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

• Kim, Hyeongwoo & Ryu, Deockhyun, 2015, "A nonparametric study of real exchange rate persistence over a century," International Review of Economics & Finance, Elsevier, volume 37, issue C, pages 406-418, DOI: 10.1016/j.iref.2015.01.003.
• Arize, Augustine C. & Malindretos, John & Ghosh, Dilip, 2015, "Purchasing power parity-symmetry and proportionality: Evidence from 116 countries," International Review of Economics & Finance, Elsevier, volume 37, issue C, pages 69-85, DOI: 10.1016/j.iref.2014.11.014.
• Chen, Shyh-Wei & Xie, Zixiong, 2015, "Testing for current account sustainability under assumptions of smooth break and nonlinearity," International Review of Economics & Finance, Elsevier, volume 38, issue C, pages 142-156, DOI: 10.1016/j.iref.2015.02.015.
• Wu, Shue-Jen & Lee, Wei-Ming, 2015, "Intertemporal risk–return relationships in bull and bear markets," International Review of Economics & Finance, Elsevier, volume 38, issue C, pages 308-325, DOI: 10.1016/j.iref.2015.03.008.
• Nath, Harmindar B. & Brooks, Robert D., 2015, "Assessing the idiosyncratic risk and stock returns relation in heteroskedasticity corrected predictive models using quantile regression," International Review of Economics & Finance, Elsevier, volume 38, issue C, pages 94-111, DOI: 10.1016/j.iref.2014.12.012.
• Sin, Chor-yiu (CY), 2015, "The economic fundamental and economic policy uncertainty of Mainland China and their impacts on Taiwan and Hong Kong," International Review of Economics & Finance, Elsevier, volume 40, issue C, pages 298-311, DOI: 10.1016/j.iref.2015.02.026.
• Swanson, Norman R. & Urbach, Richard, 2015, "Prediction and simulation using simple models characterized by nonstationarity and seasonality," International Review of Economics & Finance, Elsevier, volume 40, issue C, pages 312-323, DOI: 10.1016/j.iref.2015.02.027.
• Caporin, Massimiliano & Velo, Gabriel G., 2015, "Realized range volatility forecasting: Dynamic features and predictive variables," International Review of Economics & Finance, Elsevier, volume 40, issue C, pages 98-112, DOI: 10.1016/j.iref.2015.02.021.
• Vortelinos, Dimitrios I., 2015, "Out-of-sample evaluation of macro announcements, linearity, long memory, heterogeneity and jumps in mini-futures markets," Review of Financial Economics, Elsevier, volume 27, issue C, pages 58-67, DOI: 10.1016/j.rfe.2015.09.001.
• Xie, Zixiong & Chen, Shyh-Wei, 2015, "Are there periodically collapsing bubbles in the REIT markets? New evidence from the US," Research in International Business and Finance, Elsevier, volume 33, issue C, pages 17-31, DOI: 10.1016/j.ribaf.2014.06.003.
• Schalck, Christophe & Chenavaz, Régis, 2015, "Oil commodity returns and macroeconomic factors: A time-varying approach," Research in International Business and Finance, Elsevier, volume 33, issue C, pages 290-303, DOI: 10.1016/j.ribaf.2014.05.002.
• Smales, Lee A., 2015, "Better the devil you know: The influence of political incumbency on Australian financial market uncertainty," Research in International Business and Finance, Elsevier, volume 33, issue C, pages 59-74, DOI: 10.1016/j.ribaf.2014.06.002.
• Ladislav Kristoufek & Karel Janda & David Zilberman, 2015, "Co-movements of Ethanol Related Prices: Evidence from Brazil and the USA," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2015-11, Apr.
• Barend Abeln & Jan P.A.M. Jacobs, 2015, "Seasonal adjustment with and without revisions: A comparison of X-13ARIMA-SEATS and CAMPLET," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2015-25, Jul.
• Malkhozov, Aytek & Tamoni, Andrea, 2015, "News shocks and asset prices," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 62004, Mar.
• S Coleman & K Sirichand, 2015, "Investigating Multiple Changes in Persistence in International Yields," Economic Issues Journal Articles, Economic Issues, volume 20, issue 1, pages 65-90, March.
• Panayotis G. Michaelides & John G. Milios & Konstantinos N. Konstantakis & Panayiotis Tarnaras, 2015, "Quantity-of-money fluctuations and economic instability: empirical evidence for the USA (1958–2006)," European Journal of Economics and Economic Policies: Intervention, Edward Elgar Publishing, volume 12, issue 3, pages 277—299-2, December.
• Ricardo Azevedo Araujo & Joanílio Rodolpho Teixeira & Cristiane Soares, 2015, "Export-led growth vs growth-led exports: what matters for the Brazilian growth experience after trade liberalization?," Review of Keynesian Economics, Edward Elgar Publishing, volume 3, issue 1, pages 108-128, January.
• John W. Keating & Isaac K. Kanyama, 2015, "Is sticky price adjustment important for output fluctuations?," Review of Keynesian Economics, Edward Elgar Publishing, volume 3, issue 3, pages 392-418, July.
• Wasim Ahmad & Sanjay Sehgal, 2015, "Regime shifts and volatility in BRIICKS stock markets: an asset allocation perspective," International Journal of Emerging Markets, Emerald Group Publishing Limited, volume 10, issue 3, pages 383-408, July, DOI: 10.1108/IJoEM-02-2013-0022.
• Nuruzzaman Arsyad, 2015, "Integration between East and Southeast Asian equity markets," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 7, issue 2, pages 104-121, May, DOI: 10.1108/JFEP-02-2014-0012.
• Angela J. Black & David G. McMillan & Fiona J. McMillan, 2015, "Cointegration between stock prices, dividends, output and consumption," Review of Accounting and Finance, Emerald Group Publishing Limited, volume 14, issue 1, pages 81-103, February, DOI: 10.1108/RAF-09-2013-0103.
• Ling, S. & McAleer, M.J. & Tong, H., 2015, "Frontiers in Time Series and Financial Econometrics," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2015-07, Feb.
• Martinet, G.G. & McAleer, M.J., 2015, "On the Invertibility of EGARCH(p,q)," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2015-12, Feb.
• Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2015, "A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2015-14, May.
• Chang, C-L. & Li, Y. & McAleer, M.J., 2015, "Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2015-18, Jun.
• de Bruijn, L.P. & Franses, Ph.H.B.F., 2015, "Stochastic levels and duration dependence in US unemployment," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2015-20, Sep.
• Allen, D.E. & McAleer, M.J. & Powell, R.J. & Singh, A.K., 2015, "Multivariate Volatility Impulse Response Analysis of GFC News Events," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2015-22, Jul.
• García-Hiernaux, A. & Guerrero, D.E. & McAleer, M.J., 2015, "Market Integration Dynamics and Asymptotic Price Convergence in Distribution," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2015-30, Oct.
• McAleer, M.J., 2015, "The Fundamental Equation in Tourism Finance," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2015-35, Nov.
• Chang, C-L. & Jiménez-Martín, J.A. & Maasoumi, E. & McAleer, M.J., 2015, "Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2015-38, Dec.
• Mehmet Balcilar & Rangan Gupta & Nico Frederick Katzke, 2015, "Identifying Periods of US Housing Market Explosivity," Working Papers, Eastern Mediterranean University, Department of Economics, number 15-03.
• Mehmet Balcilar & Rangan Gupta & Charl Jooste & Omid Ranjbar, 2015, "Characterising the South African Business Cycle: Is GDP Difference-Stationary or Trend-Stationary in a Markov-Switching Setup?," Working Papers, Eastern Mediterranean University, Department of Economics, number 15-04.
• Franz Ruch & Mehmet Balcilar Author-Name-First Mehmet & Mampho P. Modise & Rangan Gupta, 2015, "Forecasting Core Inflation: The Case of South Africa," Working Papers, Eastern Mediterranean University, Department of Economics, number 15-08.
• Beckmann, Joscha & Belke, Ansgar & Dreger, Christian, 2015, "The Relevance of International Spillovers and Asymmetric Effects in the Taylor Rule," CEPS Papers, Centre for European Policy Studies, number 10029, Feb.
• Mehmet Balcilar & Zeynel Abidin Ozdemir & Esin Cakan, 2015, "Structural Breaks, Long Memory, or Unit Roots in Stock Prices: Evidence from Emerging Markets," International Econometric Review (IER), Economic Research Association, volume 7, issue 1, pages 13-33, April.
• Kushal Banik Chowdhury & Nityananda Sarkar, 2015, "The Effect of Inflation on Inflation Uncertainty in the G7 Countries: A Double Threshold GARCH Model," International Econometric Review (IER), Economic Research Association, volume 7, issue 1, pages 34-50, April.
• Saang Joon Baak, 2015, "Is the Yen Undervalued?," Discussion papers, ERINA - Economic Research Institute for Northeast Asia, number 1503e, Oct.
• Lekha Chakraborty & Kushagra Om Varma, 2015, "Efficacy of New Monetary Framework and Determining Inflation in India: An Empirical Analysis of Financially Deregulated Regime," Working Papers, eSocialSciences, number id:7336, Aug.
• Pami Dua & Divya Tuteja, 2015, "Global Recession and Eurozone Debt Crisis: Impact on Exports of China and India," Working Papers, eSocialSciences, number id:7386, Sep.
• Vinod Thomas & Ramón López, 2015, "Global Increase in Climate-Related Disasters," Working Papers, eSocialSciences, number id:7796, Nov.
• Vinod Thomas & Ramón López, 2015, "Global Increase in Climate - Related Disasters," Working Papers, eSocialSciences, number id:7876, Dec.
• Del Barrio Castro, T & Rodrigues, PMM & Taylor, AMR, 2015, "Semi-Parametric Seasonal Unit Root Tests," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 16807, Nov.
• Pavel Ciaian & d'Artis Kancs & Giuseppe Pirolix & Miroslava Rajcaniova, 2015, "From a rise in B to a fall in C? SVAR analysis of environmental impact of biofuels," Working Papers of LICOS - Centre for Institutions and Economic Performance, KU Leuven, Faculty of Economics and Business (FEB), LICOS - Centre for Institutions and Economic Performance, number 516223, Jun.
• Elitania Leyva Rayón, 2015, "Modelo multifactor para analizar la exposición de los hedge funds a factores de riesgo macroeconómico," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, volume 42, issue 1, pages 9-44, Enero-Jun, DOI: 10.24275/ETYPUAM/NE/422015/Leyva.
• Tatiana Damjanovic & Sarunas Girdenas & Keqing Liu, 2015, "Stationarity of Econometric Learning with Bounded Memory and a Predicted State Variable," Discussion Papers, University of Exeter, Department of Economics, number 1502.
• Krzysztof DRACHAL, 2015, "The Structural Stability of a One-Day Risk Premium in View of the Recent Financial Crisis," Expert Journal of Economics, Sprint Investify, volume 3, issue 2, pages 136-142.
• Naci Bayrac & Emrah Dogan, 2015, "Türkiye’de Enerji Tüketiminin Ekonomik Büyüme Üzerindeki Etkileri: Markov Switching Yaklaşımı," EY International Congress on Economics II (EYC2015), November 5-6, 2015, Ankara, Turkey, Ekonomik Yaklasim Association, number 10.
• Ünal Töngür & Adem Yavuz Elveren, 2015, "The Nexus of Economic Growth, Military Expenditures and Income Inequality," EY International Congress on Economics II (EYC2015), November 5-6, 2015, Ankara, Turkey, Ekonomik Yaklasim Association, number 208.
• Nihat Işık & Efe Can Kılınç & Özgür Engeloğlu, 2015, "Kredi Arz Şoklarının Reel Ekonomi Üzerindeki Etkisi: Türkiye Üzerine Bir Uygulama," EY International Congress on Economics II (EYC2015), November 5-6, 2015, Ankara, Turkey, Ekonomik Yaklasim Association, number 230.
• Kurmaş Akdoğan, 2015, "Unemployment Hysteresis and Structural Change in Europe," EY International Congress on Economics II (EYC2015), November 5-6, 2015, Ankara, Turkey, Ekonomik Yaklasim Association, number 266.
• Büşra Akın & Kübra Önder, 2015, "Türkiye İmalat Sanayi Alt Sektörleri İhracat Talep Fonksiyonu," EY International Congress on Economics II (EYC2015), November 5-6, 2015, Ankara, Turkey, Ekonomik Yaklasim Association, number 291.
• Pablo M. Pincheira & Carlos A. Medel, 2015, "Forecasting Inflation with a Simple and Accurate Benchmark: The Case of the US and a Set of Inflation Targeting Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 65, issue 1, pages 2-29, January.
• Chaker Aloui & Hela BEN HAMIDA, 2015, "Estimation and Performance Assessment of Value-at-Risk and Expected Shortfall Based on Long-Memory GARCH-Class Models," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 65, issue 1, pages 30-54, January.
• Vojtech Pistora & Vaclav Hausenblas, 2015, "The Impact of Macroeconomic News on Polish and Czech Government Bond Markets," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2015/12, May, revised May 2015.
• Andrea Bastianin & Marzio Galeotti & Matteo Manera, 2015, "The Impacts of Exogenous Oil Supply Shocks on Mediterranean Economies," Working Papers, Fondazione Eni Enrico Mattei, number 2015.100, Oct.
• Maryam Ahmadi & Niaz Bashiri Behmiri & Matteo Manera, 2015, "How is Volatility in Commodity Markets Linked to Oil Price Shocks?," Working Papers, Fondazione Eni Enrico Mattei, number 2015.101, Oct.
• Franco Ruzzenenti, 2015, "Changes in the relationship between the financial and real sector and the present economic financial crisis: study of energy sector and market," Working papers, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project, number wpaper105, Apr.
• Mark J. Jensen, 2015, "Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2015-12, Nov.
• Ellis W. Tallman & Saeed Zaman, 2015, "Forecasting Inflation: Phillips Curve Effects on Services Price Measures," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1519, Oct, DOI: 10.26509/frbc-wp-201519.
• Richard Ashley & Randal J. Verbrugge, 2015, "Persistence Dependence in Empirical Relations: The Velocity of Money," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1530, Dec, DOI: 10.26509/frbc-wp-201530.
• Maximo Camacho & Jaime Martinez-Martin, 2015, "Monitoring the world business cycle," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 228, Feb, DOI: 10.24149/gwp228.
• Itamar Caspi, 2015, "Testing for a housing bubble at the national and regional level: the case of Israel," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 246, Aug, DOI: 10.24149/gwp246.
• Michael W. McCracken & Michael T. Owyang & Tatevik Sekhposyan, 2015, "Real-Time Forecasting and Scenario Analysis using a Large Mixed-Frequency Bayesian VAR," Working Papers, Federal Reserve Bank of St. Louis, number 2015-030, Oct, revised 10 Apr 2020, DOI: 10.20955/wp.2015.030.
• Michael D. Boldin & Jonathan H. Wright, 2015, "Weather-adjusting employment data," Working Papers, Federal Reserve Bank of Philadelphia, number 15-5, Jan.
• Pooyan Amir-Ahmadi & Christian Matthes & Mu-Chun Wang, 2015, "Measurement Errors and Monetary Policy: Then and Now," Working Paper, Federal Reserve Bank of Richmond, number 15-13, Nov.
• Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov, 2015, "Model Calculations of Short-Run Forecasts of Russian Economic Time Series," Model Calculations of Short-Term Forecasts of Russian Economic Time Series, Gaidar Institute for Economic Policy, issue 3, pages 1-19, March.
• Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov, 2015, "Model Calculations of Short-Run Forecasts of Russian Economic Time Series," Model Calculations of Short-Term Forecasts of Russian Economic Time Series, Gaidar Institute for Economic Policy, issue 4, pages 1-19, April.
• Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov, 2015, "Model Calculations of Short-Run Forecasts of Russian Economic Time Series," Model Calculations of Short-Term Forecasts of Russian Economic Time Series, Gaidar Institute for Economic Policy, issue 5, pages 1-19, May.
• Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov, 2015, "Model Calculations of Short-Run Forecasts of Russian Economic Time Series," Model Calculations of Short-Term Forecasts of Russian Economic Time Series, Gaidar Institute for Economic Policy, issue 6, pages 1-19, June.
• Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov, 2015, "Model Calculations of Short-Run Forecasts of Russian Economic Time Series," Model Calculations of Short-Term Forecasts of Russian Economic Time Series, Gaidar Institute for Economic Policy, issue 7, pages 1-19, August.
• Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov, 2015, "Model Calculations of Short-Run Forecasts of Russian Economic Time Series," Model Calculations of Short-Term Forecasts of Russian Economic Time Series, Gaidar Institute for Economic Policy, issue 8, pages 1-19, August.
• Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov, 2015, "Model Calculations of Short-Run Forecasts of Russian Economic Time Series," Model Calculations of Short-Term Forecasts of Russian Economic Time Series, Gaidar Institute for Economic Policy, issue 9, pages 1-19, August.
• Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov, 2015, "Model Calculations of Short-Run Forecasts of Russian Economic Time Series," Model Calculations of Short-Term Forecasts of Russian Economic Time Series, Gaidar Institute for Economic Policy, issue 10, pages 1-19, August.
• Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov, 2015, "Model Calculations of Short-Run Forecasts of Russian Economic Time Series," Model Calculations of Short-Term Forecasts of Russian Economic Time Series, Gaidar Institute for Economic Policy, issue 11, pages 1-19, August.
• Marina Turuntseva & Ekaterina Astafieva & Alexandra Bozhechkova & Yuri Ponomarev & Marina Baeva & A. Buzaev & Tatiana Kiblitskaya & Anton Skrobotov, 2015, "Model Calculations of Short-Run Forecasts of Russian Economic Time Series," Model Calculations of Short-Term Forecasts of Russian Economic Time Series, Gaidar Institute for Economic Policy, issue 12, pages 1-31, December.
• Stavros Degiannakis, 2015, "A Probit Model for the State of the Greek GDP Growth," IJFS, MDPI, volume 3, issue 3, pages 1-12, August.
• Michael McAleer, 2015, "The Fundamental Equation in Tourism Finance," JRFM, MDPI, volume 8, issue 4, pages 1-6, December.
• Dimitris Korobilis., 2015, "Quantile forecasts of inflation under model uncertainty," Working Papers, Business School - Economics, University of Glasgow, number 2015_09, Apr.
• Felicitas Nowak-Lehmann D. & Elena Gross, 2015, "What effect does development aid have on productivity in recipient countries? An analysis using quantiles and thresholds," Ibero America Institute for Econ. Research (IAI) Discussion Papers, Ibero-America Institute for Economic Research, number 232, Oct.
• PEREAU Jean-Christophe & URSU Eugen, 2015, "Application of periodic autoregressive process to the modeling of the Garonne river flows," Cahiers du GREThA (2007-2019), Groupe de Recherche en Economie Théorique et Appliquée (GREThA), number 2015-14.
• Constantin Burgi, 2015, "Can A Subset Of Forecasters Beat The Simple Average In The Spf?," Working Papers, The George Washington University, The Center for Economic Research, number 2015-001, Mar.
• Yongchen Zhao, 2015, "Robustness of Forecast Combination in Unstable Environment: A Monte Carlo Study of Advanced Algorithms," Working Papers, The George Washington University, The Center for Economic Research, number 2015-005, Dec.
• Constantin Bürgi & Tara M. Sinclair, 2015, "A Nonparametric Approach to Identifying a Subset of Forecasters that Outperforms the Simple Average," Working Papers, The George Washington University, The Center for Economic Research, number 2015-006, Dec.
• Michaël Goujon & Olivier Santoni & Sosso Feindouno, 2015, "Tendances et chocs climatiques à La Réunion : utilisation de la base CRU TS version 3.21," CERDI Working papers, HAL, number halshs-01150853, May.
• Fredj Jawadi & Georges Prat, 2015, "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," Working paper serie RMT - Grenoble Ecole de Management, HAL, number hal-04141411.
• Amélie Charles & Olivier Darné & Claude Diebolt & Laurent Ferrara, 2015, "A new monthly chronology of the US industrial cycles in the prewar economy," Post-Print, HAL, number hal-01146800, DOI: 10.1016/j.jfs.2014.06.002.
• Julien Fouquau & Philippe K. Spieser, 2015, "Statistical evidence about LIBOR manipulation: A "Sherlock Holmes" investigation," Post-Print, HAL, number hal-01160060, Jan, DOI: 10.1016/j.jbankfin.2014.03.039.
• Marie Bessec & Othman Bouabdallah, 2015, "Forecasting GDP over the business cycle in a multi-frequency and data-rich environment," Post-Print, HAL, number hal-01275760, DOI: 10.1111/obes.12069.
• Thomas Barnay & Julie Favrot & Catherine Pollak, 2015, "L'effet des arrêts maladie sur les trajectoires professionnelles," Post-Print, HAL, number hal-01297560.
• Georgiana-Denisa Banulescu & Elena Ivona Dumitrescu, 2015, "Which Are the SIFIs? A Component Expected Shortfall Approach to Systemic Risk," Post-Print, HAL, number hal-01385923.
• Imane El Ouadghiri & Remzi Uctum, 2015, "Jumps in equilibrium prices and asymmetric news in foreign exchange markets," Post-Print, HAL, number hal-01411808.
• Christophe Schalck & Régis Chenavaz, 2015, "Oil commodity returns and macroeconomic factors: A time-varying approach," Post-Print, HAL, number hal-01457334, Jan, DOI: 10.1016/j.ribaf.2014.05.002.
• Laurent Ferrara & Massimiliano Marcellino & Matteo Mogliani, 2015, "Macroeconomic forecasting during the Great Recession: the return of non-linearity?," Post-Print, HAL, number hal-01635951.
• Remzi Uctum & Imane El Ouadghiri, 2015, "Jumps in equilibrium prices and asymmetric news in foreign exchange markets," Post-Print, HAL, number hal-01638221.
• Geert Dhaene & Koen Jochmans, 2015, "Split-panel jackknife estimation of fixed-effect models," Post-Print, HAL, number hal-03392997, Feb, DOI: 10.1093/restud/rdv007.

2014

• Temiz, Dilek & Gökmen, Aytaç, 2014, "FDI inflow as an international business operation by MNCs and economic growth: An empirical study on Turkey," International Business Review, Elsevier, volume 23, issue 1, pages 145-154, DOI: 10.1016/j.ibusrev.2013.03.003.
• Blonigen, Bruce A. & Piger, Jeremy & Sly, Nicholas, 2014, "Comovement in GDP trends and cycles among trading partners," Journal of International Economics, Elsevier, volume 94, issue 2, pages 239-247, DOI: 10.1016/j.jinteco.2014.06.008.
• Arestis, Philip & Chortareas, Georgios & Magkonis, Georgios & Moschos, Demetrios, 2014, "Inflation targeting and inflation convergence: International evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 31, issue C, pages 285-295, DOI: 10.1016/j.intfin.2014.04.002.
• Manahov, Viktor & Hudson, Robert & Linsley, Philip, 2014, "New evidence about the profitability of small and large stocks and the role of volume obtained using Strongly Typed Genetic Programming," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 33, issue C, pages 299-316, DOI: 10.1016/j.intfin.2014.08.007.
• Gupta, Rangan & Hammoudeh, Shawkat & Modise, Mampho P. & Nguyen, Duc Khuong, 2014, "Can economic uncertainty, financial stress and consumer sentiments predict U.S. equity premium?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 33, issue C, pages 367-378, DOI: 10.1016/j.intfin.2014.09.004.
• He, Hongbo & Chen, Shou & Yao, Shujie & Ou, Jinghua, 2014, "Financial liberalisation and international market interdependence: Evidence from China’s stock market in the post-WTO accession period," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 33, issue C, pages 434-444, DOI: 10.1016/j.intfin.2014.09.005.
• Maheu, John M. & Song, Yong, 2014, "A new structural break model, with an application to Canadian inflation forecasting," International Journal of Forecasting, Elsevier, volume 30, issue 1, pages 144-160, DOI: 10.1016/j.ijforecast.2013.06.004.
• Dreger, Christian & Wolters, Jürgen, 2014, "Money demand and the role of monetary indicators in forecasting euro area inflation," International Journal of Forecasting, Elsevier, volume 30, issue 2, pages 303-312, DOI: 10.1016/j.ijforecast.2013.09.008.
• Camacho, Maximo & Perez Quiros, Gabriel & Poncela, Pilar, 2014, "Green shoots and double dips in the euro area: A real time measure," International Journal of Forecasting, Elsevier, volume 30, issue 3, pages 520-535, DOI: 10.1016/j.ijforecast.2013.01.006.
• Kock, Anders Bredahl & Teräsvirta, Timo, 2014, "Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009," International Journal of Forecasting, Elsevier, volume 30, issue 3, pages 616-631, DOI: 10.1016/j.ijforecast.2013.01.003.
• Rossi, Barbara & Sekhposyan, Tatevik, 2014, "Evaluating predictive densities of US output growth and inflation in a large macroeconomic data set," International Journal of Forecasting, Elsevier, volume 30, issue 3, pages 662-682, DOI: 10.1016/j.ijforecast.2013.03.005.
• Weron, Rafał, 2014, "Electricity price forecasting: A review of the state-of-the-art with a look into the future," International Journal of Forecasting, Elsevier, volume 30, issue 4, pages 1030-1081, DOI: 10.1016/j.ijforecast.2014.08.008.
• Golinelli, Roberto & Parigi, Giuseppe, 2014, "Tracking world trade and GDP in real time," International Journal of Forecasting, Elsevier, volume 30, issue 4, pages 847-862, DOI: 10.1016/j.ijforecast.2014.01.008.
• Long, Ling & Tsui, Albert K. & Zhang, Zhaoyong, 2014, "Estimating time-varying currency betas with contagion: New evidence from developed and emerging financial markets," Japan and the World Economy, Elsevier, volume 30, issue C, pages 10-24, DOI: 10.1016/j.japwor.2014.02.001.
• Fernandes, Marcelo & Medeiros, Marcelo C. & Scharth, Marcel, 2014, "Modeling and predicting the CBOE market volatility index," Journal of Banking & Finance, Elsevier, volume 40, issue C, pages 1-10, DOI: 10.1016/j.jbankfin.2013.11.004.
• Sibbertsen, Philipp & Wegener, Christoph & Basse, Tobias, 2014, "Testing for a break in the persistence in yield spreads of EMU government bonds," Journal of Banking & Finance, Elsevier, volume 41, issue C, pages 109-118, DOI: 10.1016/j.jbankfin.2014.01.003.
• Cordis, Adriana S. & Kirby, Chris, 2014, "Discrete stochastic autoregressive volatility," Journal of Banking & Finance, Elsevier, volume 43, issue C, pages 160-178, DOI: 10.1016/j.jbankfin.2014.03.020.
• Nowak, Sylwia & Anderson, Heather M., 2014, "How does public information affect the frequency of trading in airline stocks?," Journal of Banking & Finance, Elsevier, volume 44, issue C, pages 26-38, DOI: 10.1016/j.jbankfin.2014.03.033.
• Martins, Luis F. & Gabriel, Vasco J., 2014, "Modelling long run comovements in equity markets: A flexible approach," Journal of Banking & Finance, Elsevier, volume 47, issue C, pages 288-295, DOI: 10.1016/j.jbankfin.2014.05.029.
• Yun, Jaeho, 2014, "Out-of-sample density forecasts with affine jump diffusion models," Journal of Banking & Finance, Elsevier, volume 47, issue C, pages 74-87, DOI: 10.1016/j.jbankfin.2014.06.024.
• Christiansen, Charlotte & Eriksen, Jonas Nygaard & Møller, Stig Vinther, 2014, "Forecasting US recessions: The role of sentiment," Journal of Banking & Finance, Elsevier, volume 49, issue C, pages 459-468, DOI: 10.1016/j.jbankfin.2014.06.017.
• Cevik, Emrah Ismail & Dibooglu, Sel & Kutan, Ali M., 2014, "Monetary and fiscal policy interactions: Evidence from emerging European economies," Journal of Comparative Economics, Elsevier, volume 42, issue 4, pages 1079-1091, DOI: 10.1016/j.jce.2014.05.001.
• Ornthanalai, Chayawat, 2014, "Lévy jump risk: Evidence from options and returns," Journal of Financial Economics, Elsevier, volume 112, issue 1, pages 69-90, DOI: 10.1016/j.jfineco.2013.11.009.
• Pettenuzzo, Davide & Timmermann, Allan & Valkanov, Rossen, 2014, "Forecasting stock returns under economic constraints," Journal of Financial Economics, Elsevier, volume 114, issue 3, pages 517-553, DOI: 10.1016/j.jfineco.2014.07.015.
• Ashley, Richard & Li, Guo, 2014, "Re-examining the impact of housing wealth and stock wealth on retail sales: Does persistence in wealth changes matter?," Journal of Housing Economics, Elsevier, volume 26, issue C, pages 109-118, DOI: 10.1016/j.jhe.2014.09.003.
• Gil-Alana, Luis A. & Shittu, Olanrewaju I. & Yaya, OlaOluwa S., 2014, "On the persistence and volatility in European, American and Asian stocks bull and bear markets," Journal of International Money and Finance, Elsevier, volume 40, issue C, pages 149-162, DOI: 10.1016/j.jimonfin.2012.12.002.
• Yamada, Hiroshi & Yoon, Gawon, 2014, "When Grilli and Yang meet Prebisch and Singer: Piecewise linear trends in primary commodity prices," Journal of International Money and Finance, Elsevier, volume 42, issue C, pages 193-207, DOI: 10.1016/j.jimonfin.2013.08.011.
• Gündüz, Yalin & Kaya, Orcun, 2014, "Impacts of the financial crisis on eurozone sovereign CDS spreads," Journal of International Money and Finance, Elsevier, volume 49, issue PB, pages 425-442, DOI: 10.1016/j.jimonfin.2014.03.013.
• Chinn, Menzie & Ferrara, Laurent & Mignon, Valérie, 2014, "Explaining US employment growth after the great recession: The role of output–employment non-linearities," Journal of Macroeconomics, Elsevier, volume 42, issue C, pages 118-129, DOI: 10.1016/j.jmacro.2014.07.003.
• Ben-Salha, Ousama & Jaidi, Zied, 2014, "Some new evidence on the determinants of money demand in developing countries – A case study of Tunisia," The Journal of Economic Asymmetries, Elsevier, volume 11, issue C, pages 30-45, DOI: 10.1016/j.jeca.2014.06.001.
• Paradiso, Antonio & Kumar, Saten & Margani, Patrizia, 2014, "Are Italian consumer confidence adjustments asymmetric? A macroeconomic and psychological motives approach," Journal of Economic Psychology, Elsevier, volume 43, issue C, pages 48-63, DOI: 10.1016/j.joep.2014.04.006.
• Buiatti, Cesare & Carmeci, Gaetano & Mauro, Luciano, 2014, "The origins of the public debt of Italy: Geographically dispersed interests?," Journal of Policy Modeling, Elsevier, volume 36, issue 1, pages 43-62, DOI: 10.1016/j.jpolmod.2013.10.016.
• Batten, Jonathan A. & Ciner, Cetin & Lucey, Brian M, 2014, "On the economic determinants of the gold–inflation relation," Resources Policy, Elsevier, volume 41, issue C, pages 101-108, DOI: 10.1016/j.resourpol.2014.03.007.
• Fernandez, Viviana, 2014, "Linear and non-linear causality between price indices and commodity prices," Resources Policy, Elsevier, volume 41, issue C, pages 40-51, DOI: 10.1016/j.resourpol.2014.02.006.
• Liu, Shuangzhe & Ma, Tiefeng & Polasek, Wolfgang, 2014, "Spatial system estimators for panel models: A sensitivity and simulation study," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 101, issue C, pages 78-102, DOI: 10.1016/j.matcom.2014.03.003.
• Yang, Lu & Hamori, Shigeyuki, 2014, "Spillover effect of US monetary policy to ASEAN stock markets: Evidence from Indonesia, Singapore, and Thailand," Pacific-Basin Finance Journal, Elsevier, volume 26, issue C, pages 145-155, DOI: 10.1016/j.pacfin.2013.12.003.
• Yang, Lixiong & Lee, Chingnun & Shie, Fu Shuen, 2014, "How close a relationship does a capital market have with other markets? A reexamination based on the equal variance test," Pacific-Basin Finance Journal, Elsevier, volume 26, issue C, pages 198-226, DOI: 10.1016/j.pacfin.2013.12.007.
• Yun, Jaeho & Moon, Hyejung, 2014, "Measuring systemic risk in the Korean banking sector via dynamic conditional correlation models," Pacific-Basin Finance Journal, Elsevier, volume 27, issue C, pages 94-114, DOI: 10.1016/j.pacfin.2014.02.005.
• Herwartz, Helmut & Theilen, Bernd, 2014, "Partisan influence on social spending under market integration, fiscal pressure and institutional change," European Journal of Political Economy, Elsevier, volume 34, issue C, pages 409-424, DOI: 10.1016/j.ejpoleco.2013.10.003.
• Canepa, Alessandra & Ibnrubbian, Abdullah, 2014, "Does faith move stock markets? Evidence from Saudi Arabia," The Quarterly Review of Economics and Finance, Elsevier, volume 54, issue 4, pages 538-550, DOI: 10.1016/j.qref.2014.04.002.
• Brady, Ryan R., 2014, "The spatial diffusion of regional housing prices across U.S. states," Regional Science and Urban Economics, Elsevier, volume 46, issue C, pages 150-166, DOI: 10.1016/j.regsciurbeco.2014.04.003.
• Moore, Tomoe & Wang, Ping, 2014, "Dynamic linkage between real exchange rates and stock prices: Evidence from developed and emerging Asian markets," International Review of Economics & Finance, Elsevier, volume 29, issue C, pages 1-11, DOI: 10.1016/j.iref.2013.02.004.
• Reboredo, Juan C. & Rivera-Castro, Miguel A., 2014, "Wavelet-based evidence of the impact of oil prices on stock returns," International Review of Economics & Finance, Elsevier, volume 29, issue C, pages 145-176, DOI: 10.1016/j.iref.2013.05.014.
• Zhu, Hui-Ming & Li, Rong & Li, Sufang, 2014, "Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns," International Review of Economics & Finance, Elsevier, volume 29, issue C, pages 208-223, DOI: 10.1016/j.iref.2013.05.015.
• Fang, Chung-Rou & You, Shih-Yi, 2014, "The impact of oil price shocks on the large emerging countries' stock prices: Evidence from China, India and Russia," International Review of Economics & Finance, Elsevier, volume 29, issue C, pages 330-338, DOI: 10.1016/j.iref.2013.06.005.
• Chang, Tsangyao & Chu, Hsiao-Ping & Ranjbar, Omid, 2014, "Are GDP fluctuations transitory or permanent in African countries? Sequential Panel Selection Method," International Review of Economics & Finance, Elsevier, volume 29, issue C, pages 380-399, DOI: 10.1016/j.iref.2013.07.001.
• Lafuente, Juan A. & Pérez, Rafaela & Ruiz, Jesús, 2014, "Time-varying inflation targeting after the nineties," International Review of Economics & Finance, Elsevier, volume 29, issue C, pages 400-408, DOI: 10.1016/j.iref.2013.07.002.
• Apergis, Nicholas, 2014, "Can gold prices forecast the Australian dollar movements?," International Review of Economics & Finance, Elsevier, volume 29, issue C, pages 75-82, DOI: 10.1016/j.iref.2013.04.004.
• Abad, Pilar & Robles, M. Dolores, 2014, "Credit rating agencies and idiosyncratic risk: Is there a linkage? Evidence from the Spanish Market," International Review of Economics & Finance, Elsevier, volume 33, issue C, pages 152-171, DOI: 10.1016/j.iref.2014.05.002.
• Bagliano, Fabio C. & Morana, Claudio, 2014, "Determinants of US financial fragility conditions," Research in International Business and Finance, Elsevier, volume 30, issue C, pages 377-392, DOI: 10.1016/j.ribaf.2012.08.003.
• Kurita, Takamitsu, 2014, "Dynamic characteristics of the daily yen–dollar exchange rate," Research in International Business and Finance, Elsevier, volume 30, issue C, pages 72-82, DOI: 10.1016/j.ribaf.2013.05.004.
• Chkili, Walid & Nguyen, Duc Khuong, 2014, "Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries," Research in International Business and Finance, Elsevier, volume 31, issue C, pages 46-56, DOI: 10.1016/j.ribaf.2013.11.007.
• Chevapatrakul, Thanaset & Tee, Kai-Hong, 2014, "The effects of news events on market contagion: Evidence from the 2007–2009 financial crisis," Research in International Business and Finance, Elsevier, volume 32, issue C, pages 83-105, DOI: 10.1016/j.ribaf.2014.03.003.
• Giuseppe Piroli & Miroslava Rajcaniova & Pavel Ciaian & d'Artis Kancs, 2014, "From a rise in B to a fall in C? Environmental impact of biofuels," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI RP 2014/01, Jan.
• Eric Eisenstat & Rodney W. Strachan, 2014, "Modelling Inflation Volatility," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2014-68, Nov.
• Veli YILANCI & Seref BOZOKLU, 2014, "Turk Sermaye Piyasasinda Fiyat ve Islem Hacmi Iliskisi: Zamanla Degisen Asimetrik Nedensellik Analizi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, volume 14, issue 2, pages 211-220.
• Pablo Castellanos García & Indalecio Pérez Díaz del Río & Jose Manuel Sanchez-Santos, 2014, "The role of confidence in the evolution of the Spanish economy: empirical evidence from an ARDL model," European Journal of Government and Economics, Europa Grande, volume 3, issue 2, pages 148-161, December.
• Robinson, Peter M., 2014, "The estimation of misspecified long memory models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 53692, Jan.
• Jamee K. Moudud & Francisco Martinez-Hernandez, 2014, "The political economy of public investment and public finance: challenges for social democratic policies," Review of Keynesian Economics, Edward Elgar Publishing, volume 2, issue 3, pages 333-364, July.
• Lizárraga, Carmen. & Chica-Olmo, Jorge., 2014, "Crecimiento económico y cortes estructurales. El caso de Andalucía (1900-1999)," El Trimestre Económico, Fondo de Cultura Económica, volume 81, issue 321, pages 199-225, enero-mar, DOI: http://dx.doi.org/10.20430/ete.v81i.
• Mendoza, Alfonso. & Galvanovskis, Evalds., 2014, "La cópula GED bivariada. Una aplicación en entornos de crisis," El Trimestre Económico, Fondo de Cultura Económica, volume 81, issue 323, pages .721-746, julio-sep, DOI: http://dx.doi.org/10.20430/ete.v81i.
• Bruce E. Hansen, 2014, "Asymptotic Moments of Autoregressive Estimators with a Near Unit Root and Minimax Risk," Advances in Econometrics, Emerald Group Publishing Limited, "Essays in Honor of Peter C. B. Phillips", DOI: 10.1108/S0731-905320140000033001.
• Yong Bao & Aman Ullah & Ru Zhang, 2014, "Moment Approximation for Least-Squares Estimator in First-Order Regression Models with Unit Root and Nonnormal Errors," Advances in Econometrics, Emerald Group Publishing Limited, "Essays in Honor of Peter C. B. Phillips", DOI: 10.1108/S0731-905320140000033003.
• Jiti Gao & Maxwell King, 2014, "Specification Testing in Parametric Trending Models with Unknown Errors," Advances in Econometrics, Emerald Group Publishing Limited, "Essays in Honor of Peter C. B. Phillips", DOI: 10.1108/S0731-905320140000033006.
• Marcelo M. de Oliveira & Alexandre C. L. Almeida, 2014, "Testing for Rational Speculative Bubbles in the Brazilian Residential Real-Estate Market," Contemporary Studies in Economic and Financial Analysis, Emerald Group Publishing Limited, "Risk Management Post Financial Crisis: A Period of Monetary Easing", DOI: 10.1108/S1569-375920140000096017.
• Panayiotis F. Diamandis & Anastassios A. Drakos & Georgios P. Kouretas, 2014, "Exchange Rates, Fundamentals, and Nonlinearities: A Review and Some Further Evidence from a Century of Data," International Symposia in Economic Theory and Econometrics, Emerald Group Publishing Limited, "Macroeconomic Analysis and International Finance", DOI: 10.1108/S1571-038620140000023004.
• Nikolaos Giannellis & Georgios P. Kouretas, 2014, "Does China’s International Competitiveness Fluctuate in Consistency with PPP Equilibrium?," International Symposia in Economic Theory and Econometrics, Emerald Group Publishing Limited, "Macroeconomic Analysis and International Finance", DOI: 10.1108/S1571-038620140000023006.
• Soumyananda Dinda, 2014, "China integrates Asia with the world: an empirical study," Journal of Chinese Economic and Foreign Trade Studies, Emerald Group Publishing Limited, volume 7, issue 2, pages 70-89, May, DOI: 10.1108/JCEFTS-06-2013-0022.
• Wasim Ahmad & N.R. Bhanumurthy & Sanjay Sehgal, 2014, "The Eurozone crisis and its contagion effects on the European stock markets," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 31, issue 3, pages 325-352, July, DOI: 10.1108/SEF-01-2014-0001.
• McAleer, M.J. & Hafner, C.M., 2014, "A One Line Derivation of EGARCH," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2014-20, Jun.
• Martinet, G.G. & McAleer, M.J., 2014, "On the Invertibility of EGARCH," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2014-22, Jul.
• McAleer, M.J., 2014, "Asymmetry and Leverage in Conditional Volatility Models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number 77759, Sep.
• Zeynel Abidin Ozdemir & Mehmet Balcilar & Aysit Tansel, 2014, "Are Labor Force Participation Rates Really Non-Stationary? Evidence from Three OECD Countries," Working Papers, Eastern Mediterranean University, Department of Economics, number 15-25.
• Eduardo Loría & Emmanuel Salas, 2014, "Ciclos, crecimiento económico y crisis en México, 1980.1-2013.4," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, volume 29, issue 2, pages 131-161.
• Belke, Ansgar & Oeking, Anne & Setzer, Ralph, 2014, "Exports and Capacity Constraints: A smooth transition regression model for six euro-area countries," CEPS Papers, Centre for European Policy Studies, number 9228, May.
• Mahua Barari & Nityananda Sarkar & Srikanta Kundu & Kushal Banik Chowdhury, 2014, "Forecasting House Prices in the United States with Multiple Structural Breaks," International Econometric Review (IER), Economic Research Association, volume 6, issue 1, pages 1-23, April.
• Özlem Ayvaz Kızılgöl & Evren İpek, 2014, "An Empirical Evaluation of the Relationship between Trade Openness and External Debt: Turkish Case," International Econometric Review (IER), Economic Research Association, volume 6, issue 1, pages 42-58, April.
• Munazza Jabeen & Saud Ahmad Khan, 2014, "Modelling Exchange Rate Volatility by Macroeconomic Fundamentals in Pakistan," International Econometric Review (IER), Economic Research Association, volume 6, issue 2, pages 58-76, September.
• Márcio Poletti Laurini & Armênio Dias Westin Neto, 2014, "Arbitrage In The Term Structure Of Interest Rates: A Bayesian Approach," International Econometric Review (IER), Economic Research Association, volume 6, issue 2, pages 77-99, September.