Research classified by Journal of Economic Literature (JEL) codes

---

Top JEL
/ C: Mathematical and Quantitative Methods
/ / C2: Single Equation Models; Single Variables
/ / / C22: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

2004

• Miguel A. León‐Ledesma & Peter McAdam, 2004, "Unemployment, Hysteresis And Transition," Scottish Journal of Political Economy, Scottish Economic Society, volume 51, issue 3, pages 377-401, August, DOI: 10.1111/j.0036-9292.2004.00311.x.
• Christopher Bowdler & Eilev S. Jansen, 2004, "Testing for a time-varying price-cost markup in the Euro area inlation process," Working Paper, Norges Bank, number 2004/9, May.
• Eilev S. Jansen, 2004, "Modelling inflation in the Euro Area," Working Paper, Norges Bank, number 2004/10, Jun.
• Christopher F. Baum, 2004, "Stata: The language of choice for time series analysis?," Boston College Working Papers in Economics, Boston College Department of Economics, number 598, Jul.
• T. Panagiotidis & G. Pelloni, 2004, "Non-Linearity in the Canadian and US Labour Markets: Univariate and Multivariate Evidence from A Battery of Tests," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number 506.
• João Gabe & Marcelo Savino Portugal, 2004, "Implicit Volatility versus Statistical Volatility: an Exercise Using Options and Telemar S.A. Stock," Brazilian Review of Finance, Brazilian Society of Finance, volume 2, issue 1, pages 47-73.
• Guglielmo Maria Caporale & Christos Ntantamis & Theologos Pantelidis & Nikitas Pittis, 2004, "The Bds Test As A Test For The Adequacy Of A Garch(1,1) Specification: A Monte Carlo Study," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 04-14, Oct.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004, "Nelson And Plosser Revisited: Evidence From Fractional Arima Models," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 04-16, Oct.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004, "Long Memory At The Long Run And At The Cyclical Frequencies: Modelling Real Wages In England, 1260 -1994," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 04-21, Oct.
• Guglielmo Maria Caporale & Christos Ntantamis & Theologos Pantelidis & Nikitas Pittis, 2004, "The Bds Test As A Test For The Adequacy Of A Garch(1,1) Specification: A Monte Carlo Study," Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 04-14, Oct.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004, "Nelson And Plosser Revisited: Evidence From Fractional Arima Models," Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 04-16, Oct.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004, "Long Memory At The Long Run And At The Cyclical Frequencies: Modelling Real Wages In England, 1260 -1994," Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 04-21, Oct.
• Gilles Dufrénot & Sandrine Lardic & Laurent Mathieu & Valérie Mignon & Anne Péguin-Feissolle, 2004, "Coïntégration entre les taux de change et les fondamentaux. Changement de régime ou mémoire longue ?," Revue économique, Presses de Sciences-Po, volume 55, issue 3, pages 449-458.
• Lavan Mahadeva and Paul Robinson, 2004, "Unit Root Testing in a Central Bank," Handbooks, Centre for Central Banking Studies, Bank of England, number 22, ISBN: ARRAY(0x6cd22dc8), April.
• Gilberto A. Libanio, 2004, "Unit roots in macroeconomic time series: theory, implications, and evidence," Textos para Discussão Cedeplar-UFMG, Cedeplar, Universidade Federal de Minas Gerais, number td228, Feb.
• Gilberto A. Libanio, 2004, "Unit roots in macroeconomic time series: a post Keynesian interpretation," Textos para Discussão Cedeplar-UFMG, Cedeplar, Universidade Federal de Minas Gerais, number td233, Jun.
• José Angel Roldán Casas & Rafaela Dios-Palomares, 2004, "A Strategy for Testing the Unit Root in AR(1) Model with Intercept. A Monte Carlo Experiment," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2004/37.
• Mariam Camarero & Josep Lluís Carrion-i-Silvestre & Cecilio Tamarit, 2004, "Testing for hysteresis in unemployment in OECD countries. New evidence using stationarity panel tests with breaks†," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number 2004/40.
• Oscar Bajo-Rubio & Mª Carmen Díaz Roldán & Vicente Esteve, 2004, "Change of regime and Phillips curve stability:The case of Spain, 1964-2002," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2004/52.
• Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2004, "Testing forward exchange rate unbiasedness efficiently: a semiparametric approach," Journal of Applied Economics, Universidad del CEMA, volume 7, pages 325-353, November.
• Oliver Linton, 2004, "Nonparametric Inference for Unbalanced Time Series Data," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 474, Apr.
• Fabrizio Iacone & Peter M Robinson, 2004, "Cointegration in Fractional Systems with Deterministic Trends," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 476, May.
• Peter M Robinson, 2004, "Efficiency Improvements in Inference on Stationary and Nonstationary Fractional Time Series," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 480, Nov.
• Kurt Brännäs & Niklas Nordman, 2001, "An Alternative Conditional Asymmetry Specification for Stock Returns," CESifo Working Paper Series, CESifo, number 448.
• Yin-Wong Cheung, 2001, "Hong Kong Output Dynamics: An Empirical Analysis," CESifo Working Paper Series, CESifo, number 482.
• Allan Timmermann & M. Hashem Pesaran, 2003, "How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?," CESifo Working Paper Series, CESifo, number 875.
• Yoichi Arai, 2004, "Testing for Linearity in Regressions with I (1) processes," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-014, Oct.
• Rómulo Chumacero E., 2004, "Forecasting Chilean Industrial Production and Sales With Automated Procedures," Journal Econom a Chilena (The Chilean Economy), Central Bank of Chile, volume 7, issue 3, pages 47-56, December.
• Rómulo Chumacero, 2004, "Forecasting Chilean Industrial Production and Sales with Automated Procedures," Working Papers Central Bank of Chile, Central Bank of Chile, number 260, May.
• Jamal Bouoiyour & Velayoudom Marimoutou & Serge Rey, 2004, "Taux de change reel d'equilibre et politique de change au Maroc : une approche non parametrique," Economie Internationale, CEPII research center, issue 97, pages 81-104.
• Claude Lopez & Christian J. Murray & David H. Papell, 2004, "State of the Art Unit Root Tests and Purchasing Power Parity," University of Cincinnati, Economics Working Papers Series, University of Cincinnati, Department of Economics, number 2004-04, Apr.
• Paramsothy Silvapulle & Imad Moosa & Mervyn Silvapulle, 2004, "Asymmetry in Okun's law," Canadian Journal of Economics, Canadian Economics Association, volume 37, issue 2, pages 353-374, May.
• F. Javier Mencía & Enrique Sentana, 2004, "Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations," Working Papers, CEMFI, number wp2004_0411.
• Petr Kral, 2004, "Identification and Measurement of Relationships Concerning Inflow of FDI: The Case of the Czech Republic," Working Papers, Czech National Bank, Research and Statistics Department, number 2004/05, Jun.
• Clemente Forero & Andr√©s Zambrano, 2004, "La din√°mica de las publicaciones y las patentes como una aproximaci√≥n al desarrollo cient√≠fico y tecnol√≥gico de los pa√≠ses," Borradores de Investigación, Universidad del Rosario, number 2977, Nov.
• Luz Adriana Fl�rez & Carlos Esteban Posada & Jos� Fernando Escobar, 2004, "El Cr�Dito Y Sus Factores Determinantes: El Caso Colombiano (1990-2004)," Borradores de Economia, Banco de la Republica, number 2482, Oct.
• Luis Eduardo Arango & Luz Adriana Fl�rez, 2004, "Expectativas De Actividad Econ�Mica En Colombia Y Estructura A Plazo: Un Poco M�S De Evidencia," Borradores de Economia, Banco de la Republica, number 2692, Aug.
• Martha Misas Arango & Enrique L�pez Enciso & Diego V�squez Escobar, 2004, "Tendencias Estoc�sticas Comunes y Fluctuaciones en la Econom�a Colombiana: 1950-2002," Borradores de Economia, Banco de la Republica, number 3550, Jan.
• Lina María Vásquez & Luis Edgar Basto, 2004, "Balance estructural, dinámica y volatilidad de la deuda," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 22, issue 46-1, pages 26-81, DOI: 10.32468/Espe.46-101.
• 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.
• BEINE, Michel & LAURENT, Sébastien & PALM, Franz, 2004, "Central Bank forex interventions assessed using realized moments," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2004001, Jan.
• MOULIN, Laurent & SALTO, Matteo & SILVESTRINI, Andrea & VEREDAS, David, 2004, "Using intra annual information to forecast the annual state deficits : the case of France," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2004048, Jul.
• LEJEUNE, Bernard, 2004, "A full heteroscedastic one-way error components model allowing for unbalanced panel : Pseudo-maximum likelihood estimation and specification testing," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2004076, Nov.
• Arie ten Cate, 2004, "Refinement of the partial adjustment model using continuous-time econometrics," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis, number 41, Nov.
• Panigo, Demian & Féliz, Mariano & Perez, Pablo, 2004, "Macro and microeconomic persistence in regional unemployment. The case of Argentina," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 0403.
• Perotti, Enrico & Driessen, Joost, 2004, "Confidence Building on Euro Conversion: Theory and Evidence from Currency Options," CEPR Discussion Papers, Centre for Economic Policy Research, number 4180, Jan.
• Kilian, Lutz & Inoue, Atsushi, 2004, "Bagging Time Series Models," CEPR Discussion Papers, Centre for Economic Policy Research, number 4333, Mar.
• Uhlig, Harald & Mönch, Emanuel, 2004, "Towards a Monthly Business Cycle Chronology for the Euro Area," CEPR Discussion Papers, Centre for Economic Policy Research, number 4377, May.
• Pesaran, M. Hashem & Timmermann, Allan, 2004, "Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks," CEPR Discussion Papers, Centre for Economic Policy Research, number 4401, Jun.
• Hughes Hallett, Andrew & Richter, Christian, 2004, "A Time-Frequency Analysis of the Coherences of the US Business Cycle and the European Business Cycle," CEPR Discussion Papers, Centre for Economic Policy Research, number 4751, Nov.
• Hirukawa Masayuki, 2004, "A Two-Stage Plug-In Bandwidth Selection and Its Implementation in Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Working Papers, Concordia University, Department of Economics, number 04005, Sep.
• Janine Aron & John Muellbauer & Coen Pretorius, 2004, "A Framework for Forecasting the Components of the Consumer Price Index: application to South Africa," CSAE Working Paper Series, Centre for the Study of African Economies, University of Oxford, number 2004-07.
• Janine Aron & John Muellbauer & B. Smit, 2004, "A Structural Model of the Inflation Process in South Africa," CSAE Working Paper Series, Centre for the Study of African Economies, University of Oxford, number 2004-08.
• Carnero, María Ángeles & Peña, Daniel & Ruiz Ortega, Esther, 2004, "Spurious and hidden volatility," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws042007, Jul.
• Pötscher, Benedikt M., 2004, "Nonlinear Functions And Convergence To Brownian Motion: Beyond The Continuous Mapping Theorem," Econometric Theory, Cambridge University Press, volume 20, issue 1, pages 1-22, February.
• Nielsen, Morten Ørregaard, 2004, "Efficient Likelihood Inference In Nonstationary Univariate Models," Econometric Theory, Cambridge University Press, volume 20, issue 1, pages 116-146, February.
• Feng, Yuanhua, 2004, "Simultaneously Modeling Conditional Heteroskedasticity And Scale Change," Econometric Theory, Cambridge University Press, volume 20, issue 3, pages 563-596, June.
• He, Changli & Teräsvirta, Timo, 2004, "An Extended Constant Conditional Correlation Garch Model And Its Fourth-Moment Structure," Econometric Theory, Cambridge University Press, volume 20, issue 5, pages 904-926, October.
• Ghysels, Eric & Guay, Alain, 2004, "Testing For Structural Change In The Presence Of Auxiliary Models," Econometric Theory, Cambridge University Press, volume 20, issue 6, pages 1168-1202, December.
• Babula, Ronald A. & Bessler, David A. & Payne, Warren S., 2004, "Dynamic Relationships Among U.S. Wheat-Related Markets: Applying Directed Acyclic Graphs to a Time Series Model," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 36, issue 1, pages 1-22, April.
• Jorge Braga Macedo & Luís Catela Nunes & Francisco Covas, 2004, "Moving the Escudo into the Euro," Palgrave Macmillan Books, Palgrave Macmillan, chapter 9, in: Michael A Landesmann & Dariusz K Rosati, "Shaping the New Europe", DOI: 10.1057/9780230523692_10.
• Jorge Caiado, 2004, "Modelling And Forecasting The Volatility Of The Portuguese Stock Index Psi-20," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, volume 9, issue 1, pages 3-21.
• Álvaro Aguiar & Manuel M. F. Martins, 2004, "Growth Cycles in XXth Century European Industrial Productivity: Unbiased Variance Estimation in a Time-varying Parameter Model," FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 144, May.
• Simonsen, Ingve & Weron, Rafal & Mo, Birger, 2004, "Structure and stylized facts of a deregulated power market," MPRA Paper, University Library of Munich, Germany, number 1443.
• Bianchi, Sergio, 2004, "A new distribution-based test of self-similarity," MPRA Paper, University Library of Munich, Germany, number 16640.
• Chan, Tze-Haw & Lau, Evan, 2004, "Business cycles and the synchronization process: a bounds testing approach," MPRA Paper, University Library of Munich, Germany, number 2030, revised 2005.
• Caiado, Jorge, 2004, "Modelling and forecasting the volatility of the portuguese stock index PSI-20," MPRA Paper, University Library of Munich, Germany, number 2077.
• Das, Rituparna & Daga, U R, 2004, "Conflict of Exchange Rates," MPRA Paper, University Library of Munich, Germany, number 22702.
• Barja, Gover & Monterrey, Javier & Villarroel, Sergio, 2004, "Bolivia: Impact of shocks and poverty policy on household welfare," MPRA Paper, University Library of Munich, Germany, number 22937, Dec.
• Giulio, Cifarelli, 2004, "Yes, implied volatilities are not informationally efficient: an empirical estimate using options on interest rate futures contracts," MPRA Paper, University Library of Munich, Germany, number 28655, Feb.
• Dobrescu, Emilian, 2004, "Double conditioned potential output," MPRA Paper, University Library of Munich, Germany, number 35769.
• 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.
• Mutlu, Seval & Aktas, Erkan & KARAHAN UYSAL, Özlem, 2004, "Akdeniz Bölgesi ve Başlıca Tüketim Merkezlerinde Yaş Meyve ve Sebze Perakende Fiyatları Arasındaki İlişkiler: Pazar Entegrasyonunun Testi
  [The Relation among retail price main of consumption center of fruit and vegetables and Region of Mediterrane," MPRA Paper, University Library of Munich, Germany, number 8656, revised 2004.
• Angelidis, Timotheos & Benos, Alexandros & Degiannakis, Stavros, 2004, "The Use of GARCH Models in VaR Estimation," MPRA Paper, University Library of Munich, Germany, number 96332.
• Zdeněk Dvorný, 2004, "Efficiency of the Secondary T-Bill Market," Prague Economic Papers, Prague University of Economics and Business, volume 2004, issue 1, pages 17-25, DOI: 10.18267/j.pep.228.
• Jaroslav Brada & Karel Brůna, 2004, "Analýza citlivosti referenčních úrokových sazeb PRIBOR na změny repo sazby České národní banky
  [An analysis of PRIBOR interest rates sensitivity to changes in Czech national bank repo rate]," Politická ekonomie, Prague University of Economics and Business, volume 2004, issue 5, pages 601-621, DOI: 10.18267/j.polek.478.
• Romain Veyrune, 2004, "Les caisses d’émission modernes sont-elles orthodoxes ?," Revue d'Économie Financière, Programme National Persée, volume 75, issue 2, pages 71-84, DOI: 10.3406/ecofi.2004.4894.
• Carlos Robalo Marques, 2004, "Inflation Persistence: Facts or Artefacts?," Working Papers, Banco de Portugal, Economics and Research Department, number w200408.
• George Kapetanios, 2004, "A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes," Working Papers, Queen Mary University of London, School of Economics and Finance, number 507, Feb.
• Loukia Meligkotsidou & Elias Tzavalis & Ioannis D. Vrontos, 2004, "A Bayesian Analysis of Unit Roots and Structural Breaks in the Level and the Error Variance of Autoregressive Models," Working Papers, Queen Mary University of London, School of Economics and Finance, number 514, Jul.
• George Kapetanios, 2004, "Testing for Exogeneity in Nonlinear Threshold Models," Working Papers, Queen Mary University of London, School of Economics and Finance, number 515, Jul.
• George Kapetanios, 2004, "The Impact of Large Structural Shocks on Economic Relationships: Evidence from Oil Price Shocks," Working Papers, Queen Mary University of London, School of Economics and Finance, number 524, Oct.
• David Norman & Thomas Walker, 2004, "Co-movement of Australian State Business Cycles," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2004-09, Oct.
• Carol Alexandra & Emese Lazar, 2004, "Normal Mixture GARCH (1,1): Application to Exchange Rate Modelling," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2004-05, Mar.
• Marine Carrasco & Liang Hu, 2004, "Optimal test for Markov switching," 2004 Meeting Papers, Society for Economic Dynamics, number 374.
• Jeffrey R. Campbell & Jonas D.M. Fisher, 2004, "qGMM Estimation of Sunk Costs," 2004 Meeting Papers, Society for Economic Dynamics, number 66.
• S. Boragan Aruoba, 2004, "Data Revisions in General Equilibrium," 2004 Meeting Papers, Society for Economic Dynamics, number 770.
• Timo Teräsvirta & Dick van Dijk & Marcelo Cunha Medeiros, 2004, "Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 485, Jul.
• Jean-Marie Dufour & Abdeljelil Farhat & Lynda Khalaf & Jean-Marie Dufour, 2004, "Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression," L'Actualité Economique, Société Canadienne de Science Economique, volume 80, issue 2, pages 501-522.
• Panagiotis Konstantinou, 2004, "Term Structure Dynamics: A Daily View from the Hungarian Foreign Currency Deposits Markets," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 57, issue 3, pages 315-331.
• Per-Ola Maneschiöld, 2004, "Modelling Exchange Rate Volatility: Evidence from Sweden," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 57, issue 2, pages 145-172.
• Marine Carrasco, 2004, "Chi-square Tests for Parameter Stability," RCER Working Papers, University of Rochester - Center for Economic Research (RCER), number 508, Sep.
• Frederique Bec & Melika Ben Salem & Marine Carrasco, 2004, "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," RCER Working Papers, University of Rochester - Center for Economic Research (RCER), number 509, Sep.
• Silvia Fedeli & Alessandro Trotto, 2004, "Il potere di voto nel sistema parlamentare italiano in regime proporzionale e la dinamica della spesa pubblica dal 1960 al 1990," Rivista di Politica Economica, SIPI Spa, volume 94, issue 2, pages 129-186, March-Apr.
• Donal Bredin & Stilianos Fountas, 2004, "Macroeconomic uncertainty and macroeconomic performance: are they related?," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1125, Feb.
• Giancarlo Marini & Alessandro Piergallini & Pasquale Scaramozzino, 2004, "Inflation Bias after the Euro: Evidence from the UK and Italy," CEIS Research Paper, Tor Vergata University, CEIS, number 60, Oct.
• T. Verbeke & M. De Clercq, 2004, "The Environmental Kuznets Curve: some really disturbing Monte Carlo evidence," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 04/242, Apr.
• Valentina Corradi & Norman Swanson, 2004, "Bootstrap Procedures for Recursive Estimation Schemes With Applications to Forecast Model Selection," Departmental Working Papers, Rutgers University, Department of Economics, number 200418, Sep.
• Valentina Corradi & Norman Swanson, 2004, "Predictive Density Evaluation," Departmental Working Papers, Rutgers University, Department of Economics, number 200419, Sep.
• John Chao & Norman Swanson, 2004, "Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions With Many Weak Instruments," Departmental Working Papers, Rutgers University, Department of Economics, number 200420, Sep.
• Geetesh Bhardwaj & Norman Swanson, 2004, "An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series," Departmental Working Papers, Rutgers University, Department of Economics, number 200422, Sep.
• Valentina Corradi & Norman Swanson, 2004, "Predective Density and Conditional Confidence Interval Accuracy Tests," Departmental Working Papers, Rutgers University, Department of Economics, number 200423, Sep.
• Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2004, "Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise," OFRC Working Papers Series, Oxford Financial Research Centre, number 2004fe20.
• Pilar Grau-Carles, 2004, "Test for long memory processes. A bootstrap approach," Computing in Economics and Finance 2004, Society for Computational Economics, number 111, Aug.
• Romulo A. Chumacero, 2004, "Forecasting Chilean Industrial Production and Sales with Automated Procedures," Computing in Economics and Finance 2004, Society for Computational Economics, number 112, Aug.
• Vladimir Kuzin, 2004, "The Inflation Aversion of the Bundesbank: A State Space Approach," Computing in Economics and Finance 2004, Society for Computational Economics, number 121, Aug.
• S. Boragan Aruoba, 2004, "Data Uncertainty in General Equilibrium," Computing in Economics and Finance 2004, Society for Computational Economics, number 131, Aug.
• Maximo Camacho & Gabriel Perez-Quiros, 2004, "Are European business cycles close enough to be just one?," Computing in Economics and Finance 2004, Society for Computational Economics, number 16, Aug.
• Cees Diks & Valentyn Panchenko, 2004, "Modified Hiemstra-Jones Test for Granger Non-causality," Computing in Economics and Finance 2004, Society for Computational Economics, number 192, Aug.
• Valentyn Panchenko & Cees Diks, 2004, "Testing multivariate hypotheses with positive definite bilinear forms," Computing in Economics and Finance 2004, Society for Computational Economics, number 201, Aug.
• Jeremy Piger & James Morley, 2004, "A Steady State Approach to Trend / Cycle Decomposition," Computing in Economics and Finance 2004, Society for Computational Economics, number 22, Aug.
• Ana-Maria Fuertes & Elena Kalotychou, 2004, "Elements in the Design of an Early Warning System for Sovereign Default," Computing in Economics and Finance 2004, Society for Computational Economics, number 231, Aug.
• S. Manzan, 2004, "Nonlinear Mean Reversion in Stock Prices," Computing in Economics and Finance 2004, Society for Computational Economics, number 264, 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.
• R. Velazquez & Noriega & A., 2004, "International evidence on monetary neutrality under broken trend stationary models," Computing in Economics and Finance 2004, Society for Computational Economics, number 282, Aug.
• Christoph Schleicher, 2004, "Codependence in Cointegrated Autoregressive Models," Computing in Economics and Finance 2004, Society for Computational Economics, number 286, Aug.
• Gonul Turhan-Sayan & Serdar Sayan, 2004, "Time Series Filtering through Chebyshev Polynomials," Computing in Economics and Finance 2004, Society for Computational Economics, number 287, Aug.
• Argia M. Sbordone & Timothy Cogley, 2004, "A Search for a Structural Phillips Curve," Computing in Economics and Finance 2004, Society for Computational Economics, number 291, Aug.
• Eugenie Hol & Siem Jan Koopman & Borus Jungbacker, 2004, "Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements," Computing in Economics and Finance 2004, Society for Computational Economics, number 342, Aug.
• Ramón María-Dolores & Israel Sancho, 2004, "On Asymmetric Business Cycle Effects on Convergence Rates: Some European Evidence," Computing in Economics and Finance 2004, Society for Computational Economics, number 45, Aug.
• Daniela Hristova, 2004, "Maximum Likelihood Estimation of a Unit Root Bilinear Model with an Application to Prices," Computing in Economics and Finance 2004, Society for Computational Economics, number 47, Aug.
• Michiel D. de Pooter & Rengert Segers, 2004, "Learning the Shape of the Likelihood of Typical Econometric Models using Gibbs Sampling," Computing in Economics and Finance 2004, Society for Computational Economics, number 82, Aug.
• Jedrzej Bialkowski, 2004, "Modelling Returns on Stock Indices for Western and Central European Stock Exchanges - a Markov Switching Approach," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, volume 2, issue 2, pages 81-100.
• Takuji Kinkyo, 2004, "Transmission channels of capital flow shocks: why Korean crisis was so severe," Working Papers, Department of Economics, SOAS University of London, UK, number 139, Aug.
• Takuji Kinkyo, 2004, "Disorderly adjustments to exchange rate misalignments: The experience of Korea," Working Papers, Department of Economics, SOAS University of London, UK, number 140, Aug.
• Quan-Hoang Vuong, 2004, "The Vietnam's Transition Economy and Its Fledgling Financial Markets: 1986-2003," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 04-032.RS.
• Quan-Hoang Vuong, 2004, "Analyses on Gold and US Dollar in Vietnam's Transitional Economy," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 04-033.RS.
• Bertrand Candelon & Luis A. Gil-Alana, 2004, "Fractional integration and business cycle features," Empirical Economics, Springer, volume 29, issue 2, pages 343-359, May, DOI: 10.1007/s00181-003-0171-7.
• Philipp Sibbertsen, 2004, "Long memory in volatilities of German stock returns," Empirical Economics, Springer, volume 29, issue 3, pages 477-488, September, DOI: 10.1007/s00181-003-0179-z.
• Catherine Kyrtsou & Walter C. Labys & Michel Terraza, 2004, "Noisy chaotic dynamics in commodity markets," Empirical Economics, Springer, volume 29, issue 3, pages 489-502, September, DOI: 10.1007/s00181-003-0180-6.
• Eugene Kouassi & Mbodja Mougoué & Kern O. Kymn, 2004, "Causality tests of the relationship between the twin deficits," Empirical Economics, Springer, volume 29, issue 3, pages 503-525, September, DOI: 10.1007/s00181-003-0181-5.
• Anne Line Bretteville-Jensen & Erik Biørn, 2004, "Do prices count? A micro-econometric study of illicit drug consumption based on self-reported data," Empirical Economics, Springer, volume 29, issue 3, pages 673-695, September, DOI: 10.1007/s00181-004-0205-9.
• Sandrine Lardic & Valérie Mignon, 2004, "Fractional cointegration and the term structure," Empirical Economics, Springer, volume 29, issue 4, pages 723-736, December, DOI: 10.1007/s00181-004-0206-8.
• Sebastiano Manzan, 2004, "Model selection for nonlinear time series," Empirical Economics, Springer, volume 29, issue 4, pages 901-920, December, DOI: 10.1007/s00181-004-0207-7.
• Essahbi Essaadi & Jamel Jouini & Wajih Khallouli, 2004, "The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis," Post-Print, HAL, number halshs-00201220, Oct.
• Gilles Dufrénot & Sandrine Lardic & Laurent Mathieu & Valérie Mignon & Anne Peguin-Feissolle, 2004, "Cointégration entre les taux de change et les fondamentaux : changement de régime ou mémoire longue ?," Post-Print, HAL, number halshs-00390151, DOI: 10.3917/reco.553.0449.
• Serge Darolles & Jean-Pierre Florens & Christian Gourieroux, 2004, "Kernel-based nonlinear canonical analysis and time reversibility," Post-Print, HAL, number halshs-00678062, Jun, DOI: 10.1016/S0304-4076(03)00199-4.
• Bentzen, Jan & Smith, Valdemar, 2004, "Short-run and long-run relationships in the consumption of alcohol in the Scandinavian countries," Working Papers, University of Aarhus, Aarhus School of Business, Department of Economics, number 04-14, Dec.
• Wang, Zijian & Wei, Jiegen, 2004, "Structural Change, Capital’s Contribution, and Economic Efficiency: Sources of China’s Economic Growth Between 1952-1998," Working Papers in Economics, University of Gothenburg, Department of Economics, number 130, Mar, revised 05 Apr 2004.
• Meitz, Mika & Teräsvirta, Timo, 2004, "Evaluating models of autoregressive conditional duration," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 557, Mar, revised 13 Dec 2004.
• Teräsvirta, Timo & van Dijk, Dick & Medeiros, Marcelo, 2004, "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 561, Jul, revised 09 Nov 2004.
• Malmsten, Hans & Teräsvirta, Timo, 2004, "Stylized Facts of Financial Time Series and Three Popular Models of Volatility," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 563, Aug, revised 03 Sep 2004.
• Malmsten, Hans, 2004, "Evaluating exponential GARCH models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 564, Aug, revised 03 Sep 2004.
• González Gómez, Andrés, 2004, "A smooth permanent surge process," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 572, Dec.
• Meitz, Mika & Saikkonen, Pentti, 2004, "Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 573, Oct, revised 20 Apr 2007.
• Arias, Guillaume & Erlandsson, Ulf, 2004, "Regime switching as an alternative early warning system of currency crises - an application to South-East Asia," Working Papers, Lund University, Department of Economics, number 2004:11, Mar.
• Nilsson, Birger & Hansson, Björn, 2004, "A Two-State Capital Asset Pricing Model with Unobservable States," Working Papers, Lund University, Department of Economics, number 2004:28, Dec.
• Eriksson , Åsa, 2004, "Testing Structural Hypotheses on Cointegration Vectors: A Monte Carlo Study," Working Papers, Lund University, Department of Economics, number 2004:29, Dec.
• Shima, Isilda, 2004, "The shadow economy in Norway: Demand for currency approach," Memorandum, Oslo University, Department of Economics, number 10/2004, Oct.
• Lind, Jo Thori, 2004, "Repeated surveys and the Kalman filter," Memorandum, Oslo University, Department of Economics, number 19/2004, Oct.
• Corander, Jukka & Villani, Mattias, 2004, "A Bayesian Approach to Modelling Graphical Vector Autoregressions," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 171, Oct.
• Brännäs, Kurt & Quoreshi, Shahiduzzaman, 2004, "Integer-Valued Moving Average Modelling of the Number of Transactions in Stocks," Umeå Economic Studies, Umeå University, Department of Economics, number 637, May.
• Ansgar Belke & Thorsten Polleit, 2004, "Dividend Yields for Forecasting Stock Market Returns - An ARDL Cointegration Analysis for Germany," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim, Department of Economics, University of Hohenheim, Germany, number 244/2004.
• Roberto Ricciuti, 2004, "Punishment and Counter-punishment in Public Goods Games: Can we still govern ourselves?," Royal Holloway, University of London: Discussion Papers in Economics, Department of Economics, Royal Holloway University of London, number 04/06, Apr, revised Apr 2004.
• Kaushik Mitra, 2004, "Is more data better?," Royal Holloway, University of London: Discussion Papers in Economics, Department of Economics, Royal Holloway University of London, number 04/19, Jul, revised Jul 2004.
• Claudia Pérez- Forniés & Mª Dolores Gadea & Eva Pardos, 2004, "Gasto en defensa y renta en los países de la Alianza Atlántica (1960-2002)," Hacienda Pública Española / Review of Public Economics, IEF, volume 170, issue 3, pages 137-153, september.
• Antras, Pol, 2004, "Is the U.S. Aggregate Production Function Cobb-Douglas? New Estimates of the Elasticity of Substitution," Scholarly Articles, Harvard University Department of Economics, number 3196325.
• Naoya Katayama, 2004, "Asymptotic Prediction Mean Squared Error for Strongly Dependent Processes with Estimated Parameters," Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number d03-10, Jan.
• Naoya Katayama, 2004, "Seasonally and Fractionally Differenced Time Series (revised, August 2006)," Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number d03-11, Jan.
• Carrillo, Julio A. & Fève, Patrick, 2004, "Some Perils of Policy Rule Regression," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 301, Jul, revised 10 Jun 2026.
• Taufik Kurniawan, 2004, "Determinan Tingkat Suku Bunga Pinjaman di Indonesia Tahun 1983-2002," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 7, issue 3, pages 437-457, December, DOI: https://doi.org/10.21098/bemp.v7i3..
• Jeroen V.K. Rombouts & Marno Verbeek, 2004, "Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models," Cahiers de recherche, HEC Montréal, Institut d'économie appliquée, number 04-14, Dec.
• Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2004, "Analytical Evaluation Of Volatility Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 45, issue 4, pages 1079-1110, November.
• Oliver Linton, 2004, "Nonparametric inference for unbalance time series data," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP06/04, Apr.
• Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004, "Long-run and Cyclical Dynamics in the US Stock Market," Economics Series, Institute for Advanced Studies, number 155, May.
• Caporale, Guglielmo Maria & Ntantamis, Christos & Pantelidis, Theologos & Pittis, Nikitas, 2004, "The BDS Test as a Test for the Adequacy of a GARCH(1,1) Specification. A Monte Carlo Study," Economics Series, Institute for Advanced Studies, number 156, May.
• Caporale, Guglielmo Maria & Pittis, Nikitas, 2004, "Robustness of the CUSUM and CUSUM-of-Squares Tests to Serial Correlation, Endogeneity and Lack of Structural Invariance. Some Monte Carlo Evidence," Economics Series, Institute for Advanced Studies, number 157, May.
• Anyfantakis, Costas & Caporale, Guglielmo M. & Pittis, Nikitas, 2004, "Parameter Instability and Forecasting Performance. A Monte Carlo Study," Economics Series, Institute for Advanced Studies, number 160, Jul.
• Kunst, Robert M. & Jumah, Adusei, 2004, "Toward a Theory of Evaluating Predictive Accuracy," Economics Series, Institute for Advanced Studies, number 162, Nov.
• Ahmet ÇETİN, 2004, "Enflasyon, Büyüme Ve Reel-Nominal Belirsizlikler Arasında Nedensellik İlişkileri," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 19, issue 221, pages 71-79.
• Viviana Fernandez, 2005, "The International CAPM and a wavelet-based decomposition of Value at Risk," The Institute for International Integration Studies Discussion Paper Series, IIIS, number iiisdp075, Dec.
• Paresh Kumar Narayan & Russell Smyth, 2004, "Temporal Causality between Human Capital and Real Income in Cointegrated VAR Processes: Empirical Evidence from China, 1960-1990," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 3, issue 1, pages 1-11, April.
• Xiao-Ming Li, 2004, "A Quasi-Bayesian Analysis of Structural Breaks: China's Output and Productivity Series," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 3, issue 1, pages 57-65, April.
• Luis A. Gil-Alana, 2004, "Modelling the Japanese Exchange Rate in Terms of I(d) Statistical Models with Parametric and Semiparametric Techniques," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 3, issue 2, pages 123-138, August.
• Sheng-Yung Yang & Shuh-Chyi Doong, 2004, "Price and Volatility Spillovers between Stock Prices and Exchange Rates: Empirical Evidence from the G-7 Countries," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 3, issue 2, pages 139-153, August.
• Josef L. Loening, 2004, "Time series evidence on education and growth: the case of Guatemala, 1951-2002," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, volume 19, issue 2, pages 3-40, December.
• Mr. C. John McDermott & Mr. Paul Cashin, 2004, "Parity Reversion in Real Exchange Rates: Fast, Slow or Not At All?," IMF Working Papers, International Monetary Fund, number 2004/128, Jul.
• Carlos Pulido, 2004, "El CRÉDITO BANCARIO COMO AR(1): EL CASO DE MÉXICO 1980-2003," 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 3, issue 2, pages 223-235, Junio 200.
• Noé Arón Fuentes & Alberto Godínez Plascencia, 2004, "Tests Of Purchasing Power Parity With Structural Break In The Mexican Economy," 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 3, issue 3, pages 277-301, Septiembr.
• Arturo Lorenzo Valdés, 2004, "Estudio De La Volatilidad Realizada Aplicado Al Índice De Precios Y Cotizaciones De México," 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 3, issue 4, pages 333-341, Diciembre.
• Abhay Pethe & Ajit Karnik, 2004, "Infrastructure Finance In The Time Of Revenue Crunch: Exploring New Avenues For Urban Local Bodies," Department of Economics, University of Mumbai, Mumbai Working Papers, Department of Economics, University of Mumbai, Mumbai, number 10, Feb.