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

2002

• Hassler, Uwe & Rodrigues, Paulo M. M., 2002, "Seasonal Unit Root Tests under Structural Breaks," Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics, number 113.
• Levy, Daniel, 2002, "Cointegration in Frequency Domain," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 23, issue 3, pages 333-339.
• Fischer, Matthias J., 2002, "Solving the Esscher puzzle: the NEF-GHS option pricing model," Discussion Papers, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics, number 42a/2002.
• Fischer, Matthias J., 2002, "Skew generalized secant hyperbolic distributions: unconditional and conditional fit to asset returns," Discussion Papers, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics, number 46/2002.
• Thiele, Rainer, 2002, "Price incentives, non-price factors, and agricultural production in Sub-Saharan Africa: a cointegration analysis," Kiel Working Papers, Kiel Institute for the World Economy, number 1123.
• Holtemöller, Oliver, 2002, "Money and prices: An I(2) analysis for the euro area," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,12.
• Kleinow, Torsten, 2002, "Testing the diffusion coefficient," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,38.
• Zeileis, Achim & Leisch, Friedrich & Kleiber, Christian & Hornik, Kurt, 2002, "Monitoring structural change in dynamic econometric models," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2002,07.
• Bohl, Martin T. & Sell, Friedrich L., 2002, "The demand for money by private firms in a regulated economy: Theoretical underpinnings and empirical evidence for Germany 1960-1998," Working Papers in Economics, Bundeswehr University Munich, Economic Research Group, number 2002,3.

2001

• Hakan Berument & Halil Kiymaz, 2001, "The day of the week effect on stock market volatility," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 25, issue 2, pages 181-193, June, DOI: 10.1007/BF02744521.
• Álvaro Escribano & Oscar Jordá, 2001, "Testing nonlinearity: Decision rules for selecting between logistic and exponential STAR models," Spanish Economic Review, Springer;Spanish Economic Association, volume 3, issue 3, pages 193-209.
• Guglielmo Caporale & Nikitas Pittis, 2001, "Parameter instability, superexogeneity, and the monetary model of the exchange rate," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 137, issue 3, pages 501-524, September, DOI: 10.1007/BF02707628.
• Luis Arango & Andres Gonzalez, 2001, "Some evidence of smooth transition nonlinearity in Colombian inflation," Applied Economics, Taylor & Francis Journals, volume 33, issue 2, pages 155-162, DOI: 10.1080/00036840122443.
• Akira Tokihisa & Shigeyuki Hamori, 2001, "Seasonal Integration For Daily Data," Econometric Reviews, Taylor & Francis Journals, volume 20, issue 2, pages 187-200, DOI: 10.1081/ETC-100103822.
• Christian Gourieroux & Joann Jasiak, 2001, "Dynamic Factor Models," Econometric Reviews, Taylor & Francis Journals, volume 20, issue 4, pages 385-424, DOI: 10.1081/ETC-100106997.
• Kurt Brannas & Jorgen Hellstrom, 2001, "Generalized Integer-Valued Autoregression," Econometric Reviews, Taylor & Francis Journals, volume 20, issue 4, pages 425-443, DOI: 10.1081/ETC-100106998.
• Kevin Denny, 2001, "Asymmetric Central Bank Reaction Function: An Application of Smooth Transition Regression," International Economic Journal, Taylor & Francis Journals, volume 15, issue 4, pages 23-32, DOI: 10.1080/10168730100000050.
• Julio Nogués & Martín Grandes, 2001, "Country Risk: Economic Policy, Contagion Effect or Political Noise?," Journal of Applied Economics, Taylor & Francis Journals, volume 4, issue 1, pages 125-162, May, DOI: 10.1080/15140326.2001.12040561.
• P. Newbold & S. J. Leybourne & R. Sollis & M. E. Wohar, 2001, "U.S. and U.K. Interest Rates 1890 - 1934: New Evidence on Structural Breaks," Trinity Economics Papers, Trinity College Dublin, Department of Economics, number 20011.
• R. Sollis, 2001, "U.S. and U.K. Inflation: Evidence on Structural Change in the Order of Integration," Trinity Economics Papers, Trinity College Dublin, Department of Economics, number 20012.
• Jan F. Kiviet & Garry D.A. Phillips, 2001, "Moment Approximation for Least Squares Estimators in Dynamic Regression Models with a Unit Root," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 01-118/4, Dec.
• Noud P.A. van Giersbergen & Jan F. Kiviet, 2001, "How to implement the Bootstrap in Static or Stable Dynamic Regression Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 01-119/4, Dec.
• Noud P.A. van Giersbergen, 2001, "Bias Correction in a Stable AD(1,1) Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 01-120/4, Dec.
• Swinkels, L.A.P. & van der Sluis, P.J., 2001, "Return-Based Style Analysis with Time-Varying Exposures," Discussion Paper, Tilburg University, Center for Economic Research, number 2001-96.
• Swinkels, L.A.P. & van der Sluis, P.J., 2001, "Return-Based Style Analysis with Time-Varying Exposures," Other publications TiSEM, Tilburg University, School of Economics and Management, number f2c16530-4d18-4f43-bb6d-f.
• Carlos Oyarzún & Iván Araya, 2001, "Long run dynamics of regional growth in Chile," Estudios de Economia, University of Chile, Department of Economics, volume 28, issue 1 Year 20, pages 69-78, June.
• Christian A.Johnson, 2001, "Value at risk: teoría y aplicaciones," Estudios de Economia, University of Chile, Department of Economics, volume 28, issue 2 Year 20, pages 217-247, December.
• Amelia U. Santos-Paulino, 2001, "The Effects of Trade Liberalisation on Imports in Selected Developing Countries," Studies in Economics, School of Economics, University of Kent, number 0110, May.
• François Rycx & Robert Plasman, 2001, "The war of models: determination of wages and employment in Swedish private sector," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/793.
• Rabija SOMUN, 2001, "Empirical analysis of production fonction of Bosnia and Herzegovina for the period 1952-1989," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2001-15.
• Jesús Gonzalo & Michael Wolf, 2001, "Subsampling inference in threshold autoregressive models," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 573, Oct.
• Ulrich K. Müller & Graham Elliott, 2001, "Tests for Unit Roots and the Initial Observation," University of St. Gallen Department of Economics working paper series 2002, Department of Economics, University of St. Gallen, number 2002-02, Dec.
• Angela Black & Patricia Fraser & Nicolaas Groenewold, 2001, "US Stock Prices and Macroeconomic Fundamentals," Economics Discussion / Working Papers, The University of Western Australia, Department of Economics, number 01-08.
• Angela Black & Patricia Fraser & Nicolaas Groenewold, 2001, "How Big is the Speculative Component in Australian Share Prices?," Economics Discussion / Working Papers, The University of Western Australia, Department of Economics, number 01-14.
• Atsushi Inoue & Mototsugu Shintani, 2001, "Bootstrapping GMM Estimators for Time Series," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 0129, Dec, revised Aug 2003.
• David E. A. Giles, 2001, "Output Convergence and International Trade: Time-Series and Fuzzy Clustering Evidence for New Zealand and Her Trading Partners, 1950-1992," Econometrics Working Papers, Department of Economics, University of Victoria, number 0102, Jun.
• Benedikt M. Pötscher, 2001, "Nonlinear Functions and Convergence to Brownian Motion: Beyond the Continuous Mapping Theorem," Vienna Economics Papers, University of Vienna, Department of Economics, number vie0203, Nov.
• Manfred M. Fischer & Wolfgang Koller, 2001, "Testing for Non-Linear Dependence in Univariate Time Series: An Empirical Investigation of the Austrian Unemployment Rate," ERSA conference papers, European Regional Science Association, number ersa01p233, Aug.
• Kurt Brännäs & Andreia Hall, 2001, "Estimation in integer‐valued moving average models," Applied Stochastic Models in Business and Industry, John Wiley & Sons, volume 17, issue 3, pages 277-291, July, DOI: 10.1002/asmb.445.
• William A. Barnett, 2001, "Fellow's Opinion: Tastes and Technology, Curvature is not Sufficient for Regularity," Econometrics, University Library of Munich, Germany, number 0110007, Oct.
• Godwin Nwaobi, 2001, "A Vector Error Correction And Nonnested Modelling Of Money Demand Function In Nigeria," Econometrics, University Library of Munich, Germany, number 0111004, Nov.
• William A. Barnett & Meenakshi Pasupathy, 2001, "Regularity Of The Generalized Quadratic Production Model: A Counterexample," Econometrics, University Library of Munich, Germany, number 0112001, Dec.
• Bengi Kibritcioglu & Bulent Kose & Gamze Ugur, 2001, "A Leading Indicators Approach to the Predictability of Currency," International Finance, University Library of Munich, Germany, number 0108001, Sep, revised 06 Sep 2001.
• 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.
• Reimers, Hans-Eggert & Herwartz, Helmut, 2001, "Long-Run Links Among Money, Prices, and Output: World-Wide Evidence," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2001,14.
• Gil-Alaña, Luis A., 2001, "Forecasting the real output using fractionally integrated techniques," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,27.
• Lanne, Markku & Lütkepohl, Helmut & Saikkonen, Pentti, 2001, "Test procedures for unit roots in time series with level shifts at unknown time," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,39.
• Candelon, Bertrand & Gil-Alaña, Luis A., 2001, "Fractional integration and business cycle features," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,46.
• Lanne, Markku & Lütkepohl, Helmut, 2001, "Unit root tests for time series with level shifts: A comparison of different proposals," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,5.
• Gil-Alaña, Luis A., 2001, "Unit and fractional roots in the presence of abrupt changes with an application to the Brazilian inflation rate," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,67.
• Lanne, Markku & Lütkepohl, Helmut & Saikkonen, Pentti, 2001, "Unit root tests in the presence of innovational outliers," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,82.
• Herwartz, Helmut & Reimers, Hans-Eggert, 2001, "Empirical modeling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,83.
• Sibbertsen, Philipp, 2001, "Log-periodogram estimation of the memory parameter of a long-memory process under trend," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2001,39.
• Sibbertsen, Philipp, 2001, "Long-memory in volatilities of German stock returns," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2001,42.
• Karen Cabos & Nikolaus A. Siegfried, 2001, "Controlling Inflation in Euroland," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics, number 20102, Feb.
• Koskinen, Lasse & Öller, Lars-Erik, 2001, "A Classifying Procedure for Signaling Turning Points," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 427, Feb.
• van Dijk, Dick & Strikholm, Birgit & Teräsvirta, Timo, 2001, "The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 0429, Mar, revised 01 Jun 2004.
• Skoglund, Jimmy, 2001, "A simple efficient GMM estimator of GARCH models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 0434, Feb.
• Yao, Yudong & Lyhagen, Johan, 2001, "Using A Trade-induced Catch-up Model to Explain China's Provincial Economic Growth 1978-97," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 0435, Feb.
• Byström, Hans, 2001, "Managing Extreme Risks in Tranquil and Volatile Markets Using Conditional Extreme Value Theory," Working Papers, Lund University, Department of Economics, number 2001:18, Oct.
• Byström, Hans, 2001, "Extreme Value Theory and Extremely Large Electricity Price Changes," Working Papers, Lund University, Department of Economics, number 2001:19, Oct.
• Lindé, Jesper, 2001, "Estimating New-Keynesian Phillips Curves: A Full Information Maximum Likelihood Approach," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 129, Dec, revised 01 Mar 2005.
• Lindé, Jesper, 2001, "The Empirical Relevance of Simple Forward- and Backward-looking Models: A View from a Dynamic General Equilibrium Model," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 130, Dec.
• Brännäs, Kurt & Nordman, Niklas, 2001, "An Alternative Conditional Asymmetry Specification for Stock Returns," Umeå Economic Studies, Umeå University, Department of Economics, number 556, Apr.
• Brännäs, Kurt & Nordström, Jonas, 2001, "The Number of Occupied Hotel Rooms: A Time Series Model that Accounts for Constrained Capacity and Prices," Umeå Economic Studies, Umeå University, Department of Economics, number 559, May.
• Brännäs, Kurt & Nordman, Niklas, 2001, "Conditional Skewness Modelling for Stock Returns," Umeå Economic Studies, Umeå University, Department of Economics, number 562, Jun.
• Bask, Mikael & de Luna, Xavier, 2001, "Characterizing the degree of stability of non-linear dynamic models," Umeå Economic Studies, Umeå University, Department of Economics, number 564, Nov.
• Bask, Mikael & de Luna, Xavier, 2001, "EMU and the Stability and Volatility of Foreign Exchange: Some Empirical Evidence," Umeå Economic Studies, Umeå University, Department of Economics, number 565, Nov.
• Jorge V. Pérez Rodríguez & Francisco J. Ledesma Rodríguez & Manuel Navarro Ibáñez & Simón Sosvilla-Rivero, 2001, "Expectativas, Aprendizaje Y Credibilidad De La Política Monetaria En España," Hacienda Pública Española / Review of Public Economics, IEF, volume 158, issue 3, September.
• Campbell, John, 2001, "Why Long Horizons? A Study of Power Against Persistent Alternatives," Scholarly Articles, Harvard University Department of Economics, number 3196341.
• Gaspar, Vitor & Perez-Quiros, Gabriel & Sicilia, Jorge, 2001, "The ECB Monetary Policy Strategy and the Money Market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 6, issue 4, pages 325-342, October.
• Mr. C. John McDermott & Mr. Paul Cashin, 2001, "An Unbiased Appraisal of Purchasing Power Parity," IMF Working Papers, International Monetary Fund, number 2001/196, Dec.
• Indrani Chakraborty, 2001, "Economic reforms, capital inflows and macro economic impact in India," Centre for Development Studies, Trivendrum Working Papers, Centre for Development Studies, Trivendrum, India, number 311, Jan.
• N. Vijayamohanan Pillai, 2001, "Electricity demand analysis and forecasting: The tradition is questioned," Centre for Development Studies, Trivendrum Working Papers, Centre for Development Studies, Trivendrum, India, number 312, Feb.
• Alessandra Spremolla, 2001, "Persistencia en el Desempleo de Uruguay," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 38, issue 113, pages 73-89.
• Christian Johnson, 2001, "Un Modelo de Switching para el Crecimiento en Chile," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 38, issue 115, pages 291-319.
• Giancarlo Bruno, 2001, "Seasonal Adjustment of Italian Industrial Production Index using Tramo-Seats," ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY), number 18, Apr.
• DiNardo, John & Tobias, Justin, 2001, "Nonparametric Density and Regression Estimation," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 12020, Jan.
• Ángel León & Antonio Rubia, 2001, "Comportamiento Del Precio Y Volatilidad En El Pool Eléctrico Español," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2001-04, Mar.
• Fuess Jr., Scott M. & Millea, Meghan, 2001, "Pay and Productivity in a Corporatist Economy: Evidence from Austria," IZA Discussion Papers, IZA Network @ LISER, number 244, Jan.
• Addison, John T. & Teixeira, Paulino, 2001, "Employment Adjustment in Portugal: Evidence from Aggregate and Firm Data," IZA Discussion Papers, IZA Network @ LISER, number 391, Nov.
• L. A. Gil-Alana & P. M. Robinson, 2001, "Testing of seasonal fractional integration in UK and Japanese consumption and income," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 16, issue 2, pages 95-114.
• Peter C. B. Phillips, 2001, "Descriptive econometrics for non-stationary time series with empirical illustrations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 16, issue 3, pages 389-413.
• Francis X. Diebold & Lutz Kilian, 2001, "Measuring predictability: theory and macroeconomic applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 16, issue 6, pages 657-669.
• G. Coenen & J.-L. Vega, 2001, "The demand for M3 in the euro area," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 16, issue 6, pages 727-748.
• Jushan Bai & Serena Ng, 2001, "A Panic Attack on Unit Roots and Cointegration," Economics Working Paper Archive, The Johns Hopkins University,Department of Economics, number 469, Dec.
• Hassler Uwe, 2001, "Wealth and Consumption. A Multicointegrated Model for the Unified Germany / Vermögen und Konsum. Ein multikointegriertes Modell für das vereinigte Deutschland," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 221, issue 1, pages 32-44, February, DOI: 10.1515/jbnst-2001-0104.
• Goldrian Georg, 2001, "Direkte Schätzung der Trend-Konjunktur-Komponente versus Saisonbereinigung am aktuellen Zeitreihenrand / Direct Approximation of the Trend-Cyclical-Component versus Seasonal Adjustment at the Current End of a Time Series," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 221, issue 2, pages 129-144, April, DOI: 10.1515/jbnst-2001-0202.
• Franz Wolfgang, 2001, "Neues von der NAIRU? / News from the NAIRU?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 221, issue 3, pages 256-284, June, DOI: 10.1515/jbnst-2001-0303.
• Addison John T. & Teixeira Paulino, 2001, "Employment Adjustment in a “Sclerotic” Labour Market: Comparing Portugal with Germany, Spain, and the United Kingdom / Beschäftigungsanpassung in einem „sklerotischen“ Arbeitsmarkt: Ein Vergleich von Portugal mit Deutschland, Spanien und Großbritanni," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 221, issue 4, pages 353-370, August, DOI: 10.1515/jbnst-2001-0402.
• Banerjee, Anurag N, 2001, "Sensitivity of Univariate AR(1) Time-Series Forecasts Near the Unit Root," Journal of Forecasting, John Wiley & Sons, Ltd., volume 20, issue 3, pages 203-229, April.
• Gil-Alana, Luis A, 2001, "A Fractionally Integrated Exponential Model for UK Unemployment," Journal of Forecasting, John Wiley & Sons, Ltd., volume 20, issue 5, pages 329-340, August.
• Pollock, D S G, 2001, "Filters for Short Non-stationary Sequences," Journal of Forecasting, John Wiley & Sons, Ltd., volume 20, issue 5, pages 341-355, August.
• Hans Dewachter & Konstantijn Maes, 2001, "An Affine Model for International Bond Markets," International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics, number ces0106, Feb.
• Hans Dewachter & Konstantijn Maes, 2001, "An Admissible Affine Model for Joint Term Structure Dynamics of Interest Rates," International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics, number wpie001, Feb.
• Chihwa Kao, 2001, "Geography, Industrial Organization, and Agglomeration Heteroskedasticity Models with Estimates of the Variances of Foreign Exchange Rates," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 34, Feb.
• Chihwa Kao, 2001, "Some New Approaches to Formulate and Estimate Friction-Bernoulli Jump Diffusion and Friction-GARCH," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 35, Feb.
• Kam, T.C.Y., 2001, "Public Infrastructure Spillovers and Growth: Theory and Time Series Evidence for Australia," Department of Economics - Working Papers Series, The University of Melbourne, number 811.
• Anderson, H.M. & Vahid, F., 2001, "Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 3/01, May.
• Athanasopoulos, G. & Anderson, H.M. & Vahid, F., 2001, "Capturing the Shape of Business Cycles with Nonlinear Autoregressive Leading Indicator Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 7/01, Jun.
• Subarna K. Samanta & Ali H. M. Zadeh, 2001, "Foreign Exchange Rates, Asymmetric Adjustment and Threshold Co-integration: Empirical Evidence from Canada," Journal of Economic Insight, Missouri Valley Economic Association, volume 27, issue 2, pages 19-35.
• Yacine Ait-Sahalia, 2001, "Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion," NBER Working Papers, National Bureau of Economic Research, Inc, number 8504, Oct.
• Fountas, Stilianos & Karanasos,Menelaos, 2001, "Inflation and Output Growth Uncertainty and their Relationship with Inflation and Output Growth," Working Papers, National University of Ireland Galway, Department of Economics, number 0053, revised 2001.
• Vasco J. Gabriel, 2001, "Cointegration and the joint confirmation hypothesis," NIPE Working Papers, NIPE - Universidade do Minho, number 12/2001.
• Vasco J. Gabriel & Martin Sola & Zacharias Psaradakis, 2001, "A simple method for testing cointegration subject to regime changes," NIPE Working Papers, NIPE - Universidade do Minho, number 15/2001.
• Vasco J. Gabriel, 2001, "Tests for the Null Hypothesis of Cointegration: a Monte Carlo Comparison," NIPE Working Papers, NIPE - Universidade do Minho, number 7/2001.
• C. Audenis & P. Biscourp & N. Riedinger, 2001, "Is the transmission of crude oil prices to gasoline prices asymmetric?," Documents de Travail de l'Insee - INSEE Working Papers, Institut National de la Statistique et des Etudes Economiques, number g2001-17.
• Solveig Osborg Ose & Jan Morten Dyrstad, 2001, "Non-linear Unemployment Effects in Sickness Absence: Discipline or Composition Effects?," Working Paper Series, Department of Economics, Norwegian University of Science and Technology, number 2502, Feb.
• Jurgen A. Doornik & Marius Ooms, 2001, "Computational Aspects of Maximum Likelihood Estimation of Autoregressive Fractionally Integrated Moving Average Models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2001-W27, Nov.
• W A Razzak, 2001, "Money in the era of inflation targeting," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2001/02, Jul.
• Tim Hampton, 2001, "How much do import price shocks matter for consumer prices?," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2001/06, Nov.
• Mara Meacci & David Turner, 2001, "Modelling Import Responsiveness for OECD Manufactures Trade," OECD Economics Department Working Papers, OECD Publishing, number 311, Oct, DOI: 10.1787/304013015652.
• Sylvia Kaufmann, 2001, "Is there an asymmetric effect on monetary policy over time? A bayesian analysis using Austrian data," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 45, May.
• Vítor Gaspar & Gabriel Perez-Quiros & Jorge Sicilia, 2001, "The ECB monetary policy strategy and the money market," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 47, Jun.
• Gary Chamberlain, 2001, "Minimax Estimation and Forecasting in a Stationary Autoregression Model," American Economic Review, American Economic Association, volume 91, issue 2, pages 55-59, May.
• John DiNardo & Justin L. Tobias, 2001, "Nonparametric Density and Regression Estimation," Journal of Economic Perspectives, American Economic Association, volume 15, issue 4, pages 11-28, Fall.
• Bruce E. Hansen, 2001, "The New Econometrics of Structural Change: Dating Breaks in U.S. Labour Productivity," Journal of Economic Perspectives, American Economic Association, volume 15, issue 4, pages 117-128, Fall.
• Robert Engle, 2001, "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics," Journal of Economic Perspectives, American Economic Association, volume 15, issue 4, pages 157-168, Fall.
• Letson, David & McCullough, B.D., 2001, "Enso And Soybean Prices: Correlation Without Causality," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 33, issue 3, pages 1-9, December, DOI: 10.22004/ag.econ.15443.
• MacKinnon, James, 2001, "Computing Numerical Distribution Functions in Econometrics," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273507, Dec, DOI: 10.22004/ag.econ.273507.
• Gilles Teyssière & Alan Kirman, 2001, "Microeconomic Models for Long-Memory in the Volatility of Financial Time Series," CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 5A.4, Jan.
• Diks, C.G.H. & Manzan, S., 2001, "Tests for serial independence and linearity based on correlation integrals," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 01-02.
• DE CEUSTER, Marc & ANNAERT, Jan & HODSGON, Allan, 2001, "Moment condition failure Australian evidence," Working Papers, University of Antwerp, Faculty of Business and Economics, number 2001010, Apr.
• Shakila Aruman & Mardi Dungey, 2001, "A Perspective on Modelling the Real Trade Weighted Index Since the Float," CEPR Discussion Papers, Centre for Economic Policy Research, Research School of Economics, Australian National University, number 435, Jun.
• Roumen Vesselinov, 2001, "Methods for Forecasting the Business Cycle," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 61-73.
• Richard Luger, 2001, "Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity," Staff Working Papers, Bank of Canada, number 01-2, DOI: 10.34989/swp-2001-2.
• Ying Liu, 2001, "Modelling Mortgage Rate Changes with a Smooth Transition Error-Correction Model," Staff Working Papers, Bank of Canada, number 01-23, DOI: 10.34989/swp-2001-23.
• Fabio Fornari & Antonio Mele, 2001, "Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 396, Feb.
• Luca Dedola & Eugenio Gaiotti & Luca Silipo, 2001, "Money demand in the euro area: do national differences matter?," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 405, Jun.
• Luis Eduardo Arango & Andrés González & Carlos Esteban Posada, 2001, "Returns and Interest Rate: A Nonlinear Relationship in the Bogotá Stock Market," Borradores de Economia, Banco de la Republica de Colombia, number 169, Jan, DOI: 10.32468/be.169.
• Luis Eduardo Arango & Carlos Esteban Posada, 2001, "El Desempleo en Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 176, Mar, DOI: 10.32468/be.176.
• Luis Eduardo Arango & Luis Fernando Melo, 2001, "Expansions and Contractions in Some Latin American Countries: A view Throught Non-Linear Models," Borradores de Economia, Banco de la Republica de Colombia, number 186, Sep, DOI: 10.32468/be.186.
• Rockinger, Michael & Urga, Giovanni, 2001, "A Time-Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies," Journal of Business & Economic Statistics, American Statistical Association, volume 19, issue 1, pages 73-84, January.
• Taylor, A M Robert & Smith, Richard J, 2001, "Tests of the Seasonal Unit-Root Hypothesis against Heteroscedastic Seasonal Integration," Journal of Business & Economic Statistics, American Statistical Association, volume 19, issue 2, pages 192-207, April.
• Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2009, "Private information, stock markets, and exchange rates," BIS Working Papers, Bank for International Settlements, number 271, Feb.
• Heather M. Anderson & Farshid Vahid, 2001, "Market Architecture and Nonlinear Dynamics of Australian Stock and Futures Indices," Australian Economic Papers, Wiley Blackwell, volume 40, issue 4, pages 541-566, December, DOI: 10.1111/1467-8454.00141.
• David E.A. Giles & Gugsa T. Werkneh & Betty J. Johnson, 2001, "Asymmetric Responses of the Underground Economy to Tax Changes: Evidence From New Zealand Data," The Economic Record, The Economic Society of Australia, volume 77, issue 237, pages 148-159, June, DOI: 10.1111/1475-4932.00010.
• Óan T. Henry & Peter M. Summers, 2001, "Corrigendum: Australian Economic Growth: Nonlinearities and International Influences," The Economic Record, The Economic Society of Australia, volume 77, issue 237, pages 223-224, June, DOI: 10.1111/1475-4932.00017.
• Karen Cabos & Michael Funke & Nikolaus A. Siegfried, 2001, "Some Thoughts on Monetary Targeting vs. Inflation Targeting," German Economic Review, Verein für Socialpolitik, volume 2, issue 3, pages 219-238, August, DOI: 10.1111/1468-0475.00035.
• Jörg Breitung & Christian Wulff, 2001, "Non‐linear Error Correction and the Efficient Market Hypothesis: The Case of German Dual‐Class Shares," German Economic Review, Verein für Socialpolitik, volume 2, issue 4, pages 419-434, November, DOI: 10.1111/1468-0475.00047.
• Katsuto Tanaka, 2001, "K‐Asymptotics Associated with Deterministic Trends in Integrated and Near‐Integrated Processes," The Japanese Economic Review, Japanese Economic Association, volume 52, issue 1, pages 35-63, March, DOI: 10.1111/1468-5876.00179.
• Fabio Busetti & Andrew Harvey, 2001, "Testing for the Presence of a Random Walk in Series with Structural Breaks," Journal of Time Series Analysis, Wiley Blackwell, volume 22, issue 2, pages 127-150, March, DOI: 10.1111/1467-9892.00216.
• L. A. Gil‐Alana, 2001, "Testing Stochastic Cycles in Macroeconomic Time Series," Journal of Time Series Analysis, Wiley Blackwell, volume 22, issue 4, pages 411-430, July, DOI: 10.1111/1467-9892.00233.
• Menelaos Karanasos, 2001, "Prediction in ARMA Models with GARCH in Mean Effects," Journal of Time Series Analysis, Wiley Blackwell, volume 22, issue 5, pages 555-576, September, DOI: 10.1111/1467-9892.00241.
• Leonardo Bartolini & Lorenzo Giorgianni, 2001, "Excess Volatility of Exchange Rates with Unobservable Fundamentals," Review of International Economics, Wiley Blackwell, volume 9, issue 3, pages 518-530, August, DOI: 10.1111/1467-9396.00297.
• Christopher F. Baum & John Barkoulas, 2001, "Dynamics of Intra-EMS Interest Rate Linkages," Boston College Working Papers in Economics, Boston College Department of Economics, number 492, Feb, revised 04 May 2004.
• Jushan Bai & Serena Ng, 2001, "Tests for Skewness, Kurtosis, and Normality for Time Series Data," Boston College Working Papers in Economics, Boston College Department of Economics, number 501, Jun.
• Jushan Bai & Serena Ng, 2001, "A PANIC Attack on Unit Roots and Cointegration," Boston College Working Papers in Economics, Boston College Department of Economics, number 519, Dec.
• Cabos Karen & Funke Michael & Siegfried Nikolaus A., 2001, "Some Thoughts on Monetary Targeting vs. Inflation Targeting," German Economic Review, De Gruyter, volume 2, issue 3, pages 219-238, August, DOI: 10.1111/1468-0475.00035.
• Breitung Jörg & Wulff Christian, 2001, "Non-linear Error Correction and the Efficient Market Hypothesis: The Case of German Dual-Class Shares," German Economic Review, De Gruyter, volume 2, issue 4, pages 419-434, December, DOI: 10.1111/1468-0475.00047.
• Aurélie Boubel & Sébastien Laurent & Christelle Lecourt, 2001, "L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar," Revue économique, Presses de Sciences-Po, volume 52, issue 2, pages 353-370.
• Harvey, A.C. & Trimbur, T.M., 2001, "General Model-based Filters for Extracting Cycles and Trends in Economic Time Series," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0113, Jul.
• Muller, Ulrich & Elliott, Graham, 2001, "Tests for Unit Roots and the Initial Observation," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt9h99b2sv, Dec.
• Francisco J. André & Ricardo Martín & Javier J. Pérez, 2001, "Computing Robust Stylized Facts on Comovement," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2001/03.
• Natalia Fabra & Juan Toro, 2001, "Price Wars and Collusion in the Spanish Electricity Market," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2001/05.
• Julio Nogués & Martín Grandes, 2001, "COUNTRY RISK: Economic Policy, Contagion Effect or Political noise?," Journal of Applied Economics, Universidad del CEMA, volume 4, pages 125-162, May.
• Xiaohong Chen & Oliver Linton & Peter M Robinson, 2001, "The Estimation of Conditional Densities," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 415, May.
• Javier Hidalgo & Yoshihiro Yajima, 2001, "Prediction and Signal Extraction of Strong Dependent Processess in the Frequency Domain," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 418, Jun.
• Morten O. Ravn & Harald Uhlig, 2001, "On Adjusting the HP-Filter for the Frequency of Observations," CESifo Working Paper Series, CESifo, number 479.
• Rómulo A. Chumacero & Francisco A. Gallego, 2001, "Trends and Cycles in Real-Time," Working Papers Central Bank of Chile, Central Bank of Chile, number 130, Nov.
• Zoulfikar Mehoumoud Issop, 2001, "Choc des termes de l'echange et balance courante : Une estimation des effets de substitution en France (1972-1998)," Economie Internationale, CEPII research center, issue 86, pages 27-47.
• Peter Christoffersen & Jinyong Hahn & Atsushi Inoue, 2001, "Testing and Comparing Value-at-Risk Measures," CIRANO Working Papers, CIRANO, number 2001s-03, Jan.
• John W. Galbraith & Victoria Zinde-Walsh, 2001, "Autoregression-Based Estimators for ARFIMA Models," CIRANO Working Papers, CIRANO, number 2001s-11, Feb.
• John W. Galbraith & Victoria Zinde-Walsh, 2001, "Properties of Estimates of Daily GARCH Parameters Basaed on Intra-Day Observations," CIRANO Working Papers, CIRANO, number 2001s-15, Feb.
• Jean-Thomas Bernard & Jean-Marie Dufour & Ian Genest & Lynda Khalaf, 2001, "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," CIRANO Working Papers, CIRANO, number 2001s-25, Apr.
• John M. Maheu & Thomas McCurdy, 2001, "Nonlinear Features of Realized FX Volatility," CIRANO Working Papers, CIRANO, number 2001s-42, Jun.
• Marc Brisson & Bryan Campbell & John W. Galbraith, 2001, "Forecasting Some Low-Predictability Time Series Using Diffusion Indices," CIRANO Working Papers, CIRANO, number 2001s-46, Jul.
• Eric Ghysels & Alain Guay, 2001, "Testing for Structural Change in the Presence of Auxiliary Models," CIRANO Working Papers, CIRANO, number 2001s-54, Sep.
• John W. Galbraith & Serguei Zernov & Victoria Zinde-Walsh, 2001, "Conditional Quantiles of Volatility in Equity Index and Foreign Exchange Data," CIRANO Working Papers, CIRANO, number 2001s-61, Nov.
• G. Boero & E. Marrocu, 2001, "Evaluating non-linear models on point and interval forecasts: an application with exchange rate returns," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 200110.
• Luis Eduardo Arango T. & Carlos Esteban Posada, 2001, "El Desempleo En Colombia," Borradores de Economia, Banco de la Republica, number 2495, Mar.
• Luis Eduardo Arango & Luis Fernando Melo, 2001, "Expansions and Contractions in Some Latin American Countries: A View Throught Non- Linear Models," Borradores de Economia, Banco de la Republica, number 2691, Sep.
• Luis Eduardo Arango & Andr�s Gonz�lez & Carlos Esteban Posada, 2001, "Returns And Interest Rate: A Nonlinear Relationship In The Bogota Stock Market," Borradores de Economia, Banco de la Republica, number 3468, Jan.
• Norberto Rodríguez, 2001, "Bayesian estimation and model selection for the weekly Colombian exchange rate," Revista de Economía del Rosario, Universidad del Rosario.
• Guglielmo Maria Caporale & Nikitas Pittis, 2001, "Persistence in macroeconomic time series: Is it a model invariant property?," Revista de Economía del Rosario, Universidad del Rosario.
• Philip Hans Franses, 2001, "Some comments on seasonal adjustment," Revista de Economía del Rosario, Universidad del Rosario.
• David Fernando Tobón & Gustavo López, 2001, "Suministro de información y seguros de confiabilidad en el mercado spot de generación de electricidad colombiano," Revista de Economía del Rosario, Universidad del Rosario.
• Elsa M. Castro Franco, 2001, "Algunos tópicos econométricos de interés: Series de tiempo, pronósticos, no linealidad," Apuntes del Cenes, Universidad Pedagógica y Tecnológica de Colombia.
• Luis Eduardo Arango T. & Carlos Esteban Posada P., 2001, "El desempleo en Colombia," Coyuntura Social, Fedesarrollo, number 12955, May.
• FERNANDES, Marcelo & GRAMMIG, Joachim, 2001, "A family of autoregressive conditional duration models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2001036, Aug.
• HAFNER, Christian & HERWARTZ, Helmut, 2001, "Volatility impulse response functions for multivariate GARCH models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2001039, Sep.
• HAFNER, Christian, 2001, "Fourth moments of multivariate GARCH processes," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2001046, Jun.
• Wolff, Christian & Lehnert, Thorsten, 2001, "Modelling Scale-Consistent VaR with the Truncated Lévy Flight," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2711, Feb.
• Rockinger, Michael & Poon, Ser-Huang & Tawn, Jonathan, 2001, "New Extreme-Value Dependence Measures and Finance Applications," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2762, Apr.