, pages 1-38 National Bureau of Economic Research, Inc.
     • Richard Perkins & Eric Neumayer, 2010. "Geographic variations in the early diffusion of corporate voluntary standards: comparing ISO 14001 and the Global Compact," Environment and Planning A, Pion Ltd, London, vol. 42(2), pages 347-365, February.
     • Richard B. Freeman, 2007. "When Workers Share in Profits: Effort and Responses to Shirking," Rivista di Politica Economica, SIPI Spa, vol. 97(6), pages 9-36, November-.
     • Robert C. Allen & Jean‐Pascal Bassino & Debin Ma & Christine Moll‐Murata & Jan Luiten Van Zanden, 2011. "Wages, prices, and living standards in China, 1738–1925: in comparison with Europe, Japan, and India," Economic History Review, Economic History Society, vol. 64(s1), pages 8-38, February.
     • Nick Bloom & Mark Schankerman & John Van Reenen, 2005. "Identifying technology spillovers and product market rivalry," Proceedings, Federal Reserve Bank of San Francisco.
     • Miklós Koren & Silvana Tenreyro, 2007. "Technological diversification," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
     • Nancy Holman & Gabriel M Ahlfeldt, 2015. "No escape? The coordination problem in heritage preservation," Environment and Planning A, Pion Ltd, London, vol. 47(1), pages 172-187, January.
     • Paul Beaudry & David A. Green & Benjamin M. Sand, 2013. "The Great Reversal in the Demand for Skill and Cognitive Tasks," NBER Chapters, in: Labor Markets in the Aftermath of the Great Recession, pages 199-247 National Bureau of Economic Research, Inc.
     • Giuseppe Moscarini & Fabien Postel-Vinay, 2013. "Did the Job Ladder Fail after the Great Recession?," NBER Chapters, in: Labor Markets in the Aftermath of the Great Recession, pages 55-93 National Bureau of Economic Research, Inc.
     • Nuno Ferreira da Cruz & Pedro Simões & Rui Cunha Marques, 2013. "The hurdles of local governments with PPP contracts in the waste sector," Environment and Planning C: Government and Policy, Pion Ltd, London, vol. 31(2), pages 292-307, April.
     • Eric Neumayer & Peter Nunnenkamp & Martin Roy, 2016. "Are stricter investment rules contagious? Host country competition for foreign direct investment through international agreements," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 152(1), pages 177-213, February.
     • Joseph Seidel & Yang Xu, 2016. "MHTEXP: Stata module to perform multiple hypothesis testing correction procedure," Statistical Software Components S458153, Boston College Department of Economics.
     • Heike Hennig-Schmidt & Bettina Rockenbach & Abdolkarim Sadrieh, 2010. "In Search Of Workers' Real Effort Reciprocity-A Field and a Laboratory Experiment," Journal of the European Economic Association, MIT Press, vol. 8(4), pages 817-837, 06.
     • Karlan, Dean & List, John A. & Shafir, Eldar, 2011. "Small matches and charitable giving: Evidence from a natural field experiment," Journal of Public Economics, Elsevier, vol. 95(5), pages 344-350.
     • Matthew T. Cole & Amélie Guillin, 2015. "The determinants of trade agreements in services vs. goods," International Economics, CEPII research center, issue 144, pages 66-82.
     • Yilmazkuday, Hakan, 2016. "Forecasting the Great Trade Collapse," International Economics, Elsevier, vol. 147(C), pages 145-154.
     • Georgy Idrisov & Yuri Bobylev & Arseny Mamedov & Olga Morgunova & Mikhail Khromov & Sergey Tsukhlo & Olesia Rasenko, 2015. "Online Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-economic Development," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 15, pages 1-26, November.
     • Georgy Idrisov & Mikhail Khromov & Evgeny Goryunov & Alexander Knobel & Yuri Ponomarev & Alexander Deryugin & Julia Florinskaya & Nikita Mkrtchan, 2015. "Online Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-economic Development," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 16, pages 1-26, November.
     • Alexander Knobel & Yuri Bobylev & Alexandra Bozhechkova & Pavel Trunin & Mikhail Khromov & Natalia Shagaida & Vasily Uzun & Elena Avraamova & D. Loginov, 2015. "Online Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-economic Development," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 14, pages 1-26, October.
     • Firanchuk Alexander & Shagaida Natalia & Mamedov Arseny & Fomina Elena & Zubarevich Natalia, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 26, pages 1-27, May.
     • Drobyshevsky Sergey & Turuntseva Marina & Bozhechkova Alexandra & Trunin Pavel & Knobel Alexander & Firanchuk Alexander & Averkiev Vladimir & Shishkina Ekaterina & Florinskaya Yulia & Mkrtchian N. & S, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 24, pages 1-27, April.
     • Sergey Drobyshevsky & Marina Turuntseva & Michael Khromov & Yuri Bobylev & Arseny Mamedov & Evgenia Fomina & Viktoria Petrenko & Vasily Uzun, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 19, pages 1-26, January.
     • Arseny Mamedov & Evgenia Fomina & Alexandra Bozhechkova & Sergey Tsukhlo & Pavel Trunin & Victor Lyashok, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 20, pages 1-26, February.
     • Sergey Drobyshevsky & Marina Turuntseva & Michael Khromov & Yuri Bobylev & Arseny Mamedov & Evgenia Fomina & Viktoria Petrenko & Vasily Uzun, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 19, pages 1-26, January.
     • Arseny Mamedov & Evgenia Fomina & Alexandra Bozhechkova & Sergey Tsukhlo & Pavel Trunin & Victor Lyashok, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 20, pages 1-22, February.
     • Sergey Drobyshevsky & Mikhail Khromov & Maria Kazakova & Sergey Tsukhlo & Natalia Shagaida & Natalia Zubarevich, 2015. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 17, pages 1-26, December.
     • Mikhail Khromov & Sergey Drobyshevsky & Maria Kazakova & Sergey Tsukhlo & Natalia Shagaida & Natalia Zubarevich, 2015. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 17, pages 1-26, December.
     • Drobyshevsky Sergey & Turuntseva Marina & Bobylev Yuri & Rasenko O. & Trunin Pavel & Knobel Alexander & Firanchuk Alexander & Khromov Mikhail & Averkiev Vladimir & Shagaida Natalia & Kiyutsevskaya Ann, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 28, pages 1-28, June.
     • Drobyshevsky Sergey & Turuntseva Marina & Bozhechkova Alexandra & Trunin Pavel & Knobel Alexander & Firanchuk Alexander & Khromov Mikhail & Averkiev Vladimir & Shishkina Ekaterina & Uzun Vasily & Flor, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 24, pages 1-27, April.
     • Drobyshevsky Sergey & Turuntseva Marina & Bobylev Yuri & Rasenko O. & Bozhechkova Alexandra & Trunin Pavel & Knobel Alexander & Firanchuk Alexander & Khromov Mikhail & Averkiev Vladimir & Shagaida Nat, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 28, pages 1-28, June.
     • Arseny Mamedov & Evgenia Fomina & Mikhail Khromov & Natalia Shagaida & Natalia Zubarevich & Pavel Pavlov & Vasily Uzun, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 21, pages 1-30, February.
     • Sergey Drobyshevsky & Marina Turuntseva & Michael Khromov & Yuri Bobylev & Arseny Mamedov & Evgenia Fomina & Viktoria Petrenko & Vasily Uzun, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 19, pages 1-26, January.
     • Idrisov Georgy & Bozhechkova Alexandra & Trunin Pavel & Khromov Mikhail & Tsukhlo Sergey & Goryunov Evgeny & Deryugin Alexander & Kaukin Andrey, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 25, pages 1-22, April.
     • Firanchuk Alexander & Shagaida Natalia & Mamedov Arseny & Fomina Elena & Zubarevich Natalia, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 26, pages 1-27, May.
     • Alexandra Bozhechkova & Alexander Knobel & Sergey Tsukhlo & Elena Grishina & Pavel Trunin & Alexander Firanchuk & Olga Berezinskaya, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 22, pages 1-27, March.
     • Sergey Drobyshevsky & Marina Turuntseva & Michael Khromov & Yuri Bobylev & Arseny Mamedov & Evgenia Fomina & Viktoria Petrenko & Vasily Uzun, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 19, pages 1-26, January.
     • Idrisov Georgy & Bozhechkova Alexandra & Trunin Pavel & Khromov Mikhail & Tsukhlo Sergey & Goryunov Evgeny & Deryugin Alexander & Kaukin Andrey, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 25, pages 1-22, April.
     • Loginov D. & Trunin Pavel & Knobel Alexander & Firanchuk Alexander & Goryunov Evgeny & Kiyutsevskaya Anna & Larionova M. & Sakharov A. & Shelepov A. & Avraamova A., 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 29, pages 1-26, June.
     • Arseny Mamedov & Evgenia Fomina & Mikhail Khromov & Natalia Shagaida & Natalia Zubarevich & Pavel Pavlov & Vasily Uzun, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 21, pages 1-30, February.
     • Idrisov Georgy & Loginova D. & Knobel Alexander & Firanchuk Alexander & Tsukhlo Sergey & Uzun Vasily & Kaukin Andrey & Zubarevich Natalia, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 32, pages 1-27, September.
     • Arseny Mamedov & Evgenia Fomina & Mikhail Khromov & Andrei Kaukin & Natalia Shagaida & Natalia Zubarevich & Pavel Pavlov & Vasily Uzun, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 21, pages 1-30, February.
     • Mikhail Khromov & Yuri Bobylev & Sergey Tsukhlo & E. Avraamova & D. Loginov & O. Rasenko & Ekaterina Ponomareva & Sergey Sudakov, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 23, pages 1-27, March.
     • Firanchuk Alexander & Shagaida Natalia & Mamedov Arseny & Fomina Elena & Zubarevich Natalia, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 26, pages 1-27, May.
     • Alexandra Bozhechkova & Alexander Knobel & Georgy Idrisov & Yuri Ponomarev & Sergey Tsukhlo & Pavel Trunin & Sergey Sudakov & Alexandra Burdyak & Elena Grishina, 2015. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 18, pages 1-26, December.
     • Mikhail Khromov & Sergey Drobyshevsky & Maria Kazakova & Sergey Tsukhlo & Natalia Shagaida & Natalia Zubarevich, 2015. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 17, pages 1-26, December.
     • Bozhechkova Alexandra & Trunin Pavel & Grishina Elena & Khromov Mikhail & Tsukhlo Sergey & Deryugin Alexander & Burdyak Alexandra, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 31, pages 1-27, July.
     • Arseny Mamedov & Evgenia Fomina & Alexandra Bozhechkova & Sergey Tsukhlo & Pavel Trunin & Victor Lyashok, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 20, pages 1-22, February.
     • Idrisov Georgy & Loginova D. & Knobel Alexander & Firanchuk Alexander & Tsukhlo Sergey & Uzun Vasily & Kaukin Andrey & Zubarevich Natalia, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia'
     • Per Aslak Mykland & Lan Zhang, 2006. "ANOVA for diffusions and It\^{o} processes," Papers math/0611274, arXiv.org.
     • Tang, Sanyi & Heron, Elizabeth A., 2008. "Bayesian inference for a stochastic logistic model with switching points," Ecological Modelling, Elsevier, vol. 219(1), pages 153-169.
     • Y. K. Tse & Xibin Zhang & Jun Yu, 2004. "Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 158-169.
     • Kristensen, Dennis, 2004. "Estimation in two classes of semiparametric diffusion models," LSE Research Online Documents on Economics 24739, London School of Economics and Political Science, LSE Library.
       • Dennis Kristensen, 2004. "Estimation in Two Classes of Semiparametric Diffusion Models," FMG Discussion Papers dp500, Financial Markets Group.
     • Chua, Chew Lian & Suardi, Sandy & Tsiaplias, Sarantis, 2013. "Predicting short-term interest rates using Bayesian model averaging: Evidence from weekly and high frequency data," International Journal of Forecasting, Elsevier, vol. 29(3), pages 442-455.
     • repec:wyi:journl:002113 is not listed on IDEAS
     • Michael S. Johannes & Nicholas G. Polson & Jonathan R. Stroud, 2009. "Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices," The Review of Financial Studies, Society for Financial Studies, vol. 22(7), pages 2559-2599, July.
     • Quentin Clairon & Adeline Samson, 2020. "Optimal control for estimation in partially observed elliptic and hypoelliptic linear stochastic differential equations," Statistical Inference for Stochastic Processes, Springer, vol. 23(1), pages 105-127, April.
     • Denitsa Stefanova, 2012. "Stock Market Asymmetries: A Copula Diffusion," Tinbergen Institute Discussion Papers 12-125/IV/DSF45, Tinbergen Institute.
     • Ruijun Bu & Ludovic Giet & Kaddour Hadri & Michel Lubrano, 2009. "Modelling Multivariate Interest Rates using Time-Varying Copulas and Reducible Non-Linear Stochastic Differential," Economics Working Papers 09-02, Queen's Management School, Queen's University Belfast.