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Research classified by Journal of Economic Literature (JEL) codes


Top JEL
/ C: Mathematical and Quantitative Methods
/ / C2: Single Equation Models; Single Variables
/ / / C22: Time-Series Models
Most recent items first, undated at the end.
  • 2008 Robust Performance Hypothesis Testing with the Sharpe Ratio
    by Oliver Ledoit & Michael Wolf [Downloadable!]
  • 2008 Monetary Policy Implementation and the Federal Funds Rate
    by Nautz, Dieter & Schmidt, Sandra [Downloadable!]
  • 2008 Panel Unit Root Tests in the Presence of a Multifactor Error Structure
    by M. Hashem Pesaran, L. Vanessa Smith, Takashi Yamagata [Downloadable!]
  • 2008 Estimation of weights for the Monetary Conditions Index in Poland
    by Andrzej Toroj [Downloadable!]
  • 2008 Forecasting inflation with dynamic factor model – the case of Poland
    by Jacek Kotlowski [Downloadable!]
  • 2008 Are Emerging Economies Fdi Inflows Cointegrated With Fdi Inflows Of China? – An Empirical Investigation
    by Krishna Chaitanya, & Emilia Vazquez Rozas [Downloadable!]
  • 2008 Explaining the persistence of profits: A time-varying approach
    by Adelina Gschwandtner & Jesus Crespo Cuaresma [Downloadable!]
  • 2008 Modelling structural change using broken sticks
    by Don Webber & Paul White & Angela Helvin [Downloadable!]
  • 2008 Infinitesimal Robustness for Diffusions
    by Davide La Vecchia & Fabio Trojani [Downloadable!]
  • 2008 Modeling Tick-by-Tick Realized Correlations
    by Fulvio Corsi & Francesco Audrino [Downloadable!]
  • 2008 Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects
    by Fulvio Corsi & Francesco Audrino [Downloadable!]
  • 2008 An Empirical Analysis of Sustainability of Trade Deficit:Evidence from Sri Lanka
    by Verma, Reetu & Perera, Nelson [Downloadable!]
  • 2008 Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory
    by J. Isaac Miller & Joon Y. Park [Downloadable!]
  • 2008 Bayesian semiparametric stochastic volatility modeling
    by Mark J Jensen & John M Maheu [Downloadable!]
  • 2008 Forecasting Realized Volatility: A Bayesian Model Averaging Approach
    by Chun Liu & John M Maheu [Downloadable!]
  • 2008 Optimal HP filtering for South Africa
    by Leon du Toit [Downloadable!]
  • 2008 Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails
    by Cees Diks & Valentyn Panchenko & Dick van Dijk [Downloadable!]
  • 2008 A Note on Long Horizon Forecasts of Nonlinear Models of Real Exchange Rates: Comments on Rapach and Wohar (2006)
    by Daniel Buncic [Downloadable!]
  • 2008 How forward-looking is the Fed? Direct estimates from a `Calvo-type' rule
    by Vasco Gabriel & Paul Levine & Christopher Spencer [Downloadable!]
  • 2008 Is Double Trouble? – How to Combine Cointegration Tests
    by Christian Bayer & Christoph Hanck [Downloadable!]
  • 2008 A Nonlinear Unit Root Test in the Presence of an Unknown Break
    by Stephan Popp [Downloadable!]
  • 2008 Indicators and Tests of Fiscal Sustainability: An Integrated Approach
    by Giancarlo Marini & Alessandro Piergallini [Downloadable!]
  • 2008 Smooth Transition Models in Price Transmission
    by Szymon Wlazlowski & Monica Giulietti & Jane Binner & Costas Milas [Downloadable!]
  • 2008 The Jump component of S&P 500 volatility and the VIX index
    by Ralf Becker & Adam Clements & Andrew McClelland [Downloadable!]
  • 2008 A Review of Forecasting Techniques for Large Data Sets
    by Jana Eklund & George Kapetanios [Downloadable!]
  • 2008 Revisiting Useful Approaches to Data-Rich Macroeconomic Forecasting
    by Jan J.J. Groen & George Kapetanios [Downloadable!]
  • 2008 A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic
    by Morten Ørregaard Nielsen [Downloadable!]
  • 2008 Likelihood inference for a nonstationary fractional autoregressive model
    by Søren Johansen & Morten Ørregaard Nielsen [Downloadable!]
  • 2008 Fully Modified Narrow-Band Least Squares Estimation of Stationary Fractional Cointegration
    by Morten Ørregaard Nielsen & Per Frederiksen [Downloadable!]
  • 2008 Empirical Likelihood Block Bootstrapping
    by Jason Allen & Allan W. Gregory & Katsumi Shimotsu [Downloadable!]
  • 2008 Testing for PPP Using SADC Real Exchange Rates
    by Thabo Mokoena & Rangan Gupta & Renee van Eyden [Downloadable!]
  • 2008 The Country Risk and the nominal exchange rate between Peru and the United States. An approach through a model of asset markets for determining the exchange rate. (1998:12 - 2007:12)
    by Salazar, Eduardo [Downloadable!]
  • 2008 Analysis of HF data on the WSE in the context of EMH
    by Strawinski, Pawel & Slepaczuk, Robert [Downloadable!]
  • 2008 Inference regarding multiple structural changes in linear models estimated via two stage least squares
    by Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia [Downloadable!]
  • 2008 Garch Parameter Estimation Using High-Frequency Data
    by Visser, Marcel P. [Downloadable!]
  • 2008 Extracting the Cyclical Component in Hours Worked: a Bayesian Approach
    by Bernardi, Mauro & Della Corte, Giuseppe & Proietti, Tommaso [Downloadable!]
  • 2008 On the Equivalence of the Weighted Least Squares and the Generalised Least Squares Estimators, with Applications to Kernel Smoothing
    by Luati, Alessandra & Proietti, Tommaso [Downloadable!]
  • 2008 Nonlinearities in Exchange rates: Double EGARCH Threshold Models for Forecasting Volatility
    by Sitzia, Bruno & Iovino, Doriana [Downloadable!]
  • 2008 The Impacts of Atlantic Bonito Rush and the Avian Influenza on Meat Products in Turkey
    by Saghaian, Sayed & Ozertan, Gokhan & Spaulding, Aslihan [Downloadable!]
  • 2008 Modeling Expectations with Noncausal Autoregressions
    by Lanne, Markku & Saikkonen, Pentti [Downloadable!]
  • 2008 On The dynamic of search, matching and productivity in New Zealand and Australia
    by Razzak, Weshah [Downloadable!]
  • 2008 Spurious long-range dependence: evidence from Malaysian equity markets
    by chin, wencheong [Downloadable!]
  • 2008 The Relationship between Crude and Refined Product Market: The Case of Singapore Gasoline Market using MOPS Data
    by Rao, Gyaneshwar [Downloadable!]
  • 2008 Forecasting Stock Market Volatilities Using MIDAS Regressions: An Application to the Emerging Markets
    by Alper, C. Emre & Fendoglu, Salih & Saltoglu, Burak [Downloadable!]
  • 2008 Dynamic GMM Estimation With Structural Breaks. An Application to Global Warming and its Causes
    by Travaglini, Guido [Downloadable!]
  • 2008 Detecting Peaks and Valleys in the Number of Births in Portugal
    by Caleiro, António [Downloadable!]
  • 2008 Empirical Evidence Of The Balance Of Payments Constrained Growth In Cuba. The Effects Of Comercial Regimes Since 1960
    by Fugarolas Álvarez-Ude, Guadalupe & Mañalich Gálvez, Isis & Matesanz Gómez, David [Downloadable!]
  • 2008 A note on long horizon forecasts of nonlinear models of real exchange rates: Comments on Rapach and Wohar (2006)
    by Buncic, Daniel [Downloadable!]
  • 2008 Structural Time Series Models for Business Cycle Analysis
    by Proietti, Tommaso [Downloadable!]
  • 2008 A Multivariate Band-Pass Filter
    by Valle e Azevedo, João [Downloadable!]
  • 2008 Long Memory and Non-Linearities in International Inflation
    by Giovanni Caggiano & Efrem Castelnuovo [Downloadable!]
  • 2008 Parameter estimation in nonlinear AR-GARCH models
    by Mika Meitz & Pentti Saikkonen [Downloadable!]
  • 2008 The tax system and housing demand in New Zealand
    by David Hargreaves [Downloadable!]
  • 2008 How do Housing Wealth, Financial Wealth and Consumption Interact? Evidence from New Zealand
    by Emmanuel De Veirman & Ashley Dunstan [Downloadable!]
  • 2008 Properties of etimated characteristic roots
    by Bent Nielsen & Heino Bohn Nielsen [Downloadable!]
  • 2008 Unit Root Testing with Unstable Volatility
    by Brendan K. Beare [Downloadable!]
  • 2008 How forward-looking is the Fed? Direct estimates from a ‘Calvo-type’ rule
    by Vasco J. Gabriel & Paul Levine & Christopher Spencer [Downloadable!]
  • 2008 Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure
    by Cristina Amado & Timo Teräsvirta [Downloadable!]
  • 2008 Efficient Prediction of Excess Returns
    by Jon Faust & Jonathan H. Wright [Downloadable!]
  • 2008 High Frequency Market Microstructure Noise Estimates and Liquidity Measures
    by Yacine Ait-Sahalia & Jialin Yu [Downloadable!]
  • 2008 Do survey indicators let us see the business cycle ? A frequency decomposition
    by Luc Dresse & Christophe Van Nieuwenhuyze [Downloadable!]
  • 2008 Wavelets unit root test vs DF test : A further investigation based on monte carlo experiments
    by Ibrahim Ahamada & Philippe Jolivaldt [Downloadable!]
  • 2008 Business surveys modelling with seasonal-cyclical long memory models
    by Laurent Ferrara & Dominique Guegan [Downloadable!]
  • 2008 A non-parametric method to nowcast the Euro Area IPI
    by Laurent Ferrara & Thomas Raffinot [Downloadable!]
  • 2008 Forecasting chaotic systems : the role of local Lyapunov exponents
    by Dominique Guegan & Justin Leroux [Downloadable!]
  • 2008 The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics
    by Abdou Kâ Diongue & Dominique Guegan [Downloadable!]
  • 2008 Testing fractional order of long memory processes : a Monte Carlo study
    by Laurent Ferrara & Dominique Guegan & Zhiping Lu [Downloadable!]
  • 2008 Milan’s Cycle as an Accurate Leading Indicator for the Italian Business Cycle
    by Matteo Pelagatti & Valeria Negri [Downloadable!]
  • 2008 Macroeconomic Uncertainty and Performance in the European Union and Implications for the objectives of Monetary Policy
    by Don Bredin & Stilianos Fountas [Downloadable!]
  • 2008 Trend Extraction From Time Series With Structural Breaks and Missing Observations
    by Schlicht, Ekkehart [Downloadable!]
  • 2008 The Realisation of Finite-Sample Frequency-Selective Filters
    by Prof D.S.G. Pollock [Downloadable!]
  • 2008 The Frequency Analysis of the Business Cycle
    by Prof D.S.G. Pollock [Downloadable!]
  • 2008 Properties of Estimated Characteristic Roots
    by Bent Nielsen & Heino Bohn Nielsen [Downloadable!]
  • 2008 The Stress of Having a Single Monetary Policy in Europe
    by Jan-Egbert Sturm & Timo Wollmershäuser [Downloadable!]
  • 2008 Multifractality and Long-Range Dependence of Asset Returns: The Scaling Behaviour of the Markov-Switching Multifractal Model with Lognormal Volatility Components
    by Ruipeng Liu & Tiziana Di Matteo & Thomas Lux [Downloadable!]
  • 2008 The Nature of Occupational Unemployment Rates in the United States: Hysteresis or Structural?
    by Candelon, Bertrand & Dupuy, Arnaud & Gil-Alana, Luis A. [Downloadable!]
  • 2008 Panel Data Stochastic Convergence Analysis of the Mexican Regions
    by Josep Lluís Carrion-i-Silvestre & Vicente German-Soto [Downloadable!]
  • 2008 Spurious Regressions in Technical Trading: Momentum or Contrarian?
    by Mototsugu Shintani & Tomoyoshi Yabu & and Daisuke Nagakura [Downloadable!]
  • 2008 Hysteresis in Unemployment:Evidence from Latin America
    by Matias Mednik & Cesar M. Rodriguez & Inder J. Ruprah [Downloadable!]
  • 2008 Measuring and Modeling Risk Using High-Frequency Data
    by Wolfgang Härdle & Nikolaus Hautsch & Uta Pigorsch [Downloadable!]
  • 2008 Adaptive pointwise estimation in time-inhomogeneous time-series models
    by Pavel Cizek & Wolfgang Härdle & Vladimir Spokoiny [Downloadable!]
  • 2008 Testing for the presence of noise in long memory processes [in Japanese]
    by Keiko Yamaguchi [Downloadable!]
  • 2008 The Sources of Volatility Transmission in the Euro Area Money Market: From Longer Maturities to the Overnight?
    by Zagaglia, Paolo [Downloadable!]
  • 2008 Multinational Electricity Market Integration and Electricity Price Dynamics
    by Lundgren, Jens & Hellström, Jörgen & Rudholm, Niklas [Downloadable!]
  • 2008 Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure
    by Amado, Cristina & Teräsvirta, Timo [Downloadable!]
  • 2008 Estimating fundamental cross-section dispersion from fixed event forecasts
    by Jonas Dovern & Ulrich Fritsche [Downloadable!]
  • 2008 A new unit root test against ESTAR based on a class of modified statistics
    by Kruse, Robinson [Downloadable!]
  • 2008 Rational bubbles and fractional integration
    by Kruse, Robinson [Downloadable!]
  • 2008 A Nonlinear Panel Unit Root Test under Cross Section Dependence
    by Mario Cerrato & Christian de Peretti & Nick Sarantis [Downloadable!]
  • 2008 A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets
    by Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi [Downloadable!]
  • 2008 Comparison of Volatility Measures: a Risk Management Perspective
    by Christian T. Brownlees & Giampiero Gallo [Downloadable!]
  • 2008 Volatility extraction using the Kalman filter
    by Alexandr Kuchynka [Downloadable!]
  • 2008 Parameter Estimation in Nonlinear AR-GARCH Models
    by Mika Meitz & Pentti Saikkonen [Downloadable!]
  • 2008 Selection of the number of frequencies using bootstrap techniques in log-periodogram regression
    by Josu Arteche & Jesus Orbe [Downloadable!]
  • 2008 Forecast Comparisons in Unstable Environments
    by Giacomini, Raffaella & Rossi, Barbara [Downloadable!]
  • 2008 Which Structural Parameters Are "Structural"? Identifying the Sources of Instabilities in Economic Models
    by Inoue, Atsushi & Rossi, Barbara [Downloadable!]
  • 2008 M3 Money Demand and Excess Liquidity in the Euro Area
    by Christian Dreger & Jürgen Wolters [Downloadable!]
  • 2008 Estimating Fundamental Cross-Section Dispersion from Fixed Event Forecasts
    by Jonas Dovern & Ulrich Fritsche [Downloadable!]
  • 2008 Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails
    by Cees Diks & Valentyn Panchenko & Dick van Dijk [Downloadable!]
  • 2008 Likelihood Functions for State Space Models with Diffuse Initial Conditions
    by Marc K. Francke & Siem Jan Koopman & Aart de Vos [Downloadable!]
  • 2008 An Hourly Periodic State Space Model for Modelling French National Electricity Load
    by V. Dordonnat & S.J. Koopman & M. Ooms & A. Dessertaine & J. Collet [Downloadable!]
  • 2008 Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity
    by Donald W.K. Andrews & Patrik Guggenberger [Downloadable!]
  • 2008 Optimal Bandwidth Choice for Interval Estimation in GMM Regression
    by Yixiao Sun & Peter C.B. Phillips [Downloadable!]
  • 2008 Testing for Non-Nested Conditional Moment Restrictions Using Unconditional Empirical Likelihood
    by Taisuke Otsu & Myung Hwan Seo & Yoon-Jae Whang [Downloadable!]
  • 2008 Smoothing Local-to-Moderate Unit Root Theory
    by Peter C.B. Phillips & Tassos Magdalinos & Liudas Giraitis [Downloadable!]
  • 2008 Semiparametric Cointegrating Rank Selection
    by Xu Cheng & Peter C.B. Phillips [Downloadable!]
  • 2008 Structural Nonparametric Cointegrating Regression
    by Qiying Wang & Peter C.B. Phillips [Downloadable!]
  • 2008 Long Memory and Long Run Variation
    by Peter C.B. Phillips [Downloadable!]
  • 2008 Unit Root and Cointegrating Limit Theory When Initialization Is in the Infinite Past
    by Peter C.B. Phillips & Tassos Magdalinos [Downloadable!]
  • 2008 Unit Root Model Selection
    by Peter C.B. Phillips [Downloadable!]
  • 2008 Nonlinearity and Temporal Dependence
    by Xiaohong Chen & Lars P. Hansen & Marine Carrasco [Downloadable!]
  • 2008 Limit Theorems for Functionals of Sums that Converge to Fractional Brownian and Stable Motions
    by P. Jeganathan [Downloadable!]
  • 2008 Efficient Estimation of Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals
    by Xiaohong Chen & Demian Pouzo [Downloadable!]
  • 2008 Simple Wald tests of the fractional integration parameter : an overview of new results
    by Juan Jose Dolado & Jesus Gonzalo & Laura Mayoral [Downloadable!]
  • 2008 Monetary Factors and Inflation in Japan
    by Assenmacher-Wesche, Katrin & Gerlach, Stefan & Sekine, Toshitaka [Downloadable!]
  • 2008 A Realistic Model for Official Interest Rates
    by Juan de Dios Tena & Edoardo Otranto [Downloadable!]
  • 2008 A Realistic Model for Official Interest Rates
    by Juan de Dios Tena & Edoardo Otranto [Downloadable!]
  • 2008 A Realistic Model for Official Interest Rates
    by Juan de Dios Tena & Edoardo Otranto [Downloadable!]
  • 2008 A Realistic Model for Official Interest Rates
    by Juan de Dios Tena & Edoardo Otranto [Downloadable!]
  • 2008 Clustering Heteroskedastic Time Series by Model-Based Procedures
    by Edoardo Otranto [Downloadable!]
  • 2008 Clustering Heteroskedastic Time Series by Model-Based Procedures
    by Edoardo Otranto [Downloadable!]
  • 2008 Clustering Heteroskedastic Time Series by Model-Based Procedures
    by Edoardo Otranto [Downloadable!]
  • 2008 Clustering Heteroskedastic Time Series by Model-Based Procedures
    by Edoardo Otranto [Downloadable!]
  • 2008 Quantifying Multiscale Inefficiency in Electricity Markets
    by Olga Y. Uritskaya & Apostolos Serletis [Downloadable!]
  • 2008 On the Influence of Oil Prices on Economic Activity and Other Macroeconomic and Financial Variables
    by François Lescaroux & Valerie Mignon [Downloadable!]
  • 2008 Modelling Long-Run Trends and Cycles in Financial Time Series Data
    by Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana [Downloadable!]
  • 2008 Forecasting Random Walks Under Drift Instability
    by M. Hashem Pesaran & Andreas Pick [Downloadable!]
  • 2008 The Undisclosed Renminbi Basket: Are the Markets Telling us something about where the Renminbi – US Dollar Exchange Rate is Going?
    by Michael Funke & Marc Gronwald [Downloadable!]
  • 2008 The Stress of Having a Single Monetary Policy in Europe
    by Jan-Egbert Sturm & Timo Wollmershäuser [Downloadable!]
  • 2008 The Empirical Properties of Some Popular Estimators of Long Memory Processes
    by Jennifer Brown & Les Oxley & William Rea & Marco Reale [Downloadable!]
  • 2008 Long memory or shifting means? A new approach and application to realised volatility
    by Eduardo Mendes & Les Oxley & William Rea & Marco Reale [Downloadable!]
  • 2008 Looking for a break in Spanish Inflation Data in the early eighties and assessing persistence
    by Maria Teresa Mota & Mariana Alves da Cunha & Carlos Santos [Downloadable!]
  • 2008 Forecasting Random Walks Under Drift Instability
    by Pesaran, M.H. & Pick, A. [Downloadable!]
  • 2008 Price and Non - Price Competitiveness of Exports of Manufactures
    by Panayiotis P. Athanasoglou & Ioanna C. Bardaka [Downloadable!]
  • 2008 Credit risk and business cycle over different regimes
    by Juri Marcucci & Mario Quagliariello [Downloadable!]
  • 2008 Testing for conditional heteroscedasticity in the components of inflation
    by Carmen Broto & Esther Ruiz [Downloadable!]
  • 2008 Introducing the EURO-STING: Short Term INdicator of Euro Area Growth
    by Maximo Camacho & Gabriel Perez-Quiros [Downloadable!]
  • 2008 Empirical Likelihood Block Bootstrapping
    by Jason Allen & Allan W. Gregory & Katsumi Shimotsu [Downloadable!]
  • 2008 Analyse spectrale de l’évolution de longue période des brevets en France, en Allemagne, en Grande-Bretagne et aux Etats-Unis (18ème-20ème siècles)
    by Claude Diebolt & Karine Pellier [Downloadable!]
  • 2008 Econométrie historique des salaires en France : une relecture des années charnières
    by Claude Diebolt & Magali Jaoul-Grammare [Downloadable!]
  • 2008 Global Temperature Trends
    by Trevor Breusch & Farshid Vahid [Downloadable!]
  • 2008 The limiting properties of the QMLE in a general class of asymmetric volatility models
    by Christian M. Dahl & Emma M. Iglesias [Downloadable!]
  • 2008 A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic
    by Morten Ørregaard Nielsen [Downloadable!]
  • 2008 Bias-reduced estimation of long memory stochastic volatility
    by Per Frederiksen & Morten Ørregaard Nielsen [Downloadable!]
  • 2008 Parameter estimation in nonlinear AR-GARCH models
    by Mika Meitz & Pentti Saikkonen [Downloadable!]
  • 2008 Local polynomial Whittle estimation of perturbed fractional processes
    by Per Frederiksen & Frank S. Nielsen & Morten Ørregaard Nielsen [Downloadable!]
  • 2008 Local polynomial Whittle estimation covering non-stationary fractional processes
    by Frank S. Nielsen [Downloadable!]
  • 2008 Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form
    by Anne Péguin-Feissolle & Birgit Strikholm & Timo Teräsvirta [Downloadable!]
  • 2008 Parametric inference for discretely sampled stochastic differential equations
    by Michael Sørensen [Downloadable!]
  • 2008 FIEGARCH-M and and International Crises: A Cross-Country Analysis
    by Jie Zhu [Downloadable!]
  • 2008 Option Pricing using Realized Volatility
    by Lars Stentoft [Downloadable!]
  • 2008 Volatility Components, Affine Restrictions and Non-Normal Innovations
    by Peter Christoffersen & Kris Dorion & Yintian Wang [Downloadable!]
  • 2008 Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure
    by Christina Amado & Timo Teräsvirta [Downloadable!]
  • 2008 Parameterizing unconditional skewness in models for financial time series
    by Changli He & Annastiina Silvennoinen & Timo Teräsvirta [Downloadable!]
  • 2008 Efficient estimation for ergodic diffusions sampled at high frequency
    by Michael Sørensen [Downloadable!]
  • 2008 Uncover Latent PPP by Dynamic Factor Error Correction Model (DF-ECM) Approach: Evidence from Five OECD Countries
    by Qin, Duo [Downloadable!]
  • 2008 Argentinean real exchange rate 1900-2006, test purchasing power parity theory
    by Marcos José Dal Bianco [Downloadable!]
  • 2008 Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?
    by Graham Elliott & Ivana Komunjer & Allan Timmermann [Downloadable!]
  • 2008 Producto potencial y ciclos económicos en México, 1980.1-2006.4
    by Eduardo Loría & Manuel G. Ramos & Leobardo de Jesús [Downloadable!]
  • 2008 An Empirical Analysis Of Sustainability Of Trade Deficit: Evidence From Sri Lanka
    by PERERA, Nelson & VARMA, Reetu [Downloadable!]
  • 2008 Port Wine Dynamics: Production, Trade And Market Structure
    by REBELO, João & CORREIA, Leonida [Downloadable!]
  • 2008 Tourism And Economic Growth: The Case Of Singapore
    by LEE, Chew Ging [Downloadable!]
  • 2008 Is the Caribbean Community an Optimum Currency Area?
    by Ghartey, E.E. [Downloadable!]
  • 2008 ON WAGE FORMATION, WAGE DEVELOPMENT AND FLEXIBILITY: A comparison between European countries and the United States
    by PEETERS, H.M.M. & DEN REIJER, A.H.J. [Downloadable!]
  • 2008 Patents, Innovations And Economic Growth In Japan And South Korea: Evidence From Individual Country And Panel Data
    by SINHA, Dipendra [Downloadable!]
  • 2008 Revisiting The Export-Output Nexus For Western Africa Countries: A Markov Switching Causality Approach
    by AKA, Bédia F. [Downloadable!]
  • 2007 Did Nordic Countries Recognize the Gathering Storm of World War II? Evidence from the Bond Markets
    by Daniel Waldenström & Bruno S. Frey [Downloadable!]
  • 2007 Harmonic Regression Models: A Comparative Review with Applications
    by Michael Artis & José G. Clavel & Mathias Hoffmann & Dilip Nachane [Downloadable!]
  • 2007 What Explains the Spread Between the Euro Overnight Rate and the ECB’s Policy Rate?
    by Linzert, Tobias & Schmidt, Sandra [Downloadable!]
  • 2007 The Phillips Curve and NAIRU Revisited: New Estimates for Germany
    by Fitzenberger, Bernd & Franz, Wolfgang & Bode, Oliver [Downloadable!]
  • 2007 Uncover Latent PPP by Dynamic Factor Error Correction Model (DF-ECM) Approach: Evidence from five OECD countries
    by Qin, Duo [Downloadable!]
  • 2007 In search of FDI-led growth in developing countries
    by Herzer, Dierk & Klasen, Stephan & Nowak-Lehmann Danzinger, Felicitas [Downloadable!]
  • 2007 Does Purchasing Power Parity Hold Sometimes? Regime Switching in Real Exchange Rates
    by Lee, Hwa-Taek & Yoon, Gawon [Downloadable!]
  • 2007 A note on model selection in (time series) regression models - General-to-specific or specific-to-general?
    by Herwartz, Helmut [Downloadable!]
  • 2007 Threshold dynmamics of short-term interest rates : empirical evidence and implications for the term structure
    by Archontakis, Theofanis & Lemke, Wolfgang [Downloadable!]
  • 2007 Measuring the Fiscal Stance
    by Vito Polito & Mike Wickens [Downloadable!]
  • 2007 Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis
    by Paola Zerilli [Downloadable!]
  • 2007 Pricing behaviour under competition in the UK electricity supply industry
    by Giulietti, Monica & Otero, Jesus & Waterson, Michael [Downloadable!]
  • 2007 Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence
    by Giulietti, Monica & Otero, Jesus & Smith, Jeremy [Downloadable!]
  • 2007 Macroeconomic Sources of Foreign Exchange Risk in New EU Members
    by Tigran Poghosyan & Evzen Kocenda [Downloadable!]
  • 2007 Real Convergence, Price Level Convergence and Inflation Differentials in Europe
    by Balazs Egert [Downloadable!]
  • 2007 Business Confidence and Cyclical Turning Points: A Markov-Switching Approach
    by Mark J. Holmes & Brian Silverstone [Downloadable!]
  • 2007 A Saddlepoint Approximation to the Distribution of the Half-Life Estimator in an Autoregressive Model: New Insights Into the PPP Puzzle
    by Qian Chen & David E. Giles [Downloadable!]
  • 2007 Bayesian Inference on Dynamic Models with Latent Factors
    by Monica Billio & Roberto Casarin & Domenico Sartore [Downloadable!]
  • 2007 Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion
    by Monica Billio & Massimiliano Caporin [Downloadable!]
  • 2007 Forecasting Time Series with Long Memory and Level Shifts, A Bayesian Approach
    by Silvestro Di Sanzo [Downloadable!]
  • 2007 Bayesian Methods in Nonlinear Time Series
    by Korenok Oleg [Downloadable!]
  • 2007 Splines for Financial Volatility
    by Francesco Audrino & Peter Bühlmann [Downloadable!]
  • 2007 Realized Correlation Tick-by-Tick
    by Fulvio Corsi & Francesco Audrino [Downloadable!]
  • 2007 On the Impact of Fundamentals, Liquidity and Coordination on Market Stability
    by Francisco Peñaranda & Jón Daníelsson [Downloadable!]
  • 2007 Testing for the Random Walk Hypothesis and Structural Breaks in International Stock Prices
    by Chancharat,Surachai & Valadkhani, Abbas [Downloadable!]
  • 2007 Balassa-Samuelson Effect Approaching Fifty Years: Is it Retiring Early in Australia?
    by Chowdhury, Khorshed [Downloadable!]
  • 2007 Testing the Keynesian Proposition of Twin Deficits in the Presence of Trade Liberalisation: Evidence from Sri Lanka after War: the case of a bridge too far?
    by Chowdhury, Khorshed & Saleh, Ali Salman [Downloadable!]
  • 2007 An initial push for successful transition from import substitution to export-orientation in Taiwan and China: The FDI-led hypothesis
    by Jayanthakumaran, Kankesu & Lee, Shao-Wei [Downloadable!]
  • 2007 Convergence Analysis of the Structure of Tax Revenue and Tax Burden in EU
    by Tiia Püss & Mare Viies & Reet Maldre [Downloadable!]
  • 2007 Are there Structural Breaks in Realized Volatility?
    by Chun Liu & John M Maheu [Downloadable!]
  • 2007 Learning, Forecasting and Structural Breaks
    by John M Maheu & Stephen Gordon [Downloadable!]
  • 2007 Modeling foreign exchange rates with jumps
    by John M Maheu & Thomas H McCurdy [Downloadable!]
  • 2007 Economic Base Multipliers Revisited
    by Derek Bond & Michael J. Harrison & Edward J. O'Brien [Downloadable!]
  • 2007 Bayesian Variable Selection of Risk Factors in the APT Model
    by Robert Kohn & Rachida Ouysse [Downloadable!]
  • 2007 Home, Sweet Home or Is It - Always? Testing the Efficiency of the Norwegian Housing Market
    by Erling Røed Larsen and Steffen Weum [Downloadable!]
  • 2007 Forecasting key macroeconomic variables from a large number of predictors: A state space approach
    by Arvid Raknerud, Terje Skjerpen and Anders Rygh Swensen [Downloadable!]
  • 2007 Why Bayes Rules: A Note on Bayesian vs. Classical Inference in Regime Switching Models
    by Dennis Gaertner [Downloadable!]
  • 2007 GLS Bias Correction for Low Order ARMA models
    by Patrick Richard [Downloadable!]
  • 2007 Sieve bootstrap unit root tests
    by Patrick Richard [Downloadable!]
  • 2007 Exchange Rate Exposure of Sectoral Returns and Volatilities: Evidence from Japanese Industrial Sectors
    by Prabhath Jayasinghe & Albert K. Tsui [Downloadable!]
  • 2007 Can macroeconomic variables explain long term stock market movements? A comparison of the US and Japan
    by Andreas Humpe & Peter Macmillan [Downloadable!]
  • 2007 Is the Relationship Between Inflation and its Uncertainty Linear?
    by Menelaos Karanasosa & Stefanie Schurer [Downloadable!]
  • 2007 Band Spectral Estimation for Signal Extraction
    by Tommaso Proietti [Downloadable!]
  • 2007 The Impact of Vintage on the Persistence of Gross Domestic Product Shocks
    by Christian Macaro [Downloadable!]
  • 2007 Double Conditioned Potential Output
    by Dobrescu, Emilian [Downloadable!]
  • 2007 Campaign Advertising and Election Outcomes: Quasi-Natural Experiment Evidence from Gubernatorial Elections in Brazil
    by Bernardo S. da Silveira & João Manoel Pinho de Mello [Downloadable!]
  • 2007 Modeling and predicting the CBOE market volatility index
    by Marcelo Fernandes & Marcelo Cunha Medeiros & MArcelo Scharth [Downloadable!]
  • 2007 Non-Linearity In The Canadian And Us Labour Markets: Univariate And Multivariate Evidence From A Battery Of Tests
    by Theodore Panagiotidis & Gianluigi Pelloni [Downloadable!]
  • 2007 Does tariff liberalization promote trade? Latin America in the long run (1900-2000)
    by Carlo Pietrobelli & Silvia Nenci [Downloadable!]
  • 2007 Application of Three Alternative Approaches to Identify Business Cycles in Peru
    by Rodriguez Gabriel [Downloadable!]
  • 2007 Monetary Policy, Regime Shifts, and Inflation Uncertainty in Peru (1949-2006)
    by Paul Castillo & Alberto Humala & Vicente Tuesta [Downloadable!]
  • 2007 Forecasting stock market volatility conditional on macroeconomic conditions
    by Ralf Becker & Adam Clements [Downloadable!]
  • 2007 Are combination forecasts of S&P 500 volatility statistically superior?
    by Ralf Becker & Adam Clements [Downloadable!]
  • 2007 Does implied volatility reflect a wider information set than econometric forecasts?
    by Ralf Becker & Adam Clements & James Curchin [Downloadable!]
  • 2007 Modelling Spikes in Electricity Prices
    by Ralf Becker & Stan Hurn & Vlad Pavlov [Downloadable!]
  • 2007 Teaching an Old Dog New Tricks: Improved Estimation of the Parameters of Stochastic Differential Equations by Numerical Solution of the Fokker-Planck Equation
    by A. Hurn & J. Jeisman & K. Lindsay [Downloadable!]
  • 2007 Wavelet Analysis and Denoising: New Tools for Economists
    by Iolanda Lo Cascio [Downloadable!]
  • 2007 Comparative Economic Cycles
    by Iolanda Lo Cascio & Stephen Pollock [Downloadable!]
  • 2007 Changes in Predictive Ability with Mixed Frequency Data
    by Ana Beatriz Galvão [Downloadable!]
  • 2007 Long Memory and FIGARCH Models for Daily and High Frequency Commodity Prices
    by Richard T. Baillie & Young-Wook Han & Robert J. Myers & Jeongseok Song [Downloadable!]
  • 2007 Modeling Long Memory and Structural Breaks in Conditional Variances: An Adaptive FIGARCH Approach
    by Richard T. Baillie & Claudio Morana [Downloadable!]
  • 2007 Boosting Estimation of RBF Neural Networks for Dependent Data
    by George Kapetanios & Andrew P. Blake [Downloadable!]
  • 2007 Semiparametric Sieve-Type GLS Inference in Regressions with Long-Range Dependence
    by George Kapetanios & Zacharias Psaradakis [Downloadable!]
  • 2007 Financial Market Integration and World Economic Stabilization toward Purchasing Power Parity
    by Tatsuyoshi Okimoto & Katsumi Shimotsu [Downloadable!]
  • 2007 Covariance-based orthogonality tests for regressors with unknown persistence
    by Alex Maynard & Katsumi Shimotsu [Downloadable!]
  • 2007 Price Dynamics in an Exchange Economy
    by Steven Gjerstad [Downloadable!]
  • 2007 Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting
    by Michael Dueker & Martin Sola & Fabio Spagnolo [Downloadable!]
  • 2007 Modelling and Forecasting the Metical-Rand Exchange Rate
    by Samuel Zita & Rangan Gupta [Downloadable!]
  • 2007 Agricultural sector and economic growth in Tunisia: Evidence from co-integration and error correction mechanism
    by Chebbi, Houssem Eddine & Lachaal, Lassaad [Downloadable!]
  • 2007 Transformations and Seasonal Adjustment: Analytic Solutions and Case Studies
    by Proietti, Tommaso & Riani, Marco [Downloadable!]
  • 2007 Disentangling non-linearities in the long- and short-run price relationships: An application to the U.S. hog/Pork supply chain
    by Gervais, Jean-Philippe [Downloadable!]
  • 2007 Market Returns and Weak-Form Efficiency: the case of the Ghana Stock Exchange
    by Frimpong, Joseph Magnus & Oteng-Abayie, Eric Fosu [Downloadable!]
  • 2007 Day-of-the-week effects in selected East Asian stock markets
    by Chia, Ricky Chee-Jiun & Liew, Venus Khim-Sen & Syed Khalid Wafa, Syed Azizi Wafa [Downloadable!]
  • 2007 Forecasting water consumption in Spain using univariate time series models
    by Caiado, Jorge [Downloadable!]
  • 2007 Interpretation of the Effects of Filtering Integrated Time Series
    by Valle e Azevedo, João [Downloadable!]
  • 2007 Exact Limit of the Expected Periodogram in the Unit-Root Case
    by Valle e Azevedo, João [Downloadable!]
  • 2007 Trade,Financial and Growth Nexus in Pakistan
    by Arshad Khan, Muhammad & Qayyum, Abdul [Downloadable!]
  • 2007 Does global liquidity help to forecast US inflation?
    by D'Agostino, A & Surico, P [Downloadable!]
  • 2007 A Semigroups Approach to the Study of a Second Order Partial Differential Equation Applied in Economics
    by Chilarescu, Constantin [Downloadable!]
  • 2007 Spill Over Effects of Futures Contracts Initiation on the Cash Market: A Comparative Analysis
    by Karathanassis, George & Sogiakas, Vasilios [Downloadable!]
  • 2007 Empirically Based Modeling in the Social Sciences and Spurious Stylized Facts
    by Bassler, Kevin E. & Gunaratne, Gemunu H. & McCauley, Joseph L. [Downloadable!]
  • 2007 Developing the concept of Sustainable Peace using Econometrics and scenarios granting Sustainable Peace in Colombia by year 2019
    by Gomez-Sorzano, Gustavo [Downloadable!]
  • 2007 Hysteresis in Unemployment: Panel Unit Roots Tests Using State Level Data
    by Mohan, Ramesh & Kemegue, Francis & Sjuib, Fahlino [Downloadable!]
  • 2007 Estimation and decomposition of downside risk for portfolios with non-normal returns
    by Boudt, Kris & Peterson, Brian & Croux, Christophe [Downloadable!]
  • 2007 Forecasting volatility: Evidence from the Macedonian stock exchange
    by Kovačić, Zlatko [Downloadable!]
  • 2007 Price of recreational products and the exchange rate: an empirical investigation on US data
    by Cellini, Roberto & Paolino, Alessandro [Downloadable!]
  • 2007 Cycles of violence, and terrorist attacks index for the State of Oklahoma
    by Gómez-Sorzano, Gustavo [Downloadable!]
  • 2007 Cycles of violence, and terrorist attacks index for the State of Michigan
    by Gómez-Sorzano, Gustavo [Downloadable!]
  • 2007 Cycles of violence, and attacks index for the State of Florida
    by Gómez-sorzano, Gustavo [Downloadable!]
  • 2007 Cycles of violence, and terrorist attacks index for the State of Missouri
    by Gómez-sorzano, Gustavo [Downloadable!]
  • 2007 Volatility Proxies for Discrete Time Models
    by de Vilder, Robin G. & Visser, Marcel P. [Downloadable!]
  • 2007 Terrorist murder, cycles of violence, and attacks index for the City of Philadelphia during the last two centuries
    by Gómez-sorzano, Gustavo [Downloadable!]
  • 2007 A note on least squares fitting of signal waveforms
    by Mishra, SK [Downloadable!]
  • 2007 Cycles of violence, and terrorist attacks index for the State of Arkansas
    by Gómez-Sorzano, Gustavo [Downloadable!]
  • 2007 Cycles of violence, and terrorist attacks index for the State of Washington
    by Gómez-Sorzano, Gustavo [Downloadable!]
  • 2007 Cycles of violence, riots, and terrorist attacks index for the State of California
    by Gómez-sorzano, Gustavo [Downloadable!]
  • 2007 Institutional rigidities and employment rigidity on the Italian labour larket
    by Jiménez-Rodríguez, Rebeca & Russo, Giuseppe [Downloadable!]
  • 2007 Cycles of violence and terrorist attacks index for the State of Arizona
    by Gómez-Sorzano, Gustavo [Downloadable!]
  • 2007 Cycles of violence, and terrorist attacks index for the State of Massachusetts
    by Gómez-Sorzano, Gustavo [Downloadable!]
  • 2007 Terrorist murder, cycles of violence, and terrorist attacks in New York City during the last two centuries
    by Gomez-Sorzano, Gustavo [Downloadable!]
  • 2007 Does Black’s Hypothesis for Output Variability Hold for Mexico?
    by Macri, Joseph & Sinha, Dipendra [Downloadable!]
  • 2007 Predictive Performance of Conditional Extreme Value Theory and Conventional Methods in Value at Risk Estimation
    by Ghorbel, Ahmed & Trabelsi, Abdelwahed [Downloadable!]
  • 2007 Robustness of the Risk-Return Relationship in the U.S. Stock Market
    by Lanne, Markku & Luoto, Jani [Downloadable!]
  • 2007 Deterministic and stochastic trends in the time series models: A guide for the applied economist
    by Rao, B. Bhaskara [Downloadable!]
  • 2007 The Financial Development and Economic Growth Nexus for Turkey
    by Halicioglu, Ferda [Downloadable!]
  • 2007 A Multivariate Causality Analysis of Export and Growth for Turkey
    by Halicioglu, Ferda [Downloadable!]
  • 2007 The Bilateral J-curve: Turkey versus her 13 Trading Partners
    by Halicioglu, Ferda [Downloadable!]
  • 2007 Price Volatility of the Mexican Export Crude Oil Blend
    by Dávila-Pérez, Javier & Nuñez-Mora, Jose Antonio & Ruiz-Porras, Antonio [Downloadable!]
  • 2007 The effects of technology-as-knowledge on the economic performance of developing countries: An econometric analysis using annual publications data for Botswana, Namibia, and South Africa, 1976-2004
    by Amavilah, Voxi Heinrich [Downloadable!]
  • 2007 The expectations hypothesis of the term structure: some empirical evidence for Portugal
    by Silva Lopes, Artur C. & M. Monteiro, Olga Susana [Downloadable!]
  • 2007 Biases in calculating dumping Margins: The case of cyclical products
    by Rude, James & Gervais, Jean-Philippe [Downloadable!]
  • 2007 Forecasting Mango and Citrus Production in Nigeria: A Trend analysis
    by Yusuf, Sulaiman Adesina & Salau, Adekunle Sheu [Downloadable!]
  • 2007 Toda and Yamamoto Causality Tests Between Per Capita Saving and Per Capita GDP for India
    by Sinha, Dipendra & Sinha, Tapen [Downloadable!]
  • 2007 Effects of Volatility of Exports in the Philippines and Thailand
    by Sinha, Dipendra [Downloadable!]
  • 2007 Does the Wagner’s Law hold for Thailand? A Time Series Study
    by Sinha, Dipendra [Downloadable!]
  • 2007 Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts?
    by Weron, Rafal & Misiorek, Adam [Downloadable!]
  • 2007 Efficient Estimation of the Parameter Path in Unstable Time Series Models
    by Mueller, Ulrich & Petalas, Philippe-Emmanuel [Downloadable!]
  • 2007 Trade Liberalisation, Financial Development and Economic Growth
    by Muhammad Arshad Khan & Abdul Qayyum [Downloadable!]
  • 2007 Real-Time Measurement of Business Conditions, Second Version
    by S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti [Downloadable!]
  • 2007 Real-Time Measurement of Business Conditions
    by S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti [Downloadable!]
  • 2007 A New Mixing Condition
    by Brendan K. Beare [Downloadable!]
  • 2007 Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment
    by Jeremy Large [Downloadable!]
  • 2007 Stability of nonlinear AR-GARCH models
    by Mika Meitz & Pentti Saikkonen [Downloadable!]
  • 2007 Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models
    by Mika Meitz & Pentti Saikkonen [Downloadable!]
  • 2007 Real Convergence, Price Level Convergence and Inflation Differentials in Europe
    by Balázs Égert [Downloadable!]
  • 2007 Monetary Policy and Macroeconomic Stability in Latin America: The Cases of Brazil, Chile, Colombia and Mexico
    by Luiz de Mello & Diego Moccero [Downloadable!]
  • 2007 RBCs and DSGEs:The Computational Approach to Business Cycle Theory and Evidence
    by Özer Karagedikli & Troy Matheson & Christie Smith & Shaun P. Vahey [Downloadable!]
  • 2007 Which nonlinearity in the Phillips curve? The absence of accelerating deflation in Japan
    by Emmanuel De Veirman [Downloadable!]
  • 2007 No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications
    by Torben G. Andersen & Tim Bollerslev & Dobrislav Dobrev [Downloadable!]
  • 2007 Self-Protection and Insurance with Interdependencies
    by Alexander Muermann & Howard Kunreuther [Downloadable!]
  • 2007 Deterministic and Stochastic Prisoner's Dilemma Games: Experiments in Interdependent Security
    by Howard Kunreuther & Gabriel Silvasi & Eric T. Bradlow & Dylan Small [Downloadable!]
  • 2007 Assessing the Gap between Observed and Perceived Inflation in the Euro Area : Is the Credibility of the HICP at Stake ?
    by Luc Aucremanne & Marianne Collin & Thomas Stragier [Downloadable!]
  • 2007 A Quarterly Post-World War II Real GDP Series for New Zealand
    by Viv Hall & John McDermott [Downloadable!]
  • 2007 A state space model for exponential smoothing with group seasonality
    by Pim Ouwehand & Rob J. Hyndman & Ton G. de Kok & Karel H. van Donselaar [Downloadable!]
  • 2007 Automatic time series forecasting: the forecast package for R
    by Rob J. Hyndman & Yeasmin Khandakar [Downloadable!]
  • 2007 An Assessment of Alternative State Space Models for Count Time Series
    by Ralph D. Snyder & Gael M. Martin & Phillip Gould & Paul D. Feigin [Downloadable!]
  • 2007 Non-linear exponential smoothing and positive data
    by Muhammad Akram & Rob J. Hyndman & J. Keith Ord [Downloadable!]
  • 2007 Hierarchical forecasts for Australian domestic tourism
    by George Athanasopoulos & Roman A. Ahmed & Rob J. Hyndman [Downloadable!]
  • 2007 Effet peso : présentation théorique et application à la politique monétaire
    by Nicolas Million [Downloadable!]
  • 2007 Monetary information arrivals and intraday exchange rate volatility : A comparison of the GARCH and the EGARCH models
    by Darmoul Mokhtar & Nizar Harrathi [Downloadable!]
  • 2007 A Panel-CADF Test for Unit Roots
    by Costantini, Mauro & Lupi, Claudio & Popp, Stephan [Downloadable!]
  • 2007 The Maximum Lq-Likelihood Method: an Application to Extreme Quantile Estimation in Finance
    by Davide Ferrari & Sandra Paterlini [Downloadable!]
  • 2007 How Frequently Does the Stock Price Jump? – An Analysis of High-Frequency Data with Microstructure Noises
    by Jin-Chuan Duan & András Fülöp [Downloadable!]
  • 2007 The Law of One Price: Nonlinearities in Sectoral Real Exchange Rate Dynamics
    by Luciana Juvenal & Mark P. Taylor [Downloadable!]
  • 2007 Forecasting Exchange Rate Volatility with High Frequency Data: Is the Euro Different?
    by Georgios Chortareas & John Nankervis & Ying Jiang [Downloadable!]
  • 2007 Effects of Exchange Rate Volatility on the Volume and Volatility of Bilateral Exports
    by Christopher F Baum & Mustafa Caglayan [Downloadable!]
  • 2007 Purchasing Power Parity among developing countries and their trade-partners. Evidence from selected CEECs and Implications for their membership of EU
    by Nikolaos Giannellis & Athanasios P. Papadopoulos [Downloadable!]
  • 2007 A real-time analysis of the Swiss trade account
    by Jan Jacobs & Jan-Egbert Sturm [Downloadable!]
  • 2007 Inflation persistence in the euro-area, US, and new members of the EU: Evidence from time-varying coefficient models
    by Zsolt Darvas & Balázs Varga [Downloadable!]
  • 2007 Inflation, inflation uncertainty, and Markov regime switching heteroskedasticity: Evidence from European countries
    by Donal Bredin & Stilianos Fountas [Downloadable!]
  • 2007 Leading indicator properties of the US corporate spreads
    by Nektarios Aslanidis & Andrea Cipollini [Downloadable!]
  • 2007 Estimation Bias and Inference in Overlapping Autoregressions: Implications for the Target Zone Literature
    by Zsolt Darvas [Downloadable!]
  • 2007 Modelling good and bad volatility
    by Matteo Pelagatti [Downloadable!]
  • 2007 Mixed Exponential Power Asymmetric Conditional Heteroskedasticity
    by Mohammed Bouaddi & Jeroen V.K. Rombouts [Downloadable!]
  • 2007 Theory and Inference for a Markov-Switching GARCH Model
    by Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts [Downloadable!]
  • 2007 Nonparametric Density Estimation for Multivariate Bounded Data
    by Taoufik Bouezmarni & Jeroen V.K. Rombouts [Downloadable!]
  • 2007 Semiparametric Multivariate Density Estimation for Positive Data Using Copulas
    by Taoufik Bouezmarni & Jeroen V.K. Rombouts [Downloadable!]
  • 2007 Trend Extraction From Time Series With Missing Observations
    by Schlicht, Ekkehart [Downloadable!]
  • 2007 Trend Extraction From Time Series With Structural Breaks
    by Schlicht, Ekkehart [Downloadable!]
  • 2007 Evaluating the Synchronisation of the Eurozone Business Cycles using Multivariate Coincident Macroeconomic Indicators
    by Xiaoshan Chen [Downloadable!]
  • 2007 A New Look at Economic Convergence in Europe: A Common Factor Approach
    by Bettina Becker & Stephen G. Hall [Downloadable!]
  • 2007 Likelihood Inference for a Nonstationary Fractional Autoregressive Model
    by Søren Johansen & Morten Ørregaard Nielsen [Downloadable!]
  • 2007 Selecting a Regression Saturated by Indicators
    by David F. Hendry & Søren Johansen & Carlos Santos [Downloadable!]
  • 2007 Correlation, Regression, and Cointegration of Nonstationary Economic Time Series
    by Søren Johansen [Downloadable!]
  • 2007 The High-Frequency Response of the EUR-US Dollar Exchange Rate to ECB Monetary Policy Announcements
    by Christian Conrad & Michael J. Lamla [Downloadable!]
  • 2007 Non-negativity Conditions for the Hyperbolic GARCH Model
    by Christian Conrad [Downloadable!]
  • 2007 Efficacy of Fiscal Policy in Japan: Keynesian and Non-Keynesian Effects on Aggregate Demand
    by Yusuke Kinari & Masahiko Shibamoto
  • 2007 The determinants of allowance prices in the European Emissions Trading Scheme - Can we expect an efficient allowance market 2008?
    by Wilfried Rickels & Vicki Duscha & Andreas Keller & Sonja Peterson [Downloadable!]
  • 2007 Changes in the Balance of Power Between the Wage and Price Setters and the Central Bank: Consequences for the Phillips Curve and the NAIRU
    by Jürgen Kromphardt & Camille Logeay [Downloadable!]
  • 2007 Inflation Expectations, the Phillips Curve and Monetary Policy
    by Fabien Curto Millet [Downloadable!]
  • 2007 Panel Unit Root Tests in the Presence of a Multifactor Error Structure
    by M. Hashem Pesaran & L. Vanessa Smith & Takashi Yamagata [Downloadable!]
  • 2007 Three methods of forecasting currency crises: Which made the run in signaling the South African currency crisis of June 2006?
    by Tobias Knedlik & Rolf Scheufele [Downloadable!]
  • 2007 The Role Of Commodity Terms Of Trade In Determining The Real Exchange Rates Of Mediterranean Countries
    by Juan Carlos Cuestas & Javier Ordoñez & Mariam Camarero [Downloadable!]
  • 2007 Nonlinear Trend Stationarity Of Real Exchange Rates: The Case Of The Mediterranean Countries
    by Juan Carlos Cuestas & Javier Ordoñez & Mariam Camarero [Downloadable!]
  • 2007 Estimates of Structural Changes in the Wage Equation:Some Evidence for Italy
    by Mauro Costantini & Sergio de Nardis [Downloadable!]
  • 2007 Non parametric Fractional Cointegration Analysis
    by Mauro Costantini & Roy Cerqueti [Downloadable!]
  • 2007 Multicointegration, polynomial cointegration and I(2) cointegration with structural breaks. An application to the sustainability of the US external deficit
    by Vanessa Berenguer-Rico & Josep Lluís Carrion-i-Silvestre [Downloadable!]
  • 2007 Consumo de Acero, Inversión y Producto en América Latina. Un Análisis de Cointegración y de la Dinámica de Corto Plazo
    by Juan Eduardo Coeymans. [Downloadable!]
  • 2007 Estimation Risk Effects on Backtesting For Parametric Value-at-Risk Models
    by Juan Carlos Escanciano & Jose Olmo [Downloadable!]
  • 2007 A re-assessment of German import demand
    by Sabine Stephan [Downloadable!]
  • 2007 Reconsidering the Investment-Profit Nexus in Finance-Led Economies: an ARDL-Based Approach
    by Till van Treeck [Downloadable!]
  • 2007 Testing for Coefficient Stability of AR(1) Model When the Null is an Integrated or a Stationary Process
    by Daisuke Nagakura [Downloadable!]
  • 2007 Forecasting Global Flows
    by Skriner, Edith [Downloadable!]
  • 2007 Correlation testing in time series, spatial and cross-sectional data
    by Peter Robinson [Downloadable!]
  • 2007 An Analysis of Foreign Tourism Demand for Croatian Destinations: Long-Run Elasticity Estimates
    by Andrea Mervar & James E. Payne [Downloadable!]
  • 2007 Mixed Exponential Power Asymmetric Conditional Heteroskedasticity
    by Mohammed Bouaddi & Jeroen V.K. Rombouts [Downloadable!]
  • 2007 Theory and inference for a Markov switching Garch model
    by Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts [Downloadable!]
  • 2007 Enhanced routines for instrumental variables/GMM estimation and testing
    by Christopher F Baum & Mark E. Schaffer & Steven Stillman [Downloadable!]
  • 2007 In this paper, we give an overview of the state-of-the-art in the econometric literature on the modeling of so-called financial point processes. The latter are associated with the random arrival of specific financial trading events, such as transactions, quote updates, limit orders or price changes observable based on financial high-frequency data. After discussing fundamental statistical concepts of point process theory, we review durationbased and intensity-based models of financial point processes. Whereas duration-based approaches are mostly preferable for univariate time series, intensity-based models provide powerful frameworks to model multivariate point processes in continuous time. We illustrate the most important properties of the individual models and discuss major empirical applications
    by Luc Bauwens & Nikolaus Hautsch [Downloadable!]
  • 2007 A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter
    by Wen-Jen Tsay & Wolfgang Härdle [Downloadable!]
  • 2007 Are Correlations Constant Over Time? Application of the CC-TRIGt-test to Return Series from Different Asset Classes
    by Matthias Fischer [Downloadable!]
  • 2007 Money and Inflation
    by Ansgar Belke & Thorsten Polleit [Downloadable!]
  • 2007 Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?
    by Peter C. B. Phillips & Yangru Wu & Jun Yu [Downloadable!]
  • 2007 Nominal Exchange Rate Flexibility and Real Exchange Rate Adjustment: New Evidence from Dual Exchange Rates in Developing Countries
    by Yin-wong Cheung & Kon S. Lai [Downloadable!]
  • 2007 Assessing the Credibility of The Convertibility Zone of The Hong Kong Dollar
    by Laurence Fung & Ip-wing Yu [Downloadable!]
  • 2007 Assessing Bond Market Integration in Asia
    by Ip-wing Yu & Laurence Fung & Chi-sang Tam [Downloadable!]
  • 2007 Assessing Financial Market Integration In Asia - Equity Markets
    by Ip-wing Yu & Laurence Fung & Chi-sang Tam [Downloadable!]
  • 2007 Along the Forward Curve for Natural Gas: Unobservable Shocks and Dynamic Correlations
    by Spargoli, Fabrizio & Zagaglia, Paolo [Downloadable!]
  • 2007 The Comovements between Futures Markets for Crude Oil: Evidence from a Structural GARCH Model
    by Spargoli, Fabrizio & Zagaglia, Paolo [Downloadable!]
  • 2007 Conditional Leptokurtosis in Energy Prices: Multivariate Evidence from Futures Markets
    by Marzo, Massimiliano & Zagaglia, Paolo [Downloadable!]
  • 2007 Volatility forecasting for crude oil futures
    by Marzo, Massimiliano & Zagaglia, Paolo [Downloadable!]
  • 2007 A Note on the Pooling of Individual PANIC Unit Root Tests
    by Westerlund, Joakim [Downloadable!]
  • 2007 Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form
    by Péguin-Feissolle, Anne & Strikholm, Birgit & Teräsvirta, Timo [Downloadable!]
  • 2007 Stylized Facts of Return Series, Robust Estimates, and Three Popular Models of Volatility
    by Teräsvirta, Timo & Zhao, Zhenfang [Downloadable!]
  • 2007 The Stability and Volatility of Electricity Prices: An Illustration of (lambda, sigma-2) Analysis
    by Bask, Mikael & Widerberg, Anna [Downloadable!]
  • 2007 ‘Some unpleasant fiscal arithmetic’: the role of monetary and fiscal policy in public debt dynamics since the 1970s
    by Hasko, Harri [Downloadable!]
  • 2007 Exchange rate volatility, macro announcements and the choice of intraday seasonality filtering method
    by Laakkonen, Helinä [Downloadable!]
  • 2007 The Undisclosed Renminbi Basket: Are The Markets Telling Us Something About Where The Renminbi - US Dollar Exchange Rate Is Going?
    by Funke, Michael & Gronwald, Marc [Downloadable!]
  • 2007 Modelling inflation in China – a regional perspective
    by Mehrotra, Aaron & Peltonen, Tuomas & Santos Rivera, Alvaro [Downloadable!]
  • 2007 Volatility dependence across Asia-Pacific on-shore and off-shore U.S. dollar futures markets
    by Colavecchio , Roberta & Funke, Michael [Downloadable!]
  • 2007 Dutch disease scare in Kazakhstan: Is it real?
    by Égert , Balázs & Leonard, Carol S. [Downloadable!]
  • 2007 Testing for a break in persistence under long-range dependencies
    by Sibbertsen, Philipp & Kruse, Robinson [Downloadable!]
  • 2007 Can we distinguish between common nonlinear time series models and long memory?
    by Kuswanto, Heri & Sibbertsen, Philipp [Downloadable!]
  • 2007 The January Effect across Volatility Regimes
    by Bety Agnany & Henry Aray [Downloadable!]
  • 2007 Euro Area Inflation: Aggregation Bias and Convergence
    by Joseph P. Byrne & Norbert Fiess [Downloadable!]
  • 2007 Do real interest rates converge? Evidence from the European Union
    by Michael G. Arghyrou & Andros Gregoriou & Alexandros Kontonikas [Downloadable!]
  • 2007 Euro Area Inflation Differentials: Unit Roots, Structural Breaks and Non-Linear Adjustment
    by Alberto Montagnoli & Andros Gregoriou & Alexandros Kontonikas [Downloadable!]
  • 2007 Unit Roots in Inflation and Aggregation Bias
    by Joseph Byrne & Alexandros Kontonikas & Alberto Montagnoli [Downloadable!]
  • 2007 The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis
    by Essahbi Essaadi & Jamel Jouini & Walih Khallouli [Downloadable!]
  • 2007 Comparing smooth transition and Markov switching autoregressive models of US Unemployment
    by Philippe J. Deschamps [Downloadable!]
  • 2007 Bayesian Estimation of a Markov-Switching Threshold Asymmetric GARCH Model with Student-t Innovations
    by David Ardia [Downloadable!]
  • 2007 A Model for Multivariate Non-negative Valued Processes in Financial Econometrics
    by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo [Downloadable!]
  • 2007 Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria
    by Christian T. Brownlees & Giampiero Gallo [Downloadable!]
  • 2007 Regime Switching: Italian Financial Markets over a Century
    by Margherita Velucchi [Downloadable!]
  • 2007 Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria
    by Christian T. Brownlees & Giampiero Gallo [Downloadable!]
  • 2007 On the Interaction between Ultra–high Frequency Measures of Volatility
    by Giampiero Gallo & Margherita Velucchi [Downloadable!]
  • 2007 Models of Political Cycles: The Czech Experience / Modely politického cyklu a jejich testování na podmínkách ČR [available in Czech only]
    by Radka Štiková [Downloadable!]
  • 2007 Sample Kurtosis, GARCH-t and the Degrees of Freedom Issue
    by Maria S. Heracleous [Downloadable!]
  • 2007 Forecasting economic growth for Estonia : application of common factor methodologies
    by Christian Schulz [Downloadable!]
  • 2007 New Keynesian Phillips curve for Estonia, Latvia and Lithuania
    by Aurelijus Dabušinskas & Dmitry Kulikov [Downloadable!]
  • 2007 Taylor Rules for the ECB using Consensus Data
    by Janko Gorter & Jan Jacobs & Jakob de Haan [Downloadable!]
  • 2007 A Markov Switching Model of the Merit Order to Compare British and German Price Formation
    by Georg Zachmann [Downloadable!]
  • 2007 Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models
    by Konrad Banachewicz & André Lucas [Downloadable!]
  • 2007 Efficient Robust Estimation of Time-Series Regression Models
    by Cizek, P. [Downloadable!]
  • 2007 Efficient Robust Estimation of Regression Models (Revision of DP 2006-08)
    by Cizek, P. [Downloadable!]
  • 2007 Note on Integer-Valued Bilinear Time Series Models
    by Drost, F.C. & Akker, R. van den & Werker, B.J.M. [Downloadable!]
  • 2007 Adaptive Pointwise Estimation in Time-Inhomogeneous Time-Series Models
    by Cizek, P. & Haerdle, W. & Spokoiny, V. [Downloadable!]
  • 2007 Efficient Estimation of Autoregression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR(p) Models (Subsequently replaced by DP 2008-53)
    by Drost, F.C. & Akker, R. van den & Werker, B.J.M.
  • 2007 Robust and Efficient Adaptive Estimation of Binary-Choice Regression Models
    by Cizek, P. [Downloadable!]
  • 2007 Revisiting the Price Elasticity of Gasoline Demand
    by Alfredo A. Romero [Downloadable!]
  • 2007 Limit Theory for Explosively Cointegrated Systems
    by Peter C.B. Phillips & Tassos Magdalinos [Downloadable!]
  • 2007 Tilted Nonparametric Estimation of Volatility Functions
    by Peter C.B. Phillips & Ke-Li Xu [Downloadable!]
  • 2007 Long Run Covariance Matrices for Fractionally Integrated Processes
    by Peter C.B. Phillips & Chang Sik Kim [Downloadable!]
  • 2007 Asymptotics for Stationary Very Nearly Unit Root Processes
    by Donald W.K. Andrews & Patrik Guggenberger [Downloadable!]
  • 2007 GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity
    by Chirok Han & Peter C.B. Phillips [Downloadable!]
  • 2007 Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
    by Peter C.B. Phillips & Jun Yu [Downloadable!]
  • 2007 Theory and inference for a Markov switching GARCH model
    by Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS [Downloadable!]
  • 2007 A Component GARCH Model with Time Varying Weights
    by Luc, BAUWENS & G., STORTI [Downloadable!]
  • 2007 Nonlinear Exchange Rate Adjustment in the Enlarged Euro zone. Evidence and Implications for Candidate Countries
    by Nikolaos Giannellis & Athanasios Papadopoulos [Downloadable!]
  • 2007 Backtesting VaR Models: An Expected Shortfall Approach
    by Timotheos Angelidis & Stavros Degiannakis [Downloadable!]
  • 2007 Did Nordic Countries Recognize the Gathering Storm of World War II? Evidence from the Bond Markets
    by Daniel Waldenstrom & Bruno S. Frey [Downloadable!]
  • 2007 (Un)Predictability and Macroeconomic Stability
    by D'Agostino, Antonello & Giannone, Domenico & Surico, Paolo [Downloadable!]
  • 2007 Analyzing Strongly Periodic Series in the Frequency Domain: A Comparison of Alternative Approaches with Applications
    by Artis, Michael J & Clavel, Jose Garcia & Hoffmann, Mathias & Nachane, Dilip M [Downloadable!]
  • 2007 Inflation Dynamics and Trade Openness
    by Aron, Janine & Muellbauer, John [Downloadable!]
  • 2007 Aggregating Phillips Curves
    by Imbs, Jean & Jondeau, Eric & Pelgrin, Florian [Downloadable!]
  • 2007 Shape of U.S. business cycle and long-run effects of recessions
    by Giacomo Carboni [Downloadable!]
  • 2007 Inflation Persistence in New EU Member States: Is It Different Than in the Euro Area Members?
    by Michal Franta & Branislav Saxa & Katerina Smidkova [Downloadable!]
  • 2007 Aggregating Phillips Curves
    by Jean Imbs & Eric Jondeau & Florian Pelgrin [Downloadable!]
  • 2007 Estimation of the Equilibrium Real Exchange Rate in Russia: Trade-Balance Approach
    by Nadezhda Ivanova [Downloadable!]
  • 2007 Consumer Confidence in Portugal – What does it really matter?
    by António Caleiro & Esmeralda Ramalho [Downloadable!]
  • 2007 Assessing the Forecast Properties of the CESifo World Economic Climate Indicator: Evidence for the Euro Area
    by Oliver Hülsewig & Johannes Mayr & Stéphane Sorbe [Downloadable!]
  • 2007 Forecasting Quarter-on-Quarter Changes of German GDP with Monthly Business Tendency Survey Results
    by Klaus Abberger [Downloadable!]
  • 2007 Real Convergence, Price Level Convergence and Inflation Differentials in Europe
    by Balázs Egert [Downloadable!]
  • 2007 Volatility of Exchange Rates in Selected New EU Members: Evidence from Daily Data
    by Jarko Fidrmuc & Roman Horváth [Downloadable!]
  • 2007 Long Run and Cyclical Dynamics in the US Stock Market
    by Guglielmo Maria Caporale & Luis A. Gil-Alana [Downloadable!]
  • 2007 The Fisher/Cobb-Douglas Paradox, Factor Shares, and Cointegration
    by Robert Chirinko & Debdulal Mallick [Downloadable!]
  • 2007 Deterministic versus Stochastic Seasonal Fractional Integration and Structural Breaks
    by Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana [Downloadable!]
  • 2007 What Explains Germany’s Rebounding Export Market Share?
    by Stephan Danninger & Fred Joutz [Downloadable!]
  • 2007 A Multivariate Long-Memory Model with Structural Breaks
    by Guglielmo Maria Caporale & Luis A. Gil-Alana [Downloadable!]
  • 2007 Cointegration Analysis with Mixed-Frequency Data
    by Byeongchan Seong & Sung K. Ahn & Peter A. Zadrozny [Downloadable!]
  • 2007 Aggregate Wage Flexibility in Selected New EU Member States
    by Ian Babetskii [Downloadable!]
  • 2007 Fractional Cointegration In StochasticVolatility Models
    by Afonso Gonçalves da Silva & Peter M Robinson [Downloadable!]
  • 2007 Specification Testing Forregression Models Withdependent Data
    by Javier Hidalgo [Downloadable!]
  • 2007 Capturing asymmetry in real exchange rate with quantile autoregression
    by Mauro S. Ferreira [Downloadable!]
  • 2007 Do real interest rates converge? Evidence from the European Union
    by Arghyrou, Michael G & Gregoriou, Andros & Kontonikas, Alexandros [Downloadable!]
  • 2007 Human Capital and Economic Growth: Pakistan, 1960-2003
    by Abbas, Qaisar & Foreman-Peck, James [Downloadable!]
  • 2007 Modelling Seasonal Dynamics in Indian Industrial Production--An Extention of TV-STAR Model
    by Pami Dua & Lokendra Kumawat [Downloadable!]
  • 2007 Discriminating mean and variance shifts
    by Carlos Santos [Downloadable!]
  • 2007 Automatic Tests For Super Exogeneity
    by David Hendry & Carlos Santos [Downloadable!]
  • 2007 Assessing French Inflation Persistence with Impulse Saturation Break Tests and Automatic General-to-Specific Modelling
    by Carlos Santos & Maria Alberta Oliveira [Downloadable!]
  • 2007 Panel Unit Root Tests in the Presence of a Multifactor Error Structure
    by Pesaran, M.H. & Smit, L.V. & Yamagata, T. [Downloadable!]
  • 2007 Quantiles, Expectiles and Splines
    by DeRossi, G. & Harvey, A. [Downloadable!]
  • 2007 Tests of time-invariance
    by Busettti, F. & Harvey, A. [Downloadable!]
  • 2007 Quantiles, Expectiles and Splines
    by DeRossi, G. & Harvey, A. [Downloadable!]
  • 2007 Tests of time-invariance
    by Busettti, F. & Harvey, A. [Downloadable!]
  • 2007 Testing for Shifts in Trend with an Integrated or Stationary Noise Component
    by Pierre Perron & Tomoyoshi Yabu [Downloadable!]
  • 2007 Rising Regional Inequality in China:Policy Regimes and Structural Changes
    by Chun- Yu Ho & Dan Li [Downloadable!]
  • 2007 Enhanced routines for instrumental variables/GMM estimation and testing
    by Christopher F Baum & Mark E. Schaffer & Steven Stillman [Downloadable!]
  • 2007 Cyclical Trends in Continuous Time Models
    by Joanne S. Ercolani [Downloadable!]
  • 2007 The Impact of GATT on International Trade: Evidence from Structural Break Analysis
    by Suleiman Abu-Bader & Aamer Abu-Qarn [Downloadable!]
  • 2007 Structural Breaks in Military Expenditures: Evidence for Egypt, Israel, Jordan and Syria
    by Aamer Abu-Qarn & Suleiman Abu-Bader [Downloadable!]
  • 2007 Time Series Approach to Test a Change in Inflation Persistence: The Mexican Experience
    by Manuel Ramos Francia & Daniel Chiquiar & Antonio E. Noriega [Downloadable!]
  • 2007 Detecting long memory co-movements in macroeconomic time series
    by Gianluca Moretti [Downloadable!]
  • 2007 Emerging Markets Spreads and Global Financial Conditions
    by Alessio Ciarlone & Paolo Piselli & Giorgio Trebeschi [Downloadable!]
  • 2007 Testing for trend
    by Fabio Busetti & Andrew Harvey [Downloadable!]
  • 2007 Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter
    by Agustín Maravall & Ana del Río [Downloadable!]
  • 2007 Multilateral Adjustment and Exchange Rate Dynamics: The Case of Three Commodity Currencies
    by Jeannine Bailliu & Ali Dib & Takashi Kano & Lawrence Schembri [Downloadable!]
  • 2007 Variance Dispersion and Correlation Swaps
    by Antoine Jacquier & Saad Slaoui [Downloadable!]
  • 2007 Non-linearities and Unit Roots in G7 Macroeconomic Variables
    by Yunus Aksoy & Miguel A. León-Ledesma [Downloadable!]
  • 2007 Using the HEGY Procedure When Not All Roots Are Present
    by Tomas del Barrio Castro [Downloadable!]
  • 2007 Costly Inflation Misperceptions
    by Thomas A. Eife & Stephan Meier [Downloadable!]
  • 2007 Aggregate Wage Earnings in Germany: 1810-1989. New Measurement and Cliometric Analysis of Shocks
    by Jean Luc de Meulemeester & Claude Diebolt & Magali Jaoul-Grammare [Downloadable!]
  • 2007 La masse salariale de l’Allemagne : 1810-1989. Nouvelle mesure et analyse cliométrique des chocs
    by Claude Diebolt & Magali Jaoul-Grammare [Downloadable!]
  • 2007 Empirical Evidence On Jumps In The Term Structure Of The Us Treasury Market
    by Mardi Dungey & Michael McKenzie & Vanessa Smith [Downloadable!]
  • 2007 Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes
    by James Davidson & Nigar Hashimzade [Downloadable!]
  • 2007 Selecting a Regression Saturated by Indicators
    by Søren Johansen & David F. Hendry & Carlos Santos [Downloadable!]
  • 2007 Correlation, regression, and cointegration of nonstationary economic time series
    by Søren Johansen [Downloadable!]
  • 2007 Likelihood inference for a nonstationary fractional autoregressive model
    by Søren Johansen & Morten Ørregaard Nielsen [Downloadable!]
  • 2007 The Pearson diffusions: A class of statistically tractable diffusion processes
    by Michael Sørensen & Julie Lyng Forman [Downloadable!]
  • 2007 Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis
    by Michael Jansson [Downloadable!]
  • 2007 Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model
    by Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu [Downloadable!]
  • 2007 The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets
    by Thomas Busch & Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen [Downloadable!]
  • 2007 Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach
    by Dennis Kristensen [Downloadable!]
  • 2007 Nonparametric Estimation and Misspecification Testing of Diffusion Models
    by Dennis Kristensen [Downloadable!]
  • 2007 A better asymmetric model of changing volatility in stock returns: Trend-GARCH
    by Christian Bauer [Downloadable!]
  • 2007 The Relationship between Inflation and Inflation Uncertainty in Emerging Market Economies
    by John Thornton
  • 2007 La domanda di calcio in Italia: serie A 1962-2006
    by Marco Di Domizio [Downloadable!]
  • 2007 Monetary policy rules of the National Bank of Kazakhstan (in Russian)
    by Bulat Mukhamediyev [Downloadable!]
  • 2007 Long range dependence and the purchasing power parity (in Russian)
    by Oleg Obrezkov [Downloadable!]
  • 2007 Unit Root Tests and Structural Breaks: A Survey with Applications = Contrastes de raíces unitarias y cambios estructurales: un estudio con aplicaciones
    by Glynn, John & Perera, Nelson [Downloadable!]
  • 2007 Stock Prices and Resignation of Members of the Board: The Case of the Warsaw Stock Exchange
    by Henryk Gurgul & Pawe³ Majdosz [Downloadable!]
  • 2007 Caracterización no lineal y predicción no paramétrica en el IBEX35/Nonlinear Characterization and Predictions of IBEX 35
    by OLMEDO,E. & VELASCO, F. & VALDERAS, J.M. [Downloadable!]
  • 2007 Las Opiniones Empresariales Como Predictores De Los Puntos De Giro Del Ciclo Industrial/Forescasting Turning Points of the Industrial Cycle from Business Expectation Surveys
    by MORENO CUARTAS, BLANCA & LÓPEZ MENÉNDEZ, ANA JESÚS [Downloadable!]
  • 2007 ¿Puede el Diseño de un Torneo Deportivo Afectar su Asistencia?
    by Giorgo Sertsios [Downloadable!]
  • 2007 Inflation Convergence and Divergence within the European Monetary Union
    by Fabio Busetti & Lorenzo Forni & Andrew Harvey & Fabrizio Venditti [Downloadable!]
  • 2007 Factores de alteração da composição da Despesa Pública: o caso norte-americano
    by Paulo Reis Mourão [Downloadable!]
  • 2007 Using All Observations when Forecasting under Structural Breaks
    by Stanislav Anatolyev & Victor Kitov [Downloadable!]
  • 2007 La ley de Okun: una relectura para México, 1970-2004
    by Eduardo Loría & Manuel G. Ramos. [Downloadable!]
  • 2007 Estacionalidad en la Rentabilidad y Volatilidad de los Títulos que Cotizan en el LATIBEX
    by Octavio Maroto Santana & Rosa María Cáceres Apolinario & Lourdes Jordán Sales & Alejandro Rodríguez Caro [Downloadable!]
  • 2007 Business Cycle Asymmetries In Stock Returns: Robust Evidence
    by KIANI, Khurshid M. [Downloadable!]
  • 2007 Trade Reforms And Breakpoints In Australia’S Manufactured Trade: An Application Of The Zivot And Andrews Model
    by JAYANTHAKUMARAN, Kankesu & PAHLAVANI; Mosayeb & Frank NERI, Frank [Downloadable!]
  • 2007 Determination Of Volatility And Mean Returns: An Evidence From An Emerging Stock Market
    by KIANI, Khurshid M. [Downloadable!]
  • 2007 A Perspective on Unit Root and Cointegration in Applied Macroeconomics
    by W A Razzak [Downloadable!]
  • 2007 A Structural Model For Net Rental Income In The U.S. Leasing Industry
    by GOMEZ-SORZANO, Gustavo Alejandro [Downloadable!]
  • 2007 Nonlinear Dynamics Within Macroeconomic Factors And Stock Market In Portugal, 1993-2003
    by Dionisio, Andreia & Menezes, Rui & Mendes, Diana & Vidigal Da Silva, Jacinto [Downloadable!]
  • 2007 Bank Lending Channel For Monetary Policy Transmission In Malaysia: An Ardl Approach
    by Kim-Leng GOH & Chin-Sieng CHONG & Sook-Lu YONG [Downloadable!]
  • 2007 The Saving-Investment Relationships: A Markov Switching Causality Analysis Of Cote D´Ivoire And Ghana
    by AKA, Bedia F. [Downloadable!]
  • 2007 Socio-Economic Determinants Of Development In World Economy: 1820–2005
    by Bildirici, Melike & Sunal, Seckin [Downloadable!]
  • 2007 Decomposing Violence: Crime Cycles In The Twentieth Century In The United States
    by GOMEZ-SORZANO, Gustavo Alejandro [Downloadable!]
  • 2007 Modelling The German Yield Curve And Testing The Lucas Critique, 1975-2001
    by SANTOS, Carlos & OLIVEIRA, Maria Alberta [Downloadable!]
  • 2007 Domestic Debt, Inflation And Economic Crises: A Panel Cointegration Application To Emerging And Developed Economies
    by BILDIRICI, Melike & ERSIN, Ozgur Omer [Downloadable!]
  • 2007 Relative Effects Of Public And Private Investment On Cote D’Ivoire’S Economic Performance
    by AKA, Bédia F [Downloadable!]
  • 2007 Inflation and Economic Growth in Kuwait: 1985-2005. Evidence from Co-Integration and Error Correction Model
    by Saaed, A.A.J. [Downloadable!]
  • 2007 Instabile Geldnachfrage im Euroraum?
    by Christian Dreger & Jürgen Wolters [Downloadable!]
  • 2007 Wie stark wird der Konsum vom Vermögen bestimmt?
    by Christian Dreger & Jiri Slacalek [Downloadable!]
  • 2007 Dem Konjunkturzyklus auf der Spur : zur Prognose konjunktureller Wendepunkte in Deutschland
    by Konstantin A. Kholodilin & Erik Klär [Downloadable!]
  • 2007 Unit roots and persistence in the nominal interest rate: a confirmatory analysis applied to the OECD
    by Diego Romero-Ávila [Downloadable!]
  • 2007 Economic fundamentals and exchange rates under different exchange rate regimes: Korean experience
    by Byung-Joo Lee [Downloadable!]
  • 2006 Using Markets to Measure Pre-War Threat Assessments: The Nordic Countries facing World War II
    by Daniel Waldenström & Bruno S. Frey [Downloadable!]
  • 2006 The Process of price formation and the skewness of asset returns
    by Stefan Reimann [Downloadable!]
  • 2006 Improved Nonparametric Confidence Intervals in Time Series Regressions
    by Joseph P. Romano & Michael Wolf [Downloadable!]
  • 2006 An Elementary Model of Price Dynamics in a Financial Market Distribution, Multiscaling & Entropy
    by Stefan Reimann [Downloadable!]
  • 2006 Panel Tests for Unit Roots in Hours Worked
    by Kappler, Marcus [Downloadable!]
  • 2006 The relationship between economic growth and inequality: evidence from the age of market liberalism
    by Angeles-Castro, Gerardo [Downloadable!]
  • 2006 Forecasting volatility and volume in the Tokyo stock market : long memory, fractality and regime switching
    by Lux, Thomas & Kaizoji, Taisei [Downloadable!]
  • 2006 Reviewing the sustainability/stationarity of current account imbalances with tests for bounded integration
    by Herwartz, Helmut & Xu, Fang [Downloadable!]
  • 2006 A new mixed multiplicative-additive model for seasonal adjusment
    by Arz, Stephanus [Downloadable!]
  • 2006 How strong is the impact of exports and other demand components on German import demand? Evidence from euro-area and non-euro-area imports
    by Stirböck, Claudia [Downloadable!]
  • 2006 How to treat benchmark revisions? : The case of German production and orders statistics
    by Knetsch, Thomas A. & Reimers, Hans-Eggert [Downloadable!]
  • 2006 Has the export pricing behaviour of German enterprises changed? : Empirical evidence from German sectoral prices
    by Stahn, Kerstin [Downloadable!]
  • 2006 Forecasting the price of crude oil via convenience yield predictions
    by Knetsch, Thomas A. [Downloadable!]
  • 2006 Has the impact of key determinants of German exports changed? Results from estimations of Germany’s intra euro-area and extra euro-area exports
    by Stahn, Kerstin [Downloadable!]
  • 2006 Indirektno vs direktno desezoniranje aregatnih vremenskih nizova
    by Ivan Šošić & Vlasta Bahovec & Mirjana Čižmešija & Nataša Kurnoga Živadinović [Downloadable!]
  • 2006 The Sales Effect of Word of Mouth: A Model for Creative Goods and Estimates for Novels
    by Jonathan Beck [Downloadable!]
  • 2006 Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence
    by Giulietti, Monica & Otero, Jesús & Smith, Jeremy [Downloadable!]
  • 2006 Testing for stationarity in heterogeneous panel data in the presence of cross section dependence
    by Giulietti, Monica & Otero, Jesus & Smith, Jeremy [Downloadable!]
  • 2006 A Threshold Model of Real US GDP and the Problem of Constructing Confidence Intervals in TAR Models
    by P. Siklos, W. Enders & B. Falk [Downloadable!]
  • 2006 Interest Rate Pass-Through in Central and Eastern Europe: Reborn from Ashes Merely to Pass Away?
    by Balázs Égert & Jesus Crespo-Cuaresma & Thomas Reininger [Downloadable!]
  • 2006 Price Linkages of Russian Regional Markets
    by Konstantin Gluschenko [Downloadable!]
  • 2006 Spurious Regressions With Time-Series data: Further Asymptotic Results
    by David E. A. Giles [Downloadable!]
  • 2006 Volatility Forecast Comparison using Imperfect Volatility Proxies
    by Andrew Patton [Downloadable!]
  • 2006 Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models
    by Andreas Röthig & Carl Chiarella [Downloadable!]
  • 2006 The Relation of Different Concepts of Causality in Econometrics
    by Michael Lechner [Downloadable!]
  • 2006 Minimum Distance Estimation of stationary and non-stationary ARFIMA Processes
    by Laura Mayoral [Downloadable!]
  • 2006 Sources of Economic Growth in South Korea: An Application of the ARDL Analysis in the Presence of Structural Breaks - 1980-2005
    by Harvie, Charles & Pahlavani, Mosayeb [Downloadable!]
  • 2006 Labour Productivity in Iran
    by Valadkhani, Abbas [Downloadable!]
  • 2006 Testing for Structural Breaks in the Korean Economy 1980-2005: An Application of the Innovational Outlier and Additive Outlier Models
    by Harvie, Charles & Pahlavani, Mosayeb [Downloadable!]
  • 2006 Revisiting Budget and Trade Deficits in Lebanon: A Critique
    by Marashdeh, Hazem & Saleh, Ali Salman [Downloadable!]
  • 2006 Australia and New Zealand CER Agreement and Breakpoints in Bilateral Trade: An Application of the Wald-type Test
    by Jayanthakumaran, Kankesu & Pahlavani, Mosayeb [Downloadable!]
  • 2006 Identifying Structural Breaks in the Lebanese Economy 1970-2003: An Application of the Zivot and Andrews Test
    by Harvie, Charles & Pahlavani, Mosayeb & Saleh, Ali Salman [Downloadable!]
  • 2006 Volatility Clustering, Leverage Effects, and Jump Dynamics in the US and Emerging Asian Equity Markets
    by Daal, Elton & Naka, Atsuyuki & Yu, Jung-Suk [Downloadable!]
  • 2006 A Random Coefficients Autoregressive Model with Exogenously-Driven Stochastic Unit Roots
    by J. Isaac Miller [Downloadable!]
  • 2006 Testing for Purchasing Power Parity Under a Target Zone Exchange Rate Regime
    by J. Isaac Miller [Downloadable!]
  • 2006 The Relationship Between Economic Growth and Inequality: Evidence from the Age of Market Liberalism
    by Gerardo Angeles-Castro [Downloadable!]
  • 2006 Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models
    by Andreas Röthig & Carl Chiarella [Downloadable!]
  • 2006 Purchasing Power Parity: The Irish Experience Re-visited
    by Derek Bond & Michael J. Harrison & Edward J. O'Brien [Downloadable!]
  • 2006 Some Empirical Observations on the Forward Exchange Rate Anomaly
    by Derek Bond & Michael J. Harrison & Niall Hession & Edward J. O'Brien [Downloadable!]
  • 2006 Robust Estimates of the New Keynesian Phillips Curve
    by Paul Levine & Luis F. Martins & Vasco J. Gabriel [Downloadable!]
  • 2006 Unit Roots, Polynomial Transformations and the Environmental Kuznets Curve
    by Gang Liu, Terje Skjerpen, Anders Rygh Swensen and Kjetil Telle [Downloadable!]
  • 2006 Correlated Risks: A Conflict of Interest Between Insurers and Consumers and Its Resolution
    by Patrick Eugster & Peter Zweifel [Downloadable!]
  • 2006 Policy Impacts on Vietnam Stock Market: A Case of Anomalies and Disequilibria 2000-2006
    by André Farber & Nguyen Van Nam & Quan Hoang Vuong [Downloadable!]
  • 2006 A quoi réagit le marchés des obligations privées?
    by Marie Brière & Aurélie Cohen [Downloadable!]
  • 2006 Inference in GARCH when some coefficients are equal to zero
    by Christian Francq & Jean-Michel Zakoïan [Downloadable!]
  • 2006 Stochastic unit-root bilinear processes
    by Christian Francq & Svetlana Makarova & Jean-Michel Zakoïan
  • 2006 Bifurcation analysis of New Keynesian models
    by William A. Barnett & Evgeniya A. Duzhak
  • 2006 The discounted economic stock of money with VAR forecasting
    by William A. Barnett & Unja Chae & John W. Keating [Downloadable!]
  • 2006 The combination of volatility forecasts
    by Alessandra Amendola & Giuseppe Storti
  • 2006 Is the relationship between ination and its uncertainty linear?
    by M. Karanasos & S. Schurer
  • 2006 Smooth Transition Autoregressive (STAR) Models
    by Dietmar Maringer & Mark Meyer
  • 2006 International Wealth Effects
    by Jiri Slacalek [Downloadable!]
  • 2006 Genetically Optimised Artificial Neural Network for Financial Time Series Data Mining
    by Serge Hayward
  • 2006 Forecasting Inflation: the Relevance of Higher Moments
    by Jane M. Binner & C. Thomas Elger & Barry E. Jones & Birger Nilsson [Downloadable!]
  • 2006 Monotonic Power in tests for structural change in the mean based on orthonormal series filtering
    by Elena Andreou
  • 2006 A Dynamic Tobit Model for the Open Market Desk's Daily Reaction Function
    by George Monokroussos [Downloadable!]
  • 2006 A component GARCH model with time varying weights
    by Giuseppe Stor