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

2004

• Carol Alexander & Leonardo Nogueira, 2004, "Stochastic Local Volatility," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2008-02, Sep, revised Mar 2008.
• Terenzio Maccabelli, 2004, "Curva di Pareto e distribuzione della ricchezza in Costantino Bresciani Turroni," Rivista di Politica Economica, SIPI Spa, volume 94, issue 5, pages 203-248, September.
• Enrico Scalas & Silvano Cincotti, 2004, "A double-auction artificial market with time-irregularly spaced orders," Computing in Economics and Finance 2004, Society for Computational Economics, number 225, Aug.
• Enrico Scalas & Alessandro Vivoli & Paride Dagna & Guido Germano, 2004, "Speculative option valuation: A supercomputing approach," Computing in Economics and Finance 2004, Society for Computational Economics, number 269, Aug.
• Stefania D'Amico, 2004, "Density Estimation and Combination under Model Ambiguity," Computing in Economics and Finance 2004, Society for Computational Economics, number 273, Aug.
• Paola Palmitesta & Corrado Provasi, 2004, "Aggregation of Dependent Risks with Specific Marginals by the Family of Koehler-Symanowski Distributions," Computing in Economics and Finance 2004, Society for Computational Economics, number 306, Aug.
• Carol Alexander & Andrew Scourse, 2004, "Bivariate normal mixture spread option valuation," Quantitative Finance, Taylor & Francis Journals, volume 4, issue 6, pages 637-648, DOI: 10.1080/14697680400016174.
• Laura A. Schintler & Sean P. Gorman & Aura Reggiani & Roberto Patuelli & Andy Gillespie & Peter Nijkamp & Jonathan Rutherford, 2004, "Complex Network Phenomena in Telecommunication Systems," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 04-118/3, Nov.
• Silverberg, Gerald & Verspagen, Bart, 2004, "The size distribution of innovations revisited: an application of extreme value statistics to citation and value measures of patent significance," Research Memorandum, Maastricht University, Maastricht Economic Research Institute on Innovation and Technology (MERIT), number 021.
• Lauren Bin Dong & David E. A. Giles, 2004, "An Empirical Likelihood Ratio Test for Normality in Linear Regression," Econometrics Working Papers, Department of Economics, University of Victoria, number 0402, Apr.
• David E. A. Giles, 2004, "No, Virginia, There Isn't a Santa Claus (For Most Countries' Growth Cycles)," Econometrics Working Papers, Department of Economics, University of Victoria, number 0403, Apr.
• Lauren Bin Dong, 2004, "The Behrens-Fisher Problem: An Empirical Likelihood Ratio Approach," Econometrics Working Papers, Department of Economics, University of Victoria, number 0404, Jul.
• Lauren Bin Dong, 2004, "Testing for structural Change in Regression: An Empirical Likelihood Ratio Approach," Econometrics Working Papers, Department of Economics, University of Victoria, number 0405, Dec.
• Mircea Gligor, 2004, "An Empirical Study On The Statistical Properties Of Romanian Emerging Stock Market Rasdaq," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 06, pages 723-739, DOI: 10.1142/S021902490400261X.
• Krzysztof Burnecki & Joanna Nowicka-Zagrajek & Aleksander Weron, 2004, "Pure risk premiums under deductibles. A quantitative management in actuarial practice," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/04/05.
• Agnieszka Wylomanska, 2004, "Asymptotic behavior of measures of dependence for ARMA(1,2) models with stable innovations. Stationary and non-stationary coefficients," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/04/06.
• Winker, Peter & Maringer, Dietmar, 2004, "The Hidden Risks of Optimizing Bond Portfolios under VaR," Research Notes, Deutsche Bank Research, number 13.

2003

• Sancetta, A. & Satchell, S.E., 2003, "Changing Correlation and Portfolio Diversification Failure in the Presence of Large Market Losses," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0319, Feb.
• Farah, N. & Satchell, S.E., 2003, "A Loss Aversion Performance Measure," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0333, Jul.
• Paul A Kattuman & Alexandru Chirmiciu, 2003, "Significant Feedbacks in Firm Growth and Market Structure," Working Papers, Centre for Business Research, University of Cambridge, number wp270, Sep.
• Kurt Geppert & Martin Gornig & Axel Werwatz, 2005, "Economic Growth of Agglomerations and Geographic Concentration of Industries: Evidence for Germany," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 513.
• Miguel Angel Tarancón Morán, 2003, "Ajuste y proyección de las tablas input-output en condiciones de coherencia estructural mediante optimización matemática," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, volume 18, issue 2, pages 67-95, December.
• Edith Madsen, 2003, "Testing for unit roots in panels by using a mixture model," CAM Working Papers, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics, number 2003-10, Aug.
• Gael M. Martin & Catherine S. Forbes & Vance L. Martin, 2003, "Implicit Bayesian Inference Using Option Prices," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 5/03, Feb.
• David B. Flynn & Simone D. Grose & Gael M. Martin & Vance L. Martin, 2003, "Pricing Australian S&P200 Options: A Bayesian Approach Based on Generalized Distributional Forms," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 6/03, Feb.
• Jaroslav Jílek & Miloš Vojta, 2003, "Zdokonalené uživatelské signální odhady čtvrtletních změn hrubého domácího produktu České republiky
  [Enhanced user flash estimates of quarter - on-quarter changes in gross domestic product of the C," Politická ekonomie, Prague University of Economics and Business, volume 2003, issue 5, pages 676-694, DOI: 10.18267/j.polek.420.
• Carol Alexandra & Andrew Scourse, 2003, "Bivariate Normal Mixture Spread Option Valuation," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2003-15, Dec.
• Michal Greszta, 2003, "Testing stationarity of AR(1) process with symmetric stable disturbance," Computing in Economics and Finance 2003, Society for Computational Economics, number 217, Aug.
• Levent Ozbek & Umit Ozlale & Fikri Ozturk, 2003, "Employing Extended Kalman Filter in a Simple Macroeconomic Model," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 3, issue 1, pages 53-65.
• Eckhard Platen & Jason West, 2003, "Fair Pricing of Weather Derivatives," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 106, Sep.

2002

• Dulce Saura Bacaicoa & Ángel Rodriguéz, 2002, "No linealidad y economía Austríaca," Revista de Economía del Rosario, Universidad del Rosario.
• Bontemps, Christophe & Couture, Stéphane, 2002, "Irrigation water demand for the decision maker," Environment and Development Economics, Cambridge University Press, volume 7, issue 4, pages 643-657, October.
• Hung-Jen Wang, 2002, "Heteroscedasticity and Non-Monotonic Efficiency Effects of a Stochastic Frontier Model," Journal of Productivity Analysis, Springer, volume 18, issue 3, pages 241-253, November, DOI: 10.1023/A:1020638827640.
• D.S. Poskitt & C.L. Skeels, 2002, "Assessing Instrumental Variable Relevance:An Alternative Measure and Some Exact Finite Sample Theory," Department of Economics - Working Papers Series, The University of Melbourne, number 862.
• Wang, Hung-Jen, 2002, "Heteroscedasticity and non-monotonic efficiency effects of a stochastic frontier model," MPRA Paper, University Library of Munich, Germany, number 31076, Apr.
• Carol Alexander, 2002, "Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2003-06, Nov, revised Mar 2003.
• Joanna Nowicka-Zagrajek & Rafal Weron, 2002, "Modeling electricity loads in California: ARMA models with hyperbolic noise," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/02/02, DOI: doi:10.1016/S0165-1684(02)00318-3.
• Rafal Weron, 2002, "Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/02/04.

2001

• Daniel A. Ackerberg, 2001, "A New Use of Importance Sampling to Reduce Computational Burden in Simulation Estimation," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0273, Jul.
• Joanna Nowicka-Zagrajek & Aleksander Weron, 2001, "Dependence structure of stable R-GARCH processes," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/01/02.

2000

1999

• Weron, Aleksander & Mercik, Szymon & Weron, Rafal, 1999, "Origins of the scaling behaviour in the dynamics of financial data," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 264, issue 3, pages 562-569, DOI: 10.1016/S0378-4371(98)00551-2.
• Mercik, Szymon & Weron, Rafal, 1999, "Scaling in currency exchange: a conditionally exponential decay approach," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 267, issue 1, pages 239-250, DOI: 10.1016/S0378-4371(99)00019-9.
• Babbs, Simon H & Johnson, Andrew E, 1999, "Severe Loss Probabilities in Portfolio Credit Risk Models," MPRA Paper, University Library of Munich, Germany, number 22929, Dec, revised 14 Jan 2004.

1998

• Aleksander Weron & Szymon Mercik & Rafal Weron, 1998, "Origins of the scaling behaviour in the dynamics of financial data," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/98/01.
• Szymon Mercik & Rafal Weron, 1998, "Scaling in currency exchange: A Conditionally Exponential Decay approach," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/98/02.

1997

• Mariam, Yohannes & Barre, Mike & Urquhart, Lynda & DeCivita, Paul, 1997, "Interrelationships and Causal Linkages Between Socioeconomic and Environmental Factors," MPRA Paper, University Library of Munich, Germany, number 664, revised 01 Jun 1997.
• Katarzyna Sznajd-Weron & Rafal Weron, 1997, "Evolution in a changing environment," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/97/01.
• Krzysztof Burnecki & Makoto Maejima & Aleksander Weron, 1997, "The Lamperti transformation for self-similar processes," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/97/02.
• Krzysztof Burnecki & Jan Rosinski & Aleksander Weron, 1997, "Spectral representation and structure of self-similar processes," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/97/03.

1996

• Gatsios, Konstantine & Kollintzas, Tryphon, 1996, "Time-Consistent Solutions to the Stochastic Dynamic Strategic Export Subsidy Problem," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 1405, May.
• Weron, Rafal, 1996, "Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables"," MPRA Paper, University Library of Munich, Germany, number 20761, revised 2010.
• Rafal Weron, 1996, "Correction to: "On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables"," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/96/01.
• Aleksander Janicki & Zbigniew Michna & Aleksander Weron, 1996, "Approximation of stochastic differential equations driven by alpha-stable Levy motion," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/96/02.

1995

• Dale J. Poirier, 1995, "Intermediate Statistics and Econometrics: A Comparative Approach," MIT Press Books, The MIT Press, number 0262161494, edition 1, ISBN: ARRAY(0x6a9cad38), December.
• Parrinello, Sergio & Fujimoto, Takao, 1995, "The transfer of statistical equilibrium from physics to economics," MPRA Paper, University Library of Munich, Germany, number 30830.
• Rafal Weron, 1995, "Performance of the estimators of stable law parameters," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/95/01.

1994

• David Card & Thomas Lemieux, 1994, "Changing Wage Structure and Black-White Wage Differentials: A Longitudinal Analysis," Working Papers, Princeton University, Department of Economics, Industrial Relations Section., number 701, Jan.

1991

• D'Elia, Enrico, 1991, "La quantificazione dei risultati dei sondaggi congiunturali: un confronto tra procedure
  [Quantifying the results of tendency surveys: a comparison among different procedures]," MPRA Paper, University Library of Munich, Germany, number 16434, Jun.

1990

1989

• Peeters, H.M.M., 1989, "Het gebruik van een parametrische en een semi-parametrische schattingsmethode voor het binaire keuzemodel: Probit Maximum Likelihood versus Maximum Score
  [The use of a parametric and a semi-paramet," MPRA Paper, University Library of Munich, Germany, number 28104, May.

1988

• Urzúa, Carlos M., 1988, "A Class of Maximum-Entropy Multivariate Distributions," EGAP Working Papers, Tecnológico de Monterrey, Campus Ciudad de México, number 200301, Mar.

0

• Joanna Janczura & Rafal Weron, 2011, "Black swans or dragon kings? A simple test for deviations from the power law," Papers, arXiv.org, number 1102.3712, Feb.
• Enrico Scalas & Kyungsik Kim, 2006, "The art of fitting financial time series with Levy stable distributions," Papers, arXiv.org, number physics/0608224, Aug.
• J. Masoliver & M. Montero & J. Perello & G. H. Weiss, 2006, "The continuous time random walk formalism in financial markets," Papers, arXiv.org, number physics/0611138, Nov.
• Tom Doan, 2025, "EGTEST: RATS procedure to compute Engle-Granger test for Cointegration," Statistical Software Components, Boston College Department of Economics, number RTS00061, revised .
• Alberto HOLLY & Alain MONFORT & Michael ROCKINGER, 2009, "Fourth Order Pseudo Maximum Likelihood Methods," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 09-23, May.
• Simon A. BRODA & Markus HAAS & Jochen KRAUSE & Marc S. PAOLELLA & Sven C. STEUDE, 2011, "Stable Mixture GARCH Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-39, Sep.
• Jaume Masoliver & Miquel Montero & Josep Perello, , "The continuous time random walk formalism in financial markets," Modeling, Computing, and Mastering Complexity 2003, Society for Computational Economics, number 24.
• Clovis Freire, 2011, "Social and Economic Impact of Disasters: Estimating the Threshold between Low and High Levels of Risk," MPDD Working Paper Series, United Nations Economic and Social Commission for Asia and the Pacific (ESCAP), number WP/11/15, Apr.

None

• Ayouba, Kassoum & Boussemart, Jean-Philippe & Vigeant, Stéphane, 2017, "The impact of single farm payments on technical inefficiency of French crop farms," Review of Agricultural, Food and Environmental Studies, Institut National de la Recherche Agronomique (INRA), volume 98, issue 01/2, DOI: 10.22004/ag.econ.277882.
• Haas Markus, 2010, "Skew-Normal Mixture and Markov-Switching GARCH Processes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 4, pages 1-56, September, DOI: 10.2202/1558-3708.1765.
• Palmitesta Paola & Provasi Corrado, 2004, "GARCH-type Models with Generalized Secant Hyperbolic Innovations," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-19, May, DOI: 10.2202/1558-3708.1212.