Research classified by Journal of Economic Literature (JEL) codes

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Top JEL
/ C: Mathematical and Quantitative Methods
/ / C1: Econometric and Statistical Methods and Methodology: General
/ / / C13: Estimation: General

2015

• Christiane Bozoyan & Tobias Wolbring, 2015, "The Usefulness of Directed Acyclic Graphs: What Can DAGs Contribute to a Residual Approach to Weight-Related Income Discrimination?," Schmollers Jahrbuch : Journal of Applied Social Science Studies / Zeitschrift für Wirtschafts- und Sozialwissenschaften, Duncker & Humblot, Berlin, volume 135, issue 1, pages 83-96, DOI: 10.3790/schm.135.1.83.
• Alexander Sohn, 2015, "Beyond Conventional Wage Discrimination Analysis: Assessing Comprehensive Wage Distributions of Males and Females Using Structured Additive Distributional Regression," SOEPpapers on Multidisciplinary Panel Data Research, DIW Berlin, The German Socio-Economic Panel (SOEP), number 802.
• Houda Rharrabti Zaid, 2015, "Transmission du stress financier de la zone euro aux Pays de l’Europe Centrale et Orientale," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2015-37.
• Manganelli, Simone & White, Halbert & Kim, Tae-Hwan, 2015, "VAR for VaR: measuring tail dependence using multivariate regression quantiles," Working Paper Series, European Central Bank, number 1814, Jun.
• Schwarz, Claudia & Kripfganz, Sebastian, 2015, "Estimation of linear dynamic panel data models with time-invariant regressors," Working Paper Series, European Central Bank, number 1838, Aug.
• Albuquerque, Bruno & Krustev, Georgi, 2015, "Debt overhang and deleveraging in the US household sector: gauging the impact on consumption," Working Paper Series, European Central Bank, number 1843, Aug.
• Almanidis, Pavlos & Karagiannis, Giannis & Sickles, Robin C., 2015, "Semi-nonparametric Spline Modifications to the Cornwell-Schmidt-Sickles Estimator: An Analysis of U.S. Banking Productivity," Working Papers, Rice University, Department of Economics, number 15-008, Jun.
• Ioannis N. Kallianiotis, 2015, "Economic Crises and the Substitution of Fiscal Policy by Monetary Policy," International Journal of Economics and Financial Issues, Econjournals, volume 5, issue 1, pages 44-68.
• Augustine C. Osigwe & Kenneth Obi, 2015, "Does Capacity Utilization Rate Affect Imports of Raw Materials in Nigeria?," International Journal of Economics and Financial Issues, Econjournals, volume 5, issue 2, pages 489-492.
• Victoria V. Akberdina & Anatoly V. Grebenkin & Oleg M. Barbakov, 2015, "Modeling Response to Innovations in Industrialized Regions: The Russian Experience," International Journal of Economics and Financial Issues, Econjournals, volume 5, issue 4, pages 910-921.
• Lev I. Ushvitskii & Tat'yana A. Kulagovskaya & Anna A. Ter-Grigor'yants & Irina V. Solovyova & Elena S. Mezentseva, 2015, "Methodological Tools for Risk Assessment in Industrial Enterprises," International Journal of Economics and Financial Issues, Econjournals, volume 5, issue 4, pages 1011-1016.
• Tanattrin Bunnag, 2015, "Hedging Petroleum Futures with Multivariate GARCH Models," International Journal of Energy Economics and Policy, Econjournals, volume 5, issue 1, pages 105-120.
• Sholpan Smagulova & Amangeldi D. Omarov & Aybek B. Imashev, 2015, "The Value of Investment Resources Influx for the Development of the Electric Power Industry of Kazakhstan," International Journal of Energy Economics and Policy, Econjournals, volume 5, issue 1, pages 374-384.
• Mohamed Osman, 2015, "Dynamic Asymmetries in the Electric Consumption of the GCC Countries," International Journal of Energy Economics and Policy, Econjournals, volume 5, issue 2, pages 461-467.
• Tanattrin Bunnag, 2015, "Volatility Transmission in Oil Futures Markets and Carbon Emissions Futures," International Journal of Energy Economics and Policy, Econjournals, volume 5, issue 3, pages 647-659.
• Siti Indati Mustapa & Hussain Ali Bekhet, 2015, "Investigating Factors Affecting CO2 Emissions in Malaysian Road Transport Sector," International Journal of Energy Economics and Policy, Econjournals, volume 5, issue 4, pages 1073-1083.
• Boudreault, Mathieu & Gauthier, Geneviève & Thomassin, Tommy, 2015, "Estimation of correlations in portfolio credit risk models based on noisy security prices," Journal of Economic Dynamics and Control, Elsevier, volume 61, issue C, pages 334-349, DOI: 10.1016/j.jedc.2015.10.001.
• Boubaker, Heni & Sghaier, Nadia, 2015, "Semiparametric generalized long-memory modeling of some mena stock market returns: A wavelet approach," Economic Modelling, Elsevier, volume 50, issue C, pages 254-265, DOI: 10.1016/j.econmod.2015.06.027.
• Todorova, Neda, 2015, "The course of realized volatility in the LME non-ferrous metal market," Economic Modelling, Elsevier, volume 51, issue C, pages 1-12, DOI: 10.1016/j.econmod.2015.07.005.
• Lian, Yu-Min & Liao, Szu-Lang & Chen, Jun-Home, 2015, "State-dependent jump risks for American gold futures option pricing," The North American Journal of Economics and Finance, Elsevier, volume 33, issue C, pages 115-133, DOI: 10.1016/j.najef.2015.04.001.
• Arısoy, Yakup Eser & Altay-Salih, Aslıhan & Akdeniz, Levent, 2015, "Aggregate volatility expectations and threshold CAPM," The North American Journal of Economics and Finance, Elsevier, volume 34, issue C, pages 231-253, DOI: 10.1016/j.najef.2015.09.013.
• Griffiths, William & Hajargasht, Gholamreza, 2015, "On GMM estimation of distributions from grouped data," Economics Letters, Elsevier, volume 126, issue C, pages 122-126, DOI: 10.1016/j.econlet.2014.11.031.
• Li, Fuxiao & Tian, Zheng & Xiao, Yanting & Chen, Zhanshou, 2015, "Variance change-point detection in panel data models," Economics Letters, Elsevier, volume 126, issue C, pages 140-143, DOI: 10.1016/j.econlet.2014.12.005.
• Henderson, Heath & Golan, Amos & Seabold, Skipper, 2015, "Incorporating prior information when true priors are unknown: An Information-Theoretic approach for increasing efficiency in estimation," Economics Letters, Elsevier, volume 127, issue C, pages 1-5, DOI: 10.1016/j.econlet.2014.12.014.
• Diez de los Rios, Antonio, 2015, "Optimal asymptotic least squares estimation in a singular set-up," Economics Letters, Elsevier, volume 128, issue C, pages 83-86, DOI: 10.1016/j.econlet.2015.01.006.
• Wang, Wei & Yu, Jihai, 2015, "Estimation of spatial panel data models with time varying spatial weights matrices," Economics Letters, Elsevier, volume 128, issue C, pages 95-99, DOI: 10.1016/j.econlet.2015.01.021.
• Annaert, Jan & Claes, Anouk G.P. & De Ceuster, Marc J.K. & Zhang, Hairui, 2015, "Estimating the long rate and its volatility," Economics Letters, Elsevier, volume 129, issue C, pages 100-102, DOI: 10.1016/j.econlet.2015.02.022.
• Wang, Shaoping & Cui, Guowei & Li, Kunpeng, 2015, "Factor-augmented regression models with structural change," Economics Letters, Elsevier, volume 130, issue C, pages 124-127, DOI: 10.1016/j.econlet.2015.03.020.
• Yu, Ping, 2015, "Consistency of the least squares estimator in threshold regression with endogeneity," Economics Letters, Elsevier, volume 131, issue C, pages 41-46, DOI: 10.1016/j.econlet.2015.03.035.
• Chen, Liang, 2015, "Estimating the common break date in large factor models," Economics Letters, Elsevier, volume 131, issue C, pages 70-74, DOI: 10.1016/j.econlet.2015.03.037.
• Tran, Kien C. & Tsionas, Efthymios G., 2015, "Endogeneity in stochastic frontier models: Copula approach without external instruments," Economics Letters, Elsevier, volume 133, issue C, pages 85-88, DOI: 10.1016/j.econlet.2015.05.026.
• Egger, Peter H. & Tarlea, Filip, 2015, "Multi-way clustering estimation of standard errors in gravity models," Economics Letters, Elsevier, volume 134, issue C, pages 144-147, DOI: 10.1016/j.econlet.2015.06.023.
• Liu, Long, 2015, "A note on 2SLS estimation of the mixed regressive spatial autoregressive model," Economics Letters, Elsevier, volume 134, issue C, pages 49-52, DOI: 10.1016/j.econlet.2015.06.007.
• Anatolyev, Stanislav & Tarasyuk, Irina, 2015, "Missing mean does no harm to volatility!," Economics Letters, Elsevier, volume 134, issue C, pages 62-64, DOI: 10.1016/j.econlet.2015.06.011.
• Boumparis, Periklis & Milas, Costas & Panagiotidis, Theodore, 2015, "Has the crisis affected the behavior of the rating agencies? Panel evidence from the Eurozone," Economics Letters, Elsevier, volume 136, issue C, pages 118-124, DOI: 10.1016/j.econlet.2015.09.011.
• Wikström, Daniel, 2015, "Consistent method of moments estimation of the true fixed effects model," Economics Letters, Elsevier, volume 137, issue C, pages 62-69, DOI: 10.1016/j.econlet.2015.08.036.
• Peluso, Stefano & Mira, Antonietta & Muliere, Pietro, 2015, "Reinforced urn processes for credit risk models," Journal of Econometrics, Elsevier, volume 184, issue 1, pages 1-12, DOI: 10.1016/j.jeconom.2014.08.003.
• Francq, Christian & Zakoïan, Jean-Michel, 2015, "Risk-parameter estimation in volatility models," Journal of Econometrics, Elsevier, volume 184, issue 1, pages 158-173, DOI: 10.1016/j.jeconom.2014.06.019.
• Lee, Lung-fei & Yu, Jihai, 2015, "Estimation of fixed effects panel regression models with separable and nonseparable space–time filters," Journal of Econometrics, Elsevier, volume 184, issue 1, pages 174-192, DOI: 10.1016/j.jeconom.2014.08.006.
• Aguilar, Mike & Hill, Jonathan B., 2015, "Robust score and portmanteau tests of volatility spillover," Journal of Econometrics, Elsevier, volume 184, issue 1, pages 37-61, DOI: 10.1016/j.jeconom.2014.09.001.
• Kneip, Alois & Simar, Léopold & Van Keilegom, Ingrid, 2015, "Frontier estimation in the presence of measurement error with unknown variance," Journal of Econometrics, Elsevier, volume 184, issue 2, pages 379-393, DOI: 10.1016/j.jeconom.2014.09.012.
• Freyberger, Joachim, 2015, "Asymptotic theory for differentiated products demand models with many markets," Journal of Econometrics, Elsevier, volume 185, issue 1, pages 162-181, DOI: 10.1016/j.jeconom.2014.10.009.
• Chan, Nigel & Wang, Qiying, 2015, "Nonlinear regressions with nonstationary time series," Journal of Econometrics, Elsevier, volume 185, issue 1, pages 182-195, DOI: 10.1016/j.jeconom.2014.04.025.
• Su, Liangjun & Yang, Zhenlin, 2015, "QML estimation of dynamic panel data models with spatial errors," Journal of Econometrics, Elsevier, volume 185, issue 1, pages 230-258, DOI: 10.1016/j.jeconom.2014.11.002.
• Bekker, Paul A. & Crudu, Federico, 2015, "Jackknife instrumental variable estimation with heteroskedasticity," Journal of Econometrics, Elsevier, volume 185, issue 2, pages 332-342, DOI: 10.1016/j.jeconom.2014.08.012.
• Calvet, Laurent E. & Czellar, Veronika, 2015, "Through the looking glass: Indirect inference via simple equilibria," Journal of Econometrics, Elsevier, volume 185, issue 2, pages 343-358, DOI: 10.1016/j.jeconom.2014.11.003.
• Westerlund, Joakim & Urbain, Jean-Pierre, 2015, "Cross-sectional averages versus principal components," Journal of Econometrics, Elsevier, volume 185, issue 2, pages 372-377, DOI: 10.1016/j.jeconom.2014.09.014.
• Robinson, Peter M. & Velasco, Carlos, 2015, "Efficient inference on fractionally integrated panel data models with fixed effects," Journal of Econometrics, Elsevier, volume 185, issue 2, pages 435-452, DOI: 10.1016/j.jeconom.2014.12.003.
• Westerlund, Joakim, 2015, "The effect of recursive detrending on panel unit root tests," Journal of Econometrics, Elsevier, volume 185, issue 2, pages 453-467, DOI: 10.1016/j.jeconom.2014.06.015.
• Westerlund, Joakim, 2015, "The power of PANIC," Journal of Econometrics, Elsevier, volume 185, issue 2, pages 495-509, DOI: 10.1016/j.jeconom.2014.03.013.
• Xu, Xingbai & Lee, Lung-fei, 2015, "A spatial autoregressive model with a nonlinear transformation of the dependent variable," Journal of Econometrics, Elsevier, volume 186, issue 1, pages 1-18, DOI: 10.1016/j.jeconom.2014.12.005.
• Kock, Anders Bredahl & Callot, Laurent, 2015, "Oracle inequalities for high dimensional vector autoregressions," Journal of Econometrics, Elsevier, volume 186, issue 2, pages 325-344, DOI: 10.1016/j.jeconom.2015.02.013.
• Carrasco, Marine & Tchuente, Guy, 2015, "Regularized LIML for many instruments," Journal of Econometrics, Elsevier, volume 186, issue 2, pages 427-442, DOI: 10.1016/j.jeconom.2015.02.018.
• Cheng, Xu & Liao, Zhipeng, 2015, "Select the valid and relevant moments: An information-based LASSO for GMM with many moments," Journal of Econometrics, Elsevier, volume 186, issue 2, pages 443-464, DOI: 10.1016/j.jeconom.2015.02.019.
• White, Halbert & Kim, Tae-Hwan & Manganelli, Simone, 2015, "VAR for VaR: Measuring tail dependence using multivariate regression quantiles," Journal of Econometrics, Elsevier, volume 187, issue 1, pages 169-188, DOI: 10.1016/j.jeconom.2015.02.004.
• Jun, Sung Jae & Pinkse, Joris & Wan, Yuanyuan, 2015, "Classical Laplace estimation for n3-consistent estimators: Improved convergence rates and rate-adaptive inference," Journal of Econometrics, Elsevier, volume 187, issue 1, pages 201-216, DOI: 10.1016/j.jeconom.2015.01.005.
• Zhang, Wenyang & Li, Degui & Xia, Yingcun, 2015, "Estimation in generalised varying-coefficient models with unspecified link functions," Journal of Econometrics, Elsevier, volume 187, issue 1, pages 238-255, DOI: 10.1016/j.jeconom.2015.02.022.
• Caner, Mehmet & Fan, Qingliang, 2015, "Hybrid generalized empirical likelihood estimators: Instrument selection with adaptive lasso," Journal of Econometrics, Elsevier, volume 187, issue 1, pages 256-274, DOI: 10.1016/j.jeconom.2015.01.007.
• Choi, Seungmoon, 2015, "Explicit form of approximate transition probability density functions of diffusion processes," Journal of Econometrics, Elsevier, volume 187, issue 1, pages 57-73, DOI: 10.1016/j.jeconom.2015.02.003.
• Bollerslev, Tim & Xu, Lai & Zhou, Hao, 2015, "Stock return and cash flow predictability: The role of volatility risk," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 458-471, DOI: 10.1016/j.jeconom.2015.02.031.
• Debarsy, Nicolas & Jin, Fei & Lee, Lung-fei, 2015, "Large sample properties of the matrix exponential spatial specification with an application to FDI," Journal of Econometrics, Elsevier, volume 188, issue 1, pages 1-21, DOI: 10.1016/j.jeconom.2015.02.046.
• Hayakawa, Kazuhiko & Pesaran, M. Hashem, 2015, "Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity," Journal of Econometrics, Elsevier, volume 188, issue 1, pages 111-134, DOI: 10.1016/j.jeconom.2015.03.042.
• Hoderlein, Stefan & Sherman, Robert, 2015, "Identification and estimation in a correlated random coefficients binary response model," Journal of Econometrics, Elsevier, volume 188, issue 1, pages 135-149, DOI: 10.1016/j.jeconom.2015.03.044.
• Koo, Bonsoo & Seo, Myung Hwan, 2015, "Structural-break models under mis-specification: Implications for forecasting," Journal of Econometrics, Elsevier, volume 188, issue 1, pages 166-181, DOI: 10.1016/j.jeconom.2015.03.046.
• Leung, Michael P., 2015, "Two-step estimation of network-formation models with incomplete information," Journal of Econometrics, Elsevier, volume 188, issue 1, pages 182-195, DOI: 10.1016/j.jeconom.2015.04.001.
• Xu, Xingbai & Lee, Lung-fei, 2015, "Maximum likelihood estimation of a spatial autoregressive Tobit model," Journal of Econometrics, Elsevier, volume 188, issue 1, pages 264-280, DOI: 10.1016/j.jeconom.2015.05.004.
• Dong, Chaohua & Gao, Jiti & Peng, Bin, 2015, "Semiparametric single-index panel data models with cross-sectional dependence," Journal of Econometrics, Elsevier, volume 188, issue 1, pages 301-312, DOI: 10.1016/j.jeconom.2015.06.001.
• Lee, Jungyoon & Robinson, Peter M., 2015, "Panel nonparametric regression with fixed effects," Journal of Econometrics, Elsevier, volume 188, issue 2, pages 346-362, DOI: 10.1016/j.jeconom.2015.03.004.
• Porter, Jack & Yu, Ping, 2015, "Regression discontinuity designs with unknown discontinuity points: Testing and estimation," Journal of Econometrics, Elsevier, volume 189, issue 1, pages 132-147, DOI: 10.1016/j.jeconom.2015.06.002.
• Freyberger, Joachim & Horowitz, Joel L., 2015, "Identification and shape restrictions in nonparametric instrumental variables estimation," Journal of Econometrics, Elsevier, volume 189, issue 1, pages 41-53, DOI: 10.1016/j.jeconom.2015.06.020.
• Chang, Jinyuan & Guo, Bin & Yao, Qiwei, 2015, "High dimensional stochastic regression with latent factors, endogeneity and nonlinearity," Journal of Econometrics, Elsevier, volume 189, issue 2, pages 297-312, DOI: 10.1016/j.jeconom.2015.03.024.
• Li, Dong & Ling, Shiqing & Zakoïan, Jean-Michel, 2015, "Asymptotic inference in multiple-threshold double autoregressive models," Journal of Econometrics, Elsevier, volume 189, issue 2, pages 415-427, DOI: 10.1016/j.jeconom.2015.03.033.
• Hassan, M. Kabir & Ngene, Geoffrey M. & Yu, Jung-Suk, 2015, "Credit default swaps and sovereign debt markets," Economic Systems, Elsevier, volume 39, issue 2, pages 240-252, DOI: 10.1016/j.ecosys.2014.07.002.
• Creel, Michael & Kristensen, Dennis, 2015, "ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models," Journal of Empirical Finance, Elsevier, volume 31, issue C, pages 85-108, DOI: 10.1016/j.jempfin.2015.01.002.
• Jondeau, Eric, 2015, "The dynamics of squared returns under contemporaneous aggregation of GARCH models," Journal of Empirical Finance, Elsevier, volume 32, issue C, pages 80-93, DOI: 10.1016/j.jempfin.2015.03.002.
• Cho, Dooyeon, 2015, "The role of covered interest parity in explaining the forward premium anomaly within a nonlinear panel framework," Journal of Empirical Finance, Elsevier, volume 34, issue C, pages 229-238, DOI: 10.1016/j.jempfin.2015.07.002.
• Han, Liyan & Zhou, Yimin & Yin, Libo, 2015, "Exogenous impacts on the links between energy and agricultural commodity markets," Energy Economics, Elsevier, volume 49, issue C, pages 350-358, DOI: 10.1016/j.eneco.2015.02.021.
• Lin, Boqiang & Du, Kerui, 2015, "Modeling the dynamics of carbon emission performance in China: A parametric Malmquist index approach," Energy Economics, Elsevier, volume 49, issue C, pages 550-557, DOI: 10.1016/j.eneco.2015.03.028.
• Baek, Jungho, 2015, "Environmental Kuznets curve for CO2 emissions: The case of Arctic countries," Energy Economics, Elsevier, volume 50, issue C, pages 13-17, DOI: 10.1016/j.eneco.2015.04.010.
• Hasanov, Mübariz, 2015, "The demand for transport fuels in Turkey," Energy Economics, Elsevier, volume 51, issue C, pages 125-134, DOI: 10.1016/j.eneco.2015.05.023.
• Batiz-Zuk, Enrique & Christodoulakis, George & Poon, Ser-Huang, 2015, "Credit contagion in the presence of non-normal shocks," International Review of Financial Analysis, Elsevier, volume 37, issue C, pages 129-139, DOI: 10.1016/j.irfa.2014.11.014.
• Ozturk, Serda Selin & Richard, Jean-Francois, 2015, "Stochastic volatility and leverage: Application to a panel of S&P500 stocks," Finance Research Letters, Elsevier, volume 12, issue C, pages 67-76, DOI: 10.1016/j.frl.2014.11.006.
• Kim, Yunmi & Kim, Tae-Hwan & Ergün, Tolga, 2015, "The instability of the Pearson correlation coefficient in the presence of coincidental outliers," Finance Research Letters, Elsevier, volume 13, issue C, pages 243-257, DOI: 10.1016/j.frl.2014.12.005.
• Dang, Viet Anh & Garrett, Ian, 2015, "On corporate capital structure adjustments," Finance Research Letters, Elsevier, volume 14, issue C, pages 56-63, DOI: 10.1016/j.frl.2015.05.016.
• Delis, Manthos D. & Karavias, Yiannis, 2015, "Optimal versus realized bank credit risk and monetary policy," Journal of Financial Stability, Elsevier, volume 16, issue C, pages 13-30, DOI: 10.1016/j.jfs.2014.11.004.
• Avramidis, Panagiotis & Pasiouras, Fotios, 2015, "Calculating systemic risk capital: A factor model approach," Journal of Financial Stability, Elsevier, volume 16, issue C, pages 138-150, DOI: 10.1016/j.jfs.2015.01.003.
• Angelidis, Timotheos & Degiannakis, Stavros & Filis, George, 2015, "US stock market regimes and oil price shocks," Global Finance Journal, Elsevier, volume 28, issue C, pages 132-146, DOI: 10.1016/j.gfj.2015.01.006.
• Fally, Thibault, 2015, "Structural gravity and fixed effects," Journal of International Economics, Elsevier, volume 97, issue 1, pages 76-85, DOI: 10.1016/j.jinteco.2015.05.005.
• Denuit, Michel & Kiriliouk, Anna & Segers, Johan, 2015, "Max-factor individual risk models with application to credit portfolios," Insurance: Mathematics and Economics, Elsevier, volume 62, issue C, pages 162-172, DOI: 10.1016/j.insmatheco.2015.03.006.
• Neto, David, 2015, "Revisiting the Fisher parity consistency for the Swiss economy around the modification of the National Bank׳s monetary policy strategy," International Economics, Elsevier, volume 144, issue C, pages 83-94, DOI: 10.1016/j.inteco.2015.07.001.
• Nneji, Ogonna, 2015, "Liquidity shocks and stock bubbles," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 35, issue C, pages 132-146, DOI: 10.1016/j.intfin.2014.12.010.
• Riedel, Christoph & Wagner, Niklas, 2015, "Is risk higher during non-trading periods? The risk trade-off for intraday versus overnight market returns," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 39, issue C, pages 53-64, DOI: 10.1016/j.intfin.2015.05.012.
• Bańbura, Marta & Giannone, Domenico & Lenza, Michele, 2015, "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," International Journal of Forecasting, Elsevier, volume 31, issue 3, pages 739-756, DOI: 10.1016/j.ijforecast.2014.08.013.
• Seo, Sung Won & Kim, Jun Sik, 2015, "The information content of option-implied information for volatility forecasting with investor sentiment," Journal of Banking & Finance, Elsevier, volume 50, issue C, pages 106-120, DOI: 10.1016/j.jbankfin.2014.09.010.
• Kim, Joseph H.T. & Kim, Joocheol, 2015, "A parametric alternative to the Hill estimator for heavy-tailed distributions," Journal of Banking & Finance, Elsevier, volume 54, issue C, pages 60-71, DOI: 10.1016/j.jbankfin.2014.12.020.
• Gresnigt, Francine & Kole, Erik & Franses, Philip Hans, 2015, "Interpreting financial market crashes as earthquakes: A new Early Warning System for medium term crashes," Journal of Banking & Finance, Elsevier, volume 56, issue C, pages 123-139, DOI: 10.1016/j.jbankfin.2015.03.003.
• Byun, Suk Joon & Jeon, Byoung Hyun & Min, Byungsun & Yoon, Sun-Joong, 2015, "The role of the variance premium in Jump-GARCH option pricing models," Journal of Banking & Finance, Elsevier, volume 59, issue C, pages 38-56, DOI: 10.1016/j.jbankfin.2015.05.009.
• Cai, Zongwu & Ren, Yu & Yang, Bingduo, 2015, "A semiparametric conditional capital asset pricing model," Journal of Banking & Finance, Elsevier, volume 61, issue C, pages 117-126, DOI: 10.1016/j.jbankfin.2015.09.002.
• Preve, Daniel, 2015, "Linear programming-based estimators in nonnegative autoregression," Journal of Banking & Finance, Elsevier, volume 61, issue S2, pages 225-234, DOI: 10.1016/j.jbankfin.2015.08.010.
• Freeman, Mark C. & Groom, Ben & Panopoulou, Ekaterini & Pantelidis, Theologos, 2015, "Declining discount rates and the Fisher Effect: Inflated past, discounted future?," Journal of Environmental Economics and Management, Elsevier, volume 73, issue C, pages 32-49, DOI: 10.1016/j.jeem.2015.06.003.
• Jeong, Daehee & Kim, Hwagyun & Park, Joon Y., 2015, "Does ambiguity matter? Estimating asset pricing models with a multiple-priors recursive utility," Journal of Financial Economics, Elsevier, volume 115, issue 2, pages 361-382, DOI: 10.1016/j.jfineco.2014.10.003.
• Bollerslev, Tim & Todorov, Viktor & Xu, Lai, 2015, "Tail risk premia and return predictability," Journal of Financial Economics, Elsevier, volume 118, issue 1, pages 113-134, DOI: 10.1016/j.jfineco.2015.02.010.
• Becker, Christoph & Schmidt, Wolfgang M., 2015, "How past market movements affect correlation and volatility," Journal of International Money and Finance, Elsevier, volume 50, issue C, pages 78-107, DOI: 10.1016/j.jimonfin.2014.09.003.
• Ledoit, Olivier & Wolf, Michael, 2015, "Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions," Journal of Multivariate Analysis, Elsevier, volume 139, issue C, pages 360-384, DOI: 10.1016/j.jmva.2015.04.006.
• Iglesias, Emma M., 2015, "Value at Risk of the main stock market indexes in the European Union (2000–2012)," Journal of Policy Modeling, Elsevier, volume 37, issue 1, pages 1-13, DOI: 10.1016/j.jpolmod.2015.01.006.
• Figueiredo, Octávio & Guimarães, Paulo & Woodward, Douglas, 2015, "Industry localization, distance decay, and knowledge spillovers: Following the patent paper trail," Journal of Urban Economics, Elsevier, volume 89, issue C, pages 21-31, DOI: 10.1016/j.jue.2015.06.003.
• Taleb, Nassim Nicholas & Douady, Raphael, 2015, "On the super-additivity and estimation biases of quantile contributions," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 429, issue C, pages 252-260, DOI: 10.1016/j.physa.2015.02.038.
• Liu, Shew Fan & Yang, Zhenlin, 2015, "Modified QML estimation of spatial autoregressive models with unknown heteroskedasticity and nonnormality," Regional Science and Urban Economics, Elsevier, volume 52, issue C, pages 50-70, DOI: 10.1016/j.regsciurbeco.2015.02.003.
• Ozkan, Ibrahim & Erden, Lutfi, 2015, "Time-varying nature and macroeconomic determinants of exchange rate pass-through," International Review of Economics & Finance, Elsevier, volume 38, issue C, pages 56-66, DOI: 10.1016/j.iref.2015.01.007.
• Paolella, Marc S. & Polak, Paweł, 2015, "ALRIGHT: Asymmetric LaRge-scale (I)GARCH with Hetero-Tails," International Review of Economics & Finance, Elsevier, volume 40, issue C, pages 282-297, DOI: 10.1016/j.iref.2015.02.025.
• Swanson, Norman R. & Urbach, Richard, 2015, "Prediction and simulation using simple models characterized by nonstationarity and seasonality," International Review of Economics & Finance, Elsevier, volume 40, issue C, pages 312-323, DOI: 10.1016/j.iref.2015.02.027.
• Baltagi, Badi H. & Kao, Chihwa & Peng, Bin, 2015, "On testing for sphericity with non-normality in a fixed effects panel data model," Statistics & Probability Letters, Elsevier, volume 98, issue C, pages 123-130, DOI: 10.1016/j.spl.2014.12.017.
• Xavier Labandeira & José M.aría Labeaga & Xiral López-Otero, 2015, "A meta-analysis on the price elasticity of energy demand," Working Papers, Economics for Energy, number 04-2015, Dec.
• De Cao, Elisabetta, 2015, "The height production function from birth to age two," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 101591, Sep.
• Morales, Leonardo Fabio, 2015, "Peer effects on a fertility decision: an application for Medellín, Colombia," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 123284, Apr.
• Camponovo, Lorenzo & Otsu, Taisuke, 2015, "Robustness of bootstrap in instrumental variable regression," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 60185.
• Robinson, Peter M. & Velasco, Carlos, 2015, "Efficient inference on fractionally integrated panel data models with fixed effects," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 60795, Apr.
• Lee, Jungyoon & Robinson, Peter, 2015, "Panel nonparametric regression with fixed effects," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 61431, Mar.
• Chang, Jinyuan & Guo, Bin & Yao, Qiwei, 2015, "High dimensional stochastic regression with latent factors, endogeneity and nonlinearity," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 61886, Dec.
• Freeman, Mark C. & Groom, Ben & Panopoulou, Ekaterini & Pantelidis, Theologos, 2015, "Declining discount rates and the Fisher Effect: inflated past, discounted future?," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 64143.
• Giuseppe De Luca & Jan R. Magnus & Franco Peracchi, 2015, "On the ambiguous consequences of omitting variables," EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF), number 1505, revised May 2015.
• Panayotis G. Michaelides & John G. Milios & Konstantinos N. Konstantakis & Panayiotis Tarnaras, 2015, "Quantity-of-money fluctuations and economic instability: empirical evidence for the USA (1958–2006)," European Journal of Economics and Economic Policies: Intervention, Edward Elgar Publishing, volume 12, issue 3, pages 277—299-2, December.
• Zhichao Guo & Yuanhua Feng & Thomas Gries, 2015, "Changes of China’s agri-food exports to Germany caused by its accession to WTO and the 2008 financial crisis," China Agricultural Economic Review, Emerald Group Publishing Limited, volume 7, issue 2, pages 262-279, May, DOI: 10.1108/CAER-11-2013-0152.
• Enrique Martínez-García, 2015, "The Global Component of Local Inflation: Revisiting the Empirical Content of the Global Slack Hypothesis with Bayesian Methods," International Symposia in Economic Theory and Econometrics, Emerald Group Publishing Limited, "Monetary Policy in the Context of the Financial Crisis: New Challenges and Lessons", DOI: 10.1108/S1571-038620150000024016.
• Zhang Dengjun, 2015, "Interdependence between Nordic stock markets and financial cooperation," Review of Accounting and Finance, Emerald Group Publishing Limited, volume 14, issue 2, pages 172-188, May, DOI: 10.1108/RAF-03-2013-0036.
• Viktoria Sihua & Anxo Calvo-Silvosa & Ilya Starodumov, 2015, "An Approach to the Analysis of Strategic Development Trend in the Electricity Production Regarding the Energy Sector Framework: The Ukrainian and Spanish Cases," European Research Studies Journal, European Research Studies Journal, volume 0, issue 2, pages 45-78.
• Antoniade Ciprian ALEXANDRU & Nicoleta CARAGEA, 2015, "The Capital Markets Research Based on the Financial Quantitative Models," Eco-Economics Review, Ecological University of Bucharest, Economics Faculty and Ecology and Environmental Protection Faculty, volume 1, issue 1, pages 3-16, June.
• Bekiros, Stelios D.; Cardani, Roberta; Paccagnini, Alessia; Villa, Stefania, 2015, "Dealing with Financial Instability under a DSGE modeling approach with Banking Intermediation: a forecastability analysis versus TVP-VARs," Economics Working Papers, European University Institute, number ECO2015/04.
• Naci Bayrac & Emrah Dogan, 2015, "Türkiye’de Enerji Tüketiminin Ekonomik Büyüme Üzerindeki Etkileri: Markov Switching Yaklaşımı," EY International Congress on Economics II (EYC2015), November 5-6, 2015, Ankara, Turkey, Ekonomik Yaklasim Association, number 10.
• Evrim İmer-Ertunga & Şerife Serap Çakar, 2015, "Türkiye’deki Seçilmiş Bazı Mali Göstergeler Üzerine Bir Koşullu Değişen Varyans Çözümlemesi," EY International Congress on Economics II (EYC2015), November 5-6, 2015, Ankara, Turkey, Ekonomik Yaklasim Association, number 16.
• Ömer Limanlı, 2015, "Gender Based Wage Gap in Turkey," EY International Congress on Economics II (EYC2015), November 5-6, 2015, Ankara, Turkey, Ekonomik Yaklasim Association, number 22.
• Mehmet Songur, 2015, "Gelişmiş ve Gelişmekte Olan Ülkeler İçin Sabit İkame Esneklikli Üretim Fonksiyonu’nun Tahmini," EY International Congress on Economics II (EYC2015), November 5-6, 2015, Ankara, Turkey, Ekonomik Yaklasim Association, number 240.
• Taylan Kıymaz, 2015, "Dünya ile Türkiye’deki Tarımsal Ürün Fiyatları Arasındaki Etkileşimin İncelenmesi – Kriz ve Kuraklık Etkileri," EY International Congress on Economics II (EYC2015), November 5-6, 2015, Ankara, Turkey, Ekonomik Yaklasim Association, number 244.
• H. Ozan Eruygur & Taylan Kıymaz, 2015, "Tarımda Rekabet Edebilirlik ve Bölgesel Düzeyde Toplam Faktör Verimliliğindeki Değişimin İncelenmesi," EY International Congress on Economics II (EYC2015), November 5-6, 2015, Ankara, Turkey, Ekonomik Yaklasim Association, number 247.
• Harun Öztürkler & Fatih Demir & Serhat Yılmaz, 2015, "Crude Oil Price Pass-Through to Domestic Prices in Turkey: Asymmetric Nonlinear ARDL Approach," EY International Congress on Economics II (EYC2015), November 5-6, 2015, Ankara, Turkey, Ekonomik Yaklasim Association, number 256.
• Banu Tanrıöver & Burhan Biçer, 2015, "Okun Kanunu ve Stokastik Trend Yaklaşımı Çerçevesinde Türkiye’de İstihdam Yaratmayan Büyümenin Dinamikleri," EY International Congress on Economics II (EYC2015), November 5-6, 2015, Ankara, Turkey, Ekonomik Yaklasim Association, number 305.
• Valeriu Nalban, 2015, "Exchange Rate Pass-Through in Central and Eastern Europe: A Panel Bayesian VAR Approach," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 65, issue 4, pages 290-306, August.
• Ivashchenko Sergey, 2015, "China Estimating Nonlinear DSGE Models with Moments Based Methods," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 10, issue 1, pages 38-55, March.
• Stanislav Anatolyev & Nikolay Gospodinov, 2015, "Multivariate return decomposition: theory and implications," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2015-7, Aug.
• Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2015, "Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2015-9, Oct.
• Kurt Graden Lunsford, 2015, "Identifying Structural VARs with a Proxy Variable and a Test for a Weak Proxy," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1528, Dec, DOI: 10.26509/frbc-wp-201528.
• Enrique Martínez García, 2015, "The global component of local inflation: revisiting the empirical content of the global slack hypothesis with Bayesian methods," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 225, Feb, DOI: 10.24149/gwp225.
• Keith R. Phillips & Jianguo Wang, 2015, "Seasonal adjustment of state and metro ces jobs data," Working Papers, Federal Reserve Bank of Dallas, number 1505, Sep, DOI: 10.24149/wp1505.
• Christian Brownlees & Benjamin Chabot & Eric Ghysels & Christopher J. Kurz, 2015, "Backtesting Systemic Risk Measures During Historical Bank Runs," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2015-9, Jul.
• George-Levi Gayle & Chen Li & Robert A. Miller, 2015, "Was Sarbanes-Oxley Costly? Evidence from Optimal Contracting on CEO Compensation," Working Papers, Federal Reserve Bank of St. Louis, number 2015-17, Aug, DOI: 10.20955/wp.2015.017.
• George-Levi Gayle & Limor Golan & Mehmet A. Soytas, 2015, "What Accounts for the Racial Gap in Time Allocation and Intergenerational Transmission of Human Capital?," Working Papers, Federal Reserve Bank of St. Louis, number 2015-18, Feb, DOI: 10.20955/wp.2015.018.
• George-Levi Gayle & Limor Golan & Mehmet A. Soytas, 2015, "What is the source of the intergenerational correlation in earnings?," Working Papers, Federal Reserve Bank of St. Louis, number 2015-19, Aug, DOI: 10.20955/wp.2015.019.
• George-Levi Gayle & Limor Golan & Mehmet A. Soytas, 2015, "Estimation of Dynastic Life-Cycle Discrete Choice Models," Working Papers, Federal Reserve Bank of St. Louis, number 2015-20, Aug, DOI: 10.20955/wp.2015.020.
• David C. Wheelock & Paul W. Wilson, 2015, "The Evolution of Scale Economies in U.S. Banking," Working Papers, Federal Reserve Bank of St. Louis, number 2015-21, Aug, DOI: 10.20955/wp.2015.021.
• Cecilia Mancini, 2015, "Truncated Realized Covariance when prices have infinite variation jumps," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2015-02, Apr.
• Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov, 2015, "Model Calculations of Short-Run Forecasts of Russian Economic Time Series," Model Calculations of Short-Term Forecasts of Russian Economic Time Series, Gaidar Institute for Economic Policy, issue 3, pages 1-19, March.
• Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov, 2015, "Model Calculations of Short-Run Forecasts of Russian Economic Time Series," Model Calculations of Short-Term Forecasts of Russian Economic Time Series, Gaidar Institute for Economic Policy, issue 4, pages 1-19, April.
• Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov, 2015, "Model Calculations of Short-Run Forecasts of Russian Economic Time Series," Model Calculations of Short-Term Forecasts of Russian Economic Time Series, Gaidar Institute for Economic Policy, issue 5, pages 1-19, May.
• Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov, 2015, "Model Calculations of Short-Run Forecasts of Russian Economic Time Series," Model Calculations of Short-Term Forecasts of Russian Economic Time Series, Gaidar Institute for Economic Policy, issue 6, pages 1-19, June.
• Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov, 2015, "Model Calculations of Short-Run Forecasts of Russian Economic Time Series," Model Calculations of Short-Term Forecasts of Russian Economic Time Series, Gaidar Institute for Economic Policy, issue 7, pages 1-19, August.
• Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov, 2015, "Model Calculations of Short-Run Forecasts of Russian Economic Time Series," Model Calculations of Short-Term Forecasts of Russian Economic Time Series, Gaidar Institute for Economic Policy, issue 8, pages 1-19, August.
• Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov, 2015, "Model Calculations of Short-Run Forecasts of Russian Economic Time Series," Model Calculations of Short-Term Forecasts of Russian Economic Time Series, Gaidar Institute for Economic Policy, issue 9, pages 1-19, August.
• Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov, 2015, "Model Calculations of Short-Run Forecasts of Russian Economic Time Series," Model Calculations of Short-Term Forecasts of Russian Economic Time Series, Gaidar Institute for Economic Policy, issue 10, pages 1-19, August.
• Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov, 2015, "Model Calculations of Short-Run Forecasts of Russian Economic Time Series," Model Calculations of Short-Term Forecasts of Russian Economic Time Series, Gaidar Institute for Economic Policy, issue 11, pages 1-19, August.
• Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov, 2015, "Model Calculations of Short-Run Forecasts of Russian Economic Time Series," Model Calculations of Short-Term Forecasts of Russian Economic Time Series, Gaidar Institute for Economic Policy, issue 12, pages 1-31, December.
• Osman Doğan, 2015, "Heteroskedasticity of Unknown Form in Spatial Autoregressive Models with a Moving Average Disturbance Term," Econometrics, MDPI, volume 3, issue 1, pages 1-27, February.
• P.A.V.B. Swamy & George S. Tavlas & Stephen G. Hall, 2015, "On the Interpretation of Instrumental Variables in the Presence of Specification Errors," Econometrics, MDPI, volume 3, issue 1, pages 1-10, January.
• Mário Augusto & Rui Pascoal & Ana Margarida Monteiro, 2015, "Size Distribution of Portuguese Firms between 2006 and 2012," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2015-04, Feb.
• Ossola, Elisa & Gagilardini, Patrick & Scaillet, Olivier, 2015, "Time-varying risk premium in large cross-sectional equity datasets," Working Papers, University of Geneva, Geneva School of Economics and Management, number unige:76321.
• Fabian Dunker, 2015, "Convergence of the risk for nonparametric IV quantile regression and nonparametric IV regression with full independence," Courant Research Centre: Poverty, Equity and Growth - Discussion Papers, Courant Research Centre PEG, number 192, Dec.
• Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015, "Comonotonic Monte Carlo and its applications in option pricing and quantification of risk," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-01159741, Jun.
• Nassim Nicholas Taleb & Raphaël Douady, 2015, "On the Super-Additivity and Estimation Biases of Quantile Contributions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-02488594, Jul, DOI: 10.1016/j.physa.2015.02.038.
• Dominique Guegan & Lanouar Charfeddine, 2015, "Which is the best model for the US inflation rate: a structural changes model or a long memory process," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00645841.
• Nicolas Debarsy & Fei Jin & Lung-Fei Lee, 2015, "Large sample properties of the matrix exponential spatial specification with an application to FDI," Post-Print, HAL, number hal-00858174, Sep, DOI: 10.1016/j.jeconom.2015.02.046.
• Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015, "Comonotonic Monte Carlo and its applications in option pricing and quantification of risk," Post-Print, HAL, number hal-01159741, Jun.
• Vikas Agarwal & Eser Arisoy & Narayan y Naik, 2015, "Volatility of Aggregate Volatility and Hedge Fund Returns," Post-Print, HAL, number hal-01412976, Jun, DOI: 10.2139/ssrn.2502352.
• Eser Arisoy & Aslihan Altay-Salih & Levent Akdeniz, 2015, "Aggregate Volatility Expectations and Threshold CAPM," Post-Print, HAL, number hal-01634175, DOI: 10.1016/j.najef.2015.09.013.
• Stéphane Loisel, 2015, "Reevaluation of the capital charge in insurance after a large shock: empirical and theoretical views," Post-Print, HAL, number hal-02013649, Apr.
• Laurent E. Calvet & Veronika Czellar, 2015, "Through the Looking Glass : Indirect Inference via Simple Equilibria," Post-Print, HAL, number hal-02313236, Apr, DOI: 10.1016/j.jeconom.2014.11.003.
• Nassim Nicholas Taleb & Raphaël Douady, 2015, "On the Super-Additivity and Estimation Biases of Quantile Contributions," Post-Print, HAL, number hal-02488594, Jul, DOI: 10.1016/j.physa.2015.02.038.
• Clément Bosquet & Hervé Boulhol, 2015, "What is really puzzling about the "distance puzzle"," Post-Print, HAL, number hal-02980021, Dec.
• Geert Dhaene & Koen Jochmans, 2015, "Split-panel jackknife estimation of fixed-effect models," Post-Print, HAL, number hal-03392997, Feb, DOI: 10.1093/restud/rdv007.
• Ali Ahmad & Christian Francq, 2015, "Poisson QMLE of Count Time Series Models," Post-Print, HAL, number hal-05417334, Nov, DOI: 10.1111/jtsa.12167.
• Christian Francq & Simos Meintanis, 2015, "Fourier-type estimation of the power GARCH model with stable-Paretian innovations," Post-Print, HAL, number hal-05417341, Sep, DOI: 10.1007/s00184-015-0560-x.
• Christian Francq & Jean-Michel Zakoïan, 2015, "Risk-parameter estimation in volatility models," Post-Print, HAL, number hal-05417474, Jan, DOI: 10.1016/j.jeconom.2014.06.019.
• Dominique Guegan & Lanouar Charfeddine, 2015, "Which is the best model for the US inflation rate: a structural changes model or a long memory process," Post-Print, HAL, number halshs-00645841.