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

2012

• Dullah Mulok & Mori Kogid & Rozilee Asid & Jaratin Lily, 2012, "Is economic growth sufficient for poverty alleviation? Empirical evidence from Malaysia," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 35, issue 97, pages 26-32, Abril.
• Qi Gao & Jingping Gu & Paula Hernandez-Verme, 2012, "A Semiparametric Time Trend Varying Coefficients Model: With An Application to Evaluate Credit Rationing in U.S. Credit Market," Annals of Economics and Finance, Society for AEF, volume 13, issue 1, pages 189-210, May.
• Onatski, Alexei & Uhlig, Harald, 2012, "Unit Roots In White Noise," Econometric Theory, Cambridge University Press, volume 28, issue 3, pages 485-508, June.
• Shi, Xiaoxia & Phillips, Peter C.B., 2012, "Nonlinear Cointegrating Regression Under Weak Identification," Econometric Theory, Cambridge University Press, volume 28, issue 3, pages 509-547, June.
• Johansen, Søren & Ørregaard Nielsen, Morten, 2012, "A Necessary Moment Condition For The Fractional Functional Central Limit Theorem," Econometric Theory, Cambridge University Press, volume 28, issue 3, pages 671-679, June.
• Gorodnichenko, Yuriy & Mikusheva, Anna & Ng, Serena, 2012, "Estimators For Persistent And Possibly Nonstationary Data With Classical Properties," Econometric Theory, Cambridge University Press, volume 28, issue 5, pages 1003-1036, October.
• Li, Degui & Lu, Zudi & Linton, Oliver, 2012, "Local Linear Fitting Under Near Epoch Dependence: Uniform Consistency With Convergence Rates," Econometric Theory, Cambridge University Press, volume 28, issue 5, pages 935-958, October.
• Hjalmarsson, Erik, 2012, "Some curious power properties of long-horizon tests," Finance Research Letters, Elsevier, volume 9, issue 2, pages 81-91, DOI: 10.1016/j.frl.2011.10.001.
• Zumbach, Gilles, 2012, "Option pricing and ARCH processes," Finance Research Letters, Elsevier, volume 9, issue 3, pages 144-156, DOI: 10.1016/j.frl.2012.01.002.
• Dzielinski, Michal, 2012, "Measuring economic uncertainty and its impact on the stock market," Finance Research Letters, Elsevier, volume 9, issue 3, pages 167-175, DOI: 10.1016/j.frl.2011.10.003.
• Oliveira, Luís & Curto, José Dias & Nunes, João Pedro, 2012, "The determinants of sovereign credit spread changes in the Euro-zone," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 2, pages 278-304, DOI: 10.1016/j.intfin.2011.09.007.
• Naraidoo, Ruthira & Paya, Ivan, 2012, "Forecasting monetary policy rules in South Africa," International Journal of Forecasting, Elsevier, volume 28, issue 2, pages 446-455, DOI: 10.1016/j.ijforecast.2011.04.006.
• Chen, Cathy W.S. & Gerlach, Richard & Hwang, Bruce B.K. & McAleer, Michael, 2012, "Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range," International Journal of Forecasting, Elsevier, volume 28, issue 3, pages 557-574, DOI: 10.1016/j.ijforecast.2011.12.004.
• Lanne, Markku & Luoto, Jani & Saikkonen, Pentti, 2012, "Optimal forecasting of noncausal autoregressive time series," International Journal of Forecasting, Elsevier, volume 28, issue 3, pages 623-631, DOI: 10.1016/j.ijforecast.2011.08.003.
• González-Val, Rafael & Marcén, Miriam, 2012, "Breaks in the breaks: An analysis of divorce rates in Europe," International Review of Law and Economics, Elsevier, volume 32, issue 2, pages 242-255, DOI: 10.1016/j.irle.2012.01.005.
• Kopsch, Fredrik, 2012, "A demand model for domestic air travel in Sweden," Journal of Air Transport Management, Elsevier, volume 20, issue C, pages 46-48, DOI: 10.1016/j.jairtraman.2011.11.006.
• Baak, SaangJoon, 2012, "Measuring misalignments in the Korean exchange rate," Japan and the World Economy, Elsevier, volume 24, issue 4, pages 227-234, DOI: 10.1016/j.japwor.2012.09.001.
• Chang, Tsangyao & Lee, Chia-Hao & Liu, Wen-Chi, 2012, "Nonlinear adjustment to purchasing power parity for ASEAN countries," Japan and the World Economy, Elsevier, volume 24, issue 4, pages 325-331, DOI: 10.1016/j.japwor.2012.05.001.
• Bagliano, Fabio C. & Morana, Claudio, 2012, "The Great Recession: US dynamics and spillovers to the world economy," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 1-13, DOI: 10.1016/j.jbankfin.2011.06.002.
• Abrantes-Metz, Rosa M. & Kraten, Michael & Metz, Albert D. & Seow, Gim S., 2012, "Libor manipulation?," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 136-150, DOI: 10.1016/j.jbankfin.2011.06.014.
• Felices, Guillermo & Wieladek, Tomasz, 2012, "Are emerging market indicators of vulnerability to financial crises decoupling from global factors?," Journal of Banking & Finance, Elsevier, volume 36, issue 2, pages 321-331, DOI: 10.1016/j.jbankfin.2011.06.013.
• Avouyi-Dovi, Sanvi & Idier, Julien, 2012, "The impact of unconventional monetary policy on the market for collateral: The case of the French bond market," Journal of Banking & Finance, Elsevier, volume 36, issue 2, pages 428-438, DOI: 10.1016/j.jbankfin.2011.07.019.
• Hjalmarsson, Erik & Manchev, Petar, 2012, "Characteristic-based mean-variance portfolio choice," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1392-1401, DOI: 10.1016/j.jbankfin.2011.12.002.
• Chen, Shiu-Sheng, 2012, "Revisiting the empirical linkages between stock returns and trading volume," Journal of Banking & Finance, Elsevier, volume 36, issue 6, pages 1781-1788, DOI: 10.1016/j.jbankfin.2012.02.003.
• Westerlund, Joakim & Narayan, Paresh Kumar, 2012, "Does the choice of estimator matter when forecasting returns?," Journal of Banking & Finance, Elsevier, volume 36, issue 9, pages 2632-2640, DOI: 10.1016/j.jbankfin.2012.06.005.
• González-Val, Rafael & Marcén, Miriam, 2012, "Unilateral divorce versus child custody and child support in the U.S," Journal of Economic Behavior & Organization, Elsevier, volume 81, issue 2, pages 613-643, DOI: 10.1016/j.jebo.2011.08.008.
• Elshahat, A. & Parhizgari, Ali & Hong, Liang, 2012, "The information content of the Banking Regulatory Agencies and the Depository Credit Intermediation Institutions," Journal of Economics and Business, Elsevier, volume 64, issue 1, pages 90-104, DOI: 10.1016/j.jeconbus.2011.06.003.
• Bates, David S., 2012, "U.S. stock market crash risk, 1926–2010," Journal of Financial Economics, Elsevier, volume 105, issue 2, pages 229-259, DOI: 10.1016/j.jfineco.2012.03.004.
• Paye, Bradley S., 2012, "‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables," Journal of Financial Economics, Elsevier, volume 106, issue 3, pages 527-546, DOI: 10.1016/j.jfineco.2012.06.005.
• Dal Bianco, Marcos & Camacho, Maximo & Perez Quiros, Gabriel, 2012, "Short-run forecasting of the euro-dollar exchange rate with economic fundamentals," Journal of International Money and Finance, Elsevier, volume 31, issue 2, pages 377-396, DOI: 10.1016/j.jimonfin.2011.11.018.
• Maldonado, Wilfredo L. & Tourinho, Octávio A.F. & Valli, Marcos, 2012, "Exchange rate bubbles: Fundamental value estimation and rational expectations test," Journal of International Money and Finance, Elsevier, volume 31, issue 5, pages 1033-1059, DOI: 10.1016/j.jimonfin.2011.12.009.
• Fatum, Rasmus & Hutchison, Michael & Wu, Thomas, 2012, "Asymmetries and state dependence: The impact of macro surprises on intraday exchange rates," Journal of the Japanese and International Economies, Elsevier, volume 26, issue 4, pages 542-560, DOI: 10.1016/j.jjie.2012.08.004.
• Ng, Eric C.Y., 2012, "Forecasting US recessions with various risk factors and dynamic probit models," Journal of Macroeconomics, Elsevier, volume 34, issue 1, pages 112-125, DOI: 10.1016/j.jmacro.2011.11.001.
• Charles, Amélie & Darné, Olivier, 2012, "Trends and random walks in macroeconomic time series: A reappraisal," Journal of Macroeconomics, Elsevier, volume 34, issue 1, pages 167-180, DOI: 10.1016/j.jmacro.2011.10.001.
• Nymoen, Ragnar & Swensen, Anders Rygh & Tveter, Eivind, 2012, "Interpreting the evidence for New Keynesian models of inflation dynamics," Journal of Macroeconomics, Elsevier, volume 34, issue 2, pages 253-263, DOI: 10.1016/j.jmacro.2012.01.008.
• Conrad, Christian & Eife, Thomas A., 2012, "Explaining inflation-gap persistence by a time-varying Taylor rule," Journal of Macroeconomics, Elsevier, volume 34, issue 2, pages 419-428, DOI: 10.1016/j.jmacro.2012.02.001.
• Chang, Kuang-Liang, 2012, "The impacts of regime-switching structures and fat-tailed characteristics on the relationship between inflation and inflation uncertainty," Journal of Macroeconomics, Elsevier, volume 34, issue 2, pages 523-536, DOI: 10.1016/j.jmacro.2011.12.001.
• Lindenberg, Nannette & Westermann, Frank, 2012, "Common trends and common cycles among interest rates of the G7-countries," Journal of Macroeconomics, Elsevier, volume 34, issue 4, pages 1125-1140, DOI: 10.1016/j.jmacro.2012.06.006.
• Taylor, James W. & Snyder, Ralph D., 2012, "Forecasting intraday time series with multiple seasonal cycles using parsimonious seasonal exponential smoothing," Omega, Elsevier, volume 40, issue 6, pages 748-757, DOI: 10.1016/j.omega.2010.03.004.
• Escario, Regina & Gadea, María Dolores & Sabaté, Marcela, 2012, "Multicointegration, seigniorage and fiscal sustainability. Spain 1857–2000," Journal of Policy Modeling, Elsevier, volume 34, issue 2, pages 270-283, DOI: 10.1016/j.jpolmod.2011.09.001.
• Babula, Ronald A. & Price, Gregory K., 2012, "New regulatory authority over significant price discovery contracts: An example of natural gas swaps with econometric applications," Journal of Policy Modeling, Elsevier, volume 34, issue 3, pages 372-388, DOI: 10.1016/j.jpolmod.2011.12.004.
• Reboredo, Juan C., 2012, "Modelling oil price and exchange rate co-movements," Journal of Policy Modeling, Elsevier, volume 34, issue 3, pages 419-440, DOI: 10.1016/j.jpolmod.2011.10.005.
• Fernandez, Viviana, 2012, "Trends in real commodity prices: How real is real?," Resources Policy, Elsevier, volume 37, issue 1, pages 30-47, DOI: 10.1016/j.resourpol.2011.12.007.
• Liu, Chun & Maheu, John M., 2012, "Intraday dynamics of volatility and duration: Evidence from Chinese stocks," Pacific-Basin Finance Journal, Elsevier, volume 20, issue 3, pages 329-348, DOI: 10.1016/j.pacfin.2011.11.001.
• Lee, Chingnun & Shie, Fu Shuen & Chang, Chiao Yi, 2012, "How close a relationship does a capital market have with other such markets? The case of Taiwan from the Asian financial crisis," Pacific-Basin Finance Journal, Elsevier, volume 20, issue 3, pages 349-362, DOI: 10.1016/j.pacfin.2011.11.003.
• Madura, Jeff & Ngo, Thanh & Viale, Ariel M., 2012, "Why do merger premiums vary across industries and over time?," The Quarterly Review of Economics and Finance, Elsevier, volume 52, issue 1, pages 49-62, DOI: 10.1016/j.qref.2012.01.001.
• Arouri, Mohamed El Hedi & Hammoudeh, Shawkat & Lahiani, Amine & Nguyen, Duc Khuong, 2012, "Long memory and structural breaks in modeling the return and volatility dynamics of precious metals," The Quarterly Review of Economics and Finance, Elsevier, volume 52, issue 2, pages 207-218, DOI: 10.1016/j.qref.2012.04.004.
• Menezes, Rui & Dionísio, Andreia & Hassani, Hossein, 2012, "On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries," The Quarterly Review of Economics and Finance, Elsevier, volume 52, issue 4, pages 369-384, DOI: 10.1016/j.qref.2012.10.002.
• Jiang, Shi-jie & Nieh, Chien-Chung, 2012, "Dynamics of underwriting profits: Evidence from the U.S. insurance market," International Review of Economics & Finance, Elsevier, volume 21, issue 1, pages 1-15, DOI: 10.1016/j.iref.2011.03.005.
• Chen, Sichong, 2012, "The predictability of aggregate Japanese stock returns: Implications of dividend yield," International Review of Economics & Finance, Elsevier, volume 22, issue 1, pages 284-304, DOI: 10.1016/j.iref.2011.10.009.
• Arize, Augustine C. & Malindretos, John, 2012, "Nonstationarity and nonlinearity in inflation rate: Some further evidence," International Review of Economics & Finance, Elsevier, volume 24, issue C, pages 224-234, DOI: 10.1016/j.iref.2012.02.002.
• Roy, Saktinil & Kemme, David M., 2012, "Causes of banking crises: Deregulation, credit booms and asset bubbles, then and now," International Review of Economics & Finance, Elsevier, volume 24, issue C, pages 270-294, DOI: 10.1016/j.iref.2012.04.001.
• Junttila, Juha & Korhonen, Marko, 2012, "The role of inflation regime in the exchange rate pass-through to import prices," International Review of Economics & Finance, Elsevier, volume 24, issue C, pages 88-96, DOI: 10.1016/j.iref.2012.01.005.
• Verheyen, Florian, 2012, "Bilateral exports from euro zone countries to the US — Does exchange rate variability play a role?," International Review of Economics & Finance, Elsevier, volume 24, issue C, pages 97-108, DOI: 10.1016/j.iref.2012.01.007.
• Rishi Kumar & Jitendra Kumar & Anoop Chaturvedi, 2012, "Bayesian Unit Root Test for Time Series Models with Structural Break in Variance," Journal of Economics and Econometrics, Economics and Econometrics Society, volume 55, issue 1, pages 75-86.
• Pavel Ciaian & d'Artis Kancs & Miroslava Rajcaniova, 2012, "Bioenergy and Global Land Use Change," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2012_12, Sep.
• Mardi Dungey & Jan PAM Jacobs & Jing Tian & Simon van Norden, 2012, "On the correspondence between data revision and trend-cycle decomposition," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-16, Mar.
• Arusha Cooray & Antonio Paradiso, 2012, "The Level and Growth Effects in Empirical Growth Models for the Nordic Countries: A Knowledge Economy Approach," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-36, Aug.
• Ladislav Kristoufek & Karel Janda & David Zilberman, 2012, "Mutual Responsiveness of Biofuels, Fuels and Food Prices," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-38, Aug.
• Ladislav Kristoufek & Karel Janda & David Zilberman, 2012, "Regime-Dependent Topological Properties of Biofuels Networks," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-49, Nov.
• Nabil Ben Arfa, 2012, "Sources of economic fuctuations in France: A structural VAR model," European Journal of Government and Economics, Europa Grande, volume 1, issue 1, pages 66-85, June.
• Diego Romero-Avila & DIEGO ROMERO-ÁVILA & ILASKI BARAÑANO, 2012, "Long-Term Growth and Persistence with Endogenous Depreciation: Theory and Evidence," EcoMod2012, EcoMod, number 3757, Jul.
• Ewa Lechman, 2012, "Technology convergence and digital divides. A country-level evidence for the period 2000–2010," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, volume 31.
• Noriega, Antonio E. & Rodríguez, Cid Alonso, 2012, "Estacionariedad, cambios estructurales y crecimiento económico en México (1895-2008)," El Trimestre Económico, Fondo de Cultura Económica, volume 79, issue 314, pages 333-378, abril-jun, DOI: http://dx.doi.org/10.20430/ete.v79i.
• Frédérique Bec & Songlin Zeng, 2012, "Are Southeast Asian Real Exchange Rates Mean Reverting?," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2012-25.
• Rodolfo Cermeño Bazán & María Roa García & Claudio González Vega, 2012, "Financial Development and Growth Volatility: Time Series Evidence for Mexico and The United States," Working Papers, CIDE, División de Economía, number DTE 544, Oct.
• Firouz Fallahi & Hamed Pourtaghi & Gabriel Rodríguez, 2012, "The unemployment rate, unemployment volatility, and crime," International Journal of Social Economics, Emerald Group Publishing Limited, volume 39, issue 6, pages 440-448, May, DOI: 10.1108/03068291211224937.
• Ferda Halicioglu, 2012, "Temporal causality and the dynamics of crime in Turkey," International Journal of Social Economics, Emerald Group Publishing Limited, volume 39, issue 9, pages 704-720, July, DOI: 10.1108/03068291211245727.
• Anthony Kyereboah‐Coleman, 2012, "Inflation targeting and inflation management in Ghana," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 4, issue 1, pages 25-40, April, DOI: 10.1108/17576381211206460.
• Andrew Phiri, 2012, "Threshold effects and inflation persistence in South Africa," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 4, issue 3, pages 247-269, July, DOI: 10.1108/17576381211245971.
• George Karathanasis & Vasilios Sogiakas & Kenellos Toudas, 2012, "Derivatives listing strategy," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, volume 20, issue 3, pages 307-321, July, DOI: 10.1108/13581981211237990.
• Chang, C-L. & McAleer, M.J. & Tansuchat, R., 2012, "Modelling Long Memory Volatility in Agricultural Commodity Futures Returns," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2012-15, May.
• McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012, "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2012-29, Oct.
• McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012, "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2012-34, Oct.
• Chang, C-L. & Hsu, H-K. & McAleer, M.J., 2012, "Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2012-37, Dec.
• Beatrice D. Simo - Kengne & Mehmet Balcilar & Rangan Gupta & Monique Reid & Goodness C. Aye, 2012, "Is the relationship between monetary policy and house prices asymmetric in South Africa? Evidence from a Markov-Switching Vector Autoregressive mode," Working Papers, Eastern Mediterranean University, Department of Economics, number 15-26.
• Antonio E. Noriega & Daniel Ventosa-Santaularia, 2012, "The effect of structural breaks on the Engle-Granger test for cointegration," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, volume 27, issue 1, pages 99-132.
• M. Hanias & P. Curtis & E. Thalassinos, 2012, "Time Series Prediction with Neural Networks for the Athens Stock Exchange Indicator," European Research Studies Journal, European Research Studies Journal, volume 0, issue 2, pages 23-32.
• Javed Iqbal & Muhammad Nadim Hanif, 2012, "Estimating Standard Error of Inflation in Pakistan: A Stochastic Approach," Working Papers, eSocialSciences, number id:4786, Feb.
• Khurram Ashfaq Baluch & Syed Kalim Hyder Bukhari, 2012, "Price and Income Elasticity of Imports: The Case of Pakistan," Working Papers, eSocialSciences, number id:4899, Mar.
• Peter Reinhard Hansen & Zhuo Huang, 2012, "Exponential GARCH Modeling with Realized Measures of Volatility," Economics Working Papers, European University Institute, number ECO2012/26.
• Frédéric Karamé & Yannick Fondeur, 2012, "Can Google Data Help Predict French Youth Unemployment?," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne, number 12-03.
• Şenay AÇIKGÖZ, 2012, "Fertility, Employment and Capital Accumulation: A Case Study For Turkey," Ekonomik Yaklasim, Ekonomik Yaklasim Association, volume 23, issue 83, pages 1-36, DOI: 10.5455/ey.34096.
• Erik Lindström & Fredric Regland, 2012, "Independent Spike Models: Estimation and Validation," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 62, issue 2, pages 180-196, May.
• Piotr Fiszeder & Witold Orzeszko, 2012, "Nonparametric Verification of GARCH-Class Models for Selected Polish Exchange Rates and Stock Indices," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 62, issue 5, pages 430-449, November.
• Sylvie Dvoráková & Jakub Seidler, 2012, "The Influence of Housing Price Developments on Household Consumption: Empirical Analysis for the Czech Republic," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2012/22, Jul, revised Jul 2012.
• Joël CARIOLLE, 2012, "Mesurer l’instabilité macroéconomique - Applications aux données de recettes d’exportation, 1970-2005," Working Papers, FERDI, number I14, Mar.
• Joël CARIOLLE, 2012, "Measuring macroeconomic volatility - Applications to export revenue data, 1970-2005," Working Papers, FERDI, number I14, Mar.
• Claudio Morana, 2012, "Real Oil Prices since the 1990s," Review of Environment, Energy and Economics - Re3, Fondazione Eni Enrico Mattei, January.
• Claudio Morana, 2012, "Oil Price Dynamics, Macro-Finance Interactions and the Role of Financial Speculation," Working Papers, Fondazione Eni Enrico Mattei, number 2012.07, Feb.
• Claudio Morana, 2012, "The Oil price-Macroeconomy Relationship since the Mid- 1980s: A global perspective," Working Papers, Fondazione Eni Enrico Mattei, number 2012.28, May.
• Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2012, "Real-time nowcasting with a Bayesian mixed frequency model with stochastic volatility," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1227, DOI: 10.26509/frbc-wp-201227.
• Giampiero M. Gallo & Edoardo Otranto, 2012, "Realized Volatility and Change of Regimes," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2012_02, Jul, revised Jul 2012.
• Giampiero M. Gallo & Edoardo Otranto, 2012, "Volatility Swings in the US Financial Markets," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2012_03, Jul, revised Jul 2012.
• Cecilia Mancini & Vanessa Mattiussi & Roberto Reno', 2012, "Spot Volatility Estimation Using Delta Sequences," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2012-10, Jul.
• Ingrid Bracke & Peter Willemé, 2012, "Working Paper 15-12 - Specification and estimation of a dynamic consumption allocation model," Working Papers, Federal Planning Bureau, Belgium, number 201215, Dec.
• Giulio Cifarelli & Paolo Paesani, 2012, "An Assessment of the Theory of Storage: Has the Relationship between Commodity Price Volatility and Market Fundamentals Changed Over Time?," Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number wp2012_12.rdf.
• Elena Sinelnikova,, 2012, "Assessment of Money Demand in the Russian Economy with the Development of Banking Technology," Published Papers, Gaidar Institute for Economic Policy, number 135, revised 2013.
• Anton Skrobotov, 2012, "Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion," Working Papers, Gaidar Institute for Economic Policy, number 0043, revised 2013.
• Anton Skrobotov, 2012, "Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion - in Russian," Working Papers, Gaidar Institute for Economic Policy, number 0044, revised 2012.
• Anton Skrobotov, 2012, "Trend and initial condition in stationarity tests: the asymptotic analysis," Working Papers, Gaidar Institute for Economic Policy, number 0048, revised 2013.
• Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2012, "Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility," JRFM, MDPI, volume 5, issue 1, pages 1-37, December.
• Mariam Camarero & Estrella Gómez & Cecilio Tamarit, 2012, "The euro impact on trade. Long run evidence with structural breaks," ThE Papers, Department of Economic Theory and Economic History of the University of Granada., number 10/27, May.
• Ramesh Kumar & Koh Geok Eng, 2012, "Perceived Organizational Commitment And Its Impact To The Turnover Intention: A Correlation Analysis," Journal of Global Business and Economics, Global Research Agency, volume 4, issue 1, pages 40-49, January.
• Mubariz Hasanov, 2012, "Re-examining Purchasing Power Parity for the Australian Real Exchange Rate," Hacettepe University Department of Economics Working Papers, Hacettepe University, Department of Economics, number 20124.
• Pelin Oge Guney & Erdinc Telatar & Mubariz Hasanov, 2012, "Time Series Behaviour of the Real Interest Rates in Transition Economies," Hacettepe University Department of Economics Working Papers, Hacettepe University, Department of Economics, number 20125.
• Tolga Omay & Mubariz Hasanov & Nuri Uçar, 2012, "Energy Consumption and Economic Growth: Evidence from Nonlinear Panel Cointegration and Causality Tests," Hacettepe University Department of Economics Working Papers, Hacettepe University, Department of Economics, number 20130.
• Christophe Chorro & Dominique Guegan & Florian Ielpo, 2012, "Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00511965, DOI: 10.1080/14697688.2010.493180.
• Iuliana Matei & Mehmet Tuncel & Pascal Le Floc'H, 2012, "Commercial sizes and prices on the French monkfish fishery: a time-series analysis," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00715403.
• Dominique Guegan & Zhiping Lu & Beijia Zhu, 2012, "Comparaison of Several Estimation Procedures for Long Term Behavior," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00673934, Feb.
• Peter Martey Addo & Monica Billio & Dominique Guegan, 2012, "Alternative Methodology for Turning-Point Detection in Business Cycle : A Wavelet Approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00694420, Apr.
• Iuliana Matei & Mehmet Tuncel & Pascal Le Floc'H, 2012, "Commercial sizes and prices on the French monkfish fishery: a time-series analysis," Post-Print, HAL, number hal-00715403.
• Amélie Charles & Olivier Darné, 2012, "Trends and random walks in macroeconomic time series: A reappraisal," Post-Print, HAL, number hal-00956937, DOI: 10.1016/j.jmacro.2011.10.001.
• Eric Heyer & Mathieu Plane, 2012, "Impact des allègements de cotisations patronales des bas salaires sur l'emploi. L'apport des modèles macroéconomiques," Post-Print, HAL, number hal-01024681, Dec, DOI: 10.3917/reof.126.0123.
• Vincent Brémond & Emmanuel Hache & Valérie Mignon, 2012, "Does OPEC still exist as a cartel? An empirical investigation," Post-Print, HAL, number hal-01385802.
• Anna Creti & Pierre-André Jouvet & Valérie Mignon, 2012, "Carbon Price Drivers: Phase I versus Phase II Equilibrium?," Post-Print, HAL, number hal-01385813.
• Anna Creti & Pierre-André Jouvet & Valérie Mignon, 2012, "Les déterminants des prix du carbone : une comparaison entre les phases I et II," Post-Print, HAL, number hal-01385817.
• Fredj Jawadi & Sabrina Khanniche, 2012, "Modelling Hedge Fund Exposure to Risk Factors," Post-Print, HAL, number hal-01410552.
• Gilles Dufrénot & Valérie Mignon & Anne Péguin-Feissolle, 2012, "The effects of the subprime crisis on the Latin American financial markets: an empirical assessment," Post-Print, HAL, number hal-01411539.
• Sanvi Avouyi-Dovi & Julien Idier, 2012, "The impact of unconventional monetary policy on the market for collateral: The case of the French bond market," Post-Print, HAL, number hal-01511935, DOI: 10.1016/j.jbankfin.2011.07.019.
• Jacques Jaussaud & Serge Rey, 2012, "Long-Run Determinants of Japanese Exports to China and the United States: A Sectoral Analysis," Post-Print, HAL, number hal-01885297, DOI: 10.1111/j.1468-0106.2011.00569.x.
• Peter Martey Addo & Monica Billio & Dominique Guegan, 2012, "Alternative Methodology for Turning-Point Detection in Business Cycle : A Wavelet Approach," Post-Print, HAL, number halshs-00694420, Apr.
• Ranoua Bouchouicha & Zied Ftiti, 2012, "Real estate markets and the macroeconomy : A dynamic coherence framework," Post-Print, HAL, number halshs-00726259.
• Ranoua Bouchouicha & Zied Ftiti, 2012, "Real estate markets and the macroeconomy: A dynamic coherence framework," Post-Print, HAL, number halshs-00757077, Oct.
• Nidhaleddine Ben Cheikh, 2012, "Asymmetric exchange rate pass-through in the Euro area: new evidence from smooth transition models," Post-Print, HAL, number halshs-00761014, DOI: 10.5018/economics-ejournal.ja.2012-.
• Nidhaleddine Ben Cheikh, 2012, "Non-linearities in exchange rate pass-through: Evidence from smooth transition models," Post-Print, HAL, number halshs-00761018.
• Frédérique Bec & Mélika Ben Salem & Marie Bessec, 2012, "Le rôle des stocks en sortie de crise : Une étude empirique sur données d'enquête," Post-Print, HAL, number halshs-00832781, Jun.
• Aldo Levy & M.H. Arouri & Amine Lahiani & Duc Khuong Nguyen, 2012, "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Post-Print, HAL, number halshs-01279906, DOI: 10.1016/j.eneco.2011.10.015.
• Eric Heyer & Mathieu Plane, 2012, "Impact des allègements de cotisations patronales des bas salaires sur l'emploi. L'apport des modèles macroéconomiques," Sciences Po Economics Publications (main), HAL, number hal-01024681, Dec, DOI: 10.3917/reof.126.0123.
• Frédérique Bec & Songlin Zeng, 2012, "Are Southeast Asian Real Exchange Rates Mean Reverting?," Working Papers, HAL, number hal-00685812, Feb.
• Anna Creti & Marc Joëts & Valérie Mignon, 2012, "On the links between stock and commodity markets' volatility," Working Papers, HAL, number hal-04141042.
• Catherine Araujo Bonjean & Catherine Simonet, 2012, "Are grain markets in Niger driven by speculation?," Working Papers, HAL, number halshs-00626409, Sep.
• Nidhaleddine Ben Cheikh, 2012, "Nonlinear Mechanism of the Exchange Rate Pass-Through: Does Business Cycle Matter?," Working Papers, HAL, number halshs-00731502, Sep.
• Mohamed Chikhi & Anne Peguin-Feissolle & Michel Terraza, 2012, "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Working Papers, HAL, number halshs-00793203, Jun.
• Marcel Aloy & Gilles Dufrenot & Charles Lai-Tong & Anne Peguin-Feissolle, 2012, "A Smooth Transition Long-Memory Model," Working Papers, HAL, number halshs-00793680, Dec.
• Thomas Barnay & Olivier Damette, 2012, "What drives Health Care Expenditure in France since 1950? A time-series study with structural breaks and nonlinearity approaches," Working Papers, HAL, number halshs-00856117.
• Jamal Bouoiyour & Oscar Kuikeu, 2012, "Pertinence de la dévaluation du Franc CFA de janvier 1994 : une évaluation par le taux de change réel d'équilibre. Cas de l'économie camerounaise," Working papers of CATT, HAL, number hal-01880344, Jul.
• Kaufmann, Hendrik & Kruse, Robinson & Sibbertsen, Philipp, 2012, "On tests for linearity against STAR models with deterministic trends," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-492, Feb.
• Sibbertsen, Philipp & Willert, Juliane, 2012, "Estimating the number of mean shifts under long memory," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-496, Mar.
• Kaufmann, Hendrik & Kruse, Robinson & Sibbertsen, Philipp, 2012, "A simple specification procedure for the transition function in persistent nonlinear time series models," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-500, Jul.
• Ulrich Pfister & Jana Riedel & Martin Uebele, 2012, "Real Wages and the Origins of Modern Economic Growth in Germany, 16th to 19th Centuries," Working Papers, European Historical Economics Society (EHES), number 0017, Apr.
• Maican, Florin G. & Sweeney, Richard J., 2012, "Cost of Misspecification in Break-Model Unit-Root Tests," Working Papers in Economics, University of Gothenburg, Department of Economics, number 536, Aug.
• Li, Yushu & Reese, Simon, 2012, "Wavelet Improvement in Turning Point Detection using a Hidden Markov Model," Working Papers, Lund University, Department of Economics, number 2012:14, May, revised 05 Apr 2014.
• Kvamsdal, Sturla F., 2012, "Technological Change in Renewable Resource Industries: An Alternative Estimation Approach," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2012/14, Dec.
• Nymoen, Ragnar & Sparrman, Victoria, 2012, "Panel Data Evidence on the Role of Institutions and Shocks for Unemployment Dynamics and Equilibrium," Memorandum, Oslo University, Department of Economics, number 20/2012, Sep.
• Holmberg, Ulf, 2012, "Essays on Credit Markets and Banking," Umeå Economic Studies, Umeå University, Department of Economics, number 840, Mar.
• Brännäs, Kurt, 2012, "The Asymmetric Count Data Moving Average Model," Umeå Economic Studies, Umeå University, Department of Economics, number 841, May.
• Lönnbark, Carl, 2012, "Occurrence of long and short term asymmetry in stock market volatilities," Umeå Economic Studies, Umeå University, Department of Economics, number 848, Oct.
• Lundgren, Jens, 2012, "Market Liberalization and Market Integration - Essays on the Nordic Electricity Market," Umeå Economic Studies, Umeå University, Department of Economics, number 852, Nov.
• Matthew S. Yiu & Lu Jin, 2012, "Detecting Bubbles in the Hong Kong Residential Property Market: An Explosive-Pattern Approach," Working Papers, Hong Kong Institute for Monetary Research, number 012012, Jan.
• Matthias Bauer & Martin Zenker, 2012, "Minor Nuisance Around Foreign Exchange Markets - Lessons from the Stability and Growth Pact Debate," Global Financial Markets Working Paper Series, Friedrich-Schiller-University Jena, number 2012-32.
• Matthias Bauer & Martin Zenker, 2012, "Market Discipline Under A Politicised Multilateral Fiscal Rule - Lessons from the Stability and Growth Pact Debate," Global Financial Markets Working Paper Series, Friedrich-Schiller-University Jena, number 2012-35.
• Eiji Kurozumi, 2012, "Testing for Multiple Structural Changes with Non-Homogeneous Regressors," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd11-227, Feb.
• Makoto Takahashi & Yasuhiro Omori & Toshiaki Watanabe, 2012, "News Impact Curve for Stochastic Volatility Models," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd12-242, Sep.
• Yohei Yamamoto, 2012, "Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd12-249, Oct.
• Yohei Yamamoto & Pierre Perron, 2012, "Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd12-250, Oct.
• Eiji Kurozumi & Daisuke Yamazaki & Kaddour Hadri, 2012, "Covariate Unit Root Test for Cross-Sectionally Dependent Panel Data," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd12-256, Nov.
• Pierre Perron & Yohei Yamamoto, 2012, "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd12-258, Nov.
• Ahmed Bensaida, 2012, "Improving the Forecasting Power of Volatility Models," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, volume 2, issue 3, pages 51-64, July.
• Toderoiu, Filon, 2012, "The Romanian Agri-Food Economy – Performance Reductive Effects After Five Years Of Eu Membership," Agricultural Economics and Rural Development, Institute of Agricultural Economics, volume 9, issue 1, pages 25-45.
• Linda Margarita Medina Herrera & Ernesto Armando Pacheco Velázquez, 2012, "Distances And Networks: The Case Of Mexico," Accounting & Taxation, The Institute for Business and Finance Research, volume 4, issue 2, pages 39-48.
• Vijay Kumar Vishwakarma & Ohannes George Paskelian, 2012, "Bubble In The Indian Real Estate Markets: Identification Using Regime-Switching Methodology," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 6, issue 3, pages 27-40.
• Márcio Laurini & Márcio Alves Diniz, 2012, "Bayesian Unit Root Testing in Stochastic Volatility Models Using INLA," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro, number 2012-05, Apr.
• Iskandar Simorangkir, 2012, "Kajian Indikator Peringatan Dini Bank Runs Di Indonesia: Pendekatan Markov-Switching," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 15, issue 1, pages 3-37, July, DOI: https://doi.org/10.21098/bemp.v15i1.
• Iskandar Simorangkir, 2012, "Early Warning Indicators Study Of Bank Runs In Indonesia : Markov-Switching Approach," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 15, issue 1, pages 3-40, July, DOI: https://doi.org/10.21098/bemp.v15i1.
• Martina Alexová, 2012, "What determines inflation?," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, volume 5, issue 4, pages 345-369.
• Chang-Jin Kim & Cheolbeom Park, 2012, "Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability," Discussion Paper Series, Institute of Economic Research, Korea University, number 1205.
• Raffaella Giacomini & Barbara Rossi, 2012, "Model comparisons in unstable environments," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP13/12, Jun.
• Oliver Linton & Dajing Shang & Yang Yan, 2012, "Efficient estimation of conditional risk measures in a semiparametric GARCH model," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP25/12, Sep.
• Degui Li & Oliver Linton & Zudi Lu, 2012, "A flexible semiparametric model for time series," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP28/12, Sep.
• Liu, Shuangzhe & Ma, Tiefeng & Polasek, Wolfgang, 2012, "Spatial System Estimators for Panel Models: A Sensitivity and Simulation Study," Economics Series, Institute for Advanced Studies, number 294, Dec.
• Özlem YILMAZ & Uğur SOYTAŞ, 2012, "Are fertility decisions in Turkey affected by infant mortality and income?," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 27, issue 310, pages 39-52.
• Işıl AKGÜL & Selin ÖZDEMİR, 2012, "Enflasyon eşiği ve ekonomik büyümeye etkisi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 27, issue 313, pages 85-106.
• Cevdet AKÇAY & Eren OCAKVERDİ, 2012, "An interim assessment of the ongoing Turkish monetary and macroprudential experiment," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 27, issue 315, pages 77-92.
• Ferda HALICIOGLU, 2012, "The Demand for Calories in Turkey," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 27, issue 316, pages 93-108.
• Fatih MANGIR & Hasan Murat ERTUĞRUL, 2012, "Sermaye hareketliliği, tasarruf ve yatırım ilişkisi:Türkiye örneği," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 27, issue 317, pages 61-87.
• Ozgur Omer ERSİN, 2012, "Türkiye’de Reel Döviz Kurunun Doğrusal Olmayan Ekonometrik Modeller ile İncelenmesi:Band-TAR ve STAR Modelleri," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 27, issue 319, pages 89-122.
• Mr. Jacob Gyntelberg & Mr. Subhanij Tientip & Mr. Mico Loretan, 2012, "Private Information, Capital Flows, and Exchange Rates," IMF Working Papers, International Monetary Fund, number 2012/213, Aug.
• Christian Schoder, 2012, "Endogenous capital productivity in the Kaleckian growth model. Theory and Evidence," IMK Working Paper, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute, number 102-2012.
• Christian Schoder, 2012, "Effective demand, exogenous normal utilization and endogenous capacity in the long run. Evidence from a CVAR analysis for the US," IMK Working Paper, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute, number 103-2012.