Econometrics and Finance(all)
MPhil & PhD 2016 Economics Econometrics Finance
... TI was founded in 1987 by these three universities, and has offices in both Amsterdam and Rotterdam. The Institute is named after Jan Tinbergen, the Dutch Nobel Prize laureate in Economics (1969). Today, TI is one of the ...
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The last five years of Big Data Research in Economics, Econometrics and Finance: Identification and conceptual analysis
... Today, the Big Data term has a multidimensional approach where five main characteristics stand out: volume, velocity, veracity, value and variety. It has changed from being an emerging theme to a growing research area. ...
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Marios A. Panayides. Market Microstructure, International Finance, Financial Econometrics, Market Efficiency;
... of Finance, Review of Financial Studies, Journal of Financial And Quantitative Analysis, Management Science, Review of Asset Pricing Studies, Journal of Financial Intermediation, Journal of Financial Markets, ...
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The econometrics of finance and growth
... the finance and growth relationship on a more disaggregated level might allow better controlling for different biases – such as measurement error when considering a specific policy change on the sub-national level ...
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Journal of Econometrics
... Financial Econometrics (London, December 2010), Far East and South Asia Meeting of the Econometric Society (Tokyo, August 2009), International Sympo- sium on Risk Management and Derivatives (Xiamen, July 2009), ...
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Three essays in financial econometrics
... 1 of 3 The London School of Economics and Political Science Three Essays in Financial Econometrics Yu Min Yen A thesis submitted to the Department of Finance of the London School of Economics for the[.] ...
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Matteo Manera - Short CV
... teaching Econometrics, Applied Econometrics, Time Series Econometrics, Financial Econometrics and Microeconometrics in: the undergraduate and graduate programmes in Statistics and Economics at ...
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Curriculum Vitae Laura Spierdijk
... of Econometrics; Journal of International Money and Finance; Journal of Money, Credit and Banking; Journal of Applied Econometrics; Journal of Em- pirical Finance; Applied Economics; The ...
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A Semi-Parametric Approach to the Oaxaca–Blinder Decomposition with Continuous Group Variable and Self-Selection
... Table 1 provides a summary of the results, showing the bias, standard errors from the simulations, average bootstrapped standard errors, and the 95% coverage and bias corrected coverage [r] ...
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Realist econometrics? Nell and Errouaki on methodological institutionalism, regularity and uncertainty
... However, despite such statements the core argument has created some controversy within heterodox economics regarding the use of mathematics in general and econometrics in particular. Lawson’s critique is oriented ...
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Abstract: This paper deals with instability in regression coefficients. We propose a Bayesian regression
... Suppose that one’s data has indeed been generated by a regression with constant coefficients; how much does the econometrician lose, in terms of estimation precision and forecasting accu[r] ...
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Looking Backward and Looking Forward
... In our context, building econometric models is related to the proper specification of filters. Considering filters as a perception device in an abstract economy induces a large class of econometric models. The remaining ...
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Evaluating Approximate Point Forecasting of Count Processes
... For each simulated time series and corresponding point forecast, the RMAE and RMEL values were computed, where deviations from 1 were now caused by either estimation error only (for the [r] ...
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Estimation of FAVAR Models for Incomplete Data with a Kalman Filter for Factors with Observable Components
... Contributions of CURRCIR (black area), AMBSL (dark gray area) and FEDFUNDS (light gray area) to the forecast error variance of the standardized variables in Appendix C over the next 48 m[r] ...
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Misclassification in Binary Choice Models with Sample Selection
... We try to overcome this by proposing a parametric approach for the estimation of the probabilities of misclassification of a binary response variable by incorporating them in the likelih[r] ...
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A Comparison of Some Bayesian and Classical Procedures for Simultaneous Equation Models with Weak Instruments
... Abstract: We compare the finite sample performance of a number of Bayesian and classical procedures for limited information simultaneous equations models with weak instruments by a Monte[r] ...
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Essays on Learning and Econometrics
... behavioral finance, a large price deviation could occur due to a temporal overreaction without any fundamental change (De Bondt and Thaler (1989), Bondt and Thaler (1985), Shiller (2003)) and the deviation would ...
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Essays in applied econometrics
... a London School of Economics and Political Science Essays in Applied Econometrics Vincenzo Scrutinio July, 2019 A thesis submitted to the Department of Economics of the London School of Economics for[.] ...
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Heteroskedasticity in One-Way Error Component Probit Models
... In addition, the papers aims at providing a likelihood ratio (LR) test procedure for homoskedasticity in a panel probit model that allows one to investigate various forms of heteroskedas[r] ...
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Three essays in econometrics
... Other examples of models that satisfy our identification setup include: mixed data sampling (MIDAS) regressions in empirical finance (see e.g. Ghy- sels, Sinko, and Valkanov [2007]), autoregressive distributed lag ...
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