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Research classified by Journal of Economic Literature (JEL) codes


Top JEL
/ C: Mathematical and Quantitative Methods
/ / C2: Single Equation Models; Single Variables
/ / / C22: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
This topic is covered by the following reading lists:
  1. 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
  • 2014 An Application of a New Seasonal Unit Root Test for Trending and Breaking Series to Industrial Production of the BRICS
    by Ghassen El Montasser & Rangan Gupta
  • 2014 Does the South African Reserve Bank (SARB) Respond to Oil Price Movements? Historical Evidence from the Frequency Domain
    by Goodness C. Aye & Olorato Gadinabokao & Rangan Gupta
  • 2014 A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process
    by Christian M. Hafner & and Michael McAleer
  • 2014 Statistical evidence about LIBOR manipulation: A “Sherlock Holmes” investigation
    by Fouquau, Julien & Spieser, Philippe K.
  • 2014 The cross-market index for volatility surprise
    by Aboura, Sofiane & Chevallier, Julien
  • 2014 Multicointegration and Fiscal Sustainability in India: Evidence from Standard and Regime Shifts Models - Multicointegrazione e sostenibilità fiscale in India: evidenze empiriche da modelli standard e modelli incorporanti cambiamenti di regime
    by Tronzano, Marco
  • 2014 The Impact of Exchange Rate Movements on Trade Balance in Nigeria’s Open-Economy - L’impatto delle variazioni dei tassi di cambio sulla bilancia commerciale della Nigeria
    by Obudah, Bodiseowei C. & Tombofa, Steve S.
  • 2014 Oscillatory components in the bell-shaped curves of the product life cycle modeling tool
    by Semenychev, Valery & Kurkin, Eugene & Semenychev, Eugene & Danilova, Anastasia
  • 2014 Testing the Calendar Anomalies for BIST City Indexes with Symmetric and Asymmetric GARCH Models
    by Öyküm Esra AŞKIN & Ali Hakan BÜYÜKLÜ
  • 2014 Hisse Senedi Piyasalarının Kaotik Yapısı ve Yapay Sinir Ağları ile öngörüsü: IMKB-100 örneği
    by Selin Devrim ÖZDEMİR & Işıl AKGÜL
  • 2014 An Empirical Investigation of Fisherian Link in BRIC-T Countries
    by Tayfur BAYAT & Selim KAYHAN & Çetin DOĞAN
  • 2014 Asymmetric Interest Rate Pass-Through to Turkish Loan Rates
    by Dilem YILDIRIM
  • 2014 Crecimiento económico y cortes estructurales. El caso de Andalucía (1900-1999)
    by Lizárraga, Carmen. & Chica-Olmo, Jorge.
  • 2014 The (possible) effect of plain packaging on smoking prevalence in Australia: a trend analysis
    by Ashok Kaul & Michael Wolf
  • 2014 The (possible) effect of plain packaging on the smoking prevalence of minors in Australia: a trend analysis
    by Ashok Kaul & Michael Wolf
  • 2014 Testing for near I(2) trends when the signal to noise ratio is small
    by Juselius, Katarina
  • 2014 Is it really more dispersed? Measuring and comparing the stress from the common monetary policy in the euro area
    by Quint, Dominic
  • 2014 Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte
    by Krasnosselski, Nikolai & Cremers, Heinz & Sanddorf, Walter
  • 2014 Combination of forecasts across estimation windows: An application to air travel demand
    by Jungmittag, Andre
  • 2014 The changing dynamics of US inflation persistence: A quantile regression approach
    by Tillmann, Peter & Wolters, Maik H.
  • 2014 Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts
    by Tao Hong & Katarzyna Maciejowska & Jakub Nowotarski & Rafal Weron
  • 2014 Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging
    by Katarzyna Maciejowska & Jakub Nowotarski & Rafal Weron
  • 2014 Modelling price spikes in electricity markets - the impact of load, weather and capacity
    by Rangga Handika & Chi Truong & Stefan Trueck & Rafal Weron
  • 2014 Electricity price forecasting: A review of the state-of-the-art with a look into the future
    by Rafal Weron
  • 2014 Merging quantile regression with forecast averaging to obtain more accurate interval forecasts of Nord Pool spot prices
    by Jakub Nowotarski & Rafal Weron
  • 2014 A review of electricity price forecasting: The past, the present and the future
    by Rafal Weron
  • 2014 Does historical volatility term structure contain valuable in-formation for predicting volatility index futures?
    by Juliusz Jabłecki & Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk & Piotr Wójcik
  • 2014 Modeling volatility with Range-based Heterogeneous Autoregressive Conditional Heteroskedasticity model
    by Tomasz Skoczylas
  • 2014 Outliers and Persistence in Threshold Autoregressive Processes: A Puzzle?
    by Yamin Ahmad & Luiggi Donayre
  • 2014 The Stock Market, the Real Economy and Contagion
    by Dirk G Baur & Isaac Miyakawa
  • 2014 Precious Metals Under the Microscope: A High-Frequency Analysis
    by Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G.
  • 2014 Forecast rationality tests in the presence of instabilities, with applications to Federal Reserve and survey forecasts
    by Barbara Rossi & Tatevik Sekhposyan
  • 2014 Alternative tests for correct specification of conditional predictive densities
    by Barbara Rossi & Tatevik Sekhposyan
  • 2014 Simple Robust Tests for the Specification of High-Frequency Predictors of a Low-Frequency Series
    by J. Isaac Miller
  • 2014 Time-varying Long-run Income and Output Elasticities of Electricity Demand
    by Yoosoon Chang & Chang Sik Kim & J. Isaac Miller & Joon Y. Park & Sungkeun Park
  • 2014 Forecasting with the Standardized Self-Perturbed Kalman Filter
    by Stefano Grassi & Nima Nonejad & Paolo Santucci de Magistris
  • 2014 A One Line Derivation of EGARCH
    by Michael McAleer & Christian M. Hafner
  • 2014 A Stochastic Dominance Approach to Financial Risk Management Strategies
    by Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Teodosio Pérez Amaral
  • 2014 Subjective Term Premia, Consumer Sentiment, and the Zero Lower Bound
    by Josh Stillwagon
  • 2014 Is Gold a Safe Haven Against Equity Market Investment in Emerging and Developing Countries ?
    by Gozde Gurgun & Ibrahim Unalmis
  • 2014 The Relationship between Inflation Targeting and Exchange Rate Pass-Through in Turkey with a Model Averaging Approach
    by Ferhat Arslaner & Dogan Karaman & Nuran Arslaner & Suleyman Hilmi Kal
  • 2014 Mean Reversion of the Current Account and Sustainability : Evidence from European Countries
    by Kurmas Akdogan
  • 2014 Interest Rate Corridor, Liquidity Management and the Overnight Spread
    by Hande Kucuk & Pinar Ozlu & Anil Talasli & Deren Unalmis & Canan Yuksel
  • 2014 Finding Yeti: More robust estimates of output gap in Slovakia
    by Ludovit Odor & Judita Jurasekova Kucserova
  • 2014 Robust Hypothesis Tests for M-Estimators with Possibly Non-differentiable Estimating Functions
    by Wei-Ming Lee & Yu-Chin Hsu & Chung-Ming Kuan
  • 2014 Testing Over-Identifying Restrictions without Consistent Estimation of the Asymptotic Covariance Matrix
    by Wei-Ming Lee & Chung-Ming Kuan & Yu-Chin Hsu
  • 2014 Efficient Inference with Time-Varying Identification Strength
    by Bertille Antoine & Otilia Boldea
  • 2014 Nonlinear Econometric Approaches in Testing PPP of SADC Economies towards Monetary Union
    by Mulatu F. Zerihun, Marthinus C. Breitenbach and Francis Kemegue
  • 2014 Debt sustainability and financial crises in South Africa
    by Leroi Raputsoane and Ruthira Naraidoo
  • 2014 Consistent Pretesting for Jumps
    by Valentina Corradi & Mervyn J. Silvapulle & Norman Swanson
  • 2014 Asymmetry and Lilien’s Sectoral Shifts Hypothesis: A Quantile Regression Approach
    by Theodore Panagiotidis & Gianluigi Pelloni
  • 2014 The impact of information flow and trading activity on gold and oil futures volatility
    by Adam Clements & Neda Todorova
  • 2014 The role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index
    by Adam Clements & Yin Liao
  • 2014 Adaptive Models and Heavy Tails
    by Davide Delle Monache & Ivan Petrella
  • 2014 Quasi-Maximum Likelihood Estimation of Heteroskedastic Fractional Time Series Models
    by Giuseppe Cavaliere & Morten Ørregaard Nielsen & A. M. Robert Taylor
  • 2014 FCVARmodel.m: A Matlab software package for estimation and testing in the fractionally cointegrated VAR model
    by Morten Ørregaard Nielsen & Lealand Morin
  • 2014 Persistence in the Banking Industry: Fractional integration and breaks in memory
    by Uwe Hassler & Antonio Rubia & Paulo M.M. Rodrigues
  • 2014 Probabilidad Clásica de Sobreajuste con Criterios de Información: Estimaciones con Series Macroeconómicas Chilenas
    by Medel, Carlos A.
  • 2014 Re-evaluating Okun's law in South Africa: A nonlinear co-integration approach
    by Phiri, Andrew
  • 2014 Does oil price uncertainty transmit to the Thai stock market?
    by Jiranyakul, Komain
  • 2014 Does oil price uncertainty transmit to the Thai stock market?
    by Jiranyakul, Komain
  • 2014 Does oil price uncertainty transmit to the Thai stock market?
    by Jiranyakul, Komain
  • 2014 Exponential Smoothing, Long Memory and Volatility Prediction
    by Proietti, Tommaso
  • 2014 Oil price volatility and real effective exchange rate: the case of Thailand
    by Jiranyakul, Komain
  • 2014 Structural Breakage and Long Term Cointegration Analysis for Economic Growth in G-7, BRICS and MATIK Countries (1962-2012)
    by KARGI, Bilal
  • 2014 Is the global leadership of the US financial market over other financial markets shaken by 2007-2009 financial crisis? Evidence from Wavelet Analysis
    by Saiti, Buerhan & Bacha, Obiyathulla & Masih, Mansur
  • 2014 Modelização VAR da volatilidade dos preços do ouro e dos índices dos mercados financeiros
    by Antunes, João Marques & Fuinhas, José Alberto & Marques, António Cardoso
  • 2014 Endividamento antes e após a introdução do euro: análise ARDL do caso português
    by Gaspar, Catarina & Fuinhas, José Alberto & Marques, António Cardoso
  • 2014 Dynamic Integration of Domestic Equity Price, Foreign Equity Price and Macroeconomic Indicators: Evidence from Malaysia
    by Kabir, Sarkar Humayun & Masih, Mansur
  • 2014 Contagion Effects of US Subprime Crisis on ASEAN-5 Stock Markets: Evidence from MGARCH-DCC Application
    by Chunxiu, Ma & Masih, Mansur
  • 2014 Oil price shocks and GCC capital markets: who drives whom?
    by Rizvi, Aun & Masih, Mansur
  • 2014 Are diversification benefits obtainable within the same asset class? New evidence from Malaysian Islamic REITS
    by Mokhtar, Maznita & Masih, Mansur
  • 2014 The Impact of Crude Oil Price on Islamic Stock Indices of Gulf Cooperation Council (GCC) Countries: A Comparative Analysis
    by Rithuan, Syahidah Hanis Meor & Abdullah, Ahmad Monir & Masih, Abul Mansur M.
  • 2014 Diversification in Crude Oil and Other Commodities: A Comparative Analysis
    by Abdullah, Ahmad Monir & Saiti, Buerhan & Masih, Abul Mansur M.
  • 2014 Causality between Stock Market Index and Macroeconomic Variables: A Case Study for Malaysia
    by Abdullah, Ahmad Monir & Saiti, Buerhan & Masih, Abul Mansur M.
  • 2014 Correlation between Islamic stock and Commodity markets: An investigation into the impact of financial crisis and financialization of commodity markets
    by Khan, Aftab & Masih, Mansur
  • 2014 The Dynamic Linkages between Islamic Index and the Major Stock Markets: New Evidence from Wavelet time-scale decomposition Analysis
    by Abu Bakar, Norhidayah & Masih, Abul Mansur M.
  • 2014 Dynamic modeling of commodity futures prices
    by Karapanagiotidis, Paul
  • 2014 Does oil price uncertainty transmit to the Thai stock market?
    by Jiranyakul, Komain
  • 2014 Διαστήματα Εμπιστοσύνης Για Εκατοστημόρια Σε Στάσιμες Arma Διαδικασίες: Μία Εμπειρική Εφαρμογή Σε Περιβαλλοντικά Δεδομένα
    by Halkos, George & Kevork, Ilias
  • 2014 Does Optimal Government Size Exist for Developing Economies? The Case of Nigeria
    by Alimi, R. Santos
  • 2014 Energy use-trade nexus: what does the data set say for Thailand?
    by Jiranyakul, Komain
  • 2014 Multi-step forecasting in the presence of breaks
    by Hännikäinen, Jari
  • 2014 Electricity Consumption and Economic Growth: A Long-Term Co-integrated Analysis for Turkey
    by KARGI, Bilal
  • 2014 The Effects of BRICS and MATIK Countries on World Economy and Cointegration Analysis The Long Term Relation G-7 Growth Rates (1962-2012)
    by KARGI, Bilal
  • 2014 Particle Gibbs with Ancestor Sampling Methods for Unobserved Component Time Series Models with Heavy Tails, Serial Dependence and Structural Breaks
    by Nonejad, Nima
  • 2014 Particle Markov Chain Monte Carlo Techniques of Unobserved Component Time Series Models Using Ox
    by Nonejad, Nima
  • 2014 Editorial for the Special Issue on 'Computational Methods for Russian Economic and Financial Modelling'
    by Fantazzini, Dean
  • 2014 On uniqueness of moving average representations of heavy-tailed stationary processes
    by Gouriéroux, Christian & Zakoian, Jean-Michel
  • 2014 An Empirical Test of Money Demand in Thailand from 1993 to 2012
    by Jiranyakul, Komain & Opiela, Timothy
  • 2014 The Value of Protecting Venice from the Acqua Alta Phenomenon under Different Local Sea Level Rises
    by Caporin, Massimiliano & Fontini, Fulvio
  • 2014 Data-based priors for vector autoregressions with drifting coefficients
    by Korobilis, Dimitris
  • 2014 Inflation, Income Inequality and Economic Growth in Pakistan: A Cointegration Analysis
    by Ali, Sharafat
  • 2014 Un modelo TGARCH con una distribución t de Student asimétrica y las hipotesis de racionalidad de los inversionistas bursátiles en Latinoamérica
    by Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio
  • 2014 Specification Testing for Nonlinear Multivariate Cointegrating Regressions
    by Chaohua Dong & Jiti Gao & Dag Tjostheim & Jiying Yin
  • 2014 Issues in the Estimation of Mis-Specified Models of Fractionally Integrated Processes
    by K. Nadarajah & Gael M. Martin & D.S. Poskitt
  • 2014 Boosting multi-step autoregressive forecasts
    by Souhaib Ben Taieb & Rob J Hyndman
  • 2014 Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap
    by D.S. Poskitt & Gael M. Martin & Simone D. Grose
  • 2014 Is Monthly US Natural Gas Consumption Stationary? New Evidence from a GARCH Unit Root Test with Structural Breaks
    by Vinod Mishra & Russell Smyth
  • 2014 The Random-Walk Hypothesis on the Indian Stock Market
    by Ankita Mishra & Vinod Mishra & Russell Smyth
  • 2014 Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks
    by Claudio Morana
  • 2014 Forecasting the oil-gasoline price relationship: should we care about the Rockets and the Feathers?
    by Andrea Bastianin & Marzio Galeotti & Matteo Manera
  • 2014 Liquidity-adjusted Intraday Value at Risk modeling and Risk Management: an Application to Data from Deutsche Börse
    by Georges Dionne & Maria Pacurar & Xiaozhou Zhou
  • 2014 A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: an Application to Risk Analysis
    by David Ardia & Lukasz Gatarek & Lennart F. hoogerheide
  • 2014 Trend Estimation with Penalized Splines as Mixed Models for Series with Structural Breaks
    by Blöchl, Andreas
  • 2014 Reducing the Excess Variability of the Hodrick-Prescott Filter by Flexible Penalization
    by Bloechl, Andreas
  • 2014 Trends Cycles and Seasons: Econometric Methods of Signal Extraction
    by Stephen Pollock
  • 2014 Cycles, Syllogisms and Semantics: Examining the Idea of Spurious Cycles
    by Stephen Pollock
  • 2014 Investigating Multiple Changes in Persistence in International Yields
    by Simeon Coleman & Kavita Sirichand
  • 2014 The change of correlation structure across industries:an analysis in the regime-switching framework
    by Masahiko Egami & Yuki Shigeta & Katsutoshi Wakai
  • 2014 Testing Okun’s Law with Swiss Industry Data
    by Jochen Hartwig
  • 2014 The Price-Price Phillips Curve in Small Open Economies and Monetary Unions: Theory and Empirics
    by Andrea Vaona
  • 2014 Can the UAE Avoid the Oil Curse by Economic Diversification?
    by Haouas, Ilham & Heshmati, Almas
  • 2014 Real Effective Exchange Rate Misalignment in the Euro Area: A Counterfactual Analysis
    by Makram El-Shagi & Axel Lindner & Gregor von Schweinitz
  • 2014 Out-Of-Sample Comparisons of Overfit Models
    by Calhoun, Gray
  • 2014 Sovereign credit ratings, market volatility, and financial gains
    by António Afonso & Pedro Gomes & Abderrahim Taamouti
  • 2014 Business Cycle (De)Synchronization in the Aftermath of the Global Financial Crisis: Implications for the Euro Area
    by Stelios Bekiros & Duc Khuong Nguyen & Gazi Salah Uddin & Bo Sjö
  • 2014 Oil price impact on financial markets:
    by Anna Creti & Zied Ftiti & Khaled Guesmi
  • 2014 Examining the structural changes of European carbon futures price 2005- 2012
    by Bangzhu Zhu & Shujiao Ma & Julien Chevallier & Yiming Wei
  • 2014 Evolution of Crude Oil Prices and Economic Growth: The case of OPEC Countries
    by Zied Ftiti & Khaled Guesmi & Frédéric Teulon & Slim Chouachi
  • 2014 Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices
    by Derek Bunn & Julien Chevallier & Yannick Le Pen & Benoît Sévi
  • 2014 Predicting and Capitalizing on Stock Market Bears in the U.S
    by Bertrand Candelon & Jameel Ahmed & Stefan Straetmans
  • 2014 Modelling the Real Exchange Rate: A new Sequential Approach
    by Slim Chaouachi & Zied Ftiti & Frédèric Teulon
  • 2014 Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory
    by Walid Chkili & Shawkat Hammoudeh & Duc Khuong Nguyen
  • 2014 Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries
    by Walid Chkili & Duc Khuong Nguyen
  • 2014 On the risk comovements between the crude oil market and the U.S. dollar exchange rates
    by Gilles de Truchis & Benjamin Keddad
  • 2014 Analyzing Financial Integration in East Asia through Fractional Cointegration in Volatilities
    by Gilles de Truchis & Benjamin Keddad
  • 2014 A Flexible Non Linear Model to Test the Expectation Hypothesis of Interest Rates
    by Jean-Michel Sahut
  • 2014 Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory
    by Walid Chkili & Shawkat Hammoudeh & Duc Khuong Nguyen
  • 2014 Short- and Long-Run Relationships between Natural Gas Consumption and Economic Growth: Evidence from Pakistan
    by Muhammad Shahbaz & Mohamed Arouri & Frédéric Teulon
  • 2014 Explaining the Tunisian Real Exchange: Long Memory versus Structural Breaks
    by Slim Chaouachi & Zied Ftiti & Frederic Teulon
  • 2014 A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies
    by Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent
  • 2014 Oil Price and Financial Markets: Multivariate Dynamic Frequency Analysis
    by Anna Creti & Zied Ftiti & Khaled Guesmi
  • 2014 Oil prices and trade balance: a frequency domain analysis for India
    by Mohamed Arouri & Aviral Kumar Tiwari & Frédéric Teulon
  • 2014 Assessing the efficiency of the MENA emerging stock markets: A sectoral perspective
    by Imen Zgueb Rejichi & Chaker Aloui & Duc Khuong Nguyen
  • 2014 Semiparametric Generalized Long Memory Modelling of GCC Stock Market Returns: A Wavelet Approach
    by Heni Boubaker & Nadia Sghaier
  • 2014 Oil Shocks and Economic Growth in OPEC countries
    by Zied Ftiti & Khaled Guesmi & Frédéric Teulon
  • 2014 A Combined Nonparametric Test for Seasonal Unit Roots
    by Kunst, Robert M.
  • 2014 Forecasting with a mismatch-enhanced labor market matching function
    by Hutter, Christian & Weber, Enzo
  • 2014 Wavelet improvement in turning point detection using a Hidden Markov Model
    by Li, Yushu & Reese, Simon
  • 2014 Bivariate Integer-Valued Long Memory Model for High Frequency Financial Count Data
    by Quoreshi, A.M.M. Shahiduzzaman
  • 2014 How did the capital market evaluate Germany’s prospects for winning World War I? Evidence from the Amsterdam market for government bonds
    by Tobias A. Jopp
  • 2014 Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility
    by Demetrescu, Matei & Sibbertsen, Philipp
  • 2014 Credit Risk Modeling under Conditional Volatility
    by Rohde, Johannes & Sibbertsen, Philipp
  • 2014 Data-based priors for vector autoregressions with drifting coefficients
    by Dimitris Korobilis
  • 2014 On Trend, Breaks and Initial Condition in Unit Root Testing
    by Anton Skrobotov
  • 2014 Forecasting Realized Volatility with Changes of Regimes
    by Giampiero M. Gallo & Edoardo Otranto
  • 2014 Go with the Flow: A GAS model for Predicting Intra-daily Volume Shares
    by Francesco Calvori & Fabrizio Cipollini & Giampiero M. Gallo
  • 2014 Monitoring housing markets for episodes of exuberance: an application of the Phillips et al. (2012, 2013) GSADF test on the Dallas Fed International House Price Database
    by Pavlidis, Efthymios & Yusupova, Alisa & Paya, Ivan & Peel, David & Martinez-Garcia, Enrique & Mack, Adrienne & Grossman, Valerie
  • 2014 Testing for bubbles in housing markets: new results using a new method
    by Gómez-González, José E. & Ojeda-Joya, Jair N. & Rey-Guerra, Catalina & Sicard, Natalia
  • 2014 Forecasting the Oil-gasoline Price Relationship: Should We Care about the Rockets and the Feathers?
    by Andrea Bastianin & Marzio Galeotti & Matteo Manera
  • 2014 From a rise in B to a fall in C? Environmental impact of biofuels
    by Giuseppe Piroli & Miroslava Rajcaniova & Pavel Ciaian & d'Artis Kancs
  • 2014 The Impact of Solar Penetration on Solar and Gas Market Value: an application to the Italian Power Market
    by Stefano Cló & Gaetano D’Adamo
  • 2014 The relationship between debt level and fiscal sustainability in OECD countries
    by Mariam Camarero & Josep Lluís Carrion-i-Silvestre & Cecilio Tamarit
  • 2014 On Conditions in Central Limit Theorems for Martingale Difference Arrays Long Version
    by Abdelkamel Alj & Rajae Azrak & Guy Melard
  • 2014 Does the Great Recession imply the end of the Great Moderation? International evidence
    by Amélie Charles & Olivier Darné & Laurent Ferrara
  • 2014 On the impact of macroeconomic news surprises on Treasury-bond yields
    by Imane El Ouadghiri & Valerie Mignon & Nicolas Boitout
  • 2014 A Nonparametric Test for Granger-causality in Distribution with Application to Financial Contagion
    by Bertrand Caudelon & Sessi Tokpavi
  • 2014 On trend-cycle-seasonal interactions
    by Irma Hindrayanto & Jan Jacobs & Denise Osborn
  • 2014 Unconventional Monetary Policy and Money Demand
    by Christian Dreger & Jürgen Wolters
  • 2014 Elasticities of Supply for the US Natural Gas Market
    by Micaela Ponce & Anne Neumann
  • 2014 Assessing the Sustainability of Government Debt: On the Different States of the Debt/GDP Process
    by Anton Velinov
  • 2014 A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process
    by Christian M. Hafner & and Michael McAleer
  • 2014 Maximum Likelihood Estimation for Correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties
    by Francisco Blasques & Siem Jan Koopman & and André Lucas
  • 2014 Time Varying Transition Probabilities for Markov Regime Switching Models
    by Marco Bazzi & Francisco Blasques & Siem Jan Koopman & and Andre Lucas
  • 2014 A One Line Derivation of EGARCH
    by Michael McAleer & Christian M. Hafner
  • 2014 Information Theoretic Optimality of Observation Driven Time Series Models
    by Francisco Blasques & Siem Jan Koopman & Andr� Lucas
  • 2014 The Dynamic Skellam Model with Applications
    by Siem Jan Koopman & Rutger Lit & Andr� Lucas
  • 2014 Maximum Likelihood Estimation for Generalized Autoregressive Score Models
    by Francisco Blasques & Siem Jan Koopman & Andre Lucas
  • 2014 A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: An Application to Risk Analysis
    by David Ardia & Lukasz Gatarek & Lennart F. Hoogerheide
  • 2014 Optimal Hedging with the Vector Autoregressive Model
    by Lukasz Gatarek & S�ren Johansen
  • 2014 Testing for Parameter Instability in Competing Modeling Frameworks
    by Francesco Calvori & Drew Creal & Siem Jan Koopman & Andre Lucas
  • 2014 Samuelson hypothesis and electricity derivative markets
    by Jaeck, Edouard & Lautier, Delphine
  • 2014 Forecasting electricity spot prices using time-series models with a double temporal segmentation
    by Fouquau, Julien & Bessec, Marie & Méritet, Sophie
  • 2014 Specification Tests for Nonlinear Dynamic Models
    by Igor Kheifets
  • 2014 Heteroskedasticity-and-Autocorrelation-Consistent Bootstrapping
    by Russel Davidson & Andrea Monticini
  • 2014 Forecasting the intraday market price of money
    by Andrea Monticini & Francesco Ravazzolo
  • 2014 Multi-level Conditional VaR Estimation in Dynamic Models
    by Christian Francq & Jean-Michel Zakoian
  • 2014 Evolución de los precios de la vivienda en Colombia
    by Gustavo Adolfo HERNANDEZ DIAZ & Gabriel PIRAQUIVE GALEANO
  • 2014 Burbujas en precios de activos financieros: existencia, persistencia y migración
    by Juan Pablo Franco & José E. Gómez González & Jair N. Ojeda & Jhon Edward Torres
  • 2014 Pronósticos para una economía menos volátil: El caso colombiano
    by Santiago Cajiao Raigosa & Luis Fernando Melo Velandia & Daniel Parra Amado
  • 2014 Efectos calendario sobre la producción industrial en Colombia
    by Luis Fernando Melo Velandia & Daniel Parra Amado
  • 2014 Explosive Target balances of the German Bundesbank
    by Niklas Potrafke & Markus Reischmann
  • 2014 Fiscal Autonomy and Fiscal Sustainability: Subnational Taxation and Public Indebtedness in Contemporary Spain
    by Benjamin Larin & Bernd Süssmuth
  • 2014 Youth Unemployment in Europe: Persistence and Macroeconomic Determinants
    by Guglielmo Maria Caporale & Luis A. Gil-Alana
  • 2014 The Hodrick-Prescott Filter with a Time-Varying Penalization Parameter. An Application for the Trend Estimation of Global Temperature
    by Andreas Blöchl & Gebhard Flaig
  • 2014 Testing Unemployment Theories: A Multivariate Long Memory Approach
    by Guglielmo Maria Caporale & Luis A. Gil-Alana & Yuliya Lovcha
  • 2014 A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process
    by Christian M. Hafner & Michael McAleer
  • 2014 A One Line Derivation of EGARCH
    by Michael McAleer & Christian M. Hafner
  • 2014 Finding Yeti: More robust estimates of output gap in Slovakia
    by Ludovit Odor & Judita Jurasekova Kucserova
  • 2014 Are Shocks to Energy Consumption Persistent? Evidence from Subsampling Confidence Intervals
    by Firouz Fallahi & Mohammad Karimi & Marcel-Cristian Voia
  • 2014 The Effect of Federal Government Size on Private Economic Performance in Canada: 1870–2011
    by J. Stephen Ferris & Marcel-Cristian Voia
  • 2014 Bond Markets, Stock Markets and Exchange Rates: A Dynamic Relationship
    by Suleyman Hilmi Kal & Ferhat Arslaner & Nuran Arslaner
  • 2014 The Role of Indicator Selection in Nowcasting Euro Area GDP in Pseudo Real Time
    by A. Girardi & R. Golinelli & C. Pappalardo
  • 2014 Tests to Disentangle Breaks in Intercept from Slope in Linear Regression Models with Application to Management Performance in the Mutual Fund Industry
    by Jose Olmo & William Pouliot
  • 2014 Forecast Rationality Tests in the Presence of Instabilities, With Applications to Federal Reserve and Survey Forecasts
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  • 2014 Determinants of US financial fragility conditions
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  • 2014 Can gold prices forecast the Australian dollar movements?
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  • 2014 Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns
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  • 2014 Wavelet-based evidence of the impact of oil prices on stock returns
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  • 2014 Dynamic linkage between real exchange rates and stock prices: Evidence from developed and emerging Asian markets
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  • 2014 Measuring systemic risk in the Korean banking sector via dynamic conditional correlation models
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  • 2014 Testing for a break in the persistence in yield spreads of EMU government bonds
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  • 2014 Modeling and predicting the CBOE market volatility index
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  • 2014 Inflation targeting and inflation convergence: International evidence
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  • 2014 FDI inflow as an international business operation by MNCs and economic growth: An empirical study on Turkey
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  • 2014 Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets
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  • 2014 Estimating higher education induced energy consumption: The case of Northern Cyprus
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  • 2014 Causality and predictability in distribution: The ethanol–food price relation revisited
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  • 2014 Oil and US dollar exchange rate dependence: A detrended cross-correlation approach
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  • 2014 Ethanol and trade: An analysis of price transmission in the US market
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  • 2014 How do the stock prices of new energy and fossil fuel companies correlate? Evidence from China
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  • 2014 Do oil prices predict economic growth? New global evidence
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  • 2014 Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory
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  • 2014 Modelling changes in the unconditional variance of long stock return series
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  • 2014 The relationship between trade, FDI and economic growth in Tunisia: An application of the autoregressive distributed lag model
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  • 2014 Testing conditional independence via empirical likelihood
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  • 2014 Unpredictability in economic analysis, econometric modeling and forecasting
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  • 2014 Theory-coherent forecasting
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  • 2014 Testing for structural stability of factor augmented forecasting models
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  • 2014 Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix
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  • 2014 On the robustness of location estimators in models of firm growth under heavy-tailedness
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  • 2014 A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data
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  • 2014 A fast resample method for parametric and semiparametric models
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  • 2014 An asymptotic analysis of likelihood-based diffusion model selection using high frequency data
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  • 2014 Marginal likelihood for Markov-switching and change-point GARCH models
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  • 2014 Forecasting financial and macroeconomic variables using data reduction methods: New empirical evidence
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  • 2014 Summability of stochastic processes—A generalization of integration for non-linear processes
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  • 2014 Model selection in under-specified equations facing breaks
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  • 2014 Testing for seasonal unit roots by frequency domain regression
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  • 2014 The estimation of misspecified long memory models
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  • 2014 Optimal estimation of cointegrated systems with irrelevant instruments
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  • 2014 Model specification test with correlated but not cointegrated variables
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  • 2014 Constructing smooth tests without estimating the eigenpairs of the limiting process
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  • 2014 Testing cointegration relationship in a semiparametric varying coefficient model
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  • 2014 A fixed-T version of Breitung’s panel data unit root test
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  • 2014 Is the ‘euro effect’ on trade so small after all? New evidence using gravity equations with panel cointegration techniques
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  • 2014 Can Markov switching model generate long memory?
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  • 2014 On conditions in central limit theorems for martingale difference arrays
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  • 2014 Dynamic pricing and asymmetries in retail gasoline markets: What can they tell us about price stickiness?
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  • 2014 Testing of the mean reversion parameter in continuous time models
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  • 2014 Nowcasting causality in mixed frequency vector autoregressive models
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  • 2014 Asymptotic behaviour of tests for a unit root against an explosive alternative
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  • 2014 Multilateral adjustment, regime switching and real exchange rate dynamics
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  • 2014 Capital flows and current account dynamics in Turkey: A nonlinear time series analysis
    by Cecen, Aydin & Xiao, Linlan
  • 2014 Smooth transition, non-linearity and current account sustainability: Evidence from the European countries
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  • 2014 The persistence and asymmetric volatility in the Nigerian stock bull and bear markets
    by Yaya, OlaOluwa S. & Gil-Alana, Luis A.
  • 2014 Re-examining the Turkish stock market efficiency: Evidence from nonlinear unit root tests
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  • 2014 Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market
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  • 2014 Is per capita real GDP stationary in China? Sequential panel selection method
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  • 2014 Revisiting the inflation–output gap relationship for France using a wavelet transform approach
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  • 2014 Determinants of terrorism in Pakistan: An empirical investigation
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  • 2014 Oil price risk in the Spanish stock market: An industry perspective
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  • 2014 How integrated are real estate markets with the world market? Evidence from case-wise bootstrap analysis
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  • 2014 Response of inflation to shocks: New evidence from Sub-Saharan African countries
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  • 2014 The impact of trading volume, number of trades and overnight returns on forecasting the daily realized range
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  • 2014 Volatility spillovers between the oil market and the European Union carbon emission market
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  • 2014 Volatility forecasting using high frequency data: Evidence from stock markets
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  • 2014 Does Purchasing Power Parity hold? New evidence from wild-bootstrapped nonlinear unit root tests in the presence of heteroskedasticity
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  • 2014 Real interest rate parity hypothesis in post-Soviet countries: Evidence from unit root tests
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  • 2014 Türkiye’de Çevresel Kuznets Eðrisi Hipotezinin Geçerliliði: ARDL Sýnýr Testi Yaklaþýmý
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  • 2014 Dynamic Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns: The Implications for Optimal Portfolio Construction
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  • 2014 Asymmetry of the Oil Price Pass–Through to Inflation in Iran
    by Rafik Nazarian & Ashkan Amiri
  • 2014 Energy Use, Income and Carbon Dioxide Emissions: Direct and Multi-Horizon Causality in Canada
    by Patrick Withey
  • 2014 Energy Consumption and Economic Growth: Evidence from Low-Income Countries in Sub-Saharan Africa
    by Eyup DOGAN
  • 2014 Effects of Oil and Natural Gas Prices on Industrial Production in the Eurozone Member Countries
    by Yýlmaz BAYAR & Cuneyt KILIC
  • 2014 Forecasting Electricity Prices in Deregulated Wholesale Spot Electricity Market: A Review
    by Girish Godekere Panchakshara Murthy & Vijayalakshmi Sedidi
  • 2014 Modelling the Macroeconomic Determinants of Workers’ Remittances: The Case of Jordan
    by Ghazi Al-Assaf & Abdullah M. Al-Malki
  • 2014 An Empirical Analysis of Allocative Efficiency of Nigerian CommercialBanks: A DEA Approach
    by Usman Owolabi Akeem & Fadipe Moses
  • 2014 Testing Nonlinear Inflation Convergence for the Central African Economic and Monetary Community
    by Emmanuel Anoruo & Vasudeva N.R. Murthy
  • 2014 FDI, Exchange Rate, and Economic Growth in Hungary, 1995-2012: Causality and Cointegration Analysis
    by Zsofia KOMUVES & Miguel D. RAMIREZ
  • 2014 Estrategia de cobertura con productos derivados para el mercado energético colombiano
    by Jhon Alexis Díaz Contreras & Gloria Inés Macías Villalba & Edgar Luna González
  • 2014 Real exchange rate and competitiveness of an EU's ultra-peripheral region: La Reunion Island
    by Fabien Candau & Michaël Goujon & Jean-François Hoarau & Serge Rey
  • 2014 Sources of growth revisited: The importance of the nature of technological progress
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  • 2014 Purchasing Power Parity in the BRICS and the MIST Countries: Sequential Panel Selection Method
    by Mohsen Bahmani-Oskooee & Tsangyao Chang & Kuei-Chiu Lee
  • 2014 A broader indicator of credit risk in Italian banks, based on total non-performing loans flow
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  • 2014 Analyzing interrelated stochastic trend and seasonality on the example of energy trading data
    by Fruzsina Mák
  • 2014 Revisiting the nexus between financial development, FDI, and growth: New evidence from second generation econometric procedures in the Turkish context
    by Hasan Güngör & Salih Turan Katircioglu & Mehmet Mercan
  • 2014 Weak Identification in Maximum Likelihood: A Question of Information
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  • 2014-04 Electricity Consumption and Economic Growth: Long-Term Co-Integrated Analysis on Turkey
    by Kargi, Bilal
  • 2014-03 The Effects of BRICS and MATIK Countries on World Economy and Cointegration Analysis The Long Term Relation G-7 Growth Rates (1962-2012)
    by Kargi, Bilal
  • 2013 Testing the Out-of-Sample Forecasting Ability of a Financial Conditions Index for South Africa
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  • 2013 Persistence and Cycles in Historical Oil Prices Data
    by Luis A. Gil-Alana & Rangan Gupta
  • 2013 Comovement in Euro Area Housing Prices: A Fractional Cointegration Approach
    by Christophe Andre & Luis A. Gil-Alana & Rangan Gupta
  • 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 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 GARCH models without positivity constraints: Exponential or Log GARCH?
    by Zakoïan, Jean-Michel & Wintenberger, Olivier & Francq, Christian
  • 2013 Business Fluctuations, Job Flows and Trade Unions - Dynamics in the Economy
    by Beate Schirwitz
  • 2013 An Empirical Investigation of the Colombian Stock Market Reaction to the US Market: Evidence from a Casewise Bootstrap Approach - Un’analisi empirica della reazione del mercato azionario colombiano al mercato USA
    by Hatemi-J, Abdulnasser & Sarmiento-Sabogal, Julio
  • 2013 A Comment on Tests for Asymmetric Threshold Cointegration with an Application to the Term Structure: Cointegration Methods Matter
    by Natalie Hegwood & M.H. Tuttle
  • 2013 Inflación e incertidumbre inflacionaria en Bolivia
    by Bojanic, Antonio N.
  • 2013 Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals
    by Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar
  • 2013 Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals
    by Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar
  • 2013 Evaluating misspecification in DSGE models using tests for overidentifying restrictions
    by Reicher, Christopher Phillip
  • 2013 Do large recessions reduce output permanently?
    by Wolters, Maik & Hosseinkouchack, Mehdi
  • 2013 Inflation, inflation uncertainty and output in Tunisia
    by Hachicha, Ahmed & Lean Hooi Hooi
  • 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 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 Computing electricity spot price prediction intervals using quantile regression and forecast averaging
    by Jakub Nowotarski & Rafal Weron
  • 2013 An empirical comparison of alternate schemes for combining electricity spot price forecasts
    by Jakub Nowotarski & Eran Raviv & Stefan Trueck & Rafal Weron
  • 2013 The Pass-Through of Exchange Rate in the Context of the European Sovereign Debt Crisis
    by Nidhaleddine Ben Cheikh
  • 2013 Money demand and the role of monetary indicators in forecasting euro area inflation
    by Christian Dreger & Jürgen Wolters
  • 2013 Deciphering the Libor and Euribor Spreads during the subprime crisis
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  • 2013 Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals
    by Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G.
  • 2013 Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models
    by Audrino, Francesco & Camponovo, Lorenzo
  • 2013 Treatment effects and panel data
    by Lechner, Michael
  • 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 A knowledge economy approach in empirical growth models for the Nordic countries
    by Arusha Cooray & Marcella Lucchetta & Antonio Paradiso
  • 2013 Robust block bootstrap panel predictability tests
    by Westerlund J. & Smeekes S.
  • 2013 Nowcasting causality in mixed frequency vector autoregressive models
    by Götz T.B. & Hecq A.W.
  • 2013 Exports and real exchange rates in a small open economy
    by Alvaro Brunini & Gabriela Mordecki & Lucía Ramírez
  • 2013 Mixture distribution hypothesis and the impact of a Tobin tax on exhange rate volatility : a reassessment
    by Olivier Damette
  • 2013 Monetary Policy and Exchange Rates: A Balanced Two-Country Cointegrated VAR Model Approach
    by Reinhold Heinlein & Hans-Martin Krolzig
  • 2013 Industry, firm, year and country effects on profitability in EU food processing
    by Jan Schiefer & Stefan Hirsch & Monika Hartmann & Adelina Gschwandtner
  • 2013 Unemployment Rate Hysteresis and the Great Recession: Exploring the Metropolitan Evidence
    by Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard
  • 2013 Analyzing Fixed-event Forecast Revisions
    by Chia-Lin Chang & Bert de Bruijn & Philip Hans Franses & Michael McAleer
  • 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 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 West versus East: Early globalization and thr great divergence
    by Rafael Dobado-González & Alfredo García-Hiernaux & David Guerrero-Burbano
  • 2013 Nonlinear Mechanism of the Exchange Rate Pass-Through: Does Business Cycle Matter?
    by Nidhaleddine Ben Cheikh
  • 2013 The Forward Exchange Rate Unbiasedness Hypothesis: A Single Break Unit Root and CointegrationAnalysis
    by Michael Mazur & Miguel Ramirez
  • 2013 FDI, Exchange Rate, and Economic Growth in Hungary, 1995-2012: Causality and Cointegration Analysis
    by Zsofia Komuves & Miguel Ramirez
  • 2013 Remittances and Economic Growth in Mexico: An Empirical Study with Structural Breaks
    by Miguel Ramirez
  • 2013 GDP Growth and Credit Data
    by Ergun Ermisoglu & Yasin Akcelik & Arif Oduncu
  • 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 Likelihood-Based Confidence Sets for the Timing of Structural Breaks
    by Yunjong Eo & James Morley
  • 2013 Bayesian Analysis of Nonlinear Exchange Rate Dynamics and the Purchasing Power Parity Persistence Puzzle
    by Ming Chien Lo & James Morley
  • 2013 Testing Stationarity for Unobserved Components Models
    by James Morley & Irina B. Panovska & Tara M. Sinclair
  • 2013 Testing for marginal asymmetry of weakly dependent processes
    by Marian Vavra
  • 2013 Standards, Learning and Growth in Britain 1901-2009
    by Cristopher Spencer & Paul Temple
  • 2013 What Drives Natural Gas Consumption in Europe? Analysis and Projections
    by Özge Dilaver & Zafer Dilaver & Lester C. Hunt
  • 2013 Leverage and Alpha: The Case of Funds of Hedge Funds
    by Benoît Dewaele
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  • 2013 Application of Autoregressive Models for Forecasting Marine Insurance Market
    by Burcã Ana-Maria & Bãtrînca Ghiorghe
  • 2013 VLCC Ships Prices and their Influence on Maritime Insurance MarketAbstract:The global economic and financial crisis has repressed the boom of the shipping industry, generating a high volatility of vessels’ prices. With the global expansion of the maritime sector, marine insurance is on the forefront nowadays, more than ever before. As the marine insurance premiums vary according to the value of insured assets and their number, the marine insurance market can be analyzed through the forecast of vessels’ prices within the turbulent business environment
    by Burca Ana-Maria & Batrinca Ghiorghe
  • 2013 Do business tendency surveys help in forecasting employment?: A real-time evidence for Switzerland
    by Boriss Siliverstovs
  • 2013 Short-term forecasting of French GDP growth using dynamic factor models
    by Marie Bessec & Catherine Doz
  • 2013 Constructing a conditional GDP fan chart with an application to French business survey data
    by Matthieu Cornec
  • 2013 Short-term Forecasting for Empirical Economists: A Survey of the Recently Proposed Algorithms
    by Camacho, Maximo & Perez-Quiros, Gabriel & Poncela, Pilar
  • 2013 What inflation developments reveal about the Phillips curve: implications for monetary policy
    by A. Stevens
  • 2013 The Effects of Terrorist Activities on Foreign Direct Investment: Nonlinear Evidence from Turkey
    by Tolga Omay & Bahar Araz-Takay & Aysegül Eruygur & Ilker Kilic
  • 2013 No linealidad y asimetría en el proceso generador del Índice Ibex35/Nonlinearity and Asymmetry in the Generator Process of Ibex35 Index
    by RICO BELDA, PAZ
  • 2013 La situación del empleo en turismo rural en España/The Employment Situation in Rural Tourism in Spain
    by ARIAS MARTÍN, PEDRO
  • 2013 Forward-Looking and Backward-Looking Taylor Rules: Evidence from Pakistan
    by Nadia Tahir
  • 2013 One-Step-Ahead Forecastability of GARCH (1,1): A Comparative Analysis of USD- and PKR-Based Exchange Rate Volatilities
    by Abdul Jalil Khan & Parvez Azim
  • 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 A test for the existence of a fractional root in a non-stationary time series
    by Diego Lemus & Elkin Castaño
  • 2013 Mit Zeitungen Konjunkturprognosen erstellen: Eine Vergleichsstudie für die Schweiz und Deutschland
    by David Iselin & Boriss Siliverstovs
  • 2013 The Use of Simple Regression in Macroeconomic Analysis
    by Constantin Anghelache & Ligia Prodan
  • 2013 Dating Business Cycles in Historical Perspective: Evidence for Switzerland
    by Boriss Siliverstovs
  • 2013 Secilmis Ulkelere Gore Turkiye’nin Turizm Talebi
    by Mahmut Zortuk & Seyhat Bayrak
  • 2013 How informative are in-sample information criteria to forecasting? The case of Chilean GDP
    by Carlos A. Medel
  • 2013 A Review of Artificial Neural Networks: How Well Do They Perform in Forecasting Time Series?
    by Elsy Gómez-Ramos & Francisco Venegas-Martínez
  • 2013 Conditional Predictive Ability of Exchange Rates in Long Run Regressions
    by Pablo Pincheira
  • 2013 The Effects of Oil Price Shocks on real GDP in Iran
    by Mohammad Taghi Khosravi Larijani & Abbas Rezazadeh Karsalari & Mehdi Aghaee
  • 2013 Estimation And Inference In Predictive Regressions
    by KUROZUMI, EIJI & AONO, KOHEI
  • 2013 Forecasting the Finnish Consumer Price Inflation Using Artificial Neural Network Models and Three Automated Model Selection Techniques
    by Anders Bredahl Kock & Timo Teräsvirta
  • 2013 Contagion among Central and Eastern European Stock Markets during the Financial Crisis
    by Jozef BARUNÍK & Lukáš VÁCHA
  • 2013 Long-term Memory in Electricity Prices: Czech Market Evidence
    by Ladislav KRISTOUFEK & Petra LUNACKOVA
  • 2013 Ranking of VaR and ES Models: Performance in Developed and Emerging Markets
    by Saša ŽIKOVIÆ & Randall K. FILER
  • 2013 Revisions to the Czech National Accounts: Properties and Predictability
    by Marek RUSNAK
  • 2013 Forecasting Financial Indices: The Baltic Dry Indices
    by Eleftherios I. Thalassinos & Mike P. Hanias & Panayiotis G. Curtis & John E. Thalassinos
  • 2013 Oil Price Shocks and Macroeconomic Performance in Nigeria
    by Simeon Oludiran Akinleye & Stephen Ekpo
  • 2013 Capital Flows and Private Investment in Mexico
    by Carlos A. Ibarra
  • 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 Long memory in return structures from developed markets
    by Sharad Nath Bhattacharya & Mousumi Bhattacharya
  • 2013 Sozlesme Tasarimi: Turkiye’de Uzun Donem Genis Para (M2Y) Talebinin Tahmini: Zamanla Degisen Katsayilar Yonteminden Bulgular
    by Salih GENCER & Ibrahim ARISOY
  • 2013 Turk Lirasi Reel Kuru Denge Degerinde Mi?
    by Guzin BAYAR & Selman TOKPUNAR
  • 2013 Ihracat ve Ithalatin Ekonomik Buyume Uzerindeki Etkisi: Turkiye Ornegi
    by Taha Bahadir SARAC
  • 2013 A study on the socio-economic determinants of suicide: Evidence from 13 European OECD countries
    by Okada, Keisuke & Samreth, Sovannroeun
  • 2013 The inflation–output nexus: Empirical evidence from India, South Africa, and Brazil
    by Narayan, Seema & Narayan, Paresh Kumar
  • 2013 Asymmetric adjustments in the spread of lending and deposit rates: Evidence from extended threshold unit root tests
    by Lee, Junsoo & Strazicich, Mark C. & Yu, Byung Chul
  • 2013 GFC-robust risk management strategies under the Basel Accord
    by McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio
  • 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 Spatial panel data estimation, counterfactual predictions, and local economic resilience among British towns in the Victorian era
    by Fingleton, Bernard & Palombi, Silvia
  • 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 GFC-robust risk management under the Basel Accord using extreme value methodologies
    by Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio & Santos, Paulo Araújo
  • 2013 Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures
    by Casarin, Roberto & Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio
  • 2013 Currency hedging strategies using dynamic multivariate GARCH
    by Chang, Chia-Lin & González-Serrano, Lydia & Jimenez-Martin, Juan-Angel
  • 2013 Are forecast updates progressive?
    by Chang, Chia-Lin & Franses, Philip Hans & McAleer, Michael
  • 2013 Not all estimators are born equal: The empirical properties of some estimators of long memory
    by Rea, William & Oxley, Les & Reale, Marco & Brown, Jennifer
  • 2013 Iron ore spot price volatility and change in forward pricing mechanism
    by Ma, Yiqun
  • 2013 Is Russia suffering from Dutch Disease? Cointegration with structural break
    by Dülger, Fikret & Lopcu, Kenan & Burgaç, Almıla & Ballı, Esra
  • 2013 Money demand stability: A case study of Nigeria
    by Kumar, Saten & Webber, Don J. & Fargher, Scott
  • 2013 Macroeconomic consequences of terrorism in Pakistan
    by Malik, Zahra & Zaman, Khalid
  • 2013 Fiscal deficits under financial pressure and insolvency: Evidence for Italy, Greece and Spain
    by Trachanas, Emmanouil & Katrakilidis, Constantinos
  • 2013 Investment expenditure and capital accumulation in an inflationary environment: The case of Turkey
    by Günçavdi, Öner & Küçük, Ali Erhan
  • 2013 Electricity consumption-economic growth Nexus: An aggregated and disaggregated causality analysis in India and Pakistan
    by Abbas, Faisal & Choudhury, Nirmalya
  • 2013 Monetary policy and stability during six periods in US economic history: 1959–2008: a novel, nonlinear monetary policy rule
    by Seip, Knut L. & McNown, Robert
  • 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 Unemployment expectations, excessive pessimism, and news coverage
    by Garz, Marcel
  • 2013 Predicting output using the entire yield curve
    by Abdymomunov, Azamat
  • 2013 Estimating the elasticity of intertemporal substitution: Is the aggregate financial return free from the weak instrument problem?
    by Gomes, Fábio Augusto Reis & Paz, Lourenço S.
  • 2013 Estimating United States Phillips curves with expectations consistent with the statistical process of inflation
    by Russell, Bill & Chowdhury, Rosen Azad
  • 2013 Measuring currency pressures: The cases of the Japanese yen, the Chinese yuan, and the UK pound
    by Hall, Stephen G. & Kenjegaliev, Amangeldi & Swamy, P.A.V.B. & Tavlas, George S.
  • 2013 Is exchange rate – Customer order flow relationship linear? Evidence from the Hungarian FX market
    by Lovcha, Yuliya & Perez-Laborda, Alejandro
  • 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 The economics of options-implied inflation probability density functions
    by Kitsul, Yuriy & Wright, Jonathan H.
  • 2013 Do jumps contribute to the dynamics of the equity premium?
    by Maheu, John M. & McCurdy, Thomas H. & Zhao, Xiaofei
  • 2013 The leverage effect puzzle: Disentangling sources of bias at high frequency
    by Aït-Sahalia, Yacine & Fan, Jianqing & Li, Yingying
  • 2013 Risk and return: Long-run relations, fractional cointegration, and return predictability
    by Bollerslev, Tim & Osterrieder, Daniela & Sizova, Natalia & Tauchen, George
  • 2013 The legal theory of finance: Implications for methodology and empirical research
    by Deakin, Simon
  • 2013 Does the forward premium puzzle disappear over the horizon?
    by Snaith, Stuart & Coakley, Jerry & Kellard, Neil
  • 2013 Have the GIPSI settled down? Breaks and multivariate stochastic volatility models for, and not against, the European financial integration
    by Gębka, Bartosz & Karoglou, Michail
  • 2013 Expectations of future income and real exchange rate movements
    by Hayat, Aziz & Ganiev, Bahodir & Tang, Xueli
  • 2013 Impact of macro-economic surprises on carry trade activity
    by Hutchison, Michael & Sushko, Vladyslav
  • 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 Do newspaper articles on card fraud affect debit card usage?
    by Kosse, Anneke
  • 2013 Global imbalances and the intertemporal external budget constraint: A multicointegration approach
    by Camarero, Mariam & Carrion-i-Silvestre, Josep Lluís & Tamarit, Cecilio
  • 2013 Nonlinear dynamics in discretionary accruals: An analysis of bank loan-loss provisions
    by Balboa, Marina & López-Espinosa, Germán & Rubia, Antonio
  • 2013 Forecasting EUR–USD implied volatility: The case of intraday data
    by Dunis, Christian & Kellard, Neil M. & Snaith, Stuart
  • 2013 SAFE: An early warning system for systemic banking risk
    by Oet, Mikhail V. & Bianco, Timothy & Gramlich, Dieter & Ong, Stephen J.
  • 2013 The components of the illiquidity premium: An empirical analysis of US stocks 1927–2010
    by Hagströmer, Björn & Hansson, Björn & Nilsson, Birger
  • 2013 Forecasting the return distribution using high-frequency volatility measures
    by Hua, Jian & Manzan, Sebastiano
  • 2013 Estimating the basis risk of index-linked hedging strategies using multivariate extreme value theory
    by Kellner, Ralf & Gatzert, Nadine
  • 2013 Predicting stock returns: A regime-switching combination approach and economic links
    by Zhu, Xiaoneng & Zhu, Jie
  • 2013 An analysis of commodity markets: What gain for investors?
    by Narayan, Paresh Kumar & Narayan, Seema & Sharma, Susan Sunila
  • 2013 Asymmetric behavior of unemployment rates: Evidence from the quantile covariate unit root test
    by Lee, Cheng-Feng & Hu, Te-Chung & Li, Ping-Cheng & Tsong, Ching-Chuan
  • 2013 Purchasing power parity in transition countries: Old wine with new bottle
    by He, Huizhen & Ranjbar, Omid & Chang, Tsangyao
  • 2013 The relationship between globalization and insurance activities: A panel data analysis
    by Chen, Sen-Sung & Cheng, Shu-Ching & Pan, Guochen & Wu, Tsung-Pao
  • 2013 Asymmetric effects of the exchange rate on domestic corporate goods prices
    by Murase, Koichi
  • 2013 Real interest rate parity in East Asian countries based on China with flexible Fourier stationary test
    by Liu, Lin & Chang, Hsu-Ling & Su, Chi-Wei & Jiang, Chun
  • 2013 Asymmetric adjustment between oil prices and exchange rates: Empirical evidence from major oil producers and consumers
    by Ahmad, A.H. & Moran Hernandez, Ricardo
  • 2013 Market-oriented banking, financial stability and macro-prudential indicators of leverage
    by Calmès, Christian & Théoret, Raymond
  • 2013 The contribution of US bond demand to the US bond yield conundrum of 2004–2007: An empirical investigation
    by Goda, Thomas & Lysandrou, Photis & Stewart, Chris
  • 2013 U.S. prompt corrective action and bank risk
    by ap Gwilym, Rhys & Kanas, Angelos & Molyneux, Philip
  • 2013 Financialization, crisis and commodity correlation dynamics
    by Silvennoinen, Annastiina & Thorp, Susan
  • 2013 Are Southeast Asian real exchange rates mean reverting?
    by Bec, Frédérique & Zeng, Songlin
  • 2013 On the market risk of securitized timberlands
    by Sun, Changyou
  • 2013 Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate
    by Caporale, Guglielmo Maria & Gil-Alana, Luis A.
  • 2013 The output gap and stock returns: Do cyclical fluctuations predict portfolio returns?
    by Vivian, Andrew & Wohar, Mark E.
  • 2013 Jump dynamics in the relationship between oil prices and the stock market: Evidence from Nigeria
    by Fowowe, Babajide
  • 2013 The influence of the international oil prices on the real effective exchange rate in Romania in a wavelet transform framework
    by Tiwari, Aviral Kumar & Mutascu, Mihai Ioan & Albulescu, Claudiu Tiberiu
  • 2013 U.S. Disaggregated renewable energy consumption: Persistence and long memory behavior
    by Barros, Carlos Pestana & Gil-Alana, Luis A. & Payne, James E.
  • 2013 On the speed towards the mean for continuous time autoregressive moving average processes with applications to energy markets
    by Benth, Fred Espen & Taib, Che Mohd Imran Che
  • 2013 Time–frequency dynamics of biofuel–fuel–food system
    by Vacha, Lukas & Janda, Karel & Kristoufek, Ladislav & Zilberman, David
  • 2013 Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals
    by Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar
  • 2013 Forecasting carbon futures volatility using GARCH models with energy volatilities
    by Byun, Suk Joon & Cho, Hangjun
  • 2013 Market-driven coal prices and state-administered electricity prices in China
    by Liu, Ming-Hua & Margaritis, Dimitris & Zhang, Yang
  • 2013 Does crude oil price play an important role in explaining stock return behavior?
    by Chang, Kuang-Liang & Yu, Shih-Ti
  • 2013 Energy risk management through self-exciting marked point process
    by Herrera, Rodrigo
  • 2013 On the links between stock and commodity markets' volatility
    by Creti, Anna & Joëts, Marc & Mignon, Valérie
  • 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 Risk spillovers in international equity portfolios
    by Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo
  • 2013 Volatility timing: How best to forecast portfolio exposures
    by Clements, A. & Silvennoinen, A.
  • 2013 Detecting synchronous cycles in financial time series of unequal length
    by Reschenhofer, Erhard & Lingler, Michaela
  • 2013 Equilibrium exchange rate determination and multiple structural changes
    by Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald
  • 2013 On the risk return relationship
    by Wang, Jianxin & Yang, Minxian
  • 2013 Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices
    by Perron, Pierre & Chun, Sungju & Vodounou, Cosme
  • 2013 Remittances and economic growth: A study of Guyana
    by Kumar, Ronald Ravinesh
  • 2013 An empirical analysis of the nexus between external balance and government budget balance: The case of the GIIPS countries
    by Algieri, Bernardina
  • 2013 International stock market integration: Central and South Eastern Europe compared
    by Horvath, Roman & Petrovski, Dragan
  • 2013 Structural breaks in public finances in Central and Eastern European countries
    by Ayala, Astrid & Blazsek, Szabolcs
  • 2013 A Markov-switching multifractal inter-trade duration model, with application to US equities
    by Chen, Fei & Diebold, Francis X. & Schorfheide, Frank
  • 2013 Forecasting by factors, by variables, by both or neither?
    by Castle, Jennifer L. & Clements, Michael P. & Hendry, David F.
  • 2013 Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey–Fuller statistics
    by Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert
  • 2013 Predictive regression under various degrees of persistence and robust long-horizon regression
    by Phillips, Peter C.B. & Lee, Ji Hyung
  • 2013 Conditional predictive density evaluation in the presence of instabilities
    by Rossi, Barbara & Sekhposyan, Tatevik
  • 2013 Forecasting a long memory process subject to structural breaks
    by Wang, Cindy Shin-Huei & Bauwens, Luc & Hsiao, Cheng
  • 2013 Optimal forecasts in the presence of structural breaks
    by Pesaran, M. Hashem & Pick, Andreas & Pranovich, Mikhail
  • 2013 GARCH models without positivity constraints: Exponential or log GARCH?
    by Francq, Christian & Wintenberger, Olivier & Zakoïan, Jean-Michel
  • 2013 Robust adaptive rate-optimal testing for the white noise hypothesis
    by Guay, Alain & Guerre, Emmanuel & Lazarová, Štěpána
  • 2013 Testing for a break in trend when the order of integration is unknown
    by Iacone, Fabrizio & Leybourne, Stephen J. & Robert Taylor, A.M.
  • 2013 Panel unit root tests in the presence of a multifactor error structure
    by Pesaran, M. Hashem & Vanessa Smith, L. & Yamagata, Takashi
  • 2013 Modelling volatility by variance decomposition
    by Amado, Cristina & Teräsvirta, Timo
  • 2013 First difference maximum likelihood and dynamic panel estimation
    by Han, Chirok & Phillips, Peter C.B.
  • 2013 Nelson–Plosser revisited: The ACF approach
    by Abadir, Karim M. & Caggiano, Giovanni & Talmain, Gabriel
  • 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 Do large recessions reduce output permanently?
    by Hosseinkouchack, Mehdi & Wolters, Maik H.
  • 2013 Stock exchange mergers and return co-movement: A flexible dynamic component correlations model
    by Hellström, Jörgen & Liu, Yuna & Sjögren, Tomas
  • 2013 The functional central limit theorem for ARMA–GARCH processes
    by Lee, O.
  • 2013 Taxation and the asymmetric adjustment of selected retail energy prices in the UK
    by Greenwood-Nimmo, Matthew & Shin, Yongcheol
  • 2013 A CUSUM test for a long memory heterogeneous autoregressive model
    by Hwang, Eunju & Shin, Dong Wan
  • 2013 Mixed-frequency VAR models with Markov-switching dynamics
    by Camacho, Maximo
  • 2013 High yield spreads, real economic activity, and the financial accelerator
    by De Pace, Pierangelo & Weber, Kyle D.
  • 2013 Alternative unit root testing strategies using the Fourier approximation
    by Su, Jen-Je & Nguyen, Jeremy K.
  • 2013 Power monotonicity in detecting volatility levels change
    by Xu, Ke-Li
  • 2013 Semiparametric selection of seasonal cointegrating ranks using information criteria
    by Seong, Byeongchan
  • 2013 Generalized adaptive expectations revisited
    by Sorge, Marco M.
  • 2013 Impacts of the initial observation on unit root tests using recursive demeaning and detrending procedures
    by Meng, Ming & Lee, Hyejin & Cho, Myeong Hyeon & Lee, Junsoo
  • 2013 GLS-based unit root tests for bounded processes
    by Carrion-i-Silvestre, Josep Lluís & Gadea, María Dolores
  • 2013 On existence of moment of mean reversion estimator in linear diffusion models
    by Bao, Yong & Ullah, Aman & Zinde-Walsh, Victoria
  • 2013 A variable addition test for exogeneity in structural threshold models
    by Massacci, Daniele
  • 2013 News impact curve for stochastic volatility models
    by Takahashi, Makoto & Omori, Yasuhiro & Watanabe, Toshiaki
  • 2013 A switching model with flexible threshold variable: With an application to nonlinear dynamics in stock returns
    by Massacci, Daniele
  • 2013 Fixed currency regimes and the time pattern of trade effects
    by Dorn, Sabrina & Egger, Peter H.
  • 2013 Revisiting the empirics of inflation in China: A smooth transition error correction approach
    by Zhang, Lingxiang
  • 2013 News shocks, nonfundamentalness and volatility
    by Offick, Sven & Wohltmann, Hans-Werner
  • 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 Has recent financial crisis changed permanently the correlations between BRICS and developed stock markets?
    by Zhang, Bing & Li, Xindan & Yu, Honghai
  • 2013 Time-varying mixture GARCH models and asymmetric volatility
    by Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C.
  • 2013 Is small beautiful? Size effects of volatility spillovers for firm performance and exchange rates in tourism
    by Chang, Chia-Lin & Hsu, Hui-Kuang & McAleer, Michael
  • 2013 Has the Basel Accord improved risk management during the global financial crisis?
    by McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio
  • 2013 A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management
    by Caporin, Massimiliano & Lisi, Francesco
  • 2013 Dynamic price integration in the global gold market
    by Chang, Chia-Lin & Della Chang, Jui-Chuan & Huang, Yi-Wei
  • 2013 Solving replication problems in a complete market by orthogonal series expansion
    by Dong, Chaohua & Gao, Jiti
  • 2013 The rise and fall of S&P500 variance futures
    by Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & McAleer, Michael & Amaral, Teodosio Perez
  • 2013 Conditional correlations and volatility spillovers between crude oil and stock index returns
    by Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai
  • 2013 Crucial exchange rate parity. Evidence for Mexico
    by Loría, Eduardo & Salas, Emmanuel
  • 2013 Relative productivity increases and the appreciation of the Turkish lira
    by Lopcu, Kenan & Dülger, Fikret & Burgaç, Almıla
  • 2013 Purchasing power parity in transition countries: Sequential panel selection method
    by He, Huizhen & Chang, Tsangyao
  • 2013 Estimating and forecasting residential electricity demand in Iran
    by Pourazarm, Elham & Cooray, Arusha
  • 2013 Common trends and common cycles in stock markets
    by Narayan, Paresh Kumar & Thuraisamy, Kannan S.
  • 2013 Macro fundamentals as a source of stock market volatility in China: A GARCH-MIDAS approach
    by Girardin, Eric & Joyeux, Roselyne
  • 2013 On price convergence in Eurozone
    by Guerreiro, David & Mignon, Valérie
  • 2013 Boundedness and nonlinearities in public debt dynamics: A TAR assessment
    by Gnegne, Yacouba & Jawadi, Fredj
  • 2013 Do countries belonging to the same region suggest the same growth enhancing variables? Evidence from selected South Asian countries
    by Cooray, Arusha & Paradiso, Antonio & Truglia, Francesco Giovanni
  • 2013 Masking of volatility by seasonal adjustment methods
    by Hayat, Aziz & Bhatti, M. Ishaq
  • 2013 Does globalization affect the insurance markets? Bootstrap panel Granger causality test
    by Chang, Tsangyao & Cheng, Shu-Ching & Pan, Guochen & Wu, Tsung-pao
  • 2013 Modelling the terminal gate prices of unleaded petrol in Australia
    by Valadkhani, Abbas
  • 2013 Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence?
    by Ahmad, Wasim & Sehgal, Sanjay & Bhanumurthy, N.R.
  • 2013 An empirical estimation for mean-reverting coal prices with long memory
    by Sun, Qi & Xu, Weijun & Xiao, Weilin
  • 2013 Exchange rate nonlinearities in EMU exports to the US
    by Verheyen, Florian
  • 2013 Monetary shocks and asymmetric effects in an emerging stock market: The case of China
    by Guo, Feng & Hu, Jinyan & Jiang, Mingming
  • 2013 Determinants of household saving: Cointegrated evidence from Pakistan (1975–2011)
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  • 2012 Functional cointegration: definition and nonparametric estimation
    by Pitarakis, Jean-Yves
  • 2012 Jointly testing linearity and nonstationarity within threshold autoregressions
    by Pitarakis, Jean-Yves
  • 2012 Stock return comovement and systemic risk in the Turkish banking system
    by Binici, Mahir & Köksal, Bülent & Orman, Cüneyt
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    by Sangosanya, Awoyemi O. & Atanda, Akinwande A.
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    by Ludlow-Wiechers, Jorge
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  • 2012 A new structural break model with application to Canadian inflation forecasting
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    by OKPARA, GODWIN CHIGOZIE
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  • 2012 Common Factors and Specific Factors
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  • 2012 How informative are in-sample information criteria to forecasting? the case of Chilean GDP
    by Medel, Carlos A.
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  • 2012 Predicting swings in exchange rates with macro fundamentals
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    by Halicioglu, Ferda
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  • 2012 Long memory and Periodicity in Intraday Volatility
    by Eduardo Rossi & Dean Fantazzini
  • 2012 Basics of Levy processes
    by Neil Shephard & Ole E. Barndorff-Nielsen
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    by Jennifer Castle & David Hendry
  • 2012 Model Discovery and Trygve Haavelmo's Legacy
    by David Hendry & Soren Johansen
  • 2012 Forecasting from Structural Econometric Models
    by David Hendry & Grayham E. Mizon
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    by Neil Shephard & Kevin Sheppard
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    by Era Dabla-Norris & Raphael Espinoza & Sarwat Jahan
  • 2012 International Stock Market Integration : Central and South Eastern Europe Compared
    by Roman Horvath & Dragan Petrovski
  • 2012 Efficient and feasible inference for the components of financial variation using blocked multipower variation
    by Per A. Mykland & Neil Shephard & Kevin Sheppard
  • 2012 Inflation Persistence in Nepal: A TAR Representation
    by T.P. Koirala Ph.D.
  • 2012 Structural Breaks and Nonlinearity in US and UK Public Debt
    by Fredj Jawadi & Ricardo M. Sousa
  • 2012 Oil Shocks and the Euro as an Optimum Currency Area
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  • 2012 Modelling Changes in the Unconditional Variance of Long Stock Return Series
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  • 2012 Inflation dynamics in central and eastern European countries
    by Rob Ackrill and Simeon Coleman
  • 2012 Taylor Rule Exchange Rate Forecasting During the Financial Crisis
    by Tanya Molodtsova & David Papell
  • 2012 The Economics of Options-Implied Inflation Probability Density Functions
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    by Fei Chen & Francis X. Diebold & Frank Schorfheide
  • 2012 Comovement in GDP Trends and Cycles Among Trading Partners
    by Bruce A. Blonigen & Jeremy Piger & Nicholas Sly
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    by Domenico Ferraro & Kenneth S. Rogoff & Barbara Rossi
  • 2012 Can we beat the random walk in forecasting CEE exchange rates?
    by Jakub Muck & Pawel Skrzypczynski
  • 2012 Econometric regime shifts and the US subprime bubble
    by André K. Anundsen
  • 2012 Are business cycles in the US and emerging economies synchronized?
    by Piotr Krupa & Paweł Skrzypczyński
  • 2012 Improved Variance Estimation of Maximum Likelihood Estimators in Stable First-Order Dynamic Regression Models
    by Jan F. KIVIET & Garry D.A. PHILLIPS
  • 2012 Higher Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes
    by D.S. Poskitt & Simone D. Grose & Gael M. Martin
  • 2012 Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap
    by D.S. Poskitt & Gael M. Martin & Simone D. Grose
  • 2012 Solving Replication Problems in Complete Market by Orthogonal Series Expansion
    by Chaohua Dong & Jiti Gao
  • 2012 Identification, Estimation and Specification in a Class of Semiparametic Time Series Models
    by Jiti Gao
  • 2012 Expansion of Lévy Process Functionals and Its Application in Statistical Estimation
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  • 2012 An Improved Nonparametric Unit-Root Test
    by Jiti Gao & Maxwell King
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  • 2012 Independence Test for High Dimensional Random Vectors
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    by Peter Martey Addo & Monica Billio & Dominique Guegan
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  • 2012 Comparaison of several estimation procedures for long term behavior
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    by Siti Hamizah Mohd & Ahmad Zubaidi Baharumshah & Stilianos Fountas
  • 2012 Do Investors' Sentiment Dynamics affect Stock Returns? Evidence from the US Economy
    by Theologos Dergiades
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    by Theologos Pantelidis
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    by Mohammad Reza Farzanegan
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    by D.K. Srivastava & K.R. Shanmugam
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    by Fithra Faisal Hastiadi
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    by Fithra Faisal Hastiadi
  • 2012 Generating short-term forecasts of the Lithuanian GDP using factor models
    by Julius Stakenas
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    by Wojciech Charemza & Yuriy Kharin & Vladislav Maevskiy
  • 2012 Alternative Paths of Learning: Standardisation and Growth in Britain, 1901-2009
    by Christopher Spencer & Paul Temple
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    by Chia-Lin Chang & Hui-Kuang Hsu & Michael McAleer
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    by Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral
  • 2012 Evaluating Macroeconomic Forecasts:A Concise Review of Some Recent Developments
    by Philip Hans Franses & Michael McAleer & Rianne Legerstee
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    by Michael McAleer & Chia-Lin Chang & Roengchai Tansuchat
  • 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 The R-word Index for Switzerland
    by David Iselin & Boriss Siliverstovs
  • 2012 Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity
    by Mika Meitz & Pentti Saikkonen
  • 2012 Are Labor Force Participation Rates Really Non-Stationary? Evidence from Three OECD Countries
    by Zeynel Abidin Ozdemir & Mehmet Balcilar & Aysit Tansel
  • 2012 Forecasting Euro-Area Macroeconomic Variables Using a Factor Model Approach for Backdating
    by Ralf Brüggemann & Jing Zeng
  • 2012 Do large recessions reduce output permanently?
    by Mehdi Hosseinkouchack & Maik Wolters
  • 2012 Carbon Price Dynamics – Evidence from Phase II of the European Emission Trading Scheme
    by Wilfried Rickels & Dennis Görlich & Gerrit Oberst & Sonja Peterson
  • 2012 Martingales, Nonlinearity, And Chaos
    by William Barnett & Apostolos Serletis
  • 2012 A Single-Blind Controlled Competition Among Tests For Nonlinearity And Chaos
    by William Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan & Mark J. Jensen
  • 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
    by Paz Rico Belda
  • 2012 Testing for Cointegration in the Presence of Moving Average Errors
    by Mallory, M. & Lence, Sergio H.
  • 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
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    by Liu, Shuangzhe & Ma, Tiefeng & Polasek, Wolfgang
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    by Degui Li & Oliver Linton & Zudi Lu
  • 2012 Efficient estimation of conditional risk measures in a semiparametric GARCH model
    by Yang Yan & Dajing Shang & Oliver Linton
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    by Chang-Jin Kim & Cheolbeom Park
  • 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 &
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    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
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    by Brännäs, Kurt
  • 2012 Essays on Credit Markets and Banking
    by Holmberg, Ulf
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    by Nymoen, Ragnar & Sparrman, Victoria
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    by Kvamsdal, Sturla F.
  • 2012 Wavelet Improvement in Turning Point Detection using a Hidden Markov Model
    by Li, Yushu & Reese, Simon
  • 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
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  • 2012 Measuring macroeconomic volatility - Applications to export revenue data, 1970-2005
    by Joël CARIOLLE
  • 2012 Mesurer l’instabilité macroéconomique - Applications aux données de recettes d’exportation, 1970-2005
    by Joël CARIOLLE
  • 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 Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism
    by Chang, C-L. & Hsu, H-K. & McAleer, M.J.
  • 2012 Has the Basel Accord Improved Risk Management During the Global Financial Crisis?
    by McAleer, M.J. & Jimenez-Martin, J-A. & Perez-Amaral, T.
  • 2012 Financial Development and Growth Volatility: Time Series Evidence for Mexico and The United States
    by Rodolfo Cermeño Bazán & María Roa García & Claudio González Vega
  • 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
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  • 2012 Bioenergy and Global 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 Expectations of future income and real exchange rate movements
    by Aziz Hayat & Bahodir Ganiev & Xueli Tang
  • 2012 Does the choice of estimator matter when forecasting returns?
    by Joakim Westerlund & Paresh K Narayan
  • 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 Joint Independent Metropolis-Hastings Methods for Nonlinear Non-Gaussian State Space Models
    by Istvan Barra & Lennart Hoogerheide & Siem Jan Koopman & Andre Lucas
  • 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
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  • 2012 A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive Simulation
    by Lennart Hoogerheide & Anne Opschoor & Herman K. van Dijk
  • 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 The impact of unconventional monetary policy on the market for collateral: The case of the French bond market
    by Avouyi-Dovi, Sanvi & Idier, Julien
  • 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
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  • 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 Recursos Naturales y Crecimiento Económico en Colombia: ¿Maldición de los Recursos?
    by Jacobo Campo Robledo & W. Andrés Sanabria Parrado
  • 2012 Hipótesis de Fisher y cambio de régimen en Colombia: 1990 - 2010
    by Madeleine Gil Ángel & Jacobo Campo Robledo
  • 2012 Pronósticos de corto plazo en tiempo real para la actividad económica colombiana
    by Deicy J. Cristiano & Manuel D. Hernández & José David Pulido
  • 2012 Bayesian Forecast Combination for Inflation Using Rolling Windows: An Emerging Country Case
    by Luis Fernando Melo & Rubén Albeiro Loaiza Maya
  • 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
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  • 2012 Modelling Long Memory Volatility in Agricultural Commodity Futures Returns
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  • 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 Multiple Structural Breaks and Inflation Persistance in Belarus
    by Igor Pelipas
  • 2012 Monthly GDP estimates based on the IGAE
    by Rocío Elizondo
  • 2012 The predictive power of Google searches in forecasting unemployment
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  • 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 Finite sample performance of small versus large scale dynamic factor models
    by Rocio Alvarez & Maximo Camacho & Gabriel Perez-Quiros
  • 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 Tracking the future on the web: construction of leading indicators using internet searches
    by Concha Artola & Enrique Galán
  • 2012 Real-time forecasting US GDP from small-scale factor models
    by Maximo Camacho & Jaime Martíinez-Martin
  • 2012 Short-run forecasting of the euro-dollar exchange rate with economic fundamentals
    by Maximo Camacho & Marcos Dal Bianco & 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 Impact of Trade Liberalization on Trade Balance in Pakistan: Cointegration and Error Correction Mechanism
    by Bushra Yasmin
  • 2012 Forecasting Fiscal Revenues in a Transition Country: The Case of Croatia
    by Valerija Botrić & Maruška Vizek
  • 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 Statistical Analysis Of The Evolution Of Research-Development Activity In South-West Oltenia Development Region In 2002-2010
    by MARIAN ZAHARIA & ANIELA BĂLĂCESCU
  • 2012 Unemployment And Business Cycles In Central And Eastern European Countries
    by CIPRIAN CHIRILĂ & VIORICA CHIRILĂ
  • 2012 Stochastic Volatility Models For Financial Time Series Analysis
    by FELICIA RAMONA BIRĂU
  • 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 El tipo de cambio real, el ingreso nacional y el ingreso foráneo en la determinación de la balanza comercial en Bolivia: 1992-2011
    by Hernández Barriga, Plinio & Rivero Ticona, Alexander & Frías Pinedo, Isidro
  • 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 Market risk valuation modeling for the European countries at the financial crisis of 2008
    by Shcherba, Alexandr
  • 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 Harrod Balassa Samuelson effect and the role of distribution sector: an empirical case study of Serbia and EMU
    by Predrag Petrovic
  • 2012 The relationship between exchange rate and macroeconomic variables in China
    by Chi-Wei Su
  • 2012 NAIRU estimates for Croatia
    by Valerija Botric
  • 2012 Volatility Regimes For The Vix Index
    by JACINTO MARABEL ROMO
  • 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 External Debt Accumulation and Its Impact on Economic Growth in Pakistan
    by Rifaqat Ali & Usman Mustafa
  • 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 Modelling Monthly International Tourist Arrivals and Its Risk in Nepal
    by Hari Sharma Neupane & Chandra Lal Shrestha & Tara Prasad Upadhyaya
  • 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 Impact of Financial Reforms on Stock Price Index of Karachi Stock Exchange: An ARDL Cointegration Approach
    by Shah Khalid & Wali Ullah & Fazli Rabbi
  • 2012 Econometric Analysis of FDI in the Mining Sector to Tanzania’s Export Capacity
    by Johansein Rutaihwa & Aneth Simwela & Amina Ramadhani
  • 2012 Bayesian estimation of Persistent Income Inequality using the Lognormal Stochastic Volatility Model
    by Haruhisa Nishino & Kazuhiko Kakamu & Takashi Oga
  • 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 Modelación de series económicas mediante métodos automáticos de regresión difusa
    by Rodrigo Cajamarca & Hermann Mena
  • 2012 The Romanian Agri-Food Economy – Performance Reductive Effects After Five Years Of Eu Membership
    by Toderoiu, Filon
  • 2012 Improving the Forecasting Power of Volatility Models
    by Ahmed Bensaida
  • 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 Time Series Prediction with Neural Networks for the Athens Stock Exchange Indicator
    by M. Hanias & P. Curtis & E. Thalassinos
  • 2012 The effect of structural breaks on the Engle-Granger test for cointegration
    by Antonio E. Noriega & Daniel Ventosa-Santaularia
  • 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 Dynamics of underwriting profits: Evidence from the U.S. insurance market
    by Jiang, Shi-jie & Nieh, Chien-Chung
  • 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
    by Maldonado, Wilfredo L. & Tourinho, Octávio A.F. & Valli, Marcos
  • 2012 Short-run forecasting of the euro-dollar exchange rate with economic fundamentals
    by Dal Bianco, Marcos & Camacho, Maximo & Perez Quiros, Gabriel
  • 2012 ‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables
    by Paye, Bradley S.
  • 2012 U.S. stock market crash risk, 1926–2010
    by Bates, David S.
  • 2012 The information content of the Banking Regulatory Agencies and the Depository Credit Intermediation Institutions
    by Elshahat, A. & Parhizgari, Ali & Hong, Liang
  • 2012 Unilateral divorce versus child custody and child support in the U.S
    by González-Val, Rafael & Marcén, Miriam
  • 2012 Does the choice of estimator matter when forecasting returns?
    by Westerlund, Joakim & Narayan, Paresh Kumar
  • 2012 Revisiting the empirical linkages between stock returns and trading volume
    by Chen, Shiu-Sheng
  • 2012 Characteristic-based mean-variance portfolio choice
    by Hjalmarsson, Erik & Manchev, Petar
  • 2012 The impact of unconventional monetary policy on the market for collateral: The case of the French bond market
    by Avouyi-Dovi, Sanvi & Idier, Julien
  • 2012 Are emerging market indicators of vulnerability to financial crises decoupling from global factors?
    by Felices, Guillermo & Wieladek, Tomasz
  • 2012 Libor manipulation?
    by Abrantes-Metz, Rosa M. & Kraten, Michael & Metz, Albert D. & Seow, Gim S.
  • 2012 Nonlinear adjustment to purchasing power parity for ASEAN countries
    by Chang, Tsangyao & Lee, Chia-Hao & Liu, Wen-Chi
  • 2012 Measuring misalignments in the Korean exchange rate
    by Baak, SaangJoon
  • 2012 Breaks in the breaks: An analysis of divorce rates in Europe
    by González-Val, Rafael & Marcén, Miriam
  • 2012 The determinants of sovereign credit spread changes in the Euro-zone
    by Oliveira, Luís & Curto, José Dias & Nunes, João Pedro
  • 2012 Measuring economic uncertainty and its impact on the stock market
    by Dzielinski, Michal
  • 2012 Option pricing and ARCH processes
    by Zumbach, Gilles
  • 2012 Some curious power properties of long-horizon tests
    by Hjalmarsson, Erik
  • 2012 On the dependence structure of realized volatilities
    by Mendes, Beatriz Vaz de Melo & Accioly, Victor Bello
  • 2012 Crude oil price analysis and forecasting using wavelet decomposed ensemble model
    by He, Kaijian & Yu, Lean & Lai, Kin Keung
  • 2012 Interconnections and market integration in the Irish Single Electricity Market
    by Nepal, Rabindra & Jamasb, Tooraj
  • 2012 Forecasting Italian electricity zonal prices with exogenous variables
    by Gianfreda, Angelica & Grossi, Luigi
  • 2012 Analysis of U.S. residential wood energy consumption: 1967–2009
    by Song, Nianfu & Aguilar, Francisco X. & Shifley, Stephen R. & Goerndt, Michael E.
  • 2012 Why do electricity prices jump? Empirical evidence from the Nordic electricity market
    by Hellström, Jörgen & Lundgren, Jens & Yu, Haishan
  • 2012 Testing and estimating time-varying elasticities of Swiss gasoline demand
    by Neto, David
  • 2012 Rising household diesel consumption in the United States: A cause for concern? Evidence on asymmetric pricing
    by Fosten, Jack
  • 2012 Measuring contagion between energy market and stock market during financial crisis: A copula approach
    by Wen, Xiaoqian & Wei, Yu & Huang, Dengshi
  • 2012 A characterization of oil price behavior — Evidence from jump models
    by Gronwald, Marc
  • 2012 Natural gas demand at the utility level: An application of dynamic elasticities
    by Dagher, Leila
  • 2012 Energy consumption-GDP nexus: Heterogeneous panel causality analysis
    by Akkemik, K. Ali & Göksal, Koray
  • 2012 Long memory and disaggregated energy consumption: Evidence from fossils, coal and electricity retail in the U.S
    by Apergis, Nicholas & Tsoumas, Chris
  • 2012 Why do some emerging economies proactively accelerate the adoption of renewable energy?
    by Salim, Ruhul A. & Rafiq, Shuddhasattwa
  • 2012 Economic growth and electricity consumption in former Soviet Republics
    by Bildirici, Melike E. & Kayıkçı, Fazıl
  • 2012 Permit price dynamics in the U.S. SO2 trading program: A cointegration approach
    by Boutabba, Mohamed Amine & Beaumais, Olivier & Lardic, Sandrine
  • 2012 A data envelopment analysis-based framework for the relative performance evaluation of competing crude oil prices' volatility forecasting models
    by Xu, Bing & Ouenniche, Jamal
  • 2012 Energy consumption and economic growth nexus in Portugal, Italy, Greece, Spain and Turkey: An ARDL bounds test approach (1965–2009)
    by Fuinhas, José Alberto & Marques, António Cardoso
  • 2012 Carbon price drivers: Phase I versus Phase II equilibrium?
    by Creti, Anna & Jouvet, Pierre-André & Mignon, Valérie
  • 2012 Modeling and explaining the dynamics of European Union Allowance prices at high-frequency
    by Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar
  • 2012 Volatility regimes, asymmetric basis effects and forecasting performance: An empirical investigation of the WTI crude oil futures market
    by Chang, Kuang-Liang
  • 2012 Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models
    by Arouri, Mohamed El Hédi & Lahiani, Amine & Lévy, Aldo & Nguyen, Duc Khuong
  • 2012 Inventories and upstream gasoline price dynamics
    by Kuper, Gerard H.
  • 2012 Estimating the demand for gasoline in developing countries: Senegal
    by Sene, Seydina Ousmane
  • 2012 Does OPEC still exist as a cartel? An empirical investigation
    by Brémond, Vincent & Hache, Emmanuel & Mignon, Valérie
  • 2012 The globalization of steam coal markets and the role of logistics: An empirical analysis
    by Zaklan, Aleksandar & Cullmann, Astrid & Neumann, Anne & von Hirschhausen, Christian
  • 2012 Nonlinearity and smoothing in venture capital performance data
    by McKenzie, Michael & Satchell, Stephen & Wongwachara, Warapong
  • 2012 Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts
    by Benavides, Guillermo & Capistrán, Carlos
  • 2012 Moments of multivariate regime switching with application to risk-return trade-off
    by Taamouti, Abderrahim
  • 2012 On the intraday periodicity duration adjustment of high-frequency data
    by Wu, Zhengxiao
  • 2012 A model-based indicator of the fiscal stance
    by Polito, Vito & Wickens, Mike
  • 2012 Interest rate pass-through in South East Europe: An empirical analysis
    by Petrevski, Goran & Bogoev, Jane
  • 2012 Demographic transition, education and economic growth in Tunisia
    by Frini, Olfa & Muller, Christophe
  • 2012 A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation
    by Hoogerheide, Lennart & Opschoor, Anne & van Dijk, Herman K.
  • 2012 Ratio-based estimators for a change point in persistence
    by Halunga, Andreea G. & Osborn, Denise R.
  • 2012 Local GMM estimation of time series models with conditional moment restrictions
    by Gospodinov, Nikolay & Otsu, Taisuke
  • 2012 The semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions
    by Ai, Chunrong & Chen, Xiaohong
  • 2012 Estimation of semiparametric locally stationary diffusion models
    by Koo, Bonsoo & Linton, Oliver
  • 2012 Functional coefficient regression models with time trend
    by Liang, Zhongwen & Li, Qi
  • 2012 Spurious regressions in technical trading
    by Shintani, Mototsugu & Yabu, Tomoyoshi & Nagakura, Daisuke
  • 2012 Exact local Whittle estimation of fractionally cointegrated systems
    by Shimotsu, Katsumi
  • 2012 Optimal estimation under nonstandard conditions
    by Ploberger, Werner & Phillips, Peter C.B.
  • 2012 Model selection when there are multiple breaks
    by Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F.
  • 2012 Robust inference in nonstationary time series models
    by Xiao, Zhijie
  • 2012 Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity
    by Andrews, Donald W.K. & Guggenberger, Patrik
  • 2012 Testing for unit roots in the presence of uncertainty over both the trend and initial condition
    by Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert
  • 2012 Mildly explosive autoregression under weak and strong dependence
    by Magdalinos, Tassos
  • 2012 Mean and autocovariance function estimation near the boundary of stationarity
    by Giraitis, Liudas & Phillips, Peter C.B.
  • 2012 Cointegrating rank selection in models with time-varying variance
    by Cheng, Xu & Phillips, Peter C.B.
  • 2012 Jump-robust volatility estimation using nearest neighbor truncation
    by Andersen, Torben G. & Dobrev, Dobrislav & Schaumburg, Ernst
  • 2012 Random walk or chaos: A formal test on the Lyapunov exponent
    by Park, Joon Y. & Whang, Yoon-Jae
  • 2012 Bias in the estimation of the mean reversion parameter in continuous time models
    by Yu, Jun
  • 2012 Segmenting mean-nonstationary time series via trending regressions
    by Aue, Alexander & Horváth, Lajos & Hušková, Marie
  • 2012 Dynamic misspecification in nonparametric cointegrating regression
    by Kasparis, Ioannis & Phillips, Peter C.B.
  • 2012 Testing for jumps in noisy high frequency data
    by Aït-Sahalia, Yacine & Jacod, Jean & Li, Jia
  • 2012 Residual based tests for cointegration in dependent panels
    by Chang, Yoosoon & Nguyen, Chi Mai
  • 2012 Semiparametric inference in a GARCH-in-mean model
    by Christensen, Bent Jesper & Dahl, Christian M. & Iglesias, Emma M.
  • 2012 Partial parametric estimation for nonstationary nonlinear regressions
    by Kim, Chang Sik & Kim, In-Moo
  • 2012 Local polynomial Whittle estimation of perturbed fractional processes
    by Frederiksen, Per & Nielsen, Frank S. & Nielsen, Morten Ørregaard
  • 2012 Functional regression of continuous state distributions
    by Park, Joon Y. & Qian, Junhui
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    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
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    by Ozdemir, Zeynel Abidin & Balcilar, Mehmet & Tansel, Aysit
  • 2011 International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?
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    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 Evaluating the Rationality of Managers' Sales Forecasts
    by de Bruijn, B. & Franses, Ph.H.B.F.
  • 2011 Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures
    by Casarin, R. & Chang, C-L. & Jimenez-Martin, J-A. & McAleer, M.J. & Perez-Amaral, T.
  • 2011 Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan
    by Chang, C-L. & McAleer, M.J. & Lim, C.H.
  • 2011 GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies
    by Santos, P.A. & Jimenez-Martin, J-A. & McAleer, M.J. & Perez-Amaral, T.
  • 2011 Analyzing Fixed-event Forecast Revisions
    by Franses, Ph.H.B.F. & Chang, C-L. & McAleer, M.J.
  • 2011 Risk Spillovers in Oil-Related CDS, Stock and Credit Markets
    by Hammoudeh, S.M. & Liu, T. & Chang, C-L. & McAleer, M.J.
  • 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 Macro factors in oil futures returns
    by Le Pen, Yannick & Sévi, Benoît
  • 2011 On the Cyclicality of Real Wages and Wage Differentials
    by Christopher Otrok & Panayiotis M. Pourpourides
  • 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 Comparación De Los Modelos Setar Y Star Para El Índice De Empleo Industrial Colombiano
    by Milena Hoyos & Mario Galindo
  • 2011 The contribution of us bond demand to the us bond yield conundrum of 2004 to 2007: an empirical investigation
    by Thomas Goda & Photis Lysandrou & Chris Stewart
  • 2011 Sustainability of Latin American Fiscal Deficits: A Panel Data Approach
    by Jacobo Campo Robledo & Luis Fernando Melo Velandia
  • 2011 Data Revisions and the Output Gap
    by Juan Manuel Julio
  • 2011 Modeling Data Revisions
    by Juan Manuel Julio Román
  • 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 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 Structural Breaks and Dynamic Characteristics of Inflation and Growth Rates of Monetary Aggregates
    by Igor Pelipas
  • 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 Vilariño & 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 Measuring risk of crude oil at extreme quantiles
    by Sasa Zikovic
  • 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 A villamos energia áralakulásának egy új modellje
    by Marossy, Zita
  • 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 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
    by Tang, Chor Foon
  • 2011 East Asian Regionalism: The Need For Asean+3 Fta
    by Fithra Faisal Hastiadi
  • 2011 Innovations in the sphere of payments and the money demand in Russia
    by Elena Sinelnikova-Muryleva
  • 2011 Dynamic Copulas and Long Range Dependence
    by Beatriz Vaz de Melo Mendes, Silvia Regina Costa Lopes
  • 2011 Quantitative vs. Qualitative Criteria for Credit Risk Assessment
    by João O. Soares, Joaquim P. Pina, Manuel S. Ribeiro, Margarida Catalão-Lopes
  • 2011 Are House Prices Characterized by Threshold Effects? Evidence from Developed and Post-Transition Countries
    by Petra Posedel & Maruška Vizek
  • 2011 Short-Term Forecasting of Czech Quarterly GDP Using Monthly Indicators
    by Katerina Arnostova & David Havrlant & Luboš Rùžièka & Peter Tóth
  • 2011 Volatility Regimes in Macroeconomic Time Series: The Case of the Visegrad Group
    by Eduard Baumöhl & Štefan Lyócsa & Tomáš Výrost
  • 2011 The Determinants of Financial Euroization in a Post-Transition Country: Do Threshold Effects Matter?
    by Marijana Ivanov & Marina Tkalec & Maruška Vizek
  • 2011 El efecto de la tecnología en las exportaciones manufactureras mexicanas hacia Estados Unidos
    by Ana Lilia Valderrama Santibáñez. & Omar Neme Castillo.
  • 2011 Financial Development and Economic Growth: An Empirical Analysis for the UK
    by Athanasios Vazakidis & Antonios Adamopoulos
  • 2011 Has the Accession of Greece in the EU Influenced the Dynamics of the Country’s “Twin Deficits”? An Empirical Investigation
    by Katrakilidis Constantinos & Trachanas Emmanouil
  • 2011 Foreign Direct Investment and Unemployment: VAR Analysis for Poland in the Years 1995-2009
    by Adam P. Balcerzak & Miroslawa Zurek
  • 2011 Impact of Model Specification Decisions on Unit Root Tests
    by Atiq-ur-Rehman
  • 2011 Paradoja Feldstein-Horioka: el caso de México (1950-2007)
    by Víctor-Hugo Alcalá Ríos & Manuel Gómez Zaldívar & Daniel Ventosa-Santaulària
  • 2011 Una reconsideración sobre la convergencia regional en México
    by Edgardo A. Ayala Gaytán & Joana C. Chapa Cantú & Juan D. Murguía Hernández
  • 2011 Saving and investment in Saudi Arabia: an empirical analysis
    by Reetu Verma & Ali Salman Saleh
  • 2011 Testing for nonlinearity of exchange rates: an information-theoretic approach
    by Yuqin Zhang & Abdol S. Soofi & Shouyang Wang
  • 2011 Has the link between inflation uncertainty and interest rates changed after inflation targeting?
    by Girijasankar Mallik & Ramprasad Bhar
  • 2011 Are shocks to national income persistent? New global evidence
    by Seema Narayan & Paresh Kumar Narayan
  • 2011 An exploration of dynamic relationship between tourist arrivals, inflation, unemployment and crime rates in Malaysia
    by Chor Foon Tang
  • 2011 Retesting the CCAPM Euler equations
    by Samih Azar
  • 2011 Copula based models for serial dependence
    by Beatriz Vaz de Melo Mendes & Cecília Aíube
  • 2011 Growth and environmental pollution: empirical evidence from China
    by George E. Halkos & Nickolaos G. Tzeremes
  • 2011 Flattening of the Phillips Curve: Estimations and consequences for economic policy
    by Jürgen Kromphardt & Camille Logeay
  • 2011 A Simple Estimate of VAR under Garch Modelling
    by Reza Habibi
  • 2011 Turkiye Ekonomisinde Verimlilik, Ihracat ve Ithalat Arasindaki Nedensellik Iliskisinin Analizi
    by Harun UCAK & Ibrahim ARISOY
  • 2011 The overall seasonal integration tests under non-stationary alternatives
    by Ghassen El Montasser
  • 2011 Socio-economic determinants of suicide in Japan
    by Andrés, Antonio R. & Halicioglu, Ferda & Yamamura, Eiji
  • 2011 The impact of US news on the German stock market—An event study analysis
    by Dimpfl, Thomas
  • 2011 Stock markets and terrorist attacks: Comparative evidence from a large and a small capitalization market
    by Kollias, Christos & Manou, Efthalia & Papadamou, Stephanos & Stagiannis, Apostolos
  • 2011 Modelling conditional correlations in the volatility of Asian rubber spot and futures returns
    by Chang, Chia-Lin & Khamkaew, Thanchanok & McAleer, Michael & Tansuchat, Roengchai
  • 2011 India's demand for international reserve and monetary disequilibrium: Reserve adequacy under floating regime
    by Mishra, Ritesh Kumar & Sharma, Chandan
  • 2011 Modeling unemployment as an inventory: A multicointegration approach
    by Demiralp, Berna & Gantt, Bonnie B. & Selover, David D.
  • 2011 Regional capital mobility in China: 1978–2006
    by Chan, Kenneth S. & Dang, Vinh Q.T. & Lai, Jennifer T. & Yan, Isabel K.M.
  • 2011 Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas
    by Boguth, Oliver & Carlson, Murray & Fisher, Adlai & Simutin, Mikhail
  • 2011 Volatility and covariation of financial assets: A high-frequency analysis
    by Cartea, Álvaro & Karyampas, Dimitrios
  • 2011 Revisiting long-run purchasing power parity with asymmetric adjustment for G-7 countries
    by Chang, Tsangyao & Lee, Chia-Hao & Chou, Pei-I & Tang, Dai-Piao
  • 2011 The Korean stock market volatility during the currency crisis and the credit crisis
    by Cho, Jaeho & Yoo, Byoung Hark
  • 2011 Cost pass-through of the EU emissions allowances: Examining the European petroleum markets
    by Alexeeva-Talebi, Victoria
  • 2011 Oil prices and the impact of the financial crisis of 2007–2009
    by Bhar, Ramaprasad & Malliaris, A.G.
  • 2011 American option pricing with discrete and continuous time models: An empirical comparison
    by Stentoft, Lars
  • 2011 Relationship between portfolio diversification and value at risk: Empirical evidence
    by Kiani, Khurshid M.
  • 2011 Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
    by Francq, Christian & Lepage, Guillaume & Zakoïan, Jean-Michel
  • 2011 Volatility contagion: A range-based volatility approach
    by Chiang, Min-Hsien & Wang, Li-Min
  • 2011 Inference with dependent data using cluster covariance estimators
    by Bester, C. Alan & Conley, Timothy G. & Hansen, Christian B.
  • 2011 Estimation of conditional moment restrictions without assuming parameter identifiability in the implied unconditional moments
    by Hsu, Shih-Hsun & Kuan, Chung-Ming
  • 2011 Control variate method for stationary processes
    by Amano, Tomoyuki & Taniguchi, Masanobu
  • 2011 Spurious regressions driven by excessive volatility
    by Kim, Chang Sik & Lee, Sungro
  • 2011 What is really common in the run-up to banking crises?
    by Roy, Saktinil & Kemme, David M.
  • 2011 Crime rates and labor market opportunities in the Philippines: 1970–2008
    by Patalinghug, Epictetus E.
  • 2011 How globally contagious was the recent US real estate market crisis? Evidence based on a new contagion test
    by Hatemi-J, Abdulnasser & Roca, Eduardo
  • 2011 Output gap measurement and the New Keynesian Phillips curve for China
    by Zhang, Chengsi & Murasawa, Yasutomo
  • 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
    by Andrés, Antonio Rodríguez & Halicioglu, Ferda
  • 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
    by Miguel D. Ramirez
  • 2011 Verbraucherumfragen für Konsumprognosen besser nutzen
    by Christian Dreger & Konstantin A. Kholodilin
  • 2011 Hipótesis de Fisher y cambio de régimen en Colombia: 1990-2010
    by Madeleine Gil Ángel & Jacobo Campo Robledo
  • 2011 Sesgos en estimación, tamaño y potencia de una prueba sobre el parámetro de memoria larga en modelos ARFIMA
    by Castaño Vélez, Elkin & Gallón Gómez, Santiago Alejandro & Gómez Portilla, Karoll
  • 2011 La tasa de cambio nominal: una aproximación desde la oferta y la demanda de divisas
    by Montoya R., Jaime
  • 2011 ¿Existen ganancias por la cobertura de riesgo cambiario en un portafolio de acciones global, desde la perspectiva de un inversionista colombiano?
    by Cecilia Maya Ochoa & Catalina María Jaramillo Ospina & Lina María Montoya Madrigal
  • 2011 La Persistencia Estadística De La Inflación En Colombia
    by Juan José Echavarría & Enrique López & Martha Misas
  • 2011 La Meta Del Banco Central Y La Persistencia De La Inflación En Colombia
    by Juan José Echavarría & Norberto Rodríguez & Luis Eduardo Rojas
  • 2011 Identificación de episodios de dependencia no lineal en el peso mexicano
    by Semei Coronado Ramírez & Leonardo Gatica Arreola
  • 2011 Modelación de los precios en el mercado eléctrico español
    by Aitor Ciarreta & Mónica Lagullón & Ainhoa Zarraga
  • 2011 Macro factors in oil futures returns
    by Yannick Le Pen & Benoît Sévi
  • 2011 Recent developments on commodity, energy and carbon markets: an introduction
    by Valérie Mignon
  • 2011 On the nonlinear causality between inflation and inflation uncertainty in the G3 countries
    by Mehmet Balcilar & Zeynel Abidin Ozdemir & Esin Cakan
  • 2011 Réévaluation des modèles d'estimation précoce de la croissance
    by Françoise Charpin
  • 2011 Petit précis de politique budgétaire par tous les temps. Les multiplicateurs budgétaires au cours du cycle
    by Jérôme Creel & Éric Heyer & Mathieu Plane
  • 2011 Les effets de la crise des subprimes sur le marché financier mexicain
    by Gilles Dufrénot & Valérie Mignon & Anne Péguin-Feissolle
  • 2011 L'impact des crises financières globales sur les marchés des changes des pays émergents
    by Virginie Coudert & Cécile Couharde & Valérie Mignon
  • 2011 Une analyse temps-fréquences des cycles financiers
    by Christophe Boucher & Bertrand Maillet
  • 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 Testing for Neglected Nonlinearity in Weekly Foreign Exchange Rates
    by M. Shibley Sadique
  • 2011 The Forecasting Performance of Seasonal and Nonlinear Models
    by Houda Ben Hadj Boubaker
  • 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 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 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 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
    by Rainer Metz
  • 2011 What can price volatility tell us about market efficiency? Conditional heteroscedasticity in historical commodity price series
    by Péter Földvári & Bas van Leeuwen
  • 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
    by Maria PASCU-NEDELCU
  • 2011 The Relationship Between University Research And The Marketability Of Universities
    by Simona Vasilache & Alina Mihaela Dima & Mihaela Dan
  • 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 Testing Weak Form Efficiency on the Toronto Stock Exchange
    by Vitali Alexeev & Francis Tapon
  • 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 What trends in energy efficiencies? Evidence from a robust test
    by Le Pen, Yannick & Sévi, Benoît
  • 2010 Impact d’un choc sur les corrélations de trois indices boursiers. La faillite de Lehman Brothers
    by Le Pen, Yannick & Sévi, Benoît
  • 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
    by Dobra Iulian
  • 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
    by Murat TAŞDEMİR & Sami TABAN
  • 2010 Reel döviz kurunun dış ticaret dengesine etkisi: Türkiye için Marshall-Lerner koşulunun testi
    by Nilgün ÇİL YAVUZ & Burak GÜRİŞ & Burcu KIRAN
  • 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 Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes
    by Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie
  • 2010 Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence
    by Hautsch, Nikolaus & Podolskij, Mark
  • 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
    by Novella Maugeri
  • 2010 GFC-Robust Risk Management Strategies under the Basel Accord
    by Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral
  • 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
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    by Eric Heyer
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    by Takashi Oga & Wolfgang Polasek
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    by Luis F. Martins & Paulo M.M. Rodrigues
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    by António Rua
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    by Sinha, Pankaj & Sinha, Gyanesh
  • 2010 Employment and the business cycle
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    by Jiranyakul, Komain
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    by Ahmadzadeh Mashinchi, Sina
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    by Marchese, Malvina
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    by Odusanya, Ibrahim Abidemi & Atanda, Akinwande AbdulMaliq
  • 2010 Employment intensity of growth and its macroeconomics determinants
    by BESSO, CHRISTOPHE RAOUL
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  • 2010 Анализ Факторов Динамики Обменного Курса Рубля
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    by HYE, Qazi Muhammad Adnan & M Anwar, Jalil
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    by Athanasoglou, Panayiotis & Backinezos, Constantina & Georgiou, Evangelia
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    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
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  • 2010 Estimation of economic discounting rate for practical project appraisal: the case of Turkey
    by Halicioglu, Ferda & Karatas, Cevat
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    by Gonzalo, Jesus & Pitarakis, Jean-Yves
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    by Pappas, Anastasios
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    by Shahbaz, Muhammad & Jalil, Abdul & Dube, Smile
  • 2010 Revisiting Indicators of Public Debt Sustainability: Capital Expenditure, Growth and Public Debt in India
    by Bhatt, Antra
  • 2010 Public expenditure and revenue in Italy, 1862-1993
    by Magazzino, Cosimo
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    by Tommaso, Proietti & Stefano, Grassi
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  • 2010 Does the purchasing power parity hypothesis hold after 1998?
    by Zanetti Chini, Emilio
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    by Abdul Karim, Zulkefly & Abdul Karim, Bakri & Ahmad, Riayati
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    by Liebl, Dominik
  • 2010 Optimal size of government and economic growth in EU-27
    by Magazzino, Cosimo & Forte, Francesco
  • 2010 Modeling & Forecasting of Macro-Economic Variables of India: Before, During & After Recession
    by Sinha, Pankaj & Gupta, Sushant & Randev, Nakul
  • 2010 The Trade–Growth Relationship in Israel Revisited: Evidence from Annual Data, 1960-2004
    by Abo-Zaid, Salem
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    by Ardia, David & Ospina, Juan & Giraldo, Giraldo
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    by Kumar, Saten & Shahbaz, Muhammad
  • 2010 Money demand stability: A case study of Nigeria
    by Kumar, Saten & Webber, Don J. & Fargher, Scott
  • 2010 Selected Macroeconomic Determinants of Foreign Direct Investment Outflow of Singapore
    by Kueh, Swee-Hui Jerome & Puah, Chin-Hong & Liew, Khim-Sen
  • 2010 Selected Macroeconomic Determinants of Foreign Direct Investment Outflow of Singapore
    by Kueh, Swee Hui Jerome & Puah, Chin Hong & Liew, Venus Khim-Sen
  • 2010 Estimación de la estructura de tasas utilizando el modelo Dinámico Nelson Siegel: resultados para Chile y EEUU
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    by Abhijeet, Chandra
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    by Kumawat, Lokendra
  • 2010 Unit Roots, Level Shifts and Trend Breaks in Per Capita Output: A Robust Evaluation
    by Kejriwal, Mohitosh & Lopez, Claude
  • 2010 Selection of weak VARMA models by modified Akaike's information criteria
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    by Hoffmann, Marc & Munk, Axel & Schmidt-Hieber, Johannes
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    by Ferriani, Fabrizio
  • 2010 Is trade deficit sustainable in India? An inquiry
    by Tiwari, Aviral
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    by Tang, Chor Foon
  • 2010 A note on the nonlinear wages-productivity nexus for Malaysia
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    by Emenike, Kalu O.
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  • 2010 Gold and the U.S. Dollar: Tales from the turmoil
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  • 2010 Onshore and offshore market for Indian Rupee: recent evidence on volatility and shock spillover
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  • 2010 A note on GDP now-/forecasting with dynamic versus static factor models along a business cycle
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  • 2010 Supervised Principal Components and Factor Instrumental Variables. An Application to Violent CrimeTrends in the US, 1982-2005
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  • 2010 Degré de répercussion du Taux de change sur l’Inflation en République Démocratique du Congo de 2002 à 2007
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  • 2010 Volatility Spillover in India, USA and Japan Investigation of Recession Effects
    by Sinha, Pankaj & Sinha, Gyanesh
  • 2010 Cointegration and conditional correlations among German and Eastern Europe equity markets
    by Guidi, Francesco & Gupta, Rakesh
  • 2010 Trend Estimation
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  • 2010 Searching for the parallel growth of cities
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  • 2010 Markov-switching Asset Allocation: Do Profitable Strategies Exist?
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  • 2010 A Nonlinear New Approach to Investigating Crisis: A Case from Malaysia
    by Omay, Tolga
  • 2010 Forecasts with single-equation Markov-switching model: an application to the gross domestic product of Latvia
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  • 2010 Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model
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  • 2010 Modelling and forecasting volatility of East Asian Newly Industrialized Countries and Japan stock markets with non-linear models
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  • 2010 Price Stabilization in the Taiwan Hog and Broiler Industries: Evidence from a STAR Approach
    by Hwang, Tsorng-Chyi & Chen, Meng-Gu & Chang, Chia-Lin
  • 2010 Antipersistence in German stock returns
    by Karl-Kuno Kunze & Hans Gerhard Strohe
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  • 2010 Persistence of unemployment in the canadian provinces
    by Firouz Fallahi & Gabriel Rodríguez
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    by Firouz Fallahi & Gabriel Rodríguez
  • 2010 Application of three non-linear econometric approaches to identify business cycles in Peru
    by Gabriel Rodríguez
  • 2010 Modelling and forecasting wind speed intensity for weather risk management
    by Massimiliano Caporin & Juliusz Pres
  • 2010 Panel Estimation for Worriers
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    by David Hendry & Grayham E. Mizon
  • 2010 Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts
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  • 2010 An Automatic Test of Super Exogeneity
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  • 2010 Econometric Modelling of Changing Time Series
    by David Hendry & Grayham E. Mizon
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    by Jennifer Castle & David Hendry & Jurgen A. Doornik
  • 2010 Automatic Selection for Non-linear Models
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    by Christian Dreger & Jarko Fidrmuc
  • 2010 The Financial Crisis and Intraday Volatility: Comparative Analysis on China, Japan and the US Stock Markets
    by Yusaku Nishimura & Yoshiro Tsutsui & Kenjiro Hirayama
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    by Stéphanie Guichard & Elena Rusticelli
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  • 2010 The cost channel reconsidered: a comment using an identification-robust approach
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  • 2010 Surplus-Value And Aggregate Concentration In The Uk Economy, 1987-2009
    by Vitor Leone & Bruce Philp
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    by Bennett T. McCallum
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  • 2010 Forecasting the Intermittent Demand for Slow-Moving Items
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  • 2010 Automatic forecasting with a modified exponential smoothing state space framework
    by Alysha M De Livera
  • 2010 Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes
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  • 2010 Testing unit roots and long range dependence of foreign exchange
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  • 2010 Classical vs wavelet-based filters Comparative study and application to business cycle
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    by Yuliya Lovcha & Alejandro Perez-Laborda
  • 2010 The not-so-great moderation? Evidence on changing volatility from Australian regions
    by David Shepherd & Robert Dixon
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  • 2010 Linkages between Excess Currency and Stock Market Returns:Granger Causality in Mean and Variance
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  • 2010 Separating Moral Hazard from Adverse Selection and Learning in Automobile Insurance: Longitudinal Evidence from France
    by Georges Dionne & Pierre-Carl Michaud & Maki Dahchour
  • 2010 Multivariate Option Pricing with Time Varying Volatility and Correlations
    by Jeroen V.K. Rombouts & Lars Stentoft
  • 2010 LATCOIN: Determining Medium to Long-Run Tendencies of Economic Growth in Latvia in Real Time
    by Konstantins Benkovskis
  • 2010 Applying shape and phase restrictions in generalized dynamic categorical models of the business cycle
    by Don Harding
  • 2010 Convergence test in the presence of structural changes: an empirical procedure based on panel data with cross-sectional dependence
    by Abdou-Aziz Niang & Marie-Claude Pichery & marcelin Edjo
  • 2010 Evaluating Combined Non-Replicable Forecasts
    by Chia-Lin Chang & Philip Hans Franses & Michael McAleer
  • 2010 Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
    by Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat
  • 2010 GFC-Robust Risk Management Strategies under the Basel Accord
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  • 2010 Model Selection and Testing of Conditional and Stochastic Volatility Models
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  • 2010 Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns
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  • 2010 How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan
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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
    by Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat
  • 2010 Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
    by Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat
  • 2010 Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
    by Chia-Lin Chang & Michael McAleer
  • 2010 Ten Things We Should Know About Time Series
    by Michael McAleer & Les Oxley
  • 2010 A Necessary Moment Condition for the Fractional Functional Central Limit Theorem
    by Søren Johansen & Morten Ørregaard Nielsen
  • 2010 Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models
    by Dennis Kristensen
  • 2010 Do Google Searches Help in Nowcasting Private Consumption? A Real-Time Evidence for the US
    by Konstantin A. Kholodilin & Maximilian Podstawski & Boriss Siliverstovs
  • 2010 Assessing Predictive Content of the KOF Barometer in Real Time
    by Boriss Siliverstovs
  • 2010 Does the Law of One Price Hold in a High-Inflation Environment? A Tale of Two Cities in Turkey
    by Sule Akkoyunlu & Boriss Siliverstovs
  • 2010 Are Turkish migrants altruistic? Evidence from the macro data
    by Sule Akkoyunlu
  • 2010 Why a Diversified Portfolio Should Include African Assets
    by Paul Alagidede & Theodore Panagiotidis & Xu Zhang
  • 2010 A note on the geometric ergodicity of a nonlinear AR–ARCH model
    by Mika Meitz & Pentti Saikkonen
  • 2010 Parameter estimation in nonlinear AR–GARCH models
    by Mika Meitz & Pentti Saikkonen
  • 2010 Explaining European Emission Allowance Price Dynamics: Evidence from Phase II
    by Wilfried Rickels & Dennis Görlich & Gerrit Oberst
  • 2010 Real Wages and the Business Cycle in Germany
    by Marczak, Martyna & Beissinger, Thomas
  • 2010 Real Wages and the Business Cycle in Germany
    by Marczak, Martyna & Beissinger, Thomas
  • 2010 Assessing the Impact of Incomes Policy: The Italian Experience
    by Pastore, Francesco
  • 2010 Assessing the Impact of Incomes Policy: The Italian Experience
    by Pastore, Francesco
  • 2010 On the Role of Sectoral and National Components in the Wage Bargaining Process
    by Dreger, Christian & Reimers, Hans-Eggert
  • 2010 On the Role of Sectoral and National Components in the Wage Bargaining Process
    by Dreger, Christian & Reimers, Hans-Eggert
  • 2010 Minimum Wages and Employment: Reconsidering the Use of a Time-Series Approach as an Evaluation Tool
    by Lee, Wang-Sheng & Suardi, Sandy
  • 2010 Minimum Wages and Employment: Reconsidering the Use of a Time-Series Approach as an Evaluation Tool
    by Lee, Wang-Sheng & Suardi, Sandy
  • 2010 Should We Trust in Leading Indicators? Evidence from the Recent Recession
    by Katja Drechsel & Rolf Scheufele
  • 2010 The Great Moderation and the Decoupling of Monetary Policy from Long-Term Rates in the U.S. and Germany
    by Matthew Greenwood-Nimmo & Yongcheol Shin & Till van Treeck
  • 2010 Liquidity constraints versus loss aversion in household consumption: a simple reconciliation
    by Till van Treeck
  • 2010 The NAIRU and the Extent of the Low-Pay Sector
    by Marcel Garz
  • 2010 Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components
    by Ma, Jun & Nelson, Charles R.
  • 2010 The Asia Financial Crises and Exchange Rates
    by Oga, Takashi & Polasek, Wolfgang
  • 2010 Asymmetric Time Aggregation and its Potential Benefits for Forecasting Annual Data
    by Kunst, Robert M. & Franses, Philip Hans
  • 2010 The Nonlinear House Price Adjustment Process in Developed and Transition Countries
    by Petra Posedel & Maruska Vizek
  • 2010 Financial Development and Sectoral Output Growth in 19th Century Germany
    by Katharina Diekmann & Frank Westermann
  • 2010 Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks
    by Claudio Morana
  • 2010 The Great Recession: US dynamics and spillovers to the world economy
    by Fabio C. Bagliano & Claudio Morana
  • 2010 Excise Tax Policy and Cross-border Purchases of Automotive Fuels
    by Joze Mencinger
  • 2010 Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes
    by Nikolaus Hautsch & Peter Malec & Melanie Schienle
  • 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 Dynamical systems forced by shot noise as a new paradigm in the interest rate modeling
    by Alexander L. Baranovski
  • 2010 Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory
    by Julia Schaumburg
  • 2010 Exact Local Whittle Estimation of Fractionally Cointegrated Systems
    by Shimotsu, Katsumi
  • 2010 Estimating a change point in the long memory parameter
    by Yamaguchi, Keiko
  • 2010 Decline in the Persistence of Real Exchange Rates : But Not Sufficient for Purchasing Power Parity
    by OKIMOTO, Tatsuyoshi & SHIMOTSU, Katsumi
  • 2010 Empirical Likelihood Block Bootstrapping
    by Allen, Jason & Gregory, Allan W. & Shimotsu, Katsumi
  • 2010 Does the Labor-Income Process Contain a Unit Root? Evidence from Individual-Specific Time Series
    by Gustavsson, Magnus & Österholm, Pär
  • 2010 Labor-Force Participation Rates and the Informational Value of Unemployment Rates: Evidence from Disaggregated US Data
    by Gustavsson, Magnus & Österholm, Pär
  • 2010 Does the Labor-Income Process Contain a Unit Root? Evidence from Individual-Specific Time Series
    by Gustavsson, Magnus & Österholm, Pär
  • 2010 Labor-Force Participation Rates and the Informational Value of Unemployment Rates: Evidence from Disaggregated US Data
    by Gustavsson, Magnus & Österholm, Pär
  • 2010 Testing the Invariance of Expectations Models of Inflation
    by Nymoen, Ragnar & L. Castle, Jennifer & A. Doornik, Jurgen & F. Hendry, David
  • 2010 Labor-Force Participation Rates and the Informational Value of Unemployment Rates: Evidence from Disaggregated US Data
    by Gustavsson, Magnus & Österholm, Pär
  • 2010 An anticipative linear filtering equation
    by Aase, Knut K. & Bjuland, Terje & Øksendal, Bernt
  • 2010 The Effectiveness of Information Criteria in Determining Unit Root and Trend Status
    by Hacker, Scott
  • 2010 Realized volatility and overnight returns
    by Ahoniemi, Katja & Lanne, Markku
  • 2010 Milestones of European Integration: Which matters most for Export Openness?
    by Hiller, Sanne & Kruse, Robinson
  • 2010 Long memory and changing persistence
    by Kruse, Robinson & Sibbertsen, Philipp
  • 2010 Evaluating a class of nonlinear time series models
    by Heinen, Florian
  • 2010 Identification problems in ESTAR models and a new model
    by Donauer, Stefanie & Heinen, Florian & Sibbertsen, Philipp
  • 2010 Mean Shift detection under long-range dependencies with ART
    by Willert, Juliane
  • 2010 Localized Level Crossing Random Walk Test Robust to the Presence of Structural Breaks
    by Vitali Alexeev & Alex Maynard
  • 2010 The Impact of the US Real Estate Market on Other Major Markets During Normal and Crisis Periods
    by Abdulnasser Hatemi-J & Eduardo Roca
  • 2010 Equilibrium exchange rate determination and multiple structural changes
    by Hyunsok Kim & Ronald MacDonald
  • 2010 A Bootstrap Neural Network Based Heterogeneous Panel Unit Root Test: Application to Exchange Rates
    by Christian de Peretti & Carole Siani & Mario Cerrato
  • 2010 A New Solution to Time Series Inference in Spurious Regression Problems
    by Hrishikesh D. Vinod
  • 2010 Adjustment capacity in a monetary union: a DSGE evaluation of Poland and Slovakia
    by Andrzej Torój
  • 2010 A Time-varying Mixing Multiplicative Error Model for Realized Volatility Abstract: In this paper we model the dynamics of realized volatility as a Multiplicative Error Model with a mixture of distributions for the innovation term with time-varying mixing weights forced by past behavior of volatility. The mixture considers innovations as a source of time-varying volatility of volatility and is able to capture the right tail behavior of the distribution of volatility. The empirical results show that there is no substantial difference in the one-step ahead conditional expectations obtained according to various mixing schemes but that fixity of mixing weights may be a binding constraint in deriving accurate quantiles of the predicted distribution
    by Giovanni De Luca & Giampiero Gallo
  • 2010 “Google it!”Forecasting the US Unemployment Rate with a Google Job Search index
    by Francesco D’Amuri & Juri Marcucci
  • 2010 Carbon Abatement Leaders and Laggards Non Parametric Analyses of Policy Oriented Kuznets Curves
    by Massimiliano Mazzanti & Antonio Musolesi
  • 2010 Efficacité de la politique économique et position dans le cycle: le cas de la défiscalisation des heures supplémentaires en France
    by Eric Heyer
  • 2010 Is the Euro-Area Core Price Index Really More Persistent than the Food and Energy Price Indexes?
    by José Manuel Belbute
  • 2010 Evaluating Combined Non-Replicable Forecast
    by Chang, C-L. & Franses, Ph.H.B.F. & McAleer, M.J.
  • 2010 GFC-Robust Risk Management Strategies under the Basel Accord
    by McAleer, M.J. & Jimenez-Martin, J-A. & Perez-Amaral, T.
  • 2010 Ten Things We Should Know About Time Series
    by McAleer, M.J. & Oxley, L.
  • 2010 Modelling the volatility in short and long haul Japanese tourist arrivals to New Zealand and Taiwan
    by Chang, C-L. & McAleer, M.J. & Lim, C.
  • 2010 Combining Non-Replicable Forecasts
    by Chang, C-L. & McAleer, M.J. & Franses, Ph.H.B.F.
  • 2010 Are Forecast Updates Progressive?
    by Chang, C-L. & Franses, Ph.H.B.F. & McAleer, M.J.
  • 2010 Evaluating Macroeconomic Forecast: A Review of Some Recent Developments
    by Franses, Ph.H.B.F. & McAleer, M.J. & Legerstee, R.
  • 2010 Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
    by Chang, C-L. & McAleer, M.J.
  • 2010 Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets
    by Chang, C. & McAleer, M.J. & Tansuchat, R.
  • 2010 Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
    by Tansuchat, R. & Chang, C-L. & McAleer, M.J.
  • 2010 Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
    by Tansuchat, R. & Chang, C-L. & McAleer, M.J.
  • 2010 Fractional Integration Analysis and its Implications on Profitability: the Case of the Mackerel Market in the Basque Country
    by Arteche González, Jesús María & García Enríquez, Javier & Murillas Maza, Arantza
  • 2010 Semiparametric inference in correlated long memory signal plus noise models
    by Arteche González, Jesús María
  • 2010 Inference for stochastic volatility models using time change transformations
    by Konstantinos Kalogeropoulos & Gareth O. Roberts & Petros Dellaportas
  • 2010 Nonparametric transfer function models
    by Jun M. Liu & Rong Chen & Qiwei Yao
  • 2010 The links between inflation and inflation uncertainty at the longer horizon
    by Tsyplakov Alexander
  • 2010 Lessons From the Latest Data on U.S. Productivity
    by Jan P.A.M. Jacobs & Simon van Norden
  • 2010 Applying Shape and Phase Restrictions in Generalized Dynamic Categorical Models of the Business Cycle
    by Don Harding
  • 2010 Hunger Incidence in the Philippines: Facts, Determinants and Challenges
    by Dennis S. Mapa & Fatima C. Han & Kristine Claire O. Estrada
  • 2010 Characterizing economic trends by Bayesian stochastic model specification search
    by Stefano Grassi & Tommaso Proietti
  • 2010 Statistiques des valeurs extrêmes dans le cas de lois discrètes
    by Borchani, Anis
  • 2010 A Gaussian Test for Cointegration
    by Tilak Abeysinghe & Gulasekaran Rajaguru
  • 2010 Capital Inflows, Inflation and Exchange Rate Volatility : An Investigation for Linear and Nonlinear Causal Linkages
    by Abdul Rashid & Fazal Husain
  • 2010 Growth Rate Estimation in the presence of Unit Roots
    by Monojit Chatterji & Homagni Choudhury
  • 2010 The Changing Inter-Industry Wage Structure of the Organised Manufacturing Sector in India, 1973-74 to 2003-04
    by Monojit Chatterji & Homagni Choudhury
  • 2010 A Multiple Break Panel Approach To Estimating United States Phillips Curves
    by Bill Russell & Anindya Banerjee & Issam Malki & Natalia Ponomareva
  • 2010 Understanding Models' Forecasting Performance
    by Barbara Rossi & Tatevik Sekhposyan
  • 2010 Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
    by Tim Bollerslev & Natalia Sizova & George Tauchen
  • 2010 Has Models' Forecasting Performance for US Output Growth and Inflation Changed over Time, and When?
    by Barbara Rossi & Tatevik Sekhposyan
  • 2010 Volatility Jumps
    by Viktor Todorov & George Tauchen
  • 2010 Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models
    by Mohamed El Hedi Arouri & Amine Lahiani & Khuong Nguyen Duc
  • 2010 ECB Policy Making and the Financial Crisis
    by Janko Gorter & Fauve Stolwijk & Jan Jacobs & Jakob de Haan
  • 2010 Variable Selection, Estimation and Inference for Multi-period Forecasting Problems
    by M. Hashem Pesaran & Andreas Pick & Allan Timmermann
  • 2010 Microeconomic reform and productivity in Australia – boom or blip
    by Margaret McKenzie
  • 2010 Do Google Searches Help in Nowcasting Private Consumption?: A Real-Time Evidence for the US
    by Konstantin A. Kholodilin & Maximilian Podstawski & Boriss Siliverstovs
  • 2010 Is Euro Area Money Demand (Still) Stable?: Cointegrated VAR versus Single Equation Techniques
    by Ansgar Belke & Robert Czudaj
  • 2010 Fractional Cointegration in US Term Spreads
    by Guglielmo Maria Caporale & Luis A. Gil-Alana
  • 2010 Long Memory and Volatility Dynamics in the US Dollar Exchange Rate
    by Guglielmo Maria Caporale & Luis A. Gil-Alana
  • 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 Forecasting Private Consumption by Consumer Surveys
    by Christian Dreger & Konstantin A. Kholodilin
  • 2010 Money Demand and the Role of Monetary Indicators in Forecasting Euro Area Inflation
    by Christian Dreger & Jürgen Wolters
  • 2010 Long Memory and Fractional Integration in High Frequency Financial Time Series
    by Guglielmo Maria Caporale & Luis A. Gil-Alana
  • 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
    by Christos Kollias & Efthalia Manou & Stephanos Papadamou & Apostolos Stagiannis
  • 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
    by Cem Cakmakli & Dick van Dijk
  • 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
    by Norbert Christopeit & Michael Massmann
  • 2010 Efficient Bayesian Estimation and Combination of GARCH-Type Models
    by David Ardia & Lennart F. Hoogerheide
  • 2010 Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations
    by David Ardia & Lennart F. Hoogerheide
  • 2010 A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
    by Drew Creal & Siem Jan Koopman & Andr� Lucas
  • 2010 Modeling Trigonometric Seasonal Components for Monthly Economic Time Series
    by Irma Hindrayanto & John A.D. Aston & Siem Jan Koopman & Marius Ooms
  • 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 Revisiting the excess co-movements of commodity prices in a data-rich environment
    by Le Pen, Yannick & Sévi, Benoît
  • 2010 Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market
    by Idier, Julien & Avouyi-Dovi, Sanvi
  • 2010 Etalonnages du taux de croissance du PIB français sur la base des enquêtes de conjoncture
    by Bessec, Marie
  • 2010 Monetary Policy, Trend Inflation and the Great Moderation:An Alternative Interpretation
    by Olivier Coibion & Yuriy Gorodnichenko
  • 2010 The Mysteries of Trend
    by Peter C. B. Phillips
  • 2010 Nonlinear Cointegrating Regression under Weak Identification
    by Xiaoxia Shi & Peter C. B. Phillips
  • 2010 Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels
    by Yixiao Sun & Peter C.B. Phillips & Sainan Jin
  • 2010 Optimal Estimation under Nonstandard Conditions
    by Werner Ploberger & Peter C.B. Phillips
  • 2010 X-Differencing and Dynamic Panel Model Estimation
    by Chirok Han & Peter C.B. Phillips & Donggyu Sul
  • 2010 Uniform Asymptotic Normality in Stationary and Unit Root Autoregression
    by Chirok Han & Peter C.B. Phillips & Donggyu Sul
  • 2010 Comparing sample and plug-in moments in asymmetric Garch Models
    by Mª José Rodríguez & Esther Ruiz
  • 2010 Exponential conditional volatility models
    by Andrew Harvey
  • 2010 A semiparametric state space model
    by André A. Monteiro
  • 2010 Outliers in Garch models and the estimation of risk measures
    by Aurea Grané & Helena Veiga
  • 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
    by Genaro Sucarrat & Alvaro Escribano
  • 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 Modelling structural changes in the volatility process
    by Thorsten Lehnert & Bart Frijns & Remco C.J. Zwinkels
  • 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
    by DHAENE, Geert & JOCHMANS, Koen
  • 2010 La persistencia estadística de la inflación en Colombia
    by Martha Misas A & Juan José Echavarría S & Enrique López E
  • 2010 Intra-Day-Patterns in the Colombian Exchange Market Index and VAR: Evaluation of Different Approaches
    by Julio César Alonso & Manuel Serna Cortés
  • 2010 Desigualdades Salariales en Colombia: Un análisis para trabajadores rurales y jóvenes, 2002-2009
    by Catalina Franco & Johanna Ramos
  • 2010 La Meta Del Banco Central Y La Persistencia De La Inflación En Colombia
    by Juan José Echavarría & Norberto Rodríguez & Luis Eduardo Rojas
  • 2010 La persistencia estadística de la inflación en Colombia
    by Juan José Echavarría S. & Enrique López E. & Martha Misas A.
  • 2010 Z-Estimators and Auxiliary Information under Weak Dependence
    by F. Crudu
  • 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
    by Degui Li & Oliver Linton & Zudi Lu
  • 2010 Taux de change réel et compétitivité de l’économie réunionnaise
    by Michaël GOUJON & Fabien CANDAU & Jean-François HOARAU & Serge REY
  • 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
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    by Jesus Sierra
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    by Vito Amendolagine & Rosa Capolupo & Nadia Petragallo
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    by Carlos Pinho & Mara Madaleno
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    by VALDIVIA, Fernando Zarzosa
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    by Marco Aiolfi & Carlos Capistrán & Allan Timmermann
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    by Jeroen V.K. Rombouts & Lars Stentoft
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    by Peter R. Hansen & Asger Lunde
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    by Anders Bredahl Kock & Timo Teräsvirta
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    by Senay Acikgoz & Merter Mert
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    by Tolga OMAY & Nilay ALUFTEKIN & Ece C. KARADAGLI
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    by Manish Kumar
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    by Antonios Adamopoulos
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    by Sushil Kumar Haldar & Girijasankar Mallik
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    by Halil Guler & Anil Talasli
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    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
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    by Agapie, Adriana & Bratianu, Constantin
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    by Festic, Mejra & Repina, Sebastijan & Volcjak, Robert
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    by Su, Chi Wei & Chang, Hsu Ling
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    by Saman, Corina
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    by Dimitriu, Maria Caracota & Savu, Blessy Mathew
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    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
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    by Mamonov, Mikhail
  • 2010 Size Distortion of Bootstrap Tests: an Example from Unit Root Testing
    by Russell Davidson
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    by Rajeev Dhawan & Karsten Jeske & Pedro Silos
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    by Del Carpio, Carlos & Zevallos, Mauricio
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    by Hossein Askari & Noureddine Krichene
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    by Michał Rubaszek & Paweł Skrzypczyński & Grzegorz Koloch
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    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
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    by Stoica Tiberiu
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    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
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    by GALLEGO LÓPEZ, NURIA & LLANO VERDURAS, CARLOS & PEREZ GARCÍA, JULIAN
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    by Tahir Mukhtar
  • 2010 Asymmetric Behavior of Inflation Uncertainty and Friedman-Ball Hypothesis: Evidence from Pakistan
    by Syed Kumail Abbas Naqvi & Bushra Naqvi
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    by Waliullah & Mehmood Khan Kakar & Rehmatullah Kakar & Wakeel Khan
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    by Philip N. Jefferson & Frederic L. Pryor
  • 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
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    by Michal Franta & Branislav Saxa & Kateøina Šmídková
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    by Eduard Baumöhl & Tomáš Výrost
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    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
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    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
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    by Boppana Nagarjuna & Varadi Vijay Kumar
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    by LANTERI, Luis N.
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    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
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    by Mariana Gutiérrez Bernal & Susana Yepes Bernal
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    by Carlo José Peña
  • 2010 Una revisión crítica de las técnicas de filtrado para la teoría de los ciclos económicos reales
    by Fredy Vásquez Bedoya & Sergio Iván Restrepo Ochoa & John Fernando Lopera Sierra
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    by Byron Idrovo A.
  • 2010 Un modelo SETAR para el PIB colombiano
    by Nancy Milena Hoyos Gomez & Johanna Ramos & Lorena Vivas
  • 2010 Income inequality and the suicide rate in Japan: Evidence from cointegration and LA-VAR
    by Kazuyuki Inagaki
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    by Adeline Bachellerie & Jérôme Héricourt & Valérie Mignon
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    by Yannick Le Pen & Benoît Sévi
  • 2010 Gaussian Analysis of Non-Gaussian Time Series
    by Dimitris Kugiuntzis & Efthimia Bora-Senta
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    by Stella Karagianni & Thanasis Sfetsos & Costas Siriopoulos
  • 2010 Effect of Noise Filtering on Predictions :on the Routes of Chaos
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  • 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
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  • 2010 The Effect Of Economic Performance On The Graduate Numbers Of Anadolu University Distant Education Faculties
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  • 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
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  • 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
    by Mario Cerrato & Christian de Peretti & Rolf Larsson & Nick Sarantis
  • 2009 Covariance estimation and dynamic asset allocation under microstructure effects via Fourier methodology
    by Mancino Maria Elvira & Simona Sanfelici
  • 2009 A Class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests (Replaced by DP 2010-72)
    by Hallin, M. & Akker, R. van den & Werker, B.J.M.
  • 2009 Foreign-exchange intervention strategies and market expectations: insights from Japan
    by Gnabo, Jean-Yves & Teiletche, Jérôme
  • 2009 Macro stress testing with a macroeconomic credit risk model : Application to the French manufacturing sector
    by Bardos, Mireille & Moquet, Jeremy & Kendaoui, Ludovic & Jardet, Caroline & Avouyi-Dovi, Sanvi
  • 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 Inflation and Relative Price Variability: New Evidence for the United States
    by Sascha S. Becker & Dieter Nautz
  • 2009 Short-Run Oil Price Drivers: South America's Energy Integration
    by Mercado, Alejandro F. & Aliaga, F. Javier
  • 2009 Real Convergence in the New Member States: Myth or Reality?
    by Ingianni, Andrea & Žd’árek, Václav
  • 2009 Productivity Shocks and Nominal Exchange Rate Variability: a Case Study of Pakistan
    by Zakaria, Muhammad & Ahmad, Eatzaz
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    by Cem DOĞAN & Derya ERSEL
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    by Turhan KORKMAZ & Sedat ERDOĞAN & Emrah İsmail ÇEVİK
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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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    by Shuddhasattwa Rafiq & Ruhul A. Salim
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    by Schindler, Felix
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    by Schindler, Felix
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  • 2009 The impact of the European Monetary Union on inflation persistence in the euro area
    by Meller, Barbara & Nautz, Dieter
  • 2009 Controllability and persistence of money market rates along the yield curve: evidence from the euro area
    by Busch, Ulrike & Nautz, Dieter
  • 2009 Modellierung des Kreditrisikos im Portfoliofall
    by Cremers, Heinz & Walzner, Jens
  • 2009 Modellierung des Kreditrisikos im Einwertpapierfall
    by Cremers, Heinz & Walzner, Jens
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    by Hautsch, Nikolaus & Kyj, Lada M. & Hautsch, Nikolaus
  • 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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    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
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    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
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    by Michael Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo
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    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 Optimal Risk Management Before, During and After the 2008-09 Financial Crisis
    by Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral
  • 2009 What Happened to Risk Management During the 2008-09 Financial Crisis?
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  • 2009 Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
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    by Alfredo García-Hiernaux
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    by John M Maheu & Thomas H McCurdy & Yong Song
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  • 2009 Inflation Targeting and Exchange Rate Dynamics: Evidence From Turkey
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  • 2009 Quantifying the Impact of Exogenous Non-Economic Factors on UK Transport Oil Demand
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  • 2009 Forecast performance of implied volatility and the impact of the volatility risk premium
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  • 2009 On the economic benefit of utility based estimation of a volatility model
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  • 2009 A nonparametric approach to forecasting realized volatility
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  • 2009 Evaluating multivariate volatility forecasts
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  • 2009 An Econometric Analysis of Some Models for Constructed Binary Time Series
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  • 2009 Introducing the GED-Copula with an application to Financial Contagion in Latin America
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  • 2009 Asymmetric GARCH and the financial crisis: a preliminary study
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  • 2009 “Exchange Rate Volatility and International Trade Growth: Evidence from Bangladesh”
    by Md Shoaib Ahmed, Shoaib
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  • 2009 Understanding forecast failure of ESTAR models of real exchange rates
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    by Kumar, Sundaram
  • 2009 Investigating suicidal trend and its economic determinants: evidence from India
    by Pandey, Manoj K. & Kaur, Charanjit
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  • 2009 Low-Pass Filter Design using Locally Weighted Polynomial Regression and Discrete Prolate Spheroidal Sequences
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  • 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)?
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  • 2009 Measuring the Persistence on Consumption in Portugal
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  • 2009 The Electronic Payment System as an e-commerce enabler: The Macedonian perspective
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  • 2009 Understanding forecast failure in ESTAR models of real exchange rates
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  • 2009 Bootstrap prediction intervals for threshold autoregressive models
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  • 2009 Economic Growth and Carbon Dioxide Emissions in Italy, 1861-2003
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  • 2009 The Ownership and Industry Effects of Corporate Dividend Policy in India, 1961-2007
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  • 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
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  • 2009 Serbian foreign exchange market during 2004-2008
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  • 2009 Description Length and Dimensionality Reduction in Functional Data Analysis
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  • 2009 The Multivariate k-Nearest Neighbor Model for Dependent Variables : One-Sided Estimation and Forecasting
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  • 2009 How Far From the Euro Area? Measuring Convergence of Inflation Rates in Eastern Europe
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  • 2009 Google Econometrics and Unemployment Forecasting
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    by Kunz, Marcus
  • 2009 Unemployment dynamics in West Germany : do districts adjust differently than larger regional units?
    by Kunz, Marcus
  • 2009 Disparities, persistence and dynamics of regional unemployment rates in Germany
    by Kunz, Marcus
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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 Money-Market Segmentation in the Euro Area: What has Changed During the Turmoil?
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  • 2009 A Further Look at the 2004 Reform of the Operational Framework of the ECB
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  • 2009 Threshold cointegration relationships between oil and stock markets
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  • 2009 Seasonal Unit Root Tests for Trending and Breaking Series with Application to Industrial Production
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  • 2009 A Volatility Targeting GARCH model with Time-Varying Coefficients
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  • 2009 A Volatility Targeting GARCH model with Time-Varying Coefficients
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    by Guglielmo Maria Caporale & Luis A. Gil-Alana
  • 2009 Multi-Factor Gegenbauer Processes and European Inflation Rates
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  • 2008 Long Memory and Non-Linearities in International Inflation
    by Giovanni Caggiano & Efrem Castelnuovo
  • 2008 Multi-sector inflation forecasting - quarterly models for South Africa
    by Janine Aron & John Muellbauer
  • 2008 Model Selection when there are Multiple Breaks
    by Jennifer Castle & David Hendry & Jurgen A. Doornik
  • 2008 Parameter estimation in nonlinear AR-GARCH models
    by Mika Meitz & Pentti Saikkonen
  • 2008 Properties of estimated characteristic roots
    by Bent Nielsen & Heino Bohn Nielsen
  • 2008 Unit Root Testing with Unstable Volatility
    by Brandan K. Beare
  • 2008 What Drives the NAIRU? Evidence from a Panel of OECD Countries
    by Christian Gianella & Isabell Koske & Elena Rusticelli & Olivier Chatal
  • 2008 The tax system and housing demand in New Zealand
    by David Hargreaves
  • 2008 How do Housing Wealth, Financial Wealth and Consumption Interact? Evidence from New Zealand
    by Emmanuel De Veirman & Ashley Dunstan
  • 2008 Properties of etimated characteristic roots
    by Bent Nielsen & Heino Bohn Nielsen
  • 2008 Unit Root Testing with Unstable Volatility
    by Brendan K. Beare
  • 2008 Regional Economic Integration and Trade Flows: The Experience of Asean-5 and Japan
    by Hui-Boon Tan & Chen-Chen Yong
  • 2008 How forward-looking is the Fed? Direct estimates from a ‘Calvo-type’ rule
    by Vasco J. Gabriel & Paul Levine & Christopher Spencer
  • 2008 Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure
    by Cristina Amado & Timo Teräsvirta
  • 2008 Inflation persistence in the Franc Zone: evidence from disaggregated prices
    by Simeon Coleman
  • 2008 Nonlinearities and the order of integration of oil prices
    by Juan Carlos Cuestas & Paulo Jose Regis
  • 2008 Testing for stationarity of inflation in Central and Eastern European Countries
    by Juan Carlos Cuestas & Barry Harrison
  • 2008 Is real GDP per capita a stationary process? Smooth transitions, nonlinear trends and unit root testing
    by Juan Carlos Cuestas & Dean Garratt
  • 2008 Monetary Policy, Trend Inflation and the Great Moderation: An Alternative Interpretation
    by Olivier Coibion & Yuriy Gorodnichenko
  • 2008 Real-Time Measurement of Business Conditions
    by S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti
  • 2008 Efficient Prediction of Excess Returns
    by Jon Faust & Jonathan H. Wright
  • 2008 High Frequency Market Microstructure Noise Estimates and Liquidity Measures
    by Yacine Ait-Sahalia & Jialin Yu
  • 2008 Do survey indicators let us see the business cycle ? A frequency decomposition
    by Luc Dresse & Christophe Van Nieuwenhuyze
  • 2008 Beyond point forecasting: evaluation of alternative prediction intervals for tourist arrivals
    by Jae H. Kim & Haiyang Song & Kevin Wong & George Athanasopoulos & Shen Liu
  • 2008 The tourism forecasting competition
    by George Athanasopoulos & Rob J Hyndman & Haiyan Song & Doris C Wu
  • 2008 Wavelets unit root test vs DF test : A further investigation based on monte carlo experiments
    by Ibrahim Ahamada & Philippe Jolivaldt
  • 2008 Prices and output co-movements : an empirical investigation for the CEECs
    by Iuliana Matei
  • 2008 GDP nowcasting with ragged-edge data : A semi-parametric modelling
    by Laurent Ferrara & Dominique Guegan & Patrick Rakotomarolahy
  • 2008 Dynamic analysis of the insurance linked securities index
    by Mathieu Gatumel & Dominique Guegan
  • 2008 Option pricing under GARCH models with generalized hyperbolic innovations (II) : data and results
    by Christophe Chorro & Dominique Guegan & Florian Ielpo
  • 2008 Business surveys modelling with seasonal-cyclical long memory models
    by Laurent Ferrara & Dominique Guegan
  • 2008 A non-parametric method to nowcast the Euro Area IPI
    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 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 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 Modelling sustainable international tourism demand to the Brazilian Amazon
    by Divino, J.A. & McAleer, M.J.
  • 2008 Bayesian near-boundary analysis in basic macroeconomic time series models
    by de Pooter, M.D. & Ravazzolo, F. & Segers, R. & van Dijk, H.K.
  • 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 Correlation testing in time series, spatial and cross-sectional data
    by Peter Robinson
  • 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 Algunos hechos estilizados sobre el comportamiento de los precios regulados en Colombia
    by Enrique López Enciso
  • 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 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
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    by Linzert, Tobias & Schmidt, Sandra
  • 2007 The Phillips Curve and NAIRU Revisited: New Estimates for Germany
    by Fitzenberger, Bernd & Franz, Wolfgang & Bode, Oliver
  • 2007 Monetary factors and inflation in Japan
    by Assenmacher-Wesche, Katrin & Gerlach, Stefan & Sekine, Toshitaka
  • 2007 Uncover Latent PPP by Dynamic Factor Error Correction Model (DF-ECM) Approach: Evidence from five OECD countries
    by Qin, Duo
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    by Klasen, Stephan & Herzer, Dierk & Nowak-Lehmann D., Felicitas
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    by Giulietti, Monica & Otero, Jesus & Waterson, Michael
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    by Giulietti, Monica & Otero, Jesus & Smith, Jeremy
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    by Tigran Poghosyan & Evzen Kocenda
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    by Balazs Egert
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  • 2007 Business Confidence and Cyclical Turning Points: A Markov-Switching Approach
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    by Monica Billio & Roberto Casarin & Domenico Sartore
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    by Silvestro Di Sanzo
  • 2007 Bayesian Methods in Nonlinear Time Series
    by Korenok Oleg
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    by Francesco Audrino & Peter Bühlmann
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    by Fulvio Corsi & Francesco Audrino
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    by Chancharat,Surachai & Valadkhani, Abbas
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    by Chowdhury, Khorshed
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    by Chowdhury, Khorshed & Saleh, Ali Salman
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    by Derek Bond & Niall Hession & Michael J Harrison & Edward J O’Brien
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    by Derek Bond & Michael J Harrison & Edward J O’Brien
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    by Tiia Püss & Mare Viies & Reet Maldre
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    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
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    by John M Maheu & Thomas H McCurdy
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    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
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    by Chao-Chun Chen & Wen-Jen Tsay
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    by Patrick Richard
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    by Patrick Richard
  • 2007 Time Varying Cyclical Analysis for Economies in Transition
    by Andrew Hughes Hallett & Christian R. Richter
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    by Prabhath Jayasinghe & Albert K. Tsui
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    by Andreas Humpe & Peter Macmillan
  • 2007 The Euro and Inflation Uncertainty in the European Monetary Union
    by Guglielmo Maria, Caporale & Alexandros , Kontonikas
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    by Menelaos Karanasosa & Stefanie Schurer
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    by Tommaso Proietti
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    by Christian Macaro
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    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
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    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 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
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    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
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    by George Kapetanios & Andrew P. Blake
  • 2007 Semiparametric Sieve-Type GLS Inference in Regressions with Long-Range Dependence
    by George Kapetanios & Zacharias Psaradakis
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    by Tatsuyoshi Okimoto & Katsumi Shimotsu
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    by Steven Gjerstad
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    by João Valle e Azevedo
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    by João Valle e Azevedo
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    by Michael Dueker & Martin Sola & Fabio Spagnolo
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    by Ozturk, Ilhan & Kalyoncu, Huseyin
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    by Gervais, Jean-Philippe
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    by Frimpong, Joseph Magnus & Oteng-Abayie, Eric Fosu
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    by Chia, Ricky Chee-Jiun & Liew, Venus Khim-Sen & Syed Khalid Wafa, Syed Azizi Wafa
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    by Caiado, Jorge
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    by Valle e Azevedo, João
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    by Valle e Azevedo, João
  • 2007 Trade,Financial and Growth Nexus in Pakistan
    by Arshad Khan, Muhammad & Qayyum, Abdul
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    by D'Agostino, A & Surico, P
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    by Karathanassis, George & Sogiakas, Vasilios
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    by Bassler, Kevin E. & Gunaratne, Gemunu H. & McCauley, Joseph L.
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  • 2007 Trend Extraction From Time Series With Structural Breaks
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    by Fabien Curto Millet
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  • 2007 Panel Unit Root Tests in the Presence of a Multifactor Error Structure
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  • 2007 Nominal Exchange Rate Flexibility and Real Exchange Rate Adjustment: New Evidence from Dual Exchange Rates in Developing Countries
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  • 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
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  • 2007 Along the Forward Curve for Natural Gas: Unobservable Shocks and Dynamic Correlations
    by Spargoli, Fabrizio & Zagaglia, Paolo
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    by Spargoli, Fabrizio & Zagaglia, Paolo
  • 2007 Conditional Leptokurtosis in Energy Prices: Multivariate Evidence from Futures Markets
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  • 2007 The Stability and Volatility of Electricity Prices: An Illustration of (lambda, sigma-2) Analysis
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  • 2007 Exchange rate volatility, macro announcements and the choice of intraday seasonality filtering method
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  • 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
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  • 2007 Volatility dependence across Asia-Pacific on-shore and off-shore U.S. dollar futures markets
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  • 2007 Euro Area Inflation: Aggregation Bias and Convergence
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  • 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
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    by Deschamps, Philippe J.
  • 2007 A Model for Multivariate Non-negative Valued Processes in Financial Econometrics
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  • 2007 Regime Switching: Italian Financial Markets over a Century
    by Margherita Velucchi
  • 2007 Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria
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  • 2007 On the Interaction between Ultra–high Frequency Measures of Volatility
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  • 2007 Models of Political Cycles: The Czech Experience / Modely politického cyklu a jejich testování na podmínkách ČR [available in Czech only]
    by Radka Štiková
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    by Mario Cerrato & Christian De Peretti & Nick Sarantis
  • 2007 Sample Kurtosis, GARCH-t and the Degrees of Freedom Issue
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  • 2007 Specification testing for regression models with dependent data
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  • 2007 Fractional cointegration in stochastic volatility models
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  • 2007 Likelihood-based inference for a class of multivariate diffusions with unobserved paths
    by Konstantinos Kalogeropoulos
  • 2007 Inflation dynamics in the US - a nonlinear perspective
    by A. Robert Nobay & Ivan Paya & David A. Peel
  • 2007 Empirical Evidence On Jumps In The Term Structure Of The Us Treasury Market
    by Mardi Dungey & Michael McKenzie & Vanessa Smith
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    by Ferda Halicioglu
  • 2007 A Multivariate Causality Analysis of Export and Growth for Turkey
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  • 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
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  • 2007 Efficient Robust Estimation of Time-Series Regression Models
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  • 2007 Efficient Robust Estimation of Regression Models (Revision of DP 2006-08)
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  • 2007 Note on Integer-Valued Bilinear Time Series Models
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  • 2007 Adaptive Pointwise Estimation in Time-Inhomogeneous Time-Series Models
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  • 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
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    by Peter C.B. Phillips & Tassos Magdalinos
  • 2007 Tilted Nonparametric Estimation of Volatility Functions
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  • 2007 Long Run Covariance Matrices for Fractionally Integrated Processes
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  • 2007 Asymptotics for Stationary Very Nearly Unit Root Processes
    by Donald W.K. Andrews & Patrik Guggenberger
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    by Chirok Han & Peter C.B. Phillips
  • 2007 Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
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  • 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
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  • 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
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    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 Análisis de series de tiempo del secuestro en Colombia
    by Mauricio Rubio & Daniel Vaughan
  • 2007 Some styilized facts on public finance in Colombia since the first Kemmerer mission (1923)
    by Mauricio Avella Gómez
  • 2007 Caracterización Del Mercado Accionario Colombiano, 2001-2006: Un Análisis Comparativo
    by Jorge Marío Uribe Gil
  • 2007 Análisis del Endeudamiento de los Hogares Colombianos
    by Mario Alejandro Gónzalez & John Jairo León
  • 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?
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  • 2007 Has the Export Pricing Behaviour of German Enterprises Changed? Empirical Evidence from German Sectoral Export Prices
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  • 2007 The Saving-Investment Relationships: A Markov Switching Causality Analysis Of Cote D´Ivoire And Ghana
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  • 2007 Socio-Economic Determinants Of Development In World Economy: 1820–2005
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  • 2007 Inflation and Economic Growth in Kuwait: 1985-2005. Evidence from Co-Integration and Error Correction Model
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  • 2007 Testing The Existence of Multiple Cycles in Financial and Economic Time Series
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  • 2007 El costo social de la incertidumbre macroeconómica. Venezuela, 1968-2004. Una perspectiva
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  • 2006 Unit Root Tests Allowing for a Break in the Trend Function at an Unknown Time Under Both the Null and Alternative Hypotheses
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  • 2006 Testing for Multiple Structural Changes in Cointegrated Regression Models
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  • 2006 State Space Model with Mixtures of Normals: Specifications and Applications to International Data
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  • 2006 An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility
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  • 2006 Convergence Clubs of State-Level Agricultural Productivity in the U.S.A
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  • 2006 The Money Demand Behaviour in Bangladesh, 1973-2003: An Application of the Cointegration and Error-Correction Methods
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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 Panel Tests for Unit Roots in Hours Worked
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  • 2006 Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise
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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 Energy Demand and Supply Issues - Scenario 2020 and Implications for CDM in West African Economic and Monetary Union. Case Study: Benin, Burkina Faso, Niger and Togo
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  • 2006 Accurate Value-at-Risk forecast with the (good old) normal-GARCH model
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  • 2006 Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
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  • 2006 Reviewing the sustainability/stationarity of current account imbalances with tests for bounded integration
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  • 2006 A new mixed multiplicative-additive model for seasonal adjusment
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  • 2006 How strong is the impact of exports and other demand components on German import demand? Evidence from euro-area and non-euro-area imports
    by Stirböck, Claudia
  • 2006 How to treat benchmark revisions? The case of German production and orders statistics
    by Knetsch, Thomas A. & Reimers, Hans-Eggert
  • 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 Indirektno vs direktno desezoniranje aregatnih vremenskih nizova
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  • 2006 The Sales Effect of Word of Mouth: A Model for Creative Goods and Estimates for Novels
    by Jonathan Beck
  • 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
    by Giulietti, Monica & Otero, Jesus & Smith, Jeremy
  • 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
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  • 2006 Volatility Clustering, Leverage Effects, and Jump Dynamics in the US and Emerging Asian Equity Markets
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  • 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
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  • 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 Policy impacts on Vietnam stock markets: a case of anomalies and disequilibria 2000-2006
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  • 2006 Money Growth, Output Gaps and Inflation at Low and High Frequency: Spectral Estimates for Switzerland
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  • 2006 Improved HAC Covariance Matrix Estimation Based on Forecast Errors
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