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
/ / / C15: Statistical Simulation Methods: General

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This JEL code is mentioned in the following RePEc Biblio entries:

1. Bootstrap Methods

2013

• Degiannakis, Stavros & Floros, Christos & Dent, Pamela, 2013, "Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence," MPRA Paper, University Library of Munich, Germany, number 80433.
• Degiannakis, Stavros & Floros, Christos, 2013, "Modeling CAC40 Volatility Using Ultra-high Frequency Data," MPRA Paper, University Library of Munich, Germany, number 80445.
• Degiannakis, Stavros & Livada, Alexandra, 2013, "Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process," MPRA Paper, University Library of Munich, Germany, number 80449.
• Degiannakis, Stavros & Livada, Alexandra, 2013, "Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process," MPRA Paper, University Library of Munich, Germany, number 80489.
• Rangan Gupta & Charl Jooste & Kanyane Matlou, 2013, "A Time-Varying Approach to Analysing Fiscal Policy and Asset Prices in South Africa," Working Papers, University of Pretoria, Department of Economics, number 201303, Jan.
• Jiří Witzany, 2013, "Estimating Correlated Jumps and Stochastic Volatilities," Prague Economic Papers, Prague University of Economics and Business, volume 2013, issue 2, pages 251-283, DOI: 10.18267/j.pep.451.
• Anna Pajor & Jacek Osiewalski, 2013, "A Note on Lenk’s Correction of the Harmonic Mean Estimator," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 5, issue 4, pages 271-275, December.
• Marco Cozzi, 2013, "Equilibrium Heterogeneous-agent Models As Measurement Tools: Some Monte Carlo Evidence," Working Paper, Economics Department, Queen's University, number 1277, Aug.
• Andrea Carriero & Haroon Mumtaz & Konstantinos Theodoridis & Angeliki Theophilopoulou, 2013, "The Impact of Uncertainty Shocks under Measurement Error. A Proxy SVAR Approach," Working Papers, Queen Mary University of London, School of Economics and Finance, number 707, Aug.
• Anna Anikina, 2013, "Discrete choice modeling and demand estimation for diapers (in Russian)," Quantile, Quantile, issue 11, pages 61-74, December.
• Jean-Marc Robin & Costas Meghir & Christian Dustmann & Jerome Adda, 2013, "Career Progression, Economic Downturns, and Skills," 2013 Meeting Papers, Society for Economic Dynamics, number 993.
• Suni, Paavo & Vihriälä, Vesa, 2013, "Euro – How Big a Difference: Finland and Sweden in Search of Macro Stability," ETLA Reports, The Research Institute of the Finnish Economy, number 7, Apr.
• Stelios D. Bekiros & Alessia Paccagnini, 2013, "Bayesian Forecasting with a Factor-Augmented Vector Autoregressive DSGE model," Working Paper series, Rimini Centre for Economic Analysis, number 22_13, Apr.
• Elettra Agliardi & Mehmet Pinar & Thanasis Stengos, 2013, "A Sovereign Risk Index for the Eurozone Based on Stochastic Dominance," Working Paper series, Rimini Centre for Economic Analysis, number 58_13, Oct.
• Hans-Peter Brunner, 2013, "Can Global Value Chains Effectively Serve Regional Economic Development in Asia?," Working Papers on Regional Economic Integration, Asian Development Bank, number 110, Mar.
• Christina Elberg & Simeon Hagspiel, 2013, "Spatial Dependencies of Wind Power and Interrelations with Spot Price Dynamics," EWI Working Papers, Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI), number 2013-11, Jun.
• Alejandra Arboleda & Carlos Soto & Juan Gutierrez, 2013, "Optimal investment paths during the life cycle of a multi-funds system," Journal of Economics, Finance and Administrative Science, Universidad ESAN, volume 18, issue 35, pages 72-88.
• Alejandra Uribe & Werner L. Hernani-Limarino, 2013, "Pobreza monetaria. Crecimiento y redistribución," Revista Latinoamericana de Desarrollo Economico, Carrera de Economía de la Universidad Católica Boliviana (UCB), issue 20, pages 149-230.
• Dospinescu, Andrei Silviu & Mitrofan, Maria, 2013, "The Interaction Of Structural Changes With Inflation in the Presence of Symetric and Asymetric Economic Behaviours – Evidence from a General Dynamic Intersectoral Model," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 87-100, June.
• Anne Neumann & Maria Nieswand & Torben Schubert, 2013, "Estimating Alternative Technology Sets in Nonparametric Efficiency Analysis: Restriction Tests for Panel and Clustered Data," RSCAS Working Papers, European University Institute, number 2013/13, Mar.
• Diana Kopeva & Dimitar Blagoev & Nikolay Sterev, 2013, "Industrial dynamics in Bulgaria – the connection between past and future: The Case of Food and Beverage Industry," Review of Applied Socio-Economic Research, Pro Global Science Association, volume 5, issue 1, pages 121-129, June.
• Xi Chen & Michael Funke, 2013, "Real-Time Warning Signs of Emerging and Collapsing Chinese House Price Bubbles," National Institute Economic Review, National Institute of Economic and Social Research, volume 223, issue 1, pages 39-48, February.
• Asad Jan & Mansoor Saleem & Aqeel Ahmad & Arshad Riaz, 2013, "Disaggregate Analysis of Broad Money and Outlook of Key Monetary Aggregates," SBP Working Paper Series, State Bank of Pakistan, Research Department, number 58, Apr.
• Rincón García, Eric Alfredo & Magno Rico, Luis Fernando, 2013, "Disminución del riesgo electoral mediante un algoritmo híbrido," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 3, issue 1, pages 7-22, enero-jun.
• Zhenlin Yang, 2013, "LM Tests of Spatial Dependence Based on Bootstrap Critical Values," Working Papers, Singapore Management University, School of Economics, number 03-2013, May.
• Peter C. B. Phillips & Shu-Ping Shi & Jun Yu, 2013, "Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500," Working Papers, Singapore Management University, School of Economics, number 04-2013, Aug.
• Peter C. B. Phillips & Shu-Ping Shi & Jun Yu, 2013, "Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors," Working Papers, Singapore Management University, School of Economics, number 05-2013, Aug.
• Yong Bao & Aman Ullah & Yun Wang & Jun Yu, 2013, "Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Levy Processes," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-01-2013, Feb.
• Peter C. B. Phillips & Shu-Ping Shi & Jun Yu, 2013, "Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-04-2013, Jul.
• Andrea Scozzari & Fabio Tardella & Sandra Paterlini & Thiemo Krink, 2013, "Exact and heuristic approaches for the index tracking problem with UCITS constraints," Annals of Operations Research, Springer, volume 205, issue 1, pages 235-250, May, DOI: 10.1007/s10479-012-1207-1.
• Ralf Münnich & Jan Burgard & Martin Vogt, 2013, "Small Area-Statistik: Methoden und Anwendungen," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, volume 6, issue 3, pages 149-191, March, DOI: 10.1007/s11943-013-0126-1.
• Jorge Pérez-Rodríguez & Julián Andrada-Félix, 2013, "Estimating critical values for testing the i.i.d. in standardized residuals from GARCH models in finite samples," Computational Statistics, Springer, volume 28, issue 2, pages 701-734, April, DOI: 10.1007/s00180-012-0325-1.
• Dominique Guégan & Philippe Peretti, 2013, "An omnibus test to detect time-heterogeneity in time series," Computational Statistics, Springer, volume 28, issue 3, pages 1225-1239, June, DOI: 10.1007/s00180-012-0356-7.
• Nicola Cufaro Petroni & Piergiacomo Sabino, 2013, "Multidimensional quasi-Monte Carlo Malliavin Greeks," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 36, issue 2, pages 199-224, November, DOI: 10.1007/s10203-011-0125-z.
• Kenneth Troske & Alexandru Voicu, 2013, "The effect of the timing and spacing of births on the level of labor market involvement of married women," Empirical Economics, Springer, volume 45, issue 1, pages 483-521, August, DOI: 10.1007/s00181-012-0620-2.
• Stelios Bekiros & Alessia Paccagnini, 2013, "On the predictability of time-varying VAR and DSGE models," Empirical Economics, Springer, volume 45, issue 1, pages 635-664, August, DOI: 10.1007/s00181-012-0623-z.
• Jonas Nilsson & Örjan Åkerborg & Gaëlle Bégo-Le Bagousse & Mårten Rosenquist & Peter Lindgren, 2013, "Cost-effectiveness analysis of dronedarone versus other anti-arrhythmic drugs for the treatment of atrial fibrillation—results for Canada, Italy, Sweden and Switzerland," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), volume 14, issue 3, pages 481-493, June, DOI: 10.1007/s10198-012-0391-x.
• Björn Stollenwerk & Afschin Gandjour & Markus Lüngen & Uwe Siebert, 2013, "Accounting for increased non-target-disease-specific mortality in decision-analytic screening models for economic evaluation," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), volume 14, issue 6, pages 1035-1048, December, DOI: 10.1007/s10198-012-0454-z.
• Ronen Bar-El & Teresa García-Muñoz & Shoshana Neuman & Yossef Tobol, 2013, "The evolution of secularization: cultural transmission, religion and fertility—theory, simulations and evidence," Journal of Population Economics, Springer;European Society for Population Economics, volume 26, issue 3, pages 1129-1174, July, DOI: 10.1007/s00148-011-0401-9.
• Sergio Rey & Richard Smith, 2013, "A spatial decomposition of the Gini coefficient," Letters in Spatial and Resource Sciences, Springer, volume 6, issue 2, pages 55-70, July, DOI: 10.1007/s12076-012-0086-z.
• Riccardo Lucchetti & Claudia Pigini, 2013, "A test for bivariate normality with applications in microeconometric models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, volume 22, issue 4, pages 535-572, November, DOI: 10.1007/s10260-013-0236-5.
• Badi Baltagi & Chihwa Kao & Sanggon Na, 2013, "Testing for cross-sectional dependence in a panel factor model using the wild bootstrap $$F$$ test," Statistical Papers, Springer, volume 54, issue 4, pages 1067-1094, November, DOI: 10.1007/s00362-013-0499-9.
• Giulio Bottazzi & Davide Pirino & Federico Tamagni, 2013, "Zipf Law and the Firm Size Distribution: a critical discussion of popular estimators," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2013/17, Jul.
• Marian Vavra, 2013, "Testing for marginal asymmetry of weakly dependent processes," Working and Discussion Papers, Research Department, National Bank of Slovakia, number WP 1/2013, Sep.
• Marian Vavra, 2013, "Testing for non-linearity in multivariate stochastic processes," Working and Discussion Papers, Research Department, National Bank of Slovakia, number WP 2/2013, Sep.
• Marian Vavra, 2013, "Testing for linear and Markov switching DSGE models," Working and Discussion Papers, Research Department, National Bank of Slovakia, number WP 3/2013, Dec.
• James Morley & Irina B. Panovska & Tara M. Sinclair, 2013, "Testing Stationarity for Unobserved Components Models," Discussion Papers, School of Economics, The University of New South Wales, number 2012-41A, May.
• Seojeong Lee, 2013, "Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Method of Moments Estimators," Discussion Papers, School of Economics, The University of New South Wales, number 2013-09, Sep.
• Russell Davidson & Jean-Yves Duclos, 2013, "Testing for Restricted Stochastic Dominance," Econometric Reviews, Taylor & Francis Journals, volume 32, issue 1, pages 84-125, January, DOI: 10.1080/07474938.2012.690332.
• Joshua C. C. Chan & Gary Koop & Simon M. Potter, 2013, "A New Model of Trend Inflation," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 31, issue 1, pages 94-106, January, DOI: 10.1080/07350015.2012.741549.
• Gary Koop & M. Hashem Pesaran & Ron P. Smith, 2013, "On Identification of Bayesian DSGE Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 31, issue 3, pages 300-314, July, DOI: 10.1080/07350015.2013.773905.
• Marcos Herrera & Manuel Ruiz & Jesús Mur, 2013, "Detecting Dependence Between Spatial Processes," Spatial Economic Analysis, Taylor & Francis Journals, volume 8, issue 4, pages 469-497, February, DOI: 10.1080/17421772.2013.835437.
• Doko Tchatoka, Firmin, 2013, "On bootstrap validity for specification tests with weak instruments," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 16875, Aug, revised 05 Aug 2013.
• Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2013, "Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-055/III, Apr, revised 16 Jan 2015.
• Lukasz Gatarek & Lennart Hoogerheide & Koen Hooning & Herman K. van Dijk, 2013, "Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-060/III, Apr, revised 06 Mar 2014.
• Michael McAleer & Felix Chan & Les Oxley, 2013, "Modelling and Simulation: An Overview," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-069/III, May.
• Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013, "Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-142/III, Sep, revised 01 Nov 2014.
• Shi, W. & Kleijnen, Jack P.C. & Liu, Zhixue, 2013, "Factor Screening For Simulation With Multiple Responses : Sequential Bifurcation," Discussion Paper, Tilburg University, Center for Economic Research, number 2013-009.
• Yanikoglu, I. & den Hertog, D. & Kleijnen, Jack P.C., 2013, "Adjustable Robust Parameter Design with Unknown Distributions," Discussion Paper, Tilburg University, Center for Economic Research, number 2013-022.
• Shi, W. & Kleijnen, Jack P.C. & Liu, Zhixue, 2013, "Factor Screening For Simulation With Multiple Responses : Sequential Bifurcation," Other publications TiSEM, Tilburg University, School of Economics and Management, number 02d31acf-b6be-4c0f-beb7-5.
• Luciana Méndez Errico, 2013, "The Impacts of Social Networks on Immigrants’ Employment Prospects: The Spanish Case 1997-2007," Working Papers, Department of Applied Economics at Universitat Autonoma of Barcelona, number wpdea1301, Jan.
• Eisenberg, Theodore & Wells, Martin T., 2013, "Ranking Law Journals and the Limits of Journal Citation Reports," IEL Working Papers, Institute of Public Policy and Public Choice - POLIS, number 12, Jan.
• Michael McAleer & Les Oxley & Felix Chan, 2013, "Modelling and Simulation: An Overview," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2013-16.
• Alberto Fernández Muñoz de Morales, 2013, "Credit spread modeling effects on counterparty risk valuation adjustments: a spanish case study," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2013-32.
• Stelios D. Bekiros & Alessia Paccagnini, 2013, "On the predictability of time-varying VAR and DSGE models," Open Access publications, School of Economics, University College Dublin, number 10197/7326, Aug.
• Stelios D. Bekiros & Alessia Paccagnini, 2013, "On the predictability of time-varying VAR and DSGE models," Open Access publications, School of Economics, University College Dublin, number 10197/7329, Aug.
• Westerlund, J. & Smeekes, S., 2013, "Robust block bootstrap panel predictability tests," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 060, Jan, DOI: 10.26481/umagsb.2013060.
• Mideros A. & Gassmann F. & Mohnen P., 2013, "Estimation of rates of return of social protection instruments. Making the case for non-contributory social transfers in Cambodia," MERIT Working Papers, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT), number 2013-063.
• Trojan, Sebastian, 2013, "Regime Switching Stochastic Volatility with Skew, Fat Tails and Leverage using Returns and Realized Volatility Contemporaneously," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1341, Dec, revised Aug 2014.
• Karnaukh, Nina & Ranaldo, Angelo & Söderlind, Paul, 2013, "Understanding FX Liquidity," Working Papers on Finance, University of St. Gallen, School of Finance, number 1315, Sep, revised Apr 2015.
• Grazzini, Jakob & Richiardi, Matteo, 2013, "Consistent Estimation of Agent-Based Models by Simulated Minimum Distance," Department of Economics and Statistics Cognetti de Martiis. Working Papers, University of Turin, number 201335, Jul.
• Jan Baldeaux & Eckhard Platen, 2013, "Credit Derivative Evaluation and CVA under the Benchmark Approach," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 324, Feb.
• Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2013, "Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo Matlab Toolbox," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2013:08.
• Roberto Casarin & Marco Tronzano & Domenico Sartore, 2013, "Bayesian Markov Switching Stochastic Correlation Models," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2013:11.
• Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013, "Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2013:17, revised 2014.
• Fabrizio Leisen & Roberto Casarin & David Luengo & Luca Martino, 2013, "Adaptive Sticky Generalized Metropolis," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2013:19.
• Michał Brzeziński, 2013, "Asymptotic and bootstrap inference for top income shares," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2013-01.
• Szymon Kamiński, 2013, "The pricing of options on WIG20 using GARCH models," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2013-06.
• Paweł Strawiński, 2013, "Controlling for overlap in matching," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2013-10.
• Michał Brzeziński, 2013, "Robust estimation of the Pareto index: A Monte Carlo Analysis," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2013-32.
• Jan F. Kiviet, 2013, "Identification and inference in a simultaneous equation under alternative information sets and sampling schemes," Econometrics Journal, Royal Economic Society, volume 16, issue 1, pages 24-59, February.
• Georgios Chortareas & George Kapetanios, 2013, "How Puzzling Is The Ppp Puzzle? An Alternative Half‐Life Measure Of Convergence To Ppp," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 28, issue 3, pages 435-457, April.
• Jesús Crespo Cuaresma & Martin Feldkircher, 2013, "Spatial Filtering, Model Uncertainty And The Speed Of Income Convergence In Europe," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 28, issue 4, pages 720-741, June.
• Yvonne Wolfmayr & Elisabeth Christen & Michael Pfaffermayr, 2013, "Pattern, Determinants and Dynamics of Austrian Service Exports – A Firmlevel Analysis," FIW Research Reports series, FIW, number IV-005, Jun.
• Toivanen, Mervi, 2013, "Contagion in the interbank network: An epidemiological approach," Bank of Finland Research Discussion Papers, Bank of Finland, number 19/2013.
• Liesenfeld, Roman & Richard, Jean-François & Vogler, Jan, 2013, "Analysis of discrete dependent variable models with spatial correlation," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2013-01.
• Eisele, Martin & Zhu, Junyi, 2013, "Multiple imputation in a complex household survey - the German Panel on Household Finances (PHF): challenges and solutions," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 100007, Dec.
• Odermann, Alexander & Cremers, Heinz, 2013, "Komponenten und Determinanten des Credit Spreads: Empirische Untersuchung während Phasen von Marktstress," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 204.
• Karimi, Fariba & Raddant, Matthias, 2013, "Cascades in real interbank markets," Kiel Working Papers, Kiel Institute for the World Economy, number 1872.
• Doose, Anna Maria, 2013, "Methods for calculating cartel damages: A survey," Ilmenau Economics Discussion Papers, Ilmenau University of Technology, Institute of Economics, number 83.
• Kripfganz, Sebastian & Schwarz, Claudia, 2013, "Estimation of Linear Dynamic Panel Data Models with Time-Invariant Regressors," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association, number 79756.

2012

• Liang Peng, 2012, "Repeat Sales Regression on Heterogeneous Properties," The Journal of Real Estate Finance and Economics, Springer, volume 45, issue 3, pages 804-827, October, DOI: 10.1007/s11146-010-9286-8.
• Ahmed Hachicha & Fatma Hachicha & Afif Masmoudi, 2012, "A comparative study of two models SV with MCMC algorithm," Review of Quantitative Finance and Accounting, Springer, volume 38, issue 4, pages 479-493, May, DOI: 10.1007/s11156-011-0236-1.
• Sungro Lee, Chang Sik Kim, In-Moo Kim & Chang Sik Kim & In-Moo Kim, 2012, "Testing the Monday Effect using High-frequency Intraday Returns: A Spatial Dominance Approach," Korean Economic Review, Korean Economic Association, volume 28, pages 69-90.
• Giorgio Calzolari & Roxana Halbleib & Alessandro Parrini, 2012, "Indirect Estimation of α-Stable Garch Models," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2012-31, Nov.
• Elkin Castaño & Jorge Sierra, 2012, "On the Existence of a Unit Root in the Time Series of Monthly Electricity Prices in Colombia," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 76, pages 259-291.
• Reza C. Daniels, 2012, "Univariate Multiple Imputation for Coarse Employee Income Data," SALDRU Working Papers, Southern Africa Labour and Development Research Unit, University of Cape Town, number 88.
• Piotr Jelonek, 2012, "Generating Tempered Stable Random Variates from Mixture Representation," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 12/14, Jun.
• Fabian Irek & Thorsten Lehnert & Nicolas Martelin, 2012, "Noise Trading and the Cross-Section of Index Option Prices," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 12-1.
• Thorsten Lehnert & Bart Frijns & Remco Zwinkels, 2012, "Sentiment Trades and Option Prices," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 12-9.
• Yann Décarie & Michaël Boissonneault & Jacques Légaré, 2012, "An Inventory of Canadian Microsimulation Models," Social and Economic Dimensions of an Aging Population Research Papers, McMaster University, number 298, May.
• Radim Gottwald, 2012, "Value at Risk Model Used to Stock Prices Prediction," MENDELU Working Papers in Business and Economics, Mendel University in Brno, Faculty of Business and Economics, number 2012-30, Oct.
• Alessia Paccagnini, 2012, "Comparing Hybrid DSGE Models," Working Papers, University of Milano-Bicocca, Department of Economics, number 228, Dec, revised Dec 2012.
• Andrea Scozzari & Fabio Tardella & Sandra Paterlini & Thiemo Krink, 2012, "Exact and Heuristic Approaches for the Index Tracking Problem with UCITS Constraints," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0685, Jun.
• Andrea Scozzari & Fabio Tardella & Sandra Paterlini & Thiemo Krink, 2012, "Exact and heuristic approaches for the index tracking problem with UCITS constraints," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi", number 081, May.
• Dominique Guegan & Zhiping Lu & BeiJia Zhu, 2012, "Comparaison of several estimation procedures for long term behavior," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 12008, Feb.
• Song Li & Mervyn J. Silvapulle & Param Silvapulle & Xibin Zhang, 2012, "Bayesian Approaches to Non-parametric Estimation of Densities on the Unit Interval," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 3/12, Jan.
• KHIM Samitt, 2012, "The Empirical Investigation on The Relationship of Foreign Trade, Institutions and Economic Performance of The ASEAN Nations," Business and Economic Research, Macrothink Institute, volume 2, issue 2, pages 119-135, December.
• Jan F. KIVIET, 2012, "Identification and Inference in a Simultaneous Equation Under Alternative Information Sets and Sampling Schemes," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 1207, Jul.
• Jan F. KIVIET & Milan PLEUS, 2012, "The performance of tests on endogeneity of subsets of explanatory variables scanned by simulation," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 1208, Aug.
• Aleksandar Dimitrijevic & Milan Nikolic & Miro Vukoje, 2012, "Analysis of the Payment System of the National Bank of Serbia – simulation-based approach," Working papers, National Bank of Serbia, number 20, May.
• Arnaud Doucet & Neil Shephard, 2012, "Robust inference on parameters via particle filters and sandwich covariance matrices," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2012-W05, Jun.
• Pierre Beynet & Edouard Paviot, 2012, "Assessing the Sensitivity of Hungarian Debt Sustainability to Macroeconomic Shocks under Two Fiscal Policy Reactions," OECD Economics Department Working Papers, OECD Publishing, number 946, Mar, DOI: 10.1787/5k9d195gtkf8-en.
• Elena Rusticelli, 2012, "Non-Parametric Stochastic Simulations to Investigate Uncertainty around the OECD Indicator Model Forecasts," OECD Economics Department Working Papers, OECD Publishing, number 979, Jul, DOI: 10.1787/5k94kq50b2jd-en.
• Jesús Crespo Cuaresma & Martin Feldkircher, 2012, "Drivers of Output Loss during the 2008–09 Crisis: A Focus on Emerging Europe," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 46-64.
• Matthias R. Fengler & Helmut Herwartz & Christian Werner, 2012, "A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew," Journal of Financial Econometrics, Oxford University Press, volume 10, issue 3, pages 457-493, June.
• Eric B. Schneider, 2012, "Real Wages and the Family: Adjusting Real Wages to Changing Demography in Pre-Modern England," Oxford Economic and Social History Working Papers, University of Oxford, Department of Economics, number _099, May.
• Neil Shephard & Arnaud Doucet, 2012, "Robust inference on parameters via particle filters and sandwich covariance matrices," Economics Series Working Papers, University of Oxford, Department of Economics, number 606, Jun.
• Daniel Kapp & Marco Vega, 2012, "Real Output Costs of Financial Crises: a Loss Distribution Approach," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2012-332.
• Kapp, Daniel & Vega, Marco, 2012, "Real output costs of financial crises: a loss distribution approach," MPRA Paper, University Library of Munich, Germany, number 35706, Jan.
• Iqbal, Javed, 2012, "Comparing performance of statistical models for individual’s ability index and ranking," MPRA Paper, University Library of Munich, Germany, number 35893, Jan, revised 01 Jan 2012.
• Halkos, George & Kevork, Ilias, 2012, "Evaluating alternative estimators for optimal order quantities in the newsvendor model with skewed demand," MPRA Paper, University Library of Munich, Germany, number 36205, Jan.
• Nguyen Viet, Cuong, 2012, "Selection of Control Variables in Propensity Score Matching: Evidence from a Simulation Study," MPRA Paper, University Library of Munich, Germany, number 36377, Feb.
• Song, Yong & Shi, Shuping, 2012, "Identifying speculative bubbles with an in finite hidden Markov model," MPRA Paper, University Library of Munich, Germany, number 36455, Feb.
• Halkos, George & Kevork, Ilias, 2012, "Validity and precision of estimates in the classical newsvendor model with exponential and rayleigh demand," MPRA Paper, University Library of Munich, Germany, number 36460, Feb.
• Gimeno, Ricardo & Gonzalez, Clara I., 2012, "An automatic procedure for the estimation of the tail index," MPRA Paper, University Library of Munich, Germany, number 37023.
• TINANG NZESSEU, Jules Valery, 2012, "Offre optimale de liquidité bancaire par la Banque Centrale : une approche microéconomique
  [Optimal Bank’s Liquidity Supply by the Central Bank: A Microeconomic Approach]," MPRA Paper, University Library of Munich, Germany, number 37940, Mar.
• Giraleas, Dimitris & Emrouznejad, Ali & Thanassoulis, Emmanuel, 2012, "Selecting between different productivity measurement approaches: An application using EU KLEMS data," MPRA Paper, University Library of Munich, Germany, number 37965, Mar.
• Parrini, Alessandro, 2012, "Indirect estimation of GARCH models with alpha-stable innovations," MPRA Paper, University Library of Munich, Germany, number 38544, Apr.
• Zvezdov, Ivelin, 2012, "Insurance portfolio risk aggregation and solvency capital computation with mathematical copula techniques," MPRA Paper, University Library of Munich, Germany, number 38953, Feb.
• Pfau, Wade Donald & Kariastanto, Bayu, 2012, "An international perspective on “safe” savings rates for retirement," MPRA Paper, University Library of Munich, Germany, number 39066, May.
• Morone, Marco & Cornaglia, Anna & Mignola, Giulio, 2012, "Determining marginal contributions of the economic capital of credit risk portfolio: an analytical approach," MPRA Paper, University Library of Munich, Germany, number 39119, Jun.
• Pfau, Wade Donald, 2012, "Choosing a retirement income strategy: a new evaluation framework," MPRA Paper, University Library of Munich, Germany, number 39169, Jun.
• Zervopoulos, Panagiotis, 2012, "Dealing with small samples and dimensionality issues in data envelopment analysis," MPRA Paper, University Library of Munich, Germany, number 39226, Feb.
• Chan, Joshua & Strachan, Rodney, 2012, "Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods," MPRA Paper, University Library of Munich, Germany, number 39360.
• Kuikeu, Oscar, 2012, "Propriétés à distance finie d'estimateurs du modèle dynamique en données de panel à effets fixes lorsque N
  [Finite sample properties of dynamic panel data estimators with fixed effects when N]," MPRA Paper, University Library of Munich, Germany, number 39444, Jun.
• Chan, Joshua & Koop, Gary & Potter, Simon, 2012, "A new model of trend inflation," MPRA Paper, University Library of Munich, Germany, number 39496.
• Simwaka, Kisu, 2012, "Testing for time-varying fractional cointegration using the bootstrap approach," MPRA Paper, University Library of Munich, Germany, number 39698, Jun.
• Chan, Joshua & Eisenstat, Eric, 2012, "Marginal Likelihood Estimation with the Cross-Entropy Method," MPRA Paper, University Library of Munich, Germany, number 40051.
• Doko Tchatoka, Firmin, 2012, "On the Validity of Durbin-Wu-Hausman Tests for Assessing Partial Exogeneity Hypotheses with Possibly Weak Instruments," MPRA Paper, University Library of Munich, Germany, number 40184, Jul.
• Doko Tchatoka, Firmin Sabro, 2012, "Specification Tests with Weak and Invalid Instruments," MPRA Paper, University Library of Munich, Germany, number 40185, Jul.
• D. Yıldırım, Burcu & Coskun, Yener & Caglar, Ozan & Yıldırak, Kasırga, 2012, "How Dangerous is the Counterparty Risk of OTC Derivatives in Turkey?," MPRA Paper, University Library of Munich, Germany, number 40600, Aug.
• Doko Tchatoka, Firmin & Dufour, Jean-Marie, 2012, "Identification-robust inference for endogeneity parameters in linear structural models," MPRA Paper, University Library of Munich, Germany, number 40695, Aug.
• Bontempi, Maria Elena & Mammi, Irene, 2012, "A strategy to reduce the count of moment conditions in panel data GMM," MPRA Paper, University Library of Munich, Germany, number 40720, Aug.
• Sinha, Pankaj & Bansal, Vishakha, 2012, "Algorithm for calculating corporate marginal tax rate using Monte Carlo simulation," MPRA Paper, University Library of Munich, Germany, number 40811, Jul.
• Serbanoiu, Georgian Valentin, 2012, "Transmission of fiscal policy shocks into Romania's economy," MPRA Paper, University Library of Munich, Germany, number 40947, Jun.
• Kalaichelvan, Mohandass & Lim Kai Jie, Shawn, 2012, "A Critical Evaluation of the Significance of Round Numbers in European Equity Markets in Light of the Predictions from Benford’s Law," MPRA Paper, University Library of Munich, Germany, number 40960, Aug.
• Chia, Rui Ming Daryl & Lim, Kai Jie Shawn, 2012, "The Attenuation of Idiosyncratic Risk under Alternative Portfolio Weighting Strategies: Recent Evidence from the UK Equity Market," MPRA Paper, University Library of Munich, Germany, number 41455, Sep.
• Diakantoni, Antonia & Escaith, Hubert, 2012, "Reassessing effective protection rates in a trade in tasks perspective: Evolution of trade policy in "Factory Asia"," MPRA Paper, University Library of Munich, Germany, number 41723, Sep.
• Omay, Tolga, 2012, "The comparison of optimization algorithms on unit root testing with smooth transition," MPRA Paper, University Library of Munich, Germany, number 42129, Oct.
• Matkovskyy, Roman, 2012, "The Index of the Financial Safety (IFS) of South Africa and Bayesian Estimates for IFS Vector-Autoregressive Model," MPRA Paper, University Library of Munich, Germany, number 42173, Apr.
• Nam, Suhyeon, 2012, "Multiple Fractional Response Variables with Continuous Endogenous Explanatory Variables," MPRA Paper, University Library of Munich, Germany, number 42696, Oct.
• Mitkov, Yuliyan & Pericon, Osvaldo, 2012, "Deficit Financed Public Expenditure in Argentina: A Structural Vector Autoregression Analysis," MPRA Paper, University Library of Munich, Germany, number 42762, Jun.
• Pavlyuk, Dmitry, 2012, "Maximum Likelihood Estimator for Spatial Stochastic Frontier Models," MPRA Paper, University Library of Munich, Germany, number 43390.
• Demiris, Nikolaos & Kypraios, Theodore & Smith, L. Vanessa, 2012, "On the epidemic of financial crises," MPRA Paper, University Library of Munich, Germany, number 46693, Nov.
• Skribans, Valerijs, 2012, "European Union Economy System Dynamic Model Development," MPRA Paper, University Library of Munich, Germany, number 49170.
• Vittorio Peretti & Rangan Gupta & Roula Inglesi-Lotz, 2012, "Do House Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-Varying Vector Autoregressive Model," Working Papers, University of Pretoria, Department of Economics, number 201216, May.
• Goodness C. Aye & Rangan Gupta & Mampho P. Modise, 2012, "Do Stock Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-Varying Vector Autoregressive Model," Working Papers, University of Pretoria, Department of Economics, number 201224, Aug.
• Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Nicholas Kilimani & Amandine Nakumuryango & Siobhan Redford, 2012, "Predicting BRICS Stock Returns Using ARFIMA Models," Working Papers, University of Pretoria, Department of Economics, number 201235, Dec.
• Milan Rippel & Lucie Suchánková & Petr Teplý, 2012, "Pojištění jako nástroj řízení operačního rizika - případová studie
  [The Role of Insurance in Operational Risk Mitigation - A Case Study]," Politická ekonomie, Prague University of Economics and Business, volume 2012, issue 4, pages 523-535, DOI: 10.18267/j.polek.860.
• James G. MacKinnon, 2012, "Thirty Years Of Heteroskedasticity-robust Inference," Working Paper, Economics Department, Queen's University, number 1268, Apr.
• James G. MacKinnon & Russell Davidson, 2012, "Bootstrap Confidence Sets With Weak Instruments," Working Paper, Economics Department, Queen's University, number 1278, Apr.
• Svetlana Lapinova & Alexander Saichev & Maria Tarakanova, 2012, "Volatility estimation based on extremes of the bridge (in Russian)," Quantile, Quantile, issue 10, pages 73-90, December.
• Kapp, Daniel & Vega, Marco, 2012, "The Real Output Costs of Financial Crisis: A Loss Distribution Approach," Working Papers, Banco Central de Reserva del Perú, number 2012-013, May.
• Carol Alexander & Daniel Ledermann, 2012, "ROM Simulation: Applications to Stress Testing and VaR," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2012-09, May.
• Mehmet Pinar & Thanasis Stengos & M. Ege Yazgan, 2012, "Is there an Optimal Forecast Combination? A Stochastic Dominance Approach to Forecast Combination Puzzle," Working Paper series, Rimini Centre for Economic Analysis, number 17_12, Jun.
• Shu-Ping Shi & Yong Song, 2012, "Identifying Speculative Bubbles with an Infinite Hidden Markov Model," Working Paper series, Rimini Centre for Economic Analysis, number 26_12, Jun.
• Mehmet Pinar & Thanasis Stengos & Nikolas Topaloglou, 2012, "Measuring Human Development: A Stochastic Dominance Approach," Working Paper series, Rimini Centre for Economic Analysis, number 42_12, Jun.
• Martin Burda & John M. Maheu, 2012, "Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models," Working Paper series, Rimini Centre for Economic Analysis, number 46_12, Jun.
• Iffath A. Sharif, 2012, "Can Proxy Means Testing Improve the Targeting Performance of Social Safety Nets in Bangladesh?," Bangladesh Development Studies, Bangladesh Institute of Development Studies (BIDS), volume 35, issue 2, pages 1-43.
• James J. Kung & Andrew P. Carverhill, 2012, "A Bootstrap Analysis of the Nikkei 225," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 27, pages 487-504.
• Fernando Rubiera-Morollón & Esteban Fernández-Vázquez & Elizabeth Aponte-Jaramillo, 2012, "Estimation and analysis of labor productivity in Spanish cities," INVESTIGACIONES REGIONALES - Journal of REGIONAL RESEARCH, Asociación Española de Ciencia Regional, issue 22, pages 129-151.
• Dospinescu, Andrei Silviu, 2012, "Local Environment Analysis and Rules Inferring Procedure in an Agent-Based Model – Applications in Economics," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 128-143, March.
• Saman, Corina, 2012, "Problema stabilitatii estimarilor econometrice si metode robuste de regresie ortogonala," Working Papers of Macroeconomic Modelling Seminar, Institute for Economic Forecasting, number 122503, May.
• Pauna, Bianca, 2012, "Modelarea PIB-ului potential. Probleme intampinate in estimare," Working Papers of Macroeconomic Modelling Seminar, Institute for Economic Forecasting, number 122504, May.
• Mirela GHEORGHE, 2012, "Techniques and Simulation Models in Risk Management," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, volume 15, issue 2, pages 354-362, December.
• Diana Kopeva & Dimitar Blagoev & Nikolay Sterev, 2012, "Industrial dynamics in Bulgaria – the connection between past and future: The case of food and beverage industry," Review of Applied Socio-Economic Research, Pro Global Science Association, volume 3, issue 1, pages 113-121, July.
• Francesca Di Iorio & Stefano Fachin, 2012, "Savings and Investments in the OECD: a panel cointegration study with a new bootstrap test," DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome, number 2012/2, Jan.
• Jonathan Goyette & Giovanni Gallipoli, 2012, "Distortions, Efficiency and the Size Distribution of Firms," Cahiers de recherche, Departement d'économique de l'École de gestion à l'Université de Sherbrooke, number 12-06, Feb.
• Tore Selland Kleppe & Jun Yu & Hans J. Skaug, 2012, "Simulated Maximum Likelihood Estimation for Latent Diffusion Models," Working Papers, Singapore Management University, School of Economics, number 12-2012, Jan.
• Peter C. B. Phillips & Shu-Ping Shi & Jun Yu, 2012, "Testing for Multiple Bubbles," Working Papers, Singapore Management University, School of Economics, number 13-2012, Jan.
• Ye Chen & Jun Yu, 2012, "Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models," Working Papers, Singapore Management University, School of Economics, number 15-2012, Jan.
• Peter C. B. Phillips & Shu-Ping Shi & Jun Yu, 2012, "Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior," Working Papers, Singapore Management University, School of Economics, number 17-2012, Jan.