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1

Overreaction of country ETFs to US market returns: Intraday vs. daily horizons and the role of synchronized trading

Levy, Ariel, Lieberman, Offer

Journal:

Journal of Banking & Finance

Année:

2013

Langue:

english

Fichier:

PDF, 195 KB

english, 2013

2

Improved small sample inference in the mixed linear model: Bartlett correction and adjusted likelihood

David M. Zucker, Offer Lieberman, Orly Manor

Journal:

Journal of the Royal Statistical Society: Series B (Statistical Methodology)

Année:

2000

Langue:

english

Fichier:

PDF, 226 KB

english, 2000

3

Second-Order Noncausality in Multivariate GARCH Processes

Fabienne Comte, Offer Lieberman

Journal:

Journal of Time Series Analysis

Année:

2000

Langue:

english

Fichier:

PDF, 282 KB

english, 2000

4

GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION

McAleer, Michael, Chan, Felix, Hoti, Suhejla, Lieberman, Offer

Journal:

Econometric Theory

Année:

2008

Langue:

english

Fichier:

PDF, 261 KB

english, 2008

5

Approximate estimation in nonlinear panel data models

Lieberman, Offer, Matyas, Laszlo

Journal:

Communications in Statistics - Simulation and Computation

Année:

1997

Langue:

english

Fichier:

PDF, 544 KB

english, 1997

6

On the Approximation of Saddlepoint Expansions in Statistics

Lieberman, Offer

Journal:

Econometric Theory

Année:

1994

Langue:

english

Fichier:

PDF, 707 KB

english, 1994

7

Hybrid Stochastic Local Unit Roots

Lieberman, Offer, Phillips, Peter C. B.

Journal:

SSRN Electronic Journal

Année:

2017

Langue:

english

Fichier:

PDF, 345 KB

english, 2017

8

Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes

Donald W.K. Andrews, Offer Lieberman, Vadim Marmer

Journal:

Journal of Econometrics

Année:

2006

Langue:

english

Fichier:

PDF, 360 KB

english, 2006

9

A complete asymptotic series for the autocovariance function of a long memory process

Offer Lieberman, Peter C.B. Phillips

Journal:

Journal of Econometrics

Année:

2008

Langue:

english

Fichier:

PDF, 1.51 MB

english, 2008

10

A similarity-based approach to prediction

Itzhak Gilboa, Offer Lieberman, David Schmeidler

Journal:

Journal of Econometrics

Année:

2011

Langue:

english

Fichier:

PDF, 275 KB

english, 2011

11

On the definition of objective probabilities by empirical similarity

Itzhak Gilboa, Offer Lieberman, David Schmeidler

Journal:

Année:

2010

Langue:

english

Fichier:

PDF, 179 KB

english, 2010

12

Expansions for approximate maximum likelihood estimators of the fractional difference parameter

Offer Lieberman, Peter C. B. Phillips

Journal:

The Econometrics Journal

Année:

2005

Langue:

english

Fichier:

PDF, 117 KB

english, 2005

13

Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra

Offer Lieberman, Peter C. B. Phillips

Journal:

Journal of Time Series Analysis

Année:

2004

Langue:

english

Fichier:

PDF, 227 KB

english, 2004

14

A similarity-based approach to time-varying coefficient non-stationary autoregression

Offer Lieberman

Journal:

Journal of Time Series Analysis

Année:

2012

Langue:

english

Fichier:

PDF, 845 KB

english, 2012

15

A Laplace Approximation to the Moments of a Ratio of Quadratic Forms

Offer Lieberman

Journal:

Année:

1994

Langue:

english

Fichier:

PDF, 1.00 MB

english, 1994

16

A characterization of the price behavior of international dual stocks: an error correction approach

Offer Lieberman, Uri Ben-Zion, Shmuel Hauser

Journal:

Journal of International Money and Finance

Année:

1999

Langue:

english

Fichier:

PDF, 181 KB

english, 1999

17

Saddlepoint Approximation for the Least Squares Estimator in First-Order Autoregression

Offer Lieberman

Journal:

Année:

1994

Langue:

english

Fichier:

PDF, 516 KB

english, 1994

18

Amendments and Corrections: Saddlepoint Approximation for the Least Squares Estimator in First-Order Autoregression

Offer Lieberman

Journal:

Année:

1996

Langue:

english

Fichier:

PDF, 74 KB

english, 1996

19

Penalised Maximum Likelihood Estimation for Fractional Gaussian Processes

Offer Lieberman

Journal:

Année:

2001

Langue:

english

Fichier:

PDF, 585 KB

english, 2001

20

Saddlepoint Approximation for the Distribution of a Ratio of Quadratic Forms in Normal Variables

Offer Lieberman

Journal:

Journal of the American Statistical Association

Année:

1994

Langue:

english

Fichier:

PDF, 716 KB

english, 1994

21

The Optimal Size of a Preliminary Test of Linear Restrictions in a Misspecified Regression Model

David E. A. Giles, Offer Lieberman and Judith A. Giles

Journal:

Journal of the American Statistical Association

Année:

1992

Langue:

english

Fichier:

PDF, 912 KB

english, 1992

22

Bounds on the effect of heteroscedasticity on the chow test for structural change

Giles, David, Lieberman, Offer

Journal:

Communication in Statistics- Theory and Methods

Année:

1993

Langue:

english

Fichier:

PDF, 510 KB

english, 1993

23

THE EXACT BIAS OF THE LOG-PERIODOGRAM REGRESSION ESTIMATOR

Lieberman, Offer

Journal:

Econometric Reviews

Année:

2001

Langue:

english

Fichier:

PDF, 150 KB

english, 2001

24

NORMING RATES AND LIMIT THEORY FOR SOME TIME-VARYING COEFFICIENT AUTOREGRESSIONS

Lieberman, Offer, Phillips, Peter C. B.

Journal:

Journal of Time Series Analysis

Année:

2014

Langue:

english

Fichier:

PDF, 424 KB

english, 2014

25

Refined Inference on Long Memory in Realized Volatility

Lieberman, Offer, Phillips, Peter C. B.

Journal:

Econometric Reviews

Année:

2008

Langue:

english

Fichier:

PDF, 162 KB

english, 2008

26

Saddlepoint Approximation for the Distribution of a Ratio of Quadratic Forms in Normal Variables

Lieberman, Offer

Journal:

Journal of the American Statistical Association

Année:

1994

Langue:

english

Fichier:

PDF, 476 KB

english, 1994

27

A Laplace approximation to the moments of a ratio of quadratic forms

LIEBERMAN, OFFER

Journal:

Année:

1994

Langue:

english

Fichier:

PDF, 516 KB

english, 1994

28

The Optimal Size of a Preliminary Test of Linear Restrictions in a Misspecified Regression Model

Giles, David E. A., Lieberman, Offer, Giles, Judith A.

Journal:

Journal of the American Statistical Association

Année:

1992

Langue:

english

Fichier:

PDF, 491 KB

english, 1992

29

Empirical Similarity

Gilboa, Itzhak, Lieberman, Offer, Schmeidler, David

Journal:

Review of Economics and Statistics

Année:

2006

Langue:

english

Fichier:

PDF, 136 KB

english, 2006

30

Rule-Based and Case-Based Reasoning in Housing Prices

Gayer, Gabrielle, Gilboa, Itzhak, Lieberman, Offer

Journal:

The B E Journal of Theoretical Economics

Année:

2007

Langue:

english

Fichier:

PDF, 411 KB

english, 2007

31

The Effect of Nonnormality

Lieberman, Offer

Journal:

Econometric Theory

Année:

1997

Langue:

english

Fichier:

PDF, 955 KB

english, 1997

32

‘Saddlepoint approximation for the least squares estimator in first-order autoregression’

LIEBERMAN, OFFER

Journal:

Année:

1996

Langue:

english

Fichier:

PDF, 105 KB

english, 1996

33

Saddlepoint approximation for the least squares estimator in first-order autoregression

LIEBERMAN, OFFER

Journal:

Année:

1994

Langue:

english

Fichier:

PDF, 250 KB

english, 1994

34

ON PLUG-IN ESTIMATION OF LONG MEMORY MODELS

Lieberman, Offer

Journal:

Econometric Theory

Année:

2005

Langue:

english

Fichier:

PDF, 213 KB

english, 2005

35

On the Bias of Standard Errors of the LS Residual under Nonnormal Errors—Solution

Lieberman, Offer, Ullah, Aman, Breunig, Robert

Journal:

Econometric Theory

Année:

1997

Langue:

english

Fichier:

PDF, 84 KB

english, 1997

36

SMALL-SAMPLE LIKELIHOOD-BASED INFERENCE IN THE ARFIMA MODEL

Lieberman, Offer, Rousseau, Judith, Zucker, David M.

Journal:

Econometric Theory

Année:

2000

Langue:

english

Fichier:

PDF, 223 KB

english, 2000

37

Solutions: An Approximation to GARCH

Lieberman, Offer

Journal:

Econometric Theory

Année:

1996

Langue:

english

Fichier:

PDF, 162 KB

english, 1996

38

VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES

Andrews, Donald W.K., Lieberman, Offer

Journal:

Econometric Theory

Année:

2005

Langue:

english

Fichier:

PDF, 192 KB

english, 2005

39

Dynamic Regression and Filtered Data Series: A Laplace Approximation to the Effects of Filtering in Small Samples

Ghysels, Eric, Lieberman, Offer

Journal:

Econometric Theory

Année:

1996

Langue:

english

Fichier:

PDF, 1.04 MB

english, 1996

40

ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES

Lieberman, Offer, Rosemarin, Roy, Rousseau, Judith

Journal:

Econometric Theory

Année:

2012

Langue:

english

Fichier:

PDF, 127 KB

english, 2012

41

ASYMPTOTIC THEORY FOR EMPIRICAL SIMILARITY MODELS

Lieberman, Offer

Journal:

Econometric Theory

Année:

2010

Langue:

english

Fichier:

PDF, 228 KB

english, 2010

42

ASYMPTOTIC THEORY OF STATISTICAL INFERENCE FOR TIME SERIES

Lieberman, Offer

Journal:

Econometric Theory

Année:

2002

Langue:

english

Fichier:

PDF, 51 KB

english, 2002

43

VALID EDGEWORTH EXPANSION FOR THE SAMPLE AUTOCORRELATION FUNCTION UNDER LONG RANGE DEPENDENCE

Lieberman, Offer, Rousseau, Judith, Zucker, David M.

Journal:

Econometric Theory

Année:

2001

Langue:

english

Fichier:

PDF, 423 KB

english, 2001

44

EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER

Lieberman, Offer, Phillips, Peter C.B.

Journal:

Econometric Theory

Année:

2004

Langue:

english

Fichier:

PDF, 328 KB

english, 2004

45

On the Bias of Standard Errors of the LS Residual under Nonnormal Errors

Offer Lieberman, Aman Ullah and Robert Breunig

Journal:

Econometric Theory

Année:

1997

Langue:

english

Fichier:

PDF, 312 KB

english, 1997

46

An Approximation to GARCH

Offer Lieberman

Journal:

Econometric Theory

Année:

1996

Langue:

english

Fichier:

PDF, 475 KB

english, 1996

47

From Unbiased Linear Estimating Equations to Unbiased Estimators

Offer Lieberman

Journal:

Année:

1998

Langue:

english

Fichier:

PDF, 592 KB

english, 1998

48

Dynamic Regression and Filtered Data Series: A Laplace Approximation to the Effects of Filtering in Small Samples

Eric Ghysels and Offer Lieberman

Journal:

Econometric Theory

Année:

1996

Langue:

english

Fichier:

PDF, 2.56 MB

english, 1996

49

Small-Sample Likelihood-Based Inference in the ARFIMA Model

Offer Lieberman, Judith Rousseau and David M. Zucker

Journal:

Econometric Theory

Année:

2000

Langue:

english

Fichier:

PDF, 1.63 MB

english, 2000

50

Improved Small Sample Inference in the Mixed Linear Model: Bartlett Correction and Adjusted Likelihood

David M. Zucker, Offer Lieberman and Orly Manor

Journal:

Journal of the Royal Statistical Society: Series B (Statistical Methodology)

Année:

2000

Langue:

english

Fichier:

PDF, 993 KB

english, 2000