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

• Anton Velinov, 2014, "Assessing the Sustainability of Government Debt: On the Different States of the Debt/GDP Process," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1359.
• Micaela Ponce & Anne Neumann, 2014, "Elasticities of Supply for the US Natural Gas Market," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1372.
• Christian Dreger & Jürgen Wolters, 2014, "Unconventional Monetary Policy and Money Demand," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1382.
• Joscha Beckmann & Ansgar Belke & Christian Dreger, 2014, "The Relevance of International Spillovers and Asymmetric Effects in the Taylor Rule," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1416.
• Bertrand Caudelon & Sessi Tokpavi, 2014, "A Nonparametric Test for Granger-causality in Distribution with Application to Financial Contagion," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2014-18.
• Imane El Ouadghiri & Valerie Mignon & Nicolas Boitout, 2014, "On the impact of macroeconomic news surprises on Treasury-bond yields," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2014-20.
• Amélie Charles & Olivier Darné & Laurent Ferrara, 2014, "Does the Great Recession imply the end of the Great Moderation? International evidence," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2014-21.
• Zsofia KOMUVES & Miguel D. RAMIREZ, 2014, "FDI, Exchange Rate, and Economic Growth in Hungary, 1995-2012: Causality and Cointegration Analysis," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 14, issue 1, pages 45-58.
• Masini, Andrea & Aflaki, Sam, 2014, "Time Series Properties of the Renewable Energy Diffusion Process: Implications for Energy Policy Design and Assessment," HEC Research Papers Series, HEC Paris, number 1058, Sep.
• Abdelkamel Alj & Rajae Azrak & Guy Melard, 2014, "On Conditions in Central Limit Theorems for Martingale Difference Arrays Long Version," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2014-05, Jan.
• Krylova, Elizaveta & Darracq Pariès, Matthieu & Moccero, Diego & Marchini, Claudia, 2014, "The retail bank interest rate pass-through: The case of the euro area during the financial and sovereign debt crisis," Occasional Paper Series, European Central Bank, number 155, Sep.
• de Bondt, Gabe & Dieden, Heinz Christian & Muzikarova, Sona & Vincze, Istvan, 2014, "Modelling industrial new orders for the euro area," Statistics Paper Series, European Central Bank, number 6, Dec.
• Afonso, António & Gomes, Pedro & Taamouti, Abderrahim, 2014, "Sovereign credit ratings, market volatility, and financial gains," Working Paper Series, European Central Bank, number 1654, Mar.
• Hoerova, Marie & Bekaert, Geert, 2014, "The VIX, the variance premium and stock market volatility," Working Paper Series, European Central Bank, number 1675, May.
• Kenny, Geoff & Kostka, Thomas & Masera, Federico, 2014, "Density characteristics and density forecast performance: a panel analysis," Working Paper Series, European Central Bank, number 1679, May.
• Belke, Ansgar & Oeking, Anne & Setzer, Ralph, 2014, "Exports and capacity constraints - a smooth transition regression model for six euro area countries," Working Paper Series, European Central Bank, number 1740, Nov.
• Chang, Yoosoon & Sickles, Robin C. & Song, Wonho, 2014, "Bootstrapping Unit Root Tests with Covariates," Working Papers, Rice University, Department of Economics, number 15-009, Aug.
• Emmanuel Anoruo & Vasudeva N.R. Murthy, 2014, "Testing Nonlinear Inflation Convergence for the Central African Economic and Monetary Community," International Journal of Economics and Financial Issues, Econjournals, volume 4, issue 1, pages 1-7.
• Ngo My Tran & Walter Nonneman & Ann Jorissen, 2014, "Government Ownership and Firm Performance: The Case of Vietnam," International Journal of Economics and Financial Issues, Econjournals, volume 4, issue 3.
• Usman Owolabi Akeem & Fadipe Moses, 2014, "An Empirical Analysis of Allocative Efficiency of Nigerian CommercialBanks: A DEA Approach," International Journal of Economics and Financial Issues, Econjournals, volume 4, issue 3, pages 465-475.
• Ghazi Al-Assaf & Abdullah M. Al-Malki, 2014, "Modelling the Macroeconomic Determinants of Workers' Remittances: The Case of Jordan," International Journal of Economics and Financial Issues, Econjournals, volume 4, issue 3, pages 514-526.
• Emna Rouetbi & Chokri Mamoghli, 2014, "Measuring Liquidity in an Emerging Market: The Tunis Stock Exchange," International Journal of Economics and Financial Issues, Econjournals, volume 4, issue 4, pages 920-929.
• Girish Godekere Panchakshara Murthy & Vijayalakshmi Sedidi, 2014, "Forecasting Electricity Prices in Deregulated Wholesale Spot Electricity Market: A Review," International Journal of Energy Economics and Policy, Econjournals, volume 4, issue 1, pages 32-42.
• Y lmaz BAYAR & Cuneyt KILIC, 2014, "Effects of Oil and Natural Gas Prices on Industrial Production in the Eurozone Member Countries," International Journal of Energy Economics and Policy, Econjournals, volume 4, issue 2, pages 238-247.
• Eyup DOGAN, 2014, "Energy Consumption and Economic Growth: Evidence from Low-Income Countries in Sub-Saharan Africa," International Journal of Energy Economics and Policy, Econjournals, volume 4, issue 2, pages 154-162.
• Patrick Withey, 2014, "Energy Use, Income and Carbon Dioxide Emissions: Direct and Multi-Horizon Causality in Canada," International Journal of Energy Economics and Policy, Econjournals, volume 4, issue 2, pages 178-188.
• Rafik Nazarian & Ashkan Amiri, 2014, "Asymmetry of the Oil Price Pass Through to Inflation in Iran," International Journal of Energy Economics and Policy, Econjournals, volume 4, issue 3, pages 457-464.
• Yen-Hsien Lee & Ya-Ling Huang & Chun-Yu Wu, 2014, "Dynamic Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns: The Implications for Optimal Portfolio Construction," International Journal of Energy Economics and Policy, Econjournals, volume 4, issue 3, pages 327-336.
• Emmanuel Anoruo & William R. DiPietro, 2014, "Convergence in Per Capita Energy Consumption among African Countries: Evidence from Sequential Panel Selection Method," International Journal of Energy Economics and Policy, Econjournals, volume 4, issue 4, pages 568-577.
• Abbas Ali Abounoori & Rafik Nazarian & Ashkan Amiri, 2014, "Oil Price Pass-Through into Domestic Inflation: The Case of Iran," International Journal of Energy Economics and Policy, Econjournals, volume 4, issue 4, pages 662-669.
• Andre Assis de Salles, 2014, "Some Evidence on the Asymmetry between Gasoline and Crude Oil Prices in Selected Countries," International Journal of Energy Economics and Policy, Econjournals, volume 4, issue 4, pages 670-678.
• Ilter HELVACI & Mithat TURHAN, 2014, "Tükenmiþlik Düzeylerinin Ýncelenmesi: Silifke’de Görev Yapan Saðlýk Çalýþanlarý Üzerinde Bir Araþtýrma," Isletme ve Iktisat Calismalari Dergisi, Econjournals, volume 1, issue 4, pages 58-68.
• Emrah Koçak, 2014, "Türkiye’de Çevresel Kuznets Eðrisi Hipotezinin Geçerliliði: ARDL Sýnýr Testi Yaklaþýmý," Isletme ve Iktisat Calismalari Dergisi, Econjournals, volume 2, issue 3, pages 62-73.
• Korobilis, Dimitris, 2014, "Data-based priors for vector autoregressions with drifting coefficients," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2014-022, Jan.
• Juan Carlos Cuestas & Luis A. Gil-Alana & Paolo Jose Regis, 2014, "On the changes in the sustainability of European external debt: what have we learned," Bank of Estonia Working Papers, Bank of Estonia, number wp2014-3, Oct, revised 10 Oct 2014.
• Mariam Camarero & Josep Lluís Carrion-i-Silvestre & Cecilio Tamarit, 2014, "The relationship between debt level and fiscal sustainability in OECD countries," Working Papers, Department of Applied Economics II, Universidad de Valencia, number 1402, Apr.
• Stefano Cló & Gaetano D’Adamo, 2014, "The Impact of Solar Penetration on Solar and Gas Market Value: an application to the Italian Power Market," Working Papers, Department of Applied Economics II, Universidad de Valencia, number 1405, May.
• Mariam Camarero & Inmaculada Martínez-Zarzoso & Felicitas Nowak-Lehmann D. & Cecilio Tamarit, 2014, "Trade Openness And Income: A Tale Of Two Regions," Working Papers, Department of Applied Economics II, Universidad de Valencia, number 1409, Sep.
• Chan, Kenneth S. & Lai, Jennifer T. & Yan, Isabel K.M., 2014, "Consumption risk sharing and self-insurance across provinces in China: 1952–2008," China Economic Review, Elsevier, volume 30, issue C, pages 66-85, DOI: 10.1016/j.chieco.2014.05.011.
• Grassi, S. & Proietti, T., 2014, "Characterising economic trends by Bayesian stochastic model specification search," Computational Statistics & Data Analysis, Elsevier, volume 71, issue C, pages 359-374, DOI: 10.1016/j.csda.2013.02.024.
• Afonso, António & Gomes, Pedro & Taamouti, Abderrahim, 2014, "Sovereign credit ratings, market volatility, and financial gains," Computational Statistics & Data Analysis, Elsevier, volume 76, issue C, pages 20-33, DOI: 10.1016/j.csda.2013.09.028.
• Grassi, Stefano & Santucci de Magistris, Paolo, 2014, "When long memory meets the Kalman filter: A comparative study," Computational Statistics & Data Analysis, Elsevier, volume 76, issue C, pages 301-319, DOI: 10.1016/j.csda.2012.10.018.
• Harvey, Andrew & Sucarrat, Genaro, 2014, "EGARCH models with fat tails, skewness and leverage," Computational Statistics & Data Analysis, Elsevier, volume 76, issue C, pages 320-338, DOI: 10.1016/j.csda.2013.09.022.
• Kiviet, Jan F. & Phillips, Garry D.A., 2014, "Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models," Computational Statistics & Data Analysis, Elsevier, volume 76, issue C, pages 424-448, DOI: 10.1016/j.csda.2013.09.021.
• Martins, Luis F. & Rodrigues, Paulo M.M., 2014, "Testing for persistence change in fractionally integrated models: An application to world inflation rates," Computational Statistics & Data Analysis, Elsevier, volume 76, issue C, pages 502-522, DOI: 10.1016/j.csda.2012.07.021.
• Rombouts, Jeroen V.K. & Stentoft, Lars, 2014, "Bayesian option pricing using mixed normal heteroskedasticity models," Computational Statistics & Data Analysis, Elsevier, volume 76, issue C, pages 588-605, DOI: 10.1016/j.csda.2013.06.023.
• Auray, Stéphane & Eyquem, Aurélien & Jouneau-Sion, Frédéric, 2014, "Modeling tails of aggregate economic processes in a stochastic growth model," Computational Statistics & Data Analysis, Elsevier, volume 76, issue C, pages 76-94, DOI: 10.1016/j.csda.2014.02.011.
• Gustavsson, Magnus & Österholm, Pär, 2014, "Does the labor-income process contain a unit root? Evidence from individual-specific time series," Journal of Economic Dynamics and Control, Elsevier, volume 47, issue C, pages 152-167, DOI: 10.1016/j.jedc.2014.07.012.
• Bu, Di & Liao, Yin, 2014, "Corporate credit risk prediction under stochastic volatility and jumps," Journal of Economic Dynamics and Control, Elsevier, volume 47, issue C, pages 263-281, DOI: 10.1016/j.jedc.2014.08.006.
• Öge Güney, Pelin & Hasanov, Mübariz, 2014, "Real interest rate parity hypothesis in post-Soviet countries: Evidence from unit root tests," Economic Modelling, Elsevier, volume 36, issue C, pages 120-129, DOI: 10.1016/j.econmod.2013.09.017.
• Su, Jen-Je & Cheung, Adrian (Wai-Kong) & Roca, Eduardo, 2014, "Does Purchasing Power Parity hold? New evidence from wild-bootstrapped nonlinear unit root tests in the presence of heteroskedasticity," Economic Modelling, Elsevier, volume 36, issue C, pages 161-171, DOI: 10.1016/j.econmod.2013.09.029.
• Çelik, Sibel & Ergin, Hüseyin, 2014, "Volatility forecasting using high frequency data: Evidence from stock markets," Economic Modelling, Elsevier, volume 36, issue C, pages 176-190, DOI: 10.1016/j.econmod.2013.09.038.
• Reboredo, Juan C., 2014, "Volatility spillovers between the oil market and the European Union carbon emission market," Economic Modelling, Elsevier, volume 36, issue C, pages 229-234, DOI: 10.1016/j.econmod.2013.09.039.
• Todorova, Neda & Souček, Michael, 2014, "The impact of trading volume, number of trades and overnight returns on forecasting the daily realized range," Economic Modelling, Elsevier, volume 36, issue C, pages 332-340, DOI: 10.1016/j.econmod.2013.10.003.
• Narayan, Paresh Kumar, 2014, "Response of inflation to shocks: New evidence from Sub-Saharan African countries," Economic Modelling, Elsevier, volume 36, issue C, pages 378-382, DOI: 10.1016/j.econmod.2013.10.016.
• Hatemi-J, Abdulnasser & Roca, Eduardo & Al-Shayeb, Abdulrahman, 2014, "How integrated are real estate markets with the world market? Evidence from case-wise bootstrap analysis," Economic Modelling, Elsevier, volume 37, issue C, pages 137-142, DOI: 10.1016/j.econmod.2013.10.037.
• Moya-Martínez, Pablo & Ferrer-Lapeña, Román & Escribano-Sotos, Francisco, 2014, "Oil price risk in the Spanish stock market: An industry perspective," Economic Modelling, Elsevier, volume 37, issue C, pages 280-290, DOI: 10.1016/j.econmod.2013.11.014.
• Ismail, Aisha & Amjad, Shehla, 2014, "Determinants of terrorism in Pakistan: An empirical investigation," Economic Modelling, Elsevier, volume 37, issue C, pages 320-331, DOI: 10.1016/j.econmod.2013.11.012.
• Tiwari, Aviral Kumar & Oros, Cornel & Albulescu, Claudiu Tiberiu, 2014, "Revisiting the inflation–output gap relationship for France using a wavelet transform approach," Economic Modelling, Elsevier, volume 37, issue C, pages 464-475, DOI: 10.1016/j.econmod.2013.11.039.
• Lee, Kuei-Chiu, 2014, "Is per capita real GDP stationary in China? Sequential panel selection method," Economic Modelling, Elsevier, volume 37, issue C, pages 507-517, DOI: 10.1016/j.econmod.2013.11.040.
• Long, Ling & Tsui, Albert K. & Zhang, Zhaoyong, 2014, "Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market," Economic Modelling, Elsevier, volume 37, issue C, pages 89-102, DOI: 10.1016/j.econmod.2013.11.002.
• Gozbasi, Onur & Kucukkaplan, Ilhan & Nazlioglu, Saban, 2014, "Re-examining the Turkish stock market efficiency: Evidence from nonlinear unit root tests," Economic Modelling, Elsevier, volume 38, issue C, pages 381-384, DOI: 10.1016/j.econmod.2014.01.021.
• Yaya, OlaOluwa S. & Gil-Alana, Luis A., 2014, "The persistence and asymmetric volatility in the Nigerian stock bull and bear markets," Economic Modelling, Elsevier, volume 38, issue C, pages 463-469, DOI: 10.1016/j.econmod.2014.01.004.
• Chen, Shyh-Wei, 2014, "Smooth transition, non-linearity and current account sustainability: Evidence from the European countries," Economic Modelling, Elsevier, volume 38, issue C, pages 541-554, DOI: 10.1016/j.econmod.2014.02.003.
• Cecen, Aydin & Xiao, Linlan, 2014, "Capital flows and current account dynamics in Turkey: A nonlinear time series analysis," Economic Modelling, Elsevier, volume 39, issue C, pages 240-246, DOI: 10.1016/j.econmod.2014.03.010.
• Shahbaz, Muhammad & Arouri, Mohamed & Teulon, Frédéric, 2014, "Short- and long-run relationships between natural gas consumption and economic growth: Evidence from Pakistan," Economic Modelling, Elsevier, volume 41, issue C, pages 219-226, DOI: 10.1016/j.econmod.2014.05.019.
• Chuang, Chung-Chu & Wang, Yi-Hsien & Yeh, Tsai-Jung & Chuang, Shuo-Li, 2014, "Backtesting VaR in consideration of the higher moments of the distribution for minimum-variance hedging portfolios," Economic Modelling, Elsevier, volume 42, issue C, pages 15-19, DOI: 10.1016/j.econmod.2014.05.037.
• Potrafke, Niklas & Reischmann, Markus, 2014, "Explosive Target balances of the German Bundesbank," Economic Modelling, Elsevier, volume 42, issue C, pages 439-444, DOI: 10.1016/j.econmod.2014.07.008.
• Caporale, Guglielmo Maria & Di Colli, Stefano & Lopez, Juan Sergio, 2014, "Bank lending procyclicality and credit quality during financial crises," Economic Modelling, Elsevier, volume 43, issue C, pages 142-157, DOI: 10.1016/j.econmod.2014.07.031.
• Tiwari, Aviral Kumar & Kyophilavong, Phouphet, 2014, "New evidence from the random walk hypothesis for BRICS stock indices: a wavelet unit root test approach," Economic Modelling, Elsevier, volume 43, issue C, pages 38-41, DOI: 10.1016/j.econmod.2014.07.005.
• Valadkhani, Abbas & Worthington, Andrew, 2014, "Asymmetric behavior of Australia's Big-4 banks in the mortgage market," Economic Modelling, Elsevier, volume 43, issue C, pages 57-66, DOI: 10.1016/j.econmod.2014.07.044.
• Bailliu, Jeannine & Dib, Ali & Kano, Takashi & Schembri, Lawrence, 2014, "Multilateral adjustment, regime switching and real exchange rate dynamics," The North American Journal of Economics and Finance, Elsevier, volume 27, issue C, pages 68-87, DOI: 10.1016/j.najef.2013.11.003.
• Herrera, Rodrigo & Schipp, Bernhard, 2014, "Statistics of extreme events in risk management: The impact of the subprime and global financial crisis on the German stock market," The North American Journal of Economics and Finance, Elsevier, volume 29, issue C, pages 218-238, DOI: 10.1016/j.najef.2014.06.013.
• Chang, Chia-Lin & Hsu, Hui-Kuang & McAleer, Michael, 2014, "The impact of China on stock returns and volatility in the Taiwan tourism industry," The North American Journal of Economics and Finance, Elsevier, volume 29, issue C, pages 381-401, DOI: 10.1016/j.najef.2014.06.007.
• Harvey, David I. & Leybourne, Stephen J., 2014, "Asymptotic behaviour of tests for a unit root against an explosive alternative," Economics Letters, Elsevier, volume 122, issue 1, pages 64-68, DOI: 10.1016/j.econlet.2013.11.006.
• Götz, Thomas B. & Hecq, Alain, 2014, "Nowcasting causality in mixed frequency vector autoregressive models," Economics Letters, Elsevier, volume 122, issue 1, pages 74-78, DOI: 10.1016/j.econlet.2013.10.037.
• Iglesias, Emma M., 2014, "Testing of the mean reversion parameter in continuous time models," Economics Letters, Elsevier, volume 122, issue 2, pages 187-189, DOI: 10.1016/j.econlet.2013.11.022.
• Douglas, Christopher C. & Herrera, Ana María, 2014, "Dynamic pricing and asymmetries in retail gasoline markets: What can they tell us about price stickiness?," Economics Letters, Elsevier, volume 122, issue 2, pages 247-252, DOI: 10.1016/j.econlet.2013.11.025.
• Ardia, David & Hoogerheide, Lennart F., 2014, "GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts," Economics Letters, Elsevier, volume 123, issue 2, pages 187-190, DOI: 10.1016/j.econlet.2014.02.008.
• Alj, Abdelkamel & Azrak, Rajae & Mélard, Guy, 2014, "On conditions in central limit theorems for martingale difference arrays," Economics Letters, Elsevier, volume 123, issue 3, pages 305-307, DOI: 10.1016/j.econlet.2014.03.008.
• Baek, Changryong & Fortuna, Natércia & Pipiras, Vladas, 2014, "Can Markov switching model generate long memory?," Economics Letters, Elsevier, volume 124, issue 1, pages 117-121, DOI: 10.1016/j.econlet.2014.04.030.
• Camarero, Mariam & Gómez, Estrella & Tamarit, Cecilio, 2014, "Is the ‘euro effect’ on trade so small after all? New evidence using gravity equations with panel cointegration techniques," Economics Letters, Elsevier, volume 124, issue 1, pages 140-142, DOI: 10.1016/j.econlet.2014.04.033.
• Karavias, Yiannis & Tzavalis, Elias, 2014, "A fixed-T version of Breitung’s panel data unit root test," Economics Letters, Elsevier, volume 124, issue 1, pages 83-87, DOI: 10.1016/j.econlet.2014.04.029.
• Han, Heejoon & Park, Joon Y., 2014, "GARCH with omitted persistent covariate," Economics Letters, Elsevier, volume 124, issue 2, pages 248-254, DOI: 10.1016/j.econlet.2014.05.016.
• Demetrescu, Matei, 2014, "Enhancing the local power of IVX-based tests in predictive regressions," Economics Letters, Elsevier, volume 124, issue 2, pages 269-273, DOI: 10.1016/j.econlet.2014.05.032.
• Hassler, Uwe, 2014, "Persistence under temporal aggregation and differencing," Economics Letters, Elsevier, volume 124, issue 2, pages 318-322, DOI: 10.1016/j.econlet.2014.06.011.
• Lee, Oesook, 2014, "The functional central limit theorem and structural change test for the HAR(∞) model," Economics Letters, Elsevier, volume 124, issue 3, pages 370-373, DOI: 10.1016/j.econlet.2014.06.029.
• Ding, Haoyuan & Chong, Terence Tai-leung & Park, Sung Y., 2014, "Nonlinear dependence between stock and real estate markets in China," Economics Letters, Elsevier, volume 124, issue 3, pages 526-529, DOI: 10.1016/j.econlet.2014.05.035.
• Caraiani, Petre, 2014, "What drives the nonlinearity of time series: A frequency perspective," Economics Letters, Elsevier, volume 125, issue 1, pages 40-42, DOI: 10.1016/j.econlet.2014.07.002.
• Lahaye, Jerome & Shaw, Philip, 2014, "Can we reject linearity in an HAR-RV model for the S&P 500? Insights from a nonparametric HAR-RV," Economics Letters, Elsevier, volume 125, issue 1, pages 43-46, DOI: 10.1016/j.econlet.2014.07.003.
• Hwang, Eunju & Shin, Dong Wan, 2014, "A bootstrap test for jumps in financial economics," Economics Letters, Elsevier, volume 125, issue 1, pages 74-78, DOI: 10.1016/j.econlet.2014.08.024.
• Neto, David, 2014, "The FMLS-based CUSUM statistic for testing the null of smooth time-varying cointegration in the presence of a structural break," Economics Letters, Elsevier, volume 125, issue 2, pages 208-211, DOI: 10.1016/j.econlet.2014.09.009.
• Hassler, Uwe & Hosseinkouchack, Mehdi, 2014, "Effect of the order of fractional integration on impulse responses," Economics Letters, Elsevier, volume 125, issue 2, pages 311-314, DOI: 10.1016/j.econlet.2014.09.010.
• Lee, Oesook & Lee, Jungwha, 2014, "The functional central limit theorem for the multivariate MS–ARMA–GARCH model," Economics Letters, Elsevier, volume 125, issue 3, pages 331-335, DOI: 10.1016/j.econlet.2014.10.002.
• Qian, Junhui & Su, Liangjun, 2014, "Structural change estimation in time series regressions with endogenous variables," Economics Letters, Elsevier, volume 125, issue 3, pages 415-421, DOI: 10.1016/j.econlet.2014.10.021.
• Gu, Jingping & Liang, Zhongwen, 2014, "Testing cointegration relationship in a semiparametric varying coefficient model," Journal of Econometrics, Elsevier, volume 178, issue P1, pages 57-70, DOI: 10.1016/j.jeconom.2013.08.006.
• Hsu, Shih-Hsun & Kuan, Chung-Ming, 2014, "Constructing smooth tests without estimating the eigenpairs of the limiting process," Journal of Econometrics, Elsevier, volume 178, issue P1, pages 71-79, DOI: 10.1016/j.jeconom.2013.08.007.
• Gan, Li & Hsiao, Cheng & Xu, Shu, 2014, "Model specification test with correlated but not cointegrated variables," Journal of Econometrics, Elsevier, volume 178, issue P1, pages 80-85, DOI: 10.1016/j.jeconom.2013.08.008.
• Phillips, Peter C.B., 2014, "Optimal estimation of cointegrated systems with irrelevant instruments," Journal of Econometrics, Elsevier, volume 178, issue P2, pages 210-224, DOI: 10.1016/j.jeconom.2013.08.022.
• Robinson, Peter M., 2014, "The estimation of misspecified long memory models," Journal of Econometrics, Elsevier, volume 178, issue P2, pages 225-230, DOI: 10.1016/j.jeconom.2013.08.023.
• Chambers, Marcus J. & Ercolani, Joanne S. & Taylor, A.M. Robert, 2014, "Testing for seasonal unit roots by frequency domain regression," Journal of Econometrics, Elsevier, volume 178, issue P2, pages 243-258, DOI: 10.1016/j.jeconom.2013.08.025.
• Castle, Jennifer L. & Hendry, David F., 2014, "Model selection in under-specified equations facing breaks," Journal of Econometrics, Elsevier, volume 178, issue P2, pages 286-293, DOI: 10.1016/j.jeconom.2013.08.028.
• Berenguer-Rico, Vanessa & Gonzalo, Jesús, 2014, "Summability of stochastic processes—A generalization of integration for non-linear processes," Journal of Econometrics, Elsevier, volume 178, issue P2, pages 331-341, DOI: 10.1016/j.jeconom.2013.08.031.
• Kim, Hyun Hak & Swanson, Norman R., 2014, "Forecasting financial and macroeconomic variables using data reduction methods: New empirical evidence," Journal of Econometrics, Elsevier, volume 178, issue P2, pages 352-367, DOI: 10.1016/j.jeconom.2013.08.033.
• Bauwens, Luc & Dufays, Arnaud & Rombouts, Jeroen V.K., 2014, "Marginal likelihood for Markov-switching and change-point GARCH models," Journal of Econometrics, Elsevier, volume 178, issue P3, pages 508-522, DOI: 10.1016/j.jeconom.2013.08.017.
• Choi, Hwan-sik & Jeong, Minsoo & Park, Joon Y., 2014, "An asymptotic analysis of likelihood-based diffusion model selection using high frequency data," Journal of Econometrics, Elsevier, volume 178, issue P3, pages 539-557, DOI: 10.1016/j.jeconom.2013.08.036.
• Armstrong, Timothy B. & Bertanha, Marinho & Hong, Han, 2014, "A fast resample method for parametric and semiparametric models," Journal of Econometrics, Elsevier, volume 179, issue 2, pages 128-133, DOI: 10.1016/j.jeconom.2014.01.001.
• Liu, Cheng & Tang, Cheng Yong, 2014, "A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data," Journal of Econometrics, Elsevier, volume 180, issue 2, pages 217-232, DOI: 10.1016/j.jeconom.2014.01.008.
• Ibragimov, Rustam, 2014, "On the robustness of location estimators in models of firm growth under heavy-tailedness," Journal of Econometrics, Elsevier, volume 181, issue 1, pages 25-33, DOI: 10.1016/j.jeconom.2014.02.005.
• Lee, Wei-Ming & Kuan, Chung-Ming & Hsu, Yu-Chin, 2014, "Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix," Journal of Econometrics, Elsevier, volume 181, issue 2, pages 181-193, DOI: 10.1016/j.jeconom.2014.04.002.
• Corradi, Valentina & Swanson, Norman R., 2014, "Testing for structural stability of factor augmented forecasting models," Journal of Econometrics, Elsevier, volume 182, issue 1, pages 100-118, DOI: 10.1016/j.jeconom.2014.04.011.
• Giacomini, Raffaella & Ragusa, Giuseppe, 2014, "Theory-coherent forecasting," Journal of Econometrics, Elsevier, volume 182, issue 1, pages 145-155, DOI: 10.1016/j.jeconom.2014.04.014.
• Hendry, David F. & Mizon, Grayham E., 2014, "Unpredictability in economic analysis, econometric modeling and forecasting," Journal of Econometrics, Elsevier, volume 182, issue 1, pages 186-195, DOI: 10.1016/j.jeconom.2014.04.017.
• Su, Liangjun & White, Halbert, 2014, "Testing conditional independence via empirical likelihood," Journal of Econometrics, Elsevier, volume 182, issue 1, pages 27-44, DOI: 10.1016/j.jeconom.2014.04.006.
• Hou, Jie & Perron, Pierre, 2014, "Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations," Journal of Econometrics, Elsevier, volume 182, issue 2, pages 309-328, DOI: 10.1016/j.jeconom.2014.05.004.
• Bekaert, Geert & Hoerova, Marie, 2014, "The VIX, the variance premium and stock market volatility," Journal of Econometrics, Elsevier, volume 183, issue 2, pages 181-192, DOI: 10.1016/j.jeconom.2014.05.008.
• Belloumi, Mounir, 2014, "The relationship between trade, FDI and economic growth in Tunisia: An application of the autoregressive distributed lag model," Economic Systems, Elsevier, volume 38, issue 2, pages 269-287, DOI: 10.1016/j.ecosys.2013.09.002.
• Dewandaru, Ginanjar & Rizvi, Syed Aun R. & Masih, Rumi & Masih, Mansur & Alhabshi, Syed Othman, 2014, "Stock market co-movements: Islamic versus conventional equity indices with multi-timescales analysis," Economic Systems, Elsevier, volume 38, issue 4, pages 553-571, DOI: 10.1016/j.ecosys.2014.05.003.
• Cheng, Ai-Ru & Jahan-Parvar, Mohammad R., 2014, "Risk–return trade-off in the pacific basin equity markets," Emerging Markets Review, Elsevier, volume 18, issue C, pages 123-140, DOI: 10.1016/j.ememar.2014.01.004.
• Amado, Cristina & Teräsvirta, Timo, 2014, "Modelling changes in the unconditional variance of long stock return series," Journal of Empirical Finance, Elsevier, volume 25, issue C, pages 15-35, DOI: 10.1016/j.jempfin.2013.09.003.
• McKenzie, Michael & Satchell, Stephen & Wongwachara, Warapong, 2014, "Converting true returns into reported returns: A general theory of linear smoothing and anti-smoothing," Journal of Empirical Finance, Elsevier, volume 28, issue C, pages 215-229, DOI: 10.1016/j.jempfin.2014.07.003.
• Aslanidis, Nektarios & Christiansen, Charlotte, 2014, "Quantiles of the realized stock–bond correlation and links to the macroeconomy," Journal of Empirical Finance, Elsevier, volume 28, issue C, pages 321-331, DOI: 10.1016/j.jempfin.2014.03.007.
• Lehkonen, Heikki & Heimonen, Kari, 2014, "Timescale-dependent stock market comovement: BRICs vs. developed markets," Journal of Empirical Finance, Elsevier, volume 28, issue C, pages 90-103, DOI: 10.1016/j.jempfin.2014.06.002.
• Baillie, Richard T. & Kapetanios, George & Papailias, Fotis, 2014, "Bandwidth selection by cross-validation for forecasting long memory financial time series," Journal of Empirical Finance, Elsevier, volume 29, issue C, pages 129-143, DOI: 10.1016/j.jempfin.2014.04.002.
• Astill, Sam & Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2014, "Robust tests for a linear trend with an application to equity indices," Journal of Empirical Finance, Elsevier, volume 29, issue C, pages 168-185, DOI: 10.1016/j.jempfin.2014.02.004.
• Janus, Paweł & Koopman, Siem Jan & Lucas, André, 2014, "Long memory dynamics for multivariate dependence under heavy tails," Journal of Empirical Finance, Elsevier, volume 29, issue C, pages 187-206, DOI: 10.1016/j.jempfin.2014.09.007.
• Bauwens, Luc & De Backer, Bruno & Dufays, Arnaud, 2014, "A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models," Journal of Empirical Finance, Elsevier, volume 29, issue C, pages 207-229, DOI: 10.1016/j.jempfin.2014.06.008.
• Monticini, Andrea & Ravazzolo, Francesco, 2014, "Forecasting the intraday market price of money," Journal of Empirical Finance, Elsevier, volume 29, issue C, pages 304-315, DOI: 10.1016/j.jempfin.2014.08.006.
• Dendramis, Yiannis & Kapetanios, George & Tzavalis, Elias, 2014, "Level shifts in stock returns driven by large shocks," Journal of Empirical Finance, Elsevier, volume 29, issue C, pages 41-51, DOI: 10.1016/j.jempfin.2014.04.001.
• Hassler, Uwe & Rodrigues, Paulo M.M. & Rubia, Antonio, 2014, "Persistence in the banking industry: Fractional integration and breaks in memory," Journal of Empirical Finance, Elsevier, volume 29, issue C, pages 95-112, DOI: 10.1016/j.jempfin.2014.03.004.
• Chkili, Walid & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2014, "Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory," Energy Economics, Elsevier, volume 41, issue C, pages 1-18, DOI: 10.1016/j.eneco.2013.10.011.
• Narayan, Paresh Kumar & Sharma, Susan & Poon, Wai Ching & Westerlund, Joakim, 2014, "Do oil prices predict economic growth? New global evidence," Energy Economics, Elsevier, volume 41, issue C, pages 137-146, DOI: 10.1016/j.eneco.2013.11.003.
• Wen, Xiaoqian & Guo, Yanfeng & Wei, Yu & Huang, Dengshi, 2014, "How do the stock prices of new energy and fossil fuel companies correlate? Evidence from China," Energy Economics, Elsevier, volume 41, issue C, pages 63-75, DOI: 10.1016/j.eneco.2013.10.018.
• Zhang, Dengjun & Asche, Frank & Oglend, Atle, 2014, "Ethanol and trade: An analysis of price transmission in the US market," Energy Economics, Elsevier, volume 42, issue C, pages 1-8, DOI: 10.1016/j.eneco.2013.11.012.
• Reboredo, Juan Carlos & Rivera-Castro, Miguel A. & Zebende, Gilney F., 2014, "Oil and US dollar exchange rate dependence: A detrended cross-correlation approach," Energy Economics, Elsevier, volume 42, issue C, pages 132-139, DOI: 10.1016/j.eneco.2013.12.008.
• Bastianin, Andrea & Galeotti, Marzio & Manera, Matteo, 2014, "Causality and predictability in distribution: The ethanol–food price relation revisited," Energy Economics, Elsevier, volume 42, issue C, pages 152-160, DOI: 10.1016/j.eneco.2013.12.014.
• Chen, Pei-Fen & Lee, Chien-Chiang & Zeng, Jhih-Hong, 2014, "The relationship between spot and futures oil prices: Do structural breaks matter?," Energy Economics, Elsevier, volume 43, issue C, pages 206-217, DOI: 10.1016/j.eneco.2014.03.006.
• Lisi, Francesco & Nan, Fany, 2014, "Component estimation for electricity prices: Procedures and comparisons," Energy Economics, Elsevier, volume 44, issue C, pages 143-159, DOI: 10.1016/j.eneco.2014.03.018.
• Ketterer, Janina C., 2014, "The impact of wind power generation on the electricity price in Germany," Energy Economics, Elsevier, volume 44, issue C, pages 270-280, DOI: 10.1016/j.eneco.2014.04.003.
• Cludius, Johanna & Hermann, Hauke & Matthes, Felix Chr. & Graichen, Verena, 2014, "The merit order effect of wind and photovoltaic electricity generation in Germany 2008–2016: Estimation and distributional implications," Energy Economics, Elsevier, volume 44, issue C, pages 302-313, DOI: 10.1016/j.eneco.2014.04.020.
• Cologni, Alessandro & Manera, Matteo, 2014, "On the economic determinants of oil production," Energy Economics, Elsevier, volume 44, issue C, pages 68-79, DOI: 10.1016/j.eneco.2014.03.019.
• Madaleno, Mara & Pinho, Carlos, 2014, "Wavelet dynamics for oil-stock world interactions," Energy Economics, Elsevier, volume 45, issue C, pages 120-133, DOI: 10.1016/j.eneco.2014.06.024.
• Gil-Alana, Luis A. & Gupta, Rangan, 2014, "Persistence and cycles in historical oil price data," Energy Economics, Elsevier, volume 45, issue C, pages 511-516, DOI: 10.1016/j.eneco.2014.08.018.
• Gil-Alana, Luis A. & Yaya, OlaOluwa S., 2014, "The relationship between oil prices and the Nigerian stock market. An analysis based on fractional integration and cointegration," Energy Economics, Elsevier, volume 46, issue C, pages 328-333, DOI: 10.1016/j.eneco.2014.10.001.
• Chang, Yoosoon & Kim, Chang Sik & Miller, J. Isaac & Park, Joon Y. & Park, Sungkeun, 2014, "Time-varying Long-run Income and Output Elasticities of Electricity Demand with an Application to Korea," Energy Economics, Elsevier, volume 46, issue C, pages 334-347, DOI: 10.1016/j.eneco.2014.10.003.
• Nowotarski, Jakub & Raviv, Eran & Trück, Stefan & Weron, Rafał, 2014, "An empirical comparison of alternative schemes for combining electricity spot price forecasts," Energy Economics, Elsevier, volume 46, issue C, pages 395-412, DOI: 10.1016/j.eneco.2014.07.014.
• Pan, Zhiyuan & Wang, Yudong & Yang, Li, 2014, "Hedging crude oil using refined product: A regime switching asymmetric DCC approach," Energy Economics, Elsevier, volume 46, issue C, pages 472-484, DOI: 10.1016/j.eneco.2014.05.014.
• Bastianin, Andrea & Galeotti, Marzio & Manera, Matteo, 2014, "Forecasting the oil–gasoline price relationship: Do asymmetries help?," Energy Economics, Elsevier, volume 46, issue S1, pages 44-56, DOI: 10.1016/j.eneco.2014.08.006.
• Mishra, Vinod & Smyth, Russell, 2014, "Is monthly US natural gas consumption stationary? New evidence from a GARCH unit root test with structural breaks," Energy Policy, Elsevier, volume 69, issue C, pages 258-262, DOI: 10.1016/j.enpol.2014.03.033.
• Creti, Anna & Ftiti, Zied & Guesmi, Khaled, 2014, "Oil price and financial markets: Multivariate dynamic frequency analysis," Energy Policy, Elsevier, volume 73, issue C, pages 245-258, DOI: 10.1016/j.enpol.2014.05.057.
• Bildirici, Melike E. & Bakirtas, Tahsin, 2014, "The relationship among oil, natural gas and coal consumption and economic growth in BRICTS (Brazil, Russian, India, China, Turkey and South Africa) countries," Energy, Elsevier, volume 65, issue C, pages 134-144, DOI: 10.1016/j.energy.2013.12.006.
• Katircioğlu, Salih Turan, 2014, "Estimating higher education induced energy consumption: The case of Northern Cyprus," Energy, Elsevier, volume 66, issue C, pages 831-838, DOI: 10.1016/j.energy.2013.12.040.
• Shahbaz, Muhammad & Khraief, Naceur & Mahalik, Mantu Kumar & Zaman, Khair Uz, 2014, "Are fluctuations in natural gas consumption per capita transitory? Evidence from time series and panel unit root tests," Energy, Elsevier, volume 78, issue C, pages 183-195, DOI: 10.1016/j.energy.2014.09.080.
• Liu, Lu, 2014, "Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets," International Review of Financial Analysis, Elsevier, volume 33, issue C, pages 39-48, DOI: 10.1016/j.irfa.2013.07.009.
• Avino, Davide & Nneji, Ogonna, 2014, "Are CDS spreads predictable? An analysis of linear and non-linear forecasting models," International Review of Financial Analysis, Elsevier, volume 34, issue C, pages 262-274, DOI: 10.1016/j.irfa.2014.04.001.
• Batten, Jonathan A. & Jacoby, Gady & Liao, Rose C., 2014, "Corporate yield spreads and real interest rates," International Review of Financial Analysis, Elsevier, volume 34, issue C, pages 89-100, DOI: 10.1016/j.irfa.2014.05.009.
• Anderson, Keith & Brooks, Chris, 2014, "Speculative bubbles and the cross-sectional variation in stock returns," International Review of Financial Analysis, Elsevier, volume 35, issue C, pages 20-31, DOI: 10.1016/j.irfa.2014.07.004.
• Narayan, Paresh Kumar & Westerlund, Joakim, 2014, "Does cash flow predict returns?," International Review of Financial Analysis, Elsevier, volume 35, issue C, pages 230-236, DOI: 10.1016/j.irfa.2014.10.001.
• McMillan, David G., 2014, "Stock return, dividend growth and consumption growth predictability across markets and time: Implications for stock price movement," International Review of Financial Analysis, Elsevier, volume 35, issue C, pages 90-101, DOI: 10.1016/j.irfa.2014.07.011.
• Gürgün, Gözde & Ünalmış, İbrahim, 2014, "Is gold a safe haven against equity market investment in emerging and developing countries?," Finance Research Letters, Elsevier, volume 11, issue 4, pages 341-348, DOI: 10.1016/j.frl.2014.07.003.
• Asger Lunde & Kasper V. Olesen, 2014, "Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-19, Nov.
• Barbara Annicchiarico & Anna Rita Bennato & Emilio Zanetti Chini, 2014, "150 Years of Italian CO2 Emissions and Economic Growth," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-02, Jan.
• Stefano Grassi & Nima Nonejad & Paolo Santucci de Magistris, 2014, "Forecasting with the Standardized Self-Perturbed Kalman Filter," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-12, Apr.
• Mogens Bladt & Samuel Finch & Michael Sørensen, 2014, "Simulation of multivariate diffusion bridges," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-16, May.
• Niels Haldrup & Robinson Kruse, 2014, "Discriminating between fractional integration and spurious long memory," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-19, Jun.
• Martyna Marczak & Tommaso Proietti, 2014, "Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-20, Aug.
• Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2014, "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-22, Aug.
• Markku Lanne & Jani Luoto & Henri Nyberg, 2014, "Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-26, Aug.
• Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2014, "Volatility jumps and their economic determinants," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-27, Aug.
• Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2014, "Chasing volatility - A persistent multiplicative error model with jumps," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-29, Aug.
• Ulrich Hounyo, 2014, "The wild tapered block bootstrap," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-32, Sep.
• Morten Ørregaard Nielsen, 2014, "Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-34, Oct.
• Ulrich Hounyo, 2014, "Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-35, Oct.
• Søren Johansen & Bent Nielsen, 2014, "Outlier detection algorithms for least squares time series regression," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-39, Sep.
• Søren Johansen & Lukasz Gatarek, 2014, "Optimal hedging with the cointegrated vector autoregressive model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-40, Sep.
• Laurent A. F. Callot & Anders B. Kock & Marcelo C. Medeiros, 2014, "Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-42, Nov.
• Alessandro Giovannelli & Tommaso Proietti, 2014, "On the Selection of Common Factors for Macroeconomic Forecasting," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-46, Nov.
• Gustavo Fruet Dias & Fotis Papailias, 2014, "Forecasting Long Memory Series Subject to Structural Change: A Two-Stage Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-55, Dec.
• Eduardo Rossi & Paolo Santucci de Magistris, 2014, "Indirect inference with time series observed with error," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-57, Dec.
• Hyeongwoo Kim & Jintae Kim, 2014, "London Calling: Nonlinear Mean Reversion across National Stock Markets," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2014-13, Nov.
• Hyeongwoo Kim & Deockhyun Ryu, 2014, "A Nonparametric Study of Real Exchange Rate Persistence over a Century," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2014-15, Dec.
• Igor Kheifets, 2014, "Specification Tests for Nonlinear Dynamic Models," Working Papers, New Economic School (NES), number w0209, Oct.
• Carlos Barros & Guglielmo Maria Caporale & Luis 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.
• Isaiah Andrews & Anna Mikusheva, 2014, "Weak Identification in Maximum Likelihood: A Question of Information," American Economic Review, American Economic Association, volume 104, issue 5, pages 195-199, May.
• Akarapong Untong, 2014, "Examining the Tourism-led Growth Hypothesis: A Case Study of Thailand," Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, volume 21, issue 2, pages 30-51, December.