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

2016

• Daqane, Mohamed Qalib & Masih, Mansur, 2016, "Is islamic stock market affected by interest rates ? Malaysia as a case study," MPRA Paper, University Library of Munich, Germany, number 103784, Aug.
• Halim, Hafeez & Masih, Mansur, 2016, "Granger-causal relationship between islamic bank financing and macroeconomic variables: evidence from Malaysia based on ARDL," MPRA Paper, University Library of Munich, Germany, number 105424, Sep.
• Majeed, Raseena & Masih, Mansur, 2016, "Impact of macroeconomic variables on shariah stock markets: evidence from Malaysia based on ARDL approach," MPRA Paper, University Library of Munich, Germany, number 106118, Feb.
• Sulaiman, Junaid & Masih, Mansur, 2016, "Does interest rate impact the shariah index? Malaysian evidence based on ARDL approach," MPRA Paper, University Library of Munich, Germany, number 106145, Jun.
• Samad, Fadillah & Masih, Mansur, 2016, "Lead-lag relationship between domestic credit and economic growth: the case of Singapore," MPRA Paper, University Library of Munich, Germany, number 107380, Mar.
• Shin, Claire & Masih, Mansur, 2016, "Lead-lag relationship between macroeconomic variables: evidence from Korea," MPRA Paper, University Library of Munich, Germany, number 107870, Aug.
• Omar, Kamal & Masih, Mansur, 2016, "Granger-causal direction between crude oil and islamic deposits: Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 108522, Dec.
• Charnikat, Charnikat & Masih, Mansur, 2016, "Granger-causal relationship between real exchange rate and economic growth: Malaysia as a case study," MPRA Paper, University Library of Munich, Germany, number 108939, Apr.
• Ghafar, Nurul & Masih, Mansur, 2016, "Determinants of unemployment rate in an open economy: Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 109916, Aug.
• Khasanov, Khush & Masih, Mansur, 2016, "Macroeconomic variables and oil price: evidence from Turkey," MPRA Paper, University Library of Munich, Germany, number 110192, Apr.
• Khan, Aftab & Masih, Mansur, 2016, "Does islamic stock index lead or lag conventional stock index ? Malaysian case," MPRA Paper, University Library of Munich, Germany, number 110274, Dec.
• Abidin, Tengku & Masih, Mansur, 2016, "The relationship between the prices of gold and oil and macroeconomic variables: Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 110326, Mar.
• Raputsoane, Leroi, 2016, "Real effective exchange rates comovement and the South African currency," MPRA Paper, University Library of Munich, Germany, number 121901, Jan.
• Raputsoane, Leroi, 2016, "Real effective exchange rates comovements and the South African currency," MPRA Paper, University Library of Munich, Germany, number 68667, Jan.
• Ahmed, Syed Shujaat & Nazir, Sidra, 2016, "Oil Prices and REER with Impact of Regime Dummies," MPRA Paper, University Library of Munich, Germany, number 68779, Jan.
• Munir, Kashif & Sultan, Maryam, 2016, "Are Some Taxes Better for Growth in Pakistan?A Time Series Analysis," MPRA Paper, University Library of Munich, Germany, number 68828, Jan.
• Sucarrat, Genaro & Grønneberg, Steffen, 2016, "Models of Financial Return With Time-Varying Zero Probability," MPRA Paper, University Library of Munich, Germany, number 68931, Jan.
• BOUSALAM, Issam & HAMZAOUI, Moustapha, 2016, "Impact of Ethical Screening on Risk and Returns: the Case of Constructed Moroccan Islamic Stock Indexes," MPRA Paper, University Library of Munich, Germany, number 68979, Jan.
• Mushtaq, Saba, 2016, "Causality between Bank’s major activities and Economic Growth: Evidences from Pakistan," MPRA Paper, University Library of Munich, Germany, number 69052, Jan.
• Degiannakis, Stavros & Filis, George, 2016, "Forecasting oil price realized volatility: A new approach," MPRA Paper, University Library of Munich, Germany, number 69105, Jan.
• Phiri, Andrew, 2016, "The growth trade-off between direct and indirect taxes in South Africa: Evidence from a STR model," MPRA Paper, University Library of Munich, Germany, number 69152, Feb.
• Montañés, Antonio & Olmos, Lorena & Reyes, Marcelo, 2016, "Does crisis affect convergence process? The case of the Spanish provinces," MPRA Paper, University Library of Munich, Germany, number 69543, Feb.
• BOUSALAM, Issam & HAMZAOUI, Moustapha & ZOUHAYR, Otman, 2016, "Forecasting Daily Stock Volatility Using GARCH-CJ Type Models with Continuous and Jump Variation," MPRA Paper, University Library of Munich, Germany, number 69636, Jan.
• Abarahan, Amnisuhailah Binti & Masih, Mansur, 2016, "Is energy a stimulus for economic growth? A focused study on Malaysia using the auto regressive distributed lag technique," MPRA Paper, University Library of Munich, Germany, number 69765, Jan.
• Mustapha, Ishaq Muhammad & Masih, Mansur, 2016, "Dutch disease or Nigerian disease: a prima facie? New evidence from ARDL bound test analysis," MPRA Paper, University Library of Munich, Germany, number 69767, Jan.
• Bukhari, Naseem & Masih, Mansur, 2016, "An empirical investigation of causal linkages between domestic terrorism and macroeconomic variables: a case for Pakistan," MPRA Paper, University Library of Munich, Germany, number 69768, Jan.
• Mohd Haniff, NorAzza & Masih, Mansur, 2016, "Does consumer sentiment predict consumer spending in Malaysia? an autoregressive distributed lag (ARDL) approach," MPRA Paper, University Library of Munich, Germany, number 69769, Jan.
• Ahsan, Zainab Fida & Masih, Mansur, 2016, "Exploring the nexus between income inequality and financial indicators: endemic to the Indian economy?," MPRA Paper, University Library of Munich, Germany, number 69770, Jan.
• Asadov, Alam & Masih, Mansur, 2016, "Home financing loans and their relationship to real estate bubble: An analysis of the U.S. mortgage market," MPRA Paper, University Library of Munich, Germany, number 69771, Jan.
• Mohammad Nor, Karina & Masih, Mansur, 2016, "Do spot and future palm oil prices influence the stock market prices of a major palm oil producer? the Malaysian experience," MPRA Paper, University Library of Munich, Germany, number 69777, Jan.
• Clemente, Jesús & Lazaro, Angelina & Montanes, Antonio, 2016, "Public health expenditure in Spain: is there partisan behaviour?," MPRA Paper, University Library of Munich, Germany, number 69781, Feb.
• Phiri, Andrew, 2016, "Asymmetric pass-through effects from monetary policy to housing prices in South Africa," MPRA Paper, University Library of Munich, Germany, number 70258, Mar.
• Phiri, Andrew, 2016, "Long run equilibrium adjustment between inflation and stock market returns in South Africa: A nonlinear perspective," MPRA Paper, University Library of Munich, Germany, number 70260, Mar.
• Yeboah Asuamah, Samuel, 2016, "Are output fluctuations transitory or permanent in Ghana?," MPRA Paper, University Library of Munich, Germany, number 70270, Mar.
• Njindan Iyke, Bernard, 2016, "Exchange Rate Undervaluation and Sectoral Performance of the South African Economy," MPRA Paper, University Library of Munich, Germany, number 70343, Mar.
• Jiranyakul, Komain, 2016, "The response of industrial production to the price of oil: new evidence for Thailand," MPRA Paper, University Library of Munich, Germany, number 70457, Apr.
• Naurin, Abida & Qayyum, Abdul, 2016, "Impact of Oil Price and Its Volatility on Stock Market Index in Pakistan: Bivariate EGARCH Model," MPRA Paper, University Library of Munich, Germany, number 70636, Apr.
• Phiri, Andrew, 2016, "Changes in inflation persistence prior and subsequent to the subprime crisis: What are the implications for South Africa?," MPRA Paper, University Library of Munich, Germany, number 70645, Apr.
• Gerunov, Anton, 2016, "Automating Analytics: Forecasting Time Series in Economics and Business," MPRA Paper, University Library of Munich, Germany, number 71010, Apr.
• Gouriéroux, Christian & Zakoian, Jean-Michel, 2016, "Local Explosion Modelling by Noncausal Process," MPRA Paper, University Library of Munich, Germany, number 71105, May.
• Griffin, Jim & Liu, Jia & Maheu, John M, 2016, "Bayesian Nonparametric Estimation of Ex-post Variance," MPRA Paper, University Library of Munich, Germany, number 71220, May.
• Thomadakis, Apostolos, 2016, "Do Combination Forecasts Outperform the Historical Average? Economic and Statistical Evidence," MPRA Paper, University Library of Munich, Germany, number 71589, May.
• Phiri, Andrew, 2016, "Nonlinearities in Wagner's law: Further evidence from South Africa," MPRA Paper, University Library of Munich, Germany, number 71702, Jun.
• Chowdhury, M. Ashraful Ferdous & Haque, M. Mahmudul & Alhabshi, Syed Othman & Masih, Abul Mansur M., 2016, "Socioeconomic Development and Its Effect on Performance of Islamic Banks: Dynamic Panel Approaches," MPRA Paper, University Library of Munich, Germany, number 71888, May.
• Fantazzini, Dean & Nigmatullin, Erik & Sukhanovskaya, Vera & Ivliev, Sergey, 2016, "Everything you always wanted to know about bitcoin modelling but were afraid to ask," MPRA Paper, University Library of Munich, Germany, number 71946, revised 2016.
• Ciccarelli, Nicola, 2016, "Semiparametric Efficient Adaptive Estimation of the PTTGARCH model," MPRA Paper, University Library of Munich, Germany, number 72021.
• Hasnul, Al Gifari & Masih, Mansur, 2016, "Role of instability in affecting capital flight magnitude: An ARDL bounds testing approach," MPRA Paper, University Library of Munich, Germany, number 72086, Jun.
• Halim, Asyraf Abdul & Ariff, Muhammad & Masih, A. Mansur M., 2016, "The impact of real estate, inequality and current account imbalances on excessive credit: A cross country analysis," MPRA Paper, University Library of Munich, Germany, number 72093, Jun.
• Fantazzini, Dean, 2016, "The Oil Price Crash in 2014/15: Was There a (Negative) Financial Bubble?," MPRA Paper, University Library of Munich, Germany, number 72094, Jun.
• Lokman, Azarahiah & Masih, Mansur, 2016, "What drives banks’ willingness to lend to SMEs? An ARDL approach," MPRA Paper, University Library of Munich, Germany, number 72113, Jun.
• Ziaurrahman, Muhammad & Masih, Mansur, 2016, "Is financial sector development an engine of economic growth? evidence from India," MPRA Paper, University Library of Munich, Germany, number 72121, Jun.
• Sultan, Yousuf & Masih, Mansur, 2016, "Does microfinance affect economic growth? Evidence from Bangladesh based on ARDL approach," MPRA Paper, University Library of Munich, Germany, number 72123, Jun.
• Hasbullah, Faruq & Masih, Mansur, 2016, "Fast profits in a fasting month? A markov regime switching approach in search of ramadan effect on stock markets," MPRA Paper, University Library of Munich, Germany, number 72149, Jun.
• Mantai, Mohammed Mahmoud & Masih, Mansur, 2016, "Do changes in shariah screening methodology make islamic indices substitutes or complements? an application of MGARCH-DCC and markov switching analysis," MPRA Paper, University Library of Munich, Germany, number 72166, Jun.
• Ali, Hakim & Masih, Mansur, 2016, "Evidence of cross-country portfolio diversification benefits: The case of Saudi Arabia," MPRA Paper, University Library of Munich, Germany, number 72180, Jun.
• Jiranyakul, Komain, 2016, "The Validity of the Tourism-Led Growth Hypothesis for Thailand," MPRA Paper, University Library of Munich, Germany, number 72716, Jul.
• Escribano, Alvaro & Sucarrat, Genaro, 2016, "Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility," MPRA Paper, University Library of Munich, Germany, number 72736, Jul.
• Barnett, William & Aghababa, Hajar, 2016, "Dynamic Structure of the Spot Price of Crude Oil: Does Time Aggregation Matter?," MPRA Paper, University Library of Munich, Germany, number 73240, Jul.
• Tomić, Bojan, 2016, "Ispitivanje kalendarskih sezonaliteta na hrvatskom tržištu kapitala
  [Testing the significance of calendar effects on croatian capital market]," MPRA Paper, University Library of Munich, Germany, number 73311, Jun.
• BAHMANI-OSKOOEE, Mohsen & HALICIOGLU, Ferda & GHODSI, Seyed Hesam, 2016, "Asymmetric Effects of Exchange Rate Changes on British Bilateral Trade Balances," MPRA Paper, University Library of Munich, Germany, number 73477.
• Jiranyakul, Komain, 2016, "Dynamic relationship between stock return, trading volume, and volatility in the Stock Exchange of Thailand: does the US subprime crisis matter?," MPRA Paper, University Library of Munich, Germany, number 73791, Sep.
• Khoza, Keorapetse & Thebe, Relebogile & Phiri, Andrew, 2016, "Nonlinear impact of inflation on economic growth in South Africa: A smooth transition regression (STR) analysis," MPRA Paper, University Library of Munich, Germany, number 73840, Sep.
• Tapa, Nosipho & Tom, Zandile & Lekoma, Molebogeng & Ebersohn, J. & Phiri, Andrew, 2016, "The unemployment-stock market relationship in South Africa: Evidence from symmetric and asymmetric cointegration models," MPRA Paper, University Library of Munich, Germany, number 74101, Sep.
• Effiong, Ekpeno L., 2016, "Nonlinear Dependence between Stock Prices and Exchange Rate in Nigeria," MPRA Paper, University Library of Munich, Germany, number 74336, Sep.
• Sinha, Pankaj & Nagarnaik, Ankit & Raj, Kislay & Suman, Vineeta, 2016, "Forecasting United States Presidential election 2016 using multiple regression models," MPRA Paper, University Library of Munich, Germany, number 74641, Jul, revised 17 Oct 2016.
• Fourie, Justin & Pretorius, Theuns & Harvey, Rhett & Henrico, Van Niekerk & Phiri, Andrew, 2016, "Nonlinear relationship between exchange rate volatility and economic growth: A South African perspective," MPRA Paper, University Library of Munich, Germany, number 74671, Oct.
• Hecq, Alain & Telg, Sean & Lieb, Lenard, 2016, "Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?," MPRA Paper, University Library of Munich, Germany, number 74922, Nov, revised 04 Nov 2016.
• BESSO, CHRISTOPHE RAOUL & chameni, celestin, 2016, "Analyse De La Vulnerabilite Macroeconomique De La Zone Franc
  [Analysis Of The Macroeconomic Vulnerability Of The Franc Zone]," MPRA Paper, University Library of Munich, Germany, number 75143, Nov.
• Bystrov, Victor & Mackewicz, Michał, 2016, "Recurrent explosive behaviour of debt-to-GDP ratio," MPRA Paper, University Library of Munich, Germany, number 75203, Nov.
• Sharma, Chandan, 2016, "Estimating the Size of Black Economy in India," MPRA Paper, University Library of Munich, Germany, number 75211, Nov.
• Bhuyan, Biswabhusan & Sethi, Dinabandhu, 2016, "An Augmented Taylor rule for India’s Monetary Policy: Does Governor Regime Matters?," MPRA Paper, University Library of Munich, Germany, number 75287, Dec.
• Delle Monache, Davide & Petrella, Ivan, 2016, "Adaptive models and heavy tails with an application to inflation forecasting," MPRA Paper, University Library of Munich, Germany, number 75424, Sep.
• Pötscher, Benedikt M. & Preinerstorfer, David, 2016, "Controlling the Size of Autocorrelation Robust Tests," MPRA Paper, University Library of Munich, Germany, number 75657, Nov.
• Bastianin, Andrea & Galeotti, Marzio & Manera, Matteo, 2016, "Statistical and Economic Evaluation of Time Series Models for Forecasting Arrivals at Call Centers," MPRA Paper, University Library of Munich, Germany, number 76308, Dec.
• Benzarour, Choukri & satour, rachid, 2016, "السياحة والنمو الاقتصادي في الجزائر : الأدلة من التكامل المشترك و تحليل السببية
  [Tourism and economic growth in Algeria: Evidence of Cointegration and causal analysis]," MPRA Paper, University Library of Munich, Germany, number 78731, Sep.
• Heidari, Hassan & Babaei Balderlou, Saharnaz & Ebrahimi Torki, Mahyar, 2016, "Energy Intensity of GDP: A Nonlinear Estimation of Determinants in Iran," MPRA Paper, University Library of Munich, Germany, number 79237, Sep.
• DO ANGO, Simplicio & AMBA OYON, Claude Marius, 2016, "A PANIC Attack on Inflation and Unemployment in Africa: Analysis of Persistence and Convergence," MPRA Paper, University Library of Munich, Germany, number 79685.
• Naseer, Areef Ahmed & Masih, Mansur, 2016, "Expect the unexpected: housing price bubble on the horizon in Malaysia," MPRA Paper, University Library of Munich, Germany, number 79721, Dec.
• Chong, Terence Tai Leung & Lu, Chenxi & Chan, Wing H., 2016, "Long Range Dependence and Structural Breaks in the Gold Markets," MPRA Paper, University Library of Munich, Germany, number 80553, Jul.
• Chong, Terence Tai Leung & Li, Nasha & Zou, Lin, 2016, "A New Approach to Modelling Sector Stock Returns in China," MPRA Paper, University Library of Munich, Germany, number 80554, Sep.
• Njindan Iyke, Bernard & Ho, Sin-Yu, 2016, "Nonlinear Effects of Exchange Rate Changes on the South African Bilateral Trade Balance," MPRA Paper, University Library of Munich, Germany, number 81364, Dec.
• Nurhaliq, Puteri & Masih, Mansur, 2016, "Export orientation vs import substitution : which strategy should the government adopt? Evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 82113, Jun.
• Naqi Shah, Sadia & Qayyum, Abdul, 2016, "Analyse Risk-Return Paradox: Evidence from Electricity Sector of Pakistan," MPRA Paper, University Library of Munich, Germany, number 85528.
• Nizar, Muhammad Afdi, 2016, "Hubungan Asuransi dan Pertumbuhan Ekonomi di Indonesia
  [Relationship between Insurance and Economic Growth in Indonesia]," MPRA Paper, University Library of Munich, Germany, number 97928, Nov.
• Najeeb, Faiq & Masih, Mansur, 2016, "Macroeconomic variables and stock returns: evidence from Singapore," MPRA Paper, University Library of Munich, Germany, number 98778, Dec.
• Flici, Farrid, 2016, "Projection des taux de mortalité par âges pour la population algérienne
  [Forecasting The Age Specific Mortality Rates For The Algerian Population]," MPRA Paper, University Library of Munich, Germany, number 98784, Jun, revised Dec 2016.
• FLICI, Farid, 2016, "Projection des taux de fécondité de la population algérienne à l’horizon 2050
  [Forecasting the age-specific fertility rates of the Algerian population up to 2050]," MPRA Paper, University Library of Munich, Germany, number 99077, Jul.
• Hakim, Idwan & Masih, Mansur, 2016, "Does finance lead or lag economic growth ? the Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 99997, Jun.
• Sixolile Jafta & Goodness C. Aye, 2016, "Dynamic Comovement between Social Infrastructure, Economic Growth and Inequality in South Africa," Working Papers, University of Pretoria, Department of Economics, number 201602, Feb.
• Nikolaos Antonakakis & Juncal Cunado & Rangan Gupta & Mawuli K. Segnon, 2016, "Revisiting the Twin Deficits Hypothesis: A Quantile Cointegration Analysis over the Period of 1791-2013," Working Papers, University of Pretoria, Department of Economics, number 201607, Feb.
• Mehmet Balcilar & Rangan Gupta & Christian Pierdzioch & Mark Wohar, 2016, "Terror Attacks and Stock-Market Fluctuations: Evidence Based on a Nonparametric Causality-in-Quantiles Test for the G7 Countries," Working Papers, University of Pretoria, Department of Economics, number 201608, Feb.
• Rangan Gupta & Anandamayee Majumdar & Mark Wohar, 2016, "The Role of Current Account Balance in Forecasting the US Equity Premium: Evidence from a Quantile Predictive Regression Approach," Working Papers, University of Pretoria, Department of Economics, number 201612, Feb.
• Vasilios Plakandaras & Periklis Gogas & Theophilos Papadimitriou & Rangan Gupta, 2016, "The Term Premium as a Leading Macroeconomic Indicator," Working Papers, University of Pretoria, Department of Economics, number 201613, Feb.
• Mehmet Balcilar & Rangan Gupta & Christian Pierdzioch & Mark Wohar, 2016, "Do Terror Attacks Affect the Dollar-Pound Exchange Rate? A Nonparametric Causality-in-Quantiles Analysis," Working Papers, University of Pretoria, Department of Economics, number 201615, Mar.
• Luis A. Gil-Alana & Rangan Gupta & Olanrewaju I. Shittu & OlaOluwa S. Yaya, 2016, "Market Efficiency of Baltic Stock Markets: A Fractional Integration Approach," Working Papers, University of Pretoria, Department of Economics, number 201617, Mar.
• Mehmet Balcilar & Rangan Gupta & Charl Jooste & Mark E. Wohar, 2016, "Periodically Collapsing Bubbles in the South African Stock Market," Working Papers, University of Pretoria, Department of Economics, number 201624, Mar.
• Goodness C. Aye & Tsangyao Chang & Wen-Yi Chen & Rangan Gupta & Mark Wohar, 2016, "Testing the Efficiency of the Art Market using Quantile-Based Unit Root Tests with Sharp and Smooth Breaks," Working Papers, University of Pretoria, Department of Economics, number 201625, Mar.
• Rangan Gupta & Anandamayee Majumdar & Christian Pierdzioch & Mark Wohar, 2016, "Do Terror Attacks Predict Gold Returns? Evidence from a Quantile-Predictive-Regression Approach," Working Papers, University of Pretoria, Department of Economics, number 201626, Mar.
• Mehmet Balcilar & Esin Cakan & Rangan Gupta, 2016, "Does U.S. News Impact Asian Emerging Markets? Evidence from Nonparametric Causality-in-Quantiles Test," Working Papers, University of Pretoria, Department of Economics, number 201631, Apr.
• Nicholas Apergis & Rangan Gupta, 2016, "Can Weather Conditions in New York Predict South African Stock Returns?," Working Papers, University of Pretoria, Department of Economics, number 201634, Apr.
• Mehmet Balcilar & Matteo Bonato & Riza Demirer & Rangan Gupta, 2016, "The Effect of Investor Sentiment on Gold Market Dynamics," Working Papers, University of Pretoria, Department of Economics, number 201638, May.
• Nikolaos Antonakakis & Mehmet Balcilar & Rangan Gupta & Clement Kyei, 2016, "Components of Economic Policy Uncertainty and Predictability of US Stock Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantile Approach," Working Papers, University of Pretoria, Department of Economics, number 201639, May.
• Matteo Bonato & Riza Demirer & Rangan Gupta & Christian Pierdzioch, 2016, "Gold Futures Returns and Realized Moments: A Forecasting Experiment Using a Quantile-Boosting Approach," Working Papers, University of Pretoria, Department of Economics, number 201645, Jun.
• Esin Cakan & Rangan Gupta, 2016, "Does U.S. Macroeconomic News Make the South African Stock Market Riskier?," Working Papers, University of Pretoria, Department of Economics, number 201646, Jun.
• Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2016, "Time-Varying Persistence of Inflation: Evidence from a Wavelet-Based Approach," Working Papers, University of Pretoria, Department of Economics, number 201647, Jun.
• Mehmet Balcilar & Matteo Bonato & Riza Demirer & Rangan Gupta, 2016, "Geopolitical Risks and Stock Market Dynamics of the BRICS," Working Papers, University of Pretoria, Department of Economics, number 201648, Jun.
• Elie Bouri & Luis A. Gil-Alana & Rangan Gupta & David Roubaud, 2016, "Modelling Long Memory Volatility in the Bitcoin Market: Evidence of Persistence and Structural Breaks," Working Papers, University of Pretoria, Department of Economics, number 201654, Jun.
• Mehmet Balcilar & Elie Bouri & Rangan Gupta & David Roubaud, 2016, "Can Volume Predict Bitcoin Returns and Volatility? A Nonparametric Causality-in-Quantiles Approach," Working Papers, University of Pretoria, Department of Economics, number 201662, Aug.
• Nikolaos Antonakakis & Juncal Cunado & Luis A. Gil-Alana & Rangan Gupta, 2016, "Is Inflation Persistence Different in Reality?," Working Papers, University of Pretoria, Department of Economics, number 201663, Aug.
• Mawuli Segnon & Rangan Gupta & Stelios Bekiros & Mark E. Wohar, 2016, "Forecasting US GNP Growth: The Role of Uncertainty," Working Papers, University of Pretoria, Department of Economics, number 201667, Sep.
• Mehmet Balcilar & Riza Demirer & Rangan Gupta & Mark E. Wohar, 2016, "Differences of Opinion and Stock Market Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach," Working Papers, University of Pretoria, Department of Economics, number 201668, Sep.
• Nicholas Apergis & Matteo Bonato & Rangan Gupta & Clement Kyei, 2016, "Does Geopolitical Risks Predict Stock Returns and Volatility of Leading Defense Companies? Evidence from a Nonparametric Approach," Working Papers, University of Pretoria, Department of Economics, number 201671, Sep.
• Tahir Suleman & Rangan Gupta & Mehmet Balcilar, 2016, "Does Country Risks Predict Stock Returns and Volatility? Evidence from a Nonparametric Approach," Working Papers, University of Pretoria, Department of Economics, number 201675, Oct.
• Christian Pierdzioch & Marian Risse & Rangan Gupta & Wendy Nyakabawo, 2016, "On REIT Returns and (Un-) Expected Inflation: Empirical Evidence Based on Bayesian Additive Regression Trees," Working Papers, University of Pretoria, Department of Economics, number 201677, Oct.
• Matteo Bonato & Riza Demirer & Rangan Gupta, 2016, "The Predictive Power of Industrial Electricity Usage Revisited: Evidence from Nonparametric Causality Tests," Working Papers, University of Pretoria, Department of Economics, number 201679, Nov.
• Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2016, "Modeling U.S. Historical Time-Series Prices and Inflation Using Various Linear and Nonlinear Long-Memory Approaches," Working Papers, University of Pretoria, Department of Economics, number 201683, Nov.
• Rangan Gupta & John W. Muteba Mwamba & Mark E. Wohar, 2016, "The Role of Partisan Conflict in Forecasting the U.S. Equity Premium: A Nonparametric Approach," Working Papers, University of Pretoria, Department of Economics, number 201686, Dec.
• Elie Bouri & Rangan Gupta & Aviral Kumar Tiwari & David Roubaud, 2016, "Does Bitcoin Hedge Global Uncertainty? Evidence from Wavelet-Based Quantile-in-Quantile Regressions," Working Papers, University of Pretoria, Department of Economics, number 201690, Dec.
• Jan Vejmělek, 2016, "Some stylised facts about the exchange rate behaviour of Central European currencies," Acta Oeconomica Pragensia, Prague University of Economics and Business, volume 2016, issue 2, pages 3-17, DOI: 10.18267/j.aop.525.
• Jiří Šindelář, 2016, "Quantitative Forecast of Demand for Life Insurance in CR in 2015-2018: Macroeconomic Growth versus Industry Restructuring
  [Kvantitativní prognóza poptávky po životním pojištění v ČR v letech 2015-2018: makroekonomický růst versus odvětvová restruk," Český finanční a účetní časopis, Prague University of Economics and Business, volume 2016, issue 1, pages 5-23, DOI: 10.18267/j.cfuc.465.
• Luboš Marek & Petr Doucek, 2016, "Vývoj mezd a příjmové nerovnosti u ICT odborníků v české republice
  [Wages Development and its Non-Equality by ICT Professionals in the Czech Republic]," Politická ekonomie, Prague University of Economics and Business, volume 2016, issue 8, pages 922-938, DOI: 10.18267/j.polek.1118.
• Roman Huptas, 2016, "The UHF-GARCH-Type Model in the Analysis of Intraday Volatility and Price Durations – the Bayesian Approach," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 8, issue 1, pages 1-20, March.
• Paulo M.M. Rodrigues & Matei Demetrescu, 2016, "Residual-augmented IVX predictive regression," Working Papers, Banco de Portugal, Economics and Research Department, number w201605.
• António Rua, 2016, "A wavelet-based multivariate multiscale approach for forecasting," Working Papers, Banco de Portugal, Economics and Research Department, number w201612.
• António Antunes & Diana Bonfim & Nuno Monteiro & Paulo M.M. Rodrigues, 2016, "Forecasting banking crises with dynamic panel probit models," Working Papers, Banco de Portugal, Economics and Research Department, number w201613.
• Giuseppe Cavaliere & Morten Ø. Nielsen & A.M. Robert Taylor, 2016, "Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form," Working Paper, Economics Department, Queen's University, number 1324, Nov.
• Morten Ø. Nielsen & Michal Ksawery Popiel, 2018, "A Matlab Program And User's Guide For The Fractionally Cointegrated Var Model," Working Paper, Economics Department, Queen's University, number 1330, May.
• Byeong U. Park & Leopold Simar & Valentin Zelenyuk, 2016, "Nonparametric Estimation of Dynamic Discrete Choice Models for Time Series Data," CEPA Working Papers Series, School of Economics, University of Queensland, Australia, number WP062016, Oct.
• Raul De Jesus Gutierrez & Edgar Ortiz Calisto & Oswaldo Garcia Salgado & Veronica Angeles Morales, 2016, "Medicion del riesgo de la cola en el mercado del petroleo mexicano aplicando la teoria de valores extremos condicional," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., volume 13, issue 2, pages 77-98, Julio-Dic.
• Adam Clements & Ayesha Scott & Annastiina Silvennoinen, 2016, "Volatility Dependent Dynamic Equicorrelation," NCER Working Paper Series, National Centre for Econometric Research, number 111, May.
• Ramos, María Gracia & Winkelried, Diego, 2016, "Tendencias comunes en el índice de precios al consumidor," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 31, pages 29-44.
• Castillo, Paul & Montoya, Jimena & Quineche, Ricardo, 2016, "From the “Great Inflation” to the “Great Moderation” in Peru: A Time Varying Structural Vector Autoregressions Analysis," Working Papers, Banco Central de Reserva del Perú, number 2016-003, Apr.
• Ramos, Maria Gracia & Winkelried, Diego, 2016, "Tendencias comunes en el índice de precios al consumidor," Working Papers, Banco Central de Reserva del Perú, number 2016-004, Apr.
• Nikolaos Dritsakis & Pavlos Stamatiou, 2016, "Trade Openness and Economic Growth: A Panel Cointegration and Causality Analysis for the Newest EU Countries," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 18, issue 59, pages 45-60, March.
• Thouraya Boujelbène Dammak & Kamel Helali, 2016, "A Nonlinear Approach to Tunisian Inflation Rate," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 19, issue 61, pages 147-164, September.
• UÄŸur Korkut Pata & Harun Terzi, 2016, "Testing for Symmetric and Asymmetric Causality between FDI and Foreign Trade in Turkey," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 19, issue 61, pages 47-70, September.
• Nikolaos Dritsakis & Pavlos Stamatiou, 2016, "The Effects of Unemployment on Economic Growth in Greece. An ARDL Bound Test Approach," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 19, issue 62, pages 53-72, December.
• UÄŸur Korkut Pata & Harun Terzi, 2016, "Testing for Symmetric and Asymmetric Causality between FDI and Foreign Trade in Turkey," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 19, issue 62, pages 95-118, December.
• Victor Gumbo & Simba Zoromedza, 2016, "Bank Failure Prediction Model for Zimbabwe," Applied Economics and Finance, Redfame publishing, volume 3, issue 3, pages 222-235, August.
• Haiyun Xu, 2016, "Economic policy uncertainty and housing returns in Germany: Evidence from a bootstrap rolling window," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, volume 34, issue 2, pages 309-332.
• Nataša Erjavec & Petar Soriæ & Mirjana Èižmešija, 2016, "Predicting the probability of recession in Croatia: Is economic sentiment the missing link?," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, volume 34, issue 2, pages 555-579.
• Tuhkuri, Joonas, 2016, "ETLAnow: A Model for Forecasting with Big Data – Forecasting Unemployment with Google Searches in Europe," ETLA Reports, The Research Institute of the Finnish Economy, number 54, May.
• Widgrén, Joona, 2016, "Predicting Housing Prices with Google Searches in Finland," ETLA Reports, The Research Institute of the Finnish Economy, number 63, Dec.
• Tuhkuri, Joonas, 2016, "Forecasting Unemployment with Google Searches," ETLA Working Papers, The Research Institute of the Finnish Economy, number 35, Mar.
• Richard T. Baillie & Dooyeon Cho, 2016, "Assessing Euro Crises from a Time Varying International CAPM Approach," Working Paper series, Rimini Centre for Economic Analysis, number 16-03, Feb.
• Carlos Viana de Carvalho & Ricardo Masini & Marcelo Cunha Medeiros, 2016, "ARCO: an artificial counterfactual approach for high-dimensional panel time-series data," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 653, Aug.
• Atanu Ghoshray & Madhavi Pundit, 2016, "The Impact of a People’s Republic of China Slowdown on Commodity Prices and Detecting the Asymmetric Responses of Economic Activity in Asian Countries to Commodity Price Shocks," ADB Economics Working Paper Series, Asian Development Bank, number 493, Jul.
• Dean Fantazzini & Erik Nigmatullin & Vera Sukhanovskaya & Sergey Ivliev, 2016, "Everything you always wanted to know about bitcoin modelling but were afraid to ask. I," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 44, pages 5-24.
• Roman Arkhipov & Pavel Katyshev, 2016, "Electric power generation and GDP in Russia: Cointegration analysis," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 44, pages 38-49.
• Md. Sajib Hossain & Md. Amzad Hossain & Shabnaz Amin, 2016, "An Empirical Analysis of the Relationship between Monetary Policy Stance and Stock Price in Bangladesh," Bangladesh Development Studies, Bangladesh Institute of Development Studies (BIDS), volume 39, issue 1-2, pages 27-57.
• Uğur Korkut Pata & Harun Terzi, 2016, "The Relationship between Aggregated–Disaggregated Energy Consumption and Economic Growth in Turkey," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 7, issue 4, pages 1-15.
• Samet Evci & Nazan Şak & Gökben Adana Karaağaç, 2016, "Analysis of Volatility in Gold Prices with the Markov Regime-Switching Models," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 7, issue 4, pages 67-77.
• Georges Dionne & Xiaozhou Zhou, 2016, "The Dynamics of Ex-ante Weighted Spread: An Empirical Analysis," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 16-4, Nov.
• Heejoon Han & Na Kyeong Lee, 2016, "Quantile Dependence between Foreign Exchange Market and Stock Market: The Case of Korea," East Asian Economic Review, Korea Institute for International Economic Policy, volume 20, issue 4, pages 519-544, DOI: 10.11644/KIEP.EAER.2016.20.4.320.
• Young Wook Han, 2016, "Quantitative Comparisons on the Intrinsic Features of Foreign Exchange Rates Between the 1920s and the 2010s: Case of the USD-GBP Exchange Rate," East Asian Economic Review, Korea Institute for International Economic Policy, volume 20, issue 3, pages 365-390, DOI: 10.11644/KIEP.EAER.2016.20.3.314.
• Mehmet Balcilar & Rangan Gupta & Charl Jooste & Omid Ranjbar, 2016, "Characterising the South African business cycle: is GDP difference-stationary or trend-stationary in a Markov-switching setup? - Il ciclo economico del Sud Africa: il PIL è stazion ario alle differenz," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 69, issue 1, pages 33-44.
• Smile Dube, 2016, "Exchange Rate Pass-Through (ERPT) and Inflation-Targeting (IT): Evidence from South Africa - Exchange rate pass-through and inflation targeting: evidenze dal Sud Africa," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 69, issue 2, pages 121-150.
• Sanjay Sehgal & Priyanshi Gupta & Florent Deisting, 2016, "Integration from Retail Banking to Non-Financial Corporations in EMU," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 31, issue 3, pages 674-735.
• Sami Saafi & Meriem Bel Haj Mohamed & Makram Ben Doudou, 2016, "Causal Nexus between Financial Integration and Economic Growth : Does Nonlinearity Matter?," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 31, issue 4, pages 817-854.
• M. Kabir Hassan & Selim Kayhana & Tayfur Bayatb, 2016, "The Relation between Return and Volatility in ETFs Traded in Borsa Istanbul: Is there any Difference between Islamic and Conventional ETFs?," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), volume 24, pages 45-76.
• Sora Chon, 2016, "A Predictive System for International Trade Growth," Working Papers, Korea Institute for International Economic Policy, number 16-3, Aug.
• Ali Rezazadeh, 2016, "The Impact of Macroeconomic Variables on Tehran Stock Market Returns Volatility: GARCH-X Approach," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, volume 3, issue 2, pages 121-136.
• Mohsen Pourebadollahan Covich & Hossein Asgharpur & Sara Masoomzadeh, 2016, "Investigation of Convergence of Returns in Asset Markets in Iran," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, volume 3, issue 3, pages 115-132.
• Odette Virginia Delfín Ortega & Plinio Hernánez Barriga & Noemí Ramírez Sepúlveda, 2016, "La Evasión Fiscal del IVA en México 2004-2013," Revista Nicolaita de Estudios Económicos, Universidad Michoacana de San Nicolás de Hidalgo, Instituto de Investigaciones Económicas y Empresariales, volume 0, issue 2, pages 61-80.
• Weilin Xiao & Jun Yu, 2016, "Asymptotic Theory for Estimating the Persistent Parameter in the Fractional Vasicek Model," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 13-2016, Sep.
• Cheng Liu & Ningning Xia & Jun Yu, 2016, "Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 14-2016, Nov.
• Korbinian Nagel, 2016, "A Life Course Perspective on the Income-to-Health Relationship: Macro-Empirical Evidence from Two Centuries," Working Paper, Helmut Schmidt University, Hamburg, number 171/2016, Jul.
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• Samet Günay & Yanlin Shi, 2016, "Long-Memory in Volatilities of CDS Spreads: Evidences from the Emerging Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 122-137, March.
• Mirjana Miletić & Siniša Miletić, 2016, "Performance of VaR in Developed and CEE Countries during the Global Financial Crisis," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 54-75, March.
• Guochen Pan & Jingyan Guo & Qiaoling Jing, 2016, "The Relationship between Insurance Industry and Banking Sector in China: Asymmetric Granger Causality Test," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 114-127, June.
• Chin Wen CHEONG & Lee Min CHERNG & Grace Lee Ching YAP, 2016, "Heterogeneous Market Hypothesis Evaluations using Various Jump-Robust Realized Volatility," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 50-64, December.
• Adnan KHURSHID & Yin KEDONG & Adrian Cantemir CALIN & Oana Cristina POPOVICI, 2016, "Do Remittances Hurt Domestic Prices? New Evidence from Low, Lower-Middle and Middle–Income Groups," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 95-114, December.
• Mateescu, Dan, 2016, "The Linear Regression Of Weighted Segments," Working Papers of Institute for Economic Forecasting, Institute for Economic Forecasting, number 160720, Jul.
• Daniel Stefan ARMEANU & Adrian ENCIU & Carmen OBREJA & Sorin-Iulian CIOACÃ, 2016, "The Financial Crisis’ Impact on the Central and Eastern Europe Capital Markets," REVISTA DE MANAGEMENT COMPARAT INTERNATIONAL/REVIEW OF INTERNATIONAL COMPARATIVE MANAGEMENT, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, volume 17, issue 5, pages 420-431, December.
• Christiana Brigitte Balan & Elisabeta Jaba, 2016, "Birth Seasonality Patterns in Central and Eastern Europe during 1996-2012," Romanian Statistical Review, Romanian Statistical Review, volume 64, issue 1, pages 9-20, March.
• Turgut Tursoy & Faisal FAISAL, 2016, "Causality between stock price and GDP in Turkey: An ARDL Bounds Testing Approach," Romanian Statistical Review, Romanian Statistical Review, volume 64, issue 4, pages 3-19, December.
• Gerdie Everaert & Lorenzo Pozzi & Ruben Schoonackers, 2016, "On The Stability Of The Excess Sensitivity Of Aggregate Consumption Growth In The Us," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 16/917, Jan.
• Jaco P. Weideman & Roula Inglesi-Lotz, 2016, "Structural Breaks in Renewable Energy in South Africa: A Bai & Perron Test Approach," ERSA Working Paper Series, Economic Research Southern Africa, number 602, Apr.
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• Matteo Bonato, 2016, "Realized correlations, betas and volatility spillover in the commodity market: What has changed?," ERSA Working Paper Series, Economic Research Southern Africa, number 639, Oct.
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• Jyoti Gupta & Pramuan Bunkanwanicha & Sergey Khakimov & Philippe Spieser, 2016, "Do Financial Indicators Drive Market Value of Firms in the Transition Economies? The Russian Case," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 15, issue 2, pages 225-268, August, DOI: 10.1177/0972652716645894.
• Supachok Thakolsri & Yuthana Sethapramote & Komain Jiranyakul, 2016, "Implied Volatility Transmissions Between Thai and Selected Advanced Stock Markets," SAGE Open, , volume 6, issue 3, pages 21582440166, July, DOI: 10.1177/2158244016659318.
• Anupam Das & Syeed Khan, 2016, "Financial Development and Output: A Synthesis of Time Series Cointegration and Causality Tests for Bangladesh," South Asian Journal of Macroeconomics and Public Finance, , volume 5, issue 2, pages 113-132, December, DOI: 10.1177/2277978716670788.
• Victor Pontines, 2016, "The Financial Cycles in Four East Asian Economies," Working Papers, South East Asian Central Banks (SEACEN) Research and Training Centre, number wp17, Dec.
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• Mustafa Kiziltan & Anna Golovko, 2016, "Testing the Saving-Investment Relationship for the Country Groups Classified by Income Levels," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 4006505, Aug.
• Dilip Kumar, 2016, "Estimating and forecasting value-at-risk using the unbiased extreme value volatility estimator," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 3205528, Mar.
• Brajesh Kumar, 2016, "Asymmetric Volatility of Net Convenience Yield: Evidence from Indian Commodity Futures Markets," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 3205752, Mar.
• Andrew Maredza & Zvikomborero Nyamazunzu, 2016, "Business Confidence in South Africa: Identifying Key Domestic Drivers and The Nature Of Their Impact," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 4206138, Oct.