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

2015

• Philip Inyeob Ji & Glenn Otto, 2015, "Explosive Behaviour in Australian Housing Markets: Rational Bubbles or Not?," Discussion Papers, School of Economics, The University of New South Wales, number 2015-27, Dec.
• Eo, Yunjong, 2015, "Structural Changes in Inflation Dynamics: Multiple Breaks at Different Dates for Different Parameters," Working Papers, University of Sydney, School of Economics, number 2015-18, Oct, revised Nov 2015.
• Nico Katzke & Chris Garbers, 2015, "Do Long Memory and Asymmetries Matter When Assessing Downside Return Risk?," Working Papers, Stellenbosch University, Department of Economics, number 06/2015.
• Mehmet Balcilar & Nico Katzke & Rangan Gupta, 2015, "Identifying Periods of US Housing Market Explosivity," Working Papers, Stellenbosch University, Department of Economics, number 08/2015.
• Bangzhu Zhu & Julien Chevallier & Shujiao Ma & Yiming Wei, 2015, "Examining the structural changes of European carbon futures price 2005-2012," Applied Economics Letters, Taylor & Francis Journals, volume 22, issue 5, pages 335-342, March, DOI: 10.1080/13504851.2014.943875.
• D. Ventosa-Santaul a & M. G -Zald & F. H. Wallace, 2015, "The real exchange rate, regime changes and volatility shifts," Applied Economics, Taylor & Francis Journals, volume 47, issue 24, pages 2445-2454, May, DOI: 10.1080/00036846.2015.1005821.
• Rina Rosenblatt-Wisch & Rolf Scheufele, 2015, "Quantification and characteristics of household inflation expectations in Switzerland," Applied Economics, Taylor & Francis Journals, volume 47, issue 26, pages 2699-2716, June, DOI: 10.1080/00036846.2015.1008773.
• Christian Hutter & Enzo Weber, 2015, "Constructing a new leading indicator for unemployment from a survey among German employment agencies," Applied Economics, Taylor & Francis Journals, volume 47, issue 33, pages 3540-3558, July, DOI: 10.1080/00036846.2015.1018672.
• Zuzana Janko & Gurleen Popli, 2015, "Examining the link between crime and unemployment: a time-series analysis for Canada," Applied Economics, Taylor & Francis Journals, volume 47, issue 37, pages 4007-4019, August, DOI: 10.1080/00036846.2015.1023942.
• Rangan Gupta & Anandamayee Majumdar, 2015, "Forecasting US real house price returns over 1831-2013: evidence from copula models," Applied Economics, Taylor & Francis Journals, volume 47, issue 48, pages 5204-5213, October, DOI: 10.1080/00036846.2015.1044648.
• Era Dabla-Norris & Raphael Espinoza & Sarwat Jahan, 2015, "Spillovers to low-income countries: importance of systemic emerging markets," Applied Economics, Taylor & Francis Journals, volume 47, issue 53, pages 5707-5725, November, DOI: 10.1080/00036846.2015.1058903.
• Sebastian Fossati, 2015, "Forecasting US recessions with macro factors," Applied Economics, Taylor & Francis Journals, volume 47, issue 53, pages 5726-5738, November, DOI: 10.1080/00036846.2015.1058904.
• Giuseppe Cavaliere & Peter C. B. Phillips & Stephan Smeekes & A. M. Robert Taylor, 2015, "Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility," Econometric Reviews, Taylor & Francis Journals, volume 34, issue 4, pages 512-536, April, DOI: 10.1080/07474938.2013.808065.
• Markus Jochmann, 2015, "Modeling U.S. Inflation Dynamics: A Bayesian Nonparametric Approach," Econometric Reviews, Taylor & Francis Journals, volume 34, issue 5, pages 537-558, May, DOI: 10.1080/07474938.2013.806199.
• Siem Jan Koopman & André Lucas & Marcel Scharth, 2015, "Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 33, issue 1, pages 114-127, January, DOI: 10.1080/07350015.2014.925807.
• Nikolay Gospodinov & Serena Ng, 2015, "Minimum Distance Estimation of Possibly Noninvertible Moving Average Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 33, issue 3, pages 403-417, July, DOI: 10.1080/07350015.2014.955175.
• Jurgen A. Doornik & David F. Hendry & Steve Cook, 2015, "Statistical model selection with “Big Data”," Cogent Economics & Finance, Taylor & Francis Journals, volume 3, issue 1, pages 1045216-104, December, DOI: 10.1080/23322039.2015.1045216.
• Massimiliano Caporin & Angelo Ranaldo & Gabriel G. Velo, 2015, "Precious metals under the microscope: a high-frequency analysis," Quantitative Finance, Taylor & Francis Journals, volume 15, issue 5, pages 743-759, May, DOI: 10.1080/14697688.2014.947313.
• Pelin Öge Güney & Erdinç Telatar & Mübariz Hasanov, 2015, "Time series behaviour of the real interest rates in transition economies," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, volume 28, issue 1, pages 104-118, January, DOI: 10.1080/1331677X.2015.1028240.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2015, "U.S. Disposable Personal Income and a Housing Price Index: A Fractional Integration Analysis," Journal of Housing Research, Taylor & Francis Journals, volume 24, issue 1, pages 73-86, January, DOI: 10.1080/10835547.2015.12092098.
• Hakan Kara & Pinar Ozlu & Deren Unalmis, 2015, "Turkiye icin Finansal Kosullar Endeksi," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 15, issue 3, pages 41-73.
• Hakan Kara & Pinar Ozlu & Deren Unalmis, 2015, "Turkiye icin Finansal Kosullar Endeksi," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1513.
• Aslihan Atabek Demirhan, 2015, "Export Behavior of the Turkish Manufacturing Firms," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1522.
• Suleyman Hilmi Kal & Ferhat Arslaner & Nuran Arslaner, 2015, "Sources of Asymmetry and Non-linearity in Pass-Through of Exchange Rate and Import Price to Consumer Price Inflation for the Turkish Economy during Inflation Targeting Regime," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1530.
• Mahmut Gunay, 2015, ""I Just Ran Four Million Regressions" for Backcasting Turkish GDP Growth," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1533.
• Tugrul Gurgur & Zubeyir Kilinc, 2015, "In Search of the Drivers of the Turkish Consumer Confidence," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1538.
• Nikolaos Sariannidis & Polyxeni Papadopoulou & Evangelos Drimbetas, 2015, "Investigation of the Greek Stock Exchange volatility and the impact of foreign markets from 2007 to 2012," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 8, issue 2, pages 55-68, October.
• Guillaume Gaetan Martinet & Michael McAleer, 2015, "On the Invertibility of EGARCH(p,q)," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-022/III, Feb.
• Shiqing Ling & Michael McAleer & Howell Tong, 2015, "Frontiers in Time Series and Financial Econometrics: An Overview," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-026/III, Feb.
• Francisco Blasques & Siem Jan Koopman & Katarzyna Lasak & André Lucas, 2015, "In-Sample Bounds for Time-Varying Parameters of Observation Driven Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-027/III, Feb, revised 07 Sep 2015.
• Titus J. Galama & Hans van Kippersluis, 2015, "A Theory of Education and Health," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-031/V, Mar.
• Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Michael McAleer & Teodosio Pérez-Amaral, 2015, "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-056/III, May.
• Siem Jan Koopman & Rutger Lit & Andre Lucas, 2015, "Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-076/IV/DSF94, Jul.
• Chia-Lin Chang & Yiying Li & Michael McAleer, 2015, "Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-077/III, Jul.
• Francine Gresnigt & Erik Kole & Philip Hans Franses, 2015, "Specification Testing in Hawkes Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-086/III, Jul.
• Cars Hommes & Daan in't Veld, 2015, "Booms, Busts and Behavioural Heterogeneity in Stock Prices," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-088/II, Jul.
• David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2015, "Multivariate Volatility Impulse Response Analysis of GFC News Events," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-089/III, Jul.
• Didier Nibbering & Richard Paap & Michel van der Wel, 2015, "What Do Professional Forecasters Actually Predict?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-095/III, Aug, revised 13 Oct 2017.
• Norbert Christopeit & Michael Massmann, 2015, "Estimating Structural Parameters in Regression Models with Adaptive Learning," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-106/III, Sep.
• Michael McAleer, 2015, "The Fundamental Equation in Tourism Finance," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-129/III, Nov.
• Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger, 2015, "A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model”," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-131/III, Dec.
• Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Michel McAleer & Teodosio Pérez-Amaral, 2015, "Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-133/III, Dec.
• Drew Creal & Siem Jan Koopman & André Lucas & Marcin Zamojski, 2015, "Generalized Autoregressive Method of Moments," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-138/III, Dec, revised 06 Jul 2018.
• Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk, 2015, "Forecasting Value-at-Risk under Temporal and Portfolio Aggregation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-140/III, Jan, revised 19 Apr 2017.
• Cizek, P. & Jacobs, J. & Ligthart, J.E. & Vrijburg, H., 2015, "GMM Estimation of Fixed Effects Dynamic Panel Data Models with Spatial Lag and Spatial Errors (Revised version of CentER DP 2011-134)," Discussion Paper, Tilburg University, Center for Economic Research, number 2015-003.
• Yongchen Zhao, 2015, "Robustness of Forecast Combination in Unstable Environment: A Monte Carlo Study of Advanced Algorithms," Working Papers, Towson University, Department of Economics, number 2015-04, Dec, revised Mar 2020.
• Timothy Cogley & Thomas J. Sargent, 2015, "Measuring Price-Level Uncertainty and Instability in the United States, 1850–2012," The Review of Economics and Statistics, MIT Press, volume 97, issue 4, pages 827-838, October.
• Josh R. Stillwagon, 2015, "TIPS and the VIX: Non-linear Spillovers from Financial Panic to Breakeven Inflation," Working Papers, Trinity College, Department of Economics, number 1502, Feb.
• Steven Yee & Miguel Ramirez, 2015, "Purchasing Power Parity: A Time Series Analysis of the U.S. and Mexico, 1995 - 2007," Working Papers, Trinity College, Department of Economics, number 1508, Sep.
• Alexander Beames & Michael Kouparitsas, 2015, "Modelling Australia’s imports of goods and services," Treasury Working Papers, The Treasury, Australian Government, number 2015-02, Jun, revised Jun 2015.
• Jeffrey Cohen & Yannis M. Ioannides & Win (Wirathip) Thanapisitikul, 2015, "Spatial Effects and House Price Dynamics in the U.S.A," Discussion Papers Series, Department of Economics, Tufts University, Department of Economics, Tufts University, number 0809.
• Fabio C. Bagliano & Claudio Morana, 2015, "It ain't over till it's over: A global perspective on the Great Moderation-Great Recession interconnection," Working papers, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino, number 031, Jul.
• Tomás del Barrio Castro & Paulo M. M. Rodrigues & A. M. Robert Taylor, 2015, "Semi-Parametric Seasonal Unit Root Tests," DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada, number 72.
• Tomás del Barrio Castro & Andrii Bodnar & Andreu Sansó Rosselló, 2015, "Numerical Distribution Functions for Seasonal Unit Root Tests with OLS and GLS Detrending," DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada, number 73.
• Andrés Fernández Díaz, 2015, "Chaos and Fractal Impact on Economics
  [El impacto en la ciencia económica de la teoría del caos y de los fractales: Teoría y aplicaciones]," Documentos de trabajo de la Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, number 15-02, Feb.
• Guillaume Gaetan Martinet & Michael McAleer, 2015, "On the Invertibility of EGARCH(p,q)," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2015-03, Feb.
• Shiqing Ling & Michael McAleer & Howell Tong, 2015, "Frontiers in Time Series and Financial Econometrics: An Overview," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2015-04, Feb.
• Alfredo García Hiernaux & David Esteban Guerrero Burbano, 2015, "Price-Level Convergence in the Eurozone," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2015-05, May.
• Chia-Lin Chang & Yiying Li & Michael McAleer, 2015, "Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2015-08, Jun.
• David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2015, "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 2015-10, Jul.
• Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Michael McAleer & Teodosio Pérez-Amaral, 2015, "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2015-16, Nov.
• Alfredo Garcia Hiernaux & David Esteban Guerrero Burbano & Michael McAleer, 2015, "Market Integration Dynamics and Asymptotic Price Convergence in Distribution," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2015-18, Nov.
• Stelios D. Bekiros & Rangan Gupta & Alessia Paccagnini, 2015, "Oil price forecastability and economic uncertainty," Open Access publications, School of Economics, University College Dublin, number 10197/7345, Jul.
• Pedro Isaac Chavez-Lopez & Tae-Hwy Lee, 2015, "Quantile-Covariance Three-Pass Regression Filter," Working Papers, University of California at Riverside, Department of Economics, number 202513, Oct.
• Tae-Hwy Lee & Saerom Lee, 2015, "Solving the Forecast Combination Puzzle," Working Papers, University of California at Riverside, Department of Economics, number 202514, Oct.
• Riadh Aloui & Rangan Gupta & Stephen M. Miller, 2015, "Uncertainty and crude oil returns," Working papers, University of Connecticut, Department of Economics, number 2015-03, Apr.
• David Berger & Ricardo Caballero & Eduardo Engel, 2015, "Missing Aggregate Dynamics: On the Slow Convergence of Lumpy Adjustment Models," Working Papers, University of Chile, Department of Economics, number wp412, Nov.
• Davide Delle Monache & Stefano Grassi & Paolo Santucci, 2015, "Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach," Studies in Economics, School of Economics, University of Kent, number 1511, Jul.
• Juan Carlos Guevara Guevara, 2015, "Bi-directional Causality between Firm and Household Credit: The Eurozone and Venezuelan cases," Economía, Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela, volume 40, issue 39, pages 73-118, January-J.
• Helmi Hamdi & Ali Said & Rashid Sbia, 2015, "Empirical evidence on the long-run money demand function in the gulf cooperation council countries," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/199937.
• Tapas Mishra & Claude Diebolt & Mamata Parhi, 2015, "Stochastic Economic Growth and Volatile Population Dynamics: Past Imperfect and Future Tense," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2015-06.
• Claude Diebolt, 2015, "Comment appréhender les temporalités de l’histoire économique ? Plaidoyer pour une cliométrie des événements rares," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2015-12.
• Claude Diebolt & Tapas Mishra & Faustine Perrin, 2015, "Did Gender-Bias Matter in the Quantity- Quality Trade-off in the 19th Century France ?," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2015-28.
• Hecq, A.W. & Lieb, L.M. & Telg, J.M.A., 2015, "Identification of Mixed Causal-Noncausal Models : How Fat Should We Go?," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 035, Jan, DOI: 10.26481/umagsb.2015035.
• Luciano Stefanini, 2015, "Quantile and expectile smoothing by F-transform," Working Papers, University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini, number 1512, revised 2015.
• Aslanidis, Nektarios & Christiansen, Charlotte & Savva, Christos S., 2015, "Risk-Return Trade-Off for European Stock Markets," Working Papers, Universitat Rovira i Virgili, Department of Economics, number 2072/246967.
• Buncic, Daniel & Gisler, Katja I. M., 2015, "Global Equity Market Volatility Spillovers: A Broader Role for the United States," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1508, Mar.
• Yamin Ahmad & Olena Mykhaylova, 2015, "Exploring International Differences in Inflation Dynamics," Working Papers, UW-Whitewater, Department of Economics, number 15-01, Jul, revised Mar 2017.
• Marcos Alvarez-Díaz & Mª Soledad Otero-Giraldez & Manuel González-Gómez, 2015, "La Modelización de la Demanda de Turismo de Economías Emergentes: El caso de la Llegada de Turistas Rusos a España," Working Papers, Universidade de Vigo, Departamento de Economía Aplicada, number 1503, Jun.
• ZEREN, Feyyaz & ERGÜZEL, Oylum Şehvez, 2015, "Testing For Bubbles In The Housing Market: Further Evidence From Turkey," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 19, issue 1, pages 40-52.
• Philip Arestis & Ana Rosa González-Martínez, 2015, "Is Job Insecurity a Driver of the Housing Cycle? Some Evidence in the Spanish Case," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 62, issue 1, pages 1-14.
• Tzu-Yi Yang & Yu-Tai Yang, 2015, "A Study on the Asymmetry of the News Aspect of the Stock Market: Evidence from Three Institutional Investors in the Taiwan Stock Market," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 62, issue 3, pages 361-383.
• Fumitaka Furuoka, 2015, "Unemployment Hysteresis in the “Nordic Kitten”: Evidence from Five Estonian Regions," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 62, issue 5, pages 631-642.
• Tseng Shoiw-Mei, 2015, "Poland’s Trade with East Asia: An Outlier Approach," Folia Oeconomica Stetinensia, Sciendo, volume 15, issue 2, pages 81-100, December, DOI: 10.1515/foli-2015-0037.
• Pasca Lucian, 2015, "A Critical Review of the Main Approaches on Financial Market Dynamics Modelling," Journal of Heterodox Economics, Sciendo, volume 2, issue 2, pages 151-167, December, DOI: 10.1515/jheec-2015-0017.
• Gupta Kapil & Kaur Mandeep, 2015, "Impact Of Financial Crisis On Hedging Effectiveness Of Futures Contracts: Evidence From The National Stock Exchange Of India," South East European Journal of Economics and Business, Sciendo, volume 10, issue 2, pages 69-88, December, DOI: 10.1515/jeb-2015-0009.
• Antonio Montanes & Lorena Olmos & Marcelo Reyes, 2015, "Convergence in Spanish provinces," ERSA conference papers, European Regional Science Association, number ersa15p1188, Oct.
• Igor L. Kheifets, 2015, "Specification tests for nonlinear dynamic models," Econometrics Journal, Royal Economic Society, volume 18, issue 1, pages 67-94, February.
• Wei‐Ming Lee & Yu‐Chin Hsu & Chung‐Ming Kuan, 2015, "Robust hypothesis tests for M‐estimators with possibly non‐differentiable estimating functions," Econometrics Journal, Royal Economic Society, volume 18, issue 1, pages 95-116, February.
• Kaddour Hadri & Eiji Kurozumi & Yao Rao, 2015, "Novel panel cointegration tests emending for cross‐section dependence with N fixed," Econometrics Journal, Royal Economic Society, volume 18, issue 3, pages 363-411, October.
• Eiji Kurozumi & Yohei Yamamoto, 2015, "Confidence sets for the break date based on optimal tests," Econometrics Journal, Royal Economic Society, volume 18, issue 3, pages 412-435, October.
• Peter C. B. Phillips & Shuping Shi & Jun Yu, 2015, "Testing For Multiple Bubbles: Historical Episodes Of Exuberance And Collapse In The S&P 500," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 56, issue 4, pages 1043-1078, November, DOI: 10.1111/iere.12132.
• Peter C. B. Phillips & Shuping Shi & Jun Yu, 2015, "Testing For Multiple Bubbles: Limit Theory Of Real‐Time Detectors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 56, issue 4, pages 1079-1134, November, DOI: 10.1111/iere.12131.
• André K. Anundsen, 2015, "Econometric Regime Shifts and the US Subprime Bubble," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 30, issue 1, pages 145-169, January.
• Michael Berlemann & Sören Enkelmann & Torben Kuhlenkasper, 2015, "Unraveling the Relationship Between Presidential Approval and the Economy: A Multidimensional Semiparametric Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 30, issue 3, pages 468-486, April.
• Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen V.K. Rombouts, 2015, "The Contribution of Structural Break Models to Forecasting Macroeconomic Series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 30, issue 4, pages 596-620, June.
• Efrem Castelnuovo & Luca Fanelli, 2015, "Monetary Policy Indeterminacy and Identification Failures in the U.S.: Results from A Robust Test," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 30, issue 6, pages 924-947, September.
• Constantino Hevia & Martin Gonzalez‐Rozada & Martin Sola & Fabio Spagnolo, 2015, "Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic Nelson and Siegel Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 30, issue 6, pages 987-1009, September.
• Maximo Camacho & Gabriel Perez‐Quiros & Pilar Poncela, 2015, "Extracting Nonlinear Signals from Several Economic Indicators," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 30, issue 7, pages 1073-1089, November.
• Hector Carcel & Luis A. Gil-Alana & Godfrey Madigu, 2015, "Inflation Convergence in the East African Community: A Fractional Integration and Cointegration Study," Global Economy Journal (GEJ), World Scientific Publishing Co. Pte. Ltd., volume 15, issue 4, pages 507-524, December, DOI: 10.1515/GEJ-2015-0002.
• Belén Nieto & Alfonso Novales & Gonzalo Rubio, 2015, "Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 04, pages 1-41, December, DOI: 10.1142/S2010139215500214.
• Chor Foon Tang & Eu Chye Tan, 2015, "The Relative Contributions Of Domestic And Foreign Direct Investments And Exports To Malaysia'S Economic Growth," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 60, issue 02, pages 1-20, DOI: 10.1142/S0217590815500113.
• Tolga Omay & Nicholas Apergis & Hülya Özçelebi, 2015, "Energy Consumption And Growth: New Evidence From A Non-Linear Panel And A Sample Of Developing Countries," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 60, issue 02, pages 1-30, DOI: 10.1142/S0217590815500186.
• Zeynel Abidin Ozdemir & Cagdas Ekinci & Korhan Gokmenoglu, 2015, "International Evidence On Real Interest Rate Persistence," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 60, issue 04, pages 1-14, DOI: 10.1142/S0217590815500873.
• Joscha Beckmann & Ansgar Belke & Christian Dreger, 2015, "The relevance of international spillovers and asymmetric effects in the Taylor rule," FIW Working Paper series, FIW, number 140, Jan.
• Bidong Liu & Jakub Nowotarski & Tao Hong & Rafal Weron, 2015, "Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/15/01, Feb.
• Bidong Liu & Jiali Liu & Tao Hong, 2015, "Sister models for load forecast combination," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/15/02, Feb.
• Jakub Nowotarski & Bidong Liu & Rafal Weron & Tao Hong, 2015, "Improving short term load forecast accuracy via combining sister forecasts," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/15/05, May.
• Katarzyna Maciejowska & Jakub Nowotarski, 2015, "A hybrid model for GEFCom2014 probabilistic electricity price forecasting," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/15/06, May.
• Pu Wang & Bidong Liu & Tao Hong, 2015, "Electric load forecasting with recency effect: A big data approach," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/15/08, Oct.
• Ha-Hyun Jo & Yi Seul Eom, 2015, "The Empirical Study on the CDM projects in Korea: with PDD data of 2005¡­2015," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2015rwp-80, Jun.
• Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015, "Semiparametric Model Averaging of Ultra-High Dimensional Time Series," Discussion Papers, Department of Economics, University of York, number 15/18, Oct.
• Josip Tica, 2015, "Unit Root Test Results Table Creator," EFZG Department of Macroeconomics Software Series, Faculty of Economics and Business, University of Zagreb, number 15-01, revised .
• Stolbov, Mikhail, 2015, "Causality between credit depth and economic growth: Evidence from 24 OECD countries," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 15/2015.
• Dreger, Christian & Fidrmuc, Jarko & Kholodilin, Konstantin & Ulbricht, Dirk, 2015, "The Ruble between the hammer and the anvil: Oil prices and economic sanctions," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 25/2015.
• Laakkonen, Helinä, 2015, "Relevance of uncertainty on the volatility and trading volume in the US Treasury bond futures market," Bank of Finland Research Discussion Papers, Bank of Finland, number 4/2015.
• Strohsal, Till & Proaño, Christian R. & Wolters, Jürgen, 2015, "Characterizing the financial cycle: Evidence from a frequency domain analysis," Discussion Papers, Deutsche Bundesbank, number 22/2015.
• Grundke, Peter & Pliszka, Kamil, 2015, "A macroeconomic reverse stress test," Discussion Papers, Deutsche Bundesbank, number 30/2015.
• Vasilev, Aleksandar, 2015, "New Keynesian Phillips Curve Estimation: The Case of Hungary (1981–2006)," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 13, issue 4, pages 355-367.
• Darko, Christian Kwasi, 2015, "Determinants of Economic Growth in Ghana," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 123098, Nov.
• Brunhart, Andreas, 2015, "The Swiss business cycle and the lead of small neighbor Liechtenstein," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 130154, DOI: 10.13091/li-ap-51.
• Vasilev, Aleksandar, 2015, "New Keynesian Phillips Curve Estimation: The Case of Hungary /1981-2006/," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 142472.
• Lux, Thomas & Segnon, Mawuli & Gupta, Rangan, 2015, "Modeling and forecasting crude oil price volatility: Evidence from historical and recent data," FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, number 31.
• Ghonghadze, Jaba & Lux, Thomas, 2015, "Bringing an elementary agent-based model to the data: Estimation via GMM and an application to forecasting of asset price volatility," FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, number 38.
• Barunik, Jozef & Barunikova, Michaela, 2015, "Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression," FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, number 43.
• Bartzsch, Nikolaus & Seitz, Franz, 2015, "Cash holdings in Germany and the demand for "German" banknotes: What role for cashless payments?," Weidener Diskussionspapiere, University of Applied Sciences Amberg-Weiden (OTH), number 51.
• Marczak, Martyna & Beissinger, Thomas, 2015, "Bidirectional relationship between investor sentiment and excess returns: New evidence from the wavelet perspective," Hohenheim Discussion Papers in Business, Economics and Social Sciences, University of Hohenheim, Faculty of Business, Economics and Social Sciences, number 06-2015.
• Senay, Acikgöz & Mert, Merter, 2015, "The endogeneity of the natural rate of growth: An alternative approach," Economics Discussion Papers, Kiel Institute for the World Economy, number 2015-2.
• Reed, W. Robert, 2015, "Testing for unit roots with cointegrated data," Economics Discussion Papers, Kiel Institute for the World Economy, number 2015-57.
• Han, Heejoon & Kutan, Ali M. & Ryu, Doojin, 2015, "Modeling and predicting the market volatility index: The case of VKOSPI," Economics Discussion Papers, Kiel Institute for the World Economy, number 2015-7.
• Han, Heejoon & Kutan, Ali M. & Ryu, Doojin, 2015, "Effects of the US stock market return and volatility on the VKOSPI," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 9, pages 1-34, DOI: 10.5018/economics-ejournal.ja.2015-.
• Samoilova, Evgenia & Vance, Colin, 2015, "Does parenthood make happy people happier? A lifecycle analysis using panel quantile regression," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 563, DOI: 10.4419/86788649.
• Donadelli, Michael & Paradiso, Antonio & Riedel, Max, 2015, "A novel ex-ante leading indicator for the EU industrial production," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 118, DOI: 10.2139/ssrn.2694608.
• Melnick, Rafi & Strohsal, Till, 2015, "From galloping inflation to price stability in steps: Israel 1985-2013," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2015-009.
• Strohsal, Till & Proaño Acosta, Christian & Wolters, Jürgen, 2015, "Characterizing the financial cycle: Evidence from a frequency domain analysis," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2015-021.
• Strohsal, Till & Proaño Acosta, Christian & Wolters, Jürgen, 2015, "How do financial cycles interact? Evidence from the US and the UK," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2015-024.
• Shen, Zhiwei & Ritter, Matthias, 2015, "Forecasting volatility of wind power production," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2015-026.
• Strohsal, Till & Melnick, Rafi & Nautz, Dieter, 2015, "The time-varying degree of inflation expectations anchoring," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2015-028.
• Pagenhardt, Laura & Nautz, Dieter & Strohsal, Till, 2015, "The (de-)anchoring of inflation expectations: New evidence from the Euro area," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2015-044.
• Kruse, Yves Robinson & Kaufmann, Hendrik, 2015, "Bias-corrected estimation in mildly explosive autoregressions," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association, number 112897.
• Esteves, Paulo & Bobeica, Eleina & Rua, Antonio & Staehr, Karsten, 2015, "Exports and domestic demand pressure: a dynamic panel data model for the euro area countries," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association, number 113067.
• Herwartz, Helmut, 2015, "Are GARCH innovations independent - a long term assessment for the S&P 500," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association, number 113109.
• Marczak, Martyna & Proietti, Tommaso, 2015, "Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association, number 113137.
• Strohsal, Till & Proaño, Christian R. & Wolters, Jürgen, 2015, "Characterizing the Financial Cycle: Evidence from a Frequency Domain Analysis," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association, number 113143.
• Demetrescu, Matei & Kruse, Robinson, 2015, "Testing heteroskedastic time series for normality," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association, number 113221.
• Belke, Ansgar & Oeking, Anne & Setzer, Ralph, 2015, "Exports and Capacity Constraints: Evidence for Several Euro Area Countries," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association, number 113228.
• Schober, Dominik & Woll, Oliver, 2015, "Disentangling irregular cycles in economic time series," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 15-067.
• Firouz Fallahi & Marcel-Cristian Voia, 2015, "Convergence and persistence in per capita energy use among OECD countries: Revisited using confidence intervals," Post-Print, HAL, number hal-04926589, Dec, DOI: 10.1016/j.eneco.2015.10.004.
• J. Stephen Ferris & Marcel Voia, 2015, "The effect of federal government size on private economic performance in Canada: 1870–2011," Post-Print, HAL, number hal-04926591, Sep, DOI: 10.1016/j.econmod.2015.04.006.
• Ali Ahmad & Christian Francq, 2015, "Poisson QMLE of Count Time Series Models," Post-Print, HAL, number hal-05417334, Nov, DOI: 10.1111/jtsa.12167.
• Christian Francq & Simos Meintanis, 2015, "Fourier-type estimation of the power GARCH model with stable-Paretian innovations," Post-Print, HAL, number hal-05417341, Sep, DOI: 10.1007/s00184-015-0560-x.
• Mohamed El Ghourabi & Christian Francq & Fedya Telmoudi, 2015, "Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified," Post-Print, HAL, number hal-05417346, May, DOI: 10.1111/jtsa.12136.
• Christian Francq & Jean-Michel Zakoïan, 2015, "Risk-parameter estimation in volatility models," Post-Print, HAL, number hal-05417474, Jan, DOI: 10.1016/j.jeconom.2014.06.019.
• Stéphane Auray & Aurélien Eyquem & Frédéric Jouneau-Sion, 2016, "Climatic Conditions and Productivity: An Impact Evaluation in Pre-industrial England," Post-Print, HAL, number halshs-01096335.
• Geert Dhaene & Koen Jochmans, 2015, "Split-panel jackknife estimation of fixed-effect models," Sciences Po Economics Publications (main), HAL, number hal-03392997, Feb, DOI: 10.1093/restud/rdv007.
• Fredj Jawadi & Georges Prat, 2015, "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," Working Papers, HAL, number hal-04141411.
• Anne Péguin-Feissolle & Bilel Sanhaji, 2015, "Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix)," Working Papers, HAL, number halshs-01133751, Mar.
• Michaël Goujon & Olivier Santoni & Sosso Feindouno, 2015, "Tendances et chocs climatiques à La Réunion : utilisation de la base CRU TS version 3.21," Working Papers, HAL, number halshs-01150853, May.
• Rinke, Saskia & Sibbertsen, Philipp, 2015, "Information Criteria for Nonlinear Time Series Models," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-548, Mar.
• Grote, Claudia & Bertram, Philip, 2015, "A comparative Study of Volatility Breaks," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-558, Jun.
• Bertram, Philip & Ma, Jun & Sibbertsen, Philipp, 2015, "Real exchange rates and economic fundamentals: An investigation based on a Markov-STAR model," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-565, Sep.
• Yamin Ahmad & Olena Mykhaylova, 2015, "Exploring International Differences in Inflation Dynamics," Working Papers, College of the Holy Cross, Department of Economics, number 1509, Sep.
• Ingrid Groessl & Artur Tarassow, 2015, "A Microfounded Model of Money Demand Under Uncertainty, and some Empirical Evidence," Macroeconomics and Finance Series, University of Hamburg, Department of Socioeconomics, number 201504, May, revised Jan 2018.
• Diebolt, Claude & Mishra, Tapas & Perrin, Faustine, 2015, "Did Gender-Bias Matter in the Quantity-Quality Trade-off in 19th Century France?," Lund Papers in Economic History, Lund University, Department of Economic History, number 141, Dec.
• Hansen, Bjørn Gunnar & Li, Yushu, 2015, "Future world market prices of milk and feed looking into the crystal ball," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2015/17, Apr.
• Mantalos, Panagiotis, 2015, "Greek Debt Crisis “An Introduction to the Economic Effects of Austerity”," Working Papers, Örebro University, School of Business, number 2015:4, Apr.
• Mantalos, Panagiotis, 2015, "Greek Debt Crisis: The “@-euro” a New Possible Solution to Greek Debt Crisis," Working Papers, Örebro University, School of Business, number 2015:5, Apr.
• Anundsen, Andre K. & Nymoen, Ragnar, 2015, "Did US consumers `save for a rainy day' before the Great Recession?," Memorandum, Oslo University, Department of Economics, number 11/2015, May.
• Brännäs, Kurt & Machava, Agostinho, 2015, "Time Series Modelling of Daily Metical/Rand Exchange Rate Returns, 1996-2014," Umeå Economic Studies, Umeå University, Department of Economics, number 909, May.
• KUROZUMI, Eiji & 黒住, 英司 & YAMAMOTO, Yohei & 山本, 庸平, 2015, "Confidence Sets for the Break Date Based on Optimal Tests," Discussion Papers, Graduate School of Economics, Hitotsubashi University, number 2015-01, Jan.
• Ishihara, Tsunehiro & Watanabe, Toshiaki, 2015, "Econometric Analysis of Business Cycles: A Survey with the Application to the Composite Index in Japan," Economic Review, Hitotsubashi University, volume 66, issue 2, pages 145-168, April, DOI: 10.15057/27510.
• Huang, Yu-Lieh & Huang, Chao-Hsi, 2015, "Uncertain Effects Of Shocks Vs. Uncertain Unit Root: An Alternative View Of U.S. Real Gdp," Hitotsubashi Journal of Economics, Hitotsubashi University, volume 56, issue 1, pages 117-134, June, DOI: 10.15057/27191.
• Tao Cai & Vinh Q. T. Dang & Jennifer T. Lai, 2015, "China's Capital and "Hot" Money Flows: An Empirical Investigation," Working Papers, Hong Kong Institute for Monetary Research, number 162015, Jul.
• Marcos Alvarez Diaz & Gonzalo Caballero Miguez & Baltasar Manzano González & José M. Martín Moreno, 2015, "Assessment of Political Situation over the Business Cycle in Spain: A Time Series Analysis," Hacienda Pública Española / Review of Public Economics, IEF, volume 213, issue 2, pages 41-62, June.
• Maachi SOFIANE & Zairi BELKACEM, 2015, "The Impact of Public Spending on Imports in Algeria:Econometric Study between the Period 1990 – 2012," Hyperion Economic Journal, Faculty of Economic Sciences, Hyperion University of Bucharest, Romania, volume 3, issue 1, pages 44-55, March.