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Econometrics Paper
Fractional Cointegration In Stochastic Volatility Models Afonso Gonçalves da Silva and Peter M Robinson
May 2007
Paper No' EM/2007/519:
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JEL Classification: C22


Tags: fractional cointegration; stochastic volatility; narrow band least squares; semiparametric analysis.

Econometrics Paper
Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory Afonso Gonçalves da Silva and Peter M Robinson April 2006
Paper No' EM/2006/501:
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JEL Classification: C32


Tags: fractional cointegration; memory estimation; stochastic volatility.

Econometrics Paper
Modelling Memory of Economic and Financial Time Series Peter M Robinson
March 2005
Paper No' EM/2005/487:
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JEL Classification: C22


Tags: long memory; short memory; stochastic volatility

Econometrics Paper
Estimation of Semiparametric Models when the Criterion Function is not Smooth Xiaohong Chen, Oliver Linton and Ingrid Van Keilegom May 2003
Paper No' EM/2003/450:
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JEL Classification: C13; C14


Tags: empirical processes; non-smooth criterion; semiparametric estimation; stochastic equicontinuity.

Econometrics Paper
Consistent Testing for Stochastic Dominance: A Subsampling Approach Oliver Linton, Esfandiar Maasoumi and Yoon-Jae Whang
March 2002
Paper No' EM/2002/433:
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Tags: prospect theory; stochastic dominance; stochastic equicontinuity; subsampling.

Econometrics Paper
Gaussian Estimation of Long-Range Dependent Volatility in Asset Prices Paolo Zaffaroni
May 1997
Paper No' EM/1997/329:
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Tags: stochastic volatility; long memory; asymptotics.

Econometrics Paper
Nonlinear Time Series with Long Memory: A Model for Stochastic Volatility - (Now published in 'Journal of Statistical Planning and Inference', 68 (1998), pp.359-371.) Peter M Robinson and Paolo Zaffaroni January 1997
Paper No' EM/1997/320:
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Tags: long memory; two-shock model; stochastic volatility

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.

Econometrics Paper
Empirics for Economic Growth and Convergence (Now published in European Economic Review, vol.40, no.6 (1996), pp.1353-1375.) Danny Quah  1995
Paper No' EM/1995/281:
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Tags: evolving distributions; galton's fallacy; polarization; regional dynamics; stochastic kernel; unit root.

Econometrics Paper
Aggregate and Regional Disagggregate Fluctuations (Now published in Empirical Economics (1996), vol.21, no.1, pp.137-159.) Danny Quah August 1995
Paper No' EM/1995/290:
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Tags: aggregate disturbance; business cycle; distribution dynamics; regional fluctuation; stochastic kernel.

Econometrics Paper
The Multivariate Invariance Principle for Globally Nonstationary Processes, with an Application to I(2) Models James Davidson  1993
Paper No' EM/1993/262:
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Tags: multivariate invariance principle; dependent processes; trending variances; global nonstationarity; gaussian diffusion process; stochastic integrals; integrated variables.

Theoretical Economics Paper
A General Model of Information Sharing in Oligopoly Michael A. Raith
March 1993
Paper No' TE/1993/260:
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Tags: oligopoly; information sharing; stochastic demand; stochastic costs.

Econometrics Paper
Quasi-Maximum Likelihood Estimation of Stochastic Variance Models Esther Ruiz
 1992
Paper No' EM/1992/244:
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Tags: stochastic variance models; volatility; asymptotic and finite sample properties; qml estimator; generalized method of moments; autoregression.