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

2011

• Dreger, Christian & Wolters, Jürgen, 2011, "Money and inflation in the euro area during the financial crisis," Discussion Papers, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics, number 300.
• Westermann, Frank & Diekmann, Katharina, 2011, "Financial Development and Sectoral Output: Growth in 19th Century Germany," Proceedings of the German Development Economics Conference, Berlin 2011, Verein für Socialpolitik, Research Committee Development Economics, number 81.
• Rossen, Anja, 2011, "On the predictive content of nonlinear transformations of lagged autoregression residuals and time series observations," HWWI Research Papers, Hamburg Institute of International Economics (HWWI), number 113.
• Kellermann, Kersten & Schlag, Carsten-Henning, 2011, "Frankenstärke und Importpreisreagibilität: Kurz-, mittel- und langfristige Effekte," KOFL Working Papers, Konjunkturforschungsstelle Liechtenstein (KOFL), Vaduz, number 10.
• Brunhart, Andreas, 2011, "Evaluating the effect of "Zumwinkel-Affair" and financial crisis on stock prices in Liechtenstein: An unconventional augmented GARCH-approach," KOFL Working Papers, Konjunkturforschungsstelle Liechtenstein (KOFL), Vaduz, number 9.
• Dobnik, Frauke, 2011, "Long-run Money Demand in OECD Countries – Cross-Member Cointegration," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 237.
• Jovanović, Mario, 2011, "Does Monetary Policy Affect Stock Market Uncertainty? – Empirical Evidence from the United States," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 240.
• Herrera, Rodrigo & Schipp, Bernhard, 2011, "Extreme value models in a conditional duration intensity framework," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-022.
• Kappus, Johanna & Reiß, Markus, 2011, "Estimation of the characteristics of a Lévy process observed at arbitrary frequency," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-027.
• Härdle, Wolfgang Karl & Osipenko, Maria, 2011, "Pricing Chinese rain: A multisite mulit-period equilibrium pricing model for rainfall derivatives," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-055.
• Schienle, Melanie, 2011, "Nonparametric nonstationary regression with many covariates," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-076.
• Mehrhoff, Jens & Eiglsperger, Martin & Haine, Wim, 2011, "Seasonal adjustment and reliability of euro area GDP – Increased uncertainty in times of unusual developments?," VfS Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis, Verein für Socialpolitik / German Economic Association, number 48721.
• Vincent Brémond & Emmanuel Hache & Valerie Mignon, 2011, "Does OPEC still exist as a cartel ? An empirical investigation," Working Papers, HAL, number hal-02469630, Mar.
• David Guerreiro & Valérie Mignon, 2011, "On price convergence in Eurozone," Working Papers, HAL, number hal-04140947.
• Amélie Charles & Olivier Darné & Claude Diebolt & Laurent Ferrara, 2011, "A new monthly chronology of the US industrial cycles in the prewar economy," Working Papers, HAL, number hal-04140957.
• Sylvain Prado, 2011, "Free lunch in the oil market: a note on Long Memory," Working Papers, HAL, number hal-04140982.
• Vincent Brémond & Emmanuel Hache & Valérie Mignon, 2011, "Does OPEC still exist as a cartel? An empirical investigation," Working Papers, HAL, number hal-04141014.
• Patrick Guillaumont & Sylviane Guillaumont Jeanneney, 2011, "Big Push versus Absorptive Capacity: How to Reconcile the Two Approaches," Working Papers, HAL, number halshs-00564565, Feb.
• Gilles Dufrénot & Valérie Mignon & Anne Peguin-Feissolle, 2011, "The Effects of the Subprime Crisis on the Latin American Financial Markets: An Empirical Assessment," Working Papers, HAL, number halshs-00587460, Apr.
• Michael Funke & Roberta Colavecchio & Declan Curran, 2011, "Drifting together of falling apart? The empirics of regional economic growth in post-unification Germany," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics, number 21102, Feb.
• Heinen, Florian & Kaufmann, Hendrik & Sibbertsen, Philipp, 2011, "The dynamics of real exchange rates - A reconsideration," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-463, Jan.
• Heinen, Florian, 2011, "A note on testing for purchasing power parity," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-471, May.
• Heinen, Florian & Michael, Stefanie & Sibbertsen, Philipp, 2011, "Two competitive models and their identification problem: The ESTAR and TSTAR model," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-474, May.
• Heinen, Florian & Willert, Juliane, 2011, "Monitoring a change in persistence of a long range dependent time series," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-479, Sep.
• Roberta Colavecchio & Ulrich Fritsche & Michael Graff, 2011, "Inflation Inequality in Europe," Macroeconomics and Finance Series, University of Hamburg, Department of Socioeconomics, number 201102, Feb.
• Kopsch, Fredrik, 2011, "A demand model for domestic air travel in Sweden," Working papers in Transport Economics, CTS - Centre for Transport Studies Stockholm (KTH and VTI), number 2011:8, Nov.
• Mauritzen, Johannes, 2011, "What Happens When it's Windy in Denmark? An Empirical Analysis of Wind Power on Price Variability in the Nordic Electricity Market," Working Paper Series, Research Institute of Industrial Economics, number 889, Nov.
• Hagströmer, Björn & Nilsson, Birger & Hansson, Björn, 2011, "The components of the illiquidity premium: An empirical analysis of U.S. stocks 1927-2010," Working Papers, Lund University, Department of Economics, number 2011:24, Aug.
• Nymoen, Ragnar & Rygh Swensen, Anders & Tveter, Eivind, 2011, "Interpreting the evidence for New Keynesian models of inflation dynamics," Memorandum, Oslo University, Department of Economics, number 23/2011, Jul.
• Soultanaeva, Albina, 2011, "Back on the Map - Essays on Financial Markets in the Baltic States," Umeå Economic Studies, Umeå University, Department of Economics, number 820, Jan.
• Vatthanamixay Chansomphou & Masaru Ichihashi, 2011, "Foreign aid, foreign direct investment and economic growth of Lao PDR," IDEC DP2 Series, Hiroshima University, Graduate School for International Development and Cooperation (IDEC), number 1-2, Sep.
• Tang, Chor Foon, 2011, "Multivariate Granger Causality and the Dynamic Relationship between Health Care Spending, Income and Relative Price of Health Care in Malaysia," Hitotsubashi Journal of Economics, Hitotsubashi University, volume 52, issue 2, pages 199-214, December, DOI: 10.15057/22028.
• Shu-Ping Shi & Peter C. B. Phillips & Jun Yu, 2011, "Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles," Working Papers, Hong Kong Institute for Monetary Research, number 172011, Jun.
• Stefan Gerlach & Peter Tillmann, 2011, "Inflation Targeting and Inflation Persistence in Asia-Pacific," Working Papers, Hong Kong Institute for Monetary Research, number 252011, Aug.
• Ivo Krznar, 2011, "An Analysis of the Domestic Inflation Rate Dynamics and the Phillips Curve," Working Papers, The Croatian National Bank, Croatia, number 31, Nov.
• Eiji Kurozumi & Kohei Aono, 2011, "Estimation and Inference in Predictive Regressions," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd11-192, May.
• Daisuke Nagakura & Toshiaki Watanabe, 2011, "A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd11-200, Aug.
• Masato Ubukata & Toshiaki Watanabe, 2011, "Market Variance Risk Premiums in Japan as Predictor Variables and Indicators of Risk Aversion," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd11-214, Dec.
• Viet Hoang Nguyen & Yongcheol Shin, 2011, "Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2011n14, Jun.
• Toderoiu, Filon, 2011, "Macroeconomic Variables Influencing the European Convergence of the Romanian Agri-Food Sector," Agricultural Economics and Rural Development, Institute of Agricultural Economics, volume 8, issue 1, pages 13-43.
• Shih Yung Wei & Jack J. W. Yang, 2011, "The Impact Of Short Sale Restrictions On Stock Volatility: Evidence From Taiwan," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 5, issue 4, pages 89-98.
• Rizki E. Wimanda, 2011, "Dampak Depresiasi Nilai Tukar Dan Pertumbuhan Uang Beredar Terhadap Inflasi: Aplikasi Threshold Model," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 13, issue 4, pages 409-432, April, DOI: https://doi.org/10.21098/bemp.v13i4.
• Rizki E. Wimanda, 2011, "The Impact Of Exchange Rate Depreciation And The Money Supply Growth On Inflation: The Implementation Of The Threshold Model," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 13, issue 4, pages 391-414, April, DOI: https://doi.org/10.21098/bemp.v13i4.
• Saten Kumar, 2011, "Cointegration and the demand for energy in Fiji," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, volume 35, issue 1, pages 85-97.
• Sebastian Brauer & Carl-Friedrich Leuschner & Frank Westermann, 2011, "Does the Introduction of IFRS Change the Timeliness of Loss Recognition? Evidence from German Firms," IEER Working Papers, Institute of Empirical Economic Research, Osnabrueck University, number 87, Oct.
• Peter C. B. Phillips & Yangru Wu & Jun Yu, 2011, "EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 52, issue 1, pages 201-226, February.
• Jón Daníelsson & Francisco Peñaranda, 2011, "On The Impact Of Fundamentals, Liquidity, And Coordination On Market Stability," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 52, issue 3, pages 621-638, August, DOI: j.1468-2354.2011.00642.x.
• Stephen Pudney, 2011, "Factor rotation with non-negativity constraints," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP02/11, Jan.
• Costantini, Mauro & Lupi, Claudio, 2011, "A Simple Panel-CADF Test for Unit Roots," Economics Series, Institute for Advanced Studies, number 261, Jan.
• Pedroni, Peter & Vogelsang, Timothy J. & Wagner, Martin & Westerlund, Joakim, 2011, "Nonparametric Rank Tests for Non-stationary Panels," Economics Series, Institute for Advanced Studies, number 270, Jun.
• Tómasson, Helgi, 2011, "Some Computational Aspects of Gaussian CARMA Modelling," Economics Series, Institute for Advanced Studies, number 274, Sep.
• Costantini, Mauro & Kunst, Robert M., 2011, "On the Usefulness of the Diebold-Mariano Test in the Selection of Prediction Models," Economics Series, Institute for Advanced Studies, number 276, Nov.
• Aslıhan Atabek Demirhan, 2011, "Ramazan ayı, üretim için de on bir ayın sultanı mı?," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 26, issue 302, pages 109-124.
• Tsangyao Chang, 2011, "Is Per Capita Real GDP Stationary? An Empirical Note for 16 Transition Countries," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 10, issue 1, pages 81-86, April.
• Seema Narayan & Paresh Kumar Narayan, 2011, "The Importance of Real and Nominal Shocks on the UK Housing Market," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 10, issue 3, pages 219-234, December.
• William R. Parke & George A. Waters, 2011, "On the Evolutionary Stability of Rational Expectations," Working Paper Series, Illinois State University, Department of Economics, number 20111002, Oct.
• George A. Waters, 2011, "Endogenous Rational Bubbles," Working Paper Series, Illinois State University, Department of Economics, number 20111003, Oct.
• Masato Ubukata & Toshiaki Watanabe, 2011, "Pricing Nikkei 225 Options Using Realized Volatility," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 11-E-18, Aug.
• Thomas Windberger & Achim Zeileis, 2011, "Structural Breaks in Inflation Dynamics within the European Monetary Union," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2011-12, Jun.
• Jan Verbesselt & Achim Zeileis & Martin Herold, 2011, "Near Real-Time Disturbance Detection in Terrestrial Ecosystems Using Satellite Image Time Series: Drought Detection in Somalia," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2011-18, Sep.
• Felipe J. Fonseca & Daniel Ventosa-Santaulària, 2011, "Revenue Elasticity of the Main federal Taxes in Mexico," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 48, issue 1, pages 89-111.
• Juan Urquiza, 2011, "Income Asymmetries and the Permanent Income Hypothesis," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile., number 409.
• Miguel Artiach, 2011, "Second-order moments of frequency asymmetric cycles," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2011-27, Dec.
• Cecilio R. Tamarit Escalona & Estrella Gómez, 2011, "The euro effect on trade: evidence in gravity equations using panel cointegration techniques," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2011-07, Jul.
• Kastoryano, Stephen & van der Klaauw, Bas, 2011, "Dynamic Evaluation of Job Search Assistance," IZA Discussion Papers, IZA Network @ LISER, number 5424, Jan.
• Ozdemir, Zeynel Abidin & Balcilar, Mehmet & Tansel, Aysit, 2011, "International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?," IZA Discussion Papers, IZA Network @ LISER, number 6063, Oct.
• Ferda Halicioglu & Cevat Karatas, 2011, "Estimation of Economic Discounting Rate for Practical Project Appraisal: The Case of Turkey," Journal of Developing Areas, Tennessee State University, College of Business, volume 45, issue 1, pages 155-166, July-Dece.
• Ismail H Genc & Musa Darayseh & Bassam AbuAl-Foul, 2011, "The Nature of Trends in the Per Capita Real GDP of Gulf Cooperation Council (GCC) Countries: Some Evidence and Implications," Journal of Developing Areas, Tennessee State University, College of Business, volume 45, issue 1, pages 19-33, July-Dece.
• A. F. M. Kamrul Hassan & Ruhul A. Salim, 2011, "Determinants of Private Investment: Time Series Evidence from Bangladesh," Journal of Developing Areas, Tennessee State University, College of Business, volume 45, issue 1, pages 229-249, July-Dece.
• Madhusudan Ghosh, 2011, "Agricultural Policy Reforms And Spatial Integration Of Food Grain Markets In India," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, volume 36, issue 2, pages 15-37, June.
• Lenza Michele & Warmedinger Thomas, 2011, "A Factor Model for Euro-area Short-term Inflation Analysis," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 231, issue 1, pages 50-62, February, DOI: 10.1515/jbnst-2011-0105.
• Stahn Kerstin, 2011, "Changes in Import Pricing Behaviour: Evidence for Germany," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 231, issue 4, pages 522-545, August, DOI: 10.1515/jbnst-2011-0406.
• Katja Drechsel & Laurent Maurin, 2011, "Flow of conjunctural information and forecast of euro area economic activity," Journal of Forecasting, John Wiley & Sons, Ltd., volume 30, issue 3, pages 336-354, April.
• Arnold Polanski & Evarist Stoja, 2011, "Dynamic density forecasts for multivariate asset returns," Journal of Forecasting, John Wiley & Sons, Ltd., volume 30, issue 6, pages 523-540, September.
• António Rua, 2011, "A wavelet approach for factor‐augmented forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., volume 30, issue 7, pages 666-678, November.
• Mullen, Katharine M. & Ardia, David & Gil, David L. & Windover, Donald & Cline, James, 2011, "DEoptim: An R Package for Global Optimization by Differential Evolution," Journal of Statistical Software, Foundation for Open Access Statistics, volume 40, issue i06, DOI: http://hdl.handle.net/10.18637/jss..
• Pilar Iglesias & Jaime San Martín & Soledad Torres & Frederi Viens, 2011, "Option pricing under a Gamma-modulated diffusion process," Annals of Finance, Springer, volume 7, issue 2, pages 199-219, May, DOI: 10.1007/s10436-011-0176-8.
• Alex Huang, 2011, "Volatility Modeling by Asymmetrical Quadratic Effect with Diminishing Marginal Impact," Computational Economics, Springer;Society for Computational Economics, volume 37, issue 3, pages 301-330, March, DOI: 10.1007/s10614-011-9254-2.
• V. Chandran Govindaraju & Ramesh Rao & Sajid Anwar, 2011, "Economic growth and government spending in Malaysia: a re-examination of Wagner and Keynesian views," Economic Change and Restructuring, Springer, volume 44, issue 3, pages 203-219, August, DOI: 10.1007/s10644-010-9099-z.
• Bernardina Algieri, 2011, "The Dutch Disease: evidences from Russia," Economic Change and Restructuring, Springer, volume 44, issue 3, pages 243-277, August, DOI: 10.1007/s10644-011-9101-4.
• Michael Pickhardt & Jordi Sarda, 2011, "The size of the underground economy in Germany: a correction of the record and new evidence from the modified-cash-deposit-ratio approach," European Journal of Law and Economics, Springer, volume 32, issue 1, pages 143-163, August, DOI: 10.1007/s10657-010-9186-7.
• Maria Sassi, 2011, "Convergence Across the EU Regions: Economic Composition and Structural Transformation," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 17, issue 1, pages 101-115, February, DOI: 10.1007/s11294-010-9286-8.
• Maher Asal, 2011, "The Impact of Euro on Sectoral Equity Returns and Portfolio Risk," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 17, issue 2, pages 119-133, May, DOI: 10.1007/s11294-011-9292-5.
• Klaus Weyerstrass & Bas Aarle & Marcus Kappler & Atilim Seymen, 2011, "Business Cycle Synchronisation with(in) the Euro Area: in Search of a ‘Euro Effect’," Open Economies Review, Springer, volume 22, issue 3, pages 427-446, July, DOI: 10.1007/s11079-009-9131-y.
• Martin Schmidt, 2011, "Institutional Change and Factor Movement in Major League Baseball: An Examination of the Coase Theorem’s Invariance Principle," Review of Industrial Organization, Springer;The Industrial Organization Society, volume 39, issue 3, pages 187-205, November, DOI: 10.1007/s11151-011-9308-6.
• Derann Hsu & Cheng-Huei Chiao, 2011, "Relative accuracy of analysts’ earnings forecasts over time: a Markov chain analysis," Review of Quantitative Finance and Accounting, Springer, volume 37, issue 4, pages 477-507, November, DOI: 10.1007/s11156-010-0214-z.
• Sumru Altug & Baris Tan & Gozde Gencer, 2011, "Cyclical Dynamics of Industrial Production and Employment: Markov Chain-based Estimates and Tests," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1101, Jan.
• Ibrahim Tutar & Aysit Tansel, 2011, "An Analysis of Political and Institutional Power Dispersion: The Case of Turkey," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1112, May.
• Alper Ozun & Erman Erbaykal, 2011, "Further Evidence on Defence Spending and Economic Growth in NATO Countries," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1119, Aug.
• Aysit Tansel & Zeynel Abidin Ozdemir & Mehmet Balcilar, 2011, "International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1130, Oct.
• Boriss Siliverstovs, 2011, "Dating Business Cycles in a Historical Perspective," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 11-284, Jul, DOI: 10.3929/ethz-a-006537563.
• Marossy, Zita, 2011, "A villamos energia áralakulásának egy új modellje
  [A new model for price movement in electric power]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 3, pages 253-274.
• Michael McAleer & Juan-à ngel Jiménez-Martín & Teodosio Pérez-Amaral, 2011, "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," KIER Working Papers, Kyoto University, Institute of Economic Research, number 757, Jan.
• Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011, "Modelling and Forecasting Noisy Realized Volatility," KIER Working Papers, Kyoto University, Institute of Economic Research, number 758, Jan.
• Chia-Lin Chang & Juan-à ngel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011, "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," KIER Working Papers, Kyoto University, Institute of Economic Research, number 761, Mar.
• Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2011, "Are Forecast Updates Progressive?," KIER Working Papers, Kyoto University, Institute of Economic Research, number 762, Mar.
• Michael McAleer & Juan-à ngel Jiménez-Martín & Teodosio Pérez-Amaral, 2011, "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?," KIER Working Papers, Kyoto University, Institute of Economic Research, number 767, Apr.
• Philip Hans Franses & Michael McAleer & Rianne Legerstee, 2011, "Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments," KIER Working Papers, Kyoto University, Institute of Economic Research, number 771, Apr.
• Shawkat Hammoudeh & Tengdong Liu & Chia-Lin Chang & Michael McAleer, 2011, "Risk Spillovers in Oil-Related CDS, Stock and Credit Markets," KIER Working Papers, Kyoto University, Institute of Economic Research, number 772, Apr.
• Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2011, "Evaluating Individual and Mean Non-Replicable Forecasts," KIER Working Papers, Kyoto University, Institute of Economic Research, number 773, May.
• Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer, 2011, "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range," KIER Working Papers, Kyoto University, Institute of Economic Research, number 775, May.
• Michael McAleer & Philip Hans Franses & Chia-Lin Chang, 2011, "Analyzing Fixed-event Forecast Revisions," KIER Working Papers, Kyoto University, Institute of Economic Research, number 779, Jun.
• Michael McAleer & Paulo Araújo Santos & Juan-à ngel Jiménez-Martín & Teodosio Pérez Amaral, 2011, "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," KIER Working Papers, Kyoto University, Institute of Economic Research, number 782, Jul.
• Michael McAleer & Chia-Lin Chang & Christine Lim, 2011, "Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan," KIER Working Papers, Kyoto University, Institute of Economic Research, number 783, Jul.
• Michael McAleer & Roberto Casarin & Chia-Lin Chang & Juan-à ngel Jiménez-Martín & Teodosio Pérez-Amaral, 2011, "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," KIER Working Papers, Kyoto University, Institute of Economic Research, number 784, Jul.
• Chia-Lin Chang & Juan-à ngel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011, "The Rise and Fall of S&P500 Variance Futures," KIER Working Papers, Kyoto University, Institute of Economic Research, number 795, Nov.
• Abdou-Aziz NIANG & Marie-Claude Pichery & Marcellin EDJO, 2011, "Test de convergence en panel non stationnaire : une approche de la troisième génération," LEG - Document de travail - Economie, LEG, Laboratoire d'Economie et de Gestion, CNRS, Université de Bourgogne, number 2011-02, Jul.
• Abdou-Aziz NIANG & Marie-Claude Pichery & Marcellin EDJO, 2011, "Testing convergence in non-stationary panel: a third generation approach," LEG - Document de travail - Economie, LEG, Laboratoire d'Economie et de Gestion, CNRS, Université de Bourgogne, number 2011-03, Oct.
• Meilin Yan & Maximilian J. B. Hall & Paul Turner, 2011, "Estimating Liquidity Risk Using The Exposure-Based Cash-Flow-at-Risk Approach: An Application To the UK Banking Sector," Discussion Paper Series, Department of Economics, Loughborough University, number 2011_06, Nov, revised Nov 2011.
• Stephen Hall & George S. Tavlas, 2011, "The Debate about the Revived Bretton-Woods Regime: A Survey and Extension of the Literature," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 11/21, Mar.
• Stephen Hall & P. A. V. B. Swamy & George S. Tavlas, 2011, "Generalized Cointegration: A New Concept with an Application to Health Expenditure and Health Outcomes," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 11/22, Mar.
• Simeon Coleman & Kavita Sirichand, 2011, "Fractional integration and the volatility of UK interest rates," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 11/29, May, revised May 2011.
• Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen V.K. Rombouts, 2011, "A Comparison of Forecasting Procedures for Macroeconomic Series: the Contribution of Structural Break Models," Cahiers de recherche, CIRPEE, number 1104.
• Luc Bauwens & Arnaud Dufays & Jeroen V.K. Rombouts, 2011, "Marginal Likelihood for Markov-Switching and Change-Point GARCH Models," Cahiers de recherche, CIRPEE, number 1138.
• Ulrich Oberndorfer & Marcus Wagner & Andreas Ziegler, 2011, "Does the Stock Market Value the Inclusion in a Sustainability Stock Index? An Event Study Analysis for German Firms," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 201130.
• Christopher D. Carroll & Misuzu Otsuka & Jiri Slacalek, 2011, "How Large Are Housing and Financial Wealth Effects? A New Approach," Journal of Money, Credit and Banking, Blackwell Publishing, volume 43, issue 1, pages 55-79, February.
• Lefteris Tsoulfidis & Persefoni Tsaliki, 2011, "Classical Competition and Regulating Capital: Theory and Empirical Evidence," Discussion Paper Series, Department of Economics, University of Macedonia, number 2011_02, Feb, revised Feb 2011.
• Don Bredin & Stilianos Fountas, 2011, "US Inflation and inflation uncertainty in a historical perspective: The impact of recessions," Discussion Paper Series, Department of Economics, University of Macedonia, number 2011_13, Sep, revised Sep 2011.
• Theologos Dergiades & Georgios Martinopoulos & Lefteris Tsoulfidis, 2011, "Energy Consumption and Economic Growth:Parametric and Non-Parametric Causality Testing for the Case of Greece," Discussion Paper Series, Department of Economics, University of Macedonia, number 2011_16, Nov, revised Nov 2011.
• Christian Dreger & Jarko Fidrmuc, 2011, "Drivers of Exchange Rate Dynamics in Selected CIS Countries: Evidence from a Factor-Augmented Vector Autoregressive (FAVAR) Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 47, issue 4, pages 49-58, July.
• Ibrahim Tutar & Aysit Tansel, 2011, "An Analysis of Political and Institutional Power Dispersion: The Case of Turkey," ERC Working Papers, ERC - Economic Research Center, Middle East Technical University, number 1101, Mar, revised Mar 2011.
• Zeynel Abidin Ozdemir & Mehmet Balcilar & Aysit Tansel, 2011, "International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?," ERC Working Papers, ERC - Economic Research Center, Middle East Technical University, number 1105, Oct, revised Oct 2011.
• Andrea BASTIANIN & Marzio GALEOTTI & Matteo MANERA, 2011, "Forecast evaluation in call centers: combined forecasts, flexible loss functions and economic criteria," Departmental Working Papers, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano, number 2011-08, Mar.
• Costantini, Mauro & Lupi, Claudio, 2011, "A Simple Panel-CADF Test for Unit Roots," Economics & Statistics Discussion Papers, University of Molise, Department of Economics, number esdp11062, Nov.
• Chowdhury, Abdur, 2011, "Do Stock Market Risk Premiums Respond to Consumer Confidence?," Working Papers and Research, Marquette University, Center for Global and Economic Studies and Department of Economics, number 2011-06, Aug.
• Christophe Boucher & Bertrand Maillet, 2011, "Une analyse temps-fréquences des cycles financiers," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 11003, Jan, DOI: 10.3917/reco.623.0441.
• Peter Martey Addo & Monica Billio & Dominique Guegan, 2011, "A test for a new modelling: The Univariate MT-STAR Model," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 11083, Dec.
• Peter Martey Addo & Monica Billio & Dominique Guegan, 2011, "A New Modelling Test: The Univariate MT-STAR Model," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 11083r, Dec, revised Aug 2013.
• Jason Ng & Catherine S. Forbes & Gael M. Martin & Brendan P.M. McCabe, 2011, "Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 11/11, Aug.
• Jiti Gao & Degui Li & Dag Tjøstheim, 2011, "Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 13/11, Sep.
• Degui Li & Zudi Lu & Oliver Linton, 2011, "Local Linear Fitting Under Near Epoch Dependence: Uniform consistency with Convergence Rates," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 16/11, Sep.
• Jiti Gao & Maxwell King, 2011, "A New Test in Parametric Linear Models against Nonparametric Autoregressive Errors," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 20/11, Sep.
• Jiti Gao & Dag Tjøstheim & Jiying Yin, 2011, "Estimation in threshold autoregressive models with a stationary and a unit root regime," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 21/11, Sep.
• Md Atikur Rahman Khan & D.S. Poskitt, 2011, "Moment Tests for Window Length Selection in Singular Spectrum Analysis of Short- and Long-Memory Processes," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 22/11, Sep.
• Md Atikur Rahman Khan & D.S. Poskitt, 2011, "Window Length Selection and Signal-Noise Separation and Reconstruction in Singular Spectrum Analysis," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 23/11, Oct.
• Jing Tian & Heather M. Anderson, 2011, "Forecasting Under Strucural Break Uncertainty," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 8/11, Jul.
• Yin Liao & Heather M. Anderson, 2011, "Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 9/11, Aug.
• Francesco Forte & Cosimo Magazzino, 2011, "Optimal Size Government and Economic Growth in EU Countries," Economia politica, Società editrice il Mulino, issue 3, pages 295-322.
• Bo Yu & Daniel T. Kaffine, 2011, "Blue Laws, DUIs and Alcohol-Related Accidents: Regression Discontinuity Evidence from Colorado," Journal of Economic Insight, Missouri Valley Economic Association, volume 37, issue 1, pages 21-28.
• Karolina Konopczak & Krzysztof Marczewski, 2011, "Why so different from other CEECs – Poland’s cyclical divergence from the euro area during the recent financial crisis," Bank i Kredyt, Narodowy Bank Polski, volume 42, issue 2, pages 7-30.
• Michal Rubaszek & Pawel Skrzypczynski & Grzegorz Koloch, 2011, "Forecasting the Polish zloty with non-linear models," NBP Working Papers, Narodowy Bank Polski, number 81.
• Andrzej Toroj, 2011, "Competitiveness channel in Poland and Slovakia: a pre-EMU DSGE analysis," NBP Working Papers, Narodowy Bank Polski, number 86.
• Ulrich K. Müller & James H. Stock, 2011, "Forecasts in a Slightly Misspecified Finite Order VAR," NBER Working Papers, National Bureau of Economic Research, Inc, number 16714, Jan.
• Jonathan H. Wright, 2011, "What does Monetary Policy do to Long-Term Interest Rates at the Zero Lower Bound?," NBER Working Papers, National Bureau of Economic Research, Inc, number 17154, Jun.
• Jessica A. Wachter & Missaka Warusawitharana, 2011, "What is the Chance that the Equity Premium Varies over Time? Evidence from Regressions on the Dividend-Price Ratio," NBER Working Papers, National Bureau of Economic Research, Inc, number 17334, Aug.
• Yuriy Gorodnichenko & Anna Mikusheva & Serena Ng, 2011, "Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties," NBER Working Papers, National Bureau of Economic Research, Inc, number 17424, Sep.
• Yacine Ait-Sahalia & Jianqing Fan & Yingying Li, 2011, "The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency," NBER Working Papers, National Bureau of Economic Research, Inc, number 17592, Nov.
• Simeon Coleman and Kavita Sirichand, 2011, "Fractional integration and the volatility of UK interest rates," NBS Discussion Papers in Economics, Economics, Nottingham Business School, Nottingham Trent University, number 2011/02, May.
• Borusyak, K., 2011, "Nonlinear Dynamics of the Russian Stock Market in Problems of Risk Management," Journal of the New Economic Association, New Economic Association, issue 11, pages 85-105.
• Cristina Amado & Timo Teräsvirta, 2011, "Modelling Volatility by Variance Decomposition," NIPE Working Papers, NIPE - Universidade do Minho, number 01/2011.
• David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2011, "Unit root testing under a local break in trend," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics, number 11/02, Feb.
• Fernanda Finotti Cordeiro Perobelli & Flávia Vital Januzzi & Leandro Josias Sathler Berbert & Danilo Soares Pacheco de Medeiros & Luiz Guilherme da Silva Probst, 2011, "Testando o "Cash-Flow-at-Risk" em empresas têxteis [Testing the cash flow at risk in textile companies]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), volume 21, issue 2, pages 225-261, May-Augus.
• Bhattacharya, Rudrani & Pandey, Radhika & Veronese, Giovanni, 2011, "Tracking India Growth in Real Time," Working Papers, National Institute of Public Finance and Policy, number 11/90, Jul.
• Luis Alberiko Gil-Alaña & Olanrewaju L. Shittu & OlaOluwa S. Yaya, 2011, "Long memory, strcutural breaks and mean shifts in the inflation rates in Nigeria," NCID Working Papers, Navarra Center for International Development, University of Navarra, number 04/2011, May.
• Guglielmo Maria Caporale & Luis Alberiko Gil-Alaña, 2011, "Interest rate dynamics in Kenya," NCID Working Papers, Navarra Center for International Development, University of Navarra, number 10/2011, Dec.
• Emmanuel De Veirman & Ashley Dunstan, 2011, "Time-varying returns, intertemporal substitution and cyclical variation in consumption," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2011/05, Aug.
• Clovis Kerdrain, 2011, "How Important is Wealth for Explaining Household Consumption Over the Recent Crisis?: An Empirical Study for the United States, Japan and the Euro Area," OECD Economics Department Working Papers, OECD Publishing, number 869, May, DOI: 10.1787/5kgc42qxm237-en.
• Andrew Hughes Hallett & Christian R. Richter, 2012, "Are the New Member States Converging on the Euro Area?: A Business Cycle Analysis for Economies in Transition," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, volume 2011, issue 2, pages 49-68, DOI: 10.1787/jbcma-2011-5kg0nvzlqkf0.
• Hiroshi Yamada, 2012, "A Note on Band-Pass Filters Based on the Hodrick-Prescott Filter and the OECD System of Composite Leading Indicators," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, volume 2011, issue 2, pages 105-109, DOI: 10.1787/jbcma-2011-5kg0pb01sbbt.
• Rădulescu Andrei, 2011, "Sincronizarea economică în Zona Euro: perspectiva structurală," Revista OEconomica, Romanian Society for Economic Science, Revista OEconomica, issue 04, December.
• Kovacs Ildiko & Karsai Zoltan-Krisztian & Suveg Orsolya & Joita Nicoleta, 2011, "The Relationship Between Macroeconomic Variables And Romanian Corporate Default Rates Between 2002-2008," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 206-213, July.
• Marcel P. Visser, 2011, "GARCH Parameter Estimation Using High-Frequency Data," Journal of Financial Econometrics, Oxford University Press, volume 9, issue 1, pages 162-197, Winter.
• Bertrand Candelon & Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2011, "Backtesting Value-at-Risk: A GMM Duration-Based Test," Journal of Financial Econometrics, Oxford University Press, volume 9, issue 2, pages 314-343, Spring.
• Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo, 2011, "Intra-daily Volume Modeling and Prediction for Algorithmic Trading," Journal of Financial Econometrics, Oxford University Press, volume 9, issue 3, pages 489-518, Summer.
• J. E. Griffin, 2011, "Inference in Infinite Superpositions of Non-Gaussian Ornstein--Uhlenbeck Processes Using Bayesian Nonparametic Methods," Journal of Financial Econometrics, Oxford University Press, volume 9, issue 3, pages 519-549, Summer.
• Christian Francq & Lajos Horváth, 2011, "Merits and Drawbacks of Variance Targeting in GARCH Models," Journal of Financial Econometrics, Oxford University Press, volume 9, issue 4, pages 619-656.
• Eric Heyer, 2011, "The effectiveness of economic policy and position in the cycle: the case of tax reductions on overtime in France," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, volume 27, issue 2, pages 364-379.
• Tim Bollerslev & Natalia Sizova & George Tauchen, 2011, "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," Review of Finance, European Finance Association, volume 16, issue 1, pages 31-80.
• Lobonþ Oana-Ramona, 2011, "Highlighting the Response of Real Economy to the Changes of Fiscal Policy Variables. The Romanian Case," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 1170-1175, May.
• Boriga Radu & Dascalescu Ana Cristina, 2011, "A Novel Pseudo-random Bit Generator Based on Some Transcendental Chaotic Systems," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 208-212, May.
• Dascalescu Ana Cristina & Boriga Radu, 2011, "A Novel Pseudo-random Bit Generator Based on a New Couple of Chaotic Systems," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 553-558, May.
• Jennifer Castle & David Hendry, 2011, "A Tale of 3 Cities: Model Selection in Over-, Exact, and Under-specified Equations," Economics Series Working Papers, University of Oxford, Department of Economics, number 523, Jan.
• Jennifer Castle & David Hendry, 2011, "Model Selection in Equations with Many 'Small' Effects," Economics Series Working Papers, University of Oxford, Department of Economics, number 528, Feb.
• David Hendry, 2011, "Mathematical Models and Economic Forecasting: Some Uses and Mis-Uses of Mathematics in Economics," Economics Series Working Papers, University of Oxford, Department of Economics, number 530, Feb.
• David Hendry, 2011, "Unpredictability in Economic Analyis, Econometric Modelling and Forecasting," Economics Series Working Papers, University of Oxford, Department of Economics, number 551, May.
• David Hendry & Grayham E. Mizon, 2011, "An Open-model Forecast-error Taxonomy," Economics Series Working Papers, University of Oxford, Department of Economics, number 552, Jun.
• Massimiliano Caporin & Gabriel G. Velo, 2011, "Modeling and forecasting realized range volatility," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0128, Feb.
• Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2011, "Conditional jumps in volatility and their economic determinants," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0138, Sep.
• Maria Elvira Mancino & Simona Sanfelici, 2011, "Covariance Estimation and Dynamic Asset-Allocation under Microstructure Effects via Fourier Methodology," Palgrave Macmillan Books, Palgrave Macmillan, chapter 1, in: Greg N. Gregoriou & Razvan Pascalau, "Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures", DOI: 10.1057/9780230298101_1.
• Guido Ascari & Nicola Branzoli & Efrem Castelnuovo, 2011, "Trend Inflation, Wage Indexation, and Determinacy in the U.S," Quaderni di Dipartimento, University of Pavia, Department of Economics and Quantitative Methods, number 153, Oct.
• Juan Carlos Aquino & Gabriel Rodríguez, 2011, "Understanding The Functional Central Limit Theorems With Some Applications To Unit Root Testing With Structural Change," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2011-319.
• Firouz Fallahi & Gabriel Rodríguez, 2011, "Convergence In The Canadian Provinces: Evidence Using Unemployment Rates," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2011-322.