Research classified by Journal of Economic Literature (JEL) codes

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

2011

• Fujimoto, Shouji & Ishikawa, Atushi & Mizuno, Takayuki & Watanabe, Tsutomu, 2011, "A new method for measuring tail exponents of firm size distributions," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 5, pages 1-20, DOI: 10.5018/economics-ejournal.ja.2011-.
• Frahm, Gabriel & Wiechers, Christof, 2011, "On the diversification of portfolios of risky assets," Discussion Papers in Econometrics and Statistics, University of Cologne, Institute of Econometrics and Statistics, number 2/11.

2010

• Martin Paldam, 2010, "A check of Maddison’s gdp data. Benford’s Law with some range problems," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2010-18, Nov.
• James G. MacKinnon & Morten Ørregaard Nielsen, 2010, "Numerical distribution functions of fractional unit root and cointegration tests," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-59, Aug.
• Hans Lööf, 2010, "Are Services Different Exporters?," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, volume 56, issue 1, pages 99-117.
• Ramirez, Octavio A. & McDonald, Tanya U. & Carpio, Carlos E., None, "A Flexible Parametric Family for the Modeling and Simulation of Yield Distributions," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 42, issue 2, DOI: 10.22004/ag.econ.90675.
• MacKinnon, James G., 2010, "Critical Values for Cointegration Tests," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273723, Jan, DOI: 10.22004/ag.econ.273723.
• MacKinnon, James G. & Orregaard Nielsen, Morten, 2010, "Numerical Distribution Functions of Fractional Unit Root and Cointegration Tests," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273739, Jul, DOI: 10.22004/ag.econ.273739.
• Antoni Bosch-Domènech & José García-Montalvo & Rosemarie Nagel & Albert Satorra, 2010, "Finite Mixture Analysis of Beauty-Contest Data Using Generalised Beta Distributions," Working Papers, Barcelona School of Economics, number 455, May.
• John Dinardo & Jason Winfree, 2010, "The Law Of Genius And Home Runs Refuted," Economic Inquiry, Western Economic Association International, volume 48, issue 1, pages 51-64, January, DOI: 10.1111/j.1465-7295.2008.00176.x.
• Andreas Diekmann & Ben Jann, 2010, "Benford's Law and Fraud Detection: Facts and Legends," German Economic Review, Verein für Socialpolitik, volume 11, issue 3, pages 397-401, August, DOI: 10.1111/j.1468-0475.2010.00510.x.
• Diekmann Andreas & Jann Ben, 2010, "Benford’s Law and Fraud Detection: Facts and Legends," German Economic Review, De Gruyter, volume 11, issue 3, pages 397-401, August, DOI: 10.1111/j.1468-0475.2010.00510.x.
• Kim P. Huynh & Luke Ignaczak & Marcel-Cristian Voia, 2010, "Stochastic Dominance, Estimation and Inference for Censored Distributions with Nuisance Parameter," Carleton Economic Papers, Carleton University, Department of Economics, number 10-02, Jan.
• Seamus Hogan & Laura Meriluoto, 2010, "A Note on the Probability of Winning a Lottery when the Number of Competitors is a Binomial Random Variable," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/48, Aug.
• Andrés Mauricio Mendoza Pineros & José Alfredo Jiménez Moscoso, 2010, "Análisis de la distribución de las tasas de retorno accionarias haciendo uso de la distribución g y h de Tukey," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Beckert, Walter & McFadden, Daniel L., 2010, "Maximal Uniform Convergence Rates In Parametric Estimation Problems," Econometric Theory, Cambridge University Press, volume 26, issue 2, pages 469-500, April.
• Ramirez, Octavio A. & McDonald, Tanya U. & Carpio, Carlos E., 2010, "A Flexible Parametric Family for the Modeling and Simulation of Yield Distributions," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 42, issue 2, pages 303-319, May.
• Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2010, "Equilibrium Exchange Rate Determination and Multiple Structural Changes," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2010-39.
• Amengual, Dante & Sentana, Enrique, 2010, "A comparison of mean-variance efficiency tests," Journal of Econometrics, Elsevier, volume 154, issue 1, pages 16-34, January.
• Miller, J. Isaac & Park, Joon Y., 2010, "Nonlinearity, nonstationarity, and thick tails: How they interact to generate persistence in memory," Journal of Econometrics, Elsevier, volume 155, issue 1, pages 83-89, March.
• Wang, Hung-Jen & Ho, Chia-Wen, 2010, "Estimating fixed-effect panel stochastic frontier models by model transformation," Journal of Econometrics, Elsevier, volume 157, issue 2, pages 286-296, August.
• Zhu, Dongming & Galbraith, John W., 2010, "A generalized asymmetric Student-t distribution with application to financial econometrics," Journal of Econometrics, Elsevier, volume 157, issue 2, pages 297-305, August.
• Chen, Ying & Härdle, Wolfgang & Spokoiny, Vladimir, 2010, "GHICA -- Risk analysis with GH distributions and independent components," Journal of Empirical Finance, Elsevier, volume 17, issue 2, pages 255-269, March.
• Taisei Kaizoji, 2010, "Stock volatility in the periods of booms and stagnations," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2010_07, Jul.
• Andreas Diekmann & Ben Jann, 2010, "Benford's Law and Fraud Detection. Facts and Legends," ETH Zurich Sociology Working Papers, ETH Zurich, Chair of Sociology, number 8, Feb.
• Jozef Baruník & Lukáš Vácha & Miloslav Vošvrda, 2010, "Tail Behavior of the Central European Stock Markets during the Financial Crisis," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, volume 4, issue 3, pages 281-294, November.
• Jozef Barunik & Lukas Vacha & Miloslav Vosvrda, 2010, "Tail Behavior of the Central European Stock Markets during the Financial Crisis," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2010/04, Mar, revised Mar 2010.
• Marina Turuntseva & Tatiana Kiblitskaya, 2010, "Qualitative Specifics of Various Approaches to the Estimates of the RF Socio-Economic Indicators," Research Paper Series, Gaidar Institute for Economic Policy, issue 135P.
• Hyunsok Kim & Ronald MacDonald, 2010, "Equilibrium exchange rate determination and multiple structural changes," Working Papers, Business School - Economics, University of Glasgow, number 2010_14, May.
• Dominique Guegan & Wayne Tarrant, 2010, "On the necessity of five risk measures," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00460901, Jan.
• Hayette Gatfaoui, 2010, "Investigating the Dependence Structure between Credit Default Swap Spreads and the U.S. Financial Market," Post-Print, HAL, number hal-00565525, Nov, DOI: 10.1007/s10436-009-0139-5.
• Zied Ftiti, 2010, "The macroeconomic performance of the inflation targeting policy: An approach based on the evolutionary co-spectral analysis," Post-Print, HAL, number halshs-00550458.
• Rob Vos & Marco V. Sánchez, 2010, "A non-parametric microsimulation approach to assess changes in inequality and poverty," International Journal of Microsimulation, International Microsimulation Association, volume 3, issue 1, pages 8-23.
• Yoshihiko Sugihara & Nobuyuki Oda, 2010, "An Empirical Analysis of Equity Market Expectations in the Recent Financial Turmoil Using Implied Moments and Jump Diffusion Processes," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 10-E-09, Jun.
• Enlinson Mattos & Vladimir Ponczek, 2010, "Information matrix test An application using Pareto’s original income distribution data," Journal of Income Distribution, Ad libros publications inc., volume 19, issue 1, pages 20-32, March.
• Hayette Gatfaoui, 2010, "Investigating the dependence structure between credit default swap spreads and the U.S. financial market," Annals of Finance, Springer, volume 6, issue 4, pages 511-535, October, DOI: 10.1007/s10436-009-0139-5.
• Katja Ignatieva & Eckhard Platen, 2010, "Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 17, issue 3, pages 261-302, September, DOI: 10.1007/s10690-010-9116-2.
• Antoni Bosch-Domènech & José Montalvo & Rosemarie Nagel & Albert Satorra, 2010, "A finite mixture analysis of beauty-contest data using generalized beta distributions," Experimental Economics, Springer;Economic Science Association, volume 13, issue 4, pages 461-475, December, DOI: 10.1007/s10683-010-9251-7.
• Beatriz Mendes & Mariângela Semeraro & Ricardo Leal, 2010, "Pair-copulas modeling in finance," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 24, issue 2, pages 193-213, June, DOI: 10.1007/s11408-010-0130-1.
• Andreas Behr & Ulrich Pötter, 2010, "What determines wage differentials across the EU?," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, volume 8, issue 1, pages 101-120, March, DOI: 10.1007/s10888-008-9106-z.
• Mohammed Bouaddi & Denis Larocque & Michel Normandin, 2010, "Equity Premia and State-Dependent Risks," Cahiers de recherche, CIRPEE, number 1019.
• Stefan Hlawatsch & Sebastian Ostrowski, 2010, "Simulation and Estimation of Loss Given Default," FEMM Working Papers, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management, number 100010, Mar.
• Stefan Hlawatsch & Peter Reichling, 2010, "Konstruktion und Anwendung von Copulas in der Finanzwirtschaft," FEMM Working Papers, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management, number 100016, Jul.
• Stefan Hlawatsch & Peter Reichling, 2010, "Portfolio Management under Asymmetric Dependence and Distribution," FEMM Working Papers, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management, number 100017, Jul.
• Dominique Guegan & Wayne Tarrant, 2010, "On the necessity of five risk measures," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 10005, Jan.
• Brendan P.M. McCabe & Gael Martin & Keith Freeland, 2010, "A Quasi-locally Most powerful Test for Correlation in the conditional Variance of Positive Data," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 2/10, Feb.
• Penikas, H., 2010, "Financial Applications of Copula-Models," Journal of the New Economic Association, New Economic Association, issue 7, pages 24-44.
• Todor Kaloianov, 2010, "Necessity of Use and Cognition Sense of Moments of Higher Rank (Asymmetry and Excess Coefficients)," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 1, pages 69-82, Janyary.
• Terenzio Maccabelli, 2010, "Tra politica ed economia: gli scritti di Achille Loria sui quotidiani (Between politics and economics: Achille Loria's newspapers articles)," Il Pensiero Economico Italiano, Fabrizio Serra Editore, Pisa - Roma, volume 18, issue 1, pages 167-182.
• Balakrishna, BS, 2010, "Alpha-root Processes for Derivatives pricing," MPRA Paper, University Library of Munich, Germany, number 19949, Jan.
• Mishra, SK, 2010, "A note on empirical sample distribution of journal impact factors in major discipline groups," MPRA Paper, University Library of Munich, Germany, number 20747, Feb.
• Mishra, SK, 2010, "Empirical probability distribution of journal impact factor and over-the-samples stability in its estimated parameters," MPRA Paper, University Library of Munich, Germany, number 20919, Feb.
• Mishra, SK, 2010, "Temporal changes in the parameters of statistical distribution of journal impact factor," MPRA Paper, University Library of Munich, Germany, number 21263, Mar.
• Mailu, Stephen & Kuloba, Bernard & Ruto, Eric & Nyangena, Wilfred, 2010, "Effect of cropping policy on landowner reactions towards wildlife: a case of Naivasha area, Kenya," MPRA Paper, University Library of Munich, Germany, number 21308, Jan.
• González-Val, Rafael & Ramos, Arturo & Sanz-Gracia, Fernando, 2010, "On the best functions to describe city size distributions," MPRA Paper, University Library of Munich, Germany, number 21921, Apr.
• Kontek, Krzysztof, 2010, "Density Based Regression for Inhomogeneous Data: Application to Lottery Experiments," MPRA Paper, University Library of Munich, Germany, number 22268, Apr.
• Kontek, Krzysztof, 2010, "Estimation of Peaked Densities Over the Interval [0,1] Using Two-Sided Power Distribution: Application to Lottery Experiments," MPRA Paper, University Library of Munich, Germany, number 22378, Apr.
• Kaizoji, Taisei, 2010, "Stock volatility in the periods of booms and stagnations," MPRA Paper, University Library of Munich, Germany, number 23727, Jun.
• Borak, Szymon & Misiorek, Adam & Weron, Rafal, 2010, "Models for Heavy-tailed Asset Returns," MPRA Paper, University Library of Munich, Germany, number 25494, Sep.
• Mereuta, Cezar & Albu, Lucian liviu & Ciuiu, Daniel, 2010, "Classification of competitiveness types using copula," MPRA Paper, University Library of Munich, Germany, number 30314, Oct, revised Nov 2010.
• Trandafir, Romica & Ciuiu, Daniel & Drobot, Radu, 2010, "The utilization of copula in hidrology," MPRA Paper, University Library of Munich, Germany, number 33376, Aug, revised Oct 2010.
• Ondřej Vojáček & Iva Pecáková, 2010, "Comparison of Discrete Choice Models for Economic Environmental Research," Prague Economic Papers, Prague University of Economics and Business, volume 2010, issue 1, pages 35-53, DOI: 10.18267/j.pep.363.
• António Rua & Miguel de Carvalho, 2010, "Nonstationary Extremes and the US Business Cycle," Working Papers, Banco de Portugal, Economics and Research Department, number w201003.
• Maximiano Pinheiro, 2010, "Marginal Distributions of Random Vectors Generated by Affine Transformations of Independent Two-Piece Normal Variables," Working Papers, Banco de Portugal, Economics and Research Department, number w201013.
• James G. MacKinnon, 2010, "Critical Values For Cointegration Tests," Working Paper, Economics Department, Queen's University, number 1227, Jan.
• Humala, Alberto & Rodriguez, Gabriel, 2010, "Some stylized facts of returns in the foreign exchange and stock markets in Peru," Working Papers, Banco Central de Reserva del Perú, number 2010-017, Dec.
• Carol Alexander & Jose Maria Sarabia, 2010, "Generalized Beta-Generated Distributions," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2010-09, Jul.
• Gabriele Fiorentini & Enrique Sentana, 2010, "Dynamic Specification Tests for Static Factor Models," Working Paper series, Rimini Centre for Economic Analysis, number 04_10, Jan.
• Mierlus Mazilu, I., 2010, "On Generalized Pareto Distributions," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 107-117, March.
• Francisco Dias & Cláudia Duarte & António Rua, 2010, "Inflation (mis)perceptions in the euro area," Empirical Economics, Springer, volume 39, issue 2, pages 353-369, October, DOI: 10.1007/s00181-009-0307-5.
• Fabio Clementi & Mauro Gallegati & Giorgio Kaniadakis, 2010, "A model of personal income distribution with application to Italian data," Empirical Economics, Springer, volume 39, issue 2, pages 559-591, October, DOI: 10.1007/s00181-009-0318-2.
• Stefan Gerhold & Uwe Schmock & Richard Warnung, 2010, "A generalization of Panjer’s recursion and numerically stable risk aggregation," Finance and Stochastics, Springer, volume 14, issue 1, pages 81-128, January, DOI: 10.1007/s00780-009-0104-1.
• Francisco Dias & Cláudia Duarte & António Rua, 2010, "Inflation expectations in the euro area: are consumers rational?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 146, issue 3, pages 591-607, September, DOI: 10.1007/s10290-010-0058-6.
• Yang Ni & Shasha Guo & David Giles, 2010, "Capital structures in an emerging market: a duration analysis of the time interval between IPO and SEO in China," Applied Financial Economics, Taylor & Francis Journals, volume 20, issue 19, pages 1531-1545, DOI: 10.1080/09603107.2010.505552.
• Thanasis Stengos & Ximing Wu, 2010, "Information-Theoretic Distribution Test with Application to Normality," Econometric Reviews, Taylor & Francis Journals, volume 29, issue 3, pages 307-329, DOI: 10.1080/07474930903451565.
• Rob Vos & Marco V. Sánchez, 2010, "A Non-Parametric Microsimulation Approach to Assess Changes in Inequality and Poverty," Working Papers, United Nations, Department of Economics and Social Affairs, number 94, Mar.
• David E. Giles, 2010, "Hermite Regression Analysis of Multi-Modal Count Data," Econometrics Working Papers, Department of Economics, University of Victoria, number 1001, Apr.
• David E. Giles, 2010, "The Extreme-Value Dependence Between the Chinese and Other International Stock Markets," Econometrics Working Papers, Department of Economics, University of Victoria, number 1003, Dec.
• Maciej Jakubowski, 2010, "Latent Variables and Propensity Score Matching," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2010-06.
• Krzysztof Kontek, 2010, "Maximum likelihood estimator for the uneven power distribution: application to DJI returns," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 43, May.
• Ewa M. Syczewska, 2010, "Empirical power of the Kwiatkowski-Phillips-Schmidt-Shin test," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 45, Sep.
• Elisa Luciano & Patrizia Semeraro, 2010, "A Generalized Normal Mean-Variance Mixture For Return Processes In Finance," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 13, issue 03, pages 415-440, DOI: 10.1142/S0219024910005838.
• Szymon Borak & Adam Misiorek & Rafal Weron, 2010, "Models for Heavy-tailed Asset Returns," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/10/01.
• Adam Misiorek & Rafal Weron, 2010, "Heavy-tailed distributions in VaR calculations," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/10/05.
• Tödter, Karl-Heinz, 2010, "How useful is the carry-over effect for short-term economic forecasting?," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2010,21.
• Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie, 2010, "Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes," CFS Working Paper Series, Center for Financial Studies (CFS), number 2010/19.
• Alfarano, Simone & Lux, Thomas, 2010, "Extreme value theory as a theoretical background for power law behavior," Kiel Working Papers, Kiel Institute for the World Economy, number 1648.
• Grith, Maria & Krätschmer, Volker, 2010, "Parametric estimation of risk neutral density functions," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-045.
• Borak, Szymon & Misiorek, Adam & Weron, Rafał, 2010, "Models for heavy-tailed asset returns," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-049.
• Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie, 2010, "Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-055.

2009

• Livanis, Grigorios T. & Salois, Matthew J. & Moss, Charles B., , "A Nonparametric Kernel Representation of the Agricultural Production Function: Implications for Economic Measures of Technology," 83rd Annual Conference, March 30 - April 1, 2009, Dublin, Ireland, Agricultural Economics Society, number 51063, DOI: 10.22004/ag.econ.51063.
• Polya Angelova, 2009, "Modeling the Farm Distribution in Bulgaria between 1897 – 2005," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 6, pages 48-69.
• León, à ngel & Mencía, Javier & Sentana, Enrique, 2009, "Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation," Journal of Business & Economic Statistics, American Statistical Association, volume 27, issue 2, pages 176-192.
• Ralph W. Bailey, 2009, "Sums and Extreme Values of Random Variables: Duality Properties," Discussion Papers, Department of Economics, University of Birmingham, number 09-05, Jun.
• Martin Andersson & Hans Lööf, 2009, "Learning‐by‐Exporting Revisited: The Role of Intensity and Persistence," Scandinavian Journal of Economics, Wiley Blackwell, volume 111, issue 4, pages 893-916, December, DOI: 10.1111/j.1467-9442.2009.01585.x.
• Luke Ignaczak & Marcel Voia, 2009, "A Nonparametric Analysis Of Canadian Employment Patterns," Carleton Economic Papers, Carleton University, Department of Economics, number 09-01, Feb.
• Dongming Zhu & John W. Galbraith, 2009, "A Generalized Asymmetric Student-t Distribution with Application to Financial Econometrics," CIRANO Working Papers, CIRANO, number 2009s-13, Apr.
• Dongming Zhu & John W. Galbraith, 2009, "Forecasting Expected Shortfall with a Generalized Asymmetric Student-t Distribution," CIRANO Working Papers, CIRANO, number 2009s-24, May.
• Gabriele Fiorentini & Enrique Sentana, 2009, "Dynamic Specification Tests for Static Factor Models," Working Papers, CEMFI, number wp2009_0912, Dec.
• SANIN, Maria Eugenia & VIOLANTE, Francesco, 2009, "Understanding volatility dynamics in the EU-ETS market: lessons from the future," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2009024, Apr.
• Miravete, Eugenio, 2009, "Multivariate Sarmanov Count Data Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7463, Sep.
• Hillier, Grant & Kan, Raymond & Wang, Xiaolu, 2009, "Computationally Efficient Recursions For Top-Order Invariant Polynomials With Applications," Econometric Theory, Cambridge University Press, volume 25, issue 1, pages 211-242, February.
• Enrique Sentana, 2009, "The econometrics of mean-variance efficiency tests: a survey," Econometrics Journal, Royal Economic Society, volume 12, issue 3, pages 65-101, November.
• Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2009, "3-Regime symmetric STAR modeling and exchange rate reversion," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2009-07.
• Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2009, "Technical Appendix-3-Regime asymmetric STAR modeling and exchange rate reversion," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2009-37.
• Zhu, Dongming & Zinde-Walsh, Victoria, 2009, "Properties and estimation of asymmetric exponential power distribution," Journal of Econometrics, Elsevier, volume 148, issue 1, pages 86-99, January.
• Schmidt, Rafael & Schmieder, Christian, 2009, "Modelling dynamic portfolio risk using risk drivers of elliptical processes," Insurance: Mathematics and Economics, Elsevier, volume 44, issue 2, pages 229-244, April.
• Annalisa Di Clemente, 2009, "La misurazione integrata dei rischi bancari: uno studio simulativo," STUDI ECONOMICI, FrancoAngeli Editore, volume 0, issue 99, pages 75-103.
• Zied Ftiti, 2009, "The Macroeconomic Performance of the Inflation Targeting Policy: An Approach Based on the Evolutionary Co-spectral Analysis," Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon, number 0918.
• Mario Cerrato & Hyunsok Kim & Ronald MacDonald, 2009, "Technical Appendix-3-Regime asymmetric STAR modeling and exchange rate reversion," Working Papers, Business School - Economics, University of Glasgow, number 2009_26, Jul.
• Johansson, Börje & Lööf, Hans, 2009, "The Global-Local Interplay of MNE and Non-MNE Firms," Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies, number 187, Aug.
• Andersson, Martin & Johansson, Börje & Månsson, Kristofer, 2009, "Dynamics of Entry and Exit of Product Varieties – what evolution dynamics can account for the empirical regularities?," Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies, number 204, Nov.
• Lööf, Hans, 2009, "Are Services Different Exporters?," Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies, number 205, Dec.
• Lönnbark, Carl, 2009, "Uncertainty of Multiple Period Risk Measures," Umeå Economic Studies, Umeå University, Department of Economics, number 768, Apr.
• Adan Diaz Hernandez & Jose C. Ramirez Sanchez, 2009, "Una Metodología basada en Cúpulas y Valores Extremos para Estimar el Capital Económico Requerido de un Portafolio de Creditos al Menudeo," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, volume 24, issue 2, pages 95-132, Diciembre.
• Jasso, Guillermina, 2009, "Linking Individuals and Societies," IZA Discussion Papers, Institute of Labor Economics (IZA), number 4288, Jul.
• Subir Ghosh, 2009, "A Unified Approach to Economic Dominance and Inequality Measures using a General Transformation Function," Journal of Income Distribution, Ad libros publications inc., volume 18, issue 1, pages 42-52, March.
• Camelia Minoiu & Sanjay G. Reddy, 2009, "The Estimation of Poverty and Inequality through Parametric Estimation of Lorenz Curves: An Evaluation," Journal of Income Distribution, Ad libros publications inc., volume 18, issue 2, pages 160-178, June.
• Andreas Behr & Ulrich Pötter, 2009, "Alternatives to the normal model of stock returns: Gaussian mixture, generalised logF and generalised hyperbolic models," Annals of Finance, Springer, volume 5, issue 1, pages 49-68, January, DOI: 10.1007/s10436-007-0089-8.
• Ronald Felthoven & William Horrace & Kurt Schnier, 2009, "Estimating heterogeneous capacity and capacity utilization in a multi-species fishery," Journal of Productivity Analysis, Springer, volume 32, issue 3, pages 173-189, December, DOI: 10.1007/s11123-009-0139-5.
• Silvio Daidone & Francesco D’Amico, 2009, "Technical efficiency, specialization and ownership form: evidences from a pooling of Italian hospitals," Journal of Productivity Analysis, Springer, volume 32, issue 3, pages 203-216, December, DOI: 10.1007/s11123-009-0137-7.
• Siddharth Singh & Sharad Borle & Dipak Jain, 2009, "A generalized framework for estimating customer lifetime value when customer lifetimes are not observed," Quantitative Marketing and Economics (QME), Springer, volume 7, issue 2, pages 181-205, June, DOI: 10.1007/s11129-009-9065-0.
• Daniel Ackerberg, 2009, "A new use of importance sampling to reduce computational burden in simulation estimation," Quantitative Marketing and Economics (QME), Springer, volume 7, issue 4, pages 343-376, December, DOI: 10.1007/s11129-009-9074-z.
• Georges Dionne & Geneviève Gauthier & Nadia Ouertani, 2009, "Basket Options on Heterogeneous Underlying Assets," Cahiers de recherche, CIRPEE, number 0918.
• Eduardo Fé-Rodríguez & Richard Hofler, 2009, "Count Data Stochastic Frontier Models, with an application to the patents-R&D Relationship," Economics Discussion Paper Series, Economics, The University of Manchester, number 0916.
• John Galbraith & Dongming Zhu, 2009, "Forecasting Expected Shortfall With A Generalized Asymmetric Student-T Distribution," Departmental Working Papers, McGill University, Department of Economics, number 2009-01, Jan.
• John Galbraith & Dongming Zhu, 2009, "A Generalized Asymmetric Student-T Distribution With Application To Financial Econometrics," Departmental Working Papers, McGill University, Department of Economics, number 2009-02, Apr.
• Duangkamon Chotikapanich & William E Griffiths & D.S. Prasada Rao & Vicar Valencia, 2009, "Global Income Distribution and Inequality: 1993 and 2000," Department of Economics - Working Papers Series, The University of Melbourne, number 1062.
• Cerqueti, Roy & Costantini, Mauro & Lupi, Claudio, 2009, "A Characterization of the Dickey-Fuller Distribution, With Some Extensions to the Multivariate Case," Economics & Statistics Discussion Papers, University of Molise, Department of Economics, number esdp09055, Sep.
• Simon A. Broda & Marc S. Paolella, 2009, "CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation," Journal of Financial Econometrics, Oxford University Press, volume 7, issue 4, pages 412-436, Fall.
• Keel, Simon & Ardia, David, 2009, "Generalized Marginal Risk," MPRA Paper, University Library of Munich, Germany, number 17258, Sep.
• Brusset, Xavier, 2009, "Properties of distributions with increasing failure rate," MPRA Paper, University Library of Munich, Germany, number 18299, Oct, revised 02 Nov 2009.
• Öller, L-E & Stockhammar, P, 2009, "On the Probability Distribution of Economic Growth," MPRA Paper, University Library of Munich, Germany, number 18581.
• Scott, David J & Würtz, Diethelm & Dong, Christine & Tran, Thanh Tam, 2009, "Moments of the generalized hyperbolic distribution," MPRA Paper, University Library of Munich, Germany, number 19081, Dec.
• Sasidharan, Anand, 2009, "Structural Changes in India's Stock Markets' Efficiency," MPRA Paper, University Library of Munich, Germany, number 19433, Jun, revised Dec 2009.
• Sasidharan, Anand, 2009, "Structural Changes in India's Stock Markets' Efficiency," MPRA Paper, University Library of Munich, Germany, number 19501, Jun, revised Dec 2009.
• Wang, Hung-Jen & Ho, Chia-Wen, 2009, "Estimating fixed-effect panel stochastic frontier models by model transformation," MPRA Paper, University Library of Munich, Germany, number 31081, Dec.
• Georges Dionne & Geneviève Gauthier & Nadia Ouertani, 2009, "Basket options on heterogeneous underlying assets," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 09-3, May.
• Necula, Ciprian, 2009, "Modeling Heavy-Tailed Stock Index Returns Using the Generalized Hyperbolic Distribution," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 6, issue 2, pages 118-131, June.
• Silvio Daidone & Francesco D'Amico, 2009, "Technical Efficiency, Specialization and Ownership Form: Evidences from a Pooling of Italian Hospitals," CEIS Research Paper, Tor Vergata University, CEIS, number 143, Sep, revised 30 Sep 2009.
• Guillermina Jasso, 2009, "A New Model of Wage Determination and Wage Inequality," Rationality and Society, , volume 21, issue 1, pages 113-168, February, DOI: 10.1177/1043463108099350.
• Matteo Bonato & Massimiliano Caporin & Angelo Ranaldo, 2009, "Forecasting realized (co)variances with a block structure Wishart autoregressive model," Working Papers, Swiss National Bank, number 2009-03.
• Alex Coad, 2009, "On the distribution of product price and quality," Journal of Evolutionary Economics, Springer, volume 19, issue 4, pages 589-604, August, DOI: 10.1007/s00191-009-0142-z.
• Sandro Sapio, 2009, "Modelling the distribution of day-ahead electricity returns: a comparison," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2009/21, Dec.
• Gang Liu & Terje Skjerpen & Kjetil Telle, 2009, "Unit roots, polynomial transformations and the environmental Kuznets curve," Applied Economics Letters, Taylor & Francis Journals, volume 16, issue 3, pages 285-288, DOI: 10.1080/13504850601018478.
• Katja Ignatieva & Eckhard Platen, 2009, "Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 265, Dec.
• David E. Giles, 2009, "Bias Reduction for the Maximum Likelihood Estimator of the Scale Parameter in the Half-Logistic Distribution," Econometrics Working Papers, Department of Economics, University of Victoria, number 0901, Jan.
• David E. Giles & Hui Feng, 2009, "Bias - Corrected Maximum Likelihood Estimation of the Parameters of the Generalized Pareto Distribution," Econometrics Working Papers, Department of Economics, University of Victoria, number 0902, Jan.
• Yang Ni & Shasha Guo & David E. Giles, 2009, "Capital Structures in an Emerging Market: A Duration Analysis of the Time Interval Between IPO and SEO in China," Econometrics Working Papers, Department of Economics, University of Victoria, number 0905, Jun.
• Ozlem Tasseven, 2009, "Seasonal Co-integration – An Extension of the Johansen and Schaumburg Approach with an Exclusion Test," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 56, issue 1, pages 39-53.
• Souma, Wataru & Ikeda, Yuichi & Iyetomi, Hiroshi & Fujiwara, Yoshi, 2009, "Distribution of Labour Productivity in Japan over the Period 1996--2006," Economics Discussion Papers, Kiel Institute for the World Economy, number 2009-2.
• Fujiwara, Yoshi & Iyetomi, Hiroshi & Ikeda, Yuichi & Souma, Wataru, 2009, "Distribution of Labour Productivity in Japan over the Period 1996-2006," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 3, pages 1-14, DOI: 10.5018/economics-ejournal.ja.2009-.
• Okhrin, Ostap & Okhrin, Yarema & Schmid, Wolfgang, 2009, "Properties of hierarchical Archimedean copulas," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-014.
• Christian Ewerhart, 2009, "Optimal design and p-concavity," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 409, Apr, revised May 2011.

2008

• Chen, Ying & Härdle, Wolfgang & Jeong, Seok-Oh, 2008, "Nonparametric Risk Management With Generalized Hyperbolic Distributions," Journal of the American Statistical Association, American Statistical Association, volume 103, issue 483, pages 910-923.
• José Santiago Fajardo Barbachan & Aquiles Rocha de Farias & José Renato Haas Ornelas, 2008, "A Goodness-of-Fit Test with Focus on Conditional Value at Risk," Brazilian Review of Finance, Brazilian Society of Finance, volume 6, issue 2, pages 139-155.
• Carlos Santos, 2008, "A note on the Monte Carlo assessment of Impulse Saturation with fat tailed distribution," Working Papers de Economia (Economics Working Papers), Católica Porto Business School, Universidade Católica Portuguesa, number 052008, Sep.
• Elisa Luciano & Patrizia Semeraro, 2008, "Multivariate Variance Gamma and Gaussian dependence: a study with copulas," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 96.
• Elisa Luciano & Patrizia Semeraro, 2008, "A Generalized Normal Mean Variance Mixture for Return Processes in Finance," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 97, revised 2009.
• Dante Amengual & Enrique Sentana, 2008, "A Comparison of Mean-Variance Efficiency Tests," Working Papers, CEMFI, number wp2008_0806, Apr.
• Enrique Sentana, 2008, "The Econometrics of Mean-Variance Efficiency Tests: A Survey," Working Papers, CEMFI, number wp2008_0807, May.
• BRIO, Esther B. & PEROTE, Javier, 2008, "Forecasting Market Crashes: Does Density Specification Matter?," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 8, issue 1, pages 53-58.
• Alfarano, Simone & Milakovic, Mishael, 2008, "Does classical competition explain the statistical features of firm growth?," Economics Letters, Elsevier, volume 101, issue 3, pages 272-274, December.
• Zhao, Zhong, 2008, "Sensitivity of propensity score methods to the specifications," Economics Letters, Elsevier, volume 98, issue 3, pages 309-319, March.
• Paolella, Marc S. & Taschini, Luca, 2008, "An econometric analysis of emission allowance prices," Journal of Banking & Finance, Elsevier, volume 32, issue 10, pages 2022-2032, October.
• Adán Díaz Hernández & José C. Ramírez Sánchez, 2008, "Modelo de cálculo de capital económico por riesgo de crédito para portafolios de créditos a personas físicas," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 2, issue 1, pages 20-43.
• Linda Margarita Medina Herrera & Ricardo Mansilla Corona, 2008, "Teoría de matrices aleatorias y correlación de series financieras: el caso de la Bolsa Mexicana de Valores," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 2, issue 2, pages 125-135.
• Antonio Anselmi & Paola Maddalena Chiodini & Flavio Verrecchia, 2008, "ESeC-Rubin Missing Value Interpretation for a Regional Bottom-Up Hierarchical Forecasting," Working Papers, ESeC - Economic Statistics no-profit Association, number 002, Sep.
• Ben Jann, 2008, "Multinomial goodness-of-fit: large sample tests with survey design correction and exact tests for small samples," ETH Zurich Sociology Working Papers, ETH Zurich, Chair of Sociology, number 2, Jan.
• Peter Marko & Petr Svarc, 2008, "Firms formation and growth in the model with heterogeneous agents and monitoring," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2008/31, Nov, revised Nov 2008.
• Gian Luigi Albano & Federico Dini & Roberto Zampino & Marta Fana, 2008, "The Determinants of Suppliers’ Performance in E-Procurement: Evidence from the Italian Government’s E-Procurement Platform," Working Papers, Fondazione Eni Enrico Mattei, number 2008.49, Jun.
• Essahbi Essaadi & Mohamed Boutahar, 2008, "A Measure of Variability in Comovement for Economic Variables: a Time-Varying Coherence Function Approach," Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon, number 0827.
• Essahbi Essaadi & Zied Ftiti, 2008, "The transition period before the inflation targeting policy," Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon, number 0830.
• Essahbi Essaadi & Zied Ftiti, 2008, "The inflation Targeting effect on the inflation series: A New Analysis Approach of evolutionary spectral analysis," Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon, number 0832.
• Mario Cerrato & Hyunsok Kim & Ronald MacDonald, 2008, "3-Regime symmetric STAR modeling and exchange rate reversion," Working Papers, Business School - Economics, University of Glasgow, number 2009_05, Dec, revised Feb 2009.
• Ibrahim Ahamada & Philippe Jolivaldt, 2008, "Wavelets unit root test vs DF test : A further investigation based on monte carlo experiments," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00275767, Mar.
• Mathieu Gatumel & Dominique Guegan, 2008, "Dynamic Analysis of the Insurance Linked Securities Index," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00320378, Sep.
• Ibrahim Ahamada & Philippe Jolivaldt, 2008, "Wavelets unit root test vs DF test : A further investigation based on monte carlo experiments," Post-Print, HAL, number halshs-00275767, Mar.
• Essahbi Essaadi & Zied Ftiti, 2008, "The transition period before the inflation targeting policy," Post-Print, HAL, number halshs-00355628.
• Essahbi Essaadi & Zied Ftiti, 2008, "The inflation Targeting effect on the inflation series: ANew Analysis Approach of evolutionary spectral analysis," Post-Print, HAL, number halshs-00355637.
• Essahbi Essaadi & Mohamed Boutahar, 2008, "A Measure of Variability in Comovement for Economic Variables : a Time-Varying Coherence Function Approach," Working Papers, HAL, number halshs-00333582, Oct.
• Andersson, Martin & Lööf, Hans, 2008, "Learning-by-Exporting Revisited - the role of intensity and persistence," Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies, number 149, Oct.
• Byström, Hans, 2008, "The Age of Turbulence - Credit Derivatives Style," Working Papers, Lund University, Department of Economics, number 2008:16, Nov, revised 16 Jun 2010.