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

2014

• Andrea Bastianin & Marzio Galeotti & Matteo Manera, 2014, "Forecasting the Oil-Gasoline Price Relationship: Should We Care About the Rockets and the Feathers?," IEFE Working Papers, IEFE, Center for Research on Energy and Environmental Economics and Policy, Universita' Bocconi, Milano, Italy, number 62.
• María Dolores Gadea-Rivas & Ana Gómez-Loscos & Gabriel Pérez-Quirós, 2014, "The two greatest. Great recession vs. great moderation," Working Papers, Banco de España, number 1423, Sep.
• Máximo Camacho & Jaime Martínez-Martín, 2014, "Real-time forecasting us GDP from small-scale factor models," Working Papers, Banco de España, number 1425, Oct.
• Michele Caivano & Andrew Harvey, 2014, "Time series models with an EGB2 conditional distribution," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 947, Jan.
• Michele Caivano & Andrew Harvey, 2014, "Two EGARCH models and one fat tail," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 954, Mar.
• Luis Fernando Melo Velandia & Daniel Parra Amado, 2014, "Efectos calendario sobre la producción industrial en Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 820, May, DOI: 10.32468/be.820.
• Santiago Cajiao Raigosa & Luis Fernando Melo Velandia & Daniel Parra Amado, 2014, "Pronósticos para una economía menos volátil: El caso colombiano," Borradores de Economia, Banco de la Republica de Colombia, number 821, May, DOI: 10.32468/be.821.
• Juan Pablo Franco & José E. Gómez González & Jair N. Ojeda & Jhon Edward Torres, 2014, "Burbujas en precios de activos financieros: existencia, persistencia y migración," Borradores de Economia, Banco de la Republica de Colombia, number 823, May, DOI: 10.32468/be.823.
• Luis F. Melo Velandia & Rubén A. Loaiza Maya & Mauricio Villamizar-Villegas, 2014, "Bayesian Combination for Inflation Forecasts: The Effects of a Prior Based on Central Banks’ Estimates," Borradores de Economia, Banco de la Republica de Colombia, number 853, Nov, DOI: 10.32468/be.853.
• Matteo Mogliani & V ronique Brunhes-Lesage & Olivier Darn & Bertrand Pluyaud, 2014, "New estimate of the MIBA forecasting model. Modeling first-release GDP using the Banque de France's Monthly Business Survey and the blocking approach," Working papers, Banque de France, number 473.
• Frédérique Bec & A. De Gaye, 2014, "How do oil price forecast errors impact inflation forecast errors? An empirical analysis from French and US inflation forecasts," Working papers, Banque de France, number 523.
• Pamfili Antipa, 2014, "How Fiscal Policy Affects the Price Level: Britain s First Experience with Paper Money," Working papers, Banque de France, number 525.
• Barbara Rossi, 2015, "Forecast Rationality Tests in the Presence of Instabilities, With Applications to Federal Reserve and Survey Forecasts," Working Papers, Barcelona School of Economics, number 765, Sep.
• Lu Jin & Atsushi Inoue & Barbara Rossi, 2015, "Rolling Window Selection for Out-of-Sample Forecasting with Time-Varying Parameters," Working Papers, Barcelona School of Economics, number 768, Sep.
• Marek Jarocinski & Albert Marcet, 2015, "Contrasting Bayesian and Frequentist Approaches to Autoregressions: the Role of the Initial Condition," Working Papers, Barcelona School of Economics, number 776, Sep.
• Javier Hualde & Javier Gómez Biscarri, 2015, "A Residual-Based ADF Test for Stationary Cointegration in I (2) Settings," Working Papers, Barcelona School of Economics, number 779, Sep.
• Raffaella Giacomini & Barbara Rossi, 2015, "Model Comparisons in Unstable Environments," Working Papers, Barcelona School of Economics, number 784, Sep.
• Raffaella Giacomini & Barbara Rossi, 2015, "Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models," Working Papers, Barcelona School of Economics, number 819, Sep.
• Jose Olmo & William Pouliot, 2014, "Tests to Disentangle Breaks in Intercept from Slope in Linear Regression Models with Application to Management Performance in the Mutual Fund Industry," Discussion Papers, Department of Economics, University of Birmingham, number 14-02, Mar.
• Anindya Banerjee & Josep Lluis Carrion-i-Silvestre, 2014, "Testing for Panel Cointegration using Common Correlated Effects Estimators," Discussion Papers, Department of Economics, University of Birmingham, number 15-02, Dec.
• Helena Rodríguez, 2014, "Un indicador de la evolución del PIB uruguayo en tiempo real," Documentos de trabajo, Banco Central del Uruguay, number 2014009.
• Carlos P. Barros & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2014, "Long Memory in Angolan Macroeconomic Series: Mean Reversion versus Explosive Behaviour," African Development Review, African Development Bank, volume 26, issue 1, pages 59-73, March.
• Nicholas Apergis & Oguzhan Dincer & James E. Payne, 2014, "Economic Freedom And Income Inequality Revisited: Evidence From A Panel Error Correction Model," Contemporary Economic Policy, Western Economic Association International, volume 32, issue 1, pages 67-75, January.
• Nuno Sobreira & Luis C. Nunes & Paulo M. M. Rodrigues, 2014, "Characterizing Economic Growth Paths Based On New Structural Change Tests," Economic Inquiry, Western Economic Association International, volume 52, issue 2, pages 845-861, April.
• Philip Hans Franses & Michael McAleer & Rianne Legerstee, 2014, "Evaluating Macroeconomic Forecasts: A Concise Review Of Some Recent Developments," Journal of Economic Surveys, Wiley Blackwell, volume 28, issue 2, pages 195-208, April.
• Francisco Blasques, 2014, "Transformed Polynomials For Nonlinear Autoregressive Models Of The Conditional Mean," Journal of Time Series Analysis, Wiley Blackwell, volume 35, issue 3, pages 218-238, May.
• Matei Demetrescu & Christoph Hanck & Adina I. Tarcolea, 2014, "Iv-Based Cointegration Testing In Dependent Panels With Time-Varying Variance," Journal of Time Series Analysis, Wiley Blackwell, volume 35, issue 5, pages 393-406, August.
• Andreas Noack Jensen & Morten Ørregaard Nielsen, 2014, "A Fast Fractional Difference Algorithm," Journal of Time Series Analysis, Wiley Blackwell, volume 35, issue 5, pages 428-436, August.
• Michele Caivano & Andrew Harvey, 2014, "Time-series models with an EGB2 conditional distribution," Journal of Time Series Analysis, Wiley Blackwell, volume 35, issue 6, pages 558-571, November.
• Offer Lieberman & Peter C. B. Phillips, 2014, "Norming Rates And Limit Theory For Some Time-Varying Coefficient Autoregressions," Journal of Time Series Analysis, Wiley Blackwell, volume 35, issue 6, pages 592-623, November.
• Matthijs Lof, 2014, "GMM Estimation with Non-causal Instruments under Rational Expectations," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 76, issue 2, pages 279-286, April.
• Peter C. B. Phillips & Shuping Shi & Jun Yu, 2014, "Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 76, issue 3, pages 315-333, June.
• Mauricio Mora Barrenechea, 2014, "Determinantes de la inflación de alimentos y su relación con la inflación de no alimentos en Bolivia," Serie de Documentos de Trabajo, Banco Central de Bolivia, number 2014/09, Dec.
• Sergio Cerezo Aguirre, 2014, "Boom en el sector inmobiliario en Bolivia: ¿burbuja o fundamentos económicos?," Revista de Análisis del BCB, Banco Central de Bolivia, volume 20, issue 1, pages 75-118, June.
• Sergio Cerezo Aguirre & Mauricio Mora Barrenechea, 2014, "Relación no lineal entre inflación y crecimiento económico: evidencia empírica para Bolivia," Revista de Análisis del BCB, Banco Central de Bolivia, volume 21, issue 2, pages 9-36, December.
• Tolga Omay & Dilem Yildirim, 2014, "Nonlinearity and Smooth Breaks in Unit Root Testing," Econometrics Letters, Bilimsel Mektuplar Organizasyonu (Scientific letters), volume 1, issue 1, pages 1-9.
• Mubariz Hasanov, 2014, "Testing for a unit root in the presence of a nonlinear trend: The case of Australian Reel Exchange Rate," Econometrics Letters, Bilimsel Mektuplar Organizasyonu (Scientific letters), volume 1, issue 1, pages 10-17.
• Tolga Omay, 2014, "A Survey about Smooth Transition Panel Data Analysis," Econometrics Letters, Bilimsel Mektuplar Organizasyonu (Scientific letters), volume 1, issue 1, pages 18-29.
• Furkan Emirmahmutoðlu, 2014, "Cross-section Dependency and the Effects of Nonlinearity in Panel Unit Testing," Econometrics Letters, Bilimsel Mektuplar Organizasyonu (Scientific letters), volume 1, issue 1, pages 30-36.
• Deniz Ilalan, 2014, "Profitability Effects of Owning a Group Affiliated Media Institution: An Emerging Market Case," Econometrics Letters, Bilimsel Mektuplar Organizasyonu (Scientific letters), volume 1, issue 2, pages 17-24.
• Narmin Mammadova, 2014, "The Stochastic Futures of the Natural Gas Prices: Russian Federation in Caspian Region," Econometrics Letters, Bilimsel Mektuplar Organizasyonu (Scientific letters), volume 1, issue 2, pages 8-16.
• Davide Pettenuzzo & Francesco Ravazzolo, 2014, "Optimal portfolio choice under decision-based model combinations," Working Paper, Norges Bank, number 2014/15, Nov.
• Michael Joyce & Zhuoshi Liu & Ian Tonks, 2014, "Institutional investor portfolio allocation, quantitative easing and the global financial crisis," Bank of England working papers, Bank of England, number 510, Sep.
• Bradley Speigner, 2014, "Long-term unemployment and convexity in the Phillips curve," Bank of England working papers, Bank of England, number 519, Dec.
• Ki-Ho Kim, 2014, "An Empirical Analysis of Asymmetries in the Term Structure of Korean Government Bonds (in Korean)," Working Papers, Economic Research Institute, Bank of Korea, number 2014-12, Apr.
• Timothy Cogley & Thomas J. Sargent, 2014, "Measuring Price-Level Uncertainty and Instability in the U.S., 1850-2012," Working Papers, Economic Research Institute, Bank of Korea, number 2014-33, Nov.
• A. Girardi & R. Golinelli & C. Pappalardo, 2014, "The Role of Indicator Selection in Nowcasting Euro Area GDP in Pseudo Real Time," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number wp919, Jan.
• Shaista Arshad & Syed Aun R. Rizvi & Mansor H. Ibrahim, 2014, "Tripartite analysis across business cycles in Turkey: A multi-timescale inquiry of efficiency, volatility and integration," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 14, issue 4, pages 224-235, December.
• Luis Filipe Martins & Pierre Perron, 2014, "Improved Tests for Forecast Comparisons in the Presence of Instabilities," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number 2014-003, Mar.
• Tatsuma Wada & Pierre Perron, 2014, "Measuring Business Cycles with Structural Breaks and Outliers: Applications to International Data," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number 2014-004, Apr.
• Pierre Perron & Wendong Shi, 2014, "Temporal Aggregation, Bandwidth Selection and Long Memory for Volatility Models," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2014-009, Jun.
• Seong Yeon Chang & Pierre Perron, 2014, "Inference on a Structural Break in Trend with Fractionally Integrated Errors," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2015-011, Apr, revised 20 Sep 2015.
• Bassil Charbel, 2014, "The Effect of Terrorism on Tourism Demand in the Middle East," Peace Economics, Peace Science, and Public Policy, De Gruyter, volume 20, issue 4, pages 669-684, December, DOI: 10.1515/peps-2014-0032.
• Banerjee Anurag & Pitarakis Jean-Yves, 2014, "Functional cointegration: definition and nonparametric estimation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 18, issue 5, pages 507-520, December, DOI: 10.1515/snde-2013-0083.
• Leiva-Leon Danilo, 2014, "Real vs. nominal cycles: a multistate Markov-switching bi-factor approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 18, issue 5, pages 557-580, December, DOI: 10.1515/snde-2012-0002.
• Delia, TESELIOS, 2014, "Forest Management In The Present Context Of The Forest Administration In Romania," Management Strategies Journal, Constantin Brancoveanu University, volume 26, issue 4, pages 630-638.
• Davide Pettenuzzo & Francesco Ravazzolo, 2014, "Optimal Portfolio Choice under Decision-Based Model Combinations," Working Papers, Brandeis University, Department of Economics and International Business School, number 80, Oct.
• Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin, 2014, "A Compound Multifractal Model for High-Frequency Asset Returns," BYU Macroeconomics and Computational Laboratory Working Paper Series, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory, number 2014-05, Aug.
• Julien Malizard, 2014, "Dépenses militaires et croissance économique dans un contexte non linéaire. Le cas français," Revue économique, Presses de Sciences-Po, volume 65, issue 3, pages 601-618.
• Yankou Diasso, 2014, "Dynamique du prix international du coton : aléas, aversion au risque et chaos," Recherches économiques de Louvain, De Boeck Université, volume 80, issue 4, pages 53-86.
• Andrew Harvey & Stephen Thiele, 2014, "Testing against Changing Correlation," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1439, Nov.
• J. Stephen Ferris & Marcel-Cristian Voia, 2014, "The Effect of Federal Government Size on Private Economic Performance in Canada: 1870–2011," Carleton Economic Papers, Carleton University, Department of Economics, number 14-01, Mar.
• Firouz Fallahi & Mohammad Karimi & Marcel-Cristian Voia, 2014, "Are Shocks to Energy Consumption Persistent? Evidence from Subsampling Confidence Intervals," Carleton Economic Papers, Carleton University, Department of Economics, number 14-02, Mar.
• J. Stephen Ferris & Marcel-Cristian Voia, 2014, "Does Aggregate Government Size Effect Private Economic Performance in Canada?," Carleton Economic Papers, Carleton University, Department of Economics, number 14-13, Nov.
• Ludovit Odor & Judita Jurasekova Kucserova, 2014, "Finding Yeti: More robust estimates of output gap in Slovakia," Working Papers, Council for Budget Responsibility, number Working Paper No. 2/2014, Jan.
• Snežana Radukić & Milica Radović, 2014, "Long Term Trend Analysis in the Capital Market – The Case of Serbia," Journal of Central Banking Theory and Practice, Central bank of Montenegro, volume 3, issue 3, pages 5-18.
• Michael McAleer & Christian M. Hafner, 2014, "A One Line Derivation of EGARCH," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 14/16, Jun.
• Christian M. Hafner & Michael McAleer, 2014, "A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 14/19, Jul.
• Guillaume Gaetan Martinet & Michael McAleer, 2014, "On the Invertibility of EGARCH," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 14/21, Jul.
• Michael McAleer, 2014, "Asymmetry and Leverage in Conditional Volatility Models," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 14/24, Sep.
• W. Robert Reed, 2014, "Unit Root Tests, Size Distortions, and Cointegrated Data," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 14/28, Dec.
• Senay Acikgoz & Merter Mert, 2014, "Sources of growth revisited: The importance of the nature of technological progress," Journal of Applied Economics, Universidad del CEMA, volume 17, pages 31-62, May.
• Marc Hansen & Helmut Herwartz & Malte Rengel, 2014, "State dependence of aggregated risk aversion: Evidence for the German stock market," Journal of Applied Economics, Universidad del CEMA, volume 17, pages 257-282, November.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Yuliya Lovcha, 2014, "Testing Unemployment Theories: A Multivariate Long Memory Approach," CESifo Working Paper Series, CESifo, number 4570.
• Andreas Blöchl & Gebhard Flaig, 2014, "The Hodrick-Prescott Filter with a Time-Varying Penalization Parameter. An Application for the Trend Estimation of Global Temperature," CESifo Working Paper Series, CESifo, number 4577.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2014, "Youth Unemployment in Europe: Persistence and Macroeconomic Determinants," CESifo Working Paper Series, CESifo, number 4696.
• Benjamin Larin & Bernd Süssmuth, 2014, "Fiscal Autonomy and Fiscal Sustainability: Subnational Taxation and Public Indebtedness in Contemporary Spain," CESifo Working Paper Series, CESifo, number 4726.
• Marc Gronwald, 2014, "The Economics of Bitcoins - Market Characteristics and Price Jumps," CESifo Working Paper Series, CESifo, number 5121.
• Wolfgang Nierhaus, 2014, "Saisonbereinigung in der Konjunkturanalyse: Ein Fallbeispiel," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 67, issue 21, pages 35-39, November.
• Niklas Potrafke & Markus Reischmann, 2014, "Explosive Target balances of the German Bundesbank," ifo Working Paper Series, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 185.
• Igor Kheifets, 2014, "Specification Tests for Nonlinear Dynamic Models," Working Papers, Center for Economic and Financial Research (CEFIR), number w0209, Oct.
• Carlos Medel, 2014, "Probabilidad Clásica de Sobreajuste con Criterios de Información: Estimaciones con Series Macroeconómicas Chilenas," Working Papers Central Bank of Chile, Central Bank of Chile, number 735, Aug.
• Fabien Candau & Michaël Goujon & Jean-François Hoarau & Serge Rey, 2014, "Real exchange rate and competitiveness of an EU's ultra-peripheral region: La Reunion Island," International Economics, CEPII research center, issue 137, pages 1-21.
• Babajide Fowowe, 2014, "Modelling the oil price –exchange rate nexus for South Africa," International Economics, CEPII research center, issue 140, pages 36-48.
• Gabriele Fiorentini & Enrique Sentana, 2014, "Neglected Serial Correlation Tests in UCARIMA Models," Working Papers, CEMFI, number wp2014_1406, Oct.
• Ioana-Iuliana TOMULEASA, 2014, "Bank Performance And Soundness In The New Eu Member States," Management Intercultural, Romanian Foundation for Business Intelligence, Editorial Department, issue 31, pages 499-512, November.
• Branislav Saxa, 2014, "Forecasting Mortgages: Internet Search Data as a Proxy for Mortgage Credit Demand," Working Papers, Czech National Bank, Research and Statistics Department, number 2014/14, Dec.
• Luis Fernando Melo Velandia & Daniel Parra Amado, 2014, "Efectos calendario sobre la producci�n industrial en Colombia," Borradores de Economia, Banco de la Republica, number 11241, May.
• Santiago Cajiao Raigosa & Luis Fernando Melo Velandia & Daniel Parra Amado, 2014, "Pron�sticos para una econom�a menos vol�til: El caso colombiano," Borradores de Economia, Banco de la Republica, number 11252, May.
• Juan Pablo Franco & Jos� E. G�mez Gonz�lez & Jair N. Ojeda & Jhon Edward Torres, 2014, "Burbujas en precios de activos financieros: existencia, persistencia y migraci�n," Borradores de Economia, Banco de la Republica, number 11405, May.
• Luis F. Melo Velandia & Rub�n A. Loaiza Maya & Mauricio Villamizar-Villegas, 2014, "Bayesian Combination for Inflation Forecasts: The Effects of a Prior Based on Central Banks� Estimates," Borradores de Economia, Banco de la Republica, number 12323, Nov.
• Gustavo Adolfo HERNANDEZ DIAZ & Gabriel PIRAQUIVE GALEANO, 2014, "Evolución de los precios de la vivienda en Colombia," Archivos de Economía, Departamento Nacional de Planeación, number 11208, Jan.
• Jhon Alexis Díaz Contreras & Gloria In�s Mac�as Villalba & Edgar Luna Gonz�lez, 2014, "Estrategia de cobertura con productos derivados para el mercado energético colombiano," Estudios Gerenciales, Universidad Icesi.
• Jimy Ferrer Carbonell & Roberto Escalante Semerena, 2014, "Demanda de gasolina en la zona metropolitana del Valle de México: análisis empírico de la reducción del subsidio," Revista de Economía del Rosario, Universidad del Rosario.
• Andrés Mauricio Gómez & Zoraida Ramirez Gutierrez, 2014, "Dinámica económica de las remesas enviadas desde Espana y Estados Unidos a Colombia entre 2005-2013: un análisis de cointegración," Apuntes del Cenes, Universidad Pedagógica y Tecnológica de Colombia.
• Jorge Uribe & Juli�n Fern�ndez, 2014, "Burbujas financieras y comportamiento reciente de los mercados de acciones en América Latina," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 81, pages 57-90.
• Emilio Rojas & Werner Kristjanpoller, 2014, "Anomalías de calendario en los mercados accionarios latinoamericanos: una revisión mediante el procedimiento de Bonferroni," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 81, pages 91-113.
• Hernán Enríquez Sierra & Jacobo Campo Robledo & Antonio Avenda�o Arosemena, 2014, "Efectos interregionales en el mercado de vivienda nueva: Colombia 1997 – 2013," Documentos de Trabajo, Universidad Católica de Colombia, number 12414, Aug.
• Jonny Castro Tapias, 2014, "Crecimiento económico y capital humano: Un análisis de cointegración para Colombia en el periodo 1960 – 2012," Documentos de Trabajo, Universidad Católica de Colombia, number 12418, Dec.
• Sandy Manrique Parra & Santiago Castillo Acu�a, 2014, "Paridad del Poder Adquisitivo en Colombia: Análisis comparativo de los periodos pre y post crisis del 2008," Documentos de Trabajo, Universidad Católica de Colombia, number 12421, Dec.
• CARPANTIER, Jean-François & DUFAYS, Arnaud, 2014, "Specific Markov-switching behaviour for ARMA parameters," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2014014, Jun.
• Braione, Manuela & Scholtes, Nicolas K., 2014, "Construction of value-at-risk forecasts under different distributional assumptions within a BEKK framework," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2014059, Nov.
• Hafner, Christian & Breitung, Jörg, 2014, "A simple model for now-casting volatility series," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2014060, Nov.
• BAUWENS, Luc & DUFAYS, Arnaud & ROMBOUTS, Jeroen V.K., 2014, "Marginal likelihood for Markov-switching and change-point GARCH models," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2533, Jan.
• BAUWENS, Luc & DE BACKER, Bruno & DUFAYS, Arnaud, 2014, "A Bayesian method of change-point estimation with recurrent regimes: application to GARCH models," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2641, Jan.
• Arie ten Cate, 2014, "Maximum likelihood estimation of the Markov chain model with macro data and the ecological inference model," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis, number 284, Sep.
• Juliusz Jablecki & Robert Slepaczuk & Ryszard Kokoszczynski & Pawel Sakowski & Piotr Wojcik, 2014, "Does historical VIX term structure contain valuable information for predicting VIX futures?," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, volume 14, pages 5-28.
• Claude Diebolt, 2014, "Kuznets versus kondratieff An essay in historical macroeconometrics," Cahiers d’économie politique / Papers in Political Economy, L'Harmattan, issue 67, pages 81-118.
• Pérez-Quirós, Gabriel & Gadea Rivas, Maria Dolores & Gomez-Loscos, Ana, 2014, "The Two Greatest. Great Recession vs. Great Moderation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10092, Aug.
• Rossi, Barbara & Inoue, Atsushi & Jin, Lu, 2014, "Window Selection for Out-of-Sample Forecasting with Time-Varying Parameters," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10168, Sep.
• Christian Francq & Jean-Michel Zakoian, 2014, "Multi-level Conditional VaR Estimation in Dynamic Models," Working Papers, Center for Research in Economics and Statistics, number 2014-01.
• Dimitra Chatzi & Dikaios Tserkezos, 2014, "Testing the Linearity of a Time Series," Working Papers, University of Crete, Department of Economics, number 1401, Oct.
• Marta Małecka, 2014, "Duration-Based Approach to VaR Independence Backtesting," Statistics in Transition new series, Główny Urząd Statystyczny (Polska), volume 15, issue 4, pages 627-636, September.
• Andrea Monticini & Francesco Ravazzolo, 2014, "Forecasting the intraday market price of money," DISCE - Working Papers del Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE), number def010, Feb.
• Russel Davidson & Andrea Monticini, 2014, "Heteroskedasticity-and-Autocorrelation-Consistent Bootstrapping," DISCE - Working Papers del Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE), number def012, Mar.
• Carnero Fernández, María Ángeles & Pérez, Ana & Ruiz Ortega, Esther, 2014, "Identification of asymmetric conditional heteroscedasticity in the presence of outliers," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws141912, Jul.
• Mao, Xiuping & Ruiz Ortega, Esther & Lopes Moreira da Veiga, María Helena, 2014, "Score driven asymmetric stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws142618, Oct.
• Arturo Lorenzo Valdés & Antonio Ruiz Porras, 2014, "Un modelo Tgarch con una distribución t de student asimétrica y las hipótesis de racionalidad de los inversionistas bursátiles en Latinoamérica," Archivos Revista Economía y Política., Facultad de Ciencias Económicas y Administrativas, Universidad de Cuenca., volume 19, pages 66-97, Enero, DOI: 10.25097/rep.n19.2014.03.
• Han, Chirok & Phillips, Peter C. B. & Sul, Donggyu, 2014, "X-Differencing And Dynamic Panel Model Estimation," Econometric Theory, Cambridge University Press, volume 30, issue 1, pages 201-251, February.
• Hansen, Peter R. & Lunde, Asger, 2014, "Estimating The Persistence And The Autocorrelation Function Of A Time Series That Is Measured With Error," Econometric Theory, Cambridge University Press, volume 30, issue 1, pages 60-93, February.
• Yu, Jun, 2014, "Econometric Analysis Of Continuous Time Models: A Survey Of Peter Phillips’S Work And Some New Results," Econometric Theory, Cambridge University Press, volume 30, issue 4, pages 737-774, August.
• Mallick, Debdulal, 2014, "Financial Development, Shocks, And Growth Volatility," Macroeconomic Dynamics, Cambridge University Press, volume 18, issue 3, pages 651-688, April.
• Parke, William R. & Waters, George A., 2014, "On The Evolutionary Stability Of Rational Expectations," Macroeconomic Dynamics, Cambridge University Press, volume 18, issue 7, pages 1581-1606, October.
• Mák, Fruzsina, 2014, "Analyzing interrelated stochastic trend and seasonality on the example of energy trading data," Corvinus Economics Working Papers (CEWP), Corvinus University of Budapest, number 2014/09.
• Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio, 2014, "Un modelo TGARCH con una distribución t de Student asimétrica y las hipotesis de racionalidad de los inversionistas bursátiles en Latinoamérica
  [A TGARCH model with an asymmetric Student´s t distribution and the rationality hypotheses of stock inv," MPRA Paper, University Library of Munich, Germany, number 53019, Jan.
• Ali, Sharafat, 2014, "Inflation, Income Inequality and Economic Growth in Pakistan: A Cointegration Analysis," MPRA Paper, University Library of Munich, Germany, number 53706, Feb.
• Korobilis, Dimitris, 2014, "Data-based priors for vector autoregressions with drifting coefficients," MPRA Paper, University Library of Munich, Germany, number 53772, Jan.
• Caporin, Massimiliano & Fontini, Fulvio, 2014, "The Value of Protecting Venice from the Acqua Alta Phenomenon under Different Local Sea Level Rises," MPRA Paper, University Library of Munich, Germany, number 53779, Feb.
• Jiranyakul, Komain & Opiela, Timothy, 2014, "An Empirical Test of Money Demand in Thailand from 1993 to 2012," MPRA Paper, University Library of Munich, Germany, number 54162, Mar.
• Gouriéroux, Christian & Zakoian, Jean-Michel, 2014, "On uniqueness of moving average representations of heavy-tailed stationary processes," MPRA Paper, University Library of Munich, Germany, number 54907, Mar.
• Fantazzini, Dean, 2014, "Editorial for the Special Issue on 'Computational Methods for Russian Economic and Financial Modelling'," MPRA Paper, University Library of Munich, Germany, number 55430.
• Nonejad, Nima, 2014, "Particle Markov Chain Monte Carlo Techniques of Unobserved Component Time Series Models Using Ox," MPRA Paper, University Library of Munich, Germany, number 55662, May.
• Nonejad, Nima, 2014, "Particle Gibbs with Ancestor Sampling Methods for Unobserved Component Time Series Models with Heavy Tails, Serial Dependence and Structural Breaks," MPRA Paper, University Library of Munich, Germany, number 55664, May.
• KARGI, Bilal, 2014, "The Effects of BRICS and MATIK Countries on World Economy and Cointegration Analysis The Long Term Relation G-7 Growth Rates (1962-2012)," MPRA Paper, University Library of Munich, Germany, number 55693, Mar.
• KARGI, Bilal, 2014, "Electricity Consumption and Economic Growth: A Long-Term Co-integrated Analysis for Turkey," MPRA Paper, University Library of Munich, Germany, number 55699, Feb.
• Hännikäinen, Jari, 2014, "Multi-step forecasting in the presence of breaks," MPRA Paper, University Library of Munich, Germany, number 55816, May.
• Jiranyakul, Komain, 2014, "Energy use-trade nexus: what does the data set say for Thailand?," MPRA Paper, University Library of Munich, Germany, number 55984, May.
• Alimi, R. Santos, 2014, "Does Optimal Government Size Exist for Developing Economies? The Case of Nigeria," MPRA Paper, University Library of Munich, Germany, number 56073, Feb.
• Halkos, George & Kevork, Ilias, 2014, "Διαστήματα Εμπιστοσύνης Για Εκατοστημόρια Σε Στάσιμες Arma Διαδικασίες: Μία Εμπειρική Εφαρμογή Σε Περιβαλλοντικά Δεδομένα
  [Confidence intervals for percentiles in stationary ARMA processes: An application using environmental data]," MPRA Paper, University Library of Munich, Germany, number 56134, May.
• Jiranyakul, Komain, 2014, "Does oil price uncertainty transmit to the Thai stock market?," MPRA Paper, University Library of Munich, Germany, number 56527, Jun.
• Karapanagiotidis, Paul, 2014, "Dynamic modeling of commodity futures prices," MPRA Paper, University Library of Munich, Germany, number 56805, Jun.
• Abu Bakar, Norhidayah & Masih, Abul Mansur M., 2014, "The Dynamic Linkages between Islamic Index and the Major Stock Markets: New Evidence from Wavelet time-scale decomposition Analysis," MPRA Paper, University Library of Munich, Germany, number 56977, Jun.
• Khan, Aftab & Masih, Mansur, 2014, "Correlation between Islamic stock and Commodity markets: An investigation into the impact of financial crisis and financialization of commodity markets," MPRA Paper, University Library of Munich, Germany, number 56979, Jun.
• Abdullah, Ahmad Monir & Saiti, Buerhan & Masih, Abul Mansur M., 2014, "Causality between Stock Market Index and Macroeconomic Variables: A Case Study for Malaysia," MPRA Paper, University Library of Munich, Germany, number 56987, Jun.
• Abdullah, Ahmad Monir & Saiti, Buerhan & Masih, Abul Mansur M., 2014, "Diversification in Crude Oil and Other Commodities: A Comparative Analysis," MPRA Paper, University Library of Munich, Germany, number 56988, Jun.
• Rithuan, Syahidah Hanis Meor & Abdullah, Ahmad Monir & Masih, Abul Mansur M., 2014, "The Impact of Crude Oil Price on Islamic Stock Indices of Gulf Cooperation Council (GCC) Countries: A Comparative Analysis," MPRA Paper, University Library of Munich, Germany, number 56989, Jun.
• Mokhtar, Maznita & Masih, Mansur, 2014, "Are diversification benefits obtainable within the same asset class? New evidence from Malaysian Islamic REITS," MPRA Paper, University Library of Munich, Germany, number 56990, Jun.
• Rizvi, Aun & Masih, Mansur, 2014, "Oil price shocks and GCC capital markets: who drives whom?," MPRA Paper, University Library of Munich, Germany, number 56993, Jun.
• Chunxiu, Ma & Masih, Mansur, 2014, "Contagion Effects of US Subprime Crisis on ASEAN-5 Stock Markets: Evidence from MGARCH-DCC Application," MPRA Paper, University Library of Munich, Germany, number 57004, Jun.
• Kabir, Sarkar Humayun & Masih, Mansur, 2014, "Dynamic Integration of Domestic Equity Price, Foreign Equity Price and Macroeconomic Indicators: Evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 57007, Jun.
• Gaspar, Catarina & Fuinhas, José Alberto & Marques, António Cardoso, 2014, "Endividamento antes e após a introdução do euro: análise ARDL do caso português
  [Indebtedness before and after euro: an ARDL analysis of Portugal]," MPRA Paper, University Library of Munich, Germany, number 57015, Jun.
• Antunes, João Marques & Fuinhas, José Alberto & Marques, António Cardoso, 2014, "Modelização VAR da volatilidade dos preços do ouro e dos índices dos mercados financeiros
  [Modelling the volatility of gold prices and financial stock indexes: a VAR approach]," MPRA Paper, University Library of Munich, Germany, number 57017, Jun.
• Saiti, Buerhan & Bacha, Obiyathulla & Masih, Mansur, 2014, "Is the global leadership of the US financial market over other financial markets shaken by 2007-2009 financial crisis? Evidence from Wavelet Analysis," MPRA Paper, University Library of Munich, Germany, number 57064, Jun.
• KARGI, Bilal, 2014, "Structural Breakage and Long Term Cointegration Analysis for Economic Growth in G-7, BRICS and MATIK Countries (1962-2012)," MPRA Paper, University Library of Munich, Germany, number 57106, Apr.
• Jiranyakul, Komain, 2014, "Oil price volatility and real effective exchange rate: the case of Thailand," MPRA Paper, University Library of Munich, Germany, number 57196, Jul.
• Proietti, Tommaso, 2014, "Exponential Smoothing, Long Memory and Volatility Prediction," MPRA Paper, University Library of Munich, Germany, number 57230, Jul.
• Jiranyakul, Komain, 2014, "Does oil price uncertainty transmit to the Thai stock market?," MPRA Paper, University Library of Munich, Germany, number 57262, Jun.
• Jiranyakul, Komain, 2014, "Does oil price uncertainty transmit to the Thai stock market?," MPRA Paper, University Library of Munich, Germany, number 57350, Jun.
• Jiranyakul, Komain, 2014, "Does oil price uncertainty transmit to the Thai stock market?," MPRA Paper, University Library of Munich, Germany, number 57395, Jun.
• Phiri, Andrew, 2014, "Re-evaluating Okun's law in South Africa: A nonlinear co-integration approach," MPRA Paper, University Library of Munich, Germany, number 57398, Jul.
• Medel, Carlos A., 2014, "Probabilidad Clásica de Sobreajuste con Criterios de Información: Estimaciones con Series Macroeconómicas Chilenas
  [Classical Probability of Overfitting with Information Criteria: Estimations with Chilean Macroeconomic Series]," MPRA Paper, University Library of Munich, Germany, number 57401, Jul.
• Di Giannatale, Paolo & Passarelli, Francesco, 2014, "Integration Contracts and Asset Complementarity: Theory and Evidence from US Data," MPRA Paper, University Library of Munich, Germany, number 57575, Jul.
• Shah, Anwar & Majeed, Muhammad Tariq, 2014, "Real Exchange Rate and Trade Balance in Pakistan: An ARDL Co-integration Approach," MPRA Paper, University Library of Munich, Germany, number 57674, Jul.
• el Alaoui, AbdelKader & Masih, Mansur & Bacha, Obiyathulla & Asutay, Mehmet, 2014, "Leverage versus volatility: Evidence from the Capital Structure of European Firms," MPRA Paper, University Library of Munich, Germany, number 57682, Jun.
• el Alaoui, AbdelKader & Masih, Mansur & Bacha, Obiyathulla & Asutay, Mehmet, 2014, "Leverage, Sensitivity to Market Risk and Contagion: A Multi-Country Analysis for Shari’ah(Islamic) Stock Screening," MPRA Paper, University Library of Munich, Germany, number 57685, Jun.
• Ilhan, Bilal & Masih, Mansur, 2014, "Do Portfolio Diversification Opportunities exist across the Euro Zone Islamic Equity Markets? MGARCH-DCC and Wavelet Correlation Analysis," MPRA Paper, University Library of Munich, Germany, number 57688, Jul.
• Hussan, Subithabhanu & Masih, Mansur, 2014, "Are The Profit Rates of the Islamic Investment Deposit Accounts Truly Performance Based? A Case Study of Malaysia," MPRA Paper, University Library of Munich, Germany, number 57689, Jul.
• Caleiro, António, 2014, "De novo acerca da sazonalidade nos nascimentos em Portugal
  [Again on the seasonality of births in Portugal]," MPRA Paper, University Library of Munich, Germany, number 57708, Aug.
• Rafi, Umar & Masih, Mansur, 2014, "Are Islamic Banks Truly Shariah Compliant? An Application of Time Series Multivariate Forecasting Techniques to Islamic Bank Financing," MPRA Paper, University Library of Munich, Germany, number 57711, Jul.
• Chong, Terence Tai Leung & Ding, Haoyuan & Park, Sung Y, 2014, "Nonlinear Dependence between Stock and Real Estate Markets in China," MPRA Paper, University Library of Munich, Germany, number 57774, Jul.
• Raza, Syed Ali & Shahbaz, Muhammad, 2014, "Energy Conservation Policies may affect Trade Performance in Pakistan: Confirmation of Feedback Hypothesis," MPRA Paper, University Library of Munich, Germany, number 57775, Feb.
• Francq, Christian & Horvath, Lajos & Zakoian, Jean-Michel, 2014, "Variance targeting estimation of multivariate GARCH models," MPRA Paper, University Library of Munich, Germany, number 57794, Aug.
• Ko, Stanley I. M. & Chong, Terence T. L. & Ghosh, Pulak, 2014, "Dirichlet Process Hidden Markov Multiple Change-point Model," MPRA Paper, University Library of Munich, Germany, number 57871, Aug.
• Zagaglia, Paolo, 2014, "International portfolio allocation with European fixed-income funds: What scope for Italian funds?," MPRA Paper, University Library of Munich, Germany, number 57878, Aug.
• Faul, Joseph & Khumalo, Bridgette & Pashe, Mpho & Khuzwayo, Miranda & Banda, Kamogelo & Jali, Senzo & Myeni, Bathandekile & Pule, Retlaodirela & Mosito, Boitshoko & Jack, Lona-u-Thando & Phiri, Andrew, 2014, "Is South Africa's inflation target too persistent for monetary policy conduct?," MPRA Paper, University Library of Munich, Germany, number 58233, Sep.
• Masih, Mansur & AbdulKarim, Fatima, 2014, "Dynamic causal chain of money, output, interest rate, exchange rate and prices: Nigeria as a case study," MPRA Paper, University Library of Munich, Germany, number 58240, Aug.
• Yildirim, Ramazan & Masih, A. Mansur M., 2014, "The Effect of Recent Financial Crisis over Global Portfolio Diversification Opportunities – Empirical Evidence A Comparative Multivariate GARCH-DCC, MODWT and Wavelet Correlation Analysis," MPRA Paper, University Library of Munich, Germany, number 58269, Aug.
• Jiranyakul, Komain, 2014, "Capital Formation in Thailand: Its Importance and Determinants," MPRA Paper, University Library of Munich, Germany, number 58442, Sep.
• Golmohammadpoor Azar, Kamran, 2014, "Estimation of Fractal Parameters of Tehran Stock Market Groups Time Series Using Discrete Wavelet Transform," MPRA Paper, University Library of Munich, Germany, number 58597, Jun.
• Barnett, William A. & Duzhak, Evgeniya A., 2014, "Structural Stability of the Generalized Taylor Rule," MPRA Paper, University Library of Munich, Germany, number 58737.
• Wesselbaum, Dennis, 2014, "How Large are Firing Costs? A Cross-Country Study," MPRA Paper, University Library of Munich, Germany, number 58762, Jun.
• Naseri, Marjan & Masih, Mansur, 2014, "Integration and Comovement of Developed and Emerging Islamic Stock Markets: A Case Study of Malaysia," MPRA Paper, University Library of Munich, Germany, number 58799, Aug.
• Ali, Mohsin & Masih, Mansur, 2014, "Does Indian Stock Market Provide Diversification Benefits Against Oil Price Shocks? A Sectoral Analysis," MPRA Paper, University Library of Munich, Germany, number 58828, Aug.
• Rahim, Adam Mohamed & Masih, Mansur, 2014, "Effects of Political Turmoil (Arab Spring) on Portfolio Diversification Benefits: Perspectives of the Moroccan Islamic Stock investors," MPRA Paper, University Library of Munich, Germany, number 58832, Aug.
• Omer, Gamal Salih & Masih, Mansur, 2014, "Estimating and Forecasting Conditional Volatility and Correlations of the Dow Jones Islamic Stock Market Index Using Multivariate GARCH-DCC," MPRA Paper, University Library of Munich, Germany, number 58862, Aug.
• Al Shugaa, Ameen & Masih, Mansur, 2014, "Uncertainty and Volatility in MENA Stock Markets During the Arab Spring," MPRA Paper, University Library of Munich, Germany, number 58867, Aug.
• Farouk, Faizal & Masih, Mansur, 2014, "Are There Profit (Returns) in Shariah-Compliant Exchange Traded Funds? The Multiscale Propensity," MPRA Paper, University Library of Munich, Germany, number 58869, Aug.
• Yusoff, Yuzlizawati & Masih, Mansur, 2014, "Comovement of East and West Stock Market Indexes," MPRA Paper, University Library of Munich, Germany, number 58872, Aug.