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

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• Nielsen, Morten Oe., , "Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2002-16.
• Nielsen, Morten Oe., , "Semiparametric Estimation in Time Series Regression with Long Range Dependence," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2002-17.
• Morten Oerregaard Nielsen, , "Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2002-7.
• Morten Oerregaard Nielsen, , "Local Whittle Analysis of Stationary Fractional Cointegration," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2002-8.
• Haldrup, Niels & Nielsen, Morten Oe., , "Estimation of Fractional Integration in the Presence of Data Noise," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2003-10.
• Rotger, Gabriel Pons, , "Testing for Seasonal Unit Roots with Temporally Aggregated Time Series," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2003-16.
• Haldrup, Niels, , "Empirical analysis of price data in the delineation of the relevant geographical market in competition analysis," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2003-9.
• Peter Reinhard Hansen & Zhuo (Albert) Huang & Howard Howan Shek, , "Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-13.
• Robinson Kruse, , "Forecasting autoregressive time series under changing persistenceCreation-Date: 20100701," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-28.
• Powell, Alan A., , "How Does the Share of Imports Change During Structural Adjustment?," Center of Policy Studies (COPS) Impact Project Papers, Monash University Center of Policy Studies, number 266357, DOI: 10.22004/ag.econ.266357.
• Fraccaro, Richard & Hyndman, Rob & Veevers, Alan, , "Residual Diagnostic Plots for Checking for Model Mis-Specification in Time Series Regression," Department of Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 267485, DOI: 10.22004/ag.econ.267485.
• Hall, Viv & John, McDermott, , "A Quarterly Post-World War II Real GDP Series for New Zealand," Motu Working Papers, Motu Economic and Public Policy Research, number 292854, DOI: 10.22004/ag.econ.292854.
• Ohlan, Ramphul, 2013, "Efficiency and Total Factor Productivity Growth in Indian Dairy Sector," Quarterly Journal of International Agriculture, Humboldt-Universitaat zu Berlin, volume 52, issue 01, pages 1-27, February, DOI: 10.22004/ag.econ.155486.
• Carvalho, Glauco Rodrigues & Costa, Rafael, 2015, "The Impacts of Compulsory Crop Insurance in the Brazilian Dairy Sector," 2015 Annual Meeting, January 31-February 3, 2015, Atlanta, Georgia, Southern Agricultural Economics Association, number 196871, Jan, DOI: 10.22004/ag.econ.196871.
• Selin Dincer & Fatih Akın, , "Do economic complexity and energy consumption affect environmental performance? Evidence based on the LCC hypothesis in the Türkiye economy," Review of Socio - Economic Perspectives, Reviewsep, number 202358, DOI: 10.2478/rsep-2025-0011.
• Mircea Gligor & Marcel Ausloos, 2008, "Convergence and cluster structures in EU area according to fluctuations in macroeconomic indices," Papers, arXiv.org, number 0805.3071, May.
• Antoine Jacquier & Saad Slaoui, 2010, "Variance dispersion and correlation swaps," Papers, arXiv.org, number 1004.0125, Apr.
• Lukas Vacha & Karel Janda & Ladislav Kristoufek & David Zilberman, 2012, "Time-Frequency Dynamics of Biofuels-Fuels-Food System," Papers, arXiv.org, number 1209.0900, Sep.
• Muhammad Khan & Mazen Kebewar & Nikolay Nenovsky, 2013, "Inflation Uncertainty, Output Growth Uncertainty and Macroeconomic Performance: Comparing Alternative Exchange Rate Regimes in Eastern Europe," Papers, arXiv.org, number 1303.6192, Mar.
• Jozef Barunik & Lukas Vacha, 2013, "Contagion among Central and Eastern European stock markets during the financial crisis," Papers, arXiv.org, number 1309.0491, Sep, revised Sep 2013.
• Ladislav Kristoufek & Petra Lunackova, 2013, "Long-term memory in electricity prices: Czech market evidence," Papers, arXiv.org, number 1309.0582, Sep.
• Francesco Audrino & Lorenzo Camponovo, 2013, "Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models," Papers, arXiv.org, number 1312.1473, Dec.
• Jun Cai & Yan-Leung Cheung & Raymond Lee & Michael Melvin, , "'Once-in-a-Generation' Yen Volatility in 1998: Fundamentals, Intervention, and Order Flow," Working Papers, Department of Economics, W. P. Carey School of Business, Arizona State University, number 2132865.
• Daniel Ventosa, , "A proposal for a new specification for a conditionally heteroskedastic variance model: the Quadratic Moving-Average Conditional Heteroskedasticity and an application to the D. Mark-U.S. dollar Exchang," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 513.02.
• Nikitas Pittis & Nikolaos Kourogenis & Phoebe Koundouri, , "On the Explaination of Empirical Regularities: The statistical models of stock returns," DEOS Working Papers, Athens University of Economics and Business, number 1220.
• Panagiotis Samartzis & Nikitas Pittis & Nikolaos Kourogenis & Phoebe Koundouri, , "Factor Models of Stock Returns: GARCH Errors versus Autoregressive Betas," DEOS Working Papers, Athens University of Economics and Business, number 1318.
• Gergely Ganics & Lluc Puig Codina, 2025, "Simple Tests for the Correct Specification of Conditional Predictive Densities," Working Papers, Banco de España, number 2535, Sep, DOI: https://doi.org/10.53479/40825.
• Luis Fernando Melo & Martha Misas, 1998, "Análisis del Comportamiento de la Inflación Trimestral en Colombia Bajo Cambios de Régimen: Una Evidencia a Través del Modelo: "Switching" de Hamilton," Borradores de Economia, Banco de la Republica de Colombia, number 086, Feb, DOI: 10.32468/be.96.
• Luis Eduardo Arango, 1998, "Temporary and Permanent Components of Colombia's Output," Borradores de Economia, Banco de la Republica de Colombia, number 096, Jun, DOI: 10.32468/be.96.
• Martha Misas & Diego Mauricio Vásquez, 2002, "Expectativas de Inflación en Colombia: Un Ejercicio Econométrico," Borradores de Economia, Banco de la Republica de Colombia, number 212, Jun, DOI: 10.32468/be.212.
• Martha Misas Arango & Enrique López Enciso & Diego Vásquez Escobar, 2004, "Tendencias Estocásticas Comunes y Fluctuaciones en la Economía Colombiana: 1950-2002," Borradores de Economia, Banco de la Republica de Colombia, number 275, Feb, DOI: 10.32468/be.275.
• Mauricio Arias & Camilo Hernández & Camilo Zea, 2006, "Expectativas De Inflacion En El Mercado De Deuda Pública Colombiano," Borradores de Economia, Banco de la Republica de Colombia, number 390, Apr, DOI: 10.32468/be.390.
• Eliana Gómez & Miguel I. Gómez & Luis F.Melo & José Luis Torres, 2006, "Forecasting Food Price Inflation in Developing Countries with Inflation Targeting Regimes: the Colombian Case," Borradores de Economia, Banco de la Republica de Colombia, number 409, Oct, DOI: 10.32468/be.409.
• Luis Eduardo Arango & Andrés Felipe García & Carlos Esteban Posada, 2006, "La metodología de la Encuesta Continua de Hogares y el empalme de las series del mercado laboral urbano de Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 410, Oct, DOI: 10.32468/be.410.
• Timo Terasvirta & Andrés González, 2006, "Modelling autoregressive processes with a shifting mean," Borradores de Economia, Banco de la Republica de Colombia, number 420, Dec, DOI: 10.32468/be.420.
• Martha Misas & María Teresa Ramírez, 2006, "Colombian economic growth under Markov switching regimes with endogenous transition probabilities," Borradores de Economia, Banco de la Republica de Colombia, number 425, Dec, DOI: 10.32468/be.425.
• Mario alejandro González & John Jairo León, 2007, "Análisis del Endeudamiento de los Hogares Colombianos," Borradores de Economia, Banco de la Republica de Colombia, number 452, Sep, DOI: 10.32468/be.452.
• Jorge Mario Uribe Gil, 2007, "Caracterización del mercado accionario colombiano, 2001-2006: un análisis comparativo," Borradores de Economia, Banco de la Republica de Colombia, number 456, Sep, DOI: 10.32468/be.456.
• Mauricio Avella Gómez, 2007, "Algunos hechos característicos de las finanzas públicas en Colombia desde la primera misión Kemmerer (1923)," Borradores de Economia, Banco de la Republica de Colombia, number 469, Dec, DOI: 10.32468/be.469.
• Enrique López Enciso, 2008, "Algunos hechos estilizados sobre el comportamiento de los precios regulados en Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 527, Aug, DOI: 10.32468/be.527.
• Sandra Rozo & Diego Vásquez & Dairo Estrada, 2008, "An Industrial Organization Analysis for the Colombian Banking System," Borradores de Economia, Banco de la Republica de Colombia, number 528, Aug, DOI: 10.32468/be.528.
• Jair Ojeda Joya, 2009, "Purchasing Power Parity and Breaking Trend Functions in the Real Exchange Rate," Borradores de Economia, Banco de la Republica de Colombia, number 564, May, DOI: 10.32468/be.564.
• José Eduardo Gómez-Gomzález & Inés paola Orozco Hinojosa, 2009, "Un Modelo de Alerta Temprana para el Sistema Financiero Colombiano," Borradores de Economia, Banco de la Republica de Colombia, number 565, May, DOI: 10.32468/be.565.
• Ignacio Lozano & Enrique Cabrera, 2009, "Una nota sobre la sostenibilidad fiscal y el nexo entre los ingresos y gastos del Gobierno Colombiano," Borradores de Economia, Banco de la Republica de Colombia, number 579, Nov, DOI: 10.32468/be.579.
• Juan José Echavarría S. & Enrique López E. & Martha Misas A., 2009, "Intervenciones cambiarias y política monetaria en Colombia. Un análisis de VAR estructural," Borradores de Economia, Banco de la Republica de Colombia, number 580, Nov, DOI: 10.32468/be.580.
• Juan José Echavarría S. & Enrique López E. & Martha Misas A., 2010, "La persistencia estadística de la inflación en Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 623, Oct, DOI: 10.32468/be.623.
• Juan José Echavarría & Norberto Rodríguez & Luis Eduardo Rojas, 2010, "La meta del Banco Central y la persistencia de la inflación en Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 633, Dec, DOI: 10.32468/be.633.
• Juan Manuel Julio, 2011, "Modeling Data Revisions," Borradores de Economia, Banco de la Republica de Colombia, number 641, Feb, DOI: 10.32468/be.641.
• Juan Manuel Julio, 2011, "Data Revisions and the Output Gap," Borradores de Economia, Banco de la Republica de Colombia, number 642, Feb, DOI: 10.32468/be.642.
• Tom Doan, 2025, "AGFRACTD: RATS procedure to compute Andrews-Guggenberger estimate of fractional difference," Statistical Software Components, Boston College Department of Economics, number RTS00005, revised .
• Tom Doan, 2025, "EGTEST: RATS procedure to compute Engle-Granger test for Cointegration," Statistical Software Components, Boston College Department of Economics, number RTS00061, revised .
• Tom Doan, 2025, "ERSTEST: RATS procedure to perform Elliott-Rothenberg-Stock unit root tests," Statistical Software Components, Boston College Department of Economics, number RTS00066, revised .
• Tom Doan, 2025, "GLSDETREND: RATS procedure to perform local to unity GLS detrending," Statistical Software Components, Boston College Department of Economics, number RTS00077, revised .
• Tom Doan, 2025, "GMAUTOFIT: RATS procedure to perform automated ARIMA model selection (seasonal models)," Statistical Software Components, Boston College Department of Economics, number RTS00078, revised .
• Tom Doan, 2025, "GREGORYHANSEN: RATS procedure to implement Gregory-Hansen test for Cointegration with breaks," Statistical Software Components, Boston College Department of Economics, number RTS00082, revised .
• Tom Doan, 2025, "PERRONRODRIGUEZ: RATS procedure to perform Perron-Rodriguez unit root test allowing for break at unknown date," Statistical Software Components, Boston College Department of Economics, number RTS00156, revised .
• Tom Doan, 2025, "RATS programs to replicate Aruoba, Diebold and Scotti JBES 2009," Statistical Software Components, Boston College Department of Economics, number RTZ00002, revised .
• Tom Doan, 2025, "RATS programs to replicate results from Gregory and Hansen(1996) JOE article," Statistical Software Components, Boston College Department of Economics, number RTZ00081, revised .
• Tom Doan, 2025, "RATS programs to replicate Hansen's examples of Andrews-Ploberger test," Statistical Software Components, Boston College Department of Economics, number RTZ00087, revised .
• Tom Doan, 2025, "RATS programs to replicate Perron-Wada state space model," Statistical Software Components, Boston College Department of Economics, number RTZ00133, revised .
• Tom Doan, 2025, "RATS program to replicate Skalin and Terasvirta(1999) STAR models and causality tests," Statistical Software Components, Boston College Department of Economics, number RTZ00191, revised .
• Pierre Perron & Tomoyoshi Yabu, , "Estimating Deterministic Trends with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2006-012, revised Feb 2006.
• Pierre Perron & Yohei Yamamoto, , "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number 2013-012.
• Pierre Perron & Gabriel Rodríguez, , "Residuals-based Tests for Cointegration with GLS Detrended Data," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2015-017, revised 19 Oct 2015.
• John Hunter, , "Identifying Long-run Behaviour with Non-stationary Data," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 98-01.
• Lee, L. & Linton, O. & Whang, Y-J., 0000, "Quantilograms under Strong Dependence," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1936, 00.
• Camilo Serrano & Martin Hoesli, 2008, "Are Securitized Real Estate Returns more Predictable than Stock Returns?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-27, Sep.
• Amine LAHIANI & Olivier SCAILLET, 2008, "Testing for threshold effect in ARFIMA models: Application to US unemployment rate data," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-42, Dec.
• Alberto HOLLY & Alain MONFORT & Michael ROCKINGER, 2009, "Fourth Order Pseudo Maximum Likelihood Methods," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 09-23, May.
• Eric JONDEAU & Michael ROCKINGER, 2010, "Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 10-41, Aug.
• Valérie CHAVEZ-DEMOULIN & Paul Embrechts & Sylvain Sardy, 2011, "Extreme-quantile tracking for financial time series," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-27, Jul.
• Simon A. BRODA & Markus HAAS & Jochen KRAUSE & Marc S. PAOLELLA & Sven C. STEUDE, 2011, "Stable Mixture GARCH Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-39, Sep.
• Ilaria Piatti & Fabio Trojani, 2012, "Dividend Growth Predictability and the Price-Dividend Ratio," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-42, Jun.
• Diego ARDILA & Dorsa SANADGOL & Peter CAUWELS & Didier SORNETTE, 2014, "Identification and Critical Time Forecasting of Real Estate Bubbles in the U.S.A and Switzerland," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 14-44, Jul.
• Apostolos Serletis & Wei Dai, , "On the Markov Switching Welfare Cost of Inflation," Working Papers, Department of Economics, University of Calgary, number 2019-12, revised 30 Aug 2019.
• Apostolos Serletis & A K M Nurul Hossain, , "Technical Change in U.S. Industries," Working Papers, Department of Economics, University of Calgary, number 2019-17, revised 03 Dec 2019.
• Gabriele Fiorentini & Giorgio Calzolari & Lorenzo Panattoni, 1995, "Analytic Derivatives and the Computation of GARCH Estimates," Working Papers, CEMFI, number wp1995_9519.
• Gabriele Fiorentini & Christophe Planas, 1996, "Non-Admissible Decompositions in Unobserved Components Models," Working Papers, CEMFI, number wp1996_9613.
• Gabriele Fiorentini & Enrique Sentana, 1996, "Conditional Means of Time Series Processes and Time Series Processes for Conditional Means," Working Papers, CEMFI, number wp1996_9617.
• Vannetelbosch, V. J., 1996, "Testing between alternative wage-employment bargaining models using Belgian aggregate data," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1233, Jan, DOI: 10.1016/0927-5371(95)00003-8.
• Koop, G. & Ley, E. & Osiewalski, J. & Steel, M. F. J., 1997, "Bayesian analysis of long memory and persistence using ARFIMA models," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1246, Jan, DOI: 10.1016/0304-4076(95)01787-9.
• Bauwens, L. & Lubrano, M., 1998, "Bayesian inference on GARCH models using the Gibbs sampler," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1307, Jan, DOI: 10.1111/1368-423X.11003.
• HARDLE, Wolfgang & HAFNER, Christian M., 2000, "Discrete time option pricing with flexible volatility estimation," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1439, Jan, DOI: 10.1007/s007800050011.
• BAUWENS , Luc & LUBRANO, Michel, 2002, "Bayesian option pricing using asymmetric GARCH models," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1569, Jan.
• BROZE, Laurence & FRANCQ , Christian & ZAKOIAN, Jean-Michel, 2001, "Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1576, Jan, DOI: 10.1016/S0165-1765(01)00387-1.
• KIRMAN, Alan & TEYSSIÈRE, Gilles, 2002, "Microeconomic models for long memory in the volatility of financial time series," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1593, Jan.
• BAUWENS, Luc & BEN OMRANE, Walid & GIOT, Pierre, 2005, "News announcements, market activity and volatility in the euro/dollar foreign exchange market," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1787, Jan, DOI: 10.1016/j.jimonfin.2005.08.008.
• BAUWENS, Luc & HAFNER, Christian M. & ROMBOUTS, Jeroen VK, 2007, "Multivariate mixed normal conditional heteroskedasticity," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1906, Jan, DOI: 10.1016/j.csda.2006.10.012.
• SILVESTRINI, Andrea & VEREDAS, David, 2009, "Temporal aggregation of univariate and multivariate time series models: A survey," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2013, Jan, DOI: 10.1111/j.1467-6419.2007.00538.x.
• SILVESTRINI, Andrea & SALTo, Matteo & MOULIN, Laurent & VEREDAS, David, 2009, "Monitoring and forecasting annual public deficit every month: the case of France," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2019, Jan, DOI: 10.1007/s00181-007-0132-7.
• BAUWENS, Luc & HAUTSCH, Nikolaus, 2009, "Modelling financial high frequency data using point processes," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2123, Jan.
• BAUWENS, Luc & STORTI, Giuseppe, 2009, "A component GARCH model with time varying weights," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2125, Jan, DOI: 10.2202/1558-3708.1512.
• BEINE, Michel & LAURENT, Sébastien & PALM, Franz C., 2009, "Central bank FOREX interventions assessed using realized moments," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2135, Jan, DOI: 10.1016/j.intfin.2007.09.001.
• ROMBOUTS, Jeroen VK & VERBEEK, Marno, 2009, "Evaluating portfolio value-at-risk using semi-parametric GARCH models," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2299, Jan, DOI: 10.1080/14697680902785284.
• BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen VK, 2010, "Theory and inference for a Markov switching Garch model," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2303, Jan, DOI: 10.1111/j.1368-423X.2009.00307.x.
• BAUWENS, Luc & ROMBOUTS, Jeroen VK, 2012, "On marginal likelihood computation in change-point models," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2403, Jan, DOI: 10.1016/j.csda.2010.06.025.
• Athanasios Papadopoulos & Moïse Sidiropoulos, , "Central Bank Independence, Exchange Rate Policy and Inflation Persistence Empirical Evidence on Selected EMU Countries," Working Papers, University of Crete, Department of Economics, number 0107.
• Daniel Preve, , "Linear programming-based estimators in nonnegative autoregression," GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit, number GRU_2016_001.

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• De Veirman Emmanuel & Dunstan Ashley, 2011, "Time-Varying Returns, Intertemporal Substitution and Cyclical Variation in Consumption," The B.E. Journal of Macroeconomics, De Gruyter, volume 11, issue 1, pages 1-41, July, DOI: 10.2202/1935-1690.1958.
• Feyrer James D, 2008, "Convergence by Parts," The B.E. Journal of Macroeconomics, De Gruyter, volume 8, issue 1, pages 1-35, July, DOI: 10.2202/1935-1690.1646.
• Aksoy Yunus & Leon-Ledesma Miguel A., 2008, "Non-Linearities and Unit Roots in G7 Macroeconomic Variables," The B.E. Journal of Macroeconomics, De Gruyter, volume 8, issue 1, pages 1-44, February, DOI: 10.2202/1935-1690.1508.
• Smith Penelope & Summers Peter M, 2009, "Regime Switches in GDP Growth and Volatility: Some International Evidence and Implications for Modeling Business Cycles," The B.E. Journal of Macroeconomics, De Gruyter, volume 9, issue 1, pages 1-19, September, DOI: 10.2202/1935-1690.1741.
• Slacalek Jiri, 2009, "What Drives Personal Consumption? The Role of Housing and Financial Wealth," The B.E. Journal of Macroeconomics, De Gruyter, volume 9, issue 1, pages 1-37, October, DOI: 10.2202/1935-1690.1555.
• Antràs Pol, 2004, "Is the U.S. Aggregate Production Function Cobb-Douglas? New Estimates of the Elasticity of Substitution," The B.E. Journal of Macroeconomics, De Gruyter, volume 4, issue 1, pages 1-36, April, DOI: 10.2202/1534-6005.1161.
• Xiao Wei, 2004, "Explaining Speculative Expansions," The B.E. Journal of Macroeconomics, De Gruyter, volume 4, issue 1, pages 1-32, August, DOI: 10.2202/1534-6005.1173.
• Gil-Alana Luis A, 2003, "Fractional Integration with Bloomfield Disturbances in the Specification of Real Output in the G7 Countries," The B.E. Journal of Macroeconomics, De Gruyter, volume 3, issue 1, pages 1-15, September, DOI: 10.2202/1534-5998.1139.
• Romero-Avila Diego, 2006, "Can the AK Model Be Rescued? New Evidence from Unit Root Tests with Good Size and Power," The B.E. Journal of Macroeconomics, De Gruyter, volume 6, issue 1, pages 1-40, March, DOI: 10.2202/1534-5998.1336.
• Harvey David I & Leybourne Stephen J & Taylor A.M. Robert, 2006, "On Robust Trend Function Hypothesis Testing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 1, pages 1-27, March, DOI: 10.2202/1558-3708.1303.
• Pitarakis Jean-Yves, 2006, "Model Selection Uncertainty and Detection of Threshold Effects," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 1, pages 1-30, March, DOI: 10.2202/1558-3708.1256.
• Banaian King & Lo Ming Chien, 2006, "Indexing Speculative Pressure on an Exchange Rate Regime: A Case Study of Macedonia," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 1, pages 1-21, March, DOI: 10.2202/1558-3708.1254.
• Psaradakis Zacharias & Sola Martin & Spagnolo Fabio, 2006, "Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 2, pages 1-31, May, DOI: 10.2202/1558-3708.1302.
• Martins-Filho Carlos & Yao Feng, 2006, "Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 2, pages 1-43, May, DOI: 10.2202/1558-3708.1304.
• Haldrup Niels & Nielsen Morten Ø., 2006, "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 3, pages 1-24, September, DOI: 10.2202/1558-3708.1367.
• Serletis Apostolos & Shahmoradi Akbar, 2006, "Measuring and Testing Natural Gas and Electricity Markets Volatility: Evidence from Alberta's Deregulated Markets," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 3, pages 1-20, September, DOI: 10.2202/1558-3708.1341.
• Misiorek Adam & Trueck Stefan & Weron Rafal, 2006, "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 3, pages 1-36, September, DOI: 10.2202/1558-3708.1362.
• De Jong Cyriel, 2006, "The Nature of Power Spikes: A Regime-Switch Approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 3, pages 1-28, September, DOI: 10.2202/1558-3708.1361.
• Hinich Melvin J. & Serletis Apostolos, 2006, "Randomly Modulated Periodic Signals in Alberta's Electricity Market," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 3, pages 1-15, September, DOI: 10.2202/1558-3708.1340.
• Jewson Stephen & Penzer Jeremy, 2006, "Estimating Trends in Weather Series: Consequences for Pricing Derivatives," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 3, pages 1-17, September, DOI: 10.2202/1558-3708.1386.
• Haug Alfred A & Siklos Pierre L, 2006, "The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 4, pages 1-34, December, DOI: 10.2202/1558-3708.1276.
• Ma Jun & Nelson Charles R & Startz Richard, 2007, "Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 1, pages 1-29, March, DOI: 10.2202/1558-3708.1434.
• Chen Zhuo & Yang Yuhong, 2007, "Time Series Models for Forecasting: Testing or Combining?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 1, pages 1-37, March, DOI: 10.2202/1558-3708.1385.
• Lee Jin, 2007, "Fractionally Integrated Long Horizon Regressions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 1, pages 1-20, March, DOI: 10.2202/1558-3708.1337.
• Liu Wei & Maynard Alex S, 2007, "A New Application of Exact Nonparametric Methods to Long-Horizon Predictability Tests," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 1, pages 1-39, March, DOI: 10.2202/1558-3708.1376.
• Gerhard Frank & Hautsch Nikolaus, 2007, "A Dynamic Semiparametric Proportional Hazard Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 2, pages 1-42, May, DOI: 10.2202/1558-3708.1377.
• Haas Markus, 2007, "Volatility Components and Long Memory-Effects Revisited," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 2, pages 1-39, May, DOI: 10.2202/1558-3708.1411.
• Hinich Melvin J. & Chong Terence T.L., 2007, "A Class Test for Fractional Integration," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 2, pages 1-24, May, DOI: 10.2202/1558-3708.1382.
• Kiliç Rehim, 2007, "Conditional Volatility and Distribution of Exchange Rates: GARCH and FIGARCH Models with NIG Distribution," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 3, pages 1-33, September, DOI: 10.2202/1558-3708.1430.
• Leybourne Stephen & Kim Tae-Hwan & Taylor A.M. Robert, 2007, "Detecting Multiple Changes in Persistence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 3, pages 1-34, September, DOI: 10.2202/1558-3708.1370.
• Enders Walter & Falk Barry L & Siklos Pierre, 2007, "A Threshold Model of Real U.S. GDP and the Problem of Constructing Confidence Intervals in TAR Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 3, pages 1-28, September, DOI: 10.2202/1558-3708.1322.
• Bowden Roger J. & Zhu Jennifer Z, 2007, "Which Are the World's Wobblier Currencies? Reference Exchange Rates and Their Variation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 3, pages 1-32, September, DOI: 10.2202/1558-3708.1432.
• Basu Deepankar & de Jong Robert M, 2007, "Dynamic Multinomial Ordered Choice with an Application to the Estimation of Monetary Policy Rules," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 4, pages 1-35, December, DOI: 10.2202/1558-3708.1507.
• Camacho Maximo & Perez Quiros Gabriel, 2007, "Jump-and-Rest Effect of U.S. Business Cycles," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 4, pages 1-39, December, DOI: 10.2202/1558-3708.1480.
• González Andrés & Teräsvirta Timo, 2008, "Modelling Autoregressive Processes with a Shifting Mean," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 1, pages 1-28, March, DOI: 10.2202/1558-3708.1459.
• Diks Cees & Panchenko Valentyn, 2008, "Rank-based Entropy Tests for Serial Independence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 1, pages 1-21, March, DOI: 10.2202/1558-3708.1476.
• Kejriwal Mohitosh, 2008, "Cointegration with Structural Breaks: An Application to the Feldstein-Horioka Puzzle," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 1, pages 1-39, March, DOI: 10.2202/1558-3708.1467.
• Maringer Dietmar G. & Meyer Mark, 2008, "Smooth Transition Autoregressive Models -- New Approaches to the Model Selection Problem," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 1, pages 1-21, March, DOI: 10.2202/1558-3708.1469.
• Badescu Alex & Kulperger Reg & Lazar Emese, 2008, "Option Valuation with Normal Mixture GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 2, pages 1-42, May, DOI: 10.2202/1558-3708.1580.
• Granger Clive W.J., 2008, "Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 3, pages 1-11, September, DOI: 10.2202/1558-3708.1639.
• Harvey David I & Leybourne Stephen J & Xiao Bin, 2008, "A Powerful Test for Linearity When the Order of Integration is Unknown," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 3, pages 1-24, September, DOI: 10.2202/1558-3708.1582.
• Hultblad Brigitta & Karlsson Sune, 2008, "Bayesian Simultaneous Determination of Structural Breaks and Lag Lengths," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 3, pages 1-29, September, DOI: 10.2202/1558-3708.1519.
• Rothman Philip A, 2008, "Reconsideration of the Markov Chain Evidence on Unemployment Rate Asymmetry," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 3, pages 1-18, September, DOI: 10.2202/1558-3708.1521.
• Juvenal Luciana & Taylor Mark P., 2008, "Threshold Adjustment of Deviations from the Law of One Price," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 3, pages 1-46, September, DOI: 10.2202/1558-3708.1520.
• Dolado Juan J. & Gonzalo Jesus & Mayoral Laura, 2008, "Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 4, pages 1-35, December, DOI: 10.2202/1558-3708.1562.
• Lo Ming Chien, 2008, "Nonlinear PPP Deviations: A Monte Carlo Investigation of Their Unconditional Half-Life," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 4, pages 1-31, December, DOI: 10.2202/1558-3708.1482.
• Driffill John & Kenc Turalay & Sola Martin & Spagnolo Fabio, 2009, "The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 1, pages 1-24, March, DOI: 10.2202/1558-3708.1490.
• Pelagatti Matteo M, 2009, "Modelling Good and Bad Volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 1, pages 1-20, March, DOI: 10.2202/1558-3708.1595.
• Choi Seungmoon, 2009, "Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 1, pages 1-41, March, DOI: 10.2202/1558-3708.1614.
• Bauwens Luc & Storti Giuseppe, 2009, "A Component GARCH Model with Time Varying Weights," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 2, pages 1-33, May, DOI: 10.2202/1558-3708.1512.
• Broto Carmen & Ruiz Esther, 2009, "Testing for Conditional Heteroscedasticity in the Components of Inflation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 2, pages 1-30, May, DOI: 10.2202/1558-3708.1620.
• Iglesias Emma M, 2009, "Finite Sample Theory of QMLEs in ARCH Models with an Exogenous Variable in the Conditional Variance Equation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 2, pages 1-30, May, DOI: 10.2202/1558-3708.1592.
• Smith Daniel R, 2009, "Asymmetry in Stochastic Volatility Models: Threshold or Correlation?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 3, pages 1-36, May, DOI: 10.2202/1558-3708.1540.
• Rombouts Jeroen V. K. & Bouaddi Mohammed, 2009, "Mixed Exponential Power Asymmetric Conditional Heteroskedasticity," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 3, pages 1-32, May, DOI: 10.2202/1558-3708.1645.
• Dermoune Azzouz & Djehiche Boualem & Rahmania Nadji, 2009, "Multivariate Extension of the Hodrick-Prescott Filter-Optimality and Characterization," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 3, pages 1-35, May, DOI: 10.2202/1558-3708.1656.
• Kang Kyu Ho & Kim Chang-Jin & Morley James, 2009, "Changes in U.S. Inflation Persistence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 4, pages 1-23, September, DOI: 10.2202/1558-3708.1693.
• Kim Chang Sik, 2009, "Test for Spatial Dominances in the Distribution of Stock Returns: Evidence from the Korean Stock Market Before and After the East Asian Financial Crisis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 4, pages 1-27, September, DOI: 10.2202/1558-3708.1672.
• Sinclair Tara M, 2009, "Asymmetry in the Business Cycle: Friedman's Plucking Model with Correlated Innovations," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 1, pages 1-31, December, DOI: 10.2202/1558-3708.1688.