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Citations for "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix"

by Whitney K. Newey & Kenneth D. West

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  1. Michael R. Baye & John Morgan, 2005. "Brand and Price Advertising in Online Markets," Working Papers, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy 2005-08, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy.
  2. Rangvid, Jesper, 2006. "Output and expected returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 81(3), pages 595-624, September.
  3. Nielsen, Thea & Zeller, Manfred, 2013. "The Impact of Shocks on Risk Preference Changes between Seasons for Smallholder Farmers in Vietnam," 53rd Annual Conference, Berlin, Germany, September 25-27, 2013 156101, German Association of Agricultural Economists (GEWISOLA).
  4. Francq, Christian & Makarova, Svetlana & Zakoi[diaeresis]an, Jean-Michel, 2008. "A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test," Journal of Econometrics, Elsevier, Elsevier, vol. 142(1), pages 312-326, January.
  5. Vitek, Francis, 2006. "Monetary Policy Analysis in a Small Open Economy: A Dynamic Stochastic General Equilibrium Approach," MPRA Paper 800, University Library of Munich, Germany.
  6. Jose Renato Haas Ornelas & Antonio Francisco de Almeida Silva Jr, 2014. "Testing the Liquidity Preference Hypothesis using Survey Forecasts," Working Papers Series, Central Bank of Brazil, Research Department 353, Central Bank of Brazil, Research Department.
  7. Dovonon, Prosper, 2008. "Large sample properties of the three-step euclidean likelihood estimators under model misspecification," MPRA Paper 40025, University Library of Munich, Germany, revised 16 May 2010.
  8. Deniz Dilan Karaman Örsal, 2007. "Comparison of Panel Cointegration Tests," SFB 649 Discussion Papers SFB649DP2007-029, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  9. Jon A. Christopherson & Wayne E. Ferson & Debra A. Glassman, 1996. "Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance," NBER Working Papers 5830, National Bureau of Economic Research, Inc.
  10. Dennis Kristensen, 2004. "A Semiparametric Single-Factor Model of the Term Structure," FMG Discussion Papers, Financial Markets Group dp501, Financial Markets Group.
  11. Gordon M. Bodnar & M.H. Franco Wong, 2000. "Estimating Exchange Rate Exposures: Some "Weighty" Issues," NBER Working Papers 7497, National Bureau of Economic Research, Inc.
  12. Cao, Charles & Liang, Bing & Lo, Andrew W. & Petrasek, Lubomir, 2014. "Hedge fund holdings and stock market efficiency," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2014-36, Board of Governors of the Federal Reserve System (U.S.).
  13. Sandrine Lardic & Valérie Mignon, 2003. "Cointégration fractionnaire entre la consommation et le revenu," Économie et Prévision, Programme National Persée, Programme National Persée, vol. 158(2), pages 123-142.
  14. Vatthanamixay Chansomphou & Masaru Ichihashi, 2011. "Foreign aid, foreign direct investment and economic growth of Lao PDR," IDEC DP2 Series 1-2, Hiroshima University, Graduate School for International Development and Cooperation (IDEC).
  15. Ravikumar, B. & Ray, Surajit & Savin, N.E., 1999. "CAPM Reconsidered: A Robust Finite Sample Evaluation," Working Papers, University of Iowa, Department of Economics 99-04, University of Iowa, Department of Economics.
  16. Carr, Peter & Wu, Liuren, 2007. "Stochastic skew in currency options," Journal of Financial Economics, Elsevier, Elsevier, vol. 86(1), pages 213-247, October.
  17. Arslan, Mesut Murat, 2005. "Derivation and Estimation of a Phillips Curve with Sticky Prices and Sticky Information," MPRA Paper 5162, University Library of Munich, Germany, revised Sep 2007.
  18. Francisco J. Goerlich, 1994. "Comportamiento cíclico de la productividad en la industria: shocks de oferta versus shocks de demanda," Investigaciones Economicas, Fundación SEPI, Fundación SEPI, vol. 18(3), pages 491-515, September.
  19. M. Hashem Pesaran & Andreas Pick & Allan Timmermann, 2009. "Variable Selection and Inference for Multi-period Forecasting Problems," CESifo Working Paper Series 2543, CESifo Group Munich.
  20. Matthew Higgins & Egon Zakrajsek, 1999. "Purchasing power parity: three stakes through the heart of the unit root null," Staff Reports, Federal Reserve Bank of New York 80, Federal Reserve Bank of New York.
  21. Bleich, Dirk & Fendel, Ralf & Rülke, Jan-Christoph, 2012. "Inflation targeting makes the difference: Novel evidence on inflation stabilization," Journal of International Money and Finance, Elsevier, Elsevier, vol. 31(5), pages 1092-1105.
  22. Bofinger, Peter & Schmidt, Robert, 2004. "Should One Rely on Professional Exchange Rate Forecasts? An Empirical Analysis of Professional Forecasts for the €/US$ Rate," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4235, C.E.P.R. Discussion Papers.
  23. Helen Popper, 1995. "Term premia comovement in German, Japanese, and U.S. domestic markets," Open Economies Review, Springer, Springer, vol. 6(1), pages 49-62, January.
  24. Jiang Cheng & Elyas Elyasiani & Jingyi (Jane) Jia, 2011. "Institutional Ownership Stability and Risk Taking: Evidence from the Life-Health Insurance Industry," NFI Working Papers 2011-WP-14, Indiana State University, Scott College of Business, Networks Financial Institute.
  25. Tsay, Wen-Jen, 2000. "Long memory story of the real interest rate," Economics Letters, Elsevier, Elsevier, vol. 67(3), pages 325-330, June.
  26. James M. Poterba, 1989. "Dividends, Capital Gains, and the Corporate Veil: Evidence from Britain, Canada, and the United States," NBER Working Papers 2975, National Bureau of Economic Research, Inc.
  27. Kearney, Colm & Poti, Valerio, 2006. "Correlation dynamics in European equity markets," Research in International Business and Finance, Elsevier, Elsevier, vol. 20(3), pages 305-321, September.
  28. Côté, Denise & Johnson, Marianne, 1998. "Consumer Attitudes, Uncertainty, and Consumer Spending," Working Papers, Bank of Canada 98-16, Bank of Canada.
  29. Francis Vitek, 2005. "An Unobserved Components Model of the Monetary Transmission Mechanism in a Closed Economy," Macroeconomics, EconWPA 0512018, EconWPA, revised 04 Feb 2006.
  30. Rolf Scheufele, 2008. "Evaluating the German (New Keynesian) Phillips Curve," IWH Discussion Papers, Halle Institute for Economic Research 10, Halle Institute for Economic Research.
  31. Söhnke M. Bartram & Gregory Brown & René M. Stulz, 2012. "Why Are U.S. Stocks More Volatile?," Journal of Finance, American Finance Association, American Finance Association, vol. 67(4), pages 1329-1370, 08.
  32. Jondeau, E. & Le Bihan, H., 2003. "ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the New Phillips Curve)," Working papers, Banque de France 103, Banque de France.
  33. Narayana R. Kocherlakota & Luigi Pistaferri, 2007. "Household Heterogeneity and Real Exchange Rates," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 117(519), pages C1-C25, 03.
  34. Chinn, Menzie D. & Meese, Richard A., 1995. "Banking on currency forecasts: How predictable is change in money?," Journal of International Economics, Elsevier, Elsevier, vol. 38(1-2), pages 161-178, February.
  35. Jeffrey LaFrance & Rulon Pope & Richard Just, 2008. "Agricultural Arbitrage and Risk Preferences," Working Papers, School of Economic Sciences, Washington State University 2009-01, School of Economic Sciences, Washington State University.
  36. Flynn, Sean Masaki, 2004. "Arbitrage in Closed-end Funds: New Evidence," Vassar College Department of Economics Working Paper Series, Vassar College Department of Economics 57, Vassar College Department of Economics.
  37. Christian Walter & Jose A. Lopez, 2000. "Is implied correlation worth calculating? Evidence from foreign exchange options and historical data," Working Paper Series, Federal Reserve Bank of San Francisco 2000-02, Federal Reserve Bank of San Francisco.
  38. Kyriazidou, Ekaterini, 1998. "Testing for serial correlation in multivariate regression models," Journal of Econometrics, Elsevier, Elsevier, vol. 86(2), pages 193-220, June.
  39. Würzburg, Klaas & Labandeira, Xavier & Linares, Pedro, 2013. "Renewable generation and electricity prices: Taking stock and new evidence for Germany and Austria," Energy Economics, Elsevier, Elsevier, vol. 40(S1), pages S159-S171.
  40. Piergallini, Alessandro & Postigliola, Michele, 2011. "Fiscal Policy and Public Debt Dynamics in Italy," MPRA Paper 28200, University Library of Munich, Germany.
  41. Kan, Raymond & Robotti, Cesare, 2011. "On the estimation of asset pricing models using univariate betas," Economics Letters, Elsevier, Elsevier, vol. 110(2), pages 117-121, February.
  42. Adam Copeland & George Hall, 2005. "The Response of Prices, Sales, and Output to Temporary Changes in Demand," NBER Working Papers 11870, National Bureau of Economic Research, Inc.
  43. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2010. "Forecasting Nevada Gross Gaming Revenue and Taxable Sales Using Coincident and Leading Employment Indexes," Working Papers 201018, University of Pretoria, Department of Economics.
  44. Conley, T.G. & Udry, C.R., 2000. "Learning about a New Technology: Pineapple in Ghana," Papers, Yale - Economic Growth Center 817, Yale - Economic Growth Center.
  45. Jong, R.M. de & Davidson, J., 1996. "Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices," Discussion Paper, Tilburg University, Center for Economic Research 1996-52, Tilburg University, Center for Economic Research.
  46. Guggenberger, Patrik & Ramalho, Joaquim J.S. & Smith, Richard J., 2012. "GEL statistics under weak identification," Journal of Econometrics, Elsevier, Elsevier, vol. 170(2), pages 331-349.
  47. Salah A. Nusair, 2006. "Real Interest Rate Parity: Evidence from Industrialized Countries," Annals of Economics and Finance, Society for AEF, vol. 7(2), pages 425-457, November.
  48. Bali, Turan G. & Cakici, Nusret & Levy, Haim, 2008. "A model-independent measure of aggregate idiosyncratic risk," Journal of Empirical Finance, Elsevier, Elsevier, vol. 15(5), pages 878-896, December.
  49. Easley, David & Hendershott, Terrence & Ramadorai, Tarun, 2014. "Leveling the trading field," Journal of Financial Markets, Elsevier, Elsevier, vol. 17(C), pages 65-93.
  50. Proaño, Christian R., 2012. "Gradual wage-price adjustments, labor market frictions and monetary policy rules," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 82(1), pages 220-235.
  51. Salvador BARROS & Marius BRÜLHART & Robert J.R. ELLIOTT & Marianne SENSIER, 2001. "A Tale of Two Cycles: Co-Fluctuations Between UK Regions and the Euro Zone," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP), Université de Lausanne, Faculté des HEC, DEEP 01.10, Université de Lausanne, Faculté des HEC, DEEP.
  52. Annaert, Jan & De Ceuster, Marc & Verstegen, Kurt, 2013. "Are extreme returns priced in the stock market? European evidence," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(9), pages 3401-3411.
  53. Kenneth D. West & Hali J. Edison & Dongchul Cho, 1993. "A utility based comparison of some models of exchange rate volatility," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 441, Board of Governors of the Federal Reserve System (U.S.).
  54. Ming-Shiun Pan & L. Hsueh, 1998. "Transmission of Stock Returns and Volatility between the U.S. and Japan: Evidence from the Stock Index Futures Markets," Asia-Pacific Financial Markets, Springer, Springer, vol. 5(3), pages 211-225, November.
  55. Rülke, Jan-Christoph, 2012. "Do professional forecasters in Asian–Pacific countries believe in the monetary neutrality?," Economics Letters, Elsevier, Elsevier, vol. 117(1), pages 178-181.
  56. David, J-F. & Ghysels, E., 1989. "Y A-T-Il Des Biais Systematiques Dans Les Annonces Budgetaires Canadiennes?," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 8912, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  57. Dahlquist, Magnus & Sallstrom, Torbjorn, 2002. "An Evaluation of International Asset Pricing Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3145, C.E.P.R. Discussion Papers.
  58. Linda S. Goldberg & Christian Grisse, 2013. "Time variation in asset price responses to macro announcements," Working Papers 2013-11, Swiss National Bank.
  59. Owain Ap Gwilym & Mike Buckle, 1999. "Volatility forecasting in the framework of the option expiry cycle," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 5(1), pages 73-94.
  60. Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 795R, Cowles Foundation for Research in Economics, Yale University, revised Sep 1987.
  61. Malliaropulos, Dimitrios, 1998. "International stock return differentials and real exchange rate changes," Journal of International Money and Finance, Elsevier, Elsevier, vol. 17(3), pages 493-511, June.
  62. Kleopatra Nikolaou & Lucio Sarno, 2005. "New Evidence on the Forward Unbiasedness Hypothesis in the Foreign Exchange Market," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group 77, Money Macro and Finance Research Group.
  63. Baghestani, Hamid, 2010. "How well do experts predict interbank loan rates and spreads?," Economics Letters, Elsevier, Elsevier, vol. 109(1), pages 4-6, October.
  64. S. Lardic & V. Mignon, 2002. "Fractional cointegration and term structure of interest rates," THEMA Working Papers 2002-28, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  65. Christoffersen, Peter & Ghysels, Eric & Swanson, Norman R., 2002. "Let's get "real" about using economic data," Journal of Empirical Finance, Elsevier, Elsevier, vol. 9(3), pages 343-360, August.
  66. Cebula, Richard, 2014. "An Investigation into the Impact of Federal Government Budget Deficits on the Ex Ante Real Interest Rate Yield on Treasury Notes in the U.S," MPRA Paper 57317, University Library of Munich, Germany.
  67. Edilean Kleber da Silva Bejarano Aragón & Marcelo Savino Portugal, 2008. "Nonlinearities in Central Bank of Brazil’s reaction function: the case of asymmetric preferences," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of G 200807151356590, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  68. Fujihara, Roger A. & Mougoue, Mbodja, 1996. "International linkages between short-term real interest rates," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 36(4), pages 451-473.
  69. Hamilton, James Douglas & Kim, Dong Heon, 2000. "A Re-examination of the Predictability of Economic Activity Using the Yield Spread," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego qt69v8p1m9, Department of Economics, UC San Diego.
  70. Park, Joon Y. & Shin, Kwanho & Whang, Yoon-Jae, 2010. "A semiparametric cointegrating regression: Investigating the effects of age distributions on consumption and saving," Journal of Econometrics, Elsevier, Elsevier, vol. 157(1), pages 165-178, July.
  71. Kiesel, Kristin & Villas-Boas, Sofia Berto, 2010. "Can Information Costs Affect Consumer Choice?—Nutritional Labels in a Supermarket Experiment—," 115th Joint EAAE/AAEA Seminar, September 15-17, 2010, Freising-Weihenstephan, Germany, European Association of Agricultural Economists;Agricultural and Applied Economics Association 116433, European Association of Agricultural Economists;Agricultural and Applied Economics Association.
  72. Charlotte Christiansen & Angelo Ranaldo & Paul Söderllind, 2009. "The Time-Varying Systematic Risk of Carry Trade Strategies," CREATES Research Papers 2009-15, School of Economics and Management, University of Aarhus.
  73. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise," Econometrica, Econometric Society, Econometric Society, vol. 76(6), pages 1481-1536, November.
  74. Ka-Fu Wong & Hai-Jun Wu, 2003. "Testing Fisher hypothesis in long horizons for G7 and eight Asian countries.1," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 10(14), pages 917-923.
  75. TEYSSIERE, Gilles, 2003. "Interaction models for common long-range dependence in asset price volatilities," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2003026, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  76. Michael Baker & Abigail Payne, 1998. "An empirical study of matching grants: The "cap on CAP"," Working Papers, University of Toronto, Department of Economics msmart-98-03, University of Toronto, Department of Economics.
  77. Alexander K. Koch & Zdravetz Lazarov, 2005. "Clustering of Trading Activity in the DAX Index Options Market," Royal Holloway, University of London: Discussion Papers in Economics, Department of Economics, Royal Holloway University of London 05/02, Department of Economics, Royal Holloway University of London, revised Mar 2005.
  78. Vassalou, Maria, 2001. "News Related to Future GDP Growth as a Risk Factor in Equity Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3057, C.E.P.R. Discussion Papers.
  79. Thomas A. Lubik & Paolo Surico, 2006. "The Lucas critique and the stability of empirical models," Working Paper, Federal Reserve Bank of Richmond 06-05, Federal Reserve Bank of Richmond.
  80. Matheson, Troy D., 2008. "Phillips curve forecasting in a small open economy," Economics Letters, Elsevier, Elsevier, vol. 98(2), pages 161-166, February.
  81. Bris, Arturo & Cantale, Salvatore & Hrnjić, Emir & Nishiotis, George P., 2012. "The value of information in cross-listing," Journal of Corporate Finance, Elsevier, Elsevier, vol. 18(2), pages 207-220.
  82. Andrew J. Patton & Allan Timmermann, 2005. "Testable Implications of Forecast Optimality," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE /2005/485, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  83. Peter Rappoport & Eugene N. White, 1991. "Was there a bubble in the 1929 Stock Market?," NBER Working Papers 3612, National Bureau of Economic Research, Inc.
  84. Shawkat Hammoudeh & Duc Khuong Nguyen & Ricardo M. Sousa, 2014. "Energy prices and CO2 emission allowance prices: A quantile regression approach," Working Papers, Department of Research, Ipag Business School 2014-185, Department of Research, Ipag Business School.
  85. Raymond Kan & Cesare Robotti, 2007. "Model comparison using the Hansen-Jagannathan distance," Working Paper, Federal Reserve Bank of Atlanta 2007-04, Federal Reserve Bank of Atlanta.
  86. Akhter Faroque & William Veloce & Jean-Francois Lamarche, 2012. "Have structural changes eliminated the out-of-sample ability of financial variables to forecast real activity after the mid-1980s? Evidence from the Canadian economy," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 44(30), pages 3965-3985, October.
  87. Brown, Keith C. & Garlappi, Lorenzo & Tiu, Cristian, 2010. "Asset allocation and portfolio performance: Evidence from university endowment funds," Journal of Financial Markets, Elsevier, Elsevier, vol. 13(2), pages 268-294, May.
  88. Thiess Buettner, 2005. "The Incentive Effect of Fiscal Equalization Transfers on Tax Policy," CESifo Working Paper Series 1404, CESifo Group Munich.
  89. Joao Leitao & Cristovao Oliveira, 2005. "The Contagion Effect of the Terrorist Attacks of the 11th of September," Finance, EconWPA 0510006, EconWPA.
  90. Michael F. Bryan & Stephen G. Cecchetti, 1995. "The Seasonality of Consumer Prices," NBER Working Papers 5173, National Bureau of Economic Research, Inc.
  91. Lee, Dongin & Schmidt, Peter, 1996. "On the power of the KPSS test of stationarity against fractionally-integrated alternatives," Journal of Econometrics, Elsevier, Elsevier, vol. 73(1), pages 285-302, July.
  92. Hans Genberg & Laurent L. Pauwels, 2003. "An Open Economy New Keynesian Phillips Curve: Evidence from Hong Kong," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies 03-2003, Economics Section, The Graduate Institute of International Studies.
  93. Kamara, Avraham & Lou, Xiaoxia & Sadka, Ronnie, 2008. "The divergence of liquidity commonality in the cross-section of stocks," Journal of Financial Economics, Elsevier, Elsevier, vol. 89(3), pages 444-466, September.
  94. Tobias Adrian & Joshua Rosenberg, 2008. "Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk," Journal of Finance, American Finance Association, American Finance Association, vol. 63(6), pages 2997-3030, December.
  95. Erik Snowberg & Justin Wolfers & Eric Zitzewitz, 2006. "Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections," NBER Working Papers 12073, National Bureau of Economic Research, Inc.
  96. Joseph G. Haubrich & Andrew W. Lo, 1989. "The Sources and Nature of Long-term Memory in the Business Cycle," NBER Working Papers 2951, National Bureau of Economic Research, Inc.
  97. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2004. "Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise," Economics Papers 2004-W28, Economics Group, Nuffield College, University of Oxford.
  98. Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2004. "Does Financial Liberalization Spur Growth?," Working Paper Research, National Bank of Belgium 53, National Bank of Belgium.
  99. Dennis Kristensen, 2009. "Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models," CREATES Research Papers 2009-41, School of Economics and Management, University of Aarhus.
  100. Elena Andreou & Eric Ghysels, 2001. "Detecting Mutiple Breaks in Financial Market Volatility Dynamics," CIRANO Working Papers, CIRANO 2001s-65, CIRANO.
  101. Alexiadis, Stilianos & Eleftheriou, Konstantinos, 2010. "The Morphology of Income Convergence in US States: New Evidence using an Error-Correction-Model," MPRA Paper 20096, University Library of Munich, Germany.
  102. Valente, Giorgio, 2009. "International interest rates and US monetary policy announcements: Evidence from Hong Kong and Singapore," Journal of International Money and Finance, Elsevier, Elsevier, vol. 28(6), pages 920-940, October.
  103. Sophocles Mavroeidis, 2006. "Testing the New Keynesian Phillips Curve Without Assuming Identification," Working Papers 2006-13, Brown University, Department of Economics.
  104. Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2013. "Risk, uncertainty and monetary policy," Working Paper Series, European Central Bank 1565, European Central Bank.
  105. Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2005. "Liquidity and Expected Returns: Lessons From Emerging Markets," NBER Working Papers 11413, National Bureau of Economic Research, Inc.
  106. Nakaota, Hiroshi & Fukuta, Yuichi, 2013. "The leading indicator property of the term spread and the monetary policy factors in Japan," Japan and the World Economy, Elsevier, Elsevier, vol. 28(C), pages 85-98.
  107. Marian Berneburg, 2003. "Composite Leading Indicators der amerikanischen Wirtschaft - Prognosegüte des Conference Board und des OECD Ansatzes im Vergleich," IWH Discussion Papers, Halle Institute for Economic Research 172, Halle Institute for Economic Research.
  108. Oliver Linton & Pedro Gozalo, 1996. "Conditional Independence Restrictions: Testing and Estimation," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1140, Cowles Foundation for Research in Economics, Yale University.
  109. Ana Beatriz Galv�o, 2007. "Changes in Predictive Ability with Mixed Frequency Data," Working Papers, Queen Mary, University of London, School of Economics and Finance 595, Queen Mary, University of London, School of Economics and Finance.
  110. Byun, Suk Joon & Cho, Hangjun, 2013. "Forecasting carbon futures volatility using GARCH models with energy volatilities," Energy Economics, Elsevier, Elsevier, vol. 40(C), pages 207-221.
  111. Ye Cai & Mototsugu Shintani, 2005. "On the Long-Run Variance Ratio Test for a Unit Root," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics 0506, Vanderbilt University Department of Economics.
  112. Geert Bekaert & Seonghoon Cho & Antonio Moreno, 2010. "New Keynesian Macroeconomics and the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 42(1), pages 33-62, 02.
  113. Neumann, Rebecca M. & Penl, Ron & Tanku, Altin, 2009. "Volatility of capital flows and financial liberalization: Do specific flows respond differently?," International Review of Economics & Finance, Elsevier, Elsevier, vol. 18(3), pages 488-501, June.
  114. Eisdorfer, Assaf & Giaccotto, Carmelo & White, Reilly, 2013. "Capital structure, executive compensation, and investment efficiency," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(2), pages 549-562.
  115. Whang, Yoon-Jae & Andrews, Donald W. K., 1993. "Tests of specification for parametric and semiparametric models," Journal of Econometrics, Elsevier, Elsevier, vol. 57(1-3), pages 277-318.
  116. Schrimpf, Andreas & Wang, Qingwei, 2010. "A reappraisal of the leading indicator properties of the yield curve under structural instability," International Journal of Forecasting, Elsevier, Elsevier, vol. 26(4), pages 836-857, October.
  117. Andrew Ang & Monika Piazzesi, 2001. "A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables," NBER Working Papers 8363, National Bureau of Economic Research, Inc.
  118. Michael Dotsey, 1998. "The predictive content of the interest rate term spread for future economic growth," Economic Quarterly, Federal Reserve Bank of Richmond, Federal Reserve Bank of Richmond, issue Sum, pages 31-51.
  119. Cao, Charles & Simin, Timothy T. & Wang, Ying, 2013. "Do mutual fund managers time market liquidity?," Journal of Financial Markets, Elsevier, Elsevier, vol. 16(2), pages 279-307.
  120. Galvani, Valentina & Landon, Stuart, 2011. "Riding the Yield Curve: A Spanning Analysis," Working Papers 2011-19, University of Alberta, Department of Economics.
  121. Roberto Bande & Marika Karanassou, 2006. "Labour Market Flexibility and Regional Unemployment Rate Dynamics: Spain 1980-1995," Working Papers, Queen Mary, University of London, School of Economics and Finance 574, Queen Mary, University of London, School of Economics and Finance.
  122. Gustavo Abarca & José Gonzalo Rangel & Guillermo Benavides, 2010. "Exchange Rate Market Expectations and Central Bank Policy: The case of the Mexican Peso-US Dollar from 2005-2009," Working Papers, Banco de México 2010-17, Banco de México.
  123. Wu, Xueping, 2002. "A conditional multifactor analysis of return momentum," Journal of Banking & Finance, Elsevier, Elsevier, vol. 26(8), pages 1675-1696, August.
  124. Bansal, Ravi & Dahlquist, Magnus, 2001. "Sovereign Risk and Return in Global Equity Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3034, C.E.P.R. Discussion Papers.
  125. Curran, Declan & Funke, Michael, 2006. "Taking the temperature – forecasting GDP growth for mainland China," BOFIT Discussion Papers, Bank of Finland, Institute for Economies in Transition 6/2006, Bank of Finland, Institute for Economies in Transition.
  126. Laurent BARRAS & Olivier SCAILLET & Russ WERMERS, 2005. "False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas," Swiss Finance Institute Research Paper Series, Swiss Finance Institute 08-18, Swiss Finance Institute, revised Sep 2008.
  127. Charles S. Bos & Ronald J. Mahieu & Herman K. Van Dijk, 2000. "Daily exchange rate behaviour and hedging of currency risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 15(6), pages 671-696.
  128. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2011. "Properties of Foreign Exchange Risk Premiums," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8503, C.E.P.R. Discussion Papers.
  129. Malin, Mirela & Bornholt, Graham, 2013. "Long-term return reversal: Evidence from international market indices," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 25(C), pages 1-17.
  130. Linda L. Tesar & Ingrid M. Werner, 1994. "International Equity Transactions and U.S. Portfolio Choice," NBER Chapters, in: The Internationalization of Equity Markets, pages 185-227 National Bureau of Economic Research, Inc.
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