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

2018

• Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana & Rangan Gupta, 2018, "The relationship between healthcare expenditure and disposable personal income in the US states: a fractional integration and cointegration analysis," Empirical Economics, Springer, volume 55, issue 3, pages 913-935, November, DOI: 10.1007/s00181-017-1297-3.
• Madhu Sehrawat & A. K. Giri, 2018, "The impact of financial development, economic growth, income inequality on poverty: evidence from India," Empirical Economics, Springer, volume 55, issue 4, pages 1585-1602, December, DOI: 10.1007/s00181-017-1321-7.
• Szabolcs Blazsek & Hector Hernández, 2018, "Analysis of electricity prices for Central American countries using dynamic conditional score models," Empirical Economics, Springer, volume 55, issue 4, pages 1807-1848, December, DOI: 10.1007/s00181-017-1341-3.
• Hiroshi Yamada, 2018, "A trend filtering method closely related to $$\ell _{1}$$ ℓ 1 trend filtering," Empirical Economics, Springer, volume 55, issue 4, pages 1413-1423, December, DOI: 10.1007/s00181-017-1349-8.
• Alessandro Zeli, 2018, "The impact of ACE on investment: the Italian case," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, volume 35, issue 3, pages 741-762, December, DOI: 10.1007/s40888-018-0116-4.
• Amelie F. Constant & Teresa García-Muñoz & Shoshana Neuman & Tzahi Neuman, 2018, "A “healthy immigrant effect” or a “sick immigrant effect”? Selection and policies matter," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), volume 19, issue 1, pages 103-121, January, DOI: 10.1007/s10198-017-0870-1.
• Athanasia S. Kalaitzi & Emmanuel Cleeve, 2018, "Export-led growth in the UAE: multivariate causality between primary exports, manufactured exports and economic growth," Eurasian Business Review, Springer;Eurasia Business and Economics Society, volume 8, issue 3, pages 341-365, September, DOI: 10.1007/s40821-017-0089-1.
• Aasif Shah & Arif Tali & Qaiser Farooq, 2018, "Beta through the prism of wavelets," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 4, issue 1, pages 1-17, December, DOI: 10.1186/s40854-018-0102-4.
• Philip Hans Franses, 2018, "Prediction Intervals For Expert-Adjusted Forecasts," Advances in Decision Sciences, Asia University, Taiwan, volume 22, issue 1, pages 308-320, December.
• Nikolaos Antonakakis & Mehmet Balcilar & Elie Bouri & Rangan Gupta, 2018, "Is Wine A Safe-Haven? Evidence From A Nonparametric Causality-In-Quantiles Test," Advances in Decision Sciences, Asia University, Taiwan, volume 22, issue 1, pages 95-114, December.
• Emilio Zanetti Chini, 2018, "Forecaster’s utility and forecasts coherence," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-01, Jan.
• Niels Haldrup & Carsten P. T. Rosenskjold, 2018, "A Parametric Factor Model of the Term Structure of Mortality," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-06, Jan.
• Isabel Casas & Xiuping Mao & Helena Veiga, 2018, "Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-10, Mar.
• Yunus Emre Ergemen & Carlos Velasco, 2018, "Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-11, Mar.
• Emilio Zanetti Chini, 2018, "Forecasting dynamically asymmetric fluctuations of the U.S. business cycle," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-13, Mar.
• Changli He & Jian Kang & Timo Teräsvirta & Shuhua Zhang, 2018, "The Shifting Seasonal Mean Autoregressive Model and Seasonality in the Central England Monthly Temperature Series, 1772-2016," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-15, Apr.
• Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2018, "Diffusion Copulas: Identification and Estimation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-20, Aug.
• Emilio Zanetti Chini, 2018, "Forecasters’ utility and forecast coherence," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-23, Aug.
• Tom Engsted & Thomas Q. Pedersen, 2018, "Disappearing money illusion," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-24, Aug.
• Erik Christian Montes Schütte, 2018, "In Search of a Job: Forecasting Employment Growth in the US using Google Trends," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-25, Aug.
• Stan Hurn & Nicholas Johnson & Annastiina Silvennoinen & Timo Teräsvirta, 2018, "Transition from the Taylor rule to the zero lower bound," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-31, Nov.
• Simplice A. Asongu & Oludele E. Folarin & Nicholas Biekpe, 2018, "The Long Run Stability of Money Demand in the Proposed West African Monetary Union," Research Africa Network Working Papers, Research Africa Network (RAN), number 18/052, Jan.
• Hyeongwoo Kim & Jintae Kim, 2018, "London Calling: Nonlinear Mean Reversion across National Stock Markets," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2018-01, Jan.
• Afonso-Rodríguez, Julio A. & Santana-Gallego, María, 2018, "Time-varying cointegrating regression analysis with an application to the long-run interest rate pass-through in the Euro Area," Working Papers, Asociación Española de Economía y Finanzas Internacionales, number 18-01, Jan.
• Claude Diebolt & Karine Pellier, 2018, "Patents in the Long Run: Theory, History and Statistics," Working Papers, Association Française de Cliométrie (AFC), number 03-18.
• Simplice A. Asongu & Oludele E. Folarin & Nicholas Biekpe, 2018, "The Long Run Stability of Money Demand in the Proposed West African Monetary Union," AFEA Working Papers, African Finance and Economic Association (AFEA), number 18/043, Jan.
• Dingaan Jack Khoza & J.W. Muteba Mwamba, 2018, "Modelling Aggregate Risk of the South African Banking Industry: An Application to Pillar II Economic Capital," The African Finance Journal, Africagrowth Institute, volume 20, issue 1, pages 39-65.
• Simplice A. Asongu & Oludele E. Folarin & Nicholas Biekpe, 2018, "The Long Run Stability of Money Demand in the Proposed West African Monetary Union," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., number 18/052, Jan.
• Gitau, R. & Meyer, F., , "Spatial price transmission under different policy regimes: A case of maize markets in Kenya," 2018 Annual Conference, September 25-27, Cape Town, South Africa, Agricultural Economics Association of South Africa (AEASA), number 284732, DOI: 10.22004/ag.econ.284732.
• Aye, G.C. & Clance, M. & Gupta, R., 2018, "The Effectiveness of Monetary and Fiscal Policy Shocks on U.S. Inequality: The Role of Uncertainty," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia, International Association of Agricultural Economists, number 277037, Jul, DOI: 10.22004/ag.econ.277037.
• ßrregaard Nielsen, Morten & Ksawery Popiel, MichaÅC, 2018, "A Matlab program and user’s guide for the fractionally cointegrated VAR model," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 274656, May, DOI: 10.22004/ag.econ.274656.
• Cavaliere, Giuseppe & ßrregaard Nielsen, Morten & Taylor, A.M. Robert, 2018, "Adaptive inference in heteroskedastic fractional time series models," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 274716, May, DOI: 10.22004/ag.econ.274716.
• Prukumpai, Suthawan & Sethapramote, Yuthana, 2018, "Stock Market Integration in the ASEAN-5," Asian Journal of Applied Economics, Kasetsart University, Center for Applied Economics Research, volume 25, issue 01, October, DOI: 10.22004/ag.econ.338437.
• Rozina Shaheen, 2018, "Testing Fiscal Dominance Hypothesis in a Structural VAR Specification for Pakistan," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 65, issue 1, pages 51-63, March.
• Stephen Bazen & Vêlayoudom Marimoutou, 2018, "Federal Minimum Wage Hikes Do Reduce Teenage Employment," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1850, Nov.
• Park, Byeong U. & Simar, Leopold & Zelenyuk, Valentin, 2018, "Forecasting of Recessions via Dynamic Probit for Time Series: Replication and Extension of Kauppi and Saikkonen (2008)," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2018004, Jan.
• Wang, Cindy Shin-Huei & Hafner, Christian, 2018, "A simple solution of the spurious regression problem," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2018044, Jan.
• Hafner, Christian, 2018, "Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2018045, Jan.
• Marta Gómez-Puig & Simón Sosvilla-Rivero, 2018, "Public Debt and Economic Growth: Further Evidence for the Euro Area," Acta Oeconomica, Akadémiai Kiadó, Hungary, volume 68, issue 2, pages 209-229, June.
• Mehmet Dikkaya & Bayram Veli Doyar & Ozgur Kanbir, , "The Effects Of Oil Prices On Turkeys Foreign Trade Relations To Azerbaijan," Review of Socio - Economic Perspectives, Reviewsep, number 201833, DOI: https://doi.org/10.19275/RSEP057.
• Muhammed Tıraşoğlu & İpek Melahat Yurttagüler, 2018, "Inflation Convergence in BRICS Countries: A Comprehensive Unit Root Test Analysis," Alphanumeric Journal, Bahadir Fatih Yildirim, volume 6, issue 2, pages 311-324, December, DOI: http://dx.doi.org/10.17093/alphanum.
• Catherine Hausman & David S. Rapson, 2018, "Regression Discontinuity in Time: Considerations for Empirical Applications," Annual Review of Resource Economics, Annual Reviews, volume 10, issue 1, pages 533-552, October, DOI: 10.1146/annurev-resource-121517-033.
• Josep Lluís Carrion-i-Silvestre & María Dolores Gadea & Antonio Montañés, 2017, "“Unbiased estimation of autoregressive models forbounded stochastic processes," AQR Working Papers, University of Barcelona, Regional Quantitative Analysis Group, number 201710, Dec, revised Dec 2017.
• Christos Kollias & Suzanna-Maria Paleologou & Panayiotis Tzeremes & Nickolaos Tzeremes, 2018, "The demand for defense spending in Russia: Economic and strategic determinants," Russian Journal of Economics, ARPHA Platform, volume 4, issue 3, pages 215-228, October, DOI: 10.3897/j.ruje.4.27086.
• Abdulla S. Al-Khulaifi, 2018, "An Empirical Study on Inflation and Economic Growth in Qatar," International Journal of Economics and Financial Research, Academic Research Publishing Group, volume 4, issue 9, pages 292-296, 09-2018.
• Alessandro Casini & Pierre Perron, 2018, "Generalized Laplace Inference in Multiple Change-Points Models," Papers, arXiv.org, number 1803.10871, Mar, revised Jan 2021.
• Alessandro Casini & Pierre Perron, 2018, "Continuous Record Asymptotics for Change-Points Models," Papers, arXiv.org, number 1803.10881, Mar, revised Nov 2021.
• Alessandro Casini & Pierre Perron, 2018, "Continuous Record Laplace-based Inference about the Break Date in Structural Change Models," Papers, arXiv.org, number 1804.00232, Mar, revised May 2020.
• Andrea Bastianin & Marzio Galeotti & Matteo Manera, 2018, "Statistical and Economic Evaluation of Time Series Models for Forecasting Arrivals at Call Centers," Papers, arXiv.org, number 1804.08315, Apr.
• Alessandro Casini & Pierre Perron, 2018, "Structural Breaks in Time Series," Papers, arXiv.org, number 1805.03807, May.
• Florian Ziel & Rafal Weron, 2018, "Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks," Papers, arXiv.org, number 1805.06649, May.
• R. Scott Hacker & Abdulnasser Hatemi-J, 2018, "Model Selection in Time Series Analysis: Using Information Criteria as an Alternative to Hypothesis Testing," Papers, arXiv.org, number 1805.08991, May.
• Victor Chernozhukov & Wolfgang K. Hardle & Chen Huang & Weining Wang, 2018, "LASSO-Driven Inference in Time and Space," Papers, arXiv.org, number 1806.05081, Jun, revised May 2020.
• Marina Friedrich & Stephan Smeekes & Jean-Pierre Urbain, 2018, "Autoregressive Wild Bootstrap Inference for Nonparametric Trends," Papers, arXiv.org, number 1807.02357, Jul, revised Nov 2019.
• Gary Koop & Dimitris Korobilis, 2018, "Bayesian dynamic variable selection in high dimensions," Papers, arXiv.org, number 1809.03031, Sep, revised May 2020.
• Ji Hyung Lee & Zhentao Shi & Zhan Gao, 2018, "On LASSO for Predictive Regression," Papers, arXiv.org, number 1810.03140, Oct, revised Feb 2021.
• Otilia Boldea & Adriana Cornea-Madeira & Alastair R. Hall, 2018, "Bootstrapping Structural Change Tests," Papers, arXiv.org, number 1811.04125, Nov.
• Francisco Blasques & Vladim'ir Hol'y & Petra Tomanov'a, 2018, "Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros," Papers, arXiv.org, number 1812.07318, Dec, revised May 2024.
• Antonis Demos & Dimitra Kyriakopoulou, 2018, "Finite Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model," DEOS Working Papers, Athens University of Economics and Business, number 1802, Feb.
• Vugar Ahmadov & Salman Huseynov & Peter Pedroni, 2018, "Oil Prices and Inflation: Identifying Channels for Oil Exporters," Working Papers, Central Bank of Azerbaijan Republic, number 1801, Jan.
• Maryna Spivak & Olesia Khokhuliak & Anastasiya Inshyna, 2018, "Conglomerate Management Of Enterprise As Socio-Economic System," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", volume 4, issue 3, DOI: 10.30525/2256-0742/2018-4-3-295-301.
• Stavros Degiannakis & George Filis, 2018, "Forecasting European Economic Policy Uncertainty," BAFES Working Papers, Department of Accounting, Finance & Economic, Bournemouth University, number BAFES15, Mar.
• Michail Filippidis & George Filis & Christos Floros & Renatas Kizys, 2018, "The WTI/Brent oil futures price differential and the globalisation-regionalisation hypothesis," BAFES Working Papers, Department of Accounting, Finance & Economic, Bournemouth University, number BAFES19, Mar.
• Stephen Wright & James Mitchell & Donald Robertson, 2018, "R2 bounds for predictive models: what univariate properties tell us about multivariate predictability," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 1804, Apr.
• Zacharias Psaradakis & Márian Vávra, 2018, "Bootstrap-Assisted Tests of Symmetry for Dependent Data," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 1806, Jul.
• Maximo Camacho & Fernando Soto, 2018, "Consumer confidence’s boom and bust in Latin America," Working Papers, BBVA Bank, Economic Research Department, number 18/02, Feb.
• Taylor Webley, 2018, "Fundamental Drivers of Existing Home Sales in Canada," Discussion Papers, Bank of Canada, number 18-16, DOI: 10.34989/sdp-2018-16.
• Bruno Feunou & Rodrigo Sekkel & Morvan Nongni Donfack, 2018, "Does US or Canadian Macro News Drive Canadian Bond Yields?," Staff Analytical Notes, Bank of Canada, number 2018-38, DOI: 10.34989/san-2018-38.
• Fiorella Dogliolo, 2018, "Investment Nowcasting. A Real-Time Estimate with High Frequency Indicators," BCRA Working Paper Series, Central Bank of Argentina, Economic Research Department, number 201878, Apr.
• Laura D'Amato & Maximiliano Gómez Aguirre & Lorena Garegnani & Ariel Krysa & Luis Libonatti, 2018, "Forecasting Inflation in Argentina: A Comparison of Different Models," BCRA Working Paper Series, Central Bank of Argentina, Economic Research Department, number 201881, Aug.
• Andrea Bastianin & Marzio Galeotti & Michele Polo, 2018, "Convergence of European Natural Gas Prices," GREEN Working Papers, GREEN, Centre for Research on Geography, Resources, Environment, Energy & Networks, Universita' Bocconi, Milano, Italy, number 01.
• Andrea Bastianin & Marzio Galeotti & Michele Polo, 2018, "Convergence of European natural gas prices," IEFE Working Papers, IEFE, Center for Research on Energy and Environmental Economics and Policy, Universita' Bocconi, Milano, Italy, number 107.
• Ana Arencibia Pareja & Ana Gómez Loscos & Mercedes de Luis López & Gabriel Pérez Quirós, 2018, "A short-term forecasting model for the Spanish economy: GDP and its demand components," Occasional Papers, Banco de España, number 1801, Feb.
• Gergely Ganics & Atsushi Inoue & Barbara Rossi, 2018, "Confidence intervals for bias and size distortion in IV and local projections — IV models," Working Papers, Banco de España, number 1841, Dec.
• Jose Eduardo Gomez-Gonzalez & Jorge Hirs-Garzon & Sebastian Sanin-Restrepo, 2018, "Dynamic relations between oil and stock markets: Volatility spillovers, networks and causality," Borradores de Economia, Banco de la Republica de Colombia, number 1051, Sep, DOI: 10.32468/be.1051.
• Sophie Béreau & Faubert Violaine & Katia Schmidt, 2018, "Explaining and Forecasting Euro Area Inflation: the Role of Domestic and Global Factors," Working papers, Banque de France, number 663.
• Gergely Ganics & Atsushi Inoue & Barbara Rossi, 2019, "Confidence Intervals for Bias and Size Distortion in IV and Local Projections–IV Models," Working Papers, Barcelona School of Economics, number 1077, Mar.
• Atsushi Inoue & Barbara Rossi, 2019, "The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates," Working Papers, Barcelona School of Economics, number 1078, Mar.
• Güneş Kamber & Madhusudan Mohanty, 2018, "Do interest rates play a major role in monetary policy transmission in China?," BIS Working Papers, Bank for International Settlements, number 714, Apr.
• Amélie Charles & Olivier Darné & Laurent Ferrara, 2018, "Does The Great Recession Imply The End Of The Great Moderation? International Evidence," Economic Inquiry, Western Economic Association International, volume 56, issue 2, pages 745-760, April, DOI: 10.1111/ecin.12551.
• Daniel Ordoñez‐Callamand & Mauricio Villamizar‐Villegas & Luis F. Melo‐Velandia, 2018, "Foreign exchange intervention revisited: A new way of estimating censored models," International Finance, Wiley Blackwell, volume 21, issue 2, pages 195-213, June, DOI: 10.1111/infi.12131.
• Mehmet Balcilar & Rangan Gupta & Ricardo M. Sousa & Mark E. Wohar, 2018, "Wealth‐to‐Income Ratio and Stock Market Movements: Evidence from a Nonparametric Causality Test," International Review of Finance, International Review of Finance Ltd., volume 18, issue 3, pages 495-506, September, DOI: 10.1111/irfi.12136.
• Giampiero M. Gallo & Edoardo Otranto, 2018, "Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach," Journal of the Royal Statistical Society Series C, Royal Statistical Society, volume 67, issue 3, pages 549-573, April, DOI: 10.1111/rssc.12253.
• Anna Bykhovskaya & Peter C. B. Phillips, 2018, "Boundary Limit Theory for Functional Local to Unity Regression," Journal of Time Series Analysis, Wiley Blackwell, volume 39, issue 4, pages 523-562, July, DOI: 10.1111/jtsa.12285.
• Brendan K. Beare, 2018, "Unit Root Testing with Unstable Volatility," Journal of Time Series Analysis, Wiley Blackwell, volume 39, issue 6, pages 816-835, November, DOI: 10.1111/jtsa.12279.
• Rafael González†Val & Miriam Marcén, 2018, "Club Classification of US Divorce Rates," Manchester School, University of Manchester, volume 86, issue 4, pages 512-532, July, DOI: 10.1111/manc.12203.
• Rosen Azad Chowdhury & Bill Russell, 2018, "The difference, system and ‘Double‐D’ GMM panel estimators in the presence of structural breaks," Scottish Journal of Political Economy, Scottish Economic Society, volume 65, issue 3, pages 271-292, July, DOI: 10.1111/sjpe.12142.
• Laura Bisio & Filippo Moauro, 2018, "Temporal disaggregation by dynamic regressions: Recent developments in Italian quarterly national accounts," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 72, issue 4, pages 471-494, November, DOI: 10.1111/stan.12156.
• Zacharias Bragoudakis, 2018, "Are the price adjustments asymmetric in basic food categories? The case of the Greek food market," Economic Bulletin, Bank of Greece, issue 47, pages 75-91, July.
• Alexandros E. Milionis & Nikolaos G. Galanopoulos, 2018, "Time series with interdependent level and second moment: statistical testing and applications with Greek external trade and simulated data," Working Papers, Bank of Greece, number 246, May.
• Itamar Caspi & Amit Friedman & Sigal Ribon, 2018, "The Immediate Impact and Persistent Effect of FX Purchases on the Exchange Rate," Bank of Israel Working Papers, Bank of Israel, number 2018.04, Jun.
• Soohyon Kim, 2018, "Determinants of Capital Flows in the Korean Bond Market," Working Papers, Economic Research Institute, Bank of Korea, number 2018-44, Dec.
• Alessandro Casini & Pierre Perron, 2018, "Structural Breaks in Time Series," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2019-02, May.
• Pierre Perron & Yohei Yamamoto, 2018, "Testing for Changes in Forecasting Performance," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2019-03, May, revised Dec 2018.
• Pierre Perron & Yohei Yamamoto, 2018, "Testing for Changes in Forecasting Performance," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2019-13, May, revised Jun 2019.
• Skrobotov Anton, 2018, "On Trend Breaks and Initial Condition in Unit Root Testing," Journal of Time Series Econometrics, De Gruyter, volume 10, issue 1, pages 1-15, January, DOI: 10.1515/jtse-2016-0014.
• Poissonnier Aurélien, 2018, "The Chow-Lin method extended to dynamic models with autocorrelated residuals," Journal of Time Series Econometrics, De Gruyter, volume 10, issue 1, pages 1-17, January, DOI: 10.1515/jtse-2016-0007.
• Boubaker Heni, 2018, "A Generalized ARFIMA Model with Smooth Transition Fractional Integration Parameter," Journal of Time Series Econometrics, De Gruyter, volume 10, issue 1, pages 1-20, January, DOI: 10.1515/jtse-2015-0001.
• Pontarollo Nicola & Ricciuti Roberto, 2018, "A Note on Borders, Dyads and the Distribution of Democracy in Sub-Saharan Africa," Peace Economics, Peace Science, and Public Policy, De Gruyter, volume 24, issue 2, pages 1-8, May, DOI: 10.1515/peps-2018-0010.
• Noureldin Diaa, 2018, "Much Ado about the Egyptian Pound: Exchange Rate Misalignment and the Path Towards Equilibrium," Review of Middle East Economics and Finance, De Gruyter, volume 14, issue 2, pages 1-19, August, DOI: 10.1515/rmeef-2018-0002.
• Ma Jun & Olson Eric & Wohar Mark E., 2018, "Nonlinear Taylor rules: evidence from a large dataset," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 22, issue 1, pages 1-14, February, DOI: 10.1515/snde-2016-0082.
• Liu Xiaochun & Luger Richard, 2018, "Markov-switching quantile autoregression: a Gibbs sampling approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 22, issue 2, pages 1, April, DOI: 10.1515/snde-2016-0078.
• Chong Terence Tai-Leung & Chen Haiqiang & Wong Tsz-Nga & Yan Isabel Kit-Ming, 2018, "Estimation and inference of threshold regression models with measurement errors," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 22, issue 2, pages 1-16, April, DOI: 10.1515/snde-2014-0032.
• Christidou Maria & Fountas Stilianos, 2018, "Uncertainty in the housing market: evidence from US states," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 22, issue 2, pages 1-17, April, DOI: 10.1515/snde-2016-0064.
• Wang Cindy Shin-Huei & Hafner Christian M., 2018, "A simple solution of the spurious regression problem," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 22, issue 3, pages 1-14, June, DOI: 10.1515/snde-2015-0040.
• Yamada Hiroshi, 2018, "A New Method for Specifying the Tuning Parameter of ℓ1 Trend Filtering," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 22, issue 4, pages 1-8, September, DOI: 10.1515/snde-2016-0073.
• Prono Todd, 2018, "Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 22, issue 5, pages 1-25, December, DOI: 10.1515/snde-2017-0070.
• Carlos Carvalho & Jared D. Fisher & Davide Pettenuzzo, 2018, "Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models," Working Papers, Brandeis University, Department of Economics and International Business School, number 123, Sep.
• Angelica Gianfreda & Derek Bunn, 2018, "A Stochastic Latent Moment Model for Electricity Price Formation," BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen, number BEMPS46, Jan.
• Dong, C. & Gao, J. & Linton, O., 2018, "High Dimensional Semiparametric Moment Restriction Models," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1881, Nov.
• Tayfur Bayat & Selim Kayhan & İzzet Taşar, 2018, "Re-Visiting Fisher Effect for Fragile Five Economies," Journal of Central Banking Theory and Practice, Central bank of Montenegro, volume 7, issue 2, pages 203-218.
• Mustafa Özer & Jovana Žugić & Sonja Tomaš-Miskin, 2018, "The Relationship between Current Account Deficits and Growth in Montenegro: ARDL Bounds Testing Approach," Journal of Central Banking Theory and Practice, Central bank of Montenegro, volume 7, issue 3, pages 5-24.
• Umit Bulut, 2018, "Inflation Expectations in Turkey: Determinants and Roles in Missing Inflation Targets," Journal of Central Banking Theory and Practice, Central bank of Montenegro, volume 7, issue 3, pages 73-90.
• Zoe Adams & Louise Bishop & Simon Deakin & Colin Fenwick & Sara Martinsson Garzelli & Giudy Rusconi & Centre for Business Research, 2018, "The Economic Significance of Laws Relating to Employment Protection & Different Forms of Employment: Analysis of a Panel of 117 Countries, 1990-2013," Working Papers, Centre for Business Research, University of Cambridge, number wp500, Mar.
• Stanislav Anatolyev & Sergei Seleznev & Veronika Selezneva, 2018, "Formation of Market Beliefs in the Oil Market," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp619, Jun.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Tommaso Trani, 2018, "Brexit and Uncertainty in Financial Markets," CESifo Working Paper Series, CESifo, number 6874.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Tommaso Trani, 2018, "On the Persistence of UK Inflation: A Long-Range Dependence Approach," CESifo Working Paper Series, CESifo, number 6968.
• Guglielmo Maria Caporale & Hector Carcel & Luis A. Gil-Alana, 2018, "Prospects for a Monetary Union in the East Africa Community: Some Empirical Evidence," CESifo Working Paper Series, CESifo, number 7073.
• Jonas E. Arias & Guido Ascari & Nicola Branzoli & Efrem Castelnuovo, 2018, "Positive Trend Inflation and Determinacy in a Medium-Sized New Keynesian Model," CESifo Working Paper Series, CESifo, number 7122.
• Guglielmo Maria Caporale & Timur Zekokh, 2018, "Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models," CESifo Working Paper Series, CESifo, number 7167.
• Maciej Wysocki & Cezary Wójcik, 2018, "Fiscal Sustainability in the EU After the Global Crisis: Is there any Progress?," CESifo Working Paper Series, CESifo, number 7230.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Trilochan Tripathy, 2018, "Persistence in the Russian Stock Market Volatility Indices," CESifo Working Paper Series, CESifo, number 7243.
• Stefan Sauer & Michael Weber & Klaus Wohlrabe, 2018, "Das neue ifo Geschäftsklima Ostdeutschland und Sachsen: Hintergründe und Anpassungen," ifo Dresden berichtet, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 25, issue 03, pages 20-24, June.
• Stefan Sauer & Klaus Wohlrabe, 2018, "The New ifo Business Climate Index for Germany," CESifo Forum, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 19, issue 02, pages 59-64, July.
• Timo Wollmershäuser, 2018, "ifo Konjunkturprognose Frühjahr 2018: Starke deutsche Konjunktur im Spannungsfeld zwischen GroKo und Trump," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 71, issue 07, pages 77-78, April.
• Klaus Wohlrabe, 2018, "ifo Konjunkturumfragen Juni 2018 auf einen Blick: Der Rückenwind für die deutsche Wirtschaft flaut ab," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 71, issue 13, pages 73-74, July.
• Klaus Wohlrabe, 2018, "ifo Konjunkturumfragen August 2018 auf einen Blick: Die deutsche Wirtschaft befindet sich in einem Sommerhoch," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 71, issue 17, pages 60-61, September.
• Tsutomu Watanabe & Tomoyoshi Yabu, 2018, "The Demand for Money at the Zero Interest Rate Bound," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-444, Sep.
• Nathaniel T. Wilcox, 2018, "Conditional Independence in a Binary Choice Experiment," Working Papers, Chapman University, Economic Science Institute, number 18-08.
• Anthony Paris, 2018, "On the link between oil and agricultural commodity prices: Do biofuels matter?," International Economics, CEPII research center, issue 155, pages 48-60.
• Svetlana Fedoseeva, 2018, "Under pressure: Dynamic pass-through of oil prices to the RUB/USD exchange rate," International Economics, CEPII research center, issue 156, pages 117-126.
• Gabriele Fiorentini & Enrique Sentana, 2018, "Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators," Working Papers, CEMFI, number wp2018_1802, Jan.
• Gabriele Fiorentini & Enrique Sentana, 2018, "Specification Tests for Non-Gaussian Maximum Likelihood Estimators," Working Papers, CEMFI, number wp2018_1804, May.
• Gabriele Fiorentini & Enrique Sentana, 2018, "New Testing Approaches for Mean-Variance Predictability," Working Papers, CEMFI, number wp2018_1814, Dec.
• Simona Malovana, 2018, "The Pro-Cyclicality of Risk Weights for Credit Exposures in the Czech Republic," Working Papers, Czech National Bank, Research and Statistics Department, number 2018/12, Oct.
• Adriana Uquillas & Carlos Gonz�lez, 2017, "Determinantes macro y microeconómicos para pruebas de tensión de riesgo de crédito: un estudio comparativo entre Ecuador y Colombia basado en la tasa de morosidad," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 35, issue 84, pages 245-259, DOI: 10.1016/j.espe.2017.11.002.
• Daniel Ordonez Callamand & Luis Fernando Melo-Velandia & Daniel Parra-Amado, 2018, "Una exploración reciente a la demanda por dinero en Colombia bajo un enfoque no lineal," Revista de Economía del Rosario, Universidad del Rosario, volume 21, issue 1, pages 5-37.
• Erika Arrieta Coronado & Jessica Bracamonte Ricardo & Omar Castillo N��ez, 2018, "La oferta de ganado vacuno para ceba en el departamento de Sucre, Colombia: Un enfoque ARDL," Revista de Economía del Caribe, Universidad del Norte, volume 0, issue 0, pages 1-18.
• Carlos Andrés Yanes Guerra, 2018, "La reforma laboral de 2002 y la dinámica del empleo industrial en Colombia," Revista Economía y Región, Universidad Tecnológica de Bolívar, volume 12, issue 1, pages 7-35.
• Juan Pablo Iglesias Ruano, 2018, "El crecimiento del gasto del gobierno en Colombia: Una revisión empírica trimestral desde 1995 hasta 2017 de la hipótesis de Wagner," Vniversitas Económica, Universidad Javeriana - Bogotá, volume 0, issue 0, pages 1-44.
• Edgar Villa, Andres F. Giraldo Martha Misas & Edgar Villa & Andres F. Giraldo, 2018, "Inflation Targeting and the Taylor Principle: evidence from Colombia," Vniversitas Económica, Universidad Javeriana - Bogotá, volume 0, issue 0, pages 1-38.
• Xavier Fernando Briones Mendoza & Leobaldo Enrique Molero Oliva & Oscar Xavier Calderón Zamora, 2018, "La función de producción Cobb-Douglas en el Ecuador," Revista Tendencias, Universidad de Narino, volume 19, issue 2, pages 45-73, DOI: 10.22267/rtend.181902.97.
• DEMOS Antonis, & KYRIAKOPOULOU Dimitra,, 2018, "Finite sample theory and bias correction of maximum likelihood estimators in the EGARCH model," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2018007, Mar.
• Antonis Demos & Dimitra Kyriakopoulou, 2018, "Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2983, Jan, DOI: https://doi.org/10.1515/jtse-2018-0.
• Sentana, Enrique & Fiorentini, Gabriele, 2018, "Consistent non-Gaussian pseudo maximum likelihood estimators," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12682, Feb.
• Pedersen, Lasse Heje & Bollerslev, Tim & Hood, Benjamin & Huss, John, 2018, "Risk Everywhere: Modeling and Managing Volatility," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12687, Feb.
• Sentana, Enrique & Fiorentini, Gabriele, 2018, "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12934, May.
• Petrella, Ivan & Santoro, Emiliano & Simonsen, Lasse de la Porte, 2018, "Time-varying Price Flexibility and Inflation Dynamics," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13027, Jul.
• Mawuli Segnon & Stelios Bekiros & Bernd Wilfling, 2018, "Forecasting Inflation Uncertainty in the G7 Countries," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 7118, Mar.
• Russell Davidson & Andrea Monticini, 2018, "Improvements in Bootstrap Inference," DISCE - Working Papers del Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE), number def070, Apr.
• Chernozhukov, V. & Härdle, W.K. & Huang, C. & Wang, W., 2018, "LASSO-Driven Inference in Time and Space," Working Papers, Department of Economics, City St George's, University of London, number 18/04.
• Zhiming Long & Rémy Herrera, 2018, "Una contribución a la explicación del crecimiento económico en China. Nuevas series temporales y pruebas econométricas de varios modelos," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 41, issue 115, pages 1-18, Enero.
• Juan Gabriel Brida & Bibiana Lanzilotta & Luciana Méndez-Errico, 2018, "Linearity and causality on the dynamic relationship between income inequality and economic growth: evidence from a high income Latin American country," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 41, issue 117, pages 291-300, Noviembre.
• Muhammad Ahad & Ijaz ur Rehman & Fiza Qureshi & Waqas Hanif & Zaheer Anwer, 2018, "Modelling Asymmetric Impact of Home Country Macroeconomic Variables on American Depository Receipts: Evidence from Eurozone," Annals of Economics and Finance, Society for AEF, volume 19, issue 2, pages 703-727, November.
• Sergio Bianchi & Massimiliano Frezza, 2018, "Liquidity, Efficiency and the 2007-2008 Global Financial Crisis," Annals of Economics and Finance, Society for AEF, volume 19, issue 2, pages 375-404, November.
• Afees A. Salisu & Umar B. Ndako & Idris Adediran, 2018, "Forecasting GDP of OPEC: The role of oil price," Working Papers, Centre for Econometric and Allied Research, University of Ibadan, number 044, Feb.
• Martins-Filho, Carlos & Yao, Feng & Torero, Maximo, 2018, "Nonparametric Estimation Of Conditional Value-At-Risk And Expected Shortfall Based On Extreme Value Theory," Econometric Theory, Cambridge University Press, volume 34, issue 1, pages 23-67, February.
• del Barrio Castro, Tomás & Rodrigues, Paulo M.M. & Robert Taylor, A.M., 2018, "Semi-Parametric Seasonal Unit Root Tests," Econometric Theory, Cambridge University Press, volume 34, issue 2, pages 447-476, April.
• Cho, Jin Seo & White, Halbert, 2018, "Directionally Differentiable Econometric Models," Econometric Theory, Cambridge University Press, volume 34, issue 5, pages 1101-1131, October.
• Pang, Tianxiao & Tai-Leung Chong, Terence & Zhang, Danna & Liang, Yanling, 2018, "Structural Change In Nonstationary Ar(1) Models," Econometric Theory, Cambridge University Press, volume 34, issue 5, pages 985-1017, October.
• Bredin, Don & Fountas, Stilianos, 2018, "US inflation and inflation uncertainty over 200 years," Financial History Review, Cambridge University Press, volume 25, issue 2, pages 141-159, August.
• Suda, Jacek & Zervou, Anastasia S., 2018, "International Great Inflation And Common Monetary Policy," Macroeconomic Dynamics, Cambridge University Press, volume 22, issue 6, pages 1428-1461, September.
• Kommel, Karl Arnold & Sillasoo, Martin & Lublóy, Ágnes, 2018, "Could crowdsourced financial analysis replace the equity research by investment banks?," Corvinus Economics Working Papers (CEWP), Corvinus University of Budapest, number 2018/03, Oct.

2017

• Alexander Protasov & Tatyana Kotcofana & Polina Stazhkova, 2017, "Cyclic Dynamics Of Inflation: Empirical Analysis," CBU International Conference Proceedings, ISE Research Institute, volume 5, issue 0, pages 396-400, September, DOI: 10.12955/cbup.v5.956.
• Giuseppe Cavaliere & Morten Ørregaard Nielsen & Robert Taylor, 2017, "Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-02, Jan.
• Peter Exterkate & Oskar Knapik, 2017, "A regime-switching stochastic volatility model for forecasting electricity prices," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-03, Jan.
• Timo Teräsvirta, 2017, "Sir Clive Granger's contributions to nonlinear time series and econometrics," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-04, Jan.
• Matthew T. Holt & Timo Teräsvirta, 2017, "Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-05, Jan.
• Tobias Basse & Robinson Kruse & Christoph Wegener, 2017, "The Walking Debt Crisis," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-06, Jan.
• Lukasz Gatarek & Søren Johansen, 2017, "The role of cointegration for optimal hedging with heteroscedastic error term," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-12, Mar.
• Davide Delle Monache & Stefano Grassi & Paolo Santucci de Magistris, 2017, "Does the ARFIMA really shift?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-16, Apr.
• Tommaso Proietti & Alessandro Giovannelli, 2017, "A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-20, May.
• Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 2017, "Variance swap payoffs, risk premia and extreme market conditions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-21, May.
• Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 2017, "Decoupling the short- and long-term behavior of stochastic volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-26, Aug.
• Tommaso Proietti & Niels Haldrup & Oskar Knapik, 2017, "Spikes and memory in (Nord Pool) electricity price spot prices," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-39, Nov.
• Oludele E. Folarin & Simplice A. Asongu, 2017, "Financial liberalization and long-run stability of money demand in Nigeria," Research Africa Network Working Papers, Research Africa Network (RAN), number 17/018, Jan.
• Hyeongwoo Kim & Jintae Kim, 2017, "London Calling: Nonlinear Mean Reversion across National Stock Markets," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2017-05, May.
• James H. Stock & Mark W. Watson, 2017, "Twenty Years of Time Series Econometrics in Ten Pictures," Journal of Economic Perspectives, American Economic Association, volume 31, issue 2, pages 59-86, Spring.
• Fadel Hamid Hadi ALHUSSEINI, 2017, "Selection Of Variables Influencing Iraqi Banks Deposits By Using New Bayesian Lasso Quantile Regression," Journal of Social and Economic Statistics, Bucharest University of Economic Studies, volume 6, issue 1, pages 46-59, JULY.
• Samba Diop & Peter Tillmann & Peter Winker, 2017, "A Monetary Stress Indicator for the Economic Community of West African States," Journal of African Development, African Finance and Economic Association (AFEA), volume 19, issue 2, pages 1-18.
• Oludele E. Folarin & Simplice Asongu, 2017, "Financial liberalization and long-run stability of money demand in Nigeria," Working Papers of the African Governance and Development Institute., African Governance and Development Institute., number 17/018, Jan.