Search research publications and outputs

  1. 2014
  2. A simple two-component model for the distribution of intraday returns

    Coroneo, L. & Veredas, D., 24 Nov 2014, High frequency trading and limit order book dynamics. Nolte, I., Salmon, M. & Adcock, C. (eds.). Routledge, p. 43-65

    Research output: Chapter in Book/Report/Conference proceedingChapter (peer-reviewed)

  3. Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework

    Shin, Y., Yu, B. & Greenwood-Nimmo, M., 2014, The Festschrift in Honor of Peter Schmidt.: Econometric Methods and Applications. Horrace, W. & Sickles, R. (eds.). New York: Springer, p. 281-314 34 p.

    Research output: Chapter in Book/Report/Conference proceedingChapter (peer-reviewed)

  4. 2013
  5. Using Global VAR Models for Scenario-based Forecasting and Policy Analysis

    Shin, Y., Greenwood-Nimmo, M. & Nguyen, V., 2013, The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis. Pesaran, H. & di Mauro, F. (eds.). Oxford: Oxford University Press, p. 97-113

    Research output: Chapter in Book/Report/Conference proceedingChapter (peer-reviewed)

  6. 2012
  7. A simple test for identification in GMM under conditional moment restrictions

    Bravo, F., Escanciano, J. & Otsu, T., 2012, Advances in Econometrics. Baltagi, B. H., Carter Hill, R., Newey, W. K. & White, H. L. (eds.). Vol. 29. p. 455-478 (Advances in Econometrics; vol. 29).

    Research output: Chapter in Book/Report/Conference proceedingChapter (peer-reviewed)

  8. 2011
  9. Average derivative estimation with missing responses

    Bravo, F., Huynh, K. & Jacho-Chavez, D., 2011, Advances in Econometrics . Vol. 27. p. 129-154

    Research output: Chapter in Book/Report/Conference proceedingChapter (peer-reviewed)

  10. 2000
  11. The Structural Cointegrating VAR Approach to Macroeconometric Modelling

    Shin, Y., Pesaran, M. H., Lee, K. & Garratt, A., 2000, Econometric Modelling: Techniques and Applications. Holly, S. & Weale, M. (eds.). Cambridge: Cambridge University Press, p. 94-31 38 p.

    Research output: Chapter in Book/Report/Conference proceedingChapter (peer-reviewed)

  12. 1999
  13. An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis

    Shin, Y. & Pesaran, M. H., 1999, Econometrics and Economic Theory in the 20th century: The Ragnar Frish Centennial Symposium. Strom, S. (ed.). Cambridge: Cambridge University Press, p. 371-413 43 p.

    Research output: Chapter in Book/Report/Conference proceedingChapter (peer-reviewed)