Economics - Research Publications
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ItemCAUSAL EFFECTS FROM PANEL DATA IN RANDOMIZED EXPERIMENTS WITH PARTIAL COMPLIANCE(EMERALD GROUP PUBLISHING LIMITED, 2008-01-01)
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ItemModeling and calculating the effect of treatment at baseline from panel outcomes(ELSEVIER SCIENCE SA, 2007-10-01)
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ItemImplicit Bayesian inference using option prices(BLACKWELL PUBL LTD, 2005-05-01)Abstract. A Bayesian approach to option pricing is presented in which posterior inference about the underlying returns process is conducted implicitly via observed option prices. A range of models allowing for conditional leptokurtosis, skewness and time‐varying volatility in returns are considered, with posterior parameter distributions and model probabilities backed out from the option prices. Models are ranked according to several criteria, including out‐of‐sample predictive and hedging performance. The methodology accommodates heteroscedasticity and autocorrelation in the option pricing errors, as well as regime shifts across contract groups. The method is applied to intraday option price data on the S&P500 stock index for 1995. While the results provide support for models that accommodate leptokurtosis and skewness, no one model dominates when all criteria are considered.
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ItemTurning from crime: A dynamic perspective(Elsevier, 2008-07)
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ItemA New Class of Tests of Contagion With Applications(AMER STATISTICAL ASSOC, 2010-07-01)
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ItemPredictive densities for models with stochastic regressors and inequality constraints: Forecasting local-area wheat yield(ELSEVIER SCIENCE BV, 2010-04-01)
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ItemReal time representation of the UK output gap in the presence of model uncertainty(ELSEVIER SCIENCE BV, 2009-01-01)
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ItemEstimating and combining national income distributions using limited data(TAYLOR & FRANCIS INC, 2007-01-01)
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ItemApproximating the distribution of the two-stage least squares estimator when the concentration parameter is small(ELSEVIER SCIENCE SA, 2007-07-01)
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ItemModified KPSS tests for near integration(CAMBRIDGE UNIV PRESS, 2007-04-01)