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Journal of
Economic Literature (JEL) codes Top JEL C: Mathematical and Quantitative MethodsC2: Single Equation Models; Single VariablesC22: Time-Series Models
2008 Robust Performance Hypothesis Testing with the Sharpe Ratio by Oliver Ledoit & Michael Wolf [Downloadable!] 2008 Monetary Policy Implementation and the Federal Funds Rate by Nautz, Dieter & Schmidt, Sandra [Downloadable!] 2008 Panel Unit Root Tests in the Presence of a Multifactor Error Structure by M. Hashem Pesaran, L. Vanessa Smith, Takashi Yamagata [Downloadable!] 2008 Estimation of weights for the Monetary Conditions Index in Poland by Andrzej Toroj [Downloadable!] 2008 Forecasting inflation with dynamic factor model – the case of Poland by Jacek Kotlowski [Downloadable!] 2008 Are Emerging Economies Fdi Inflows Cointegrated With Fdi Inflows Of China? – An Empirical Investigation by Krishna Chaitanya, & Emilia Vazquez Rozas [Downloadable!] 2008 Explaining the persistence of profits: A time-varying approach by Adelina Gschwandtner & Jesus Crespo Cuaresma [Downloadable!] 2008 Modelling structural change using broken sticks by Don Webber & Paul White & Angela Helvin [Downloadable!] 2008 Infinitesimal Robustness for Diffusions by Davide La Vecchia & Fabio Trojani [Downloadable!] 2008 Modeling Tick-by-Tick Realized Correlations by Fulvio Corsi & Francesco Audrino [Downloadable!] 2008 Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects by Fulvio Corsi & Francesco Audrino [Downloadable!] 2008 An Empirical Analysis of Sustainability of Trade Deficit:Evidence from Sri Lanka by Verma, Reetu & Perera, Nelson [Downloadable!] 2008 Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory by J. Isaac Miller & Joon Y. Park [Downloadable!] 2008 Bayesian semiparametric stochastic volatility modeling by Mark J Jensen & John M Maheu [Downloadable!] 2008 Forecasting Realized Volatility: A Bayesian Model Averaging Approach by Chun Liu & John M Maheu [Downloadable!] 2008 Optimal HP filtering for South Africa by Leon du Toit [Downloadable!] 2008 Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails by Cees Diks & Valentyn Panchenko & Dick van Dijk [Downloadable!] 2008 A Note on Long Horizon Forecasts of Nonlinear Models of Real Exchange Rates: Comments on Rapach and Wohar (2006) by Daniel Buncic [Downloadable!] 2008 How forward-looking is the Fed? Direct estimates from a `Calvo-type' rule by Vasco Gabriel & Paul Levine & Christopher Spencer [Downloadable!] 2008 Is Double Trouble? – How to Combine Cointegration Tests by Christian Bayer & Christoph Hanck [Downloadable!] 2008 A Nonlinear Unit Root Test in the Presence of an Unknown Break by Stephan Popp [Downloadable!] 2008 Indicators and Tests of Fiscal Sustainability: An Integrated Approach by Giancarlo Marini & Alessandro Piergallini [Downloadable!] 2008 Smooth Transition Models in Price Transmission by Szymon Wlazlowski & Monica Giulietti & Jane Binner & Costas Milas [Downloadable!] 2008 The Jump component of S&P 500 volatility and the VIX index by Ralf Becker & Adam Clements & Andrew McClelland [Downloadable!] 2008 A Review of Forecasting Techniques for Large Data Sets by Jana Eklund & George Kapetanios [Downloadable!] 2008 Revisiting Useful Approaches to Data-Rich Macroeconomic Forecasting by Jan J.J. Groen & George Kapetanios [Downloadable!] 2008 A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic by Morten Ørregaard Nielsen [Downloadable!] 2008 Likelihood inference for a nonstationary fractional autoregressive model by Søren Johansen & Morten Ørregaard Nielsen [Downloadable!] 2008 Fully Modified Narrow-Band Least Squares Estimation of Stationary Fractional Cointegration by Morten Ørregaard Nielsen & Per Frederiksen [Downloadable!] 2008 Empirical Likelihood Block Bootstrapping by Jason Allen & Allan W. Gregory & Katsumi Shimotsu [Downloadable!] 2008 Testing for PPP Using SADC Real Exchange Rates by Thabo Mokoena & Rangan Gupta & Renee van Eyden [Downloadable!] 2008 The Country Risk and the nominal exchange rate between Peru and the United States. An approach through a model of asset markets for determining the exchange rate. (1998:12 - 2007:12) by Salazar, Eduardo [Downloadable!] 2008 Analysis of HF data on the WSE in the context of EMH by Strawinski, Pawel & Slepaczuk, Robert [Downloadable!] 2008 Inference regarding multiple structural changes in linear models estimated via two stage least squares by Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia [Downloadable!] 2008 Garch Parameter Estimation Using High-Frequency Data by Visser, Marcel P. [Downloadable!] 2008 Extracting the Cyclical Component in Hours Worked: a Bayesian Approach by Bernardi, Mauro & Della Corte, Giuseppe & Proietti, Tommaso [Downloadable!] 2008 On the Equivalence of the Weighted Least Squares and the Generalised Least Squares Estimators, with Applications to Kernel Smoothing by Luati, Alessandra & Proietti, Tommaso [Downloadable!] 2008 Nonlinearities in Exchange rates: Double EGARCH Threshold Models for Forecasting Volatility by Sitzia, Bruno & Iovino, Doriana [Downloadable!] 2008 The Impacts of Atlantic Bonito Rush and the Avian Influenza on Meat Products in Turkey by Saghaian, Sayed & Ozertan, Gokhan & Spaulding, Aslihan [Downloadable!] 2008 Modeling Expectations with Noncausal Autoregressions by Lanne, Markku & Saikkonen, Pentti [Downloadable!] 2008 On The dynamic of search, matching and productivity in New Zealand and Australia by Razzak, Weshah [Downloadable!] 2008 Spurious long-range dependence: evidence from Malaysian equity markets by chin, wencheong [Downloadable!] 2008 The Relationship between Crude and Refined Product Market: The Case of Singapore Gasoline Market using MOPS Data by Rao, Gyaneshwar [Downloadable!] 2008 Forecasting Stock Market Volatilities Using MIDAS Regressions: An Application to the Emerging Markets by Alper, C. Emre & Fendoglu, Salih & Saltoglu, Burak [Downloadable!] 2008 Dynamic GMM Estimation With Structural Breaks. An Application to Global Warming and its Causes by Travaglini, Guido [Downloadable!] 2008 Detecting Peaks and Valleys in the Number of Births in Portugal by Caleiro, António [Downloadable!] 2008 Empirical Evidence Of The Balance Of Payments Constrained Growth In Cuba. The Effects Of Comercial Regimes Since 1960 by Fugarolas Álvarez-Ude, Guadalupe & Mañalich Gálvez, Isis & Matesanz Gómez, David [Downloadable!] 2008 A note on long horizon forecasts of nonlinear models of real exchange rates: Comments on Rapach and Wohar (2006) by Buncic, Daniel [Downloadable!] 2008 Structural Time Series Models for Business Cycle Analysis by Proietti, Tommaso [Downloadable!] 2008 A Multivariate Band-Pass Filter by Valle e Azevedo, João [Downloadable!] 2008 Long Memory and Non-Linearities in International Inflation by Giovanni Caggiano & Efrem Castelnuovo [Downloadable!] 2008 Parameter estimation in nonlinear AR-GARCH models by Mika Meitz & Pentti Saikkonen [Downloadable!] 2008 The tax system and housing demand in New Zealand by David Hargreaves [Downloadable!] 2008 How do Housing Wealth, Financial Wealth and Consumption Interact? Evidence from New Zealand by Emmanuel De Veirman & Ashley Dunstan [Downloadable!] 2008 Properties of etimated characteristic roots by Bent Nielsen & Heino Bohn Nielsen [Downloadable!] 2008 Unit Root Testing with Unstable Volatility by Brendan K. Beare [Downloadable!] 2008 How forward-looking is the Fed? Direct estimates from a ‘Calvo-type’ rule by Vasco J. Gabriel & Paul Levine & Christopher Spencer [Downloadable!] 2008 Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure by Cristina Amado & Timo Teräsvirta [Downloadable!] 2008 Efficient Prediction of Excess Returns by Jon Faust & Jonathan H. Wright [Downloadable!] 2008 High Frequency Market Microstructure Noise Estimates and Liquidity Measures by Yacine Ait-Sahalia & Jialin Yu [Downloadable!] 2008 Do survey indicators let us see the business cycle ? A frequency decomposition by Luc Dresse & Christophe Van Nieuwenhuyze [Downloadable!] 2008 Wavelets unit root test vs DF test : A further investigation based on monte carlo experiments by Ibrahim Ahamada & Philippe Jolivaldt [Downloadable!] 2008 Business surveys modelling with seasonal-cyclical long memory models by Laurent Ferrara & Dominique Guegan [Downloadable!] 2008 A non-parametric method to nowcast the Euro Area IPI by Laurent Ferrara & Thomas Raffinot [Downloadable!] 2008 Forecasting chaotic systems : the role of local Lyapunov exponents by Dominique Guegan & Justin Leroux [Downloadable!] 2008 The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics by Abdou Kâ Diongue & Dominique Guegan [Downloadable!] 2008 Testing fractional order of long memory processes : a Monte Carlo study by Laurent Ferrara & Dominique Guegan & Zhiping Lu [Downloadable!] 2008 Milan’s Cycle as an Accurate Leading Indicator for the Italian Business Cycle by Matteo Pelagatti & Valeria Negri [Downloadable!] 2008 Macroeconomic Uncertainty and Performance in the European Union and Implications for the objectives of Monetary Policy by Don Bredin & Stilianos Fountas [Downloadable!] 2008 Trend Extraction From Time Series With Structural Breaks and Missing Observations by Schlicht, Ekkehart [Downloadable!] 2008 The Realisation of Finite-Sample Frequency-Selective Filters by Prof D.S.G. Pollock [Downloadable!] 2008 The Frequency Analysis of the Business Cycle by Prof D.S.G. Pollock [Downloadable!] 2008 Properties of Estimated Characteristic Roots by Bent Nielsen & Heino Bohn Nielsen [Downloadable!] 2008 The Stress of Having a Single Monetary Policy in Europe by Jan-Egbert Sturm & Timo Wollmershäuser [Downloadable!] 2008 Multifractality and Long-Range Dependence of Asset Returns: The Scaling Behaviour of the Markov-Switching Multifractal Model with Lognormal Volatility Components by Ruipeng Liu & Tiziana Di Matteo & Thomas Lux [Downloadable!] 2008 The Nature of Occupational Unemployment Rates in the United States: Hysteresis or Structural? by Candelon, Bertrand & Dupuy, Arnaud & Gil-Alana, Luis A. [Downloadable!] 2008 Panel Data Stochastic Convergence Analysis of the Mexican Regions by Josep Lluís Carrion-i-Silvestre & Vicente German-Soto [Downloadable!] 2008 Spurious Regressions in Technical Trading: Momentum or Contrarian? by Mototsugu Shintani & Tomoyoshi Yabu & and Daisuke Nagakura [Downloadable!] 2008 Hysteresis in Unemployment:Evidence from Latin America by Matias Mednik & Cesar M. Rodriguez & Inder J. Ruprah [Downloadable!] 2008 Measuring and Modeling Risk Using High-Frequency Data by Wolfgang Härdle & Nikolaus Hautsch & Uta Pigorsch [Downloadable!] 2008 Adaptive pointwise estimation in time-inhomogeneous time-series models by Pavel Cizek & Wolfgang Härdle & Vladimir Spokoiny [Downloadable!] 2008 Testing for the presence of noise in long memory processes [in Japanese] by Keiko Yamaguchi [Downloadable!] 2008 The Sources of Volatility Transmission in the Euro Area Money Market: From Longer Maturities to the Overnight? by Zagaglia, Paolo [Downloadable!] 2008 Multinational Electricity Market Integration and Electricity Price Dynamics by Lundgren, Jens & Hellström, Jörgen & Rudholm, Niklas [Downloadable!] 2008 Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure by Amado, Cristina & Teräsvirta, Timo [Downloadable!] 2008 Estimating fundamental cross-section dispersion from fixed event forecasts by Jonas Dovern & Ulrich Fritsche [Downloadable!] 2008 A new unit root test against ESTAR based on a class of modified statistics by Kruse, Robinson [Downloadable!] 2008 Rational bubbles and fractional integration by Kruse, Robinson [Downloadable!] 2008 A Nonlinear Panel Unit Root Test under Cross Section Dependence by Mario Cerrato & Christian de Peretti & Nick Sarantis [Downloadable!] 2008 A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets by Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi [Downloadable!] 2008 Comparison of Volatility Measures: a Risk Management Perspective by Christian T. Brownlees & Giampiero Gallo [Downloadable!] 2008 Volatility extraction using the Kalman filter by Alexandr Kuchynka [Downloadable!] 2008 Parameter Estimation in Nonlinear AR-GARCH Models by Mika Meitz & Pentti Saikkonen [Downloadable!] 2008 Selection of the number of frequencies using bootstrap techniques in log-periodogram regression by Josu Arteche & Jesus Orbe [Downloadable!] 2008 Forecast Comparisons in Unstable Environments by Giacomini, Raffaella & Rossi, Barbara [Downloadable!] 2008 Which Structural Parameters Are "Structural"? Identifying the Sources of Instabilities in Economic Models by Inoue, Atsushi & Rossi, Barbara [Downloadable!] 2008 M3 Money Demand and Excess Liquidity in the Euro Area by Christian Dreger & Jürgen Wolters [Downloadable!] 2008 Estimating Fundamental Cross-Section Dispersion from Fixed Event Forecasts by Jonas Dovern & Ulrich Fritsche [Downloadable!] 2008 Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails by Cees Diks & Valentyn Panchenko & Dick van Dijk [Downloadable!] 2008 Likelihood Functions for State Space Models with Diffuse Initial Conditions by Marc K. Francke & Siem Jan Koopman & Aart de Vos [Downloadable!] 2008 An Hourly Periodic State Space Model for Modelling French National Electricity Load by V. Dordonnat & S.J. Koopman & M. Ooms & A. Dessertaine & J. Collet [Downloadable!] 2008 Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity by Donald W.K. Andrews & Patrik Guggenberger [Downloadable!] 2008 Optimal Bandwidth Choice for Interval Estimation in GMM Regression by Yixiao Sun & Peter C.B. Phillips [Downloadable!] 2008 Testing for Non-Nested Conditional Moment Restrictions Using Unconditional Empirical Likelihood by Taisuke Otsu & Myung Hwan Seo & Yoon-Jae Whang [Downloadable!] 2008 Smoothing Local-to-Moderate Unit Root Theory by Peter C.B. Phillips & Tassos Magdalinos & Liudas Giraitis [Downloadable!] 2008 Semiparametric Cointegrating Rank Selection by Xu Cheng & Peter C.B. Phillips [Downloadable!] 2008 Structural Nonparametric Cointegrating Regression by Qiying Wang & Peter C.B. Phillips [Downloadable!] 2008 Long Memory and Long Run Variation by Peter C.B. Phillips [Downloadable!] 2008 Unit Root and Cointegrating Limit Theory When Initialization Is in the Infinite Past by Peter C.B. Phillips & Tassos Magdalinos [Downloadable!] 2008 Unit Root Model Selection by Peter C.B. Phillips [Downloadable!] 2008 Nonlinearity and Temporal Dependence by Xiaohong Chen & Lars P. Hansen & Marine Carrasco [Downloadable!] 2008 Limit Theorems for Functionals of Sums that Converge to Fractional Brownian and Stable Motions by P. Jeganathan [Downloadable!] 2008 Efficient Estimation of Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals by Xiaohong Chen & Demian Pouzo [Downloadable!] 2008 Simple Wald tests of the fractional integration parameter : an overview of new results by Juan Jose Dolado & Jesus Gonzalo & Laura Mayoral [Downloadable!] 2008 Monetary Factors and Inflation in Japan by Assenmacher-Wesche, Katrin & Gerlach, Stefan & Sekine, Toshitaka [Downloadable!] 2008 A Realistic Model for Official Interest Rates by Juan de Dios Tena & Edoardo Otranto [Downloadable!] 2008 A Realistic Model for Official Interest Rates by Juan de Dios Tena & Edoardo Otranto [Downloadable!] 2008 A Realistic Model for Official Interest Rates by Juan de Dios Tena & Edoardo Otranto [Downloadable!] 2008 A Realistic Model for Official Interest Rates by Juan de Dios Tena & Edoardo Otranto [Downloadable!] 2008 Clustering Heteroskedastic Time Series by Model-Based Procedures by Edoardo Otranto [Downloadable!] 2008 Clustering Heteroskedastic Time Series by Model-Based Procedures by Edoardo Otranto [Downloadable!] 2008 Clustering Heteroskedastic Time Series by Model-Based Procedures by Edoardo Otranto [Downloadable!] 2008 Clustering Heteroskedastic Time Series by Model-Based Procedures by Edoardo Otranto [Downloadable!] 2008 Quantifying Multiscale Inefficiency in Electricity Markets by Olga Y. Uritskaya & Apostolos Serletis [Downloadable!] 2008 On the Influence of Oil Prices on Economic Activity and Other Macroeconomic and Financial Variables by François Lescaroux & Valerie Mignon [Downloadable!] 2008 Modelling Long-Run Trends and Cycles in Financial Time Series Data by Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana [Downloadable!] 2008 Forecasting Random Walks Under Drift Instability by M. Hashem Pesaran & Andreas Pick [Downloadable!] 2008 The Undisclosed Renminbi Basket: Are the Markets Telling us something about where the Renminbi – US Dollar Exchange Rate is Going? by Michael Funke & Marc Gronwald [Downloadable!] 2008 The Stress of Having a Single Monetary Policy in Europe by Jan-Egbert Sturm & Timo Wollmershäuser [Downloadable!] 2008 The Empirical Properties of Some Popular Estimators of Long Memory Processes by Jennifer Brown & Les Oxley & William Rea & Marco Reale [Downloadable!] 2008 Long memory or shifting means? A new approach and application to realised volatility by Eduardo Mendes & Les Oxley & William Rea & Marco Reale [Downloadable!] 2008 Looking for a break in Spanish Inflation Data in the early eighties and assessing persistence by Maria Teresa Mota & Mariana Alves da Cunha & Carlos Santos [Downloadable!] 2008 Forecasting Random Walks Under Drift Instability by Pesaran, M.H. & Pick, A. [Downloadable!] 2008 Price and Non - Price Competitiveness of Exports of Manufactures by Panayiotis P. Athanasoglou & Ioanna C. Bardaka [Downloadable!] 2008 Credit risk and business cycle over different regimes by Juri Marcucci & Mario Quagliariello [Downloadable!] 2008 Testing for conditional heteroscedasticity in the components of inflation by Carmen Broto & Esther Ruiz [Downloadable!] 2008 Introducing the EURO-STING: Short Term INdicator of Euro Area Growth by Maximo Camacho & Gabriel Perez-Quiros [Downloadable!] 2008 Empirical Likelihood Block Bootstrapping by Jason Allen & Allan W. Gregory & Katsumi Shimotsu [Downloadable!] 2008 Analyse spectrale de l’évolution de longue période des brevets en France, en Allemagne, en Grande-Bretagne et aux Etats-Unis (18ème-20ème siècles) by Claude Diebolt & Karine Pellier [Downloadable!] 2008 Econométrie historique des salaires en France : une relecture des années charnières by Claude Diebolt & Magali Jaoul-Grammare [Downloadable!] 2008 Global Temperature Trends by Trevor Breusch & Farshid Vahid [Downloadable!] 2008 The limiting properties of the QMLE in a general class of asymmetric volatility models by Christian M. Dahl & Emma M. Iglesias [Downloadable!] 2008 A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic by Morten Ørregaard Nielsen [Downloadable!] 2008 Bias-reduced estimation of long memory stochastic volatility by Per Frederiksen & Morten Ørregaard Nielsen [Downloadable!] 2008 Parameter estimation in nonlinear AR-GARCH models by Mika Meitz & Pentti Saikkonen [Downloadable!] 2008 Local polynomial Whittle estimation of perturbed fractional processes by Per Frederiksen & Frank S. Nielsen & Morten Ørregaard Nielsen [Downloadable!] 2008 Local polynomial Whittle estimation covering non-stationary fractional processes by Frank S. Nielsen [Downloadable!] 2008 Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form by Anne Péguin-Feissolle & Birgit Strikholm & Timo Teräsvirta [Downloadable!] 2008 Parametric inference for discretely sampled stochastic differential equations by Michael Sørensen [Downloadable!] 2008 FIEGARCH-M and and International Crises: A Cross-Country Analysis by Jie Zhu [Downloadable!] 2008 Option Pricing using Realized Volatility by Lars Stentoft [Downloadable!] 2008 Volatility Components, Affine Restrictions and Non-Normal Innovations by Peter Christoffersen & Kris Dorion & Yintian Wang [Downloadable!] 2008 Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure by Christina Amado & Timo Teräsvirta [Downloadable!] 2008 Parameterizing unconditional skewness in models for financial time series by Changli He & Annastiina Silvennoinen & Timo Teräsvirta [Downloadable!] 2008 Efficient estimation for ergodic diffusions sampled at high frequency by Michael Sørensen [Downloadable!] 2008 Uncover Latent PPP by Dynamic Factor Error Correction Model (DF-ECM) Approach: Evidence from Five OECD Countries by Qin, Duo [Downloadable!] 2008 Argentinean real exchange rate 1900-2006, test purchasing power parity theory by Marcos José Dal Bianco [Downloadable!] 2008 Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? by Graham Elliott & Ivana Komunjer & Allan Timmermann [Downloadable!] 2008 Producto potencial y ciclos económicos en México, 1980.1-2006.4 by Eduardo Loría & Manuel G. Ramos & Leobardo de Jesús [Downloadable!] 2008 An Empirical Analysis Of Sustainability Of Trade Deficit: Evidence From Sri Lanka by PERERA, Nelson & VARMA, Reetu [Downloadable!] 2008 Port Wine Dynamics: Production, Trade And Market Structure by REBELO, João & CORREIA, Leonida [Downloadable!] 2008 Tourism And Economic Growth: The Case Of Singapore by LEE, Chew Ging [Downloadable!] 2008 Is the Caribbean Community an Optimum Currency Area? by Ghartey, E.E. [Downloadable!] 2008 ON WAGE FORMATION, WAGE DEVELOPMENT AND FLEXIBILITY: A comparison between European countries and the United States by PEETERS, H.M.M. & DEN REIJER, A.H.J. [Downloadable!] 2008 Patents, Innovations And Economic Growth In Japan And South Korea: Evidence From Individual Country And Panel Data by SINHA, Dipendra [Downloadable!] 2008 Revisiting The Export-Output Nexus For Western Africa Countries: A Markov Switching Causality Approach by AKA, Bédia F. [Downloadable!] 2007 Did Nordic Countries Recognize the Gathering Storm of World War II? Evidence from the Bond Markets by Daniel Waldenström & Bruno S. Frey [Downloadable!] 2007 Harmonic Regression Models: A Comparative Review with Applications by Michael Artis & José G. Clavel & Mathias Hoffmann & Dilip Nachane [Downloadable!] 2007 What Explains the Spread Between the Euro Overnight Rate and the ECB’s Policy Rate? by Linzert, Tobias & Schmidt, Sandra [Downloadable!] 2007 The Phillips Curve and NAIRU Revisited: New Estimates for Germany by Fitzenberger, Bernd & Franz, Wolfgang & Bode, Oliver [Downloadable!] 2007 Uncover Latent PPP by Dynamic Factor Error Correction Model (DF-ECM) Approach: Evidence from five OECD countries by Qin, Duo [Downloadable!] 2007 In search of FDI-led growth in developing countries by Herzer, Dierk & Klasen, Stephan & Nowak-Lehmann Danzinger, Felicitas [Downloadable!] 2007 Does Purchasing Power Parity Hold Sometimes? Regime Switching in Real Exchange Rates by Lee, Hwa-Taek & Yoon, Gawon [Downloadable!] 2007 A note on model selection in (time series) regression models - General-to-specific or specific-to-general? by Herwartz, Helmut [Downloadable!] 2007 Threshold dynmamics of short-term interest rates : empirical evidence and implications for the term structure by Archontakis, Theofanis & Lemke, Wolfgang [Downloadable!] 2007 Measuring the Fiscal Stance by Vito Polito & Mike Wickens [Downloadable!] 2007 Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis by Paola Zerilli [Downloadable!] 2007 Pricing behaviour under competition in the UK electricity supply industry by Giulietti, Monica & Otero, Jesus & Waterson, Michael [Downloadable!] 2007 Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence by Giulietti, Monica & Otero, Jesus & Smith, Jeremy [Downloadable!] 2007 Macroeconomic Sources of Foreign Exchange Risk in New EU Members by Tigran Poghosyan & Evzen Kocenda [Downloadable!] 2007 Real Convergence, Price Level Convergence and Inflation Differentials in Europe by Balazs Egert [Downloadable!] 2007 Business Confidence and Cyclical Turning Points: A Markov-Switching Approach by Mark J. Holmes & Brian Silverstone [Downloadable!] 2007 A Saddlepoint Approximation to the Distribution of the Half-Life Estimator in an Autoregressive Model: New Insights Into the PPP Puzzle by Qian Chen & David E. Giles [Downloadable!] 2007 Bayesian Inference on Dynamic Models with Latent Factors by Monica Billio & Roberto Casarin & Domenico Sartore [Downloadable!] 2007 Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion by Monica Billio & Massimiliano Caporin [Downloadable!] 2007 Forecasting Time Series with Long Memory and Level Shifts, A Bayesian Approach by Silvestro Di Sanzo [Downloadable!] 2007 Bayesian Methods in Nonlinear Time Series by Korenok Oleg [Downloadable!] 2007 Splines for Financial Volatility by Francesco Audrino & Peter Bühlmann [Downloadable!] 2007 Realized Correlation Tick-by-Tick by Fulvio Corsi & Francesco Audrino [Downloadable!] 2007 On the Impact of Fundamentals, Liquidity and Coordination on Market Stability by Francisco Peñaranda & Jón Daníelsson [Downloadable!] 2007 Testing for the Random Walk Hypothesis and Structural Breaks in International Stock Prices by Chancharat,Surachai & Valadkhani, Abbas [Downloadable!] 2007 Balassa-Samuelson Effect Approaching Fifty Years: Is it Retiring Early in Australia? by Chowdhury, Khorshed [Downloadable!] 2007 Testing the Keynesian Proposition of Twin Deficits in the Presence of Trade Liberalisation: Evidence from Sri Lanka after War: the case of a bridge too far? by Chowdhury, Khorshed & Saleh, Ali Salman [Downloadable!] 2007 An initial push for successful transition from import substitution to export-orientation in Taiwan and China: The FDI-led hypothesis by Jayanthakumaran, Kankesu & Lee, Shao-Wei [Downloadable!] 2007 Convergence Analysis of the Structure of Tax Revenue and Tax Burden in EU by Tiia Püss & Mare Viies & Reet Maldre [Downloadable!] 2007 Are there Structural Breaks in Realized Volatility? by Chun Liu & John M Maheu [Downloadable!] 2007 Learning, Forecasting and Structural Breaks by John M Maheu & Stephen Gordon [Downloadable!] 2007 Modeling foreign exchange rates with jumps by John M Maheu & Thomas H McCurdy [Downloadable!] 2007 Economic Base Multipliers Revisited by Derek Bond & Michael J. Harrison & Edward J. O'Brien [Downloadable!] 2007 Bayesian Variable Selection of Risk Factors in the APT Model by Robert Kohn & Rachida Ouysse [Downloadable!] 2007 Home, Sweet Home or Is It - Always? Testing the Efficiency of the Norwegian Housing Market by Erling Røed Larsen and Steffen Weum [Downloadable!] 2007 Forecasting key macroeconomic variables from a large number of predictors: A state space approach by Arvid Raknerud, Terje Skjerpen and Anders Rygh Swensen [Downloadable!] 2007 Why Bayes Rules: A Note on Bayesian vs. Classical Inference in Regime Switching Models by Dennis Gaertner [Downloadable!] 2007 GLS Bias Correction for Low Order ARMA models by Patrick Richard [Downloadable!] 2007 Sieve bootstrap unit root tests by Patrick Richard [Downloadable!] 2007 Exchange Rate Exposure of Sectoral Returns and Volatilities: Evidence from Japanese Industrial Sectors by Prabhath Jayasinghe & Albert K. Tsui [Downloadable!] 2007 Can macroeconomic variables explain long term stock market movements? A comparison of the US and Japan by Andreas Humpe & Peter Macmillan [Downloadable!] 2007 Is the Relationship Between Inflation and its Uncertainty Linear? by Menelaos Karanasosa & Stefanie Schurer [Downloadable!] 2007 Band Spectral Estimation for Signal Extraction by Tommaso Proietti [Downloadable!] 2007 The Impact of Vintage on the Persistence of Gross Domestic Product Shocks by Christian Macaro [Downloadable!] 2007 Double Conditioned Potential Output by Dobrescu, Emilian [Downloadable!] 2007 Campaign Advertising and Election Outcomes: Quasi-Natural Experiment Evidence from Gubernatorial Elections in Brazil by Bernardo S. da Silveira & João Manoel Pinho de Mello [Downloadable!] 2007 Modeling and predicting the CBOE market volatility index by Marcelo Fernandes & Marcelo Cunha Medeiros & MArcelo Scharth [Downloadable!] 2007 Non-Linearity In The Canadian And Us Labour Markets: Univariate And Multivariate Evidence From A Battery Of Tests by Theodore Panagiotidis & Gianluigi Pelloni [Downloadable!] 2007 Does tariff liberalization promote trade? Latin America in the long run (1900-2000) by Carlo Pietrobelli & Silvia Nenci [Downloadable!] 2007 Application of Three Alternative Approaches to Identify Business Cycles in Peru by Rodriguez Gabriel [Downloadable!] 2007 Monetary Policy, Regime Shifts, and Inflation Uncertainty in Peru (1949-2006) by Paul Castillo & Alberto Humala & Vicente Tuesta [Downloadable!] 2007 Forecasting stock market volatility conditional on macroeconomic conditions by Ralf Becker & Adam Clements [Downloadable!] 2007 Are combination forecasts of S&P 500 volatility statistically superior? by Ralf Becker & Adam Clements [Downloadable!] 2007 Does implied volatility reflect a wider information set than econometric forecasts? by Ralf Becker & Adam Clements & James Curchin [Downloadable!] 2007 Modelling Spikes in Electricity Prices by Ralf Becker & Stan Hurn & Vlad Pavlov [Downloadable!] 2007 Teaching an Old Dog New Tricks: Improved Estimation of the Parameters of Stochastic Differential Equations by Numerical Solution of the Fokker-Planck Equation by A. Hurn & J. Jeisman & K. Lindsay [Downloadable!] 2007 Wavelet Analysis and Denoising: New Tools for Economists by Iolanda Lo Cascio [Downloadable!] 2007 Comparative Economic Cycles by Iolanda Lo Cascio & Stephen Pollock [Downloadable!] 2007 Changes in Predictive Ability with Mixed Frequency Data by Ana Beatriz Galvão [Downloadable!] 2007 Long Memory and FIGARCH Models for Daily and High Frequency Commodity Prices by Richard T. Baillie & Young-Wook Han & Robert J. Myers & Jeongseok Song [Downloadable!] 2007 Modeling Long Memory and Structural Breaks in Conditional Variances: An Adaptive FIGARCH Approach by Richard T. Baillie & Claudio Morana [Downloadable!] 2007 Boosting Estimation of RBF Neural Networks for Dependent Data by George Kapetanios & Andrew P. Blake [Downloadable!] 2007 Semiparametric Sieve-Type GLS Inference in Regressions with Long-Range Dependence by George Kapetanios & Zacharias Psaradakis [Downloadable!] 2007 Financial Market Integration and World Economic Stabilization toward Purchasing Power Parity by Tatsuyoshi Okimoto & Katsumi Shimotsu [Downloadable!] 2007 Covariance-based orthogonality tests for regressors with unknown persistence by Alex Maynard & Katsumi Shimotsu [Downloadable!] 2007 Price Dynamics in an Exchange Economy by Steven Gjerstad [Downloadable!] 2007 Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting by Michael Dueker & Martin Sola & Fabio Spagnolo [Downloadable!] 2007 Modelling and Forecasting the Metical-Rand Exchange Rate by Samuel Zita & Rangan Gupta [Downloadable!] 2007 Agricultural sector and economic growth in Tunisia: Evidence from co-integration and error correction mechanism by Chebbi, Houssem Eddine & Lachaal, Lassaad [Downloadable!] 2007 Transformations and Seasonal Adjustment: Analytic Solutions and Case Studies by Proietti, Tommaso & Riani, Marco [Downloadable!] 2007 Disentangling non-linearities in the long- and short-run price relationships: An application to the U.S. hog/Pork supply chain by Gervais, Jean-Philippe [Downloadable!] 2007 Market Returns and Weak-Form Efficiency: the case of the Ghana Stock Exchange by Frimpong, Joseph Magnus & Oteng-Abayie, Eric Fosu [Downloadable!] 2007 Day-of-the-week effects in selected East Asian stock markets by Chia, Ricky Chee-Jiun & Liew, Venus Khim-Sen & Syed Khalid Wafa, Syed Azizi Wafa [Downloadable!] 2007 Forecasting water consumption in Spain using univariate time series models by Caiado, Jorge [Downloadable!] 2007 Interpretation of the Effects of Filtering Integrated Time Series by Valle e Azevedo, João [Downloadable!] 2007 Exact Limit of the Expected Periodogram in the Unit-Root Case by Valle e Azevedo, João [Downloadable!] 2007 Trade,Financial and Growth Nexus in Pakistan by Arshad Khan, Muhammad & Qayyum, Abdul [Downloadable!] 2007 Does global liquidity help to forecast US inflation? by D'Agostino, A & Surico, P [Downloadable!] 2007 A Semigroups Approach to the Study of a Second Order Partial Differential Equation Applied in Economics by Chilarescu, Constantin [Downloadable!] 2007 Spill Over Effects of Futures Contracts Initiation on the Cash Market: A Comparative Analysis by Karathanassis, George & Sogiakas, Vasilios [Downloadable!] 2007 Empirically Based Modeling in the Social Sciences and Spurious Stylized Facts by Bassler, Kevin E. & Gunaratne, Gemunu H. & McCauley, Joseph L. [Downloadable!] 2007 Developing the concept of Sustainable Peace using Econometrics and scenarios granting Sustainable Peace in Colombia by year 2019 by Gomez-Sorzano, Gustavo [Downloadable!] 2007 Hysteresis in Unemployment: Panel Unit Roots Tests Using State Level Data by Mohan, Ramesh & Kemegue, Francis & Sjuib, Fahlino [Downloadable!] 2007 Estimation and decomposition of downside risk for portfolios with non-normal returns by Boudt, Kris & Peterson, Brian & Croux, Christophe [Downloadable!] 2007 Forecasting volatility: Evidence from the Macedonian stock exchange by Kovačić, Zlatko [Downloadable!] 2007 Price of recreational products and the exchange rate: an empirical investigation on US data by Cellini, Roberto & Paolino, Alessandro [Downloadable!] 2007 Cycles of violence, and terrorist attacks index for the State of Oklahoma by Gómez-Sorzano, Gustavo [Downloadable!] 2007 Cycles of violence, and terrorist attacks index for the State of Michigan by Gómez-Sorzano, Gustavo [Downloadable!] 2007 Cycles of violence, and attacks index for the State of Florida by Gómez-sorzano, Gustavo [Downloadable!] 2007 Cycles of violence, and terrorist attacks index for the State of Missouri by Gómez-sorzano, Gustavo [Downloadable!] 2007 Volatility Proxies for Discrete Time Models by de Vilder, Robin G. & Visser, Marcel P. [Downloadable!] 2007 Terrorist murder, cycles of violence, and attacks index for the City of Philadelphia during the last two centuries by Gómez-sorzano, Gustavo [Downloadable!] 2007 A note on least squares fitting of signal waveforms by Mishra, SK [Downloadable!] 2007 Cycles of violence, and terrorist attacks index for the State of Arkansas by Gómez-Sorzano, Gustavo [Downloadable!] 2007 Cycles of violence, and terrorist attacks index for the State of Washington by Gómez-Sorzano, Gustavo [Downloadable!] 2007 Cycles of violence, riots, and terrorist attacks index for the State of California by Gómez-sorzano, Gustavo [Downloadable!] 2007 Institutional rigidities and employment rigidity on the Italian labour larket by Jiménez-Rodríguez, Rebeca & Russo, Giuseppe [Downloadable!] 2007 Cycles of violence and terrorist attacks index for the State of Arizona by Gómez-Sorzano, Gustavo [Downloadable!] 2007 Cycles of violence, and terrorist attacks index for the State of Massachusetts by Gómez-Sorzano, Gustavo [Downloadable!] 2007 Terrorist murder, cycles of violence, and terrorist attacks in New York City during the last two centuries by Gomez-Sorzano, Gustavo [Downloadable!] 2007 Does Black’s Hypothesis for Output Variability Hold for Mexico? by Macri, Joseph & Sinha, Dipendra [Downloadable!] 2007 Predictive Performance of Conditional Extreme Value Theory and Conventional Methods in Value at Risk Estimation by Ghorbel, Ahmed & Trabelsi, Abdelwahed [Downloadable!] 2007 Robustness of the Risk-Return Relationship in the U.S. Stock Market by Lanne, Markku & Luoto, Jani [Downloadable!] 2007 Deterministic and stochastic trends in the time series models: A guide for the applied economist by Rao, B. Bhaskara [Downloadable!] 2007 The Financial Development and Economic Growth Nexus for Turkey by Halicioglu, Ferda [Downloadable!] 2007 A Multivariate Causality Analysis of Export and Growth for Turkey by Halicioglu, Ferda [Downloadable!] 2007 The Bilateral J-curve: Turkey versus her 13 Trading Partners by Halicioglu, Ferda [Downloadable!] 2007 Price Volatility of the Mexican Export Crude Oil Blend by Dávila-Pérez, Javier & Nuñez-Mora, Jose Antonio & Ruiz-Porras, Antonio [Downloadable!] 2007 The effects of technology-as-knowledge on the economic performance of developing countries: An econometric analysis using annual publications data for Botswana, Namibia, and South Africa, 1976-2004 by Amavilah, Voxi Heinrich [Downloadable!] 2007 The expectations hypothesis of the term structure: some empirical evidence for Portugal by Silva Lopes, Artur C. & M. Monteiro, Olga Susana [Downloadable!] 2007 Biases in calculating dumping Margins: The case of cyclical products by Rude, James & Gervais, Jean-Philippe [Downloadable!] 2007 Forecasting Mango and Citrus Production in Nigeria: A Trend analysis by Yusuf, Sulaiman Adesina & Salau, Adekunle Sheu [Downloadable!] 2007 Toda and Yamamoto Causality Tests Between Per Capita Saving and Per Capita GDP for India by Sinha, Dipendra & Sinha, Tapen [Downloadable!] 2007 Effects of Volatility of Exports in the Philippines and Thailand by Sinha, Dipendra [Downloadable!] 2007 Does the Wagner’s Law hold for Thailand? A Time Series Study by Sinha, Dipendra [Downloadable!] 2007 Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts? by Weron, Rafal & Misiorek, Adam [Downloadable!] 2007 Efficient Estimation of the Parameter Path in Unstable Time Series Models by Mueller, Ulrich & Petalas, Philippe-Emmanuel [Downloadable!] 2007 Trade Liberalisation, Financial Development and Economic Growth by Muhammad Arshad Khan & Abdul Qayyum [Downloadable!] 2007 Real-Time Measurement of Business Conditions, Second Version by S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti [Downloadable!] 2007 Real-Time Measurement of Business Conditions by S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti [Downloadable!] 2007 A New Mixing Condition by Brendan K. Beare [Downloadable!] 2007 Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment by Jeremy Large [Downloadable!] 2007 Stability of nonlinear AR-GARCH models by Mika Meitz & Pentti Saikkonen [Downloadable!] 2007 Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models by Mika Meitz & Pentti Saikkonen [Downloadable!] 2007 Real Convergence, Price Level Convergence and Inflation Differentials in Europe by Balázs Égert [Downloadable!] 2007 Monetary Policy and Macroeconomic Stability in Latin America: The Cases of Brazil, Chile, Colombia and Mexico by Luiz de Mello & Diego Moccero [Downloadable!] 2007 RBCs and DSGEs:The Computational Approach to Business Cycle Theory and Evidence by Özer Karagedikli & Troy Matheson & Christie Smith & Shaun P. Vahey [Downloadable!] 2007 Which nonlinearity in the Phillips curve? The absence of accelerating deflation in Japan by Emmanuel De Veirman [Downloadable!] 2007 No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications by Torben G. Andersen & Tim Bollerslev & Dobrislav Dobrev [Downloadable!] 2007 Self-Protection and Insurance with Interdependencies by Alexander Muermann & Howard Kunreuther [Downloadable!] 2007 Deterministic and Stochastic Prisoner's Dilemma Games: Experiments in Interdependent Security by Howard Kunreuther & Gabriel Silvasi & Eric T. Bradlow & Dylan Small [Downloadable!] 2007 Assessing the Gap between Observed and Perceived Inflation in the Euro Area : Is the Credibility of the HICP at Stake ? by Luc Aucremanne & Marianne Collin & Thomas Stragier [Downloadable!] 2007 A Quarterly Post-World War II Real GDP Series for New Zealand by Viv Hall & John McDermott [Downloadable!] 2007 A state space model for exponential smoothing with group seasonality by Pim Ouwehand & Rob J. Hyndman & Ton G. de Kok & Karel H. van Donselaar [Downloadable!] 2007 Automatic time series forecasting: the forecast package for R by Rob J. Hyndman & Yeasmin Khandakar [Downloadable!] 2007 An Assessment of Alternative State Space Models for Count Time Series by Ralph D. Snyder & Gael M. Martin & Phillip Gould & Paul D. Feigin [Downloadable!] 2007 Non-linear exponential smoothing and positive data by Muhammad Akram & Rob J. Hyndman & J. Keith Ord [Downloadable!] 2007 Hierarchical forecasts for Australian domestic tourism by George Athanasopoulos & Roman A. Ahmed & Rob J. Hyndman [Downloadable!] 2007 Effet peso : présentation théorique et application à la politique monétaire by Nicolas Million [Downloadable!] 2007 Monetary information arrivals and intraday exchange rate volatility : A comparison of the GARCH and the EGARCH models by Darmoul Mokhtar & Nizar Harrathi [Downloadable!] 2007 A Panel-CADF Test for Unit Roots by Costantini, Mauro & Lupi, Claudio & Popp, Stephan [Downloadable!] 2007 The Maximum Lq-Likelihood Method: an Application to Extreme Quantile Estimation in Finance by Davide Ferrari & Sandra Paterlini [Downloadable!] 2007 How Frequently Does the Stock Price Jump? – An Analysis of High-Frequency Data with Microstructure Noises by Jin-Chuan Duan & András Fülöp [Downloadable!] 2007 The Law of One Price: Nonlinearities in Sectoral Real Exchange Rate Dynamics by Luciana Juvenal & Mark P. Taylor [Downloadable!] 2007 Forecasting Exchange Rate Volatility with High Frequency Data: Is the Euro Different? by Georgios Chortareas & John Nankervis & Ying Jiang [Downloadable!] 2007 Effects of Exchange Rate Volatility on the Volume and Volatility of Bilateral Exports by Christopher F Baum & Mustafa Caglayan [Downloadable!] 2007 Purchasing Power Parity among developing countries and their trade-partners. Evidence from selected CEECs and Implications for their membership of EU by Nikolaos Giannellis & Athanasios P. Papadopoulos [Downloadable!] 2007 A real-time analysis of the Swiss trade account by Jan Jacobs & Jan-Egbert Sturm [Downloadable!] 2007 Inflation persistence in the euro-area, US, and new members of the EU: Evidence from time-varying coefficient models by Zsolt Darvas & Balázs Varga [Downloadable!] 2007 Inflation, inflation uncertainty, and Markov regime switching heteroskedasticity: Evidence from European countries by Donal Bredin & Stilianos Fountas [Downloadable!] 2007 Leading indicator properties of the US corporate spreads by Nektarios Aslanidis & Andrea Cipollini [Downloadable!] 2007 Estimation Bias and Inference in Overlapping Autoregressions: Implications for the Target Zone Literature by Zsolt Darvas [Downloadable!] 2007 Modelling good and bad volatility by Matteo Pelagatti [Downloadable!] 2007 Mixed Exponential Power Asymmetric Conditional Heteroskedasticity by Mohammed Bouaddi & Jeroen V.K. Rombouts [Downloadable!] 2007 Theory and Inference for a Markov-Switching GARCH Model by Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts [Downloadable!] 2007 Nonparametric Density Estimation for Multivariate Bounded Data by Taoufik Bouezmarni & Jeroen V.K. Rombouts [Downloadable!] 2007 Semiparametric Multivariate Density Estimation for Positive Data Using Copulas by Taoufik Bouezmarni & Jeroen V.K. Rombouts [Downloadable!] 2007 Trend Extraction From Time Series With Missing Observations by Schlicht, Ekkehart [Downloadable!] 2007 Trend Extraction From Time Series With Structural Breaks by Schlicht, Ekkehart [Downloadable!] 2007 Evaluating the Synchronisation of the Eurozone Business Cycles using Multivariate Coincident Macroeconomic Indicators by Xiaoshan Chen [Downloadable!] 2007 A New Look at Economic Convergence in Europe: A Common Factor Approach by Bettina Becker & Stephen G. Hall [Downloadable!] 2007 Likelihood Inference for a Nonstationary Fractional Autoregressive Model by Søren Johansen & Morten Ørregaard Nielsen [Downloadable!] 2007 Selecting a Regression Saturated by Indicators by David F. Hendry & Søren Johansen & Carlos Santos [Downloadable!] 2007 Correlation, Regression, and Cointegration of Nonstationary Economic Time Series by Søren Johansen [Downloadable!] 2007 The High-Frequency Response of the EUR-US Dollar Exchange Rate to ECB Monetary Policy Announcements by Christian Conrad & Michael J. Lamla [Downloadable!] 2007 Non-negativity Conditions for the Hyperbolic GARCH Model by Christian Conrad [Downloadable!] 2007 Efficacy of Fiscal Policy in Japan: Keynesian and Non-Keynesian Effects on Aggregate Demand by Yusuke Kinari & Masahiko Shibamoto 2007 The determinants of allowance prices in the European Emissions Trading Scheme - Can we expect an efficient allowance market 2008? by Wilfried Rickels & Vicki Duscha & Andreas Keller & Sonja Peterson [Downloadable!] 2007 Changes in the Balance of Power Between the Wage and Price Setters and the Central Bank: Consequences for the Phillips Curve and the NAIRU by Jürgen Kromphardt & Camille Logeay [Downloadable!] 2007 Inflation Expectations, the Phillips Curve and Monetary Policy by Fabien Curto Millet [Downloadable!] 2007 Panel Unit Root Tests in the Presence of a Multifactor Error Structure by M. Hashem Pesaran & L. Vanessa Smith & Takashi Yamagata [Downloadable!] 2007 Three methods of forecasting currency crises: Which made the run in signaling the South African currency crisis of June 2006? by Tobias Knedlik & Rolf Scheufele [Downloadable!] 2007 The Role Of Commodity Terms Of Trade In Determining The Real Exchange Rates Of Mediterranean Countries by Juan Carlos Cuestas & Javier Ordoñez & Mariam Camarero [Downloadable!] 2007 Nonlinear Trend Stationarity Of Real Exchange Rates: The Case Of The Mediterranean Countries by Juan Carlos Cuestas & Javier Ordoñez & Mariam Camarero [Downloadable!] 2007 Estimates of Structural Changes in the Wage Equation:Some Evidence for Italy by Mauro Costantini & Sergio de Nardis [Downloadable!] 2007 Non parametric Fractional Cointegration Analysis by Mauro Costantini & Roy Cerqueti [Downloadable!] 2007 Multicointegration, polynomial cointegration and I(2) cointegration with structural breaks. An application to the sustainability of the US external deficit by Vanessa Berenguer-Rico & Josep Lluís Carrion-i-Silvestre [Downloadable!] 2007 Consumo de Acero, Inversión y Producto en América Latina. Un Análisis de Cointegración y de la Dinámica de Corto Plazo by Juan Eduardo Coeymans. [Downloadable!] 2007 Estimation Risk Effects on Backtesting For Parametric Value-at-Risk Models by Juan Carlos Escanciano & Jose Olmo [Downloadable!] 2007 A re-assessment of German import demand by Sabine Stephan [Downloadable!] 2007 Reconsidering the Investment-Profit Nexus in Finance-Led Economies: an ARDL-Based Approach by Till van Treeck [Downloadable!] 2007 Testing for Coefficient Stability of AR(1) Model When the Null is an Integrated or a Stationary Process by Daisuke Nagakura [Downloadable!] 2007 Forecasting Global Flows by Skriner, Edith [Downloadable!] 2007 Correlation testing in time series, spatial and cross-sectional data by Peter Robinson [Downloadable!] 2007 An Analysis of Foreign Tourism Demand for Croatian Destinations: Long-Run Elasticity Estimates by Andrea Mervar & James E. Payne [Downloadable!] 2007 Mixed Exponential Power Asymmetric Conditional Heteroskedasticity by Mohammed Bouaddi & Jeroen V.K. Rombouts [Downloadable!] 2007 Theory and inference for a Markov switching Garch model by Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts [Downloadable!] 2007 Enhanced routines for instrumental variables/GMM estimation and testing by Christopher F Baum & Mark E. Schaffer & Steven Stillman [Downloadable!] 2007 In this paper, we give an overview of the state-of-the-art in the econometric literature on the modeling of so-called financial point processes. The latter are associated with the random arrival of specific financial trading events, such as transactions, quote updates, limit orders or price changes observable based on financial high-frequency data. After discussing fundamental statistical concepts of point process theory, we review durationbased and intensity-based models of financial point processes. Whereas duration-based approaches are mostly preferable for univariate time series, intensity-based models provide powerful frameworks to model multivariate point processes in continuous time. We illustrate the most important properties of the individual models and discuss major empirical applications by Luc Bauwens & Nikolaus Hautsch [Downloadable!] 2007 A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter by Wen-Jen Tsay & Wolfgang Härdle [Downloadable!] 2007 Are Correlations Constant Over Time? Application of the CC-TRIGt-test to Return Series from Different Asset Classes by Matthias Fischer [Downloadable!] 2007 Money and Inflation by Ansgar Belke & Thorsten Polleit [Downloadable!] 2007 Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? by Peter C. B. Phillips & Yangru Wu & Jun Yu [Downloadable!] 2007 Nominal Exchange Rate Flexibility and Real Exchange Rate Adjustment: New Evidence from Dual Exchange Rates in Developing Countries by Yin-wong Cheung & Kon S. Lai [Downloadable!] 2007 Assessing the Credibility of The Convertibility Zone of The Hong Kong Dollar by Laurence Fung & Ip-wing Yu [Downloadable!] 2007 Assessing Bond Market Integration in Asia by Ip-wing Yu & Laurence Fung & Chi-sang Tam [Downloadable!] 2007 Assessing Financial Market Integration In Asia - Equity Markets by Ip-wing Yu & Laurence Fung & Chi-sang Tam [Downloadable!] 2007 Along the Forward Curve for Natural Gas: Unobservable Shocks and Dynamic Correlations by Spargoli, Fabrizio & Zagaglia, Paolo [Downloadable!] 2007 The Comovements between Futures Markets for Crude Oil: Evidence from a Structural GARCH Model by Spargoli, Fabrizio & Zagaglia, Paolo [Downloadable!] 2007 Conditional Leptokurtosis in Energy Prices: Multivariate Evidence from Futures Markets by Marzo, Massimiliano & Zagaglia, Paolo [Downloadable!] 2007 Volatility forecasting for crude oil futures by Marzo, Massimiliano & Zagaglia, Paolo [Downloadable!] 2007 A Note on the Pooling of Individual PANIC Unit Root Tests by Westerlund, Joakim [Downloadable!] 2007 Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form by Péguin-Feissolle, Anne & Strikholm, Birgit & Teräsvirta, Timo [Downloadable!] 2007 Stylized Facts of Return Series, Robust Estimates, and Three Popular Models of Volatility by Teräsvirta, Timo & Zhao, Zhenfang [Downloadable!] 2007 The Stability and Volatility of Electricity Prices: An Illustration of (lambda, sigma-2) Analysis by Bask, Mikael & Widerberg, Anna [Downloadable!] 2007 ‘Some unpleasant fiscal arithmetic’: the role of monetary and fiscal policy in public debt dynamics since the 1970s by Hasko, Harri [Downloadable!] 2007 Exchange rate volatility, macro announcements and the choice of intraday seasonality filtering method by Laakkonen, Helinä [Downloadable!] 2007 The Undisclosed Renminbi Basket: Are The Markets Telling Us Something About Where The Renminbi - US Dollar Exchange Rate Is Going? by Funke, Michael & Gronwald, Marc [Downloadable!] 2007 Modelling inflation in China – a regional perspective by Mehrotra, Aaron & Peltonen, Tuomas & Santos Rivera, Alvaro [Downloadable!] 2007 Volatility dependence across Asia-Pacific on-shore and off-shore U.S. dollar futures markets by Colavecchio , Roberta & Funke, Michael [Downloadable!] 2007 Dutch disease scare in Kazakhstan: Is it real? by Égert , Balázs & Leonard, Carol S. [Downloadable!] 2007 Testing for a break in persistence under long-range dependencies by Sibbertsen, Philipp & Kruse, Robinson [Downloadable!] 2007 Can we distinguish between common nonlinear time series models and long memory? by Kuswanto, Heri & Sibbertsen, Philipp [Downloadable!] 2007 The January Effect across Volatility Regimes by Bety Agnany & Henry Aray [Downloadable!] 2007 Euro Area Inflation: Aggregation Bias and Convergence by Joseph P. Byrne & Norbert Fiess [Downloadable!] 2007 Do real interest rates converge? Evidence from the European Union by Michael G. Arghyrou & Andros Gregoriou & Alexandros Kontonikas [Downloadable!] 2007 Euro Area Inflation Differentials: Unit Roots, Structural Breaks and Non-Linear Adjustment by Alberto Montagnoli & Andros Gregoriou & Alexandros Kontonikas [Downloadable!] 2007 Unit Roots in Inflation and Aggregation Bias by Joseph Byrne & Alexandros Kontonikas & Alberto Montagnoli [Downloadable!] 2007 The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis by Essahbi Essaadi & Jamel Jouini & Walih Khallouli [Downloadable!] 2007 Comparing smooth transition and Markov switching autoregressive models of US Unemployment by Philippe J. Deschamps [Downloadable!] 2007 Bayesian Estimation of a Markov-Switching Threshold Asymmetric GARCH Model with Student-t Innovations by David Ardia [Downloadable!] 2007 A Model for Multivariate Non-negative Valued Processes in Financial Econometrics by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo [Downloadable!] 2007 Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria by Christian T. Brownlees & Giampiero Gallo [Downloadable!] 2007 Regime Switching: Italian Financial Markets over a Century by Margherita Velucchi [Downloadable!] 2007 Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria by Christian T. Brownlees & Giampiero Gallo [Downloadable!] 2007 On the Interaction between Ultra–high Frequency Measures of Volatility by Giampiero Gallo & Margherita Velucchi [Downloadable!] 2007 Models of Political Cycles: The Czech Experience / Modely politického cyklu a jejich testování na podmínkách ČR [available in Czech only] by Radka Štiková [Downloadable!] 2007 Sample Kurtosis, GARCH-t and the Degrees of Freedom Issue by Maria S. Heracleous [Downloadable!] 2007 Forecasting economic growth for Estonia : application of common factor methodologies by Christian Schulz [Downloadable!] 2007 New Keynesian Phillips curve for Estonia, Latvia and Lithuania by Aurelijus Dabušinskas & Dmitry Kulikov [Downloadable!] 2007 Taylor Rules for the ECB using Consensus Data by Janko Gorter & Jan Jacobs & Jakob de Haan [Downloadable!] 2007 A Markov Switching Model of the Merit Order to Compare British and German Price Formation by Georg Zachmann [Downloadable!] 2007 Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models by Konrad Banachewicz & André Lucas [Downloadable!] 2007 Efficient Robust Estimation of Time-Series Regression Models by Cizek, P. [Downloadable!] 2007 Efficient Robust Estimation of Regression Models (Revision of DP 2006-08) by Cizek, P. [Downloadable!] 2007 Note on Integer-Valued Bilinear Time Series Models by Drost, F.C. & Akker, R. van den & Werker, B.J.M. [Downloadable!] 2007 Adaptive Pointwise Estimation in Time-Inhomogeneous Time-Series Models by Cizek, P. & Haerdle, W. & Spokoiny, V. [Downloadable!] 2007 Efficient Estimation of Autoregression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR(p) Models (Subsequently replaced by DP 2008-53) by Drost, F.C. & Akker, R. van den & Werker, B.J.M. 2007 Robust and Efficient Adaptive Estimation of Binary-Choice Regression Models by Cizek, P. [Downloadable!] 2007 Revisiting the Price Elasticity of Gasoline Demand by Alfredo A. Romero [Downloadable!] 2007 Limit Theory for Explosively Cointegrated Systems by Peter C.B. Phillips & Tassos Magdalinos [Downloadable!] 2007 Tilted Nonparametric Estimation of Volatility Functions by Peter C.B. Phillips & Ke-Li Xu [Downloadable!] 2007 Long Run Covariance Matrices for Fractionally Integrated Processes by Peter C.B. Phillips & Chang Sik Kim [Downloadable!] 2007 Asymptotics for Stationary Very Nearly Unit Root Processes by Donald W.K. Andrews & Patrik Guggenberger [Downloadable!] 2007 GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity by Chirok Han & Peter C.B. Phillips [Downloadable!] 2007 Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance by Peter C.B. Phillips & Jun Yu [Downloadable!] 2007 Theory and inference for a Markov switching GARCH model by Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS [Downloadable!] 2007 A Component GARCH Model with Time Varying Weights by Luc, BAUWENS & G., STORTI [Downloadable!] 2007 Nonlinear Exchange Rate Adjustment in the Enlarged Euro zone. Evidence and Implications for Candidate Countries by Nikolaos Giannellis & Athanasios Papadopoulos [Downloadable!] 2007 Backtesting VaR Models: An Expected Shortfall Approach by Timotheos Angelidis & Stavros Degiannakis [Downloadable!] 2007 Did Nordic Countries Recognize the Gathering Storm of World War II? Evidence from the Bond Markets by Daniel Waldenstrom & Bruno S. Frey [Downloadable!] 2007 (Un)Predictability and Macroeconomic Stability by D'Agostino, Antonello & Giannone, Domenico & Surico, Paolo [Downloadable!] 2007 Analyzing Strongly Periodic Series in the Frequency Domain: A Comparison of Alternative Approaches with Applications by Artis, Michael J & Clavel, Jose Garcia & Hoffmann, Mathias & Nachane, Dilip M [Downloadable!] 2007 Inflation Dynamics and Trade Openness by Aron, Janine & Muellbauer, John [Downloadable!] 2007 Aggregating Phillips Curves by Imbs, Jean & Jondeau, Eric & Pelgrin, Florian [Downloadable!] 2007 Shape of U.S. business cycle and long-run effects of recessions by Giacomo Carboni [Downloadable!] 2007 Inflation Persistence in New EU Member States: Is It Different Than in the Euro Area Members? by Michal Franta & Branislav Saxa & Katerina Smidkova [Downloadable!] 2007 Aggregating Phillips Curves by Jean Imbs & Eric Jondeau & Florian Pelgrin [Downloadable!] 2007 Estimation of the Equilibrium Real Exchange Rate in Russia: Trade-Balance Approach by Nadezhda Ivanova [Downloadable!] 2007 Consumer Confidence in Portugal – What does it really matter? by António Caleiro & Esmeralda Ramalho [Downloadable!] 2007 Assessing the Forecast Properties of the CESifo World Economic Climate Indicator: Evidence for the Euro Area by Oliver Hülsewig & Johannes Mayr & Stéphane Sorbe [Downloadable!] 2007 Forecasting Quarter-on-Quarter Changes of German GDP with Monthly Business Tendency Survey Results by Klaus Abberger [Downloadable!] 2007 Real Convergence, Price Level Convergence and Inflation Differentials in Europe by Balázs Egert [Downloadable!] 2007 Volatility of Exchange Rates in Selected New EU Members: Evidence from Daily Data by Jarko Fidrmuc & Roman Horváth [Downloadable!] 2007 Long Run and Cyclical Dynamics in the US Stock Market by Guglielmo Maria Caporale & Luis A. Gil-Alana [Downloadable!] 2007 The Fisher/Cobb-Douglas Paradox, Factor Shares, and Cointegration by Robert Chirinko & Debdulal Mallick [Downloadable!] 2007 Deterministic versus Stochastic Seasonal Fractional Integration and Structural Breaks by Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana [Downloadable!] 2007 What Explains Germany’s Rebounding Export Market Share? by Stephan Danninger & Fred Joutz [Downloadable!] 2007 A Multivariate Long-Memory Model with Structural Breaks by Guglielmo Maria Caporale & Luis A. Gil-Alana [Downloadable!] 2007 Cointegration Analysis with Mixed-Frequency Data by Byeongchan Seong & Sung K. Ahn & Peter A. Zadrozny [Downloadable!] 2007 Aggregate Wage Flexibility in Selected New EU Member States by Ian Babetskii [Downloadable!] 2007 Fractional Cointegration In StochasticVolatility Models by Afonso Gonçalves da Silva & Peter M Robinson [Downloadable!] 2007 Specification Testing Forregression Models Withdependent Data by Javier Hidalgo [Downloadable!] 2007 Capturing asymmetry in real exchange rate with quantile autoregression by Mauro S. Ferreira [Downloadable!] 2007 Do real interest rates converge? 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