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; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
This topic is covered by the following reading lists:- SOEP based publications
Most recent items first, undated at the end.
201 Long memory in return structures from developed markets
by Sharad Nath Bhattacharya & Mousumi Bhattacharya
2013 The out-of-sample forecasting performance of non-linear models of real exchange rate behaviour: The case of the South African Rand
by Goodness C. Aye & Mehmet Balcilar & Adel Bosch & Rangan Gupta & Francois Stofberg
2013 Business Fluctuations, Job Flows and Trade Unions - Dynamics in the Economy
by Beate Schirwitz
2013 Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals
by Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar
2013 Inflation, inflation uncertainty and output in Tunisia
by Hachicha, Ahmed & Lean Hooi Hooi
2013 Macroeconomic Forces and Stock Prices: Evidence from the Bangladesh Stock Market
by Khan, Mashrur Mustaque & Yousuf, Ahmed Sadek
2013 Sovereign default swap market efficiency and country risk in the eurozone
by Gündüz, Yalin & Kaya, Orcun
2013 Testing for Autocorrelation in Quantile Regression Models
by Lijuan Huo & Tae-Hwan Kim & Yunmi Kim
2013 Money demand and the role of monetary indicators in forecasting euro area inflation
by Christian Dreger & Jürgen Wolters
2013 Evaluating predictive densities of U.S. output growth and inflation in a large macroeconomic data set
by Barbara Rossi & Tatevik Sekhposyan
2013 Conditional predictive density evaluation in the presence of instabilities
by Barbara Rossi & Tatevik Sekhposyan
2013 Mixture distribution hypothesis and the impact of a Tobin tax on exhange rate volatility : a reassessment
by Olivier Damette
2013 Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility
by Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer
2013 Nonlinear Mechanism of the Exchange Rate Pass-Through: Does Business Cycle Matter?
by Nidhaleddine Ben Cheikh
2013 Remittances and Economic Growth in Mexico: An Empirical Study with Structural Breaks
by Miguel Ramirez
2013 Gecelik Kur Takasi Faizleri ve BIST Gecelik Repo Faizleri
by Doruk Kucuksarac & Ozgur Ozel
2013 End-Point Bias in Trend-Cycle Decompositions : An Application to the Real Exchange Rates of Turkey
by M. Fatih Ekinci & Gazi Kabas & Enes Sunel
2013 Stock Return Comovement and Systemic Risk in the Turkish Banking System
by Mahir Binici & Bulent Koksal & Cuneyt Orman
2013 Combining disaggregate forecasts for inflation: The SNB's ARIMA model
by Marco Huwiler & Daniel Kaufmann
2013 Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes
by Yong Bao & Aman Ullah & Yun Wang & Jun Yu
2013 Examining the Link between Crime and Unemployment: A Time Series Analysis for Canada
by Zuzana Janko & Gurleen Popli
2013 Forecasting U.S. Recessions with Macro Factors
by Fossati, Sebastian
2013 Comparison of Simple Sum and Divisia Monetary Aggregates in GDP Forecasting: A Support Vector Machines Approach
by Periklis Gogas & Theophilos Papadimitriou & Elvira Takli
2013 Employment Reallocation and Unemployment Revisited: A Quantile Regression Approach
by Theodore Panagiotidis & Gianluigi Pelloni
2013 The Consumer confidence index and short-term private consumption forecasting in Peru
by Cuenca, Leonidas & Flores, Julio & Morales, Daniel
2013 Currency Demand during the Global Financial Crisis: Evidence from Australia
by Tom Cusbert & Thomas Rohling
2013 The dynamics of co-jumps, volatility and correlation
by Adam Clements & Yin Liao
2013 A fast fractional difference algorithm
by Andreas Noack Jensen & Morten Ørregaard Nielsen
2013 Regional Effects of a Cluster-oriented policy measure. The Case of the InnoRegio program in Germany
by Thomas Brenner & Carsten Emmrich & Charlotte Schlump
2013 Is there a role for domestic demand pressure on export performance?
by Paulo Soares Esteves & António Rua
2013 Testing for Persistence in Housing Price-to-Income and Price-to-Rent Ratios in 16 OECD Countries
by Christophe Andre & Luis A. Gil-Alana & Rangan Gupta
2013 Day-of-the-Week Effects in the Indian stock market
by P., Srinivasan & M., Kalaivani
2013 On the Temporal Causal Relationship between Macroeconomic Variables: Empirical Evidence from India
by P., Srinivasan & M., Kalaivani
2013 Forecasting Stock Market Volatility: A Forecast Combination Approach
by Nazarian, Rafik & Gandali Alikhani, Nadiya & Naderi, Esmaeil & Amiri, Ashkan
2013 Does Education Expenditure Promote Economic Growth in Saudi Arabia? An Econometric Analysis
by Ageli, Dr Mohammed Moosa
2013 Estabilidad de la demanda de trabajo y efecto del salario minimo sobre el Empleo: El caso Chileno
by Miranda, Jorge
2013 GDP Growth and Credit Data
by Ermişoğlu, Ergun & Akcelik, Yasin & Oduncu, Arif
2013 Macroeconomic Forces and Stock Prices:Evidence from the Bangladesh Stock Market
by Khan, Mashrur Mustaque & Yousuf, Ahmed Sadek
2013 Monetary exchange rate model as a long-run phenomenon: evidence from Nigeria
by Adawo, Monday A. & Effiong, Ekpeno L.
2013 Are Forecast Updates Progressive?
by Chang, Chia-Lin & Franses, Philip Hans & McAleer, Michael
2013 Un modelo GARCH con asimetria condicional autorregresiva para modelar series de tiempo: Una aplicacion para los rendimientos del Indice de Precios y Cotizaciones de la BMV
by Duran-Vazquez, Rocio & Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio
2013 The seasonal KPSS test when neglecting seasonal dummies: a Monte Carlo analysis
by El Montasser, Ghassen & Boufateh, Talel & Issaoui, Fakhri
2013 Continuous invertibility and stable QML estimation of the EGARCH(1,1) model
by Wintenberger, Olivier
2013 The Power Performance of Fixed-T Panel Unit Root Tests allowing for Structural Breaks
by Karavias, Yiannis & Tzavalis, Elias
2013 Financial Time Series Forecasting by Developing a Hybrid Intelligent System
by Abounoori, Abbas Ali & Naderi, Esmaeil & Gandali Alikhani, Nadiya & Amiri, Ashkan
2013 Does final demand for energy in Portugal exhibit long memory?
by Belbute, José
2013 Modelling Volatility Size Effects for Firm Performance: The Impact of Chinese Tourists to Taiwan
by Chang, Chia-Lin & Hsu, Hui-Kuang
2013 Financial Time Series Forecasting by Developing a Hybrid Intelligent System
by Abounoori, Abbas Ali & Naderi, Esmaeil & Gandali Alikhani, Nadiya & Amiri, Ashkan
2013 Long Memory Analysis: An Empirical Investigation
by Nazarian, Rafik & Naderi, Esmaeil & Gandali Alikhani, Nadiya & Amiri, Ashkan
2013 Inflation Uncertainty, Output Growth Uncertainty and Macroeconomic Performance: Comparing Alternative Exchange Rate Regimes in Eastern Europe
by Khan, Muhammad & Kebewar, mazen & Nenovsky, Nikolay
2013 The Exponential Model for the Spectrum of a Time Series: Extensions and Applications
by Proietti, Tommaso & Luati, Alessandra
2013 Fiscal Austerity, Unemployment and Suicide Rates in Greece
by Antonakakis, Nikolaos
2013 Inference in non stationary asymmetric garch models
by Francq, Christian & Zakoian, Jean-Michel
2013 Terrorism and the macroeconomy: Evidence from Pakistan
by Mehmood, Sultan
2013 Forecasting the optimal order quantity in the newsvendor model under a correlated demand
by Halkos, George & Kevork, Ilias
2013 Provazanost trhu potravin, biopaliv a fosilnich paliv
by Chrz, Stepan & Hruby, Zdenek & Janda, Karel & Kristoufek, Ladislav
2013 Determinants of Foreign Institutional Investment in India: An Empirical Analysis
by P., Srinivasan & M., Kalaivani
2013 Short-Term Forecasting of Inflation in Bangladesh with Seasonal ARIMA Processes
by Akhter, Tahsina
2013 Age Dependency and Labor Productivity Divergence
by Misbah Tanveer Choudhry
2013 Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes
by Kevin Sheppard & Lily Liu & Andrew J. Patton
2013 On Real Interest Rate Persistence: The Role of Breaks
by Alfred A. Haug
2013 Unpredictability in Economic Analysis, Econometric Modeling and Forecasting
by David F. Hendry & Grayham E. Mizon
2013 Oil Shocks and the Euro as an Optimum Currency Area
by Luís Francisco Aguiar-Conraria & Teresa Maria Rodrigues & Maria Joana Soares
2013 Post-recession US Employment through the Lens of a Non-linear Okun’s law
by Menzie D. Chinn & Laurent Ferrara & Valérie Mignon
2013 The VIX, the Variance Premium and Stock Market Volatility
by Geert Bekaert & Marie Hoerova
2013 Measuring Uncertainty about Long-Run Prediction
by Ulrich Mueller & Mark W. Watson
2013 Turning point chronology for the Euro-Zone: A Distance Plot Approach
by Peter Martey Addo & Monica Billio & Dominique Guegan
2013 Understanding Exchange Rates Dynamics
by Peter Martey Addo & Monica Billio & Dominique Guegan
2013 Inflation Persistence in Central and Eastern European Countries
by Zsolt Darvas & Balázs Varga
2013 Food versus Fuel: Causality and Predictability in Distribution
by Andrea Bastianin & Marzio Galeotti & Matteo Manera
2013 Biofuels and Food Prices: Searching for the Causal Link
by Andrea Bastianin & Marzio Galeotti & Matteo Manera
2013 Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks: New Insights on the US OIS SPreads Term Structure
by Claudio Morana
2013 Oil price dynamics, macro-finance interactions and the role of financial speculation
by Claudio Morana
2013 Determinants of US Financial fragility conditions
by Fabio C. Bagliano & Claudio Morana
2013 Unraveling the Relationship between Presidential Approval and the Economy - A Multi-Dimensional Semi-Parametric Approach
by Michael Berlemann & Soeren Enkelmann & Torben Kuhlenkasper
2013 Endogenous Bank Credit and Its Link to Housing in OECD Countries
by Philip Arestis & Ana Rosa Gonzalez
2013 Measuring Currency Pressures: The Cases of the Japanese Yen, the Chinese Yuan, and the U.K. Pound
by Stephen Hall & Amangeldi Kenjegaliev & P.A.V.B. Swamy & George S. Tavlas
2013 Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility
by Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer
2013 Forecasting GDP Growth Using Mixed-Frequency Models With Switching Regimes
by Fady Barsoum & Sandra Stankiewicz
2013 Fiscal regimes in the EU
by António Afonso & Priscilla Toffano
2013 On the time-varying relationship between EMU sovereign spreads and their determinants
by António Afonso, & Michael G. Arghyrou, & George Bagdatoglou, & Alexandros Kontonikas
2013 Family Socio-Economic Status, Childhood Life-Events and the Dynamics of Depression from Adolescence to Early Adulthood
by Paul Contoyannis & Jinhu Li
2013 State Price Densities implied from weather derivatives
by Wolfgang Karl Härdle & Brenda López-Cabrera & Huei-Wen Teng &
2013 Modelling for the Wavelet Coefficients of ARFIMA Processes
by Kei Nanamiya
2013 Pricing Nikkei 225 Options Using Realized Volatility
by Masato Ubukata & Toshiaki Watanabe
2013 The Number of Shareholders - Time Series Modelling and Some Empirical Result
by Brännäs, Kurt
2013 Economic Regime Shifts and the US Subprime Bubble
by Anundsen, André Kallåk
2013 How have inflation dynamics changed over time? Evidence from the euro area and USA
by Oinonen, Sami & Paloviita, Maritta & Vilmi , Lauri
2013 Inflation Persistence: Revisited
by Edward N. Gamber & Jeffrey P. Liebner & Julie K. Smith
2013 On the time-varying relationship between EMU sovereign spreads and their determinants
by António Afonso & Michael G. Arghyrou & George Bagdatoglou & Alexandros Kontonikas
2013 Technology convergence and digital divides. A country-level evidence for the period 2000-2010
by Ewa Lechman & & &
2013 Food versus Fuel: Causality and Predictability in Distribution
by Andrea Bastianin & Marzio Galeotti & Matteo Manera
2013 Biofuels and Food Prices: Searching for the Causal Link
by Andrea Bastianin & Marzio Galeotti & Matteo Manera
2013 Procura final de energia em Portugal: Existe evidência sobre a presença de memória longa?
by José Manuel Belbute
2013 The History of an Inferior Good: Beer Consumption in Germany
by Benjamin Volland
2013 Do Stock Returns Rebound After Bear Markets? An Empirical Analysis From Five OECD Countries
by Frédérique BEC & Songlin ZENG
2013 Long-Term Growth and Persistence with Endogenous Depreciation: Theory and Evidence
by Barañano Mentxaka, Ilaski & Romero-Avila, Diego
2013 Time-Frequency Dynamics of Biofuels-Fuels-Food System
by Lukas Vacha & Karel Janda & Ladislav Kristoufek & David Zilbermand
2013 Is the eco-efficiency in greenhouse gas emissions converging among European Union countries?
by Mariam Camarero & Juana Castillo Giménez & Andrés J. Picazo-Tadeo & Cecilio Tamarit
2013 The present value model of U.S. stock prices revisited: long-run evidence with structural breaks, 1871-2010
by Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats
2013 Global imbalances and the Intertemporal External Budget Constraint: A multicointegration approach
by Mariam Camarero & Josep Lluís Carrion-i-Silvestre & Cecilio Tamarit
2013 Oil price impact on financial markets: co-spectral analysis for exporting versus importing countries
by Anna Creti & Zied Ftiti & Khaled Guesmi
2013 Nonlinearity of the inflation-output trade-off and time-varying price rigidity
by Antonia López-Villavicencio & Valérie Mignon
2013 Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate
by Guglielmo Maria Caporale & Luis A. Gil-Alana
2013 The PPP Hypothesis Revisited: Evidence Using a Multivariate Long-Memory Model
by Guglielmo Maria Caporale & Luis A. Gil-Alana & Yuliya Lovcha
2013 Noncausality and Inflation Persistence
by Markku Lanne
2013 A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation
by Markku Lanne & Jani Luoto
2013 Forecasting the Risk of Speculative Assets by Means of Copula Distributions
by Benjamin Beckers & Helmut Herwartz & Moritz Seidel
2013 Long Memory in the Ukrainian Stock Market
by Guglielmo Maria Caporale & Luis A. Gil-Alana
2013 Censored Posterior and Predictive Likelihood in Bayesian Left-Tail Prediction for Accurate Value at Risk Estimation
by Lukasz Gatarek & Lennart Hoogerheide & Koen Hooning & Herman K. van Dijk
2013 Analyzing Fixed-Event Forecast Revisions
by Chia-Lin Chang & Bert de Bruijn & Philip Hans Franses & Michael McAleer
2013 Are Forecast Updates Progressive?
by Chia-Lin Chang & Philip Hans Franses & Michael McAleer
2013 GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts
by David Ardia & Lennart Hoogerheide
2013 Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility
by Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer
2013 A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
by David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh
2013 Behavioral Heterogeneity in U.S. Inflation Dynamics
by Adriana Cornea & Cars Hommes & Domenico Massaro
2013 Has the Basel Accord Improved Risk Management During the Global Financial Crisis?
by Michael McAleer & Juan-�ngel Jim�nez-Mart�n & Teodosio P�rez-Amaral
2013 Volatility Spillovers from the US to Australia and China across the GFC
by David E. Allen & Michael McAleer & R.J. Powell & A.K. Singh
2013 Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism
by Chia-Lin Chang & Hui-Kuang Hsu & Michael McAleer
2013 Asymptotically UMP Panel Unit Root Tests
by Becheri, I.G. & Drost, F.C. & Akker, R. van den
2013 Forecasting Stock Returns under Economic Constraints
by Pettenuzzo, Davide & Timmermann, Allan G & Valkanov, Rossen
2013 Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility
by Marcellino, Massimiliano & Porqueddu, Mario & Venditti, Fabrizio
2013 Macroeconomic forecasting during the Great Recession: The return of non-linearity?
by Ferrara, Laurent & Marcellino, Massimiliano & Mogliani, Matteo
2013 Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility
by Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano
2013 Nonlinearity of the inflation-output trade-off and time-varying price rigidity
by Antonia López-Villavicencio & Valérie Mignon
2013 Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate
by Guglielmo Maria Caporale & Luis A. Gil-Alana
2013 Economic Growth in Africa: Comparing Recent Improvements with the "lost 1980s and early 1990s" and Estimating New Growth Trends
by Willi Leibfritz & Gebhard Flaig
2013 Effects of the Endogenous Scope of Preferentialism on International Goods Trade
by Peter Egger & Georg Wamser
2013 Is the Italian Public Debt Really Unsustainable? An Historical Comparison (1861-2010)
by Silvana Bartoletto & Bruno Chiarini & Elisabetta Marzano
2013 Non-linear Price Transmission between Biofuels, Fuels and Food Commodities
by Ladislav Kristoufek & Karel Janda & David Zilberman
2013 Has the Basel Accord Improved Risk Management During the Global Financial Crisis
by Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral
2013 Modeling the Effects of Oil Prices on Global Fertilizer Prices and Volatility
by Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer
2013 Modeling dynamic diurnal patterns in high frequency financial data
by Ito, Ryoko
2013 Employment Reallocation and Unemployment Revisited: A Quantile Regression Approach
by T. Panagiotidis & G. Pelloni
2013 Evaluating Predictive Densities of U.S. Output Growth and Inflation in a Large Macroeconomic Data Set
by Barbara Rossi & Tatevik Sehkposyan
2013 Conditional Predictive Density Evaluation in the Presence of Instabilities
by Barbara Rossi & Tatevik Sehkposyan
2013 Online Appendix to Priors about Observables in Vector Autoregressions
by Marek Jarocinski & Albert Marcet
2013 Priors about Observables in Vector Autoregressions
by Marek Jarocinski & Albert Marcet
2013 Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility
by Massimiliano Marcellino & Mario Porqueddu & Fabrizio Venditti
2013 Short-Run Forecasting of Argentine GDP Growth
by Maximo Camacho & Marcos Dal Bianco & Jaime Martinez-Martin
2013 On the Predictive Power of Yield Spread for Future Growth and Recession: The Turkish Case
by Huseyin Kaya
2013 The Impact of Monetary Policy Surprises on Australian Financial Futures Markets
by Xinsheng Lu & Ying Zhou & Mingting Kou
2013 Oscillatory Versus Quadratic Trends in Natural Resource Commodity Prices
by Antonios Antypas & Phoebe Koundouri & Nikolaos Kourogenis
2013 Priors about Observables in Vector Autoregressions
by Marek Jarocinski & Albert Marcet
2013 Futures Trading and the Excess Comovement of Commodity Prices
by Yannick Le Pen & Benoît Sévi
2013 A non-linear approach with long range dependence based on Chebyshev polynomials
by Juan Carlos Cuestas & Luis A. Gil-Alana
2013 Measuring the Speed of Convergence of Stock Prices: A Nonparametric and Nonlinear Approach
by Hyeongwoo Kim & Deockhyun Ryu
2013 Forecasting US Recessions: The Role of Sentiments
by Charlotte Christiansen & Jonas Nygaard Eriksen & Stig V. Møller
2013 Changes in persistence, spurious regressions and the Fisher hypothesis
by Robinson Kruse & Daniel Ventosa-Santaulària & Antonio E. Noriega
2013 Bias-corrected estimation in potentially mildly explosive autoregressive models
by Hendrik Kaufmannz & Robinson Kruse
2013 Asymptotic analysis of the Forward Search
by Søren Johansen & Bent Nielsen
2013 The Purchasing Power Parity in Emerging Europe: Empirical Results Based on Two-Break Analysis
by Zorica Mladenović & Kosta Josifidis & Slađana Srdić
2013 Commodity Prices, Convenience Yields, and Inflation
by Nikolay Gospodinov & Serena Ng
2013 Stock Return Co-movement and Systemic Risk in the Turkish Banking System
by Mahir Binici & Bulent Koksal & Cuneyt Orman
2013 Public Debt Stock Sustainability in Selected OECD Countries
by Ata Ozkaya
2013 A Real Economic Activity Indicator for Turkey
by S. Boragan Aruoba & Cagri Sarikaya
2013 Foreign Direct Investment based on Country Risk and other Macroconomic Factors. Econometric Models for Romanian Economy
by Savoiu, Gheorghe & Dinu, Vasile & Ciuca, Suzana
2013 Tax-Spend or Spend-Tax: An Ampirical Survey on Turkey
by Akca, Hasim & Bilgin, Cevat
2013 What Causes What? Panel Cointegration Approach on Investment in Telecommunication and Economic Growth: Case of Asian Countries
by Bilal Mehmood & Wasif Siddiqui
2013 Do business tendency surveys help in forecasting employment?: A real-time evidence for Switzerland
by Boriss Siliverstovs
2013 La situación del empleo en turismo rural en España/The Employment Situation in Rural Tourism in Spain
by ARIAS MARTÍN, PEDRO
2013 The out-of-sample forecasting performance of non-linear models of real exchange rate behaviour: The case of the South African Rand
by Goodness C. Aye & Mehmet Balcilar & Adél Bosch & Rangan Gupta & Francois Stofberg
2013 How informative are in-sample information criteria to forecasting? The case of Chilean GDP
by Carlos A. Medel
2013 Value-at-Risk-Estimation in the Mexican Stock Exchange Using Conditional Heteroscedasticity Models and Theory of Extreme Values
by Alejandro Iván Aguirre Salado & Humberto Vaquera Huerta & Martha Elva Ramírez Guzmán & José René Valdez Lazalde & Carlos Arturo Aguirre Salado
2013 Paul Krugman Denies Having Concurred With an Administration Forecast: A Note
by David O. Cushman
2013 Long memory in return structures from developed markets
by Sharad Nath Bhattacharya & Mousumi Bhattacharya
2013 Ihracat ve Ithalatin Ekonomik Buyume Uzerindeki Etkisi: Turkiye Ornegi
by Taha Bahadir SARAC
2013 The inflation–output nexus: Empirical evidence from India, South Africa, and Brazil
by Narayan, Seema & Narayan, Paresh Kumar
2013 Growth of aggregate corporate earnings and cash-flows: Persistence and determinants
by Kryzanowski, Lawrence & Mohsni, Sana
2013 The effect of biofuel policies on feedstock market: Empirical evidence for rapeseed oil prices in EU
by Peri, Massimo & Baldi, Lucia
2013 The effect of the Troubles on GDP in Northern Ireland
by Dorsett, Richard
2013 Can US economic variables predict the Chinese stock market?
by Goh, Jeremy C. & Jiang, Fuwei & Tu, Jun & Wang, Yuchen
2013 Crime and the effectiveness of public order spending in Greece: Policy implications of some persistent findings
by Kollias, Christos & Mylonidis, Nikolaos & Paleologou, Suzanna-Maria
2013 Estimating United States Phillips curves with expectations consistent with the statistical process of inflation
by Russell, Bill & Chowdhury, Rosen Azad
2013 Exchange rate pass-through and inflation: A nonlinear time series analysis
by Shintani, Mototsugu & Terada-Hagiwara, Akiko & Yabu, Tomoyoshi
2013 The smallest firm effect: An international study
by De Moor, Lieven & Sercu, Piet
2013 Real exchange rate adjustment in European transition countries
by Maican, Florin G. & Sweeney, Richard J.
2013 The structure and degree of dependence: A quantile regression approach
by Baur, Dirk G.
2013 Oil price dynamics, macro-finance interactions and the role of financial speculation
by Morana, Claudio
2013 Are Southeast Asian real exchange rates mean reverting?
by Bec, Frédérique & Zeng, Songlin
2013 The output gap and stock returns: Do cyclical fluctuations predict portfolio returns?
by Vivian, Andrew & Wohar, Mark E.
2013 Energy consumption and economic growth: Parametric and non-parametric causality testing for the case of Greece
by Dergiades, Theologos & Martinopoulos, Georgios & Tsoulfidis, Lefteris
2013 Fitting semiparametric Markov regime-switching models to electricity spot prices
by Eichler, M. & Türk, D.
2013 Causality-in-mean and causality-in-variance within the international steam coal market
by Papież, Monika & Śmiech, Sławomir
2013 Convergence in per capita energy use among OECD countries
by Meng, Ming & Payne, James E. & Lee, Junsoo
2013 Risk spillovers in oil-related CDS, stock and credit markets
by Hammoudeh, Shawkat & Liu, Tengdong & Chang, Chia-Lin & McAleer, Michael
2013 Modeling EU allowances and oil market interdependence. Implications for portfolio management
by Reboredo, Juan C.
2013 Asymmetric adjustment of the dynamic relationship between energy intensity and urbanization in China
by Liu, Yaobin & Xie, Yichun
2013 Non-linearities in the dynamics of oil prices
by Kisswani, Khalid M. & Nusair, Salah A.
2013 Rockets and feathers in power futures markets? Evidence from the second phase of the EU ETS
by Lo Prete, Chiara & Norman, Catherine S.
2013 Combining day-ahead forecasts for British electricity prices
by Bordignon, Silvano & Bunn, Derek W. & Lisi, Francesco & Nan, Fany
2013 A stochastic fuel switching model for electricity prices
by Zachmann, Georg
2013 Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices
by Perron, Pierre & Chun, Sungju & Vodounou, Cosme
2013 Testing whether the underlying continuous-time process follows a diffusion: An infinitesimal operator-based approach
by Chen, Bin & Song, Zhaogang
2013 Powerful tests for structural changes in volatility
by Xu, Ke-Li
2013 Stable mixture GARCH models
by Broda, Simon A. & Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C.
2013 Moment condition tests for heavy tailed time series
by Hill, Jonathan B. & Aguilar, Mike
2013 Model identification for infinite variance autoregressive processes
by Andrews, Beth & Davis, Richard A.
2013 Rank tests for short memory stationarity
by Pelagatti, Matteo M. & Sen, Pranab K.
2013 Estimation and inference in unstable nonlinear least squares models
by Boldea, Otilia & Hall, Alastair R.
2013 Jackknife estimation of stationary autoregressive models
by Chambers, Marcus J.
2013 A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions
by Hurn, A.S. & Lindsay, K.A. & McClelland, A.J.
2013 Recursive predictive tests for structural change of long-memory ARFIMA processes with unknown break points
by Wang, Shin-Huei & Vasilakis, Chrysovalantis
2013 Are the determinants of CO2 emissions converging among OECD countries?
by Camarero, Mariam & Picazo-Tadeo, Andrés J. & Tamarit, Cecilio
2013 Crucial exchange rate parity. Evidence for Mexico
by Loría, Eduardo & Salas, Emmanuel
2013 Macroeconomic Variables and South African Stock Return Predictability
by Gupta, Rangan & Modise, Mampho P.
2013 Has the structural break slowed down growth rates of stock markets?
by Narayan, Paresh Kumar & Narayan, Seema & Mishra, Sagarika
2013 Guns, highways and economic growth in the United States
by Kollias, Christos & Paleologou, Suzanna-Maria
2013 The exact linkage between the Beveridge–Nelson decomposition and other permanent-transitory decompositions
by Sbrana, Giacomo
2013 Can Google data help predict French youth unemployment?
by Fondeur, Y. & Karamé, F.
2013 Autoregression-based estimation of the new Keynesian Phillips curve
by Lanne, Markku & Luoto, Jani
2013 A reinvestigation of the new RMB exchange rate regime
by Tian, Lei & Chen, Langnan
2013 Modeling and Forecasting Energy Consumption in the Manufacturing Industry in South Asia
by Muslima Zahan & Ron S. Kenett
2013 The Relationship Between Energy Consumption and Economic Growth: Evidence From A Structural Break Analysis For Turkey
by Mustafa SAATCÝ & Yasemin DUMRUL
2013 Causality Relationship between GDP and Energy Consumption in Georgia, Azerbaijan and Armenia
by Hüseyin Kalyoncu & Faruk Gürsoy & Hasan Göcen
2013 Oil Prices and the Kuwaiti and the Saudi Stock Markets:The Contrast
by Samih Antoine Azar & Loucine Basmajian
2013 Macroeconomic Uncertainty and Private Investment in Ghana:An Empirical Investigation
by William Bekoe & Philip Kofi Adom
2013 Do Dynamic Neural Networks Stand a Better Chance in Fractionally Integrated Process Forecasting?
by Majid Delavari & Nadiya Gandali Alikhani & Esmaeil Naderi
2013 Financial Sector Development and Economic Growth: Evidence from Zimbabwe
by Godfrey Ndlovu
2013 Co-movement of Index linked bonds and conventional bonds in France: Subprime crisis and Structural Break, 2003-01, 2012-04
by Benlagha, N.
2013 Financial Development And Economic Growth In Saudi Arabian Economy
by Ibrahim, M.A.
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2012 An Analytical and Numerical Search for Bifurcations in Open Economy New Keynesian Models
by William Barnett & Unal Eryilmaz
2012 Are Labor Force Participation Rates Really Non-Stationary? Evidence from Three OECD Countries
by Ozdemir, Zeynel Abidin & Balcilar, Mehmet & Tansel, Aysit
2012 No linealidad y asimetría en el proceso generador del Índice IBEX35
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2012 Testing for Cointegration in the Presence of Moving Average Errors
by Mallory, M. & Lence, Sergio H.
2012 Out-Of-Sample Comparisons of Overfit Models
by Calhoun, Gray
2012 Dirty floating and monetary independence in Central and Eastern Europe - The role of structural breaks
by Thomas Windberger & Jesus Crespo Cuaresma & Janette Walde
2012 Effective demand, exogenous normal utilization and endogenous capacity in the long run. Evidence from a CVAR analysis for the US
by Christian Schoder
2012 Endogenous capital productivity in the Kaleckian growth model. Theory and Evidence
by Christian Schoder
2012 Spatial System Estimators for Panel Models: A Sensitivity and Simulation Study
by Liu, Shuangzhe & Ma, Tiefeng & Polasek, Wolfgang
2012 A flexible semiparametric model for time series
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2012 Efficient estimation of conditional risk measures in a semiparametric GARCH model
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2012 Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability
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2012 Bayesian Unit Root Testing in Stochastic Volatility Models Using INLA
by Márcio Laurini & Márcio Alves Diniz
2012 Realized Copula
by Matthias R. Fengler & Ostap Okhrin &
2012 Quantile Regression in Risk Calibration
by Shih-Kang Chao & Wolfgang Karl Härdle & Weining Wang
2012 A Donsker Theorem for Lévy Measures
by Richard Nickl & Markus Reiß
2012 On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
by Pierre Perron & Yohei Yamamoto
2012 Covariate Unit Root Test for Cross-Sectionally Dependent Panel Data
by Eiji Kurozumi & Daisuke Yamazaki & Kaddour Hadri
2012 Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions
by Yohei Yamamoto & Pierre Perron
2012 Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions
by Yohei Yamamoto
2012 Testing for Multiple Structural Changes with Non-Homogeneous Regressors
by Eiji Kurozumi
2012 Market Discipline Under A Politicised Multilateral Fiscal Rule - Lessons from the Stability and Growth Pact Debate
by Matthias Bauer & Martin Zenker
2012 Minor Nuisance Around Foreign Exchange Markets - Lessons from the Stability and Growth Pact Debate
by Matthias Bauer & Martin Zenker
2012 Detecting Bubbles in the Hong Kong Residential Property Market: An Explosive-Pattern Approach
by Matthew S. Yiu & Lu Jin
2012 Market Liberalization and Market Integration - Essays on the Nordic Electricity Market
by Lundgren, Jens
2012 Occurrence of long and short term asymmetry in stock market volatilities
by Lönnbark, Carl
2012 The Asymmetric Count Data Moving Average Model
by Brännäs, Kurt
2012 Essays on Credit Markets and Banking
by Holmberg, Ulf
2012 Panel Data Evidence on the Role of Institutions and Shocks for Unemployment Dynamics and Equilibrium
by Nymoen, Ragnar & Sparrman, Victoria
2012 Wavelet Improvement in Turning Point Detection using a HMM Model
by Li, Yushu
2012 Cost of Misspecification in Break-Model Unit-Root Tests
by Maican, Florin G. & Sweeney, Richard J.
2012 No coupling, no decoupling, only mutual inter-dependence: Business cycles in emerging vs. mature economies
by Siklos, Pierre L.
2012 Real Wages and the Origins of Modern Economic Growth in Germany, 16th to 19th Centuries
by Ulrich Pfister & Jana Riedel & Martin Uebele
2012 A simple specification procedure for the transition function in persistent nonlinear time series models
by Kaufmann, Hendrik & Kruse, Robinson & Sibbertsen, Philipp
2012 Estimating the number of mean shifts under long memory
by Sibbertsen, Philipp & Willert, Juliane
2012 On tests for linearity against STAR models with deterministic trends
by Kaufmann, Hendrik & Kruse, Robinson & Sibbertsen, Philipp
2012 Energy Consumption and Economic Growth: Evidence from Nonlinear Panel Cointegration and Causality Tests
by Tolga Omay & Mubariz Hasanov & Nuri Uçar
2012 Time Series Behaviour of the Real Interest Rates in Transition Economies
by Pelin Oge Guney & Erdinc Telatar & Mubariz Hasanov
2012 Re-examining Purchasing Power Parity for the Australian Real Exchange Rate
by Mubariz Hasanov
2012 A Panel Co-integration Analysis of Industrial and Services Sectors' Agglomeration in the European Union
by Astrid Krenz
2012 Trend and initial condition in stationarity tests: the asymptotic analysis
by Anton Skrobotov
2012 Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion - in Russian
by Anton Skrobotov
2012 Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion
by Anton Skrobotov
2012 Assessment of Money Demand in the Russian Economy with the Development of Banking Technology
by Elena Sinelnikova,
2012 An Assessment of the Theory of Storage: Has the Relationship between Commodity Price Volatility and Market Fundamentals Changed Over Time?
by Giulio Cifarelli & Paolo Paesani
2012 Working Paper 15-12 - Specification and estimation of a dynamic consumption allocation model
by Ingrid Bracke & Peter Willemé
2012 Volatility Swings in the US Financial Markets
by Giampiero M. Gallo & Edoardo Otranto
2012 Realized Volatility and Change of Regimes
by Giampiero M. Gallo & Edoardo Otranto
2012 The Oil price-Macroeconomy Relationship since the Mid- 1980s: A global perspective
by Claudio Morana
2012 Oil Price Dynamics, Macro-Finance Interactions and the Role of Financial Speculation
by Claudio Morana
2012 The Influence of Housing Price Developments on Household Consumption: Empirical Analysis for the Czech Republic
by Sylvie Dvoráková & Jakub Seidler
2012 Can Google Data Help Predict French Youth Unemployment?
by Frédéric Karamé & Yannick Fondeur
2012 Exponential GARCH Modeling with Realized Measures of Volatility
by Peter Reinhard Hansen & Zhuo Huang
2012 Are Southeast Asian Real Exchange Rates Mean Reverting?
by Frédérique Bec & Songlin Zeng
2012 Regime-Dependent Topological Properties of Biofuels Networks
by Ladislav Kristoufek & Karel Janda & David Zilberman
2012 Mutual Responsiveness of Biofuels, Fuels and Food Prices
by Ladislav Kristoufek & Karel Janda & David Zilberman
2012 The level and growth effects in empirical growth models for the Nordic countries: A knowledge economy approach
by Arusha Cooray & Antonio Paradiso
2012 On the correspondence between data revision and trend-cycle decomposition
by Mardi Dungey & Jan PAM Jacobs & Jing Tian & Simon van Norden
2012 Bioenergy and Land Use Change
by Pavel Ciaian & d'Artis Kancs & Miroslava Rajcaniova
2012 Are the determinants of CO2 emissions converging among OECD countries?
by Mariam Camarero & Andrés J. Picazo-Tadeo & Cecilio Tamarit
2012 The euro impact on trade. Long run evidence with structural breaks
by Mariam Camarero & Estrella Gómez & Cecilio Tamarit
2012 Job Creation and the Self-employed Firm Size: evidence from Spain
by Emilio Congregado & Vicente Esteve & Antonio A. Golpe
2012 Optimal Combination of Survey Forecasts
by Cristina Conflitti & Christine De Mol & Domenico Giannone
2012 The Difference, System and ‘Double-D’ GMM Panel Estimators in the Presence of Structural Breaks
by Rosen Azad Chowdhury & Bill Russell
2012 Estimating United States Phillips Curves With Expectations Consistent With The Statistical Process Of Inflation
by Bill Russell & Rosen Azad Chowdhury
2012 On the links between stock and commodity markets' volatility
by Anna Creti & Marc Joëts & Valérie Mignon
2012 Do newspaper articles on card fraud affect debit card usage?
by Anneke Kosse
2012 Persistence in Youth Unemployment
by Guglielmo Maria Caporale & Luis A. Gil-Alana
2012 Testing the Marshall-Lerner Condition in Kenya
by Guglielmo Maria Caporale & Luis A. Gil-Alana & Robert Mudida
2012 Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean
by Francisco Blasques
2012 Strong Consistency of the Least-Squares Estimator in Simple Regression Models with Stochastic Regressors
by Norbert Christopeit & Michael Massmann
2012 Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes
by Francisco Blasques & Siem Jan Koopman & Andre Lucas
2012 A New Semiparametric Volatility Model
by Jiangyu Ji & Andre Lucas
2012 Joint Independent Metropolis-Hastings Methods for Nonlinear Non-Gaussian State Space Models
by Istvan Barra & Lennart Hoogerheide & Siem Jan Koopman & Andre Lucas
2012 A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive Simulation
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2012 Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
by Siem Jan Koopman & Andre Lucas & Marcel Scharth
2012 Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in Virginia
by Suncica Vujic & Jacques Commandeur & Siem Jan Koopman
2012 On Confidence Intervals for Autoregressive Roots and Predictive Regression
by Peter C.B. Phillips
2012 Nonparametric Predictive Regression
by Ioannis Kasparis & Elena Andreou & Peter C.B. Phillips
2012 Automated Estimation of Vector Error Correction Models
by Zhipeng Liao & Peter C.B. Phillips
2012 Non-linearity Induced Weak Instrumentation
by Ioannis Kasparis & Peter C.B. Phillips & Tassos Magdalinos
2012 Series Estimation of Stochastic Processes: Recent Developments and Econometric Applications
by Peter C.B. Phillips & Zhipeng Liao
2012 VARs with Mixed Roots Near Unity
by Peter C.B. Phillips & Ji Hyung Lee
2012 Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
by Giuseppe Cavaliere & Peter C.B. Phillips & Stephan Smeekes & A.M. Robert Taylor
2012 Testing for Multiple Bubbles
by Peter C.B. Phillips & Shu-Ping Shi & Jun Yu
2012 Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior
by Peter C.B. Phillips & Shu-Ping Shi & Jun Yu
2012 Discriminant analysis of multivariate time series using wavelets
by Ann Elizabeth Maharaj & M. Andrés Alonso
2012 Dynamics of the steel and long-term equilibrium hypothesis across leading geo-economic players: empirical evidence for supporting a policy formulation
by Mario Coccia
2012 A Supply-Response Model Under Invariant Risk Preferences
by Robert Chambers & Margarita Genius & Vangelis Tzouvelekas
2012 Climatic Conditions and Productivity : An Impact Evaluation in Pre-industrial England
by Stéphane Auray & Aurélien Eyquem & Frédéric Jouneau-Sion
2012 Modelling Tails of Aggregated Economic Processes in a Stochastic Growth Model
by Stéphane Auray & Aurélien Eyquem & Fréderic Jouneau-Sion
2012 Inventory Investment and the Business Cycle : The usual Suspect
by Frédérique Bec & Mélika Ben Salem
2012 Determinants of US financial fragility conditions
by Fabio Bagliano & Claudio Morana
2012 The failure to predict the Great Recession. The failure of academic economics? A view focusing on the role of credit
by Gadea Rivas, Maria Dolores & Pérez-Quirós, Gabriel
2012 Can we use seasonally adjusted indicators in dynamic factor models?
by Camacho, Maximo & Lovcha, Yuliya & Pérez-Quirós, Gabriel
2012 Optimal Combination of Survey Forecasts
by Conflitti, Cristina & De Mol, Christine & Giannone, Domenico
2012 Green Shoots and Double Dips in the Euro Area. A Real Time Measure
by Camacho, Maximo & Pérez-Quirós, Gabriel & Poncela, Pilar
2012 Finite sample performance of small versus large scale dynamic factor models
by Alvarez, Rocio & Camacho, Maximo & Pérez-Quirós, Gabriel
2012 Markov-switching dynamic factor models in real time
by Camacho, Maximo & Pérez-Quirós, Gabriel & Poncela, Pilar
2012 Extracting nonlinear signals from several economic indicators
by Camacho, Maximo & Pérez-Quirós, Gabriel & Poncela, Pilar
2012 Forecasting long memory processes subject to structural breaks
by WANG, Shin-Huei & BAUWENS, Luc & HSIAO, Cheng
2012 Infinite-state Markov-switching for dynamic volatility and correlation models
by DUFAYS, Arnaud
2012 Financial crisis: a new measure for risk of pension funds assets
by M. Cadoni & R. Melis & A. Trudda
2012 The Markov Switching Asymmetric Multiplicative Error Model
by E. Otranto
2012 Changes in Inflation Dynamics under Inflation Targeting? Evidence from Central European Countries
by Jaromir Baxa & Miroslav Plasil & Borek Vasicek
2012 Real Wage Flexibility in the European Union: New Evidence from the Labour Cost Data
by Jan Babecky & Kamil Dybczak
2012 Pegging emerging currencies in the face of dollar swings
by Virginie Coudert & Cécile Couharde & Valérie Mignon
2012 On the links between stock and commodity markets' volatility
by Anna Creti & Marc Joëts & Valérie Mignon
2012 Model Adequacy Checks for Discrete Choice Dynamic Models
by Igor Kheifets & Carlos Velasco
2012 Structural Breaks and Volatility of Gross Domestic Product: Evidence for Portugal
by Jorge Andraz & Nélia Norte
2012 The Impact of Wind Power Generation on the Electricity Price in Germany
by Janina Ketterer
2012 Macroeconomic Fluctuations in a Stylized DSGE Model with Disequilibrium Dynamics
by Bas van Aarle
2012 Fiscal Policy Sustainability, Economic Cycle and Financial Crises: The Case of the GIPS
by Gabriella Deborah Legrenzi & Costas Milas
2012 Ranking of VaR and ES Models: Performance in Developed and Emerging Markets
by Sasa Zikovic & Randall Filer
2012 Persistence in Youth Unemployment
by Guglielmo Maria Caporale & Luis A. Gil-Alana
2012 Why We Should Use High Values for the Smoothing Parameter of the Hodrick-Prescott Filter
by Gebhard Flaig
2012 The Sustainability of Fiscal Policy in Italy: A Long-Term Perspective
by Silvana Bartoletto & Bruno Chiarini & Elisabetta Marzano
2012 What Moves the European Carbon Market? - Insights from Conditional Jump Models
by Marc Gronwald & Janina Ketterer
2012 "Interest Rate Trap", or: Why Does the Central Bank Keep the Policy Rate too Low for too Long Time?
by Jin Cao & Gerhard Illing
2012 Foreign Direct Investment And Technology Spillover---Evidence Across Indian Manufacturing Industries
by SMRUTI RANJAN BEHERA & PAMI DUA & BISHWANATH GOLDAR
2012 Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments
by Philip Hans Franses & Michael McAleer & Rianne Legerstee
2012 Modelling Long Memory Volatility in Agricultural Commodity Futures Returns
by Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat
2012 Inflation forecasting in Angola: a fractional approach
by Carlos P. Barros & Luis A. Gil-Alana
2012 Filtering with heavy tails
by Harvey, A. & Luati, A.
2012 The Dyanamic Location/Scale Model: with applications to intra-day financial data
by Andres, P. & Harvey, A.
2012 EGARCH models with fat tails, skewness and leverage
by Harvey, A. & Sucarrat, G.
2012 Short-term forecasts of French GDP: a dynamic factor model with targeted predictors
by Bessec, M.
2012 Inventory Investment Dynamics and Recoveries: A Comparison of Manufacturing and Retail Trade Sectors
by Bec, F. & Bessec, M.
2012 Forecasting GDP over the business cycle in a multi-frequency and data-rich environment
by Bessec, M. & Bouabdallah, O.
2012 Macroeconomic forecasting during the Great Recession: The return of non-linearity?
by Ferrara, L. & Marcellino, M. & Mogliani, M.
2012 The European way out of recession
by Bec, F. & Bouabdallah, O. & Ferrara, L.
2012 Monthly GDP estimates based on the IGAE
by Rocío Elizondo
2012 The predictive power of Google searches in forecasting unemployment
by Francesco D'Amuri & Juri Marcucci
2012 On detecting end-of-sample instabilities
by Fabio Busetti
2012 Selecting predictors by using Bayesian model averaging in bridge models
by Lorenzo Bencivelli & Massimiliano Marcellino & Gianluca Moretti
2012 Forecasting world output: the rising importance of emerging economies
by Alessandro Borin & Riccardo Cristadoro & Roberto Golinelli & Giuseppe Parigi
2012 The failure to predict the Great Recession. The failure of academic economics? A view focusing on the role of credit
by Maria Dolores Gadea Rivas & Gabriel Perez-Quiros
2012 Can we use seasonally adjusted indicators in dynamic factor models?
by Maximo Camacho & Yuliya Lovcha & Gabriel Perez-Quiros
2012 Markov-switching dynamic factor models in real time
by Maximo Camacho & Gabriel Perez-Quiros & Pilar Poncela
2012 Short-run forecasting of the euro-dollar exchange rate with economic fundamentals
by Marcos dal Bianco & Maximo Camacho & Gabriel Perez-Quiros
2012 Extracting non-linear signals from several economic indicators
by Maximo Camacho & Gabriel Perez-Quiros & Pilar Poncela
2012 Finite sample performance of small versus large scale dynamic factor models
by Rocio Alvarez & Maximo Camacho & Gabriel Perez-Quiros
2012 Tracking the future on the web: construction of leading indicators using internet searches
by Concha Artola & Enrique Galán
2012 Las huellas del futuro están en la web: construcciónde indicadores adelantados a partir de las búsquedas en internet
by Concha Artola & Erique Galán
2012 Real-time forecasting US GDP from small-scale factor models
by Maximo Camacho & Jaime Martinez-Martin
2012 Short-run forecasting of the euro-dollar exchange rate with economic fundamentals
by Marcos dal Bianco & Maximo Camacho & Gabriel Perez-Quiros
2012 Sequential Variable Selection as Bayesian Pragmatism in Linear Factor Models
by John Knight & Stephen Satchell & Jessica Zhang
2012 A Note on the Finite Sample Properties of the CLS Method of TAR Models
by Marian Vavra
2012 Robustness of Power Properties of Non-linearity Tests
by Marian Vavra
2012 Explaining Inflation-Gap Persistence by a Time-Varying Taylor Rule
by Conrad, Christian & Eife, Thomas A.
2012 Trends and Cycles in Real Commodity Prices: 1650-2010
by David Harvey & Neil Kellard & Jakob Madsen & Mark Wohar
2012 A Smooth Transition Long-Memory Model
by Marcel Aloy & Gilles Dufrénot & Charles Lai Tong & Anne Péguin-Feissolle
2012 SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence
by Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza
2012 Real exchange rate volatility, financial crises and nominal exchange regimes
by Amalia Morales-Zumaquero & Simón Sosvilla-Rivero
2012 Inflation convergence in Central and Eastern Europe with a view to adopting the euro
by Juan Carlos Cuestas & Luis A. Gil-Alana & Karl Taylor
2012 The Yen Real Exchange Rate May Not Be Stationary After All: New Evidence from Non-linear Unit-Root Tests
by Hyeongwoo Kim & Young-Kyu Moh
2012 A Non-standard Empirical Likelihood for Time Series
by Daniel J. Nordman & Helle Bunzel & Soumendra N. Lahiri
2012 Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis
by Matthew T. Holt & Timo Teräsvirta
2012 The role of initial values in nonstationary fractional time series models
by Søren Johansen & Morten Ørregaard Nielsen
2012 The Selection of ARIMA Models with or without Regressors
by Søren Johansen & Marco Riani & Anthony C. Atkinson
2012 Exponential GARCH Modeling with Realized Measures of Volatility
by Peter Reinhard Hansen & Zhuo Huang
2012 Estimating High-Dimensional Time Series Models
by Marcelo C. Medeiros & Eduardo F. Mendes
2012 Quantiles of the Realized Stock-Bond Correlation and Links to the Macroeconomy
by Nektarios Aslanidis & Charlotte Christiansen
2012 Asymptotic Theory for Regressions with Smoothly Changing Parameters
by Eric Hillebrand & Marcelo C. Medeiros & Junyue Xu
2012 Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models
by Eric Hillebrand & Marcelo C. Medeiros
2012 Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates
by Heejoon Han & Dennis Kristensen
2012 On tests for linearity against STAR models with deterministic trends
by Hendrik Kaufmann & Robinson Kruse & Philipp Sibbertsen
2012 The impact of financial crises on the risk-return tradeoff and the leverage effect
by Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu
2012 Unit roots, nonlinearities and structural breaks
by Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov
2012 Modelling Changes in the Unconditional Variance of Long Stock Return Series
by Cristina Amado & Timo Teräsvirta
2012 On the Oracle Property of the Adaptive Lasso in Stationary and Nonstationary Autoregressions
by Anders Bredahl Kock
2012 The Power of Unit Root Tests Against Nonlinear Local Alternatives
by Matei Demetrescu & Robinson Kruse
2012 Does corruption hinder trade for the new EU members?
by Horsewood, Nicholas & Voicu, Anca Monika
2012 Are current account deficits sustainable? New evidence from Iran using bounds test approach to level relationships
by Heidari, Hassan & Katircioglu, Salih Turan & Davoudi, Narmin
2012 Boats and tides and "trickle down" theories: What economists presume about wellbeing when they employ stochastic process theory in modeling behavior
by Anderson, Gordon
2012 Asymmetric exchange rate pass-through in the Euro area: New evidence from smooth transition models
by Ben Cheikh, Nidhaleddine
2012 Nonlinearity and Fractional Integration in the US Dollar/Euro Exchange Rate
by Burcu Kıran
2012 Does Gibrat’s Law Hold in the Insurance Industry of China? A Test with Sequential Panel Selection Method
by Guochen Pan & Sen-Sung Chen & Tsangyao Chang
2012 Structural Breaks, Parameter Stability and Energy Demand Modeling in Nigeria
by Olusegun A. Omisakin & Oluwatosin A. Adeniyi & Abimbola M. Oyinlola
2012 The Causality between Government Revenue and Government Expenditure in Iran
by Yousef Elyasi & Mohammad Rahimi
2012 Is Disagreement a Good Proxy for Inflation Uncertainty? Evidence from Turkey
by Timur Hulagu & Saygin Sahinoz
2012 Using Dynamic Series of Moments for Economic Analysis
by Diana COCONOIU & Elena BUGUDUI
2012 Using Time Series in the Macroeconomic Analysis
by Constantin ANGHELACHE & Radu Titus MARINESCU & Elena BUGUDUI & Daniel DUMITRESCU
2012 Revisiting Mean Reversion in the Stock Prices of Nine Transition Countries: Threshold Unit Root Test
by Guochen Pan & Seng-Sung Chen & Tsangyao Chang
2012 Testing For Nonlinearity In G7 Macroeconomic Time Series
by Yavuz, Nilgün Çil & Yilanci, Veli
2012 Mean Reversion of Real Interest Rates in G-20: Panel Kss Test by Spsm with a Fourier Function
by Chang, Chih Kai
2012 Evaluating Individual and Mean Non-Replicable Forecasts
by Chang, Chia Lin & Franses, Philip Hans & Mcaleer, Michael
2012 Is the Romanian Business Cycle Characterized by Chaos?
by Caraiani, Petre
2012 The Demand for Money in China: A Reassessment Using the Bounds Testing Approach
by Lee, Chien Chiang & Chang, Chun Ping
2012 A Bootstrap Analysis of the Nikkei 225
by Kung, James J. & Carverhill, Andrew P.
2012 Responses of African economies to the international economic shocks: an empirical study
by Assoumou-Ella , Giscard
2012 Identification of product life cycle models by autoregression–moving average models and Groebner’s bases
by Semenychev, Valery & Kurkin, Eugen & Semenychev , Eugene
2012 Data frequency and mutual fund performance measures
by Semushin, Anton & Parshakov, Petr
2012 What Can We Learn From Long Time Series? Italian Living Standards After Unification and Dualism North-South
by Miranda CUFFARO & Maria DAVI' & Erasmo VASSALLO
2012 Causality between Financial Development and Economic Growth: Evidence from an Indian State
by Farah Hussain & Deb Kumar Chakraborty
2012 Bootstrap inference about integrated volatility (in Russian)
by Andrey Rafalson
2012 Switching Volatility in Emerging Stock Markets and Financial Liberalization: Evidence from the new EU Member Countries
by Georgios Kouretas & Manolis Syllignakis
2012 Is It Possible To Predict The Cnb Repo Rate On The Basis Of The Backward-Looking Monetary Rule?
by Josef Arlt & Martin Mandel
2012 Recent Development Of The Wage And Income Distribution In The Czech Republic
by Diana Bílková
2012 GLS para eliminar los componentes determinísticos, estadísticos de raíz unitaria eficientes y cambio estructural
by Pierre Perron & Gabriel Rodríguez
2012 Real And Nominal Convergence, The Syncronization Of Business Cycles Between The New Eurozone Members (Nem) Slovenia, Slovakia, Cyprus , Estonia And The Core Eurozone
by Zapodeanu Daniela
2012 The Implications Of State Aid To R&D On Economic Development In The European Union
by Bacila Nicolae
2012 The Contribution Of Business Confidence Indicators In Short-Term Forecasting Of Economic Development
by Gagea Mariana
2012 Identifying imbalances in the Hungarian banking system (‘early warning’ system)
by Dániel Holló
2012 Oil Price Shock and Structural Changes in CMEA Trade: Pouring Oil on Troubled Waters?
by Elisabeth Beckmann & Jarko Fidrmuc
2012 A model for forecasting electricity prices in Colombia
by Jorge Barrientos & Edwin Rodas & Esteban Velilla & Mauricio Lopera & Fernando Villada
2012 On the Existence of a Unit Root in the Time Series of Monthly Electricity Prices in Colombia
by Elkin Castaño & Jorge Sierra
2012 Volume and Skewness Analysis in the Major Latin American Stock Markets
by Werner Kristjanpoller & Víctor Caballero
2012 The Volatility Of The Won-Dollar Exchange Rate During The 2008-9 Crisis
by HYUN KOOK SHIN & BYOUNG HARK YOO
2012 Half Life of the Real Exchange Rate: Evidence from the Nonlinear Approach in Emerging Economies
by Chin-Ping King
2012 The Romanian Agri-Food Economy – Performance Reductive Effects After Five Years Of Eu Membership
by Toderoiu, Filon
2012 Perceived Organizational Commitment And Its Impact To The Turnover Intention: A Correlation Analysis
by Ramesh Kumar & Koh Geok Eng
2012 Real Oil Prices since the 1990s
by Claudio Morana
2012 Nonparametric Verification of GARCH-Class Models for Selected Polish Exchange Rates and Stock Indices
by Piotr Fiszeder & Witold Orzeszko
2012 Independent Spike Models: Estimation and Validation
by Erik Lindström & Fredric Regland
2012 The Dynamic Relationship Between Private Domestic Investment, the User Cost of Capital, Public Investment, Foreign Direct Investment and Economic Growth in Malaysia
by Bee Wah Tan & Chor Foon Tang
2012 Mankiw vs. DeLong and Krugman on the CEA's Real GDP Forecasts in Early 2009: What Might a Time Series Econometrician Have Said?
by David O. Cushman
2012 Sources of economic fuctuations in France: A structural VAR model
by Nabil Ben Arfa
2012 Bayesian Unit Root Test for Time Series Models with Structural Break in Variance
by Rishi Kumar & Jitendra Kumar & Anoop Chaturvedi
2012 The predictability of aggregate Japanese stock returns: Implications of dividend yield
by Chen, Sichong
2012 On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries
by Menezes, Rui & Dionísio, Andreia & Hassani, Hossein
2012 Long memory and structural breaks in modeling the return and volatility dynamics of precious metals
by Arouri, Mohamed El Hedi & Hammoudeh, Shawkat & Lahiani, Amine & Nguyen, Duc Khuong
2012 Why do merger premiums vary across industries and over time?
by Madura, Jeff & Ngo, Thanh & Viale, Ariel M.
2012 How close a relationship does a capital market have with other such markets? The case of Taiwan from the Asian financial crisis
by Lee, Chingnun & Shie, Fu Shuen & Chang, Chiao Yi
2012 Intraday dynamics of volatility and duration: Evidence from Chinese stocks
by Liu, Chun & Maheu, John M.
2012 Trends in real commodity prices: How real is real?
by Fernandez, Viviana
2012 Modelling oil price and exchange rate co-movements
by Reboredo, Juan C.
2012 New regulatory authority over significant price discovery contracts: An example of natural gas swaps with econometric applications
by Babula, Ronald A. & Price, Gregory K.
2012 Multicointegration, seigniorage and fiscal sustainability. Spain 1857–2000
by Escario, Regina & Gadea, María Dolores & Sabaté, Marcela
2012 Common trends and common cycles among interest rates of the G7-countries
by Lindenberg, Nannette & Westermann, Frank
2012 The impacts of regime-switching structures and fat-tailed characteristics on the relationship between inflation and inflation uncertainty
by Chang, Kuang-Liang
2012 Explaining inflation-gap persistence by a time-varying Taylor rule
by Conrad, Christian & Eife, Thomas A.
2012 Interpreting the evidence for New Keynesian models of inflation dynamics
by Nymoen, Ragnar & Swensen, Anders Rygh & Tveter, Eivind
2012 Trends and random walks in macroeconomic time series: A reappraisal
by Charles, Amélie & Darné, Olivier
2012 Forecasting US recessions with various risk factors and dynamic probit models
by Ng, Eric C.Y.
2012 Asymmetries and state dependence: The impact of macro surprises on intraday exchange rates
by Fatum, Rasmus & Hutchison, Michael & Wu, Thomas
2012 Exchange rate bubbles: Fundamental value estimation and rational expectations test
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2012 Short-run forecasting of the euro-dollar exchange rate with economic fundamentals
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2011 Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments
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2011 Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures
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2011 International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord
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2011 An Analysis of Political and Institutional Power Dispersion: The Case of Turkey
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2011 Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles
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2011 Economic class and the distribution of income: A time-series analysis of the UK economy, 1955-2010
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2011 On the Properties of Regression Tests of Asset Return Predictability
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2011 Competitive Balance:Time Series Lessons from the English Premier League
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2011 Gasoline, diesel fuel and jet fuel demand in South Africa
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2011 Does Monetary Policy Affect Stock Market Uncertainty? – Empirical Evidence from the United States
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2011 OLong-run Money Demand in OECD Countries – Cross-Member Cointegration
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2011 Volatility in Discrete and Continuous Time Models: A Survey with New Evidence on Large and Small Jumps
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2011 Empirical Evidence on Jumps and Large Fluctuations in Individual Stocks
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2011 Some Variables are More Worthy Than Others: New Diffusion Index Evidence on the Monitoring of Key Economic Indicators
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2011 Predictive Density Construction and Accuracy Testing with Multiple Possibly Misspecified Diffusion Models
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2011 Predictive Inference for Integrated Volatility
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2011 Predictive Inference for Integrated Volatility
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2011 Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Largescale Macroeconomic Time Series Environments
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2011 Predictive Inference Under Model Misspecification with an Application to Assessing the Marginal Predictive Content of Money for Output
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2011 Testing for a rational bubble under long memory
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2011 Aplicaţii ale metodei regresiei ortogonale în economie
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2011 Unit Root Testing with Stationary Covariates and a Structural Break in the Trend Function
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2011 Dating U.S. Business Cycles with Macro Factors
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2011 Trans-Pacific Economic Relations and US-China Business Cycles: Convergence within Asia versus US Economic Leadership
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2011 The Contribution of Structural Break Models to Forecasting Macroeconomic Series
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2011 Hierarchical Shrinkage Priors for Dynamic Regressions with Many Predictors
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2011 Volatility timing and portfolio selection: How best to forecast volatility
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2011 Econometric Analysis and Prediction of Recurrent Events
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2011 Block Bootstrap and Long Memory
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2011 FCVARmodel.m: A Matlab software package for estimation and testing in the fractionally cointegrated VAR model
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2011 Asymptotics for the conditional-sum-of-squares estimator in fractional time series models
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2011 Modeling and Forecasting Interval Time Series with Threshold Models: An Application to S&P500 Index Returns
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2011 A Class of Robust Tests in Augmented Predictive Regressions
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2011 The Impact of Persistent Cycles on Zero Frequency Unit Root Tests
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2011 Moment conditions model averaging with an application to a forward-looking monetary policy reaction function
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2011 Short and Long-Term Effects of September 11 on Stock Returns: Evidence from U.S. Defense Firms
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2011 The Link between Output Growth and Output Volatility in Five Crisis-Affected Asian Countries
by Jiranyakul, Komain
2011 Impact of calendar effects in the volatility of vale shares
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2011 Stock market’s reactions to revelation of tax evasion: an empirical assessment
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2011 The Future of Budgetary Allocation to Sports Sector in Pakistan: Evidences from Autoregressive Integrated Moving Average Model
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2011 The Demand for Calories in Turkey
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2011 On the Correlations of Trend-Cycle Errors
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2011 Evaluating the forecasting performance of linear and nonlinear monetary policy rules for South Africa
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2011 An alternative to the Baum-Welch recursions for hidden Markov models
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2011 Risk components in UK cross-sectional equities: evidence of regimes and overstated parametric estimates
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2011 非遺伝子組換え大豆とエネルギーの価格関係について
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2011 Testing for weak form market efficiency in Indian foreign exchange market
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2011 Subsidy and export: Malaysian case
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2011 Testing for Stochastic and Beta-convergence in Latin American Countries
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2011 Testing the Rational Expectations Hypothesis on the Retail Trade Sector Using Survey Data from Malaysia
by Puah, Chin-Hong & Chong, Lucy Lee-Yun & Jais, Mohamad
2011 Survey Evidence on the Rationality of Business Expectations: Implications from the Malaysian Agricultural Sector
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2011 The case for higher frequency inflation expectations
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2011 Cari İşlem Açıklarının Sürdürülebilirliği: 2001-2011 Türkiye Örneği
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2011 Climate change: where is the hockey stick? evidence from millennial-scale reconstructed and updated temperature time series
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2011 GMM estimation with noncausal instruments under rational expectations
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2011 Military spending and economic growth: the case of Iran
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2011 International stock market comovements: what happened during the financial crisis?
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2011 The Exchange Rate and Interest Rate Differential Relationship: Evidence from Two Financial Crises
by Li, Kui-Wai & Wong, Douglas K T
2011 Is the Chinese Stock Market Really Efficient
by Yan, Isabel K. & Chong, Terence & Lam, Tau-Hing
2011 Regional Capital Mobility in China: 1978-2006
by Yan, Isabel K. & Chan, Kenneth S. & Dang, Vinh Q.T. & Lai, Jennifer T.
2011 A partial differential equation to express a business cycle :an implication for Japan's law interest policy
by Kuriyama, Akira
2011 The growth effects of education in Australia
by Paradiso, Antonio & Kumar, Saten & Rao, B. Bhaskara
2011 When are adaptive expectations rational? A generalization
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2011 Productivity-wage-growth nexus: an empirical study of Singapore
by Freddy, Liew
2011 Simulation based estimation of threshold moving average models with contemporaneous shock asymmetry
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2011 The Hodrick-Prescott filter with priors: linear restrictions on HP filters
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2011 Causal relationship between wages and prices in UK: VECM analysis and Granger causality testing
by Josheski, Dushko & Lazarov, Darko & Fotov, Risto & Koteski, Cane
2011 Roaring Food Prices in India
by Mukherjee, Soumyatanu
2011 Foreign aid and economic growth in Ethiopia
by Tadesse, Tasew
2011 A Semigroups Approach to the Study of a Second Order Partial Differential Equation Applied in Economics
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2011 Arguments contre la zone franc
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2011 Industrial development, agricultural growth, urbanization and environmental Kuznets curve in Pakistan
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2011 Exchange rate determination in Jamaica: A market microstructures and macroeconomic fundamentals approach
by Wright, Allan S & Craigwell, Roland C & RamjeeSingh, Diaram
2011 Conditional Markov chain and its application in economic time series analysis
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2011 Inequality and savings: a reassesment of the relationship in cointegrated panels
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2011 The causal relationship between patent growth and growth of GDP with quarterly data in the G7 countries: cointegration, ARDL and error correction models
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2011 Evidencia empírica sobre la predictibilidad de los ciclos bursátiles: el comportamiento del índice Dow Jones Industrial Average en las crisis bursátiles de 1929, 1987 y 2997
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2011 A social discount rate for Turkey
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2011 Economic growth and carbon dioxide emissions: Empirical evidence from China
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2011 Estimates of the demand for US consumer borrowings
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2011 Threshold effects in the monetary policy reaction function of the Deutsche Bundesbank
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2011 Does the Box-Cox transformation help in forecasting macroeconomic time series?
by Tommaso, Proietti & Helmut, Luetkepohl
2011 Comment la dernière crise financière a relancé le débat relatif à l'arrimage du fcfa à l'euro
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2011 The role of product variety and quality and of domestic supply in foreign trade
by Athanasoglou, Panayiotis
2011 Financial liberalization, financial development and economic growth: An empirical analysis for Turkey
by ince, meltem
2011 Institutions and foreign direct investment (FDI) in Malaysia: empirical evidence using ARDL model
by Abdul Karim, Zulkefly & Zaidi, Mohd Azlan Shah & Ismail, Mohd Adib & Abdul Karim, Bakri
2011 Sobre a Demanda Agregada por Carnes no Mercado Brasileiro
by Resende Filho, M A & Bressan, V G F & Braga, M J & Bressan, A A
2011 Utilizing System Dynamics Models in Analyzing Macroeconomic Variables of Yemen
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2011 Estimates of the steady state growth rates for the Scandinavian countries: a knowledge economy approach
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2011 Breaks, bubbles, booms, and busts: the evolution of primary commodity price fundamentals
by Enders, Walter & Holt, Matthew T.
2011 On wage formation, wage flexibility and wage coordination : A focus on the wage impact of productivity in Germany, Greece, Ireland, Portugal, Spain and the United States
by Peeters, Marga & Den Reijer, Ard
2011 The effects of terrorist activities on foreign direct investment: nonlinear Evidence
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2011 China’s Trade in Asia and the World: Long run Relation with Short run Dynamics
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2011 Estimates of the Steady State Growth Rates for Ireland
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2011 Hierarchical shrinkage priors for dynamic regressions with many predictors
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2011 The Variance Profile
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2011 Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison
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2011 GDP Modelling with Factor Model: an Impact of Nested Data on Forecasting Accuracy
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2011 Autoregression-Based Estimation of the New Keynesian Phillips Curve
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2011 Testing for non-causality by using the Autoregressive Metric
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2011 Why had the Money Market Approach been irrelevant in explaining inflation in Azerbaijan during the rapid economic growth period?
by Fakhri, Hasanov & Khudayar, Hasanli
2011 The Dynamics between Real Exchange Rate Movements and Trends in Trade Performance: The Case of Ethiopia
by Melesse, Wondemhunegn Ezezew
2011 Temporal Granger causality and the dynamics examination on the tourism-growth nexus in Malaysia
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2011 Joint Detection of Structural Change and Nonstationarity in Autoregressions
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2011 Regime Switching and Wages in Major League Baseball under the Reserve Clause
by Haupert, Michael & Murray, James
2011 A study on the socio-economic determinants of suicide: Evidence from 13 European OECD countries
by Okada, Keisuke & Samreth, Sovannroeun
2011 India's trade with USA and her trade balance: An empirical analysis
by Tiwari, Aviral & Shahbaz, Muhammad
2011 Asymptotic properties of weighted least squares estimation in weak parma models
by Francq, Christian & Roy, Roch & Saidi, Abdessamad
2011 Impact of economic growth and financial development on exports: Cointegration and causality analysis in Pakistan
by Shahbaz, Muhammad & Rahman, Mizanur
2011 Role of Rules of Thumb in Forecasting Foreign Tourist Arrival: A Case Study of India
by Bhattacharya, Kaushik
2011 Energy consumption and aggregate income in Italy: cointegration and causality analysis
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2011 Estimates of the US Phillips curve with the general to specific method
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2011 Phillips curve in a small open economy: A time series exploration of North Cyprus
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2011 Time Series Estimates of the Italian Consumer Confidence Indicator
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2011 On the Order of Magnitude of Sums of Negative Powers of Integrated Processes
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2011 Stock index returns’ density prediction using GARCH models: Frequentist or Bayesian estimation?
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2011 Asymmetric Baxter-King filter
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2011 Comovements and Causality of Sector Price Indices: Evidence from the Egyptian Stock Exchange
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2011 The dynamic relationship between private domestic investment, the user cost of capital, and economic growth in Malaysia
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2011 The Stability of Export-led Growth Hypothesis: Evidence from Asia's Four Little Dragons
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2011 On the relationship of persistence and number of breaks in volatility: new evidence for three CEE countries
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2011 The effects of Minsky moment and stock prices on the US Taylor Rule
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2011 Shadow banking and the dynamics of aggregate leverage: An application of the Kalman filter to cyclical leverage measures
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2011 Convergence In The Canadian Provinces: Evidence Using Unemployment Rates
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2011 Understanding The Functional Central Limit Theorems With Some Applications To Unit Root Testing With Structural Change
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2011 Trend Inflation, Wage Indexation, and Determinacy in the U.S
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2011 Conditional jumps in volatility and their economic determinants
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2011 Modeling and forecasting realized range volatility
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2011 An Open-model Forecast-error Taxonomy
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2011 Unpredictability in Economic Analyis, Econometric Modelling and Forecasting
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2011 Mathematical Models and Economic Forecasting: Some Uses and Mis-Uses of Mathematics in Economics
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2011 Model Selection in Equations with Many 'Small' Effects
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2011 A Tale of 3 Cities: Model Selection in Over-, Exact, and Under-specified Equations
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2011 How Important is Wealth for Explaining Household Consumption Over the Recent Crisis?: An Empirical Study for the United States, Japan and the Euro Area
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2011 Time-varying returns, intertemporal substitution and cyclical variation in consumption
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2011 Tracking India Growth in Real Time
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2011 Modelling Volatility by Variance Decomposition
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2011 Fractional integration and the volatility of UK interest rates
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2011 The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency
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2011 Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties
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2011 What is the Chance that the Equity Premium Varies over Time? Evidence from Predictive Regressions
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2011 What does Monetary Policy do to Long-Term Interest Rates at the Zero Lower Bound?
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2011 Forecasts in a Slightly Misspecified Finite Order VAR
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2011 Competitiveness channel in Poland and Slovakia: a pre-EMU DSGE analysis
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2011 Forecasting the Polish zloty with non-linear models
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2011 Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices
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2011 Forecasting Under Strucural Break Uncertainty
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2011 Window Length Selection and Signal-Noise Separation and Reconstruction in Singular Spectrum Analysis
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2011 Moment Tests for Window Length Selection in Singular Spectrum Analysis of Short- and Long-Memory Processes
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2011 Estimation in threshold autoregressive models with a stationary and a unit root regime
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2011 A New Test in Parametric Linear Models against Nonparametric Autoregressive Errors
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2011 Local Linear Fitting Under Near Epoch Dependence: Uniform consistency with Convergence Rates
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2011 Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series
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2011 Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models
by Jason Ng & Catherine S. Forbes & Gael M. Martin & Brendan P.M. McCabe
2011 A test for a new modelling : The Univariate MT-STAR Model
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2011 Une analyse temps-fréquences des cycles financiers
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2011 A Simple Panel-CADF Test for Unit Roots
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2011 International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?
by Zeynel Abidin Ozdemir & Mehmet Balcilar & Aysit Tansel
2011 An Analysis of Political and Institutional Power Dispersion: The Case of Turkey
by Ibrahim Tutar & Aysit Tansel
2011 Energy Consumption and Economic Growth:Parametric and Non-Parametric Causality Testing for the Case of Greece
by Theologos Dergiades & Georgios Martinopoulos & Lefteris Tsoulfidis
2011 US Inflation and inflation uncertainty in a historical perspective: The impact of recessions
by Don Bredin & Stilianos Fountas
2011 Classical Competition and Regulating Capital: Theory and Empirical Evidence
by Lefteris Tsoulfidis & Persefoni Tsaliki
2011 Does the Stock Market Value the Inclusion in a Sustainability Stock Index? An Event Study Analysis for German Firms
by Ulrich Oberndorfer & Marcus Wagner & Andreas Ziegler
2011 Marginal Likelihood for Markov-Switching and Change-Point GARCH Models
by Luc Bauwens & Arnaud Dufays & Jeroen V.K. Rombouts
2011 A Comparison of Forecasting Procedures for Macroeconomic Series: the Contribution of Structural Break Models
by Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen V.K. Rombouts
2011 Food, Energy and Environment : is Bioenergy the missing link?
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2011 Fractional integration and the volatility of UK interest rates
by Simeon Coleman & Kavita Sirichand
2011 Generalized Cointegration: A New Concept with an Application to Health Expenditure and Health Outcomes
by Stephen Hall & P. A. V. B. Swamy & George S. Tavlas
2011 The Debate about the Revived Bretton-Woods Regime: A Survey and Extension of the Literature
by Stephen Hall & George S. Tavlas
2011 Estimating Liquidity Risk Using The Exposure-Based Cash-Flow-at-Risk Approach: An Application To the UK Banking Sector
by Meilan Yan & Maximilian J. B. Hall & Paul Turner
2011 The Rise and Fall of S&P500 Variance Futures
by Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral
2011 Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures
by Michael McAleer & Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral
2011 Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan
by Michael McAleer & Chia-Lin Chang & Christine Lim
2011 GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies
by Michael McAleer & Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral
2011 Analyzing Fixed-event Forecast Revisions
by Michael McAleer & Philip Hans Franses & Chia-Lin Chang
2011 Evaluating Individual and Mean Non-Replicable Forecasts
by Chia-Lin Chang & Philip Hans Franses & Michael McAleer
2011 Risk Spillovers in Oil-Related CDS, Stock and Credit Markets
by Shawkat Hammoudeh & Tengdong Liu & Chia-Lin Chang & Michael McAleer
2011 Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments
by Philip Hans Franses & Michael McAleer & Rianne Legerstee
2011 Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
by Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral
2011 Are Forecast Updates Progressive?
by Chia-Lin Chang & Philip Hans Franses & Michael McAleer
2011 Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures
by Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral
2011 Modelling and Forecasting Noisy Realized Volatility
by Manabu Asai & Michael McAleer & Marcelo C. Medeiros
2011 International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord
by Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral
2011 Dating Business Cycles in a Historical Perspective: Evidence for Switzerland
by Boriss Siliverstovs
2011 International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?
by Aysit Tansel & Zeynel Abidin Ozdemir & Mehmet Balcilar
2011 Further Evidence on Defence Spending and Economic Growth in NATO Countries
by Alper Ozun & Erman Erbaykal
2011 An Analysis of Political and Institutional Power Dispersion: The Case of Turkey
by Ibrahim Tutar & Aysit Tansel
2011 Cyclical Dynamics of Industrial Production and Employment: Markov Chain-based Estimates and Tests
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2011 International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?
by Ozdemir, Zeynel Abidin & Balcilar, Mehmet & Tansel, Aysit
2011 International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?
by Ozdemir, Zeynel Abidin & Balcilar, Mehmet & Tansel, Aysit
2011 Dynamic Evaluation of Job Search Assistance
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2011 Dynamic Evaluation of Job Search Assistance
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2011 The euro effect on trade: evidence in gravity equations using panel cointegration techniques
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2011 Second-order moments of frequency asymmetric cycles
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2011 Income Asymmetries and the Permanent Income Hypothesis
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2011 Near Real-Time Disturbance Detection in Terrestrial Ecosystems Using Satellite Image Time Series: Drought Detection in Somalia
by Jan Verbesselt & Achim Zeileis & Martin Herold
2011 Structural Breaks in Inflation Dynamics within the European Monetary Union
by Thomas Windberger & Achim Zeileis
2011 Pricing Nikkei 225 Options Using Realized Volatility
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2011 Endogenous Rational Bubbles
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2011 On the Evolutionary Stability of Rational Expectations
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2011 On the Usefulness of the Diebold-Mariano Test in the Selection of Prediction Models
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2011 Some Computational Aspects of Gaussian CARMA Modelling
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2011 Nonparametric Rank Tests for Non-stationary Panels
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2011 A Simple Panel-CADF Test for Unit Roots
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2011 Does the Introduction of IFRS Change the Timeliness of Loss Recognition? Evidence from German Firms
by Sebastian Brauer & Carl-Friedrich Leuschner & Frank Westermann
2011 Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics
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2011 Pricing Chinese rain: a multi-site multi-period equilibrium pricing model for rainfall derivatives
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2011 Estimation of the characteristics of a Lévy process observed at arbitrary frequency
by Johanna Kappus & Markus Reiß
2011 Extreme value models in a conditional duration intensity framework
by Rodrigo Herrera & Bernhard Schipp
2011 Market Variance Risk Premiums in Japan as Predictor Variables and Indicators of Risk Aversion
by Masato Ubukata & Toshiaki Watanabe
2011 A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise
by Daisuke Nagakura & Toshiaki Watanabe
2011 Estimation and Inference in Predictive Regressions
by Eiji Kurozumi & Kohei Aono
2011 Inflation Targeting and Inflation Persistence in Asia-Pacific
by Stefan Gerlach & Peter Tillmann
2011 Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles
by Shu-Ping Shi & Peter C. B. Phillips & Jun Yu
2011 Foreign aid, foreign direct investment and economic growth of Lao PDR
by Vatthanamixay Chansomphou & Masaru Ichihashi
2011 Back on the Map - Essays on Financial Markets in the Baltic States
by Soultanaeva, Albina
2011 Interpreting the evidence for New Keynesian models of inflation dynamics
by Nymoen, Ragnar & Rygh Swensen, Anders & Tveter, Eivind
2011 The components of the illiquidity premium: An empirical analysis of U.S. stocks 1927-2010
by Hagströmer, Björn & Nilsson, Birger & Hansson, Björn
2011 What Happens When it's Windy in Denmark? An Empirical Analysis of Wind Power on Price Variability in the Nordic Electricity Market
by Mauritzen, Johannes
2011 A demand model for domestic air travel in Sweden
by Kopsch, Fredrik
2011 Inflation Inequality in Europe
by Roberta Colavecchio & Ulrich Fritsche & Michael Graff
2011 Monitoring a change in persistence of a long range dependent time series
by Heinen, Florian & Willert, Juliane
2011 Two competitive models and their identification problem: The ESTAR and TSTAR model
by Heinen, Florian & Michael, Stefanie & Sibbertsen, Philipp
2011 A note on testing for purchasing power parity
by Heinen, Florian
2011 The dynamics of real exchange rates - A reconsideration
by Heinen, Florian & Kaufmann, Hendrik & Sibbertsen, Philipp
2011 Drifting together of falling apart? The empirics of regional economic growth in post-unification Germany
by Michael Funke & Roberta Colavecchio & Declan Curran
2011 On the Choice of the Unit Period in Time Series Models
by Peter Fuleky
2011 Indirect Inference Based on the Score
by Peter Fuleky & Eric Zivot
2011 On the Choice of the Unit Period in Time Series Models
by Peter Fuleky
2011 Price and income elasticity of Australian retail finance: An autoregressive distributed lag (ARDL) approach
by Helen Higgs & Andrew C. Worthington
2011 Macro drivers of Australian housing affordability, 1985–2010: An autoregressive distributed lag approach
by Andrew C. Worthington & Helen Higgs
2011 Are Real Estate Markets Integrated with the World Market?
by Abdulnasser Hatemi-J & Eduardo Roca
2011 Are Euro exchange rates markets efficient? New evidence from a large panel
by Adrian Wai-Kong Cheung & Jen-Je Su & Astrophel Kim Choo
2011 Bilateral Exports from Euro Zone Countries to the US - Does Exchange Rate Variability Play a Role?
by Florian Verheyen
2011 A nonlinear panel unit root test under cross section dependence
by Mario Cerrato & Christian de Peretti & Rolf Larsson & Nicholas Sarantis
2011 Assessment of Demand for Cash in Conditions of the Development of Electronic Payments
by Elena Sinelnikova,
2011 World experience of researches of demand for money and its application for Russia
by Elena Sinelnikova,
2011 Multiplicative Error Models
by Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo
2011 On the Economic Determinants of Oil Production. Theoretical Analysis and Empirical Evidence for Small Exporting Countries
by Alessandro Cologni & Matteo Manera
2011 The Extreme Value Theory as a Tool to Measure Market Risk
by Krenar Avdulaj
2011 Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data
by Jozef Barunik & Lukas Vacha & Ladislav Krištoufek
2011 Final energy demand in Portugal: How persistent it is and why it matters for environmental policy
by Alfredo Marvão Pereira & José Manuel Belbute
2011 Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series?
by Tommaso Proietti & Helmut Luetkepohl
2011 Markov-Switching MIDAS Models
by Pierre Guerin & Massimiliano Marcellino
2011 The possible shapes of recoveries in Markov-Switching models
by Bec Frederique & Othman Bouabdallah & Laurent Ferrara
2011 Doubly fractional models for dynamic heteroskedastic cycles
by Arteche González, Jesús María & Artiach Escauriaza, Miguel Manuel
2011 Time-Varying Returns, Intertemporal Substitution and Cyclical Variation in Consumption
by Emmanuel De Veirman & Ashley Dunstan
2011 Improving forecasting performance by window and model averaging
by Prasad S Bhattacharya & Dimitrios D Thomakos
2011 Land Use Change Impacts of Biofuels: Near-VAR Evidence from the US
by Giuseppe Piroli & Pavel Ciaian & d'Artis Kancs
2011 The overall seasonal integration tests under non-stationary alternatives: A methodological note
by Ghassen El Montasser
2011 Eco-efficiency and convergence in OECD countries
by Mariam Camarero & Juana Castillo & Andrés J. Picazo-Tadeo & Cecilio Tamarit
2011 Re-examining Emissions. Is Assessing Convergence Meaningless?
by Mariam Camarero & Yurena Mendoza & Javier Ordoñez
2011 Trans-Pacific Economic Relations and US-China Business Cycles : Convergence within Asia versus US Economic Leadership
by Andrew Hughes Hallett & Christian Richter
2011 Trans-Pacific Economic Relations and US-China Business Cycles : Convergence within Asia versus US Economic Leadership
by Andrew Hughes Hallett & Christian Richter
2011 A Multiple Break Panel Approach To Estimating United States Phillips Curves
by Bill Russell & Anindya Banerjee & Issam Malki & Natalia Ponomareva
2011 Advances in Forecasting Under Instability
by Barbara Rossi
2011 Forecast Optimality Tests in the Presence of Instabilities
by Barbara Rossi & Tatevik Sekhposyan
2011 Can Oil Prices Forecast Exchange Rates?
by Domenico Ferraro & Ken Rogoff & Barbara Rossi
2011 Out-of-Sample Forecast Tests Robust to Window Size Choice
by Barbara Rossi & Atsushi Inoue
2011 Does OPEC still exist as a cartel? An empirical investigation
by Vincent Brémond & Emmanuel Hache & Valérie Mignon
2011 On price convergence in Eurozone
by David Guerreiro & Valérie Mignon
2011 A new monthly chronology of the US industrial cycles in the prewar economy
by Amélie Charles & Olivier Darné & Claude Diebolt & Laurent Ferrara
2011 Free lunch in the oil market: a note on Long Memory
by Sylvain Prado
2011 Optimal Forecasts in the Presence of Structural Breaks
by M Hashem Pesaran & Andreas Pick & Mikhail Pranovich
2011 Statistical evidence on the mean reversion of interest rates
by Jan Willem van den End
2011 Improving forecasting performance by window and model averaging
by Prasad S Bhattacharya & Dimitrios D Thomakos
2011 Has the structural break slowed down growth rates of stock markets?
by Paresh Kumar Narayan & Seema Narayan
2011 The inflation-output nexus:empirical evidence from India, Brazil and South Africa
by Paresh Kumar Narayan & Seema Narayan
2011 Persistence and Cyclical Dependence in the Monthly Euribor Rate
by Guglielmo Maria Caporale & Luis A. Gil-Alana
2011 Stationarity Changes in Long-Run Fossil Resource Prices: Evidence from Persistence Break Testing
by Aleksandar Zaklan & Jan Abrell & Anne Neumann
2011 Money and Inflation in the Euro Area during the Financial Crisis
by Christian Dreger & Jürgen Wolters
2011 Fractional Integration and Cointegration in US Financial Time Series Data
by Guglielmo Maria Caporale & Luis A. Gil-Alana
2011 The Euro Changeover and Price Adjustments in Italy
by Guglielmo Maria Caporale & Alessandro Girardi & Marco Ventura
2011 Premières preuves empiriques de chaos dans les ventes de biens à la mode - First empirical evidence of chaos in the sales of fashion goods
by Adrien Bonache & Karen Moris
2011 Long Memory Dynamics for Multivariate Dependence under Heavy Tails
by Pawel Janus & Siem Jan Koopman & Andr� Lucas
2011 The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures
by Siem Jan Koopman & Marcel Scharth
2011 Forecasting Volatility with Copula-Based Time Series Models
by Oleg Sokolinskiy & Dick van Dijk
2011 Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails
by Xin Zhang & Drew Creal & Siem Jan Koopman & Andre Lucas
2011 Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models
by Siem Jan Koopman & Andre Lucas & Marcel Scharth
2011 An Alternative Bayesian Approach to Structural Breaks in Time Series Models
by Sjoerd van den Hauwe & Richard Paap & Dick J.C. van Dijk
2011 A Class of Adaptive EM-based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive Simulation
by Lennart Hoogerheide & Anne Opschoor & Herman K. van Dijk
2011 GMM Estimation of Fixed Effects Dynamic Panel Data Models with Spatial Lag and Spatial Errors
by Cizek, P. & Jacobs, J.P.A.M. & Ligthart, J.E. & Vrijburg, H.
2011 A Class of Simple Distribution-free Rank-based Unit Root Tests (Revision of DP 2010-72)
by Hallin, M. & Akker, R. van den & Werker, B.J.M.
2011 Income Inequality and Savings: A Reassessment of the Relationship in Cointegrated Panels
by Tuomas Malinen
2011 On the Cyclicality of Real Wages and Wage Differentials
by Christopher Otrok & Panayiotis M. Pourpourides
2011 Final energy demand in Portugal: How persistent it is and why it matters for environmental policy
by Alfredo Marvão Pereira & José Manuel Belbute
2011 Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests
by Donald W.K. Andrews & Xu Cheng & Patrik Guggenberger
2011 A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter
by Donald W.K. Andrews & Patrik Guggenberger
2011 A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter
by Donald W.K. Andrews & Patrik Guggenberger
2011 First Difference MLE and Dynamic Panel Estimation
by Chirok Han & Peter C.B. Phillips
2011 Specification Testing for Nonlinear Cointegrating Regression
by Qiying Wang & Peter C.B. Phillips
2011 Inconsistent VAR Regression with Common Explosive Roots
by Peter C.B. Phillips & Tassos Magdalinos
2011 Risk premium, variance premium and the maturity structure of uncertainty
by Bruno Feunou & Jean-Sébastien & Abderrahim Taamouti & Roméo Tédongap
2011 Summability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes
by Vanessa Berenguer Rico & Jesus Gonzalo
2011 Estimating Continuous-Time Income Models
by Christian Schluter & Mark Trede
2011 On the Distribution of Exchange Rate Regime Treatment Effects on International Trade
by Dorn, Sabrina & Egger, Peter
2011 Can Oil Prices Forecast Exchange Rates?
by Ferraro, Domenico & Rogoff, Kenneth & Rossi, Barbara
2011 Out-of-Sample Forecast Tests Robust to the Choice of Window Size
by Inoue, Atsushi & Rossi, Barbara
2011 On the High-Frequency Dynamics of Hedge Fund Risk Exposures
by Patton, Andrew J & Ramadorai, Tarun
2011 Markov-switching MIDAS models
by Guérin, Pierre & Marcellino, Massimiliano
2011 Forecast Rationality Tests Based on Multi-Horizon Bounds
by Patton, Andrew J & Timmermann, Allan G
2011 Estimating and forecasting structural breaks in financial time series
by BAUWENS, Luc & DUFAYS, Arnaud & DE BACKER, Bruno
2011 Locally stationary volatility modelling
by VAN BELLEGEM, Sébastien
2011 Hierarchical shrinkage priors for dynamic regressions with many predictors
by KOROBILIS, Dimitris
2011 Marginal likelihood for Markov-switching and change-point GARCH models
by BAUWENS, Luc & DUFAYS, Arnaud & ROMBOUTS, Jeroen V.K.
2011 Nonparametric Beta kernel estimator for long memory time series
by BOUEZMARNI, Taoufik & VAN BELLEGEM, Sébastien
2011 A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models
by BAUWENS, Luc & KOOP, Gary & KOROBILIS, Dimitris & ROMBOUTS, Jeroen V. K.
2011 Classification of Volatility in Presence of Changes in Model Parameters
by E. Otranto
2011 Marginal Likelihood for Markov-Switching and Change-Point Garch Models
by Luc Bauwens & Arnaud Dufays & Jeroen Rombouts
2011 An Identification-Robust Test for Time-Varying Parameters in the Dynamics of Energy Prices
by Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf & Maral Kichian
2011 A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models
by Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen Rombouts
2011 Carbon Price Drivers: Phase I Versus Phase II Equilibrium?
by Anna Creti & Pierre-André Jouvet & Valérie Mignon
2011 Final energy demand in Portugal: How persistent it is and why it matters for environmental policy
by Alfredo Marvão Pereira & José Manuel Belbute
2011 Is the Euro-Area Core Price Index Really More Persistent than the Food and Energy Price Indexes?
by José Manuel Belbute
2011 How Informative are the Subjective Density Forecasts of Macroeconomists?
by Geoff Kenny & Thomas Kostka & Federico Masera
2011 Persistence and Cyclical Dependence in the Monthly Euribor Rate
by Guglielmo Maria Caporale & Luis A. Gil-Alana
2011 A Characterization of Oil Price Behavior - Evidence from Jump Models
by Marc Gronwald
2011 Construction of Composite Business Cycle Indicators in a Sparse Data Environment
by Klaus Abberger & Wolfgang Nierhaus
2011 Fractional Integration and Cointegration in US Financial Time Series Data
by Guglielmo Maria Caporale & Luis A. Gil-Alana
2011 The Euro Changeover and Price Adjustments in Italy
by Guglielmo Maria Caporale & Alessandro Girardi & Marco Ventura
2011 Estimating the Volatility of Electricity Prices: The Case of the England and Wales Wholesale Electricity Market
by Sherzod N. Tashpulatov
2011 Tracking Unemployment in Wales through Recession and into Recovery
by Michael Artis & Marianne Sensier
2011 Investigating Agglomeration Economies in a Panel of European Cities and Regions
by Michael Artis & Declan Curran & Marianne Sensier
2011 Autoregressions in Small Samples, Priors about Observables and Initial Conditions
by Marek Jarocinski & Albert Marcet
2011 An overview of CO2 cost pass-through to electricity prices in Europe
by Boris Solier & Pierre-André Jouvet
2011 Carbon Price Drivers: Phase I versus Phase II Equilibrium?
by Anna Creti & Pierre-André Jouvet & Valérie Mignon
2011 Are grain markets in Niger driven by speculation?
by Catherine ARAUJO BONJEAN & Catherine SIMONET
2011 The Rise and Fall of S&P500 Variance Futures
by Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral
2011 GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies
by Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral
2011 Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures
by Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral
2011 Analyzing Fixed-event Forecast Revisions
by Philip Hans Franses & Chia-Lin Chang & Michael McAleer
2011 Risk Spillovers in Oil-Related CDS, Stock and Credit Markets
by Shawkat Hammoudeh & Tengdong Liu & Chia-Lin Chang & Michael McAleer
2011 Evaluating Individual and Mean Non-Replicable Forecasts
by Chia-Lin Chang & Philip Hans Franses & Michael McAleer
2011 Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures
by Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral
2011 International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord
by Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral
2011 The Impact of Macroeconomic News on Bond Yields: (In)Stabilities over Time and Relative Importance
by Liebermann, Joelle
2011 Optimal Forecasts in the Presence of Structural Breaks (Updated 14 November 2011)
by Pesaran, M.H. & Pick, A. & Pranovich, M.
2011 Market Integration, Efficiency, and Interconnectors: The Irish Single Electricity Market
by Nepal, R. & Jamasb, T.
2011 Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns
by Pierre Perron & Rasmus T. Varneskov
2011 Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions
by Pierre Perron & Yohei Yamamoto
2011 Making a Weak Instrument Set Stronger: Factor-Based Estimation of the Taylor Rule
by Harun Mirza & Lidia Storjohann
2011 The role of product variety and quality and of domestic supply in foreign trade
by Panayiotis P. Athanasoglou
2011 The fatal flaw: the revived Bretton-woods system, liquidity creation, and commodity-price bubbles
by Harris Dellas & George S. Tavlas
2011 Are EME indicators of vulnerability to financial crises decoupling from global factors?
by Felices, Guillermo & Wieladek, Tomasz
2011 Oil and US GDP: A Real-Time out-of Sample Examination
by Francesco Ravazzolo & Philip Rothman
2011 Forecasting the intraday market price of money
by Andrea Monticini & Francesco Ravazzolo
2011 Cointegration in Panel Data with Breaks and Cross-section Dependence
by Anindya Banerjee & Josep Lluis Carrion-i-Silvestre
2011 Testing for Panel Cointegration Using Common Correlated Effects
by Anindya Banerjee & Josep Lluis Carrion-i-Silvestre
2011 Interpreting the Hours-Technology time-varying relationship
by Cantore, C. & Ferroni, F. & León-Ledesma, M A.
2011 The impact of unconventional monetary policy on the market for collateral: The case of the French bond market
by Avouyi-Dovi, S. & Idier, J.
2011 Median-Unbiased Estimation in DF-GLS Regressions and the PPP Puzzle
by Lopez, C. & Murray, C J. & Papell, D H.
2011 Unit Roots, Level Shifts and Trend Breaks in Per Capita Output: A Robust Evaluation
by Kejriwal , M. & Lopez, C.
2011 The possible shapes of recoveries in Markov-switching models
by Bec, F. & Bouabdallah, O. & Ferrara, L.
2011 Stationarity, structural breaks, and economic growth in Mexico: 1895-2008
by Antonio E. Noriega & Cid Alonso Rodríguez-Pérez
2011 Time-series Modelling, Stationarity and Bayesian Nonparametric Methods
by Juan Carlos Martínez-Ovando & Stephen G. Walker
2011 A Simple Test for Spurious Regressions
by Antonio E. Noriega & Daniel Ventosa-Santaulària
2011 Convergence clubs, the euro-area rank and the relationship between banking and real convergence
by Massimiliano Affinito
2011 Bootstrap LR tests of stationarity, common trends and cointegration
by Fabio Busetti & Silvestro di Sanzo
2011 Sectoral money demand and the great disinflation in the US
by Alessandro Calza & Andrea Zaghini
2011 Macroeconomic determinants of bad loans: evidence from Italian banks
by Marcello Bofondi & Tiziano Ropele
2011 Applying and interpreting model-based seasonal adjustment. The euro-area industrial production series
by Agustín Maravall Herrero & Domingo Pérez Cañete
2011 Public Pension Systems and the Fiscal Crisis in the Euro Zone. Lessons for Latin America
by Javier Alonso & Rafael Domenech & David Tuesta
2011 Sistemas Publicos de Pensiones y la crisis fiscal en la zona euro. Ensenanzas para America Latina
by Javier Alonso & Rafael Domenech & David Tuesta
2011 The Euro-Sting revisited: PMI versus ESI to obtain euro area GDP forecasts
by Maximo Camacho & Agustin Garcia-Serrador
2011 The Growth Effects of Education in Australia
by Antonio Paradiso & Saten Kumar & B. Bhaskara Rao
2011 Money demand stability: A case study of Nigeria
by Saten Kumar & Don J. Webber & Scott Fargher
2011 Not Only Subterranean Forests: Wood Consumption And Economic Development In Britain (1850-1938)
by Iñaki Iriarte-Goñi & María Isabel Ayuda
2011 What we can learn from pricing 139,879 Individual Stock Options
by Lars Stentoft
2011 Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability
by Tim Bollerslev & Daniela Osterrieder & Natalia Sizova & George Tauchen
2011 Marginal Likelihood for Markov-switching and Change-point Garch Models
by Luc Luc & Arnaud Dufays & Jeroen V.K. Rombouts
2011 Financial Risk Measurement for Financial Risk Management
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold
2011 American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison
by Lars Stentoft
2011 Econometric Analysis and Prediction of Recurrent Events
by Adrian Pagan & Don Harding
2011 Conservatism in Corporate Valuation
by Christian Bach
2011 Wavelet Based Outlier Correction for Power Controlled Turning Point Detection in Surveillance Systems
by Yushu Li
2011 Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009
by Anders Bredahl Kock & Timo Teräsvirta
2011 Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques
by Anders Bredahl Kock & Timo Teräsvirta
2011 Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns
by Rasmus Tangsgaard Varneskov & Pierre Perron
2011 A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation
by Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg
2011 Characterizing economic trends by Bayesian stochastic model specification search
by Stefano Grassi & Tommaso Proietti
2011 A Simple Test for Spurious Regressions
by Antonio E. Noriega & Daniel Ventosa-Santaularia
2011 When Long Memory Meets the Kalman Filter: A Comparative Study
by Stefano Grassi & Paolo Santucci de Magistris
2011 Nonparametric Detection and Estimation of Structural Change
by Dennis Kristensen
2011 Estimation of long memory in integrated variance
by Eduardo Rossi & Paolo Santucci de Magistris
2011 Bayesian stochastic model specification search for seasonal and calendar effects
by Stefano Grassi & Tommaso Proietti
2011 Prediction-based estimating functions: review and new developments
by Michael Sørensen
2011 Nonlinear models for autoregressive conditional heteroskedasticity
by Timo Teräsvirta
2011 Modelling Volatility by Variance Decomposition
by Cristina Amado & Timo Teräsvirta
2011 An EViews Program to Run a Monte Carlo Experiment: The Dickey-Fuller Distribution
by Guerrero de Lizardi, Carlos
2011 A Semigroups Approach to the Study of a Second Order Partial Diferential Equation Applied in Economics
by Ioana VIASU & Constantin CHILARESCU
2011 Linguistic Globalization Consequence Of Economic Globalization
by Camelia FIRICÄ‚ & Jean FIRICÄ‚
2011 On Reserve Hoarding In Emes: The Case Of Turkey
by Ä°mre ERSOY
2011 Modeling & Forecasting Of Macro-Economic Variables Of India: Before, During & After Recession
by Pankaj SINHA & Sushant GUPTA & Nakul RANDEV
2011 Volatility Shifts and Persistence in Variance: Evidence from the Sector Indices of Istanbul Stock Exchange
by Efe Çağlar Çağli & Pinar Evrim Mandaci & Pinar Hakan Kahyaoğlu
2011 Budget Deficit and Macroeconomics Fundamentals: The case of Azerbaijan
by Kahnim Farajova
2011 Impact of FDI on Economic Development: A Causality Analysis for Singapore, 1976 – 2002
by Mete Feridun & Yaya Sissoko
2011 Turkiye'nin Finansal Piyasa Likiditesi, Olcumu ve Analizi
by Burcu Deniz Yildirim
2011 The Real-Time Predictive Content of the KOF Economic Barometer
by Boriss Siliverstovs
2011 Modeling Stock Market Indexes With Copula Functions
by Jacek Leskow & Justyna Mokrzycka & Krzysztof Krawiec
2011 Hysteresis in Unemployment for G-7 Countries: Threshold Unit Root Test
by Chang, Tsangyao & Lee, Chia-Hao
2011 Scenarios of the Romanian GDP Evolution With Neural Models
by Saman, Corina
2011 Long-Run Purchasing Power Parity with Asymmetric Adjustment: Evidence from Mainland China and Taiwan
by Yang-Cheng Lu & Chang, Tsangyao & Chin-Ping Yu
2011 Modeling and Forecasting the Dynamics in Romanian Stock Market Indices Using Threshold Models
by Acatrinei, Marius Cristian & Caraiani, Petre
2011 Revisiting Purchasing Power Parity for Nine Transition Countries Using the Rank Test for Nonlinear Cointegration
by Chang, Tsangyao & Chiu, Chi Chen & Tzeng, Han Wen
2011 A Non-Linear Model of Causality Between the Stock and Real Estate Markets of European Countries
by Su, Chi Wei & Chang, Hsu Ling & Zhu, Meng Nan
2011 Dynamic Capabilities and Competitive Advantage into Mexican Firms: Testing Gibrat’s Law
by Gómez Aguirre, Mario
2011 Determination of Factors Affecting the Price of Gold: A Study of MGARCH Model
by Toraman, Cengiz & Basarir, Cagatay & Bayramoglu, Mehmet Fatih
2011 Determination of the nature of growth of the main trends of time series in small quantity of observations
by Poutko, Boris
2011 The Random Walk Hypothesis and Correlation in the Visegrad Countries Emerging Stock Markets
by Chaido Dritsaki
2011 Trade Openness and Real Exchange Rate: Some Evidence from Pakistan
by Muhammad Zakaria & Ahmed Bilal Ghauri
2011 El canal del crédito bancario en el Perú: Evidencia y mecanismo de transmisión
by Carrera, César
2011 Presiones cambiarias en el Perú: Un enfoque no lineal
by Morales Vásquez, Daniel
2011 Indicadores tendenciales de inflación y su relevancia como variables indicativas de política monetaria
by Armas, Adrián & Vallejos , Lucy & Vega, Marco
2011 Efectos de las exportaciones en el crecimiento economico de Mexico: Un analisis de cointegracion, 1929-2009
by Domingo Rodriguez Benavides & Francisco Venegas-Martinez & Instituto Politecnico Nacional
2011 Modeling multivariate parametric densities of financial returns (in Russian)
by Alexey Balaev
2011 Bayesian Analysis of a Regime Switching In-Mean Effect for the Polish Stock Market
by Łukasz Kwiatkowski
2011 Potential Product, Output Gap and Uncertainty Rate Associated with Their Determination while Using the Hodrick-Prescott Filter
by Miroslav Plašil
2011 Selected Methods of the Prediction of PX Index Trend Reversal
by Jiří Trešl
2011 Models of Factors Driving the Czech Export
by David Havrlant & Roman Hušek
2011 Impact of Public Debt on the Economic Growth of Pakistan
by Naeem Akram
2011 Dynamic Relationship Between Energy and Economic Growth: Evidence from D8 Countries
by Sarwat Razzaqi & Faiz Bilquees & Saadia Sherbaz
2011 A Novel Pseudo-random Bit Generator Based on a New Couple of Chaotic Systems
by Dascalescu Ana Cristina & Boriga Radu
2011 A Novel Pseudo-random Bit Generator Based on Some Transcendental Chaotic Systems
by Boriga Radu & Dascalescu Ana Cristina
2011 Highlighting the Response of Real Economy to the Changes of Fiscal Policy Variables. The Romanian Case
by Lobonþ Oana-Ramona
2011 The Relationship Between Macroeconomic Variables And Romanian Corporate Default Rates Between 2002-2008
by Kovacs Ildiko & Karsai Zoltan-Krisztian & Suveg Orsolya & Joita Nicoleta
2011 Testando o "Cash-Flow-at-Risk" em empresas têxteis [Testing the cash flow at risk in textile companies]
by Fernanda Finotti Cordeiro Perobelli & Flávia Vital Januzzi & Leandro Josias Sathler Berbert & Danilo Soares Pacheco de Medeiros & Luiz Guilherme da Silva Probst
2011 Nonlinear Dynamics of the Russian Stock Market in Problems of Risk Management
by Borusyak, K.
2011 Why so different from other CEECs – Poland’s cyclical divergence from the euro area during the recent financial crisis
by Karolina Konopczak & Krzysztof Marczewski
2011 Análisis de las desviaciones presupuestarias aplicado al caso del presupuesto del Estado/The Performance of the Budgetary Target of the Central Government in Spain
by LEAL LINARES, TERESA & PÉREZ GARCÍA, JAVIER J.
2011 Modelling the Volatility of the Spanish Wholesale Electricity Spot Market. Asymmetric GARCH Models vs. Threshold ARSV model/Modelización de la volatilidad en el mercado eléctrico español. Modelos GARCH frente al modelo T-ARSV
by MONTERO, JOSÉ M. & GARCÍA-CENTENO, MARIA C. & FERNÁNDEZ-AVILÉS, GEMA
2011 Changes in Import Pricing Behaviour: Evidence for Germany
by Kerstin Stahn
2011 A Factor Model for Euro-area Short-term Inflation Analysis
by Michele Lenza & Thomas Warmedinger
2011 Agricultural Policy Reforms And Spatial Integration Of Food Grain Markets In India
by Madhusudan Ghosh
2011 Revenue Elasticity of the Main federal Taxes in Mexico
by Felipe J. Fonseca & Daniel Ventosa-Santaulària
2011 Flattening of the Phillips Curve: Estimations and consequences for economic policy
by Jürgen Kromphardt & Camille Logeay
2011 The Importance of Real and Nominal Shocks on the UK Housing Market
by Seema Narayan & Paresh Kumar Narayan
2011 Is Per Capita Real GDP Stationary? An Empirical Note for 16 Transition Countries
by Tsangyao Chang
2011 Macroeconomic Variables Influencing the European Convergence of the Romanian Agri-Food Sector
by Toderoiu, Filon
2011 Multivariate Granger Causality and the Dynamic Relationship between Health Care Spending, Income and Relative Price of Health Care in Malaysia
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2011 East Asian Regionalism: The Need For Asean+3 Fta
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2011 Innovations in the sphere of payments and the money demand in Russia
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2011 Dynamic Copulas and Long Range Dependence
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2011 Quantitative vs. Qualitative Criteria for Credit Risk Assessment
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2011 Short-Term Forecasting of Czech Quarterly GDP Using Monthly Indicators
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2011 Volatility Regimes in Macroeconomic Time Series: The Case of the Visegrad Group
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2011 The Determinants of Financial Euroization in a Post-Transition Country: Do Threshold Effects Matter?
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2011 Impact of Model Specification Decisions on Unit Root Tests
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2011 Paradoja Feldstein-Horioka: el caso de México (1950-2007)
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2011 Una reconsideración sobre la convergencia regional en México
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2011 Saving and investment in Saudi Arabia: an empirical analysis
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2011 Testing for nonlinearity of exchange rates: an information-theoretic approach
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2011 Are shocks to national income persistent? New global evidence
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2011 An exploration of dynamic relationship between tourist arrivals, inflation, unemployment and crime rates in Malaysia
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2011 Retesting the CCAPM Euler equations
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2011 Copula based models for serial dependence
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2011 Growth and environmental pollution: empirical evidence from China
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2011 Turkiye Ekonomisinde Verimlilik, Ihracat ve Ithalat Arasindaki Nedensellik Iliskisinin Analizi
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2011 The overall seasonal integration tests under non-stationary alternatives
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2011 Socio-economic determinants of suicide in Japan
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2011 The impact of US news on the German stock market—An event study analysis
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2011 Stock markets and terrorist attacks: Comparative evidence from a large and a small capitalization market
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2011 India's demand for international reserve and monetary disequilibrium: Reserve adequacy under floating regime
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2011 Modeling unemployment as an inventory: A multicointegration approach
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2011 Regional capital mobility in China: 1978–2006
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2011 Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas
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2011 Volatility and covariation of financial assets: A high-frequency analysis
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2011 Revisiting long-run purchasing power parity with asymmetric adjustment for G-7 countries
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2011 The Korean stock market volatility during the currency crisis and the credit crisis
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2011 Cost pass-through of the EU emissions allowances: Examining the European petroleum markets
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2011 Oil prices and the impact of the financial crisis of 2007–2009
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2011 American option pricing with discrete and continuous time models: An empirical comparison
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2011 Relationship between portfolio diversification and value at risk: Empirical evidence
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2011 Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
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2011 Volatility contagion: A range-based volatility approach
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2011 Inference with dependent data using cluster covariance estimators
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2011 Estimation of conditional moment restrictions without assuming parameter identifiability in the implied unconditional moments
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2011 Control variate method for stationary processes
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2011 Spurious regressions driven by excessive volatility
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2011 What is really common in the run-up to banking crises?
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2011 Crime rates and labor market opportunities in the Philippines: 1970–2008
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2011 How globally contagious was the recent US real estate market crisis? Evidence based on a new contagion test
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2011 Output gap measurement and the New Keynesian Phillips curve for China
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2011 Military expenditure and economic growth across different groups: A dynamic panel Granger-causality approach
by Chang, Hsin-Chen & Huang, Bwo-Nung & Yang, Chin Wei
2011 The effectiveness of the sunshine effect in Taiwan's stock market before and after the 1997 financial crisis
by Lee, Yuan-Ming & Wang, Kuan-Min
2011 Inflation persistence, inflation expectations, and monetary policy in China
by Zhang, Chengsi
2011 Home bias and the persistence of real exchange rates
by Chen, Show-Lin & Wu, Jyh-Lin
2011 The stylised facts of Australia's business cycle
by Tawadros, George B.
2011 The impact of American depositary receipts on the Japanese index: Do industry effect and size effect matter?
by Chen, Mei-ping & Lee, Chien-Chiang & Hsu, Yi-Chung
2011 Business cycles synchronization in East Asian economy: Evidences from time-varying coherence study
by Allegret, Jean-Pierre & Essaadi, Essahbi
2011 Testing the hypothesis of the natural suicide rates: Further evidence from OECD data
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2011 An empirical study on the hysteresis of currency substitution in Cambodia
by Samreth, Sovannroeun
2011 Testing the Weak Form Efficiency of Pakistani Stock Market (2000–2010)
by Abdul Haque & Hung-Chun Liu & Fakhar-Un-Nisa
2011 On The Role Of Sectoral And National Wage Components In The Wage Bargaining Process
by DREGER, Christian & REIMERS, Hans-Eggert
2011 Testing for Stochastic and Beta-convergence in Latin American Countries
by ESCOBARI, Diego
2011 Output, Electricity Consumption And Exports In Nigeria And Ghana: Evidence From Multivariate Causality Test
by L.Oladele ODERINDE & Wakeel.A. ISOLA
2011 Foreign Direct Investment And Its Determinants In The Chilean Case: Single Break Unit Root And Cointegration Analysis
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2011 Verbraucherumfragen für Konsumprognosen besser nutzen
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2011 Macro factors in oil futures returns
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2011 Recent developments on commodity, energy and carbon markets: an introduction
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2011 On the nonlinear causality between inflation and inflation uncertainty in the G3 countries
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2011 Réévaluation des modèles d'estimation précoce de la croissance
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2011 Petit précis de politique budgétaire par tous les temps. Les multiplicateurs budgétaires au cours du cycle
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2011 Panel Cointegration Rank Testing with Cross-Section Dependence
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2011 Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis
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2011 Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions
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2011 Extracting the Cyclical Component in Hours Worked
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2011 International Output Convergence, Breaks, and Asymmetric Adjustment
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2011 Semi-Parametric Forecasting of Realized Volatility
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2011 Filtering Time Series with Penalized Splines
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2011 Contemporaneous-Threshold Smooth Transition GARCH Models
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2011 Time-Varying Returns, Intertemporal Substitution and Cyclical Variation in Consumption
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2011 La apreciación del tipo de cambio y su efecto en la balanza comercial. Caso boliviano (2006 - 2008)
by Boris A. Luna Acevedo
2011 Influence of news from Moscow and New York on returns and risks of Baltic States’ stock markets
by Kurt Brannas & Albina Soultanaeva
2011 The Effects of Currency Futures Trading on Turkish Currency Market
by Arif Oduncu
2011 Using the Flow of High Frequency Information for Short Term Forecasting of Economic Activity in Argentina
by Laura D’Amato & Lorena Garegnani & Emilio Blanco
2011 A Cointegration Analysis on the Principle of Effective Demand in Argentina (1980-2007)
by Florencia Médici
2011 Openness and Democracy: Some Evidence from Pakistan
by Eatzaz Ahmad & Muhammad Zakaria
2011 Foreign Trade Deficit Sustainability of Turkey
by Burak Güris & Burcu Kiran
2011 The Forecasting Performance of Seasonal and Nonlinear Models
by Houda Ben Hadj Boubaker
2011 Insurance Market Activity and Economic Growth: Evidence from Nigeria
by Philip Chimobi Omoke
2011 Exports-Led Growth Hypothesis in Pakistan: Further Evidence
by Muhammad Shahbaz & Pervaz Azim & Khalil Ahmad
2011 The Effect of Global Liquidity on Macroeconomic Parameters
by Goknur Umutlu & Yilmaz Yildız
2011 Oferta e Demanda por Exportações de Automóveis (1992-2006)
by Igor Alexandre Clemente de Morais & Mosar Leandro Ness & Vanessa Batisti
2011 A Persistência das Flutuações no Produto: Uma Análise Secular do Crescimento Econômico Brasileiro
by Cleomar Gomes da Silva & Fábio Augusto Reis Gomes
2011 Assessment Of The Sustainability Of The Turkish Current Account Deficit Between 1992 And 2010 By Using Time Series Analysis
by A. Oznur Umit
2011 Time Series Analyses Of Twin Deficits Hypothesis In Turkey
by Bedriye Tuncsiper & Dilek Surekci
2011 The Impact Of Trade And Financial Openness On Economic Growth In Turkey: A Survey On The 1992-2006 Period
by Burcu Kiran & Burak GŸris
2011 Sectorel Inflation Persistence In Turkey
by Omer Ozcicek
2011 Financial Volatility And Derivatives Products: A Bidirectional Relationship
by Claudiu Tiberiu Albulescu & Daniel Goyeau
2011 Determinants Of Corruption In Romania And Its Impact On Economic Growth
by Daniela Viorică & Dănuţ Jemna & Carmen Pintilescu
2011 Econometric Models Used For Managing The Market Risk In The Romanian Banking System
by Ioan Trenca & Simona Mutu & Nicolae Petria
2011 Exchange -Rate Pass Through to Import Prices: Evidence from Ghana
by John Bosco Dramani & Francis Tandoh
2011 Measuring core inflation in Italy comparing aggregate vs. disaggregate price data
by Giacomo Sbrana & Andrea Silvestrini
2011 Do Kondratieff waves exist? How time series techniques can help to solve the problem
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2011 What can price volatility tell us about market efficiency? Conditional heteroscedasticity in historical commodity price series
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2011 Large shocks in U.S. macroeconomic time series: 1860-1988
by Olivier Darné & Amélie Charles
2011 Merton Model For Assessing The Cost Of Capital, Mathematical Amount But Not Also Economic Amount Of Capm And Apt Models
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2011 The Relationship Between University Research And The Marketability Of Universities
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2011 Impacts of Crisis Events on International Tourism Demand in Thailand (in Thai)
by Akarapong Untong & Vicente Ramos & Javier Rey-Maquieira & Mingsarn Kaosa-ard
2011 An Analysis of Supply Response for Natural Rubber in Cambodia
by Samin Much & Sopin Tongpan & Prapinwadee Sirisupluxana
2011 Futures Basis of RSS3 in the Agricultural Futures Exchange of Thailand
by Tarntip Boonkomrat & Kanokwan Chancharoenchai
2010 Structural Breaks and GARCH Models of Stock Return Volatility: The Case of South Africa
by Ali Babikir & Rangan Gupta & Chance Mwabutwa & Emmanuel Owusu-Sekyere
2010 South African Stock Return Predictability in the Context of Data Mining: The Role of Financial Variables and International Stock Returns
by Rangan Gupta & Mampho P. Modise
2010 Fiscal Regime Changes and the Sustainability of Fiscal Imbalance in South Africa: A Smooth Transition Error-Correction Approach
by Samuel S Jibao & Niek Schoeman & Ruthira Naraidoo
2010 Bubbles in South African House Prices and their Impact on Consumption
by Sonali Das & Rangan Gupta & Patrick T Kanda
2010 An In-Sample and Out-of-Sample Empirical Investigation of the Nonlinearity in House Prices of South Africa
by Mehmet Balcilar & Rangan Gupta & Zahra Shah
2010 The Financial Crisis and Intraday Volatility: Comparative Analysis on China, Japan and the US Stock Markets
by Yusaku Nishimura & Yoshiro Tsutsui & Kenjiro Hirayama
2010 A Class of Simple Distribution-Free Rank-Based Unit Root Tests (Replaced by DP 2011-002)
by Hallin, M. & Akker, R. van den & Werker, B.J.M.
2010 Does Real Exchange Rate Volatility Affect Sectoral Trade Flows?
by Mustafa Caglayan & Jing Di
2010 Income and Price Elasticities of the Italian Exports in Tourism Services - Elasticità rispetto al reddito e ai prezzi relativi delle esportazioni italiane di servizi turistici
by Algieri, Bernardina
2010 Did the Austrian Financial Market Become more Integrated with the German Market after EU Accession? - Il mercato finanziario austriaco si è integrato maggiormente con quello tedesco dopo l’adesione all’Unione europea?
by Hatemi-J, Abdulnasser
2010 Impact of the Economic Crisis on the Countries in Eastern Europe (III) Literature Review, Theory and Empirical Evidence
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2010 Impact of the Economic Crisis on the Countries in Eastern Europe (II)
by Dobra Iulian
2010 Impact of the Economic Crisis on the Countries in Eastern Europe (I - Literature Review, Theory and Empirical Evidence)
by Dobra Iulian
2010 Could Istanbul Stock Exchange be characterized by random walk process?
by Nilgün ÇİL YAVUZ & Burcu KIRAN
2010 A comparative analysis of the ARMA and Neural Network Models: A case of Turkish economy
by Aysu İNSEL & M. Nedim SUALP & Mesut KARAKAŞ
2010 Türkiye için aylık istihdam verilerinin Durum-Uzay Metodu kullanılarak tahmin edilmesi
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2010 Reel döviz kurunun dış ticaret dengesine etkisi: Türkiye için Marshall-Lerner koşulunun testi
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2010 Las expectativas macroeconómicas de los especialistas. Una evaluación de pronósticos de corto plazo en México
by Capistrán, Carlos & López-Moctezuma, Gabriel
2010 Saving-Investment Nexus and International Capital Mobility in India: Revisiting Feldstein-Horioka Hypothesis
by KHUNDRAKPAM, JEEVAN K. & RANJAN, RAJIV
2010 Economic Reforms and Income Convergence/Divergence in Regional India
by JAYANTHAKUMARAN, KANKESU
2010 Short- and Long-Run Tests of the Expectations Hypothesis: The Portuguese Case
by Olga Susana M. Monteiro & Artur C. B. da Silva Lopes
2010 Robust performance hypothesis testing with the variance
by Olivier Ledoit & Michael Wolf
2010 Cost pass-through of the EU emissions allowances: Examining the European petroleum markets
by Alexeeva-Talebi, Victoria
2010 Voluntary giving and economic growth: Time series evidence for the US
by Heinemann, Friedrich
2010 Cost pass-through in strategic oligopoly: Sectoral evidence for the EU ETS
by Alexeeva-Talebi, Victoria
2010 Linkages between international securitized real estate markets: Further evidence from time-varying and stochastic cointegration
by Schindler, Felix & Voronkova, Svitlana
2010 Understanding the competitiveness implications of future phases of EU ETS on the industrial sectors
by Oberndorfer, Ulrich & Alexeeva-Talebi, Victoria & Löschel, Andreas
2010 Modeling and explaining the dynamics of European Union allowance prices at high-frequency
by Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar
2010 Using wavelets for time series forecasting: Does it pay off?
by Schlüter, Stephan & Deuschle, Carola
2010 Real wages and the business cycle in Germany
by Marczak, Martyna & Beissinger, Thomas
2010 Monetary policy implementation and overnight rate persistence
by Nautz, Dieter & Scheithauer, Jan
2010 Ratingmodell zur Quantifizierung des Ausfallrisikos von LBO-Finanzierungen
by Lang, Michael & Cremers, Heinz & Hentze, Rainald
2010 Interdependencies between fossil fuel and renewable energy markets: the German biodiesel market
by Busse, Stefan & Brümmer, Bernard & Ihle, Rico
2010 The size of the underground economy in Germany: A correction of the record and new evidence from the Modified-Cash-Deposit-Ratio approach
by Pickhardt, Michael & Sarda, Jordi
2010 Do macroeconomic factors matter for stock returns? Evidence from estimating a multifactor model on the Croatian market
by Dubravka Benaković & Petra Posedel
2010 A note on some properties of a skew-normal density
by Carlos Martins-Filho & Feng Yao
2010 Nonparametric stochastic frontier estimation via profile
by Carlos Martins-Filho & Feng Yao
2010 Equilibrium Real Effective Exchange Rates and Real Exchange Rate Misalignments: Time Series vs. Panel Estimates
by Oliver Hossfeld
2010 Financial crisis influence on the BUX index of Hungarian stock exchange. Long memory measures: 1991-2008
by Ewa M. Syczewska
2010 Catching-up and inflation in Europe: Balassa-Samuelson, Engel’s Law and other Culprits
by Balazs Egert
2010 The VARying Effect of Foreign Shocks in Central and Eastern Europe
by Rebeca Jimenez-Rodriguez & Amalia Morales-Zumaquero & Balazs Egert
2010 Which Option Pricing Model is the Best? High Frequency Data for Nikkei225 Index Options
by Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk
2010 Midquotes or Transactional Data? The Comparison of Black Model on HF Data
by Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk
2010 Option Pricing Models with HF Data – a Comparative Study. The Properties of Black Model with Different Volatility Measures
by Ryszard Kokoszczyński & Natalia Nehrebecka & Paweł Sakowski & Paweł Strawiński & Robert Ślepaczuk
2010 Money demand stability: A case study of Nigeria
by Saten Kumar & Don J. Webber & Scott Fargher
2010 Financialization, Crisis and Commodity Correlation Dynamics
by Annastiina Silvennoinen & Susan Thorp
2010 Money Illusion and Rational Expectations: New Evidence from Well Known Survey Data
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2010 Accumulazione del capitale e crescita economica tra Italia liberale e regime fascista
by Ricciuti, Roberto
2010 HEGY Tests in the Presence of Moving Averages
by Tomás del Barrio Castro & Denise R. Osborn
2010 Estimación de los Flujos de Transporte de Mercancías Interregionales Trimestrales mediante Técnicas de Interpolación Temporal
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2010 The Great Recession: US dynamics and spillovers to the world economy
by Fabio C. Bagliano & Claudio Morana
2010 The effects of US economic and financial crises on euro area convergence
by Fabio C. Bagliano & Claudio Morana
2010 Foreign Direct Investment and its Determinants in the Chilean Case: Unit Roots, Structural Breaks, and Cointegration Analysis
by Miguel D. Ramirez
2010 Economic and Institutional Determinants of FDI Flows to Latin America: A Panel Study
by Miguel D. Ramirez
2010 Applying shape and phase restrictions in generalized dynamic categorical models of the business cycle
by Don Harding
2010 Components of bull and bear markets: bull corrections and bear rallies
by John M Maheu & Thomas H McCurdy & Yong Song
2010 Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market
by Chun Liu & John M Maheu
2010 Yield-Curve Based Probability Forecasts of U.S. Recessions: Stability and Dynamics
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2010 Understanding Sectoral Growth Cycles and the Impact of Monetary Policy in the Turkish Manufacturing Industry (Turkiye Imalat Sanayinde Sektorel Buyume Cevrimleri ve Para Politikasinin Etkileri)
by Saygin Sahinoz & Evren Erdogan Cosar
2010 Modelling the Time Between Trades in the After-Hours Electronic Equity Futures Market
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2010 Detecting Contagion with Correlation: Volatility and Timing Matter
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2010 From Trade-to-Trade in US Treasuries
by Dungey, Mardi & Henry, Olan & McKenzie, Michael
2010 Do Unit Labor Cost Drive Inflation in the Euro Area?
by Sandra Tatierska
2010 Do Capital Inflows Hinder Competitiveness? The Real Exchange Rate in Ethiopia
by Pedro M. G. Martins
2010 The Cost Channel Reconsidered: A Comment Using an Identification-Robust Approach
by Vasco Gabriel & Luis Martins
2010 Modelling and Forecasting Turkish Residential Electricity Demand
by Zafer Dilaver & Lester C Hunt
2010 Industrial Electricity Demand for Turkey: A Structural Time Series Analysis
by Zafer Dilaver & Lester C Hunt
2010 Modeling U.S. Inflation Dynamics: A Bayesian Nonparametric Approach
by Markus Jochmann
2010 Multivariate stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes: A quasi-likelihood approach
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2010 Trade liberalisation and import price behaviour: the case of textiles and wearing apparels
by Andreas Benedictow & Pål Boug
2010 Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting
by Fulvio Corsi & Davide Pirino & Roberto Reno'
2010 Time Series Analysis of Global Airline Passengers Transportation Industry
by Radoslaw R. Okulski & Almas Heshmati
2010 Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes
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2010 Incidence of Climate on Emerging Economies: Lessons from English's Past
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2010 Aggregate Employment Dynamics and (Partial) Labour Market Reforms
by Rebeca Jiménez-Rodríguez & Giuseppe Russo
2010 Within and Between Panel Cointegration in the German Regional Output-Trade-FDI Nexus
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2010 Is Euro Area Money Demand (Still) Stable? – Cointegrated VAR versus Single Equation Techniques
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2010 What do we know about real exchange rate nonlinearities?
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2010 Indicators Of Real Convergence And Their Application
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2010 Episodic Nonlinearity in Leading Global Currencies
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2010 Should Macroeconomic Forecasters Use Daily Financial Data and How?
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2010 Why a Diversified Portfolio Should Include African Assets
by Paul Alagidede & Theodore Panagiotidis & Xu Zhang
2010 An Out-of-Sample Test for Nonlinearity in Financial Time Series: An Empirical Application
by Theodore Panagiotidis
2010 An I(d) Model with Trend and Cycles
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2010 The Asia Financial Crises and Exchange Rates: Had There Been Volatility Shifts for Asian Currencies?
by Takashi Oga & Wolfgang Polasek
2010 Gold and the U.S. Dollar: Tales from the Turmoil
by Massimiliano Marzo & Paolo Zagaglia
2010 Modeling U.S. Inflation Dynamics: A Bayesian Nonparametric Approach
by Markus Jochmann
2010 American Option Valuation: Implied Calibration of GARCH Pricing-Models
by Michael Weber & Marcel Prokopczuk
2010 The Bank Lending Channel in Peru: evidence and transmission mechanism
by Carrera, Cesar
2010 A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions
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2010 A Cholesky-MIDAS model for predicting stock portfolio volatility
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2010 Applying shape and phase restrictions in generalized dynamic categorical models of the business cycle
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2010 Portfolio allocation: Getting the most out of realised volatility
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2010 A necessary moment condition for the fractional functional central limit theorem
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2010 Critical Values for Cointegration Tests
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2010 Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration
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2010 Likelihood inference for a nonstationary fractional autoregressive model
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2010 Testing for Persistence Change in Fractionally Integrated Models: An Application to World Inflation Rates
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2010 A Wavelet Approach for Factor-Augmented Forecasting
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2010 Employment and the business cycle
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2010 The Effects of Real Exchange Rate Volatility on Thailand's Exports to the United States and Japan under the Recent Float
by Jiranyakul, Komain
2010 The impact of the global economic crisis on non-oil operations of ports in Iran
by Ahmadzadeh Mashinchi, Sina
2010 Time series models of GDP: a reappraisal
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2010 Analysis of inflation and its determinants in Nigeria
by Odusanya, Ibrahim Abidemi & Atanda, Akinwande AbdulMaliq
2010 Employment intensity of growth and its macroeconomics determinants
by BESSO, CHRISTOPHE RAOUL
2010 Employment and the business cycle
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2010 Анализ Факторов Динамики Обменного Курса Рубля
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2010 Noncausal autoregressions for economic time series
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2010 A structural VAR (SVAR) approach to cost channel of monetary policy
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2010 Revenue and Expenditure Nexus: A Case Study of Romania
by HYE, Qazi Muhammad Adnan & M Anwar, Jalil
2010 New trade theory, non-price competitiveness and export performance
by Athanasoglou, Panayiotis & Bardaka, Ioanna
2010 Export performance, competitiveness and commodity composition
by Athanasoglou, Panayiotis & Backinezos, Constantina & Georgiou, Evangelia
2010 Inward foreign direct investment and aggregate imports: time series evidence from Pakistan
by Abdul, waheed & Syed tehseen, jawaid
2010 Modelling life expectancy in Turkey
by Halicioglu, Ferda
2010 Dynamic OLS estimation of the U.S. import demand for Mexican crude oil
by Camacho-Gutiérrez, Pablo
2010 Heterogeneity in Stock Pricing: A STAR Model with Multivariate Transition Functions
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2010 Faktoru modeļu agregēta un dezagregēta pieeja IKP prognožu precizitātes mērīšanā
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2010 A New Keynesian Phillips curve for Tunisia : Estimation and analysis of sensitivity
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2010 A dynamic econometric study of income, energy and exports in Turkey
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2010 Estimation of economic discounting rate for practical project appraisal: the case of Turkey
by Halicioglu, Ferda & Karatas, Cevat
2010 Regime Specific Predictability in Predictive Regressions
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2010 Capital mobility and growth: Evidence from Greece
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2010 Modeling & Forecasting of Macro-Economic Variables of India: Before, During & After Recession
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2010 Automatic forecasting with a modified exponential smoothing state space framework
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2010 Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes
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2010 The not-so-great moderation? Evidence on changing volatility from Australian regions
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2010 Multivariate Option Pricing with Time Varying Volatility and Correlations
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2010 Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations
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2010 Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets
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2010 Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
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2010 Do Google Searches Help in Nowcasting Private Consumption? A Real-Time Evidence for the US
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2010 Real Wages and the Business Cycle in Germany
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2010 Real Wages and the Business Cycle in Germany
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2010 Assessing the Impact of Incomes Policy: The Italian Experience
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2010 Assessing the Impact of Incomes Policy: The Italian Experience
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2010 Minimum Wages and Employment: Reconsidering the Use of a Time-Series Approach as an Evaluation Tool
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2010 The Asia Financial Crises and Exchange Rates
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2010 The Nonlinear House Price Adjustment Process in Developed and Transition Countries
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2010 Financial Development and Sectoral Output Growth in 19th Century Germany
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2010 Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks
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2010 Exact Local Whittle Estimation of Fractionally Cointegrated Systems
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2010 Empirical Likelihood Block Bootstrapping
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2010 Labor-Force Participation Rates and the Informational Value of Unemployment Rates: Evidence from Disaggregated US Data
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2010 Does the Labor-Income Process Contain a Unit Root? Evidence from Individual-Specific Time Series
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2010 Labor-Force Participation Rates and the Informational Value of Unemployment Rates: Evidence from Disaggregated US Data
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2010 Testing the Invariance of Expectations Models of Inflation
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2010 Labor-Force Participation Rates and the Informational Value of Unemployment Rates: Evidence from Disaggregated US Data
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2010 An anticipative linear filtering equation
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2010 Realized volatility and overnight returns
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2010 Milestones of European Integration: Which matters most for Export Openness?
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2010 Evaluating a class of nonlinear time series models
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2010 Identification problems in ESTAR models and a new model
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2010 Testing Weak Form Efficiency on the Toronto Stock Exchange
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2010 Localized Level Crossing Random Walk Test Robust to the Presence of Structural Breaks
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2010 Equilibrium exchange rate determination and multiple structural changes
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2010 A Bootstrap Neural Network Based Heterogeneous Panel Unit Root Test: Application to Exchange Rates
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2010 A New Solution to Time Series Inference in Spurious Regression Problems
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2010 Adjustment capacity in a monetary union: a DSGE evaluation of Poland and Slovakia
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2010 “Google it!”Forecasting the US Unemployment Rate with a Google Job Search index
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2010 Carbon Abatement Leaders and Laggards Non Parametric Analyses of Policy Oriented Kuznets Curves
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2010 Efficacité de la politique économique et position dans le cycle: le cas de la défiscalisation des heures supplémentaires en France
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2010 Fractional Integration Analysis and its Implications on Profitability: the Case of the Mackerel Market in the Basque Country
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2010 Semiparametric inference in correlated long memory signal plus noise models
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2010 Lessons From the Latest Data on U.S. Productivity
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2010 Applying Shape and Phase Restrictions in Generalized Dynamic Categorical Models of the Business Cycle
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2010 Hunger Incidence in the Philippines: Facts, Determinants and Challenges
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2010 Characterizing economic trends by Bayesian stochastic model specification search
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2010 Statistiques des valeurs extrêmes dans le cas de lois discrètes
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2010 A Gaussian Test for Cointegration
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2010 Capital Inflows, Inflation and Exchange Rate Volatility : An Investigation for Linear and Nonlinear Causal Linkages
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2010 Growth Rate Estimation in the presence of Unit Roots
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2010 The Changing Inter-Industry Wage Structure of the Organised Manufacturing Sector in India, 1973-74 to 2003-04
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2010 A Multiple Break Panel Approach To Estimating United States Phillips Curves
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2010 Understanding Models' Forecasting Performance
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2010 Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
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2010 Volatility Jumps
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2010 Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models
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2010 ECB Policy Making and the Financial Crisis
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2010 Variable Selection, Estimation and Inference for Multi-period Forecasting Problems
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2010 Microeconomic reform and productivity in Australia – boom or blip
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2010 Do Google Searches Help in Nowcasting Private Consumption?: A Real-Time Evidence for the US
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2010 Is Euro Area Money Demand (Still) Stable?: Cointegrated VAR versus Single Equation Techniques
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2010 Fractional Cointegration in US Term Spreads
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2010 Long Memory and Volatility Dynamics in the US Dollar Exchange Rate
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2010 The Weekly Structure of US Stock Prices
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2010 US Disposable Personal Income and Housing Price Index: A Fractional Integration Analysis
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2010 Forecasting Private Consumption by Consumer Surveys
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2010 Money Demand and the Role of Monetary Indicators in Forecasting Euro Area Inflation
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2010 Long Memory and Fractional Integration in High Frequency Financial Time Series
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2010 Estimating Persistence in the Volatility of Asset Returns with Signal Plus Noise Models
by Guglielmo Maria Caporale & Luis A. Gil-Alana
2010 Has Stock Markets' Reaction to Terrorist Attacks Changed throughout Time?: Comparative Evidence from a Large and a Small Capitalisation Market
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2010 Terrorism and Capital Markets: The Effects of the Istanbul Bombings
by Nikos Christofis & Christos Kollias & Stephanos Papadamou & Apostolos Stagiannis
2010 Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility
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2010 Global Stochastic Properties of Dynamic Models and their Linear Approximations
by Ana Babus & Casper G. de Vries
2010 Consistent Estimation of Structural Parameters in Regression Models with Adaptive Learning
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2010 Efficient Bayesian Estimation and Combination of GARCH-Type Models
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2010 Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations
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2010 A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
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2010 Modeling Trigonometric Seasonal Components for Monthly Economic Time Series
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2010 Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production
by Charles S. Bos & Siem Jan Koopman
2010 Modelling Conditional Heteroscedasticity in Nonstationary Series
by Cizek, P.
2010 Monetary Policy, Trend Inflation and the Great Moderation:An Alternative Interpretation
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2010 The Mysteries of Trend
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2010 Nonlinear Cointegrating Regression under Weak Identification
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2010 Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels
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2010 Optimal Estimation under Nonstandard Conditions
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2010 X-Differencing and Dynamic Panel Model Estimation
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2010 Uniform Asymptotic Normality in Stationary and Unit Root Autoregression
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2010 Comparing sample and plug-in moments in asymmetric Garch Models
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2010 Exponential conditional volatility models
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2010 A semiparametric state space model
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2010 Outliers in Garch models and the estimation of risk measures
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2010 Trends and cycles in regional economic growth : how spatial differences formed the Swedish growth experience 1860-2009
by Martin Henning & Kerstin Enflo & Fredrik NG Andersson
2010 The power log-GARCH model
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2010 Nonlinearity and Inflation Rate Differential Persistence: Evidence from the Eurozone
by Nikolaos Giannellis
2010 First results series or last available series: which series to use? A real-time illustration for the forecasting of French quarterly GDP growth
by C. MINODIER
2010 The effects of US economic and financial crises on euro area convergence
by Fabio Bagliano & Claudio Morana
2010 The Great Recession: US dynamics and spillovers to the world economy
by Fabio Bagliano & Claudio Morana
2010 Modelling structural changes in the volatility process
by Thorsten Lehnert & Bart Frijns & Remco C.J. Zwinkels
2010 Exchange Rate Pass-through and Monetary Policy in South Africa
by Aron, Janine & Farrell, Greg & Muellbauer, John & Sinclair, Peter
2010 Inflation Targeting and Inflation Persistence in Asia
by Gerlach, Stefan & Tillmann, Peter
2010 Does aggregating forecasts by CPI component improve inflation forecast accuracy in South Africa?
by Aron, Janine & Muellbauer, John
2010 New methods for forecasting inflation, applied to the US
by Aron, Janine & Muellbauer, John
2010 On the Dynamics of Hedge Fund Risk Exposures
by Patton, Andrew J & Ramadorai, Tarun
2010 Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns
by Favero, Carlo A. & Gozluklu, Arie & Tamoni, Andrea
2010 Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability
by Aiolfi, Marco & Rodriguez, Marius & Timmermann, Allan G
2010 Option pricing with asymmetric heteroskedastic normal mixture models
by ROMBOUTS, Jeroen V. K. & STENTOFT, Lars
2010 Commodities inventory effect
by CARPANTIER, Jean - François
2010 Multivariate option pricing with time varying volatility and correlations
by ROMBOUTS, Jeroen J. K & STENTOFT, Lars
2010 Split-panel jackknife estimation of fixed-effect models
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2010 Z-Estimators and Auxiliary Information under Weak Dependence
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2010 A Time Varying Parameter Approach to Analyze the Macroeconomic Consequences of Crime
by C. Detotto & E. Otranto
2010 Short-Term Forecasting of Czech Quarterly GDP Using Monthly Indicators
by Katerina Arnostova & David Havrlant & Lubos Ruzicka & Peter Toth
2010 Lessons From the Latest Data on U.S. Productivity
by Jan P. A. M. Jacobs & Simon van Norden
2010 Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models
by Jeroen Rombouts & Lars Peter Stentoft
2010 Multivariate Option Pricing With Time Varying Volatility and Correlations
by Jeroen Rombouts & Lars Peter Stentoft
2010 The Effects of the Subprime Crisis on the Latin American Financial Markets: an Empirical Assessment
by Gilles Dufrénot & Valérie Mignon & Anne Péguin-Feissolle
2010 Exchange Rate Flexibility Across Financial Crises
by Virginie Coudert & Cécile Couharde & Valérie Mignon
2010 Gender Unemployment Catching-up: Empirical Evidence from Italian Regions
by Marianna Belloc & Riccardo Tilli
2010 Financial Development and Sectoral Output Growth in 19th Century Germany
by Katharina Diekmann & Frank Westermann
2010 The Weekly Structure of US Stock Prices
by Guglielmo Maria Caporale & Luis A. Gil-Alana
2010 US Disposable Personal Income and Housing Price Index: A Fractional Integration Analysis
by Guglielmo Maria Caporale & Luis A. Gil-Alana
2010 The Ifo Business Cycle Clock: Circular Correlation with the Real GDP
by Klaus Abberger & Wolfgang Nierhaus
2010 Catching-up and Inflation in Europe: Balassa-Samuelson, Engel's Law and other Culprits
by Balazs Egert
2010 The VARying Effect of Foreign Shocks in Central and Eastern Europe
by Rebeca Jiménez-Rodriguez & Amalia Morales-Zumaquero & Balazs Egert
2010 Markov-Switching and the Ifo Business Climate: The Ifo Business Cycle Traffic Lights
by Klaus Abberger & Wolfgang Nierhaus
2010 Loch Linear Fitting under Near Epoch Dependence: Uniform Consistency with Convergence Rate
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2010 Taux de change r�el et comp�titivit� de l'�conomie r�unionnaise
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2010 Evaluating Combined Non-Replicable Forecasts
by Chia-Lin Chang & Philip Hans Franses & Michael McAleer
2010 GFC-Robust Risk Management Strategies under the Basel Accord
by Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral
2010 Model Selection and Testing of Conditional and Stochastic Volatility Models
by Massimiliano Caporin & Michael McAleer
2010 Cliometrics and Time Series Econometrics: Some Theory and Applications
by David Grreasley
2010 Modeling the Effect of Oil Price on Global Fertilizer Prices
by Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer
2010 Globalization and Knowledge Spillover: International Direct Investment, Exports and Patents
by Chia-Lin Chang & Sung-Po Chen & Michael McAleer
2010 Ten Things We Should Know About Time Series
by Michael McAleer & Les Oxley
2010 Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan
by Chia-Lin Chang & Michael McAleer & Christine Lim
2010 Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns
by Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat
2010 Great Expectatrics: Great Papers, Great Journals, Great Econometrics
by Chia-Lin Chang & Michael McAleer & Les Oxley
2010 Combining Non-Replicable Forecasts
by Chia-Lin Chang & Philip Hans Franses & Michael McAleer
2010 Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations
by Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat
2010 Analyzing and Forecasting Volatility Spillovers, Asymmetries and Hedging in Major Oil Markets
by Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat
2010 How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan
by Chia-Lin Chang & Philip Hans Franses & Michael McAleer
2010 Are Forecast Updates Progressive?
by Chia-Lin Chang & Philip Hans Franses & Michael McAleer
2010 Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments
by Philip Hans Franses & Michael McAleer & Rianne Legerstee
2010 Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
by Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer
2010 Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
by Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer
2010 Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
by Chia-Lin Chang & Michael McAleer
2010 Exponential Conditional Volatility Models
by Harvey, A.
2010 A Cyclical Model of Exchange Rate Volatility
by Evarist Stoja & Richard D. F. Harris & Fatih Yilmaz
2010 Export performance, competitiveness and commodity composition
by Athanasoglou Panagiotis & Backinezos Constantina & Evagelia A. Georgiou
2010 Bretton-Woods systems, old and new, and the rotation of exchange-rate regimes
by Stephen Hall & George Hondroyiannis & P.A.V.B Swamy & George Tavlas
2010 Semiparametric Quantile Regression Estimation in Dynamic Models with Partially Varying Coefficients
by Zongwu Cai & Zhijie Xiao
2010 Linking Granger Causality and the Pearl Causal Model with Settable Systems
by Halbert White & Karim Chalak & Xun Lu
2010 Panel Estimation for Worriers
by Aninday Banerjee & Markus Eberhardt & J James Reade
2010 A Multiple Break Panel Approach to Estimating United States Phillips Curves
by Bill Russell & Anindya Banerjee & Issam Malki & Natalia Ponomareva
2010 On the Asymptotic Properties of a Feasible Estimator of the Continuous Time Long Memory Parameter
by Joanne S. Ercolani
2010 Did Tax Policies mitigate US Business Cycles?
by Jimborean, R. & Ferroni, F.
2010 Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market
by Avouyi-Dovi, S. & Idier, J.
2010 Wealth effects: the French case
by Chauvin, V. & Damette, O.
2010 Forecasting Short-Run Inflation Volatility using Futures Prices: An Empirical Analysis from a Value at Risk Perspective
by Guillermo Benavides
2010 Spurious Long-Horizon Regression in Econometrics
by Antonio E. Noriega & Daniel Ventosa-Santaulària
2010 Forecasting Inflation in Mexico Using Factor Models: Do Disaggregated CPI Data Improve Forecast Accuracy?
by Raúl Ibarra-Ramírez
2010 Green shoots in the euro area. A real time measure
by Maximo Camacho & Gabriel Perez-Quiros & Pilar Poncela
2010 Testing non-linear dependence in the hedge fund industry
by Javier Mencía
2010 International Capital Flows and Bond Risk Premia
by Jesus Sierra
2010 MICA-BBVA. A Factor Model of Economic and Financial Indicators for Short-term GDP Forecasting
by Maximo Camacho & Rafael Domenech
2010 Export Status and Performance in a Panel of Italian Manufacturing Firms
by Vito Amendolagine & Rosa Capolupo & Nadia Petragallo
2010 CO2 spot and futures price analysis for EEX and ECX
by Carlos Pinho & Mara Madaleno
2010 Comparative Survival Analysis of Firms: the case of the Portuguese North region
by Elsa Sarmento & Alcina Nunes
2010 State-Dependent Threshold STAR Models
by Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo
2010 Was There a Structural Break in Barry Bonds’ Bat?
by Stephen Clayton & Michael Nieswiadomy & Mark C. Strazicich
2010 Bubbles or Volatility: A Markov-Switching Unit Root Test with Regime-Varying Error Variance
by Shu-Ping Shi
2010 Examining the Evidence of Purchasing Power Parity by Recursive Mean Adjustment
by Hyeongwoo Kim & Young-Kyu Moh
2010 A necessary moment condition for the fractional functional central limit theorem
by Søren Johansen & Morten Ørregaard Nielsen
2010 Numerical distribution functions of fractional unit root and cointegration tests
by James G. MacKinnon & Morten Ørregaard Nielsen
2010 Sign and Quantiles of the Realized Stock-Bond Correlation
by Nektarios Aslanidis & Charlotte Christiansen
2010 Detecting Structural Breaks using Hidden Markov Models
by Christos Ntantamis
2010 A Duration Hidden Markov Model for the Identification of Regimes in Stock Market Returns
by Christos Ntantamis
2010 Asymptotic normality of the QMLE in the level-effect ARCH model
by Christian M. Dahl & Emma M. Iglesias
2010 Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models
by Jeroen V.K. Rombouts & Lars Stentoft
2010 Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models
by Dennis Kristensen
2010 Long memory and changing persistence
by Robinson Kruse & Philipp Sibbertsen
2010 The Role of Dynamic Specification in Forecasting Volatility in the Presence of Jumps and Noisy High-Frequency Data
by Rasmus Tangsgaard Varneskov
2010 Linearity Testing in Time-Varying Smooth Transition Autoregressive Models under Unknown Degree of Persistency
by Robinson Kruse & Rickard Sandberg
2010 The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks
by Leonidas Tsiaras
2010 Maximum likelihood estimation for integrated diffusion processes
by Fernando Baltazar-Larios & Michael Sørensen
2010 Simple simulation of diffusion bridges with application to likelihood inference for diffusions
by Mogens Bladt & Michael Sørensen
2010 Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration
by Morten Ørregaard Nielsen & Per Frederiksen
2010 Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence
by Nikolaus Hautsch & Mark Podolskij
2010 Milestones of European Integration: Which matters most for Export Openness?
by Robinson Kruse & Sanne Hiller
2010 On European monetary integration and the persistence of real effective exchange rates
by Robinson Kruse
2010 Forecast Combinations
by Marco Aiolfi & Carlos Capistrán & Allan Timmermann
2010 Multivariate Option Pricing with Time Varying Volatility and Correlations
by Jeroen V.K. Rombouts & Lars Stentoft
2010 Smooth Transition Patterns in the Realized Stock Bond Correlation
by Nektarios Aslanidis & Charlotte Christiansen
2010 Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error
by Peter R. Hansen & Asger Lunde
2010 Forecasting with nonlinear time series models
by Anders Bredahl Kock & Timo Teräsvirta
2010 The Endogeneity of the Natural Rate of Growth: An Application to Turkey
by Senay Acikgoz & Merter Mert
2010 The Relationship Between Output Growth And Inflation: Evidence From Turkey
by Tolga OMAY & Nilay ALUFTEKIN & Ece C. KARADAGLI
2010 A Time-Varying Parameter Vector Autoregression Model for Forecasting Emerging Market Exchange Rates
by Manish Kumar
2010 Financial development and economic growth. An empirical analysis for Ireland
by Antonios Adamopoulos
2010 Does Human Capital Cause Economic Growth? A Case Study of India
by Sushil Kumar Haldar & Girijasankar Mallik
2010 Modelling the Daily Currency in Circulation in Turkey
by Halil Guler & Anil Talasli
2010 Estimating Value-At-Risk (Var) Using TIVEX-POT Models
by Peter Julian A. Cayton & Dennis S. Mapa, Ph. D. & Mary Therese A. Lising
2010 Volatility Co-Movement of Asean-5 Equity Markets
by Swee-Ling Oh & Evan Lau & Chin-Hong Puah & Shazali Abu Mansor
2010 Test of Fiscal Sustainability and Causality Hypotheses for Switzerland
by Silika Prohl
2010 The Analysis of Local Budgets and Their Importance in the Fight Against the Economic Crisis Effects
by Pelinescu, Elena & Anton, Lucian Vasile & Ionescu, Raluca & Tasca, Radu
2010 An Estimated Small Open Economy New-Keynesian Model of the Australian Economy
by Heidari, Hassan
2010 The Validity of Purchasing Power Parity Hypothesis in Middle East and Northern Africa Countries
by Kalyoncu, Hüseyin & Kula, Ferit & Aslan, Alper
2010 Repetitive Stochastic Guesstimation for Estimating Parameters in a GARCH(1,1) Model
by Agapie, Adriana & Bratianu, Constantin
2010 Estimating Coal Price Dynamics with the Principal Components Method
by Festic, Mejra & Repina, Sebastijan & Volcjak, Robert
2010 Asymmetric Adjustment in the Lending-Deposit Rate Spread: Evidence from Eastern European Countries
by Su, Chi Wei & Chang, Hsu Ling
2010 Macroeconomic Uncertainty and Investment – Empirical Analysis for Romania
by Saman, Corina
2010 Econometric Analysis Of Efficiency In The Indian Manufacturing Sector
by Dimitriu, Maria Caracota & Savu, Blessy Mathew
2010 Modeling Business Cycles In The Romanian Economy Using The Markov Switching Approach
by Caraiani, Petre
2010 A Smooth Transition GARCH-M Model
by Tsatsura, Oleg
2010 Modeling the relationship between investment processes and costs structure applied to Russian economic activities in 2005-2009
by Nazrullaeva, Eugenia
2010 Testing for Competition in the Russian Banking Sector within Panzar-Rosse approach: theoretical and empirical framework
by Mamonov, Mikhail
2010 Size Distortion of Bootstrap Tests: an Example from Unit Root Testing
by Russell Davidson
2010 Government Expenditure and National Income: Causality Tests for Twelve New Members of E.E
by Chaido Dritsaki & Melina Dritsaki
2010 Productivity, Energy Prices and the Great Moderation: A New Link
by Rajeev Dhawan & Karsten Jeske & Pedro Silos
2010 Estimación de capital por riesgo de precio: Evaluandometodologías para el caso peruano
by Del Carpio, Carlos & Zevallos, Mauricio
2010 Comparacion de modelos de prediccion de retornos accionarios en el Mercado Accionario Chileno: capm, fama y french y reward beta
by Werner Kristjanpoller Rodriguez & Carolina Liberona Maturana
2010 Monetary policy and world commodity markets: 2000-2007
by Hossein Askari & Noureddine Krichene
2010 Bayesian Value-at-Risk for a Portfolio: Multi- and Univariate Approaches Using MSF-SBEKK Models
by Jacek Osiewalski & Anna Pajor
2010 Forecasting the Polish Zloty with Non-Linear Models
by Michał Rubaszek & Paweł Skrzypczyński & Grzegorz Koloch
2010 Volatile ARMA Modelling of GARCH Squares
by Anthony J. Lawrance
2010 Markov Switching In-Mean Effect. Bayesian Analysis in Stochastic Volatility Framework
by Łukasz Kwiatkowski
2010 Slowdown or Recession? Forecasts Based on Composite Leading Indicator
by Miroslav Klúcik & Jana Juriová
2010 The Problem of the Yearly Inflation Rate and Its Implications for the Monetary Policy of the Czech National Bank
by Josef Arlt & Milan Bašta
2010 Fiscal Decentralisation in Pakistan
by Naeem ur Rehman Khattak & Iftikhar Ahmad & Jangraiz Khan
2010 Spurious Rejections by Dickey-Fuller Tests in the Presence of an Endogenously Determined Break under the Null = Rechazos espurios de los test de Dickey-Fuller en presencia de una ruptura bajo la hipótesis nula endógenamente determinada
by Badillo Amador, Rosa & Belaire Franch, Jorge & Reverte Maya, Carmelo
2010 International Organizations and the Theory of Clubs = Una interpretación de las organizaciones internacionales utilizando la Teoría de los Clubes
by Faíña Medín, José Andrés & García Lorenzo, Antonio & López-Rodríguez, Jesús
2010 Are Confidence and Sentiment Indicators Crucial in Forecasting the Economic Growth of Romania during the Current Crisis?
by Stoica Tiberiu
2010 The Determinats Of The Unemployment Rate - Empirical Evidence From Romania
by Kovács Ildikó & Marton Noémi & Patka Kinga & Páll Katalin
2010 Alternativas para la modelización de tendencias y ciclos en la economía argentina, 1880-2009/Alternatives for Modeling Trends and Cycles in Argentina's Economy, 1880 - 2009
by RABANAL, CRISTIAN & BARONIO, ALFREDO MARIO
2010 Business Cycles and Current Economic Analysis/Los ciclos económicos y el análisis económico actual
by DAGUM, ESTELA BEE
2010 Estimación de los flujos de transporte de mercancías interregionales trimestrales mediante técnicas de interpolación temporal/Estimating Quarterly Interregional Commodity Transport Flows by Means of Temporal Interpolation Methods
by GALLEGO LÓPEZ, NURIA & LLANO VERDURAS, CARLOS & PEREZ GARCÍA, JULIAN
2010 Does Trade Openness Reduce Inflation? Empirical Evidence from Pakistan
by Tahir Mukhtar
2010 Asymmetric Behavior of Inflation Uncertainty and Friedman-Ball Hypothesis: Evidence from Pakistan
by Syed Kumail Abbas Naqvi & Bushra Naqvi
2010 The Determinants of Pakistan’s Trade Balance: An ARDL Cointegration Approach
by Waliullah & Mehmood Khan Kakar & Rehmatullah Kakar & Wakeel Khan
2010 Estimation Biases, Size and Power of a Test on the Long Memory Parameter in ARFIMA Models
by Elkin Castaño & Santiago Gallón & Karoll Gómez
2010 A Variance Ratio Test of Random Walk in Energy Spot Markets
by Chin Wen Cheong
2010 Real Exchange Rates In Latin America: The Ppp Hypothesis And Fractional Integration
by Guglielmo Maria Caporale & Luis A. Gil-Alana
2010 Modeling monetary demand in the Russian economy over 1999–2008
by Sergey Drobyshevsky & G.Kuzmicheva & Elena Sinelnikova & Pavel Trunin
2010 Perspective issues in the CBR`s exchange rate policy
by Pavel Trunin & Dmitriy Kniazev & Ekaterina Kuduykina
2010 The Lending-Deposit Rate Relationship in Eastern European Countries: Evidence from the Rank Test for Non-linear Cointegration
by Hsu-Ling Chang & Chi-Wei Su
2010 The Role of Inflation Persistence in the Inflation Process in the New EU Member States
by Michal Franta & Branislav Saxa & Kateøina Šmídková
2010 Stock Market Integration: Granger Causality Testing with Respect to Nonsynchronous Trading Effects
by Eduard Baumöhl & Tomáš Výrost
2010 Does ADR Listing Affect the Dynamics of Volatility in Emerging Markets?
by Mehmet Umutlu & Aslihan Altay-Salih
2010 Exchange Rate Risk in Central European Countries
by Evžen Koèenda & Tigran Poghosyan
2010 Stime preliminari nelle statistiche giudiziarie: un'applicazione ai procedimenti di separazione e divorzio
by Adriano Pareto & Annamaria Urbano
2010 Variance Estimates and Model Selection
by Sýdýka Baþçý & Asad Zaman & Arzdar Kiracý
2010 The Theory of Storage and Price Dynamics of Agricultural Commodity Futures: the Case of Corn and Wheat
by Guillermo Benavides Perales
2010 Outward FDI and economic growth
by Dierk Herzer
2010 Agriculture and economic growth in Tunisia
by Houssem Eddine Chebbi
2010 Heat waves or Meteor showers: Empirical evidence from the stock markets
by Boppana Nagarjuna & Varadi Vijay Kumar
2010 Determinantes De Los Flujos Netos De Capital. Alguna Evidencia Para La Economia Argentina
by LANTERI, Luis N.
2010 Consumer Confidence, Stock Prices And Exchange Rates: The Case Of Turkey
by GORMUS Sakir & GUNES, Sevcan
2010 The Role Of Fdi Intensity In Achieving Productivity Driven Growth In Malaysian Economy
by Ahmed, E. M
2010 Convergence Of Metropolitan House Prices In South Africa: A Re-Examination Using Efficient Unit Root Tests
by Sonali DAS , Rangan GUPTA & Patrick A. KAYA
2010 Modelling The Asymmetric Effects Of Inflation On Real Investment In Iran, 1959-2008
by KAMALIAN, Amin Reza & PAHLAVANI, Mosayeb & VALADKHANI, Abbas
2010 Estimating Output Gap, Core Inflation, And The Nairu For Peru, 1979-2007
by Gabriel RODRIGUEZ
2010 Hat die Finanzkrise zu einer instabilen Geldnachfrage geführt?
by Christian Dreger & Jürgen Wolters
2010 Income inequality and the suicide rate in Japan: Evidence from cointegration and LA-VAR
by Kazuyuki Inagaki
2010 L'intégration commerciale est-elle une condition préalable à l'intégration financière ?
by Adeline Bachellerie & Jérôme Héricourt & Valérie Mignon
2010 Impact d'un choc sur les corrélations de trois indices boursiers. La faillite de Lehman Brothers
by Yannick Le Pen & Benoît Sévi
2010 Gaussian Analysis of Non-Gaussian Time Series
by Dimitris Kugiuntzis & Efthimia Bora-Senta
2010 Extracting Formations from Long Financial Time Series Using Data Mining
by Stella Karagianni & Thanasis Sfetsos & Costas Siriopoulos
2010 Effect of Noise Filtering on Predictions :on the Routes of Chaos
by Dominique Guégan
2010 Return-Volatility Relationship in High Frequency Data: Multiscale Horizon Dependency
by Jihyun Lee & Tong S. Kim & Hoe Kyung Lee
2010 A Nonlinear Algorithm for Seasonal Adjustment in Multiplicative Component Decompositions
by Tucker S. McElroy
2010 Detection of Stationarity in Nonlinear Processes: A Comparison between Structural Breaks and Three-Regime TAR Models
by Daiki Maki
2010 Skew-Normal Mixture and Markov-Switching GARCH Processes
by Markus Haas
2010 An Alternative Maximum Entropy Model for Time-Varying Moments with Application to Financial Returns
by Klaus Herrmann & Matthias Fischer
2010 Estimation of Parameters in the Presence of Model Misspecification and Measurement Error
by P. A. V. B. Swamy & George S. Tavlas & Stephen G. F. Hall & George Hondroyiannis
2010 Estimating the Term Premium by a Markov Switching Model with ARMA-GARCH Errors
by Byoung Hark Yoo
2010 Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk
by Jonathan Graeme Dark
2010 Testing for Asymmetric Dependence
by Hans Manner
2010 The impact of nominal and real uncertainty on macroeconomic aggregates in Greece
by Heather Gibson & hiona Balfousia
2010 Do macroeconomic factors matter for stock returns? Evidence from estimating a multifactor model on the Croatian market
by Dubravka Benakovic & Petra Posedel
2010 LATCOIN: determining medium to long-run tendencies of economic growth in Latvia in real time
by Konstantīns Beņkovskis
2010 An Analysis of Time Inconsistency in Turkey with ARDL Method
by Bora Suslu & Selahattin Bekmez
2010 Seasonal Adjustment in Times of Strong Economic Changes
by Jens Mehrhoff
2010 The Structure of Tourism Revenues in Turkey: Evidence from Fractional Integration under Multiple Structural Breaks
by Burcu Kiran
2010 Impacts of Climate Change on Winter Tourism in Borovets
by Milkana Mochurova & Todor Kaloyanov & Plamen Mishev
2010 Choques Monetários e Cambiais sob Regimes de Câmbio Flutuante nos Países Membros do Mercosul: Há Indícios de Convergência Macroeconômica?
by Pedro Raffy Vartanian
2010 Flutuações no Mercado de Trabalho Brasileiro: Regiões Metropolitanas e Não-Metropolitanas
by Ricardo Camila Kraide Kretzmann & Marina Silva da Cunha
2010 The Effect Of Economic Performance On The Graduate Numbers Of Anadolu University Distant Education Faculties
by Bahar Berberoglu
2010 An Investigation Of Real Exchange Rate Volatility On Turkish Textile And Apparel Export
by Selim Adem Hatirli & Kübra Onder
2010 Investigation Of The Determinants Of The Adjustment Of Lending Rates In Macedonia – A Sur Approach
by Jane BOGOEV
2010 Interdependence And Forecasting Of S&P500, Oil, Euro / Dollar And 10-Year U.S. Interest Rate Markets: An Attempt Of Modelling Through The Volatility
by Ahmed KSAIER & Isabelle CRISTIANI-D’ORNANO
2010 Forward-Looking Monetary Policy Reaction Functions for South Africa
by Irrshad Kaseeram
2010 A Causality Analysis Between Financial Development and Economic Growth for Botswana
by Joel Hinaunye Eita & Andre C. Jordaan
2010 The effects of unification: markets, policy, and cyclical convergence in Italy, 1861–1913
by Carlo Ciccarelli & Stefano Fenoaltea & Tommaso Proietti
2010 The Asymmetric Impulse of the Sunshine Effect on Stock Returns and Volatilities
by Yuan-Ming Lee & Kuan-Min Wang
2010 Testing Purchasing Power Parity in Transition Countries: Evidence from Structural Breaks
by Ali Acaravci & Ilhan Ozturk
2010 Is Euro Area Money Demand (Still) Stable? Cointegrated VAR Versus Single Equation Techniques
by Ansgar Belke & Robert Czudaj
2009 Convergence of Metropolitan House Prices in South Africa: A Re-Examination Using Efficient Unit Root Tests
by Sonali Das & Rangan Gupta & Patrick Agu Kaya
2009 A Nonlinear Panel Unit Root Test under Cross Section Dependence
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2009 Covariance estimation and dynamic asset allocation under microstructure effects via Fourier methodology
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2009 A Class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests (Replaced by DP 2010-72)
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2009 Inflation and Relative Price Variability: New Evidence for the United States
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2009 Real Convergence in the New Member States: Myth or Reality?
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2009 Productivity Shocks and Nominal Exchange Rate Variability: a Case Study of Pakistan
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2009 Measuring market risk using extreme value theory
by Jose Oliver Q. Suaiso & Dennis S. Mapa
2009 De Jure ve De Facto kur rejimlerinin makroekonomik değişkenlerin oynaklığına etkisi
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2009 Türkiye’nin dış ticaret dengesinin Box-Jenkins modelleriyle tahmini
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2009 VOB’da işlem gören endeks ve döviz vadeli sözleşmelerin getirilerinde uzun hafıza varlığının test edilmesi
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2009 Türk hisse senedi piyasasının zayıf formda etkinliğinin testi
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2009 The Impact of Unemployment Rate on the Dimension of Shadow Economy in Spain: A Structural Equation Approach
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2009 Business Performance Analysis via VAIC™
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2009 The Effects of the Increasing Oil Price Returns and its Volatility on Four Emerged Stock Markets
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2009 Aggregate Imports and Expenditure Components in the Philippines: An Econometric Analysis
by Agbola, Frank W.
2009 Aggregate Imports and Expenditure Components in the Philippines: An Econometric Analysis
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2009 Temporal Causality between Energy Consumption and Income in Six Asian Emerging Countries
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2009 Google Econometrics and Unemployment Forecasting
by Nikolaos Askitas & Klaus F. Zimmermann
2009 Fund-of-funds construction by statistical multiple testing methods
by Michael Wolf & Dan Wunderli
2009 Volatilitätseffekte am US-amerikanischen Häusermarkt
by Schindler, Felix
2009 Long-term benefits from investing in international real estate
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2009 Non-Extensitivity versus informative moments for financial models: a unifying framework and empirical results
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2009 The Information Content and Redistribution Effects of State and Municipal Rating Changes in Mexico
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2009 The impact of the European Monetary Union on inflation persistence in the euro area
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2009 Controllability and persistence of money market rates along the yield curve: evidence from the euro area
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2009 Modellierung des Kreditrisikos im Portfoliofall
by Cremers, Heinz & Walzner, Jens
2009 Modellierung des Kreditrisikos im Einwertpapierfall
by Cremers, Heinz & Walzner, Jens
2009 The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks
by Taylor, Stephen J. & Yadav, Pradeep K. & Zhang, Yuanyuan
2009 How does European Integration affect the European Stock Markets?
by Erdogan, Burcu
2009 A new approach to unit root testing
by Herwartz, Helmut & Siedenburg, Florian
2009 Fiyatlar Genel Düzeyine İlişkin Maliye Teorisi ve Teorinin Test Edilmesine Yönelik Son Gelişmelerin Bir Analizi
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2009 Competitiveness and Specialisation of the Austrian Export Sector - A Constant-Market-Shares Analysis
by Edith Skriner
2009 High-Frequency and Model-Free Volatility Estimators
by Robert Ślepaczuk & Grzegorz Zakrzewski
2009 Unit Root in Unemployment - New Evidence from Nonparametric Tests
by Jürgen Holl & Robert M. Kunst
2009 The Fragility of the KPSS Stationarity Test
by Nunzio Cappuccio & Diego Lubian
2009 Exchange Rate Pass-Through and Inflation: A Nonlinear Time Series Analysis
by Mototsugu Shintani & Akiko Terada-Hagiwara & Tomoyoshi Yabu
2009 Wagner’s Law Revisited: Cointegration and Causality tests for New Zealand
by Saten Kumar & Don J. Webber & Scott Fargher
2009 Testing the validity of the Feldstein-Horioka puzzle for Australia
by Saten Kumar & Scott Fargher & Don J. Webber
2009 Extreme Value Theory and the Financial Crisis of 2008
by James P. Gander
2009 Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach
by Francesco Audrino & Kameliya Filipova
2009 Ricardian Equivalence and the Efficacy of Fiscal Policy in Australia
by Brittle, Shane
2009 Do Retail Petrol Prices Rise More Rapidly Than They Fall in Australia’s Capital Cities?
by Valadkhani, Abbas
2009 How can Iran’s black market exchange rate be managed?
by Valadkhani, Abbas & Amin Reza Kamalian & Majid Nameni
2009 The Deaton paradox in a long memory context with structural breaks
by Luis A. Gil-Alana & Antonio Moreno & Seonghoon Cho
2009 Contemporaneous-Threshold Smooth Transition GARCH Models
by Michael Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo
2009 Testing Parameter Stability in Quantile Models: An Application to the U.S. Inflation Process
by Dong Jin Lee
2009 Exploring Long Memory and Nonlinearity in Irish Real Exchange Rates using Tests based on Semiparametric Estimation
by Derek Bond & Michael J. Harrison & Edward J. O'Brien
2009 GFC-Robust Risk Management Strategies under the Basel Accord
by Michael McAleer & Juan Angel Jimenez Martin & Teodosio Pérez-Amaral
2009 Optimal Risk Management Before, During and After the 2008-09 Financial Crisis
by Juan Angel Jimenez Martin & Michael McAleer & Teodosio Pérez-Amaral
2009 What Happened to Risk Management During the 2008-09 Financial Crisis?
by Juan Angel Jimenez Martin & Michael McAleer & Teodosio Pérez-Amaral
2009 Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
by Juan Angel Jimenez Martin & Michael McAleer & Teodosio Pérez-Amaral
2009 Modelling Sustainable International Tourism Demand to the Brazilian Amazon
by Jose Angelo Divino & Michael McAleer
2009 State-Uncertainty preferences and the Risk Premium in the Exchange rate market
by Juan-Angel Jimenez-Martin & Alfonso Novales Cinca
2009 Forecasting linear dynamical systems using subspace methods
by Alfredo García-Hiernaux
2009 Identification-Robust Minimum Distance Estimation of the New Keynesian Phillips Curve
by Leandro M. Magnusson & Sophocles Mavroeidis
2009 Efficient Semiparametric Detection of Changes in Trend
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2009 Extracting bull and bear markets from stock returns
by John M Maheu & Thomas H McCurdy & Yong Song
2009 Money Price Relationship under the Currency Board System: The Case of Argentina
by Selahattin Togay & Nezir Kose
2009 Design and Evaluation of Core Inflation Measures for Turkey
by Oguz Atuk & Mustafa Utku Ozmen
2009 Inflation Targeting and Exchange Rate Dynamics: Evidence From Turkey
by K. Azim Ozdemir & Serkan Yigit
2009 Assessing Fiscal Sustainability Subject to Policy Changes: a Markov Switching Cointegration Approach
by Vasco Gabriel & Pataaree Sangduan
2009 Quantifying the Impact of Exogenous Non-Economic Factors on UK Transport Oil Demand
by David C Broadstock & Lester C Hunt
2009 Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes
by Arvid Raknerud & Øivind Skare
2009 Spurious correlation in estimation of the health production function: A note
by Sule Akkoyunlu & Frank R. Lichtenberg & Boriss Siliverstovs & Peter Zweifel
2009 Forecasting realized (co)variances with a block structure Wishart autoregressive model
by Matteo Bonato & Massimiliano Caporin & Angelo Ranaldo
2009 Econometric Inference in the Vicinity of Unity
by Peter C.B.Phillips & Tassos Magdalinos
2009 Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results
by Jun Yu
2009 Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?
by Peter C.B.Phillips & Yangru Wu & Jun Yu
2009 Dynamic Misspecification in Nonparametric Cointegrating Regression
by Peter C.B.Phillips & Ioannis Kasparis
2009 Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results
by Jun YU
2009 Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?
by Peter C.B. PHILIPS & Yangru WU & Jun YU
2009 Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models
by Jun Yu
2009 Automated Likelihood Based Inference for Stochastic Volatility Models
by Hans J. Skaug & Jun Yu
2009 Extremal behavior of aggregated economic processes in a structural growth model
by Stéphane Auray & Aurélien Eyquem & Frédéric Jouneau-Sion
2009 A Gaussian Test for Cointegration
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2009 Time-Varying Currency Betas: Evidence from Developed and Emerging Markets
by Prabhath Jayasinghe & Albert K. Tsui
2009 Modelling South African Currency Crises as Structural Changes in the Volatility of the Rand
by Andrew S Duncan & Guangling D Liu
2009 The Importance of Global Shocks for National Policy Makers - Rising Challenges for Central Banks
by Ansgar Belke & Andreas Rees
2009 Interest rate convergence in the EMS prior to European Monetary Union
by M. FRÖMMEL & R. KRUSE
2009 Tariff liberatization and the growth of word trade: A comparative historiocal analysis to evaluate the multilateral trading system
by Silvia Nenci
2009 Google Econometrics and Unemployment Forecasting
by Nikos Askitas & Klaus F. Zimmermann
2009 Demand For Durable Goods, Nondurable Goods And Services
by John J. Heim
2009 The Real Exchange Rate And The U. S. Economy 2000 - 2008
by John J. Heim
2009 Does Consumer Confidence, As Measured By The Conference Board’s Index Of Consumer Confidence, Affect Demand For Consumer And Investment Goods(Or Just Proxy For Things That Do)?
by John J. Heim
2009 Does Consumer Confidence, As Measured By U. Of Michigan Indices, Affect Demand For Consumer And Investment Goods (Or Just Proxy For Things That Do)?
by John J. Heim
2009 Indicatori privind Convergenţa Reală şi aplicaţiilor acestora
by Pecican, Eugen Stefan
2009 Influenta Incertitudinii Macroeconomice asupra Investitiilor - analiza empirica in cazul Romaniei
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2009 Short-Run Oil Price Drivers: South America’s Energy Integration
by Mercado, Alejandro & Aliaga, Javier
2009 Errors-in-Variables Estimation with No Instruments
by Ramazan Gencay & Nikola Gradojevic
2009 Estimating Output Gap, Core Inflation, and the NAIRU for Peru
by Rodríguez, Gabriel
2009 Using A Forward-Looking Phillips Curve to Estimate the Output Gap in Peru
by Rodríguez, Gabriel
2009 Foreign Exchange Intervention and Exchange Rate Volatility in Peru
by Humala, Alberto & Rodríguez, Gabriel
2009 Have European Unemployment Rates Converged?
by Ramírez Carrera, Dionisio & Rodríguez, Gabriel
2009 Testing the Profitability of Technical Analysis as a Portfolio Selection Strategy
by Vlad Pavlov & Stan Hurn
2009 Forecast performance of implied volatility and the impact of the volatility risk premium
by Ralf Becker & Adam Clements & Christopher Coleman-Fenn
2009 On the economic benefit of utility based estimation of a volatility model
by Adam Clements & Annastiina Silvennoinen
2009 A nonparametric approach to forecasting realized volatility
by Adam Clements & Ralf Becker
2009 Evaluating multivariate volatility forecasts
by Adam Clements & Mark Doolan & Stan Hurn & Ralf Becker
2009 An Econometric Analysis of Some Models for Constructed Binary Time Series
by Don Harding & Adrian Pagan
2009 Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots
by Michael Jansson & Morten Ørregaard Nielsen
2009 Local polynomial Whittle estimation of perturbed fractional processes
by Per Frederiksen & Frank S. Nielsen & Morten Ørregaard Nielsen
2009 Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis
by Michael Jansson & Morten Ørregaard Nielsen
2009 Long memory in stock market volatility and the volatility-in-mean effect: the FIEGARCH-M model
by Bent Jesper Christensen & Jie Zhu & Morten Ørregaard Nielsen
2009 Unit Roots, Level Shifts and Trend Breaks in Per Capita Output: A Robust Evaluation
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2009 Wald Tests for Detecting Multiple Structural Changes in Persistence
by Mohitosh Kejriwal & Pierre Perron & Jing Zhou
2009 The Nature of Persistence in Euro Area Inflation: A Reconsideration
by Mohitosh Kejriwal
2009 A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component
by Mohitosh Kejriwal & Pierre Perron
2009 On LM-Type Tests for Seasonal Unit Roots in the Presence of a Break in Trend
by Luís Catela Nunes & Paulo M.M. Rodrigues
2009 The Flexible Fourier Form and Local GLS De-trended Unit Root Tests
by Paulo M.M. Rodrigues & A. M. Robert Taylor
2009 Finite Sample Performance of Frequency and Time Domain Tests for Seasonal Fractional Integration
by Paulo M.M. Rodrigues & Antonio Rubia & João Valle e Azevedo
2009 Does Purchasing Power Parity hold in Thailand?
by Jiranyakul, Komain & Batavia, Bala
2009 Introducing the GED-Copula with an application to Financial Contagion in Latin America
by Mendoza-Velázquez, Alfonso & Galvanovskis, Evalds
2009 Economic Forces and the Thai Stock Market, 1993-2007
by Jiranyakul, Komain
2009 Bandwidth selection for continuous-time Markov processes
by Bandi, Federico & Corradi, Valentina & Moloche, Guillermo
2009 Non-linear relation between industrial production and business surveys data
by Bruno, Giancarlo
2009 Does causality technique matter to savings-growth nexus in Malaysia?
by Tang, Chor Foon
2009 Fundamentos de econometría intermedia: Teoría y aplicaciones
by Ramon Antonio, Rosales Alvarez & Jorge Andres, Perdomo Calvo & Carlos Andres, Morales Torrado & Jaime Alejandro, Urrego Mondragon
2009 Simple, Skewness-Based GMM Estimation of the Semi-Strong GARCH(1,1) Model
by Todd, Prono
2009 Real Exchange Rate Misalignment in Azerbaijan
by Hasanov, Fakhri & Huseynov, Fariz
2009 Role of Public Expenditures and Macroeconomic Uncertainty in Determining Private Investment in Large Scale Manufacturing Sector of Pakistan
by Ahmad, Imtiaz & Qayyum, Abdul
2009 Asymmetric GARCH and the financial crisis: a preliminary study
by Výrost, Tomáš & Baumöhl, Eduard
2009 Asymmetric GARCH and the financial crisis: a preliminary study
by Výrost, Tomáš & Baumöhl, Eduard
2009 Estimation of the Business Cycles - Selected Methodological Problems of the Hodrick-Prescott Filter Application
by Kapounek, Svatopluk
2009 Estimation des changements des cours du café et du cacao: Filtre de Kalman, filtre de Hodrick-Prescott et modélisation à partir de processus markovien
by Bationo, Rakissiwinde & Hounkpodote, Hilaire
2009 Wavelet-Based Prediction for Governance, Diversi cation and Value Creation Variables
by Kahloul, Ines & Ben Mabrouk, Anouar & Hallara, Salah-Eddine
2009 Median-Unbiased Estimation in DF-GLS Regressions and the PPP Puzzle
by Lopez, Claude & Murray, Chris & Papell, David
2009 Estimating Value-at-Risk (VaR) using TiVEx-POT Models
by Mapa, Dennis S. & Cayton, Peter Julian & Lising, Mary Therese
2009 An ARDL model of unrecorded and recorded economies in Turkey
by HALICIOGLU, Ferda & Dell’Anno, Roberto
2009 The Nature and Determinants of Volatility in Agricultural Prices
by Balcombe, Kelvin
2009 The U.S. Excess Money Growth and Inflation Relation in the Long-Run: A Nonlinear Analysis
by Kulaksizoglu, Tamer & Kulaksizoglu, Sebnem
2009 The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility
by Laakkonen, Helinä & Lanne, Markku
2009 GMM Estimation with Noncausal Instruments
by Lanne, Markku & Saikkonen, Pentti
2009 Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models
by Lanne, Markku & Luoma, Arto & Luoto, Jani
2009 Foreign direct investment, exports, and economic growth in selected emerging countries: Multivariate VAR analysis
by Kalirajan, Kaliappa & Miankhel, Adil & Thangavelu, Shandre
2009 Smooth Breaks and Nonlinear Mean Reversion: Post-Bretton Woods Real Exchange Rates
by Dimitris, Christopoulos & Miguel, Leon-Ledesma
2009 Türkiye’de Büyüme ve İhracat Arasındaki Nedensellik İlişkileri
by Bilgin, Cevat & Sahbaz, Ahmet
2009 Hidden Markov models with t components. Increased persistence and other aspects
by Bulla, Jan
2009 DEoptim: An R Package for Global Optimization by Differential Evolution
by Mullen, Katharine M. & Ardia, David & Gil, David L. & Windover, Donald & Cline, James
2009 Forecasting wholesale electricity prices: A review of time series models
by Weron, Rafal
2009 Measuring market risk using extreme value theory
by Mapa, Dennis S. & Suaiso, Oliver Q.
2009 Optimal Risk Management Before, During and After the 2008-09 Financial Crisis
by McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez Amaral, Teodosio
2009 Effects of Macroeconomic Variables on Stock Prices in Malaysia: An Approach of Error Correction Model
by Asmy, Mohamed & Rohilina, Wisam & Hassama, Aris & Fouad, Md.
2009 Electricity consumption and GDP in an electricity community: Evidence from bound testing cointegration and Granger-causality tests
by Alinsato, Alastaire Sèna
2009 Impact of Model Specification Decisions on Unit Root Tests
by Atiq-ur-Rehman, Atiq-ur-Rehman & Zaman, Asad
2009 An Empirical Study on Exchange Rate Volatility and it Impacts on Bilateral Export Growth: Evidence from Bangladesh
by Ahmed, Md Shoaib
2009 Are real exchange rates mean reverting? Evidence from a panel of OECD countries
by Levent, Korap
2009 Inflation Volatility: An Asian Perspective
by Rizvi, Syed Kumail Abbas & Naqvi, Bushra
2009 The Predictive Power of Conditional Models: What Lessons to Draw with Financial Crisis in the Case of Pre-Emerging Capital Markets?
by El Bouhadi, Abdelhamid & Achibane, Khalid
2009 “Exchange Rate Volatility and International Trade Growth: Evidence from Bangladesh”
by Md Shoaib Ahmed, Shoaib
2009 Macroeconomic Implications of Capital Inflows in India
by Masood, Tariq & Ahmad, Mohd. Izhar
2009 Further Evidence on Public Spending and Economic Growth in East Asian Countries
by Kumar, Saten
2009 Museum and monument attendance and tourism flow: A time series analysis approach
by Cellini, Roberto & Cuccia, Tiziana
2009 Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions
by Janczura, Joanna & Weron, Rafal
2009 The role of Regime Shifts in the Term Structure of Interest Rates: Further evidence from an Emerging Market
by Saltoglu, Burak & Yazgan, Ege
2009 A Re-examination of Private Consumption in Fiji
by Kumar, Saten
2009 Some Empirical Evidence on the Demand for Money in the Pacific Island Countries
by Kumar, Saten & Singh, Rup
2009 Domestic Debt Dynamics and Fiscal Sustainability in Nigeria: An Empirical Evidence
by Mohammed, Shehu Tijjani
2009 Predicting unemployment in short samples with internet job search query data
by Francesco, D'Amuri
2009 "Google it!" Forecasting the US unemployment rate with a Google job search index
by D'Amuri, Francesco/FD & Marcucci, Juri/JM
2009 Modelo Para El Mejoramiento De La Gestión De Inventarios Del Banco Central Del Ecuador
by Aguilar, Juan Francisco
2009 Mean Shift detection under long-range dependencies with ART
by Willert, Juliane
2009 Equity Price Bubbles in the Middle Eastern and North African Financial Markets
by Jahan-Parvar, Mohammad & Waters, George
2009 Financial Development, Shocks, and Growth Volatility
by Mallick, Debdulal
2009 Asymmetry of the exchange rate pass-through: An exercise on the Polish data
by Przystupa, Jan & Wróbel, Ewa
2009 A Century of Purchasing Power Parity Confirmed: The Role of Nonlinearity
by Kim, Hyeongwoo & Moh, Young-Kyu
2009 Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations in R
by Ardia, David
2009 Forecasting economy with Bayesian autoregressive distributed lag model: choosing optimal prior in economic downturn
by Bušs, Ginters
2009 Competitiveness and the real exchange rate: the standpoint of countries in the CEMAC zone
by Lendjoungou, Francis
2009 Combining parametric and nonparametric approaches for more efficient time series prediction
by Dabo-Niang, Sophie & Francq, Christian & Zakoian, Jean-Michel
2009 Economic Shocks and Exchange Rate as a Shock Absorber in Indonesia and Thailand
by Goo, Siwei & Siregar, Reza Y. Siregar
2009 Bank Competition and International Financial Integration: Evidence using a new Index
by Pasricha, Gurnain
2009 Comparing forecasts of Latvia's GDP using simple seasonal ARIMA models and direct versus indirect approach
by Bušs, Ginters
2009 Understanding forecast failure of ESTAR models of real exchange rates
by Buncic, Daniel
2009 Los Barómetros de Harvard: ¿Permitían Pedecir la Depresión de 1929?
by Escañuela Romana, Ignacio
2009 Exports-Led Growth Hypothesis in Pakistan: Further Evidence
by Akmal, Muhammad Shahbaz & Ahmad, Khalil & Ali, Muhammad
2009 Are stock exchanges integrated in the world? - A critical Analysis
by Varadi, Vijay Kumar & Boppana, Nagarjuna
2009 Investigating causal relationship between stock return with respect to exchange rate and FII: evidence from India
by Kumar, Sundaram
2009 Investigating suicidal trend and its economic determinants: evidence from India
by Pandey, Manoj K. & Kaur, Charanjit
2009 A Dynamic Econometric Study of Suicides in Turkey
by Altinanahtar, Alper & Halicioglu, Ferda
2009 Low-Pass Filter Design using Locally Weighted Polynomial Regression and Discrete Prolate Spheroidal Sequences
by Proietti, Tommaso & Luati, Alessandra
2009 Short run and long run dynamics of impact of health status on economic growth Evidence from Pakistan
by Akram, Naeem
2009 How does fiscal policy affect monetary policy in the Southern African Community (SADC)?
by Obinyeluaku, Moses & Viegi, Nicola
2009 The Multistep Beveridge-Nelson Decomposition
by Proietti, Tommaso
2009 Hyper-spherical and Elliptical Stochastic Cycles
by Luati, Alessandra & Proietti, Tommaso
2009 Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models
by Francq, Christian & Zakoian, Jean-Michel
2009 Merits and drawbacks of variance targeting in GARCH models
by Francq, Christian & Horvath, Lajos & Zakoian, Jean-Michel
2009 Concepts and tools for nonlinear time series modelling
by Amendola, Alessandra & Christian, Francq
2009 Measuring the Persistence on Consumption in Portugal
by Belbute, José & Caleiro, António
2009 Natural Gas markets:How Sensitive to Crude Oil Price Changes?
by Onour, Ibrahim
2009 Breaks in the Breaks: A Time-Series Analysis of Divorce Rates
by González-Val, Rafael & Marcén, Miriam
2009 Foreign Exchange Market Pressure and Monetary Policy: An Empirical Study Based on China’s Data
by Liu, L. & Ni, Y.J
2009 Are Macroeconomic Variables Useful for Forecasting the Distribution of U.S. Inflation?
by Manzan, Sebastiano & Zerom, Dawit
2009 Unit Roots in White Noise
by Onatski, Alexei & Uhlig, Harald
2009 The EPS as an e-commerce enabler: The Macedonian perspective
by Abdullai, Besim
2009 The Electronic Payment System as an e-commerce enabler: The Macedonian perspective
by Abdullai, Besim
2009 An Empirical Investigation of Stock Market Behavior in the Middle East and North Africa
by Cheng, Ai-ru & Jahan-Parvar, Mohammad R. & Rothman, Philip
2009 Bartlett's formula for a general class of non linear processes
by Francq, Christian & Zakoian, Jean-Michel
2009 Understanding forecast failure in ESTAR models of real exchange rates
by Buncic, Daniel
2009 Bootstrap prediction intervals for threshold autoregressive models
by Jing, Li
2009 Economic Growth and Carbon Dioxide Emissions in Italy, 1861-2003
by Annicchiarico, Barbara & Bennato, Anna Rita & Costa, Andrea
2009 Existence of Singularity Bifurcation in an Euler-Equations Model of the United States Economy: Grandmont was Right
by Barnett, William A. & He, Susan
2009 The Ownership and Industry Effects of Corporate Dividend Policy in India, 1961-2007
by Kamat, Manoj S.
2009 Investigating Suicidal Trend and its Economic Determinants: Evidence from India
by Manoj K. Pandey & Charanjit Kaur
2009 Some Issues in Modeling and Forecasting Inflation in South Africa
by Janine Aron
2009 Current Account Sustainability in Brazil: A Non-Linear Approach
by Luiz de Mello & Matteo Mogliani
2009 Do Latin American Central Bankers Behave Non-Linearly?: The Experiences of Brazil, Chile, Colombia and Mexico
by Luiz de Mello & Diego Moccero & Matteo Mogliani
2009 A quarterly post-World War II real GDP series for New Zealand
by Viv B. Hall & C. John McDermott
2009 Serbian foreign exchange market during 2004-2008
by Mario Jovanović
2009 Central bank FOREX interventions assessed using realized moments
by Beine, Michel & Laurent, Sébastien & Palm, Franz C.
2009 Jump-Robust Volatility Estimation using Nearest Neighbor Truncation
by Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg
2009 U.S. Stock Market Crash Risk, 1926-2006
by David S. Bates
2009 Forecasting Intraday Time Series with Multiple Seasonal Cycles Using Parsimonious Seasonal Exponential Smoothing
by James W. Taylor & Ralph D. Snyder
2009 Optimal Probabilistic Forecasts for Counts
by Brendan P.M. McCabe & Gael M. Martin & David Harris
2009 Exponential Smoothing and the Akaike Information Criterion
by Ralph D. Snyder & J. Keith Ord
2009 Forecasting time series with complex seasonal patterns using exponential smoothing
by Alysha M De Livera & Rob J Hyndman
2009 Description Length and Dimensionality Reduction in Functional Data Analysis
by D. S. Poskitt & Arivalzahan Sengarapillai
2009 Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro
by Monica Billio & Laurent Ferrara & Dominique Guegan & Gian Luigi Mazzi
2009 The Multivariate k-Nearest Neighbor Model for Dependent Variables : One-Sided Estimation and Forecasting
by Dominique Guegan & Patrick Rakotomarolahy
2009 A Risk Management Approach for Portfolio Insurance Strategies
by Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent
2009 D'un multiple conditionnel en assurance de portefeuille : CAViaR pour les gestionnaires ?
by Benjamin Hamidi & Emmanuel Jurczenko & Bertrand Maillet
2009 Wavelet method for locally stationary seasonal long memory processes
by Dominique Guegan & Zhiping Lu
2009 The Effects Of Disaggregated Savings On Economic Growth In Malaysia - Generalised Variance Decomposition Analysis
by Chor Foon Tang & Hooi Hooi Lean
2009 A Characterization of the Dickey-Fuller Distribution, With Some Extensions to the Multivariate Case
by Cerqueti, Roy & Costantini, Mauro & Lupi, Claudio
2009 Covariate Augmented Dickey-Fuller Tests with R
by Lupi, Claudio
2009 Regional Dimensions of the Australian Business Cycle
by Robert Dixon & David Shepherd
2009 A robust version of the KPSS test based on ranks
by Matteo Pelagatti & Pranab Sen
2009 Revisiting Residential Demand for Electricity in Greece: New Evidence from the ARDL Approach to Cointegration
by Theologos Dergiades & Lefteris Tsoulfidis
2009 Modelling stock returns in Africa’s emerging equity markets
by Paul Alagidede & Theodore Panagiotidis
2009 Using Accounting Data in Cartel Damage Calculations – Blessing or Menace?
by Johannes Paha
2009 On Marginal Likelihood Computation in Change-point Models
by Luc Bauwens & Jeroen V.K. Rombouts
2009 Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models
by Jeroen V.K. Rombouts & Lars Stentoft
2009 Long run economic growth and tourism: inferring from Uruguay
by Stefania Lionetti & Juan Gabriel Brida & Wiston Adrián Risso
2009 Measuring Total Factor Productivity and Variable Factor Utilisation: Sector Approach, The Case of Latvia
by Ludmila Fadejeva & Aleksejs Melihovs
2009 Oil Price Shock and Structural Changes in CMEA Trade
by Beckmann, Elisabeth & Fidrmuc, Jarko
2009 Measuring Convergence of the New Member Countries’ Exchange Rates to the Euro
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by Laurent Ferrara & Thomas Raffinot
2008 Forecasting chaotic systems : the role of local Lyapunov exponents
by Dominique Guegan & Justin Leroux
2008 The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics
by Abdou Kâ Diongue & Dominique Guegan
2008 Testing fractional order of long memory processes : a Monte Carlo study
by Laurent Ferrara & Dominique Guegan & Zhiping Lu
2008 An Empirical Investigation On The Sustainability Of Balancing Item Of Balance Of Payment Accounts For Oic Member Countries
by Tuck Cheong Tang & Evan Lau
2008 Private Saving In India And Malaysia Compared: The Role Of Financial Liberalization And Expected Pension Benefits
by James Ang & Kunal Sen
2008 Milan’s Cycle as an Accurate Leading Indicator for the Italian Business Cycle
by Matteo Pelagatti & Valeria Negri
2008 Adjustment of US External Imbalances: At What Horizon?
by Panagiotis Th. Konstantinou
2008 Are economic growth and the variability of the business cycle related ? Evidence from five European countries
by Stilianos Fountas & Menelaos Karanasos
2008 Market Efficiency and the Euro: The case of the Athens Stock exchange
by Theodore Panagiotidis
2008 Macroeconomic Uncertainty and Performance in Asian Countries
by Don Bredin & John Elder & Stilianos Fountas
2008 Macroeconomic Uncertainty and Performance in the European Union and Implications for the objectives of Monetary Policy
by Don Bredin & Stilianos Fountas
2008 Short-Term Forecasts of Latvia's Real Gross Domestic Product Growth Using Monthly Indicators
by Konstantins Benkovskis
2008 Trend Extraction From Time Series With Structural Breaks and Missing Observations
by Schlicht, Ekkehart
2008 Estimation of Parameters in the Presence of Model misspecification and Measurement Error
by P.A.V.B. Swamy & George S. Tavlas & Stephen G. Hall & George Hondroyiannis
2008 The Realisation of Finite-Sample Frequency-Selective Filters
by Prof D.S.G. Pollock
2008 The Frequency Analysis of the Business Cycle
by Prof D.S.G. Pollock
2008 Properties of Estimated Characteristic Roots
by Bent Nielsen & Heino Bohn Nielsen
2008 Do Both U.S. and Foreign Macro Surprises Matter for the Intraday Exchange Rate? Evidence from Japan
by Rasmus Fatum & Michael Hutchison & Thomas Wu
2008 The information content of KOF indicators on Swiss current account data revisions
by Jan P.A.M. Jacobs & Sturm Jan-Egbert
2008 The Stress of Having a Single Monetary Policy in Europe
by Jan-Egbert Sturm & Timo Wollmershäuser
2008 Sentiment Dynamics and Stock Returns: The Case of the German Stock Market
by Thomas Lux
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
2008 Empirical Assessment of Bifurcation Regions within New Keynesian Models
by William Barnett & Evgeniya Aleksandrovna Duzhak
2008 Causal Effects of Monetary Shocks: Semiparametric Conditional Independence Tests with a Multinomial Propensity Score
by Angrist, Joshua & Kuersteiner, Guido M.
2008 Causal Effects of Monetary Shocks: Semiparametric Conditional Independence Tests with a Multinomial Propensity Score
by Angrist, Joshua & Kuersteiner, Guido M.
2008 The Nature of Occupational Unemployment Rates in the United States: Hysteresis or Structural?
by Candelon, Bertrand & Dupuy, Arnaud & Gil-Alana, Luis A.
2008 The Nature of Occupational Unemployment Rates in the United States: Hysteresis or Structural?
by Candelon, Bertrand & Dupuy, Arnaud & Gil-Alana, Luis A.
2008 Estimating and Forecasting GARCH Volatility in the Presence of Outiers
by M. Angeles Carnero & Daniel Peña & Esther Ruiz
2008 Panel Data Stochastic Convergence Analysis of the Mexican Regions
by Josep Lluís Carrion-i-Silvestre & Vicente German-Soto
2008 Evidence on the effects of inflation on price dispersion under indexation
by Sven Schreiber & Juliane Scharff
2008 Asymmetric income and wealth effects in a non-linear error correction model of US consumer spending
by Till van Treeck
2008 Spurious Regressions in Technical Trading: Momentum or Contrarian?
by Mototsugu Shintani & Tomoyoshi Yabu & and Daisuke Nagakura
2008 Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals
by Xiaohong Chen & Demian Pouzo
2008 Local Lyapunov exponents: Zero plays no role in Forecasting chaotic systems
by Dominique Guégan & Justin Leroux
2008 Declining Discount Rates: Economic Justifications and Implications for Long-Run Policy
by Gollier, Christian & Koundouri, Phoebe & Pantelidis, Theologos
2008 Hysteresis in Unemployment:Evidence from Latin America
by Matias Mednik & Cesar M. Rodriguez & Inder J. Ruprah
2008 Realized Betas and the Cross-Section of Expected Returns
by Claudio Morana
2008 International shocks and national house prices
by Andrea Beltratti & Claudio Morana
2008 Realized portfolio selection in the euro area
by Claudio Morana
2008 Testing Multiplicative Error Models Using Conditional Moment Tests
by Nikolaus Hautsch
2008 Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference
by Nikolaus Hautsch & Yangguoyi Ou
2008 Measuring and Modeling Risk Using High-Frequency Data
by Wolfgang Härdle & Nikolaus Hautsch & Uta Pigorsch
2008 Adaptive pointwise estimation in time-inhomogeneous time-series models
by Pavel Cizek & Wolfgang Härdle & Vladimir Spokoiny
2008 Testing for the presence of noise in long memory processes [in Japanese]
by Keiko Yamaguchi
2008 Changes in Investors' Risk Appetite - An Assessment of Financial Integration and Interdependence
by Laurence Fung & Chi-sang Tam & Ip-wing Yu
2008 Liquidity on the Scandinavian Order-driven Stock Exchanges
by Söderberg, Jonas
2008 The Sources of Volatility Transmission in the Euro Area Money Market: From Longer Maturities to the Overnight?
by Zagaglia, Paolo
2008 Multinational Electricity Market Integration and Electricity Price Dynamics
by Lundgren, Jens & Hellström, Jörgen & Rudholm, Niklas
2008 Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure
by Amado, Cristina & Teräsvirta, Timo
2008 Market Structure and the Stability and Volatility of Electricity Prices
by Bask, Mikael & Widerberg, Anna
2008 Estimating fundamental cross-section dispersion from fixed event forecasts
by Jonas Dovern & Ulrich Fritsche
2008 Fourth order pseudo maximum likelihood methods
by Alberto Holly & Alain Montfort & Michael Rockinger
2008 A Study on "Spurious Long Memory in Nonlinear Time Series Models"
by Kuswanto, Heri & Sibbertsen, Philipp
2008 A new unit root test against ESTAR based on a class of modified statistics
by Kruse, Robinson
2008 Rational bubbles and fractional integration
by Kruse, Robinson
2008 Volatility Transmission between Renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures
by Michael Funke & Roberta Colavecchio
2008 The undisclosed Renminbi Basket: are the markets telling us something about where the Renminbi - US Dollar Exchange Rate is going?
by Marc Gronwald & Michael Funke
2008 The undisclosed Renminbi Basket: are the markets telling us something about where the Renminbi - US Dollar Exchange Rate is going?
by Marc Gronwald & Michael Funke
2008 Volatility Transmission between Renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures
by Roberta Colavecchio & Michael Funke
2008 Asymmetry in the Business Model: Revisiting the Friedman Plucking Model
by Tara Sinclair
2008 A Likelihood Ratio Test of Stationarity Based on a Correlated Unobserved Components Model
by James Morley & Irina Panovska & Tara M. Sinclair
2008 Testing for a Deterministic Trend when there is Evidence of Unit-Root
by Manuel Gomez & Daniel Ventosa-Santaularia
2008 3-Regime symmetric STAR modeling and exchange rate reversion
by Mario Cerrato & Hyunsok Kim & Ronald MacDonald
2008 La contagion liée au changement des anticipations : évidence de la crise coréenne
by Wajih Khallouli & René Sandretto & Mohamed Ayadi
2008 A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets
by Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi
2008 Comparison of Volatility Measures: a Risk Management Perspective
by Christian T. Brownlees & Giampiero Gallo
2008 Inflation Persistence: Is It Similar in the New EU Member States and the Euro Area Members?
by Michal Franta & Branislav Saxa & Katerina Smidkova
2008 Volatility extraction using the Kalman filter
by Alexandr Kuchynka
2008 Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes
by James Davidson & Nigar Hashimzade
2008 Tests of Bias in Log-Periodogram Regression
by James Davidson & Philipp Sibbertsen
2008 Parameter Estimation in Nonlinear AR-GARCH Models
by Mika Meitz & Pentti Saikkonen
2008 ESeC-Rubin Missing Value Interpretation for a Regional Bottom-Up Hierarchical Forecasting
by Antonio Anselmi & Paola Maddalena Chiodini & Flavio Verrecchia
2008 Federal Funds Rate Stationarity: New Evidence
by Frédérique BEC, Charbel BASSIL
2008 Selection of the number of frequencies using bootstrap techniques in log-periodogram regression
by Arteche González, Jesús María & Orbe Lizundia, Jesús María
2008 How Do Public Announcements Affect The Frequency Of Trading In U.S. Airline Stocks?
by Sylwia Nowak
2008 Remittances and Growth in Latin America: A Panel Unit Root and Panel Cointegration Analysis
by Ramirez, Miguel D. & Sharma, Hari
2008 A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis
by Nielsen, Morten
2008 Unit Root Tests for Time Series in the Presence of an Explosive Root
by K.Suresh Chandra & J.V.Janhavi
2008 Has modelsí forecasting performance for US output growth and inflation changed over time, and when?
by Tatevik Sekhposyan & Barbara Rossi
2008 Forecast Comparisons in Unstable Environments
by Giacomini, Raffaella & Rossi, Barbara
2008 Which Structural Parameters Are "Structural"? Identifying the Sources of Instabilities in Economic Models
by Inoue, Atsushi & Rossi, Barbara
2008 L'impact des signaux de politique monétaire sur la rentabilité et la volatilité des actions du CAC 40
by Aymen Belgacem
2008 Money Velocity and Asset Prices in the Euro Area
by Christian Dreger & Jürgen Wolters
2008 M3 Money Demand and Excess Liquidity in the Euro Area
by Christian Dreger & Jürgen Wolters
2008 Estimating Fundamental Cross-Section Dispersion from Fixed Event Forecasts
by Jonas Dovern & Ulrich Fritsche
2008 Money Velocity and Asset Prices in the Euro Area
by Christian Dreger & Jürgen Wolters
2008 M3 Money Demand and Excess Liquidity in the Euro Area
by Christian Dreger & Jürgen Wolters
2008 Spline Smoothing over Difficult Regions
by Siem Jan Koopman & Soon Yip Wong
2008 A General Framework for Observation Driven Time-Varying Parameter Models
by Drew Creal & Siem Jan Koopman & Andr� Lucas
2008 Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails
by Cees Diks & Valentyn Panchenko & Dick van Dijk
2008 Likelihood Functions for State Space Models with Diffuse Initial Conditions
by Marc K. Francke & Siem Jan Koopman & Aart de Vos
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
2008 Estimation and Model Selection of Semiparametric Multivariate Survival Functions under General Censorship
by Xiaohong Chen & Yanqin Fan & Demian Pouzo & Zhiliang Ying
2008 Copula-Based Nonlinear Quantile Autoregression
by Xiaohong Chen & Roger Koenker & Zhijie Xiao
2008 Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity
by Donald W.K. Andrews & Patrik Guggenberger
2008 Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity
by Donald W.K. Andrews & Patrik Guggenberger
2008 Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity
by Donald W.K. Andrews & Patrik Guggenberger
2008 Optimal Bandwidth Choice for Interval Estimation in GMM Regression
by Yixiao Sun & Peter C.B. Phillips
2008 Testing for Non-Nested Conditional Moment Restrictions Using Unconditional Empirical Likelihood
by Taisuke Otsu & Myung Hwan Seo & Yoon-Jae Whang
2008 Smoothing Local-to-Moderate Unit Root Theory
by Peter C.B. Phillips & Tassos Magdalinos & Liudas Giraitis
2008 Semiparametric Cointegrating Rank Selection
by Xu Cheng & Peter C.B. Phillips
2008 Structural Nonparametric Cointegrating Regression
by Qiying Wang & Peter C.B. Phillips
2008 Long Memory and Long Run Variation
by Peter C.B. Phillips
2008 Unit Root and Cointegrating Limit Theory When Initialization Is in the Infinite Past
by Peter C.B. Phillips & Tassos Magdalinos
2008 Unit Root Model Selection
by Peter C.B. Phillips
2008 Nonlinearity and Temporal Dependence
by Xiaohong Chen & Lars P. Hansen & Marine Carrasco
2008 Limit Theorems for Functionals of Sums that Converge to Fractional Brownian and Stable Motions
by P. Jeganathan
2008 Efficient Estimation of Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals
by Xiaohong Chen & Demian Pouzo
2008 La parité des pouvoirs d’achat pour l’économie chinoise : Une nouvelle analyse par les tests de racine unitaire
by Olivier DARNÉ & Jean-François HOARAU
2008 Simple Wald tests of the fractional integration parameter : an overview of new results
by Juan Jose Dolado & Jesus Gonzalo & Laura Mayoral
2008 Statistical Properties and Economic Implications of Jump-Diffusion Processes with Shot-Noise Effects
by Manuel Moreno & Pedro Jose Serrano & Winfried Stute
2008 Multi-sector inflation forecasting - quarterly models for South Africa
by Janine Aron & John Muellbauer
2008 Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels
by Nikolay Gospodinov & Masayuki Hirukawa
2008 Local GMM Estimation of Time Series Models with Conditional Moment Restrictions
by Nikolay Gospodinov & Taisuke Otsu
2008 Monetary Policy and Inflation Modeling in a More Open Economy in South Africa
by Aron, Janine & Muellbauer, John
2008 Monetary Factors and Inflation in Japan
by Assenmacher-Wesche, Katrin & Gerlach, Stefan & Sekine, Toshitaka
2008 Estimating autocorrelations in the presence of deterministic trends
by Wang, Shin-Huei & Hafner, Christian
2008 An easy test for two stationary long processes being uncorrelated via AR approximations
by WANG , Shin-Huei & HSIAO, Cheng
2008 Clustering Mutual Funds by Return and Risk Levels
by F. Lisi & E. Otranto
2008 A Realistic Model for Official Interest Rates
by J. De Dios Tena & E. Otranto
2008 Clustering Heteroskedastic Time Series by Model-Based Procedures
by E. Otranto
2008 Business Cycles in the Euro Area Defined with Coincident Economic Indicators and Predicted with Leading Economic Indicators
by Ataman Ozyildirim & Brian Schaitkin & Victor Zarnowitz
2008 On the Influence of Oil Prices on Economic Activity and Other Macroeconomic and Financial Variables
by François Lescaroux & Valérie Mignon
2008 The Information Content of KOF Indicators on Swiss Current Account Data Revisions
by Jan Jacobs & Jan-Egbert Sturm
2008 Modelling Long-Run Trends and Cycles in Financial Time Series Data
by Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana
2008 Forecasting Random Walks Under Drift Instability
by M. Hashem Pesaran & Andreas Pick
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
2008 The Stress of Having a Single Monetary Policy in Europe
by Jan-Egbert Sturm & Timo Wollmershäuser
2008 On The Cyclicality of Real Wages and Wage Differentials
by Otrok, Christopher & Pourpourides, Panayiotis M.
2008 A New Procedure to Test for H Self-Similarity
by Les Oxley & Chris Price & William Rea & Marco Reale
2008 The Empirical Properties of Some Popular Estimators of Long Memory Processes
by Jennifer Brown & Les Oxley & William Rea & Marco Reale
2008 Long memory or shifting means? A new approach and application to realised volatility
by Eduardo Mendes & Les Oxley & William Rea & Marco Reale
2008 Selection on the basis of prior testing
by Carlos Santos
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
2008 Beta-t-(E)GARCH
by Harvey, A. & Chakravarty, T.
2008 Dynamic distributions and changing copulas
by Harvey, A.
2008 Forecasting Random Walks Under Drift Instability
by Pesaran, M.H. & Pick, A.
2008 Federal Securities Regulations and Stock Market Returns
by Tung Liu & Courtenay C. Stone & Gary J. Santoni
2008 On the Relationship Between Cross-Sectional and Time Series Measures of Uncertainty
by Ciaran Driver & Lorenzo Trapani & Giovanni Urga
2008 Return Predictability under Equilibrium Constraints on the Equity Premium
by Davide Pettenuzzo & Allan G. Timmermann & Rossen I. Valkanov
2008 Estimating and Testing Multiple Structural Changes in Models with Endogenous Regressors
by Pierre Perron & Yohei Yamamoto
2008 Modeling and Forecasting Stock Return Volatility Using a Random Level Shift Model
by Yang K. Lu & Pierre Perron
2008 Testing for Breaks in Coefficients and Error Variance: Simulations and Applications
by Jing Zhou & Pierre Perron
2008 On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
by Pierre Perron & Yohei Yamamoto
2008 Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
by Pierre Perron & Zhongjun Qu
2008 A Note on the Use of Moving Average Trading Rules to Test For Weak from Efficiency in Capital Markets
by Alexandros E. Milionis & Evangelia Papanagiotou
2008 Price and Non - Price Competitiveness of Exports of Manufactures
by Panayiotis P. Athanasoglou & Ioanna C. Bardaka
2008 The Volatility of International Trade Flows and Exchange Rate Uncertainty
by Christopher F. Baum & Mustafa Caglayan
2008 Copula-Based Nonlinear Quantile Autoregression
by Xiaohong Chen & Roger Koenker & Zhijie Xiao
2008 Business surveys modelling with Seasonal-Cyclical Long Memory models
by Ferrara, L. & Guégan, D.
2008 Analyse conjoncturelle de données brutes et estimation de cycles Partie 2 : mise en oeuvre empirique
by Lacroix, R.
2008 Analyse conjoncturelle de données brutes et estimation de cycles Partie 1 : estimation et tests
by Lacroix, R.
2008 Désaisonnalisation des agrégats monétaires : Mise en place d’une chaîne rénovée
by Lacroix, R. & Maurin, L.
2008 Test simultané de la non-stationnarité et de la non-linéarité : une application au taux d.intérêt réel américain
by Million, N.
2008 Some Preliminary Evidence on the Globalization-Inflation Nexus
by Guilloux, S. & Kharroubi, E.
2008 La transmission des taux de marché aux taux bancaires : une estimation sur données individuelles françaises
by Barbier de la Serre, A. & Frappa, S. & Montornès, J. & Murez, M.
2008 A Note on the Dynamics of Persistence in US Inflation
by Noriega Antonio E. & Ramos Francia Manuel
2008 Experts´ Macroeconomics Expectations: An Evaluation of Mexican Short-Run Forecasts
by Carlos Capistrán & Gabriel López-Moctezuma
2008 Tax revenue and the macroeconomic framework in Italy
by Alberto Locarno & Alessandra Staderini
2008 Nonlinearities in the dynamics of the euro area demand for M1
by Alessandro Calza & Andrea Zaghini
2008 Temporal aggregation of univariate and multivariate time series models: A survey
by Andrea Silvestrini & David Veredas
2008 Credit risk and business cycle over different regimes
by Juri Marcucci & Mario Quagliariello
2008 Emerging market spreads in the recent financial turmoil
by Alessio Ciarlone & Paolo Piselli & Giorgio Trebeschi
2008 Inflation targeting in Latin America: Empirical analysis using GARCH models
by Carmen Broto
2008 Measuring and explaining the volatility of capital flows towards emerging countries
by Carmen Broto & Javier Díaz-Cassou & Aitor Erce-Domínguez
2008 Testing for conditional heteroscedasticity in the components of inflation
by Carmen Broto & Esther Ruiz
2008 Introducing the EURO-STING: Short Term INdicator of Euro Area Growth
by Maximo Camacho & Gabriel Perez-Quiros
2008 Regime Dependence, Common Shocks and the Inflation-Relative Price Variability Relation
by Tomás Castagnino & Laura D´Amato
2008 Imports-Exports Correlation: A New Puzzle?
by Ricardo Bebczuk
2008 Futures Markets, Oil Prices and the Intertemporal Approach to the Current Account
by Elif C. Arbatli
2008 Empirical Likelihood Block Bootstrapping
by Jason Allen & Allan W. Gregory & Katsumi Shimotsu
2008 Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models
by Christian Conrad & Enno Mammen
2008 Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study
by Christian Conrad & Menelaos Karanasos & Ning Zeng
2008 Edgeworth and Moment Approximations: The Case of MM and QML Estimators for the MA(1) Models
by Dimitra Kyriakopoulou & Antonis Demos
2008 Analyse spectrale de l’évolution de longue période des brevets en France, en Allemagne, en Grande-Bretagne, aux Etats-Unis et au Japon (17ème-20ème siècles)
by Claude Diebolt & Karine Pellier
2008 Econométrie historique des salaires en France : une relecture des années charnières
by Claude Diebolt & Magali Jaoul-Grammare
2008 Global Temperature Trends
by Trevor Breusch & Farshid Vahid
2008 Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility
by Giuseppe Cavaliere & David I. Harvey & Stephen J. Leybourne & A.M. Robert Taylor
2008 Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood
by Per Frederiksen & Frank S. Nielsen
2008 Optimal inference in dynamic models with conditional moment restrictions
by Bent Jesper Christensen & Michael Sørensen
2008 Glossary to ARCH (GARCH)
by Tim Bollerslev
2008 Expected Stock Returns and Variance Risk Premia
by Tim Bollerslev & Tzuo Hao & George Tauchen
2008 Semiparametric Inference in a GARCH-in-Mean Model
by Bent Jesper Christensen & Christian M. Dahl & Emma M. Iglesias
2008 The cyclical component factor model
by Christian M. Dahl & Henrik Hansen & John Smidt
2008 American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution
by Lars Stentoft
2008 The limiting properties of the QMLE in a general class of asymmetric volatility models
by Christian M. Dahl & Emma M. Iglesias
2008 A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic
by Morten Ørregaard Nielsen
2008 Bias-reduced estimation of long memory stochastic volatility
by Per Frederiksen & Morten Ørregaard Nielsen
2008 Parameter estimation in nonlinear AR-GARCH models
by Mika Meitz & Pentti Saikkonen
2008 Local polynomial Whittle estimation of perturbed fractional processes
by Per Frederiksen & Frank S. Nielsen & Morten Ørregaard Nielsen
2008 Local polynomial Whittle estimation covering non-stationary fractional processes
by Frank S. Nielsen
2008 Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form
by Anne Péguin-Feissolle & Birgit Strikholm & Timo Teräsvirta
2008 Parametric inference for discretely sampled stochastic differential equations
by Michael Sørensen
2008 FIEGARCH-M and and International Crises: A Cross-Country Analysis
by Jie Zhu
2008 Option Pricing using Realized Volatility
by Lars Stentoft
2008 Volatility Components, Affine Restrictions and Non-Normal Innovations
by Peter Christoffersen & Kris Dorion & Yintian Wang
2008 Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure
by Christina Amado & Timo Teräsvirta
2008 Parameterizing unconditional skewness in models for financial time series
by Changli He & Annastiina Silvennoinen & Timo Teräsvirta
2008 Efficient estimation for ergodic diffusions sampled at high frequency
by Michael Sørensen
2008 A Simple, Model-Independent Analysis of Reasons for Non-Fulfillment of the Declared Inflation Target
by Michal Skorepa
2008 Uncover Latent PPP by Dynamic Factor Error Correction Model (DF-ECM) Approach: Evidence from Five OECD Countries
by Qin, Duo
2008 Equilibrium real exchange rate and misalignments : Lessons from a VAR-ECM model applied to Tunisia
by Fatma Marrakchi Charfi
2008 Panel Cointegration Tests: A Survey
by Laura Barbieri
2008 Analysis Of High Frequency Data On The Warsaw Stock Exchange In The Context Of Efficient Market Hypothesis
by Pawel STRAWINSKI & Robert SLEPACZUK
2008 Argentinean real exchange rate 1900-2006, test purchasing power parity theory
by Marcos José Dal Bianco
2008 Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?
by Graham Elliott & Ivana Komunjer & Allan Timmermann
2008 An Investigation on the Shuttle Trade Dynamics of a Small-Open-Economy
by Afsin Sahin & Yilmaz Akdi & Cemal Atakan
2008 Finance and the Diffusion of Digital Technologies
by Bruno Caprettini
2008 Indicators and Tests of Sustainability: The Italian Case
by Matteo Formenti
2008 Predictability And Complexity In Macroeconomics. The Case Of Gross Fixed Capital Formation In The Romanian Economy
by Scutaru, Cornelia & Saman, Corina & Stanica, Cristian
2008 Spurious Regression And Cointegration. Numerical Example: Romania’S M2 Money Demand
by Ruxanda, Gheorghe & Botezatu, Andreea
2008 Modelling Tourism Demand: A Comparative Study Between Artificial Neural Networks And The Box-Jenkins Methodology
by Fernandez, Paula & Teixeira, Joao & Ferreira, Joao & Azevedo, Susana G.
2008 A Model to Estimate the Composite Index of Economic Activity in Romania – IEF-RO
by Albu, Lucian Liviu
2008 Patenting activity and innovativeness in US and Japan: an econometric analysis
by Gómez, Mario & Rodríguez, José Carlos
2008 Structural Changes and Unit Roots: Distinguishing Models of Nonstationary Time Series
by Brodsky, Boris
2008 Credit Risk Management
by Fantazzini, Dean
2008 Econometric Analysis of Financial Data in Risk Management (continuation). Section III: Managing Operational Risk
by Fantazzini, Dean
2008 Forecasting for the Bank's Asset-Liability Management
by Penikas, Henry
2008 An Econometric Analysis of Financial Data in Risk Management
by Fantazzini, Dean
2008 Modelarea volatilitatii seriilor de timp prin modele GARCH simetrice
by Cristiana Tudor
2008 Pruebas de cointegracion de paridad de poder de compra
by Frederick H. Wallace & Rene Lozano Cortes & Luis Fernando Cabrera Castellanos
2008 Time series of monthly and yearly inflation rates and their properties
by Josef Arlt & Milan Bašta
2008 An empirical application of a two-factor model of stochastic volatility
by Alexandr Kuchynka
2008 Models of political cycles: the czech experience
by Radka Štiková
2008 The Long Term Impact of Health on Economic Growth in Pakistan
by Naeem Akram & Ihtsham ul Haq Padda & Mohammad Khan
2008 Economic Growth and Its Determinants in Pakistan
by Muhammad Shahbaz & Khalil Ahmad & A. R. Chaudhary
2008 Procesos Poisson-Gaussianos para el Análisis de Rendimientos en el Mercado Accionarial en México
by NÚÑEZ MORA, J. Antonio & SEGUNDO VALDÉS, Alejandro & DE LA CRUZ GALLEGOS, J. Luis
2008 Monetary Transmission in the Term Structure of Interest Rates in Spain (1995-2003)/ Transmisión monetaria en la estructura temporal de tipos de interés en España, 1995-2003
by PRATS, MARIA A. & SOTO, GLORIA M.
2008 Impact of Intellectual Capital Efficiency on Profitability (A Case Study of LSE25 Companies)
by Muhammad Abdul Majid Makki & Suleman Aziz Lodhi
2008 Export-Led Growth Hypothesis in Pakistan: A Reinvestigation Using the Bounds Test
by Saima Siddiqui & Sameena Zehra & Sadia Majeed & Muhammad Sabihuddin Butt
2008 Forecasting Wheat Production in Pakistan
by Falak Sher & Eatzaz Ahmad
2008 Long-Run and Short-Run Dynamics of the Exchange Rate in Pakistan: Evidence FromUnrestricted Purchasing Power Parity Theory
by Muhammad Arshad Khan & Abdul Qayyum
2008 Apple Market Integration: Implications for Sustainable Agricultural Development
by Khalid Mushtaq & Abdul Gafoor & Maula Dad
2008 Human Capital and Economic Growth: Pakistan, 1960-2003
by Qaisar Abbas & James Foreman-Peck
2008 The Phillips Curve and NAIRU Revisited: New Estimates for Germany
by Bernd Fitzenberger & Wolfgang Franz & Oliver Bode
2008 Foreign Direct Investment Intensity Effects On Tfp Intensity Of Asean 5 Plus 2
by Elsadig Musa Ahmed
2008 Causality And Dynamics Of Energy Consumption And Output: Evidence From Non-Oecd Asian Countries
by Ruhul A. Salim & Shuddhasattwa Rafiq & A. F. M. Kamrul Hassan
2008 A Note on the Export-Led Growth Hypothesis: A Time Series Approach
by Per-Ola Maneschiöld
2008 Volatilidad de Indices Accionarios: El caso del IPSA
by Rodrigo A. Alfaro & Carmen Gloria Silva
2008 What Exactly is "Bad News" in Foreign Exchange Markets? Evidence from Latin American Markets
by Cecilia Maya & Karoll Gómez
2008 Does Asymmetric Dependence Structure Matter? A Value-at-Risk View
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2008 Wavelet Estimation of Asymmetric Hedge Ratios: Does Econometric Sophistication Boost Hedging Effectiveness?
by Elizabeth A. Maharaj & Imad Moosa & Jonathan Dark & Param Silvapulle
2008 A Common-Use Proxy for Economic Performance: Application to Asymmetric Causality between the Stock Returns and Growth
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2008 New Evidence on US Current Account Sustainability
by Juncal Cunado & Luis Alberiko Gil-Alana & Fernando Perez de Gracia
2008 Relationship Between Implied and Ralized Volatility of S&P CNX Nifty Inde in India
by Siba Prasada Panda, Niranjan Swain, D.K. Malhotra
2008 Intra-Day Stock Returns and Close-End Price Manipulation in the Istanbul Stock Exchange
by Güray Küçükkocaoglu
2008 Estimating the Dynamics of Weak Efficiency on the Prague Stock Exchange Using the Kalman Filter
by Vít Pošta
2008 Aggregate Wage Flexibility in New EU Member States
by Jan Babecký
2008 Crescimento econômico secular no Brasil, modelo de Thirlwall e termos de troca
by Holland, Márcio & Vieira, Fabrício de Assis C.
2008 Varianza condicional de medias móviles no-lineales
by Daniel Ventosa-Santaulària & Alfonso Mendoza Velázquez & Manuel Gómez-Zaldívar
2008 Producto potencial y ciclos económicos en México, 1980.1-2006.4
by Eduardo Loría & Manuel G. Ramos & Leobardo de Jesús
2008 Análisis coyuntural y prospectivo de la industria maquiladora de exportación mexicana
by Francisco Javier Trívez Bielsa & ÁngelMauricio Reyes Terrón & Francisco Javier Aliaga Lordeman
2008 Sobre la convergencia del modelo GARCH(1,1)-M al movimiento geométrico browniano con reversión a la media
by Francisco Venegas-Martínez & Francisco J. Sánchez-Torres
2008 Wage Dynamics In A Structural Time Series Model For Luxembourg
by Aka, Bédia F. & P. Pieretti
2008 An Empirical Analysis Of Sustainability Of Trade Deficit: Evidence From Sri Lanka
by PERERA, Nelson & VARMA, Reetu
2008 Port Wine Dynamics: Production, Trade And Market Structure
by REBELO, João & CORREIA, Leonida
2008 Tourism And Economic Growth: The Case Of Singapore
by LEE, Chew Ging
2008 Market Integration In Wholesale Maize Markets In Pakistan
by Tahir MUKHTAR & Muhammad Tariq JAVED
2008 Is the Caribbean Community an Optimum Currency Area?
by Ghartey, E.E.
2008 An Empirical Analysis of Debt Policies, External Dependence, Inflation and Crisis in the Ottoman Empire and Turkey: 1830-2005 Period
by Melike Bildirici & Özgür Ömer ERS?N & Elçin Aykaç ALP
2008 The Impact Of Gatt On International Trade: Evidence From Structural Break Analysis
by Suleiman ABU-BADER & Aamer S. ABU-QARN
2008 Are Indian Exports And Imports Cointegrated?
by KONYA, Laszlo & SINGH, Jai Pal
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.
2008 Patents, Innovations And Economic Growth In Japan And South Korea: Evidence From Individual Country And Panel Data
by SINHA, Dipendra
2008 Revisiting The Export-Output Nexus For Western Africa Countries: A Markov Switching Causality Approach
by AKA, Bédia F.
2008 Produktivitätswachstum in Deutschland: kein nachhaltiger Aufschwung in Sicht
by Georg Erber & Ulrich Fritsche
2008 The Relationship between Inflation, Growth, Nominal Uncertainty and Real Uncertainty: The Case of Turkey
by Tolga Omay
2008 Currency Transaction Tax Elasticity: an Econometric Estimation
by Francis Bismans & Olivier Damette
2008 La parité des pouvoirs d'achat pour l'économie chinoise : une nouvelle analyse par les tests de racine unitaire
by Olivier Darné & Jean-François Hoarau
2008 The Popularity's Determiners of Right-Wing Populism and Left-Wing Communism in France
by Emin Agamaliyev & Christophe Boya & Julien Malizard
2008 Nonlinear PPP Deviations: A Monte Carlo Investigation of Their Unconditional Half-Life
by Ming Chien Lo
2008 Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components
by Juan J. Dolado & Jesus Gonzalo & Laura Mayoral
2008 Threshold Adjustment of Deviations from the Law of One Price
by Luciana Juvenal & Mark P. Taylor
2008 Reconsideration of the Markov Chain Evidence on Unemployment Rate Asymmetry
by Philip A. Rothman
2008 Bayesian Simultaneous Determination of Structural Breaks and Lag Lengths
by Brigitta Hultblad & Sune Karlsson
2008 A Powerful Test for Linearity When the Order of Integration is Unknown
by David I. Harvey & Stephen J. Leybourne & Bin Xiao
2008 Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?
by Clive W.J. Granger
2008 Option Valuation with Normal Mixture GARCH Models
by Alex Badescu & Reg Kulperger & Emese Lazar
2008 Smooth Transition Autoregressive Models -- New Approaches to the Model Selection Problem
by Dietmar G. Maringer & Mark Meyer
2008 Cointegration with Structural Breaks: An Application to the Feldstein-Horioka Puzzle
by Mohitosh Kejriwal
2008 Rank-based Entropy Tests for Serial Independence
by Cees Diks & Valentyn Panchenko
2008 Modelling Autoregressive Processes with a Shifting Mean
by Andrés González & Timo Teräsvirta
2008 Non-Linearities and Unit Roots in G7 Macroeconomic Variables
by Yunus Aksoy & Miguel A. Leon-Ledesma
2008 Convergence by Parts
by James D. Feyrer
2008 Why calculate a business sentiment indicator for services?
by Brunhes-Lesage, V. & Darné, O.
2008 Pourquoi calculer un indicateur du climat des affaires dans les services ?
by BRUNHES-LESAGE, V. & DARNÉ, O.
2008 Regime and Underlying Inflation Dynamics: ¿Generalized Comovement or Relative Price Adjustment?
by Tomás Castagnino & Laura D’Amato
2008 Inflation Persistence and Changes in the Monetary Regime: The Argentine Case
by Laura D´Amato & Lorena Garegnani & Juan M. Sotes
2008 A Restrição Externa como Fator Limitante do Crescimento Econômico Brasileiro: Um Teste Empírico
by Veridiana Ramos Carvalho & Gilberto Tadeu Lima & Antonio Tiago Loureiro Araujo dos Santos
2008 Fiscal Policy Sustainability In Romania
by Ioan Talpos & Cosmin Enache
2008 Exploring historical economic relationships: two and a half centuries of British interest rates and inflation
by Terence C. Mills
2007 Modelling and Forecasting the Metical-Rand Exchange Rate
by Samuel Zita & Rangan Gupta
2007 Efficacy of Fiscal Policy in Japan: Keynesian and Non-Keynesian Effects on Aggregate Demand
by Yusuke Kinari & Masahiko Shibamoto
2007 Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form
by Péguin-Feissolle, Anne & Strikholm, Birgit & Teräsvirta, Timo
2007 Stylized Facts of Return Series, Robust Estimates, and Three Popular Models of Volatility
by Teräsvirta, Timo & Zhao, Zhenfang
2007 Bayesian Estimation of a Markov-Switching Threshold Asymmetric GARCH Model with Student-t Innovations
by Ardia, David
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 Cointegration with Structural Breaks : An Application to the Feldstein-Horioka Puzzle
by Mohitosh Kejriwal & Pierre Perron
2007 The Relationship between Inflation and Inflation Uncertainty in Emerging Market Economies
by John Thornton
2007 Measuring convergence of the new member countries’ exchange rates to the euro
by Becker, Bettina & Hall, Stephen
2007 Impact of Foreign Direct Investment on Employment in Pacifi c Island Countries: An Empirical Study of Fiji
by Jayaraman, Tiru K. & Singh, Baljeet
2007 New evidence on modeling the Phillips Curve and time-varying volatility
by Saunoris, James W. & Payne, James E.
2007 Tests for Asymmetric Threshold Cointegration with an Application to the Term Structure
by Mark E. Wohar & Robert Sollis
2007 Shariah,Economics And The Progress Of Islamic Finance: The Role Of Shariah Experts
by M.N. Siddiqi
2007 An Ardl Model Of Tourism Demand For Malaysia
by Norlida Hanim Salleh
2007 Türkiye’de döviz kuru oynaklığının uzun hafiza özelliklerinin analizi
by Serpil TÜRKYILMAZ & Mustafa ÖZER
2007 Reel faiz oranı ve reel döviz kurunun kısa vadeli sermaye hareketlerine etkileri: Sınır testi yaklaşımı
by Burak GÜRİŞ & Burcu KIRAN
2007 Çiftçinin eline geçen fiyatların, genel fiyat endeksleri ve döviz kuruyla ilişkileri
by Afşin ŞAHİN & Yılmaz AKDİ
2007 İMKB-30 hisse senedi getirilerinde volatilitenin kısa ve uzun hafızalı asimetrik koşullu değişen varyans modelleri ile öngörüsü
by Işıl AKGÜN & Hülya SAYYAN
2007 A Time Series Model for the Romanian Stock Market
by Eleftherios Thalassinos & Diana-Mihaela Pociovalisteanu
2007 La infraestructura y el crecimiento económico en México
by Noriega, Antonio & Fontenla, Matías
2007 Modelling the US Housing Market
by Philip Arestis & Elias Karakitsos
2007 A Time Series Econometric Model of the Determinants of the Level of Inward Foreign Direct Investment into Pakistan
by Shahid H. Malik & Eric J. Pentecost
2007 Did Nordic Countries Recognize the Gathering Storm of World War II? Evidence from the Bond Markets
by Daniel Waldenström & Bruno S. Frey
2007 Harmonic Regression Models: A Comparative Review with Applications
by Michael Artis & José G. Clavel & Mathias Hoffmann & Dilip Nachane
2007 What Explains the Spread Between the Euro Overnight Rate and the ECB's Policy Rate?
by Linzert, Tobias & Schmidt, Sandra
2007 The Phillips Curve and NAIRU Revisited: New Estimates for Germany
by Fitzenberger, Bernd & Franz, Wolfgang & Bode, Oliver
2007 Uncover Latent PPP by Dynamic Factor Error Correction Model (DF-ECM) Approach: Evidence from five OECD countries
by Qin, Duo
2007 In search of FDI-led growth in developing countries
by Klasen, Stephan & Herzer, Dierk & Nowak-Lehmann D., Felicitas
2007 Risikosteuerung mit Kreditderivaten unter besonderer Berücksichtigung von Credit Default Swaps
by Cremers, Heinz & Walzner, Jens
2007 Does Purchasing Power Parity Hold Sometimes? Regime Switching in Real Exchange Rates
by Lee, Hwa-Taek & Yoon, Gawon
2007 A note on model selection in (time series) regression models - General-to-specific or specific-to-general?
by Herwartz, Helmut
2007 Threshold dynmamics of short-term interest rates: empirical evidence and implications for the term structure
by Archontakis, Theofanis & Lemke, Wolfgang
2007 Measuring the Fiscal Stance
by Vito Polito & Mike Wickens
2007 Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis
by Paola Zerilli
2007 Pricing behaviour under competition in the UK electricity supply industry
by Giulietti, Monica & Otero, Jesus & Waterson, Michael
2007 Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence
by Giulietti, Monica & Otero, Jesus & Smith, Jeremy
2007 Macroeconomic Sources of Foreign Exchange Risk in New EU Members
by Tigran Poghosyan & Evzen Kocenda
2007 Real Convergence, Price Level Convergence and Inflation Differentials in Europe
by Balazs Egert
2007 Business Confidence and Cyclical Turning Points: A Markov-Switching Approach
by Mark J. Holmes & Brian Silverstone
2007 Business Confidence and Cyclical Turning Points: A Markov-Switching Approach
by Mark J. Holmes & Brian Silverstone
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
2007 Bayesian Inference on Dynamic Models with Latent Factors
by Monica Billio & Roberto Casarin & Domenico Sartore
2007 Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion
by Monica Billio & Massimiliano Caporin
2007 Forecasting Time Series with Long Memory and Level Shifts, A Bayesian Approach
by Silvestro Di Sanzo
2007 Bayesian Methods in Nonlinear Time Series
by Korenok Oleg
2007 Splines for Financial Volatility
by Francesco Audrino & Peter Bühlmann
2007 Realized Correlation Tick-by-Tick
by Fulvio Corsi & Francesco Audrino
2007 On the impact of fundamentals, liquidity and coordination on market stability
by Francisco Peñaranda & Jón Daníelsson
2007 Testing for the Random Walk Hypothesis and Structural Breaks in International Stock Prices
by Chancharat,Surachai & Valadkhani, Abbas
2007 Balassa-Samuelson Effect Approaching Fifty Years: Is it Retiring Early in Australia?
by Chowdhury, Khorshed
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
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
2007 Nonlinearity as an Explanation of the Forward Exchange Rate Anomaly
by Derek Bond & Niall Hession & Michael J Harrison & Edward J O’Brien
2007 Modelling Ireland’s Exchange Rates - From EMS to EMU
by Derek Bond & Michael J Harrison & Edward J O’Brien
2007 Convergence Analysis of the Structure of Tax Revenue and Tax Burden in EU
by Tiia Püss & Mare Viies & Reet Maldre
2007 Causality between Indian Exports, Imports, and Agricultural, Manufacturing GDP
by László Kónya & Jai Pal Singh
2007 Are there Structural Breaks in Realized Volatility?
by Chun Liu & John M Maheu
2007 Learning, Forecasting and Structural Breaks
by John M Maheu & Stephen Gordon
2007 Modeling foreign exchange rates with jumps
by John M Maheu & Thomas H McCurdy
2007 Economic Base Multipliers Revisited
by Derek Bond & Michael J. Harrison & Edward J. O'Brien
2007 Bayesian Variable Selection of Risk Factors in the APT Model
by Robert Kohn & Rachida Ouysse
2007 Home, Sweet Home or Is It - Always? Testing the Efficiency of the Norwegian Housing Market
by Erling Røed Larsen & Steffen Weum
2007 Forecasting key macroeconomic variables from a large number of predictors: A state space approach
by Arvid Raknerud & Terje Skjerpen & Anders Rygh Swensen
2007 Why Bayes Rules: A Note on Bayesian vs. Classical Inference in Regime Switching Models
by Dennis Gaertner
2007 Monetary Factors and Inflation in Japan
by Katrin Assenmacher-Wesche & Stefan Gerlach & Toshitaka Sekine
2007 Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models
by Jun Yu
2007 Estimating Markov-Switching ARMA Models with Extended Algorithms of Hamilton
by Chao-Chun Chen & Wen-Jen Tsay
2007 GLS Bias Correction for Low Order ARMA models
by Patrick Richard
2007 ARMA Sieve bootstrap unit root tests
by Patrick Richard
2007 Time Varying Cyclical Analysis for Economies in Transition
by Andrew Hughes Hallett & Christian R. Richter
2007 Exchange Rate Exposure of Sectoral Returns and Volatilities: Evidence from Japanese Industrial Sectors
by Prabhath Jayasinghe & Albert K. Tsui
2007 Can macroeconomic variables explain long term stock market movements? A comparison of the US and Japan
by Andreas Humpe & Peter Macmillan
2007 The Euro and Inflation Uncertainty in the European Monetary Union
by Guglielmo Maria, Caporale & Alexandros , Kontonikas
2007 Is the Relationship Between Inflation and its Uncertainty Linear?
by Menelaos Karanasosa & Stefanie Schurer
2007 Band Spectral Estimation for Signal Extraction
by Tommaso Proietti
2007 The Impact of Vintage on the Persistence of Gross Domestic Product Shocks
by Christian Macaro
2007 Double Conditioned Potential Output
by Dobrescu, Emilian
2007 Measuring Regional Market Integration in Developing Asia: a Dynamic Factor Error Correction Model (DF-ECM) Approach
by Qin, Duo & Cagas, Marie Anne & Ducanes, Geoffrey & Magtibay-Ramos, Nedelyn & Quising, Pilipinas F.
2007 Modeling and predicting the CBOE market volatility index
by Marcelo Fernandes & Marcelo Cunha Medeiros & Marcelo Scharth
2007 Non-Linearity In The Canadian And Us Labour Markets: Univariate And Multivariate Evidence From A Battery Of Tests
by Theodore Panagiotidis & Gianluigi Pelloni
2007 Does tariff liberalization promote trade? Latin America in the long run (1900-2000)
by Carlo Pietrobelli & Silvia Nenci
2007 Application of Three Alternative Approaches to Identify Business Cycles in Peru
by Rodriguez Gabriel
2007 Monetary Policy, Regime Shifts, and Inflation Uncertainty in Peru (1949-2006)
by Paul Castillo & Alberto Humala & Vicente Tuesta
2007 Forecasting stock market volatility conditional on macroeconomic conditions
by Ralf Becker & Adam Clements
2007 Are combination forecasts of S&P 500 volatility statistically superior?
by Ralf Becker & Adam Clements
2007 Does implied volatility reflect a wider information set than econometric forecasts?
by Ralf Becker & Adam Clements & James Curchin
2007 Modelling Spikes in Electricity Prices
by Ralf Becker & Stan Hurn & Vlad Pavlov
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
2007 Wavelet Analysis and Denoising: New Tools for Economists
by Iolanda Lo Cascio
2007 Comparative Economic Cycles
by Iolanda Lo Cascio & Stephen Pollock
2007 Changes in Predictive Ability with Mixed Frequency Data
by Ana Beatriz Galv�o
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
2007 Modeling Long Memory and Structural Breaks in Conditional Variances: An Adaptive FIGARCH Approach
by Richard T. Baillie & Claudio Morana
2007 Boosting Estimation of RBF Neural Networks for Dependent Data
by George Kapetanios & Andrew P. Blake
2007 Semiparametric Sieve-Type GLS Inference in Regressions with Long-Range Dependence
by George Kapetanios & Zacharias Psaradakis
2007 Financial Market Integration and World Economic Stabilization toward Purchasing Power Parity
by Tatsuyoshi Okimoto & Katsumi Shimotsu
2007 Covariance-based orthogonality tests for regressors with unknown persistence
by Alex Maynard & Katsumi Shimotsu
2007 Price Dynamics in an Exchange Economy
by Steven Gjerstad
2007 Exact Limit of the Expected Periodogram in the Unit-Root case
by João Valle e Azevedo
2007 Interpretation of the Effects of Filtering Integrated Time Series
by João Valle e Azevedo
2007 Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting
by Michael Dueker & Martin Sola & Fabio Spagnolo
2007 Foreign Direct Investment and Growth: An Empiricial Investigation Based on Cross-Country Comparison
by Ozturk, Ilhan & Kalyoncu, Huseyin
2007 Agricultural sector and economic growth in Tunisia: Evidence from co-integration and error correction mechanism
by Chebbi, Houssem Eddine & Lachaal, Lassaad
2007 Transformations and Seasonal Adjustment: Analytic Solutions and Case Studies
by Proietti, Tommaso & Riani, Marco
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
2007 Market Returns and Weak-Form Efficiency: the case of the Ghana Stock Exchange
by Frimpong, Joseph Magnus & Oteng-Abayie, Eric Fosu
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
2007 Forecasting water consumption in Spain using univariate time series models
by Caiado, Jorge
2007 Interpretation of the Effects of Filtering Integrated Time Series
by Valle e Azevedo, João
2007 Exact Limit of the Expected Periodogram in the Unit-Root Case
by Valle e Azevedo, João
2007 Trade,Financial and Growth Nexus in Pakistan
by Arshad Khan, Muhammad & Qayyum, Abdul
2007 Does global liquidity help to forecast US inflation?
by D'Agostino, A & Surico, P
2007 Spill Over Effects of Futures Contracts Initiation on the Cash Market: A Comparative Analysis
by Karathanassis, George & Sogiakas, Vasilios
2007 Empirically Based Modeling in the Social Sciences and Spurious Stylized Facts
by Bassler, Kevin E. & Gunaratne, Gemunu H. & McCauley, Joseph L.
2007 Institutional rigidities and employment rigidity on the Italian labour larket
by Jiménez-Rodríguez, Rebeca & Russo, Giuseppe
2007 Developing the concept of Sustainable Peace using Econometrics and scenarios granting Sustainable Peace in Colombia by year 2019
by Gomez-Sorzano, Gustavo
2007 Hysteresis in Unemployment: Panel Unit Roots Tests Using State Level Data
by Mohan, Ramesh & Kemegue, Francis & Sjuib, Fahlino
2007 Forecasting volatility: Evidence from the Macedonian stock exchange
by Kovačić, Zlatko
2007 Price of recreational products and the exchange rate: an empirical investigation on US data
by Cellini, Roberto & Paolino, Alessandro
2007 Cycles of violence, and terrorist attacks index for the State of Oklahoma
by Gómez-Sorzano, Gustavo
2007 Cycles of violence, and terrorist attacks index for the State of Michigan
by Gómez-Sorzano, Gustavo
2007 Cycles of violence, and attacks index for the State of Florida
by Gómez-sorzano, Gustavo
2007 Cycles of violence, and terrorist attacks index for the State of Missouri
by Gómez-sorzano, Gustavo
2007 Volatility Proxies for Discrete Time Models
by de Vilder, Robin G. & Visser, Marcel P.
2007 Terrorist murder, cycles of violence, and attacks index for the City of Philadelphia during the last two centuries
by Gómez-sorzano, Gustavo
2007 A note on least squares fitting of signal waveforms
by Mishra, SK
2007 Cycles of violence, and terrorist attacks index for the State of Arkansas
by Gómez-Sorzano, Gustavo
2007 Cycles of violence, and terrorist attacks index for the State of Washington
by Gómez-Sorzano, Gustavo
2007 Behavior of Stock Market Index in the Stock Exchange of Thailand
by Jiranyakul, Komain
2007 Cycles of violence, riots, and terrorist attacks index for the State of California
by Gómez-sorzano, Gustavo
2007 Cycles of violence and terrorist attacks index for the State of Arizona
by Gómez-Sorzano, Gustavo
2007 Cycles of violence, and terrorist attacks index for the State of Massachusetts
by Gómez-Sorzano, Gustavo
2007 Terrorist murder, cycles of violence, and terrorist attacks in New York City during the last two centuries
by Gomez-Sorzano, Gustavo
2007 Does Black’s Hypothesis for Output Variability Hold for Mexico?
by Macri, Joseph & Sinha, Dipendra
2007 Predictive Performance of Conditional Extreme Value Theory and Conventional Methods in Value at Risk Estimation
by Ghorbel, Ahmed & Trabelsi, Abdelwahed
2007 Nonlinear time series: semiparametric and nonparametric methods
by Gao, Jiti
2007 Robustness of the Risk-Return Relationship in the U.S. Stock Market
by Lanne, Markku & Luoto, Jani
2007 Effects of trade openness and foreign direct investment on industrial performance in Ghana
by Adenutsi, Deodat E.
2007 Deterministic and stochastic trends in the time series models: A guide for the applied economist
by Rao, B. Bhaskara
2007 The Financial Development and Economic Growth Nexus for Turkey
by Halicioglu, Ferda
2007 A Multivariate Causality Analysis of Export and Growth for Turkey
by Halicioglu, Ferda
2007 The Bilateral J-curve: Turkey versus her 13 Trading Partners
by Halicioglu, Ferda
2007 Volatilidad del Precio de la Mezcla Mexicana de Exportación
by Dávila-Pérez, Javier & Nuñez-Mora, Jose Antonio & Ruiz-Porras, Antonio
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
2007 The expectations hypothesis of the term structure: some empirical evidence for Portugal
by Silva Lopes, Artur C. & M. Monteiro, Olga Susana
2007 Pertinence de la dévaluation du Franc CFA de janvier 1994 : Une évaluation par le taux de change réel d’équilibre. Cas de l’économie camerounaise
by Bouoiyour, jamal & Kuikeu, Oscar
2007 Modèls Garch à la mémoire longue: application aux taux de change tunisiens
by Lahiani, Amine & Yousfi, Ouidad
2007 Biases in calculating dumping Margins: The case of cyclical products
by Rude, James & Gervais, Jean-Philippe
2007 Stock returns and economically neutral behavioral variables: evidence from the Nepalese stock market
by Joshi, Nayan & Bhattarai, Ram Chandra
2007 Forecasting Mango and Citrus Production in Nigeria: A Trend analysis
by Yusuf, Sulaiman Adesina & Salau, Adekunle Sheu
2007 Early Warning Signals of the 2000/2001 Turkish Financial Crisis
by Ari, Ali & Dagtekin, Rustem
2007 Les Indicateurs d'Alerte de la Crise Financière de 2000-2001 en Turquie: Un Modèle de Prévision de Crise Jumelle
by Ari, Ali & Dagtekin, Rustem
2007 Toda and Yamamoto Causality Tests Between Per Capita Saving and Per Capita GDP for India
by Sinha, Dipendra & Sinha, Tapen
2007 Effects of Volatility of Exports in the Philippines and Thailand
by Sinha, Dipendra
2007 Does the Wagner’s Law hold for Thailand? A Time Series Study
by Sinha, Dipendra
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
2007 Efficient Estimation of the Parameter Path in Unstable Time Series Models
by Mueller, Ulrich & Petalas, Philippe-Emmanuel
2007 The stability of money demand function in Japan: Evidence from rolling cointegration approach
by Tang, Chor Foon
2007 Information content of exchange rate volatility: Turkish experience
by Levent, Korap
2007 Los Ciclos del Mercado Inmobiliario y su Relación con los Ciclos de la Economía
by Idrovo Aguirre, Byron
2007 Application of the Alternative Techniques to Estimate Demand for Money in Developing Countries
by Singh, Rup & Kumar, Saten
2007 Testing Efficiency Performance of an Underdeveloped Stock Market
by Onour, Ibrahim
2007 Business Cycle Correlation and Output Linkages among the Asia Pacific Economies
by Chan, Tze-Haw & Khong, Wye Leong Roy
2007 Conflict, Growth, and Poverty in Guinea-Bissau
by Barry, Boubacar-Sid & Wodon, Quentin
2007 A new Test of Uncovered Interest Rate Parity: Evidence from Turkey
by Erdemlioglu, Deniz M
2007 Legea lui Okun pentru România în perioada 1992-2004
by TURTUREAN, Ciprian Ionel
2007 Trade Liberalisation, Financial Development and Economic Growth
by Muhammad Arshad Khan & Abdul Qayyum
2007 Real-Time Measurement of Business Conditions, Second Version
by S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti
2007 Real-Time Measurement of Business Conditions
by S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti
2007 Inflation dynamics and trade openness: with an application to South Africa
by Janine Aron & John Muellbauer
2007 A New Mixing Condition
by Brendan K. Beare
2007 Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment
by Jeremy Large
2007 Stability of nonlinear AR-GARCH models
by Mika Meitz & Pentti Saikkonen
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
2007 Using Markov-Switching Models to Identify the Link between Unemployment and Criminality
by Firouz Fallahi & Gabriel Rodríguez
2007 Linear or Nonlinear Cointegration in the Purchasing Power Parity Relationship?
by Alfred A. Haug & Syed A. Basher
2007 Monetary Policy and Macroeconomic Stability in Latin America: The Cases of Brazil, Chile, Colombia and Mexico
by Luiz de Mello & Diego Moccero
2007 RBCs and DSGEs:The Computational Approach to Business Cycle Theory and Evidence
by Özer Karagedikli & Troy Matheson & Christie Smith & Shaun P. Vahey
2007 Which nonlinearity in the Phillips curve? The absence of accelerating deflation in Japan
by Emmanuel De Veirman
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
2007 Self-Protection and Insurance with Interdependencies
by Alexander Muermann & Howard Kunreuther
2007 Deterministic and Stochastic Prisoner's Dilemma Games: Experiments in Interdependent Security
by Howard Kunreuther & Gabriel Silvasi & Eric T. Bradlow & Dylan Small
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
2007 A Quarterly Post-World War II Real GDP Series for New Zealand
by Viv Hall & John McDermott
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
2007 Automatic time series forecasting: the forecast package for R
by Rob J. Hyndman & Yeasmin Khandakar
2007 An Assessment of Alternative State Space Models for Count Time Series
by Ralph D. Snyder & Gael M. Martin & Phillip Gould & Paul D. Feigin
2007 Non-linear exponential smoothing and positive data
by Muhammad Akram & Rob J. Hyndman & J. Keith Ord
2007 Hierarchical forecasts for Australian domestic tourism
by George Athanasopoulos & Roman A. Ahmed & Rob J. Hyndman
2007 Effet peso : présentation théorique et application à la politique monétaire
by Nicolas Million
2007 Monetary information arrivals and intraday exchange rate volatility : A comparison of the GARCH and the EGARCH models
by Darmoul Mokhtar & Nizar Harrathi
2007 Foreign Direct Investment And Services Trade: Evidence From Malaysia And Singapore
by Koi Nyen Wong & Tuck Cheong & Dietrich K. Fausten
2007 Does Exchange Rate Variability Affect The Causation Between Foreign Direct Investment And Electronics Exports? An Empirical Test Using Malaysian Data
by Koi Nyen Wong & Tuck Cheong Tang
2007 New Evidence On The Causal Linkages Between Foreign Direct Investment, Exports And Imports In Malaysia
by Koi Nyen Wong & Tuck Cheong Tang
2007 A Panel-CADF Test for Unit Roots
by Costantini, Mauro & Lupi, Claudio & Popp, Stephan
2007 The Maximum Lq-Likelihood Method: an Application to Extreme Quantile Estimation in Finance
by Davide Ferrari & Sandra Paterlini
2007 Leading indicator properties of US high-yield credit spreads
by Andrea Cipollini & Nektarios Aslanidis
2007 How Frequently Does the Stock Price Jump? – An Analysis of High-Frequency Data with Microstructure Noises
by Jin-Chuan Duan & András Fülöp
2007 The Law of One Price: Nonlinearities in Sectoral Real Exchange Rate Dynamics
by Luciana Juvenal & Mark P. Taylor
2007 Forecasting Exchange Rate Volatility with High Frequency Data: Is the Euro Different?
by Georgios Chortareas & John Nankervis & Ying Jiang
2007 Effects of Exchange Rate Volatility on the Volume and Volatility of Bilateral Exports
by Christopher F Baum & Mustafa Caglayan
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
2007 A real-time analysis of the Swiss trade account
by Jan Jacobs & Jan-Egbert Sturm
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
2007 Inflation, inflation uncertainty, and Markov regime switching heteroskedasticity: Evidence from European countries
by Donal Bredin & Stilianos Fountas
2007 Leading indicator properties of the US corporate spreads
by Nektarios Aslanidis & Andrea Cipollini
2007 Estimation Bias and Inference in Overlapping Autoregressions: Implications for the Target Zone Literature
by Zsolt Darvas
2007 Modelling good and bad volatility
by Matteo Pelagatti
2007 Mixed Exponential Power Asymmetric Conditional Heteroskedasticity
by Mohammed Bouaddi & Jeroen V.K. Rombouts
2007 Theory and Inference for a Markov-Switching GARCH Model
by Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts
2007 Nonparametric Density Estimation for Multivariate Bounded Data
by Taoufik Bouezmarni & Jeroen V.K. Rombouts
2007 Semiparametric Multivariate Density Estimation for Positive Data Using Copulas
by Taoufik Bouezmarni & Jeroen V.K. Rombouts
2007 Inflation and Inflation Uncertainty in Latvia
by Viktors Ajevskis
2007 Estimation of the Phillips Curve for Latvia
by Aleksejs Melihovs & Anna Zasova
2007 Causality between Indian Exports, Imports, and Agricultural, Manufacturing GDP
by László Kónya & Jai Pal Singh
2007 Trend Extraction From Time Series With Missing Observations
by Schlicht, Ekkehart
2007 Trend Extraction From Time Series With Structural Breaks
by Schlicht, Ekkehart
2007 Evaluating the Synchronisation of the Eurozone Business Cycles using Multivariate Coincident Macroeconomic Indicators
by Xiaoshan Chen
2007 A New Look at Economic Convergence in Europe: A Common Factor Approach
by Bettina Becker & Stephen G. Hall
2007 Likelihood Inference for a Nonstationary Fractional Autoregressive Model
by Søren Johansen & Morten Ørregaard Nielsen
2007 Selecting a Regression Saturated by Indicators
by David F. Hendry & Søren Johansen & Carlos Santos
2007 Correlation, Regression, and Cointegration of Nonstationary Economic Time Series
by Søren Johansen
2007 The High-Frequency Response of the EUR-US Dollar Exchange Rate to ECB Monetary Policy Announcements
by Christian Conrad & Michael J. Lamla
2007 Non-negativity Conditions for the Hyperbolic GARCH Model
by Christian Conrad
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
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
2007 Inflation Expectations, the Phillips Curve and Monetary Policy
by Fabien Curto Millet
2007 Panel Unit Root Tests in the Presence of a Multifactor Error Structure
by Pesaran, M. Hashem & Smith, L. Vanessa & Yamagata, Takashi
2007 Panel Unit Root Tests in the Presence of a Multifactor Error Structure
by M. Hashem Pesaran & L. Vanessa Smith & Takashi Yamagata
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
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
2007 Estimates of Structural Changes in the Wage Equation:Some Evidence for Italy
by Mauro Costantini & Sergio de Nardis
2007 Non parametric Fractional Cointegration Analysis
by Mauro Costantini & Roy Cerqueti
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
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.
2007 Backtesting Parametric Value-at-Risk with Estimation Risk
by Juan Carlos Escanciano & Jose Olmo
2007 A re-assessment of German import demand
by Sabine Stephan
2007 Reconsidering the Investment-Profit Nexus in Finance-Led Economies: an ARDL-Based Approach
by Till van Treeck
2007 Testing for Coefficient Stability of AR(1) Model When the Null is an Integrated or a Stationary Process
by Daisuke Nagakura
2007 Forecasting Global Flows
by Skriner, Edith
2007 Correlation testing in time series, spatial and cross-sectional data
by Peter Robinson
2007 An Analysis of Foreign Tourism Demand for Croatian Destinations: Long-Run Elasticity Estimates
by Andrea Mervar & James E. Payne
2007 Mixed Exponential Power Asymmetric Conditional Heteroskedasticity
by Mohammed Bouaddi & Jeroen V.K. Rombouts
2007 Theory and inference for a Markov switching Garch model
by Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts
2007 Estimating, Filtering and Forecasting Realized Betas
by Claudio Morana
2007 Modeling Long Memory and Structural Breaks in Conditional Variances: an Adaptive FIGARCH Approach
by Richard T. Baillie & Claudio Morana
2007 On the macroeconomic causes of exchange rates volatility
by Claudio Morana
2007 Enhanced routines for instrumental variables/GMM estimation and testing
by Christopher F Baum & Mark E. Schaffer & Steven Stillman
2007 Modelling Financial High Frequency Data Using Point Processes
by Luc Bauwens & Nikolaus Hautsch
2007 A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter
by Wen-Jen Tsay & Wolfgang Härdle
2007 Are Correlations Constant Over Time? Application of the CC-TRIGt-test to Return Series from Different Asset Classes
by Matthias Fischer
2007 Money and Inflation
by Ansgar Belke & Thorsten Polleit
2007 Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?
by Peter C. B. Phillips & Yangru Wu & Jun Yu
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
2007 Assessing the Credibility of The Convertibility Zone of The Hong Kong Dollar
by Laurence Fung & Ip-wing Yu
2007 Assessing Bond Market Integration in Asia
by Ip-wing Yu & Laurence Fung & Chi-sang Tam
2007 Assessing Financial Market Integration In Asia - Equity Markets
by Ip-wing Yu & Laurence Fung & Chi-sang Tam
2007 Along the Forward Curve for Natural Gas: Unobservable Shocks and Dynamic Correlations
by Spargoli, Fabrizio & Zagaglia, Paolo
2007 The Comovements between Futures Markets for Crude Oil: Evidence from a Structural GARCH Model
by Spargoli, Fabrizio & Zagaglia, Paolo
2007 Conditional Leptokurtosis in Energy Prices: Multivariate Evidence from Futures Markets
by Marzo, Massimiliano & Zagaglia, Paolo
2007 Volatility forecasting for crude oil futures
by Marzo, Massimiliano & Zagaglia, Paolo
2007 A Note on the Pooling of Individual PANIC Unit Root Tests
by Westerlund, Joakim
2007 The Stability and Volatility of Electricity Prices: An Illustration of (lambda, sigma-2) Analysis
by Bask, Mikael & Widerberg, Anna
2007 ‘Some unpleasant fiscal arithmetic’: the role of monetary and fiscal policy in public debt dynamics since the 1970s
by Hasko, Harri
2007 Exchange rate volatility, macro announcements and the choice of intraday seasonality filtering method
by Laakkonen, Helinä
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
2007 Modelling inflation in China – a regional perspective
by Mehrotra, Aaron & Peltonen, Tuomas & Santos Rivera, Alvaro
2007 Volatility dependence across Asia-Pacific on-shore and off-shore U.S. dollar futures markets
by Colavecchio , Roberta & Funke, Michael
2007 Dutch disease scare in Kazakhstan: Is it real?
by Égert , Balázs & Leonard, Carol S.
2007 Testing for a break in persistence under long-range dependencies
by Sibbertsen, Philipp & Kruse, Robinson
2007 Can we distinguish between common nonlinear time series models and long memory?
by Kuswanto, Heri & Sibbertsen, Philipp
2007 Volatility dependence across Asia-Pacific on-shore and off-shore U.S. dollar futures markets
by Roberta Colavecchio & Michael Funke
2007 Spurious Instrumental Variables
by Daniel Ventosa-Santaularia
2007 Inflation and breaks: the validity of the Dickey-Fuller test
by Manuel Gomez & Daniel Ventosa-Santaularia
2007 The January Effect across Volatility Regimes
by Bety Agnany & Henry Aray
2007 Euro Area Inflation: Aggregation Bias and Convergence
by Joseph P. Byrne & Norbert Fiess
2007 Do real interest rates converge? Evidence from the European Union
by Michael G. Arghyrou & Andros Gregoriou & Alexandros Kontonikas
2007 Euro Area Inflation Differentials: Unit Roots, Structural Breaks and Non-Linear Adjustment
by Alberto Montagnoli & Andros Gregoriou & Alexandros Kontonikas
2007 Unit Roots in Inflation and Aggregation Bias
by Joseph Byrne & Alexandros Kontonikas & Alberto Montagnoli
2007 The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis
by Essahbi Essaadi & Jamel Jouini & Walih Khallouli
2007 Investimento, Indústria e Crescimento Econômico Brasileiro: uma Análise da Relação de Causalidade
by Luciano Nakabashi & Fábio Dória Scatolin & Marcio José Vargas da Cruz
2007 Comparing smooth transition and Markov switching autoregressive models of US Unemployment
by Deschamps, Philippe J.
2007 A Model for Multivariate Non-negative Valued Processes in Financial Econometrics
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo
2007 Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria
by Christian T. Brownlees & Giampiero Gallo
2007 Regime Switching: Italian Financial Markets over a Century
by Margherita Velucchi
2007 Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria
by Christian T. Brownlees & Giampiero Gallo
2007 On the Interaction between Ultra–high Frequency Measures of Volatility
by Giampiero Gallo & Margherita Velucchi
2007 Models of Political Cycles: The Czech Experience / Modely politického cyklu a jejich testování na podmínkách ČR [available in Czech only]
by Radka Štiková
2007 A nonlinear panel unit root test under cross section dependence
by Mario Cerrato & Christian De Peretti & Nick Sarantis
2007 Sample Kurtosis, GARCH-t and the Degrees of Freedom Issue
by Maria S. Heracleous
2007 Empirical Evidence On Jumps In The Term Structure Of The Us Treasury Market
by Mardi Dungey & Michael McKenzie & Vanessa Smith
2007 The Financial Development and Economic Growth Nexus for Turkey
by Ferda Halicioglu
2007 A Multivariate Causality Analysis of Export and Growth for Turkey
by Ferda Halicioglu
2007 Forecasting economic growth for Estonia : application of common factor methodologies
by Christian Schulz
2007 New Keynesian Phillips curve for Estonia, Latvia and Lithuania
by Aurelijus Dabušinskas & Dmitry Kulikov
2007 Trade Liberalisation, Financial Development and Economic Growth
by Muhammad Arshad Khan & Abdul Qayyum
2007 Exchange Rate Exposure of Sectoral Returns and Volatilities : Evidence from Japanese Industrial Sectors
by Ananda Jayawickrama & Tilak Abeysinghe
2007 Non-Stationary Inflation and Panel Estimates of United States Short and Long-run Phillips curves
by Bill Russell
2007 Taylor Rules for the ECB using Consensus Data
by Janko Gorter & Jan Jacobs & Jakob de Haan
2007 A Markov Switching Model of the Merit Order to Compare British and German Price Formation
by Georg Zachmann
2007 Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models
by Konrad Banachewicz & Andr� Lucas
2007 Efficient Robust Estimation of Time-Series Regression Models
by Cizek, P.
2007 Efficient Robust Estimation of Regression Models (Revision of DP 2006-08)
by Cizek, P.
2007 Note on Integer-Valued Bilinear Time Series Models
by Drost, F.C. & Akker, R. van den & Werker, B.J.M.
2007 Adaptive Pointwise Estimation in Time-Inhomogeneous Time-Series Models
by Cizek, P. & Haerdle, W. & Spokoiny, V.
2007 Robust and Efficient Adaptive Estimation of Binary-Choice Regression Models
by Cizek, P.
2007 Revisiting the Price Elasticity of Gasoline Demand
by Alfredo A. Romero
2007 Limit Theory for Explosively Cointegrated Systems
by Peter C.B. Phillips & Tassos Magdalinos
2007 Tilted Nonparametric Estimation of Volatility Functions
by Peter C.B. Phillips & Ke-Li Xu
2007 Long Run Covariance Matrices for Fractionally Integrated Processes
by Peter C.B. Phillips & Chang Sik Kim
2007 Asymptotics for Stationary Very Nearly Unit Root Processes
by Donald W.K. Andrews & Patrik Guggenberger
2007 GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity
by Chirok Han & Peter C.B. Phillips
2007 Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
by Peter C.B. Phillips & Jun Yu
2007 Theory and inference for a Markov switching GARCH model
by Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS
2007 A Component GARCH Model with Time Varying Weights
by Luc, BAUWENS & G., STORTI
2007 Inflation dynamics and trade openness: with an application to South Africa
by Janine Aron & John Muellbauer
2007 Nonlinear Exchange Rate Adjustment in the Enlarged Euro zone. Evidence and Implications for Candidate Countries
by Nikolaos Giannellis & Athanasios Papadopoulos
2007 Backtesting VaR Models: An Expected Shortfall Approach
by Timotheos Angelidis & Stavros Degiannakis
2007 Did Nordic Countries Recognize the Gathering Storm of World War II? Evidence from the Bond Markets
by Daniel Waldenstrom & Bruno S. Frey
2007 (Un)Predictability and Macroeconomic Stability
by D''Agostino, Antonello & Giannone, Domenico & Surico, Paolo
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
2007 Inflation Dynamics and Trade Openness
by Aron, Janine & Muellbauer, John
2007 Aggregating Phillips Curves
by Imbs, Jean & Jondeau, Eric & Pelgrin, Florian
2007 Mixed exponential power asymmetric conditional heteroskedasticity
by BOUADDI, Mohammed & ROMBOUTS, Jeroen V.K.
2007 Theory and inference for a Markov switching GARCH model
by BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen V.K.
2007 A component GARCH model with time varying weights
by BAUWENS, Luc & STORTI, Giuseppe
2007 Shape of U.S. business cycle and long-run effects of recessions
by G. Carboni
2007 Inflation Persistence in New EU Member States: Is It Different Than in the Euro Area Members?
by Michal Franta & Branislav Saxa & Katerina Smidkova
2007 Aggregating Phillips Curves
by Jean Imbs & Eric Jondeau & Florian Pelgrin
2007 Estimation of the Equilibrium Real Exchange Rate in Russia: Trade-Balance Approach
by Nadezhda Ivanova
2007 Assessing the Forecast Properties of the CESifo World Economic Climate Indicator: Evidence for the Euro Area
by Oliver Hülsewig & Johannes Mayr & Stéphane Sorbe
2007 Forecasting Quarter-on-Quarter Changes of German GDP with Monthly Business Tendency Survey Results
by Klaus Abberger
2007 Volatility of Exchange Rates in Selected New EU Members: Evidence from Daily Data
by Jarko Fidrmuc & Roman Horváth
2007 The Fisher/Cobb-Douglas Paradox, Factor Shares, and Cointegration
by Robert S. Chirinko & Debdulal Mallick
2007 A Multivariate Long-Memory Model with Structural Breaks
by Guglielmo Maria Caporale & Luis A. Gil-Alana
2007 Fractional Cointegration In StochasticVolatility Models
by Afonso Gonçalves da Silva & Peter M Robinson
2007 Specification Testing Forregression Models Withdependent Data
by Javier Hidalgo
2007 Capturing asymmetry in real exchange rate with quantile autoregression
by Mauro S. Ferreira
2007 Do real interest rates converge? Evidence from the European Union
by Arghyrou, Michael G & Gregoriou, Andros & Kontonikas, Alexandros
2007 Human Capital and Economic Growth: Pakistan, 1960-2003
by Abbas, Qaisar & Foreman-Peck, James
2007 Modelling Seasonal Dynamics in Indian Industrial Production--An Extention of TV-STAR Model
by Pami Dua & Lokendra Kumawat
2007 Does global liquidity help to forecast US inflation?
by D'Agostino, Antonello & Surico, Paolo
2007 Discriminating mean and variance shifts
by Carlos Santos
2007 AUTOMATIC TESTS for SUPER EXOGENEITY
by David Hendry & Carlos Santos
2007 Assessing French Inflation Persistence with Impulse Saturation Break Tests and Automatic General-to-Specific Modelling
by Carlos Santos & Maria Alberta Oliveira
2007 Panel Unit Root Tests in the Presence of a Multifactor Error Structure
by Pesaran, M.H. & Smit, L.V. & Yamagata, T.
2007 Quantiles, Expectiles and Splines
by DeRossi, G. & Harvey, A.
2007 Tests of time-invariance
by Busettti, F. & Harvey, A.
2007 Quantiles, Expectiles and Splines
by DeRossi, G. & Harvey, A.
2007 Tests of time-invariance
by Busettti, F. & Harvey, A.
2007 Testing for Multiple Structural Changes in Cointegrated Regression Models
by Mohitosh Kejriwal & Pierre Perron
2007 GLS-based unit root tests with multiple structural breaks both under the null and the alternative hypotheses
by Josep Lluís Carrion-i-Silvestre & Dukpa Kim & Pierre Perron
2007 An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts
by Pierre Perron & Zhongjun Qu
2007 Testing for Shifts in Trend with an Integrated or Stationary Noise Component
by Pierre Perron & Tomoyoshi Yabu
2007 Rising Regional Inequality in China:Policy Regimes and Structural Changes
by Chun- Yu Ho & Dan Li
2007 Enhanced routines for instrumental variables/GMM estimation and testing
by Christopher F Baum & Mark E. Schaffer & Steven Stillman
2007 Cyclical Trends in Continuous Time Models
by Joanne S. Ercolani
2007 The Impact of GATT on International Trade: Evidence from Structural Break Analysis
by Suleiman Abu-Bader & Aamer Abu-Qarn
2007 Structural Breaks in Military Expenditures: Evidence for Egypt, Israel, Jordan and Syria
by Aamer Abu-Qarn & Suleiman Abu-Bader
2007 The Impact Of Gatt On International Trade: Evidence From Structural Break Analysis
by Suleiman Abu-Bader & Aamer S. Abu Qarn
2007 Structural Breaks In Military Expenditures: Evidence For Egypt, Israel,Jordan And Syria
by Aamer S. Abu-Qarn & Suleiman Abu-Bader
2007 L’Indicateur Synthétique Mensuel d’Activité (ISMA) : une révision
by Darné, O. & Brunhes-Lesage, V.
2007 Time Series Approach to Test a Change in Inflation Persistence: The Mexican Experience
by Manuel Ramos Francia & Daniel Chiquiar & Antonio E. Noriega
2007 Detecting long memory co-movements in macroeconomic time series
by Gianluca Moretti
2007 Emerging Markets Spreads and Global Financial Conditions
by Alessio Ciarlone & Paolo Piselli & Giorgio Trebeschi
2007 Testing for trend
by Fabio Busetti & Andrew Harvey
2007 Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter
by Agustín Maravall & Ana del Río
2007 Inflation Persistence and Changes in the Monetary Regime: The Argentine Case
by Laura D´Amato & Lorena Garegnani & Juan M. Sotes Paladino
2007 Multilateral Adjustment and Exchange Rate Dynamics: The Case of Three Commodity Currencies
by Jeannine Bailliu & Ali Dib & Takashi Kano & Lawrence Schembri
2007 Variance Dispersion and Correlation Swaps
by Antoine Jacquier & Saad Slaoui
2007 Non-linearities and Unit Roots in G7 Macroeconomic Variables
by Yunus Aksoy & Miguel A. Leon-Ledesma
2007 Using the HEGY Procedure When Not All Roots Are Present
by Tomas del Barrio Castro
2007 Costly Inflation Misperceptions
by Thomas A. Eife & Stephan Meier
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
2007 La masse salariale de l’Allemagne : 1810-1989. Nouvelle mesure et analyse cliométrique des chocs
by Claude Diebolt & Magali Jaoul-Grammare
2007 Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes
by James Davidson & Nigar Hashimzade
2007 Selecting a Regression Saturated by Indicators
by Søren Johansen & David F. Hendry & Carlos Santos
2007 Correlation, regression, and cointegration of nonstationary economic time series
by Søren Johansen
2007 Likelihood inference for a nonstationary fractional autoregressive model
by Søren Johansen & Morten Ørregaard Nielsen
2007 The Pearson diffusions: A class of statistically tractable diffusion processes
by Michael Sørensen & Julie Lyng Forman
2007 Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis
by Michael Jansson
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
2007 The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets
by Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen
2007 Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach
by Dennis Kristensen
2007 Nonparametric Estimation and Misspecification Testing of Diffusion Models
by Dennis Kristensen
2007 Are workers' remittances a hedge against macroeconomic shocks? The case of Sri Lanka
by Erik Lueth & Marta Ruiz-Arranz
2007 Long Memory in the Turkish Stock Market Return and Volatility
by Adnan Kasman & Erdost Torun
2007 Are the Transition Stock Markets Efficient? Evidence from Non-Linear Unit Root Tests
by Mubariz Hasanov & Tolga Omay
2007 Stability Tests for Linear Regression Models
by Slutskin , Lev
2007 La domanda di calcio in Italia: serie A 1962-2006
by Marco Di Domizio
2007 Monetary policy rules of the National Bank of Kazakhstan (in Russian)
by Bulat Mukhamediyev
2007 Long range dependence and the purchasing power parity (in Russian)
by Oleg Obrezkov
2007 Weak-form efficiency test in the central european capital markets
by Jan Hájek
2007 Czech Capital Market Weak-Form Efficiency, Selected Issues
by Jan Hájek
2007 Tax Competition in the European Union and Its Influence on the Shift in the Tax Burden
by Danuše Nerudová & Svatopluk Kapounek & Jitka Poměnková
2007 Modelling of Stock Returns Time-Series
by Jiří Trešl & Dagmar Blatná
2007 Modifying IS-MP-IA Model for the Czech Economy
by Roman Hušek & Radka Švarcová
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
2007 The euro, five years later : what has happened to prices ?
by D. Cornille & T. Stragier
2007 Stock Prices and Resignation of Members of the Board: The Case of the Warsaw Stock Exchange
by Henryk Gurgul & Pawe³ Majdosz
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.
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
2007 Estimating Volatility Returns Using ARCH Models. An Empirical Case: The Spanish Energy Market
by Ricardo Alverola
2007 The sales effect of word of mouth: a model for creative goods and estimates for novels
by Jonathan Beck
2007 Has the Export Pricing Behaviour of German Enterprises Changed? Empirical Evidence from German Sectoral Export Prices
by Kerstin Stahn
2007 Revisiting Hysteresis In Unemployment For Ten European Countries: An Empirical Note On A More Powerful Nonlinear (Logistic) Unit Root
by Tsangyao Chang & Yuan-Hong Ho & Chung-Ju Huang
2007 ¿Puede el Diseño de un Torneo Deportivo Afectar su Asistencia?
by Giorgo Sertsios
2007 Inflation Convergence and Divergence within the European Monetary Union
by Fabio Busetti & Lorenzo Forni & Andrew Harvey & Fabrizio Venditti
2007 A Multivariate Long Memory Model for the Specification of Real Output in the US, the UK, and Canada
by Luis A. Gil-Alana
2007 Seasonally and Fractionally Differenced Time Series
by Katayama, Naoya
2007 Return-Volatility Spillover and Foreign Operations of Dually-Listed Global Firms
by Kim, Dongcheol & Kim, Dong-Soon
2007 Factores de alteração da composição da Despesa Pública: o caso norte-americano
by Paulo Reis Mourão
2007 Using All Observations when Forecasting under Structural Breaks
by Stanislav Anatolyev & Victor Kitov
2007 La ley de Okun: una relectura para México, 1970-2004
by Eduardo Loría & Manuel G. Ramos.
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
2007 Business Cycle Asymmetries In Stock Returns: Robust Evidence
by KIANI, Khurshid M.
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
2007 Determination Of Volatility And Mean Returns: An Evidence From An Emerging Stock Market
by KIANI, Khurshid M.
2007 A Perspective on Unit Root and Cointegration in Applied Macroeconomics
by W A Razzak
2007 A Structural Model For Net Rental Income In The U.S. Leasing Industry
by GOMEZ-SORZANO, Gustavo Alejandro
2007 Nonlinear Dynamics Within Macroeconomic Factors And Stock Market In Portugal, 1993-2003
by Dionisio, Andreia & Menezes, Rui & Mendes, Diana & Vidigal Da Silva, Jacinto
2007 Bank Lending Channel For Monetary Policy Transmission In Malaysia: An Ardl Approach
by Kim-Leng GOH & Chin-Sieng CHONG & Sook-Lu YONG
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2006 Inflation and Inflation Uncertainty in India, 1957 - 2005
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2006 Improved Nonparametric Confidence Intervals in Time Series Regressions
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2006 Range-Based Estimation of Quadratic Variation
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2006 Long memory with Markov-Switching GARCH
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2006 How to treat benchmark revisions? The case of German production and orders statistics
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2006 Has the export pricing behaviour of German enterprises changed? Empirical evidence from German sectoral prices
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2006 Forecasting the price of crude oil via convenience yield predictions
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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
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2006 The Sales Effect of Word of Mouth: A Model for Creative Goods and Estimates for Novels
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2006 Interval forecasting of spot electricity prices
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2006 Short-term electricity price forecasting with time series models: A review and evaluation
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2006 Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence
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2006 Testing for stationarity in heterogeneous panel data in the presence of cross section dependence
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2006 A Threshold Model of Real US GDP and the Problem of Constructing Confidence Intervals in TAR Models
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2006 Interest Rate Pass-Through in Central and Eastern Europe: Reborn from Ashes Merely to Pass Away?
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2006 Price Linkages of Russian Regional Markets
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2006 Spurious Regressions With Time-Series data: Further Asymptotic Results
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2006 Volatility Forecast Comparison using Imperfect Volatility Proxies
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2006 Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models
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2006 The Relation of Different Concepts of Causality in Econometrics
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2006 Minimum distance estimation of stationary and non-stationary ARFIMA processes
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2006 Sources of Economic Growth in South Korea: An Application of the ARDL Analysis in the Presence of Structural Breaks - 1980-2005
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2006 Labour Productivity in Iran
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2006 Testing for Structural Breaks in the Korean Economy 1980-2005: An Application of the Innovational Outlier and Additive Outlier Models
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2006 Revisiting Budget and Trade Deficits in Lebanon: A Critique
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2006 Australia and New Zealand CER Agreement and Breakpoints in Bilateral Trade: An Application of the Wald-type Test
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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
2006 Volatility Clustering, Leverage Effects, and Jump Dynamics in the US and Emerging Asian Equity Markets
by Daal, Elton & Naka, Atsuyuki & Yu, Jung-Suk
2006 The Relationship Between Economic Growth and Inequality: Evidence from the Age of Market Liberalism
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2006 Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting
by Michael Dueker & Martin Sola & Fabio Spagnolo
2006 Exports, Imports and Economic Growth in India
by László Kónya & Jai Pal Singh
2006 Purchasing Power Parity: The Irish Experience Re-visited
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2006 Some Empirical Observations on the Forward Exchange Rate Anomaly
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2006 Robust Estimates of the New Keynesian Phillips Curve
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2006 Unit Roots, Polynomial Transformations and the Environmental Kuznets Curve
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2006 Correlated Risks: A Conflict of Interest Between Insurers and Consumers and Its Resolution
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2006 Policy impacts on Vietnam stock markets: a case of anomalies and disequilibria 2000-2006
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2006 A quoi réagit le marchés des obligations privées?
by Marie Brière & Aurélie Cohen
2006 Money Growth, Output Gaps and Inflation at Low and High Frequency: Spectral Estimates for Switzerland
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2006 Testing Over-Identifying Restrictions without Consistent Estimation of the Asymptotic Covariance Matrix
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2006 Improved HAC Covariance Matrix Estimation Based on Forecast Errors
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2006 Change-Point Estimation of Nonstationary I(d) Processes
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2006 Inference in GARCH when some coefficients are equal to zero
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2006 The discounted economic stock of money with VAR forecasting
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2006 International Wealth Effects
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2006 Forecasting Inflation: the Relevance of Higher Moments
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2006 A Dynamic Tobit Model for the Open Market Desk's Daily Reaction Function
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2006 Dynamic cointegration and relevant vector machine: the relationship between gold and silver
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2006 Advanced estimates of regional accounts: an alternative approach by spatial panels
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2006 Semiparametric estimation in perturbed long memory series
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2006 The Fractional OU Process: Term Structure Theory and Application
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2006 A State-Level Analysis of the Great Moderation
by Michael T. Owyang & Jeremy Piger & Howard J. Wall & Federal Reserve Bank of St. Louis
2006 Subsampling realised kernels
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2006 Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise
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2006 Predictive Density Evaluation. Revised
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2006 Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures
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2006 Predictive Inference Under Model Misspecification with an Application to Assessing the Marginal Predictive Content of Money for Output
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2006 Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes
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2006 Predictive Inference for Integrated Volatility
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2006 A Simulation Based Specification Test for Diffusion Processes
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2006 A Predictive Comparison of Some Simple Long Memory and Short Memory Models of Daily U.S. Stock Returns, With Emphasis on Business Cycle Effects
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2006 Nonlinear Time Series Analysis
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2006 New evidence on the relationship beetween crude oil and petroleum product prices
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2006 A (semi-)parametric functional coefficient autoregressive conditional duration model
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2006 Pass-Through del Tipo de Cambio y Política Monetaria: Evidencia Empírica de los Países del OECD
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2006 The Equilibrium Real Exchange Rate in Peru: BEER Models and Confidence Band Building
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2006 Household Saving and Asset Valuations in Selected Industrialised Countries
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2006 Are Price Limits on Futures Markets That Cool? Evidence from the Brazilian Mercantile and Futures Exchange
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2006 Uncover Latent PPP by Dynamic Factor Error Correction Model (DF-ECM) Approach: Evidence from Five OECD Countries
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2006 Nonlinear Models with Strongly Dependent Processes and Applications to Forward Premia and Real Exchange Rates
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2006 Stochastic Volatility Driven by Large Shocks
by George Kapetanios & Elias Tzavalis
2006 Measuring Regional Market Integration by Dynamic Factor Error Correction Model (DF-ECM) Approach - The Case of Developing Asia
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2006 Sieve Bootstrap for Strongly Dependent Stationary Processes
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2006 The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps
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2006 Simple (but effective) tests of long memory versus structural breaks
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2006 Gaussian Semiparametric Estimation of Multivariate Fractionally Integrated Processes
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2006 Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend
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2006 Estimating the Equilibrium Real Exchange Rate for Namibia
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2006 Foreign Direct Investment: South Africa’s Elixir of Life?
by C.E. Moolman & E.L. Roos & J.C. Le Roux & C. B. Du Toit
2006 Application of Hidden Markov Models and Hidden Semi-Markov Models to Financial Time Series
by Bulla, Jan
2006 Aggregate Import demand and Expenditure Components in Ghana:An Econometric Analysis
by Frimpong, Joseph Magnus & Oteng-Abayie, Eric Fosu
2006 Modelling and Forecasting Volatility of Returns on the Ghana Stock Exchange Using GARCH Models
by Frimpong, Joseph Magnus & Oteng-Abayie, Eric Fosu
2006 A Joint Test of Price Discrimination, Menu Cost and Currency Invoicing
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2006 Time series properties of ARCH processes with persistent covariates
by Han, Heejoon & Park, Joon Y.
2006 The Impact of International Oil Prices on Industrial Production: The Case of Thailand
by Jiranyakul, Komain
2006 Cycles of violence, and terrorist attacks index for the State of Ohio
by Gómez-Sorzano, Gustavo
2006 The bilateral J-Curve hypothesis between Turkey and her 9 trading partners
by Kimbugwe, Hassan
2006 Decomposing violence: terrorist murder and attacks in New York State from 1933 to 2005
by Gómez-Sorzano, Gustavo
2006 Using the Beveridge & Nelson decomposition of economic time series for pointing out the occurrence of terrorist attacks
by Gómez-Sorzano, Gustavo
2006 A causal investigation of aggregate output fluctuations in India
by Gopalan, Sasidaran
2006 Forecasting an ARIMA (0,2,1) using the random walk model with drift
by Halkos, George & Kevork, Ilias
2006 Testing for Granger causality between stock prices and economic growth
by Foresti, Pasquale
2006 The monetary transmission mechanism in Pakistan: a sectoral analysis
by Alam, Tasneem & Waheed, Muhammad
2006 Portuguese Women in Science and Technology (S&T): Some Gender Features Behind MSc. and PhD. Achievement
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2006 Long memory and non-linearity in Stock Markets
by Bond, Derek & Dyson, Kenneth
2006 The Direction of Causality between Health Spending and GDP: The Case of Pakistan
by Haider, Adnan & Butt, M. Sabihuddin
2006 Measuring the Common Component of Stock Market Fluctuations in the Asia-Pacific Region
by Mapa, Dennis S. & Briones, Kristine Joy S.
2006 Structural breaks and unit root: evidence from Pakistani macroeconomic time series
by Waheed, Muhammad & Alam, Tasneem & Ghauri, Saghir Pervaiz
2006 Modelling financial time series with SEMIFAR-GARCH model
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2006 Time Series Econometrics of Growth Models: A Guide for Applied Economists
by Rao, B. Bhaskara
2006 Exchange rate policy and trade balance. A cointegration analysis of the argentine experience since 1962
by Matesanz Gómez, David & Fugarolas Álvarez-Ude, Guadalupe
2006 Export and Economic Growth in India: Causal Interpretation
by Pandey, Alok Kumar
2006 Trade Between Euro Zone and Arab Countries: a Panel Study
by Harb, Nasri
2006 Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market
by Weron, Rafal & Misiorek, Adam
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by Gomez-Sorzano, Gustavo
2006 A model of cyclical terrorist murder in Colombia, 1950-2004. Forecasts 2005-2019
by Gomez-Sorzano, Gustavo
2006 Bayesian Estimation of the GARCH(1,1) Model with Normal Innovations
by David, Ardia
2006 Estimating Price Elasticities of Supply for Cotton: A Structural Time-Series Approach
by Shepherd, Ben
2006 Globalization and Structural Changes in the Indian Industrial Sector: An Analysis of Production Functions
by Mishra, SK
2006 Decomposing violence: terrorist murder in the twentieth century in the U.S
by Gomez-Sorzano, Gustavo
2006 Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models
by Francois-Éric Racicot & Raymond Théoret & Alain Coen
2006 Human capital, trade and long-run productivity. Testing the technological absorption hypothesis for the Portuguese economy, 1960-2001
by Aurora A.C. Teixeira & Natércia Fortuna
2006 Time Series Analysis
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2006 Robust volatility forecasts and model selection in financial time series
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2006 Subsampling realised kernels
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2006 Monetary Policy and Inflation Expectations in Latin America: Long-run Effects and Volatility Spillovers
by OECD
2006 Assessing Russia's Non-fuel Trade Elasticities: Does the Russian Economy React "Normally" to Exchange Rate Movements?
by Christian Gianella & Corinne Chanteloup
2006 The Persistence and Predictive Power of the Dividend-Price Ratio
by Cheolbeom Park
2006 Subsampling realised kernels
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2006 Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise
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2006 How Large Is the Housing Wealth Effect? A New Approach
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2006 Testing Models of Low-Frequency Variability
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2006 The International CAPM and a Wavelet-Based Decomposition of Value at Risk
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2006 Approximately Normal Tests for Equal Predictive Accuracy in Nested Models
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2006 Business Cycles in a Small Open Economy: Stylized Facts from Singapore
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2006 The Ups and Downs of New Zealand House Prices
by Viv B. Hall & John McDermott
2006 Some Nonlinear Exponential Smoothing Models are Unstable
by Rob J Hyndman & Muhammad Akram
2006 Parameterisation and Efficient MCMC Estimation of Non-Gaussian State Space Models
by Chris M Strickland & Gael Martin & Catherine S Forbes
2006 Modelling and forecasting Australian domestic tourism
by George Athanasopoulos & Rob J. Hyndman
2006 Beveridge-Nelson Decomposition with Markov Switching
by Chin Nam Low & Heather Anderson & Ralph D. Snyder
2006 The Finite-Sample Properties of Autoregressive Approximations of Fractionally-Integrated and Non-Invertible Processes
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2006 Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
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2006 Half-Life Estimation based on the Bias-Corrected Bootstrap: A Highest Density Region Approach
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2006 Changements de régime pour la persistance et la dynamique du taux d'intérêt réel américain
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2006 The impact of monetary policy signals on the intradaily Euro-dollar volatility
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2006 The Relationship Between Female Labour Force Participation And Fertility In G7 Countries: Evidence From Panel Cointegration And Granger Causality
by Vinod Mishra & Ingrid Nielsen & Russell Smyth
2006 The effect of the MNB’s communication on financial markets
by Péter Gábriel & Klára Pintér
2006 The Cyclical Dynamics and Volatility of Australian Output and Employment
by Robert Dixon & David Shepherd
2006 The Econometric Analysis of Constructed Binary Time Series
by Don Harding & Adrian Pagan
2006 Long maturity forward rates of major currencies are stationary
by Zsolt Darvas & Zoltán Schepp
2006 Deregulated Wholesale Electricity Prices in Italy
by Bruno Bosco & Lucia Parisio & Matteo Pelagatti
2006 Reduced-Dimension Control Regression
by John Galbraith & Victoria Zinde-Walsh
2006 Asymptotics For Estimation Of Truncated Infinite-Dimensional Quantile Regressions
by Serguei Zernov & Victoria Zindle-Walsh & John Galbraith
2006 PPP over a century: Co-integration and structural change
by Ekaterini Panopoulou
2006 Irrelevant but highly persistent instruments in stationary regressions with endogenous variables containing near-to-unit roots
by Ekaterini Panopoulou & Nicolaos Kourogenis & Nikitas Pittis
2006 Micro Vs Macro Explanations of Post-War US Unemployment Movements
by Chris Heaton & Paul Oslington
2006 Exports, Imports and Economic Growth in India
by László Kónya & Jai Pal Singh
2006 Variance Estimation in a Random Coefficients Model
by Schlicht, Ekkehart & Ludsteck, Johannes
2006 Calendar Anomalies in an Emerging African Market: Evidence from the Ghana Stock Exchange
by Paul Alagidede & Theodore Panagiotidis
2006 Computing the Distributions of Economic Models Via Simulation
by John Stachurski
2006 Testing the Conditional Mean Function of Autoregressive Conditional Duration Models
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2006 A Dynamic Semiparametric Proportional Hazard Model
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2006 What Drives Health Care Expenditure? Baumol’s Model of ‘Unbalanced Growth’ Revisited
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2006 From Transition Crises to Macroeconomic Stability? Lessons from a Crises Early Warning System for Eastern European and CIS Countries
by Kristina Kittelmann & Marcel Tirpak & Rainer Schweickert & Lúcio Vinhas de Souza
2006 Asymmetric and Non-Linear Adjustments in Local Fiscal Policy
by Gabriella Legrenzi & Costas Milas
2006 Vicious and Virtuous Circles: The Political Economy of Unemployment
by Ruthira Naraidoo & Patrick Minford
2006 Existence of Bifurcation in Macroeconomic Dynamics: Grandmont was Right
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2006 The Theoretical Regularity Properties of the Normalized Quadratic Consumer Demand Model
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2006 Non-Robust Dynamic Inferences from Macroeconometric Models: Bifurcation Stratification of Confidence Regions
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2006 Rotterdam vs Almost Ideal Models: Will the Best Demand Specification Please Stand Up?
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2006 Comment on 'Chaotic Monetary Dynamics with Confidence'
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2006 Testing Dependence among Serially Correlated Multi-Category Variables
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2006 Testing Dependence among Serially Correlated Multi-Category Variables
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2006 Variance Estimation in a Random Coefficients Model
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2006 Variance Estimation in a Random Coefficients Model
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2006 Un Estudio Empírico De Transmisión Monetaria En Europa
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2006 A Bootstrap Approach To Test The Conditional Symmetry In Time Series Models
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2006 Modeling The Euro Overnight Rate
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2006 Inappropriate Detrending and Spurious Cointegration
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2006 Forecasting Employment for Germany
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2006 Arbitrage, Covered Interest Parity and Long-Term Dependence between the US Dollar and the Yen
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2006 Nonparametric Density Estimation for Positive Time Series
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2006 International Macroeconomic Dynamics: a Factor Vector Autoregressive Approach
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2006 The End of the Japanese Stagnation: an Assessment of the Policy Solutions
by Claudio Morana
2006 Beveridge-Nelson Decomposition with Markov Switching
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2006 Overreaction and Multiple Tail Dependence at the High-frequency Level — The Copula Rose
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2006 Forecasting Euro-Area Variables with German Pre-EMU Data
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2006 Varying coefficient GARCH versus local constant volatility modeling. Comparison of the predictive power
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2006 Time Dependent Relative Risk Aversion
by Enzo Giacomini & Michael Handel & Wolfgang K. Härdle
2006 Asymptotic Properties of the Efficient Estimators for Cointegrating Regression Models with Serially Dependent Errors
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2006 The Role of "Leads" in the Dynamic OLS Estimation of Cointegrating Regression Models
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2006 Test for the null hypothesis of cointegration with reduced size distortion
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2006 Clustering Using Wavelet Transformation
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2006 A New Approach for Analyzing Fractional Difference Processes
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2006 Does Unemployment Hysteresis Equal Employment Hysteresis?
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2006 Structural breaks in Iron-Ore prices: The impact of the 1973 oil crisis
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2006 Influence of News in Moscow and New York on Returns and Risks on Baltic State Stock Indices
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2006 Stock Data, Trade Durations, And Limit Order Book Information
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2006 Effects of Explanatory Variables in Count Data Moving Average Models
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2006 Time Series Modelling Of High Frequency Stock Transaction Data
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2006 A Vector Integer-Valued Moving Average Modelfor High Frequency Financial Count Data
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2006 LongMemory, Count Data, Time Series Modelling for Financial Application
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2006 Derivation and Estimation of a New Keynesian Phillips Curve in a Small Open Economy
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2006 Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models
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2006 Frequent Turbulence? A Dynamic Copula Approach
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2006 Finite-Sample Stability of the KPSS Test
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2006 Using Markets to Measure Pre-War Threat Assessments: The Nordic Countries Facing World War II
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2006 Determining the number of breaks in a piecewise linear regression model
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2006 An introduction to univariate GARCH models
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2006 Stability of nonlinear AR-GARCH models
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2006 Bayesian simultaneous determination of structural breaks and lag lengths
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2006 Real Exchange Rate Adjustment In European Transition Countries
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2006 The stability of electricity prices: estimation and inference of the Lyapunov exponents
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2006 Exchange rate sensitivity of China’s bilateral trade flows
by Wang, Jiao & Ji, Andy G.
2006 Volatility transmissions between renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures
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2006 Spurious Regression and Trending Variables
by Antonio E. Noriega & Daniel Ventosa-Santaularia
2006 The Latin American and Spanish Stock markets
by Henry Aray
2006 In search of FDI-led growth in developing countries
by Dierk Herzer & Stephan Klasen & Felicitas Nowak-Lehmann D.
2006 Mobilidade do Capital e Sustentabilidade Externa: uma aplicação da tese de F-H a Portugal (1910-2004)
by João Sousa Andrade
2006 The EURO and Inflation Uncertainty In The EMU
by Guglielmo maria Coporale & Alexandros Kontonikas
2006 Stock Returns and Inflation: The Impact of Inflation Targeting
by Alexandros Kontonikas & Alberto Montagnoli & Nicola Spagnolo
2006 On Functional Central Limit Theorems for Dependent, Heterogeneous Tail Arrays with Applications to Tail Index and Tail Dependence Estimators
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2006 Credibility of Exchange Rate Policies in Selected EU New Members: Evidence from High Frequency Data
by Jarko Fidrmuc & Roman Horváth
2006 Cointegration in Panel Data with Breaks and Cross-Section Dependence
by Anindya Banerjee & Josep Lluís Carrion-i-Silvestre
2006 Forecasting Euro-Area Variables with German Pre-EMU Data
by Ralf Brueggemann & Helmut Luetkepohl & Massimiliano Marcellino
2006 A Mixture Multiplicative Error Model for Realized Volatility
by Markku Lanne
2006 Forecasting Realized Volatility by Decomposition
by Markku Lanne
2006 The Long-Run Phillips Curve and Non-Stationary Inflation
by Bill Russell, Anindya Banerjee
2006 Continuous Market Growth Beyond Functional Satiation. Time-Series Analyses of U.S. Footwear Consumption, 1955-2002
by A. Frenzel Baudisch
2006 Computing abuse related damages in the case of new entry: An illustration for the Directory Enquiry Services market
by Siotis, Georges & Martínez Granado, María Teresa
2006 Beverridge Nelson Decomposition With Markov Switching
by Chin Nam Low & Heather Anderson & Ralph Snyder
2006 Forecasting measures of inflation for the Estonian economy
by Agostino Consolo
2006 Feedback Effects of Rating Downgrades
by Fulop, Andras
2006 Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises
by Duan, Jin-Chuan & Fulop, Andras
2006 Изследване На Конвергенцията На Инфлационните Равнища Между България И Ес
by Nedyalka Dimitrova
2006 Spillover Effects among the Greater China Region Stock Markets
by Anders C Johansson & Christer Ljungwall
2006 A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete
by Peter C. B. Phillips & Jun Yu
2006 Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
by Peter C. B. Phillips & Jun Yu
2006 Non-Stationary Inflation and the Markup: an Overview of the Research and some Implications for Policy
by Bill Russell
2006 Detecting and Predicting Forecast Breakdowns
by Rossi, Barbara & Giacomini, Raffaella
2006 Testing the purchasing power parity in China
by Olivier Darné & Jean-François Hoarau
2006 What Drives Personal Consumption?: The Role of Housing and Financial Wealth
by Jiri Slacalek
2006 International Wealth Effects
by Jiri Slacalek
2006 Hysteresis and Persistence in the Course of Unemployment: The EU and US Experience
by Christian Dreger & Hans-Eggert Reimers
2006 Investigating M3 Money Demand in the Euro Area: New Evidence Based on Standard Models
by Christian Dreger & Jürgen Wolters
2006 Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series
by Siem Jan Koopman & Soon Yip Wong
2006 Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment
by Siem Jan Koopman & Marius Ooms & Irma Hindrayanto
2006 Modeling Portfolio Defaults using Hidden Markov Models with Covariates
by Konrad Banachewicz & Aad van der Vaart & Andr� Lucas
2006 On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling
by Michiel D. de Pooter & Ren� Segers & Herman K. van Dijk
2006 A Weak Bifurcation Theory for Discrete Time Stochastic Dynamical Systems
by Cees Diks & Florian Wagener
2006 Testing for Nonlinear Structure and Chaos in Economic Time. A Comment
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2006 The relationship between economic growth and inequality: evidence from the age of market liberalism
by Gerardo Angeles-Castro
2006 Institutional Change and Factor Movement: A Test of the Coase Theorem's Invariance Principle
by Martin B. Schmidt
2006 Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression
by Qiying Wang & Peter C.B. Phillips
2006 Log Periodogram Regression: The Nonstationary Case
by Chang Sik Kim & Peter C.B. Phillips
2006 A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process
by Offer Lieberman & Peter C.B. Phillips
2006 Adaptive Estimation of Autoregressive Models with Time-Varying Variances
by Ke-Li Xu & Peter C.B. Phillips
2006 Adaptive Estimation of Autoregressive Models with Time-Varying Variances
by Ke-Li Xu & Peter C.B. Phillips
2006 Limit Theorems for Functionals of Sums That Converge to Fractional Stable Motions
by P. Jeganathan
2006 Refined Inference on Long Memory in Realized Volatility
by Offer Lieberman & Peter C. B. Phillips
2006 Sinusoidal Modeling Applied to Spatially Variant Tropospheric Ozone Air Pollution
by Nicholas Z. Muller & Peter C. B. Phillips
2006 Optimal Estimation of Cointegrated Systems with Irrelevant Instruments
by Peter C. B. Phillips
2006 Gaussian Inference in AR(1) Time Series with or without a Unit Root
by Peter C. B. Phillips & Chirok Han
2006 Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing
by Yixiao Sun & Peter C. B. Phillips & Sainan Jin
2006 Real exchange rates and real interest rates : a nonlinear perspective
by Frédérique BEC & Mélika BEN SALEM & Ronald MACDONALD
2006 Multivariate mixed normal conditional heteroskedasticity
by Luc, BAUWENS & C.M., HAFNER & J.V.K., ROMBOUTS
2006 Regime switching GARCH models
by Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS
2006 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 Papadopoulos
2006 A New Look at the Forward Premium Puzzle
by Nikolay Gospodinov
2006 Using Markets to Measure Pre-War Threat Assessments: The Nordic Countries facing World War II
by Daniel Waldenstrom & Bruno S. Frey
2006 Money at Low Frequencies
by Assenmacher-Wesche, Katrin & Gerlach, Stefan
2006 Computing Abuse Related Damages in the Case of New Entry: An Illustration for the Directory Enquiry Services Market
by Martinez Granado, Maite & Siotis, Georges
2006 When Anti-Dumping Measures Lead to Increased Market Power: A Case Study of the European Salmon Market
by Asche, Frank & Steen, Frode
2006 Money Growth, Output Gaps and Inflation at Low and High Frequency: Spectral Estimates for Switzerland
by Assenmacher-Wesche, Katrin & Gerlach, Stefan
2006 Understanding the Link between Money Growth and Inflation in the Euro Area
by Assenmacher-Wesche, Katrin & Gerlach, Stefan
2006 Interpreting Euro Area Inflation at High and Low Frequencies
by Assenmacher-Wesche, Katrin & Gerlach, Stefan
2006 On the Equality of Real Interest Rates Across Borders in Integrated Capital Markets
by Minford, Patrick & Peel, David
2006 Intradaily seasonality of returns distribution. A quantile regression approach and intradaily VaR estimation
by CORONEO, Laura & VEREDAS, David
2006 Asymptotic theory for a factor GARCH model
by HAFNER, Christian M. & PREMINGER, Arie
2006 A GARCH (1,1) estimator with (almost) no moment conditions on the error term
by PREMINGER, Arie & STORTI, Giuseppe
2006 Deciding between GARCH and stochastic volatility via strong decision rules
by PREMINGER, Arie & HAFNER, Christian M.
2006 Multivariate mixed normal conditional heteroskedasticity
by BAUWENS, Luc & HAFNER, Christian & ROMBOUTS, Jeroen
2006 Regime switching GARCH models
by BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen
2006 Aggregate Wage Flexibility in Selected New EU Member States
by Ian Babetskii
2006 Taux d’intérêt et marchés boursiers : une analyse empirique de l’intégration financière internationale
by vladimir Borgy & Valérie Mignon
2006 The Impact of News on Higher Moments
by Eric Jondeau & Michael Rockinger
2006 What Jump Process to use to Model S&P500 Returns?
by Maria Semenova
2006 The Economic Value of Distributional Timing
by Eric Jondeau & Michael Rockinger
2006 Accurate Value-at-Risk Forecast with the (good old) Normal-GARCH Model
by Christoph Hartz & Stefan Mittnik & Marc S. Paolella
2006 Dynamic modeling under linear-exponential loss
by Stanislav Anatolyev
2006 Tests in contingency tables as regression tests
by Stanislav Anatolyev & Grigory Kosenok
2006 Nonparametric retrospection and monitoring of predictability of financial returns
by Stanislav Anatolyev
2006 Trade intensity in the Russian stock market:dynamics, distribution and determinants
by Stanislav Anatolyev & Dmitry Shakin
2006 Qualitative Business Surveys in Manufacturing and Industrial Production - What can be Learned from Industry Branch Results?
by Klaus Abberger
2006 The Euro and Inflation Uncertainty in the European Monetary Union
by Guglielmo Maria Caporale & Alexandros Kontonikas
2006 Cointegration Tests of PPP: Do they also Exhibit Erratic Behaviour?
by Guglielmo Maria Caporale & Christoph Hanck
2006 Nonparametric Spectrum Estimation for SpatialData
by Peter M Robinson
2006 Consistent estimation of the memory parameterfor nonlinear time series
by Violetta Dalla & Liudas Giraitis & Javier Hidalgo
2006 Consistent estimation of the memory parameterfor nonlinear time series
by Violetta Dalla & Liudas Giraitis & Javier Hidalgo
2006 Macroeconomic Instability in the European Monetary System?
by Amalia Morales Zumaquero & Simón Sosvilla Rivero
2006 International Macroeconomic Dynamics: A Factor Vector Autoregressive Approach
by Fabio C. Bagliano & Claudio Morana
2006 (Un)Predictability and Macroeconomic Stability
by D'Agostino, Antonello & Domenico, Giannone & Surico, Paolo
2006 Some Empirical Observations on the Forward Exchange Rate Anomaly
by Bond, Derek & Harrison, Michael J & Hession, Niall & O’Brien, Edward J.
2006 Testing for Long Memory and Nonlinear Time Series: A Demand for Money Study
by Bond, Derek & Harrison, Michael J & O’Brien, Edward J.
2006 Time-Varying Quantiles
by DeRossi, G. & Harvey, A.
2006 Testing Dependence Among Serially Correlated Multi-category Variables
by Pesaran, M.H. & Timmermann, A.
2006 The Stability of Electricity Prices: Estimation and Inference of the Lyapunov Exponent
by Mikael Bask & Tung Liu & Anna Widerberg
2006 The Limit Distribution of the Estimates in Cointegrated Regression Models with Multiple Structural Changes
by Mohitosh Kejriwal & Pierre Perron
2006 Assessing the Relative Power of Structural Break Tests Using a Framework Based on the Approximate Bahadur Slope
by Dukpa Kim & Pierre Perron
2006 Unit Root Tests Allowing for a Break in the Trend Function at an Unknown Time Under Both the Null and Alternative Hypotheses
by Mohitosh Kejriwal & Pierre Perron
2006 Testing for Multiple Structural Changes in Cointegrated Regression Models
by Mohitosh Kejriwal & Pierre Perron
2006 State Space Model with Mixtures of Normals: Specifications and Applications to International Data
by Tatsuma Wada & Pierre Perron
2006 An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility
by Pierre Perron & Zhongjun Qu
2006 An Alternative Definition of Market Efficiency and some Comments on its Empirical Testing
by Alexandros E. Milionis
2006 Exact Elliptical Distributions for Models of Conditionally Random Financial Volatility
by George A. Christodoulakis & Stephen E Satchell
2006 Measuring the Correlation of Shocks betweem the EU15 and the New Member Countries
by Stephen G. Hall & George Hondroyiannis
2006 On the Sensitivity of the Volume and Volatility of Bilateral Trade Flows to Exchange Rate Uncertainty
by Christopher F. Baum & Mustafa Caglayan
2006 Interpreting Euro area inflation at high and low frequencies
by Stefan Gerlach & Katrin Assenmacher-Wesche
2006 Output gaps and inflation in Mainland China
by Stefan Gerlach & Wensheng Peng
2006 Trade Liberalization or Oil Shocks: Which Explains Structural Breaks in International Trade Ratios?
by Suleiman Abu-Bader & Aamer Abu-Qarn
2006 La désaisonnalisation des séries d’agrégats monétaires et de crédit à la Banque de France : aspects théoriques et mise en oeuvre
by Fonteny, E.
2006 Assessing Aggregate Comovements in France, Germany and Italy. Using a Non Stationary Factor Model of the Euro Area
by De Bandt. O. & Bruneau, C. & Flageollet, B.
2006 Term Structure Anomalies: Term Premium or Peso problem?
by JARDET, C.
2006 La fonction de demande de monnaie pour la zone euro : un réexamen
by Avouyi-Dovi, S. & Brun, M. & Dreyfus, A. & Drumetz, F. & Oung, V. & Sahuc, J-G.
2006 Spurious Cointegration: The Engle-Granger Test in the Presence of Structural Breaks
by Antonio E. Noriega & Daniel Ventosa-Santaulària
2006 Inflation Dynamics in Latin America
by Carlos Capistrán & Manuel Ramos Francia
2006 Spurious Regression and Econometric Trends
by Antonio E. Noriega & Daniel Ventosa-Santaulària
2006 Volatility Forecasts for the Mexican Peso - U.S. Dollar Exchange Rate: An Empirical Analysis of Garch, Option Implied and Composite Forecast Models
by Guillermo Benavides
2006 Convergences of prices and rates of inflation
by Fabio Busetti & Silvia Fabiani & Andrew Harvey
2006 Structural breaks in labor productivity growth: the United States vs. the European Union
by Juan F. Jimeno & Esther Moral & Lorena Saiz
2006 Vector autoregressions and reduced form representations of DSGE models
by Federico Ravenna
2006 Real Interest Rate Risk in the Argentine Banking System. A Measuring Model
by Verónica Balzarotti
2006 New survey evidence on the pricing behaviour of Luxembourg firms
by Patrick Lünnemann & Thomas Mathä
2006 Canadian City Housing Prices and Urban Market Segmentation
by Jason Allen & Robert Amano & David P. Byrne & Allen W. Gregory
2006 Using Monthly Indicators to Predict Quarterly GDP
by Isabel Yi Zheng & James Rossiter
2006 The Federal Reserve's Dual Mandate: A Time-Varying Monetary Policy Priority Index for the United States
by René Lalonde & Nicolas Parent
2006 Testing for multicointegration in panel data with common factors
by Vanessa Berenguer Rico & Josep Lluis Carrion Silvestre
2006 The role of the tourism sector in economic development. Lessons from the Spanish experience
by Isabel Cortes Jimenez & Manuel Artis Ortuno
2006 Tomatoes or Tomato Pickers? - Free Trade and Migration in the NAFTA Case
by Amaranta Melchor del Río & Susanne Thorwarth
2006 Una Estimación Del Consumo De Madera En España Entre 1860 Y 1935
by Iñaki Iriarte Goñi & María Isabel Ayuda
2006 Nonparametric Analysis of Financial Time Series by the Kernel Methodology
by Mohamed Chikhi & Claude Diebolt
2006 Cliometrics of the Abiding Nexus Between Demographic Components and Economic Development
by Claude Diebolt & Tapas K. Mishra
2006 Cliometrics of Academic Careers and the Impact of Infrequent Large Shocks in Germany before 1945
by Olivier Darné & Claude Diebolt
2006 A Gaussian IV estimator of cointegrating relations
by Gunnar Bårdsen & Niels Haldrup
2006 A Note on the Vogelsang Test for Additive Outliers
by Niels Haldrup & Andreu Sansó
2006 Macroeconomic Volatility under Alternative Exchange Rate Regimes in Turkey
by Saadet Kasman & Duygu Ayhan
2006 Risk Premium and Central Bank Intervention
by Pinar Ozlu
2006 Estimation d'un modèle TIMA avec asymétrie contemporaine par inférence indirecte
by Catherine Bruneau & Amine Lahiani
2006 A Large Deviation Approach to the Measurement of Mobility
by Robert Aebi & Klaus Neusser & Peter Steiner
2006 Estimating the global Minimum Variance Portfolio
by Alexander Kempf & Christoph Memmel
2006 Double-Conditioned Potential Output
by Dobrescu, Emilian
2006 Efectos de la apertura y la desregulación en la participación de los salarios en la producción de la industria en México, 1980-2002
by Hernández, Plinio & Salazar, Césare Armando
2006 Stability in Stochastic Forecasting of Time Series
by Kharin, Yuriy
2006 Volatility modeling with jumps: applications to Russian and American stock markets (in Russian)
by Sergey Belousov
2006 Glenn Rudebusch’s View on the Targeting of Short-Term Interest Rates
by Karel Brůna
2006 Predictability in Stock Returns in an Emerging Market: Evidence from KSE 100 Stock Price Index
by Khurshid M. Kiani
2006 Money, Inflation, and Growth in Pakistan
by Abdul Qayyum
2006 Parity Reversion in Real Exchange Rates: Fast, Slow, or Not at All?
by Paul Cashin & C. John McDermott
2006 Inflation persistence in Belgium
by M. Collin
2006 Money Demand: Theories And Estimation Methods. A Fractional Cointegration Application
by Anna Conte & Chiara Oldani
2006 Effects of the additive Outliers in the forecasting of the conditional variance of an Arch model/Efectos de los Outliers aditivos en la predicción de la varianza condicional de un modelo Arch
by CATALÁN, BEATRIZ & TRÍVEZ, F. JAVIER
2006 Wechselwirkungen zwischen Innovations- und Wachstumsprozessen in Deutschland 1951-1999 im Vergleich zu 1850-1913
by Andre Jungmittag & Hariolf Grupp
2006 Effective Exchange Rate Volatility And Mena Countries Exports To The Eu
by Serge Rey
2006 Measuring Productive Efficiency Incorporating Firms¡¯ Heterogeneity: An Empirical Analysis
by Ruhul A. Salim
2006 A Proposal to Obtain a Long Quarterly Chilean GDP Series
by Juan de Dios Tena & Miguel Jerez & Sonia Sotoca & Nicole Carvallo
2006 Modelos de corrección de error no lineal entre mercados accionarios latinoamericanos y el mercado accionario de Estados Unidos
by Arturo Lorenzo Valdés
2006 The Persistence of Inflation in OECD Countries: A Fractionally Integrated Approach
by María Dolores Gadea & Laura Mayoral
2006 Aplicación de procesos con raíz unitaria estocástica a índices bursátiles
by Román Mínguez Salido & Eduardo Morales Martínez
2006 Saturation in Autoregressive Models
by Carlos Santos & David Hendry
2006 Has the Stock Market Integration Between the Asian and OECD Countries Improved After the Asian Crisis?
by Girijasankar Mallik
2006 The Day-of-the-Week Effect on Stock-Market Volatility and Return: Evidence from Emerging Markets (in English)
by Yeliz Yalcin & Eray M. Yycel
2006 Economic Growth Before and After Reform: The Case of Egypt, 1973-2002
by Kamaly, A.
2006 Why is the number of catholic priests diminishing in Portugal?. Analysis of the period 1960-2002
by Mourao, P. R.
2006 Using Macro-Financial Variables To Forecast Recessions. An Analysis Of Canada, 1957-2002
by Khurshid M. KIANI & Terry L. KASTENS
2006 Assessing persistence in the Italian rate of unemployment in presence of structural breaks and regional asymmetries, 1977 to 2004
by BATTISTI,Michele
2006 Economic Determinants Of Development In World Economy I: 1920-2005. An Analysis of 165 Countries
by Melike BILDIRICI & Seçkin SUNAL
2006 The Moroccan Monetary and Financial Structure Reforms and Economic Agents´Behaviour
by El Bouhadi, A. & Benali, M.
2006 The Inflation-Capacity Utilization Conundrum: Evidence from the Canadian Economy
by Tsoulfidis, L. & Dergiades, Th.
2006 Does Fisher Effect Apply in Developing Countries: Evidence From a Nonlinear Cotrending Test applied to Argentina, Brazil, Malysia, Mexico, Korea and Turkey
by Maghyereh, A. & Al-Zoubi, H.
2006 Australia and New Zealand CER agreement and breakpoints in bilateral trade: an application of the Wald-type test
by Jayanthakumaran, K. & Pahlavani, M.
2006 A Structural Model For The Demand For Lease Renewals In The U.S. Leasing Industry
by GÓMEZ-SORZANO Gustavo A
2006 The forward premium anomaly: statistical artefact or economic puzzle? New evidence from robust tests
by Alex Maynard
2006 Estimating overcharges in antitrust cases using a reduced-form approach: Methods and issues
by James F. Nieberding
2006 Extremal dependence in European capital markets
by Viviana Fernández
2006 A time series analysis of wages in deregulated industries: A study of motor carriage and rail
by Kristen Monaco & Taggert J. Brooks & John Bitzan
2006 Immobilier et politique monétaire
by Eric Heyer & Xavier Timbeau
2006 The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment
by Alfred A. Haug & Pierre L. Siklos
2006 Estimating Trends in Weather Series: Consequences for Pricing Derivatives
by Stephen Jewson & Jeremy Penzer
2006 Randomly Modulated Periodic Signals in Alberta's Electricity Market
by Melvin J. Hinich & Apostolos Serletis
2006 The Nature of Power Spikes: A Regime-Switch Approach
by Cyriel De Jong
2006 Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models
by Adam Misiorek & Stefan Trueck & Rafal Weron
2006 Measuring and Testing Natural Gas and Electricity Markets Volatility: Evidence from Alberta's Deregulated Markets
by Apostolos Serletis & Akbar Shahmoradi
2006 Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices
by Niels Haldrup & Morten Ø. Nielsen
2006 Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory
by Carlos Martins-Filho & Feng Yao
2006 Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates
by Zacharias Psaradakis & Martin Sola & Fabio Spagnolo
2006 Indexing Speculative Pressure on an Exchange Rate Regime: A Case Study of Macedonia
by King Banaian & Ming Chien Lo
2006 Model Selection Uncertainty and Detection of Threshold Effects
by Jean-Yves Pitarakis
2006 On Robust Trend Function Hypothesis Testing
by David I. Harvey & Stephen J. Leybourne & A.M. Robert Taylor
2006 Can the AK Model Be Rescued? New Evidence from Unit Root Tests with Good Size and Power
by Diego Romero-Avila
2006 A Note on Regressions with Integrated Variables
by Hildegart A. Ahumada
2006 Não-Linearidade e Persistência das Flutuações Econômicas: Evidência Internacional
by Erik Alencar de Figueirêdo
2005 Information In Data Revision Processes: Payroll Employment And Real-Time Measurement Of Employment
by Peter Zadrozny & Ellis Tallman
2005 A Threshold Model of Monetary Policy
by Michael D. Bradley & Dennis W. Jansen
2005 UK Real-time Macro Data Characteristics
by Shaun Vahey & Tony Garratt
2005 Stochastic and deterministic unit root models: problem of dominance
by Svetlana Makarova & Wojciech Charemza
2005 Numerical Integration Filters for Maximum Likelihood Estimation of Asymmetric Stochastic Volatility Models
by Hiroyuki Kawakatsu
2005 The Macroeconomic Reform and the Demand for Money in India
by Rangan Gupta & Basab Dasgupta
2005 Revisiting the Temporal Causality between Money and Income
by Rangan Gupta
2005 Univariate nonlinear time series models
by Teräsvirta, Timo
2005 Inflation in mainland China – modelling a roller coaster ride
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2005 Okun's Law, Asymmetries and Jobless Recoveries in the United States: A Markov-Switching Approach
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2005 A Multivariate Analysis of Savings, Investment, and Growth in India
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2005 Savings, Investment, Foreign Inflows and Economic Growth of the Indian Economy 1950-2001
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2005 Multiple Structural Breaks in Australia's Macroeconomic Data: An Application of the Lumsdaine and Papell Test
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2005 Pre- and Post-Dynamic GST Effects on Goods and Services Included in the CPI Basket
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2005 Structural Changes in the Iranian Economy: An Empirical Analysis with Endogenously Determined Breaks
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2005 Asset Restructuring and the Cost of Capital
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2005 The Nature of the Relationship between International Tourism and International Trade: The Case of Ge
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2005 Unbalanced Cointegration
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2005 Determinants of growth in Italy. A time series analysis
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2005 Economic Growth and Finance. A cointegration analysis in US and Japan
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2005 Neural Networks to Predict Financial Time Series in a Minority Game Context
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2005 Doctors’ Fees in Ireland Following the Change in Reimbursement - Did They Jump?
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2005 Non-linear adjustment to purchasing power parity: an analysis using Fourier approximations
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2005 Testing for Additive Outliers in Seasonally Integrated Time Series
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2005 The KPSS Test with Two Structural Breaks
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2005 Testing the Null of Cointegration with Structural Breaks
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2005 A Large Deviation Approach to the Measurement of Mobility
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2005 Testing for Long Memory and Nonlinear Time Series: A Demand for Money Study
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2005 The Effectiveness of Foreign Exchange Interventions for the Turkish Economy : A Post-Crisis Period Analysis
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2005 Causes and Effectiveness of Foreign Exchange Interventions for the Turkish Economy
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2005 Incidental Trends and the Power of Panel Unit Root Tests
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2005 Unit Roots and Cointegration in Panels
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2005 Measuring Inflation Persistence: A Structural Time Series Approach
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2005 A Time-Frequency Analysis of the Coherences of the US Business
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2005 High Frequency Multiplicative Component Garch
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2005 Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models
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2005 The Long and the Short of It: Long Memory Regressors and Predictive Regressions
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2005 Trend and Cycles: A New Approach and Explanations of Some Old Puzzles
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2005 The Kalman Foundations of Adaptive Least Squares: Applications to Unemployment and Inflation
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2005 Study of Nonlinearities in the Dynamics of Exchange Rates: Is There Any Evidence of Chaos?
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2005 Common Trends and Common Cycles in Canadian Sectoral Output
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2005 Spurious regression under broken trend stationarity
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2005 Estimating the Revealed Inflation Target: An Application to U.S. Monetary Policy
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2005 Can macroeconomic variables explain long term stock market movements? A comparison of the US and Japan
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2005 Measuring Fiscal Sustainability
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2005 Measuring inflation persistence: a structural time series approach
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2005 Vector Autoregressions and Reduced Form Representations of DSGE Models
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2005 Panel Data Unit Roots Tests: The Role of Serial Correlation and the Time Dimension
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2005 Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly?
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2005 Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset
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2005 Econometric Methods of Signal Extraction
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2005 Orthogonality Conditions for Non-Dyadic Wavelet Analysis
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2005 Testing for Neglected Nonlinearity in Long Memory Models
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2005 Finite Sample Accuracy of Integrated Volatility Estimators
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2005 Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
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2005 Using Mean Reversion as a Measure of Persistence
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2005 Forecasting Inflation Through a Bottom-Up Approach: The Portuguese Case
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2005 An Econometric Model of the Rand-US Dollar Nominal Exchange Rate
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2005 Human activities and global warming: a cointegration analysis
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2005 Competitive Pricing Analysis in Mature & Evolving Markets A Time Series Approach
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2005 The Exchange Rates and Monetary Dynamics in Pakistan: An Autoregressive Distributed Lag (ARDL) Apporach
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2005 An Estimation of Residential Water Demand Using Co-Integration and Error Correction Techniques
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2005 A complementary test for ADF test with an application to the exchange rates returns
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2005 Detection of the industrial business cycle using SETAR models
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2005 The Day �of� The� Week Effect in the Colombia Stock Exchange
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2005 An analytical approach on defense expenditure and economic growth: the case of Turkey and Greece
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2005 El Intercambio entre Inflacion y Producto: Evidencia Empirica para Venezuela
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2005 A Macroeconomic Simulation Model for Uzbekistan: Technical Guide to Macroeconomic Applications
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2005 Exchange Rate Regime, Real Exchange Rate, Trade Flows and Foreign Direct Investments: The case of Morocco
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2005 Arbitrage, cointegration and testing the unbiasedness hypothesis in coffee futures traded at the CSCE
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2005 The Nepalese stock market: Efficiency and calendar anomalies
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2005 The Efficiency of Emerging Stock Markets: Empirical Evidence from the South Asian Region
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2005 Seasonal and Periodic Long Memory Models in the In�ation Rates
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2005 Purchasing power parity in Asian economies: further evidence from rank tests for cointegration
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2005 The revenue smoothing hypothesis in an ARIMA Framework: Evidence from the United States, in Claude Diebolt, Catherine Kyrtsou et al. (eds.), New Trends in Macroeconomics
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2005 The determinants of the Harare Stock Exchange (HSE) market capitalisation
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2005 Import Demand in Heterogeneous Panel Setting
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2005 Finite sample effects of pure seasonal mean shifts on Dickey-Fuller tests
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2005 Does Ramadan Have Any Effect on Food Prices: A Dual-Calendar Perspective on the Turkish Data
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2005 A Versus K Revisited: Evidence from Selected MENA Countries
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2005 Calibrage économétrique de processus stochastiques avec applications aux données boursières, bancaires et cambiales canadiennes
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2005 Variation, jumps, market frictions and high frequency data in financial econometrics
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2005 Estimating Quadratic Variation When Quoted Prices Jump by a Constant Increment
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2005 Analysis of Price Transmission Along the Food Chain
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2005 Mind your Ps and Qs! Improving ARMA forecasts with RBC priors
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2005 Estimating quadratic variation when quoted prices jump by a constant increment
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2005 What causes the forecasting failure of Markov-switching models ? A Monte Carlo study
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2005 La fonction de demande de monnaie pour la zone euro : un réexamen
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2005 Correlaciones entre fallidos y derivados de crédito: un modelo para la valoración de CDO
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2005 Monetary Policy Under Uncertainty in Micro-Founded Macroeconometric Models
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2005 Multifrequency News and Stock Returns
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2005 Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise
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2005 Edgeworth Expansions for Realized Volatility and Related Estimators
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2005 Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference
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2005 An international analysis of earnings, stock prices and bond yields
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2005 Measuring inflation persistence: a structural time series approach
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2005 An Alternative Estimation to Spurious Regression Model
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2005 Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression
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2005 Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series
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2005 Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics
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2005 Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression
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2005 Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series
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2005 Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics
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2005 Time Series Forecasting: The Case for the Single Source of Error State Space
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2005 Exponential Smoothing Model Selection for Forecasting
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2005 A Pedant's Approach to Exponential Smoothing
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2005 Weighted Average Power Similar Tests for Structural Change for the Gaussian Linear Regression Model
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2005 Another Look at Measures of Forecast Accuracy
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2005 25 Years of IIF Time Series Forecasting: A Selective Review
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2005 Is there a Natural Rate of Crime?
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2005 A New Method for Combining Detrending Techniques with Application to Business Cycle Synchronization of the New EU Members
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2005 Potential Output Estimations for Hungary: A Survey of Different Approaches
by Szilárd Benk & Zoltán M. Jakab & Gábor Vadas
2005 Determinants of FDI in Australia : Which Theory Can Explain it Best?
by Isabel Faeth
2005 A New Method for Combining Detrending Techniques with Application to Business Cycle Synchronization of the New EU Members
by Zsolt Darvas & Gábor Vadas
2005 Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange
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2005 Short-Term Forecasting of Economic Development in Latvia Using Business and Consumer Survey Data
by Aleksejs Melihovs & Svetlana Rusakova
2005 Assessment of Labour Market Elasticity in Latvia
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2005 Non-Linearity in the Canadian and US Labour Market: Univariate and Multivariate Evidence from a battery of tests
by Theodore Panagiotidis & Gianluigi Pelloni
2005 Robustness of Inferences to Singularity Bifurcations
by William Barnett & Yijun He
2005 Nonlinear and Complex Dynamics in Real Systems
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2005 Monetary Aggregation
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2005 The Process Followed By Ppp Data. On The Properties Of Linearity Tests
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2005 A New Analysis Of The Determinants Of The Real Dollar-Sterling Exchange Rate: 1871-1994
by Ivan Paya & David A. Peel
2005 The Long Memory Story Of Real Interest Rates. Can It Be Supported?
by Ivan Paya & Agustín Duarte & Ioannis A. Venetis
2005 German Exports to the Euro Area - A Cointegration Approach
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2005 Approaches for the Joint Evaluation of Hypothesis Tests: Classical Testing, Bayes Testing, and Joint Confirmation
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2005 Brazilian Business Cycles and Growth from 1850 to 2000
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2005 A Test of Cointegration Rank Based on Principal Component Analysis (revised, January 2006)
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2005 Output Gaps and Inflation in Mainland China
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2005 Inflation in Mainland China - Modelling a Roller Coaster Ride
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2005 Construction of Stationarity Tests with Less Size Distortions
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2005 Point Optimal Test for Cointegration with Unknown Variance-Covariance Matrix
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2005 Myopic Loss Aversion, the Equity Premium Puzzle, and GARCH
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2005 Modelling High Frequency Financial Count Data
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2005 Bivariate Time Series Modelling of Financial Count Data
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2005 A necessary and sufficient condition for the strict stationarity of a family of GARCH processes
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2005 Forecasting economic variables with nonlinear models
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2005 Dickey-Fuller Type of Tests against Nonlinear Dynamic Models
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2005 Testing Parameter Constancy in Unit Root Autoregressive Models Against Continuous Change
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2005 Determining the Number of Regimes in a Threshold Autoregressive Model Using Smooth Transition Autoregressions
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2005 On the Predictability of Global Stock Returns
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2005 Predictive regressions with panel data
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2005 A wavelet analysis of scaling laws and long-memory in stock market volatility
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2005 A ten-year retrospection of the behavior of Russian stock returns
by Anatolyev, Stanislav
2005 Trends in Competitive Balance: Is there Evidence for Growing Imbalance in Professional Sport Leagues?
by Arne Feddersen & Wolfgang Maennig
2005 Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises
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2005 Empirical likelihood confidence intervals for the mean of a long-range dependent process
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2005 Tests of Bias in Log-Periodogram Regression
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2005 Inflation in Mainland China - Modelling a Roller Coaster Ride
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2005 Spurious regression under deterministic and stochastic trends
by Antonio E. Noriega & Daniel Ventosa-Santaularia
2005 Non Linear Moving-Average Conditional Heteroskedasticity
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2005 Spurious regression under broken trend stationarity
by Antonio E. Noriega & Daniel Ventosa-Santaularia
2005 Trade composition and total factor productivity: Evidence for Chile
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2005 Does Trade Increase Total Factor Productivity: Cointegration Evidence for Chile
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2005 Are exports and imports of Chile cointegrated?
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2005 The second moments matter: The response of bank lending behaviour to macroeconomic uncertainty
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2005 Hunting the Living Dead A “Peso Problem” in Corporate Liabilities Data
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2005 Asymmetric Error Correction Models for the Oil-Gasoline Price Relationship
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2005 Water Consumption and Long-Run Urban Development: The Case of Milan
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2005 Econometric Models of Asymmetric Price Transmission
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2005 Estimation of Jump-Diffusion Process vis Empirical Characteristic Function
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2005 Indirect Robust Estimation of the Short-term interest Rate Process
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2005 Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?
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2005 Fertility in Portugal, How persistent is it?
by Maria Filomena Mendes & Gertrudes Guerreiro & António Caleiro
2005 Modeling Conditional Skewness in Stock Returns
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2005 The Relationship between Risk and Expected Return in Europe
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2005 Multiple imputation of time series: an application to the construction of historical price indexes
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2005 Semiparametric estimation in perturbed long memory series
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2005 Estimating the equilibrium exchange rate of the Estonian kroon
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2005 Explaining exchange rate dynamics - the uncovered equity return parity condition
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2005 An international analysis of earnings, stock prices and bond yields
by Alain Durré & Pierre Giot
2005 Measuring comovements by regression quantiles
by Lorenzo Cappiello & Bruno Gérard & Simone Manganelli
2005 A trend-cycle(-season) filter
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2005 Estimates of the open economy New Keynesian Phillips curve for euro area countries
by Fabio Rumler
2005 Measuring inflation persistence - a structural time series approach
by Maarten Dossche & Gerdie Everaert
2005 Regulated and services’ prices and inflation persistence
by Patrick Lünnemann & Thomas Y. Mathä
2005 Break in the mean and persistence of inflation - a sectoral analysis of French CPI
by Laurent Bilke
2005 Using mean reversion as a measure of persistence
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2005 The Phillips curve and long-term unemployment
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2005 Есе За Финансовата Криза
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2005 How Stable is the Forecasting Performance of the Yield Curve for Outpot Growth?
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2005 Why Frequency Matters for Unit Root Testing
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2005 Outlier Detection in GARCH Models
by Jurgen A. Doornik & Marius Ooms
2005 Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices
by Siem Jan Koopman & Marius Ooms & M. Angeles Carnero
2005 Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series
by Siem Jan Koopman & Kai Ming Lee
2005 25 Years of IIF Time Series Forecasting: A Selective Review
by Jan G. de Gooijer & Rob J. Hyndman
2005 Model-based Measurement of Actual Volatility in High-Frequency Data
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2005 Fisher Hypothesis Revisited: A Fractional Cointegration Analysis
by Saadet Kirbas Kasman & Adnan Kasman & Evrim Turgutlu
2005 A Critical Note on Growth Regressions
by Tobias Heinrich
2005 Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity
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2005 A New Approach to Robust Inference in Cointegration
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2005 Testing for Non-nested Conditional Moment Retrictions via Conditional Empirical Likelihood
by Taisuke Otsu & Yoon-Jae Whang
2005 A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations
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2005 A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions
by Federico M. Bandi & Peter C.B. Phillips
2005 Limit Theory for Moderate Deviations from a Unit Root under Weak Dependence
by Peter C.B. Phillips & Tassos Magadalinos
2005 GMM with Many Moment Conditions
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2005 Improved HAR Inference
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2005 Do stock prices and interest rates possess a common trend?
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2005 Temporal aggregaton of univariate linear time series models
by Andrea, SILVESTRINI
2005 Mean and variance causality between the Cyprus Stock Exchange and major equity markets
by Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas
2005 A two-states Markov-switching model of inflation in France and the USA: credible target VS inflation spiral
by B. HEITZ
2005 Forecast Combinations
by Timmermann, Allan G
2005 Reconciling the Return Predictability Evidenc: In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability
by Lettau, Martin & van Nieuwerburgh, Stijn
2005 Measuring Fiscal Sustainability
by Polito, Vito & Wickens, Michael R
2005 How Useful is Bagging in Forecasting Economic Time Series? A Case Study of US CPI Inflation
by Inoue, Atsushi & Kilian, Lutz
2005 Short-Run Italian GDP Forecasting and Real-Time Data
by Golinelli, Roberto & Parigi, Giuseppe
2005 Data Revisions Are Not Well-Behaved
by Aruoba, Boragan
2005 Jump-and-Rest Effects of US Business Cycles
by Camacho, Maximo & Pérez-Quirós, Gabriel
2005 Granger Causality of the Inflation-Growth Mirror in Accession Countries
by Gillman, Max & Nakov, Anton
2005 Are European Business Cycles Close Enough to be Just One?
by Camacho, Maximo & Pérez-Quirós, Gabriel & Sáiz Matute, Lorena
2005 A model selection method for S-estimation
by PREMINGER, Arie & SAKATA, Shinichi
2005 Temporal aggregation of univariate linear time series models
by SILVESTRINI, Andrea & VEREDAS, David
2005 Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression
by Jean-Marie Dufour & Abdeljelil Farhat & Lynda Khalaf
2005 Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series
by Jean-Marie Dufour & Abdeljelil Farhat & Marc Hallin
2005 Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and non-standard asymptotics
by Jean-Marie Dufour
2005 China and the Relationship Between the Oil Price and the Dollar
by Agnès Bénassy-Quéré & Valérie Mignon & Alexis Penot
2005 The Volatility of Realized Volatility
by Fulvio Corsi & Uta Kretschmer & Stefan Mittnik & Christian Pigorsch
2005 Modelling Memory of Economic and Financial Time Series
by Peter M Robinson
2005 A Parametric Bootstrap Test for Cycles
by Violetta Dalla & Javier Hidalgo
2005 Testable Implications of Forecast Optimality
by Andrew J. Patton & Allan Timmermann
2005 Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap
by Myunghwan Seo
2005 Distribution Free Goodness-of-Fit Tests for Linear Processes
by Miguel A. Delgado & Javier Hidalgo & Carlos Velasco
2005 Análisis del impacto de las leyes de 1992 y 1997 sobre el sistema portuario español
by José Ignacio Castillo Manzano & Lourdes López Valpuesta & Javier J. Pérez
2005 On the equality of Real Interest Rates across borders in Integrated Capital Markets
by Minford, Patrick & Peel, David
2005 Modelling and Forecasting Seasonality in Indian Macroeconomic Time Series
by Pami Dua & Lokendra Kumawat
2005 Unit Roots and Cointegration in Panels
by Breitung, J. & Pesaran, M.H.
2005 Disparity in Factor Contributions between Coastal and Inner Provinces in Post-reform China
by Tung Liu & Kui-Wai Li
2005 Total Factor Productivity: An Unobserved Components Approach
by Raul Crespo
2005 Let’s Take a Break: Trends and Cycles in US Real GDP
by Pierre Perron & Tatsuma Wada
2005 An Alternative Trend-Cycle Decomposition using a State Space Model with Mixtures of Normals: Specifications and Applications to International Data
by Tatsuma Wada & Pierre Perron
2005 An Alternative Trend-Cycle Decomposition using a State Space Model with Mixtures of Normals: Specifications and Applications to International Data
by Tatsuma Wada & Pierre Perron
2005 Estimating Deterministric Trends with an Integrated or Stationary Noise Component
by Pierre Perron & Tomoyoshi Yabu
2005 Let’s Take a Break: Trends and Cycles in US Real GDP?
by Pierre Perron† & Tatsuma Wada
2005 Testing for Shifts in Trend with an Integrated or Stationary Noise Component
by Pierre Perron & Tomoyoshi Yabu
2005 A little bit of Stata programming goes a long way..
by Christopher F. Baum
2005 A Versus K Revisited: Evidence from Selected MENA Countries
by Aamer Abu-Qarn & Suleiman Abu-Bader
2005 Break in the Mean and Persistence of Inflation: a Sectoral Analysis of French CPI
by Bilke, L.
2005 Do european business cycles look like one?
by Máximo Camacho & Gabriel Pérez-Quirós & Lorena Saiz
2005 Jump-and-rest effect of U.S. business cycles
by Máximo Camacho & Gabriel Pérez-Quirós
2005 Nominal rigidities and inflation persistence in Luxembourg: a comparison with EU 15 member countries with particular focus on services and regulated prices
by Patrick Lünnemann & Thomas Y. Mathä
2005 UK Real-Time Macro Data Characteristics
by Anthony Garratt & Shaun P Vahey
2005 Consistency of nonlinear regression quantiles under Type I censoring weak dependence and general covariate design
by Oberhofer, Walter & Haupt, Harry
2005 Unemployment dynamics and NAIRU estimates for CEECs : A univariate approach
by Mariam Camarero & Josep Lluis Carrion Silvestre & Cecilio Tamarit
2005 A Restrição Externa Como Fator Limitante Do Crescimento Econômico Brasileiro: Um Teste Empírico
by Antonio Tiago Loureiro Araújo dos Santos & Gilberto Tadeu Lima & Veridiana Ramos da Silva Carvalho
2005 Monetary And Exchange Rate Policy In Brazil After Inflation Targeting
by Márcio Holland
2005 Brazilian Business Cycles And Growth From 1850 To 2000
by Eurilton Araújo & Luciane Carpena & Alexandre Cunha
2005 Analyse cliométrique des cycles de croissance de l’éducation en France (1815-2003) : Vers un modèle à seuil autorégressif
by Jean-Pascal Guironnet
2005 Chocs temporaires et permanents dans le PIB de la France, du Royaume-Uni et des Etats-Unis
by Claude Diebolt & Olivier Darné
2005 Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data
by Niels Haldrup & Svend Hylleberg & Gabriel Pons & Jaume Rosselló & Andreu Sansó
2005 Improving Size and Power in Unit Root Testing
by Niels Haldrup & Michael Jansson
2005 Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices
by Haldrup; Niels & Morten Oerregaard Nielsen
2005 Matlab implementation of commonly used filters
by Pawe³ Kowal
2005 A Matlab Code for Univariate Time Series Forecasting
by Shapour Mohammadi & Hossein Abbasi- Nejad
2005 Persistency of Output Fluctuations : The Case of Turkey
by Aslihan Atabek Demirhan
2005 Intellectual Property, Competition and Growth: An Introduction
by Roberto Cellini & Guido Cozzi
2005 ¿Han aumentado el recaudo las reformas tributarias en Colombia?
by Mario García Molina & Ana Paola Gómez
2005 The relationship of budget deficit and current account balance - panel data analysis
by Josef Arlt & Markéta Arltová
2005 Comparison of approaches for value-at-risk estimation of foreign exchange portfolios
by Marián Rimarčík
2005 New-Keynesian model of inflation and its empirical verification
by Josef Arlt & Miroslav Plašil & Richard Horský
2005 Empirical Testing of New Keynesian Phillips Curve in Conditions of the Czech Republic in 1994 - 2003
by Josef Arlt & Miroslav Plašil
2005 Does SDDS Subscription Reduce Borrowing Costs for Emerging Market Economies?
by John Cady
2005 Multicointegration and Sustainability of Fiscal Practices
by Lori Leachman & Alan Bester & Guillermo Rosas & Peter Lange
2005 Unit roots in macroeconomic time series: theory, implications, and evidence
by Gilberto Libanio
2005 Un modelo para la exportación semanal de tomate de Almería/A model for the Weekly Tomato Exports from Almería
by MARTÍN RODRÍGUEZ, G. & CÁCERES HERNÁNDEZ, J. J. & GUIRAO PÉREZ, G
2005 Aplicabilidad del test BDS al análisis de series económicas/Aplicadility of las test to economic time series analysis
by MATILLA-GARCÍA, M. & RODRÍGUEZ RUIZ, J.
2005 Holding Period Return-Risk Modeling :The Importance of Dividends
by HALLERBACH, WINFRIED G..
2005 Identifying the German Inventory Cycle, A Multivariate Structural Time Series Approach Using Survey Data
by Erich Langmantel
2005 Spurious Persistence and Unit Roots due to Seasonal Differencing: The Case of Inflation Rates
by Uwe Hassler & Matei Demetrescu
2005 Weakness of the Baxter-King Filter: Is a Pattern-Based Filter an Alternative?
by Georg Goldrian
2005 Exportdiversifizierung und Wirtschaftswachstum in Chile, Eine ökonometrische Analyse
by Dierk Herzer
2005 Is Germany's GDP Trend-Stationary? A Measurement-With Theory Approach
by Bernd Lucke
2005 Prediction of Business Cycle Turning Points in Germany
by Ulrich Fritsche & Vladimir Kuzin
2005 Nafta¡¯S Impact On The Mexican Automotive Sector
by Lila J. Truett & Dale B. Truett
2005 Inflationary Threshold Effects In The Relationship Between Financial Development And Economic Growth: Evidence From Taiwan And Japan
by Chien-Chiang Lee & Swee Yoong Wong
2005 A Reexamination Of South Korea¡¯S Aggregate Import Demand Function: The Bounds Test Analysis
by Tsangyao Chang & Yuan-Hong Ho & Chiung-Ju Huang
2005 Turkiye Ekonomisinde Buyume Ile Issizlik Oranlari Arasindaki Nedensellik Iliskisi
by Dr. Ozlem GOKTAS YILMAZ
2005 Output Shocks and Unemployment: New Evidence on Regional Disparities
by JTimothy O. Bisping & Hilde Patron
2005 Estimación de una función de producción MRW para la economía española, 1910-1995
by Simón Sosvilla-Rivero & Javier Alonso Meseguer
2005 ¿Cómo valora el mercado de valores español la adopción de planes de opciones sobre acciones para directivos y consejeros?
by Mónica Melle
2005 Evaluation of Tax-Revenue Forecasts in the Czech Republic (in Czech)
by Jiøí Špalek & Dalibor Moravanský
2005 Cointegration and Structural Change in the Exports-Gdp Nexus: The Case of Iran, 1960-2003
by Pahlavani, M.
2005 Multiple Structural Breaks In Australia’S Macroeconomic Data: An Application Of The Lumsdaine And Papell Test
by VALADKHANI, A. & LAYTON, Allan P. & PAHLAVANI, M.
2005 Sources Of Economic Growth In Iran: A Cointegration Analysis In The Presence Of Structural Breaks, 1960-2003
by Pahlavani, M.
2005 The Attractiveness of Qatar to Foreign Direct Investment, 1980-2002
by Shotar M.M
2005 Foodgrain Price Policies in India: The Effects on Foodgrain Production and Rural Poverty 1951-2001
by Wilson, E.J
2005 Calendar Effects in Chinese Stock Market
by Lei Gao & Gerhard Kling
2005 A `long march' perspective on tobacco use in Canada
by Nikolay Gospodinov & Ian Irvine
2005 Forecasting Stock Market Volatility with Regime-Switching GARCH Models
by Juri Marcucci
2005 Dual Long Memory in Inflation Dynamics across Countries of the Euro Area and the Link between Inflation Uncertainty and Macroeconomic Performance
by Christian Conrad & Menelaos Karanasos
2005 The International CAPM and a Wavelet-Based Decomposition of Value at Risk
by Viviana P. Fernandez
2005 Can GARCH Models Capture Long-Range Dependence?
by John Maheu
2005 An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes
by Hakan Berument & Yilmaz Akdi & Cemal Atakan
2005 Joint Tests for Non-linearity and Long Memory: The Case of Purchasing Power Parity
by Aaron D. Smallwood
2005 What Causes The Forecasting Failure of Markov-Switching Models? A Monte Carlo Study
by Marie Bessec & Othman Bouabdallah
2005 Bayesian Analysis of a Doubly Truncated ARMA-GARCH Model
by Elena Goldman & Hiroki Tsurumi
2005 A Note on the Hiemstra-Jones Test for Granger Non-causality
by Cees Diks & Valentyn Panchenko
2005 A Test of the Martingale Hypothesis
by Joon Y. Park & Yoon-Jae Whang
2005 Nonlinear Error-Correction Models for the FF/DM Rate
by Mustapha Baghli
2005 Maximum Likelihood Estimation of a Unit Root Bilinear Model with an Application to Prices
by Daniela Hristova
2005 La fonction de demande de monnaie pour la zone euro : un réexamen
by Drumetz, F. & Avouyi-Dovi, S. & Brun, M. & Dreyfus, A. & Oung, V. & Sahuc, J-G.
2005 The Impact of the Fisc on Macroeconomic Fluctuations in Bulgarian Economy
by Maria Neycheva
2004 Singularity Bifurcation
by Yijun He & William A. Barnett
2004 Learning the Shape of the Likelihood of Typical Econometric Models using Gibbs Sampling
by Michiel D. de Pooter & Rengert Segers
2004 On Asymmetric Business Cycle Effects on Convergence Rates: Some European Evidence
by Ramón MarÃa-Dolores & Israel Sancho
2004 Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements
by Eugenie Hol & Siem Jan Koopman & Borus Jungbacker
2004 A Search for a Structural Phillips Curve
by Argia M. Sbordone & Timothy Cogley
2004 Time Series Filtering through Chebyshev Polynomials
by Gonul Turhan-Sayan & Serdar Sayan
2004 Codependence in Cointegrated Autoregressive Models
by Christoph Schleicher
2004 International evidence on monetary neutrality under broken trend stationary models
by R. Velazquez & Noriega & A.
2004 Speculative option valuation: A supercomputing approach
by Enrico Scalas & Alessandro Vivoli & Paride Dagna & Guido Germano
2004 Elements in the Design of an Early Warning System for Sovereign Default
by Ana-Maria Fuertes & Elena Kalotychou
2004 A Steady State Approach to Trend / Cycle Decomposition
by Jeremy Piger & James Morley
2004 Testing multivariate hypotheses with positive definite bilinear forms
by Valentyn Panchenko & Cees Diks
2004 Modified Hiemstra-Jones Test for Granger Non-causality
by Cees Diks & Valentyn Panchenko
2004 Data Revisions in General Equilibrium
by S. Boragan Aruoba
2004 qGMM Estimation of Sunk Costs
by Jeffrey R. Campbell & Jonas D.M. Fisher
2004 Optimal test for Markov switching
by Marine Carrasco & Liang Hu
2004 Stylized Facts of Financial Time Series and Three Popular Models of Volatility
by Malmsten, Hans & Teräsvirta, Timo
2004 Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination
by Teräsvirta, Timo & van Dijk, Dick & Medeiros, Marcelo
2004 Testing for Stationarity in Heterogeneous Panels with Serially Correlated Errors
by Yongcheol Shin & Andy Snell
2004 Dynamic asymmetries in US unemployment
by Gary Koop & Simon M. Potter
2004 Generalized (Cross) Spectral Tests for Optimal Forecasts and Conditional Predictive Ability Under Generalized Loss Functions
by Tae-Hwy Lee & Yongmiao Hong
2004 The Spatial Analysis of Time Series
by Joon Y. Park
2004 Endogeneity in Nonlinear Regressions with Integrated Time Series
by Joon Y. Park & Yoosoon Chang
2004 Expected Value Models: A New Approach
by Nour Meddahi
2004 Block Bootstrap for Parameter Estimation Error when Parameters are recursively estimated
by Norman R. Swanson & Valentina Corradi
2004 Model Specification Testing in Nonparametric and Semiparametric Time Series Econometric Models
by Jiti Gao & Maxwell King
2004 Threshold Integrated Moving Average Models (Does Size Matter? Maybe So)
by Oscar Martin & Jesus Gonzalo
2004 Does Consumption Respond More to Housing Wealth Than to Financial Market Wealth?
by N. Kundan Kishor
2004 Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory
by Joon Y. Park & J. Isaac Miller
2004 Admissible and Nonadmissible Test in Unit-Root-like Situations
by Werner Ploberger
2004 Covariance-based orthogonality tests for regressors with unknown persistence
by Katsumi Shimotsu & Alex Maynard
2004 Cross Section Vs Time Series Measures of Uncertainty: Using UK Survey Data
by Ciaran Driver & Lorenzo Trapani
2004 PSEUDO-MAXIMUM LIKELIHOOD ESTIMATION OF ARCH($ \infty $) MODELS
by Paolo Zaffaroni & Peter M. Robinson
2004 Non-Markovian Regime Switching with Endogenous States and Time-Varying State Strengths
by Michael Dueker
2004 Cointegration And Wavelets: An Empirical Analysis Of The Relationship Between Money And Output In Peru
by Erick Lahura
2004 Subsampling Hypothesis Tests for Nonstationary Panels with Applications to the PPP Hypothesis
by Timothy Chu & In Choi
2004 Time Series Behaviour of Stock Trading Volume:An Evidence from Indian Stock Market
by Alok Kumar
2004 Inappropriate Detrending and Spurious Cointegration
by Heejoon Kang
2004 Purchasing Power Parity for Traded and Non-traded Goods: A Structural Error Correction Model Approach
by Masao Ogaki & Jaebeom Kim
2004 A conditional distribution model for limited stock index returns
by Walter G. Sanddorf-Koehle & Ralph Friedmann
2004 Monetary Policy and Capital Accumulation Processes :How did the FED react to the Transition Phases ?
by Paolucci Frank
2004 Temporal aggregation, causality distortions and a sign rule
by Tilak Abeysinghe & Gulasekaran Rajaguru
2004 Impacts of Real exchange Rate Volatility and Real Exchange Rate Misalignment on China
by Li Guangzhong & Jan P Voon
2004 How Can We Define the Long Memory Concept? An Econometric Survey
by Dominique Guegan
2004 Another Characterization of Long Memory Behavior
by Jerome J Collet & Dominique Guegan
2004 Some Bootstrap Tests for Non-linearity and Long Memory in Financial Time Series
by Rodney C Wolff & Adrian G Barnett
2004 Trend estimation, signal-noise ratios and the frequency of observations
by Andrew Harvey
2004 An Alternative Estimation of Spurious Regression Model
by Shahidur Rahman
2004 Pricing LME Commodity Futures Contracts
by Richard Heaney
2004 Forecasting US Inflation Using Model Averaging
by Dick van Dijk
2004 Nonlinear Purchasing Power Parity under the Gold Standard
by Ivan Paya & David A. Peel
2004 Modelling Exchange Rate Volatility: Evidence from Sweden
by Maneschiöld, Per-Ola
2004 Term Structure Dynamics: A Daily View from the Hungarian Foreign Currency Deposits Markets
by Konstantinou, Panagiotis
2004 The Incidence of Long-term Unemployment in Australia 1978-2003
by Robert Dixon & G.C. Lim
2004 Forecasting Australian Unemployment Rates using Spectral Analysis
by Patrick J. Wilson & L.J. Perry
2004 Enflasyon, Büyüme Ve Reel-Nominal Belirsizlikler Arasında Nedensellik İlişkileri
by Ahmet ÇETİN
2004 Estimation of the order of integration in the UK and the us interest rates using fractionally integrated semiparametric techniques
by Luis A. Gil-Alana
2004 Una estimación de la economía informal en España, según un enfoque monetario, 1964-2001
by Prado Domínguez, Javier
2004 Asset Pricing Under the Presence of Transactions Cost:Evidence from the UK Stock Market
by Andros Gregoriou & Christos Ioannidis
2004 The Persistence of Mutual Funds Performance: Evidence From The UK Stock Market
by Dimitrios F. Kenourgios & Ioannis Petropoulos
2004 Money Financed Deficits, Central Bank Reform and Inflation Persistence:Evidence from Selected European Countries
by Athanasios P. Papadopoulos & Moise G. Sidiropoulos
2004 Modeling Asset Returns: A Comparison of Theoretical and Empirical Models
by Schröder, Michael & Lüders, Erik
2004 Modeling Asset Returns: A Comparison of Theoretical and Empirical Models
by Lüders, Erik & Schröder, Michael
2004 Pricing of options under different volatility models
by Herzberg, Markus & Sibbertsen, Philipp
2004 Validating multiple structural change models : A case study
by Kleiber, Christian & Zeileis, Achim
2004 Finite sample of the Durbin-Watson test against fractionally integrated disturbances
by Kleiber, Christian & Krämer, Walter
2004 Estimating Exchange Rate Dynamics with Diffusion Processes : An Application to Greek EMU Data
by Wilfling, Bernd & Trede, Mark
2004 Relationship between Trade Liberalisation, Growth and Balance of Payments in Developing Countries : An Econometric Study
by Parikh, Ashok
2004 Using HP Filtered Data for Econometric Analysis : Some Evidence from Monte Carlo Simulations
by Winker, Peter & Meyer, Mark
2004 Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models
by Liesenfeld, Roman & Richard, Jean-François
2004 Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models
by Lux, Thomas & Kaizoji, Taisei
2004 Testing for Causality in Variance using Multivariate GARCH Models
by Hafner, Christian M. & Herwartz, Helmut
2004 Economic integration across borders : the Polish interwar economy 1921-1937
by Trenkler, Carsten & Wolf, Nikolaus
2004 Semiparametric multivariate volatility models
by Rombouts, Jeroen V. K. & Hafner, Christian M.
2004 Testing for business cycle asymmetries based on autoregressions with a Markov-switching intercept
by Knüppel, Malte
2004 Long Run Variance Estimation Using Steep Origin Kernels Without Truncation
by Peter C.B. Phillips & Sainan Jin & Yixiao Sun
2004 Incidental Trends and the Power of Panel Unit Root Tests
by Peter C.B. Phillips & Hyungsik Roger Moon & Benoit Perron
2004 Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation
by Peter C.B. Phillips & Sainan Jin & Yixiao Sun
2004 The Dow Theory: William Peter Hamilton's Track Record Re-considered
by Stephen J. Brown & William N. Goetzmann & Alok Kumar
2004 Asymptotic behavior of measures of dependence for ARMA(1,2) models with stable innovations. Stationary and non-stationary coefficients
by Agnieszka Wylomanska
2004 Testing for Seasonal Unit Roots in Heterogeneous Panels
by Otero, Jesus & Smith, Jeremy & Giulietti, Monica
2004 An Estimation of Residential Water Demand Using Co-integration and Error Correction Techniques
by Roberto Martinez Espineira
2004 Why Did Electricity Prices Fall in England and Wales? Market Mechanism or Market Structure?
by John Bower
2004 Seeking the Single European Electricity Market: Evidence from an Empirical Analysis of Wholesale Market Prices
by John Bower
2004 Recurrence analysis techniques for non-stationary and non-linear data
by Philip Kostov & John Lingard
2004 Multilateral Aggregation-Theoretic Monetary Aggregation over Heterogeneous Countries
by William A. Barnett
2004 Consumer Surveys and Reality
by Maurizio Bovi
2004 Gibson’s Paradox, Monetary Policy, and the Emergence of Cycles
by Greg Hannsgen
2004 Intertemporally non-separable monetary-asset risk adjustment and aggregation
by William A. Barnett & Shu Wu
2004 On User Costs of Risky Monetary Assets
by William A. Barnett & Shu Wu
2004 Does Stationarity Characterize Real GDP Movements? Results from Non-Linear Unit Root Tests
by Dimitris Christopoulos
2004 Money Demand in theEuroArea: Do National Differences Matter?
by Luca Dedola & Eugenio Gaiotti & Luca Silipo
2004 Real Exchange Rate Misalignment in Turkey, 1987-2003 (in Turkish)
by Aykut Kibritcioglu & Bengi Kibritcioglu
2004 On the Typical Spectral Shape of an Economic Variable
by Daniel Levy & Hashem Dezhbakhsh
2004 The Sri Lankan Rupee and Purchasing Power Parity during the Current Floating Period
by Guneratne Banda Wickremasinghe
2004 Purchasing Power Parity Hypothesis in Developing Economies:Some Empirical Evidence from Sri Lanka
by Guneratne Banda Wickremasinghe
2004 Asymmetry, Persistence And Non-Linearity Of Spanish Unemployment Rates
by Jose Maria Casado Garcia & Javier Trivez Bielsa
2004 Long-Term Dependence Characteristics of European Stock Indices
by CORNELIS A. LOS & JOANNA M. LIPKA
2004 Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997
by CORNELIS A. LOS & JEYANTHI KARUPPIAH
2004 Efficiency tests in the Iberian stock markets
by José Carlos Dias & Luís Lopes & Vitor Martins & José Manuel Benzinho
2004 A Theory for the Term Structure of Interest Rates
by Thomas Alderweireld & Jean Nuyts
2004 Non-stationarities in financial time series, the long range dependence and the IGARCH effects
by Thomas Mikosch & Catalin Starica
2004 Long range dependence effects and ARCH modelling
by Thomas Mikosch & Catalin Starica
2004 Changes of structure in financial time series and the GARCH model
by Thomas Mikosch & Catalin Starica
2004 Is it really long memory we see in financial returns?
by Thomas Mikosch
2004 Non-stationarities in stock returns
by Catalin Starica & Clive Granger
2004 Temporal Disaggregation by State Space Methods: Dynamic Regression Methods Revisited
by Tommaso Proietti
2004 Understanding Brazilian Unemployment Structure: A Mixed Autoregressive Approach
by Ricardo Gonçalves Silva & Marinho Gomes Andrade & Milton Barossi-Filho
2004 The consumption of ordinary wines in France : the effect of administered prices
by Evens SALIES
2004 The Nonlinear Skeletons in the Closet
by William A. Barnett & Barry E. Jones & Milka Kirova & Travis Nesmith & Meenakshi Pasupathy
2004 Bayesian Semiparametric Regression for Autoregressive Models with Possible Unit Roots
by Ricardo Gonçalves Silva
2004 The long memory story of ex post real interest rates. Can it be supported?
by Ioannis A. Venetis & Agustin Duarte & Ivan Paya
2004 On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates
by Tommaso Proietti
2004 Classifying the Markets Volatility with ARMA Distance Measures
by Edoardo Otranto
2004 The Choice of Time Interval in Seasonal Adjustment: A Heuristic Approach
by Giancarlo bruno & Edoardo Otranto
2004 Deterministic Seasonality in Dickey-Fuller Tests: Should We Care?
by Artur C. B. da Silva Lopes
2004 Asimetría, Persistencia Y No Linealidad De La Tasa De Desempleo Español
by José María Casado García & F.Javier Trívez
2004 Consistent Model Specification Tests Against Smooth Transition Alternatives
by Jonathan B. Hill
2004 Causation Delays and Causal Neutralization for General Horizons: The Money-Output Relationship Revisited
by Jonathan B. Hill
2004 Unit Roots, Nonlinear Cointegration and Purchasing Power Parity
by Alfred A. Haug & Syed A. Basher
2004 Structural Breaks, Inflation and Interest Rates: Evidence for the G7 countries
by Jesus Clemente & Antonio Montañes & Marcelo Reyes
2004 Forecasting and Signal Extraction with Misspecified Models
by Tommaso Proietti
2004 Strong Orthogonal Decompositions and Non-Linear Impulse Response Functions for Infinite Variance Processes
by Jonathan B. Hill
2004 A Structural Model of the Inflation Process in South Africa
by Janine Aron & John Muellbauer & Benjamin Smit
2004 A Framework for Forecasting the Components of the Consumer Price
by Janine Aron & John Muellbauer & Coen Pretorius
2004 On Autoregressive Order Selection Criteria
by Venus Khim-Sen Liew
2004 Interest Rate Pass-Through in New EU Member States: The Case of the Czech Republic, Hungary and Poland
by Jesús Crespo-Cuaresma & Balázs Égert & Thomas Reininger
2004 Trust In Transition: Cross Country And Firm Evidence
by Martin Raiser & Alan Rousso & Franklin Steves
2004 Identifying the Cycle of a Macroeconomic Time-Series Using Fuzzy Filtering
by David E. Giles & Chad N. Stroomer
2004 Continuous Time Model Estimation
by Carl Chiarella & Shenhuai Gao
2004 Empirical Evidence on Feedback Trading in Mature and Emerging Stock Markets
by Martin T. Bohl & Pierre Siklos
2004 Re-examining inflation and inflation uncertainty in developed and emerging countries
by Daal, Elton & Naka, Atsuyuki & Sanchez, Benito
2004 Volatility clustering, leverage effects, and jumps dynamics in emerging Asian equity markets
by Daal, Elton & Naka, Atsuyuki & Yu, Jung-Suk
2004 Fractional Integration and Business Cycles Features
by Luis A. Gil-Alana & Bertrand Candelon
2004 Seasonal and Long Run Fractional Integration in the Industrial Production Index of Some Latin Americ
by Luis A. Gil-Alana & Bertrand Candelon
2004 Deterministic Seasonality versus Seasonal Fractional Integration
by Luis A. Gil-Alana
2004 Current Account Sustainability in the US: What Do We Really Know About It?
by Dimitris K. Christopoulos & Miguel León-Ledesma
2004 Trade Liberalisation in Mexico: Rhetoric and Reality
by Penelope Pacheco-López & A.P. Thirlwall
2004 Does The Impact of Trade Liberalisation on Exports, Imports, the Balance of Payments and Growth: the Case of Mexico
by Penelope Pacheco-López
2004 Non-Parametric Tests of Real Exchange rates in the Post-Bretton Woods Era
by Francis W. Ahking
2004 The Power of the "Objective" Bayesian Unit-Root Test
by Francis W. Ahking
2004 Component versus Tradicional Models to Forecast Quarterly National Account Aggregates: a Monte Carlo Experiment
by Gustavo A. Marrero
2004 Equilibrium Mobility
by Robert Aebi & Klaus Neusser & Peter Steiner
2004 Institutions and Long-Run Growth in the UK: the Role of Standards
by Paul Temple & Robert Witt & Chris Spencer
2004 Empirical errors and predicted errors in fertility, mortality and migration forecasts in the European Economic Area
by Nico Keilman & Dinh Quang Pham
2004 Escaping the Resource Curse and the Dutch Disease? When and Why Norway Caught up with and Forged ahead of Its Neighbors
by Erling Røed Larsen
2004 Does oilrig activity react to oil price changes? An empirical investigation
by Guro Børnes Ringlund & Knut Einar Rosendahl & Terje Skjerpen
2004 Analyses on Gold and US Dollar in Vietnam's Transitional Economy
by Quan Hoang Vuong
2004 The Vietnam's Transition Economy and Its Fledgling Financial Markets: 1986-2003
by Quan Hoang Vuong
2004 Maximum Likelihood Estimation of a Unit Root Bilinear Model with an Application to Prices
by Daniela Hristova
2004 Nonlinear Mean Reversion in Stock Prices
by S. Manzan
2004 Data Uncertainty in General Equilibrium
by S. Boragan Aruoba
2004 The Inflation Aversion of the Bundesbank: A State Space Approach
by Vladimir Kuzin
2004 Forecasting Chilean Industrial Production and Sales with Automated Procedures
by ROMULO A. CHUMACERO
2004 Test for long memory processes. A bootstrap approach
by Pilar Grau-Carles
2004 Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise
by OLE E. BARNDORFF-NIELSEN & PETER REINHARD HANSEN & ASGER LUNDE & NEIL SHEPHARD
2004 Characterizing Movements of the U.S. Current Account Deficit
by Torsten Schmidt & Torge Middendorf
2004 Predective Density and Conditional Confidence Interval Accuracy Tests
by Valentina Corradi & Norman Swanson
2004 An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series
by Geetesh Bhardwaj & Norman Swanson
2004 Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions With Many Weak Instruments
by John Chao & Norman Swanson
2004 Predictive Density Evaluation
by Valentina Corradi & Norman Swanson
2004 Bootstrap Procedures for Recursive Estimation Schemes With Applications to Forecast Model Selection
by Valentina Corradi & Norman Swanson
2004 The Environmental Kuznets Curve: some really disturbing Monte Carlo evidence
by T. VERBEKE & M. DE CLERCQ
2004 Inflation Bias after the Euro: Evidence from the UK and Italy
by Giancarlo Marini & Alessandro Piergallini & Pasquale Scaramozzino
2004 Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model
by Frederique Bec & Melika Ben Salem & Marine Carrasco
2004 Chi-square Tests for Parameter Stability
by Marine Carrasco
2004 Normal Mixture GARCH (1,1): Application to Exchange Rate Modelling
by Carol Alexandra & Emese Lazar
2004 Co-movement of Australian State Business Cycles
by David Norman & Thomas Walker
2004 Exchange Market Pressure in Australia
by Shakila Jeisman
2004 The Impact of Large Structural Shocks on Economic Relationships: Evidence from Oil Price Shocks
by George Kapetanios & Elias Tzavalis
2004 Testing for Exogeneity in Nonlinear Threshold Models
by George Kapetanios
2004 A Bayesian Analysis of Unit Roots and Structural Breaks in the Level and the Error Variance of Autoregressive Models
by Loukia Meligkotsidou & Elias Tzavalis & Ioannis D. Vrontos
2004 A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes
by George Kapetanios
2004 Inflation Persistence: Facts or Artefacts?
by Carlos Robalo Marques
2004 Akdeniz Bölgesi ve Başlıca Tüketim Merkezlerinde Yaş Meyve ve Sebze Perakende Fiyatları Arasındaki İlişkiler: Pazar Entegrasyonunun Testi
by Mutlu, Seval & Aktas, Erkan & KARAHAN UYSAL, Özlem
2004 Nonlinearly testing for a unit root in the presence of a break in the mean
by Gluschenko, Konstantin
2004 Double conditioned potential output
by Dobrescu, Emilian
2004 Yes, implied volatilities are not informationally efficient: an empirical estimate using options on interest rate futures contracts
by Giulio, Cifarelli
2004 Bolivia: Impact of shocks and poverty policy on household welfare
by Barja, Gover & Monterrey, Javier & Villarroel, Sergio
2004 Conflict of Exchange Rates
by Das, Rituparna & Daga, U R
2004 Modelling and forecasting the volatility of the portuguese stock index PSI-20
by Caiado, Jorge
2004 Business cycles and the synchronization process: a bounds testing approach
by Chan, Tze-Haw & Lau, Evan
2004 A new distribution-based test of self-similarity
by Bianchi, Sergio
2004 Structure and stylized facts of a deregulated power market
by Simonsen, Ingve & Weron, Rafal & Mo, Birger
2004 Growth Cycles in XXth Century European Industrial Productivity: Unbiased Variance Estimation in a Time-varying Parameter Model
by Álvaro Aguiar & Manuel M. F. Martins
2004 A Structural Model of the Inflation Process in South Africa
by Janine Aron & John Muellbauer & Benjamin W. Smit
2004 A Framework for Forecasting the Components of the Consumer Price Index: application to South Africa
by Janine Aron & John Muellbauer & Coen Pretorius
2004 A Comparison of Multi-step GDP Forecasts for South Africa
by Guillaume Chevillon
2004 `Weak` trends for inference and forecasting in finite samples
by Guillaume Chevillon
2004 Testing for a time-varying price-cost markup in the Euro area inflation process
by Christopher Bowdler & Eilev S. Jansen
2004 Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise
by Neil Shephard
2004 Factors Driving Risk Premia
by Torsten Sløk & Mike Kennedy
2004 Is There a Change in the Trade-Off Between Output and Inflation at Low or Stable Inflation Rates?: Some Evidence in the Case of Japan
by Annabelle Mourougane & Hideyuki Ibaragi
2004 Estimating a New Zealand NAIRU
by Kam Leong Szeto & Melody Guy
2004 Examining finite-sample problems in the application of cointegration tests for long-run bilateral exchange rates
by Angela Huang
2004 Regression Models with Data-based Indicator Variables
by David F. Hendry & Carlos Santos
2004 Regression Models with Data-based Indicator Variables
by David F. Hendry & Carlos Santos
2004 Testing for a time-varying price-cost markup in the Euro area inflation process
by Christopher Bowdler & Eilev S. Jansen
2004 Modelling inflation in the Euro Area
by Eilev S. Jansen
2004 Testing for a time-varying price-cost markup in the Euro area inflation process
by Christopher Bowdler & Eilev S. Jansen
2004 An Analysis of Early Warning Signals of Currency Crises in Turkey, 1986-2004
by Aykut Kibritçioğlu
2004 Fractional integration and business cycle features
by Candelon, Bertrand & Gil-Alana, Luis A.
2004 Seasonal and long-run fractional integration in the Industrial Production Indexes of some Latin American countries
by Candelon, B. & Gil-Alana, L.A.
2004 Outlier-Robust ECM Cointegration Tests Based on the Trend Components
by Escribano, Álvaro & Arranz, Miguel A.
2004 Semiparametric Causality Tests Using the Policy Propensity Score
by Joshua D. Angrist & Guido M. Kuersteiner
2004 Does "Aggregation Bias" Explain the PPP Puzzle?
by Shiu-Sheng Chen & Charles Engel
2004 The Use of Predictive Regressions at Alternative Horizons in Finance and Economics
by Nelson C. Mark & Donggyu Sul
2004 Determinants of Euro Term Structure of Credit Spreads
by Astrid Van Landschoot
2004 Regional business cycles in New Zealand: Do they exist? What might drive them?
by Viv Hall & C. John McDermott
2004 Time Reversibility of Stationary Regular Finite State Markov Chains
by McCAUSLAND, William
2004 Forecasting Time-Series with Correlated Seasonality
by Phillip Gould & Anne B. Koehler & Farshid Vahid-Araghi & Ralph D. Snyder & J. Keith Ord & Rob J. Hyndman
2004 Random Walk Smooth Transition Autoregressive Models
by Heather M. Anderson & Chin Nam Low
2004 Single Source of Error State Space Approach to the Beveridge Nelson Decomposition
by Heather M. Anderson & Chin Nam Low & Ralph Snyder
2004 Exponential Smoothing: A Prediction Error Decomposition Principle
by Ralph D. Snyder
2004 Testing for Dependence in Non-Gaussian Time Series Data
by B.P.M. McCabe & G.M. Martin & R.K. Freeland
2004 Structural breaks and financial risk management
by Marianna Valentinyi-Endrész
2004 Nonlinearity in testing for fiscal sustainability
by Roberto Ricciuti
2004 Evaluating currency crises: the case of the European Monetary System
by Kostas Mouratidis & Nicola Spagnolo
2004 Non-linear predictability of UK stock market returns
by David McMillan
2004 Inflation, inflation uncertainty, and a common European Monetary Policy
by Stilianos Fountas & Alexandra Ioannidis & Menelaos Karanasos
2004 Statistical investigation on the relation between car accidents and warm katabatic winds
by Matteo Pelagatti & Peter Daniele Fuà & Caterina Galliani & Vincenzo Condemi
2004 Paradise Lost and Found? The Econometric Contributions of Clive W.J. Granger and Robert F. Engle
by Peter Hans Matthews
2004 Towards Decoding Currency Volatilities
by D. Johannes Juttner & Wayne Leung
2004 Money Demand in Latvia
by Ivars Tillers
2004 Valoración de la actividad económica regional de España a través de indicadores sintéticos
by López García, Ana María & Castro Nuñez, Rosa Belén
2004 Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter
by Schlicht, Ekkehart
2004 Forecasting and Estimating Multiple Change-point Models with an Unknown Number of Change-points
by Gary M. Koop & Simon M. Potter
2004 The second moments matter: The response of bank lending behavior to macroeconomic uncertainty
by Christopher F. Baum & Mustafa Caglayan & Neslihan Ozkan
2004 Oil and gas market in the UK: evidence from a cointegration approach
by Theodore Panagiotidis & Emilie Rutledge
2004 Using the Correlation Dimension to Detect non-linear dynamics
by Theodore Panagiotidis & David Chappell
2004 Asymmetric Dynamics in the Current Account: Evidence from Long-Horizon Data
by Ibrahim Chowdhury & Gregory Gadzinski & Mathias Hoffmann
2004 Intertemporally Non-Separable Monetaryasset Risk Adjustment And Aggregation
by William Barnett & Shu Wu
2004 On user costs of risy monetary assets
by William Barnett & Shu Wu
2004 Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter
by Schlicht, Ekkehart
2004 Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter
by Schlicht, Ekkehart
2004 Panel Seasonal Unit Root Test With An Application for Unemployment Data
by Christian Dreger & Hans-Eggert Reimers
2004 Spurious And Hidden Volatility
by M. Angeles Carnero & Daniel Peña & Esther Ruiz
2004 Temporal Aggregation Of An Estar Process: Some Implications For Purchasing Power Parity Adjustment
by Ivan Paya & David A. Peel
2004 Nonlinear Ppp Under The Gold Standard
by Ivan Paya & David A. Peel
2004 Toward a Theory of Evaluating Predictive Accuracy
by Kunst, Robert M. & Jumah, Adusei
2004 Parameter Instability and Forecasting Performance. A Monte Carlo Study
by Anyfantakis, Costas & Caporale, Guglielmo M. & Pittis, Nikitas
2004 Robustness of the CUSUM and CUSUM-of-Squares Tests to Serial Correlation, Endogeneity and Lack of Structural Invariance. Some Monte Carlo Evidence
by Caporale, Guglielmo Maria & Pittis, Nikitas
2004 The BDS Test as a Test for the Adequacy of a GARCH(1,1) Specification. A Monte Carlo Study
by Caporale, Guglielmo Maria & Ntantamis, Christos & Pantelidis, Theologos & Pittis, Nikitas
2004 Long-run and Cyclical Dynamics in the US Stock Market
by Caporale, Guglielmo Maria & Gil-Alana, Luis A.
2004 Some Perils of Policy Rule Regression
by Carrillo, Julio & Fève, Patrick
2004 Seasonally and Fractionally Differenced Time Series (revised, August 2006)
by Naoya Katayama
2004 Asymptotic Prediction Mean Squared Error for Strongly Dependent Processes with Estimated Parameters
by Naoya Katayama
2004 Is more data better?
by Kaushik Mitra
2004 Punishment and Counter-punishment in Public Goods Games: Can we still govern ourselves?
by Roberto Ricciuti
2004 Integer-Valued Moving Average Modelling of the Number of Transactions in Stocks
by Brännäs, Kurt & Quoreshi, Shahiduzzaman
2004 A Bayesian Approach to Modelling Graphical Vector Autoregressions
by Corander, Jukka & Villani, Mattias
2004 Repeated surveys and the Kalman filter
by Lind, Jo Thori
2004 The shadow economy in Norway: Demand for currency approach
by Shima, Isilda
2004 Testing Structural Hypotheses on Cointegration Vectors: A Monte Carlo Study
by Eriksson , Åsa
2004 A Two-State Capital Asset Pricing Model with Unobservable States
by Nilsson, Birger & Hansson, Björn
2004 Regime switching as an alternative early warning system of currency crises - an application to South-East Asia
by Arias, Guillaume & Erlandsson, Ulf
2004 Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models
by Meitz, Mika & Saikkonen, Pentti
2004 A smooth permanent surge process
by González Gómez, Andrés
2004 Evaluating exponential GARCH models
by Malmsten, Hans
2004 Evaluating models of autoregressive conditional duration
by Meitz, Mika & Teräsvirta, Timo
2004 Structural Change, Capital’s Contribution, and Economic Efficiency: Sources of China’s Economic Growth Between 1952-1998
by Wang, Zijian & Wei, Jiegen
2004 The impact of macroeconomic news on exchange rate volatility
by Laakkonen , Helinä
2004 On robust ESACF identification of mixed ARIMA models
by Hella, Heikki
2004 Short-run and long-run relationships in the consumption of alcohol in the Scandinavian countries
by Bentzen, Jan & Smith, Valdemar
2004 Export Diversification, Externalities and Growth
by Dierk Herzer & Felicitas Nowak-Lehmann D.
2004 Modeling the Defense-Growth Nexus in a Post-Conflict Country - A Piecewise Linear Approach
by Gerhard Reitschuler & Ludger J. Löning
2004 A flexible prior distribution for Markov switching autoregressions with Student-t errors
by Deschamps, Philippe J.
2004 No Predictable Components in G7 Stock Returns
by Prasad Bidarkota & Khurshid M. Kiani
2004 Strong Orthogonal Decompositions and Nonlinear Impulse Response Functions for Infinite-Variance Processes
by Jonathan B. Hill
2004 Competition, the Lisbon Strategy and the Euro
by Anindya Banerjee & Bill Russell
2004 Properties of Recursive Trend-Adjusted Unit Root Tests
by Paulo M. M. Rodrigues
2004 Efficient Tests of the Seasonal Unit Root Hypothesis
by Paulo M.M. Rodrigues & A.M. Robert Taylor
2004 Estacionalidad determinista y estocástica en series temporales macroeconómicas
by López de Lacalle Beltrán de Heredia, Javier & Díaz-Emparanza Herrero, Ignacio
2004 Bounds Testing Approaches to the Analysis of Long Run Relationships
by M Pesaran & Yongcheol Shin & Richard J Smith
2004 GLS Detrending-Based Unit Root Tests in Nonlinear STAR and SETAR Frameworks
by George Kapetanios & Yongcheol Shin
2004 Mean Group Tests for Stationarity in Heterogenous Panels
by Yongcheol Shin & Andy Snell
2004 Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible)
by Yacine Ait-Sahalia
2004 Temporal aggregation of multivariate GARCH processes
by Christian M. Hafner
2004 Testing for structural change in regression with long memory processes
by Stepana Lazarova
2004 The empirical relevance of the New Keynesian Phillips curve
by Ragnar Nymoen & Gunnar Bardsen & Eilev S. Jansen
2004 Nonlinear estimators with integrated regressors but without exogeneity
by Robert de Jong
2004 Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation
by Sainan Jin & Peter Phillips & Yixiao Sun
2004 Properties of Optimal Forecasts
by Allan Timmermann & Andrew J. Patton
2004 Jackknifing Bond Option Prices
by Jun Yu & Peter Phillips
2004 Potential Pitfalls in Determining Multiple Structural Changes with an Application to Purchasing Power Parity
by Ruxandra Prodan
2004 Extremal Correlation for GARCH Data
by Carmela Quintos
2004 Non-Markovian Regime Switching with Endogenous States and Time-Varying State Strengths
by Chib & Siddhartha; Dueker
2004 Realized Variance and IID Market Microstructure Noise
by Asger Lunde & Peter Reinhard Hansen
2004 Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap
by Myunghwan Seo
2004 Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average
by Basel Awartani & Valentina Corradi
2004 A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns
by Pentti Saikkonen & Markku Lanne
2004 Optimal test for Markov switching
by Marine Carrasco & Liang Hu
2004 Dynamic time series binary choice
by Tiemen Woutersen & Robert M. de Jong
2004 Structural changes, common stochastic trends and unit roots in panel data
by Jushan Bai; Josep LluÃs Carrion-i-Silvestre
2004 Fixed Bandwidth Asymptotics in Single Equation Models of Cointegration with an Application to Money Demand
by Helle Bunzel
2004 Finite Sample and Optimal Inference in Possibly Nonstationary ARCH Models with Gaussian and Heavy-Tailed Errors
by Emma Iglesias & Jean Marie Dufour
2004 Bootstrapping the HEGY Seasonal Unit Root Tests
by Robert Taylor & Peter Burridge
2004 Bagging Time Series Models
by Lutz Kilian & Atsushi Inoue
2004 The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles
by Simone Manganelli & Lorenzo Cappiello & Bruno Gerard
2004 Long-run and Cyclical Dynamics in the US Stock Market
by L.A. Gil-Alana & G.M. caporale
2004 Microstructure noise, realized volatility, and optimal sampling
by Jeffrey R. Russell & Federico M. Bandi
2004 Testing for seasonal unit roots in heterogeneous panels
by Jesus Otero & Jeremy Smith
2004 Forecasting Chilean Industrial Production with Automated Procedures
by ROMULO A. CHUMACERO
2004 Extremal Dependence In Exchange Rate Markets
by Viviana Fernandez
2004 El ciclo económico en Uruguay - Un modelo de Switching Regimes
by Alejandro R. Pena Sanchez
2004 Long Memory in Import and Export Price Inflation and Persistence of Shocks to the Terms of Trade
by G. K. Randolph TAN
2004 A note on some properties of STUR processes
by Gawon Yoon
2004 Duration and Order Type Clusters
by Wing Lon NG
2004 The performance of the tests of linear and logarithmic transformations for integrated processes with stochastic unit roots
by Gawon Yoon
2004 A component-driven model for regime switching and its empirical evidence
by Chung-Ming Kuan & Yu-Lieh Huang
2004 Forecasting Value-at-Risk Using the Markov-Switching ARCH Model
by Wei-Ting Tang & Yin-Feng Gau
2004 Export Instability, Investment and Economic Growth in Asian Countries: A Time Series Analysis
by Dipendra Sinha
2004 The effect of exchange rate uncertainty on US imports from the UK: Consistent OLS estimation with volatility measured by an ARCH-type model
by Jan M Podivinsky & Chongcheul Cheong & Maozu Lu
2004 Estimation of Stochastic Volatility Models : An Approximation to the Nonlinear State Space
by Junji Shimada & Yoshihiko Tsukuda
2004 Testing Intertemporal Rational Expectations Model with State Uncertainty: An Application to the Permanent Income Hypothesis
by Chao-Hsi Huang & Yue-Lieh Huang
2004 The impact of monetary policy on New Zealand business cycles and inflation variability
by Nathan McLellan & Robert A Buckle & Kunhong Kim
2004 Estimation of Copula-Based Semiparametric Time Series Models
by Yanqin Fan & Xiaohong Chen
2004 GMM with Many Moment Conditions
by Peter C. B. Phillips & Chirok Han
2004 Covariance-based orthogonality tests for regressors with unknown persistence
by Katsumi Shimotsu & Alex Maynard
2004 Nonstationary Nonlinear Heteroskedasticity in Regression
by Joon Y. Park & Heetaik Chung
2004 Stationarity Tests for Irregularly Spaced Observations and the Effects of Sampling Frequency on Power
by Robert Taylor & Fabio Busetti
2004 Testing for a unit-root with a nonlinear Fourier function
by Junsoo Lee & Walter Enders
2004 Estimation of Credit and Default Spreads: An Application to CDO Valuation
by Jaesun Noh
2004 Uncertainty in Second Moments: Implications for Portfolio Allocation
by David Daewhan Cho
2004 Uncertainty in Second Moments: Implications for Portfolio Allocation
by David Daewhan Cho
2004 Approximation of A Jump-Diffusion Process
by Sanghoon Lee
2004 Further results on weak-exogeneity in vector error correction models
by Christophe Rault
2004 Modified Tests for a Change in Persistence
by Robert Taylor & Stephen Leybourne & David Harvey
2004 Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility
by Scott I. White & Adam E. Clements & Stan Hurn
2004 Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity
by Stan Hurn
2004 Co-movement of Australian State Business Cycles
by Thomas Walker & David Norman
2004 The Mean Variance Mixing GARCH (1,1) model
by Lars Forsberg & Anders Eriksson
2004 Nonlinear Modelling of Purchasing Power Parity in Indonesia
by Param Silvapulle & Titi Kanti Lestari & Jae Kim
2004 Testing for Dependence in Non-Gaussian Time Series Data
by Keith Freeland & Brendan McCabe & Gael Martin
2004 Some Methods for Assessing the Need for Non-linear Models in Business Cycle Analysis and Forecasting
by A. Pagan & J. Engel & D. Haugh
2004 Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average
by Walter Distaso & Basel Awartani & Valentina Corradi
2004 Duration and Order Type Clusters
by Wing Lon NG
2004 Seasonality, Cycles and Unit Roots
by Mickael Salabasis & Sune Karlsson
2004 Single Source of Error State Space Approach to the Beveridge Nelson Decomposition
by Chin Nam Low & Heather Anderson & Ralph Snyder
2004 Purchasing Power Parity Hypothesis in Developing Economies: Some Empirical Evidence from Sri Lanka
by Guneratne B Wickremasinghe
2004 Forward looking information in S&P 500 options
by Scott I White & Ralf Becker & Adam E Clements
2004 Using turning point information to study economic dynamics
by Don Harding
2004 The Effect of Exchange Rate Uncertainty on US Imports from the UK: Consistent OLS Estimation with Volatility Measured by An ARCH-type Model
by Jan M. Podivinsky & Chongcheul Cheong & Maozu Lu
2004 Effects of Level Outliers on the Identification and Estimation of GARCH Models
by E. Ruiz & M.A. Carnero & D. Pereira
2004 Analysis of the predictive ability of information accumulated over nights, weekends and holidays
by Ilias Tsiakas
2004 LM-Type tests for a Unit Root Allowing for a Break in Trend
by Luis C. Nunes
2004 Normal Log-normal Mixture: Leptokurtosis, Skewness and Applications
by Minxian Yang
2004 Asymmetry, Loss Aversion and Forecasting
by Stephen E. Satchell & Shaun A. Bond
2004 Sensitivity of OLS estimates against ARFIMA error process as small sample Test for long memory
by Anurag Banerjee
2004 Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices
by Marius Ooms & M. Angeles Carnero & Siem Jan Koopman
2004 How persistent is disaggregate inflation? An analysis across EU15 countries and HICP sub-indices
by Patrick Lünnemann & Thomas Y. Mathä
2004 Inflation persistence in the European Union, the euro area, and the United States
by Gregory Gadzinski & Fabrice Orlandi
2004 Determinants of euro term structure of credit spreads
by Astrid Van Landschoot
2004 Inflation persistence - facts or artefacts?
by Carlos Robalo Marques
2004 Factor substitution and factor augmenting technical progress in the US - a normalized supply-side system approach
by Rainer Klump & Peter McAdam & Alpo Willman
2004 The information content of over-the-counter currency options
by Peter Christoffersen & Stefano Mazzotta
2004 Seasonal adjustment and the detection of business cycle phases
by Antonio Matas Mir & Denise R Osborn
2004 Is inflation persistence intrinsic in industrial economies?
by Andrew T. Levin & Jeremy M. Piger
2004 Frequency domain principal components estimation of fractionally cointegrated processes
by Claudio Morana
2004 A mark-up model of inflation for the euro area
by Christopher Bowdler & Eilev S. Jansen
2004 A structural common factor approach to core inflation estimation and forecasting
by Claudio Morana
2004 Fiscal policy events and interest rate swap spreads - evidence from the EU
by António Afonso & Rolf Strauch
2004 On the predictability of GDP data revisions in the Netherlands
by Olivier Roodenburg
2004 Productivity and the Natural Rate of Unemployment
by Jiri Slacalek
2004 The Welfare State, Thresholds, and Economic Growth
by Tatiana Fic & Chetan Ghate
2004 Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models
by Siem Jan Koopman & Marius Ooms
2004 Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity
by Martin Martens & Dick van Dijk & Michiel de Pooter
2004 Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements
by Siem Jan Koopman & Borus Jungbacker & Eugenie Hol
2004 Local Sensitivity and Diagnostic Tests
by Magnus, J.R. & Vasnev, A.L.
2004 Factor Substitution and Factor Augmenting Technical Progress in the US: A Normalized Supply-Side System Approach
by Rainer Klump & Peter McAdam & Alpo Willman
2004 Uniform Limit Theory for Stationary Autoregression
by Liudas Giraitis & Peter C.B. Phillips
2004 Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter
by Offer Lieberman & Peter C.B. Phillips
2004 Limit Theory for Moderate Deviations from a Unit Root
by Peter C.B. Phillips & Tassos Magdalinos
2004 HAC Estimation by Automated Regression
by Peter C.B. Phillips
2004 A Quantilogram Approach to Evaluating Directional Predictability
by Oliver Linton & Yoon-Jae Whang
2004 A Structural Model of the Inflation Process in South Africa
by Janine Aron & John Muellbauer & B. Smit
2004 A Framework for Forecasting the Components of the Consumer Price Index: application to South Africa
by Janine Aron & John Muellbauer & Coen Pretorius
2004 A Two-Stage Plug-In Bandwidth Selection and Its Implementation in Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
by Hirukawa Masayuki
2004 A Time-Frequency Analysis of the Coherences of the US Business Cycle and the European Business Cycle
by Hughes Hallett, Andrew & Richter, Christian
2004 Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks
by Pesaran, M Hashem & Timmermann, Allan G
2004 Towards a Monthly Business Cycle Chronology for the Euro Area
by Mönch, Emanuel & Uhlig, Harald
2004 Bagging Time Series Models
by Inoue, Atsushi & Kilian, Lutz
2004 Confidence Building on Euro Conversion: Theory and Evidence from Currency Options
by Driessen, Joost & Perotti, Enrico C
2004 Macro and microeconomic persistence in regional unemployment. The case of Argentina
by Panigo, Demian & Féliz, Mariano & Perez, Pablo
2004 Refinement of the partial adjustment model using continuous-time econometrics
by Arie ten Cate
2004 A full heteroscedastic one-way error components model allowing for unbalanced panel : Pseudo-maximum likelihood estimation and specification testing
by LEJEUNE, Bernard
2004 Using intra annual information to forecast the annual state deficits : the case of France
by MOULIN, Laurent & SALTO, Matteo & SILVESTRINI, Andrea & VEREDAS, David
2004 Central Bank forex interventions assessed using realized moments
by BEINE, Michel & LAURENT, Sébastien & PALM, Franz
2004 Identification and Measurement of Relationships Concerning Inflow of FDI: The Case of the Czech Republic
by Petr Kral
2004 Estimation And Testing Of Dynamic Models With Generalised Hyperbolic Innovations
by Francisco Javier Mencía & Enrique Sentana
2004 Efficiency Improvements in Inference on Stationary and Nonstationary Fractional Time Series
by Peter M Robinson
2004 Change of regime and Phillips curve stability:The case of Spain, 1964-2002
by Oscar Bajo-Rubio & Mª Carmen Díaz Roldán & Vicente Esteve
2004 Testing for hysteresis in unemployment in OECD countries. New evidence using stationarity panel tests with breaks†
by Mariam Camarero & Josep Lluís Carrion-i-Silvestre & Cecilio Tamarit
2004 A Strategy for Testing the Unit Root in AR(1) Model with Intercept. A Monte Carlo Experiment
by José Angel Roldán Casas & Rafaela Dios-Palomares
2004 Unit roots in macroeconomic time series: a post Keynesian interpretation
by Gilberto A. Libanio
2004 Unit roots in macroeconomic time series: theory, implications, and evidence
by Gilberto A. Libanio
2004 Modeling and Forecasting DAX Index Volatility
by Zdravetz Lazarov
2004 Stata: The language of choice for time series analysis?
by Christopher F. Baum
2004 Modelling inflation in the Euro Area
by Eilev S. Jansen
2004 Testing for a time-varying price-cost markup in the Euro area inlation process
by Christopher Bowdler & Eilev S. Jansen
2004 Are speculative attacks triggered by sunspots? A new test
by Nikola A. Tarashev
2004 Partial Indexation, Trend Inflation, and the Hybrid Phillips Curve
by Sahuc, J-G.
2004 Determinants of Productivity per Employee: an Empirical Estimation Using Panel Data
by Belorgey, N. & Lecat, R. & Maury, P-M.
2004 Optimal Portfolio Allocation Under Higher Moments
by Jondeau, E. & Rockinger, M.
2004 Business cycle non-linearities and productivity shocks
by Paolo Piselli
2004 A useful tool to identify recessions in the euro-area
by Pilar Bengoechea & Gabriel Pérez-Quirós
2004 Combining filter design with model based filtering (with an application to business cycle estimation)
by Regina Kaiser & Agustín Maravall
2004 Are european business cycles close enough to be just one?
by Máximo Camacho & Gabriel Pérez-Quirós & Lorena Saiz
2004 Structural Change and Forecasting Long-Run Energy Prices
by Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian
2004 Prévision et analyse de la production manufacturière au Canada : comparaison de modèles linéaires et non linéaires
by Frédérick Demers
2004 Exact Tests of Equal Forecast Accuracy with an Application to the Term Structure of Interest Rates
by Richard Luger
2004 Testing for hysteresis in unemployment in OECD countries. New evidence using stationarity panel tests with breaks
by Mariam Camarero & Josep Lluis Carrion Silvestre & Cecilio Tamarit
2004 Estimation Of The Cyclical Component Of Economic Time Series
by Maria-Helena A. Dias & Joilson Dias & Charles L. Evans
2004 Comportamento Diário Do Mercado Brasileiro De Reservas Bancárias - Nível E Volatilidade - Implicações Na Política Monetária
by Mardilson Fernandes Queiroz
2004 Câmbio, Inflação E Juros Na Transição Do Regime Cambial Brasileiro: Uma Análise De Vetores Auto-Regressivos E Causalidade
by Carlos de Almeida Cardoso & Flávio Vilela Vieira
2004 Exchange Rate Dynamics In Brazil
by Flávio Vilela Vieira & Márcio Holland
2004 A Regime Switching Long Memory Model for Electricity Prices
by Niels Haldrup & Morten O. Nielsen
2004 Testing for Additive Outliers in Seasonally Integrated Time Series
by Niels Haldrup & Antonio Montañés & Andreu Sansó
2004 Seasonal Unit Root Testing Based on the Temporal Aggregation of Seasonal Cycles
by Gabriel Pons Rotger
2004 Il potere di voto nel sistema parlamentare italiano in regime proporzionale e la dinamica della spesa pubblica dal 1960 al 1990
by Silvia Fedeli & Alessandro Trotto
2004 An analysis of PRIBOR interest rates sensitivity to changes in Czech national bank repo rate
by Karel Brůna & Jaroslav Brada
2004 Efficiency of the Secondary T-Bill Market
by Zdeněk Dvorný
2004 Financial Variables and the Simulated Out-of-Sample Forecastability of U.S. Output Growth Since 1985: An Encompassing Approach
by David E. Rapach & Christian E. Weber
2004 Determinants of Belgian bank lending intrest rates
by V. Baugnet & M. Hradisky
2004 Valoración de la actividad económica regional de España a través de indicadores sintéticos
by LÓPEZ GARCÍA, A. Mª & CASTRO NÚÑEZ, R.B.
2004 Price and Income Elasticities of Russian Exports
by Bernardina Algieri
2004 Testing of Unit Root Cycles in the Swedish Economy
by Luis Gil-alana
2004 Statistische Adäquation bei Fortentwicklung der makrökonomischen Wirtschaftstheorie
by Adolf Wagner
2004 Time series evidence on education and growth: the case of Guatemala, 1951-2002
by Josef L. Loening
2004 Price and Volatility Spillovers between Stock Prices and Exchange Rates: Empirical Evidence from the G-7 Countries
by Sheng-Yung Yang & Shuh-Chyi Doong
2004 Modelling the Japanese Exchange Rate in Terms of I(d) Statistical Models with Parametric and Semiparametric Techniques
by Luis A. Gil-Alana
2004 A Quasi-Bayesian Analysis of Structural Breaks: China's Output and Productivity Series
by Xiao-Ming Li
2004 Temporal Causality between Human Capital and Real Income in Cointegrated VAR Processes: Empirical Evidence from China, 1960-1990
by Paresh Kumar Narayan & Russell Smyth
2004 Gasto en defensa y renta en los países de la Alianza Atlántica (1960-2002)
by Claudia Pérez- Forniés & Mª Dolores Gadea & Eva Pardos
2004 The Nobel Prize Laureates, 2003
by Luboš Komárek
2004 Credit and Household Consumption
by Renata Pašalièová & Vladimír Stiller
2004 Homicide Cycles in Colombia
by Brauer, J & Gomez-Sorzano, A.G.
2004 Real Cost of Employment and Turkish Labour Market: A Panel Cointegration Tests Approach
by Bildirici, M.
2004 Unit-Root, Cointegration and Granger Causality Test Results for Export and Growth in OECD Countries
by Konya, Laszlo
2004 Do WAEMU Countries Exhibit a Regional Business Cycle?. A Simulated Markov Switching Model for a Western Africa area
by Aka, B.F.
2004 Human Capital, Technology diffusion and Economic Growth in Low-to-Middle Income Country: a time series perspective of Guatemala, 1950-2001
by Loening, J.L.
2004 Asymmetry in Okun's law
by Paramsothy Silvapulle & Imad Moosa & Mervyn Silvapulle
2004 Taux de change reel d'equilibre et politique de change au Maroc : une approche non parametrique
by Jamal Bouoiyour & Velayoudom Marimoutou & Serge Rey
2004 Testing forward exchange rate unbiasedness efficiently: a semiparametric approach
by Douglas J. Hodgson & Oliver Linton & Keith Vorkink
2004 Coïntégration entre les taux de change et les fondamentaux. Changement de régime ou mémoire longue ?
by Gilles Dufrénot & Sandrine Lardic & Laurent Mathieu & Valérie Mignon & Anne Péguin-Feissolle
2004 An Integer-Valued Time Series Model for Hotels that Accounts for Constrained Capacity
by Kurt Brannas & Jonas Nordstrom
2004 Nonlinear Intraday Dynamics in Eurostoxx50 Index Markets
by M. Dolores Robles-Fernandez & Luisa Nieto & M. Angeles Fernandez
2004 A New Test of the Martingale Difference Hypothesis
by Chung-Ming Kuan & Wei-Ming Lee
2004 Constructing Non-linear Gaussian Time Series by Means of a Simplified State Space Representation
by Paolo Vidoni
2004 Mixture Processes for Financial Intradaily Durations
by Giovanni De Luca & Giampiero M. Gallo
2004 GARCH-type Models with Generalized Secant Hyperbolic Innovations
by Paola Palmitesta & Corrado Provasi
2004 MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model
by Nunzio Cappuccio & Diego Lubian & Davide Raggi
2004 Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers
by Kai Ming Lee & Siem Jan Koopman
2004 Clusters of Extreme Observations and Extremal Index Estimate in GARCH Processes
by Fabrizio Laurini
2004 Analyzing Financial Time Series through Robust Estimators
by Luigi Grossi
2004 Extensions of the Forward Search to Time Series
by Marco Riani
2004 Relationship between Local and Global Nonparametric Estimators Measures of Fitting and Smoothing
by Estela Bee Dagum & Alessandra Luati
2004 Seasonal Specific Structural Time Series
by Tommaso Proietti
2004 Stability and Consistency of Seasonally Adjusted Aggregates and Their Component Patterns
by William P. Cleveland
2004 Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation
by Jurgen A. Doornik & Marius Ooms
2004 Experimental Design for Time-Dependent Models with Correlated Observations
by Dariusz Ucinski & Anthony C. Atkinson
2004 On the Stationarity of First-order Nonlinear Time Series Models: Some Developments
by Giovanni Fonseca
2004 Assessing Chaos in Time Series: Statistical Aspects and Perspectives
by Simone Giannerini & Rodolfo Rosa
2004 Statistical Tests for Lyapunov Exponents of Deterministic Systems
by Rodney Wolff & Qiwei Yao & Howell Tong
2004 An Investigation of Current Account Solvency in Latin America Using Non Linear Nonstationarity Tests
by Georgios E. Chortareas & George Kapetanios & Merih Uctum
2004 The ARAR Error Model for Univariate Time Series and Distributed Lag
by Richard A. L. Carter & Arnold Zellner
2004 Explaining Speculative Expansions
by Wei Xiao
2004 Is the U.S. Aggregate Production Function Cobb-Douglas? New Estimates of the Elasticity of Substitution
by Pol Antrà s
2004 Output Variability and Economic Growth: the Japanese Case
by Stilianos Fountas & Menelaos Karanasos & Alfonso Mendoza
2004 Exports, Investments and Economic Growth: an Empirical Investigation of the Three Baltic Countries
by Dritsaki Chaido & Vazakidis Athanasios & Adamopoulos Antonios
2003 Conditional distribution resampling for time series
by Cees Diks & Svetlana Borovkova
2003 Long Memory Models and Tests for Cointegration: A Synthesizing Study
by Aaron D Smallwood & Stefan C Norrbin
2003 Is Inflation Persistence Intrinsic in Industrial Economies?
by Andrew Levin & Jeremy Piger
2003 Building Confidence Intervals for the Band-Pas and Hodrick-Prescott Filters: An Application using Bootstrapping
by Christian A. Johnson & Francisco A. Gallego
2003 Kolmogorov-Wiener Filters for Finite Time Series
by Christoph Schleicher
2003 Structural Time-Series Models with Common Trends and Common Cycles
by Christoph Schleicher
2003 Estimating confidence regions over bounded domains
by Eklund, Bruno
2003 A time series model for an exchange rate in a target zone with applications
by Lundbergh, Stefan & Teräsvirta, Timo
2003 Does stock market uncertainty impair the use of monetary indicators in the euro area?
by Robert-Paul Berben
2003 Angebot und Nachfrage im Außenhandel : Theoretische Überlegungen und eine Kointegrationsanalyse für Deutschland
by Martin Meurers
2003 A Short-Time Prediction Of The Romanian Personal Computers Market Based On The Moore Law
by Mateescu, George Daniel & Rasturnoiu, Constantin & Saman, Corina & Buneci, Mihai
2003 A Deterministic Method For Short-Term Gdp Evaluation
by Stanica, Cristian Nicolae
2003 The UK Unemployment: Long Memory, Seasonality and Other Implicit Dynamics
by Gil-Alana, Luis A.
2003 Modeling the Underground Economy in Turkey: Randomized Response and MIMIC Models
by Fatih Savasan
2003 A Semiparametric Frequency Domain Approach Of Modelling The Real Output With Fractional Integration
by Luis A. Gil-Alanaa
2003 Interest - Rate Price Nexus in India
by N R Bhanumurthy & Shashi Agarwal
2003 Will the (German) NAIRU Please Stand up?
by Franz, Wolfgang
2003 Cinema demand in Germany
by Dewenter, Ralf & Westermann, Michael
2003 Distinguishing between long-range dependence and deterministic trends
by Sibbertsen, Philipp & Venetis, Ioannis
2003 Uncovered Interest Rate Parity and Analysis of Monetary Convergence of Potential EMU Accession Countries
by Holtemöller, Oliver
2003 On the (nonlinear) relationship between exchange rate uncertainty and trade: An investigation of US trade figures in the Group of Seven
by Herwartz, Helmut
2003 Inflation Expectations in the EU: Results from Survey Data
by Nielsen, Hannah
2003 The Variance Ratio Statistic at Large Horizons
by Deo, Rohit S. & Chen, Willa W.
2003 The Forecasting Performance of German Stock Option Densities
by Keller, Joachim & Glatzer, Ernst & Craig, Ben R. & Scheicher, Martin
2003 Unit Roots, Nonlinear Cointegration and Purchasing Power Parity
by Alfred A. Haug & Syed A. Basher
2003 On ARMA(1,q) models with bounded and periodically correlated solutions
by Aleksander Weron & Agnieszka Wylomanska
2003 Methods for determining the presence of periodic correlation based on the bootstrap methodology
by Ewa Broszkiewicz-Suwaj
2003 The KPSS Test with Outliers
by Otero, Jesus & Smith, Jeremy
2003 The Performance Of Setar Models : A Regime Conditional Evaluation Of Point, Interval And Density Forecasts
by Boero, Gianna & Marrocu, Emanuela
2003 Stochastics for the worst case: distributions and risk measures for minimal returns
by Mihnea-Stefan Mihai
2003 Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case
by Florian Neagu
2003 On the Evidence of Non-Linear Structure in Canadian Unemployment
by Ossama Mikhail & Curtis J. Eberwein & Jagdish Handa
2003 Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case
by Florian Neagu
2003 "PPP tests in cointegrated panels: Evidence from Asian developing countries"
by Syed A. Basher & Mohammed Mohsin
2003 "PPP tests in cointegrated panels: Evidence from Asian developing countries"
by Syed A. Basher & Mohammed Mohsin
2003 Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case
by Florian Neagu
2003 State of the Art Unit Root Tests and the PPP Puzzle
by Claude Lopez & Christian J. Murray & David H. Papell
2003 Aggregation-Theoretic Monetary Aggregation over the Euro Area, when Countries are Heterogeneous
by William A. Barnett
2003 Which Survey Indicators Are Useful for Monitoring Consumption? Evidence fron European Countries
by Niek J. Nahuis & W. Jos Jansen
2003 Using Instrumental Variables to Estimate the Share of Backward- Looking Firms
by Lars Sondergaard
2003 Do Aggregate Measures Of Mismatch Measure Mismatch?A Time Series Analysis Of Existing Concepts
by Horst Entorf
2003 PPP May not Hold for Agricultural Commodities
by Luciano Gutierrez
2003 The Validity of PPP Theory in ASEAN-Five: Another Look on Cointegration and Panel Data Analysis
by Chee-Keong Choong & Wai-Ching Poon & Muzafar Shah Habibullah & Zulkornain Yusop
2003 The Fall in British Electricity Prices: Market Rules, Market Structure, or Both?
by Natalia Fabra & Juan Toro
2003 Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case
by Florian Neagu
2003 Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case
by Florian Neagu
2003 Modelling the misalignments of the Dollar-Sterling real exchange rate: a nonlinear cointegration perspective
by Slim CHAOUACHI & Gilles DUFRENOT & Val=E9rie MIGNON
2003 Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case
by Florian Neagu
2003 Comovement in international equity markets: A sectoral view
by Robert-Paul Berben & W. Jos Jansen
2003 Testing and Estimating Persistence in Canadian Unemployment
by Ossama Mikhail & Curtis J. Eberwein & Jagdish Handa
2003 Real exhange rate misalignment in Hungary: a fractionally integrated=20 threshold model
by Gilles DUFRENOT & Elisabeth GRIMAUD & Eug=E9nie LATIL & Val=E9rie MIGNON
2003 Tests of Conditional Predictive Ability
by Raffaella Giacomini & Halbert White
2003 Effects of STAR and TAR types nonlinearities on order selection criteria
by Venus Khim-sen Liew & Terence Tai- leung Chong
2003 Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach
by Ryan SULEIMANN
2003 New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach
by Ryan SULEIMANN
2003 The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach
by Ryan SULEIMANN
2003 Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market
by Rafal Weron & Ingve Simonsen & Piotr Wilman
2003 ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the "New Phillips Curve")
by Eric JONDEAU & Herve LE BIHAN
2003 ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the "New Phillips Curve")
by Eric JONDEAU & Hervé LE BIHAN
2003 Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models
by Eric Hillebrand
2003 An Estimation of U.S. Industry-Level Capital-Labor Substitution
by Edward J. Balistreri & Christine A. McDaniel & Eina Vivian Wong
2003 Exchange Rate Regimes and Volatility: Comparison of the Snake and Visegrad
by Juraj Valachy & Evžen Ko?enda &
2003 Modelling the Yield Curve with Orthonormalised Laguerre Polynomials: A Consistent Cross-Sectional and Inter-Temporal Approach
by Leo Krippner
2003 Modelling the Yield Curve with Orthonormalised Laguerre Polynomials: A Consistent Cross-Sectional and Inter-Temporal Approach
by Leo Krippner
2003 Modelling the Yield Curve with Orthonomalised Laguerre Polynomials: An Intertemporally Consistent Approach with an Economic Interpretation
by Leo Krippner
2003 Modelling the Yield Curve with Orthonomalised Laguerre Polynomials: An Intertemporally Consistent Approach with an Economic Interpretation
by Leo Krippner
2003 The competitive environment hypothesis revisited: Nonlinearity, nonstationrity and profit persistence
by Jesús Crespo-Cuaresma & Adelina Gschwandtner
2003 "Guns or Butter?" Revisited: Robustness and Nonlinearity Issues in the Defense-Grotwth Nexus
by Jesús Crespo Guaresma & Gerhard Reitschuler
2003 Does Trade Openness Affect the Speed of Output Convergence? Some Empirical Evidence
by David E. A. Giles & Chad Stroomer
2003 Income Convergence and trade Openness: Fuzzy Clustering and Time Series Evidence
by Chad Stroomer & David E.A. Giles
2003 Gender Convergence in Crime: Evidence From Canadian Adult Offence Charge Data
by Jyh-Yaw Joseph Chen & David E.A. Giles
2003 Testing For Convergence in Output and in 'Well-Being' in Industrialized Countries
by David E.A. Giles & Hui Feng
2003 Asymptotic null distributions of stationarity and nonstationarity
by Nunzio Cappuccio & Diego Lubian
2003 Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos
by Mototsugu Shintani & Oliver Linton
2003 Testing of Nonstationary Cycles in Financial Time Series Data
by Javier De Peña & Luis A. Gil-Alana
2003 Fractional Integration and the Dynamics of UK Unemployment
by Luis A. Gil-Alana & S.G. Brian Henry
2003 Testing of Fractional Cointegration in Macroeconomic Time Series
by Luis A. Gil-Alana
2003 Stock Market Cycles, Financial Liberalization and Volatility
by Sebastian Edwards & Javier Gómez Biscarri & Fernando Pérez de Gracia
2003 Does the Real Interest Parity Hypothesis Hold? Evidence for Developed and Emerging Markets
by Alex Luiz Ferreira & Miguel León-Ledesma
2003 Testing for Changes in the Unconditional Variance of Financial Time Series
by Andreu Sansó & Vicent Aragó & Josep Lluís Carrion
2003 Are Rich Countries Immune to the Resource Curse? Evidence from Norway's Management of Its Oil Riches
by Erling Røed Larsen
2003 The importance of interest rates for forecasting the exchange rate
by Hilde C. Bjørnland & Håvard Hungnes
2003 Essays on Vietnam’s Financial Reforms: Foreign Exchange Statistics and Evidence of Long-Run Equilibrium
by Quan Hoang Vuong
2003 A Generalized Jarque-Bera Test of Conditional Normality
by Yi-Ting Chen & Chung-Ming Kuan
2003 A Component-Driven Model for Regime Switching and Its Empirical Evidence
by Chung-Ming Kuan & Yu-Lieh Huang & Ruey S. Tsay
2003 A New Test of the Martingale Difference Hypothesis
by Chung-Ming Kuan & Wei-Ming Lee
2003 Estimating Quarterly GDP for the Interwar UK Economy: An Application to the Employment Function
by Peter Hayes & Paul Turner
2003 Genetic Programming Software to Forecast Time Series
by M. A. Kaboudan
2003 Signal Extraction can Generate Volatility Clusters
by J. Huston McCulloch & Prasad V. Bidarkota
2003 The Effect of Data Transformation on Common Cycle, Cointegration and Unit Root Tests: Monte Carlo Results and a Simple Test
by Valentina Corradi & Norman R. Swanson
2003 Bootstrap Specification Tests for Diffusion Processes
by Valentina Corradi & Norman R. Swanson
2003 Evaluation of Dynamic Stochastic General Equilibrium Models Based on Distributional Comparison of Simulated and Historical Data
by Valentina Corradi & Norman R. Swanson
2003 Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives
by Valentina Corradi & Norman Swanson
2003 A Test for Comparing Multiple Misspecified Conditional Distributions
by Valentina Corradi & Norman R. Swanson
2003 The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation
by Valentina Corradi & Norman Swanson
2003 Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification
by Valentina Corradi & Norman R. Swanson
2003 Symmetric Normal Mixture GARCH
by Carol Alexandra & Emese Lazar
2003 Statistical Properties of Forward Libor Rates
by Carol Alexander & Dimitri Lvov
2003 Measuring the impact of natural disasters on capital markets: An empirical application using intervention analysis
by Andrew Worthington & Abbas Valadkhani
2003 Quantifying the Effect of GST on Inflation in Australia’s Capital Cities: An Intervention Analysis
by Abbas Valadkhani & Allan P. Layton
2003 Modelling the Intraday Return Volatility Process In The Australian Equity Market: An Examination Of The Role Of Information Arrival In S&P/Asx 50 Stocks
by Andrew C. Worthington & Helen Higgs
2003 The Effectiveness of Foreign Exchange Intervention in Australia: A Factor Model Approach with GARCH Specifications
by Shakila Aruman
2003 Testing for Nonstationary Long Memory against Nonlinear Ergodic Models
by George Kapetanios & Yongcheol Shin
2003 Testing for ARCH in the Presence of Nonlinearity of Unknown Form in the Conditional Mean
by Andrew P. Blake & George Kapetanios
2003 Using Extraneous Information and GMM to Estimate Threshold Parameters in TAR Models
by George Kapetanios
2003 An Investigation of Current Account Solvency in Latin America Using Non Linear Stationarity Tests
by Georgios Chortareas & George Kapetanios & Merih Uctum
2003 Nonlinearities over the Business Cycle: an Application of the Smooth Transition Autoregressive Model to characterize GDP dynamics for the Euro-area and Portugal
by Francisco Craveiro Dias
2003 Volatility and liquidity in the Italian money market
by Palombini, Edgardo
2003 Analyse de la demande de crédit du secteur privé dans l’UEMOA :
by Kablan, Sandrine
2003 Que critérios redistributivos na Lei das Finanças Locais?
by Mourao, Paulo
2003 Trade and GDP Growth in Morocco: Short-run or Long-run Causality?
by bouoiyour, jamal
2003 A Perspective on Unit Root and Cointegration in Applied Macroeconomics
by Razzak, Weshah
2003 Asymptotic properties of OLS estimates in autoregressions with bounded or slowly growing deterministic trends
by Mynbaev, Kairat
2003 Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
by Peter F. Christoffersen & Francis X.Diebold
2003 Regression Models with Data-based Indicator Variables
by David Hendry & Carlos Santos
2003 Multimodality in the GARCH Regression Model
by Jurgen Doornik & Marius Ooms
2003 Identifying Canadian Regional Business Cycles using the Friedmand Plucking Model
by Gabriel Rodriguez
2003 Human Activities and Global Warming: A Cointegration Analysis
by Hui Liu & Gabriel Rodriguez
2003 The Role of the Interprovincial Transfers in the B-Convergence Process. Further Empirical Evidence for CanadaAbstract: Based on the approach of Timljonavich and Vogelsang (2002), I present empirical evidence of the role of the federal transfers on the B-convergence process in Canadian provinces. Using information on personal income for the period 1926-1999, the principal conclusion is that the interprovincial transfers were not determinant or decisive to the attainment of deterministic convergence in the Canadian provinces. Their role have been to accelerate the convergence process, particularly in poorer provinces
by Gabriel Rodriguez
2003 The impact of monetary policy on New Zealand business cycles and inflation variability
by Robert A Buckle & Kunhong Kim & Nathan McLellan
2003 Multimodality in the GARCH Regression Model
by Jurgen A. Doornik & Marius Ooms
2003 On finite sample properties of the tests of Robinson (1994) for fractional integration
by Candelon, Bertrand & Gil-Alana, Luis A.
2003 Finite time ruin probabilities with one Laplace inversion
by Avram, Florin & Usábel, Miguel A.
2003 Disentangling Volatility from Jumps
by Yacine Ait-Sahalia
2003 Adjustment is Much Slower than You Think
by Ricardo J. Caballero & Eduardo Engel
2003 Stock Market Cycles, Financial Liberalization and Volatility
by Sebastian Edwards & Javier Gomez Biscarri & Fernando Perez de Gracia
2003 How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
by Yacine Ait-Sahalia & Per A. Mykland
2003 Efficient Tests of Stock Return Predictability
by John Y. Campbell & Motohiro Yogo
2003 Coherent Predictions of Low Count Time Series
by B.P.M. McCabe & G.M. Martin
2003 Invertibility Conditions for Exponential Smoothing Models
by Rob J. Hyndman & Muhammad Akram & Blyth Archibald
2003 The Decline in Income Growth Volatility in the United States: Evidence from Regional Data
by Heather Anderson & Farshid Vahid
2003 Empirical Information Criteria for Time Series Forecasting Model Selection
by Md B. Billah & R.J. Hyndman & A.B. Koehler
2003 Nonlinear Correlograms and Partial Autocorrelograms
by Heather M. Anderson & Farshid Vahid
2003 Persistence and Nonstationary Models
by B.P.M. McCabe & G.M. Martin & A.R. Tremayne
2003 Estimation of Asymmetric Box-Cox Stochastic Volatility Models Using MCMC Simulation
by Xibin Zhang & Maxwell L. King
2003 Stochastic models underlying Croston's method for intermittent demand forecasting
by Lydia Shenstone & Rob J. Hyndman
2003 Univariate Potential Output Estimations for Hungary
by Zsolt Darvas & Gábor Vadas
2003 The Road to Regional Integration in Africa: Macroeconomic Convergence and Performance in COMESA
by Fabrizio Carmignani
2003 Estimating Time-Varying Coefficients With the VC Program
by Schlicht, Ekkehart
2003 A Dynamic Integer Count Data Model for Financial Transaction Prices
by Winfried Pohlmeier & Roman Liesenfeld
2003 Management Incentives, Signaling Effects and the Costs of Vertical Integration
by Sliwka, Dirk
2003 Management Incentives, Signaling Effects and the Costs of Vertical Integration
by Sliwka, Dirk
2003 Forecasting The Conditional Covariance Matrix Of A Portfolio Under Long-Run Temporal Dependence
by Antonio Rubia Serrano & Trino-Manuel Ñíguez
2003 A contribution to peak load pricing theory and application
by N. Vijayamohanan Pillai
2003 Bayesian Evidence on the Structure of Unemployment
by Peter M. Summers
2003 Towards a Monthly Business Cycle Chronology for the Euro Area
by Emanuel Mönch & Harald Uhlig
2003 Temporal Aggregation of the Returns of a Stock Index Series
by Brännäs, Kurt
2003 Discretized Time and Conditional Duration Modelling for Stock Transaction Data
by Brännäs, Kurt & Simonsen, Ola
2003 Monetary Policy Shocks and Business Cycle Fluctuations in a Small Open Economy: Sweden 1986-2002
by Lindé, Jesper
2003 Financial Cycles and Bankruptcies in the Nordic Countries
by Hansen, Jan
2003 A stable demand for money despite financial crisis: The case of Venezuela
by C. Bjørnland, Hilde
2003 Testing the New Keynesian Phillips curve
by Bårdsen, Gunnar & Jansen, Eilev S. & Nymoen, Ragnar
2003 A nonlinear alternative to the unit root hypothesis
by Eklund, Bruno
2003 Testing the unit root hypothesis against the logistic smooth transition autoregressive model
by Eklund, Bruno
2003 Does the Black-Scholes formula work for electricity markets? A nonparametric approach
by Hjalmarsson, Erik
2003 The Effects of Group Incentives in an Indian Firm - Evidence from Payroll Data
by Bhattacherjee, Debashish
2003 Using Instrumental Varibles to Estimate the Share of Backward- Looking Firms
by Lars Sondergaard
2003 Comparison of Two Alternative Approaches to Modeling Level Shifts in the Presence of Outliers
by Prasad Bidarkota
2003 On the Economic Impact of Modeling Non-Linearities: The Asset Pricing Example
by Prasad Bidarkota
2003 News or Noise? Signal Extraction Can Generate Volatility Clusters From IID Shocks
by Prasad Bidarkota & J. Huston McCulloch
2003 A Multiple Indicators Model For Volatility Using Intra-Daily Data
by Robert F. Engle & Giampiero M. Gallo
2003 Oil and Product Price Dynamics in International Petroleum Markets
by Alessandro Lanza & Matteo Manera & Massimo Giovannini
2003 STAR-GARCH Models for Stock Market Interactions in the Pacific Basin Region, Japan and US
by Giorgio Busetti & Matteo Manera
2003 Learning by Eating: A case study on the cost of hunger in Sri Lanka
by K. Renuka Ganegodage & Kiyoshi Taniguchi & Xiaojun Wang
2003 Forecasting Value at Risk in Emerging Arab Stock Markets
by C. Guermat & K. Hadri & C. C. Kucukozmen
2003 Economic Integration in Interwar Poland - A Threshold Cointegration Analysis of the Law of One Price for Poland (1924-1937)
by Carsten TRENKLER & Nikolaus WOLF
2003 Asymptotic Results for GMM Estimators of Stochastic Volatility Models
by Geert Dhaene & Olivier Vergote
2003 Adjustment Is Much Slower Than You Think
by Ricardo J. Caballero & Eduardo M.R.A. Engel
2003 Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation
by Kyongwook Choi & Eric Zivot
2003 Time-Scale Transformations of Discrete-Time Processes
by Jorda, Oscar & Marcellino, Massimiliano
2003 The Performance of SETAR models by Regime: A Conditional Evaluation of Interval and Density Forecasts
by Marrocu, Emanuela & Gianna Boero
2003 Unemployment, Hysterisis and Transition
by Leon-Ledesma, Miguel & Peter McAdam
2003 Trends and Persistence in Primary Commodity Prices
by Kellard, Neil & Mark E Wohar
2003 The Properties of Automatic Gets Modelling
by Hendry, David F & Hans-Martin Krolzig
2003 On Wage Formation, Wage Development and Flexibility: A comparison between European countries and the United States
by Marga Peeters & Ard den Reijer
2003 International Migration to Germany: Estimation of a Time-Series Model and Inference in Panel Cointegration
by Herbert Brücker & Boriss Siliverstovs & Parvati Trübswetter
2003 Multicointegration in US Consumption Data
by Boriss Siliverstovs
2003 The Argentinean Currency Crisis: A Markov-Switching Model Estimation
by Patricia Alvarez-Plata & Mechthild Schrooten
2003 Time Series Modelling using TSMod 3.24
by Charles S. Bos
2003 Discrete versus Continuous State Switching Models for Portfolio Credit Risk
by André Lucas & Pieter Klaassen
2003 Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices
by M. Angeles Carnero & Siem Jan Koopman & Marius Ooms
2003 Intervention Time Series Analysis of Crime Rates
by Sanjeev Sridharan & Suncica Vujic & Siem Jan Koopman
2003 Market Timing: A Decomposition of Mutual Fund Returns
by Swinkels, L.A.P. & Sluis, P.J. van der & Verbeek, M.J.C.M.
2003 On the Employment Effects of Part-Time Labor
by Lomwel, A.G.C. van & Ours, J.C. van
2003 GARCH and Irregularly Spaced Data
by Meddahi, N. & Renault, E. & Werker, B.J.M.
2003 Do Macroeconomic Announcements Cause Asymmetric Volatility
by Goeij, P. C. de & Marquering, W.
2003 The Term Structure of Credit Spreads on Euro Corporate Bonds
by Landschoot, A. van
2003 Long Run Variance Estimation Using Steep Origin Kernels without Truncation
by Peter C.B. Phillips & Yixiao Sun & Sainan Jin
2003 Incidental Trends and the Power of Panel Unit Root Tests
by Hyungsik Roger Moon & Benoit Perron & Peter C.B. Phillips
2003 Missing Aggregate Dynamics: On the Slow Convergence of Lumpy Adjustment Models
by Ricardo J. Caballero & Eduardo M.R.A. Engel
2003 Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation
by Peter C.B. Phillips & Yixiao Sun & Sainan Jin
2003 Vision and Influence in Econometrics: John Denis Sargan
by Peter C.B. Phillips
2003 Jackknifing Bond Option Prices
by Peter C.B. Phillips & Jun Yu
2003 GMM Estimation of Autoregressive Roots Near Unity with Panel Data
by Hyungsik Roger Moon & Peter C.B. Phillips
2003 Energy consumption, technological progress and economic policy
by Théophile, AZOMAHOU & Raouf, BOUCEKKINE & Phu, NUYEN VAN
2003 Explaining movements in UK stock prices:
by Nektarios Aslanidis & Denise Osborn & Marianne Sensier
2003 Properties of Optimal Forecasts
by Patton, Andrew J & Timmermann, Allan G
2003 The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks
by Kilian, Lutz & Manganelli, Simone
2003 On the Selection of Forecasting Models
by Inoue, Atsushi & Kilian, Lutz
2003 Dynamic latent factor models for intensity processes
by BAUWENS, Luc & HAUTSCH, Nikolaus
2003 Estimation of temporally aggregated multivariate GARCH models
by HAFNER, Christian & ROMBOUTS, Jeroen
2003 News annoucements, market activity and volatility in the Euro/Dollar foreign exchange market
by BAUWENS, Luc & BEN OMRANE, Walid
2003 Interaction models for common long-range dependence in asset price volatilities
by TEYSSIERE, Gilles
2003 Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals
by HORVATH, Lajos & KOKOSZKA, Piotr & TEYSSIÈRE , Gilles
2003 Semiparametric multivariate GARCH models
by HAFNER, Christian & ROMBOUTS, Jeroen
2003 Forecasting inflation: a comparison of linear Phillips curve models and nonlinear time serie models
by G. Ascari & E. Marrocu
2003 Oil and price dynamics in international petroleum markets
by A. Lanza & M. Manera & M. Giovannini
2003 Real-Time Tests of the Leading Economic Index: Do Changes in the Index Composition Matter?
by Robert H. McGuckin & Ataman Ozyildirim
2003 The Importance of the Loss Function in Option Valuation
by Peter Christoffersen & Kris Jacobs
2003 Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions
by Stefan Mittnik & Marc S. Paolella
2003 Efectos a largo plazo sobre la economia andaluza de las ayudas procedentes de los fondos estructurales: el Marco de Apoyo Comunitario 1994-1999
by Encarnación Murillo García & Simón Sosvilla-Rivero
2003 Filter-Design and Model-Based Analysis of Economic Cycles
by Diego J. Pedregal
2003 Robust Stylized Facts on Comovement for the Spanish Economy
by Javier J. Pérez & Francisco J. André
2003 Increasing returns to scale and international diffusion of technology: an empirical study for Brazil (1976-2000)
by Francisco Horácio P. Oliveira & Frederico G. Jayme Jr. & Mauro B. Lemos
2003 Terms of Trade and Supply Response of Indian Agriculture: Analysis in Cointegration Framework
by Surajit Deb
2003 A model for the federal funds rate target
by Oscar Jorda & James D. Hamilton
2003 Time-Scale Transformations of Discrete-Time Processes
by Oscar Jorda & Massimiliano Marcellino
2003 Stochastic Processes Subject To Time Scale Transformations: An Application To High-Frequency Fx Data
by Oscar Jorda & Massimiliano Marcellino
2003 Growth Response to Competitive Shocks: Market Structure Dynamics Under Liberalisation - the Case of India
by Uma S. Kambhampati & Paul A. Kattuman
2003 On The Panel Unit Root Tests Using Nonlinear Instrumental Variables
by Im, K.S. & Pesaran, M.H.
2003 A Simple Panel Unit Root Test in the Presence of Cross Section Dependence
by Pesaran, M.H.
2003 How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?
by Pesaran, H.M. & Timmermann, A.
2003 Monetary Policy in Europe: Evidence from Time-Varying Taylor Rules
by Katrin Wesche
2003 Modelling Economic Time Series in the Presence of Variance Non-Stationarity: A Practical Approach
by Alexandros E. Milionis
2003 An Indicator Measuring Underlying Economic Activity in Greece
by Stephen G. Hall & Nicholas G. Zonzilos
2003 A review of Stata 8.1 and its time series capabilities
by Christopher F. Baum
2003 Tests of conditional predictive ability
by Raffaella Giacomini & Halbert White
2003 Evaluation and Combination of Conditional Quantile Forecasts
by Raffaella Giacomini & Ivana Komunjer
2003 Long-Memory Forecasting of U.S. Monetary Indices
by John Barkoulas & Christopher F. Baum
2003 Les déterminants du taux de marge en France et quelques autres grands pays industrialisés : Analyse empirique sur la période 1970-2000
by Baghli, M. & Cette, G. & Arnaud, S.
2003 ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the New Phillips Curve)
by Jondeau, E. & Le Bihan, H.
2003 Gaussian inference on certain long-range dependent volatility models
by Paolo Zaffaroni
2003 Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
by Fabio Busetti & A. M. Robert Taylor
2003 Common Trends and Common Cycles in Canadian Sectoral Output
by Francisco Barillas & Christoph Schleicher
2003 Nonlinear quantile regression under dependence and heterogeneity
by Oberhofer, Walter & Haupt, Harry
2003 Breaking the panels. An application to the GDP per capita
by Josep Lluis Carrion Silvestre & Tomas del Barrio Castro & Enrique Lopez Bazo
2003 An empirical analysis of international equity market co-movements: implications for informational efficiency
by Manuela CROCI
2003 Money Demand Function: A heterogeneous Panel Application
by Nasri Harb
2003 Purchasing Power Parity and the Impact of the East Asian Currency Crisis
by Louise Allsopp & Ralf Zurbruegg
2003 
