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Citations of
Robert M. Kunst

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

| Working papers | Articles | Access and download statistics

Working papers

  1. Jumah, Adusei & Kunst, Robert M., 2007. "Inflation in the West African Countries. The Impact of Cocoa Prices, Budget Deficits, and Migrant Remittances," Economics Series 219, Institute for Advanced Studies. [Downloadable!]

    Cited by:

    1. Juan Carlos Cuestas & Estefanía Mourelle, 2009. "Inflation persistence and asymmetries: evidence for African countries," Working Papers 2009/2, Nottingham Trent University, Nottingham Business School, Economics Division. [Downloadable!]

  2. Nagaev, Alexander V. & Nagaev, Sergei A. & Kunst, Robert M., 2005. "A Diffusion Approximation to the Markov Chains Model of the Financial Market and the Expected Riskless Profit Under Selling of Call and Put Options," Economics Series 165, Institute for Advanced Studies. [Downloadable!]

    Cited by:

    1. N. Josephy & L. Kimball & A. Nagaev & M. Pasniewski & V. Steblovskaya, 2006. "An Algorithmic Approach to Non-self-financing Hedging in a Discrete-Time Incomplete Market," Quantitative Finance Papers math/0606471, arXiv.org. [Downloadable!]

  3. Jumah, Adusei & Kunst, Robert M., 2004. "Modeling National Accounts Sub-Aggregates. An Application of Non-Linear Error Correction," Economics Series 149, Institute for Advanced Studies. [Downloadable!]

    Cited by:

    1. Jumah, Adusei & Kunst, Robert M., 2005. "Forecasting Aggregate Demand in West African Economies. The Influence of Immigrant Remittance Flows and of Asymmetric Error Correction," Economics Series 168, Institute for Advanced Studies. [Downloadable!]

  4. Kunst, Robert M., 2003. "Testing for Relative Predictive Accuracy: A Critical Viewpoint," Economics Series 130, Institute for Advanced Studies. [Downloadable!]

    Cited by:

    1. Jesús Crespo Cuaresma & Ernest Gnan & Doris Ritzberger-Grünwald, 2005. "The term structure as a predictor of real activity and inflation in the euro area: a reassessment," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 177-92 Bank for International Settlements. [Downloadable!]
      Other versions:
    2. Gabriel Moser & Fabio Rumler & Johann Scharler, 2004. "Forecasting Austrian Inflation," Working Papers 91, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
      Other versions:
    3. Moura, Marcelo, 2008. "Testing the Taylor Model Predictability for Exchange Rates in Latin America," Ibmec Working Papers wpe_117, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
    4. Maria Antoinette Silgoner, 2005. "An Overview of European Economic Indicators: Great Variety of Data on the Euro Area, Need for More Extensive Coverage of the New EU Member States," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 3, pages 66-89, November. [Downloadable!]
    5. Jean-Stéphane MESONNIER, 2007. "The predictive content of the real interest rate gap for macroeconomic variables in the euro area," Money Macro and Finance (MMF) Research Group Conference 2006 102, Money Macro and Finance Research Group. [Downloadable!]
    6. Mésonnier, J-S., 2006. "The Reliability of Macroeconomic Forecasts based on Real Interest Rate Gap Estimates in Real Time: an Assessment for the Euro Area," Documents de Travail 157, Banque de France. [Downloadable!]
    7. Moura, Marcelo L. , & Lima, Adauto R. S. & Mendonça, Rodrigo M., 2008. "Exchange Rate and Fundamentals: The Case of Brazil," Ibmec Working Papers wpe_112, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]

  5. Kunst, Robert M., 2002. "Decision Maps for Bivariate Time Series with Potential Thrshold Cointegration," Economics Series 121, Institute for Advanced Studies. [Downloadable!]

    Cited by:

    1. Kunst, Robert M., 2005. "Approaches for the Joint Evaluation of Hypothesis Tests: Classical Testing, Bayes Testing, and Joint Confirmation," Economics Series 177, Institute for Advanced Studies. [Downloadable!]

  6. Kunst, Robert M., 2002. "Testing for Stationarity in a Cointegrated System," Economics Series 117, Institute for Advanced Studies. [Downloadable!]

    Cited by:

    1. Kunst, Robert M., 2002. "Decision Maps for Bivariate Time Series with Potential Thrshold Cointegration," Economics Series 121, Institute for Advanced Studies. [Downloadable!]

  7. Jumah, Adusei & Kunst, Robert M., 2002. "On Mean Reversion in Real Interest Rates: An Application of Threshold Cointegtation," Economics Series 109, Institute for Advanced Studies. [Downloadable!]

    Cited by:

    1. Kunst, Robert M., 2002. "Decision Maps for Bivariate Time Series with Potential Thrshold Cointegration," Economics Series 121, Institute for Advanced Studies. [Downloadable!]

  8. Kunst, Robert M. & Reutter, Michael, 2000. "Decisions on Seasonal Unit Roots," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]

    Cited by:

    1. Jumah, Adusei & Kunst, Robert M., 2006. "Seasonal Cycles in European Agricultural Commodity Prices," Economics Series 192, Institute for Advanced Studies. [Downloadable!]
    2. Kunst, Robert M., 2002. "Testing for Stationarity in a Cointegrated System," Economics Series 117, Institute for Advanced Studies. [Downloadable!]
    3. Kunst, Robert M., 2005. "Approaches for the Joint Evaluation of Hypothesis Tests: Classical Testing, Bayes Testing, and Joint Confirmation," Economics Series 177, Institute for Advanced Studies. [Downloadable!]
    4. Kunst, Robert M., 2002. "Decision Maps for Bivariate Time Series with Potential Thrshold Cointegration," Economics Series 121, Institute for Advanced Studies. [Downloadable!]

  9. Jumah, Adusei & Kunst, Robert M., 1999. "The Effects of Dollar/Sterling Exchange Rate Volatility on Futures Markets for Coffee and Cocoa," Economics Series 73, Institute for Advanced Studies. [Downloadable!]

    Cited by:

    1. Roche, M. & McQuinn, K., 2003. "Efficient allocation of land in a decoupled world," Economics, Finance and Accounting Department Working Paper Series n1190103, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]

  10. Philip Hans Franses & Robert M. Kunst, 1996. "On the Role of Seasonal Intercepts in Seasonal Cointegration," Tinbergen Institute Discussion Papers 96-175/7, Tinbergen Institute.
    Other versions:

    Published as:

    Cited by:

    1. Cubadda, Gianluca & Omtzigt, Pieter, 2003. "Small Sample Improvements in the Statistical Analysis of Seasonally Cointegrated Systems," Economics & Statistics Discussion Papers esdp03012, University of Molise, Dept. SEGeS. [Downloadable!]
      Other versions:
    2. Kunst, Robert M., 1997. "Decision Bounds for Data-Admissible Seasonal Models," Economics Series 51, Institute for Advanced Studies. [Downloadable!]
    3. H. Herwartz & H. E. Reimers, . "Seasonal Cointegration Analysis for German M3 Money Demand," Sonderforschungsbereich 373 1996-78, Humboldt Universitaet Berlin.
      Other versions:
    4. Kunst, Robert M., 2009. "A Nonparametric Test for Seasonal Unit Roots," Economics Series 233, Institute for Advanced Studies. [Downloadable!]
    5. Gianluca Cubadda, 2000. "Complex Reduced Rank Models for Seasonally Cointegrated Time Series," Econometric Society World Congress 2000 Contributed Papers 0092, Econometric Society. [Downloadable!]
      Other versions:
    6. Gianluca Cubadda, 2001. "Common Features In Time Series With Both Deterministic And Stochastic Seasonality," Econometric Reviews, Taylor and Francis Journals, vol. 20(2), pages 201-216. [Downloadable!] (restricted)
    7. Kunst, Robert M. & Reutter, Michael, 2000. "Decisions on Seasonal Unit Roots," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]

  11. Jumah, Adusei & Kunst, Robert M., 1995. "Forecasting Seasonally Cointegrated Systems: Supply Response in Austrian Agriculture," Economics Series 11, Institute for Advanced Studies. [Downloadable!]

    Cited by:

    1. Jumah, Adusei, 2000. "The Long Run, Market Power and Retail Pricing," Economics Series 78, Institute for Advanced Studies. [Downloadable!]
      Other versions:

  12. Marc Sáez & Robert M. Kunst, 1995. "ARCH Patterns in Cointegrated Systems," Economics Working Papers 110, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]

    Cited by:

    1. Jumah, Adusei & Kunst, Robert M., 1999. "The Effects of Dollar/Sterling Exchange Rate Volatility on Futures Markets for Coffee and Cocoa," Economics Series 73, Institute for Advanced Studies. [Downloadable!]


Articles

  1. Adusei Jumah & Robert M. Kunst, 2008. "Seasonal prediction of European cereal prices: good forecasts using bad models?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(5), pages 391-406. [Downloadable!]

    Cited by:

    1. Jumah, Adusei & Kunst, Robert M., 2008. "Optimizing Time-series Forecasts for Inflation and Interest Rates Using Simulation and Model Averaging," Economics Series 231, Institute for Advanced Studies. [Downloadable!]

  2. Franses, Philip Hans & Kunst, Robert M, 1999. " On the Role of Seasonal Intercepts in Seasonal Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(3), pages 409-33, August. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  3. Hauser, Michael A & Kunst, Robert M, 1998. " Fractionally Integrated Models with ARCH Errors: With an Application to the Swiss One-Month Euromarket Interest Rate," Review of Quantitative Finance and Accounting, Springer, vol. 10(1), pages 95-113, January. [Downloadable!] (restricted)

    Cited by:

    1. Emma M. Iglesias & Garry D. A. Phillips, 2005. "Analysing one-month Euro-market interest rates by fractionally integrated models," Applied Financial Economics, Taylor and Francis Journals, vol. 15(2), pages 95-106, January. [Downloadable!] (restricted)
    2. Basma Bekdache & Christopher F. Baum, 1999. "A re-evaluation of empirical tests of the Fisher hypothesis," Computing in Economics and Finance 1999 944, Society for Computational Economics, revised 18 Sep 2000. [Downloadable!]
      Other versions:

  4. Kunst, Robert M, 1997. "Augmented ARCH Models for Financial Time Series: Stability Conditions and Empirical Evidence," Applied Financial Economics, Taylor and Francis Journals, vol. 7(6), pages 575-86, December. [Downloadable!] (restricted)

    Cited by:

    1. Kunst, Robert M., 2003. "Testing for Relative Predictive Accuracy: A Critical Viewpoint," Economics Series 130, Institute for Advanced Studies. [Downloadable!]

  5. Kunst, Robert M, 1993. "Seasonal Cointegration in Macroeconomic Systems: Case Studies for Small and Large European Countries," The Review of Economics and Statistics, MIT Press, vol. 75(2), pages 325-30, May. [Downloadable!] (restricted)

    Cited by:

    1. H. Herwartz & H. E. Reimers, . "Seasonal Cointegration Analysis for German M3 Money Demand," Sonderforschungsbereich 373 1996-78, Humboldt Universitaet Berlin.
      Other versions:

  6. Kunst, Robert M, 1993. "Seasonal Cointegration, Common Seasonals, and Forecasting Seasonal Series," Empirical Economics, Springer, vol. 18(4), pages 761-76.

    Cited by:

    1. Gianluca Cubadda, 2000. "Complex Reduced Rank Models for Seasonally Cointegrated Time Series," Econometric Society World Congress 2000 Contributed Papers 0092, Econometric Society. [Downloadable!]
      Other versions:

  7. Kunst, Robert & Neusser, Klaus, 1990. "Cointegration in a Macroeconomic System," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 5(4), pages 351-65, Oct.-Dec.. [Downloadable!] (restricted)

    Cited by:

    1. Paul D. Mcnelis & Anjum Siddiqui, 1994. "Debt And Deficit Dynamics In New Zealand: Did Financial Liberalization Matter?," International Economic Journal, Korean International Economic Association, vol. 8(3), pages 71-87, October. [Downloadable!] (restricted)
    2. Palaskas, Theodosios B. & Varangis, Panos N., 1991. "Is there excess co-movement of primary commodity prices? A co-integration test," Policy Research Working Paper Series 758, The World Bank. [Downloadable!]
    3. Vogelvang, E., 1989. "Dynamic interrelationships between spot prices of some agricultural commodities on related markets : a first examination," Serie Research Memoranda 0017, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
    4. David I. Harvey & Stephen J. Leybourne & Paul Newbold, 2003. "How great are the great ratios?," Applied Economics, Taylor and Francis Journals, vol. 35(2), pages 163-177, January. [Downloadable!] (restricted)
    5. Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2001. "Testing for Common Cyclical Features in Var Models with Cointegration," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    6. Hecq, Alain & Palm, Franz C. & Urbain, Jean-Pierre, 2000. "Testing for Common Cyclical Features in Nonstationary Panel Data Models," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    7. Choe, Young Chan & Koo, Won W., 1993. "Monetary Impacts On Prices In The Short And Long Run: Further Results For The United States," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 18(02), December. [Downloadable!]
    8. Jumah, Adusei & Kunst, Robert M., 2005. "Forecasting Aggregate Demand in West African Economies. The Influence of Immigrant Remittance Flows and of Asymmetric Error Correction," Economics Series 168, Institute for Advanced Studies. [Downloadable!]
    9. Vogelvang, E., 1990. "Testing for co-integration with spot prices of some related agricultural commodities," Serie Research Memoranda 0001, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
    10. Martin Wagner, 2002. "A Comparison of Johansen's, Bierens and the Subspace Algorithm Method for Cointegration Analysis," Diskussionsschriften dp0210, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]
      Other versions:
    11. Vogelvang, E., 1990. "Hypotheses testing concerning relationship between spot prices of various types of coffee," Serie Research Memoranda 0012, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]

  8. Kunst, Robert M & Marin, Dalia, 1989. "On Exports and Productivity: A Causal Analysis," The Review of Economics and Statistics, MIT Press, vol. 71(4), pages 699-703, November. [Downloadable!] (restricted)

    Cited by:

    1. Shandre Mugan Thangavelu & Gulasekaran Rajaguru, 2004. "Is there an export or import-led productivity growth in rapidly developing Asian countries? a multivariate VAR analysis," Applied Economics, Taylor and Francis Journals, vol. 36(10), pages 1083-1093, June. [Downloadable!] (restricted)
    2. Wagner, Joachim, 2001. "The Causal Effects of Exports on Firm Size and Labor Productivity: First Evidence From a Matching Approach," Discussion Paper Series 26189, Hamburg Institute of International Economics. [Downloadable!]
      Other versions:
    3. Martínez-Zarzoso, Inmaculada & Doyle, Eleanor, 2007. "Trade, Productivity and Institutional Quality: Issues and Empirics," Proceedings of the German Development Economics Conference, Göttingen 2007 21, Verein für Socialpolitik, Research Committee Development Economics. [Downloadable!]
    4. Xiaming Liu & Haiyan Song & Peter Romilly, 1997. "An empirical investigation of the causal relationship between openness and economic growth in China," Applied Economics, Taylor and Francis Journals, vol. 29(12), pages 1679-1686, December. [Downloadable!] (restricted)
      Other versions:
    5. Aysan, Ahmet Faruk & Hacihasanoglu, Yavuz Selim, 2007. "Investigation on the Determinants of Turkish Export-Boom in 2000s," MPRA Paper 5493, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    6. Shyh-Wei Chen, 2007. "Exactly what is the link between export and growth in Taiwan? new evidence from the Granger causality test," Economics Bulletin, Economics Bulletin, vol. 6(7), pages 1-10. [Downloadable!]
    7. Jordan Shan & Fiona Sun, 1998. "On the export-led growth hypothesis for the little dragons: An empirical reinvestigation," Atlantic Economic Journal, International Atlantic Economic Society, vol. 26(4), pages 353-371, December. [Downloadable!] (restricted)
    8. Eleanor Doyle & Inmaculada Martínez-Zarzoso, 2006. "Relating Productivity and Trade 1980-2000: A Chicken and Egg Analysis," Ibero America Institute for Econ. Research (IAI) Discussion Papers 147, Ibero-America Institute for Economic Research. [Downloadable!]
    9. Judith A. Giles, Cara L. Williams, 2000. "Export-led growth: a survey of the empirical literature and some non-causality results. Part 1," Journal of International Trade & Economic Development, Taylor and Francis Journals, vol. 9(3), pages 261-337, September. [Downloadable!] (restricted)
    10. Raymond Riezman & Charles Whiteman & Peter M. Summers, 1996. "The Engine of Growth or Its Handmaiden? A Time-Series Assessment of Export-Led Growth," GE, Growth, Math methods 9602002, EconWPA. [Downloadable!]
      Other versions:
    11. Afxentiou, Panos & Serletis, Apostolos, 2000. "Output growth and the variability of exports and imports growth: international evidence from Granger causality tests," MPRA Paper 1750, University Library of Munich, Germany. [Downloadable!]
    12. Joseph Francois & Kevin Grier & Douglas Nelson, 2004. "Globalization, Roundaboutness, and Relative Wages," Tinbergen Institute Discussion Papers 04-021/2, Tinbergen Institute. [Downloadable!]
      Other versions:
    13. Ann Harrison, 1995. "Openness and Growth: A Time-Series, Cross-Country Analysis for Developing Countries," NBER Working Papers 5221, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    14. Sangho KIM & Hyunjoon LIM & Donghyun PARK, 2007. "The Effect of Imports and Exports on Total Factor Productivity in Korea," Discussion papers 07022, Research Institute of Economy, Trade and Industry (RIETI). [Downloadable!]
    15. Goran Vuksic, 2005. "Impact of foreign direct investment of Croatian manufacturing exports," Financial Theory and Practice, Institute of Public Finance, vol. 29(2), pages 131-158. [Downloadable!]
    16. Ann Harrison & Ana Revenga, 1995. "The Effects of Trade Policy Reform: What Do We Really Know?," NBER Working Papers 5225, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  9. Kunst, Robert & Neusser, Klaus, 1986. "A forecasting comparison of some var techniques," International Journal of Forecasting, Elsevier, vol. 2(4), pages 447-456. [Downloadable!] (restricted)

    Cited by:

    1. Manfred Deistler & Klaus Neusser, 2004. "Prognose uni- und multivariater Zeitreihen," Diskussionsschriften dp0401, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]


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This page was last updated on 2009-12-10.


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