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Econometrics Paper
Efficient Estimation of a Multivariate Multiplicative Volatility Model Christian M. Hafner and Oliver Linton
October 2009
Paper No' EM/2009/541:
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JEL Classification: C12, C13, C14.


Tags: garch; kernel estimation; local stationarity; semiparametric

Econometrics Paper
ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL Woocheol Kim and Oliver Linton
October 2009
Paper No' EM/2009/539:
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JEL Classification: C14


Tags: inverse problem; instrumental variable; igarch; kernel estimation; nonparametric regression

Econometrics Paper
Pseudo-Maximum Likelihood Estimation of ARCH(8) Models Peter M Robinson and Paolo Zaffaroni
October 2005
Paper No' EM/2005/495:
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JEL Classification: Primary 62M10; secondary 62F12


Tags: arch (8); pseudo-maximum likelihood estimation; asymptotic inference

DARP Paper
Hierarchic contracting Rafael Hortala-Vallve and Miguel Sanchez
September 2005
Paper No' DARP 073:
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JEL Classification: D80; J30; L22; M12


Tags: principal-multi-agent relationships; moral hazard; team production; decentralisation; hierarchies; contract design

Economics of Industry Paper
Incentives and Invention in Universities Saul Lach and Mark Schankerman
March 2004
Paper No' EI 33:
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Tags: academic research; incentives; licensing; royalties; technology transfer; intellectual property.

Econometrics Paper
LARCH, Leverage and Long Memory Liudas Giraitis, Remigijus Leipus, Peter M Robinson and Donatas Surgailis
October 2003
Paper No' EM/2003/460:
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Tags: leverage; long memory; linear arch; larch; finiteness of moments.

Econometrics Paper
Whittle Estimation of ARCH Models Liudas Giraitis and Peter M Robinson
November 2000
Paper No' EM/2000/406:
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Tags: arch models; whittle estimation.

Theoretical Economics Paper
On the Design of Hierarchies: Coordination Versus Specialization Oliver Hart and John Moore
October 1999
Paper No' TE/1999/375:
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Tags: organisations; hierarchies; coordination; specialisation

Econometrics Paper
Modelling Nonlinearity and Long Memory in Time Series - (Now published in 'Nonlinear Dynamics and Time Series', C D Cutler and D T Kaplan (eds), Fields Institute Communications, 11 (1997), pp.61-170.) Peter M Robinson and Paolo Zaffaroni January 1997
Paper No' EM/1997/319:
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Tags: long memory; arch; nonlinear moving average. jel no.: c22

Econometrics Paper
Testing for a Slowly Changing Level with Special Reference to Stochastic Volatility - (Now published in 'Journal of Econometrics', 87 (1998), pp.167-189.) Andrew C Harvey and Mariane Streibel March 1996
Paper No' EM/1996/306:
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Tags: exchange rates; garch model; locally best invariant test; serial correlation; stochastic volatility; unobserved components; von mises distribution.