EC3335 Financial Econometrics

Course Outline

"A parametric bootstrap test for cycles", (with J. Hidalgo). Journal of Econometrics, 129 (2005), pp. 219-261.

"Consistent estimation of the memory parameter for nonlinear time series", (with L. Giraitis and J. Hidalgo). Journal of Time Series Analysis, 27 (2006), pp. 211-251.

"Evaluating currency risk in emerging markets", (with S.Y. Novak and L. Giraitis). Acta Applicandae Mathematicae, 97 (2007), pp. 163-175.

"Re-examining the long-run properties of the real interest rate".

"The Taylor effect of asset returns: Stylized fact or finite-sample behaviour?".