Clive G. Bowsher

Statistical Laboratory, University of Cambridge

Senior Research Fellow

Wilberforce Road

Cambridge

United Kingdom

http://www.statslab.cam.ac.uk/~clive/

SCHOLARLY PAPERS

6

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SSRN CITATIONS
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Top 6,175

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26

CROSSREF CITATIONS

158

Scholarly Papers (6)

Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models

Nuffield Economics Working Paper
Number of pages: 39 Posted: 28 Jan 2003
Clive G. Bowsher
Statistical Laboratory, University of Cambridge
Downloads 259 (126,494)
Citation 22

Abstract:

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Point and counting processes, multivariate, intensity, Hawkes process, diagnostics, goodness-of-fit, specification tests, change of time, transactions data, NYSE, market microstructure

Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models

Journal of Econometrics, Forthcoming
Number of pages: 49 Posted: 03 Oct 2006
Clive G. Bowsher
Statistical Laboratory, University of Cambridge
Downloads 176 (183,255)
Citation 10

Abstract:

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point process, conditional intensity, Hawkes process, specification test, random time change, transactions data, market microstructure

2.

The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve

Journal of the American Statistical Association, Forthcoming
Number of pages: 40 Posted: 02 Jun 2008
Clive G. Bowsher and Roland Meeks
Statistical Laboratory, University of Cambridge and University of Oxford - Nuffield College
Downloads 179 (180,535)
Citation 3

Abstract:

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FSN-ECM models, functional time series, term structure, forecasting interest rates, natural cubic spline, state space form

3.

High Dimensional Yield Curves: Models and Forecasting

Nuffield Economics Discussion Paper
Number of pages: 37 Posted: 03 Oct 2006
Clive G. Bowsher and Roland Meeks
Statistical Laboratory, University of Cambridge and University of Oxford - Nuffield College
Downloads 172 (186,924)
Citation 4

Abstract:

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yield curve, term structure, expectations theory, FSN models, functional time series, forecasting, state space form, cubic spline

4.

Modelling the Dynamics of Cross-Sectional Price Functions: An Econometric Analysis of the Bid and Ask Curves of an Automated Exchange

Nuffield Economics Working Paper No. 2004-W21
Number of pages: 30 Posted: 24 Sep 2004
Clive G. Bowsher
Statistical Laboratory, University of Cambridge
Downloads 168 (190,743)
Citation 4

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Functional time series, bid and ask curves, liquidity, electronic limit order book, cubic spline, state space form, Kalman filter, quasi-maximum likelihood

5.

Criterion-Based Inference for GMM in Autoregressive Panel Data Models

Inst. for Fiscal Studies Working Paper No. 01/02
Number of pages: 15 Posted: 02 Apr 2001
Frank Windmeijer, Stephen R. Bond and Clive G. Bowsher
University of Bristol - Department of Economics, Nuffield College and Statistical Laboratory, University of Cambridge
Downloads 115 (257,809)
Citation 1

Abstract:

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Generalised Method of Moments, Hypothesis testing, Panel data

6.

Stationarity and the Term Structure of Interest Rates: A Characterisation of Stationary and Unit Root Yield Curves

Number of pages: 29 Posted: 24 Oct 2008
Clive G. Bowsher and Roland Meeks
Statistical Laboratory, University of Cambridge and University of Oxford - Nuffield College
Downloads 65 (366,576)
Citation 1

Abstract:

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Term structure, yield curve, integration, expectations hypothesis