Joanne Ercolani

Accepting PhD Students

PhD projects

Joanne Ercolani works in the area of time series econometrics. In particular, she is interested in continuous time models, modelling cyclical behaviour using differential equations and differential-difference equations, frequency domain methods of estimation and the estimation of spectral density functions.

Research activity per year

9 Article
4 Working paper
1 Entry for encyclopedia/dictionary
1 Book/Film/Article review

15 results

2023
Unobserved Components Models
Ercolani, J., 20 Sept 2023, Oxford Research Encyclopedias: Economics and Finance. Hamilton, J. H., Dixit, A., Edwards, S. & Judd, K. (eds.). Oxford University Press
Research output: Chapter in Book/Report/Conference proceeding › Entry for encyclopedia/dictionary
2018
Luck versus skill over time: time-varying performance in the cross-section of mutual fund returns
Ercolani, M., Pouliot, W. & Ercolani, J., 27 Jul 2018, In: Applied Economics. 50, 34-35, p. 3686-3701 16 p.
Research output: Contribution to journal › Article › peer-review

Open Access
File
3 Citations (Scopus)

296 Downloads (Pure)
2014
Watching the watchmen: a statistical analysis of mark consistency across taught modules
Ercolani, M. G. & Ercolani, J. S., Sept 2014, In: International Review of Economics Education. 17, p. 17–29 13 p.
Research output: Contribution to journal › Article › peer-review

Open Access
File
341 Downloads (Pure)
2013
Cyclical Activity and Gestation Lags in Investment
Ercolani, J., 2013, In: Manchester School. 11 p.
Research output: Contribution to journal › Article › peer-review
1 Citation (Scopus)
Testing for Seasonal Unit Roots by Frequency Domain Regression
Ercolani, J., Chambers, M. & Taylor, R., 2013, In: Journal of Econometrics.
Research output: Contribution to journal › Article › peer-review
2 Citations (Scopus)
2011
On the asymptotic properties of a feasible estimator of the continuous time long memory parameter
Ercolani, J., 1 Sept 2011, In: Journal of Time Series Analysis. 32, 5, p. 512-517 6 p.
Research output: Contribution to journal › Article
1 Citation (Scopus)
2010

Department of Economics Discussion paper Series: On the Asymptotic Properties of a Feasible Estimator of the Continuous Time Long Memory Parameter
Ercolani, J., 1 Jan 2010.
Research output: Working paper/Preprint › Working paper
University of Nottingham Granger Centre Working Paper: Testing for Seasonal Unit Roots by Frequency Domain Regression
Ercolani, J., Chambers, MJ. & Taylor, AMR., 1 Jan 2010.
Research output: Working paper/Preprint › Working paper
2009
Cyclical Trends in Continuous Time Models
Ercolani, J., 1 Aug 2009, In: Econometric Theory. 25, 04, p. 1112-1119 8 p.
Research output: Contribution to journal › Article › peer-review

Open Access
File
1 Citation (Scopus)

281 Downloads (Pure)
2008

Book Review
Ercolani, J., 1 Jul 2008, In: Journal of Time Series Analysis. 29, 4, p. 738-740 3 p.
Research output: Contribution to journal › Book/Film/Article review
2007

Department of Economics Discussion Paper Series: Cyclical Trends in Continuous Time Models
Ercolani, J., 1 Jan 2007.
Research output: Working paper/Preprint › Working paper
2006

Estimation of Differential-Difference Equation Systems with Unknown Lag Parameters
Ercolani, J. & Chambers, M., 1 Jun 2006, In: Econometric Theory. 22, p. 483-498 16 p.
Research output: Contribution to journal › Article

4 Citations (Scopus)
2004

Department of Economics Discussion Paper Series 04-07: Estimating Lag Parameters in Differential-Difference Equations 04-07
Ercolani, J. & Chambers, MJ., 1 Feb 2004.
Research output: Working paper/Preprint › Working paper
2003

The Exact Discrete Time Representation of a System of Fourth-Order Differential Equations
Ercolani, J., 1 Aug 2003, In: Computers & Mathematics with Applications. 46, 2-3, p. 213-230 18 p.
Research output: Contribution to journal › Article

4 Citations (Scopus)
2002

Modeling Cyclical Behavior with Differential-Difference Equations in an Unobserved Components Framework
Ercolani, J. & Chambers, M., 16 May 2002, In: Econometric Theory. 18, p. 387-419 33 p.
Research output: Contribution to journal › Article

8 Citations (Scopus)

Joanne Ercolani

Research output

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