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

2017

• Karaki, Mohamad B., 2017, "Nonlinearities in the response of real GDP to oil price shocks," Economics Letters, Elsevier, volume 161, issue C, pages 146-148, DOI: 10.1016/j.econlet.2017.09.034.
• Chang, Chia-Lin & McAleer, Michael, 2017, "The correct regularity condition and interpretation of asymmetry in EGARCH," Economics Letters, Elsevier, volume 161, issue C, pages 52-55, DOI: 10.1016/j.econlet.2017.09.017.
• Jiang, Shifu, 2017, "The cause of an integral correction mechanism of the real exchange rate," Economics Letters, Elsevier, volume 161, issue C, pages 66-70, DOI: 10.1016/j.econlet.2017.09.022.
• Kim, Jihyun & Park, Joon Y., 2017, "Asymptotics for recurrent diffusions with application to high frequency regression," Journal of Econometrics, Elsevier, volume 196, issue 1, pages 37-54, DOI: 10.1016/j.jeconom.2015.12.019.
• Inoue, Atsushi & Jin, Lu & Rossi, Barbara, 2017, "Rolling window selection for out-of-sample forecasting with time-varying parameters," Journal of Econometrics, Elsevier, volume 196, issue 1, pages 55-67, DOI: 10.1016/j.jeconom.2016.03.006.
• Lieberman, Offer & Phillips, Peter C.B., 2017, "A multivariate stochastic unit root model with an application to derivative pricing," Journal of Econometrics, Elsevier, volume 196, issue 1, pages 99-110, DOI: 10.1016/j.jeconom.2016.05.019.
• Hallin, Marc & La Vecchia, Davide, 2017, "R-estimation in semiparametric dynamic location-scale models," Journal of Econometrics, Elsevier, volume 196, issue 2, pages 233-247, DOI: 10.1016/j.jeconom.2016.08.002.
• Ergemen, Yunus Emre & Velasco, Carlos, 2017, "Estimation of fractionally integrated panels with fixed effects and cross-section dependence," Journal of Econometrics, Elsevier, volume 196, issue 2, pages 248-258, DOI: 10.1016/j.jeconom.2016.05.020.
• Hounyo, Ulrich, 2017, "Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading," Journal of Econometrics, Elsevier, volume 197, issue 1, pages 130-152, DOI: 10.1016/j.jeconom.2016.11.002.
• Potiron, Yoann & Mykland, Per A., 2017, "Estimation of integrated quadratic covariation with endogenous sampling times," Journal of Econometrics, Elsevier, volume 197, issue 1, pages 20-41, DOI: 10.1016/j.jeconom.2016.10.004.
• Kim, Min Seong & Sun, Yixiao & Yang, Jingjing, 2017, "A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data," Journal of Econometrics, Elsevier, volume 197, issue 2, pages 298-322, DOI: 10.1016/j.jeconom.2016.11.008.
• Caporin, Massimiliano & Rossi, Eduardo & Santucci de Magistris, Paolo, 2017, "Chasing volatility," Journal of Econometrics, Elsevier, volume 198, issue 1, pages 122-145, DOI: 10.1016/j.jeconom.2017.01.005.
• Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert, 2017, "Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, volume 198, issue 1, pages 165-188, DOI: 10.1016/j.jeconom.2017.01.008.
• Haldrup, Niels & Vera Valdés, J. Eduardo, 2017, "Long memory, fractional integration, and cross-sectional aggregation," Journal of Econometrics, Elsevier, volume 199, issue 1, pages 1-11, DOI: 10.1016/j.jeconom.2017.03.001.
• Asai, Manabu & Chang, Chia-Lin & McAleer, Michael, 2017, "Realized stochastic volatility with general asymmetry and long memory," Journal of Econometrics, Elsevier, volume 199, issue 2, pages 202-212, DOI: 10.1016/j.jeconom.2017.05.010.
• Dong, Chaohua & Gao, Jiti & Tjøstheim, Dag & Yin, Jiying, 2017, "Specification testing for nonlinear multivariate cointegrating regressions," Journal of Econometrics, Elsevier, volume 200, issue 1, pages 104-117, DOI: 10.1016/j.jeconom.2017.05.016.
• Kheifets, Igor & Velasco, Carlos, 2017, "New goodness-of-fit diagnostics for conditional discrete response models," Journal of Econometrics, Elsevier, volume 200, issue 1, pages 135-149, DOI: 10.1016/j.jeconom.2017.05.017.
• Hu, Yingyao, 2017, "The econometrics of unobservables: Applications of measurement error models in empirical industrial organization and labor economics," Journal of Econometrics, Elsevier, volume 200, issue 2, pages 154-168, DOI: 10.1016/j.jeconom.2017.06.002.
• Engle, Robert & Roussellet, Guillaume & Siriwardane, Emil, 2017, "Scenario generation for long run interest rate risk assessment," Journal of Econometrics, Elsevier, volume 201, issue 2, pages 333-347, DOI: 10.1016/j.jeconom.2017.08.012.
• Psaradakis, Zacharias & Vávra, Marián, 2017, "A distance test of normality for a wide class of stationary processes," Econometrics and Statistics, Elsevier, volume 2, issue C, pages 50-60, DOI: 10.1016/j.ecosta.2016.11.005.
• Meligkotsidou, Loukia & Tzavalis, Elias & Vrontos, Ioannis, 2017, "On Bayesian analysis and unit root testing for autoregressive models in the presence of multiple structural breaks," Econometrics and Statistics, Elsevier, volume 4, issue C, pages 70-90, DOI: 10.1016/j.ecosta.2017.04.004.
• Harris, Richard D.F. & Stoja, Evarist & Tan, Linzhi, 2017, "The dynamic Black–Litterman approach to asset allocation," European Journal of Operational Research, Elsevier, volume 259, issue 3, pages 1085-1096, DOI: 10.1016/j.ejor.2016.11.045.
• Kablan, Sandrine & Ftiti, Zied & Guesmi, Khaled, 2017, "Commodity price cycles and financial pressures in African commodities exporters," Emerging Markets Review, Elsevier, volume 30, issue C, pages 215-231, DOI: 10.1016/j.ememar.2016.05.005.
• Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur M., 2017, "The role of Islamic asset classes in the diversified portfolios: Mean variance spanning test," Emerging Markets Review, Elsevier, volume 30, issue C, pages 66-95, DOI: 10.1016/j.ememar.2016.09.002.
• Escobari, Diego & Garcia, Sergio & Mellado, Cristhian, 2017, "Identifying bubbles in Latin American equity markets: Phillips-Perron-based tests and linkages," Emerging Markets Review, Elsevier, volume 33, issue C, pages 90-101, DOI: 10.1016/j.ememar.2017.09.001.
• Harvey, David I. & Leybourne, Stephen J. & Sollis, Robert, 2017, "Improving the accuracy of asset price bubble start and end date estimators," Journal of Empirical Finance, Elsevier, volume 40, issue C, pages 121-138, DOI: 10.1016/j.jempfin.2016.11.001.
• Nonejad, Nima, 2017, "Forecasting aggregate stock market volatility using financial and macroeconomic predictors: Which models forecast best, when and why?," Journal of Empirical Finance, Elsevier, volume 42, issue C, pages 131-154, DOI: 10.1016/j.jempfin.2017.03.003.
• Han, Xing & Li, Youwei, 2017, "Can investor sentiment be a momentum time-series predictor? Evidence from China," Journal of Empirical Finance, Elsevier, volume 42, issue C, pages 212-239, DOI: 10.1016/j.jempfin.2017.04.001.
• Xyngis, Georgios, 2017, "Business-cycle variation in macroeconomic uncertainty and the cross-section of expected returns: Evidence for scale-dependent risks," Journal of Empirical Finance, Elsevier, volume 44, issue C, pages 43-65, DOI: 10.1016/j.jempfin.2017.06.001.
• Joo, Young C. & Park, Sung Y., 2017, "Oil prices and stock markets: Does the effect of uncertainty change over time?," Energy Economics, Elsevier, volume 61, issue C, pages 42-51, DOI: 10.1016/j.eneco.2016.10.017.
• Balcilar, Mehmet & Gupta, Rangan & Wohar, Mark E., 2017, "Common cycles and common trends in the stock and oil markets: Evidence from more than 150years of data," Energy Economics, Elsevier, volume 61, issue C, pages 72-86, DOI: 10.1016/j.eneco.2016.11.003.
• Pircalabu, A. & Hvolby, T. & Jung, J. & Høg, E., 2017, "Joint price and volumetric risk in wind power trading: A copula approach," Energy Economics, Elsevier, volume 62, issue C, pages 139-154, DOI: 10.1016/j.eneco.2016.11.023.
• Atalla, Tarek & Bean, Patrick, 2017, "Determinants of energy productivity in 39 countries: An empirical investigation," Energy Economics, Elsevier, volume 62, issue C, pages 217-229, DOI: 10.1016/j.eneco.2016.12.003.
• Rintamäki, Tuomas & Siddiqui, Afzal S. & Salo, Ahti, 2017, "Does renewable energy generation decrease the volatility of electricity prices? An analysis of Denmark and Germany," Energy Economics, Elsevier, volume 62, issue C, pages 270-282, DOI: 10.1016/j.eneco.2016.12.019.
• Apergis, Emmanuel & Apergis, Nicholas, 2017, "The role of rare earth prices in renewable energy consumption: The actual driver for a renewable energy world," Energy Economics, Elsevier, volume 62, issue C, pages 33-42, DOI: 10.1016/j.eneco.2016.12.015.
• Payne, James E. & Vizek, Maruška & Lee, Junsoo, 2017, "Stochastic convergence in per capita fossil fuel consumption in U.S. states," Energy Economics, Elsevier, volume 62, issue C, pages 382-395, DOI: 10.1016/j.eneco.2016.03.023.
• Mohammadi, Hassan & Ram, Rati, 2017, "Convergence in energy consumption per capita across the US states, 1970–2013: An exploration through selected parametric and non-parametric methods," Energy Economics, Elsevier, volume 62, issue C, pages 404-410, DOI: 10.1016/j.eneco.2016.07.002.
• Khalifa, Ahmed & Caporin, Massimiliano & Hammoudeh, Shawkat, 2017, "The relationship between oil prices and rig counts: The importance of lags," Energy Economics, Elsevier, volume 63, issue C, pages 213-226, DOI: 10.1016/j.eneco.2017.01.015.
• Bennedsen, Mikkel, 2017, "A rough multi-factor model of electricity spot prices," Energy Economics, Elsevier, volume 63, issue C, pages 301-313, DOI: 10.1016/j.eneco.2017.02.007.
• Borovkova, Svetlana & Schmeck, Maren Diane, 2017, "Electricity price modeling with stochastic time change," Energy Economics, Elsevier, volume 63, issue C, pages 51-65, DOI: 10.1016/j.eneco.2017.01.002.
• Kakeu, Johnson & Bouaddi, Mohammed, 2017, "Empirical evidence of news about future prospects in the risk-pricing of oil assets," Energy Economics, Elsevier, volume 64, issue C, pages 458-468, DOI: 10.1016/j.eneco.2015.10.018.
• Fallahi, Firouz, 2017, "Stochastic convergence in per capita energy use in world," Energy Economics, Elsevier, volume 65, issue C, pages 228-239, DOI: 10.1016/j.eneco.2017.04.029.
• Kozminski, Kate & Baek, Jungho, 2017, "Can an oil-rich economy reduce its income inequality? Empirical evidence from Alaska's Permanent Fund Dividend," Energy Economics, Elsevier, volume 65, issue C, pages 98-104, DOI: 10.1016/j.eneco.2017.04.021.
• Campos, I. & Cortazar, G. & Reyes, T., 2017, "Modeling and predicting oil VIX: Internet search volume versus traditional mariables," Energy Economics, Elsevier, volume 66, issue C, pages 194-204, DOI: 10.1016/j.eneco.2017.06.009.
• Salim, Ruhul & Yao, Yao & Chen, George & Zhang, Lin, 2017, "Can foreign direct investment harness energy consumption in China? A time series investigation," Energy Economics, Elsevier, volume 66, issue C, pages 43-53, DOI: 10.1016/j.eneco.2017.05.026.
• Taylor, Nick, 2017, "Timing strategy performance in the crude oil futures market," Energy Economics, Elsevier, volume 66, issue C, pages 480-492, DOI: 10.1016/j.eneco.2017.07.019.
• Lyu, Yongjian & Wang, Peng & Wei, Yu & Ke, Rui, 2017, "Forecasting the VaR of crude oil market: Do alternative distributions help?," Energy Economics, Elsevier, volume 66, issue C, pages 523-534, DOI: 10.1016/j.eneco.2017.06.015.
• Chen, Fan & Linn, Scott C., 2017, "Investment and operating choice: Oil and natural gas futures prices and drilling activity," Energy Economics, Elsevier, volume 66, issue C, pages 54-68, DOI: 10.1016/j.eneco.2017.05.012.
• Ma, Feng & Wahab, M.I.M. & Huang, Dengshi & Xu, Weiju, 2017, "Forecasting the realized volatility of the oil futures market: A regime switching approach," Energy Economics, Elsevier, volume 67, issue C, pages 136-145, DOI: 10.1016/j.eneco.2017.08.004.
• Liu, Nan & Ma, Zujun & Kang, Jidong, 2017, "A regional analysis of carbon intensities of electricity generation in China," Energy Economics, Elsevier, volume 67, issue C, pages 268-277, DOI: 10.1016/j.eneco.2017.08.018.
• Agnolucci, Paolo & De Lipsis, Vincenzo & Arvanitopoulos, Theodoros, 2017, "Modelling UK sub-sector industrial energy demand," Energy Economics, Elsevier, volume 67, issue C, pages 366-374, DOI: 10.1016/j.eneco.2017.08.027.
• Charles, Amélie & Darné, Olivier, 2017, "Forecasting crude-oil market volatility: Further evidence with jumps," Energy Economics, Elsevier, volume 67, issue C, pages 508-519, DOI: 10.1016/j.eneco.2017.09.002.
• Wei, Yu & Liu, Jing & Lai, Xiaodong & Hu, Yang, 2017, "Which determinant is the most informative in forecasting crude oil market volatility: Fundamental, speculation, or uncertainty?," Energy Economics, Elsevier, volume 68, issue C, pages 141-150, DOI: 10.1016/j.eneco.2017.09.016.
• Maghyereh, Aktham I. & Awartani, Basel & Tziogkidis, Panagiotis, 2017, "Volatility spillovers and cross-hedging between gold, oil and equities: Evidence from the Gulf Cooperation Council countries," Energy Economics, Elsevier, volume 68, issue C, pages 440-453, DOI: 10.1016/j.eneco.2017.10.025.
• Kyritsis, Evangelos & Andersson, Jonas & Serletis, Apostolos, 2017, "Electricity prices, large-scale renewable integration, and policy implications," Energy Policy, Elsevier, volume 101, issue C, pages 550-560, DOI: 10.1016/j.enpol.2016.11.014.
• Bastianin, Andrea & Galeotti, Marzio & Manera, Matteo, 2017, "Oil supply shocks and economic growth in the Mediterranean," Energy Policy, Elsevier, volume 110, issue C, pages 167-175, DOI: 10.1016/j.enpol.2017.08.004.
• Rahman, Mohammad Mafizur & Kashem, Mohammad Abul, 2017, "Carbon emissions, energy consumption and industrial growth in Bangladesh: Empirical evidence from ARDL cointegration and Granger causality analysis," Energy Policy, Elsevier, volume 110, issue C, pages 600-608, DOI: 10.1016/j.enpol.2017.09.006.
• Monge, Manuel & Gil-Alana, Luis A. & Pérez de Gracia, Fernando, 2017, "Crude oil price behaviour before and after military conflicts and geopolitical events," Energy, Elsevier, volume 120, issue C, pages 79-91, DOI: 10.1016/j.energy.2016.12.102.
• Gil-Alana, Luis A. & Mudida, Robert & Carcel, Hector, 2017, "Shocks affecting electricity prices in Kenya, a fractional integration study," Energy, Elsevier, volume 124, issue C, pages 521-530, DOI: 10.1016/j.energy.2017.02.092.
• Salisu, Afees A. & Isah, Kazeem O. & Oyewole, Oluwatomisin J. & Akanni, Lateef O., 2017, "Modelling oil price-inflation nexus: The role of asymmetries," Energy, Elsevier, volume 125, issue C, pages 97-106, DOI: 10.1016/j.energy.2017.02.128.
• Zhang, Guofu & Du, Ziping, 2017, "Co-movements among the stock prices of new energy, high-technology and fossil fuel companies in China," Energy, Elsevier, volume 135, issue C, pages 249-256, DOI: 10.1016/j.energy.2017.06.103.
• Monge, Manuel & Gil-Alana, Luis A. & Pérez de Gracia, Fernando, 2017, "U.S. shale oil production and WTI prices behaviour," Energy, Elsevier, volume 141, issue C, pages 12-19, DOI: 10.1016/j.energy.2017.09.055.
• Jammazi, Rania & Ferrer, Román & Jareño, Francisco & Hammoudeh, Shawkat M., 2017, "Main driving factors of the interest rate-stock market Granger causality," International Review of Financial Analysis, Elsevier, volume 52, issue C, pages 260-280, DOI: 10.1016/j.irfa.2017.07.008.
• Kinateder, Harald & Hofstetter, Benedikt & Wagner, Niklas, 2017, "Do liquidity variables improve out-of-sample prediction of sovereign spreads during crisis periods?," Finance Research Letters, Elsevier, volume 21, issue C, pages 144-150, DOI: 10.1016/j.frl.2016.11.006.
• Leirvik, Thomas & Fiskerstrand, Sondre R. & Fjellvikås, Anders B., 2017, "Market liquidity and stock returns in the Norwegian stock market," Finance Research Letters, Elsevier, volume 21, issue C, pages 272-276, DOI: 10.1016/j.frl.2016.12.033.
• Cadoni, Marinella & Melis, Roberta & Trudda, Alessandro, 2017, "Pension funds rules: Paradoxes in risk control," Finance Research Letters, Elsevier, volume 22, issue C, pages 20-29, DOI: 10.1016/j.frl.2017.05.003.
• Shi, Guangping & Liu, Xiaoxing & Zhang, Xu, 2017, "Time-varying causality between stock and housing markets in China," Finance Research Letters, Elsevier, volume 22, issue C, pages 227-232, DOI: 10.1016/j.frl.2017.06.003.
• Klein, Tony & Walther, Thomas, 2017, "Fast fractional differencing in modeling long memory of conditional variance for high-frequency data," Finance Research Letters, Elsevier, volume 22, issue C, pages 274-279, DOI: 10.1016/j.frl.2016.12.020.
• Demirer, Riza & Pierdzioch, Christian & Zhang, Huacheng, 2017, "On the short-term predictability of stock returns: A quantile boosting approach," Finance Research Letters, Elsevier, volume 22, issue C, pages 35-41, DOI: 10.1016/j.frl.2016.12.032.
• BenSaïda, Ahmed, 2017, "Herding effect on idiosyncratic volatility in U.S. industries," Finance Research Letters, Elsevier, volume 23, issue C, pages 121-132, DOI: 10.1016/j.frl.2017.03.001.
• Lönnbark, Carl, 2017, "Long vs. short term asymmetry in volatility and the term structure of risk," Finance Research Letters, Elsevier, volume 23, issue C, pages 202-209, DOI: 10.1016/j.frl.2017.06.011.
• Bouri, Elie & Gupta, Rangan & Tiwari, Aviral Kumar & Roubaud, David, 2017, "Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions," Finance Research Letters, Elsevier, volume 23, issue C, pages 87-95, DOI: 10.1016/j.frl.2017.02.009.
• Alexakis, Christos & Bagnarosa, Guillaume & Dowling, Michael, 2017, "Do cointegrated commodities bubble together? the case of hog, corn, and soybean," Finance Research Letters, Elsevier, volume 23, issue C, pages 96-102, DOI: 10.1016/j.frl.2017.02.007.
• Yousef, Mona & Masih, Mansur, 2017, "Time-varying correlation between islamic stock indices: evidence from the GCC countries based on MGARCH-DCC approach," MPRA Paper, University Library of Munich, Germany, number 100986, Oct.
• Miras, Hassan & Masih, Mansur, 2017, "Stock returns and macroeconomic factors in an emerging economy: Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 101229, Jun.
• Abdullah, Iskandar & Masih, Mansur, 2017, "The lead-lag relationship and the determinants of Islamic banks’ profit rates: Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 101916, Jul.
• Mohamad, Shaifulfazlee & Masih, Mansur, 2017, "What drives the property prices ? the Malaysian case," MPRA Paper, University Library of Munich, Germany, number 102411, Jun.
• Amanbayev, Yerkebulan & Masih, Mansur, 2017, "What factors affect the export competitiveness? Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 102512, Apr.
• Omar, Abdullah & Masih, Mansur, 2017, "Does inflation impact shariah (islamic) equity index and conventional equity index differently?the case of Malaysia," MPRA Paper, University Library of Munich, Germany, number 102576, Apr.
• Doojav, Gan-Ochir & Luvsannyam, Davaajargal, 2017, "Forecasting inflation in Mongolia: A dynamic model averaging approach," MPRA Paper, University Library of Munich, Germany, number 102602.
• Zada, Najeeb & Masih, Mansur, 2017, "Exploring the relationship between the Malaysian islamic index and international islamic indices," MPRA Paper, University Library of Munich, Germany, number 102809, Sep.
• Isa, Yazid & Masih, Mansur, 2017, "Does conventional interest rate influence islamic deposit rate of return or the other way around ? evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 102877, Jul.
• Ahmed, Tayyab & Masih, Mansur, 2017, "Is islamic stock index related with conventional stock index ? evidence from the UK," MPRA Paper, University Library of Munich, Germany, number 102967, Jun.
• Doojav, Gan-Ochir, 2017, "Factors explaining high interest rates in Mongolia: A Markov Regime-Switching approach," MPRA Paper, University Library of Munich, Germany, number 103514.
• Osman, Fatimah & Masih, Mansur, 2017, "What are the drivers of islamic bank deposits ? evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 103721, Nov.
• Abdullah, Mace & Masih, Mansur, 2017, "Is there any significant difference in global volatility of and correlation between shari’ah-compliant (Islamic) equities and sukuk ?," MPRA Paper, University Library of Munich, Germany, number 103729, Jul.
• Omar, Abdullah & Masih, Mansur, 2017, "Is the effect of inflation on shariah (islamic) stock and conventional stock different ? evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 103732, Jun.
• Zakaria, Khairuddin & Masih, Mansur, 2017, "Impact of various islamic equity markets on sharia (islamic) compliant equity invesments in emerging markets," MPRA Paper, University Library of Munich, Germany, number 103799, Nov.
• Bahaman, Abrar & Masih, Mansur, 2017, "Identifying the lead-lag relationship between the shariah (islamic) equity index and macroeconomic variables: Malaysia as a case study," MPRA Paper, University Library of Munich, Germany, number 103820, Feb.
• Foziah, Nik Hazimi & Masih, Mansur, 2017, "Does islamic banking have significant effect on economic growth ? evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 104703, Nov.
• Abbas, Amir & Masih, Mansur, 2017, "Islamic stock index, conventional stock index and macroeconomic variables," MPRA Paper, University Library of Munich, Germany, number 104806, Mar.
• al Bdiwy, Feras & Masih, Mansur, 2017, "The lead-lag relationship among select regional islamic equity markets," MPRA Paper, University Library of Munich, Germany, number 104973, Apr.
• Farouk, Faizal & Masih, Mansur, 2017, "Lead-lag relationship between islamic ETF price and strategic commodities: evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 104977, Mar.
• Fajar, Muhammad & Hartini, Sri, 2017, "Inflation forecasting by hybrid singular spectrum analysis – multilayer perceptrons neural network method, case of Indonesia," MPRA Paper, University Library of Munich, Germany, number 105100, Oct, revised 11 May 2018.
• Ibrahim, Zil Farlilah & Masih, Mansur, 2017, "Is gold a better choice as reserve currency for smaller market economies?," MPRA Paper, University Library of Munich, Germany, number 105474, Jun.
• Roslan, Ahmad Ridza & Masih, Mansur, 2017, "How does advertisement spending affect business performance of both islamic and conventional banks?," MPRA Paper, University Library of Munich, Germany, number 105578, Jul.
• Ali, Hakim & Masih, Mansur, 2017, "Granger-causality between islamic finance and growth: evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 106112, Nov.
• Hamour, Mohamed & Masih, Mansur, 2017, "The dilemma of the sharia conscious investor: a time series analysis," MPRA Paper, University Library of Munich, Germany, number 106129, Mar.
• Cheah, Chee Keong & Masih, Mansur, 2017, "Does the growth of islamic bank financing depend on stock market growth? evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 106192, Aug.
• Izani, Izahairani & Masih, Mansur, 2017, "Do islamic bank deposits depend on total islamic bank assets or the other way around ?," MPRA Paper, University Library of Munich, Germany, number 106218, Apr.
• Alamsyah, Janoearto & Masih, Mansur, 2017, "Impact of islamic money market development on islamic bank liquidity management: a case study of Indonesia," MPRA Paper, University Library of Munich, Germany, number 106778, Oct.
• Rahman, Nadiah Abd & Masih, Mansur, 2017, "Does the islamic bank deposit have an effect on equity market ? Malaysian case," MPRA Paper, University Library of Munich, Germany, number 106789, Aug.
• Azland, Adam & Masih, Mansur, 2017, "Discerning the relationship between bitcoin and islamic index," MPRA Paper, University Library of Munich, Germany, number 106790, Jul.
• Nor, Amiruddin & Masih, Mansur, 2017, "Granger-causality between islamic banks and conventional banks: evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 107064, May.
• Ramic, Esma & Masih, Mansur, 2017, "Is islamic bank financing related to interest rate ? Malaysian evidence based on ARDL approach," MPRA Paper, University Library of Munich, Germany, number 107163, May.
• Hussin, Syaryanti & Masih, Mansur, 2017, "Does interest rate affect the saving account deposits of islamic banks ? evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 107370, Feb.
• Hassen, Omar & Masih, Mansur, 2017, "Is shariah stock index better than the conventional stock index in explaining economic growth ? evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 107749, Jul.
• Yusoff, Abdul & Masih, Mansur, 2017, "The impact of key industry-sectoral indices on islamic stock market: evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 107907, Jun.
• Hassan, Hissam & Masih, Mansur, 2017, "Public debt and GDP growth in the Malaysian islamic economy," MPRA Paper, University Library of Munich, Germany, number 107999, Sep.
• Kalthum, Ummi & Masih, Mansur, 2017, "The lead-lag relationship between PPI, CPI and oil price: Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 108011, Nov.
• Yaacob, Nurul & Masih, Mansur, 2017, "Do the exchange rate fluctuations of trading partners affect the export competitiveness of a country? Malaysia as a case study," MPRA Paper, University Library of Munich, Germany, number 108037, May.
• Morni, Fareiny & Masih, Mansur, 2017, "Predicting stress in the banking sector: Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 108445, Jun.
• Salman, Firdaus & Masih, Mansur, 2017, "Is gold worth an investment ? a case study of Malaysia," MPRA Paper, University Library of Munich, Germany, number 108469, Dec.
• Fatiha, Illani & Masih, Mansur, 2017, "Causal relationship between FDI, trade, economic growth and exchange rate : Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 108485, May.
• Afifah, Irfan & Masih, Mansur, 2017, "Do macroeconomic variables have any impact on stock market? an Indonesian case study based on ARDL approach," MPRA Paper, University Library of Munich, Germany, number 108504, Nov.
• Mosteut, Safini & Masih, Mansur, 2017, "Does the exchange rate volatility affect the foreign direct investment? the case of Thailand," MPRA Paper, University Library of Munich, Germany, number 108898, Nov.
• Abbas, Aadil & Masih, Mansur, 2017, "Which investment (private or public) does contribute to economic growth more? a case study of South Africa," MPRA Paper, University Library of Munich, Germany, number 108919, Feb.
• Omar, Masitah & Masih, Mansur, 2017, "Does saving stimulate growth? the case of Malaysia," MPRA Paper, University Library of Munich, Germany, number 109242, Jun.
• Musaev, Mekhroj & Masih, Mansur, 2017, "Impact of oil price volatility on macroeconomic variables: an ARDL approach," MPRA Paper, University Library of Munich, Germany, number 109252, Aug.
• Isaacs, Ziyaat & Masih, Mansur, 2017, "Testing the long-run relationship between exchange rate, oil price, FDI and GDP: an ARDL approach," MPRA Paper, University Library of Munich, Germany, number 109279, Feb.
• Fadzil, Atikah & Masih, Mansur, 2017, "Does export lead growth? evidence from Japan," MPRA Paper, University Library of Munich, Germany, number 109290, Nov.
• Bekmuratov, Mukhsinbek & Masih, Mansur, 2017, "Granger-causality between oil price and macrovariables: ARDL approach," MPRA Paper, University Library of Munich, Germany, number 109862, Mar.
• Ludeen, Abdullah & Masih, Mansur, 2017, "What factors affect islamic bank deposits ? Malaysian case based on ARDL," MPRA Paper, University Library of Munich, Germany, number 109880, Apr.
• Salehyar, Masoud & Masih, Mansur, 2017, "Lead-lag between female employment and economic growth: evidence from Canada," MPRA Paper, University Library of Munich, Germany, number 109892, Jun.
• Sulaiman, Nadzri & Masih, Mansur, 2017, "Macroeconomic variables and stock markets (domestic and foreign): evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 110154, Feb.
• Cheah, Ping Yean & Masih, Mansur, 2017, "Interdependence of international stock markets: Malaysian case," MPRA Paper, University Library of Munich, Germany, number 110196, Mar.
• Ghafar, Aiman & Masih, Mansur, 2017, "The unemployment rate and its determinants: the Malaysian case," MPRA Paper, University Library of Munich, Germany, number 110220, May.
• Ali, Ariffhidayat & Masih, Mansur, 2017, "Relationship between oil price and gross fixed capital formation: Malaysian case," MPRA Paper, University Library of Munich, Germany, number 110266, Oct.
• Quadri, Syed & Masih, Mansur, 2017, "Granger-causality between macroeconomic variables and stock market index: evidence from India," MPRA Paper, University Library of Munich, Germany, number 110304, Feb.
• Nazlan, Wan Syafiq & Masih, Mansur, 2017, "Does financial development lead or lag economic growth ? Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 110348, Feb.
• Daud, Ariff & Masih, Mansur, 2017, "Is there any relationship between exchange rate and investment ? evidence from Australia," MPRA Paper, University Library of Munich, Germany, number 110655, Aug.
• Sharabati, Yamen & Masih, Mansur, 2017, "Are imports driven by exports or the other way around ?Thailand evidence," MPRA Paper, University Library of Munich, Germany, number 110689, Jul.
• Rahmali, Atiqah & Masih, Mansur, 2017, "Discerning the effect of international stock markets before and after the subprime crisis," MPRA Paper, University Library of Munich, Germany, number 110700, May.
• Kaleemuddin, Mohammed & Masih, Mansur, 2017, "Does financial development drive economic growth ? an ARDL approach," MPRA Paper, University Library of Munich, Germany, number 110716, Aug.
• Khan, Azima & Masih, Mansur, 2017, "Does women empowerment Granger-cause economic growth or the other way around? evidence from Iceland," MPRA Paper, University Library of Munich, Germany, number 111186, Feb.
• Mubarak, Fadhlul & Wulandya, Siti Arni & Seran, Karlina & Soleh, Agus M & Andriansyah, Andriansyah, 2017, "Pemodelan Tingkat Suku Bunga Surat Perbendaharaan Negara 3 Bulan
  [Interest Rate Model of 3-Month Treasury Bill]," MPRA Paper, University Library of Munich, Germany, number 111537, Feb.
• Mukrim, Anis & Masih, Mansur, 2017, "The impact of macroeconomic variables on the crude palm oil export: Malaysian evidence based on ARDL approach," MPRA Paper, University Library of Munich, Germany, number 111740, Dec.
• Salleh, Eddee & Masih, Mansur, 2017, "Does gold act as an inflation hedge ? Malaysian case," MPRA Paper, University Library of Munich, Germany, number 111749, Mar.
• Rahamat, Amri & Masih, Mansur, 2017, "Granger-causality between oil price, exchange rate and government bonds: evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 111769, Feb.
• Hoe, Foong Chee & Masih, Mansur, 2017, "Short - and long-run relationship between oil price and exchange rate: evidence from Malaysia based on Markov regime switching approach," MPRA Paper, University Library of Munich, Germany, number 112105, Dec.
• Lee, Siew Peng & Masih, Mansur, 2017, "Determinants of banks’ margins: case of islamic and conventional banks: evidence from Malaysia based on GMM approach," MPRA Paper, University Library of Munich, Germany, number 112110, May.
• Halim, Abdul & Masih, Mansur, 2017, "Comovement between crude oil prices and shariah stock indices: MGARCH-DCC and wavelet analysis," MPRA Paper, University Library of Munich, Germany, number 112141, Aug.
• Ariff, Azwar & Masih, Mansur, 2017, "Role of global financial crisis in causing dynamic connectedness of Asian equity markets," MPRA Paper, University Library of Munich, Germany, number 112555, Dec.
• Kazi Abrar, Hossain & Syed Abul, Basher & A.K. Enamul, Haque, 2017, "Quantifying the impact of Ramadan on global raw sugar prices," MPRA Paper, University Library of Munich, Germany, number 75941, Jan.
• Bógalo, Juan & Poncela, Pilar & Senra, Eva, 2017, "Automatic Signal Extraction for Stationary and Non-Stationary Time Series by Circulant SSA," MPRA Paper, University Library of Munich, Germany, number 76023, Jan.
• Ahad, Muhammad & Dar, Adeel Ahmad & Imran, Muhammad, 2017, "Does Financial Development Promote Industrial Production in Pakistan? Evidence from Combine Cointegration and Causality Approach," MPRA Paper, University Library of Munich, Germany, number 76458.
• Ho, Sin-Yu, 2017, "The Macroeconomic Determinants of Stock Market Development: Evidence from South Africa," MPRA Paper, University Library of Munich, Germany, number 76493, Jan.
• Phiri, Andrew, 2017, "Has the South African Reserve Bank responded to equity prices since the sub-prime crisis? An asymmetric convergence approach," MPRA Paper, University Library of Munich, Germany, number 76542, Feb.
• CHIKHI, Mohamed, 2017, "Chocs exogènes et non linéarités dans les séries boursières: Application à la modélisation non paramétrique du cours de l'action Orange
  [Exogenous Shocks and nonlinearity in the stock exchange series: Application to the nonparametric modelling of ," MPRA Paper, University Library of Munich, Germany, number 76691, revised 2017.
• Pincheira, Pablo, 2017, "A Power Booster Factor for Out-of-Sample Tests of Predictability," MPRA Paper, University Library of Munich, Germany, number 77027, Feb.
• Chong, Terence Tai-Leung & Cao, Bingqing & Wong, Wing Keung, 2017, "A Principal Component Approach to Measuring Investor Sentiment in Hong Kong," MPRA Paper, University Library of Munich, Germany, number 77147, Feb.
• Ho, Sin-Yu, 2017, "The Macroeconomic Determinants of Stock Market Development: Evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 77232, Feb.
• Cellini, Roberto & Cuccia, Tiziana, 2017, "How free admittance affects charged visits to museums: An analysis of the Italian case," MPRA Paper, University Library of Munich, Germany, number 78067, Apr.
• Polbin, Andrey, 2017, "Моделирование Реального Курса Рубля В Условиях Изменения Режима Денежно-Кредитной Политики
  [Modeling the real ruble exchange rate under monetary policy regime change]," MPRA Paper, University Library of Munich, Germany, number 78139.
• Njindan Iyke, Bernard & Ho, Sin-Yu, 2017, "The Real Exchange Rate, the Ghanaian Trade Balance, and the J-curve," MPRA Paper, University Library of Munich, Germany, number 78211, Jan.
• Stefanescu, Răzvan & Dumitriu, Ramona, 2017, "Ajustarea seriilor de timp financiare,Partea întâi
  [Smoothing of financial time series, Part 1]," MPRA Paper, University Library of Munich, Germany, number 78329, Apr, revised 15 Apr 2017.
• Medel, Carlos A., 2017, "Forecasting Chilean Inflation with the Hybrid New Keynesian Phillips Curve: Globalisation, Combination, and Accuracy," MPRA Paper, University Library of Munich, Germany, number 78439, Apr.
• Polbin, Andrey & Skrobotov, Anton, 2017, "Спектральная Оценка Компоненты Бизнес Цикла Ввп России С Учетом Высокой Зависимости От Условий Торговли
  [Spectral estimation of the business cycle component of the Russian GDP under high dependence on the terms of trade]," MPRA Paper, University Library of Munich, Germany, number 78667, Apr.
• Njindan Iyke, Bernard & Ho, Sin-Yu, 2017, "Real Exchange Rate Volatility and Domestic Consumption in Ghana," MPRA Paper, University Library of Munich, Germany, number 78852.
• Phiri, Andrew, 2017, "The Feldstein-Horioka puzzle and the global recession period: Evidence from South Africa using asymmetric cointegration analysis," MPRA Paper, University Library of Munich, Germany, number 79096, May.
• Driouchi, Ahmed & Harkat, Tahar, 2017, "Counting the NEETs for Countries with no or less Data, Using Information on Unemployment of Youth Aged 15-24: The Case of Arab Countries," MPRA Paper, University Library of Munich, Germany, number 79330, May.
• Silva Lopes, Artur C. & Florin Zsurkis, Gabriel, 2017, "Are linear models really unuseful to describe business cycle data?," MPRA Paper, University Library of Munich, Germany, number 79413, May.
• Trofimov, Ivan D., 2017, "Profit rates in the developed capitalist economies: a time series investigation," MPRA Paper, University Library of Munich, Germany, number 79529, Jun.
• Nazir, Sidra & Saeed, Saira & Muhammad, Atta, 2017, "Threshold Modeling for Inflation and GDP Growth," MPRA Paper, University Library of Munich, Germany, number 79649, Jun.
• Bhatt, Vipul & Kishor, Kundan & Marfatia, Hardik, 2017, "Estimating excess sensitivity and habit persistence in consumption using Greenbook forecast as an instrument," MPRA Paper, University Library of Munich, Germany, number 79748, Jun.
• Vu, Binh, 2017, "Are population and international trade the main factors for environmental damage in China?," MPRA Paper, University Library of Munich, Germany, number 79773, Feb.
• D., Ivan, 2017, "Stability of the labour shares: evidence from OECD economies," MPRA Paper, University Library of Munich, Germany, number 79822, Jun.
• Kovačić, Zlatko & Vilotić, Miloš, 2017, "Assessing European business cycles synchronization," MPRA Paper, University Library of Munich, Germany, number 79990, May.
• Kolisi, Nwabisa & Phiri, Andrew, 2017, "Changes in the relationship between interest rates and housing prices in South Africa around the 2007 financial crisis," MPRA Paper, University Library of Munich, Germany, number 80173, Jul.
• Bisio, Laura & Moauro, Filippo, 2017, "Temporal disaggregation by dynamic regressions: recent developments in Italian quarterly national accounts," MPRA Paper, University Library of Munich, Germany, number 80211, Jul, revised 14 Jul 2017.
• Njindan Iyke, Bernard & Ho, Sin-Yu, 2017, "Exchange Rate Uncertainty and Domestic Investment in Ghana," MPRA Paper, University Library of Munich, Germany, number 80474.
• Mabrouki, Mohamed, 2017, "Brevet d’invention et croissance économique : une analyse dans le cadre de l’économie tunisienne durant la période 1970 - 2010
  [Patent of invention and economic growth: an analysis within the framework of the Tunisian economy during the period 197," MPRA Paper, University Library of Munich, Germany, number 80485, Jan.
• Chong, Terence Tai Leung & Pang, Tianxiao & Zhang, Danna & Liang, Yanling, 2017, "Structural change in non-stationary AR(1) models," MPRA Paper, University Library of Munich, Germany, number 80510.
• Chong, Terence Tai Leung & Ding, Yue & Pang, Tianxiao, 2017, "Extreme Risk Value and Dependence Structure of the China Securities Index 300," MPRA Paper, University Library of Munich, Germany, number 80556, Mar.
• Phiri, Andrew & Mukuka, Doreen, 2017, "Does unemployment aggravate suicide rates in South Africa? Some empirical evidence," MPRA Paper, University Library of Munich, Germany, number 80749.
• Hecq, Alain & Issler, João Victor & Telg, Sean, 2017, "Mixed Causal-Noncausal Autoregressions with Strictly Exogenous Regressors," MPRA Paper, University Library of Munich, Germany, number 80767, Aug.
• Sanchez Villalba, Miguel A., 2017, "On the effects of repeated tax amnesties," MPRA Paper, University Library of Munich, Germany, number 80936.
• Nyholm, Juho, 2017, "Residual-based diagnostic tests for noninvertible ARMA models," MPRA Paper, University Library of Munich, Germany, number 81033, Aug.
• Pötscher, Benedikt M. & Preinerstorfer, David, 2017, "Further Results on Size and Power of Heteroskedasticity and Autocorrelation Robust Tests, with an Application to Trend Testing," MPRA Paper, University Library of Munich, Germany, number 81053.
• Folarin, Oludele & Asongu, Simplice, 2017, "Financial liberalization and long-run stability of money demand in Nigeria," MPRA Paper, University Library of Munich, Germany, number 81190, Jun.
• Fries, Sébastien & Zakoian, Jean-Michel, 2017, "Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles," MPRA Paper, University Library of Munich, Germany, number 81345, Sep.
• Escobari, Diego & Garcia, Sergio & Mellado, Cristhian, 2017, "Identifying Bubbles in Latin American Equity Markets: Phillips-Perron-based Tests and Linkages," MPRA Paper, University Library of Munich, Germany, number 81453, Sep.
• Gil-Alana, Luis A. & Ozdemir, Zeynel Abidin & Tansel, Aysit, 2017, "Long memory in Turkish Unemployment Rates," MPRA Paper, University Library of Munich, Germany, number 81571, May.
• Trofimov, Ivan D., 2017, "Capital productivity in industrialized economies: evidence from error-correction model and Lagrange Multiplier tests," MPRA Paper, University Library of Munich, Germany, number 81655, Sep.
• Hepsag, Aycan, 2017, "A unit root test based on smooth transitions and nonlinear adjustment," MPRA Paper, University Library of Munich, Germany, number 81788, Oct.
• Pönkä, Harri, 2017, "Sentiment and sign predictability of stock returns," MPRA Paper, University Library of Munich, Germany, number 81861, Oct.
• Pedersen, Rasmus Søndergaard, 2017, "Robust inference in conditionally heteroskedastic autoregressions," MPRA Paper, University Library of Munich, Germany, number 81979, Oct.
• Diallo, Abdoulaye Kindy & Masih, Mansur, 2017, "CO2 emissions and financial development: evidence from the United Arab Emirates based on an ARDL approach," MPRA Paper, University Library of Munich, Germany, number 82054, Jun.
• Nazib, Nur Afiyah & Masih, Mansur, 2017, "The response of monetary policy shocks on Islamic bank deposits: evidence from Malaysia based on ARDL approach," MPRA Paper, University Library of Munich, Germany, number 82094, Jun.
• Dzanan, Haris & Masih, Mansur, 2017, "Does currency depreciation necessarily result in positive trade balance ? new evidence from Norway," MPRA Paper, University Library of Munich, Germany, number 82103, May.
• Umairah, Fatin & Masih, Mansur, 2017, "Should the Malaysian islamic stock market investors invest in regional and international equity markets to gain portfolio diversification benefits?," MPRA Paper, University Library of Munich, Germany, number 82117, Jul.
• Reza, Md. Ridwan & Masih, Mansur, 2017, "Regime switching behavior of volatilities of Islamic equities: evidence from Markov- Switching GARCH models for some selected broad based indices," MPRA Paper, University Library of Munich, Germany, number 82123, Jul.
• Poyraz, Mehmet Sami & Masih, Mansur, 2017, "External private debt and economic growth: Is there a lead-lag Granger-casual relationship? evidence from Turkey," MPRA Paper, University Library of Munich, Germany, number 82132, May.
• Mustapha, Ishaq Muhammad & Masih, Mansur, 2017, "Dynamics of islamic stock market returns and exchange rate movements in the ASEAN Countries in a regime-switching environment: Implications for the islamic investors and risk hedgers," MPRA Paper, University Library of Munich, Germany, number 82218, Aug.
• Güriş, Burak, 2017, "A New Nonlinear Unit Root Test with Fourier Function," MPRA Paper, University Library of Munich, Germany, number 82260, Oct.
• Chella, Namapsa & Phiri, Andrew, 2017, "Long-run cointegration between foreign direct investment, direct investment and unemployment in South Africa," MPRA Paper, University Library of Munich, Germany, number 82371, Nov.
• Dingela, Siyasanga & Khobai, Hlalefang, 2017, "Dynamic Impact of Money Supply on Economic Growth in South Africa. An ARDL Approach," MPRA Paper, University Library of Munich, Germany, number 82539, Nov.
• Bucci, Andrea, 2017, "Forecasting realized volatility: a review," MPRA Paper, University Library of Munich, Germany, number 83232, Dec.
• Hepsag, Aycan, 2017, "New unit root tests with two smooth breaks and nonlinear adjustment," MPRA Paper, University Library of Munich, Germany, number 83353, Dec.