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

2021

• Caporin, Massimiliano & Gupta, Rangan & Ravazzolo, Francesco, 2021, "Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach," The North American Journal of Economics and Finance, Elsevier, volume 55, issue C, DOI: 10.1016/j.najef.2020.101347.
• Sheng, Xin & Marfatia, Hardik A. & Gupta, Rangan & Ji, Qiang, 2021, "House price synchronization across the US states: The role of structural oil shocks," The North American Journal of Economics and Finance, Elsevier, volume 56, issue C, DOI: 10.1016/j.najef.2021.101372.
• Dai, Zhifeng & Zhu, Huan, 2021, "Indicator selection and stock return predictability," The North American Journal of Economics and Finance, Elsevier, volume 57, issue C, DOI: 10.1016/j.najef.2021.101394.
• Lin, Yu & Yan, Yan & Xu, Jiali & Liao, Ying & Ma, Feng, 2021, "Forecasting stock index price using the CEEMDAN-LSTM model," The North American Journal of Economics and Finance, Elsevier, volume 57, issue C, DOI: 10.1016/j.najef.2021.101421.
• Figà-Talamanca, Gianna & Focardi, Sergio & Patacca, Marco, 2021, "Regime switches and commonalities of the cryptocurrencies asset class," The North American Journal of Economics and Finance, Elsevier, volume 57, issue C, DOI: 10.1016/j.najef.2021.101425.
• Nonejad, Nima, 2021, "Predicting equity premium using dynamic model averaging. Does the state–space representation matter?," The North American Journal of Economics and Finance, Elsevier, volume 57, issue C, DOI: 10.1016/j.najef.2021.101442.
• Martins, Luis F., 2021, "The US debt–growth nexus along the business cycle," The North American Journal of Economics and Finance, Elsevier, volume 58, issue C, DOI: 10.1016/j.najef.2021.101462.
• Hasan, Md. Bokhtiar & Mahi, Masnun & Hassan, M. Kabir & Bhuiyan, Abul Bashar, 2021, "Impact of COVID-19 pandemic on stock markets: Conventional vs. Islamic indices using wavelet-based multi-timescales analysis," The North American Journal of Economics and Finance, Elsevier, volume 58, issue C, DOI: 10.1016/j.najef.2021.101504.
• Bastianin, Andrea & Manera, Matteo, 2021, "A test of symmetry based on L-moments with an application to the business cycles of the G7 economies," Economics Letters, Elsevier, volume 198, issue C, DOI: 10.1016/j.econlet.2020.109662.
• Caggiano, Giovanni & Castelnuovo, Efrem & Pellegrino, Giovanni, 2021, "Uncertainty shocks and the great recession: Nonlinearities matter," Economics Letters, Elsevier, volume 198, issue C, DOI: 10.1016/j.econlet.2020.109669.
• Lin, Yingqian & Tu, Yundong, 2021, "On transformed linear cointegration models," Economics Letters, Elsevier, volume 198, issue C, DOI: 10.1016/j.econlet.2020.109686.
• Xu, Ke-Li, 2021, "On the serial correlation in multi-horizon predictive quantile regression," Economics Letters, Elsevier, volume 200, issue C, DOI: 10.1016/j.econlet.2021.109736.
• Hong, Shaoxin & Zhang, Zhengyi & Cai, Zongwu, 2021, "Testing heteroskedasticity for predictive regressions with nonstationary regressors," Economics Letters, Elsevier, volume 201, issue C, DOI: 10.1016/j.econlet.2021.109781.
• Fry, John & Griguta, Vlad-Marius & Gerber, Luciano & Slater-Petty, Helen & Crockett, Keeley, 2021, "Modelling corporate bank accounts," Economics Letters, Elsevier, volume 205, issue C, DOI: 10.1016/j.econlet.2021.109924.
• Wang, Shaoping & Li, Yanglin & Wen, Kuangyu, 2021, "Recursive adjusted unit root tests under non-stationary volatility," Economics Letters, Elsevier, volume 205, issue C, DOI: 10.1016/j.econlet.2021.109941.
• Westerlund, Joakim & Nordström, Marcus, 2021, "Breaks in persistence in fixed-T panel data," Economics Letters, Elsevier, volume 205, issue C, DOI: 10.1016/j.econlet.2021.109958.
• Hassan, M. Kabir & Hasan, Md. Bokhtiar & Rashid, Md. Mamunur, 2021, "Using precious metals to hedge cryptocurrency policy and price uncertainty," Economics Letters, Elsevier, volume 206, issue C, DOI: 10.1016/j.econlet.2021.109977.
• Akyildirim, Erdinc & Aysan, Ahmet Faruk & Cepni, Oguzhan & Darendeli, S. Pinar Ceyhan, 2021, "Do investor sentiments drive cryptocurrency prices?," Economics Letters, Elsevier, volume 206, issue C, DOI: 10.1016/j.econlet.2021.109980.
• Zhou, Jin & Li, Haiqi & Zhong, Wanling, 2021, "A modified Diebold–Mariano test for equal forecast accuracy with clustered dependence," Economics Letters, Elsevier, volume 207, issue C, DOI: 10.1016/j.econlet.2021.110029.
• Donayre, Luiggi & Panovska, Irina, 2021, "Recession-specific recoveries: L’s, U’s and everything in between," Economics Letters, Elsevier, volume 209, issue C, DOI: 10.1016/j.econlet.2021.110145.
• Lee, Sokbae & Liao, Yuan & Seo, Myung Hwan & Shin, Youngki, 2021, "Sparse HP filter: Finding kinks in the COVID-19 contact rate," Journal of Econometrics, Elsevier, volume 220, issue 1, pages 158-180, DOI: 10.1016/j.jeconom.2020.08.008.
• Koo, Bonsoo & La Vecchia, Davide & Linton, Oliver, 2021, "Estimation of a nonparametric model for bond prices from cross-section and time series information," Journal of Econometrics, Elsevier, volume 220, issue 2, pages 562-588, DOI: 10.1016/j.jeconom.2020.04.014.
• Pang, Tianxiao & Du, Lingjie & Chong, Terence Tai-Leung, 2021, "Estimating multiple breaks in nonstationary autoregressive models," Journal of Econometrics, Elsevier, volume 221, issue 1, pages 277-311, DOI: 10.1016/j.jeconom.2020.06.005.
• Blasques, F. & Gorgi, P. & Koopman, S.J., 2021, "Missing observations in observation-driven time series models," Journal of Econometrics, Elsevier, volume 221, issue 2, pages 542-568, DOI: 10.1016/j.jeconom.2020.07.043.
• Bu, Ruijun & Hadri, Kaddour & Kristensen, Dennis, 2021, "Diffusion copulas: Identification and estimation," Journal of Econometrics, Elsevier, volume 221, issue 2, pages 616-643, DOI: 10.1016/j.jeconom.2020.06.004.
• Song, Xinyu & Kim, Donggyu & Yuan, Huiling & Cui, Xiangyu & Lu, Zhiping & Zhou, Yong & Wang, Yazhen, 2021, "Volatility analysis with realized GARCH-Itô models," Journal of Econometrics, Elsevier, volume 222, issue 1, pages 393-410, DOI: 10.1016/j.jeconom.2020.07.007.
• Chen, Xiaohong & Huang, Zhuo & Yi, Yanping, 2021, "Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models," Journal of Econometrics, Elsevier, volume 222, issue 1, pages 484-501, DOI: 10.1016/j.jeconom.2020.07.012.
• Fiorentini, Gabriele & Sentana, Enrique, 2021, "New testing approaches for mean–variance predictability," Journal of Econometrics, Elsevier, volume 222, issue 1, pages 516-538, DOI: 10.1016/j.jeconom.2020.07.014.
• Meitz, Mika & Saikkonen, Pentti, 2021, "Testing for observation-dependent regime switching in mixture autoregressive models," Journal of Econometrics, Elsevier, volume 222, issue 1, pages 601-624, DOI: 10.1016/j.jeconom.2020.04.048.
• Park, Joon Y. & Wang, Bin, 2021, "Nonparametric estimation of jump diffusion models," Journal of Econometrics, Elsevier, volume 222, issue 1, pages 688-715, DOI: 10.1016/j.jeconom.2020.07.020.
• Mogliani, Matteo & Simoni, Anna, 2021, "Bayesian MIDAS penalized regressions: Estimation, selection, and prediction," Journal of Econometrics, Elsevier, volume 222, issue 1, pages 833-860, DOI: 10.1016/j.jeconom.2020.07.022.
• Dong, Chaohua & Linton, Oliver & Peng, Bin, 2021, "A weighted sieve estimator for nonparametric time series models with nonstationary variables," Journal of Econometrics, Elsevier, volume 222, issue 2, pages 909-932, DOI: 10.1016/j.jeconom.2020.03.024.
• Frazier, David T. & Koo, Bonsoo, 2021, "Indirect inference for locally stationary models," Journal of Econometrics, Elsevier, volume 223, issue 1, pages 1-27, DOI: 10.1016/j.jeconom.2020.08.004.
• Ahsan, Md. Nazmul & Dufour, Jean-Marie, 2021, "Simple estimators and inference for higher-order stochastic volatility models," Journal of Econometrics, Elsevier, volume 224, issue 1, pages 181-197, DOI: 10.1016/j.jeconom.2021.03.008.
• Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2021, "Simple tests for stock return predictability with good size and power properties," Journal of Econometrics, Elsevier, volume 224, issue 1, pages 198-214, DOI: 10.1016/j.jeconom.2021.01.004.
• Casini, Alessandro & Perron, Pierre, 2021, "Continuous record Laplace-based inference about the break date in structural change models," Journal of Econometrics, Elsevier, volume 224, issue 1, pages 3-21, DOI: 10.1016/j.jeconom.2020.05.020.
• Lu, Junwen & Qu, Zhongjun, 2021, "Sieve estimation of option-implied state price density," Journal of Econometrics, Elsevier, volume 224, issue 1, pages 88-112, DOI: 10.1016/j.jeconom.2021.03.003.
• Gonçalves, Sílvia & Herrera, Ana María & Kilian, Lutz & Pesavento, Elena, 2021, "Impulse response analysis for structural dynamic models with nonlinear regressors," Journal of Econometrics, Elsevier, volume 225, issue 1, pages 107-130, DOI: 10.1016/j.jeconom.2021.06.009.
• del Barrio Castro, Tomás & Rachinger, Heiko, 2021, "Aggregation of Seasonal Long-Memory Processes," Econometrics and Statistics, Elsevier, volume 17, issue C, pages 95-106, DOI: 10.1016/j.ecosta.2020.06.002.
• Sin, C.Y. (Chor-yiu) & Lee, Cheng-Few, 2021, "Using heteroscedasticity-non-consistent or heteroscedasticity-consistent variances in linear regression," Econometrics and Statistics, Elsevier, volume 18, issue C, pages 117-142, DOI: 10.1016/j.ecosta.2020.10.002.
• Čížek, Pavel & Koo, Chao Hui, 2021, "Jump-preserving varying-coefficient models for nonlinear time series," Econometrics and Statistics, Elsevier, volume 19, issue C, pages 58-96, DOI: 10.1016/j.ecosta.2020.04.005.
• Hecq, Alain & Voisin, Elisa, 2021, "Forecasting bubbles with mixed causal-noncausal autoregressive models," Econometrics and Statistics, Elsevier, volume 20, issue C, pages 29-45, DOI: 10.1016/j.ecosta.2020.03.007.
• Wenger, Kai & Leschinski, Christian, 2021, "Fixed-bandwidth CUSUM tests under long memory," Econometrics and Statistics, Elsevier, volume 20, issue C, pages 46-61, DOI: 10.1016/j.ecosta.2019.08.001.
• Malovaná, Simona, 2021, "The pro-cyclicality of risk weights for credit exposures: Driven by the retail segment," Economic Systems, Elsevier, volume 45, issue 1, DOI: 10.1016/j.ecosys.2020.100763.
• Coleman, Simeon & Cuestas, Juan Carlos, 2021, "Panel cointegration, quantile regressions, asymmetric adjustments and crises: The case of EU current accounts," Economic Systems, Elsevier, volume 45, issue 4, DOI: 10.1016/j.ecosys.2021.100870.
• Fezzi, Carlo & Fanghella, Valeria, 2021, "Tracking GDP in real-time using electricity market data: Insights from the first wave of COVID-19 across Europe," European Economic Review, Elsevier, volume 139, issue C, DOI: 10.1016/j.euroecorev.2021.103907.
• Hung, Jui-Cheng & Liu, Hung-Chun & Yang, J. Jimmy, 2021, "Trading activity and price discovery in Bitcoin futures markets," Journal of Empirical Finance, Elsevier, volume 62, issue C, pages 107-120, DOI: 10.1016/j.jempfin.2021.03.001.
• Cheng, Mingmian & Swanson, Norman R. & Yang, Xiye, 2021, "Forecasting volatility using double shrinkage methods," Journal of Empirical Finance, Elsevier, volume 62, issue C, pages 46-61, DOI: 10.1016/j.jempfin.2021.01.007.
• Algieri, Bernardina & Leccadito, Arturo & Tunaru, Diana, 2021, "Risk premia in electricity derivatives markets," Energy Economics, Elsevier, volume 100, issue C, DOI: 10.1016/j.eneco.2021.105300.
• Pellini, Elisabetta, 2021, "Estimating income and price elasticities of residential electricity demand with Autometrics," Energy Economics, Elsevier, volume 101, issue C, DOI: 10.1016/j.eneco.2021.105411.
• Costa, Alexandre Bonnet R. & Ferreira, Pedro Cavalcanti G. & Gaglianone, Wagner P. & Guillén, Osmani Teixeira C. & Issler, João Victor & Lin, Yihao, 2021, "Machine learning and oil price point and density forecasting," Energy Economics, Elsevier, volume 102, issue C, DOI: 10.1016/j.eneco.2021.105494.
• Xie, Qichang & Wu, Haifeng & Ma, Yu, 2021, "Refining the asymctmetric impacts of oil price uncertainty on Chinese stock returns based on a semiparametric additive quantile regression analysis," Energy Economics, Elsevier, volume 102, issue C, DOI: 10.1016/j.eneco.2021.105495.
• Mwampashi, Muthe Mathias & Nikitopoulos, Christina Sklibosios & Konstandatos, Otto & Rai, Alan, 2021, "Wind generation and the dynamics of electricity prices in Australia," Energy Economics, Elsevier, volume 103, issue C, DOI: 10.1016/j.eneco.2021.105547.
• Özen, Kadir & Yıldırım, Dilem, 2021, "Application of bagging in day-ahead electricity price forecasting and factor augmentation," Energy Economics, Elsevier, volume 103, issue C, DOI: 10.1016/j.eneco.2021.105573.
• Nonejad, Nima, 2021, "Predicting the return on the spot price of crude oil out-of-sample by conditioning on news-based uncertainty measures: Some new empirical results," Energy Economics, Elsevier, volume 104, issue C, DOI: 10.1016/j.eneco.2021.105635.
• Apostolakis, George N. & Floros, Christos & Gkillas, Konstantinos & Wohar, Mark, 2021, "Financial stress, economic policy uncertainty, and oil price uncertainty," Energy Economics, Elsevier, volume 104, issue C, DOI: 10.1016/j.eneco.2021.105686.
• Bonato, Matteo & Çepni, Oğuzhan & Gupta, Rangan & Pierdzioch, Christian, 2021, "Do oil-price shocks predict the realized variance of U.S. REITs?," Energy Economics, Elsevier, volume 104, issue C, DOI: 10.1016/j.eneco.2021.105689.
• Uniejewski, Bartosz & Weron, Rafał, 2021, "Regularized quantile regression averaging for probabilistic electricity price forecasting," Energy Economics, Elsevier, volume 95, issue C, DOI: 10.1016/j.eneco.2021.105121.
• Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian & Yoon, Seong-Min, 2021, "OPEC news and jumps in the oil market," Energy Economics, Elsevier, volume 96, issue C, DOI: 10.1016/j.eneco.2021.105096.
• Arčabić, Vladimir & Gelo, Tomislav & Sonora, Robert J. & Šimurina, Jurica, 2021, "Cointegration of electricity consumption and GDP in the presence of smooth structural changes," Energy Economics, Elsevier, volume 97, issue C, DOI: 10.1016/j.eneco.2021.105196.
• Becker, Maike & Pfeifer, Gregor & Schweikert, Karsten, 2021, "Price Effects of the Austrian Fuel Price Fixing Act: A Synthetic Control Study," Energy Economics, Elsevier, volume 97, issue C, DOI: 10.1016/j.eneco.2021.105207.
• Sun, Jie & Zhao, Xiaojun & Xu, Chao, 2021, "Crude oil market autocorrelation: Evidence from multiscale quantile regression analysis," Energy Economics, Elsevier, volume 98, issue C, DOI: 10.1016/j.eneco.2021.105239.
• Umar, Zaghum & Jareño, Francisco & Escribano, Ana, 2021, "Oil price shocks and the return and volatility spillover between industrial and precious metals," Energy Economics, Elsevier, volume 99, issue C, DOI: 10.1016/j.eneco.2021.105291.
• Afkhami, Mohamad & Ghoddusi, Hamed & Rafizadeh, Nima, 2021, "Google Search Explains Your Gasoline Consumption!," Energy Economics, Elsevier, volume 99, issue C, DOI: 10.1016/j.eneco.2021.105305.
• Matsuki, Takashi & Pan, Lei, 2021, "Per capita carbon emissions convergence in developing Asia: A century of evidence from covariate unit root test with endogenous structural breaks," Energy Economics, Elsevier, volume 99, issue C, DOI: 10.1016/j.eneco.2021.105326.
• Bohlmann, J.A. & Inglesi-Lotz, R., 2021, "Examining the determinants of electricity demand by South African households per income level," Energy Policy, Elsevier, volume 148, issue PA, DOI: 10.1016/j.enpol.2020.111901.
• Bajo-Buenestado, Raúl, 2021, "Operating reserve demand curve, scarcity pricing and intermittent generation: Lessons from the Texas ERCOT experience," Energy Policy, Elsevier, volume 149, issue C, DOI: 10.1016/j.enpol.2020.112057.
• Ahmed Qahtan, Anwar Saeed & Xu, Helian & Abdo, AL-Barakani, 2021, "Stochastic convergence of disaggregated energy consumption per capita and its catch-up rate: An independent analysis of MENA net oil-exporting and importing countries," Energy Policy, Elsevier, volume 150, issue C, DOI: 10.1016/j.enpol.2021.112151.
• Yang, Haijun & Han, Xin & Wang, Li, 2021, "Is there a bubble in the shale gas market?," Energy, Elsevier, volume 215, issue PA, DOI: 10.1016/j.energy.2020.119101.
• Lee, Chien-Chiang & Ranjbar, Omid & Lee, Chi-Chuan, 2021, "Testing the persistence of shocks on renewable energy consumption: Evidence from a quantile unit-root test with smooth breaks," Energy, Elsevier, volume 215, issue PB, DOI: 10.1016/j.energy.2020.119190.
• Tiwari, Aviral Kumar & Boachie, Micheal Kofi & Suleman, Muhammed Tahir & Gupta, Rangan, 2021, "Structure dependence between oil and agricultural commodities returns: The role of geopolitical risks," Energy, Elsevier, volume 219, issue C, DOI: 10.1016/j.energy.2020.119584.
• Nusair, Salah A. & Olson, Dennis, 2021, "Asymmetric oil price and Asian economies: A nonlinear ARDL approach," Energy, Elsevier, volume 219, issue C, DOI: 10.1016/j.energy.2020.119594.
• Umar, Muhammad & Su, Chi-Wei & Rizvi, Syed Kumail Abbas & Lobonţ, Oana-Ramona, 2021, "Driven by fundamentals or exploded by emotions: Detecting bubbles in oil prices," Energy, Elsevier, volume 231, issue C, DOI: 10.1016/j.energy.2021.120873.
• Monge, Manuel & Gil-Alana, Luis Alberiko, 2021, "Spatial crude oil production divergence and crude oil price behaviour in the United States," Energy, Elsevier, volume 232, issue C, DOI: 10.1016/j.energy.2021.121034.
• Salisu, Afees A. & Pierdzioch, Christian & Gupta, Rangan, 2021, "Geopolitical risk and forecastability of tail risk in the oil market: Evidence from over a century of monthly data," Energy, Elsevier, volume 235, issue C, DOI: 10.1016/j.energy.2021.121333.
• Nonejad, Nima, 2021, "Predicting equity premium using news-based economic policy uncertainty: Not all uncertainty changes are equally important," International Review of Financial Analysis, Elsevier, volume 77, issue C, DOI: 10.1016/j.irfa.2021.101818.
• Ma, Feng & Wang, Ruoxin & Lu, Xinjie & Wahab, M.I.M., 2021, "A comprehensive look at stock return predictability by oil prices using economic constraint approaches," International Review of Financial Analysis, Elsevier, volume 78, issue C, DOI: 10.1016/j.irfa.2021.101899.

2020

• Crafts, Nicholas & Mills, Terence C., 2020, "Is The Uk Productivity Slowdown Unprecedented?," National Institute Economic Review, National Institute of Economic and Social Research, volume 251, issue , pages 47-53, February.
• Sensier, Marianne & Devine, Fiona, 2020, "Understanding Regional Economic Performance And Resilience In The Uk: Trends Since The Global Financial Crisis," National Institute Economic Review, National Institute of Economic and Social Research, volume 253, issue , pages 18-28, August.
• Xiaohong Chen & Zhijie Xiao & Bo Wang, 2020, "Copula-Based Time Series With Filtered Nonstationarity," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2242, Jul.
• Xiaohong Chen & Zhijie Xiao & Bo Wang, 2020, "Copula-Based Time Series With Filtered Nonstationarity," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2242R, Jul, revised Oct 2020.
• Peter C.B. Phillips & Ying Wang, 2020, "When Bias Contributes to Variance: True Limit Theory in Functional Coefficient Cointegrating Regression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2250, Aug.
• Christian Richter & Shampa Roy-Mukherjee, 2020, "On the Uncertainty Caused by the Referendum on Brexit," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot GmbH, Berlin, volume 66, issue 2, pages 145-164, DOI: 10.3790/aeq.66.2.145.
• Dennis Wesselbaum, 2020, "How Large Are Firing Costs? A Cross-Country Study," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot GmbH, Berlin, volume 66, issue 4, pages 319-328, DOI: 10.3790/aeq.66.4.319.
• Julio G. Fournier Gabela & Luis Sarmiento, 2020, "Kurzarbeit and Natural Disasters: How Effective Are Short-Time Working Allowances in Avoiding Unemployment?," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1909.
• Chouaib Jouf, 2020, "Asymmetric price transmission along the food marketing chain: A focus on the recent price war," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2020-1.
• Niango Ange Joseph Yapi, 2020, "Exchange rate predictive densities and currency risks: A quantile regression approach," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2020-16.
• Borsuk, Marcin & Budnik, Katarzyna & Volk, Matjaz, 2020, "Buffer use and lending impact," Macroprudential Bulletin, European Central Bank, volume 11.
• Pérez Quirós, Gabriel, 2020, "Global Weakness Index – reading the economy’s vital signs during the COVID-19 crisis," Research Bulletin, European Central Bank, volume 72.
• Assenmacher, Katrin & Beyer, Andreas, 2020, "A cointegration model of money and wealth," Working Paper Series, European Central Bank, number 2365, Jan.
• Delle Monache, Davide & Venditti, Fabrizio & Petrella, Ivan, 2020, "Price dividend ratio and long-run stock returns: a score driven state space model," Working Paper Series, European Central Bank, number 2369, Feb.
• Perez-Quiros, Gabriel & Rots, Eyno & Leiva-Leon, Danilo, 2020, "Real-time weakness of the global economy: a first assessment of the coronavirus crisis," Working Paper Series, European Central Bank, number 2381, Mar.
• Laeven, Luc & Perez-Quiros, Gabriel & Rivas, María Dolores Gadea, 2020, "Growth-and-risk trade-off," Working Paper Series, European Central Bank, number 2397, Apr.
• Lang, Jan Hannes & Forletta, Marco, 2020, "Cyclical systemic risk and downside risks to bank profitability," Working Paper Series, European Central Bank, number 2405, May.
• Cour-Thimann, Philippine & Jung, Alexander, 2020, "Interest rate setting and communication at the ECB," Working Paper Series, European Central Bank, number 2443, Jul.
• Camacho, Maximo & Perez-Quiros, Gabriel & Pacce, Matías, 2020, "Spillover effects in international business cycles," Working Paper Series, European Central Bank, number 2484, Oct.
• Hefrizal Handra & Budi Kurniawan, 2020, "Long-run Relationship Between Government Debt and Growth: the Case of Indonesia," International Journal of Economics and Financial Issues, Econjournals, volume 10, issue 1, pages 96-100.
• Elvira da Costa Ribeiro & Bing Wang, 2020, "Tourism Led Growth Hypothesis: Has the Tourism industry an impact on The Economic Growth of Sao Tome and Principe?," International Journal of Economics and Financial Issues, Econjournals, volume 10, issue 1, pages 180-185.
• Chaido Dritsaki & Melina Dritsaki, 2020, "The Long-run Money Demand Function: Empirical Evidence from Italy," International Journal of Economics and Financial Issues, Econjournals, volume 10, issue 1, pages 186-195.
• Rim Ammar Lamouchi, 2020, "Long Memory and Stock Market Efficiency: Case of Saudi Arabia," International Journal of Economics and Financial Issues, Econjournals, volume 10, issue 3, pages 29-34.
• Beldi Lamia & Mouldi Djelassi, 2020, "Is the Tunisian Central Bank following a Linear or a Nonlinear Augmented Taylor Rule?," International Journal of Economics and Financial Issues, Econjournals, volume 10, issue 3, pages 69-78.
• Nicolas Moumni & Salma Dasser, 2020, "Moroccan Dirham Flexibilization and Equilibrium Exchange Rate: A Quest for Grail?," International Journal of Economics and Financial Issues, Econjournals, volume 10, issue 4, pages 132-140.
• Minhaj ud-Din & Muhammad Azam Khan & Muhammad Tariq, 2020, "External Debt - Blessing or Curse: Empirical Evidence from Pakistan," International Journal of Economics and Financial Issues, Econjournals, volume 10, issue 4, pages 235-246.
• Tarek Bouazizi & Zouhaier Hadhek & Mongi Lassoued, 2020, "General Government Balance Shocks and Their Impact on Some Tunisian Macroeconomics Variables: Evidence from a VAR Model," International Journal of Economics and Financial Issues, Econjournals, volume 10, issue 6, pages 69-83.
• Yousef Abdel Jawad & Issam Ayyash, 2020, "Analyze the Loss of Electricity in Palestine Case Study: Ramallah and Al-Bireh Governorate," International Journal of Energy Economics and Policy, Econjournals, volume 10, issue 1, pages 7-15.
• Nermin Yasar, 2020, "Stationarity Properties of Renewable Energy Consumption in the Commonwealth of Independent States," International Journal of Energy Economics and Policy, Econjournals, volume 10, issue 1, pages 155-159.
• Tersoo Shimonkabir Shitile & Nuruddeen Usman, 2020, "Disaggregated Inflation and Asymmetric Oil Price Pass-Through in Nigeria," International Journal of Energy Economics and Policy, Econjournals, volume 10, issue 1, pages 255-264.
• Priyanka Aggarwal & Manoj Kumar Manish, 2020, "Effect of Oil Fluctuation on Stock Market Return: An Empirical Study from India," International Journal of Energy Economics and Policy, Econjournals, volume 10, issue 2, pages 213-217.
• Manuel Cantavella, 2020, "Fluctuations of Oil Prices and Gross Domestic Product in Spain," International Journal of Energy Economics and Policy, Econjournals, volume 10, issue 2, pages 57-63.
• Patterson C. Ekeocha & Dinci J. Penzin & Jonathan Emenike Ogbuabor, 2020, "Energy Consumption and Economic Growth in Nigeria: A Test of Alternative Specifications," International Journal of Energy Economics and Policy, Econjournals, volume 10, issue 3, pages 369-379.
• Jerzy Rembeza, 2020, "Coal Prices in Poland: Is the Domestic Market Separated from the International Market?," International Journal of Energy Economics and Policy, Econjournals, volume 10, issue 4, pages 405-410.
• Melina Dritsaki & Chaido Dritsaki, 2020, "Forecasting European Union CO2 Emissions Using Autoregressive Integrated Moving Average-autoregressive Conditional Heteroscedasticity Models," International Journal of Energy Economics and Policy, Econjournals, volume 10, issue 4, pages 411-423.
• Famil Majidli & Hasraddin Guliyev, 2020, "How Oil Price and Exchange Rate Affect Non-oil GDP of the Oil-rich Country Azerbaijan?," International Journal of Energy Economics and Policy, Econjournals, volume 10, issue 5, pages 123-130.
• Agus Widarjono & Indah Susantun & Sarastri M. Ruchba & Ari Rudatin, 2020, "Oil and Food Prices for a Net Oil Importing-country: How Are Related in Indonesia?," International Journal of Energy Economics and Policy, Econjournals, volume 10, issue 5, pages 255-263.
• Guntur Anjana Raju & Shripad Ramchandra Marathe, 2020, "Relationship Between Crude Oil prices and Macro-economic Variables: Evidence from BRICS Countries," International Journal of Energy Economics and Policy, Econjournals, volume 10, issue 5, pages 264-271.
• Ngo Thai Hung, 2020, "Identifying the Dynamic Connectedness between Propane and Oil Prices: Evidence from Wavelet Analysis," International Journal of Energy Economics and Policy, Econjournals, volume 10, issue 5, pages 315-326.
• Osama Alfalah & Lama Alhumaidan & Deniz Baglan, 2020, "The Demand for Electricity in Kuwait: A Cointegration Analysis," International Journal of Energy Economics and Policy, Econjournals, volume 10, issue 6, pages 9-13.
• Flavian Emmanuel Sapnken & Jean Gaston Tamba & Salome Essiane Ndjakomo & Francis Djanna Koffi, 2020, "Oil Products Consumption and Economic Growth in Cameroon Households: An Assessment Using ARDL Cointegration and Granger Causality Analysis," International Journal of Energy Economics and Policy, Econjournals, volume 10, issue 6, pages 510-523.
• Aggarwal, Divya & Chandrasekaran, Shabana & Annamalai, Balamurugan, 2020, "A complete empirical ensemble mode decomposition and support vector machine-based approach to predict Bitcoin prices," Journal of Behavioral and Experimental Finance, Elsevier, volume 27, issue C, DOI: 10.1016/j.jbef.2020.100335.
• Aslam, Faheem & Mohmand, Yasir Tariq & Aziz, Saqib & Ouenniche, Jamal, 2020, "A complex networks based analysis of jump risk in equity returns: An evidence using intraday movements from Pakistan stock market," Journal of Behavioral and Experimental Finance, Elsevier, volume 28, issue C, DOI: 10.1016/j.jbef.2020.100418.
• Sun, Yuying & Bao, Qin & Zheng, Jiali & Wang, Shouyang, 2020, "Assessing the price dynamics of onshore and offshore RMB markets: An ITS model approach," China Economic Review, Elsevier, volume 62, issue C, DOI: 10.1016/j.chieco.2020.101476.
• Yuan, Ying & Zhang, Tonghui, 2020, "Forecasting stock market in high and low volatility periods: a modified multifractal volatility approach," Chaos, Solitons & Fractals, Elsevier, volume 140, issue C, DOI: 10.1016/j.chaos.2020.110252.
• Mundt, Philipp & Alfarano, Simone & Milaković, Mishael, 2020, "Exploiting ergodicity in forecasts of corporate profitability," Journal of Economic Dynamics and Control, Elsevier, volume 111, issue C, DOI: 10.1016/j.jedc.2019.103820.
• Kukacka, Jiri & Kristoufek, Ladislav, 2020, "Do ‘complex’ financial models really lead to complex dynamics? Agent-based models and multifractality," Journal of Economic Dynamics and Control, Elsevier, volume 113, issue C, DOI: 10.1016/j.jedc.2020.103855.
• Mamun, Shamsul Arifeen Khan & Rahman, Mohammad Mafizur & Khanam, Rasheda, 2020, "The relation between an ageing population and economic growth in Bangladesh: Evidence from an endogenous growth model," Economic Analysis and Policy, Elsevier, volume 66, issue C, pages 14-25, DOI: 10.1016/j.eap.2020.02.001.
• Jalles, João Tovar, 2020, "The volatility impact of social expenditure’s cyclicality in advanced economies," Economic Analysis and Policy, Elsevier, volume 66, issue C, pages 26-40, DOI: 10.1016/j.eap.2020.02.002.
• Karabulut, Gokhan & Bilgin, Mehmet Huseyin & Doker, Asli Cansin, 2020, "The relationship between commodity prices and world trade uncertainty," Economic Analysis and Policy, Elsevier, volume 66, issue C, pages 276-281, DOI: 10.1016/j.eap.2020.05.001.
• Dagoumas, Athanasios S. & Polemis, Michael L. & Soursou, Symeoni-Eleni, 2020, "Revisiting the impact of energy prices on economic growth: Lessons learned from the European Union," Economic Analysis and Policy, Elsevier, volume 66, issue C, pages 85-95, DOI: 10.1016/j.eap.2020.02.013.
• Baek, Jungho, 2020, "An asymmetric approach to the oil prices-trade balance nexus: New evidence from bilateral trade between Korea and her 14 trading partners," Economic Analysis and Policy, Elsevier, volume 68, issue C, pages 199-209, DOI: 10.1016/j.eap.2020.09.013.
• Hossain, Akhand Akhtar & Arwatchanakarn, Popkarn, 2020, "The effect of economic uncertainty on narrow money demand and its stability in New Zealand: An empirical investigation," Economic Analysis and Policy, Elsevier, volume 68, issue C, pages 88-100, DOI: 10.1016/j.eap.2020.09.002.
• Charfeddine, Lanouar & Benlagha, Noureddine & Maouchi, Youcef, 2020, "Investigating the dynamic relationship between cryptocurrencies and conventional assets: Implications for financial investors," Economic Modelling, Elsevier, volume 85, issue C, pages 198-217, DOI: 10.1016/j.econmod.2019.05.016.
• Michaelides, Michael & Spanos, Aris, 2020, "On modeling heterogeneity in linear models using trend polynomials," Economic Modelling, Elsevier, volume 85, issue C, pages 74-86, DOI: 10.1016/j.econmod.2019.05.008.
• Wang, Yajing & Liang, Fang & Wang, Tianyi & Huang, Zhuo, 2020, "Does measurement error matter in volatility forecasting? Empirical evidence from the Chinese stock market," Economic Modelling, Elsevier, volume 87, issue C, pages 148-157, DOI: 10.1016/j.econmod.2019.07.014.
• Ben Ameur, Hachmi & Jawadi, Fredj & Jawadi, Nabila & Cheffou, Abdoulkarim Idi, 2020, "Assessing downside and upside risk spillovers across conventional and socially responsible stock markets," Economic Modelling, Elsevier, volume 88, issue C, pages 200-210, DOI: 10.1016/j.econmod.2019.09.023.
• Han, Jong-Suk & Hur, Joonyoung, 2020, "Macroeconomic effects of monetary policy in Korea: A time-varying coefficient VAR approach," Economic Modelling, Elsevier, volume 89, issue C, pages 142-152, DOI: 10.1016/j.econmod.2019.10.002.
• Clements, A.E. & Liao, Y., 2020, "Firm-specific information and systemic risk," Economic Modelling, Elsevier, volume 90, issue C, pages 480-493, DOI: 10.1016/j.econmod.2019.11.031.
• Yoon, Jong Cheol & Min, Dai Hong & Jei, Sang Young, 2020, "Purchasing power parity vs. uncovered interest rate parity for NAFTA countries: The value of incorporating time-varying parameter model," Economic Modelling, Elsevier, volume 90, issue C, pages 494-500, DOI: 10.1016/j.econmod.2019.11.034.
• Woo, Jinhee, 2020, "Do news shocks increase capital utilization?," Economic Modelling, Elsevier, volume 91, issue C, pages 128-137, DOI: 10.1016/j.econmod.2020.06.012.
• Seong, Byeongchan, 2020, "Smoothing and forecasting mixed-frequency time series with vector exponential smoothing models," Economic Modelling, Elsevier, volume 91, issue C, pages 463-468, DOI: 10.1016/j.econmod.2020.06.020.
• Hossain, A K M Nurul & Serletis, Apostolos, 2020, "Technical change in U.S. industries," Economic Modelling, Elsevier, volume 91, issue C, pages 579-600, DOI: 10.1016/j.econmod.2019.12.001.
• Lee, Chi-Chuan & Lee, Chien-Chiang, 2020, "Insurance activity, real output, and geopolitical risk: Fresh evidence from BRICS," Economic Modelling, Elsevier, volume 92, issue C, pages 207-215, DOI: 10.1016/j.econmod.2020.01.001.
• Chen, Zhihong & Xia, Huizhu, 2020, "Trend instrumental variable regression with an application to the US New Keynesian Phillips Curve," Economic Modelling, Elsevier, volume 93, issue C, pages 595-604, DOI: 10.1016/j.econmod.2020.09.003.
• Liang, Chao & Ma, Feng & Li, Ziyang & Li, Yan, 2020, "Which types of commodity price information are more useful for predicting US stock market volatility?," Economic Modelling, Elsevier, volume 93, issue C, pages 642-650, DOI: 10.1016/j.econmod.2020.03.022.
• Gutierrez, Juan P. & Vianna, Andre C., 2020, "Price effects of steel commodities on worldwide stock market returns," The North American Journal of Economics and Finance, Elsevier, volume 51, issue C, DOI: 10.1016/j.najef.2018.09.007.
• Gil-Alana, Luis A. & Carcel, Hector, 2020, "A fractional cointegration var analysis of exchange rate dynamics," The North American Journal of Economics and Finance, Elsevier, volume 51, issue C, DOI: 10.1016/j.najef.2018.09.006.
• Tiwari, Aviral Kumar & Adewuyi, Adeolu O. & Albulescu, Claudiu T. & Wohar, Mark E., 2020, "Empirical evidence of extreme dependence and contagion risk between main cryptocurrencies," The North American Journal of Economics and Finance, Elsevier, volume 51, issue C, DOI: 10.1016/j.najef.2019.101083.
• Gomez-Gonzalez, Jose E. & Hirs-Garzon, Jorge & Gamboa-Arbelaez, Juliana, 2020, "Dynamic relations between oil and stock market returns: A multi-country study," The North American Journal of Economics and Finance, Elsevier, volume 51, issue C, DOI: 10.1016/j.najef.2019.101082.
• Balcilar, Mehmet & Gupta, Rangan & Wang, Shixuan & Wohar, Mark E., 2020, "Oil price uncertainty and movements in the US government bond risk premia," The North American Journal of Economics and Finance, Elsevier, volume 52, issue C, DOI: 10.1016/j.najef.2020.101147.
• Esteve, Vicente & Navarro-Ibáñez, Manuel & Prats, María A., 2020, "Stock prices, dividends, and structural changes in the long-term: The case of U.S," The North American Journal of Economics and Finance, Elsevier, volume 52, issue C, DOI: 10.1016/j.najef.2019.101126.
• Jiang, Yonghong & Feng, Qidi & Mo, Bin & Nie, He, 2020, "Visiting the effects of oil price shocks on exchange rates: Quantile-on-quantile and causality-in-quantiles approaches," The North American Journal of Economics and Finance, Elsevier, volume 52, issue C, DOI: 10.1016/j.najef.2020.101161.
• Ataurima Arellano, Miguel & Rodríguez, Gabriel, 2020, "Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models," The North American Journal of Economics and Finance, Elsevier, volume 52, issue C, DOI: 10.1016/j.najef.2020.101163.
• Dai, Zhifeng & Dong, Xiaodi & Kang, Jie & Hong, Lianying, 2020, "Forecasting stock market returns: New technical indicators and two-step economic constraint method," The North American Journal of Economics and Finance, Elsevier, volume 53, issue C, DOI: 10.1016/j.najef.2020.101216.
• Choe, Geon Ho & Choi, So Eun & Jang, Hyun Jin, 2020, "Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousness," The North American Journal of Economics and Finance, Elsevier, volume 54, issue C, DOI: 10.1016/j.najef.2019.01.004.
• Janko, Zuzana, 2020, "On the relationship between the current account and the fiscal balance: The case of Canada," The North American Journal of Economics and Finance, Elsevier, volume 54, issue C, DOI: 10.1016/j.najef.2020.101241.
• Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Wohar, Mark E., 2020, "Spillover effects in oil-related CDS markets during and after the sub-prime crisis," The North American Journal of Economics and Finance, Elsevier, volume 54, issue C, DOI: 10.1016/j.najef.2020.101249.
• Monasterolo, Irene & de Angelis, Luca, 2020, "Blind to carbon risk? An analysis of stock market reaction to the Paris Agreement," Ecological Economics, Elsevier, volume 170, issue C, DOI: 10.1016/j.ecolecon.2019.106571.
• Das, Debojyoti & Dutta, Anupam, 2020, "Bitcoin’s energy consumption: Is it the Achilles heel to miner’s revenue?," Economics Letters, Elsevier, volume 186, issue C, DOI: 10.1016/j.econlet.2019.108530.
• Han, Hyojin, 2020, "On the identification of models with conditional characteristic functions," Economics Letters, Elsevier, volume 186, issue C, DOI: 10.1016/j.econlet.2019.108859.
• Cheung, Ying Lun, 2020, "Nonstationarity-extended Whittle estimation with discontinuity: A correction," Economics Letters, Elsevier, volume 187, issue C, DOI: 10.1016/j.econlet.2019.108914.
• Hassler, Uwe & Hosseinkouchack, Mehdi, 2020, "Estimating the mean under strong persistence," Economics Letters, Elsevier, volume 188, issue C, DOI: 10.1016/j.econlet.2020.108950.
• Liu, Guannan & Yao, Shuang, 2020, "A robust test for predictability with unknown persistence," Economics Letters, Elsevier, volume 189, issue C, DOI: 10.1016/j.econlet.2020.109028.
• Köchling, Gerrit & Schmidtke, Philipp & Posch, Peter N., 2020, "Volatility forecasting accuracy for Bitcoin," Economics Letters, Elsevier, volume 191, issue C, DOI: 10.1016/j.econlet.2019.108836.
• Nazlioglu, Saban & Lee, Junsoo, 2020, "Response surface estimates of the LM unit root tests," Economics Letters, Elsevier, volume 192, issue C, DOI: 10.1016/j.econlet.2020.109136.
• Ben, Youhong & Jiang, Feiyu, 2020, "A note on Portmanteau tests for conditional heteroscedastistic models," Economics Letters, Elsevier, volume 192, issue C, DOI: 10.1016/j.econlet.2020.109159.
• Li, Yifan, 2020, "Nearly unbiased estimation of sample skewness," Economics Letters, Elsevier, volume 192, issue C, DOI: 10.1016/j.econlet.2020.109174.
• Wenger, Kai & Less, Vivien, 2020, "A modified Wilcoxon test for change points in long-range dependent time series," Economics Letters, Elsevier, volume 192, issue C, DOI: 10.1016/j.econlet.2020.109237.
• Choi, Ji-Eun & Shin, Dong Wan, 2020, "A self-normalization test for correlation change," Economics Letters, Elsevier, volume 193, issue C, DOI: 10.1016/j.econlet.2019.02.007.
• Kiss, Tamás & Österholm, Pär, 2020, "Fat tails in leading indicators," Economics Letters, Elsevier, volume 193, issue C, DOI: 10.1016/j.econlet.2020.109317.
• Mayer, Alexander, 2020, "(Consistently) testing strict exogeneity against the alternative of predeterminedness in linear time-series models," Economics Letters, Elsevier, volume 193, issue C, DOI: 10.1016/j.econlet.2020.109335.
• Wingert, Simon & Mboya, Mwasi Paza & Sibbertsen, Philipp, 2020, "Distinguishing between breaks in the mean and breaks in persistence under long memory," Economics Letters, Elsevier, volume 193, issue C, DOI: 10.1016/j.econlet.2020.109338.
• Chang, Seong Yeon, 2020, "A new test of asset return predictability with an unstable predictor," Economics Letters, Elsevier, volume 196, issue C, DOI: 10.1016/j.econlet.2020.109529.
• Nonejad, Nima, 2020, "An observation regarding Hamilton’s recent criticisms of Kilian’s global real economic activity index," Economics Letters, Elsevier, volume 196, issue C, DOI: 10.1016/j.econlet.2020.109582.
• Zhang, Erhua & Wu, Jilin, 2020, "Adaptive estimation of AR∞ models with time-varying variances," Economics Letters, Elsevier, volume 197, issue C, DOI: 10.1016/j.econlet.2020.109641.
• Holt, Matthew T. & Teräsvirta, Timo, 2020, "Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis," Journal of Econometrics, Elsevier, volume 214, issue 1, pages 198-215, DOI: 10.1016/j.jeconom.2019.05.011.
• Harvey, Andrew & Ito, Ryoko, 2020, "Modeling time series when some observations are zero," Journal of Econometrics, Elsevier, volume 214, issue 1, pages 33-45, DOI: 10.1016/j.jeconom.2019.05.003.
• Friedrich, Marina & Smeekes, Stephan & Urbain, Jean-Pierre, 2020, "Autoregressive wild bootstrap inference for nonparametric trends," Journal of Econometrics, Elsevier, volume 214, issue 1, pages 81-109, DOI: 10.1016/j.jeconom.2019.05.006.
• Horváth, Lajos & Liu, Zhenya & Rice, Gregory & Wang, Shixuan, 2020, "Sequential monitoring for changes from stationarity to mild non-stationarity," Journal of Econometrics, Elsevier, volume 215, issue 1, pages 209-238, DOI: 10.1016/j.jeconom.2019.08.010.
• Lieberman, Offer & Phillips, Peter C.B., 2020, "Hybrid stochastic local unit roots," Journal of Econometrics, Elsevier, volume 215, issue 1, pages 257-285, DOI: 10.1016/j.jeconom.2019.05.023.
• Jiang, Bibo & Lu, Ye & Park, Joon Y., 2020, "Testing for Stationarity at High Frequency," Journal of Econometrics, Elsevier, volume 215, issue 2, pages 341-374, DOI: 10.1016/j.jeconom.2019.09.004.
• Inoue, Atsushi & Kilian, Lutz, 2020, "The uniform validity of impulse response inference in autoregressions," Journal of Econometrics, Elsevier, volume 215, issue 2, pages 450-472, DOI: 10.1016/j.jeconom.2019.10.001.
• Martin, Gael M. & Nadarajah, K. & Poskitt, D.S., 2020, "Issues in the estimation of mis-specified models of fractionally integrated processes," Journal of Econometrics, Elsevier, volume 215, issue 2, pages 559-573, DOI: 10.1016/j.jeconom.2019.09.007.
• Li, Degui & Phillips, Peter C.B. & Gao, Jiti, 2020, "Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression," Journal of Econometrics, Elsevier, volume 215, issue 2, pages 607-632, DOI: 10.1016/j.jeconom.2019.10.005.
• Lin, Yingqian & Tu, Yundong & Yao, Qiwei, 2020, "Estimation for double-nonlinear cointegration," Journal of Econometrics, Elsevier, volume 216, issue 1, pages 175-191, DOI: 10.1016/j.jeconom.2020.01.012.
• Sabzikar, Farzad & Wang, Qiying & Phillips, Peter C.B., 2020, "Asymptotic theory for near integrated processes driven by tempered linear processes," Journal of Econometrics, Elsevier, volume 216, issue 1, pages 192-202, DOI: 10.1016/j.jeconom.2020.01.013.
• Davis, Richard A. & Song, Li, 2020, "Noncausal vector AR processes with application to economic time series," Journal of Econometrics, Elsevier, volume 216, issue 1, pages 246-267, DOI: 10.1016/j.jeconom.2020.01.017.
• Dufays, Arnaud & Rombouts, Jeroen V.K., 2020, "Relevant parameter changes in structural break models," Journal of Econometrics, Elsevier, volume 217, issue 1, pages 46-78, DOI: 10.1016/j.jeconom.2019.10.008.
• Francq, Christian & Zakoïan, Jean-Michel, 2020, "Virtual Historical Simulation for estimating the conditional VaR of large portfolios," Journal of Econometrics, Elsevier, volume 217, issue 2, pages 356-380, DOI: 10.1016/j.jeconom.2019.12.008.
• Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2020, "Multivariate leverage effects and realized semicovariance GARCH models," Journal of Econometrics, Elsevier, volume 217, issue 2, pages 411-430, DOI: 10.1016/j.jeconom.2019.12.011.
• Dhaene, Geert & Wu, Jianbin, 2020, "Incorporating overnight and intraday returns into multivariate GARCH volatility models," Journal of Econometrics, Elsevier, volume 217, issue 2, pages 471-495, DOI: 10.1016/j.jeconom.2019.12.013.
• Chan, Joshua C.C. & Eisenstat, Eric & Strachan, Rodney W., 2020, "Reducing the state space dimension in a large TVP-VAR," Journal of Econometrics, Elsevier, volume 218, issue 1, pages 105-118, DOI: 10.1016/j.jeconom.2019.11.006.
• Xu, Ke-Li, 2020, "Inference of local regression in the presence of nuisance parameters," Journal of Econometrics, Elsevier, volume 218, issue 2, pages 532-560, DOI: 10.1016/j.jeconom.2020.04.028.
• Ghysels, Eric & Hill, Jonathan B. & Motegi, Kaiji, 2020, "Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality," Journal of Econometrics, Elsevier, volume 218, issue 2, pages 633-654, DOI: 10.1016/j.jeconom.2020.04.032.
• Sun, Yixiao & Yang, Jingjing, 2020, "Testing-optimal kernel choice in HAR inference," Journal of Econometrics, Elsevier, volume 219, issue 1, pages 123-136, DOI: 10.1016/j.jeconom.2020.06.007.
• Li, Jia & Liao, Zhipeng, 2020, "Uniform nonparametric inference for time series," Journal of Econometrics, Elsevier, volume 219, issue 1, pages 38-51, DOI: 10.1016/j.jeconom.2019.09.011.
• Lin, Yingqian & Tu, Yundong, 2020, "Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root," Journal of Econometrics, Elsevier, volume 219, issue 1, pages 52-65, DOI: 10.1016/j.jeconom.2020.04.038.
• Bai, Jushan & Han, Xu & Shi, Yutang, 2020, "Estimation and inference of change points in high-dimensional factor models," Journal of Econometrics, Elsevier, volume 219, issue 1, pages 66-100, DOI: 10.1016/j.jeconom.2019.08.013.
• Bykhovskaya, Anna & Phillips, Peter C.B., 2020, "Point optimal testing with roots that are functionally local to unity," Journal of Econometrics, Elsevier, volume 219, issue 2, pages 231-259, DOI: 10.1016/j.jeconom.2020.03.003.
• Dalla, Violetta & Giraitis, Liudas & Robinson, Peter M., 2020, "Asymptotic theory for time series with changing mean and variance," Journal of Econometrics, Elsevier, volume 219, issue 2, pages 281-313, DOI: 10.1016/j.jeconom.2020.03.005.