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

2008

• Grant Hillier & Raymond Kan & Xiaolu Wang, 2008, "Computationally efficient recursions for top-order invariant polynomials with applications," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP07/08, Feb.
• Grant Hillier & Raymond Kan & Xiaolu Wang, 2008, "Generating functions and short recursions, with applications to the moments of quadratic forms in noncentral normal vectors," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP14/08, Jun.
• Jasso, Guillermina, 2008, "A New Model of Wage Determination and Wage Inequality," IZA Discussion Papers, Institute of Labor Economics (IZA), number 3850, Nov.
• Fiona C. Maclachlan & John E. Reith, 2008, "The Beaman Distribution: A New Descriptive Model for the Size Distribution of Incomes," Journal of Income Distribution, Ad libros publications inc., volume 17, issue 1, pages 81-86, March.
• Nadine Gatzert & Hato Schmeiser & Stefan Schuckmann, 2008, "Enterprise risk management in financial groups: analysis of risk concentration and default risk," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 22, issue 3, pages 241-258, September, DOI: 10.1007/s11408-008-0081-y.
• Mathieu Gatumel & Dominique Guegan, 2008, "Dynamic analysis of the insurance linked securities index," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08049, Sep.
• Ibrahim Ahamada & Philippe Jolivaldt, 2008, "Wavelets unit root test vs DF test: A further investigation based on monte carlo experiments," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number v08032, Mar.
• Terenzio Maccabelli, 2008, "Posizioni iniziali e distribuzione della ricchezza : l'economia politica di Rodolfo Benini (Starting positions and wealth distribution: the economic thought of Rodolfo Benini)," Il Pensiero Economico Italiano, Fabrizio Serra Editore, Pisa - Roma, volume 16, issue 1, pages 105-130.
• Rafael, González-Val, 2008, "Deviations from Zipf’s Law for American cities: an empirical examination," MPRA Paper, University Library of Munich, Germany, number 11504, Nov.
• Barnett, William A. & Seck, Ousmane, 2008, "Estimation with inequality constraints on the parameters: dealing with truncation of the sampling distribution," MPRA Paper, University Library of Munich, Germany, number 12500, Aug.
• Serbanescu, Luminita & Bengescu, Marcela & Dumitru, Mihaela Iuliana, 2008, "Methods of Measuring the Students’ Results Obtained in the Teaching-Learning Process," MPRA Paper, University Library of Munich, Germany, number 14327.
• Maldonado, Diego & Pazmiño, Mariela, 2008, "Nuevas Herramientas para la Administración del Riesgo Crediticio: El caso de una Cartera Crediticia Ecuatoriana
  [New Management Tool for Credit Risk analysis: An aplication for Financial Institutio," MPRA Paper, University Library of Munich, Germany, number 17163, Dec, revised 30 Dec 2008.
• Del Brio, Esther B. & Ñíguez, Trino-Manuel & Perote, Javier, 2008, "Multivariate Gram-Charlier Densities," MPRA Paper, University Library of Munich, Germany, number 29073.
• Rosenthal, Dale W.R., 2008, "Approximating correlated defaults," MPRA Paper, University Library of Munich, Germany, number 36788, revised 15 Feb 2012.
• Kafri, Oded, 2008, "Sociological and Economic Inequality and the Second Law," MPRA Paper, University Library of Munich, Germany, number 9175, May.
• António Rua & Cláudia Duarte & Francisco Craveiro Dias, 2008, "Inflation expectations in the euro area: Are consumers rational?," Working Papers, Banco de Portugal, Economics and Research Department, number w200823.
• Preda, Vasile & Ciumara, Roxana, 2008, "On Insurer Portfolio Optimization. An Underwriting Risk Model," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 5, issue 1, pages 102-118, March.
• Albu, Lucian Liviu, 2008, "A Model To Estimate Spatial Distribution Of Informal Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 5, issue 4, pages 111-124, December.
• Takaaki Ohnishi & Hideki Takayasu & Takatoshi Ito & Yuko Hashimoto & Tsutomu Watanabe & Misako Takayasu, 2008, "Dynamics of quote and deal prices in the foreign exchange market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 3, issue 1, pages 99-106, June, DOI: 10.1007/s11403-008-0033-7.
• John C. Frain, 2008, "Maximum Likelihood Estimates of Regression Coefficients with alpha-stable residuals and Day of Week effects in Total Returns on Equity Indices," Trinity Economics Papers, Trinity College Dublin, Department of Economics, number tep0108, May, revised May 2008.
• John C. Frain, 2008, "Value at Risk (VaR) and the alpha-stable distribution," Trinity Economics Papers, Trinity College Dublin, Department of Economics, number tep0308, May, revised May 2008.
• Ben Jann, 2008, "Multinomial goodness-of-fit: Large-sample tests with survey design correction and exact tests for small samples," Stata Journal, StataCorp LLC, volume 8, issue 2, pages 147-169, June.
• J. Isaac Miller & Joon Y. Park, 2008, "Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory," Working Papers, Department of Economics, University of Missouri, number 0801, Jan.
• Riccardo Gusso & Uwe Schmock, 2008, "Urn-based models for dependent credit risks and their calibration through EM algorithm," Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia, number 163, Apr.
• Dinghai Xu & John Knight, 2008, "Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters," Working Papers, University of Waterloo, Department of Economics, number 08006, Dec.
• Alfarano, Simone & Milaković, Mishael, 2008, "Does Classical Competition Explain the Statistical Features of Firm Growth?," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2008-03.
• Irle, Albrecht & Milaković, Mishael & Alfarano, Simone & Kauschke, Jonas, 2008, "A Statistical Equilibrium Model of Competitive Firms," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2008-10.
• Klein, Ingo & Grottke, Michael, 2008, "On J.M. Keynes' The principal averages and the laws of error which lead to them: refinement and generalisation," FAU Discussion Papers in Economics, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics, number 07/2008.

2007

• Cummins, J. David & McDonald, James B. & Merrill, Craig, 2007, "Risky Loss Distributions and Modeling the Loss Reserve Pay-out Tail," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, volume 3, issue 01-2, pages 1-23, DOI: 10.22004/ag.econ.50154.
• Ángel León & Javier Mencía & Enrique Sentana, 2007, "Parametric properties of semi-nonparametric distributions, with applications to option valuation," Working Papers, Banco de España, number 0707, Mar.
• Chotikapanich, Duangkamon & Griffiths, William E. & Rao, D. S. Prasada, 2007, "Estimating and Combining National Income Distributions Using Limited Data," Journal of Business & Economic Statistics, American Statistical Association, volume 25, pages 97-109, January.
• Guillermina Jasso & Samuel Kotz, 2007, "A new continuous distribution and two new families of distributions based on the exponential," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 61, issue 3, pages 305-328, August, DOI: 10.1111/j.1467-9574.2007.00358.x.
• Ben Jann, 2007, "MGOF: Stata module to perform goodness-of-fit tests for multinomial data," Statistical Software Components, Boston College Department of Economics, number S456854, revised 18 Jan 2021.
• Kleiber, Christian, 2007, "The Lorenz curve in economics and econometrics," Working papers, Faculty of Business and Economics - University of Basel, number 2007/09.
• Luis Eduardo Sandoval, 2007, "Análisis de los resultados Ecaes del programa de economía de la Universidad Militar Nueva Granada (2004-2006)," Revista Facultad de Ciencias Económicas, Universidad Militar Nueva Granada.
• Garcí­a, Juan Angel & Manzanares, Andrés, 2007, "What can probability forecasts tell us about inflation risks?," Working Paper Series, European Central Bank, number 825, Oct.
• Silverberg, Gerald & Verspagen, Bart, 2007, "The size distribution of innovations revisited: An application of extreme value statistics to citation and value measures of patent significance," Journal of Econometrics, Elsevier, volume 139, issue 2, pages 318-339, August.
• Urzúa, Carlos M., 2007, "GRAN1: Gauss procedure to generate normal random numbers," EGAP Computer Code, Tecnológico de Monterrey, Campus Ciudad de México, number 2007-02, revised .
• Urzúa, Carlos M., 2007, "GRAN2: Gauss procedure to generate t-distributed random numbers," EGAP Computer Code, Tecnológico de Monterrey, Campus Ciudad de México, number 2007-03, revised .
• Urzúa, Carlos M., 2007, "GRAN3: Gauss procedure to generate stable random numbers," EGAP Computer Code, Tecnológico de Monterrey, Campus Ciudad de México, number 2007-04, revised .
• Urzúa, Carlos M., 2007, "GRAN4: Gauss procedure to generate Laplace-distributed random numbers," EGAP Computer Code, Tecnológico de Monterrey, Campus Ciudad de México, number 2007-05, revised .
• Urzúa, Carlos M., 2007, "GRAN5: Gauss procedure to generate heteroskedastic normal random numbers," EGAP Computer Code, Tecnológico de Monterrey, Campus Ciudad de México, number 2007-06, revised .
• Urzúa, Carlos M., 2007, "GRAN6: Gauss procedure to generate Pareto-distributed random numbers," EGAP Computer Code, Tecnológico de Monterrey, Campus Ciudad de México, number 2007-07, revised .
• Urzúa, Carlos M., 2007, "GRAN7: Gauss procedure to generate lognormal random numbers," EGAP Computer Code, Tecnológico de Monterrey, Campus Ciudad de México, number 2007-08, revised .
• Urzúa, Carlos M., 2007, "GRAN8: Gauss procedure to generate standard EPD (GED) random numbers," EGAP Computer Code, Tecnológico de Monterrey, Campus Ciudad de México, number 2007-09, revised .
• Mencia, Javier & Leon, Angel & Sentana, Enrique, 2007, "Parametric properties of semi-nonparametric distributions, with applications to option valuation," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24496, Oct.
• Maria S. Heracleous, 2007, "Sample Kurtosis, GARCH-t and the Degrees of Freedom Issue," Economics Working Papers, European University Institute, number ECO2007/60.
• Lillestøl, Jostein, 2007, "Some new bivariate IG and NIG-distributions for modelling covariate nancial returns," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2007/1, Jan.
• Walter Beckert & Daniel McFadden, 2007, "Maximal uniform convergence rates in parametric estimation problems," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP28/07, Nov.
• Gheorghe Zaman & Zizi Goschin, 2007, "The Intensity of using production factors in Romania. Estimates from Cobb-Douglas and CES Models," Romanian Journal of Economics, Institute of National Economy, volume 25, issue 2(34), pages 5-21, December.
• Stephen P. Jenkins, 2007, "Inequality and the GB2 income distribution," Working Papers, ECINEQ, Society for the Study of Economic Inequality, number 73.
• José Miguel Albert & Jorge Mateu & Vicente Orts, 2007, "Distribución Espacial De La Actividad Económica En La Union Europea," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2007-02, Mar.
• Jasso, Guillermina & Kotz, Samuel, 2007, "A New Continuous Distribution and Two New Families of Distributions Based on the Exponential," IZA Discussion Papers, Institute of Labor Economics (IZA), number 2598, Feb.
• Jasso, Guillermina & Kotz, Samuel, 2007, "Two Types of Inequality: Inequality Between Persons and Inequality Between Subgroups," IZA Discussion Papers, Institute of Labor Economics (IZA), number 2749, Apr.
• Jenkins, Stephen P., 2007, "Inequality and the GB2 Income Distribution," IZA Discussion Papers, Institute of Labor Economics (IZA), number 2831, Jun.
• Jasso, Guillermina, 2007, "A New Unified Theory of Sociobehavioral Forces," IZA Discussion Papers, Institute of Labor Economics (IZA), number 3243, Dec.
• Alfonso Flores-Lagunes & William C. Horrace & Kurt E. Schnier, 2007, "Identifying technically efficient fishing vessels: a non-empty, minimal subset approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 22, issue 4, pages 729-745, DOI: 10.1002/jae.942.
• Ivana Komunjer, 2007, "Asymmetric power distribution: Theory and applications to risk measurement," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 22, issue 5, pages 891-921, DOI: 10.1002/jae.961.
• Carlo Bianchi & Pasquale Cirillo & Mauro Gallegati & Pietro Vagliasindi, 2007, "Validating and Calibrating Agent-Based Models: A Case Study," Computational Economics, Springer;Society for Computational Economics, volume 30, issue 3, pages 245-264, October, DOI: 10.1007/s10614-007-9097-z.
• Antonella Campana, 2007, "On Tail Value-at-Risk for sums of non-independent random variables with a generalized Pareto distribution," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), volume 32, issue 2, pages 169-180, December, DOI: 10.1007/s10713-007-0008-y.
• William C. Horrace & Seth O. Richards, 2007, "A Monte Carlo Study of Efficiency Estimates from Frontier Models," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 97, Aug.
• Victoria Zinde-Walsh & Dongming Zhu, 2007, "Properties And Estimation Of Asymmetric Exponential Power Distribution," Departmental Working Papers, McGill University, Department of Economics, number 2007-11, Oct.
• ZHU, Dongming & ZINDE-WALSH, Victoria, 2007, "Properties and Estimation of Asymmetric Exponential Power Distribution," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 13-2007.
• Stefano HERZEL & Catalin STARICA & Thomas NORD, 2007, "The IGARCH e®ect: Consequences on volatility forecasting and option trading," Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia, number 34/2007, Jul.
• Shamiri, Ahmed & Shaari, Abu Hassan & Isa, Zaidi, 2007, "Practical Volatility Modeling for Financial Market Risk Management," MPRA Paper, University Library of Munich, Germany, number 9790, Aug, revised 15 May 2008.
• António Rua & Cláudia Duarte & Francisco Craveiro Dias, 2007, "Inflation (mis)perceptions in the euro area," Working Papers, Banco de Portugal, Economics and Research Department, number w200715.
• Thanasis Stengos & Ximing Wu†, 2007, "Information-Theoretic Distribution Test with Application to Normality," Working Paper series, Rimini Centre for Economic Analysis, number 24_07, Jul.
• Alejandro Garcia & Ramazan Gencay, 2007, "Applications of extreme value theory to collateral valuation," Journal of Financial Transformation, Capco Institute, volume 20, pages 88-93.
• Stefanescu, Stefan, 2007, "How much the Rounding Errors could affect the Computer Results," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 4, issue 2, pages 87-96, June.
• Joël Blot & Bertrand Crettez, 2007, "On the smoothness of optimal paths II: some local turnpike results," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 30, issue 2, pages 137-150, November, DOI: 10.1007/s10203-007-0072-x.
• L. Crosato & P. Ganugi, 2007, "Statistical regularity of firm size distribution: the Pareto IV and truncated Yule for Italian SCI manufacturing," Statistical Methods & Applications, Springer;Società Italiana di Statistica, volume 16, issue 1, pages 85-115, June, DOI: 10.1007/s10260-006-0023-7.
• David Giles, 2007, "Benford's law and naturally occurring prices in certain ebaY auctions," Applied Economics Letters, Taylor & Francis Journals, volume 14, issue 3, pages 157-161, DOI: 10.1080/13504850500425667.
• David Giles, 2007, "Survival of the hippest: life at the top of the hot 100," Applied Economics, Taylor & Francis Journals, volume 39, issue 15, pages 1877-1887, DOI: 10.1080/00036840600707159.
• Markku Lanne & Saikkonen Pentti, 2007, "Modeling Conditional Skewness in Stock Returns," The European Journal of Finance, Taylor & Francis Journals, volume 13, issue 8, pages 691-704, DOI: 10.1080/13518470701538608.
• John C. Frain, 2007, "Small sample power of tests of normality when the alternative is an alpha-stable distribution," Trinity Economics Papers, Trinity College Dublin, Department of Economics, number tep0207, Feb.
• Stewart, T. & Strijbosch, L.W.G. & Moors, J.J.A. & van Batenburg, P., 2007, "A Simple Approximation to the Convolution of Gamma Distributions (Revision of DP 2006-27)," Discussion Paper, Tilburg University, Center for Economic Research, number 2007-70.
• Guang Bi & David E. Giles, 2007, "An Application of Extreme Value Theory to U.S. Movie Box Office Returns," Econometrics Working Papers, Department of Economics, University of Victoria, number 0705, Jul.
• Ying Xie & David E. Giles, 2007, "A Survival Analysis of the Approval of U.S. Patent Applications," Econometrics Working Papers, Department of Economics, University of Victoria, number 0707, Aug.
• José M. R. Murteira & Óscar D. Lourenço, 2007, "Health Care Utilization and Self-Assessed Health Specification of Bivariate Models Using Copulas," Health, Econometrics and Data Group (HEDG) Working Papers, HEDG, c/o Department of Economics, University of York, number 07/27, Dec.
• Schmidt, Rafael & Schmieder, Christian, 2007, "Modelling dynamic portfolio risk using risk drivers of elliptical processes," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2007,07.

2006

• Erik Alencar de Figueirêdo, 2006, "Não-Linearidade e Persistência das Flutuações Econômicas: Evidência Internacional," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 7, issue 1, pages 1-28.
• Mihaela Herciu, 2006, "The Impact Of Corruption On National Competitiveness," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, volume 1, issue 1, pages 13-28, October.
• Marc S. Paoletta & Luca Taschini, 2006, "An Econometric Analysis of Emission Trading Allowances," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-26, Nov.
• Simon A. BRODA & Marc S. PAOLELLA, 2008, "CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-08, Feb.
• Joon Y. Park & Mototsugu Shintani, 2006, "Testing for a Unit Root against Transitional Autoregressive Models," Levine's Bibliography, UCLA Department of Economics, number 321307000000000316, Sep.
• Masoliver, Jaume & Montero, Miquel & Perello, Josep & Weiss, George H., 2006, "The continuous time random walk formalism in financial markets," Journal of Economic Behavior & Organization, Elsevier, volume 61, issue 4, pages 577-598, December.
• Rosenberg, Joshua V. & Schuermann, Til, 2006, "A general approach to integrated risk management with skewed, fat-tailed risks," Journal of Financial Economics, Elsevier, volume 79, issue 3, pages 569-614, March.
• Urzúa, Carlos M., 2006, "Gauss procedure to compute the ALM test for normality," EGAP Computer Code, Tecnológico de Monterrey, Campus Ciudad de México, number 2006-01, revised .
• Urzúa, Carlos M., 2006, "Gauss procedure to compute the ALMP test for multivariate normality," EGAP Computer Code, Tecnológico de Monterrey, Campus Ciudad de México, number 2006-02, revised .
• Urzúa, Carlos M., 2006, "Gauss procedure to compute the LMZ test for Zipf's law," EGAP Computer Code, Tecnológico de Monterrey, Campus Ciudad de México, number 2006-03, revised .
• Thanasis Stengos & Ximing Wu, 2006, "Information-Theoretic Distribution Test with Application to Normality," Working Papers, University of Guelph, Department of Economics and Finance, number 0604.
• Ågren, Martin, 2006, "Prospect Theory and Higher Moments," Working Paper Series, Uppsala University, Department of Economics, number 2006:24, Oct.
• Mevlüdiye ŞİMŞEK & Sema BEHDİOĞLU, 2006, "Araştırma-geliştirme (AR-GE) faaliyetlerinin Türkiye-OECD ülkelerinde kümeleme analizi ile incelenmesi ve ekonomik büyümedeki önemi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 21, issue 245, pages 123-137.
• Florencia Lopez Boo, 2006, "Changes in poverty and the stability of income distribution in Argentina: evidence from the 1990s via decompositions," Working Papers, ECINEQ, Society for the Study of Economic Inequality, number 33.
• Stefan Kassberger & Rüdiger Kiesel, 2006, "A fully parametric approach to return modelling and risk management of hedge funds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 20, issue 4, pages 472-491, December, DOI: 10.1007/s11408-006-0035-1.
• Georges Dionne & Geneviève Gauthier & Nadia Ouertani & Nabil Tahani, 2006, "Heterogeneous Basket Options Pricing Using Analytical Approximations," Cahiers de recherche, CIRPEE, number 0605.
• Alfonso Flores-Lagunes & William C. Horrace & Kurt E. Schnier, 2006, "Identifying Technically Efficient Fishing Vessels: A Non-Empty, Minimal Subset Approach," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 78, Mar.
• Evgenia Glogova & Richard Warnung, 2006, "Modeling Dependent Credit Risks for Application to Off-Site Banking Supervision," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 12, pages 79-91.
• L. Grossi & G. Morelli, 2006, "Robust volatility forecasts and model selection in financial time series," Economics Department Working Papers, Department of Economics, Parma University (Italy), number 2006-SE02.
• Idrovo Aguirre, Byron, 2006, "Estimación del spread de tasas de corto y largo plazo: Un indicador de alerta temprana
  [An estimation of short and long term rates spread: a leading indicator]," MPRA Paper, University Library of Munich, Germany, number 11116, Dec, revised 12 Mar 2007.
• Bassler, Kevin E. & McCauley, Joseph L. & Gunaratne, Gemunu H., 2006, "Nonstationary increments, scaling distributions, and variable diffusion processes in financial markets," MPRA Paper, University Library of Munich, Germany, number 2126, Sep.
• Scalas, Enrico & Kim, Kyungsik, 2006, "The art of fitting financial time series with Levy stable distributions," MPRA Paper, University Library of Munich, Germany, number 336, Aug.
• Georges Dionne & Geneviève Gauthier & Nadia Ouertani & Nabil Tahani, 2006, "Heterogeneous basket options pricing using analytical approximations," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 06-1, Jan.
• Preda, Vasile & Ciumara, Roxana, 2006, "On Composite Models: Weibull-Pareto and Lognormal-Pareto. - A comparative study -," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 3, issue 2, pages 32-46, June.
• Pasquale Cirillo & Carlo Bianchi & Mauro Gallegati & Pietro Vagliasindi, 2006, "Validating and Calibrating Agent-based Models: a Case Study," Computing in Economics and Finance 2006, Society for Computational Economics, number 277, Jul.
• Kyoo il Kim, 2006, "Uniform Convergence Rate of the SNP Density Estimator and Testing for Similarity of Two Unknown Densities," Working Papers, Singapore Management University, School of Economics, number 20-2006, Sep.
• Ingo Klein & Matthias Fischer, 2006, "Power kurtosis transformations: Definition, properties and ordering," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 90, issue 3, pages 395-401, September, DOI: 10.1007/s10182-006-0241-1.
• Saralees Nadarjah, 2006, "Extreme value models with application to drought data," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 90, issue 3, pages 403-418, September, DOI: 10.1007/s10182-006-0242-0.
• Gang Liu & Terje Skjerpen & Anders Rygh Swensen & Kjetil Telle, 2006, "Unit Roots, Polynomial Transformations and the Environmental Kuznets Curve," Discussion Papers, Statistics Norway, Research Department, number 443, Jan.
• Markus Haas & Stefan Mittnik & Marc Paolella, 2006, "Modelling and predicting market risk with Laplace-Gaussian mixture distributions," Applied Financial Economics, Taylor & Francis Journals, volume 16, issue 15, pages 1145-1162, DOI: 10.1080/09603100500438817.
• Thomas Mikosch & Casper G. de Vries, 2006, "Tail Probabilities for Regression Estimators," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 06-085/2, Oct.
• Emiliano Santoro, 2006, "Macroeconomic fluctuations and the firms' rate of growth distribution: evidence from UK and US quoted companies," Department of Economics Working Papers, Department of Economics, University of Trento, Italia, number 0606.
• Thanasis Stengos & Ximing Wu, 2006, "Information-Theoretic Distribution Test with Application to Normality," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics, number 3-2006, Mar.
• Glen Roberts, 2006, "Accounting for Achievement in Athens: A Count Data Analysis of National Olympic Performance," Econometrics Working Papers, Department of Economics, University of Victoria, number 0602, Aug.
• David E. A. Giles, 2006, "The Exact Asymptotic Distribution Function of Watson's UN-Squared for Testing Goodness-of-Fit With Circular Discrete Data," Econometrics Working Papers, Department of Economics, University of Victoria, number 0607, Nov.
• Martina Nardon & Paolo Pianca, 2006, "Simulation techniques for generalized Gaussian densities," Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia, number 145, Nov.
• Geppert, Kurt & Gornig, Martin & Werwatz, Axel, 2006, "Economic growth of agglomerations and geographic concentration of industries: Evidence for Germany," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-008.
• Polzehl, Jörg & Spokoiny, Vladimir & Stărică, Cătălin, 2006, "When did the 2001 recession really start?," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-032.
• Chen, Ying & Härdle, Wolfgang Karl & Spokoiny, Vladimir, 2006, "GHICA: Risk analysis with GH distributions and independent components," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-078.
• Krätschmer, Volker, 2006, "The uniqueness of extremum estimation," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-080.

2005

• Asmaa Ahmed, 2005, "Random Walks in the Economic Dynamic Series," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 78-100.
• Gael M. Martin & Catherine S. Forbes & Vance L. Martin, 2005, "Implicit Bayesian Inference Using Option Prices," Journal of Time Series Analysis, Wiley Blackwell, volume 26, issue 3, pages 437-462, May, DOI: 10.1111/j.1467-9892.2005.00410.x.
• Sancetta, A. & Nikanrova, A., 2005, "Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0516, May.
• Ángel León & Javier Mencía & Enrique Sentana, 2005, "Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation," Working Papers, CEMFI, number wp2005_0509.
• Sentana, Enrique & Mencía, Javier & León, à ngel, 2005, "Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 5435, Dec.
• Soo, Kwok Tong, 2005, "Zipf's Law for cities: a cross-country investigation," Regional Science and Urban Economics, Elsevier, volume 35, issue 3, pages 239-263, May.
• P. Jenkins, Stephen, 2007, "Inequality and the GB2 income distribution," ISER Working Paper Series, Institute for Social and Economic Research, number 2007-12, May.
• Markku Lanne & Pentti Saikkonen, 2005, "Modeling Conditional Skewness in Stock Returns," Economics Working Papers, European University Institute, number ECO2005/14.
• Walter Beckert & Daniel McFadden, 2005, "Maximal uniform convergence rates in parametric estimation problems," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP06/05, Jun.
• Pablo Pérez Akaki, 2005, "Administración De Riesgos Mediante La Teoría De Riesgos Extremos," 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 4, issue 1, pages 41-63, Marzo 200.
• Enrico D’Elia, 2005, "Using the results of qualitative surveys in quantitative analysis," ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY), number 56, Sep.
• Zhao, Zhong, 2005, "Sensitivity of Propensity Score Methods to the Specifications," IZA Discussion Papers, Institute of Labor Economics (IZA), number 1873, Dec.
• Duangkamon Chotikapanich & William E. Griffiths & D.S. Prasada Rao, 2005, "Estimating and Combining National Income Distributions using Limited Data," Department of Economics - Working Papers Series, The University of Melbourne, number 926.
• D. S. Poskitt & C. L. Skeels, 2005, "Small Concentration Asymptotics and Instrumental Variables Inference," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 4/05, Feb.
• N. Ferrari, 2005, "Firm'investment forecast: An indicator of changes in expectations in industrial investment survey," Documents de Travail de l'Insee - INSEE Working Papers, Institut National de la Statistique et des Etudes Economiques, number g2005-09.
• Mark Western & Belinda Hewitt, 2005, "Marriage and Money: Variations across the Earnings Distribution," Australian Journal of Labour Economics (AJLE), Bankwest Curtin Economics Centre (BCEC), Curtin Business School, volume 8, issue 2, pages 163-179, June.
• REY, Serge, 2005, "Convergence réelle et convergence nominale dans les Pays de la région MENA
  [Real and nominal convergence amongst MENA countries]," MPRA Paper, University Library of Munich, Germany, number 30206, Sep.
• Cakir, Murat, 2005, "Firma Başarısızlığının Dinamiklerinin Belirlenmesinde Makina Öğrenmesi Teknikleri: Ampirik Uygulamalar ve Karşılaştırmalı Analiz
  [Machine Learning Techniques in Determining the Dynamics of Corporat," MPRA Paper, University Library of Munich, Germany, number 55975, Dec.
• A. C. Silva & V. M. Yakovenko, 2005, "Two-class structure of the personal income distribution in the USA in 1983-2001," Computing in Economics and Finance 2005, Society for Computational Economics, number 124, Nov.
• Joon Y. Park & Mototsugu Shintani, 2005, "Testing for a Unit Root against Transitional Autoregressive Models," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 05010, Apr.
• David E. Giles, 2005, "Benford’s Law and Naturally Occurring Prices in Certain ebaY Auctions," Econometrics Working Papers, Department of Economics, University of Victoria, number 0505, May.
• David E. Giles, 2005, "Survival of the Hippest: Life at the Top of the Hot 100," Econometrics Working Papers, Department of Economics, University of Victoria, number 0507, Jun.
• David E. Giles, 2005, "The Bias of Inequality Measures in Very Small Samples: Some Analytic Results," Econometrics Working Papers, Department of Economics, University of Victoria, number 0514, Aug.
• Anna Chernobai & Krzysztof Burnecki & Svetlozar Rachev & Stefan Trueck & Rafal Weron, 2005, "Modeling catastrophe claims with left-truncated severity distributions (extended version)," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/05/01.
• Rafal Weron, 2005, "Heavy tails and electricity prices," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/05/02.
• Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2005, "Modeling and predicting market risk with Laplace-Gaussian mixture distributions," CFS Working Paper Series, Center for Financial Studies (CFS), number 2005/11.
• Kleiber, Christian, 2005, "The Lorenz curve in economics and econometrics," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2005,30.
• Borak, Szymon & Härdle, Wolfgang Karl & Weron, Rafał, 2005, "Stable distributions," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-008.

2004

• Walter Beckert & Daniel McFadden, 2004, "Maximal Uniform Convergence Rates in Parametric Estimation Problems," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0405, Nov.
• Kwok Tong Soo, 2004, "Zipfs Law for Cities: A Cross Country Investigation," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp0641, Jul.
• Trino-Manuel Niguez & Javier Perote, 2004, "Forecasting the density of asset returns," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 479, Oct.
• Héctor Manuel Zarate, 2004, "Modeling the distribution of exchange rate time series and measuring the tail area: an empirical application of the colombian flexible exchange rate," Revista de Economía del Rosario, Universidad del Rosario.
• D.S. Prasada Rao & Duangkamon Chotikapanich & William E. Griffiths, 2004, "Estimating and Combining National Income Distributions using Limited Data," Econometric Society 2004 Australasian Meetings, Econometric Society, number 213, Aug.
• Keith Freeland & Brendan McCabe & Gael Martin, 2004, "Testing for Dependence in Non-Gaussian Time Series Data," Econometric Society 2004 Australasian Meetings, Econometric Society, number 313, Aug.
• Jiro Hodoshima, 2004, "On weak exogeneity of the student's t and elliptical linear regression models," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 601, Aug.
• Ivana Komunjer, 2004, "Asymmetric Power Distribution: Theory and Applications to Risk Measurement," Econometric Society 2004 Latin American Meetings, Econometric Society, number 44, Aug.
• Pentti Saikkonen & Markku Lanne, 2004, "A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 469, Aug.
• Joon Y. Park & J. Isaac Miller, 2004, "Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 597, Aug.
• Andreas Gottschling & Christian Haefke, 2004, "Multivariate Hypernormal Densities," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 201, Aug.
• Roel C.A. Oomen, 2004, "Statistical Models for High Frequency Security Prices," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 77, Aug.
• Soo, Kwok Tong, 2004, "Zipf's law for cities: a cross country investigation," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 19947, Jul.
• Niguez, Trino-Manuel & Perote, Javier, 2004, "Forecasting the density of asset returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6845, Oct.
• Silverberg, G. & Verspagen, B., 2004, "The size distribution of innovations revisited: an application of extreme value statistics to citation and value measures of patent significance," Working Papers, Eindhoven Center for Innovation Studies, number 04.17.
• Henry Schellhorn & Didier Cossin, 2004, "Credit Risk in a Network Economy," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp106, Mar.
• Alexander Passow, 2004, "Omega Portfolio Construction with Johnson Distributions," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp120, Nov.
• Joshua V. Rosenberg & Til Schuermann, 2004, "A general approach to integrated risk management with skewed, fat-tailed risks," Staff Reports, Federal Reserve Bank of New York, number 185, May.
• Villani, Mattias & Larsson, Rolf, 2004, "The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 175, Dec.
• Mahyus Ekananda, 2004, "ANALISIS PENGARUH VOLATILITAS NILAI TUKAR PADA EKSPOR KOMODITI MANUFAKTUR DI INDONESIA (Penerapan Estimasi dengan Menggunakan Distribusi Lag Poissons Pada Persamaan Non Linear Seemingly Unrelated Regression)," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 7, issue 2, pages 197-235, September, DOI: https://doi.org/10.21098/bemp.v7i2..
• W. David Walls, 2004, "Revenues, Profitability, and Returns: Clinical Analysis of the Market for Mobster Films," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 3, issue 2, pages 93-106, August.
• Eckhard Platen & Jason West, 2004, "A Fair Pricing Approach to Weather Derivatives," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 11, issue 1, pages 23-53, March, DOI: 10.1007/s10690-005-4252-9.
• B.P.M. McCabe & G.M. Martin & R.K. Freeland, 2004, "Testing for Dependence in Non-Gaussian Time Series Data," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 13/04, Jun.
• D. S. Poskitt & C. L. Skeels, 2004, "Approximating the Distribution of the Instrumental Variables Estimator when the Concentration Parameter is Small," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 19/04, Oct.
• Mario J. Miranda & Paul L. Fackler, 2004, "Applied Computational Economics and Finance," MIT Press Books, The MIT Press, number 0262633094, edition 1, ISBN: ARRAY(0x6ac36158), December.
• Gluschenko, Konstantin, 2004, "Nonlinearly testing for a unit root in the presence of a break in the mean," MPRA Paper, University Library of Munich, Germany, number 678, Aug, revised Sep 2005.
• Carol Alexander & Leonardo M. Nogueira, 2004, "Hedging with Stochastic and Local Volatility," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2004-10, Jul, revised Dec 2004.