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

Top JEL

/ C: Mathematical and Quantitative Methods

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

/ / /

**C15: Statistical Simulation Methods: General**

**This JEL code is mentioned in the follow RePEc Biblio entries:**

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

Most recent items first, undated at the end.

**The Path-Dependence Bias in Approximating Local Price Levels by CPIs**

*by*Gluschenko, Konstantin

**Why risk is so hard to measure**

*by*Jon Danielsson & Chen Zhou

**Exogeneity tests, weak identification, incomplete models and non-Gaussian distributions: Invariance and finite-sample distributional theory**

*by*Firmin Doko Tchatoka & Jean-Marie Dufour

**Patent propensity, R&D and market competition: Dynamic spillovers of innovation leaders and followers**

*by*Blazsek, Szabolcs & Escribano, Alvaro

**Adverse selection, moral hazard and the demand for Medigap insurance**

*by*Keane, Michael & Stavrunova, Olena

**Identifying stationary series in panels: A Monte Carlo evaluation of sequential panel selection methods**

*by*Costantini, Mauro & Lupi, Claudio

**Detection of Multiple Bubbles in South African Electricity Prices**

*by*Rangan Gupta & Roula Inglesi-Lotz

**The Time-Series Linkages between US Fiscal Policy and Asset Prices**

*by*Ghassen El Montasser & Rangan Gupta & Charl Jooste & Stephen M. Miller

**Do Precious Metal Prices Help in Forecasting South African Inflation?**

*by*Mehmet Balcilar & Nico Katzke & Rangan Gupta

**Dynamic optimization of an investment portfolio on European stock markets using pair copulas**

*by*Atskanov, Isuf

**Age characteristics of the happy life in Russia and Europe: The econometric approach**

*by*Rodionova, Lilia

**Nonlinear Expectation Formation in the U.S. Stock Market**

*by*Reitz, Stefan & Pierdzioch, Christian & Rülke, Jan-Christoph

**Likelihood based inference and prediction in spatio-temporal panel count models for urban crimes**

*by*Vogler, Jan & Liesenfeld, Roman & Richard, Jean-Francois

**Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility**

*by*Hanck, Christoph & Demetrescu, Matei & Kruse, Robinson

**Mehr Boden für die Grundsteuer: Eine Simulationsanalyse verschiedener Grundsteuermodelle**

*by*Henger, Ralph & Schaefer, Thilo

**A Monte Carlo analysis of alternative meta-analysis estimators in the presence of publication bias**

*by*Reed, W. Robert & Florax, Raymond J. G. M. & Poot, Jacques

**Nanoeconomics: A statistical model of company profit influenced by individual interests of managers**

*by*Sokolov, Igor & Katyshev, Anatoly

**Unternehmensbewertung mit Monte-Carlo-Simulationen**

*by*Schmallowsky, Katrin

**Estimation of sentiment effects in financial markets: A simulated method of moments approach**

*by*Zhenxi, Chen & Lux, Thomas

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

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

**Calculating trading book capital: Is risk separation appropriate?**

*by*Raupach, Peter

**Centrality-based capital allocations**

*by*Alter, Adrian & Craig, Ben & Raupach, Peter

**QML Estimation of the Spatial Weight Matrix in the MR-SAR Model**

*by*Saruta Benjanuvatra & Peter Burridge

**Growing Together? Projecting Income Growth in Europe at the Regional Level**

*by*Jesus Crespo Cuaresma & Gernot Doppelhofer & Florian Huber & Philipp Piribauer

**Cross-Sectional Returns With Volatility Regimes From Diverse Portfolio of Emerging and Developed Equity Indices**

*by*Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał

**Accounting for tax evasion profiles and tax expenditures in microsimulation modelling. The BETAMOD model for personal income taxes in Italy**

*by*Andrea Albarea & Michele Bernasconi & Cinzia Di Novi & Anna Marenzi & Dino Rizzi & Francesca Zantomio

**The Econometrics of Networks: A Review**

*by*Daniel Felix Ahelegbey

**The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30**

*by*Xue-Zhong He & Youwei Li

**Testing subspace Granger causality**

*by*Majid M. Al-Sadoon

**Direct calibration and comparison of agent-based herding models of financial markets**

*by*Sylvain Barde

**A Practical, Universal, Information Criterion over Nth Order Markov Processes**

*by*Sylvain Barde

**Is Real Per Capita State Personal Income Stationary? New Nonlinear, Asymmetric Panel-Data Evidence**

*by*Furkan Emirmahmutoglu & Rangan Gupta & Stephen M. Miller & Tolga Omay

**Robustness of Forecast Combination in Unstable Environment: A Monte Carlo Study of Advanced Algorithms**

*by*Yongchen Zhao

**Estimating the Variance of the Predictor in Stochastic Kriging**

*by*Kleijnen, J.P.C. & Mehdad, Ehsan

**Regression and Kriging Metamodels with Their Experimental Designs in Simulation : Review**

*by*Kleijnen, J.P.C.

**GMM Estimation of Fixed Effects Dynamic Panel Data Models with Spatial Lag and Spatial Errors (Revised version of CentER DP 2011-134)**

*by*Cizek, P. & Jacobs, J. & Ligthart, J.E. & Vrijburg, H.

**Efficient Global Optimization for Black-Box Simulation via Sequential Intrinsic Kriging**

*by*Mehdad, Ehsan & Kleijnen, J.P.C.

**Validating the Assumptions of Sequential Bifurcation in Factor Screening**

*by*Shi, W. & Kleijnen, J.P.C.

**Stochastic Intrinsic Kriging for Simulation Metamodelling**

*by*Mehdad, Ehsan & Kleijnen, J.P.C.

**Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode**

*by*Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk

**Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance**

*by*Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk

**In-Sample Bounds for Time-Varying Parameters of Observation Driven Models**

*by*Francisco Blasques & Siem Jan Koopman & Katarzyna Lasak & Andr� Lucas

**Penalized Indirect Inference**

*by*Francisco Blasques & Artem Duplinskiy

**Estimating a Falsified Model: Some Impossibility Theorems**

*by*Andrew J. Buck & George M. Lady

**Do Precious Metal Prices Help in Forecasting South African Inflation?**

*by*Mehmet Balcilar & Nico Katzke & Rangan Gupta

**On a Bootstrap Test for Forecast Evaluations**

*by*Marian Vavra

**Testing for normality with applications**

*by*Marian Vavra

**Collateral Damage? Micro-simulation of transaction cost shocks on the value of central bank collateral**

*by*Rudolf Alvise Lennkh & Florian Walch

**Minimum Distance Estimation of Search Costs using Price Distribution**

*by*Fabio A. Miessi Sanches & Daniel Silva Junior, Sorawoot Srisuma

**Driving Forces of CO2 Emissions in Emerging Countries: LMDI Decomposition Analysis on China and India’s Residential Sector**

*by*Yeongjun Yeo & Dongnyok Shim & Jeong-Dong Lee & Jorn Altmann

**Value Creation in Software Service Platforms**

*by*Netsanet Haile & Jorn Altmann

**Bias correction for fixed effects spatial panel data models**

*by*Zhenlin Yang & Jihai Yu & Shew Fan Liu

**Jackknife-2 confidence regions for the ratio of two percentiles**

*by*LI-FEI HUANG

**The Performance of Conditional CAPMs based on Evidence from the European Unionâ€™s (EU) Financial Stock Markets before and after the Eurozone Financial Crisis**

*by*Serdar Neslihanoglu

**Estimating Non-Linear DSGEs with the Approximate Bayesian Computation: an application to the Zero Lower Bound**

*by*Valerio Scalone

**A New Technique based on Simulations for Improving the Inflation Rate Forecasts in Romania**

*by*Mihaela Simionescu

**Stress Testing the Australian Household Sector Using the HILDA Survey**

*by*Tom Bilston & Robert Johnson & Matthew Read

**Empirical modeling of production decisions of heterogeneous farmers with random parameter models**

*by*Philippe Koutchade & Alain Carpentier & Fabienne Féménia

**Movers and stayers in the farming sector: accounting for unobserved heterogeneity in structural change**

*by*Legrand D.F. Saint-Cyr & Laurent Piet

**Integrated ARCH, FIGARCH and AR Models: Origins of Long Memory**

*by*Liudas Giraitis & Donatas Surgailis & Andrius Škarnulis

**Dynamic Effects of Monetary Policy Shocks on Macroeconomic Volatility**

*by*Haroon Mumtaz & Konstantinos Theodoridis

**Common and Country Specific Economic Uncertainty**

*by*Haroon Mumtaz & Konstantinos Theodoridis

**What do VARs Tell Us about the Impact of a Credit Supply Shock?**

*by*Haroon Mumtaz & Gabor Pinter & Konstantinos Theodoridis

**Wild Bootstrap Inference for Wildly Different Cluster Sizes**

*by*James G. MacKinnon & Matthew D. Webb

**Covariate-augmented unit root tests with mixed-frequency data**

*by*Cláudia Duarte

**Population food security assessment – a methodological approach**

*by*Alexandri, Cecilia

**Bootstrap for Value at Risk Prediction**

*by*Meriem Rjiba, Meriem & Tsagris, Michail & Mhalla, Hedi

**How to Create a Monte Carlo Simulation Study using R: with Applications on Econometric Models**

*by*Abonazel, Mohamed R.

**A Simple Estimator for Short Panels with Common Factors**

*by*Juodis, Arturas & Sarafidis, Vasilis

**Tests for sphericity in multivariate garch models**

*by*Francq, Christian & Jiménez Gamero, Maria Dolores & Meintanis, Simos

**On Capturing the Spreading Dynamics over Trading Prices in the Market**

*by*Situngkir, Hokky

**Bayesian Inference in a Non-linear/Non-Gaussian Switching State Space Model: Regime-dependent Leverage Effect in the U.S. Stock Market**

*by*Kim, Jaeho

**Korelasi Bebas-skala dalam Studi Geo-politik Pemilihan**

*by*Maulana, Ardian & Situngkir, Hokky

**Indonesia embraces the Data Science**

*by*Situngkir, Hokky

**Decomposition of the European GDP based on Singular Spectrum Analysis**

*by*Leon, Costas

**Microfinanzas en el Perú: Solvencia y Rentabilidad en las Cajas Municipales de Ahorro y Crédito**

*by*Gambetta Podesta, Renzo

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

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

**Unit Roots and Smooth Transitions: A Replication**

*by*Kulaksizoglu, Tamer

**Monetary transmission models for bank interest rates**

*by*Laura Parisi & Igor Gianfrancesco & Camillo Gilberto & Paolo Giudici

**Application of ß – Convergence Approach in Visegrad Four Regions**

*by*Jan Nevima & Ingrid Majerová

**A Quantal Response Model of Firm Competition**

*by*Ellis Scharfenaker

**Bayesian Bandwidth Estimation In Nonparametric Time-Varying Coefficient Models**

*by*Tingting Cheng & Jiti Gao & Xibin Zhang

**Testing for a Structural Break in Dynamic Panel Data Models with Common Factors**

*by*Huanjun Zhu & Vasilis Sarafidis & Mervyn Silvapulle & Jiti Gao

**On Consistency of Approximate Bayesian Computation**

*by*David T. Frazier & Gael M. Martin & Christian P. Robert

**A Practical Approach to Financial Crisis Indicators Based on Random Matrices**

*by*Antoine Kornprobst & Raphael Douady

**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

**A Comprehensive Simulation Study on the Forward Imputation**

*by*Nadia SOLARO & Alessandro BARBIERO & Giancarlo MANZI & Pier Alda FERRARI

**Evolutionary Sequential Monte Carlo Samplers for Change-point Models**

*by*Arnaud Dufays

**Comparing the Homogeneity of Income Distributions using Polarization Indices**

*by*André-Marie Taptué

**Comparing the Size of the Middle Class using the Alienation Component of Polarization**

*by*André-Marie Taptué

**Meta-analytic cointegrating rank tests for dependent panels**

*by*Deniz Dilan Karaman Örsal & Antonia Arsova

**Dynamic Effects of Monetary Policy Shocks on Macroeconomic Volatility**

*by*Konstantinos Theodoridis & Haroon Mumtaz

**Backtesting Value-at-Risk: A Generalized Markov Framework**

*by*Thor Pajhede

**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

**Supply Analysis of the Forestry Industry**

*by*Géraud Krähenbühl

**Inference for functions of partially identified parameters in moment inequality models**

*by*Federico Bugni & Ivan Canay & Xiaoxia Shi

**Finite sample bias corrected IV estimation for weak and many instruments**

*by*Matthew Harding & Jerry Hausman & Christopher Palmer

**A discrete model for bootstrap iteration**

*by*Russell Davidson

**Endogenizing take-up of social assistance in a microsimulation model : a case study for Germany**

*by*Wiemers, Jürgen

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

*by*Mayya Zhilova & & &

**Change point and trend analyses of annual expectile curves of tropical storms**

*by*P. Burdejova & W.K. Härdle & Kokoszka & Q.Xiong

**Poverty mapping based on first order dominance with an example from Mozambique**

*by*Arndt, Channing & Hussain, M. Azhar & Salvucci, Vincenzo & Tarp, Finn & Østerdal, Lars Peter

**Speeding Up Mcmc By Delayed Acceptance And Data Subsampling**

*by*Quiroz, Matias

**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

**On the Distributional Assumptions in the StoNED model**

*by*Cheng, Xiaomei & Andersson, Jonas & Bjørndal, Endre

**Grid and shake - Spatial aggregation and robustness of regionally estimated elasticities**

*by*Gabor Bekes & Peter Harasztosi

**Information Criteria for Nonlinear Time Series Models**

*by*Rinke, Saskia & Sibbertsen, Philipp

**Treatments of Non-metric Variables in Partial Least Squares and Principal Component Analysis**

*by*Jisu Yoon & Tatyana Krivobokova

**Composite Indices Based on Partial Least Squares**

*by*Jisu Yoon & Stephan Klasen & Axel Dreher & Tatyana Krivobokova

**On the Forecasting of Financial Volatility Using Ultra-High Frequency Data**

*by*António A. F. Santos

**The evolution of the Volatility in Financial Returns: Realized Volatility vs Stochastic Volatility Measures**

*by*António Alberto Santos

**Estimating State-Dependent Volatility of Investment Projects: A Simulation Approach**

*by*Pedro Godinho

**Bayesian Estimation of Time-Changed Default Intensity Models**

*by*Gordy, Michael B. & Szerszen, Pawel J.

**Centrality-based Capital Allocations**

*by*Alter, Adrian & Craig, Ben R. & Raupach, Peter

**GARCH Models, Tail Indexes and Error Distributions: An Empirical Investigation**

*by*Roman Horváth & Boril Sopov

**Mother's Time Allocation, Child Care and Child Cognitive Development**

*by*Brilli, Ylenia

**Banking Stress Scenarios for Public Debt Projections**

*by*Peter Benczur & Katia Berti & Jessica Cariboni & Francesca Erica Di Girolamo & Sven Langedijk & Andrea Pagano & Marco Petracco Giudici

**Why risk is so hard to measure**

*by*Jon Danielsson & Chen Zhou

**Pitfalls of Estimating the Marginal Likelihood Using the Modified Harmonic Mean**

*by*Joshua C.C. Chan & Angelia L. Grant

**The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling**

*by*Joshua C.C. Chan

**No evidence of financial accelerator in France**

*by*B. CAMPAGNE & V. ALHENC-GELAS & J.-B. BERNARD

**Estimating rational stock-market bubbles with sequential Monte Carlo methods**

*by*Benedikt Rotermann & Bernd Wilfling

**Autoregressive moving average infinite hidden markov-switching models**

*by*Bauwens, Luc & Carpantier, Jean-FranÃ§ois & Dufays, Arnaud

**Welfare gains of the poor: An endogenous Bayesian approach with spatial random effects**

*by*Andr´es Ramírez Hassan & Santiago Montoya Blandón

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

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

**A Non-linear Forecast Combination Procedure for Binary Outcomes**

*by*Kajal Lahiri & Liu Yang

**Quantifying the Impacts of Limited Supply: The Case of Nursing Homes**

*by*Andrew Ching & Fumiko Hayashi & Hui Wang

**Is the Maastricht debt limit safe enough for Slovakia?**

*by*Zuzana Mucka

**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

**GMM estimation of fiscal rules: Monte Carlo experiments and empirical tests**

*by*I. Mammi

**Dynamic predictive density combinations for large data sets in economics and finance**

*by*Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk

**Testing Subspace Granger Causality**

*by*Majid M. Al-Sadoon

**Statistical matching and uncertainty analysis in combining household income and expenditure data**

*by*Pier Luigi Conti & Daniela Marella & Andrea Neri

**The impact of lower oil prices on energy expenditure and economic activity**

*by*Ivan Faiella & Alessandro Mistretta

**Simulation of the term structure. An application for measuring the interest rate risk**

*by*Mirta González & María Cecilia Pérez

**Explicando cambios en bienestar, distribución del ingreso y pobreza en Bolivia durante los años 2000**

*by*Wilson Jimenez & Werner L. Hernani-Limarino & Ahmed Eid & Gary Mena & Paul Villarroel & Alejandra Uribe & Rodrigo Aguirre & Alvaro Chirino & Tommy Tapia & Javier Aliaga

**Log-Transform Kernel Density Estimation of Income Distribution**

*by*Arthur Charpentier & Emmanuel Flachaire

**A Local Stable Bootstrap for Power Variations of Pure-Jump Semimartingales and Activity Index Estimation**

*by*Ulrich Hounyo & Rasmus T. Varneskov

**Validity of Edgeworth expansions for realized volatility estimators**

*by*Ulrich Hounyo & Bezirgen Veliyev

**Quantitative Modelling in Marketing and Management**

*by*

**Explicando cambios en bienestar, distribución del ingreso y pobreza en Bolivia durante los años 2000**

*by*

**A Monte Carlo analysis of alternative meta-analysis estimators in the presence of publication bias**

*by*Reed, W. Robert

**Escenarios Monte Carlo para estrategias con expectativas de baja volatilidad cambiante mediante opciones europeas de compra y venta / Monte Carlo scenarios for strategies with expectations of changing low volatility using European call and put options**

*by*Olivares Aguayo, Héctor Alonso & Ortiz-Ramírez, Ambrosio & Bucio Pacheco, Christian

**Generating Covariances in multifactor CIR model**

*by*Wojciech Szatzschneider

**Evolution of the Main Banking Sector Risks in Romania in the Last Decade**

*by*Dana Sisea & Emilia Stoica & Sandra Teodorescu

**Construction Of Economic Indicators Using Internet Searches**

*by*Mioara, POPESCU

**Wealth and Labor Supply Heterogeneity**

*by*Jose Mustre-del-Rio

**Common Trends and Common Cycles – Bayesian Approach**

*by*Justyna Wróblewska

**Copula-based Stochastic Frontier Model with Autocorrelated Inefficiency**

*by*Arabinda Das

**Empirical Evidence of Ideal Filter Approximation: Peripheral and Selected EU Countries Application**

*by*Jitka Poměnková & Roman Maršálek

**Estimating the Value-at-Risk from High-frequency Data**

*by*Pavol Krasnovský

**Integrational Models and Forms of Inter-State Public-Private Partnership: Aspects of Financial Convergence**

*by*Alina Kulai

**The role of oscillatory modes in US business cycles**

*by*Andreas Groth & Michael Ghil & Stéphane Hallegatte & Patrice Dumas

**Comparison of Taxes and Social Insurance Premium Burdens in Household Accounts**

*by*Taro Ohno & Masahiko Nakazawa & Kazuaki Kikuta & Manabu Yamamoto

**Guyana: A Half a Century of Struggles with Planning, Growth, and Development**

*by*Lall B. RAMRATTAN

**Az egyéni munkaerő-piaci aktivitás becslése mikroszimulációs modellkeretben**

*by*Vékás, Péter

**Weekend vs. Medium Stay Tourism**

*by*Petru Balogh & Pompiliu Golea

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

*by*KAMEL HELALI & MAHA KALAI

**Heavy-tailed modeling of CROBEX**

*by*Danijel Grahovac & Nenad Suvak

**Endogenizing take-up of social assistance in a microsimulation model. A case study for Germany Abstract : Microsimulation studies typically assume that all entitlements to means-tested benefits are actually claimed by eligible households, despite a large body of research that suggests that take-up rates are substantially below 100%. The assumption of full take-up tends to exaggerate the simulated increase in caseloads and fiscal costs of a social policy reform. This paper investigates the impact of non-take-up for two hypothetical scenarios, namely increasing and decreasing the base amount of social assistance in Germany by €100 per month. We find a substantial effect of considering non-take-up on the simulated change in fiscal costs and in particular on the change in caseloads, where the full take-up assumption exaggerates the latter change by a factor of about two**

*by*Jürgen Wiemers

**Centrality-Based Capital Allocations**

*by*Adrian Alter & Ben R. Craig & Peter Raupach

**Long-term Stochastic Forecasting of the Nuclear Energy Global Market**

*by*Vladimir Kharitonov & Uliana Kurelchuk & Sergey Masterov

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

*by*Valeriu Nalban

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

*by*Antoniade Ciprian ALEXANDRU & Nicoleta CARAGEA

**Choice of Spectral Density Estimator in Ng-Perron Test: A Comparative Analysis**

*by*Muhammad Irfan Malik & Atiq-ur-Rehman,

**Comparative numerical analysis of two stock-flow consistent post-Keynesian growth models**

*by*Biagio Ciuffo & Eckehard Rosenbaum

**Robust hedging performance and volatility risk in option markets: Application to Standard and Poor's 500 and Taiwan index options**

*by*Han, Chuan-Hsiang & Chang, Chien-Hung & Kuo, Chii-Shyan & Yu, Shih-Ti

**A nonparametric study of real exchange rate persistence over a century**

*by*Kim, Hyeongwoo & Ryu, Deockhyun

**Improved inferences for spatial regression models**

*by*Liu, Shew Fan & Yang, Zhenlin

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

*by*Liu, Shew Fan & Yang, Zhenlin

**Value-at-Risk analysis in the MENA equity markets: Fat tails and conditional asymmetries in return distributions**

*by*Assaf, Ata

**Distortions, efficiency and the size distribution of firms**

*by*Goyette, Jonathan & Gallipoli, Giovanni

**Does the Greenspan era provide evidence on leadership in the FOMC?**

*by*El-Shagi, Makram & Jung, Alexander

**Financial incentives for kidney donation: A comparative case study using synthetic controls**

*by*Bilgel, Fırat & Galle, Brian

**Which continuous-time model is most appropriate for exchange rates?**

*by*Erdemlioglu, Deniz & Laurent, Sébastien & Neely, Christopher J.

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

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

**Counterparty risk for CDS: Default clustering effects**

*by*Bo, Lijun & Capponi, Agostino

**The effect of objective formulation on retirement decision making**

*by*Butt, Adam & Khemka, Gaurav

**Modelling longevity bonds: Analysing the Swiss Re Kortis bond**

*by*Hunt, Andrew & Blake, David

**Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models**

*by*Targino, Rodrigo S. & Peters, Gareth W. & Shevchenko, Pavel V.

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

*by*Avramidis, Panagiotis & Pasiouras, Fotios

**Equilibrium option pricing: A Monte Carlo approach**

*by*Buchner, Axel

**Testing equality of modified Sharpe ratios**

*by*Ardia, David & Boudt, Kris

**Are emerging MENA stock markets mean reverting? A Monte Carlo simulation**

*by*Neaime, Simon

**Determining the economic value of ambiguous loan portfolios**

*by*Parnes, Dror

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

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

**On the use of panel cointegration tests in energy economics**

*by*Westerlund, Joakim & Thuraisamy, Kannan & Sharma, Susan

**Forecasting short-term electricity consumption using a semantics-based genetic programming framework: The South Italy case**

*by*Castelli, Mauro & Vanneschi, Leonardo & De Felice, Matteo

**Two-step estimation of the volatility functions in diffusion models with empirical applications**

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**Chronic and Transient Poverty: Measurement and Estimation, with Evidence from China**

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**Testing for Restricted Stochastic Dominance**

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**A Bootstrap Approach To Test The Conditional Symmetry In Time Series Models**

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**Testing for Restricted Stochastic Dominance**

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**Chronic and Transient Poverty: Measurement and Estimation, with Evidence from China**

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