Properties of etimated characteristic roots. by Nielsen, B, Nielsen, H

Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes. by Barndorff-Nielsen, O, Shephard, N

Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms by Takamitsu Kurita, Bent Nielsen

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Some Observations on the British and German 3G Telecom Auctions. by Klemperer, P

Power and bipower variation with stochastic volatility and jumps. by Barndorff-Nielsen, O, Shephard, N

Some Implications of a Variable EIS. by Bliss, C

Inflation Adjustment in the Open Economy: An I(2) Analysis of UK Prices. by Nielsen, H, Bowdler, C

Coping with Shocks and Shifts: The Multilateral Trading System in Historical Perspective. by Irwin, D, O'Rourke, K

Testing for rational bubbles in a co-explosive vector autoregression. by Engsted, T, Nielsen, B

State Dependence in a Multi-state Model of Employment Dynamics. by Prowse, V

Italy and the First Age of Globalization, 1861-1940. by James, H, O'Rourke, K

Dynamics of trade-by-trade price movements: decomposition and models. by Rydberg, T, Shephard, N

Additional notes on the comparative statics of constrained optimization problems. by Quah, J

Simulating properties of the likelihood ratio test for a unit root in an explosive second order autoregression. by Nielsen, B, Reade, J

Stochastic volatility: likelihood inference and comparison with ARCH models. by Kim, S, Shephard, N

Computationally-intensive Econometrics using a Distributed Matrix-programming Language. by Doornik, J, Hendry, D, Shephard, N

Autoregressive conditional root model. by Rahbek, A, Shephard, N

Two sided analysis of variance with a latent time series. by Hansen, L, Nielsen, B, Nielsen, J

Understanding economic forecasts

“…Hendry is Professor of Economics at Nuffield College, Oxford University. Ericsson is a staff economist at the Division of International Finance, Federal Reserve Board. …”

Forecasting in the Presence of Structural Breaks and Policy Regime Shifts. by Hendry, D, Mizon, G