## Research classified by
*Journal of
Economic Literature* (JEL) codes

Top JEL

/ C: Mathematical and Quantitative Methods

/ / C1: Econometric and Statistical Methods and Methodology: General

/ / /

**C13: Estimation: General**

**This topic is covered by the following reading lists:**

Most recent items first, undated at the end.

**Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns**

*by*Rasmus T. Varneskov & Pierre Perron

**Direct nonlinear shrinkage estimation of large-dimensional covariance matrices**

*by*Olivier Ledoit & Michael Wolf

**Love and money with inheritance: marital sorting between labor income and inherited wealth in the modern partnership**

*by*Zhu, Junyi & Pasteau, Etienne

**Voluntary turnover: What we measure and what it (really) means**

*by*Will, Matthias Georg

**U.S. monetary-fiscal regime changes in the presence of endogenous feedback in policy rules**

*by*Chang, Yoosoon & Kwak, Boreum

**Immigration Policy and Remittance Behaviour**

*by*Piracha, Matloob & Tani, Massimiliano & Tchuente, Guy

**Going beyond LATE: Bounding Average Treatment Effects of Job Corps Training**

*by*Chen, Xuan & Flores, Carlos A. & Flores-Lagunes, Alfonso

**Prediction intervals for inflation and unemployment rate in Romania. A Bayesian approach**

*by*Simionescu, Mihaela

**Supplements to ¡°Directionally Differentiable Econometric Models¡±**

*by*JIN SEO CHO & HALBERT WHITE

**Directionally Differentiable Econometric Models**

*by*JIN SEO CHO & HALBERT WHITE

**A Note on Improved Estimation for the Topp-Leone Distribution**

*by*David E. Giles

**Analytic Bias Correction for Maximum Likelihood Estimators When the Bias Function is Non-Constant**

*by*Ryan T. Godwin & David E. Giles

**Model Averaging OLS and 2SLS: An Application of the WALS Procedure**

*by*Judith Anne Clarke

**Joining the Incompatible: Exploiting Floristic Lists for the Sample-based Estimation of Species Richness**

*by*Alessandro Chiarucci & Rosa Maria Di Biase & Lorenzo Fattorini & Marzia Marcheselli & Caterina Pisani

**Global estimation of realized spot volatility in the presence of price jumps**

*by*Dare, Wale & Fengler, Matthias

**Estimating the impact of sericulture adoption on farmer income in Rwanda: an application of propensity score matching**

*by*Habiyaremye, Alexis

**Spatial differencing for sample selection models**

*by*Alex Klein & Guy Tchuente

**Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management**

*by*David E. Allen & Michael McAleer

**Jump-Preserving Varying-Coefficient Models for Nonlinear Time Series**

*by*Cizek, Pavel & Koo, Chao

**Theoretical and Empirical Differences Between Diagonal and Full Bekk for Risk Management**

*by*David Allen & Michael McAleer

**Realized Stochastic Volatility with General Asymmetry and Long Memory**

*by*Manabu Asai & Chia-Lin Chang & Michael McAleer

**Interquantile Expectation Regression**

*by*Sander Barendse

**Confidence Intervals in High-Dimensional Regression Based on Regularized Pseudoinverses**

*by*Tom Boot & Didier Nibbering

**Weighted-Average Least Squares Estimation of Generalized Linear Models**

*by*Giuseppe de Luca & Jan Magnus & Franco Peracchi

**Time Varying Integration amongst the South Asian Equity Markets: An Empirical Study**

*by*Florent DEISTING & Sanjay SEHGAL & Piyush PANDEY

**Constrained principal components estimation of large approximate factor models**

*by*Rachida Ouysse

**A Gravity-Based Revealed Comparative Advantage Estimator**

*by*Scott French

**Comparative Advantage and Biased Gravity**

*by*Scott French

**Romanian Capital Market in a Globalized World**

*by*Daniel Stefan Armeanu & Adrian Enciu & Sorin-Iulian Cioaca

**Bayesian Forecast Intervals for Inflation and Unemployment Rate in Romania**

*by*Mihaela Simionescu

**Causal Inference Using Potential Outcomes for a General Assignment Scheme**

*by*Rahul Mukherjee

**Modelling Systemic Risk in the South African Banking Sector Using CoVar**

*by*Mathias Manguzvane & John W. Muteba Mwamba

**Modelling exchange rate volatility dynamics: Empirical evidence from South Africa**

*by*Cyril May & Greg Farrell

**Bayesian Inference for Linear Regression**

*by*Daniel Ciuiu

**Decoding Restricted Participation in Sequential Electricity Markets**

*by*Knaut, Andreas & Paschmann, Martin

**Price Volatility in Commodity Markets with Restricted Participation**

*by*Knaut, Andreas & Paschmann, Martin

**The Currency Union Effect: A PPML Re-assessment with High-Dimensional Fixed Effects**

*by*Larch, Mario & Wanner, Joschka & Yotov, Yoto & Zylkin, Thomas

**On the Predictability of Stock Market Bubbles: Evidence from LPPLS ConfidenceTM Multi-scale Indicators**

*by*Riza Demirer & Guilherme Demos & Rangan Gupta & Didier Sornette

**Do Bivariate Multifractal Models Improve Volatility Forecasting in Financial Time Series? An Application to Foreign Exchange and Stock Markets**

*by*Ruipeng Liu & Riza Demirer & Rangan Gupta & Mark E. Wohar

**Carbon emissions and economic growth in South Africa: A quantile regression approach**

*by*Mapapu, Babalwa & Phiri, Andrew

**Estimating Difference-in-Differences in the Presence of Spillovers**

*by*Clarke, Damian

**Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles**

*by*Fries, Sébastien & Zakoian, Jean-Michel

**Weather Shocks, Climate Change and Business Cycles**

*by*Gallic, Ewen & Vermandel, Gauthier

**Asymptotic properties of QMLE for periodic asymmetric strong and semi-strong GARCH models**

*by*Bibi, Abdelouahab & Ghezal, Ahmed

**Impact of taxation on growth in Subsaharan Africa: new evidence based on a new data set**

*by*GBATO, ANDRE

**On the Role of Covariates in the Synthetic Control Method**

*by*Botosaru, Irene & Ferman, Bruno

**The PPP Puzzle: An Update**

*by*Razzak, Weshah

**A multilevel latent Markov model for the evaluation of nursing homes' performance**

*by*Montanari, Giorgio E. & Doretti, Marco & Bartolucci, Francesco

**Point-in-Time PD Term Structure Models with Loan Credit Quality as a Component**

*by*Yang, Bill Huajian

**Forward Ordinal Probability Models for Point-in-Time Probability of Default Term Structure**

*by*Yang, Bill Huajian

**Modeling Qualitative Outcomes by Supplementing Participant Data with General Population Data: A Calibrated Qualitative Response Estimation Approach**

*by*Erard, Brian

**Smoothing Algorithms by Constrained Maximum Likelihood**

*by*Yang, Bill Huajian

**Estimating the Threshold Level of Inflation for Thailand**

*by*Jiranyakul, Komain

**Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations**

*by*Gouriéroux, Christian & Monfort, Alain & Zakoian, Jean-Michel

**New Bid-Ask Spread Estimators from Daily High and Low Prices**

*by*Li, Zhiyong & Lambe, Brendan & Adegbite, Emmanuel

**Estudio empírico sobre el tipo de cambio MXN/USD: Movimiento Browniano Geométrico vs. Proceso Varianza-Gamma**

*by*Mosiño, Alejandro & Salomón-Núñez, Laura A. & Moreno-Okuno, Alejandro T.

**Matching Estimators with Few Treated and Many Control Observations**

*by*Ferman, Bruno

**Placebo Tests for Synthetic Controls**

*by*Ferman, Bruno & Pinto, Cristine

**The key factors of export intensity in Tunisia: A Logistic regression with random effect model**

*by*Kahia, Montassar

**Semiparametric Estimation and Testing of Smooth Coefficient Spatial Autoregressive Models**

*by*Malikov, Emir & Sun, Yiguo

**Short-Run Elasticity of Substitution – Error Correction Model**

*by*Martin Lukáèik & Karol Szomolányi & Adriana Lukáèiková

**Firms' Dynamics and Business Cycle: New Disaggregated Data**

*by*Lorenza Rossi & Emilio Zanetti Chini

**The effect of Fe y Alegria on school achievement: exploiting a school lottery selection as a natural experiment**

*by*Pablo Lavado & Santiago Cueto & Micaela Wensjoe & Gustavo Yamada

**Euler Equations, Subjective Expectations and Income Shocks**

*by*Agnes Kovacs & Orazio Attanasio

**Regulation, institutions and aggregate investment: New evidence from OECD countries**

*by*Balázs Égert

**Identification of and Correction for Publication Bias**

*by*Isaiah Andrews & Maximilian Kasy

**Finite-Sample Generalized Confidence Distributions and Sign-Based Robust Estimators in Median Regressions with Heterogeneous Dependent Errors**

*by*Élise, COUDIN & Jean-Marie DUFOUR

**Construction and visualization of optimal confidence sets for frequentist distributional forecasts**

*by*David Harris & Gael M. Martin & Indeewara Perera & Don S. Poskitt

**Nonparametric kernel estimation of the impact of tax policy on the demand for private health insurance in Australia**

*by*Xiaodong Gong & Jiti Gao

**Impact of multimodality of distributions on VaR and ES calculations**

*by*Dominique Guegan & Bertrand Hassani & Kehan Li

**Stochastic Frontier Analysis: Foundations and Advances**

*by*Subal C. Kumbhakar & Christopher F. Parmeter & Valentin Zelenyuk

**Estimation of the Two-Tiered Stochastic Frontier Model with the Scaling Property**

*by*Christopher F. Parmeter

**The Economics of Replication**

*by*Mueller-Langer, Frank & Fecher, Benedikt & Harhoff, Dietmar & Wagner, Gert G.

**Alternative GMM estimators for spatial regression models**

*by*Jörg Breitung & Christoph Wigger

**Immigration Policy and Remittance Behaviour**

*by*Piracha, Matloob & Tani, Massimiliano & Tchuente, Guy

**The Economics of Replication**

*by*Mueller-Langer, Frank & Fecher, Benedikt & Harhoff, Dietmar & Wagner, Gert G.

**Optimal sup-norm rates and uniform inference on nonlinear functionals of nonparametric IV regression**

*by*Xiaohong Chen & Timothy M. Christensen

**The influence function of semiparametric estimators**

*by*Hidehiko Ichimura & Whitney K. Newey

**Conditional moment restrictions and the role of density information in estimated structural models**

*by*Andreas Tryphonides &

**On the product of a singular Wishart matrix and a singular Gaussian vector in high dimensions**

*by*Bodnar, Taras & Mazur, Stepan & Muhinyuza, Stanislas & Parolya, Nestor

**Discriminant analysis in small and large dimensions**

*by*Bodnar, Taras & Mazur, Stepan & Ngailo, Edward & Parolya, Nestor

**Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions**

*by*Bodnar, Taras & Mazur, Stepan & Parolya, Nestor

**Euler Equations, Subjective Expectations and Income Shocks**

*by*Attanasio, Orazio & Kovacs, Agnes & Molnar, Krisztina

**Long Memory, Breaks, and Trends: On the Sources of Persistence in Inflation Rates**

*by*Rinke, Saskia & Busch, Marie & Leschinski, Christian

**Can a Repeated Opt-Out Reminder remove hypothetical bias in discrete choice experiments? An application to consumer valuation of novel food products**

*by*Mohammed H. Alemu & Søren B. Olsen

**New insights into the stochastic ray production frontier**

*by*Arne Henningsen & Matěj Bělín & Géraldine Henningsen

**Optimum thresholding using mean and conditional mean square error**

*by*José E. Figueroa-López & Cecilia Mancini

**GDP Trend-cycle Decompositions Using State-level Data**

*by*Manuel Gonzalez-Astudillo

**Good Policies or Good Luck? New Insights on Globalization and the International Monetary Policy Transmission Mechanism**

*by*Martinez-Garcia, Enrique

**Estimating Loss Given Default from CDS under Weak Identification**

*by*Liu, Lily Y.

**Mapping the Stocks in MICEX: Who Is Central in Moscow Stock Exchange?**

*by*M. Hakan Eratalay & Evgenii Vladimirov

**Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management**

*by*Tan, A.C. & McAleer, M.J.

**Realized Stochastic Volatility with General Asymmetry and Long Memory**

*by*Asai, M. & Chang, C-L. & McAleer, M.J.

**Regulation, Institutions and Aggregate Investment: New Evidence from OECD Countries**

*by*Balázs Égert

**The Economics of Replication**

*by*Frank Mueller-Langer & Benedikt Fecher & Dietmar Harhoff & Gert G. Wagner

**Reconsidering the Income-Illness Relationship using Distributional Regression: An Application to Germany**

*by*Alexander Silbersdorff & Julia Lynch & Stephan Klasen & Thomas Kneib

**Voluntary Turnover: What We Measure and What It (Really) Means**

*by*Matthias Georg Will

**Zone Pricing in Retail Oligopoly**

*by*Brian Adams & Kevin R. Williams

**Zone Pricing in Retail Oligopoly**

*by*Brian Adams & Kevin R. Williams

**Product Variety, Across-Market Demand Heterogeneity, and the Value of Online Retail**

*by*Thomas W. Quan & Kevin R. Williams

**Product Variety, Across-Market Demand Heterogeneity, and the Value of Online Retail**

*by*Thomas W. Quan & Kevin R. Williams

**22 Years of inflation assessment and forecasting experience at the bulletin of EU & US inflation and macroeconomic analysis**

*by*Senra, Eva & Espasa Terrades, Antoni

**Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model**

*by*Casarin, Roberto & Foroni, Claudia & Marcellino, Massimiliano & Ravazzolo, Francesco

**Sample Selection in Quantile Regression: A Survey**

*by*Manuel Arellano & Stéphane Bonhomme

**Explaining Differences In Efficiency: The Case Of Local Government Literature**

*by*Francesco Aiello & Graziella Bonanno & Luigi Capristo

**Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogenous dependent errors**

*by*Elise Coudin & Jean-Marie Dufour

**The Currency Union Effect: A PPML Re-assessment with High-Dimensional Fixed Effects**

*by*Mario Larch & Joschka Wanner & Yoto V. Yotov & Thomas Zylkin

**Regulation, Institutions and Aggregate Investment: New Evidence from OECD Countries**

*by*Balazs Egert

**The Local Power of the IPS Test with Both Initial Conditions and Incidental Trends**

*by*Kajal Lahiri & Zhongwen Liang & Huaming Peng

**Robust Inference and Testing of Continuity in Threshold Regression Models**

*by*Javier Hidalgo & Jungyoon Lee & Myung Hwan Seo

**Analysing Adoption of Soil Conservation Measures by Farmers in Darjeeling District, India**

*by*Chandan Singha

**Two-Stage Least Squares as Minimum Distance**

*by*Frank Windmeijer

**High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed**

*by*F. Lilla

**Business cycle estimation with high-pass and band-pass local polynomial regression**

*by*Luis J. Álvarez

**Estimation and Inference in Mixed Fixed and Random Coefficient Panel Data Models**

*by*Andrea Nocera

**Generalized Glass Ceilings in the United States – A Stochastic Metafrontier Approach**

*by*Khalid Maman Waziri

**Testing for Stochastic Dominance in Social Networks**

*by*Firmin Doko Tchatoka & Robert Garrard & Virginie Masson

**Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form**

*by*Giuseppe Cavaliere & Morten Ørregaard Nielsen & Robert Taylor

**Volatility spillover effects in interbank money markets**

*by*Pedro Pires Ribeiro & José Dias Curto

**Estimation and asymptotic covariance matrix for stochastic volatility models**

*by*Maddalena Cavicchioli

**Overeducation, Skills and Wage Penalty: Evidence for Spain Using PIAAC Data**

*by*Sandra Nieto & Raul Ramos

**Language and socioeconomics predict geographic variation in peer review outcomes at an ecology journal**

*by*C. Sean Burns & Charles W. Fox

**Hybrid scheme for Brownian semistationary processes**

*by*Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen

**A Monte Carlo comparison of estimating the number of dynamic factors**

*by*Zhao Zhao & Guowei Cui & Shaoping Wang

**How much should we trust regression-kink-design estimates?**

*by*Michihito Ando

**Time-varying persistence in US inflation**

*by*Massimiliano Caporin & Rangan Gupta

**How risky is the optimal portfolio which maximizes the Sharpe ratio?**

*by*Taras Bodnar & Taras Zabolotskyy

**Time Varying And Asymmetric Effect Between Oil Prices And Nominal Exchange Rate Volatility: A Multivariate Fiegarch-Dcc Approach**

*by*RIADH EL ABED

**Empirical Results of Modeling EUR/RON Exchange Rate using ARCH, GARCH, EGARCH, TARCH and PARCH models**

*by*Andreea – Cristina PETRICA & Stelian STANCU

**Effective Factors on Per Capita Healthcare Expenditure: A Comparison of Spatial Models in Selected Developing Countries**

*by*Rezaei, Hadi & Alizadeh , Mohammad & Nademi, Younes

**A Test for Natural Monopoly in Iranian Electricity Distribution Industry: A Panel Random Coefficients Model Analysis**

*by*Mirhashemi Dehnavi, Sayed Mohamad & Sadraei Javaheri , Ahmad & Marzban, Hossein & Mirdehghan, Sayed Morteza

**Stochastic Frontier Models with Dependent Errors based on Normal and Exponential Margins || Modelos de frontera estocástica con errores dependientes basados en márgenes normal y exponencial**

*by*Gómez-Déniz, Emilio & Pérez-Rodríguez, Jorge V.

**Jump and Volatility Dynamics for the S&P 500: Evidence for Infinite-Activity Jumps with Non-Affine Volatility Dynamics from Stock and Option Markets**

*by*Hanxue Yang & Juho Kanniainen

**A New Measure of Vector Dependence, with Applications to Financial Risk and Contagion**

*by*Ivan Medovikov & Artem Prokhorov

**Mutual Funds Dynamics and Economic Predictors**

*by*Gianni Amisano & Roberto Savona

**How Important is the Contagion Effect for the Romanian Capital Market?**

*by*Daniel Stefan ARMEANU & Adrian ENCIU & Sorin-Iulian CIOACA

**An Improved Version of the Volume-Synchronized Probability of Informed Trading**

*by*Ke, Wen-Chyan & Lin, Hsiou-Wei William

**Regresión con variables ortogonales y regresión alzada en el modelo STIRPAT/The Regression with Orthogonal Variables and the Raise Regression in the STIRPAT Model**

*by*GARCÍA GARCÍA, CLAUDIA & GARCÍA GARCÍA, CATALINA & SALMERÓN GÓMEZ, ROMÁN & GARCÍA PÉREZ, JOSÉ

**A solution for multicollinearity in stochastic frontier production function models**

*by*Elkin Castaño & Santiago Gallón

**Comparing forecasts for tourism dynamics in Medellín, Colombia**

*by*Marisol Valencia Cárdenas & Juan Gabriel Vanegas López & Juan Carlos Correa Morales & Jorge Aníbal Restrepo Morales

**The Impact of Economic Growth and Population on Co2 Emissions from Transport Sector. Azerbaijan Case**

*by*Jeyhun Mikayilov & Vusal Shukurov & Sabuhi Yusifov

**Nonparametric estimation of the determinants of inefficiency**

*by*Christopher F. Parmeter & Hung-Jen Wang & Subal C. Kumbhakar

**Nonparametric least squares methods for stochastic frontier models**

*by*Léopold Simar & Ingrid Keilegom & Valentin Zelenyuk

**A Stochastic Production Frontier Estimator of the Degree of Oligopsony Power in the U.S. Cattle Industry**

*by*Dimitrios Panagiotou & Athanassios Stavrakoudis

**Application of extended Dempster–Shafer theory of evidence in accident probability estimation for dangerous goods transportation**

*by*Yee Leung & Rongrong Li & Nannan Ji

**One-person enterprises and the phenomenon of hybrid self-employment: evidence from an empirical study**

*by*Dieter Bögenhold & Andrea Klinglmair

**Forecasting Bank Failure: Base Learners, Ensembles and Hybrid Ensembles**

*by*Aykut Ekinci & Halil İbrahim Erdal

**On Asymmetric Market Model with Heteroskedasticity and Quantile Regression**

*by*Cathy W. S. Chen & Muyi Li & Nga T. H. Nguyen & Songsak Sriboonchitta

**Measuring flows of international migration**

*by*James Raymer

**Bioethanol Production In Mexico: Socio- Economic Implications, Produccion De Bioetanol En Mexico: Implicaciones Socio-Economicas**

*by*Alberto Perez Fernandez & Jose Apolonio Venegas Venegas

**Accounting of Scientometric Indicators for Management of Scientific Activity**

*by*Oleh Moroz & Olena Shtovba

**Payment Technologies And Money Demand: Evidence From Dynamic Panel**

*by*Payam Mohammad ALIHA & Tamat SARMIDI & Abu Hassan SHAARI & Fathin Faizah SAID

**Investigating The Effects Of Financial Innovations On The Demand For Money In Malaysia Using The Ardl Appoach To Cointergration**

*by*Payam MOHAMMAD ALIHA & Tamat SARMIDI & Abu Hassan SHAAR & Fathin FAIZAH SAID

**Model Calculations of Short-Run Forecasts of Russian Economic Time Series**

*by*Turuntseva Marina & Bozhechkova Alexandra & Buzaev A. & Baeva Marina & Kiblitskaya Tatiana & Ponomarev Yuri & Skrobotov Anton & Astafieva Ekaterina

**Model Calculations of Short-Run Forecasts of Russian Economic Time Series**

*by*Turuntseva Marina & Bozhechkova Alexandra & Buzaev A. & Baeva Marina & Kiblitskaya Tatiana & Ponomarev Yuri & Skrobotov Anton & Astafieva Ekaterina

**Model Calculations of Short-Run Forecasts of Russian Economic Time Series**

*by*Turuntseva Marina & Bozhechkova Alexandra & Buzaev A. & Baeva Marina & Kiblitskaya Tatiana & Ponomarev Yuri & Skrobotov Anton & Astafieva Ekaterina

**Model Calculations of Short-Run Forecasts of Russian Economic Time Series**

*by*Turuntseva Marina & Bozhechkova Alexandra & Buzaev A. & Baeva Marina & Kiblitskaya Tatiana & Ponomarev Yuri & Skrobotov Anton & Astafieva Ekaterina

**Model Calculations of Short-Run Forecasts of Russian Economic Time Series**

*by*Turuntseva Marina & Bozhechkova Alexandra & Buzaev A. & Baeva Marina & Kiblitskaya Tatiana & Ponomarev Yuri & Skrobotov Anton & Astafieva Ekaterina

**Estimation of Possibly Non-Stationary First-Order Auto-Regressive Processes**

*by*Ana Paula Martins

**EU unification and linkages among the European currencies: new evidence from the EU and the EEA**

*by*Stoupos, Nikolaos & Kiohos, Apostolos

**Asymmetric exchange rate pass-through in an emerging market economy: The case of Mexico**

*by*Baharumshah, Ahmad Zubaidi & Sirag, Abdalla & Soon, Siew-Voon

**Carbon emission, energy consumption, trade openness and financial development in Pakistan: A revisit**

*by*Shahzad, Syed Jawad Hussain & Kumar, Ronald Ravinesh & Zakaria, Muhammad & Hurr, Maryam

**GMM gradient tests for spatial dynamic panel data models**

*by*Taşpınar, Süleyman & Doğan, Osman & Bera, Anil K.

**GMM gradient tests for spatial dynamic panel data models**

*by*Taşpınar, Süleyman & Doğan, Osman & Bera, Anil K.

**Exchangeability, extreme returns and Value-at-Risk forecasts**

*by*Huang, Chun-Kai & North, Delia & Zewotir, Temesgen

**Cointegration and nonlinear causality amongst gold, oil, and the Indian stock market: Evidence from implied volatility indices**

*by*Bouri, Elie & Jain, Anshul & Biswal, P.C. & Roubaud, David

**Reduced form vector directional quantiles**

*by*Montes-Rojas, Gabriel

**Volatility of aggregate volatility and hedge fund returns**

*by*Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y.

**Demographic responses to a political transformation: Evidence of women’s empowerment from Nepal**

*by*Paudel, Jayash & de Araujo, Pedro

**An empirical comparison of transformed diffusion models for VIX and VIX futures**

*by*Bu, Ruijun & Jawadi, Fredj & Li, Yuyi

**A unisex stochastic mortality model to comply with EU Gender Directive**

*by*Chen, An & Vigna, Elena

**A meta-analysis on the price elasticity of energy demand**

*by*Labandeira, Xavier & Labeaga, José M. & López-Otero, Xiral

**Size distribution of national CO2 emissions**

*by*Akhundjanov, Sherzod B. & Devadoss, Stephen & Luckstead, Jeff

**Bayesian calibration and number of jump components in electricity spot price models**

*by*Gonzalez, Jhonny & Moriarty, John & Palczewski, Jan

**Empirical evidence of news about future prospects in the risk-pricing of oil assets**

*by*Kakeu, Johnson & Bouaddi, Mohammed

**Generating options-implied probability densities to understand oil market events**

*by*Datta, Deepa Dhume & Londono, Juan M. & Ross, Landon J.

**Electricity price modeling with stochastic time change**

*by*Borovkova, Svetlana & Schmeck, Maren Diane

**Estimating the speed of adjustment to target levels: The case of energy prices**

*by*Narayan, Seema & Narayan, Paresh Kumar

**Systemic risk and cross-sectional hedge fund returns**

*by*Hwang, Inchang & Xu, Simon & In, Francis & Kim, Tong Suk

**Marked Hawkes process modeling of price dynamics and volatility estimation**

*by*Lee, Kyungsub & Seo, Byoung Ki

**Improving the accuracy of asset price bubble start and end date estimators**

*by*Harvey, David I. & Leybourne, Stephen J. & Sollis, Robert

**Quasi-experimental impact estimates of immigrant labor supply shocks: The role of treatment and comparison group matching and relative skill composition**

*by*Aydemir, Abdurrahman B. & Kırdar, Murat G.

**Semiparametric identification of the bid–ask spread in extended Roll models**

*by*Chen, Xiaohong & Linton, Oliver & Yi, Yanping

**Understanding the effect of measurement error on quantile regressions**

*by*Chesher, Andrew

**Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data**

*by*Chen, Richard Y. & Mykland, Per A.

**Realized stochastic volatility with general asymmetry and long memory**

*by*Asai, Manabu & Chang, Chia-Lin & McAleer, Michael

**What can we learn about the racial gap in the presence of sample selection?**

*by*Maasoumi, Esfandiar & Wang, Le

**A unifying theory of tests of rank**

*by*Al-Sadoon, Majid M.

**Semiparametric estimation and testing of smooth coefficient spatial autoregressive models**

*by*Malikov, Emir & Sun, Yiguo

**Testing for prospect and Markowitz stochastic dominance efficiency**

*by*Arvanitis, Stelios & Topaloglou, Nikolas

**Higher-order properties of approximate estimators**

*by*Kristensen, Dennis & Salanié, Bernard

**Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form**

*by*Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert

**Spatial dynamic panel data models with interactive fixed effects**

*by*Shi, Wei & Lee, Lung-fei

**QML estimation of spatial dynamic panel data models with endogenous time varying spatial weights matrices**

*by*Qu, Xi & Lee, Lung-fei & Yu, Jihai

**Identification and estimation of a large factor model with structural instability**

*by*Baltagi, Badi H. & Kao, Chihwa & Wang, Fa

**On the role of the rank condition in CCE estimation of factor-augmented panel regressions**

*by*Karabiyik, Hande & Reese, Simon & Westerlund, Joakim

**Estimation of integrated quadratic covariation with endogenous sampling times**

*by*Potiron, Yoann & Mykland, Per A.

**Least squares estimation of large dimensional threshold factor models**

*by*Massacci, Daniele

**Resurrecting weighted least squares**

*by*Romano, Joseph P. & Wolf, Michael

**Inference and testing breaks in large dynamic panels with strong cross sectional dependence**

*by*Hidalgo, Javier & Schafgans, Marcia

**R-estimation in semiparametric dynamic location-scale models**

*by*Hallin, Marc & La Vecchia, Davide

**Identification and QML estimation of multivariate and simultaneous equations spatial autoregressive models**

*by*Yang, Kai & Lee, Lung-fei

**Estimating smooth structural change in cointegration models**

*by*Phillips, Peter C.B. & Li, Degui & Gao, Jiti

**A new approach to model regime switching**

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**Gelişmiş ve Gelişmekte Olan Ülkeler İçin Sabit İkame Esneklikli Üretim Fonksiyonu’nun Tahmini**

*by*Mehmet Songur

**Gelişmiş ve Gelişmekte Olan Ülkeler İçin Sabit İkame Esneklikli Üretim Fonksiyonu’nun Tahmini**

*by*Mehmet Songur

**Gelişmiş ve Gelişmekte Olan Ülkeler İçin Sabit İkame Esneklikli Üretim Fonksiyonu’nun Tahmini**

*by*Mehmet Songur

**Gender Based Wage Gap in Turkey**

*by*Ömer Limanlı

**Gender Based Wage Gap in Turkey**

*by*Ömer Limanlı

**Gender Based Wage Gap in Turkey**

*by*Ömer Limanlı

**Türkiye’deki Seçilmiş Bazı Mali Göstergeler Üzerine Bir Koşullu Değişen Varyans Çözümlemesi**

*by*Evrim İmer-Ertunga & Şerife Serap Çakar

**Türkiye’deki Seçilmiş Bazı Mali Göstergeler Üzerine Bir Koşullu Değişen Varyans Çözümlemesi**

*by*Evrim İmer-Ertunga & Şerife Serap Çakar

**Türkiye’deki Seçilmiş Bazı Mali Göstergeler Üzerine Bir Koşullu Değişen Varyans Çözümlemesi**

*by*Evrim İmer-Ertunga & Şerife Serap Çakar

**Türkiye’de Enerji Tüketiminin Ekonomik Büyüme Üzerindeki Etkileri: Markov Switching Yaklaşımı**

*by*Naci Bayrac & Emrah Dogan

**Türkiye’de Enerji Tüketiminin Ekonomik Büyüme Üzerindeki Etkileri: Markov Switching Yaklaşımı**

*by*Naci Bayrac & Emrah Dogan

**Türkiye’de Enerji Tüketiminin Ekonomik Büyüme Üzerindeki Etkileri: Markov Switching Yaklaşımı**

*by*Naci Bayrac & Emrah Dogan

**Dealing with Financial Instability under a DSGE modeling approach with Banking Intermediation: a forecastability analysis versus TVP-VARs**

*by*Bekiros, Stelios D.; Cardani, Roberta; Paccagnini, Alessia; Villa, Stefania

**Declining discount rates and the Fisher Effect: inflated past, discounted future?**

*by*Mark C. Freeman & Ben Groom & Ekaterini Panopoulou & Theologos Pantelidis

**High dimensional stochastic regression with latent factors, endogeneity and nonlinearity**

*by*Jinyuan Chang & Bin Guo & Qiwei Yao

**Panel nonparametric regression with fixed effects**

*by*Jungyoon Lee & Peter Robinson

**Efficient inference on fractionally integrated panel data models with fixed effects**

*by*Peter M. Robinson & Carlos Velasco

**Robustness of bootstrap in instrumental variable regression**

*by*Lorenzo Camponovo & Taisuke Otsu

**A meta-analysis on the price elasticity of energy demand**

*by*Xavier Labandeira & José M.aría Labeaga & Xiral López-Otero

**Semi-nonparametric Spline Modifications to the Cornwell-Schmidt-Sickles Estimator: An Analysis of U.S. Banking Productivity**

*by*Almanidis, Pavlos & Karagiannis, Giannis & Sickles, Robin C.

**Transmission du stress financier de la zone euro aux Pays de l’Europe Centrale et Orientale**

*by*Houda Rharrabti Zaid

**Beyond Conventional Wage Discrimination Analysis: Assessing Comprehensive Wage Distributions of Males and Females Using Structured Additive Distributional Regression**

*by*Alexander Sohn

**Minimum Distance Testing and Top Income Shares in Korea**

*by*Jin Seo Cho & Myung-Ho Park & Peter C. B. Phillips

**Measuring attitudes regarding female genital mutilation through a list experiment**

*by*Elisabetta de Cao & Clemens Lutz

**Gaussian processes and Bayesian moment estimation**

*by*Jean-Pierre Florens & Anna Simoni

**Gaussian processes and Bayesian moment estimation**

*by*Jean-Pierre Florens & Anna Simoni

**The Probability of Legislative Shirking: Estimation and Validation**

*by*Serguei Kaniovski & David Stadelmann

**Solution and Estimation Methods for DSGE Models**

*by*Fernández-Villaverde, Jesús & Rubio-Ramírez, Juan Francisco & Schorfheide, Frank

**Does the CAMEL bank ratings system follow a procyclical pattern?**

*by*Papanikolaou, Nikolaos I. & Wolff, Christian C

**Partial Identification in Applied Research: Benefits and Challenges**

*by*Ho, Katherine & Rosen, Adam M.

**Structural Analysis with Multivariate Autoregressive Index Models**

*by*Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano

**Estimating the Extensive Margin of Trade**

*by*Santos Silva, J.M.C & Tenreyro, Silvana & Wei, Kehai

**The Missing Transfers: Estimating Mis-reporting in Dyadic Data**

*by*Comola, Margherita & Fafchamps, Marcel

**The “wrong skewness” problem in stochastic frontier models: a new approach**

*by*Hafner, C. & Manner, H. & Simar, L.

**Multilevel Empirics For Small Banks In Local Markets**

*by*Francesco Aiello & Graziella Bonanno

**The “Wrong Skewness” Problem: A Re-Specification Of Stochastic Frontiers**

*by*Graziella Bonanno & Domenico De Giovanni & Filippo Domma

**Spurious Weather Effects**

*by*Jo Thori Lind

**Gold, Oil, and Stocks: Dynamic Correlations**

*by*Jozef BarunÃk & EvÅ¾en Kocenda & LukÃ¡Å¡ VÃ¡cha

**Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models**

*by*Jan Frederik Kiviet & Milan Pleus & Rutger Poldermans

**Inference and Testing Breaks in Large Dynamic Panels with Strong Cross Sectional Dependence**

*by*Javier Hidalgo & Marcia M Schafgans

**A unisex stochastic mortality model to comply with EU Gender Directive**

*by*An Chen & Elena Vigna

**Methodological Report on Kaul and Wolf's Working Papers on the Effect of Plain Packaging on Smoking Prevalence in Australia and the Criticism Raised by OxyRomandie**

*by*Ben Jann

**Extreme Downside Risk and Market Turbulence**

*by*Richard Harris & Linh Nguyen & Evarist Stoja

**Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns**

*by*Rasmus T. Varneskov & Pierre Perron

**A Composite Likelihood Framework for Analyzing Singular DSGE Models**

*by*Zhongjun Qu

**Extreme downside risk and financial crises**

*by*Harris, Richard D. F. & Nguyen, Linh H & Stoja, Evarist

**Bayesian nonparametric calibration and combination of predictive distributions**

*by*Federico Bassetti & Roberto Casarin & Francesco Ravazzolo

**A General Theory of Rank Testing**

*by*Majid M. Al-Sadoon

**Panel Time Series. Review of the Methodological Evolution**

*by*Tamara Burdisso & Máximo Sangiácomo

**Debt Overhang and Deleveraging in the US Household Sector: Gauging the Impact on Consumption**

*by*Bruno Albuquerque & Georgi Krustev

**Maximum Likelihood Estimation of Dynamic Panel Threshold Models**

*by*Nelson Ramírez-Rondán

**Star Wars: The Empirics Strike Back**

*by*Abel Brodeur & Mathias Lé & Marc Sangnier & Yanos Zylberberg

**A Particular Form of Non-Constant Effect in Two-Stage Quantile Regression**

*by*Tae-Hwan Kim & Christophe Muller

**Consistent tests for risk seeking behavior: A stochastic dominance approach Abstract We develop non-parametric tests for prospect stochastic dominance Efficiency (PSDE) and Markowitz stochastic dominance efficiency (MSDE) with rejection regions determined by block bootstrap resampling techniques. Under the appropriate conditions we show that they are asymptotically conservative and consistent. We engage into Monte Carlo experiments to assess the nite sample size and power of the tests allowing for the presence of numerical errors. We use them to empirically analyze investor preferences and beliefs by testing whether the value-weighted market portfolio can be considered as efficient according to prospect and Markowitz stochastic dominance criteria when confronted to diversi cation principles made of risky assets. Our results indicate that we cannot reject the hypothesis of prospect stochastic dominance efficiency for the market portfolio. This is supportive of the claim that the particular portfolio can be rationalized as the optimal choice for any S-shaped utility function. Instead, we reject the hypothesis for Markowitz stochastic dominance, which could imply that there exist reverse S-shaped utility functions that do not rationalize the market portfolio**

*by*Stelios Arvanitis & Nikolas Topaloglou

**Maximum Entropy Evaluation of Asymptotic Hedging Error under a Generalised Jump-Diffusion Model**

*by*Farzad Alavi Fard & Firmin Doko Tchatoka & Sivagowry Sriananthakumar

**On Bootstrap Validity for Subset Anderson-Rubin Test in IV Regressions**

*by*Firmin Doko Tchatoka & Wenjie Wang

**Edgeworth expansion for the pre-averaging estimator**

*by*Mark Podolskij & Bezirgen Veliyev & Nakahiro Yoshida

**On critical cases in limit theory for stationary increments Lévy driven moving averages**

*by*Andreas Basse-O'Connor & Mark Podolskij

**Limit theorems for stationary increments Lévy driven moving averages**

*by*Andreas Basse-O'Connor & Raphaël Lachièze-Rey & Mark Podolskij

**A weak limit theorem for numerical approximation of Brownian semi-stationary processes**

*by*Mark Podolskij & Nopporn Thamrongrat

**On U- and V-statistics for discontinuous Itô semimartingale**

*by*Mark Podolskij & Christian Schmidt & Mathias Vetter

**Parametric Portfolio Policies with Common Volatility Dynamics**

*by*Yunus Emre Ergemen & Abderrahim Taamouti

**Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation**

*by*Laurent Callot & Johannes Tang Kristensen

**Identification and estimation of non-Gaussian structural vector autoregressions**

*by*Markku Lanne & Mika Meitz & Pentti Saikkonen

**Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)**

*by*Arianna Agosto & Giuseppe Cavaliere & Dennis Kristensen & Anders Rahbek

**Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models**

*by*Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme

**Weak diffusion limits of dynamic conditional correlation models**

*by*Christian M. Hafner & Sebastien Laurent & Francesco Violante

**Satisfacción laboral en los países pobres: el caso de los docentes malgaches**

*by*Carlos Gamero Burón & Gerard Lassibille

**Overeducation, skills and wage penalty: Evidence for Spain using PIAAC data**

*by*Sandra Nieto

**Resurgence of the endogeneity-backed instrumental variable methods**

*by*Qin, Duo

**Currency Crises in EU Candidate Countries: An Early Warning System Approach**

*by*Vesna Bucevska

**Modeling The Informal Economy: A Review**

*by*MIHĂILĂ, Teodora

**Szacunki kwartalnego PKB w polskich województwach**

*by*Mateusz Pipień & Sylwia Roszkowska

**La profundidad de mercado y el impacto cruzado de precios**

*by*Treviño Aguilar, Erick & Refugio Vallejo Gutiérrez

**Linkage between US monetary policy and emerging economies: the case of Korea?s financial market and monetary policy**

*by*Chan-Guk Huh & Jie Wu

**Do Bayesian Vector Autoregressive models improve density forecasting accuracy? The case of the Czech Republic and Romania**

*by*Valeriu Nalban

**Entrepreneurial Choice of Investment Capital for House-based Industries**

*by*Shrabani Mukherjee

**Estimation and Variance Decomposition in a Small-size DSGE Model**

*by*Oana Simona HUDEA

**Predictors of work life balance for women entrepreneurs in the North East Region of Romania**

*by*Dan Dumitru Ionescu & Alina Mariuca Ionescu

**Inductive Effect of Physicians Number and Hospital Bed on Health Expenditures in Iran**

*by*Panahi, Hossein & Salmani, Behzad & Nasibparast, Sima

**The Effect of Money Supply on the Inflation the Period between 1980-2013 in Turkey Economy**

*by*Şahin, İsmail & Karanfil, Muhammet

**Medidas macroprudenciales y política monetaria en una economía pequeña y abierta**

*by*Ribeiro, Joao

**Alternative models for forecasting the key macroeconomic variables in Armenia (in Russian)**

*by*Karen Poghosyan

**Identification in a class of nonparametric simultaneous equation models with sample selection (in Russian)**

*by*Evgeniy Ozhegov

**Hysteresis and the NAIRU: The Case of Countries in Transition**

*by*Gordana Marjanovic & Ljiljana Maksimovic & Nenad Stanisic

**Income Inequality By Method Of Non-Weighted Average Absolute Deviation: Case Study Of Central And Eastern European Countries***

*by*Kamila Tureckova

**Consumption Expenditure in Romania – between Present Constraints and Past Habits**

*by*Moraru Andreea-Daniela & Baca Eleonora

**Impact Assessment of the Key Quantitative Indices for Road Transport Performance on Its Energy Efficiency**

*by*Hristina Nikolova & Petya Koralova

**Trade Effects Estimation for the Case of Eurasian Economic Space Countries: Application of Regional Gravity Model**

*by*Mogilat, A. & Salnikov, V.

**Log-volatility enhanced GARCH models for single asset returns**

*by*Tomasz Skoczylas

**Skewed Generalized Error Distribution of Financial Assets and Option Pricing**

*by*Panayiotis Theodossiou

**Una visión de la eficiencia productiva en el Mundial de Brasil 2014. ¿Ganó la selección más eficiente?/A Productive Efficiency Vision of the Brazil World Cup 2014. Did it Win the More Efficient Team?**

*by*LÉRIDA NAVARRO, CARLOS

**FDI, private investment and public investment in Nigeria: An unravelled dynamic relation**

*by*Amassoma Ditimi & Ogbuagu Matthew I.

**Re-gendering globalization: Overcoming the phenomenon of gendering globalization**

*by*Sadia Afrin & Mahmudul Hasan Fouiji & Muhammad Raquib

**Forecasting Seasonal Factors Method Vs. Regression Method With MS Excel**

*by*Petru Balogh & Pompiliu Golea

**From Learning to Productive Active Life in Romania and European Union**

*by*Mariana Balan

**Technical Efficiency Determinants Of The Tunisian Manufacturing Industry: Stochastic Production Frontiers Estimates On Panel Data**

*by*KAMEL HELALI & MAHA KALAI

**An Empirical Analysis of Engel Curve on Energy for Households in Sabah and Sarawak Based on Location and Income Group**

*by*Vivin Vincent Chandran & Caroline Geetha & Kwang Jing Yii & Amran Ahmed

**The Optimal Taxation and the Current Tax System**

*by*Ioannis N. Kallianiotis

**Analyzing the Market Concentration of the Romanian Capital Market**

*by*Sorin-Iulian Cioaca

**Model Calculations of Short-Run Forecasts of Russian Economic Time Series**

*by*Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov

**Model Calculations of Short-Run Forecasts of Russian Economic Time Series**

*by*Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov

**Model Calculations of Short-Run Forecasts of Russian Economic Time Series**

*by*Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov

**Model Calculations of Short-Run Forecasts of Russian Economic Time Series**

*by*Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov

**Model Calculations of Short-Run Forecasts of Russian Economic Time Series**

*by*Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov

**Model Calculations of Short-Run Forecasts of Russian Economic Time Series**

*by*Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov

**Model Calculations of Short-Run Forecasts of Russian Economic Time Series**

*by*Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov

**Model Calculations of Short-Run Forecasts of Russian Economic Time Series**

*by*Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov

**Model Calculations of Short-Run Forecasts of Russian Economic Time Series**

*by*Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov

**Model Calculations of Short-Run Forecasts of Russian Economic Time Series**

*by*Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov

**China Estimating Nonlinear DSGE Models with Moments Based Methods**

*by*Ivashchenko Sergey

**Exchange Rate Pass-Through in Central and Eastern Europe: A Panel Bayesian VAR Approach**

*by*Valeriu Nalban

**The Capital Markets Research Based on the Financial Quantitative Models**

*by*Antoniade Ciprian ALEXANDRU & Nicoleta CARAGEA

**An Approach to the Analysis of Strategic Development Trend in the Electricity Production Regarding the Energy Sector Framework: The Ukrainian and Spanish Cases**

*by*Viktoria Sihua & Anxo Calvo-Silvosa & Ilya Starodumov

**Quantity-of-money fluctuations and economic instability: empirical evidence for the USA (1958â€“2006)**

*by*Panayotis G. Michaelides & John G. Milios & Konstantinos N. Konstantakis & Panayiotis Tarnaras

**Education Premiums in Cambodia: Dummy Variables Revisited and Recent Data**

*by*John Humphreys

**Prediction and simulation using simple models characterized by nonstationarity and seasonality**

*by*Swanson, Norman R. & Urbach, Richard

**ALRIGHT: Asymmetric LaRge-scale (I)GARCH with Hetero-Tails**

*by*Paolella, Marc S. & Polak, Paweł

**Time-varying nature and macroeconomic determinants of exchange rate pass-through**

*by*Ozkan, Ibrahim & Erden, Lutfi

**Modified QML estimation of spatial autoregressive models with unknown heteroskedasticity and nonnormality**

*by*Liu, Shew Fan & Yang, Zhenlin

**Industry localization, distance decay, and knowledge spillovers: Following the patent paper trail**

*by*Figueiredo, Octávio & Guimarães, Paulo & Woodward, Douglas

**Value at Risk of the main stock market indexes in the European Union (2000–2012)**

*by*Iglesias, Emma M.

**How past market movements affect correlation and volatility**

*by*Becker, Christoph & Schmidt, Wolfgang M.

**Does ambiguity matter? Estimating asset pricing models with a multiple-priors recursive utility**

*by*Jeong, Daehee & Kim, Hwagyun & Park, Joon Y.

**Declining discount rates and the Fisher Effect: Inflated past, discounted future?**

*by*Freeman, Mark C. & Groom, Ben & Panopoulou, Ekaterini & Pantelidis, Theologos

**Linear programming-based estimators in nonnegative autoregression**

*by*Preve, Daniel

**A semiparametric conditional capital asset pricing model**

*by*Cai, Zongwu & Ren, Yu & Yang, Bingduo

**The role of the variance premium in Jump-GARCH option pricing models**

*by*Byun, Suk Joon & Jeon, Byoung Hyun & Min, Byungsun & Yoon, Sun-Joong

**Interpreting financial market crashes as earthquakes: A new Early Warning System for medium term crashes**

*by*Gresnigt, Francine & Kole, Erik & Franses, Philip Hans

**A parametric alternative to the Hill estimator for heavy-tailed distributions**

*by*Kim, Joseph H.T. & Kim, Joocheol

**The information content of option-implied information for volatility forecasting with investor sentiment**

*by*Seo, Sung Won & Kim, Jun Sik

**Is risk higher during non-trading periods? The risk trade-off for intraday versus overnight market returns**

*by*Riedel, Christoph & Wagner, Niklas

**Liquidity shocks and stock bubbles**

*by*Nneji, Ogonna

**Revisiting the Fisher parity consistency for the Swiss economy around the modification of the National Bank׳s monetary policy strategy**

*by*Neto, David

**Max-factor individual risk models with application to credit portfolios**

*by*Denuit, Michel & Kiriliouk, Anna & Segers, Johan

**Structural gravity and fixed effects**

*by*Fally, Thibault

**US stock market regimes and oil price shocks**

*by*Angelidis, Timotheos & Degiannakis, Stavros & Filis, George

**Calculating systemic risk capital: A factor model approach**

*by*Avramidis, Panagiotis & Pasiouras, Fotios

**Optimal versus realized bank credit risk and monetary policy**

*by*Delis, Manthos D. & Karavias, Yiannis

**On corporate capital structure adjustments**

*by*Dang, Viet Anh & Garrett, Ian

**The instability of the Pearson correlation coefficient in the presence of coincidental outliers**

*by*Kim, Yunmi & Kim, Tae-Hwan & Ergün, Tolga

**Stochastic volatility and leverage: Application to a panel of S&P500 stocks**

*by*Ozturk, Serda Selin & Richard, Jean-Francois

**Credit contagion in the presence of non-normal shocks**

*by*Batiz-Zuk, Enrique & Christodoulakis, George & Poon, Ser-Huang

**The demand for transport fuels in Turkey**

*by*Hasanov, Mübariz

**Environmental Kuznets curve for CO2 emissions: The case of Arctic countries**

*by*Baek, Jungho

**Modeling the dynamics of carbon emission performance in China: A parametric Malmquist index approach**

*by*Lin, Boqiang & Du, Kerui

**Exogenous impacts on the links between energy and agricultural commodity markets**

*by*Han, Liyan & Zhou, Yimin & Yin, Libo

**The role of covered interest parity in explaining the forward premium anomaly within a nonlinear panel framework**

*by*Cho, Dooyeon

**The dynamics of squared returns under contemporaneous aggregation of GARCH models**

*by*Jondeau, Eric

**ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models**

*by*Creel, Michael & Kristensen, Dennis

**Asymptotic inference in multiple-threshold double autoregressive models**

*by*Li, Dong & Ling, Shiqing & Zakoïan, Jean-Michel

**High dimensional stochastic regression with latent factors, endogeneity and nonlinearity**

*by*Chang, Jinyuan & Guo, Bin & Yao, Qiwei

**Identification and shape restrictions in nonparametric instrumental variables estimation**

*by*Freyberger, Joachim & Horowitz, Joel L.

**Regression discontinuity designs with unknown discontinuity points: Testing and estimation**

*by*Porter, Jack & Yu, Ping

**Panel nonparametric regression with fixed effects**

*by*Lee, Jungyoon & Robinson, Peter M.

**Semiparametric single-index panel data models with cross-sectional dependence**

*by*Dong, Chaohua & Gao, Jiti & Peng, Bin

**Maximum likelihood estimation of a spatial autoregressive Tobit model**

*by*Xu, Xingbai & Lee, Lung-fei

**Two-step estimation of network-formation models with incomplete information**

*by*Leung, Michael P.

**Structural-break models under mis-specification: Implications for forecasting**

*by*Koo, Bonsoo & Seo, Myung Hwan

**Identification and estimation in a correlated random coefficients binary response model**

*by*Hoderlein, Stefan & Sherman, Robert

**Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity**

*by*Hayakawa, Kazuhiko & Pesaran, M. Hashem

**Large sample properties of the matrix exponential spatial specification with an application to FDI**

*by*Debarsy, Nicolas & Jin, Fei & Lee, Lung-fei

**Stock return and cash flow predictability: The role of volatility risk**

*by*Bollerslev, Tim & Xu, Lai & Zhou, Hao

**Explicit form of approximate transition probability density functions of diffusion processes**

*by*Choi, Seungmoon

**Hybrid generalized empirical likelihood estimators: Instrument selection with adaptive lasso**

*by*Caner, Mehmet & Fan, Qingliang

**Estimation in generalised varying-coefficient models with unspecified link functions**

*by*Zhang, Wenyang & Li, Degui & Xia, Yingcun

**Classical Laplace estimation for n3-consistent estimators: Improved convergence rates and rate-adaptive inference**

*by*Jun, Sung Jae & Pinkse, Joris & Wan, Yuanyuan

**VAR for VaR: Measuring tail dependence using multivariate regression quantiles**

*by*White, Halbert & Kim, Tae-Hwan & Manganelli, Simone

**Select the valid and relevant moments: An information-based LASSO for GMM with many moments**

*by*Cheng, Xu & Liao, Zhipeng

**Regularized LIML for many instruments**

*by*Carrasco, Marine & Tchuente, Guy

**Oracle inequalities for high dimensional vector autoregressions**

*by*Kock, Anders Bredahl & Callot, Laurent

**A spatial autoregressive model with a nonlinear transformation of the dependent variable**

*by*Xu, Xingbai & Lee, Lung-fei

**The power of PANIC**

*by*Westerlund, Joakim

**The effect of recursive detrending on panel unit root tests**

*by*Westerlund, Joakim

**Efficient inference on fractionally integrated panel data models with fixed effects**

*by*Robinson, Peter M. & Velasco, Carlos

**Cross-sectional averages versus principal components**

*by*Westerlund, Joakim & Urbain, Jean-Pierre

**Through the looking glass: Indirect inference via simple equilibria**

*by*Calvet, Laurent E. & Czellar, Veronika

**Jackknife instrumental variable estimation with heteroskedasticity**

*by*Bekker, Paul A. & Crudu, Federico

**QML estimation of dynamic panel data models with spatial errors**

*by*Su, Liangjun & Yang, Zhenlin

**Nonlinear regressions with nonstationary time series**

*by*Chan, Nigel & Wang, Qiying

**Asymptotic theory for differentiated products demand models with many markets**

*by*Freyberger, Joachim

**Frontier estimation in the presence of measurement error with unknown variance**

*by*Kneip, Alois & Simar, Léopold & Van Keilegom, Ingrid

**Robust score and portmanteau tests of volatility spillover**

*by*Aguilar, Mike & Hill, Jonathan B.

**Estimation of fixed effects panel regression models with separable and nonseparable space–time filters**

*by*Lee, Lung-fei & Yu, Jihai

**Risk-parameter estimation in volatility models**

*by*Francq, Christian & Zakoïan, Jean-Michel

**Reinforced urn processes for credit risk models**

*by*Peluso, Stefano & Mira, Antonietta & Muliere, Pietro

**Consistent method of moments estimation of the true fixed effects model**

*by*Wikström, Daniel

**Has the crisis affected the behavior of the rating agencies? Panel evidence from the Eurozone**

*by*Boumparis, Periklis & Milas, Costas & Panagiotidis, Theodore

**Missing mean does no harm to volatility!**

*by*Anatolyev, Stanislav & Tarasyuk, Irina

**A note on 2SLS estimation of the mixed regressive spatial autoregressive model**

*by*Liu, Long

**Multi-way clustering estimation of standard errors in gravity models**

*by*Egger, Peter H. & Tarlea, Filip

**Endogeneity in stochastic frontier models: Copula approach without external instruments**

*by*Tran, Kien C. & Tsionas, Efthymios G.

**Estimating the common break date in large factor models**

*by*Chen, Liang

**Consistency of the least squares estimator in threshold regression with endogeneity**

*by*Yu, Ping

**Factor-augmented regression models with structural change**

*by*Wang, Shaoping & Cui, Guowei & Li, Kunpeng

**Estimating the long rate and its volatility**

*by*Annaert, Jan & Claes, Anouk G.P. & De Ceuster, Marc J.K. & Zhang, Hairui

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*by*Wang, Wei & Yu, Jihai

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**An Assessment of the Impact of Workers’ Education on their Earnings in Russian Regions**

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