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
/ / / C14: Semiparametric and Nonparametric Methods: General

2012

• Jean‐Pierre Florens & Jan Johannes & Sébastien Van Bellegem, 2012, "Instrumental regression in partially linear models," Econometrics Journal, Royal Economic Society, volume 15, issue 2, pages 304-324, June.
• Dennis Kristensen, 2012, "Non‐parametric detection and estimation of structural change," Econometrics Journal, Royal Economic Society, volume 15, issue 3, pages 420-461, October, DOI: j.1368-423X.2012.00378.x.
• Tue Gørgens & Allan Würtz, 2012, "Testing a parametric function against a non‐parametric alternative in IV and GMM settings," Econometrics Journal, Royal Economic Society, volume 15, issue 3, pages 462-489, October, DOI: j.1368-423X.2012.00382.x.
• Michael Creel & Dennis Kristensen, 2012, "Estimation of dynamic latent variable models using simulated non‐parametric moments," Econometrics Journal, Royal Economic Society, volume 15, issue 3, pages 490-515, October, DOI: j.1368-423X.2012.00387.x.
• Yingyao Hu & Geert Ridder, 2012, "Estimation of nonlinear models with mismeasured regressors using marginal information," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 27, issue 3, pages 347-385, April.
• Nikolaus Hautsch & Lada M. Kyj & Roel C. A. Oomen, 2012, "A blocking and regularization approach to high‐dimensional realized covariance estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 27, issue 4, pages 625-645, June.
• Christina Beneki & Bruno Eeckels & Costas Leon, 2012, "Signal Extraction and Forecasting of the UK Tourism Income Time Series: A Singular Spectrum Analysis Approach," Journal of Forecasting, John Wiley & Sons, Ltd., volume 31, issue 5, pages 391-400, August.
• Cosmin Eugen ENACHE, 2012, "The efficiency of expenditure-related redistributive policies in the European countries," Timisoara Journal of Economics, West University of Timisoara, Romania, Faculty of Economics and Business Administration, volume 5, issue 18, pages 380-394.
• Stefan Trück & Wolfgang Härdle & Rafal Weron, 2012, "The relationship between spot and futures CO2 emission allowance prices in the EU-ETS," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/12/02.
• Carlos Martins-Filho & Feng Yao & Maximo Torero, 2012, "Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory," Working Papers, Department of Economics, West Virginia University, number 13-05, Aug.
• Habert white & Tae-Hwan Kim & Simone Manganelli, 2012, "VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2012rwp-45, Aug.
• Paul S. Clarke; & Tom M. Palmer; & Frank Windmeijer, 2012, "Estimating structural mean models with multiple instrumental variables using the generalised method of moments," Health, Econometrics and Data Group (HEDG) Working Papers, HEDG, c/o Department of Economics, University of York, number 12/23, Feb.
• Mohsen Sadatsafavi; & Carlo Marra; & Lawrence McCandless & Stirling Bryan, 2012, "The challenge of incorporating external evidence in trial-based cost-effectiveness analyses: the use of resampling methods," Health, Econometrics and Data Group (HEDG) Working Papers, HEDG, c/o Department of Economics, University of York, number 12/24, Aug.
• Bosma, Jakob & Koetter, Michael & Wedow, Michael, 2012, "Credit risk connectivity in the financial industry and stabilization effects of government bailouts," Discussion Papers, Deutsche Bundesbank, number 16/2012.
• Matros, Philipp & Vilsmeier, Johannes, 2012, "Measuring option implied degree of distress in the US financial sector using the entropy principle," Discussion Papers, Deutsche Bundesbank, number 30/2012.
• Gaul, Jürgen & Theissen, Erik, 2012, "A partially linear approach to modelling the dynamics of spot and futures prices," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 13-01.
• Ben Abdelkader, Ines & Hathroubi, Salem & Ben Jemaa, Mohamed Mekki, 2012, "Microfinance Institutions’ Efficiency in the MENA region: a Bootstrap-DEA approach," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 69525.
• Mehmke, Fabian & Cremers, Heinz & Packham, Natalie, 2012, "Validierung von Konzepten zur Messung des Marktrisikos: Insbesondere des Value at Risk und des Expected Shortfall," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 192.
• Völker, Florian & Cremers, Heinz & Panzer, Christof, 2012, "Integration des Marktliquiditätsrisikos in das Risikoanalysekonzept des Value at Risk," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 198.
• Berlemann, Michael & Enkelmann, Soeren & Kuhlenkasper, Torben, 2012, "Unraveling the complexity of US presidential approval: A multi-dimensional semi-parametric approach," HWWI Research Papers, Hamburg Institute of International Economics (HWWI), number 118.
• Kuhlenkasper, Torben & Steinhardt, Max Friedrich, 2012, "Who leaves and when? Selective outmigration of immigrants from Germany," HWWI Research Papers, Hamburg Institute of International Economics (HWWI), number 128.
• Haug, Peter & Kauffmann, Albrecht & Kloss, M., 2012, "Größenvorteile im Bereich kommunaler Leistungen – Bericht zum 4. Halleschen Kolloquium zur kommunalen Wirtschaft," Wirtschaft im Wandel, Halle Institute for Economic Research (IWH), volume 18, issue 6, pages 188-195.
• Heufer, Jan, 2012, "Revealed Preference and Nonparametric Analysis – Continuous Extensions and Recoverability," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 324, DOI: 10.4419/86788373.
• Heufer, Jan, 2012, "Generating Random Optimising Choices," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 354, DOI: 10.4419/86788408.
• Härdle, Wolfgang Karl & Okhrin, Ostap & Wang, Weining, 2012, "HMM in dynamic HAC models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-001.
• Nickl, Richard & Reiß, Markus, 2012, "A Donsker theorem for Lévy measures," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-003.
• Chao, Shih-Kang & Härdle, Wolfgang Karl & Wang, Weining, 2012, "Quantile regression in risk calibration," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-006.
• Söhl, Jakob, 2012, "Confidence sets in nonparametric calibration of exponential Lévy models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-012.
• Kappus, Johanna, 2012, "Nonparametric adaptive estimation of linear functionals for low frequency observed Lévy processes," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-016.
• Söhl, Jakob & Trabs, Mathias, 2012, "Option calibration of exponential Lévy models: Implementation and empirical results," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-017.
• Härdle, Wolfgang Karl & Prastyo, Dedy Dwi & Hafner, Christian, 2012, "Support vector machines with evolutionary feature selection for default prediction," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-030.
• Fengler, Matthias R. & Okhrin, Ostap, 2012, "Realized copula," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-034.
• Bocart, Fabian Y. R. P. & Hafner, Christian M., 2012, "Volatility of price indices for heterogeneous goods," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-039.
• Kolbe, Jens & Schulz, Rainer & Wersing, Martin & Werwatz, Axel, 2012, "Location, location, location: Extracting location value from house prices," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-040.
• Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2012, "Generated covariates in nonparametric estimation: A short review," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-042.
• Mammen, Enno & Park, Byeong U. & Schienle, Melanie, 2012, "Additive models: Extensions and related models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-045.
• Söhl, Jakob & Trabs, Mathias, 2012, "A uniform central limit theorem and efficiency for deconvolution estimators," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-046.
• Malec, Peter & Schienle, Melanie, 2012, "Nonparametric Kernel density estimation near the boundary," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-047.
• Dimpfl, Thomas & Peter, Franziska J., 2012, "Using transfer entropy to measure information flows between financial markets," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-051.
• Honda, Toshio & Härdle, Wolfgang Karl, 2012, "Variable selection in Cox regression models with varying coefficients," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-061.
• Hildebrandt, Lutz & Tischer, Sven, 2012, "Brand equity: How is it affected by critical incidents and what moderates the effect," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-062.
• Tischer, Sven, 2012, "Measuring the impact of critical incidents on brand personality," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-064.
• Härdle, Wolfgang Karl & Silyakova, Elena, 2012, "Implied basket correlation dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-066.
• Gürtler, Marc & Rauh, Ronald, 2012, "Challenging traditional risk models by a non-stationary approach with nonparametric heteroscedasticity," Working Papers, Technische Universität Braunschweig, Institute of Finance, number IF41V1.
• Hartmann, Bastian & Hancioglu, Mine, 2012, "What makes Single Mothers expand or reduce employment?," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century, Verein für Socialpolitik / German Economic Association, number 62059.
• Sieger, Philip, 2012, "Incumbency Effects in Germany: Federal and Mayoral Elections," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century, Verein für Socialpolitik / German Economic Association, number 62084.
• De Witte, Kristof & Geys, Benny, 2012, "Citizen coproduction and efficient public good provision: Theory and evidence from local public libraries," Discussion Papers, Research Professorship & Project "The Future of Fiscal Federalism", WZB Berlin Social Science Center, number SP II 2012-108.
• Fitzenberger, Bernd & Furdas, Marina, 2012, "Benchmarking regions: Estimating the counterfactual distribution of labor market outcomes," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 12-023.
• Hottenrott, Hanna & Lopes-Bento, Cindy, 2012, "(International) R&D collaboration and SMEs: The effectiveness of targeted public R&D support schemes," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 12-086.
• Dan Wunderli, 2012, "Controlling the danger of false discoveries in estimating multiple treatment effects," ECON - Working Papers, Department of Economics - University of Zurich, number 060, Jan.
• Michael Wolf & Dan Wunderli, 2012, "Bootstrap joint prediction regions," ECON - Working Papers, Department of Economics - University of Zurich, number 064, Feb, revised May 2013.
• Philippe K. Widmer & George Elias & Peter Zweifel, 2012, "Improving efficiency through consolidation of jurisdictions? Evidence from the cantons of Switzerland," ECON - Working Papers, Department of Economics - University of Zurich, number 085, Jul.
• Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2012, "A practical two-step method for testing moment inequalities," ECON - Working Papers, Department of Economics - University of Zurich, number 090, Aug, revised Apr 2014.
• Martin Biewen & Bernd Fitzenberger & Aderonke Osikominu & Marie Paul, 2012, "The effectiveness of public sponsored training revisited: The importance of data and methodological choices," ECON - Working Papers, Department of Economics - University of Zurich, number 091, Sep.

2011

• Jürgen Maurer & Roger Klein & Francis Vella, 2011, "Subjective Health Assessments and Active Labor Market Participation of Older Men: Evidence from a Semiparametric Binary Choice Model with Nonadditive Correlated Individual-specific Effects," The Review of Economics and Statistics, MIT Press, volume 93, issue 3, pages 764-774, August.
• Marco Bee & Massimo Riccaboni & Stefano Schiavo, 2011, "Pareto versus lognormal: a maximum entropy test," Department of Economics Working Papers, Department of Economics, University of Trento, Italia, number 1102.
• Enrico Tundis & Enrico Zaninotto, 2011, "La caduta della produttivita' industriale in Italia e nelle regioni del Nord Est: una rilettura," DISA Working Papers, Department of Computer and Management Sciences, University of Trento, Italy, number 2011/14, Oct, revised Oct 2011.
• Botosaru, Irene, 2011, "A Duration Model with Dynamic Unobserved Heterogeneity," TSE Working Papers, Toulouse School of Economics (TSE), number 11-262, Dec, revised Nov 2013.
• Gautier, Eric & Hoderlein, Stefan, 2011, "A triangular treatment effect model with random coefficients in the selection equation," TSE Working Papers, Toulouse School of Economics (TSE), number 15-598, Sep, revised 25 Aug 2015.
• Mohammad Movahedi & Olivier Gaussens, 2011, "Innovation, productivité et exportation : Y-a-t-il un effet d'auto-sélection consciente? Une étude empirique sur les PMI de basse-Normandie," Economics Working Paper Archive (University of Rennes & University of Caen), Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS, number 201123, Sep.
• Stefan Boes, 2011, "On the causal effect of schooling on smoking: evidence without exogeneity conditions," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp1102, Apr.
• Falavigna, Greta & Ippoliti, Roberto, 2011, "Data Envelopment Analysis e sistemi sanitari regionali italiani," POLIS Working Papers, Institute of Public Policy and Public Choice - POLIS, number 159, Jul.
• Belén Nieto & Alfonso Novales Cinca & Gonzalo Rubio, 2011, "Why do variance swaps exist?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-06.
• Belén Nieto & Alfonso Novales Cinca & Gonzalo Rubio, 2011, "Variance Swaps and Intertemporal Asset Pricing," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-08.
• Monique de Haan, 2011, "The Effect of Parents' Schooling on Child's Schooling: A Nonparametric Bounds Analysis," Journal of Labor Economics, University of Chicago Press, volume 29, issue 4, pages 859-892, DOI: 10.1086/660798.
• Tao Chen & Gautam Tripathi, 2011, "Testing Conditional Symmetry Without Smoothing," Working papers, University of Connecticut, Department of Economics, number 2011-01, Jan.
• Emanuela Galasso, 2011, "Alleviating extreme poverty in Chile: the short term effects of Chile Solidario," Estudios de Economia, University of Chile, Department of Economics, volume 38, issue 1 Year 20, pages 101-127, June.
• Fernando Hoces de la Guardia & Andrés Hojman & Osvaldo Larrañaga, 2011, "Evaluating the Chile Solidario program: results using the Chile Solidario panel and the administrative databases," Estudios de Economia, University of Chile, Department of Economics, volume 38, issue 1 Year 20, pages 129-168, June.
• Massimiliano Mazzanti & Antonio Musolesi, 2011, "Income and time related effects in EKC," Working Papers, University of Ferrara, Department of Economics, number 201105, Feb.
• Osvaldo U. Becerril-Torres & Gabriela Rodríguez Licea & Javier Jesús Ramírez Hernández, 2011, "Technical efficiency of the agricultural sector in Mexico: An overview of data envelopment analysis," Economía, Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela, volume 36, issue 31, pages 85-110, January-j.
• Mbuvi, Dorcas & Tarsim, Achraf, 2011, "Managerial ownership and urban water utilities efficiency in Uganda," MERIT Working Papers, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT), number 2011-036.
• Huber, Martin & Melly, Blaise, 2011, "Quantile Regression in the Presence of Sample Selection," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1109, Mar.
• Huber, Martin & Mellace, Giovanni, 2011, "Sharp bounds on causal effects under sample selection," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1134, Aug.
• Fengler, Matthias & Hin, Lin-Yee, 2011, "Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1136, Sep, revised May 2013.
• Christopher J. Bennett & Ricardas Zitikis, 2011, "Examining the Distributional Effects of Military Service on Earnings: A Test of Initial Dominance," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 1111, Sep.
• Stefano Magrini & Margherita Gerolimetto & Hasan Engin Duran, 2011, "Distortions in Cross-Sectional Convergence Analysis when the Aggregate Business Cycle is Incomplete," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2011_07.
• Carlo Drago & Francesco Millo & Roberto Ricciuti & Paolo Satella, 2011, "The Role of Women in the Italian Network of Boards of Directors, 2003-2010," Working Papers, University of Verona, Department of Economics, number 10/2011, Jul.
• Angela Cipollone & Marcella Corsi & Carlo D’Ippoliti, 2011, "Knowledge and Job Opportunities in a Gender Perspective: Insights from Italy," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 58, issue 5, pages 735-757.
• Tinh Doan & John Gibson & Mark Holmes, 2011, "Impacts of Household Credit on Education and Healthcare Spending by the Poor in Peri-urban Areas in Vietnam," Working Papers in Economics, University of Waikato, number 11/06, May.
• Tinh Doan & John Gibson & Mark Holmes, 2011, "Household Credit to the Poor and its Impact on Child Schooling in Peri-urban Areas, Vietnam," Working Papers in Economics, University of Waikato, number 11/10, Jun.
• Paweł Strawiński, 2011, "Dynamic caliper matching," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2011-25.
• Evzen Kocenda & Martin Vojtek, 2011, "Default Predictors in Retail Credit Scoring: Evidence from Czech Banking Data," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp1015, Apr.
• Roberto Basile & Alessandro Girardi & Marianna Mantuano & Francesco Pastore, 2011, "Sectoral Shifts, Diversification and Regional Unemployment. Evidence From Local Labour Systems in Italy," WIFO Working Papers, WIFO, number 411, Dec.
• Yusuf Soner Baskaya & Timur Hulagu, 2011, "Informal-Formal Worker Wage Gap in Turkey: Evidence From A Semi-Parametric Approach," ERSA conference papers, European Regional Science Association, number ersa11p409, Sep.
• John Geweke & Gianni Amisano, 2011, "Hierarchical Markov normal mixture models with applications to financial asset returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 26, issue 1, pages 1-29, January/F.
• Ewa Syczewska, 2011, "Stability of Long-run Relationships for Countries in Transition: A Hansen Test Study," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 58, Dec.
• Mroz, T. & Picone, G., 2011, "A Multiple State Duration Model with Endogenous Treatment," Health, Econometrics and Data Group (HEDG) Working Papers, HEDG, c/o Department of Economics, University of York, number 11/19, Jul.
• A. Sharma & L. Siciliani & A. Harris, 2011, "Waiting times and socioeconomic status: does sample selection matter?," Health, Econometrics and Data Group (HEDG) Working Papers, HEDG, c/o Department of Economics, University of York, number 11/22, Jul.
• Hautsch, Nikolaus & Kyj, Lada M. & Malec, Peter, 2011, "The merit of high-frequency data in portfolio allocation," CFS Working Paper Series, Center for Financial Studies (CFS), number 2011/24.
• Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie, 2011, "Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes," CFS Working Paper Series, Center for Financial Studies (CFS), number 2011/25.
• Hampf, Benjamin, 2011, "Separating environmental efficiency into production and abatement efficiency: A nonparametric model with application to U.S. power plants," Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics, number 204.
• Kuhlenkasper, Torben & Steinhardt, Max Friedrich, 2011, "Unemployment duration in Germany: A comprehensive study with dynamic hazard models and P-Splines," HWWI Research Papers, Hamburg Institute of International Economics (HWWI), number 111.
• Anderson, Gordon, 2011, "Polarization measurement and inference in many dimensions when subgroups cannot be identified," Economics Discussion Papers, Kiel Institute for the World Economy, number 2011-20.
• Anderson, Gordon, 2011, "Polarization measurement and inference in many dimensions when subgroups can not be identified," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 5, pages 1-19, DOI: 10.5018/economics-ejournal.ja.2011-.
• Knedlik, Tobias & von Schweinitz, Gregor, 2011, "Macroeconomic Imbalances as Indicators for Debt Crises in Europe," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 12/2011.
• Raileanu Szeles, Monica, 2011, "Exploring the Economic Convergence in the EU New Member States by Using Nonparametric Models," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 2/2011.
• Knedlik, Tobias & von Schweinitz, Gregor, 2011, "Zur Aussagekraft von Frühindikatoren für Staatsschuldkrisen in Europa," Wirtschaft im Wandel, Halle Institute for Economic Research (IWH), volume 17, issue 10, pages 364-368.
• Heufer, Jan, 2011, "Stochastic Dominance and Nonparametric Comparative Revealed Risk Aversion," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 289.
• Duran, Esra Akdeniz & Härdle, Wolfgang Karl & Osipenko, Maria, 2011, "Difference based ridge and Liu type estimators in semiparametric regression models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-014.
• Liu, Rong & Yang, Lijian & Härdle, Wolfgang Karl, 2011, "Oracally efficient two-step estimation of generalized additive model," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-016.
• Liu, Xiaoliang & Xu, Wei & Odening, Martin, 2011, "Can crop yield risk be globally diversified?," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-018.
• Moro, Russ & Härdle, Wolfgang Karl & Aliakbari, Saeideh & Hoffmann, Linda, 2011, "Forecasting corporate distress in the Asian and Pacific region," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-023.
• Kappus, Johanna & Reiß, Markus, 2011, "Estimation of the characteristics of a Lévy process observed at arbitrary frequency," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-027.
• Reiß, Markus, 2011, "Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-028.
• Reiß, Markus & Rozenholc, Yves & Cuenod, Charles A., 2011, "Pointwise adaptive estimation for quantile regression," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-029.
• Bibinger, Markus, 2011, "Asymptotics of asynchronicity," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-033.
• Bibinger, Markus, 2011, "An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-034.
• Song, Song & Bickel, Peter J., 2011, "Large vector auto regressions," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-048.
• Chen, Ray-Bing & Chen, Ying & Härdle, Wolfgang Karl, 2011, "TVICA - time varying independent component analysis and its application to financial data," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-054.
• Hautsch, Nikolaus & Kyj, Lada M. & Malec, Peter, 2011, "The merit of high-frequency data in portfolio allocation," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-059.
• Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2011, "Semiparametric estimation with generated covariates," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-064.
• Bocart, Fabian Y. R. P. & Hafner, Christian M., 2011, "Econometric analysis of volatile art markets," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-071.
• Trabs, Mathias, 2011, "Calibration of self-decomposable Lévy models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-073.
• Schienle, Melanie, 2011, "Nonparametric nonstationary regression with many covariates," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-076.
• Wang, Weining & Bobojonov, Ihtiyor & Härdle, Wolfgang Karl & Odening, Martin, 2011, "Increasing weather risk: Fact of fiction?," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-077.
• Gach, Florian & Nickl, Richard & Spokoiny, Vladimir, 2011, "Spatially adaptive density estimation by localised Haar projections," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-078.
• Diederichs, Elmar & Juditsky, Anatoli & Nemirovski, Arkadi & Spokoiny, Vladimir, 2011, "Sparse non Gaussian component analysis by semidefinite programming," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-080.
• Spokoiny, Vladimir, 2011, "Parametric estimation: Finite sample theory," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-081.
• Myšičková, Alena & Song, Song & Majer, Piotr & Mohr, Peter N. C. & Heekeren, Hauke R. & Härdle, Wolfgang Karl, 2011, "Risk patterns and correlated brain activities: Multidimensional statistical analysis of fMRI data with application to risk patterns," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-085.
• Bibinger, Markus & Reiß, Markus, 2011, "Spectral estimation of covolatility from noisy observations using local weights," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-086.
• Bergemann, Annette & Grönqvist, Erik & Gudbjörnsdottir, Soffia, 2011, "The effects of job displacement on the onset and progression of diabetes," VfS Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis, Verein für Socialpolitik / German Economic Association, number 48695.
• Czarnitzki, Dirk & Lopes Bento, Cindy, 2011, "Innovation subsidies: Does the funding source matter for innovation intensity and performance? Empirical evidence from Germany," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 11-053.
• Bernardina Algieri & Thierry Bracke, 2011, "Patterns of Current Account Adjustment—Insights from Past Experience," Open Economies Review, Springer, volume 22, issue 3, pages 401-425, July, DOI: 10.1007/s11079-009-9126-8.
• João Amador & Sónia Cabral & José Maria, 2011, "A Simple Cross-Country Index of Trade Specialization," Open Economies Review, Springer, volume 22, issue 3, pages 447-461, July, DOI: 10.1007/s11079-009-9130-z.
• Viktor Hultgren & Petr Mariel & Carlos Rodríguez González, 2011, "Structural Breaks and Spatial Linkages in FDI: Further Evidence in OECD Countries," Open Economies Review, Springer, volume 22, issue 5, pages 897-915, November, DOI: 10.1007/s11079-010-9190-0.
• Antonis Adam & Manthos Delis & Pantelis Kammas, 2011, "Public sector efficiency: leveling the playing field between OECD countries," Public Choice, Springer, volume 146, issue 1, pages 163-183, January, DOI: 10.1007/s11127-009-9588-7.
• Zeenat Soobedar, 2011, "A semiparametric analysis of the rising breadwinner role of women in the UK," Review of Economics of the Household, Springer, volume 9, issue 3, pages 415-428, September, DOI: 10.1007/s11150-010-9095-0.
• Jan-Henning Trustorff & Paul Konrad & Jens Leker, 2011, "Credit risk prediction using support vector machines," Review of Quantitative Finance and Accounting, Springer, volume 36, issue 4, pages 565-581, May, DOI: 10.1007/s11156-010-0190-3.
• Alina Botezat & Ruben R. Seiberlich, 2011, "How Far is the East? Educational Performance in Eastern Europe," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2011-15, May.
• Pierre-Andre Chiappori & Ivana Komunjer & Dennis Kristensen, 2011, "Nonparametric Identification and Estimation of Transformation Models," CAM Working Papers, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics, number 2011-01, Jan.
• Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2011, "Investor Preferences for Oil Spot and Futures based on Mean-Variance and Stochastic Dominance," KIER Working Papers, Kyoto University, Institute of Economic Research, number 755, Jan.
• Justo de Jorge Moreno & Leopoldo Laborda Castillo & Fernando Merino de Lucas, 2011, "La empresa industrial de América Latina: Análisis de la eficiencia mediante grupos estratégicos," Económica, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, volume 0, pages 165-192, January-D.
• Juan Ignacio Zoloa, 2011, "Los Cambios en la Distribución del Ingreso de Argentina entre 1998 Y 2005: Un Análisis de Microdescomposiciones Utilizando Información de Paneles," Department of Economics, Working Papers, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, number 086, Jun.
• Jorge Barrientos & Juan Gallego & Juan Saldarriaga, 2011, "he Engel Curve for Health Services in Colombia: A Semiparametric Approach," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 74, pages 203-229.
• Elkin Castaño, 2011, "A Non-Parametric Robust Estimation of the Box-Cox Transformation for Regression Models," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 75, pages 89-106.
• Thomas Masterson, 2011, "Quality of Match for Statistical Matches Used in the 1995 and 2005 LIMEW Estimates for Great Britain," Economics Working Paper Archive, Levy Economics Institute, number wp_663, Mar.
• Thomas Masterson, 2011, "Quality of Match for Statistical Matches Used in the 1989 and 2000 LIMEW Estimates for France," Economics Working Paper Archive, Levy Economics Institute, number wp_676, Jul.
• Thomas Masterson, 2011, "Quality of Match for Statistical Matches Used in the Development of the Levy Institute Measure of Time and Income Poverty (LIMTIP) for Argentina, Chile, and Mexico," Economics Working Paper Archive, Levy Economics Institute, number wp_692, Oct.
• Stéphane GOUTTE & Benteng Zou, 2011, "Foreign exchange rates under Markov Regime switching model," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 11-16.
• Angela Cipollone & Marcella Corsi & Carlo D'ippoliti, 2011, "Knowledge and Job Opportunities in a Gender Perspective: Insights from Italy," Working Papers CELEG, Dipartimento di Economia e Finanza, LUISS Guido Carli, number 1103.
• Theologos Dergiades & Georgios Martinopoulos & Lefteris Tsoulfidis, 2011, "Energy Consumption and Economic Growth:Parametric and Non-Parametric Causality Testing for the Case of Greece," Discussion Paper Series, Department of Economics, University of Macedonia, number 2011_16, Nov, revised Nov 2011.
• Jan Hagemejer & Joanna Tyrowicz, 2011, "Not All That Glitters," Eastern European Economics, Taylor & Francis Journals, volume 49, issue 3, pages 89-111, May.
• Rachel Male, 2011, "Developing Country Business Cycles: Characterizing the Cycle," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 47, issue 0, pages 20-39, May.
• Evžen Kocenda & Martin Vojtek, 2011, "Default Predictors in Retail Credit Scoring: Evidence from Czech Banking Data," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 47, issue 6, pages 80-98, November.
• Michael S. Delgado & Daniel J. Henderson & Christopher F. Parmeter, 2011, "Does Education Matter for Economic Growth?," Working Papers, University of Miami, Department of Economics, number 2011-13.
• Daniel J. Henderson & Christopher F. Parmeter, 2011, "Normal Reference Bandwidths for the General Order, Multivariate Kernel Density Derivative Estimator," Working Papers, University of Miami, Department of Economics, number 2011-15, Sep.
• Shahram Amini & Michele Battisti & Christopher F. Parmeter, 2011, "Decomposing The Conditional Variance of Cross-Country Output," Working Papers, University of Miami, Department of Economics, number 2011-18, Dec.
• Stefan Mittnik & Sandra Paterlini & Tina Yener, 2011, "Operational–risk Dependencies and the Determination of Risk Capital," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi", number 070, Aug.
• Christoph Engel & Michael Kurschilgen, 2011, "The Coevolution of Behavior and Normative Expectations. Customary Law in the Lab," Discussion Paper Series of the Max Planck Institute for Behavioral Economics, Max Planck Institute for Behavioral Economics, number 2011_32, Dec.
• Christophe Boucher & Bertrand Maillet, 2011, "Detrending Persistent Predictors," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 11019, Mar.
• Christophe Boucher & Bertrand Maillet, 2011, "The Riskiness of Risk Models," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 11020, Mar.
• Zorobabel Bicaba & Daniel Kapp & Francesco Molteni, 2011, "Stability periods between financial crises: The role of macroeconomic fundamentals and crises management policies," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 11064, Oct, DOI: 10.1016/j.econmod.2014.08.013.
• Rob J Hyndman & Heather Booth & Farah Yasmeen, 2011, "Coherent mortality forecasting: the product-ratio method with functional time series models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 1/11, Feb.
• Xibin Zhang & Maxwell L. King & Han Lin Shang, 2011, "Bayesian estimation of bandwidths for a nonparametric regression model with a flexible error density," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 10/11, Aug.
• Jason Ng & Catherine S. Forbes & Gael M. Martin & Brendan P.M. McCabe, 2011, "Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 11/11, Aug.
• Jia Chen & Jiti Gao & Degui Li, 2011, "Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 12/11, Sep.
• Jiti Gao & Degui Li & Dag Tjøstheim, 2011, "Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 13/11, Sep.
• Jia Chen & Jiti Gao & Degui Li, 2011, "Estimation in Partially Linear Single-Index Panel Data Models with Fixed Effects," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 14/11, Sep.
• Jia Chen & Jiti Gao & Degui Li, 2011, "Semiparametric Trending Panel Data Models with Cross-Sectional Dependence," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 15/11, Sep.
• Degui Li & Zudi Lu & Oliver Linton, 2011, "Local Linear Fitting Under Near Epoch Dependence: Uniform consistency with Convergence Rates," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 16/11, Sep.
• Pipat Wongsaart & Jiti Gao, 2011, "Nonparametric Kernel Testing in Semiparametric Autoregressive Conditional Duration Model," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 18/11, Sep.
• Chaohua Dong & Jiti Gao, 2011, "Expansion of Brownian Motion Functionals and Its Application in Econometric Estimation," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 19/11, Sep.
• Jiti Gao & Maxwell King, 2011, "A New Test in Parametric Linear Models against Nonparametric Autoregressive Errors," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 20/11, Sep.
• Jiti Gao & Dag Tjøstheim & Jiying Yin, 2011, "Estimation in threshold autoregressive models with a stationary and a unit root regime," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 21/11, Sep.
• Xibin Zhang & Maxwell L. King, 2011, "Bayesian semiparametric GARCH models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 24/11, Nov.
• Matteo Ceccobelli & Simone Gitto & Paolo Mancuso, 2011, "ICT and Growth: A DEA Analysis of 14 OECD Countries," L'industria, Società editrice il Mulino, issue 3, pages 435-454.
• Vincenzo Lombardo, 2011, "Growth and Inequality Effects on Poverty Reduction in Italy," Rivista italiana degli economisti, Società editrice il Mulino, issue 2, pages 241-280.
• Silvia Dal Bianco, 2011, "Reassessing Cross-Regional Convergence in Italy through Distribution Dynamics," Rivista italiana degli economisti, Società editrice il Mulino, issue 3, pages 431-476.
• Vincenzo Verardi & Nicolas Debarsy, 2011, "Robinson's Squareroot-of-n-consistent Semiparametric Regression Estimator in Stata," Working Papers, University of Namur, Department of Economics, number 1110, Mar.
• Rachael E. Goodhue & Carlo Russo, 2011, "Modeling Processor Market Power and the Incidence of Agricultural Policy: A Nonparametric Approach," NBER Chapters, National Bureau of Economic Research, Inc, "The Intended and Unintended Effects of US Agricultural and Biotechnology Policies".
• Kyoo il Kim & Amil Petrin, 2011, "A New Control Function Approach for Non-Parametric Regressions with Endogenous Variables," NBER Working Papers, National Bureau of Economic Research, Inc, number 16679, Jan.
• Rachael E. Goodhue & Carlo Russo, 2011, "Modeling Processor Market Power and the Incidence of Agricultural Policy: A Non-parametric Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 16706, Jan.
• Bryan S. Graham & Cristine Campos de Xavier Pinto & Daniel Egel, 2011, "Efficient Estimation of Data Combination Models by the Method of Auxiliary-to-Study Tilting (AST)," NBER Working Papers, National Bureau of Economic Research, Inc, number 16928, Apr.
• Victor Chernozhukov & Iván Fernández-Val & Amanda E. Kowalski, 2011, "Quantile Regression with Censoring and Endogeneity," NBER Working Papers, National Bureau of Economic Research, Inc, number 16997, Apr.
• Daniel J. Henderson & John A. List & Daniel L. Millimet & Christopher F. Parmeter & Michael K. Price, 2011, "Empirical Implementation of Nonparametric First-Price Auction Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 17095, May.
• John P. Papay & John B. Willett & Richard J. Murnane, 2011, "High-School Exit Examinations and the Schooling Decisions of Teenagers: A Multi-Dimensional Regression-Discontinuity Analysis," NBER Working Papers, National Bureau of Economic Research, Inc, number 17112, Jun.
• Òscar Jordà & Alan M. Taylor, 2011, "Performance Evaluation of Zero Net-Investment Strategies," NBER Working Papers, National Bureau of Economic Research, Inc, number 17150, Jun.
• Jeremy T. Fox & Kyoo il Kim, 2011, "A Simple Nonparametric Approach to Estimating the Distribution of Random Coefficients in Structural Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 17283, Aug.
• Alan I. Barreca & Jason M. Lindo & Glen R. Waddell, 2011, "Heaping-Induced Bias in Regression-Discontinuity Designs," NBER Working Papers, National Bureau of Economic Research, Inc, number 17408, Sep.
• Andrew Ang & Dennis Kristensen, 2011, "Testing Conditional Factor Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 17561, Nov.
• Òscar Jordà & Moritz HP. Schularick & Alan M. Taylor, 2011, "When Credit Bites Back: Leverage, Business Cycles, and Crises," NBER Working Papers, National Bureau of Economic Research, Inc, number 17621, Nov.
• Torben Kuhlenkasper & Max Friedrich Steinhardt, 2011, "Unemployment Duration in Germany – A comprehensive study with dynamic hazard models and P-Splines," Norface Discussion Paper Series, Norface Research Programme on Migration, Department of Economics, University College London, number 2011018, Oct.
• Milan Nedeljkovic & Branko Urosevic, 2011, "Determinants of the Dinar-Euro Nominal Exchange Rate," Working papers, National Bank of Serbia, number 18, May.
• Stijn Kelchtermans & Reinhilde Veugelers, 2011, "The great divide in scientific productivity: why the average scientist does not exist," Industrial and Corporate Change, Oxford University Press and the Associazione ICC, volume 20, issue 1, pages 295-336, February.
• Dolores Añón Higón & Miguel Manjón Antolín & Juan A. Mañez, 2011, "Multinationals, R&D, and productivity: evidence for UK manufacturing firms," Industrial and Corporate Change, Oxford University Press and the Associazione ICC, volume 20, issue 2, pages 641-659, April.
• Eva Deuchert, 2011, "The Virgin HIV Puzzle: Can Misreporting Account for the High Proportion of HIV Cases in Self-reported Virgins?," Journal of African Economies, Centre for the Study of African Economies, volume 20, issue 1, pages 60-89, January.
• Marcel P. Visser, 2011, "GARCH Parameter Estimation Using High-Frequency Data," Journal of Financial Econometrics, Oxford University Press, volume 9, issue 1, pages 162-197, Winter.
• Loriano Mancini & Fabio Trojani, 2011, "Robust Value at Risk Prediction," Journal of Financial Econometrics, Oxford University Press, volume 9, issue 2, pages 281-313, Spring.
• Maria Elvira Mancino & Simona Sanfelici, 2011, "Estimating Covariance via Fourier Method in the Presence of Asynchronous Trading and Microstructure Noise," Journal of Financial Econometrics, Oxford University Press, volume 9, issue 2, pages 367-408, Spring.
• J. E. Griffin, 2011, "Inference in Infinite Superpositions of Non-Gaussian Ornstein--Uhlenbeck Processes Using Bayesian Nonparametic Methods," Journal of Financial Econometrics, Oxford University Press, volume 9, issue 3, pages 519-549, Summer.
• Alcañiz Zanón, Manuela & Alemany Leira, Ramón & Bolancé Losilla, Catalina & Guillén Estany, Montserrat, 2011, "El coste de los cuidados de larga duración en la población española: análisis comparativo entre los años 1999 y 2008 || The Cost of Long-Term Care in the Spanish Population Comparative Analysis between 1999 and 2008," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 12, issue 1, pages 111-131, December.
• Òscar Jordà & Moritz Schularick & Alan M Taylor, 2011, "Financial Crises, Credit Booms, and External Imbalances: 140 Years of Lessons," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, volume 59, issue 2, pages 340-378, June.
• Christian Gourieroux & Joann Jasiak, 2011, "Nonlinear Persistence and Copersistence," Palgrave Macmillan Books, Palgrave Macmillan, chapter 4, in: Greg N. Gregoriou & Razvan Pascalau, "Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration", DOI: 10.1057/9780230295216_4.