Research classified by Journal of Economic Literature (JEL) codes

---

Top JEL
/ C: Mathematical and Quantitative Methods
/ / C1: Econometric and Statistical Methods and Methodology: General
/ / / C16: Econometric and Statistical Methods; Specific Distributions

2014

• Philipp Mundt & Mishael Milakovic & Simone Alfarano, 2014, "Gibrat's law redux: Think profitability instead of growth," Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain), number 2014/02.
• Michael Grabchak, 2014, "Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?," Annals of Finance, Springer, volume 10, issue 4, pages 553-568, November, DOI: 10.1007/s10436-014-0249-6.
• Arndt Claußen & Sebastian Löhr & Daniel Rösch, 2014, "An analytical approach for systematic risk sensitivity of structured finance products," Review of Derivatives Research, Springer, volume 17, issue 1, pages 1-37, April, DOI: 10.1007/s11147-013-9089-1.
• Louis Chauvel, 2014, "The Intensity and Shape of Inequality: The ABG Method of Distributional Analysis," LIS Working papers, LIS Cross-National Data Center in Luxembourg, number 609, Nov.
• William C. Horrace & Christopher F. Parmeter, 2014, "A Laplace Stochastic Frontier Model," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 166, Apr.
• Nassim Nicholas Taleb & Raphaël Douady, 2014, "On the Super-Additivity and Estimation Biases of Quantile Contributions," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 14090, Dec.
• Mario Pomini, 2014, "The Mathematical Theory of Business Cycle in Italy in the Thirties," Economia politica, Società editrice il Mulino, issue 1, pages 55-80.
• Francesco Andreoli, 2014, "The Gini-Exposure Index for Measuring Segregation in Networks," Rivista italiana degli economisti, Società editrice il Mulino, issue 1, pages 129-168.
• Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2014, "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," Journal of Financial Econometrics, Oxford University Press, volume 12, issue 1, pages 89-121.
• García, Victoriano J. & Gómez-Déniz, Emilio & Vázquez-Polo, Francisco J., 2014, "On Modelling Insurance Data by Using a Generalized Lognormal Distribution || Sobre la modelización de datos de seguros usando una distribución lognormal generalizada," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 18, issue 1, pages 146-162, December.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014, "Strategies on initial public offering of company equity at stock exchanges in imperfect highly volatile global capital markets with induced nonlinearities," MPRA Paper, University Library of Munich, Germany, number 53769, Feb.
• Puente-Ajovin, Miguel & Ramos, Arturo, 2014, "On the parametric description of the French, German, Italian and Spanish city size distributions," MPRA Paper, University Library of Munich, Germany, number 55285, Apr.
• Rubio, Francisco Javier & Steel, Mark F. J., 2014, "Bayesian modelling of skewness and kurtosis with two-piece scale and shape transformations," MPRA Paper, University Library of Munich, Germany, number 57102, Jun.
• Pan, Chi-Hung & Emura, Takeshi, 2014, "Corrections to: Multivariate normal distribution approaches for dependently truncated data," MPRA Paper, University Library of Munich, Germany, number 57852, Aug.
• Carrera, César, 2014, "Tracking the Exchange Rate Management in Latin America," Working Papers, Banco Central de Reserva del Perú, number 2014-020, Dec.
• Duangkamon Chotikapanich & William E. Griffiths & D.S. Prasada Rao & Wasana Karunarathne, 2014, "Income Distributions, Inequality, and Poverty in Asia, 1992–2010," ADBI Working Papers, Asian Development Bank Institute, number 468, Mar.
• Alexey Balaev, 2014, "The copula based on multivariate t-distribution with vector of degrees of freedom," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 33, issue 1, pages 90-110.
• Kaiping Wang, 2014, "Modeling Stock Index Returns using Semi-Parametric Approach with Multiplicative Adjustment," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 65-75, December.
• Rafael González-Val & Arturo Ramos & Fernando Sanz-Gracia, 2014, "A new framework for US city size distribution: Empirical evidence and theory," ERSA conference papers, European Regional Science Association, number ersa14p633, Nov.
• James G. MacKinnon & Morten Ørregaard Nielsen, 2014, "Numerical Distribution Functions Of Fractional Unit Root And Cointegration Tests," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 29, issue 1, pages 161-171, January, DOI: 10.1002/jae.2295.
• Mundt, Philipp & Milakovic, Mishael & Alfarano, Simone, 2014, "Gibrat's law redux: Think profitability instead of growth," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 92.
• Radev, Deyan, 2014, "Assessing systemic fragility: A probabilistic perspective," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 70, DOI: 10.2139/ssrn.2514279.
• Christian Ewerhart, 2014, "Mixed equilibria in Tullock contests," ECON - Working Papers, Department of Economics - University of Zurich, number 143, Mar.

2013

• Milanesi, Gastón & Tohmé, Fernando, 2013, "Implicit binomial trees, higher order stochastic moments and options valuation," Revista de Economía Política de Buenos Aires, Universidad de Buenos Aires, Facultad de Ciencias Económicas, Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET), issue 12, pages 45-72, December.
• Simon A. Broda, 2013, "Tail probabilities and partial moments for quadratic forms in multivariate generalized hyperbolic random vectors," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics, number 13-04, May.
• Oana Ancuta Stangaciu, 2013, "Equality Of Opportunity Between Men And Women On The Labour Market – The Gender Pay Gap Within The Eu Member States," Studies and Scientific Researches. Economics Edition, "Vasile Alecsandri" University of Bacau, Faculty of Economic Sciences, issue 18.
• Oana Ancuta Stangaciu, 2013, "The Regional Assessment Of Marginal Intra-Industry Specialization," Studies and Scientific Researches. Economics Edition, "Vasile Alecsandri" University of Bacau, Faculty of Economic Sciences, issue 18.
• Ana Cecilia Rodríguez & Ana Karina Rodríguez & Verónica Liñares, 2013, "Riesgo operacional en los sistemas de pagos -Metodología VaR-," Documentos de trabajo, Banco Central del Uruguay, number 2013004.
• James B. Mcdonald & Jeff Sorensen & Patrick A. Turley, 2013, "Skewness And Kurtosis Properties Of Income Distribution Models," Review of Income and Wealth, International Association for Research in Income and Wealth, volume 59, issue 2, pages 360-374, June.
• Okhrin Ostap & Okhrin Yarema & Schmid Wolfgang, 2013, "Properties of hierarchical Archimedean copulas," Statistics & Risk Modeling, De Gruyter, volume 30, issue 1, pages 21-54, March, DOI: 10.1524/strm.2013.1071.
• Tito Yepes & Germ�n Ospina & Juliana Aguilar & Laura Calder�n, 2013, "Indicadores del sector transporte en Colombia. Informe consolidado," Informes de Investigación, Fedesarrollo, number 12164, Dec.
• Yanbin Chen & Fangxing Li & Zhesheng Qiu, 2013, "Housing and Saving with Finance Imperfection," Annals of Economics and Finance, Society for AEF, volume 14, issue 1, pages 207-248, May.
• Hajargasht, Gholamreza & Griffiths, William E., 2013, "Pareto–lognormal distributions: Inequality, poverty, and estimation from grouped income data," Economic Modelling, Elsevier, volume 33, issue C, pages 593-604, DOI: 10.1016/j.econmod.2013.04.046.
• Kumbhakar, Subal C. & Sun, Kai, 2013, "Derivation of marginal effects of determinants of technical inefficiency," Economics Letters, Elsevier, volume 120, issue 2, pages 249-253, DOI: 10.1016/j.econlet.2013.04.041.
• Sun, Kai & Kumbhakar, Subal C., 2013, "Semiparametric smooth-coefficient stochastic frontier model," Economics Letters, Elsevier, volume 120, issue 2, pages 305-309, DOI: 10.1016/j.econlet.2013.05.001.
• Nadarajah, Saralees & Chan, Stephen & Afuecheta, Emmanuel, 2013, "On the characteristic function for asymmetric Student t distributions," Economics Letters, Elsevier, volume 121, issue 2, pages 271-274, DOI: 10.1016/j.econlet.2013.08.034.
• Nolan, John P. & Ojeda-Revah, Diana, 2013, "Linear and nonlinear regression with stable errors," Journal of Econometrics, Elsevier, volume 172, issue 2, pages 186-194, DOI: 10.1016/j.jeconom.2012.08.008.
• Mikosch, Thomas & de Vries, Casper G., 2013, "Heavy tails of OLS," Journal of Econometrics, Elsevier, volume 172, issue 2, pages 205-221, DOI: 10.1016/j.jeconom.2012.08.015.
• Ogata, Hiroaki, 2013, "Estimation for multivariate stable distributions with generalized empirical likelihood," Journal of Econometrics, Elsevier, volume 172, issue 2, pages 248-254, DOI: 10.1016/j.jeconom.2012.08.017.
• McCulloch, J. Huston & Percy, E. Richard, 2013, "Extended Neyman smooth goodness-of-fit tests, applied to competing heavy-tailed distributions," Journal of Econometrics, Elsevier, volume 172, issue 2, pages 275-282, DOI: 10.1016/j.jeconom.2012.08.018.
• Broda, Simon A. & Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013, "Stable mixture GARCH models," Journal of Econometrics, Elsevier, volume 172, issue 2, pages 292-306, DOI: 10.1016/j.jeconom.2012.08.012.
• Fuentes-Albero, Cristina & Melosi, Leonardo, 2013, "Methods for computing marginal data densities from the Gibbs output," Journal of Econometrics, Elsevier, volume 175, issue 2, pages 132-141, DOI: 10.1016/j.jeconom.2013.03.002.
• Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2013, "Equilibrium exchange rate determination and multiple structural changes," Journal of Empirical Finance, Elsevier, volume 22, issue C, pages 52-66, DOI: 10.1016/j.jempfin.2013.03.001.
• Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2013, "Risk spillovers in international equity portfolios," Journal of Empirical Finance, Elsevier, volume 24, issue C, pages 121-137, DOI: 10.1016/j.jempfin.2013.09.005.
• Carmichael, Benoıˆt & Coën, Alain, 2013, "Asset pricing with skewed-normal return," Finance Research Letters, Elsevier, volume 10, issue 2, pages 50-57, DOI: 10.1016/j.frl.2013.01.001.
• Low, Rand Kwong Yew & Alcock, Jamie & Faff, Robert & Brailsford, Timothy, 2013, "Canonical vine copulas in the context of modern portfolio management: Are they worth it?," Journal of Banking & Finance, Elsevier, volume 37, issue 8, pages 3085-3099, DOI: 10.1016/j.jbankfin.2013.02.036.
• Da Silva, Sergio & Matsushita, Raul & Silveira, Eliza, 2013, "Hidden power law patterns in the top European football leagues," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 392, issue 21, pages 5376-5386, DOI: 10.1016/j.physa.2013.07.008.
• Bernardi, Mauro, 2013, "Risk measures for skew normal mixtures," Statistics & Probability Letters, Elsevier, volume 83, issue 8, pages 1819-1824, DOI: 10.1016/j.spl.2013.04.016.
• Alberto Humala & Gabriel Rodriguez, 2013, "Some stylized facts of return in the foreign exchange and stock markets in Peru," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 30, issue 2, pages 139-158, May, DOI: 10.1108/10867371311325444.
• Linda Margarita Medina Herrera & Ernesto Armando Pacheco Velazquez, 2013, "Spectral Analysis And Networks In Financial Correlation Matrices, Analisis Espectral Y Redes En Matrices De Correlacion Financiera," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, volume 6, issue 6, pages 15-28.
• Francisco Javier Reyes Zárate & Edgar Ortiz, 2013, "Modelos VaR-GARCH y Portafolios de Inversión Trinacionales en los Mercados Accionarios del TLCAN," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 8, issue 2, pages 129-155, Julio-Dic.
• Stefano Puddu, 2013, "Optimal Weights and Stress Banking Indexes," IRENE Working Papers, IRENE Institute of Economic Research, number 13-02, Jan.
• Markus P. A. Schneider, 2013, "Evidence for Multiple Labor Market Segments: An Entropic Analysis of US Earned Income, 1996-2007," Journal of Income Distribution, Ad libros publications inc., volume 22, issue 2, pages 60-98, June.
• Eduardo Fé & Richard Hofler, 2013, "Count data stochastic frontier models, with an application to the patents–R&D relationship," Journal of Productivity Analysis, Springer, volume 39, issue 3, pages 271-284, June, DOI: 10.1007/s11123-012-0286-y.
• Eduardo Fé, 2013, "Estimating production frontiers and efficiency when output is a discretely distributed economic bad," Journal of Productivity Analysis, Springer, volume 39, issue 3, pages 285-302, June, DOI: 10.1007/s11123-012-0287-x.
• William Horrace & Seth Richards-Shubik, 2013, "Expected Efficiency Ranks From Parametric Stochastic Fronteir Models," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 153, Feb.
• Luis Alberiko Gil-Alaña & Goodness C. Aye & Rangan Gupta, 2013, "Testing for persistence with breaks and outliers in South African house prices," NCID Working Papers, Navarra Center for International Development, University of Navarra, number 01/2013, Feb.
• Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2013, "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," Journal of Financial Econometrics, Oxford University Press, volume 12, issue 1, pages 89-121, December.
• González-Val, Rafael & Ramos, Arturo & Sanz, Fernando & Vera-Cabello, María, 2013, "Size Distributions for All Cities: Which One is Best?," MPRA Paper, University Library of Munich, Germany, number 44314, Feb.
• Yashkir, Yuriy & Yashkir, Olga, 2013, "Overnight Index Rate: Model, Calibration, and Simulation," MPRA Paper, University Library of Munich, Germany, number 47574, Jun.
• Rendón, Stephanie, 2013, "Detección de caídas en mercados financieros mediante análisis multifractal (exponentes locales y puntuales de Hölder): Índice accionario IPC y tipo de cambio USD/MXN
  [Stock crack detection using mu," MPRA Paper, University Library of Munich, Germany, number 47699, Jan, revised 19 May 2013.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013, "To the problem of evaluation of market risk of global equity index portfolio in global capital markets," MPRA Paper, University Library of Munich, Germany, number 47708, Jun, revised 20 Jun 2013.
• Teneng, Dean, 2013, "A note on NIG-Levy process in asset price modeling: case of Estonian companies," MPRA Paper, University Library of Munich, Germany, number 47862, Jun.
• Sergio, Da Silva & Raul, Matsushita & Eliza, Silveira, 2013, "Hidden power law patterns in the top European football leagues," MPRA Paper, University Library of Munich, Germany, number 48226.
• González-Val, Rafael & Ramos, Arturo & Sanz-Gracia, Fernando, 2013, "The accuracy of graphs to describe size distributions," MPRA Paper, University Library of Munich, Germany, number 48577, Jul.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013, "Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital markets," MPRA Paper, University Library of Munich, Germany, number 49921, Sep.
• Bensalma, Ahmed, 2013, "Simple Fractional Dickey Fuller test," MPRA Paper, University Library of Munich, Germany, number 50315, Jul.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013, "On the tracking and replication of hedge fund optimal investment portfolio strategies in global capital markets in presence of nonlinearities, applying Bayesian filters: 1. Stratanovich – Kalman – Buc," MPRA Paper, University Library of Munich, Germany, number 51046, Oct.
• Ramos, Arturo & Sanz-Gracia, Fernando & González-Val, Rafael, 2013, "A new framework for the US city size distribution: Empirical evidence and theory," MPRA Paper, University Library of Munich, Germany, number 52190, Dec.
• Shutes, Karl & Adcock, Chris, 2013, "Regularized Skew-Normal Regression," MPRA Paper, University Library of Munich, Germany, number 52217, Nov, revised 11 Dec 2013.
• Tsagris, Michail & Beneki, Christina & Hassani, Hossein, 2013, "On the Folded Normal Distribution," MPRA Paper, University Library of Munich, Germany, number 53748, Oct.
• Shutes, Karl & Adcock, Chris, 2013, "Regularized Extended Skew-Normal Regression," MPRA Paper, University Library of Munich, Germany, number 58445, Nov, revised 09 Sep 2014.
• Catalina Bolancé & Ramon Alemany & Montserrat Guillén, 2013, "Sistema Público De Dependencia Y Reducción Del Coste Individual De Cuidados A Lo Largo De La Vida," Revista de Economia Aplicada, Universidad de Zaragoza, Departamento de Estructura Economica y Economia Publica, volume 21, issue 1, pages 97-117, Spring.
• Carlo Domenico Mottura & Luca Passalacqua, 2013, "Default dependence structure effects on the valuation of government guarantees," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0177, Jul.
• Rafael González-Val, 2011, "Deviations from Zipf’s Law for American Cities," Urban Studies, Urban Studies Journal Limited, volume 48, issue 5, pages 1017-1035, April, DOI: 10.1177/0042098010371394.
• Christian Ewerhart, 2013, "Regular type distributions in mechanism design and $$\rho $$ -concavity," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 53, issue 3, pages 591-603, August, DOI: 10.1007/s00199-012-0705-3.
• Rafael Gonz�lez-Val & Arturo Ramos & Fernando Sanz-Gracia, 2013, "The accuracy of graphs to describe size distributions," Applied Economics Letters, Taylor & Francis Journals, volume 20, issue 17, pages 1580-1585, November, DOI: 10.1080/13504851.2013.829187.
• W. A. Razzak, 2013, "Predicting instability," Applied Economics, Taylor & Francis Journals, volume 45, issue 23, pages 3305-3315, August, DOI: 10.1080/00036846.2012.707775.
• Simon A. Broda, 2013, "Tail Probabilities and Partial Moments for Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-001/III, Jan.
• Barbara Casu & Alessandra Ferrari & Tianshu Zhao, 2013, "Regulatory Reform and Productivity Change in Indian Banking," The Review of Economics and Statistics, MIT Press, volume 95, issue 3, pages 1066-1077, July.
• Monica Billio & Gregory Jannin & Bertrand Maillet & Loriana Pelizzon, 2013, "Portfolio Performance Measure and A New Generalized Utility-based N-moment Measure," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2013:22.
• Radev, Deyan, 2013, "Systemic risk and sovereign debt in the Euro area," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 37, DOI: 10.2139/ssrn.2368283.

2012

• Deschamps, Philippe J., 2012, "Bayesian estimation of generalized hyperbolic skewed student GARCH models," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 11, pages 3035-3054, DOI: 10.1016/j.csda.2011.10.021.
• Alexander, Carol & Cordeiro, Gauss M. & Ortega, Edwin M.M. & Sarabia, José María, 2012, "Generalized beta-generated distributions," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 6, pages 1880-1897, DOI: 10.1016/j.csda.2011.11.015.
• Alfarano, Simone & Milaković, Mishael & Irle, Albrecht & Kauschke, Jonas, 2012, "A statistical equilibrium model of competitive firms," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 1, pages 136-149, DOI: 10.1016/j.jedc.2011.07.002.
• Tsionas, Efthymios G., 2012, "Maximum likelihood estimation of stochastic frontier models by the Fourier transform," Journal of Econometrics, Elsevier, volume 170, issue 1, pages 234-248, DOI: 10.1016/j.jeconom.2012.04.001.
• Goddard, John & Onali, Enrico, 2012, "Self-affinity in financial asset returns," International Review of Financial Analysis, Elsevier, volume 24, issue C, pages 1-11, DOI: 10.1016/j.irfa.2012.06.004.
• Payandeh Najafabadi, Amir T. & Hatami, Hamid & Omidi Najafabadi, Maryam, 2012, "A maximum-entropy approach to the linear credibility formula," Insurance: Mathematics and Economics, Elsevier, volume 51, issue 1, pages 216-221, DOI: 10.1016/j.insmatheco.2011.08.010.
• Segarra, Agustí & Teruel, Mercedes, 2012, "An appraisal of firm size distribution: Does sample size matter?," Journal of Economic Behavior & Organization, Elsevier, volume 82, issue 1, pages 314-328, DOI: 10.1016/j.jebo.2012.02.012.
• Kelly, Robert & McCarthy, Yvonne & McQuinn, Kieran, 2012, "Impairment and negative equity in the Irish mortgage market," Journal of Housing Economics, Elsevier, volume 21, issue 3, pages 256-268, DOI: 10.1016/j.jhe.2012.05.001.
• Dominique Guegan & Wayne Tarrant, 2012, "On the Necessity of Five Risk Measures," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00721339, Nov, DOI: 10.1007/s10436-012-0205-2.
• Dominique Guegan & Wayne Tarrant, 2012, "Viewing Risk Measures as information," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00721350, Jul.
• Serge Rey & Olivier Peron, 2012, "Trade and Convergence of Per Capita Income in the Indian Ocean Zone, 1950-2008," Post-Print, HAL, number hal-01885296, DOI: 10.1007/s00168-011-0462-4.
• Maximiano Pinheiro, 2012, "Marginal Distributions of Random Vectors Generated by Affine Transformations of Independent Two-Piece Normal Variables," Journal of Probability and Statistics, Hindawi, volume 2012, pages 1-10, April, DOI: 10.1155/2012/758975.
• Ahmed Bensaida, 2012, "Improving the Forecasting Power of Volatility Models," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, volume 2, issue 3, pages 51-64, July.
• Francesco Andreoli & Claudio Zoli, 2012, "On the Measurement of Dissimilarity and Related Orders," Working Papers, ECINEQ, Society for the Study of Economic Inequality, number 274, Oct.
• José M. Albert & Nikolaos Georgantzis & Jorge Mateu & José I. Silva, 2012, "The agglomeration effect of the Athens 2004 Olympic Games," Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain), number 2012/02.
• Deyan Radev, 2012, "Systemic Risk, Banking and Sovereign Debt in the Euro Area," Working Papers, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz, number 1207, Apr.
• Dominique Guégan & Wayne Tarrant, 2012, "On the necessity of five risk measures," Annals of Finance, Springer, volume 8, issue 4, pages 533-552, November, DOI: 10.1007/s10436-012-0205-2.
• Fabio Clementi & Mauro Gallegati & Giorgio Kaniadakis, 2012, "A new model of income distribution: the κ-generalized distribution," Journal of Economics, Springer, volume 105, issue 1, pages 63-91, January, DOI: 10.1007/s00712-011-0221-0.
• Sheng-Kai Chang & Yi-Yi Chen & Hung-Jen Wang, 2012, "A Bayesian estimator for stochastic frontier models with errors in variables," Journal of Productivity Analysis, Springer, volume 38, issue 1, pages 1-9, August, DOI: 10.1007/s11123-011-0242-2.
• William Horrace & Seth Richards-Shubik, 2012, "A Monte Carlo study of ranked efficiency estimates from frontier models," Journal of Productivity Analysis, Springer, volume 38, issue 2, pages 155-165, October, DOI: 10.1007/s11123-011-0238-y.
• Gholamreza Hajargasht and William E. Griffiths, 2012, "Pareto-Lognormal Income Distributions:Inequality and Poverty Measures, Estimation and Performance," Department of Economics - Working Papers Series, The University of Melbourne, number 1149.
• Matheus Albergaria de Magalhães & Victor Nunes Toscano, 2012, "Assimetria e concentração: um estudo empírico da distribuição de investimentos previstos para o Estado do Espírito Santo, 2009-2014 [Asymmetry and concentration: an empirical study of the predicted in," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), volume 22, issue 2, pages 333-377, May-Augus.
• Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2012, "Independent Factor Autoregressive Conditional Density Model," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 021, Nov.
• Syeda Rabab Mudakkar & Jamshed Y. Uppal, 2012, "Risk Management in the Financial Services Sector—Applicability and Performance of VaR Models in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 51, issue 4, pages 399-417.
• Chalabi, Yohan / Y. & Scott, David J & Wuertz, Diethelm, 2012, "An asymmetry-steepness parameterization of the generalized lambda distribution," MPRA Paper, University Library of Munich, Germany, number 37814.
• Bernardi, Mauro, 2012, "Risk measures for Skew Normal mixtures," MPRA Paper, University Library of Munich, Germany, number 39828.
• Panait, Iulian & Constantinescu, Alexandru, 2012, "Stylized facts of the daily and monthly returns for the European stock indices during 2007-2012," MPRA Paper, University Library of Munich, Germany, number 44249, Aug.
• Razzak, Weshah, 2012, "Predicting Instability," MPRA Paper, University Library of Munich, Germany, number 52463, Nov.
• Luis A. Gil-Alana & Goodness C. Aye & Rangan Gupta, 2012, "Testing for Persistence with Breaks and Outliers in South African House Prices," Working Papers, University of Pretoria, Department of Economics, number 201233, Dec.
• Diana Bílková, 2012, "Recent Development of the Wage and Income Distribution in the Czech Republic," Prague Economic Papers, Prague University of Economics and Business, volume 2012, issue 2, pages 233-250, DOI: 10.18267/j.pep.421.
• James G. MacKinnon & Morten Ø. Nielsen, 2010, "Numerical Distribution Functions Of Fractional Unit Root And Cointegration Tests," Working Paper, Economics Department, Queen's University, number 1240, Jul.
• Federico Belotti & Giuseppe Ilardi, 2012, "Consistent Estimation of the “True” Fixed-effects Stochastic Frontier Model," CEIS Research Paper, Tor Vergata University, CEIS, number 231, Apr, revised 18 Apr 2012.
• Matteo Bonato & Massimiliano Caporin & Angelo Ranaldo, 2012, "Risk spillovers in international equity portfolios," Working Papers, Swiss National Bank, number 2012-03.
• Olivier Peron & Serge Rey, 2012, "Trade and convergence of per capita income in the Indian Ocean Zone, 1950–2008," The Annals of Regional Science, Springer;Western Regional Science Association, volume 49, issue 3, pages 657-683, December, DOI: 10.1007/s00168-011-0462-4.
• M. Herrerías, 2012, "Weighted convergence and regional growth in China: an alternative approach (1952–2008)," The Annals of Regional Science, Springer;Western Regional Science Association, volume 49, issue 3, pages 685-718, December, DOI: 10.1007/s00168-011-0463-3.
• Cassio Neri & Lorenz Schneider, 2012, "Maximum entropy distributions inferred from option portfolios on an asset," Finance and Stochastics, Springer, volume 16, issue 2, pages 293-318, April, DOI: 10.1007/s00780-011-0167-7.
• Qian Chen & David E. Giles & Hui Feng, 2012, "The extreme-value dependence between the Chinese and other international stock markets," Applied Financial Economics, Taylor & Francis Journals, volume 22, issue 14, pages 1147-1160, July, DOI: 10.1080/09603107.2011.631890.
• Sandro Sapio, 2012, "Modeling the distribution of day-ahead electricity returns: a comparison," Quantitative Finance, Taylor & Francis Journals, volume 12, issue 12, pages 1935-1949, December, DOI: 10.1080/14697688.2010.502540.
• Rafael GONZÀLEZ-VAL, 2012, "Zipf’S Law: Main Issues In Empirical Work," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, volume 36, pages 147-164.
• Luis A. Gil-Alana & Goodness C. Aye & Rangan Gupta, 2012, "Testing for Persistence with Breaks and Outliers in South African House Prices," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 20/12, Dec.
• Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2012, "Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model," Working Papers on Finance, University of St. Gallen, School of Finance, number 1211, Nov.
• Bonato, Mateo & Caporin, Massimiliano & Ranaldo, Angelo, 2012, "Risk Spillovers in International Equity Portfolios," Working Papers on Finance, University of St. Gallen, School of Finance, number 1214, Feb.
• David E. Giles, 2012, "Exact Asymptotic Goodness-of-Fit Testing For Discrete Circular Data, With Applications," Econometrics Working Papers, Department of Economics, University of Victoria, number 1201, Jan.
• David E. Giles, 2012, "A Note on Improved Estimation for the Topp-Leone Distribution," Econometrics Working Papers, Department of Economics, University of Victoria, number 1203, Sep.
• Völker, Florian & Cremers, Heinz & Panzer, Christof, 2012, "Integration des Marktliquiditätsrisikos in das Risikoanalysekonzept des Value at Risk," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 198.
• Krause, Melanie, 2012, "Parametric Lorenz Curves and the Modality of the Income Density Function," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century, Verein für Socialpolitik / German Economic Association, number 67390.

2011

• Calabrese, Chiara & Mack, Gabriele, , "Evaluation of political control instruments for the Swiss alpine region," 122nd Seminar, February 17-18, 2011, Ancona, Italy, European Association of Agricultural Economists, number 99370, DOI: 10.22004/ag.econ.99370.
• Geman, Hélyette & Kharoubi-Rakotomalala, Cécile, 2011, "Distortion risk measures for hedge funds," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, volume 4, issue 3, pages 286-300, June.
• Van Vuuren, Gary, 2011, "Modelling systemic liquidity risk with feedback effects in the UK banking sector," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, volume 5, issue 1, pages 36-59, December.
• Marco Rocco, 2011, "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 99, Jul.
• Michele Leonardo Bianchi & Maria Grazia Miele, 2011, "Italian open-end funds: performance of asset management companies," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 795, Feb.
• Charle Augusto Londoño, 2011, "Regresión del cuantil aplicada al modelo de redes neuronales artificiales," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 29, issue 64, pages 62-109, July, DOI: 10.32468/Espe.6403.
• José Renato Haas Ornelas & Marcelo Yoshio Takami, 2011, "Recovering Risk-Neutral Densities from Brazilian Interest Rate Options," Brazilian Review of Finance, Brazilian Society of Finance, volume 9, issue 1, pages 9-26.
• Kelly, Robert & McCarthy, Yvonne & McQuinn, Kieran, 2011, "Impairment and Negative Equity in the Irish Mortgage Market," Research Technical Papers, Central Bank of Ireland, number 9/RT/11, May.
• Diego Jara & Felipe Parra & Alvaro Riascos & Mauricio Romero, 2011, "An√°lisis digital y detecci√≥n de elecciones at√≠picas," Documentos CEDE, Universidad de los Andes, Facultad de Economía, CEDE, number 9064, Aug.
• √Ålvaro Riascos & Diego Jara & Felipe Parra & Mauricio Romero, 2011, "An√°lisis digital y detecci√≥n de elecciones at√≠picas en Colombia," Documentos CEDE, Universidad de los Andes, Facultad de Economía, CEDE, number 9247, Nov.
• Charle Augusto Llondono, 2011, "Regresión del cuantil aplicada al modelo de redes neuronales artificiales. Una aproximación de la estructura CAVIAR para el mercado de valores colombiano," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 29, issue 64, pages 62-109, DOI: 10.32468/Espe.6403.
• Alberto HOLLY & Alain MONFORT & Michael ROCKINGER, 2011, "Fourth Order Pseudo Maximum Likelihood Methods," Working Papers, Center for Research in Economics and Statistics, number 2011-05.
• Holly, Alberto & Monfort, Alain & Rockinger, Michael, 2011, "Fourth order pseudo maximum likelihood methods," Journal of Econometrics, Elsevier, volume 162, issue 2, pages 278-293, June.
• Brahimi, Brahim & Meraghni, Djamel & Necir, Abdelhakim & Zitikis, Ričardas, 2011, "Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses," Insurance: Mathematics and Economics, Elsevier, volume 49, issue 3, pages 325-334, DOI: 10.1016/j.insmatheco.2011.05.001.
• Lucian Liviu Albu & Ion Ghizdeanu & Cristian Stanica, 2011, "Spatial Distribution of the Informal Economy. A Theoretical and Empirical Investigation," SCIENZE REGIONALI, FrancoAngeli Editore, volume 2011, issue 1, pages 63-80.
• Dominique Guegan & Wayne Tarrant, 2011, "Viewing Risk Measures as information," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00639489, Aug.
• Zorobabel Bicaba & Daniel Kapp & Francesco Molteni, 2011, "Stability periods between financial crises : The role of macroeconomic fundamentals and crises management policies," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00639869, Oct.
• Alberto Holly & Alain Monfort & Michael Rockinger, 2011, "Fourth order pseudo maximum likelihood methods," Post-Print, HAL, number hal-00815562, Apr, DOI: 10.1016/j.jeconom.2011.01.004.
• Kibria, B. M. Golam & Månsson, Kristofer & Shukur, Ghazi, 2011, "A Ridge Regression estimator for the zero-inflated Poisson model," Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies, number 257, Oct.
• Biørn, Erik & R. Wangen, Knut, 2011, "Models of Truncation, Sample Selection, and Limited Dependent Variables: Suggestions for a Common Language," Memorandum, Oslo University, Department of Economics, number 18/2011, Sep.
• Fujimoto, S. & Ishikawa, A. & Mizuno, T. & Watanabe, T. & 渡辺, 努 & ワタナベ, ツトム, 2011, "A New Method for Measuring Tail Exponents of Firm Size Distributions," Working Paper Series, Center for Interfirm Network, Institute of Economic Research, Hitotsubashi University, number 7, Jul.
• Wim Schoutens & Geert Damme, 2011, "The β-variance gamma model," Review of Derivatives Research, Springer, volume 14, issue 3, pages 263-282, October, DOI: 10.1007/s11147-010-9057-y.
• Marossy, Zita, 2011, "A villamos energia áralakulásának egy új modellje
  [A new model for price movement in electric power]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 3, pages 253-274.
• James McDonald & Patrick A. Turley & Jeff Sorensen, 2011, "Skewness and Kurtosis Properties of Income Distribution Models," LIS Working papers, LIS Cross-National Data Center in Luxembourg, number 569, Sep.
• Jitka Pomenkova & Roman Marsalek, 2011, "Time and frequency domain in the business cycle structure," MENDELU Working Papers in Business and Economics, Mendel University in Brno, Faculty of Business and Economics, number 2011-07, Apr.
• Gholamreza Hajargsht & William E. Griffiths & Joseph Brice & D.S. Prasada Rao & Duangkamon Chotikapanich, 2011, "GMM Estimation of Income Distributions from Grouped Data," Department of Economics - Working Papers Series, The University of Melbourne, number 1129.
• Dominique Guegan & Wayne Tarrant, 2011, "Viewing risk measures as information," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 11054, Aug.
• Zorobabel Bicaba & Daniel Kapp & Francesco Molteni, 2011, "Stability periods between financial crises: The role of macroeconomic fundamentals and crises management policies," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 11064, Oct.
• Grzegorz Grabek & Bohdan Klos & Grzegorz Koloch, 2011, "Skew-normal shocks in the linear state space form DSGE model," NBP Working Papers, Narodowy Bank Polski, number 101.
• Todor Kaloyanov, 2011, "About the Measures of Skewness and Kurtosis," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 1, pages 22-33, Janyary.
• Simon Keel & David Ardia, 2011, "Generalized marginal risk," Journal of Asset Management, Palgrave Macmillan, volume 12, issue 2, pages 123-131, June, DOI: 10.1057/jam.2010.30.
• Alberto Humala & Gabriel Rodriguez, 2011, "Some Stylized Facts of Returns in the Foreign Exchange and Stock Markets in Peru," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2011-325.
• Janczura, Joanna & Weron, Rafal, 2011, "Black swans or dragon kings? A simple test for deviations from the power law," MPRA Paper, University Library of Munich, Germany, number 28959, Feb.
• Dominique, C-René & Rivera-Solis, Luis Eduardo, 2011, "Mixed fractional Brownian motion, short and long-term Dependence and economic conditions: the case of the S&P-500 Index," MPRA Paper, University Library of Munich, Germany, number 34860, Oct.
• Ciuiu, Daniel, 2011, "Homogeneity tests for Levy processes and applications," MPRA Paper, University Library of Munich, Germany, number 36457, Sep, revised Nov 2011.
• Cantillo, Andres, 2011, "The first statement of the formula for the Normal Curve," MPRA Paper, University Library of Munich, Germany, number 49779, Dec.
• Radkov, Petar & Minkova, Leda, 2011, "Assessing bank's default probability using the ASRF model," MPRA Paper, University Library of Munich, Germany, number 60186, Jun.
• Alexey Balaev, 2011, "Modeling multivariate parametric densities of financial returns (in Russian)," Quantile, Quantile, issue 9, pages 39-60, July.
• Carol Alexander & Gauss M. Cordeiro & Edwin M. M. Ortega & José María Sarabia, 2011, "Generalized Beta-Generated Distributions," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2011-05, Feb.
• Alexey Balaev, 2011, "Multivariate skewed t-distribution with degrees of freedom vector and its application to financial modeling," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 23, issue 3, pages 79-97.
• Anghelache, Gabriela Victoria & Cozmanca, Bogdan Octavian & Radu, Alina Nicoleta, 2011, "Operational Risk Modelling and Capital Adequacy – are There any Rewards in Greater Complexity?," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 108-131, September.
• Cristina Fuentes-Albero & Leonardo Melosi, 2011, "Methods for Computing Marginal Data Densities from the Gibbs Output," Departmental Working Papers, Rutgers University, Department of Economics, number 201131, Oct.
• Farkhondeh HASSANDOUST & Mehdy FARZANEH, 2011, "Reviewing The Influence Of IT Applications Such As Implementing Online Distribution Channels In Hotel Industry," Journal of Knowledge Management, Economics and Information Technology, ScientificPapers.org, volume 1, issue 4, pages 1-7, June.
• David Scott & Diethelm Würtz & Christine Dong & Thanh Tran, 2011, "Moments of the generalized hyperbolic distribution," Computational Statistics, Springer, volume 26, issue 3, pages 459-476, September, DOI: 10.1007/s00180-010-0219-z.
• José Murteira & Óscar Lourenço, 2011, "Health care utilization and self-assessed health: specification of bivariate models using copulas," Empirical Economics, Springer, volume 41, issue 2, pages 447-472, October, DOI: 10.1007/s00181-010-0382-7.
• Ying Xie & David Giles, 2011, "A survival analysis of the approval of US patent applications," Applied Economics, Taylor & Francis Journals, volume 43, issue 11, pages 1375-1384, DOI: 10.1080/00036840802600418.
• Dinghai Xu & John Knight, 2011, "Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters," Econometric Reviews, Taylor & Francis Journals, volume 30, issue 1, pages 25-50, DOI: 10.1080/07474938.2011.520565.
• Pär Stockhammar & Lars-Erik Öller, 2011, "On the probability distribution of economic growth," Journal of Applied Statistics, Taylor & Francis Journals, volume 38, issue 9, pages 2023-2041, November, DOI: 10.1080/02664763.2010.545110.
• Redouane Elkamhia & Denitsa Stefanova, 2011, "Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-028/2/DSF10, Feb.
• Xin Zhang & Drew Creal & Siem Jan Koopman & Andre Lucas, 2011, "Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-078/2/DSF22, May.
• Jacob Schwartz & David E. Giles, 2011, "Biased-Reduced Maximum Likelihood Estimation for the Zero-Inflated Poisson Distribution," Econometrics Working Papers, Department of Economics, University of Victoria, number 1102, Feb.
• David E. Giles & Hui Feng & Ryan T. Godwin, 2011, "On the Bias of the Maximum Likelihood Estimator for the Two-Parameter Lomax Distribution," Econometrics Working Papers, Department of Economics, University of Victoria, number 1104, Apr.
• David E. Giles & Hui Feng & Ryan T. Godwin, 2011, "Bias - Corrected Maximum Likelihood Estimation of the Parameters of the Generalized Pareto Distribution," Econometrics Working Papers, Department of Economics, University of Victoria, number 1105, Oct.
• Jacob Schwartz & Ryan T. Godwin & David E. Giles, 2011, "Improved Maximum Likelihood Estimation of the Shape Parameter in the Nakagami Distribution," Econometrics Working Papers, Department of Economics, University of Victoria, number 1109, May.
• Joanna Janczura & Rafal Weron, 2011, "Black swans or dragon kings? A simple test for deviations from the power law," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/11/01.
• Joanna Janczura & Sebastian Orzel & Agnieszka Wylomanska, 2011, "Subordinated alpha-stable Ornstein-Uhlenbeck process as a tool for financial data description," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/11/03.
• Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie, 2011, "Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes," CFS Working Paper Series, Center for Financial Studies (CFS), number 2011/25.
• Fujimoto, Shouji & Ishikawa, Atushi & Mizuno, Takayuki & Watanabe, Tsutomu, 2011, "A new method for measuring tail exponents of firm size distributions," Economics Discussion Papers, Kiel Institute for the World Economy, number 2011-29.