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Econometricians Have Their Moments: GMM at 32. (2015). Hall, Alastair R..
In: The Economic Record.
RePEc:bla:ecorec:v:91:y:2015:i:s1:p:1-24.

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  3. Constructing Efficient Simulated Moments Using Temporal Convolutional Networks. (2023). Creel, Michael ; Chassot, Jonathan.
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  4. Does fiscal sentiment matter for sovereign risk?. (2022). Pereira, Flavio ; Nicolay, Rodolfo ; Montes, Gabriel Caldas.
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  5. Discretionary fiscal policy, fiscal credibility and inflation risk premium. (2022). de Hollanda, Natalia Teixeira ; Montes, Gabriel Caldas.
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  6. Monetary policy opacity and disagreements in expectations about variables under central bank control. (2022). Montes, Gabriel ; Ferreira, Caio F.
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  8. Effects of monetary policy and credibility on financial intermediation: evidence from the Brazilian banking sector. (2021). Pereira, Jose Americo ; Montes, Gabriel Caldas ; Araujo, Alexei Ferreira.
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  9. Effects of crime and violence on business confidence: evidence from Rio de Janeiro. (2020). Montes, Gabriel ; Guedes, Andre Filipe.
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  10. Inference in second-order identified models. (2020). Kleibergen, Frank ; Hall, Alastair R ; Dovonon, Prosper.
    In: Journal of Econometrics.
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  11. Sovereign default risk, debt uncertainty and fiscal credibility: The case of Brazil. (2020). Souza, Ivan ; Montes, Gabriel Caldas.
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  12. La comunicación fiscal y sus efectos sobre los retornos de los títulos públicos: una aproximación empírica para el caso colombiano. (2020). Cardenas, Carlos Mauro ; Galvis, Juan Camilo.
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  13. The asymptotic properties of GMM and indirect inference under second-order identification. (2018). Dovonon, Prosper ; Hall, Alastair R.
    In: Journal of Econometrics.
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  14. Discretionary fiscal policy and disagreement in expectations about fiscal variables empirical evidence from Brazil. (2018). Montes, Gabriel ; Luna, Paulo Henrique.
    In: Economic Modelling.
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  15. Discretionary fiscal policy and sovereign risk. (2018). Montes, Gabriel ; Valpassos, Iven Silva.
    In: Economics Bulletin.
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  16. Effect of credibility and reputation on discretionary fiscal policy: empirical evidence from Colombia. (2017). de Mendonça, Helder ; Galvis Ciro, Juan Camilo ; de Mendona, Helder Ferreira ; deMendona, Helder Ferreira .
    In: Empirical Economics.
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  17. The Asymptotic Properties of GMM and Indirect Inference under Second Inference. (2017). Donovon, Prosper ; Hall, Alastair R.
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    In: Energy Policy.
    RePEc:eee:enepol:v:92:y:2016:i:c:p:279-285.

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  16. GMM and Indirect Inference: An appraisal of their connections and new results on their properties under second order identification. (2015). Hall, Alastair R. ; Donovon, Prosper .
    In: The School of Economics Discussion Paper Series.
    RePEc:man:sespap:1505.

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  17. Regularized LIML for many instruments. (2015). Tchuente, Guy ; Carrasco, Marine.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:186:y:2015:i:2:p:427-442.

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  18. Econometricians Have Their Moments: GMM at 32. (2015). Hall, Alastair R..
    In: The Economic Record.
    RePEc:bla:ecorec:v:91:y:2015:i:s1:p:1-24.

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  19. Econometricians Have Their Moments: GMM at 32. (2015). Dungey, Mardi ; Hall, Alastair R ; Tian, Jing ; Alexeev, Vitali.
    In: The Economic Record.
    RePEc:bla:ecorec:v:91:y:2015:i::p:1-24.

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  20. A flexible and automated likelihood based framework for inference in stochastic volatility models. (2014). Yu, Jun ; Skaug, Hans J. ; JunYu, .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:76:y:2014:i:c:p:642-654.

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  21. Stochastic volatility model under a discrete mixture-of-normal specification. (2013). Xu, Dinghai ; Knight, John.
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:37:y:2013:i:2:p:216-239.

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  22. Privatization and globalization: An empirical analysis. (2013). Cosset, Jean-Claude ; Valery, Pascale ; Debab, Nassima ; Boubakri, Narjess.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:6:p:1898-1914.

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  23. Earnings Growth and Movements in Self-Reported Health. (2012). Halliday, Timothy.
    In: IZA Discussion Papers.
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  24. Exchange rates and oil prices: A multivariate stochastic volatility analysis. (2012). Ding, Liang ; Vo, Minh .
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:52:y:2012:i:1:p:15-37.

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  25. A regularization approach to the many instruments problem. (2012). Carrasco, Marine.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:170:y:2012:i:2:p:383-398.

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  26. Estimating the agglomeration benefits of transport investments: some tests for stability. (2011). Graham, Daniel ; Dender, Kurt .
    In: Transportation.
    RePEc:kap:transp:v:38:y:2011:i:3:p:409-426.

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  27. Earnings Growth and Movements in Self-Reported Health. (2011). Halliday, Timothy.
    In: Working Papers.
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  28. Oil and stock market volatility: A multivariate stochastic volatility perspective. (2011). Vo, Minh .
    In: Energy Economics.
    RePEc:eee:eneeco:v:33:y:2011:i:5:p:956-965.

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  29. Fourth order pseudo maximum likelihood methods. (2011). Rockinger, Michael ; Monfort, Alain ; Holly, Alberto.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:162:y:2011:i:2:p:278-293.

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  30. Stock and Bond Relationships in Asia. (2010). Johansson, Anders.
    In: Working Paper Series.
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  31. Estimating continuous-time stochastic volatility models of the short-term interest rate: a comparison of the generalized method of moments and the Kalman filter. (2009). Sapp, Travis .
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:33:y:2009:i:4:p:303-326.

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  32. A Note on the Theme of Too Many Instruments. (2009). Roodman, David.
    In: Oxford Bulletin of Economics and Statistics.
    RePEc:bla:obuest:v:71:y:2009:i:1:p:135-158.

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  33. Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments. (2008). .
    In: UFAE and IAE Working Papers.
    RePEc:aub:autbar:725.08.

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  34. Modeling foreign exchange rates with jumps. (2007). McCurdy, Tom ; Maheu, John.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-279.

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  35. Optimal instruments (in Russian). (2007). Anatolyev, Stanislav.
    In: Quantile.
    RePEc:qnt:quantl:y:2007:i:2:p:61-69.

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  36. Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments. (2007). West, Kenneth ; Anatolyev, Stanislav ; Wong, Ka-Fu .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13134.

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  37. Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments. (2007). West, Kenneth ; Anatolyev, Stanislav ; Wong, Ka-Fu .
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0338.

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  38. Gamma stochastic volatility models. (2006). Abraham, Bovas ; Sivakumar, Ranjini ; Balakrishna, N..
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:25:y:2006:i:3:p:153-171.

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  39. On the estimation and comparison of short-rate models using the generalised method of moments. (2006). faff, robert ; Gray, Philip.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:11:p:3131-3146.

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  40. Approaches to forecasting volatility: Models and their performances for emerging equity markets. (2006). Uberti, Mariacristina ; Pezzo, Rosanna.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:29:y:2006:i:3:p:556-565.

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  41. Deciding between GARCH and stochastic volatility via strong decision rules. (2006). Hafner, Christian ; Preminger, Arie.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2006042.

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  42. Optimal Instruments in Time Series: A Survey. (2005). Anatolyev, Stanislav.
    In: Working Papers.
    RePEc:cfr:cefirw:w0069.

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  43. Optimal Instruments in Time Series: A Survey. (2005). Anatolyev, Stanislav.
    In: Working Papers.
    RePEc:abo:neswpt:w0069.

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  44. The Markov-switching multi-fractal model of asset returns: GMM estimation and linear forecasting of volatility. (2004). Lux, Thomas.
    In: Economics Working Papers.
    RePEc:zbw:cauewp:2442.

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  45. A simple estimation method and finite-sample inference for a stochastic volatility model. (2004). Dufour, Jean-Marie ; Valery, Pascale .
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:153.

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  46. On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach. (2002). Brandt, Michael W. ; Kang, Qiang .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9056.

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  47. Cross-sectional tests of deterministic volatility functions. (2002). Brandt, Michael W. ; Wu, Tao.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:9:y:2002:i:5:p:525-550.

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  48. An Eigenfunction Approach for Volatility Modeling.. (2001). Meddahi, Nour.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2001-29.

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  49. A stochastic volatility model specification with diagnostics for thinly traded equity markets. (2001). Solibakke, Per Bjarte.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:11:y:2001:i:4-5:p:385-406.

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  50. An Eigenfunction Approach for Volatility Modeling. (2001). Meddahi, Nour.
    In: CIRANO Working Papers.
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  51. Estimation of stochastic volatility models with diagnostics. (1997). Tauchen, George ; Gallant, A. ; Hsieh, David .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:81:y:1997:i:1:p:159-192.

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  52. Estimating continuous-time stochastic volatility models of the short-term interest rate. (1997). Andersen, Torben ; Lund, Jesper .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:77:y:1997:i:2:p:343-377.

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  53. The econometrics of financial markets. (1996). pagan, adrian.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:3:y:1996:i:1:p:15-102.

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  54. Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility.. (1996). Andersen, Torben.
    In: Journal of Finance.
    RePEc:bla:jfinan:v:51:y:1996:i:1:p:169-204.

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  55. Testing the bivariate mixture hypothesis using German Stock market data. (1996). Jung, Robert C. ; Liesenfeld, Roman .
    In: European Financial Management.
    RePEc:bla:eufman:v:2:y:1996:i:3:p:273-297.

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  56. Stochastic Volatility. (1995). Renault, Eric ; Harvey, Andrew ; Ghysels, Eric.
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  57. Models and Priors for Multivariate Stochastic Volatility. (1995). Rossi, Peter ; Polson, Nicholas G. ; Jacquier, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:95s-18.

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