> Verlagsreihe
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Testing for co-jumps in financial markets Jan Novotny and Giovanni Urga
London: Centre for Econometric Analysis, Cass Business School, [2017]
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On the instability of long-run money demand and the welfare cost of inflation in the U.S. Matteo Mogliani and Giovanni Urga
London: Centre for Econometric Analysis, Cass Business School, [2017]
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Measuring and assessing the evolution of liquidity in forward natural gas markets the case of the UK national balancing point Lilian M. de Menezes, Marianna Russo and Giovanni Urga
London: Centre for Econometric Analysis, Cass Business School, [2017]
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High-frequency cross-market trading model free measurement and applications Dobrislav Dobrev and Ernst Schaumburg
London: Centre for Econometric Analysis, Cass Business School, [2017]
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money market funds, shadow banking and systemic risk in united kingdom Carlo Bellavite Pellegrini, MicheleMeoli and Giovanni Urga
London: Centre for Econometric Analysis, Cass Business School, [2017]
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Maximum likelihood estimation of time-varying loadings in high-dimensional factor models Jakob Guldbaek Mikkelsen, Eric Hillebrand and Giovanni Urga
London: Centre for Econometric Analysis, Cass Business School, [2017]
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Using principal component analysis to estimate a highdimensional factor model with high-frequency data Yacine Ait-Sahalia and Dacheng Xiu
London: Centre for Econometric Analysis, Cass Business School, [2017]
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Asymmetric jump beta estimation with implications forportfolio risk management Vitali Alexeev, Giovanni Urga and Wenying Yao
London: Centre for Econometric Analysis, Cass Business School, [2017]
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Maximum likelihood estimation and inference for high dimensional nonlinear factor models Fa Wang
London: Centre for Econometric Analysis, Cass Business School, [2017]