## 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.

**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

**Centrality-based capital allocations**

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

**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

**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.

**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

**Testing for normality with applications**

*by*Marian Vavra

**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

**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

**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

**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

**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

**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

**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

**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

**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

**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

**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-François & Dufays, Arnaud

**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

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

*by*Zuzana Mucka

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

*by*Arthur Charpentier & Emmanuel Flachaire

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

*by*Ulrich Hounyo & Bezirgen Veliyev

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

*by*Dana Sisea & Emilia Stoica & Sandra Teodorescu

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

*by*Lall B. RAMRATTAN

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

*by*Kim, Hyeongwoo & Ryu, Deockhyun

**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

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

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

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

*by*Bo, Lijun & Capponi, Agostino

**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

**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

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

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

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

*by*Creel, Michael & Kristensen, Dennis

**Testing of a market fraction model and power-law behaviour in the DAX 30**

*by*He, Xue-Zhong & Li, Youwei

**Bootstrap inference for linear dynamic panel data models with individual fixed effects**

*by*Gonçalves, Sílvia & Kaffo, Maximilien

**A general method for third-order bias and variance corrections on a nonlinear estimator**

*by*Yang, Zhenlin

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

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

**LM tests of spatial dependence based on bootstrap critical values**

*by*Yang, Zhenlin

**Specification tests for partially identified models defined by moment inequalities**

*by*Bugni, Federico A. & Canay, Ivan A. & Shi, Xiaoxia

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

*by*Su, Liangjun & Yang, Zhenlin

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

*by*Freyberger, Joachim

**On the bootstrap for Moran’s I test for spatial dependence**

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

**Pitfalls of estimating the marginal likelihood using the modified harmonic mean**

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

**Evaluating simulation-based approaches and multivariate quadrature on sparse grids in estimating multivariate binary probit models**

*by*Abay, Kibrom A.

**Estimation of ergodic agent-based models by simulated minimum distance**

*by*Grazzini, Jakob & Richiardi, Matteo

**Economic Valuation of Electrical Service Reliability for Households’ in Developing Country: A Censored Random Coefficient Model Approach**

*by*Alastaire Sèna ALINSATO

**Valoración de derivados europeos con mixtura de distribuciones Weibull**

*by*Andrés Mauricio Molina & José Alfredo Jiménez

**Simulation-Based E-Learning Framework for Entrepreneurship Education and Training**

*by*Constanta-Nicoleta Bodea & Radu Ioan Mogos & Maria-Iuliana Dascalu & Augustin Purnus

**Date Stamping Historical Oil Price Bubbles: 1876-2014**

*by*Itamar Caspi & Nico Katzke & Rangan Gupta

**Testing for Multiple Bubbles in the BRICS Stock Markets**

*by*Tsangyao Chang & Omid Ranjbar & Luis A. Gil-Alana & Goodness C. Aye & Rangan Gupta

**Relevant statistics for Bayesian model choice**

*by*Rousseau, Judith & Robert, Christian P. & Pillai, Natesh S. & Marin, Jean-Michel

**The Wang-Landau algorithm reaches the Flat Histogram criterion in finite time**

*by*Jacob, Pierre E. & Ryder, Robin

**Méthodes de simulation**

*by*Cartier, Manuel

**Are property derivatives a leading indicator of the real estate market?**

*by*Drouhin, Pierre-Arnaud & Simon, Arnaud

**Study of the relationship between innovation and export activity of Russian firms**

*by*Arkhipova, Marina & Aleksandrova, Elena

**Non-core Liabilities as an Indicator of Systemic Risk and a Liquidity Stress Test Application on Turkish Banking System**

*by*Kurmaş AKDOĞAN & Burcu Deniz YILDIRIM

**Las transferencias públicas y su efecto distributivo. La experiencia de los países del Cono Sur en el decenio de los 2000**

*by*Alejo, Javier. & Bérgolo, Marcelo. & Carbajal, Fedora.

**Comparing several methods to compute joint prediction regions for path forecasts generated by vector autoregressions**

*by*Stefan Bruder

**The identification of directed technical change revisited**

*by*Saam, Marianne

**How do employment tax credits work? An analysis of the German inheritance tax**

*by*Franke, Benedikt & Simons, Dirk & Voeller, Dennis

**The estimation uncertainty of permanent-transitory decompositions in co-integrated systems**

*by*Schreiber, Sven

**The portfolio structure of German households: A multinomial fractional response approach with unobserved heterogeneity**

*by*Becker, Gideon

**Systemic risk in an interconnected banking system with endogenous asset markets**

*by*Bluhm, Marcel & Krahnen, Jan Pieter

**Bridging the gap between horizontal and vertical merger simulation: Modifications and extensions of PCAID**

*by*Bush, C. Anthony

**Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte**

*by*Krasnosselski, Nikolai & Cremers, Heinz & Sanddorf, Walter

**How do employment tax credits work? An analysis of the German inheritance tax**

*by*Franke, Benedikt & Simons, Dirk & Voeller, Dennis

**Donâ€™t Stop â€™Til You Get Enough: a quickest detection approach to HTA**

*by*Daniele Bregantini

**Unit Root Tests In The Presence Of Multiple Breaks In Variance**

*by*SOO-BIN JEONG & BONG-HWAN KIM & TAE-HWAN KIM & HYUNG-HO MOON

**Sparse Graphical Vector Autoregression: A Bayesian Approach**

*by*Roberto Casarin & Daniel Felix Ahelegbey & Monica Billio

**A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities**

*by*Roberto Casarin & Fabrizio Leisen & German Molina & Enrique Ter Horst

**Growth-cycle phases in China’s provinces: A panel Markov-switching approach**

*by*Roberto Casarin & Komla Mawulom Agudze & Monica Billio & Eric Girardin

**Why can sectoral shocks lead to sizable macroeconomic fluctuations? Assessing alternative theories by means of stochastic simulation with a general equilibrium model**

*by*Roberto Roson & Martina Sartori

**Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets**

*by*Roberto Casarin & Monica Billio & Anthony Osuntuyi

**Outliers and Persistence in Threshold Autoregressive Processes: A Puzzle?**

*by*Yamin Ahmad & Luiggi Donayre

**Temporal Aggregation of Random Walk Processes and Implications for Asset Prices**

*by*Yamin Ahmad & Ivan Paya

**Ambiguity and Reality**

*by*Trojani, Fabio & Wiehenkamp, Christian & Wrampelmeyer, Jan

**Modeling Intraday Stochastic Volatility and Conditional Duration Contemporaneously with Regime Shifts**

*by*Trojan, Sebastian

**Multivariate Stochastic Volatility with Dynamic Cross Leverage**

*by*Trojan, Sebastian

**Is regularization necessary? A Wald-type test under non-regular conditions**

*by*Duplinskiy A.

**A multivariate invariance principle for modified wild bootstrap methods with an application to unit root testing**

*by*Smeekes S. & Urbain J.R.Y.J.

**Incorrectly accounting for preference heterogeneity in choice experiments: what are the implications for welfare measurement?**

*by*Catalina M. Torres & Sergio Colombo & Nick Hanley

**Testing Local Average Treatment Effect Assumptions**

*by*Ismael Mourifie & Yuanyuan Wan

**Stochastic Intrinsic Kriging for Simulation Metamodelling**

*by*Mehdad, E. & Kleijnen, Jack P.C.

**Adjustable Robust Optimizations with Decision Rules Based on Inexact Revealed Data**

*by*de Ruiter, F.J.C.T. & Ben-Tal, A. & Brekelmans, R.C.M. & den Hertog, D.

**Global Optimization for Black-box Simulation via Sequential Intrinsic Kriging**

*by*Mehdad, E. & Kleijnen, Jack P.C.

**Multivariate Versus Univariate Kriging Metamodels for Multi-Response Simulation Models (Revision of 2012-039)**

*by*Kleijnen, Jack P.C. & Mehdad, E.

**Classic Kriging versus Kriging with Bootstrapping or Conditional Simulation : Classic Kriging's Robust Confidence Intervals and Optimization (Revised version of CentER DP 2013-038)**

*by*Mehdad, E. & Kleijnen, Jack P.C.

**Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models**

*by*Istv�n Barra & Lennart Hoogerheide & Siem Jan Koopman & Andr� Lucas

**Interpreting Financial Market Crashes as Earthquakes: A New early Warning System for Medium Term Crashes**

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

**Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices**

*by*Lukasz Gatarek & Lennart Hoogerheide & Herman K. van Dijk

**Fractional Cointegration Rank Estimation**

*by*Katarzyna Lasak & Carlos Velasco

**On Distributions of Ratios**

*by*Simon A. Broda & Raymond Kan

**The Responses of the Prime Rate to a Change in Policies of the Federal Reserve**

*by*Joseph Friedman & Yochanan Shachmurove

**A New Approach to Model Verification, Falsification and Selection**

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

**Non-core Liabilities as an Indicator of Systemic Risk and a Liquidity Stress Test Application on Turkish Banking System**

*by*Kurmas Akdogan & Burcu Deniz Yildirim

**Date stamping historical oil price bubbles: 1876 - 2014**

*by*Itamar Caspi & Nico Katzke & Rangan Gupta

**Asymptotic Refinements of a Misspecification-Robust Bootstrap for GEL Estimators**

*by*Seojeong Lee

**Testing Stationarity for Unobserved Components Models**

*by*James Morley & Irina B. Panovska & Tara M. Sinclair

**Incorrectly accounting for preference heterogeneity in choice experiments: what are the implications for welfare measurement?**

*by*Cati Torres & Sergio Colombo & Nick Hanley

**How Variability in Individual Patterns of Behavior Changes the Structural Properties of Networks**

*by*Somayeh Koohborfardhaghighi & Jorn Altmann

**A Network Formation Model for Social Object Networks**

*by*Somayeh Koohborfardhaghighi & Jorn Altmann

**How Structural Changes in Complex Networks Impact Organizational Learning Performance**

*by*Somayeh Koohborfardhaghighi & Jorn Altmann

**How Placing Limitations on the Size of Personal Networks Changes the Structural Properties of Complex Networks**

*by*Somayeh Koohborfardhaghighi & Jorn Altmann

**Carry Trade Activities: A Multivariate Threshold Model Analysis**

*by*Matthias Gubler

**Initial-Condition Free Estimation of Fixed Effects Dynamic Panel Data Models**

*by*Zhenlin Yang

**Asymptotic Distribution and Finite-Sample Bias Correction of QML Estimators for Spatial Error Dependence Model**

*by*Shew Fan Liu & Zhenlin Yang

**Modified QML Estimation of Spatial Autoregressive Models with Unknown Heteroskedasticity and Nonnormality**

*by*Shew Fan Liu & Zhenlin Yang

**Bootstrap tests in linear models with many regressors**

*by*Patrick Richard

**Bias-corrected inference for multivariate nonparametric regression: model selection and oracle property**

*by*Francesco Giordano & Maria Lucia Parrella

**GRID for model structure discovering in high dimensional regression**

*by*Francesco Giordano & Soumendra Nath Lahiri & Maria Lucia Parrella

**Test of Log-Normal Process with Importance Sampling for Options Pricing**

*by*Semih Yon & Cafer Erhan Bozdag

**Exchange Rate Pass-Through in Eastern Europe: a Panel Bayesian VAR Approach**

*by*Valeriu Nalban

**Predicting a future observation: A reconciliation of the Bayesian and frequentist approaches**

*by*Rahul Mukherjee

**Estimation of the Distribution of Remaning Life Time of the People in Turkey**

*by*Mehmet Fedai KAYA & Muslu Kaz KÖREZ & Süleyman DÜNDAR

**Statistical matching of income and consumption expenditures**

*by*GABRIELLA DONATIELLO & MARCELLO D'ORAZIO & DORIANA FRATTAROLA & ANTONY RIZZI & MAURO SCANU & MATTIA SPAZIANI

**Confidence Interval for Ratio of Percentiles of Two Independent and Small Samples**

*by*Li-Fei Huang

**Methodology Of Application Of Statistical Modelling For Risk Assessment**

*by*Konstantins Didenko & Vitalijs Jurenoks & Vladimirs Jansons & Viktors Nespors

**Dealing with unobservable common trends in small samples: a panel cointegration approach**

*by*Francesca Di Iorio & Stefano Fachin

**Evaluation of Credit Risk Under Correlated Defaults: The Cross-Entropy Simulation Approach**

*by*Loretta Mastroeni & Giuseppe D'Acquisto & Maurizio Naldi

**Monte Carlo Approximate Tensor Moment Simulations**

*by*Juan C. Arismendi

**The Changing Transmission of Uncertainty shocks in the US: An Empirical Analysis**

*by*Haroon Mumtaz & Konstantinos Theodoridis

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

*by*Haroon Mumtaz & Gabor Pinter & Konstantinos Theodoridis

**Wild cluster bootstrap confidence intervals**

*by*James G. MacKinnon

**Bootstrap tests for overidentification in linear regression models**

*by*Russell Davidson & James G. MacKinnon

**Reworking Wild Bootstrap Based Inference for Clustered Errors**

*by*Matthew D. Webb

**Modelling Firm and Market Dynamics - A Flexible Model Reproducing Existing Stylized Facts**

*by*Thomas Brenner & Matthias Duschl

**Are there Multiple Bubbles in the Ethanol-Gasoline Price Ratio of Brazil?**

*by*Ghassen El Montasser & Rangan Gupta & Andre Luis Martins & Peter Wanke

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

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

**On the optimal use of put options under trade restrictions**

*by*Bell, Peter N

**The small multiple in econometrics – a redesign**

*by*Klein, Torsten L.

**Communicating quantitative information: tables vs graphs**

*by*Klein, Torsten L.

**Lag Order and Critical Values of the Augmented Dickey-Fuller Test: A Replication**

*by*Kulaksizoglu, Tamer

**Computer Simulates the Effect of Internal Restriction on Residuals in Linear Regression Model with First-order Autoregressive Procedures**

*by*Lee, Mei-Yu

**Correlation Analysis of the quality of medical quality economic and financial management using correlation coefficients based on nonparametric data**

*by*Iacob, Constanta & Constantin, Camelia

**Analysis of the links between statistical variables on financial performance and its level**

*by*Iacob, Constanta & Taus, Delia

**The Modi ed R a Robust Measure of Association for Time Series**

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

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

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

**Input-output linkages and the propagation of domestic productivity shocks: Assessing alternative theories with stochastic simulation**

*by*Roson, Roberto & Sartori, Martina

**Modeling and Forecasting Volatility – How Reliable are modern day approaches?**

*by*Mehta, Anirudh & Kanishka, Kunal

**On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets**

*by*Ledenyov, Dimitri O. & Ledenyov, Viktor O.

**A note on implementing the Durbin and Koopman simulation smoother**

*by*Jarocinski, Marek

**Demand Model Simulation in R with Endogenous Prices and Unobservable Quality**

*by*Toro Gonzalez, Daniel

**Least squares estimation for GARCH (1,1) model with heavy tailed errors**

*by*Preminger, Arie & Storti, Giuseppe

**Macro Stress-Testing Credit Risk in Romanian Banking System**

*by*Ruja, Catalin

**Fixed T Dynamic Panel Data Estimators with Multi-Factor Errors**

*by*Juodis, Arturas & Sarafidis, Vasilis

**A control chart using copula-based Markov chain models**

*by*Long, Ting-Hsuan & Emura, Takeshi

**On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets**

*by*Ledenyov, Dimitri O. & Ledenyov, Viktor O.

**Climate Impacts in Europe - The JRC PESETA II Project**

*by*Ciscar, Juan-Carlos & Feyen, Luc & Soria, Antonio & Lavalle, Carlo & Raes, Frank & Perry, Miles & Nemry, Françoise & Demirel, Hande & Rozsai, Máté & Dosio, Alessandro & Donatelli, Marcello & Srivastava, Amit Kumar & Fumagalli, Davide & Niemeyer, Stefan & Shrestha, Shailesh & Ciaian, Pavel & Himics, Mihaly & Van Doorslaer, Benjamin & Barrios, Salvador & Ibáñez, Nicolás & Forzieri, Giovanni & Rojas, Rodrigo & Bianchi, Alessandra & Dowling, Paul & Camia, Andrea & Libertà, Giorgio & San-Miguel-Ayanz, Jesús & de Rigo, Daniele & Caudullo, Giovanni & Barredo, Jose-I. & Paci, Daniele & Pycroft, Jonathan & Saveyn, Bert & Van Regemorter, Denise & Revesz, Tamas & Vandyck, Toon & Vrontisi, Zoi & Baranzelli, Claudia & Vandecasteele, Ine & Batista e Silva, Filipe & Ibarreta, Dolores

**Stochastic conditonal range, a latent variable model for financial volatility**

*by*Galli, Fausto

**Imputación de ingresos laborales: Una aplicación con encuestas de empleo en México**

*by*Rodriguez-Oreggia, Eduardo & Lopez-Videla, Bruno

**Optimal Use of Put Options in a Stock Portfolio**

*by*Peter N, Bell

**Stochastic conditonal range, a latent variable model for financial volatility**

*by*Galli, Fausto

**Golden Rule of Forecasting: Be conservative**

*by*Armstrong, J. Scott & Green, Kesten C. & Graefe, Andreas

**A Method for Experimental Events that Break Cointegration: Counterfactual Simulation**

*by*Bell, Peter N

**Analysis and Forecasting of Drought by Developing a Fuzzy-Based Hybrid Index in Iran**

*by*Moghaddasi, Reza & Eghbali, Alireza & Lakhaye Rizi, Parisa

**The modifiable areal unit problem - analysis of correlation and regression**

*by*Michal Bernard Pietrzak

**Redefining the Modifiable Areal Unit Problem within spatial econometrics, the case of the aggregation problem**

*by*Michal Bernard Pietrzak

**Uniform Inference in Nonlinear Models with Mixed Identification Strength**

*by*Xu Cheng

**Structural Estimation of Sequential Games of Complete Information**

*by*Jason R. Blevins

**Estimation of Ergodic Agent-Based Models by Simulated Minimum Distance**

*by*Jakob Grazzini & Matteo Richiardi

**Estimation of Dynamic Discrete Choice Models by Maximum Likelihood and the Simulated Method of Moments**

*by*Phillipp Eisenhauer & James J. Heckman & Stefano Mosso

**On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers**

*by*Arnaud Dufays

**Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models**

*by*Jan F. Kiviet & Milan Pleus & Rutger Poldermans

**Identification-Robust Inference for Endogeneity Parameters in Linear Structural Models**

*by*Firmin DOKO TCHATOKA & Jean-Marie DUFOUR

**A Computational Implementation of GMM**

*by*Jiti Gao & Han Hong

**Identifying I(0) Series in Macro-panels: Are Sequential Panel Selection Methods Useful?**

*by*Costantini, Mauro & Lupi, Claudio

**The impact of skill and management structure on Serie A Clubs’ performance**

*by*Costanza Torricelli & Maria Cesira Urzì Brancati & Luca Mirtoleni

**Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes**

*by*Jentsch, Carsten & Paparoditis, Efstathios & Politis, Dimitris N.

**Bootstrapping Sample Quantiles of Discrete Data**

*by*Jentsch, Carsten & Leucht, Anne

**Direct Distribution of Rents and the Resource Curse in Iran: A Micro-econometric Analysis**

*by*Mohammad Reza Farzanegan & Mohammad Habibpour

**An Efficient Parallel Simulation Method for Posterior Inference on Paths of Markov Processes**

*by*Matthias Held & Marcel Omachel

**Survey-Based Assessment of Household Borrowers' Financial Vulnerability**

*by*Mikus Arins & Nadezda Sinenko & Laura Laube

**Estimating Stable Factor Models By Indirect Inference**

*by*Giorgio Calzolari & Roxana Halbleib

**Estimation of Dynamic Discrete Choice Models by Maximum Likelihood and the Simulated Method of Moments**

*by*Eisenhauer, Philipp & Heckman, James J. & Mosso, Stefano

**Reweight: a stata module to reweight survey data to external totals**

*by*Daniele Pacifico

**Block Bootstrap Consistency Under Weak Assumptions**

*by*Calhoun, Gray

**Progressivity-Improving VAT Reforms in Italy**

*by*Francesca Gastaldi & Paolo Liberati & Elena Pisano & Simone Tedeschi

**Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps**

*by*Benoît Sévi

**Forecasting the density of oil futures**

*by*Florian Ielpo & Benoît Sévi

**Date stamping historical oil price bubbles: 1876 - 2014**

*by*Itamar Caspi & Nico Katzke & Rangan Gupta

**Testing for Multiple Bubbles in the BRICS Stock Markets**

*by*Tsangyao Chang & Goodness C. Aye & Rangan Gupta

**Policy-oriented macroeconomic forecasting with hybrid DGSE and time-varying parameter VAR models**

*by*Stelios D. Bekiros & Alessia Paccagnini

**Cointegration of Baltic Stock Markets in the Financial Tsunami: Empirical Evidence**

*by*Omar Masood & Mondher Bellalah & Sahil Chaudhary & Walid Mansour & Frederic Teulon

**The goodness-of-fit of the fuel-switching price using the mean-reverting Lévy jump process**

*by*Julien Chevallier & Stéphane Goutte

**Forecasting the US Economy with a Factor-Augmented Vector Autoregressive DSGE model**

*by*Stelios Bekiros & Alessia Paccagnini

**Bootstrap confidence sets under model misspecification**

*by*Vladimir Spokoiny & Mayya Zhilova & &

**Stochastic Household Forecasts by Coherent Random Shares Predictions**

*by*Keilman, Nico & van Duin, Coen

**Are Central Bankers Inflation Nutters? - A Bayesian MCMC Estimator of the Long Memory Parameter in a State Space Model**

*by*Andersson, Fredrik N. G. & Li, Yushu

**A simple wavelet-based test for serial correlation in panel data models**

*by*Li, Yushu & Andersson, Fredrik N. G.

**Policy Simulation of Firms Cooperation in Innovation**

*by*Heshmati, Almas & Lenz-Cesar, Flávio

**Stochastic Volatility Estimation with GPU Computing**

*by*António Alberto Santos & João Andrade

**Estimating capabilities with structural equation models: How well are we doing in a 'real' world?**

*by*Jaya Krishnakumar & Florian Wendelspiess Chavez Juarez

**Self-employment and health care reform: evidence from Massachusetts**

*by*Tuzemen, Didem & Becker, Thealexa

**Estimating (Markov-Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach**

*by*Bognanni, Mark & Herbst, Edward

**Does Social Capital Matter for European Regional Growth**

*by*Peiró Palomino Jesús & Forte Deltell Anabel & Tortosa-Ausina Emili

**Risk management of savings accounts**

*by*Hana Dzmuranova & Petr Teply

**A Bayesian Latent Variable Mixture Model for Filtering Firm Profit Rate**

*by*Gregor Semieniuk & Ellis Scharfenaker

**Issues in Comparing Stochastic Volatility Models Using the Deviance Information Criterion**

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

**Structural VARs, Deterministic and Stochastic Trends: Does Detrending Matter?**

*by*Varang Wiriyawit & Benjamin Wong

**Fast Computation of the Deviance Information Criterion for Latent Variable Models**

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

**Empleo Femenino, Pobreza y Desigualdad: Un Análisis de Microdescomposiciones. Uruguay 1991- 2012**

*by*Cecilia Parada

**Financial Bubble Implosion**

*by*Peter C.B. Phillips & Shu-Ping Shi

**Propensity to patent, R&D and market competition : dynamic spillovers of innovation leaders and followers**

*by*Szabolcs Blazsek & Álvaro Escribano

**Skewness Term Structure Tests**

*by*Thorsten Lehnert & Yuehao Lin

**Evaluating Option Pricing Model Performance Using Model Uncertainty**

*by*Thorsten Lehnert & Gildas Blanchard & Dennis Bams

**Skewness Risk Premium: Theory and Empirical Evidence**

*by*Christian Wolff & Thorsten Lehnert & Yuehao Lin

**A DSGE Model of China**

*by*Dai, Li & Minford, Patrick & Zhou, Peng

**A DSGE Model of China**

*by*Dai, Li & Minford, Patrick & Zhou, Peng

**Specific Markov-switching behaviour for ARMA parameters**

*by*CARPANTIER, Jean-François & DUFAYS, Arnaud

**Which team will win the 2014 FIFA World Cup? A Bayesian approach for dummies**

*by*Andrés Ramírez Hassan & Johnatan Cardona Jiménez

**Distribución Hiperbólica Generalizada: Una Aplicación en la Selección de Portafolios y Cuantificación de Medidas de Riesgo de Mercado**

*by*José Luis Alayón

**Identification-robust inference for endogeneity parameters in linear structural models**

*by*Firmin Doko Tchatoka & Jean-Marie Dufour

**Adaptive Markov chain Monte Carlo sampling and estimation in Mata**

*by*Matthew J. Baker

**Optimal Bail-out and Bail-in policy mix: Lessons from the Banco Espírito Santo (BES) failure**

*by*Miguel Rocha de Sousa

**Direct Distribution of Rents and the Resource Curse in Iran: A Micro-econometric Analysis**

*by*Mohammad Reza Farzanegan & Mohammad Habibpour

**Sand in the Wheels or Wheels in the Sand? Tobin Taxes and Market Crashes**

*by*Hynek Lavicka & Tomas Lichard & Jan Novotny

**Robustness of bootstrap in instrumental variable regression**

*by*Lorenzo Camponovo & Taisuke Otsu

**A DSGE Model of China**

*by*Dai, Li & Minford, Patrick & Zhou, Peng

**A Monte Carlo Analysis of Alternative Meta-Analysis Estimators in the Presence of Publication Bias**

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

**On the Practice of Lagging Variables To Avoid Simultaneity**

*by*W. Robert Reed

**pca2: implementing a strategy to reduce the instrument count in panel GMM**

*by*M. E. Bontempi & I. Mammi

**Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model**

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

**Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings**

*by*Sermin Gungor & Richard Luger

**Removal of the Unwinding Provisions in the Automated Clearing Settlement System: A Risk Assessment**

*by*Nicolas Labelle & Varya Taylor

**A simple and effective misspecification test for the double-hurdle model**

*by*Riccardo LUCCHETTI & Claudia PIGINI

**On Bootstrap Validity for Specification Tests with Weak Instruments**

*by*Firmin Doko Tchatoka

**Specification Tests with Weak and Invalid Instruments**

*by*Firmin Doko Tchatoka

**A Nonparametric Study of Real Exchange Rate Persistence over a Century**

*by*Hyeongwoo Kim & Deockhyun Ryu

**Indirect inference with time series observed with error**

*by*Eduardo Rossi & Paolo Santucci de Magistris

**Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading**

*by*Ulrich Hounyo

**The wild tapered block bootstrap**

*by*Ulrich Hounyo

**ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models**

*by*Michael Creel & Dennis Kristensen

**Bootstrapping Kernel-Based Semiparametric Estimators**

*by*Matias D. Cattaneo & Michael Jansson

**Discretization of Lévy semistationary processes with application to estimation**

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

**Simulation of multivariate diffusion bridges**

*by*Mogens Bladt & Samuel Finch & Michael Sørensen

**Mjerenje međuzavisnosti poslovnih ciklusa i ekonomskoga rasta u Hrvatskoj primjenom spektralne analize**

*by*Marinko Škare

**Consistent estimation in pseudo panels in the presence of selection bias**

*by*Mora, Jhon James & Muro, Juan

**A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter**

*by*Donald W. K. Andrews & Patrik Guggenberger

**Business concentration through the eyes of the HHI**

*by*George Djolov

**The Impact of customers' relation quality and sensing on the marketing performance for micro industries development in Banten Province, Indonesia**

*by*Suherna & Weksi Budiaji

**Forecast of Romanian Industry Employment using Simulation and Panel Data Models**

*by*Andreica, Madalina Ecaterina & Andreica, Marin

**Adequacy of Lagrange Multiplier Test**

*by*Lee , Mei-Yu

**Tax Compliance and Public Goods Provision. An Agent-based Econophysics Approach**

*by*Sascha Hokamp & Götz Seibold

**Where do Moderation Terms Come from in Binary Choice Models?**

*by*Alfredo A. Romero

**Dynamic Linkages in the Pairs (GBP/EUR, USD/EUR) and (GBP/USD, EUR/USD): How Do They Change During a Day?**

*by*Małgorzata Doman & Ryszard Doman

**Divergent Priors and Well Behaved Bayes Factors**

*by*Rodney W. Strachan & Herman K. van Dijk

**Statistical Matching of Income and Consumption Expenditures**

*by*Gabriella Donatiello & Marcello D’Orazio & Doriana Frattarola & Antony Rizzi & Mauro Scanu & Mattia Spaziani

**Linkages between the Financial and Real Sectors across Interest Rate Regimes: The Case of the Czech Republic**

*by*Tomas Konecny

**New Strategies to Improve the Accuracy of Predictions based on Monte Carlo and Bootstrap Simulations: An Application to Bulgarian and Romanian Inflation || Nuevas estrategias para mejorar la exactitud de las predicciones de inflación en Rumanía y Bulgaria usando simulaciones Monte Carlo y Bootstrap**

*by*Simionescu, Mihaela

**The Impact of E.U. Founds between 2007-2013**

*by*Ciobanu Carmen Liliana

**Econometric Model For Forecasting Traffic On Croatian Motorways**

*by*Drago Pupavac

**Financial bubbles and recent behaviour of the Latin American stock markets**

*by*Jorge Uribe & Julián Fernández

**Innovation and Market Structure in Pharmaceuticals: An Econometric Analysis on Simulated Data**

*by*Christian Garavaglia & Franco Malerba & Luigi Orsenigo & Michele Pezzoni

**Improving quarterly index of turnover by means of a calibration estimator**

*by*Fabio Bacchini & Claudio Ceccarelli & Diego Chianella & Roberto Iannaccone

**Methods for variance estimation under random hot deck imputation in business surveys Abstract: When the imputed values are treated as if they were observed the precision of the estimates is generally overstated. In the paper three variance methods under imputatation are taken into account. Two of them are the well known bootstrap and Multiple Imputation. The third is a new method based on grouped jackknife easy to implement, not computer intensive and suitable when random hot deck imputation is performed. A simulative comparison on real business data has been carried out. The findings show that the proposed method has good performances with respect to the other ones**

*by*Paolo Righi & Stefano Falorsi & Andrea Fasulo

**Comparing Two Methods of Reweighting a Survey File to Small Area Data**

*by*Robert Tanton & Paul Williamson & Ann Harding

**A Review of Spatial Microsimulation Methods**

*by*Robert Tanton

**Constructing an Urban Microsimulation Model to Assess the Influence of Demographics on Heat Consumption**

*by*M. Esteban Muñoz H. & Irene Peters

**Modelling the impact of declining Australian terms of trade on the spatial distribution of income**

*by*Yogi Vidyattama & Maheshwar Rao & Itismita Mohanty & Robert Tanton

**The Effect of Nonzero Autocorrelation Coefficients on the Distributions of Durbin-Watson Test Estimator: Three Autoregressive Models**

*by*Mei-Yu LEE

**Income tax evasion dynamics: Evidence from an agent-based econophysics model**

*by*Pickhardt, Michael & Seibold, Goetz

**Non-linear adjustments to intranational PPP**

*by*Woo, Kai-Yin & Lee, Shu-Kam & Chan, Alan

**The determinants of vulnerability to the global financial crisis 2008 to 2009: Credit growth and other sources of risk**

*by*Feldkircher, Martin

**Measuring the effects of reducing subsidies for private insurance on public expenditure for health care**

*by*Cheng, Terence Chai

**Flexible dependence modeling of operational risk losses and its impact on total capital requirements**

*by*Brechmann, Eike & Czado, Claudia & Paterlini, Sandra

**Systemic risk in an interconnected banking system with endogenous asset markets**

*by*Bluhm, Marcel & Krahnen, Jan Pieter

**A sovereign risk index for the Eurozone based on stochastic dominance**

*by*Agliardi, Elettra & Pinar, Mehmet & Stengos, Thanasis

**Liquidity risk and the performance of UK mutual funds**

*by*Foran, Jason & O'Sullivan, Niall

**Performance and performance persistence of UK closed-end equity funds**

*by*Bredin, Don & Cuthbertson, Keith & Nitzsche, Dirk & Thomas, Dylan C.

**On the effects of world stock market and oil price shocks on food prices: An empirical investigation based on TVP-VAR models with stochastic volatility**

*by*Jebabli, Ikram & Arouri, Mohamed & Teulon, Frédéric

**Exploring the impacts of a carbon tax on the Chinese economy using a CGE model with a detailed disaggregation of energy sectors**

*by*Guo, Zhengquan & Zhang, Xingping & Zheng, Yuhua & Rao, Rao

**Design of experiments applied to environmental variables analysis in electricity utilities efficiency: The Brazilian case**

*by*Leme, Rafael C. & Paiva, Anderson P. & Steele Santos, Paulo E. & Balestrassi, Pedro P. & Galvão, Leandro de Lima

**Dynamic modeling of uncertainty in the planned values of investments in petrochemical and refining projects**

*by*Vianello, Juliano Melquiades & Costa, Leticia & Teixeira, José Paulo

**The incentive to invest in thermal plants in the presence of wind generation**

*by*Di Cosmo, Valeria & Malaguzzi Valeri, Laura

**A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models**

*by*Bauwens, Luc & De Backer, Bruno & Dufays, Arnaud

**Non-parametric and semi-parametric asset pricing: An application to the Colombian stock exchange**

*by*Gómez-González, José Eduardo & Sanabria-Buenaventura, Elioth Mirsha

**Minimum distance estimation of the errors-in-variables model using linear cumulant equations**

*by*Erickson, Timothy & Jiang, Colin Huan & Whited, Toni M.

**Improved inference in the evaluation of mutual fund performance using panel bootstrap methods**

*by*Blake, David & Caulfield, Tristan & Ioannidis, Christos & Tonks, Ian

**Consistent estimation with many moment inequalities**

*by*Menzel, Konrad

**A predictability test for a small number of nested models**

*by*Granziera, Eleonora & Hubrich, Kirstin & Moon, Hyungsik Roger

**Nonparametric estimation and inference for conditional density based Granger causality measures**

*by*Taamouti, Abderrahim & Bouezmarni, Taoufik & El Ghouch, Anouar

**Maximum likelihood estimation of partially observed diffusion models**

*by*Kleppe, Tore Selland & Yu, Jun & Skaug, Hans J.

**A fast resample method for parametric and semiparametric models**

*by*Armstrong, Timothy B. & Bertanha, Marinho & Hong, Han

**Nonparametric inference based on conditional moment inequalities**

*by*Andrews, Donald W.K. & Shi, Xiaoxia

**Marginal likelihood for Markov-switching and change-point GARCH models**

*by*Bauwens, Luc & Dufays, Arnaud & Rombouts, Jeroen V.K.

**Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators**

*by*Lee, Seojeong

**Nonparametric inference for counterfactual means: Bias-correction, confidence sets, and weak IV**

*by*Fan, Yanqin & Park, Sang Soo

**Time-varying sparsity in dynamic regression models**

*by*Kalli, Maria & Griffin, Jim E.

**The FMLS-based CUSUM statistic for testing the null of smooth time-varying cointegration in the presence of a structural break**

*by*Neto, David

**On testing for nonlinearity in multivariate time series**

*by*Psaradakis, Zacharias & Vávra, Marián

**Aggregation of the generalized fractional processes**

*by*Sun, Jingwei & Shi, Wendong

**On the equivalence of indirect inference and bootstrap bias correction for linear IV estimators**

*by*Chau, Tak Wai

**A simple and effective misspecification test for the double-hurdle model**

*by*Lucchetti, Riccardo & Pigini, Claudia

**Savings and investments in the OECD, 1970–2007: A test of panel cointegration with regime changes**

*by*Iorio, Francesca Di & Fachin, Stefano

**Bilateral counterparty risk valuation for credit default swap in a contagion model using Markov chain**

*by*Dong, Yinghui & Wang, Guojing

**Forecasting with a state space time-varying parameter VAR model: Evidence from the Euro area**

*by*Bekiros, Stelios

**A reflection principle for a random walk with implications for volatility estimation using extreme values of asset prices**

*by*Kumar, Dilip & Maheswaran, S.

**Analyses of retirement benefits with options**

*by*Lin, Chung-Gee & Yang, Wei-Ning & Chen, Shu-Chuan

**Correlated income shocks and excess smoothness of consumption**

*by*Hryshko, Dmytro

**Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors**

*by*Lee, Yongwoong & Poon, Ser-Huang

**Equilibrium Heterogeneous-Agent models as measurement tools: Some Monte Carlo evidence**

*by*Cozzi, Marco

**Do firms share the same functional form of their growth rate distribution? A statistical test**

*by*Lunardi, José T. & Miccichè, Salvatore & Lillo, Fabrizio & Mantegna, Rosario N. & Gallegati, Mauro

**Extracting market information from equity options with exponential Lévy processes**

*by*Fabozzi, Frank J. & Leccadito, Arturo & Tunaru, Radu S.

**The Modifiable Areal Unit Problem – Analysis Of Correlation And Regression**

*by*Michal Bernard Pietrzak

**Redefining The Modifiable Areal Unit Problem Within Spatial Econometrics, The Case Of The Aggregation Problem**

*by*Michal Bernard Pietrzak

**Redefining The Modifiable Areal Unit Problem Within Spatial Econometrics, The Case Of The Scale Problem**

*by*Michal Bernard Pietrzak

**Evaluando las intervenciones cambiarias en Colombia: 2004-2012**

*by*Mauricio Lopera & Ramón Javier Mesa & Charle Londoño

**Volatility of the Utilities Industry: Its Causal Relationship to Other Nine Industries**

*by*Kuo-Hao Lee & Ahmed Elkassabgi & Wei-Jen Hsieh

**Performance of mutual equity funds in Brazil – A bootstrap analysis**

*by*Marco Antonio Laes & Marcos Eugênio da Silva

**Mathematics Understanding Of Economy By The General Public In The Economic Departments**

*by*Tomita Vasile & Cora Ionela Daniasa

**REVIEW OF JOOP J. HOX MULTILEVEL ANALYSIS – TECHNIQUES AND APPLICATIONS, Second Edition, Routledge (2010)**

*by*Roxana-Otilia-Sonia HRITCU

**A Time-Varying Approach to Analysing Fiscal Policy and Asset Prices in South Africa**

*by*Rangan Gupta & Charl Jooste & Kanyane Matlou

**Recentered importance sampling with applications to Bayesian model validation**

*by*Nur, Darfiana & Mengersen, Kerrie & Mcvinish, Ross

**Particle algorithms for optimization on binary spaces**

*by*Schäfer, Christian

**SMC^2: an efficient algorithm for sequential analysis of state-space models**

*by*Chopin, Nicolas & Jacob, Pierre E. & Papaspiliopoulos, Omiros

**Sequential Monte Carlo on large binary sampling spaces**

*by*Schäfer, Christian & Chopin, Nicolas

**An Adaptive Interacting Wang–Landau Algorithm for Automatic Density Exploration**

*by*Doucet, Arnaud & Del Moral, Pierre & Jacob, Pierre E. & Bornn, Luke

**Introduction to Special Issue on Monte Carlo Methods in Statistics**

*by*Doucet, Arnaud & Robert, Christian P.

**Computational aspects of Bayesian spectral density estimation**

*by*Liseo, Brunero & Rousseau, Judith & Chopin, Nicolas

**Decomposing differences in employment outcomes between Kanak and other New Caledonians: how important is the role of school achievement?**

*by*Catherine Ris & Samuel Gorohouna

**Estimation of Linear Dynamic Panel Data Models with Time-Invariant Regressors**

*by*Kripfganz, Sebastian & Schwarz, Claudia

**Methods for calculating cartel damages: A survey**

*by*Doose, Anna Maria

**Komponenten und Determinanten des Credit Spreads: Empirische Untersuchung während Phasen von Marktstress**

*by*Odermann, Alexander & Cremers, Heinz

**Multiple imputation in a complex household survey - the German Panel on Household Finances (PHF): challenges and solutions**

*by*Eisele, Martin & Zhu, Junyi

**Analysis of discrete dependent variable models with spatial correlation**

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

**Pattern, Determinants and Dynamics of Austrian Service Exports – A Firmlevel Analysis**

*by*Yvonne Wolfmayr & Elisabeth Christen & Michael Pfaffermayr

**Robust estimation of the Pareto index: A Monte Carlo Analysis**

*by*Michał Brzeziński

**Controlling for overlap in matching**

*by*Paweł Strawiński

**The pricing of options on WIG20 using GARCH models**

*by*Szymon Kamiński

**Asymptotic and bootstrap inference for top income shares**

*by*Michał Brzeziński

**Adaptive Sticky Generalized Metropolis**

*by*Fabrizio Leisen & Roberto Casarin & David Luengo & Luca Martino

**Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model**

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

**Bayesian Markov Switching Stochastic Correlation Models**

*by*Roberto Casarin & Marco Tronzano & Domenico Sartore

**Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo Matlab Toolbox**

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

**Credit Derivative Evaluation and CVA under the Benchmark Approach**

*by*Jan Baldeaux & Eckhard Platen

**Understanding FX Liquidity**

*by*Karnaukh, Nina & Ranaldo, Angelo & Söderlind, Paul

**Regime Switching Stochastic Volatility with Skew, Fat Tails and Leverage using Returns and Realized Volatility Contemporaneously**

*by*Trojan, Sebastian

**Estimation of rates of return on social protection: Making the case for non-contributory social transfers in Cambodia**

*by*Mideros Mora, Andres & Gassmann, Franziska & Mohnen, Pierre

**Robust block bootstrap panel predictability tests**

*by*Westerlund J. & Smeekes S.

**Credit spread modeling effects on counterparty risk valuation adjustments: a spanish case study**

*by*Alberto Fernández Muñoz de Morales

**Modelling and Simulation: An Overview**

*by*Michael McAleer & Les Oxley & Felix Chan

**Ranking Law Journals and the Limits of Journal Citation Reports**

*by*Eisenberg, Theodore & Wells, Martin T.

**The Impacts of Social Networks on Immigrants’ Employment Prospects: The Spanish Case 1997-2007**

*by*Luciana Méndez Errico

**Adjustable Robust Parameter Design with Unknown Distributions**

*by*Yanikoglu, I. & den Hertog, D. & Kleijnen, Jack P.C.

**Factor Sreening For Simulation With Multiple Responses : Sequential Bifurcation**

*by*Shi, W. & Kleijnen, Jack P.C. & Liu, Zhixue

**Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model**

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

**Modelling and Simulation: An Overview**

*by*Michael McAleer & Felix Chan & Les Oxley

**Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation**

*by*Lukasz Gatarek & Lennart Hoogerheide & Koen Hooning & Herman K. van Dijk

**Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox**

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

**On bootstrap validity for specification tests with weak instruments**

*by*Doko Tchatoka, Firmin

**Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Method of Moments Estimators**

*by*Seojeong Lee

**Testing Stationarity for Unobserved Components Models**

*by*James Morley & Irina B. Panovska & Tara M. Sinclair

**Testing for linear and Markov switching DSGE models**

*by*Marian Vavra

**Testing for non-linearity in multivariate stochastic processes**

*by*Marian Vavra

**Testing for marginal asymmetry of weakly dependent processes**

*by*Marian Vavra

**Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors**

*by*Peter C. B. Phillips & Shu-Ping Shi & Jun Yu

**Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500**

*by*Peter C. B. Phillips & Shu-Ping Shi & Jun Yu

**Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors**

*by*Peter C. B. Phillips & Shu-Ping Shi & Jun Yu

**Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500**

*by*Peter C. B. Phillips & Shu-Ping Shi & Jun Yu

**LM Tests of Spatial Dependence Based on Bootstrap Critical Values**

*by*Zhenlin Yang

**Spatial Dependencies of Wind Power and Interrelations with Spot Price Dynamics**

*by*Elberg, Christina & Hagspiel, Simeon

**Can Global Value Chains Effectively Serve Regional Economic Development in Asia?**

*by*Brunner, Hans-Peter

**A Sovereign Risk Index for the Eurozone Based on Stochastic Dominance**

*by*Elettra Agliardi & Mehmet Pinar & Thanasis Stengos

**Bayesian Forecasting with a Factor-Augmented Vector Autoregressive DSGE model**

*by*Stelios D. Bekiros & Alessia Paccagnini

**Euro – How Big a Difference: Finland and Sweden in Search of Macro Stability**

*by*Suni, Paavo & Vihriälä, Vesa

**The Impact of Uncertainty Shocks under Measurement Error. A Proxy SVAR Approach**

*by*Andrea Carriero & Haroon Mumtaz & Konstantinos Theodoridis & Angeliki Theophilopoulou

**Equilibrium Heterogeneous-Agent Models as Measurement Tools: some Monte Carlo Evidence**

*by*Marco Cozzi

**International diversification and dependence structure of equity portfolios during market crashes: the Archimedean copula approach**

*by*Muteba Mwamba, John & Mokwena, Paula

**Rtadf: Testing for Bubbles with EViews**

*by*Caspi, Itamar

**Multiple imputation in a complex household survey - the German Panel on Household Finances (PHF): challenges and solutions**

*by*Martin, Eisele & Zhu, Junyi

**Estimating International Migration on the Base of Small Area Techniques**

*by*Voineagu, Vergil & Caragea, Nicoleta & Pisica, Silvia

**Discrete Rule Learning and the Bidding of the Sexes**

*by*Shachat, Jason & Wei, Lijia

**NIG-Levy process in asset price modeling: case of Estonian companies**

*by*Teneng, Dean

**Overnight Index Rate: Model, Calibration, and Simulation**

*by*Yashkir, Yuriy & Yashkir, Olga

**On bootstrap validity for specification tests with weak instruments**

*by*Doko Tchatoka, Firmin

**Stability analysis of Uzawa-Lucas endogenous growth model**

*by*Barnett, William A. & Ghosh, Taniya

**Relevant States and Memory in Markov Chain Bootstrapping and Simulation**

*by*Cerqueti, Roy & Falbo, Paolo & Pelizzari, Cristian

**Estimation of Inefficiency using a Firm-specific Frontier Model**

*by*Das, Arabinda

**Easy and flexible mixture distributions**

*by*Fosgerau, Mogens & Mabit, Stefan

**Detecting dependence between spatial processes**

*by*Herrera Gómez, Marcos & Ruiz Marín, Manuel & Mur Lacambra, Jesús

**A Mixed Micro-Macro Approach To Statistical Disclosure Control For Macrodata**

*by*Cristina Matias & Pedro Campos

**Costi impliciti e profilo rischio-convenienza di prodotti finanziari illiquidi**

*by*Flavio ANGELINI & Stefano HERZEL & Marco NICOLOSI

**Redefining The Modifiable Areal Unit Problem Within Spatial Econometrics, The Case Of The Scale Problem**

*by*Michal Bernard Pietrzak

**Sequential Monte Carlo Sampling for DSGE Models**

*by*Edward P. Herbst & Frank Schorfheide

**The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications**

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