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

• Jean-François Carpantier & Arnaud Dufays, 2014, "Specific Markov-switching behaviour for ARMA parameters," Working Papers, HAL, number hal-01821134, Jun.
• Syed Basher & Andrea Masini & Sam Aflaki, 2014, "Time Series Properties of the Renewable Energy Diffusion Process: Implications for Energy Policy Design and Assessment," Working Papers, HAL, number hal-02018566, Sep.
• Syed Basher & Andrea Masini & Sam Aflaki, 2014, "Time Series Properties of the Renewable Energy Diffusion Process: Implications for Energy Policy Design and Assessment," Working Papers, HAL, number hal-02018568, Sep.
• Amélie Charles & Olivier Darné & Laurent Ferrara, 2014, "Does the Great Recession imply the end of the Great Moderation? International evidence," Working Papers, HAL, number hal-04141344.
• Imane El Ouadghiri & Valérie Mignon & Nicolas Boitout, 2014, "On the impact of macroeconomic news surprises on Treasury-bond yields," Working Papers, HAL, number hal-04141345.
• Bertrand Candelon & Sessi Tokpavi, 2014, "A Nonparametric Test for Granger-causality in Distribution with Application to Financial Contagion," Working Papers, HAL, number hal-04141347.
• Gilles de Truchis & Benjamin Keddad, 2014, "On the Risk Comovements between the Crude Oil Market and the U.S. Dollar Exchange Rates," Working Papers, HAL, number halshs-00999225, May.
• Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2014, "A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies," Working Papers, HAL, number halshs-01015390, Jun.
• Gilles de Truchis & Florent Dubois, 2014, "Unbalanced Fractional Cointegration and the No-Arbitrage Condition on Commodity Markets," Working Papers, HAL, number halshs-01065775, Sep.
• Stéphane Auray & Aurélien Eyquem & Frédéric Jouneau-Sion, 2014, "Climatic Conditions and Productivity: An Impact Evaluation in Pre-industrial England," Working Papers, HAL, number halshs-01098763.
• Geert Dhaene & Koen Jochmans, 2014, "Split-Panel Jackknife Estimation of Fixed-Effect Models," Sciences Po Economics Discussion Papers, HAL, number hal-01070553, Mar.
• Rohde, Johannes & Sibbertsen, Philipp, 2014, "Credit Risk Modeling under Conditional Volatility," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-528, Apr.
• Demetrescu, Matei & Sibbertsen, Philipp, 2014, "Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-531, Jul.
• Leschinski, Christian & Sibbertsen, Philipp, 2014, "Model Order Selection in Seasonal/Cyclical Long Memory Models," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-535, Sep.
• Tobias A. Jopp, 2014, "How did the capital market evaluate Germany’s prospects for winning World War I? Evidence from the Amsterdam market for government bonds," Working Papers, European Historical Economics Society (EHES), number 0052, Feb.
• Quoreshi, A.M.M. Shahiduzzaman, 2014, "Bivariate Integer-Valued Long Memory Model for High Frequency Financial Count Data," Working Papers, Blekinge Institute of Technology, Department of Industrial Economics, number 2014/03, Apr.
• Li, Yushu & Reese, Simon, 2014, "Wavelet improvement in turning point detection using a Hidden Markov Model," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2014/10, Mar.
• Biørn, Erik, 2014, "Serially Correlated Measurement Errors in Time Series Regression: The Potential of Instrumental Variable Estimators," Memorandum, Oslo University, Department of Economics, number 28/2014, Dec.
• Brockwell, Erik, 2014, "State and Industrial Actions to Influence Consumer Behavior," Umeå Economic Studies, Umeå University, Department of Economics, number 894, Sep.
• YAMAZAKI, Daisuke & 山崎, 大輔 & KUROZUMI, Eiji & 黒住, 英司, 2014, "Improving the Finite Sample Performance of Tests for a Shift in Mean," Discussion Papers, Graduate School of Economics, Hitotsubashi University, number 2014-16, Nov.
• Watanabe, Toshiaki, 2014, "Bayesian Analysis of Business Cycle in Japan Using Markov Switching Model with Stochastic Volatility and Fat-tail Distribution," Economic Review, Hitotsubashi University, volume 65, issue 2, pages 156-167, April, DOI: 10.15057/27348.
• Seyed Reza Miraskari & Mahyar Shabaninejad Masouleh & Seyed Abolfazl Alavi, 2014, "Analyzing Impacts of Foreign Direct Investment on Private Sector in Economic Growth of Iran," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, volume 4, issue 11, pages 223-237, November.
• Mohsen Mehrara & Abbas Ali Rezaei, 2014, "The Long Run Relationship between Government Revenue and Expenditure in Iran: A Co integration Analysis in the Presence of Structural Breaks," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, volume 4, issue 5, pages 288-301, May.
• Musa Y., 2014, "Modeling an Average Monthly Temperature of Sokoto Metropolis Using Short Term Memory Models," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, volume 4, issue 7, pages 382-397, July.
• Majid Sameti & Somayeh Shirzad Kenary & Najme Esmaeel Darjani & Salman Gharakhani, 2014, "The Investigation of Internet Effect on Financial Corruption Case study Iran and Some Selected Developing Countries (2002-2009)," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, volume 4, issue 7, pages 450-462, July.
• Hutter, Christian & Weber, Enzo, 2014, "Forecasting with a mismatch-enhanced labor market matching function," IAB-Discussion Paper, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany], number 201416.
• Efrem Castelnuovo & Luca Fanelli, 2014, "Monetary Policy Indeterminacy and Identification Failures in the U.S.: Results from a Robust Test," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2014n18, Jul.
• Imed Gammoudi & Lotfi BelKacem & Mohamed El Ghourabi, 2014, "Value at Risk Estimation for Heavy Tailed Distributions," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 8, issue 3, pages 109-125.
• Juan Benjamin Duarte Duarte & Katherine Julieth Sierra Suarez & Juan Manuel Mascarenas Perez-Inigo, 2014, "Evaluation Of Long-Term Memory In Colombian Stock Market By Hurst Coefficient, Evaluacion De La Memoria De Largo Plazo Del Mercado Bursatil Colombiano Mediante El Coeficiente De Hurst," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, volume 7, issue 4, pages 1-10.
• Paweł Borys & Piotr Ciżkowicz & Andrzej Rzońca, 2014, "Panel Data Evidence on the Effects of Fiscal Policy Shocks in the EU New Member States," Fiscal Studies, Institute for Fiscal Studies, volume 35, issue , pages 189-224, June.
• Federico M. Bandi & Bernard Perron & Andrea Tamoni & Claudio Tebaldi, 2014, "The scale of predictability," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 509.
• Kunst, Robert M., 2014, "A Combined Nonparametric Test for Seasonal Unit Roots," Economics Series, Institute for Advanced Studies, number 303, Mar.
• Dilem YILDIRIM, 2014, "Asymmetric Interest Rate Pass-Through to Turkish Loan Rates," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 29, issue 334, pages 09-28.
• Tayfur BAYAT & Selim KAYHAN & Çetin DOĞAN, 2014, "An Empirical Investigation of Fisherian Link in BRIC-T Countries," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 29, issue 334, pages 95-120.
• Selin Devrim ÖZDEMİR & Işıl AKGÜL, 2014, "Hisse Senedi Piyasalarının Kaotik Yapısı ve Yapay Sinir Ağları ile öngörüsü: IMKB-100 örneği," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 29, issue 336, pages 31-58.
• Öyküm Esra AŞKIN & Ali Hakan BÜYÜKLÜ, 2014, "Testing the Calendar Anomalies for BIST City Indexes with Symmetric and Asymmetric GARCH Models," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 29, issue 336, pages 59-82.
• Harun SENCAL & Mehmet ORHAN, 2014, "Risks of Turkish Industries During Financial Crisis," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 29, issue 343, pages 83-104.
• Raj Aggarwal & Brian M. Lucey & Fergal A. O'Connor, 2014, "Rationality in Precious Metals Forward Markets: Evidence of Behavioural Deviations in the Gold Markets," The Institute for International Integration Studies Discussion Paper Series, IIIS, number iiisdp462, Nov.
• Inuwa Nasiru & Haruna Modibbo Usman & Abubakar Mohammed Saidu, 2014, "Oil Consumption and Economic Growth: Evidence from Nigeria," Bulletin of Energy Economics (BEE), The Economics and Social Development Organization (TESDO), volume 2, issue 4, pages 106-112, December.
• Adu Frank & Ohene-Manu Joseph & Ishmael Ackah, 2014, "Government Expenditures and Economic Growth dynamics in Ghana," International Journal of Economics and Empirical Research (IJEER), The Economics and Social Development Organization (TESDO), volume 2, issue 5, pages 180-190, May.
• Roshaiza Taha & Nanthakumar Loganathan, 2014, "Long-Run Nexus between Tax Revenue on Economic Performance: Empirical Evidence from Malaysia," International Journal of Economics and Empirical Research (IJEER), The Economics and Social Development Organization (TESDO), volume 2, issue 6, pages 238-245, June.
• Bilal Mehmood & Zahid Irshad Younas & Amna Shahid, 2014, "Aviation Demand as Covariate of Economic Growth in Bangladesh: Cointegration Estimation and Causality Analysis," International Journal of Economics and Empirical Research (IJEER), The Economics and Social Development Organization (TESDO), volume 2, issue 8, pages 301-307, August.
• Mohamed Arouri & Aviral Kumar Tiwari & Frédéric Teulon, 2014, "Oil prices and trade balance: a frequency domain analysis for India," Working Papers, Department of Research, Ipag Business School, number 2014-116, Jan.
• Anna Creti & Zied Ftiti & Khaled Guesmi, 2014, "Oil Price and Financial Markets: Multivariate Dynamic Frequency Analysis," Working Papers, Department of Research, Ipag Business School, number 2014-121, Jan.
• Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2014, "A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies," Working Papers, Department of Research, Ipag Business School, number 2014-131, Jan.
• Slim Chaouachi & Zied Ftiti & Frederic Teulon, 2014, "Explaining the Tunisian Real Exchange: Long Memory versus Structural Breaks," Working Papers, Department of Research, Ipag Business School, number 2014-147, Jan.
• Walid Chkili & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014, "Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory," Working Papers, Department of Research, Ipag Business School, number 2014-325, Jan.
• Jean-Michel Sahut, 2014, "A Flexible Non Linear Model to Test the Expectation Hypothesis of Interest Rates," Working Papers, Department of Research, Ipag Business School, number 2014-352, Jan.
• Gilles de Truchis & Benjamin Keddad, 2014, "Analyzing Financial Integration in East Asia through Fractional Cointegration in Volatilities," Working Papers, Department of Research, Ipag Business School, number 2014-382, Jan.
• Gilles de Truchis & Benjamin Keddad, 2014, "On the risk comovements between the crude oil market and the U.S. dollar exchange rates," Working Papers, Department of Research, Ipag Business School, number 2014-383, Jan.
• Walid Chkili & Duc Khuong Nguyen, 2014, "Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries," Working Papers, Department of Research, Ipag Business School, number 2014-388, Jan.
• Walid Chkili & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014, "Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory," Working Papers, Department of Research, Ipag Business School, number 2014-389, Jan.
• Bertrand Candelon & Jameel Ahmed & Stefan Straetmans, 2014, "Predicting and Capitalizing on Stock Market Bears in the U.S," Working Papers, Department of Research, Ipag Business School, number 2014-409, Jan.
• Anna Creti & Zied Ftiti & Khaled Guesmi, 2014, "Oil price impact on financial markets:," Working Papers, Department of Research, Ipag Business School, number 2014-435, Jan.
• Stelios Bekiros & Duc Khuong Nguyen & Gazi Salah Uddin & Bo Sjö, 2014, "Business Cycle (De)Synchronization in the Aftermath of the Global Financial Crisis: Implications for the Euro Area," Working Papers, Department of Research, Ipag Business School, number 2014-437, Jan.
• Marie Bessec & Julien Fouquau & Sophie Meritet, 2014, "Forecasting electricity spot prices using time-series models with a double temporal segmentation," Working Papers, Department of Research, Ipag Business School, number 2014-588, Jan.
• António Afonso & Pedro Gomes & Abderrahim Taamouti, 2014, "Sovereign credit ratings, market volatility, and financial gains," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2014/06, Jan.
• Calhoun, Gray, 2014, "Out-Of-Sample Comparisons of Overfit Models," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 32462, Mar.
• Haouas, Ilham & Heshmati, Almas, 2014, "Can the UAE Avoid the Oil Curse by Economic Diversification?," IZA Discussion Papers, IZA Network @ LISER, number 8003, Feb.
• Brixiova Schwidrowski, Zuzana & Ncube, Mthuli, 2014, "The Real Exchange Rate and Growth in Zimbabwe: Does the Currency Regime Matter?," IZA Discussion Papers, IZA Network @ LISER, number 8398, Aug.
• Constant, Amelie F. & García-Muñoz, Teresa & Neuman, Shoshana & Neuman, Tzahi, 2014, "Micro and Macro Determinants of Health: Older Immigrants in Europe," IZA Discussion Papers, IZA Network @ LISER, number 8754, Dec.
• Muhammad Yusuf & C.A. Malarvizhi & Mohammad Nurul Huda Mazumder & Zhan Su, 2014, "Corruption, poverty, and economic growth relationship in the Nigerian economy," Journal of Developing Areas, Tennessee State University, College of Business, volume 48, issue 3, pages 95-107, July-Sept.
• Ya-Chi Huang, 2014, "Re-Exploring the Existence of Arbitrage Opportunity with an Agent-based Artificial Stock Market," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, volume 10, issue 2, pages 157-180, July.
• Nicholas Apergis & Rajeev Goel & James Payne, 2014, "Dynamics of U.S. State Cigarette Consumption: Evidence from Panel Error Correction Modeling," Atlantic Economic Journal, Springer;International Atlantic Economic Society, volume 42, issue 1, pages 3-20, March, DOI: 10.1007/s11293-013-9401-3.
• Miguel Ramirez & Zsófia Kőműves, 2014, "Economic Infrastructure, Private Capital Formation, and FDI Inflows to Hungary: A Unit Root and Cointegration Analysis with Structural Breaks," Atlantic Economic Journal, Springer;International Atlantic Economic Society, volume 42, issue 4, pages 367-382, December, DOI: 10.1007/s11293-014-9436-0.
• Sonali Das & Rangan Gupta & Patrick Kanda & Monique Reid & Christian Tipoy & Mulatu Zerihun, 2014, "Real interest rate persistence in South Africa: evidence and implications," Economic Change and Restructuring, Springer, volume 47, issue 1, pages 41-62, February, DOI: 10.1007/s10644-012-9132-5.
• Athanasios Athanasenas & Constantinos Katrakilidis & Emmanouil Trachanas, 2014, "Government spending and revenues in the Greek economy: evidence from nonlinear cointegration," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 41, issue 2, pages 365-376, May, DOI: 10.1007/s10663-013-9221-3.
• Luis Gil-Alana & Trilochan Tripathy, 2014, "Mean Reversion in Agricultural Commodity Prices in India," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 20, issue 4, pages 385-398, November, DOI: 10.1007/s11294-014-9489-5.
• Tylor Orme, 2014, "The short- and long-term effectiveness of anti-piracy laws and enforcement actions," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, volume 38, issue 4, pages 351-368, November, DOI: 10.1007/s10824-014-9225-2.
• Felix Schindler, 2014, "Persistence and Predictability in UK House Price Movements," The Journal of Real Estate Finance and Economics, Springer, volume 48, issue 1, pages 132-163, January, DOI: 10.1007/s11146-012-9384-x.
• Ming-Hsien Chen & Vivian Tai, 2014, "The price discovery of day trading activities in futures market," Review of Derivatives Research, Springer, volume 17, issue 2, pages 217-239, July, DOI: 10.1007/s11147-014-9096-x.
• Angelos Kanas, 2014, "Uncovering a positive risk-return relation: the role of implied volatility index," Review of Quantitative Finance and Accounting, Springer, volume 42, issue 1, pages 159-170, January, DOI: 10.1007/s11156-012-0317-9.
• Jing Zeng, 2014, "Forecasting Aggregates with Disaggregate Variables: Does Boosting Help to Select the Most Relevant Predictors?," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2014-20, Sep.
• Jochen Hartwig, 2014, "Testing Okun's Law with Swiss Industry Data," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 14-357, Jun, DOI: 10.3929/ethz-a-010166535.
• Lukasz Gatarek & Søren Johansen, 2014, "Optimal hedging with the cointegrated vector autoregressive model," Discussion Papers, University of Copenhagen. Department of Economics, number 14-22, Sep.
• Søren Johansen & Bent Nielsen, 2014, "Optimal hedging with the cointegrated vector autoregressive model," Discussion Papers, University of Copenhagen. Department of Economics, number 14-23, Sep.
• Masahiko Egami & Yuki Shigeta & Katsutoshi Wakai, 2014, "The change of correlation structure across industries:an analysis in the regime-switching framework," Discussion papers, Graduate School of Economics Project Center, Kyoto University, number e-14-002, Apr.
• Simeon Coleman & Kavita Sirichand, 2014, "Investigating Multiple Changes in Persistence in International Yields," Discussion Paper Series, Department of Economics, Loughborough University, number 2014_04, Jul, revised Jul 2014.
• Christopher Spencer, 2014, "Conventional and Unconventional Votes: A Tale of Three Monetary Policy Committees," Discussion Paper Series, Department of Economics, Loughborough University, number 2014_11, Dec, revised Dec 2014.
• Ramón A. Castillo Ponce & Carlos Alberto Flores Sánchez & María de Lourdes Rodríguez Espinosa, 2014, "The Relative Importance of the Service Sector in the Mexican Economy: A Time Series Analysis," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 80, pages 133-151, Enero-Jun, DOI: 10.17533/udea.le.n80a5.
• Jorge Uribe & Julián Fernández, 2014, "Financial bubbles and recent behaviour of the Latin American stock markets," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 81, pages 57-90, Julio - D, DOI: 10.17533/udea.le.n81a3.
• Emilio Rojas & Werner Kristjanpoller, 2014, "Calendar anomalies in the Latin American stock markets: A Bonferroni testing approach," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 81, pages 91-113, Julio - D, DOI: 10.17533/udea.le.n81a4.
• Stephen Pollock, 2014, "Cycles, Syllogisms and Semantics: Examining the Idea of Spurious Cycles," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 14/03, Feb.
• Stephen Pollock, 2014, "Trends Cycles and Seasons: Econometric Methods of Signal Extraction," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 14/04, Feb.
• Stephen G. Hall & P. A. V. B. Swamy & George S. Tavlas, 2014, "Time Varying Coefficient Models; A Proposal for selecting the Coefficient Driver Sets," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 14/18, Dec.
• Aysegül Çorakçi Eruygur & Tolga Omay, 2014, "Terrorism and the Stock Market: A Case Study for Turkey Using STR Models," Journal of Reviews on Global Economics, Lifescience Global, volume 3, pages 220-227.
• Mohammed Isa Shuaibu & Basiru Oyeniran Fatai, 2014, "On the Stability of Nigeria’s Import Demand: Do Endogenous Structural Breaks Matter?," Journal of Reviews on Global Economics, Lifescience Global, volume 3, pages 228-240.
• Andreas Brunhart, 2014, "Methodenbericht zur Schnellschätzung des liechtensteinischen Bruttonationaleinkommens," Arbeitspapiere, Liechtenstein-Institut, number 47.
• Bloechl, Andreas, 2014, "Reducing the Excess Variability of the Hodrick-Prescott Filter by Flexible Penalization," Discussion Papers in Economics, University of Munich, Department of Economics, number 17940, Jan.
• Blöchl, Andreas, 2014, "Trend Estimation with Penalized Splines as Mixed Models for Series with Structural Breaks," Discussion Papers in Economics, University of Munich, Department of Economics, number 18446, Feb.
• Bloechl, Andreas, 2014, "Penalized Splines, Mixed Models and the Wiener-Kolmogorov Filter," Discussion Papers in Economics, University of Munich, Department of Economics, number 21406.
• Fernando Antonio Lucena Aiube & Tara Keshar Nanda Baidya, 2014, "Analysis of the Behavior of Volatility in Crude Oil Price," Journal of Economic and Financial Studies (JEFS), LAR Center Press, volume 2, issue 1, pages 64-72, February.
• Komain Jiranyakul, 2014, "Does oil price uncertainty transmit to the Thai stock market?," Journal of Economic and Financial Studies (JEFS), LAR Center Press, volume 2, issue 6, pages 16-25, December.
• Jean-François Carpantier, 2014, "Specific Markov-switching behaviour for ARMA parameters," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 14-07.
• David Ardia & Lukasz Gatarek & Lennart F. hoogerheide, 2014, "A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: an Application to Risk Analysis," Cahiers de recherche, CIRPEE, number 1413.
• Georges Dionne & Maria Pacurar & Xiaozhou Zhou, 2014, "Liquidity-adjusted Intraday Value at Risk modeling and Risk Management: an Application to Data from Deutsche Börse," Cahiers de recherche, CIRPEE, number 1414.
• Atrianfar, Hamed & ,, 2014, "Evaluation of the Performance of Combined Methods in Real-Time Forecasting of Inflation in Iran," Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 6, issue 18, pages 23-57, March.
• Mosavi, Mohammad Hshem & Ragheb, Mariam, 2014, "The Effect of Inflation Rate on the Performance of the Stock Market in Iran," Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 7, issue 19, pages 125-142, May.
• Einian, Majid & Barakchian, Seyed Mehdi, 2014, "Measuring and Dating Business Cycles in the Iranian Economy," Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 7, issue 20, pages 161-194, July.
• Paul Contoyannis & Jinhu Li, 2014, "The Dynamics of Depression from Adolescence to Early Adulthood," Department of Economics Working Papers, McMaster University, number 2014-09, Sep.
• Andrew Phiri, 2014, "Nonlinear Co-Integration Between Unemployment and Economic Growth in South Africa," Managing Global Transitions, University of Primorska, Faculty of Management Koper, volume 12, issue 4 (Winter, pages 303-324.
• Andrea Bastianin & Marzio Galeotti & Matteo Manera, 2014, "Forecasting the oil-gasoline price relationship: should we care about the Rockets and the Feathers?," Working Papers, University of Milano-Bicocca, Department of Economics, number 269, Mar, revised Mar 2014.
• Donatella Baiardi & Matteo Manera & Mario Menegatti, 2014, "The Effects of Environmental Risk on Consumption: an Empirical Analysis on the Mediterranean Countries," Working Papers, University of Milano-Bicocca, Department of Economics, number 271, Apr, revised Apr 2014.
• Claudio Morana, 2014, "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks," Working Papers, University of Milano-Bicocca, Department of Economics, number 273, May, revised May 2014.
• Ankita Mishra & Vinod Mishra & Russell Smyth, 2014, "The Random-Walk Hypothesis on the Indian Stock Market," Monash Economics Working Papers, Monash University, Department of Economics, number 07-14, Apr.
• Vinod Mishra & Russell Smyth, 2014, "Is Monthly US Natural Gas Consumption Stationary? New Evidence from a GARCH Unit Root Test with Structural Breaks," Monash Economics Working Papers, Monash University, Department of Economics, number 09-14, Apr.
• Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014, "Testing for Leverage Effects in the Returns of US Equities," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 14022r, Feb, revised Jan 2017, DOI: 10.1016/j.jempfin.2018.07.008.
• D.S. Poskitt & Gael M. Martin & Simone D. Grose, 2014, "Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 10/14.
• Souhaib Ben Taieb & Rob J Hyndman, 2014, "Boosting multi-step autoregressive forecasts," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 13/14.
• K. Nadarajah & Gael M. Martin & D.S. Poskitt, 2014, "Issues in the Estimation of Mis-Specified Models of Fractionally Integrated Processes," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 18/14.
• Simone D. Grose & Gael M. Martin & D.S. Poskitt, 2014, "Bias Correction of Persistence Measures in Fractionally Integrated Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 19/14.
• Gael M. Martin & Brendan P.M. McCabe & Worapree Maneesoonthorn & Christian P. Robert, 2014, "Approximate Bayesian Computation in State Space Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 20/14.
• Jiti Gao & Han Hong, 2014, "A Computational Implementation of GMM," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 24/14.
• Jiti Gao & Han Hong, 2014, "Nonparametric Regression Approach to Bayesian Estimation," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 25/14.
• Chaohua Dong & Jiti Gao & Dag Tjostheim & Jiying Yin, 2014, "Specification Testing for Nonlinear Multivariate Cointegrating Regressions," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 8/14.
• Martínez Preece Marissa R. & Venegas Martínez Francisco, 2014, "Análisis del riesgo de mercado de los fondos de pensión en México Un enfoque con modelos autorregresivos," Contaduría y Administración, Accounting and Management, volume 59, issue 3, pages 165-195, julio-sep.
• Ch. Piette & G. Langenus, 2014, "Using BREL to nowcast the Belgian business cycle: the role of survey data," Economic Review, National Bank of Belgium, issue i, pages 75-98, June.
• Arnaud Dufays, 2014, "On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers," Working Paper Research, National Bank of Belgium, number 263, Sep.
• Patra, Michael Debabrata & Khundrakpam, Jeevan Kumar & George, Asish Thomas, 2014, "Post-Global Crisis Inflation Dynamics in India: What has changed?," India Policy Forum, National Council of Applied Economic Research, volume 10, issue 1, pages 117-203.
• Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2014, "Unemployment Rate Hysteresis and the Great Recession: Exploring the Metropolitan Evidence," Working Papers, University of Nevada, Las Vegas , Department of Economics, number 1403, Dec.
• Laxmi Prasad Prasai, 2014, "Foreign Trade Pattern of Nepal: Gravity Model Approach," NRB Economic Review, Nepal Rastra Bank, Economic Research Department, volume 26, issue 1, pages 24-43, April.
• Mahesh K. Chaulagai, Ph.D., 2014, "Indo-Nepal Trade Relation: The Phenomenon of Black Hole Effect," NRB Economic Review, Nepal Rastra Bank, Economic Research Department, volume 26, issue 1, pages 44-57, April.
• Shoora B. Paudyal, Ph.D., 2014, "Modelling and Forecasting Demand for Nepali Tourism," NRB Economic Review, Nepal Rastra Bank, Economic Research Department, volume 26, issue 1, pages 58-89, April.
• Shoora B. Paudyal Ph.D., 2014, "Determinants of Inflation in Nepal: An Empirical Assessment," NRB Economic Review, Nepal Rastra Bank, Economic Research Department, volume 26, issue 2, pages 61-82, October.
• D. Audenaert & J. Bardaji & R. Lardeux & M. Orand & M. Sicsic, 2014, "Wage Resilience in France since the Great Recession," Documents de Travail de l'Insee - INSEE Working Papers, Institut National de la Statistique et des Etudes Economiques, number g2014-11.
• Søren Johansen & Bent Nielsen, 2014, "Outlier detection algorithms for least squares time series regression," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2014-W04, Sep.
• Luis Alberiko Gil-Alaña & Carlos Pestana Barros & Guglielmo Maria Caporale, 2014, "Long memory in Angolan macroeconomic series: mean reversion versus explosive behaviour," NCID Working Papers, Navarra Center for International Development, University of Navarra, number 01/2014, Feb.
• Luis A. Gil-Alana & OlaOluwa Simon Yaya, 2014, "The Relationship Between Oil Prices and the Nigerian Stock Market, an Analysis Based on Fractional Integration and Cointegration," NCID Working Papers, Navarra Center for International Development, University of Navarra, number 04/2014, Jul.
• Matthieu Cornec, 2014, "Constructing a conditional GDP fan chart with an application to French business survey data," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, volume 2013, issue 2, pages 109-127, DOI: 10.1787/jbcma-2013-5jz417xzw931.
• Marie Bessec & Catherine Doz, 2014, "Short-term forecasting of French GDP growth using dynamic factor models," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, volume 2013, issue 2, pages 11-50, DOI: 10.1787/jbcma-2013-5jz742l0pt8s.
• Fudulache Adina Elena, 2014, "Modelling the Dynamics of Sovereign Risk Premium [Modelarea dinamicii primei de risc suveran]," Revista OEconomica, Romanian Society for Economic Science, Revista OEconomica, issue 02, June.
• Ai Deng, 2014, "Understanding Spurious Regression in Financial Economics," Journal of Financial Econometrics, Oxford University Press, volume 12, issue 1, pages 122-150.
• Seongman Moon & Carlos Velasco, 2014, "On the Properties of Regression Tests of Stock Return Predictability Using Dividend-Price Ratios," Journal of Financial Econometrics, Oxford University Press, volume 12, issue 1, pages 151-173.
• Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2014, "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," Journal of Financial Econometrics, Oxford University Press, volume 12, issue 1, pages 89-121.
• Per Frederiksen & Frank S. Nielsen, 2014, "Testing for Long Memory in Potentially Nonstationary Perturbed Fractional Processes," Journal of Financial Econometrics, Oxford University Press, volume 12, issue 2, pages 329-381.
• Jianing Di & Ashis Gangopadhyay, 2014, "One-step Semiparametric Estimation of the GARCH Model," Journal of Financial Econometrics, Oxford University Press, volume 12, issue 2, pages 382-407.
• Mark Hallam & Jose Olmo, 2014, "Semiparametric Density Forecasts of Daily Financial Returns from Intraday Data," Journal of Financial Econometrics, Oxford University Press, volume 12, issue 2, pages 408-432.
• J. Isaac Miller, 2014, "Mixed-frequency Cointegrating Regressions with Parsimonious Distributed Lag Structures," Journal of Financial Econometrics, Oxford University Press, volume 12, issue 3, pages 584-614.
• Lorenzo Cappiello & Bruno Gérard & Arjan Kadareja & Simone Manganelli, 2014, "Measuring Comovements by Regression Quantiles," Journal of Financial Econometrics, Oxford University Press, volume 12, issue 4, pages 645-678.
• Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tédongap, 2014, "Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty," Review of Finance, European Finance Association, volume 18, issue 1, pages 219-269.
• Bãlã Raluca-Maria, 2014, "Exploring the Long-Run Relationship between GDP and Private Consumption of Romania through Cointegration Analysis," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 257-262, May.
• David Hendry & Jurgen A. Doornik, 2014, "Statistical Model Selection with 'Big Data'," Economics Series Working Papers, University of Oxford, Department of Economics, number 735, Dec.
• Cezary A. Kapuscinski & Kyle Thomson, 2014, "Experiment Estimates of Indigenous Employment from Administrative Data," Australian Journal of Labour Economics (AJLE), Bankwest Curtin Economics Centre (BCEC), Curtin Business School, volume 17, issue 2, pages 139-161.
• Villalba Padilla, Fátima Irina & Flores-Ortega, Miguel, 2014, "Análisis de la volatilidad del índice principal del mercado bursátil mexicano, del índice de riesgo país y de la mezcla mexicana de exportación mediante un modelo GARCH trivariado asimétrico || Volatility Analysis of the Core Mexican Stock Market Ind," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 17, issue 1, pages 3-22, June.
• Efrem Castelnuovo & Luca Fanelli, 2014, "Monetary Policy Indeterminacy and Identification Failures in the U.S.: Results from a Robust Test," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0183, Jul.
• Massimiliano Caporin & Eduardo Rossi & Paolo Santucci De Magistris, 2014, "Chasing Volatility. A Persistent Multiplicative Error Model With Jumps," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0186, Sep.

2013

• Christian Francq & Jean-Michel Zakoïan, 2013, "Inference in nonstationary asymmetric GARCH models," Post-Print, HAL, number hal-05417494, Aug, DOI: 10.1214/13-AOS1132.
• Christian Francq & Olivier Wintenberger & Jean-Michel Zakoïan, 2013, "GARCH models without positivity constraints: Exponential or log GARCH?," Post-Print, HAL, number hal-05417502, Nov, DOI: 10.1016/j.jeconom.2013.05.004.
• Christian Francq & Jean-Michel Zakoïan, 2013, "Optimal Predictions of Powers of Conditionally Heteroscedastic Processes," Post-Print, HAL, number hal-05417520, Mar, DOI: 10.1111/j.1467-9868.2012.01045.x.
• Peter Martey Addo & Monica Billio & Dominique Guegan, 2013, "Understanding Exchange Rates Dynamics," Post-Print, HAL, number halshs-00803447, Feb.
• Peter Martey Addo & Monica Billio & Dominique Guegan, 2013, "Turning point chronology for the Euro-Zone: A Distance Plot Approach," Post-Print, HAL, number halshs-00803457, Feb.
• Frédérique Bec & Mélika Ben Salem, 2013, "Inventory investment and the business cycle: the usual suspect," Post-Print, HAL, number halshs-00846501, Apr, DOI: 10.1515/snde-2012-0041.
• Fabien Candau & Michaël Goujon & Jean-François Hoarau & Serge Rey, 2013, "Real exchange rate and competitiveness of an EU's ultra-peripheral region: La Reunion Island," Post-Print, HAL, number halshs-00933602.
• Frédérique Bec & Mélika Ben Salem, 2013, "Inventory investment and the business cycle: the usual suspect," PSE-Ecole d'économie de Paris (Postprint), HAL, number halshs-00846501, Apr, DOI: 10.1515/snde-2012-0041.
• Mohamed El Hedi Arouri & Shawkat Hammoudeh & Amine Lahiani & Duc Khuong Nguyen, 2013, "Long memory and structural breaks in modeling the return and volatility dynamics of precious metals," Working Papers, HAL, number hal-00798033, Mar.
• Anna Créti & Zied Ftiti & Khaleb Guesmi, 2013, "Oil price impact on financial markets: co-spectral analysis for exporting versus importing countries," Working Papers, HAL, number hal-00822070, May.
• Anurag Narayan Banerjee & Guillaume Chevillon & Marie Kratz, 2013, "Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coefficient Model," Working Papers, HAL, number hal-00870795, Sep.
• Jean-François Carpantier & Arnaud Dufays, 2013, "Commodities Inventory Effect," Working Papers, HAL, number hal-01821144.
• Fabien Candau & Michaël Goujon & Jean-François Hoarau & Serge Rey, 2013, "Real exchange rate and competitiveness of an EU’s ultra-peripheral region: La Reunion Island," Working Papers, HAL, number hal-01847942, Oct.
• Menzie Chinn & Laurent Ferrara & Valérie Mignon, 2013, "Post-recession US employment through the lens of a non-linear Okun’s law," Working Papers, HAL, number hal-04141207.
• Antonia Lopez Villavicencio & Valérie Mignon, 2013, "Nonlinearity of the inflation-output trade-off and time-varying price rigidity," Working Papers, HAL, number hal-04141225.
• Yannick Le Pen & Benoît Sévi, 2013, "Futures Trading and the Excess Comovement of Commodity Prices," Working Papers, HAL, number halshs-00793724, Jan.
• Muhammad Khan & Mazen Kebewar & Nikolay Nenovsky, 2013, "Inflation Uncertainty, Output Growth Uncertainty and Macroeconomic Performance: Comparing Alternative Exchange Rate Regimes in Eastern Europe," Working Papers, HAL, number halshs-00804556, Mar.
• Gilles de Truchis & Benjamin Keddad, 2013, "Analyzing Financial Integration in East Asia through Fractional Cointegration in Volatilities," Working Papers, HAL, number halshs-00862256, Sep.
• Layal Mansour, 2013, "International Reserves versus External Debts : Can International reserves avoid future Financial Crisis in indebted Countries ?," Working Papers, HAL, number halshs-00864899, Sep.
• Marcel Aloy & Gilles de Truchis, 2013, "Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems," Working Papers, HAL, number halshs-00879522, Oct.
• Fabien Candau & Michaël Goujon & Jean-François Hoarau & Serge Rey, 2013, "Real exchange rate and competitiveness of an EU’s ultra-peripheral region: La Reunion Island," Working papers of CATT, HAL, number hal-01847942, Oct.
• Sibbertsen, Philipp & Wegener, Christoph & Basse, Tobias, 2013, "Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-517, Aug.