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

2013

• Hyeongwoo Kim & Deockhyun Ryu, 2013, "Measuring the Speed of Convergence of Stock Prices: A Nonparametric and Nonlinear Approach," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2013-06, Mar.
• Hyeongwoo Kim & Deockhyun Ryu, 2013, "A Nonparametric Study of Real Exchange Rate Persistence over a Century," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2013-08, Jul.
• Carlos Barros & Luis Gil-Alana, 2013, "Inflation Forecasting in Angola: A Fractional Approach," African Development Review, African Development Bank, volume 25, issue 1, pages 91-104.
• Yiannis Karavias & Elias Tzavalis, 2013, "The power performance of fixed-T panel unit root tests allowing for structural breaks in their deterministic components," Working Papers, Athens University Of Economics and Business, Department of Economics, number 201323.
• Juan Carlos Cuestas & Luis A. Gil-Alana, 2013, "A non-linear approach with long range dependence based on Chebyshev polynomials," Working Papers, Asociación Española de Economía y Finanzas Internacionales, number 13-01, Feb.
• Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2013, "The present value model of U.S. stock prices revisited: long-run evidence with structural breaks, 1871-2010," Working Papers, Asociación Española de Economía y Finanzas Internacionales, number 13-04, May.
• Juan Carlos Cuestas & Paulo José Regis, 2013, "On the relationship between exchange rates and external imbalances: East and Southeast Asia," Working Papers, Asociación Española de Economía y Finanzas Internacionales, number 13-08, Oct.
• Mostefa BELMOKADDEM & Sidi Mohamed Boumediene KHETIB & Mohamed Seghir GUELLIL, 2013, "A Macro –Econometric Study Of Oil Energy:Opaep Panel’S Data Analysis," Journal of Social and Economic Statistics, Bucharest University of Economic Studies, volume 2, issue 1, pages 31-50, JULY.
• Brian Beach & Stephen Norman & Douglas Wills, 2013, "Time or spot ? A revaluation of Amsterdam market data prior to 1747," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), volume 7, issue 1, pages 61-85, January, DOI: 10.1007/s11698-012-0081-z.
• Jonathan Chipili, 2013, "Monetary Policy, Foreign Exchange Intervention and Exchange Rate Volatility in Zambia," The African Finance Journal, Africagrowth Institute, volume 15, issue 1, pages 36-55.
• Vasciaveo, M. & Rosa, F. & Weaver, R., 2013, "Agricultural market integration: price transmission and policy intervention," 2013 Second Congress, June 6-7, 2013, Parma, Italy, Italian Association of Agricultural and Applied Economics (AIEAA), number 149887, Jun, DOI: 10.22004/ag.econ.149887.
• Caceres-Hernandez, Jose Juan & Martin-Rodriguez, Gloria & González Gómez, José Ignacio & Nuez Yánez, Juan Sebastian, 2013, "Canary banana exports. Are product withdrawal decisions rational?," Economia Agraria y Recursos Naturales, Spanish Association of Agricultural Economists, volume 13, issue 02, pages 1-26, December, DOI: 10.22004/ag.econ.162310.
• Bastianin, Andrea & Galeotti, Marzio & Manera, Matteo, 2013, "Biofuels and Food Prices: Searching for the Causal Link," Energy: Resources and Markets, Fondazione Eni Enrico Mattei (FEEM), number 148895, Mar, DOI: 10.22004/ag.econ.148895.
• Patil, Kiran Kumar R. & Manjunatha, G.R. & Chandrakanth, M.G., 2013, "Economic Impact of Institutions on the Consumption of Forest Products in India," Indian Journal of Agricultural Economics, Indian Society of Agricultural Economics, volume 68, issue 2, pages 1-14, DOI: 10.22004/ag.econ.206328.
• Phiri, Andrew, 2013, "An inquisition into bivariate threshold effects in the inflation-growth correlation: Evaluating South Africa’s macroeconomic objectives," Business and Economic Horizons (BEH), Prague Development Center (PRADEC), volume 9, issue 3, pages 1-11, DOI: 10.22004/ag.econ.245229.
• Noack Jensen, Andreas & ßrregaard Nielsen, Morten, 2013, "A fast fractional difference algorithm," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 274632, Apr, DOI: 10.22004/ag.econ.274632.
• Cavaliere, Giuseppe & ßrregaard Nielsen, Morten & Taylor, A.M. Robert, 2013, "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 274634, Dec, DOI: 10.22004/ag.econ.274634.
• Alves, Alexandre Florindo & Tonin, Julyerme Matheus & Carrer, Marcelo José, None, "Assimetria de Transmissão de Preço na Comercialização da Uva Fina de Mesa no Paraná: 1997 a 2011," Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR), Sociedade Brasileira de Economia e Sociologia Rural, volume 51, issue 3, pages 1-20, DOI: 10.22004/ag.econ.184537.
• Algieri, Bernardina, 2013, "A Roller Coaster Ride: an empirical investigation of the main drivers of wheat price," Discussion Papers, University of Bonn, Center for Development Research (ZEF), number 145556, Feb, DOI: 10.22004/ag.econ.145556.
• Yannick Le Pen & Benoît Sévi, 2013, "Futures Trading and the Excess Comovement of Commodity Prices," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1301, Jan, revised Jan 2013.
• Gilles de Truchis & Benjamin Keddad, 2013, "Analyzing Financial Integration in East Asia through Fractional Cointegration in Volatilities," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1346, Sep, revised Sep 2013.
• Marcel Aloy & Gilles de Truchis, 2013, "Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1353, Oct, revised 29 Oct 2013.
• Konstantinos Katrakilidis & Persefoni V. Tsaliki & Theodosios Tsiakis, 2013, "The Greek economy in a Kaldorian developmental framework," Acta Oeconomica, Akadémiai Kiadó, Hungary, volume 63, issue 1, pages 61-75, March.
• Altaf Hussain & Musrat Rafique & Ambar Khalil & Maryam Nawaz, 2013, "Macroeconomic Determinants Of Stock Price Variations: An Economic Analysis Of Kse-100 Index," Pakistan Journal of Humanities and Social Sciences, International Research Alliance for Sustainable Development (iRASD), volume 1, issue 1, pages 28-46, June.
• Peter A. Groothuis & Kurt W. Rotthoff & Mark C. Strazicich, 2013, "Evaluation of Talent in a Changing World: The Case of Major League Baseball," Working Papers, Department of Economics, Appalachian State University, number 13-15.
• Josep Lluís Carrion-i-Silvestre & María Dolores Gadea, 2013, "“GLS based unit root tests for bounded processes”," AQR Working Papers, University of Barcelona, Regional Quantitative Analysis Group, number 201302, Apr, revised Apr 2013.
• Mariam Camarero & Josep Lluís Carrion-i-Silvestre & Cecilio Tamarit, 2013, "“The relationship between debt level and fiscal sustainability in OECD countries”," AQR Working Papers, University of Barcelona, Regional Quantitative Analysis Group, number 201307, Sep, revised Sep 2013.
• Fulvio Baldovin & Massimiliano Caporin & Michele Caraglio & Attilio Stella & Marco Zamparo, 2013, "Option pricing with non-Gaussian scaling and infinite-state switching volatility," Papers, arXiv.org, number 1307.6322, Jul, revised May 2014.
• Komain Jiranyakul, 2013, "The Predictive Role of Stock Market Return for Real Activity in Thailand," Asian Journal of Empirical Research, Asian Economic and Social Society, volume 3, issue 3, pages 317-328.
• Marek Jarocinski & Albert Marcet, 2013, "Online Appendix to "Priors about Observables in Vector Autoregressions"," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 928.13, Feb.
• Marek Jarocinski & Albert Marcet, 2013, "Priors about Observables in Vector Autoregressions," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 929.13, Mar.
• Antonios Antypas & Phoebe Koundouri & Nikolaos Kourogenis, 2013, "Oscillatory Versus Quadratic Trends in Natural Resource Commodity Prices," DEOS Working Papers, Athens University of Economics and Business, number 1305, Feb.
• Nimai Das, 2013, "Subnational-level Fiscal Health Stability and sustainability implications for Kerala, Punjab, and West Bengal," IEG Working Papers, Institute of Economic Growth, number 329.
• Oliver Linton & Qiying Wang, 2013, "Non-parametric transformation regression with non-stationary data," CeMMAP working papers, Institute for Fiscal Studies, number 16/13, Apr, DOI: 10.1920/wp.cem.2013.1613.
• Heejoon Han & Dennis Kristensen, 2013, "Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates," CeMMAP working papers, Institute for Fiscal Studies, number 18/13, May, DOI: 10.1920/wp.cem.2013.1813.
• Huseyin Kaya, 2013, "On the Predictive Power of Yield Spread for Future Growth and Recession: The Turkish Case," Working Papers, Bahcesehir University, Betam, number 010, Mar, revised Mar 2013.
• Noureddine Benlagha, 2013, "The Long-run Relationship among Index-linked Bonds and Conventional Bonds," Review of Economics & Finance, Better Advances Press, Canada, volume 3, pages 15-24, February.
• Ming-Tao Chou, 2013, "An Application of Fuzzy Time Series: A Long Range Forecasting Method in the Global Steel Price Index Forecast," Review of Economics & Finance, Better Advances Press, Canada, volume 3, pages 90-98, February.
• Carlos P. Barros & Luis A. Gil-Alana, 2013, "The Housing Markets in Spain and Portugal: Evidence of Persistence," Review of Economics & Finance, Better Advances Press, Canada, volume 3, pages 19-32, November.
• Samih Antoine Azar, 2013, "The Spurious Relation between Inflation Uncertainty and Stock Returns: Evidence from the U.S," Review of Economics & Finance, Better Advances Press, Canada, volume 3, pages 99-109, November.
• Taher Jamil & Farhan Shazia, 2013, "Capital Market Deepening and Economic Growth in Bangladesh," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
• Nathan Porter & TengTeng Xu, 2013, "Money Market Rates and Retail Interest Regulation in China: The Disconnect between Interbank and Retail Credit Conditions," Staff Working Papers, Bank of Canada, number 13-20, DOI: 10.34989/swp-2013-20.
• Joshua Aizenman & Gurnain Pasricha, 2013, "Why Do Emerging Markets Liberalize Capital Outflow Controls? Fiscal versus Net Capital Flow Concerns," Staff Working Papers, Bank of Canada, number 13-21, DOI: 10.34989/swp-2013-21.
• Bruno Feunou & Mohammad R. Jahan-Parvar & Roméo Tedongap, 2013, "Which Parametric Model for Conditional Skewness?," Staff Working Papers, Bank of Canada, number 13-32, DOI: 10.34989/swp-2013-32.
• Andrea Bastianin & Marzio Galeotti & Matteo Manera, 2013, "Biofuels and Food Prices: Searching for the Causal Link," IEFE Working Papers, IEFE, Center for Research on Energy and Environmental Economics and Policy, Universita' Bocconi, Milano, Italy, number 55.
• Andrea Bastianin & Marzio Galeotti & Matteo Manera, 2013, "Food versus Fuel: Causality and Predictability in Distribution," IEFE Working Papers, IEFE, Center for Research on Energy and Environmental Economics and Policy, Universita' Bocconi, Milano, Italy, number 56.
• Doruk KUCUKSARAC & Ozgur OZEL, 2013, "The Overnight Currency Swap Rates and ISE Overnight Repo Rates," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 7, issue 2, pages 37-53.
• Maximo Camacho & Gabriel Perez-Quiros & Pilar Poncela, 2013, "Short-term forecasting for empirical economists. A survey of the recently proposed algorithms," Working Papers, Banco de España, number 1318, Nov.
• Pablo Burriel & María Isabel García-Belmonte, 2013, "Meeting our D€STINY. A Disaggregated €uro area Short Term INdicator model to forecast GDP (Y) growth," Working Papers, Banco de España, number 1323, Dec.
• Massimiliano Marcellino & Mario Porqueddu & Fabrizio Venditti, 2013, "Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 896, Jan.
• Roberto Golinelli & Giuseppe Parigi, 2013, "Tracking world trade and GDP in real time," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 920, Jul.
• Riccardo De Bonis & Andrea Silvestrini, 2013, "The Italian financial cycle: 1861-2011," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 936, Oct.
• Vaughan Daniel, 2013, "An Analysis of the Process of Disinflationary Structural Change: The Case of Mexico," Working Papers, Banco de México, number 2013-12, Sep.
• José Eduardo Gómez G. & Jair Ojeda Joya & Catalina Rey Guerra & Natalia Sicard, 2013, "Testing for Bubbles in Housing Markets: New Results Using a New Method," Borradores de Economia, Banco de la Republica de Colombia, number 753, Jan, DOI: 10.32468/be.753.
• Hector Manuel Zárate Solano & Angélica Rengifo Gómez, 2013, "Forecasting annual inflation with power transformations: the case of inflation targeting countries," Borradores de Economia, Banco de la Republica de Colombia, number 756, Feb, DOI: 10.32468/be.756.
• Frédérique Bec & Matteo Mogliani, 2013, "Nowcasting French GDP in Real-Time from Survey Opinions: Information or Forecast Combinations?," Working papers, Banque de France, number 436.
• Pamfili Antipa, 2013, "Fiscal Sustainability and the Value of Money: Lessons from the British Paper Pound, 1797-1821," Working papers, Banque de France, number 466.
• Marek Jarocinski & Albert Marcet, 2015, "Priors about Observables in Vector Autoregressions," Working Papers, Barcelona School of Economics, number 684, Sep.
• Marek Jarocinski & Albert Marcet, 2015, "Online Appendix to 'Priors about Observables in Vector Autoregressions'," Working Papers, Barcelona School of Economics, number 685, Sep.
• Barbara Rossi, 2015, "Conditional Predictive Density Evaluation in the Presence of Instabilities," Working Papers, Barcelona School of Economics, number 688, Sep.
• Barbara Rossi, 2015, "Evaluating Predictive Densities of US Output Growth and Inflation in a Large Macroeconomic Data Set," Working Papers, Barcelona School of Economics, number 689, Sep.
• Bucevska Vesna, 2013, "An Empirical Evaluation of GARCH Models in Value-at-Risk Estimation: Evidence from the Macedonian Stock Exchange," Business Systems Research, Sciendo, volume 4, issue 1, pages 49-64, March, DOI: 10.2478/bsrj-2013-0005.
• Šimpach Ondřej & Langhamrová Jitka, 2013, "Forecasting Future Salaries in the Czech Republic Using Stochastic Modelling," Business Systems Research, Sciendo, volume 4, issue 2, pages 4-125, December, DOI: 10.2478/bsrj-2013-0009.
• Carlos P. Barros & Luis A. Gil-Alana, 2013, "Inflation Forecasting in Angola: A Fractional Approach," African Development Review, African Development Bank, volume 25, issue 1, pages 91-104, March, DOI: 10.1111/j.1467-8268.2013.12016.x.
• Zeynel Abidin Ozdemir & Mehmet Balcilar & Aysit Tansel, 2013, "International Labour Force Participation Rates By Gender: Unit Root Or Structural Breaks?," Bulletin of Economic Research, Wiley Blackwell, volume 65, issue , pages 142-164, May.
• Stephen G. Hall & George S. Tavlas, 2013, "The Debate About The Revived Bretton-Woods Regime: A Survey And Extension Of The Literature," Journal of Economic Surveys, Wiley Blackwell, volume 27, issue 2, pages 340-363, April, DOI: 10.1111/joes.2013.27.issue-2.
• Georges Dionne & Pierre-Carl Michaud & Maki Dahchour, 2013, "Separating Moral Hazard From Adverse Selection And Learning In Automobile Insurance: Longitudinal Evidence From France," Journal of the European Economic Association, European Economic Association, volume 11, issue 4, pages 897-917, August.
• Andrew J. Patton & Tarun Ramadorai, 2013, "On the High-Frequency Dynamics of Hedge Fund Risk Exposures," Journal of Finance, American Finance Association, volume 68, issue 2, pages 597-635, April, DOI: jofi.12008.
• Christian Francq & Jean-Michel Zakoïan, 2013, "Optimal predictions of powers of conditionally heteroscedastic processes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, volume 75, issue 2, pages 345-367, March, DOI: 10.1111/rssb.2013.75.issue-2.
• Matei Demetrescu & Robinson Kruse, 2013, "The power of unit root tests against nonlinear local alternatives," Journal of Time Series Analysis, Wiley Blackwell, volume 34, issue 1, pages 40-61, January, DOI: j.1467-9892.2012.00812.x.
• Md Atikur Rahman Khan & D. S. Poskitt, 2013, "Moment tests for window length selection in singular spectrum analysis of short– and long–memory processes," Journal of Time Series Analysis, Wiley Blackwell, volume 34, issue 2, pages 141-155, March, DOI: j.1467-9892.2012.00820.x.
• Sebastian Fossati, 2013, "Unit root testing with stationary covariates and a structural break in the trend function," Journal of Time Series Analysis, Wiley Blackwell, volume 34, issue 3, pages 368-384, May, DOI: 10.1111/(ISSN)1467-9892.
• Guglielmo Maria Caporale & Juncal Cuñado & Luis A. Gil-Alana, 2013, "Modelling long-run trends and cycles in financial time series data," Journal of Time Series Analysis, Wiley Blackwell, volume 34, issue 3, pages 405-421, May, DOI: 10.1111/(ISSN)1467-9892.
• Marcelle Chauvet & Jeremy Piger, 2013, "Employment And The Business Cycle," Manchester School, University of Manchester, volume 81, issue , pages 16-42, October.
• Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2013, "Model Selection in Equations with Many ‘Small’ Effects," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 75, issue 1, pages 6-22, February, DOI: j.1468-0084.2012.00727.x.
• Mauro Costantini & Claudio Lupi, 2013, "A Simple Panel-CADF Test for Unit Roots," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 75, issue 2, pages 276-296, April, DOI: 10.1111/obes.2013.75.issue-2.
• Janine Aron & John Muellbauer, 2013, "New Methods for Forecasting Inflation, Applied to the US," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 75, issue 5, pages 637-661, October.
• Matthieu Bussiere, 2013, "Exchange Rate Pass-through to Trade Prices: The Role of Nonlinearities and Asymmetries," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 75, issue 5, pages 731-758, October.
• Olivier Wintenberger, 2013, "Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, volume 40, issue 4, pages 846-867, December.
• Martín Palmero Pantoja & Pamela Rocabado Antelo, 2013, "Inercia inflacionaria en Bolivia: un análisis no estructural," Revista de Análisis del BCB, Banco Central de Bolivia, volume 17, issue 2(2012)-1, pages 9-44, January.
• Ioanna C. Bardakas, 2013, "The asymmetric effect of income on import demand in Greece," Working Papers, Bank of Greece, number 159, May.
• Sunoong Hwang, 2013, "The Evolution of Industry Comovement in Korea: A Wavelet Analysis (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, volume 19, issue 1, pages 1-41, March.
• Beum-Jo Park, 2013, "Volatility Regimes and the Relationship between Volatility, Trading Volume, and Spreads in the FX market (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, volume 19, issue 2, pages 1-23, June.
• Jaeho Yun & Hyejung Moon, 2013, "Measuring Systemic Risk in the Korean Banking Sector via Dynamic Conditional Correlation Models," Working Papers, Economic Research Institute, Bank of Korea, number 2013-27, Dec.
• T. Panagiotidis & G. Pelloni, 2013, "Employment Reallocation and Unemployment Revisited: A Quantile Regression Approach," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number wp881, May.
• Ergun Ermis oglu & Yasin Akcelik & Arif Oduncu, 2013, "Nowcasting GDP growth with credit data: Evidence from an emerging market economy," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 13, issue 4, pages 93-98, December.
• Seongyeon Chang & Pierre Perron, 2013, "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 2013-020.
• Seongyeon Chang & Pierre Perron, 2013, "A Comparison of Alternative Methods to Construct to Confidence Intervals for the Estimate of a Break Date in Linear Regression Models," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number 2013-023.
• Seong Yeon Chang & Pierre Perron, 2013, "A Comparison of Alternative Methods to Construct Confidence Intervals for the Estimate of a Break Date in Linear Regression Models," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2015-010, Sep, revised 11 Oct 2015.
• Egger Peter & Wamser Georg, 2013, "Effects of the Endogenous Scope of Preferentialism on International Goods Trade," The B.E. Journal of Economic Analysis & Policy, De Gruyter, volume 13, issue 2, pages 709-731, July, DOI: 10.1515/bejeap-2012-0067.
• Hillebrand Eric & Medeiros Marcelo C. & Xu Junyue, 2013, "Asymptotic Theory for Regressions with Smoothly Changing Parameters," Journal of Time Series Econometrics, De Gruyter, volume 5, issue 2, pages 133-162, April, DOI: 10.1515/jtse-2012-0024.
• Skrobotov Anton, 2013, "Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion," Journal of Time Series Econometrics, De Gruyter, volume 6, issue 1, pages 33-61, December, DOI: 10.1515/jtse-2012-0031.
• Bao Yong & Zhang Ru, 2013, "Estimation Bias and Feasible Conditional Forecasts from the First-Order Moving Average Model," Journal of Time Series Econometrics, De Gruyter, volume 6, issue 1, pages 63-80, July, DOI: 10.1515/jtse-2013-0015.
• Pollock D. S. G., 2013, "Cycles, Syllogisms and Semantics: Examining the Idea of Spurious Cycles," Journal of Time Series Econometrics, De Gruyter, volume 6, issue 1, pages 81-102, September, DOI: 10.1515/jtse-2012-0033.
• Bassil Charbel, 2013, "Intervention Model for Analyzing the Lebanese Tourism Sector," Review of Middle East Economics and Finance, De Gruyter, volume 8, issue 3, pages 1-15, January, DOI: 10.1515/rmeef-2012-0022.
• Brownlees Christian T. & Vannucci Marina, 2013, "A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 17, issue 1, pages 21-46, February, DOI: 10.1515/snde-2012-0043.
• de Mello Luiz & Moccero Diego & Mogliani Matteo, 2013, "Do Latin American Central Bankers Behave Non-Linearly? The Experiences of Brazil, Chile, Colombia and Mexico," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 17, issue 2, pages 141-165, April, DOI: 10.1515/snde-2012-0063.
• Aloy Marcel & Dufrénot Gilles & Tong Charles Lai & Peguin-Feissolle Anne, 2013, "A smooth transition long-memory model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 17, issue 3, pages 281-296, May, DOI: 10.1515/snde-2012-0042.
• Bec Frédérique & Salem Melika Ben, 2013, "Inventory investment and the business cycle: the usual suspect," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 17, issue 3, pages 335-343, May, DOI: 10.1515/snde-2012-0041.
• Davide Pettenuzzo & Allan Timmermann & Rossen Valkanov, 2013, "Forecasting Stock Returns under Economic Constraints," Working Papers, Brandeis University, Department of Economics and International Business School, number 57, May.
• Zsolt Darvas, 2013, "Inflation persistence in Central and Eastern European countries," Bruegel Working Papers, Bruegel, number 787, Jul.
• Davide Pettenuzzo, 2013, "To Predict the Equity Market, Consult Economic Theory," Rosenberg Global Financial Briefs, Brandeis University, Rosenberg Institute of Global Finance, International Businesss School, number 8, revised 2014.
• Michel Grun-Rehomme & OLGA VASYECHKO, 2013, "Methodes De Lissage D’Une Serie Temporelle :Le Probleme Des Extremites," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, volume 56, issue 2, pages 163-174.
• WAJIH KHALLOULI & MOHAMED Ayadi & RENE SANDRETTO, 2013, "Fondamentaux, Contagion Et Dynamique Des Anticipations :Une Evaluation A Partir De La Crise Financiere Coreenne," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, volume 56, issue 2, pages 175-189.
• Dogan Gursoy & Anna Maria Parroco & Raffaele Scuderi, 2013, "An examination of tourist arrivals dynamics using short-term time series data: a space-time cluster approach," BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen, number BEMPS06, Jun.
• Ito, Ryoko, 2013, "Modeling Dynamic Diurnal Patterns in High-Frequency Financial Data," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1315, Jun.
• M. Caivano & A. Harvey, 2013, "Time series models with an EGB2 conditional distribution," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1325, Jul.
• M. Caivano & A. Harvey, 2013, "Two EGARCH models and one fat tail," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1326, Jul.
• Lidija Barjaktarović & Maja Paunović & Dejan Ječmenica, 2013, "Development of the Banking Sector in CEE Countries – Comparative Analysis," Journal of Central Banking Theory and Practice, Central bank of Montenegro, volume 2, issue 2, pages 93-114.
• Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2013, "Modeling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 13/07, Jan.
• Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2013, "Has the Basel Accord Improved Risk Management During the Global Financial Crisis," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 13/08, Feb.
• Chia-Lin Chang & Hui-Kuang Hsu & Michael McAleer, 2013, "The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 13/27, Aug.
• Selahattin Togay & Nezir Kose, 2013, "Money-price relationships under a currency board system: The case of Argentina," Journal of Applied Economics, Universidad del CEMA, volume 16, pages 373-390, November.
• Ladislav Kristoufek & Karel Janda & David Zilberman, 2013, "Non-linear Price Transmission between Biofuels, Fuels and Food Commodities," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp481, Feb.
• Silvana Bartoletto & Bruno Chiarini & Elisabetta Marzano, 2013, "Is the Italian Public Debt Really Unsustainable? An Historical Comparison (1861-2010)," CESifo Working Paper Series, CESifo, number 4185.
• Peter Egger & Georg Wamser, 2013, "Effects of the Endogenous Scope of Preferentialism on International Goods Trade," CESifo Working Paper Series, CESifo, number 4208.
• Willi Leibfritz & Gebhard Flaig, 2013, "Economic Growth in Africa: Comparing Recent Improvements with the "lost 1980s and early 1990s" and Estimating New Growth Trends," CESifo Working Paper Series, CESifo, number 4215.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2013, "Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate," CESifo Working Paper Series, CESifo, number 4224.
• Xi Chen & Michael Funke, 2013, "Renewed Momentum in the German Housing Market: Boom or Bubble?," CESifo Working Paper Series, CESifo, number 4287.
• Niklas Potrafke & Markus Reischmann, 2013, "Explosive Target Balances," CESifo Working Paper Series, CESifo, number 4297.
• Beate Schirwitz, 2013, "Business Fluctuations, Job Flows and Trade Unions - Dynamics in the Economy," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 47, July.
• Ursula Triebswetter & Johann Wackerbauer, 2010, "Water - a substantial location factor for the Bavarian economy," ifo Forschungsberichte, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 47.
• Wolfgang Nierhaus, 2013, "Konjunkturprognosen heute – Möglichkeiten und Probleme," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 66, issue 01, pages 25-32, January.
• Paulo Manuel Marques Rodrigues, 2013, "On the Behaviour of Phillips-Perron Tests in the Presence of Persistent Cycles," CEFAGE-UE Working Papers, University of Evora, CEFAGE-UE (Portugal), number 2013_11.
• Jorge Miguel Lopo Gonçalves Andraz & Nélia Maria Afonso Norte, 2013, "Output volatility in the OECD: Are the member states becoming less vulnerable to exogenous shocks?," CEFAGE-UE Working Papers, University of Evora, CEFAGE-UE (Portugal), number 2013_17.
• Markus Haas & Jochen Krause & Marc S. Paolella & Sven C. Steude, 2013, "Time-Varying Mixture GARCH Models and Asymmetric Volatility," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-04, Jan.
• Eric Jondeau & Jérôme Lahaye & Michael Rockinger, 2013, "Estimating the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-47, Oct, revised Feb 2016.
• Hela Mzoughi & Faysal Mansouri, 2013, "Computing risk measures for non-normal asset returns using Copula theory," The Empirical Econometrics and Quantitative Economics Letters, Faculty of Economics, Chiang Mai University, volume 2, issue 1, pages 59-70, March.
• Giscard Assoumou Ella, 2013, "Impact of international income, prices and monetary shocks on real exchange rate in eight African economies: An empirical study," The Empirical Econometrics and Quantitative Economics Letters, Faculty of Economics, Chiang Mai University, volume 2, issue 3, pages 41-54, September.
• Xi Shen & Kanchana Chokethaworn & Chukiat Chaiboonsri, 2013, "The dependence structure analysis among gold price, stock price index of gold mining companies and Shanghai composite index," The Empirical Econometrics and Quantitative Economics Letters, Faculty of Economics, Chiang Mai University, volume 2, issue 4, pages 53-64, December.
• Lanwenjing Yin & Kanchana Chokethaworn & Chukiat Chaiboonsri, 2013, "Dependence structure analysis between stock index futures and spot markets in the case of the “Golden week” effect," The Empirical Econometrics and Quantitative Economics Letters, Faculty of Economics, Chiang Mai University, volume 2, issue 4, pages 75-86, December.
• Antonia López-Villavicencio & Valérie Mignon, 2013, "Nonlinearity of the inflation-output trade-off and time-varying price rigidity," Working Papers, CEPII research center, number 2013-02, Jan.
• Menzie Chinn & Laurent Ferrara & Valérie Mignon, 2013, "Post-Recession US Employment through the Lens of a Non-Linear Okun's Law," Working Papers, CEPII research center, number 2013-13, May.
• Mardi Dungey & Jan P.A.M. Jacobs & Jing Jian & Simon van Norden, 2013, "Trend-Cycle Decomposition: Implications from an Exact Structural Identification," CIRANO Working Papers, CIRANO, number 2013s-23, Jul.
• Jan P.A.M. Jacobs & Samad Sarferaz & Simon van Norden & Jan-Egbert Sturm, 2013, "Modeling Multivariate Data Revisions," CIRANO Working Papers, CIRANO, number 2013s-44, Nov.
• Juan José Echavarría & Norberto Rodríguez N. & Luis Eduardo Rojas, 2013, "La meta del banco central y la persistencia de la inflación en Colombia," Investigación Conjunta-Joint Research, Centro de Estudios Monetarios Latinoamericanos, CEMLA, chapter 5, in: Laura Inés D'Amato & Enrique López Enciso & María Teresa Ramírez Giraldo, "Dinámica inflacionaria, persistencia y formación de precios y salarios".
• Juan José Echavarría S. & Enrique López E. & Martha Misas A., 2013, "La persistencia estadística de la inflación en Colombia," Investigación Conjunta-Joint Research, Centro de Estudios Monetarios Latinoamericanos, CEMLA, chapter 6, in: Laura Inés D'Amato & Enrique López Enciso & María Teresa Ramírez Giraldo, "Dinámica inflacionaria, persistencia y formación de precios y salarios".
• Laura Inés D'Amato & Enrique López Enciso & María Teresa Ramírez Giraldo (ed.), 2013, "Dinámica inflacionaria, persistencia y formación de precios y salarios," Investigación Conjunta-Joint Research, Centro de Estudios Monetarios Latinoamericanos, CEMLA, number 2, edition 1, ISBN: ARRAY(0x73be5648), December.
• Laura Inés D'Amato & Enrique López Enciso & María Teresa Ramírez Giraldo (ed.), 2013, "Inflationary Dynamics, Persistence, and Prices and Wages Formation," Investigación Conjunta-Joint Research, Centro de Estudios Monetarios Latinoamericanos, CEMLA, number 2en, edition 1, ISBN: ARRAY(0x739d9698), December.
• Jos� Eduardo G�mez & Jair Ojeda Ojeda & Catalina Rey Guerra & Natalia Sicard, 2013, "Testing for Bubbles in Housing Markets: New Results Using a New Method," Borradores de Economia, Banco de la Republica, number 10456, Jan.
• H�ctor Manuel Z�arte Solano & Ang�lica Rengifo G�mez, 2013, "Forecasting annual inflation with power transformations: the case of inflation targeting countries," Borradores de Economia, Banco de la Republica, number 10462, Feb.
• Jurany Beccie RAMÍREZ GALLEGO, 2013, "Estimación del producto potencial en Colombia:," Archivos de Economía, Departamento Nacional de Planeación, number 10704, Mar.
• Miguel SARMIENTOO & Andr�s CEPEDA & Hernando MUTIS & Juan F. P�REZ, 2013, "Nueva Evidencia sobre la Eficiencia de la Banca," Archivos de Economía, Departamento Nacional de Planeación, number 10705, Mar.
• Juan Carlos Zambrano Jurado, 2013, "Aproximación al fenómeno de histéresis en el mercado laboral para siete áreas metropolitanas en Colombia," Documentos de Trabajo, Universidad del Valle, CIDSE, number 11026, Feb.
• Jorge Mario Uribe Gil, 2013, "Testing for multiple bubbles with daily data," Documentos de Trabajo, Universidad del Valle, CIDSE, number 11028, Jul.
• Jacobo Campo R & W. Andr�s Sanabria P., 2013, "Recursos Naturales y Crecimiento Económico en Colombia: ¿Maldición de los Recursos?," Perfil de Coyuntura Económica, Universidad de Antioquia, CIE, issue 21, pages 17-37.
• Jaime Montoya R., 2013, "Tasa de cambio nominal: un conjunto alternativo de determinantes bajo un modelo de oferta y demanda de divisas," Perfil de Coyuntura Económica, Universidad de Antioquia, CIE, issue 21, pages 63-91.
• Ramón Castillo & Carlos Flores & Mar�a Rodr�guez, 2013, "The relative importance of the service sector in the mexican economy: A time series Analysis," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 80, pages 133-151.
• Diego Fernando Lemus Polanía & Elkin Argemiro Casta�o V�lez, 2013, "Prueba de hipótesis sobre la existencia de una raíz fraccional en una serie de tiempo no estacionaria," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 78, pages 151-184.
• Juan David Páez & Francisco Gonz�lez, 2013, "Implementación del Modelo LWR en MATLAB para la movilidad en Bogotá," Econógrafos, Escuela de Economía, Universidad Nacional de Colombia, FCE, CID, number 13114, May.
• Óscar Penagos Gómez & H�ctor Rojas Serrano & Jacobo Campo Robledo, 2013, "La paradoja Feldstein – Horioka: Evidencia para Colombia (1925 – 2011)," Documentos de Trabajo, Universidad Católica de Colombia, number 12393, Apr.
• WANG, Cindy Shin-Huei & BAUWENS, Luc & HSIAO, Cheng, 2013, "Forecasting a long memory process subject to structural breaks," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2574, Jan.
• Andrzej Geise & Mariola Pilatowska, 2013, "Synchronization of Crude Oil Prices Cycle and Business Cycle for the Central Eastern European Economies," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, volume 13, pages 175-194.
• Agata Kliber & Barbara Bedowska-Sojka, 2013, "Economic Situation of the Country or Risk in the World Financial Market? The Dynamics of Polish Sovereign Credit Default Swap Spreads," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, volume 13, pages 87-106.
• Marcellino, Massimiliano & Carriero, Andrea & Clark, Todd, 2013, "Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9312, Jan.
• Marcellino, Massimiliano & Ferrara, Laurent & Mogliani, Matteo, 2013, "Macroeconomic forecasting during the Great Recession: The return of non-linearity?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9313, Jan.
• Marcellino, Massimiliano & Venditti, Fabrizio & Porqueddu, Mario, 2013, "Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9334, Feb.
• Timmermann, Allan & Pettenuzzo, Davide & Valkanov, Rossen, 2013, "Forecasting Stock Returns under Economic Constraints," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9377, Mar.
• Andreou, Elena & Kasparis, Ioannis & Phillips, Peter C. B., 2013, "Nonparametric Predictive Regression," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9570, Jul.
• Rossi, Barbara & Gürkaynak, Refet & KısacıkoÄŸlu, Burçin, 2013, "Do DSGE Models Forecast More Accurately Out-of-Sample than VAR Models?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9576, Jul.
• Werker, Bas J M & Andreou, Elena, 2013, "Residual-based Rank Specification Tests for AR-GARCH type models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9583, Aug.
• Claudio Morana, 2013, "Insights on the global macro-finance interface: Structural sources of risk factors fluctuations and the cross-section of expected stock returns," CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy), number 138, Dec.
• Christian Francq & Jean-Michel Zakoian, 2013, "Inference in Non Stationary Asymmetric Garch Models," Working Papers, Center for Research in Economics and Statistics, number 2013-11, Aug.
• Frédérique Bec & Matteo Mogliani, 2013, "Nowcasting French GDP in Real-Time from Survey Opinions : Information or Forecast Combinations ?," Working Papers, Center for Research in Economics and Statistics, number 2013-21, Dec.
• Dong Li & Shiqing Ling & Jean-Michel Zakoian, 2013, "Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models," Working Papers, Center for Research in Economics and Statistics, number 2013-51, Dec.
• Giovanni Cerulli & Bianca Potì, 2013, "Managerial capacity in the innovation process and firm profitability," CERIS Working Paper, CNR-IRCrES Research Institute on Sustainable Economic Growth - Torino (TO) ITALY - former Institute for Economic Research on Firms and Growth - Moncalieri (TO) ITALY, number 201301, Jun.
• Berenguer Rico, Vanessa & Gonzalo, Jesús, 2013, "Co-summability from linear to non-linear cointegration," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we1312, Jun.
• Sucarrat, Genaro & Escribano, Álvaro, 2013, "Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we1321, Sep.
• Galán Camacho, Jorge Eduardo & Lopes Moreira da Veiga, María Helena & Wiper, Michael Peter, 2013, "Bayesian analysis of dynamic effects in inefficiency : evidence from the Colombian banking sector," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws131918, Jun.
• Kejriwal, Mohitosh & Perron, Pierre & Zhou, Jing, 2013, "Wald Tests For Detecting Multiple Structural Changes In Persistence," Econometric Theory, Cambridge University Press, volume 29, issue 2, pages 289-323, April.
• Pötscher, Benedikt M., 2013, "On The Order Of Magnitude Of Sums Of Negative Powers Of Integrated Processes," Econometric Theory, Cambridge University Press, volume 29, issue 3, pages 642-658, June.
• Phillips, Peter C.B. & Magdalinos, Tassos, 2013, "Inconsistent Var Regression With Common Explosive Roots," Econometric Theory, Cambridge University Press, volume 29, issue 4, pages 808-837, August.
• Castro, Tomás del Barrio & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2013, "The Impact Of Persistent Cycles On Zero Frequency Unit Root Tests," Econometric Theory, Cambridge University Press, volume 29, issue 6, pages 1289-1313, December.

2012

• Matei Demetrescu & Robinson Kruse, 2012, "The Power of Unit Root Tests Against Nonlinear Local Alternatives," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-01, Jan.
• Anders Bredahl Kock, 2012, "On the Oracle Property of the Adaptive Lasso in Stationary and Nonstationary Autoregressions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-05, Feb.
• Cristina Amado & Timo Teräsvirta, 2012, "Modelling Changes in the Unconditional Variance of Long Stock Return Series," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-07, 02.
• Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2012, "Unit roots, nonlinearities and structural breaks," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-14, Apr.
• Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu, 2012, "The impact of financial crises on the risk-return tradeoff and the leverage effect," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-19, May.
• Hendrik Kaufmann & Robinson Kruse & Philipp Sibbertsen, 2012, "On tests for linearity against STAR models with deterministic trends," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-20, May.
• Heejoon Han & Dennis Kristensen, 2012, "Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-25, May.
• Eric Hillebrand & Marcelo C. Medeiros, 2012, "Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-30, Jun.
• Eric Hillebrand & Marcelo C. Medeiros & Junyue Xu, 2012, "Asymptotic Theory for Regressions with Smoothly Changing Parameters," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-31, Jun.
• Nektarios Aslanidis & Charlotte Christiansen, 2012, "Quantiles of the Realized Stock-Bond Correlation and Links to the Macroeconomy," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-34, Jul.
• Marcelo C. Medeiros & Eduardo F. Mendes, 2012, "Estimating High-Dimensional Time Series Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-37, Sep.
• Peter Reinhard Hansen & Zhuo Huang, 2012, "Exponential GARCH Modeling with Realized Measures of Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-44, Oct.
• Søren Johansen & Marco Riani & Anthony C. Atkinson, 2012, "The Selection of ARIMA Models with or without Regressors," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-46, Nov.
• Søren Johansen & Morten Ørregaard Nielsen, 2012, "The role of initial values in nonstationary fractional time series models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-47, Nov.
• Matthew T. Holt & Timo Teräsvirta, 2012, "Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-54, Nov.
• Daniel J. Nordman & Helle Bunzel & Soumendra N. Lahiri, 2012, "A Non-standard Empirical Likelihood for Time Series," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-55, Dec.