## 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.

**Bucharest Stock Exchange Volatility – Do Fundamentals Matter? [Volatilitatea Bursei de Valori Bucureşti – Contează fundamentele?]**

*by*Diaconaşu Delia-Elena

**Modeling and forecasting persistent financial durations**

*by*Zikes, Filip & Barunik, Jozef & Shenai, Nikhil

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

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

**Many a little makes a mickle: Macro portfolio stress test for small and medium-sized German banks**

*by*Busch, Ramona & Koziol, Philipp & Mitrovic, Marc

**Lethal lapses: How a positive interest rate shock might stress German life insurers**

*by*Feodoria, Mark & Förstemann, Till

**Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables**

*by*Jia Chen & Degui Li & Oliver Linton & Zudi Lu

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

*by*Tae-Hwan Kim & Christophe Muller

**The Instability of the Pearson Correlation Coefficient in the Presence of Coincidental Outliers**

*by*Yunmi Kim & Tae-Hwan Kim & Tolga Ergun

**Bivariate GARCH models for single asset returns**

*by*Tomasz Skoczylas

**Bond Supply and Excess Bond Returns in Zero-Lower Bound and Normal Environments: Evidence from Japan**

*by*Junko Koeda

**Bayesian Nonparametric Calibration and Combination of Predictive Distributions**

*by*Roberto Casarin & Federico Bassetti & Francesco Ravazzolo

**Inference on Causal Effects in a Generalized Regression Kink Design**

*by*David Card & David S. Lee & Zhuan Pei & Andrea Weber

**Time Series Analysis of Global Temperature Distributions: Identifying and Estimating Persistent Features in Temperature Anomalies**

*by*Yoosoon Chang & Chang Sik Kim & J. Isaac Miller & Joon Y. Park & Sungkeun Park

**Efficient estimation with many weak instruments using regularization techniques**

*by*Marine Carrasco & Guy Tchuente

**Regularized LIML for many instruments**

*by*Marine Carrasco & Guy Tchuente

**Grouped Model Averaging for Finite Sample Size**

*by*Aman Ullah & Xinyu Zhang

**Mobile Money, Trade Deficit and Economic Development : Theory and Evidence**

*by*Beck, T.H.L. & Pamuk, H. & Ramrattan, R. & Uras, R.B.

**Bridging Centrality and Extremity : Refining Empirical Data Depth using Extreme Value Statistics**

*by*Einmahl, J.H.J. & Li, Jun & Liu, Regina

**Robust Estimation and Moment Selection in Dynamic Fixed-effects Panel Data Models**

*by*Cizek, P. & Aquaro, M.

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

*by*Laurent Callot & Johannes Tang Kristensen

**On the Ambiguous Consequences of Omitting Variables**

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

**Sharp Threshold Detection based on Sup-Norm Error Rates in High-dimensional Models**

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

**Penalized Indirect Inference**

*by*Francisco Blasques & Artem Duplinskiy

**A Consistent Variance Estimator for 2SLS When Instruments Identify Different LATEs**

*by*Seojeong Lee

**Shrinkage Estimation of Dynamic Panel Data Models with Interactive Fixed Effects**

*by*Xun Lu & Su Liangjun

**Sieve Instrumental Variable Quantile Regression Estimation of Functional Coefficient Models**

*by*Su Liangjun & Tadao Hoshino

**The impact of infrastructure on productivity: new estimates for QuÃ©bec**

*by*DorothÃ©e Boccanfuso & Marcelin Joanis & Mathieu Paquet & Luc Savard

**Inference in linear models with structural changes and mixed identification strength**

*by*Bertille Antoine & Otilia

**Efficient Inference with Time-Varying Information and the New Keynesian Phillips Curve**

*by*Bertille Antoine & Otilia

**Life Data Analysis for Rail System Fleet Vehicles**

*by*Ça TEKE & Baha GÜNEY

**On the bias of the LSDV estimator in dynamic panel data models with endogenous regressors**

*by*Kurennoy, Alexey

**Accumulation with Malnutrition - The Role of Status Seeking Behavior**

*by*Sugata Marjit & Lei Yang

**Relative Social Status and Conflicting Measures of Poverty - A Behavioral Analytical Model**

*by*Sugata Marjit & Sattwik Santra & Koushik Kumar Hati

**Instrument-free Identification and Estimation of Differentiated Products Models**

*by*David Byrne & Susumu Imai & Vasilis Sarafidis & Masayuki Hirukawa

**Consumer models and the common influence of increasing VAT and decreasing wedges**

*by*Ciuiu, Daniel

**Taylor rule in practice : Evidence from tunisia**

*by*Chaouech, Olfa

**Measuring economic inequality and risk: a unifying approach based on personal gambles, societal preferences and references**

*by*Greselin, Francesca & Zitikis, Ricardas

**Identification through Heteroscedasticity: What If We Have the Wrong Form of Heteroscedasticity?**

*by*Chau, Tak Wai

**Endogenous derivation and forecast of lifetime PDs**

*by*Perederiy, Volodymyr

**Trade Openness, Structural Transformation, and Poverty Reduction: Empirical Evidence from Africa**

*by*Kelbore, Zerihun Getachew

**Forecasting Inflation in Tunisia Using Dynamic Factors Model**

*by*AMMOURI, Bilel & TOUMI, Hassen & Zitouna, Habib

**Price Dependence between Different Beef Cuts and Quality Grades: A Copula Approach at the Retail Level for the U.S. Beef Industry**

*by*Papagiotou, Dimitrios & Stavrakoudis, Athanassios

**Price asymmetry between different pork cuts in the USA: a copula approach**

*by*Panagiotou, Dimitrios & Stavrakoudis, Athanassios

**Stress Testing and Modeling of Rating Migration under the Vasicek Model Framework - Empirical approaches and technical implementation**

*by*Yang, Bill Huajian & Du, Zunwei

**Filtering and likelihood estimation of latent factor jump-diffusions with an application to stochastic volatility models**

*by*esposito, francesco paolo & cummins, mark

**Return on Universal Education: SSA Case Study on Bihar**

*by*Dinda, Soumyananda

**Multilevel empirics for small banks in local markets**

*by*Aiello, Francesco & Bonanno, Graziella

**The effects of internal and external imbalances on Romanian’s economic growth**

*by*Soukiazis, Soukiazis & Antunes, Micaela & Stoian, Andreea

**Ölkə iqtisadiyyatı üzrə göstəricilərin modelləşdirilməsi və proqnozlaşdırılması: problemlər və praktiki çətinliklər**

*by*Mehdiyev, Mehdi & Ahmadov, Vugar & Huseynov, Salman & Mammadov, Fuad

**The “wrong skewness” problem: a re-specification of Stochastic Frontiers**

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

**Qml inference for volatility models with covariates**

*by*Francq, Christian & Thieu, Le Quyen

**Supply and Demand Is Not a Neoclassical Concern**

*by*Lima, Gerson P.

**Looking at the determinants of efficiency in banking: evidence from Italian mutual-cooperatives**

*by*Francesco, Aiello & Graziella, Bonanno

**Empirical Analysis of the effect of Human Capital Generation on Economic Growth in India - a Panel Data approach**

*by*Debgupta, Sanchari

**Lagged Explanatory Variables and the Estimation of Causal Effects**

*by*Bellemare, Marc F. & Masaki, Takaaki & Pepinsky, Thomas B.

**Estimation of Internal Migration in India, 2011 Census based on Life Table Survival Ratio (LTSR) Method**

*by*Mistri, Avijit

**Role of institution, government to robust international entrepreneurial activities and economic growth: New Evidence**

*by*DOAA M. SALMAN

**Income Inequality by Method of Non-weighted Average Absolute Deviation: case study of Central and Eastern European Countries**

*by*Kamila Tureckova

**Dynamic Principal Components: a New Class of Multivariate GARCH Models**

*by*Gian Piero Aielli & Massimiliano Caporin

**Star Wars: The Empirics Strike Back**

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

**"Transit Makes you Short": On Health Impact Assessment of Transportation and the Built Environment**

*by*Alireza Ermagun & David Levinson

**Structural Gravity and Fixed Effects**

*by*Thibault Fally

**Partially Linear Panel Data Models with Cross-Sectional Dependence and Nonstationarity**

*by*Chaohua Dong & Jiti Gao & Bin Peng

**Nonparametric Kernel Estimation of the Impact of Tax Policy on the Demand for Private Health Insurance in Australia**

*by*Xiaodong Gong & Jiti Gao

**Comonotonic Monte Carlo and its applications in option pricing and quantification of risk**

*by*Alain Chateauneuf & Mina Mostoufi & David Vyncke

**Comonotonic Monte Carlo and its applications in option pricing and quantification of risk**

*by*Alain Chateauneuf & Mina Mostoufi & David Vyncke

**On the Identification of Interdependence and Contagion of Financial Crises**

*by*Emanuele BACCHIOCCHI

**Forecasting in a DSGE Model with Banking Intermediation: Evidence from the US**

*by*Roberta Cardani & Alessia Paccagnini & Stefania Villa

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

*by*Periklis Boumparis & Costas Milas & Theodore Panagiotidis

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

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

**Estimation and Identification of Change Points in Panel Models with Nonstationary or Stationary Regressors and Error Term**

*by*Badi H. Baltagi & Chihwa Kao & Long Liu

**Adaptive Elastic Net GMM Estimation with Many Invalid Moment Conditions: Simultaneous Model and Moment Selection**

*by*Yoonseok Lee & Mehmet Caner & Xu Han

**Entrepreneurial Choice of Investment Capital for House-Based Industries: A case study in West Bengal**

*by*Shrabani Mukherjee

**Financial frictions and the volatility of monetary policy in a DSGE model**

*by*Anh Nguyen

**The emission reduction effect and economic impact of an energy tax vs. a carbon tax in China : a dynamic CGE model analysis**

*by*Zou, Lele & Xue, Jinjun & Fox, Alan & Meng, Bo & Shibata, Tsubasa

**Nonparametric Kernel Estimation of the Impact of Tax Policy on the Demand for Private Health Insurance in Australia**

*by*Gong, Xiaodong & Gao, Jiti

**Whose Preferences Are Revealed in Hours of Work?**

*by*Pencavel, John

**Inference on Causal Effects in a Generalized Regression Kink Design**

*by*Card, David & Lee, David S. & Pei, Zhuan & Weber, Andrea

**Alternative asymptotics and the partially linear model with many regressors**

*by*Matias Cattaneo & Michael Jansson & Whitney Newey

**Nonparametric stochastic discount factor decomposition**

*by*Timothy Christensen

**Individual and time effects in nonlinear panel models with large N, T**

*by*Ivan Fernandez-Val & Martin Weidner

**Semiparametric dynamic portfolio choice with multiple conditioning variables**

*by*Jia Chen & Degui Li & Oliver Linton & Zudi Lu

**Homophily and Triadic Closure in Evolving Social Networks**

*by*Irene Crimaldi & Michela Del Vicario & Greg Morrison & Walter Quattrociocchi & Massimo Riccaboni

**TERES - Tail Event Risk Expectile based Shortfall**

*by*Philipp Gschöpf & Wolfgang Karl Härdle & Andrija Mihoci &

**Simultaneous likelihood-based bootstrap confidence sets for a large number of models**

*by*Mayya Zhilova & & &

**Scalable Mcmc For Large Data Problems Using Data Subsampling And The Difference Estimator**

*by*Quiroz, Matias & Villani, Mattias & Kohn, Robert

**Speeding Up Mcmc By Efficient Data Subsampling**

*by*Quiroz, Matias & Villani, Mattias & Kohn, Robert

**Beta-creaming**

*by*Lillestøl, Jostein & Sinding-Larsen, Richard

**Best estimate reporting with asymmetric loss**

*by*Lillestøl, Jostein & Sinding-Larsen, Richard

**Direct and indirect treatment effects: causal chains and mediation analysis with instrumental variables**

*by*Frölich, Markus & Huber, Martin

**Direct and indirect treatment effects: causal chains and mediation analysis with instrumental variables**

*by*Frölich, Markus & Huber, Martin

**Correlation and efficiency of propensity score-based estimators for average causal effects**

*by*Pingel, Ronnie & Waernbaum, Ingeborg

**Firms’ risk endogenous to strategic management choices**

*by*Delis, Mantos D. & Hasan, Iftekhar & Tsionas, Efthymios G

**Size Distribution of Portuguese Firms between 2006 and 2012**

*by*Mário Augusto & Rui Pascoal & Ana Margarida Monteiro

**Truncated Realized Covariance when prices have infinite variation jumps**

*by*Cecilia Mancini

**The Evolution of Scale Economies in U.S. Banking**

*by*Wheelock, David C. & Wilson, Paul W.

**Estimation of Dynastic Life-Cycle Discrete Choice Models**

*by*Gayle, George-Levi & Golan, Limor & Soytas, Mehmet A.

**What is the source of the intergenerational correlation in earnings?**

*by*Gayle, George-Levi & Golan, Limor & Soytas, Mehmet A.

**What Accounts for the Racial Gap in Time Allocation and Intergenerational Transmission of Human Capital?**

*by*Gayle, George-Levi & Golan, Limor & Soytas, Mehmet A.

**Was Sarbanes-Oxley Costly? Evidence from Optimal Contracting on CEO Compensation**

*by*Gayle, George-Levi & Li, Chen & Miller, Robert A.

**The global component of local inflation: revisiting the empirical content of the global slack hypothesis with Bayesian methods**

*by*Martinez-Garcia, Enrique

**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

**Series estimation under cross-sectional dependence**

*by*Jungyoon Lee & Peter Robinson

**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

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

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

**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

**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 Baruník & Evžen Kocenda & Lukáš Vácha

**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

**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 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

**Honey, I Shrunk the Sample Covariance Matrix**

*by*Olivier Ledoit & Michael Wolf

**A General Theory of Rank Testing**

*by*Majid M. Al-Sadoon

**Estimating Bayesian Decision Problems with Heterogeneous Priors**

*by*Stephen Hansen & Michael McMahon

**A Unifying Approach to the Empirical Evaluation of Asset Pricing Models**

*by*Francisco PeÃ±aranda and Enrique Sentana

**A New Minimum Distance Estimation Procedure of ARFIMA Processes**

*by*Laura Mayoral

**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

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

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

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

*by*Firmin Doko Tchakota & Wenjie Wang

**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

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

*by*Qin, Duo

**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

**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

**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

**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

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

*by*Mariana Balan

**Bribing Behaviour and Sample Selection: Evidence from Post-Socialist Countries and Western Europe**

*by*Artjoms Ivlevs & Timothy Hinks

**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

**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

**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.

**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

**Liquidity shocks and stock bubbles**

*by*Nneji, Ogonna

**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

**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

**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 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

**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

**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

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**The Effect of Crude Oil Price on the Methanol price**

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**The analyses of Crude Oil and Natural Gas Prices on Petrochemicals Products: A Case Study of IRAN's Methanol**

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**Impact of Reforms on Plant-Level Productivity and Technical Efficiency: Evidence from the Indian Manufacturing Sector**

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**Annex A5 : A model of the stochastic convergence between euro area business cycles**

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*by*Hugo Kruiniger

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*by*Katsumi Shimotsu

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*by*Hiroyuki Kasahara & Katsumi Shimotsu

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*by*Vitek, Francis

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*by*Vitek, Francis

**Параллельные Вычисления В Математическом Моделировании Региональной Экономики // Параллельные Вычислительные Технологии - 2007. Труды Первой Международной Научной Конференции. Челябинск: Изд-Во Южно-Уральского Государственного Университета, 2007. C.140-151**

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*by*Barnett, William A. & Duzhak, Evgeniya

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**Surprise Volume and Heteroskedasticity in Equity Market Returns**

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**Non-Parametric Inference for Bivariate Extreme-Value Copulas**

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