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

• Michael mcAleer, 2017, "Stationarity and Invertibility of a Dynamic Correlation Matrix," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 17-082/III, Sep.
• Cizek, Pavel & Koo, Chao, 2017, "Jump-Preserving Varying-Coefficient Models for Nonlinear Time Series," Discussion Paper, Tilburg University, Center for Economic Research, number 2017-017.
• de Klerk, Etienne & Glineur, Francois & Taylor, Adrien, 2017, "On the worst-case complexity of the gradient method with exact line search for smooth strongly convex functions," Other publications TiSEM, Tilburg University, School of Economics and Management, number 8cc0e8dd-b6cd-4f4f-9dcb-9.
• Cizek, Pavel & Koo, Chao, 2017, "Jump-Preserving Varying-Coefficient Models for Nonlinear Time Series," Other publications TiSEM, Tilburg University, School of Economics and Management, number c849e96f-3ad1-461e-96c6-f.
• Hiroyuki Kasahara & Katsumi Shimotsu, 2017, "Asymptotic Properties of the Maximum Likelihood Estimator in Regime Switching Econometric Models," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-1049, May.
• Miguel D. Ramirez, 2017, "FDI Flows to Latin America: A Pooled and Cointegration Analysis, 1980-2014," Working Papers, Trinity College, Department of Economics, number 1703, Jun.
• Miguel D. Ramirez, 2017, "Economic and Institutional Determinants of FDI in the Chilean Case: An Empirical Analysis, 1960-2014," Working Papers, Trinity College, Department of Economics, number 1704, Jun.
• Yhlas Sovbetov & Mohamed Moussa, 2019, "Interaction of Economic Freedom and Foreign Direct Investment Globally: Special Cases from Neglected Regions," Journal of Economics and Financial Analysis, Tripal Publishing House, volume 3, issue 2, pages 113-134, DOI: http://dx.doi.org/10.1991/jefa.v1i1.
• Cuiabano, Simone & Nicolini de Moraes, João Carlos & Pinha, Lucas, 2017, "Application of time series techniques in relevant market delimitation," TSE Working Papers, Toulouse School of Economics (TSE), number 17-801, May.
• Goncalves, Silvia & Hounyo, Ulrich & Meddahi, Nour, 2017, "Bootstrapping Pre-Averaged Realized Volatility under Market Microstructure Noise," TSE Working Papers, Toulouse School of Economics (TSE), number 17-809, May.
• Cuiabano, Simone, 2017, "Long-run equilibrium exchange rate in Latin America and Asia: a comparison using cointegrated vector," TSE Working Papers, Toulouse School of Economics (TSE), number 17-837, Aug.
• Chia-Lin Chang & Michael McAleer, 2017, "The Fiction of Full BEKK," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2017-06, Jan.
• Manabu Asai & Michael McAleer, 2017, "Forecasting the volatility of Nikkei 225 futures," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2017-07, Jan.
• Chia-Lin Chang & Michael McAleer, 2017, "The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2017-17, Jun.
• Marta Gómez-Puig & Simón Sosvilla-Rivero, 2017, "Nonfinancial debt and economic growth in euro-area countries," Working Papers del Instituto Complutense de Estudios Internacionales, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales, number 1708.
• Marta Gómez-Puig & Simón Sosvilla-Rivero, 2017, "Public debt and economic growth: Further evidence for the euro area," Working Papers del Instituto Complutense de Estudios Internacionales, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales, number 1709.
• Mehmet Balcilar & Seyi Saint Akadiri & Rangan Gupta & Stephen M. Miller, 2017, "Partisan Conflict and Income Distribution in the United States: A Nonparametric Causality-in-Quantiles Approach," Working papers, University of Connecticut, Department of Economics, number 2017-11, Jun.
• Giorgio Canarella & Luis A. Gil-Alaña & Rangan Gupta & Stephen M. Miller, 2017, "Modeling U.S. Historical Time-Series Prices and Inflation Using Various Linear and Nonlinear Long-Memory Approaches," Working papers, University of Connecticut, Department of Economics, number 2017-13, Jun.
• Raja Ben Hajria & Salah Khardani & Hamdi Raïssi, 2017, "Testing the lag length of vector autoregressive models: A power comparison between portmanteau and Lagrange multiplier tests," Working Papers, Escuela de Negocios y Economía, Pontificia Universidad Católica de Valparaíso, number 2017-03, Nov.
• David Berger & Ricardo Caballero & Eduardo Engel, 2017, "Missing Aggregate Dynamics: On the Slow Convergence of Lumpy Adjustment Models," Working Papers, University of Chile, Department of Economics, number wp446, Jul.
• Friedrich, Marina & Smeekes, Stephan & Urbain, Jean-Pierre, 2017, "Autoregressive Wild Bootstrap Inference for Nonparametric Trends," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 010, May, DOI: 10.26481/umagsb.2017010.
• Beutner, Eric & Heinemann, Alexander & Smeekes, Stephan, 2017, "A Justification of Conditional Confidence Intervals," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 023, Oct, DOI: 10.26481/umagsb.2017023.
• Yanqun Zhang, 2017, "Productivity in China: past success and future challenges," Asia-Pacific Development Journal, United Nations Economic and Social Commission for Asia and the Pacific (ESCAP), volume 24, issue 1, pages 1-21, June.
• Heidi Kaila & Saurabh Singhal & Divya Tuteja, 2017, "Do fences make good neighbours?: Evidence from an insurgency in India," WIDER Working Paper Series, World Institute for Development Economic Research (UNU-WIDER), number wp-2017-158.
• Fengler, Matthias & Melnikov, Alexander, 2017, "GARCH option pricing models with Meixner innovations," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1702, Feb.
• Michele Patanè & Mattia Tedesco & Stefano Zedda, 2017, "Dynamic Relationship of Commodities prices and EUR/USD exchange rate trends in the recent past," Department of Economics University of Siena, Department of Economics, University of Siena, number 759, Sep.
• Ho, Sin-Yu & Odhiambo, Nicholas, 2017, "The macroeconomic drivers of stock market development: Evidence from Hong Kong," Working Papers, University of South Africa, Department of Economics, number 23438, Nov.
• Chirwa, Themba G. & Odhiambo, Nicholas M., 2017, "The nexus between key macroeconomic determinants and economic growth in Zambia: A dynamic multivariate granger-causality linkage," Working Papers, University of South Africa, Department of Economics, number 23476, Dec.
• YAMAK, Rahmi & ERDEM, Havvanur Feyza & KOÇAK, Sinem, 2017, "Relative Price Variability And Inflation In Turkey: Results From Kalman Filter Estimation," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 21, issue 1, pages 28-40.
• Philip Arestis & Ana Rosa Gonzalez-Martinez, 2017, "Housing Market in Israel: Is there a Bubble?," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 64, issue 1, pages 1-16.
• Zhang Chengsi & Xingchen Ji & Wensheng Dai, 2017, "Global Output Gap and Domestic Inflation in China," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 64, issue 1, pages 17-30.
• Fahad Muhammad Adamu & Ergun Doğan, 2017, "Trade Openness and Industrial Growth: Evidence from Nigeria," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 64, issue 3, pages 297-314.
• Sadullah Çelik & Pınar Deniz, 2017, "Globalization of Consumer Confidence," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 64, issue 3, pages 337-352.
• Çolak Olcay & Palaz Serap, 2017, "The Relationship between Economic Development and Fatal Occupational Accidents: Evidence from Turkey," Scientific Annals of Economics and Business, Sciendo, volume 64, issue 1, pages 19-31, March, DOI: 10.1515/saeb-2017-0002.
• Čižmešija Mirjana & Sorić Petar & Lolić Ivana, 2017, "The interrelationship between media reports and the recession in Croatia," Croatian Review of Economic, Business and Social Statistics, Sciendo, volume 3, issue 1, pages 16-34, June, DOI: 10.1515/crebss-2017-0002.
• Palić Irena & Dumičić Ksenija & Grofelnik Barbara, 2017, "Analysis of Personal Income Taxation Determinants in Croatia in Long Run: Evidence from Cointegration Analysis," Naše gospodarstvo/Our economy, Sciendo, volume 63, issue 3, pages 12-18, September, DOI: 10.1515/ngoe-2017-0014.
• Neagu Mădălin-Ioan & Teodoru Mircea Constantin, 2017, "Testing the Engel's law in the consumption pattern of Romanian population," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, volume 27, issue 3, pages 33-53, September, DOI: 10.1515/sues-2017-0011.
• Ditimi Amassoma & Sunday Keji & Emma-Ebere Onyedikachi O., 2017, "The Upshot of Money Supply and Inflation in Nigeria," Valahian Journal of Economic Studies, Sciendo, volume 8, issue 2, pages 75-90, October, DOI: 10.1515/vjes-2017-0021.
• Deng-kui Si & Chi-Wei Su & Kuo-Ming Lu & Shuh-Chyi Doong, 2017, "Does the Uncovered Interest Parity Hold? Evidence for Central and Eastern European Countries," Economic Research Guardian, Mutascu Publishing, volume 7, issue 1, pages 24-39, June.
• Norbert Christopeit & Michael Massmann, 2017, "Strong consistency of the least squares estimator in regression models with adaptive learning," WHU Working Paper Series - Economics Group, WHU - Otto Beisheim School of Management, number 17-07, Nov.
• Marcelo Arbex & Sidney Caetano & Michel Souza, 2017, "Asymmetric effects of shocks on TFP," Working Papers, University of Windsor, Department of Economics, number 1702, Mar.
• Stefano Grassi & Nima Nonejad & Paolo Santucci De Magistris, 2017, "Forecasting With the Standardized Self‐Perturbed Kalman Filter," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 32, issue 2, pages 318-341, March, DOI: 10.1002/jae.2522.
• Gerdie Everaert & Lorenzo Pozzi & Ruben Schoonackers, 2017, "On the Stability of the Excess Sensitivity of Aggregate Consumption Growth in the USA," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 32, issue 4, pages 819-840, June.
• István Barra & Lennart Hoogerheide & Siem Jan Koopman & André Lucas, 2017, "Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 32, issue 5, pages 1003-1026, August.
• Jack Fosten, 2017, "Model selection with estimated factors and idiosyncratic components," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 32, issue 6, pages 1087-1106, September.
• Vasilios Plakandaras & Periklis Gogas & Theophilos Papadimitriou & Rangan Gupta, 2017, "The Informational Content of the Term Spread in Forecasting the US Inflation Rate: A Nonlinear Approach," Journal of Forecasting, John Wiley & Sons, Ltd., volume 36, issue 2, pages 109-121, March.
• Harri Ponka, 2017, "The Role of Credit in Predicting US Recessions," Journal of Forecasting, John Wiley & Sons, Ltd., volume 36, issue 5, pages 469-482, August.
• Manabu Asai & Michael McAleer, 2017, "Forecasting the volatility of Nikkei 225 futures," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 37, issue 11, pages 1141-1152, November.
• Remzi Uctum & Patricia Renou‐Maissant & Georges Prat & Sylvie Lecarpentier‐Moyal, 2017, "Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data," Review of Financial Economics, John Wiley & Sons, volume 35, issue 1, pages 43-56, November, DOI: 10.1016/j.rfe.2017.03.001.
• Bernard Njindan Iyke & Nicholas M. Odhiambo, 2017, "Inflationary Thresholds, Financial Development and Economic Growth: New Evidence from Two West African Countries," Global Economy Journal (GEJ), World Scientific Publishing Co. Pte. Ltd., volume 17, issue 2, pages 1-11, June, DOI: 10.1142/GEJ-2016-0042.
• Bartosz Uniejewski & Rafal Weron & Florian Ziel, 2017, "Variance stabilizing transformations for electricity spot price forecasting," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/17/01, Feb.
• Bartosz Uniejewski & Grzegorz Marcjasz & Rafal Weron, 2017, "On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/17/02, May.
• Grzegorz Marcjasz & Bartosz Uniejewski & Rafal Weron, 2017, "Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Neural network models," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/17/03, Jul.
• Jin Seo Cho & Halbert White, 2017, "Directionally Differentiable Econometric Models," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2017rwp-103, Apr.
• Jin Seo Cho & Halbert White, 2017, "Supplements to "Directionally Differentiable Econometric Models"," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2017rwp-103a, Apr.
• Daniel Tomiæ Saša Stjepanoviæ, 2017, "Forecasting Capacity of ARIMA Models; A Study on Croatian Industrial Production and its Sub-sectors," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, volume 20, issue 1, pages 81-99, May.
• Hugo Ferrer-P�rez & Mar�a Isabel Ayuda & Antonio Aznar, 2017, "Una nota sobre la importancia del criterio de selecci�n de retardos en la potencia del test de ra�z unitaria de Elliott y M�ller," Documentos de Trabajo, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza, number dt2017-07, Jul.
• Götz, Thomas B. & Knetsch, Thomas A., 2017, "Google data in bridge equation models for German GDP," Discussion Papers, Deutsche Bundesbank, number 18/2017.
• Gil-Alana, Luis A. & Ozdemir, Zeynel Abidin & Tansel, Aysit, 2017, "Long memory in Turkish Unemployment Rates," GLO Discussion Paper Series, Global Labor Organization (GLO), number 123.
• Simionescu, Mihaela & Zimmermann, Klaus F., 2017, "Big Data and Unemployment Analysis," GLO Discussion Paper Series, Global Labor Organization (GLO), number 81.
• Hawkins, Raymond J. & Nguyen, Chau N., 2017, "Macroeconomic dynamics and the IS puzzle," Economics Discussion Papers, Kiel Institute for the World Economy, number 2017-20.
• Senay, Acikgöz & Ali, Mohamed Sami Ben & Mert, Merter, 2017, "Sources of economic growth in MENA countries: A Harrod-neutral technological progress identification framework," Economics Discussion Papers, Kiel Institute for the World Economy, number 2017-4.
• Balcilar, Mehmet & Katzke, Nico & Gupta, Rangan, 2017, "Date-stamping US housing market explosivity," Economics Discussion Papers, Kiel Institute for the World Economy, number 2017-44.
• Lopes, Artur Silva & Zsurkis, Gabriel Florin, 2017, "Are linear models really unuseful to describe business cycle data?," Economics Discussion Papers, Kiel Institute for the World Economy, number 2017-5.
• Esteve García, Vicente & Navarro Ibáñez, Manuel & Prats Albentosa, María Asuncíon, 2017, "The present value model of U.S. stock prices revisited: Long-run evidence with structural breaks, 1871-2012," Economics Discussion Papers, Kiel Institute for the World Economy, number 2017-93.
• El Abed, Riadh & Zardoub, Amna, 2017, "Time varying and asymmetric effect between sovereign credit market and financial market: The asymmetric DCC model," Economics Discussion Papers, Kiel Institute for the World Economy, number 2017-97.
• Demetrescu, Matei & Leppin, Julian Sebastian & Reitz, Stefan, 2017, "Homogenous vs. heterogenous transition functions in smooth transition regressions: A LM-type test," Kiel Working Papers, Kiel Institute for the World Economy, number 2094.
• Prante, Franz J., 2017, "Macroeconomic effects of personal and functional income inequality: Theory and empirical evidence for the US and Germany," IPE Working Papers, Berlin School of Economics and Law, Institute for International Political Economy (IPE), number 83/2017.
• Fuest, Angela & Schmidt, Torsten, 2017, "Inflation expectation uncertainty, inflation and the output gap," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 673, DOI: 10.4419/86788780.
• Khalifa, Ahmed & Caporin, Massimiliano & Costola, Michele & Hammoudeh, Shawkat, 2017, "Systemic risk for financial institutions of major petroleum-based economies: The role of oil," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 172, revised 2017, DOI: 10.2139/ssrn.2985352.
• Kamga, Merlin Kuate & Wilde, Christian, 2017, "Liquidity premia in CDS markets," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 173, DOI: 10.2139/ssrn.3005276.
• Hertweck, Matthias & Brey, Bjoern, 2017, "The Persistent Effects of Monsoon Rainfall Shocks in India: A Nonlinear VAR Approach," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking, Verein für Socialpolitik / German Economic Association, number 168256.

2016

• Alfonso Arpaia & Aron Kiss & Balazs Palvolgyi & Alessandro Turrini, 2016, "Labour mobility and labour market adjustment in the EU," IZA Journal of Migration and Development, Springer;Forschungsinstitut zur Zukunft der Arbeit GmbH (IZA), volume 5, issue 1, pages 1-21, December, DOI: 10.1186/s40176-016-0069-8.
• Jennifer L. Castle & Michael P. Clements & David F. Hendry, 2016, "An Overview of Forecasting Facing Breaks," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), volume 12, issue 1, pages 3-23, September, DOI: 10.1007/s41549-016-0005-2.
• Guglielmo Caporale & Luis Gil-Alana, 2016, "Persistence and cyclical dependence in the monthly euribor rate," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 40, issue 1, pages 157-171, January, DOI: 10.1007/s12197-014-9296-0.
• Cathy W. S. Chen & Mike K. P. So & Thomas C. Chiang, 2016, "Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach," The Japanese Economic Review, Springer, volume 67, issue 1, pages 96-124, March, DOI: 10.1111/jere.12074.
• Cindrella Shah & Nilesh Ghonasgi, 2016, "Determinants and Forecast of Price Level in India: a VAR Framework," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), volume 14, issue 1, pages 57-86, June, DOI: 10.1007/s40953-015-0019-y.
• Joice John & Abhiman Das & Sanjay Singh, 2016, "An Application of Quah and Vahey’s SVAR Methodology for Estimating Core Inflation in India: A Note," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), volume 14, issue 1, pages 151-158, June, DOI: 10.1007/s40953-015-0023-2.
• Nidhaleddine Ben Cheikh & Christophe Rault, 2016, "The Role of the Business Cycle in Exchange Rate Pass-Through: The Case of Finland," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), volume 14, issue 1, pages 15-27, June, DOI: 10.1007/s40953-015-0025-0.
• B. Balaji & S. Raja Sethu Durai & M. Ramachandran, 2016, "The Dynamics Between Inflation and Inflation Uncertainty: Evidence from India," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), volume 14, issue 1, pages 1-14, June, DOI: 10.1007/s40953-015-0027-y.
• Luis A. Gil-Alana & Trilochan Tripathy, 2016, "Long Range Dependence in the Indian Stock Market: Evidence of Fractional Integration, Non-Linearities and Breaks," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), volume 14, issue 2, pages 199-215, December, DOI: 10.1007/s40953-016-0029-4.
• Han Hwa Goh & Kim Leng Tan & Chia Ying Khor & Sew Lai Ng, 2016, "Volatility and Market Risk of Rubber Price in Malaysia: Pre- and Post-Global Financial Crisis," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), volume 14, issue 2, pages 323-344, December, DOI: 10.1007/s40953-016-0037-4.
• Carlos Pinho & Mara Madaleno, 2016, "Oil prices and stock returns: nonlinear links across sectors," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, volume 15, issue 2, pages 79-97, August, DOI: 10.1007/s10258-016-0117-6.
• José Manuel Belbute & Alfredo Marvão Pereira, 2016, "Does final energy demand in Portugal exhibit long memory? A fractional integration analysis," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, volume 15, issue 2, pages 59-77, August, DOI: 10.1007/s10258-016-0118-5.
• M. Angeles Carnero & Ana Pérez & Esther Ruiz, 2016, "Identification of asymmetric conditional heteroscedasticity in the presence of outliers," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, volume 7, issue 1, pages 179-201, March, DOI: 10.1007/s13209-015-0131-4.
• Gabriele Fiorentini & Enrique Sentana, 2016, "Neglected serial correlation tests in UCARIMA models," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, volume 7, issue 1, pages 121-178, March, DOI: 10.1007/s13209-015-0132-3.
• Michele Caivano & Andrew Harvey & Alessandra Luati, 2016, "Robust time series models with trend and seasonal components," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, volume 7, issue 1, pages 99-120, March, DOI: 10.1007/s13209-015-0134-1.
• Guy Mélard, 2016, "On some remarks about SEATS signal extraction," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, volume 7, issue 1, pages 53-98, March, DOI: 10.1007/s13209-015-0137-y.
• Ya-Hui Huang & Chien-Chiang Lee & Chun-Ping Chang, 2016, "Medical Personnel and Life Expectancy: New Evidence from Taiwan," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, volume 128, issue 3, pages 1425-1447, September, DOI: 10.1007/s11205-015-1086-3.
• Alessandra Luati & Tommaso Proietti, 2016, "Generalised Partial Autocorrelations and the Mutual Information Between Past and Future," Springer Books, Springer, in: Mark Podolskij & Robert Stelzer & Steen Thorbjørnsen & Almut E. D. Veraart, "The Fascination of Probability, Statistics and their Applications", DOI: 10.1007/978-3-319-25826-3_14.
• Peter Reinhard Hansen & Guillaume Horel & Asger Lunde & Ilya Archakov, 2016, "A Markov Chain Estimator of Multivariate Volatility from High Frequency Data," Springer Books, Springer, in: Mark Podolskij & Robert Stelzer & Steen Thorbjørnsen & Almut E. D. Veraart, "The Fascination of Probability, Statistics and their Applications", DOI: 10.1007/978-3-319-25826-3_17.
• Elena Bobeica & Paulo Soares Esteves & António Rua & Karsten Staehr, 2016, "Exports and domestic demand pressure: a dynamic panel data model for the euro area countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 152, issue 1, pages 107-125, February, DOI: 10.1007/s10290-015-0234-9.
• Elena Bobeica & Paulo Esteves & António Rua & Karsten Staehr, 2016, "Exports and domestic demand pressure: a dynamic panel data model for the euro area countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 152, issue 1, pages 107-125, February, DOI: 10.1007/s10290-015-0234-9.
• Caterina Santi & Pietro Santoleri, 2016, "Exploring the link between Innovation and Growth in Chilean firms," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2016/09, Jan.
• Smith Paul, 2016, "Nowcasting UK GDP during the depression," Working Papers, University of Strathclyde Business School, Department of Economics, number 1606, Apr.
• Zacharias Psaradakis & Marian Vavra, 2016, "Portmanteau Tests for Linearity of Stationary Time Series," Working and Discussion Papers, Research Department, National Bank of Slovakia, number WP 1/2016, May.
• Marian Vavra, 2016, "Testing the Validity of Assumptions of UC-ARIMA Models for Trend-Cycle Decompositions," Working and Discussion Papers, Research Department, National Bank of Slovakia, number WP 4/2016, Sep.
• Luke Hartigan, 2016, "Alternative HAC Covariance Matrix Estimators with Improved Finite Sample Properties," Discussion Papers, School of Economics, The University of New South Wales, number 2016-06, May.
• Timothy Neal, 2016, "Multidimensional Parameter Heterogeneity in Panel Data Models," Discussion Papers, School of Economics, The University of New South Wales, number 2016-15, Oct.
• Luke Hartigan, 2016, "Testing for Symmetry in Weakly Dependent Time Series," Discussion Papers, School of Economics, The University of New South Wales, number 2016-18, Nov.
• Carlos A. Medel & Pablo M. Pincheira, 2016, "The out-of-sample performance of an exact median-unbiased estimator for the near-unity AR(1) model," Applied Economics Letters, Taylor & Francis Journals, volume 23, issue 2, pages 126-131, February, DOI: 10.1080/13504851.2015.1057890.
• David Iselin & Boriss Siliverstovs, 2016, "Using newspapers for tracking the business cycle: a comparative study for Germany and Switzerland," Applied Economics, Taylor & Francis Journals, volume 48, issue 12, pages 1103-1118, March, DOI: 10.1080/00036846.2015.1093085.
• Ioannis Chatziantoniou & Stavros Degiannakis & Bruno Eeckels & George Filis, 2016, "Forecasting tourist arrivals using origin country macroeconomics," Applied Economics, Taylor & Francis Journals, volume 48, issue 27, pages 2571-2585, June, DOI: 10.1080/00036846.2015.1125434.
• Stelios Bekiros & Rangan Gupta & Clement Kyei, 2016, "A non-linear approach for predicting stock returns and volatility with the use of investor sentiment indices," Applied Economics, Taylor & Francis Journals, volume 48, issue 31, pages 2895-2898, July, DOI: 10.1080/00036846.2015.1130793.
• Luis A. Gil-Alana & Rangan Gupta & Fernando Perez de Gracia, 2016, "Persistence, mean reversion and non-linearities in the US housing prices over 1830--2013," Applied Economics, Taylor & Francis Journals, volume 48, issue 34, pages 3244-3252, July, DOI: 10.1080/00036846.2015.1136402.
• Boriss Siliverstovs, 2016, "The franc shock and Swiss GDP: how long does it take to start feeling the pain?," Applied Economics, Taylor & Francis Journals, volume 48, issue 36, pages 3432-3441, August, DOI: 10.1080/00036846.2016.1139678.
• Aviral K. Tiwari & Claudiu T. Albulescu & Rangan Gupta, 2016, "Time-frequency relationship between US output with commodity and asset prices," Applied Economics, Taylor & Francis Journals, volume 48, issue 3, pages 227-242, January, DOI: 10.1080/00036846.2015.1076154.
• Nikolaos Antonakakis & Vassilios Babalos & Clement Kyei, 2016, "Predictability of sustainable investments and the role of uncertainty: evidence from a non-parametric causality-in-quantiles test," Applied Economics, Taylor & Francis Journals, volume 48, issue 48, pages 4655-4665, October, DOI: 10.1080/00036846.2016.1161724.
• Marie Bessec & Julien Fouquau & Sophie Meritet, 2016, "Forecasting electricity spot prices using time-series models with a double temporal segmentation," Applied Economics, Taylor & Francis Journals, volume 48, issue 5, pages 361-378, January, DOI: 10.1080/00036846.2015.1080801.
• Tommaso Proietti, 2016, "The Multistep Beveridge--Nelson Decomposition," Econometric Reviews, Taylor & Francis Journals, volume 35, issue 3, pages 373-395, March, DOI: 10.1080/07474938.2014.966631.
• Pierre Perron & Yohei Yamamoto, 2016, "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," Econometric Reviews, Taylor & Francis Journals, volume 35, issue 5, pages 782-844, May, DOI: 10.1080/07474938.2014.977621.
• J. Isaac Miller, 2016, "Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series," Econometric Reviews, Taylor & Francis Journals, volume 35, issue 6, pages 1142-1171, June, DOI: 10.1080/07474938.2014.976527.
• Álvaro Cartea & Dimitrios Karyampas, 2016, "The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets," Econometric Reviews, Taylor & Francis Journals, volume 35, issue 6, pages 929-950, June, DOI: 10.1080/07474938.2014.976529.
• Anders Bredahl Kock & Timo Teräsvirta, 2016, "Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques," Econometric Reviews, Taylor & Francis Journals, volume 35, issue 8-10, pages 1753-1779, December, DOI: 10.1080/07474938.2015.1035163.
• Bruno Feunou & Mohammad R. Jahan-Parvar & Roméo Tédongap, 2016, "Which parametric model for conditional skewness?," The European Journal of Finance, Taylor & Francis Journals, volume 22, issue 13, pages 1237-1271, October, DOI: 10.1080/1351847X.2013.877515.
• Luis A. Gil-Alana & Christophe André & Rangan Gupta & Tsangyao Chang & Omid Ranjbar, 2016, "The Feldstein--Horioka puzzle in South Africa: A fractional cointegration approach," The Journal of International Trade & Economic Development, Taylor & Francis Journals, volume 25, issue 7, pages 978-991, October, DOI: 10.1080/09638199.2016.1151545.
• Massimiliano Marcellino & Mario Porqueddu & Fabrizio Venditti, 2016, "Short-Term GDP Forecasting With a Mixed-Frequency Dynamic Factor Model With Stochastic Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 34, issue 1, pages 118-127, January, DOI: 10.1080/07350015.2015.1006773.
• Eric Hillebrand & Marcelo C. Medeiros, 2016, "Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 34, issue 1, pages 23-41, January, DOI: 10.1080/07350015.2014.985828.
• Bertrand Candelon & Sessi Tokpavi, 2016, "A Nonparametric Test for Granger Causality in Distribution With Application to Financial Contagion," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 34, issue 2, pages 240-253, April, DOI: 10.1080/07350015.2015.1026774.
• Peter Reinhard Hansen & Zhuo Huang, 2016, "Exponential GARCH Modeling With Realized Measures of Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 34, issue 2, pages 269-287, April, DOI: 10.1080/07350015.2015.1038543.
• Marine Carrasco & Barbara Rossi, 2016, "In-Sample Inference and Forecasting in Misspecified Factor Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 34, issue 3, pages 313-338, July, DOI: 10.1080/07350015.2016.1186029.
• Junior A. Ojeda Cunya & Gabriel Rodríguez, 2016, "An application of a random level shifts model to the volatility of Peruvian stock and exchange rate returns," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, volume 9, issue 1, pages 34-55, March, DOI: 10.1080/17520843.2015.1088880.
• David F. Hendry & Grayham E. Mizon, 2016, "Improving the teaching of econometrics," Cogent Economics & Finance, Taylor & Francis Journals, volume 4, issue 1, pages 1170096-117, December, DOI: 10.1080/23322039.2016.1170096.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Yuliya Lovcha, 2016, "Testing Unemployment Theories: A Multivariate Long Memory Approach," Journal of Applied Economics, Taylor & Francis Journals, volume 19, issue 1, pages 95-112, May, DOI: 10.1016/S1514-0326(16)30004-6.
• Daniel Huerta & Peter V. Egly & Diego Escobari, 2016, "The Liquidity Crisis, Investor Sentiment, and REIT Returns and Volatility," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, volume 22, issue 1, pages 47-62, January, DOI: 10.1080/10835547.2016.12089979.
• Jari Hännikäinen, 2016, "Selection of an Estimation Window in the Presence of Data Revisions and Recent Structural Breaks," Working Papers, Tampere University, Faculty of Management and Business, Economics, number 1692, Nov.
• Dungey, Mardi & Jacobs, Jan P.A.M. & Tian, Jing, 2016, "Forecasting output gaps in the G-7 countries: The role of correlated Innovations and structural breaks," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2016-04.
• Asli Yuksel, 2016, "The relationship between stock and real estate prices in Turkey : Evidence around the global financial crisis," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 16, issue 1, pages 33-40.
• Fatma Pinar Erdem & Ibrahim Unalmis, 2016, "Revisiting super-cycles in commodity prices," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 16, issue 4, pages 137-142.
• Mustafa Utku Ozmen, 2016, "In Pursuit of Understanding Markups in Restaurant Services Prices," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1602.
• Bahar Sen Dogan & Murat Midilic, 2016, "Forecasting Turkish Real GDP Growth in a Data Rich Environment," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1611.
• Selen Baser Andic, 2016, "On Estimation of the Normalized CES Production Function for Turkey," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1613.
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• Heba Youssef Hashem, 2016, "Determinants of Egyptian Banking Sector Profitability: Time-Series Analysis from 2004-2014," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 9, issue 2, pages 73-78, June.
• Roman Frydman & Joshua R. Stillwagon, 2016, "Stock-Market Expectations: Econometric Evidence that both REH and Behavioral Insights Matter," Working Papers Series, Institute for New Economic Thinking, number 44, May, DOI: 10.2139/ssrn.2793421.
• Massimiliano Caporin & Chia-Lin Chang & Michael McAleer, 2016, "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-006/III, Feb.
• Istvan Barra & Siem Jan Koopman & Agnieszka Borowska, 2016, "Bayesian Dynamic Modeling of High-Frequency Integer Price Changes," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-028/III, Apr, revised 16 Feb 2018.
• Gabriele Galati & Irma Hindrayanto & Siem Jan Koopman & Marente Vlekke, 2016, "Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-029/III, Apr.
• David E. Allen & Chialin Chang & Michael McAleer & Abhay K. Singh, 2016, "A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-038/III, May.
• Siem Jan Koopman & Rutger Lit & Andre Lucas, 2016, "Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-051/IV, Jul.
• Manabu Asai & Michael McAleer, 2016, "A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-065/III, Aug.
• Manabu Asai & Chia-Lin Chang & Michael McAleer, 2016, "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-076/III, Sep.
• David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2016, "Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-084/III, Oct.
• H. Peter Boswijk & Maurice J.G. Bun & Maarten Pieter Schinkel, 2016, "Cartel Dating," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-092/VII, Nov.
• Chia-Lin Chang & Michael McAleer, 2016, "A Simple Test for Causality in Volatility," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-094/III, Nov.
• Rothfelder, Mario & Boldea, Otilia, 2016, "Testing for a Threshold in Models with Endogenous Regressors," Discussion Paper, Tilburg University, Center for Economic Research, number 2016-029.
• Rothfelder, Mario & Boldea, Otilia, 2016, "Testing for a Threshold in Models with Endogenous Regressors," Other publications TiSEM, Tilburg University, School of Economics and Management, number 40ca581a-e228-49ae-911f-e.
• Siem Jan Koopman & André Lucas & Marcel Scharth, 2016, "Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models," The Review of Economics and Statistics, MIT Press, volume 98, issue 1, pages 97-110, March.
• Jiayi Huang & Miguel Ramirez, 2016, "Do Exports lead Economic Output in Five Asian Countries? A Cointegration and Granger Causality Analysis," Working Papers, Trinity College, Department of Economics, number 1601, Jun.
• Andrea Fracasso & Rocco Probo, 2016, "When did inflation expectations in the euro area de-anchor?," DEM Working Papers, Department of Economics and Management, number 2016/05.
• Christian Bauer & Sebastian Weber, 2016, "The Efficiency of Monetary Policy when Guiding Inflation Expectations," Research Papers in Economics, University of Trier, Department of Economics, number 2016-14.
• Jacek Suda & Anastasia Zervou, 2016, "International Great Inflation and Common Monetary Policy," Working Papers, Texas A&M University, Department of Economics, number 20160513_001, May.
• Massimiliano Caporin & Chia-Lin Chang & Michael McAleer, 2016, "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-01, Feb.
• Francisco Javier Eransus, 2016, "A bidding strategy for minimizing the imbalances costs for renewable generators in Spanish power markets," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-13, Feb.
• Manabu Asai & Chia-Lin Chang & Michael McAleer, 2016, "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-15, Sep.
• David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2016, "Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-16, Oct.
• Giorgio Canarella & Stephen M. Miller, 2016, "Inflation Targeting: New Evidence from Fractional Integration and Cointegration," Working papers, University of Connecticut, Department of Economics, number 2016-08, Sep.
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• Giorgio Canarella & Stephen M. Miller, 2016, "Did Okun's Law Die after the Great Recession?," Working papers, University of Connecticut, Department of Economics, number 2016-10, Sep.
• Giorgio Canarella & Stephen M. Miller, 2016, "Inflation Persistence and Structural Breaks: The Experience of Inflation Targeting Countries and the US," Working papers, University of Connecticut, Department of Economics, number 2016-11, Sep.
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• Nicholas Apergis & Christina Christou & Rangan Gupta & Stephen M. Miller, 2016, "Convergence in Income Inequality: Further Evidence from the Club Clustering Methodology across the U.S. States," Working papers, University of Connecticut, Department of Economics, number 2016-19, Sep.
• Giorgio Canarella & Stephen M. Miller, 2016, "Inflation Persistence and Structural Breaks: The Experience of Inflation Targeting Countries and the US," Working papers, University of Connecticut, Department of Economics, number 2016-21, Sep.
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• María Isabel Rodríguez-Ferradas & José A. Alfaro-Tanco & Francesco Sandulli, 2016, "A framework for Open Innovation practices: Typology and characterisation," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 02/16, Jun.
• Smeekes, Stephan & Wijler, Etiënne, 2016, "Macroeconomic Forecasting Using Penalized Regression Methods," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 039, Jan, DOI: 10.26481/umagsb.2016039.
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• Constant, Amelie F. & Garcia-Munoz, Teresa & Neuman, Shoshana & Neuman, Tzahi, 2016, "A 'healthy immigrant effect' or a 'sick immigrant effect'? Selection and policies matter," MERIT Working Papers, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT), number 2016-051, Sep.
• Guido Zack, 2016, "El efecto asimétrico del ciclo económico sobre las condiciones sociales argentinas en el período 2003 - 2015," Estudios Economicos, Universidad Nacional del Sur, Departamento de Economia, volume 33, issue 67, pages 67-95, july-dece.
• Peter Egger & Doina Radulescu & Nora Strecker, 2016, "On the spread of social protection systems," WIDER Working Paper Series, World Institute for Development Economic Research (UNU-WIDER), number wp-2016-99.
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• Paraschiv, Florentina & Bunn, Derek & Westgaard, Sjur, 2016, "Estimation and Application of Fully Parametric Multifactor Quantile Regression with Dynamic Coefficients," Working Papers on Finance, University of St. Gallen, School of Finance, number 1607, Mar.
• Ahmad Monir Abdullah & Abul Mansur Mohammed Masih, 2016, "Diversification in Crude Oil and Other Commodities: A Comparative Analysis," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, volume 12, issue 1, pages 101-128.
• KORKMAZ, Özge & ERER, Elif & ERER, Deniz, 2016, "The Factors Affecting Credit Bubbles: The Case Of Turkey," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 20, issue 1, pages 37-53.
• BAYAR, Yılmaz, 2016, "Macroeconomic Determinants Of Stock Market Development: Evidence From Borsa Istanbul," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 20, issue 1, pages 69-89.
• ERER, Deniz & ERER, Elif & GÜLEÇ, Tuna Can, 2016, "Fractional Cointegration Analysis Of Stock Market And Exchange Rates: The Case Of Turkey," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 20, issue 3, pages 80-94.
• Fikret Dülger, 2016, "The Sustainability of Current Account in the Presence of Endogenous Multiple Structural Breaks: Evidence from Developed and Developing Countries," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 63, issue 3, pages 339-358.