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Econometrics Discussion Paper Series
Empirical likelihood for high frequency data
Lorenzo  Camponovo,  Yukitoshi  Matsushita,  Taisuke  Otsu,  February 2017
Paper No' EM591: Read Abstract | Full paper (pdf)
Econometrics Discussion Paper Series
Nonparametric likelihood for volatility under high frequency data
Lorenzo  Camponovo,  Yukitoshi  Matsushita,  Taisuke  Otsu,  January 2015
Paper No' EM/2015/581: Read Abstract | Full paper (pdf)
Paper copy now out of print.
CEP Occasional Paper
Fluctuations in Uncertainty
Nicholas  Bloom,  December 2013
Paper No' CEPOP38: Read Abstract | Full paper (pdf)
CEP Discussion Paper
Second-Order Approximation of Dynamic Models with Time-Varying Risk
Gianluca  Benigno,  Pierpaolo  Benigno,  Salvatore  Nisticò,  December 2010
Paper No' CEPDP1033: Read Abstract | Full paper (pdf)
CEP Discussion Paper
Technological Diversification
Miklos  Koren,  Silvana  Tenreyro,  October 2007
Paper No' CEPDP0824: Read Abstract | Full paper (pdf)
Econometrics Discussion Paper Series
Inference about Realized Volatility using Infill Subsampling
Ilze  Kalnina,  Oliver  Linton,  September 2007
Paper No' EM/2007/523: Read Abstract | Full paper (pdf)
Econometrics Discussion Paper Series
Fractional Cointegration In Stochastic Volatility Models
Afonso   Gonçalves da Silva,  Peter M  Robinson,  May 2007
Paper No' EM/2007/519: Read Abstract | Full paper (pdf)
Econometrics Discussion Paper Series
Estimating Quadratic Variation Consistently in the Presence of Correlated Measurement Error
Ilze  Kalnina,  Oliver  Linton,  October 2006
Paper No' EM/2006/509: Read Abstract | Full paper (pdf)
Econometrics Discussion Paper Series
Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory
Afonso   Gonçalves da Silva,  Peter M  Robinson,  April 2006
Paper No' EM/2006/501: Read Abstract | Full paper (pdf)
CEP Discussion Paper
Volatility and Development
Miklos  Koren,  Silvana  Tenreyro,  November 2005
Paper No' CEPDP0706: Read Abstract | Full paper (pdf)
CEP Discussion Paper
Capital Mobility and Unemployment Dynamics: Evidence from a Panel of OECD Countries
Giovanna  Vallanti,  April 2005
Paper No' CEPDP0684: Read Abstract | Full paper (pdf)
Econometrics Discussion Paper Series
Modelling Memory of Economic and Financial Time Series
Peter M  Robinson,  March 2005
Paper No' EM/2005/487: Read Abstract | Full paper (pdf)
Econometrics Discussion Paper Series
A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models
Woocheol  Kim,  Oliver  Linton,  May 2003
Paper No' EM/2003/456: Read Abstract | Full paper (pdf)
Econometrics Discussion Paper Series
Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods
Oliver  Linton,  Enno  Mammen,  May 2003
Paper No' EM/2003/453: Read Abstract | Full paper (pdf)
Econometrics Discussion Paper Series
The Memory of Stochastic Volatility Models
Peter M  Robinson,  February 2001
Paper No' EM/2001/410: Read Abstract | Full paper (pdf)
Econometrics Discussion Paper Series
Gaussian Estimation of Long-Range Dependent Volatility in Asset Prices
Paolo  Zaffaroni,  May 1997
Paper No' EM/1997/329: Read Abstract
Paper copy now out of print.
Econometrics Discussion Paper Series
Nonlinear Time Series with Long Memory: A Model for Stochastic Volatility - (Now published in 'Journal of Statistical Planning and Inference', 68 (1998), pp.359-371.)
Peter M  Robinson,  Paolo  Zaffaroni,  January 1997
Paper No' EM/1997/320: Read Abstract
Paper copy now out of print.
Econometrics Discussion Paper Series
Testing for a Slowly Changing Level with Special Reference to Stochastic Volatility - (Now published in 'Journal of Econometrics', 87 (1998), pp.167-189.)
Andrew C  Harvey,  Mariane  Streibel,  March 1996
Paper No' EM/1996/306: Read Abstract
Paper copy now out of print.
Econometrics Discussion Paper Series
Quasi-Maximum Likelihood Estimation of Stochastic Variance Models
Esther  Ruiz,   1992
Paper No' EM/1992/244: Read Abstract
Paper copy now out of print.