Research classified by Journal of Economic Literature (JEL) codes

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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

• Luis Gil-alana, 2004, "Testing of Unit Root Cycles in the Swedish Economy," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 31, issue 4, pages 333-344, December, DOI: 10.1007/s10663-004-0521-5.
• Hannah Nielsen & Giuseppe Tullio & Jürgen Wolters, 2004, "Currency substitution and the stability of the Italian demand for money before the entry into the monetary union, 1972–1998," International Economics and Economic Policy, Springer, volume 1, issue 1, pages 73-85, March, DOI: 10.1007/s10368-003-0001-6.
• Ibrahim Chowdhury & Gregory Gadzinski & Mathias Hoffmann, 2004, "Asymmetric Dynamics in the Current Account: Evidence from Long-Horizon Data," Working Paper Series in Economics, University of Cologne, Department of Economics, number 13, Sep.
• Theodore Panagiotidis & David Chappell, 2004, "Using the Correlation Dimension to Detect non-linear dynamics," Discussion Paper Series, Department of Economics, Loughborough University, number 2004_17, Nov, revised Nov 2004.
• Theodore Panagiotidis & Emilie Rutledge, 2004, "Oil and gas market in the UK: evidence from a cointegration approach," Discussion Paper Series, Department of Economics, Loughborough University, number 2004_18, Nov, revised Nov 2004.
• Christopher F. Baum & Mustafa Caglayan & Neslihan Ozkan, 2004, "The second moments matter: The response of bank lending behavior to macroeconomic uncertainty," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 04/13, May.
• Gary M. Koop & Simon M. Potter, 2004, "Forecasting and Estimating Multiple Change-point Models with an Unknown Number of Change-points," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 04/31, Nov.
• Greg Hannsgen, 2004, "Gibson's Paradox, Monetary Policy, and the Emergence of Cycles," Economics Working Paper Archive, Levy Economics Institute, number wp_410, Jul.
• Bernardina Algieri, 2004, "Price and Income Elasticities of Russian Exports," European Journal of Comparative Economics, Cattaneo University (LIUC), volume 1, issue 2, pages 175-193, December.
• Schlicht, Ekkehart, 2004, "Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter," Discussion Papers in Economics, University of Munich, Department of Economics, number 304, Feb.
• Ivars Tillers, 2004, "Money Demand in Latvia," Working Papers, Latvijas Banka, number 2004/03, Nov.
• D. Johannes Juttner & Wayne Leung, 2004, "Towards Decoding Currency Volatilities," Research Papers, Macquarie University, Department of Economics, number 0405, Aug.
• D van Dijk & D R Osborn & M Sensier, 2004, "Testing for causality in variance in the presence of breaks," Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester, number 45.
• Peter Hans Matthews, 2004, "Paradise Lost and Found? The Econometric Contributions of Clive W.J. Granger and Robert F. Engle," Middlebury College Working Paper Series, Middlebury College, Department of Economics, number 0416, Sep.
• Stilianos Fountas & Alexandra Ioannidis & Menelaos Karanasos, 2004, "Inflation, inflation uncertainty, and a common European Monetary Policy," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 30, Sep.
• David McMillan, 2004, "Non-linear predictability of UK stock market returns," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 63, Sep.
• Kostas Mouratidis & Nicola Spagnolo, 2004, "Evaluating currency crises: the case of the European Monetary System," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 69, Sep.
• Roberto Ricciuti, 2004, "Nonlinearity in testing for fiscal sustainability," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group, number 80, Sep.
• Don Bredin & Stilianos Fountas, 2004, "Macroeconomic Uncertainty and Macroeconomic Performance: Are they related?," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group, number 51, Sep.
• Marianna Valentinyi-Endrész, 2004, "Structural breaks and financial risk management," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2004/11.
• 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.
• Ralph D. Snyder, 2004, "Exponential Smoothing: A Prediction Error Decomposition Principle," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 15/04, Aug.
• Heather M. Anderson & Chin Nam Low & Ralph Snyder, 2004, "Single Source of Error State Space Approach to the Beveridge Nelson Decomposition," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 21/04, Nov.
• Heather M. Anderson & Chin Nam Low, 2004, "Random Walk Smooth Transition Autoregressive Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 22/04, Nov, revised May 2005.
• Phillip Gould & Anne B. Koehler & Farshid Vahid-Araghi & Ralph D. Snyder & J. Keith Ord & Rob J. Hyndman, 2004, "Forecasting Time-Series with Correlated Seasonality," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 28/04, Dec, revised Oct 2005.
• McCAUSLAND, William, 2004, "Time Reversibility of Stationary Regular Finite State Markov Chains," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2004-07.
• McCAUSLAND, William J., 2004, "Time Reversibility of Stationary Regular Finite State Markov Chains," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 09-2004.
• Viv Hall & C. John McDermott, 2004, "Regional business cycles in New Zealand: Do they exist? What might drive them?," Motu Working Papers, Motu Economic and Public Policy Research, number 04_10, Oct.
• V. Baugnet & M. Hradisky, 2004, "Determinants of Belgian bank lending intrest rates," Economic Review, National Bank of Belgium, issue iii, pages 43-58, September.
• Astrid Van Landschoot, 2004, "Determinants of Euro Term Structure of Credit Spreads," Working Paper Research, National Bank of Belgium, number 57, Jul.
• Nelson C. Mark & Donggyu Sul, 2004, "The Use of Predictive Regressions at Alternative Horizons in Finance and Economics," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0298, Aug.
• Shiu-Sheng Chen & Charles Engel, 2004, "Does "Aggregation Bias" Explain the PPP Puzzle?," NBER Working Papers, National Bureau of Economic Research, Inc, number 10304, Feb.
• Joshua D. Angrist & Guido M. Kuersteiner, 2004, "Semiparametric Causality Tests Using the Policy Propensity Score," NBER Working Papers, National Bureau of Economic Research, Inc, number 10975, Dec.
• Aykut Kibritçioğlu, 2004, "An Analysis of Early Warning Signals of Currency Crises in Turkey, 1986-2004," International Finance, Socionet, number kibritcioglu_aykut.62178-, Nov.
• Christopher Bowdler & Eilev S. Jansen, 2004, "Testing for a time-varying price-cost markup in the Euro area inflation process," Working Paper Series, Department of Economics, Norwegian University of Science and Technology, number 4004, Feb, revised 11 May 2004.
• Eilev S. Jansen, 2004, "Modelling inflation in the Euro Area," Working Paper Series, Department of Economics, Norwegian University of Science and Technology, number 4104, Mar, revised 01 Jun 2004.
• Christopher Bowdler & Eilev S. Jansen, 2004, "Testing for a time-varying price-cost markup in the Euro area inflation process," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W10, Apr.
• David F. Hendry & Carlos Santos, 2004, "Regression Models with Data-based Indicator Variables," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W13, Nov.
• 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," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W28, Nov.
• David F. Hendry & Carlos Santos, 2004, "Regression Models with Data-based Indicator Variables," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W04, Feb.
• Angela Huang, 2004, "Examining finite-sample problems in the application of cointegration tests for long-run bilateral exchange rates," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP 2004/08, Oct.
• Kam Leong Szeto & Melody Guy, 2004, "Estimating a New Zealand NAIRU," Treasury Working Paper Series, New Zealand Treasury, number 04/10, Sep.
• Annabelle Mourougane & Hideyuki Ibaragi, 2004, "Is There a Change in the Trade-Off Between Output and Inflation at Low or Stable Inflation Rates?: Some Evidence in the Case of Japan," OECD Economics Department Working Papers, OECD Publishing, number 379, Feb, DOI: 10.1787/685810855735.
• Torsten Sløk & Mike Kennedy, 2004, "Factors Driving Risk Premia," OECD Economics Department Working Papers, OECD Publishing, number 385, Apr, DOI: 10.1787/738228687051.
• Robert H. McGuckin & Ataman Ozyildirim, 2004, "Real-Time Tests of the Leading Economic Index: Do Changes in the Index Composition Matter?," Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, volume 2004, issue 2, pages 171-191, DOI: 10.1787/jbcma-v2004-art11-en.
• David E. Rapach & Christian E. Weber, 2004, "Financial Variables and the Simulated Out-of-Sample Forecastability of U.S. Output Growth Since 1985: An Encompassing Approach," Economic Inquiry, Western Economic Association International, volume 42, issue 4, pages 717-738, October.
• Markus Haas, 2004, "Mixed Normal Conditional Heteroskedasticity," Journal of Financial Econometrics, Oxford University Press, volume 2, issue 2, pages 211-250.
• Neil Shephard, 2004, "Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise," Economics Series Working Papers, University of Oxford, Department of Economics, number 2004-FE-20, Nov.
• Guillaume Chevillon, 2004, "`Weak` trends for inference and forecasting in finite samples," Economics Series Working Papers, University of Oxford, Department of Economics, number 210, Dec.
• Patrick J. Wilson & L.J. Perry, 2004, "Forecasting Australian Unemployment Rates using Spectral Analysis," Australian Journal of Labour Economics (AJLE), Bankwest Curtin Economics Centre (BCEC), Curtin Business School, volume 7, issue 4, pages 459-480, December.
• Robert Dixon & G.C. Lim, 2004, "The Incidence of Long-term Unemployment in Australia 1978-2003," Australian Journal of Labour Economics (AJLE), Bankwest Curtin Economics Centre (BCEC), Curtin Business School, volume 7, issue 4, pages 501-513, December.
• 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.
• Kleiber, Christian & Krämer, Walter, 2004, "Finite sample of the Durbin-Watson test against fractionally integrated disturbances," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2004,15.
• Kleiber, Christian & Zeileis, Achim, 2004, "Validating multiple structural change models : A case study," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2004,34.
• Herzberg, Markus & Sibbertsen, Philipp, 2004, "Pricing of options under different volatility models," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2004,62.
• Lüders, Erik & Schröder, Michael, 2004, "Modeling Asset Returns: A Comparison of Theoretical and Empirical Models," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 04-19.
• Schröder, Michael & Lüders, Erik, 2004, "Modeling Asset Returns: A Comparison of Theoretical and Empirical Models," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 04-19 [rev.].
• Bystrom, Hans N. E., 2004, "Managing extreme risks in tranquil and volatile markets using conditional extreme value theory," International Review of Financial Analysis, Elsevier, volume 13, issue 2, pages 133-152.
• Baum, Christopher F., 2004, "A review of Stata 8.1 and its time series capabilities," International Journal of Forecasting, Elsevier, volume 20, issue 1, pages 151-161.
• Corradi, Valentina & Swanson, Norman R., 2004, "Some recent developments in predictive accuracy testing with nested models and (generic) nonlinear alternatives," International Journal of Forecasting, Elsevier, volume 20, issue 2, pages 185-199.
• Boero, Gianna & Marrocu, Emanuela, 2004, "The performance of SETAR models: a regime conditional evaluation of point, interval and density forecasts," International Journal of Forecasting, Elsevier, volume 20, issue 2, pages 305-320.
• Pesaran, M. Hashem & Timmermann, Allan, 2004, "How costly is it to ignore breaks when forecasting the direction of a time series?," International Journal of Forecasting, Elsevier, volume 20, issue 3, pages 411-425.
• Bos, Charles S, 2004, "Time Series Modelling using TSMod 3.24," International Journal of Forecasting, Elsevier, volume 20, issue 3, pages 515-522.
• Chen, Jyh-Yaw Joseph & Giles, David E.A., 2004, "Gender convergence in crime: Evidence from Canadian adult offense charge data," Journal of Criminal Justice, Elsevier, volume 32, issue 6, pages 593-606.
• Christoffersen, Peter & Jacobs, Kris, 2004, "The importance of the loss function in option valuation," Journal of Financial Economics, Elsevier, volume 72, issue 2, pages 291-318, May.
• Klaassen, Franc, 2004, "Why is it so difficult to find an effect of exchange rate risk on trade?," Journal of International Money and Finance, Elsevier, volume 23, issue 5, pages 817-839, September.
• Candelon, B. & Gil-Alana, L. A., 2004, "Seasonal and long-run fractional integration in the Industrial Production Indexes of some Latin American countries," Journal of Policy Modeling, Elsevier, volume 26, issue 3, pages 301-313, April.
• Broszkiewicz-Suwaj, E & Makagon, A & Weron, R & Wyłomańska, A, 2004, "On detecting and modeling periodic correlation in financial data," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 336, issue 1, pages 196-205, DOI: 10.1016/j.physa.2004.01.025.
• Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004, "Fractional cointegration and tests of present value models," Review of Financial Economics, Elsevier, volume 13, issue 3, pages 245-258.
• Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004, "Fractional cointegration and real exchange rates," Review of Financial Economics, Elsevier, volume 13, issue 4, pages 327-340.
• Ørregaard Nielsen, Morten, 2004, "Local empirical spectral measure of multivariate processes with long range dependence," Stochastic Processes and their Applications, Elsevier, volume 109, issue 1, pages 145-166, January.
• Don Harding & Adrian Pagan, 2004, "Synchronization of Cycles," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2004-03, Jun.
• Linton, Oliver, 2004, "Nonparametric inference for unbalanced time series data," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2116, Apr.
• Robinson, Peter, 2004, "Efficiency improvements in inference on stationary and nonstationary fractional time series," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2126, Nov.
• Robinson, Peter M., 2004, "Robust covariance matrix estimation : HAC estimates with long memory/antipersistence correction," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2157, Mar.
• Iacone, Fabrizio & Robinson, Peter M., 2004, "Cointegration in fractional systems with deterministic trends," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2232, May.
• Robinson, Peter M., 2004, "The distance between rival nonstationary fractional processes," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 2282, Mar.
• Kristensen, Dennis, 2004, "Estimation of partial differential equations with applications in finance," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24738, Jun.
• Mencia, Javier F. & Sentana, Enrique, 2004, "Estimation and testing of dynamic models with generalised hyperbolic innovations," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24742, Jun.
• Kim, Woocheol & Linton, Oliver, 2004, "A local instrumental variable estimation method for generalized additive volatility models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24758, May.
• Giraitis, Liudas & Leipus, Remigijus & Robinson, Peter M. & Surgailis, Donatas, 2004, "LARCH, leverage, and long memory," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 294.
• Athanasios P. Papadopoulos & Moise G. Sidiropoulos, 2004, "Money Financed Deficits, Central Bank Reform and Inflation Persistence:Evidence from Selected European Countries," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 7, issue 1, pages 1-17, Summer.
• Dimitrios F. Kenourgios & Ioannis Petropoulos, 2004, "The Persistence of Mutual Funds Performance: Evidence From The UK Stock Market," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 7, issue 2, pages 121-138, Winter.
• Andros Gregoriou & Christos Ioannidis, 2004, "Asset Pricing Under the Presence of Transactions Cost:Evidence from the UK Stock Market," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 7, issue 2, pages 139-151, Winter.
• Franco Bevilacqua & Adriaan van Zon, 2004, "Random walks and non-linear paths in macroeconomic time series: some evidence and implications," Chapters, Edward Elgar Publishing, chapter 3, in: John Foster & Werner Hölzl, "Applied Evolutionary Economics and Complex Systems".
• Prado Domínguez, Javier, 2004, "Una estimación de la economía informal en España, según un enfoque monetario, 1964-2001," El Trimestre Económico, Fondo de Cultura Económica, volume 71, issue 282, pages 417-452, abril-jun.
• William A. Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan, 2004, "A Single-Blind Controlled Competition Among Tests for Nonlinearity and Chaos," Contributions to Economic Analysis, Emerald Group Publishing Limited, "Functional Structure and Approximation in Econometrics", DOI: 10.1108/S0573-8555(2004)0000261033.
• Hafner, C.M. & Herwartz, H., 2004, "Testing for causality in variance using multivariate GARCH models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-20, May.
• Hafner, C.M. & Rombouts, J.V.K., 2004, "Semiparametric multivariate volatility models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-21, May.
• Hafner, C.M., 2004, "Temporal aggregation of multivariate GARCH processes," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-29, Aug.
• Hafner, C.M. & Rombouts, J.V.K., 2004, "Estimation of temporally aggregated multivariate GARCH models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-30, Aug.
• de Pooter, M.D. & van Dijk, D.J.C., 2004, "Testing for changes in volatility in heteroskedastic time series - a further examination," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-38, Sep.
• van Dijk, D.J.C. & Osborn, D.R. & Sensier, M., 2004, "Testing for causality in variance in the presence of breaks," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-48, Nov.
• Post, G.T. & van Vliet, P., 2004, "Conditional Downside Risk and the CAPM," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2004-048-F&A, Jul.
• Luis A. Gil-Alana, 2004, "Estimation of the order of integration in the UK and the us interest rates using fractionally integrated semiparametric techniques," European Research Studies Journal, European Research Studies Journal, volume 0, issue 1-2, pages 29-40.
• Lynn, Peter & Jäckle, Annette & Sala, Emanuela & P. Jenkins, Stephen, 2004, "Validation of survey data on income and employment: the ISMIE experience," ISER Working Paper Series, Institute for Social and Economic Research, number 2004-14, Aug.
• Lynn, Peter & Jäckle, Annette & Sala, Emanuela & P. Jenkins, Stephen, 2004, "The effects of dependent interviewing on responses to questions on income sources," ISER Working Paper Series, Institute for Social and Economic Research, number 2004-16, Sep.
• Lynn, Peter & Jäckle, Annette & Sala, Emanuela & P. Jenkins, Stephen, 2004, "Linking household survey and administrative record data: what should the matching variables be?," ISER Working Paper Series, Institute for Social and Economic Research, number 2004-23, Oct.
• Lynn, Peter & Jäckle, Annette & Sala, Emanuela & P. Jenkins, Stephen & Cappellari, Lorenzo, 2004, "Patterns of consent: evidence from a general household survey," ISER Working Paper Series, Institute for Social and Economic Research, number 2004-27, Dec.
• Ermisch, John & Gambetta, Diego, 2008, "Do strong family ties inhibit trust?," ISER Working Paper Series, Institute for Social and Economic Research, number 2008-37, Nov.
• Pilar Bengoechea & Gabriel Pérez Quirós, 2004, "A useful tool to identify recessions in the euro area," European Economy - Economic Papers 2008 - 2015, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission, number 215, Oct.
• Paulo M.M. Rodrigues & A.M. Robert Taylor, 2004, "Efficient Tests of the Seasonal Unit Root Hypothesis," Economics Working Papers, European University Institute, number ECO2004/29.
• Paulo M. M. Rodrigues, 2004, "Properties of Recursive Trend-Adjusted Unit Root Tests," Economics Working Papers, European University Institute, number ECO2004/31.
• Anindya Banerjee & Bill Russell, 2004, "Competition, the Lisbon Strategy and the Euro," Economics Working Papers, European University Institute, number ECO2004/32.
• Jean-Guillaume Sahuc, 2004, "Partial Indexation and Inflation Dynamics: What Do the Data Say?," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne, number 04-06.
• Renata Pašalièová & Vladimír Stiller, 2004, "Credit and Household Consumption," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 54, issue 11-12, pages 520-540, November.
• Luboš Komárek, 2004, "The Nobel Prize Laureates, 2003," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 54, issue 7-8, pages 355-356, July.
• Guillaume Chevillon, 2004, ""Weak" trends for inference and forecasting in finite samples," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2004-12.
• Guillaume Chevillon, 2004, "A Comparison of Multi-step GDP Forecasts for South Africa," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2004-13.
• Siddhartha Chib & Michael J. Dueker, 2004, "Non-Markovian regime switching with endogenous states and time-varying state strengths," Working Papers, Federal Reserve Bank of St. Louis, number 2004-030, DOI: 10.20955/wp.2004.030.
• Gary Koop & Simon M. Potter, 2004, "Forecasting and estimating multiple change-point models with an unknown number of change points," Staff Reports, Federal Reserve Bank of New York, number 196.
• Enrique Sentana, 2004, "Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations," FMG Discussion Papers, Financial Markets Group, number dp502, Jun.
• Woocheol Kim & Oliver Linton, 2004, "A Local Instrumental Variable Estimation Method For Generalized Additive Volatility Models," FMG Discussion Papers, Financial Markets Group, number dp509, Sep.