Research classified by Journal of Economic Literature (JEL) codes

---

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

• Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2012, "Fractional cointegration in US term spreads," Applied Economics Letters, Taylor & Francis Journals, volume 19, issue 5, pages 431-434, March, DOI: 10.1080/13504851.2011.581205.
• Luis A. Gil-Alana & Antonio Moreno & Seonghoon Cho, 2012, "The Deaton paradox in a long memory context with structural breaks," Applied Economics, Taylor & Francis Journals, volume 44, issue 25, pages 3309-3322, September, DOI: 10.1080/00036846.2011.572857.
• Saten Kumar & Don J. Webber & Scott Fargher, 2012, "Testing the validity of the Feldstein--Horioka puzzle for Australia," Applied Economics, Taylor & Francis Journals, volume 44, issue 5, pages 599-605, February, DOI: 10.1080/00036846.2010.511993.
• Saten Kumar & Don J. Webber & Scott Fargher, 2012, "Wagner's Law revisited: cointegration and causality tests for New Zealand," Applied Economics, Taylor & Francis Journals, volume 44, issue 5, pages 607-616, February, DOI: 10.1080/00036846.2010.511994.
• Haiqiang Chen & Terence Chong & Jushan Bai, 2012, "Theory and Applications of TAR Model with Two Threshold Variables," Econometric Reviews, Taylor & Francis Journals, volume 31, issue 2, pages 142-170, DOI: 10.1080/07474938.2011.607100.
• J. Arteche, 2012, "Semiparametric Inference in Correlated Long Memory Signal Plus Noise Models," Econometric Reviews, Taylor & Francis Journals, volume 31, issue 4, pages 440-474, DOI: 10.1080/07474938.2011.607996.
• Juan Carlos Cuestas & Bruce Philp, 2012, "Economic class and the distribution of income: a time-series analysis of the UK economy, 1955--2010," International Review of Applied Economics, Taylor & Francis Journals, volume 26, issue 5, pages 565-578, October, DOI: 10.1080/02692171.2011.631902.
• Alessandra Luati & Tommaso Proietti & Marco Reale, 2012, "The Variance Profile," Journal of the American Statistical Association, Taylor & Francis Journals, volume 107, issue 498, pages 607-621, June, DOI: 10.1080/01621459.2012.682832.
• Andrew Patton & Allan Timmermann, 2012, "Forecast Rationality Tests Based on Multi-Horizon Bounds," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 1, pages 1-17, DOI: 10.1080/07350015.2012.634337.
• José Rangel & Robert Engle, 2012, "The Factor–Spline–GARCH Model for High and Low Frequency Correlations," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 1, pages 109-124, DOI: 10.1080/07350015.2012.643132.
• John M. Maheu & Thomas H. McCurdy & Yong Song, 2012, "Components of Bull and Bear Markets: Bull Corrections and Bear Rallies," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 3, pages 391-403, February, DOI: 10.1080/07350015.2012.680412.
• Barbara Rossi & Atsushi Inoue, 2012, "Out-of-Sample Forecast Tests Robust to the Choice of Window Size," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 3, pages 432-453, April, DOI: 10.1080/07350015.2012.693850.
• Michael Frömmel & Robinson Kruse, 2012, "Testing for a rational bubble under long memory," Quantitative Finance, Taylor & Francis Journals, volume 12, issue 11, pages 1723-1732, November, DOI: 10.1080/14697688.2011.578151.
• Christophe Chorro & Dominique Gu�gan & Florian Ielpo, 2012, "Option pricing for GARCH-type models with generalized hyperbolic innovations," Quantitative Finance, Taylor & Francis Journals, volume 12, issue 7, pages 1079-1094, April, DOI: 10.1080/14697688.2010.493180.
• Paúl Castillo & Alberto Humala & Vicente Tuesta, 2012, "Regime Shifts and Inflation Uncertainty in Peru," Journal of Applied Economics, Taylor & Francis Journals, volume 15, issue 1, pages 71-87, May, DOI: 10.1016/S1514-0326(12)60004-X.
• W H Boshoff, 2012, "Gasoline, Diesel Fuel And Jet Fuel Demand In South Africa," Studies in Economics and Econometrics, Taylor & Francis Journals, volume 36, issue 1, pages 43-78, April, DOI: 10.1080/10800379.2012.12097230.
• T L A Leshoro, 2012, "Estimating the Inflation Threshold for South Africa," Studies in Economics and Econometrics, Taylor & Francis Journals, volume 36, issue 2, pages 53-66, August, DOI: 10.1080/10800379.2012.12097238.
• Dungey, Mardi & Jacobs, Jan & Tian, Jing & van Norden, Simon, 2012, "On the correspondence between data revision and trend-cycle decomposition," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 12975, Mar, revised 01 Mar 2012.
• Timur Hulagu & Saygin Sahinoz, 2012, "Is Disagreement a Good Proxy for Inflation Uncertainty? Evidence from Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 12, issue 1, pages 53-62.
• Meltem Gulenay Chadwick & Gonul Sengul, 2012, "Nowcasting Unemployment Rate in Turkey : Let's Ask Google," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1218.
• S. Boragan Aruoba & Cagri Sarikaya, 2012, "Turkiye Icin Bir Reel Iktisadi Faaliyet Gostergesi," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1219.
• Huseyin Cagri Akkoyun & Mahmut Gunay, 2012, "Nowcasting Turkish GDP Growth," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1233.
• Felicia Ramona Birău, 2012, "Stochastic Volatility Models For Financial Time Series Analysis," Anale. Seria Stiinte Economice. Timisoara, Faculty of Economics, Tibiscus University in Timisoara, volume 0, pages 472-475, November.
• Ciprian Chirilă & Viorica Chirilă, 2012, "Unemployment And Business Cycles In Central And Eastern European Countries," Anale. Seria Stiinte Economice. Timisoara, Faculty of Economics, Tibiscus University in Timisoara, volume 0, pages 486-493, November.
• Marian Zaharia & Aniela Bălăcescu, 2012, "Statistical Analysis Of The Evolution Of Research-Development Activity In South-West Oltenia Development Region In 2002-2010," Anale. Seria Stiinte Economice. Timisoara, Faculty of Economics, Tibiscus University in Timisoara, volume 0, pages 552-559, November.
• Yousef Elyasi & Mohammad Rahimi, 2012, "The Causality between Government Revenue and Government Expenditure in Iran," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 5, issue 1, pages 129-145, April.
• Olusegun A. Omisakin & Oluwatosin A. Adeniyi & Abimbola M. Oyinlola, 2012, "Structural Breaks, Parameter Stability and Energy Demand Modeling in Nigeria," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 5, issue 2, pages 129-144, August.
• Suncica Vujic & Jacques Commandeur & Siem Jan Koopman, 2012, "Structural Intervention Time Series Analysis of Crime Rates: The Impact of Sentence Reform in Virginia," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-007/4, Jan.
• Siem Jan Koopman & Andre Lucas & Marcel Scharth, 2012, "Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-020/4, Mar.
• Lennart Hoogerheide & Anne Opschoor & Herman K. van Dijk, 2012, "A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive Simulation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-026/4, Mar.
• Jiangyu Ji & Andre Lucas, 2012, "A New Semiparametric Volatility Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-055/2/DSF35, May.
• Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2012, "Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-059/4, Jun.
• Norbert Christopeit & Michael Massmann, 2012, "Strong Consistency of the Least-Squares Estimator in Simple Regression Models with Stochastic Regressors," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-109/III, Oct.
• Francisco Blasques, 2012, "Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-133/III, Dec.
• John M Maheu & Yong Song, 2012, "A New Structural Break Model with Application to Canadian Inflation Forecasting," Working Papers, University of Toronto, Department of Economics, number tecipa-448, Mar.
• Miguel Ramirez, 2012, "Do Financial and Institutional Variables Enhance the Impact of Remittances on Economic Growth in Latin America and the Caribbean? A Panel Cointegration Analysis," Working Papers, Trinity College, Department of Economics, number 1202, May.
• Miguel Ramirez & Racha Menhem, 2012, "The Greek Sovereign Debt Crisis: A Conceptual and Empirical Analysis," Working Papers, Trinity College, Department of Economics, number 1203, Jun.
• Miguel Ramirez & Aalok Pandey, 2012, "Why does the Cost of Credit Intermediation Increase for Small Firms Relative to Large Firms during Recessions? A Conceptual and Empirical Analysis," Working Papers, Trinity College, Department of Economics, number 1205, Jul.
• Fabio C. Bagliano & Claudio Morana, 2012, "Determinants of US financial fragility conditions," Working papers, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino, number 011, Sep.
• Müller-Plantenberg, Nikolas, 2012, "Balance of payments flows and exchange rate prediction in Japan," Working Papers in Economic Theory, Universidad Autónoma de Madrid (Spain), Department of Economic Analysis (Economic Theory and Economic History), number 2012/09, Mar.
• Chia-Lin Chang & Lydia González-Serrano & Juan-Ángel Jiménez-Martín, 2012, "Currency Hedging Strategies Using Dynamic Multivariate GARCH," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-07, revised Feb 2012.
• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2012, "Modelling Long Memory Volatility in Agricultural Commodity Futures Returns," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-10, Jan, revised May 2012.
• Philip Hans Franses & Michael McAleer & Rianne Legerstee, 2012, "Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-14, Jun.
• Pilar Abad Romero & María Dolores Robles Fernández, 2012, "Credit rating agencies and unsystematic risk: Is there a linkage?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-17, Jul.
• D.E. Allen & A. Kramadibrata & Michael McAleer & R. Powell & A. K. Singh, 2012, "A non-parametric and entropy based analysis of the relationship between the VIX and S&P500," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-19, May.
• Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral, 2012, "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-26, revised Oct 2012.
• David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2012, "Volatility Spillovers from the US to Australia and China across the GFC," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-30, Dec.
• Ioannis Kasparis & Peter C.B. Phillips & Tassos Magdalinos, 2012, "Non-linearity Induced Weak Instrumentation," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics, number 02-2012, Jan.
• Ioannis Kasparis & Elena Andreou & Peter C. B. Phillips, 2012, "Nonparametric Predictive Regression," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics, number 14-2012, Sep.
• Massimiliano Mazzanti & Antonio Musolesi, 2012, "Breaking Environmental Kuznets Curves. Evaluating Energy and Policy Time Events Effects on CO2 Trends for Advanced Countries," Working Papers, University of Ferrara, Department of Economics, number 201214, Sep.
• Martin Gonzalez-Rozada & Martin sola & Constantino Hevia & Fabio Spagnolo, 2012, "Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2012-07, Jul.
• J. Isaac Miller, 2012, "Mixed-frequency Cointegrating Regressions with Parsimonious Distributed Lag Structures," Working Papers, Department of Economics, University of Missouri, number 1211, Aug.
• Deepankar Basu & Ying Chen & Jong-seok Oh, 2012, "Class Struggle and Economic Flactuations: VAR Analysis of the post-War U.S. Economy," UMASS Amherst Economics Working Papers, University of Massachusetts Amherst, Department of Economics, number 2012-02, Feb.
• Ignacio Ferrero & Alejo José G. Sison, 2012, "A Survey on Virtue in Business and Management (1980-2011)," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 06/12, Oct.
• Marina Balboa & Germán López-Espinosa & Antonio Rubia, 2012, "Non-linear Dynamics in Discretionary Accruals: An Analysis of Bank Loan-Loss Provisions," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 07/12, Oct.
• Luis A. Gil-Alana & Guglielmo Maria Caporale, 2012, "Fractional Integration and Cointegration in US Financial Time Series Data," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 12/12, Oct.
• Luis A. Gil-Alana & Juncal Cuñado & Guglielmo Maria Caporale, 2012, "Modelling Long Run Trends and Cycles in Financial Time Series Data," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 13/12, Oct.
• Luis A. Gil-Alana & Juan Carlos Cuestas, 2012, "A Non-linear Approach with Long Range Dependence based on Chebyshev Polynomials," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 14/12, Oct.
• Bilge Erten, 2012, "Super-cycles of commodity prices since the mid-ninteenth century," Working Papers, United Nations, Department of Economics and Social Affairs, number 110, Feb.
• Straetmans, S.T.M. & Candelon, B. & Ahmed, J., 2012, "Predicting and capitalizing on stock market bears in the U.S," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 019, Jan, DOI: 10.26481/umamet.2012019.
• Machin, S. & Marie, O. & Vujic, S., 2012, "Youth crime and education expansion," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 036, Jan, DOI: 10.26481/umamet.2012036.
• Barbara Rossi & Atsushi Inoue, 2012, "Out-of-sample forecast tests robust to the choice of window size," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1404, Apr.
• Barbara Rossi, 2012, "The changing relationship between commodity prices and equity prices in commodity exporting," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1405, Oct.
• Fengler, Matthias & Okhrin, Ostap, 2012, "Realized Copula," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1214, May.
• Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2012, "Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model," Working Papers on Finance, University of St. Gallen, School of Finance, number 1211, Nov.
• Bonato, Mateo & Caporin, Massimiliano & Ranaldo, Angelo, 2012, "Risk Spillovers in International Equity Portfolios," Working Papers on Finance, University of St. Gallen, School of Finance, number 1214, Feb.
• Dirk G Baur, 2012, "The Structure and Degree of Dependence - A Quantile Regression Approach," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 170, Aug.
• Dirk G Baur & Duy T. Tran, 2012, "The Long-run Relationship of Gold and Silver and the Influence of Bubbles and Financial Crises," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 172, Aug.
• Dirk G Baur & Kristoffer Glover, 2012, "A Gold Bubble?," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 175, Oct.
• Guochen Pan & Sen-Sung Chen & Tsangyao Chang, 2012, "Does Gibrat’s Law Hold in the Insurance Industry of China? A Test with Sequential Panel Selection Method," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 59, issue 3, pages 311-324.
• Burcu Kıran, 2012, "Nonlinearity and Fractional Integration in the US Dollar/Euro Exchange Rate," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 59, issue 3, pages 325-334.
• Robert Ślepaczuk & Grzegorz Zakrzewski & Paweł Sakowski, 2012, "Investment strategies beating the market. What can we squeeze from the market?," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2012-04.
• Roman Horvath & Dragan Petrovski, 2012, "International Stock Market Integration: Central and South Eastern Europe Compared," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp1028, Feb.
• Dennis Kristensen, 2012, "Non‐parametric detection and estimation of structural change," Econometrics Journal, Royal Economic Society, volume 15, issue 3, pages 420-461, October, DOI: j.1368-423X.2012.00378.x.
• Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2012, "Estimating persistence in the volatility of asset returns with signal plus noise models," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 17, issue 1, pages 23-30, January.
• Jean‐Thomas Bernard & Jean‐Marie Dufour & Lynda Khalaf & Maral Kichian, 2012, "An identification‐robust test for time‐varying parameters in the dynamics of energy prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 27, issue 4, pages 603-624, June.
• Nikolaus Hautsch & Lada M. Kyj & Roel C. A. Oomen, 2012, "A blocking and regularization approach to high‐dimensional realized covariance estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 27, issue 4, pages 625-645, June.
• Markku Lanne & Arto Luoma & Jani Luoto, 2012, "Bayesian Model Selection And Forecasting In Noncausal Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 27, issue 5, pages 812-830, August.
• Matias Mednik & Cesar M. Rodriguez & Inder J. Ruprah, 2012, "Hysteresis in unemployment: Evidence from Latin America," Journal of International Development, John Wiley & Sons, Ltd., volume 24, issue 4, pages 448-466, May.
• Chih‐Nan Chen & Tsutomu Watanabe & Tomoyoshi Yabu, 2012, "A New Method for Identifying the Effects of Foreign Exchange Interventions," Journal of Money, Credit and Banking, Blackwell Publishing, volume 44, issue 8, pages 1507-1533, December, DOI: 10.1111/j.1538-4616.2012.00542.x.
• Adam Jêdrzejczyk, 2012, "Inflation forecasting using dynamic factor analysis. SAS 4GL programming approach," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 63, Sep.
• Alfred Haug, 2012, "On real interest rate persistence: the role of breaks," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 65, Nov.
• CHIA-LIN CHANG & MICHAEL McALEER & ROENGCHAI TANSUCHAT, 2012, "Modelling Long Memory Volatility In Agricultural Commodity Futures Returns," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 02, pages 1-27, DOI: 10.1142/S2010495212500108.
• Roman Horvath & Petr Poldauf, 2012, "International Stock Market Comovements: What Happened during the Financial Crisis?," Global Economy Journal (GEJ), World Scientific Publishing Co. Pte. Ltd., volume 12, issue 1, pages 1-21, March, DOI: 10.1515/1524-5861.1788.
• William A Barnett & Unja Chae & John W Keating, 2012, "Forecast Design In Monetary Capital Stock Measurement," Global Journal of Economics (GJE), World Scientific Publishing Co. Pte. Ltd., volume 1, issue 01, pages 1-53, DOI: 10.1142/S225136121250005X.
• Smruti Ranjan Behera & Pami Dua & Bishwanath Goldar, 2012, "Foreign Direct Investment And Technology Spillover: Evidence Across Indian Manufacturing Industries," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 57, issue 02, pages 1-23, DOI: 10.1142/S0217590812500117.
• Qaiser Munir & Kok Sook Ching & Fumitaka Furouka & Kasim Mansur, 2012, "The Efficient Market Hypothesis Revisited: Evidence From The Five Small Open Asean Stock Markets," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 57, issue 03, pages 1-12, DOI: 10.1142/S021759081250021X.
• Carlos Martins-Filho & Feng Yao & Maximo Torero, 2012, "Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory," Working Papers, Department of Economics, West Virginia University, number 13-05, Aug.
• Valerija Botrić & Maruška Vizek, 2012, "Forecasting Fiscal Revenues in a Transition Country: The Case of Croatia," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, volume 15, issue 1, pages 23-36, May.
• Bushra Yasmin, 2012, "Impact of Trade Liberalization on Trade Balance in Pakistan: Cointegration and Error Correction Mechanism," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, volume 15, issue 1, pages 73-88, May.
• Siklos, Pierre L., 2012, "No coupling, no decoupling, only mutual inter-dependence: Business cycles in emerging vs. mature economies," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 17/2012.
• Hosseinkouchack, Mehdi & Wolters, Maik H., 2012, "Do large recessions reduce output permanently?," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2012-16.
• Krenz, Astrid, 2012, "A panel co-integration analysis of industrial and services sectors' agglomeration in the European Union," University of Göttingen Working Papers in Economics, University of Goettingen, Department of Economics, number 146.
• Zarembova, Andrea & Lyocsa, Stefan & Baumöhl, Eduard, 2012, "The Real Convergence of CEE Countries: A Study of Real GDP per capita," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 60, issue 6, pages 642-656.
• Atif, Syed Muhammad & Sauytbekova, Moldir & Macdonald, James, 2012, "The Determinants of Australian Exchange Rate: A Time Series Analysis," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 65665.
• Marczak, Martyna & Gómez, Víctor, 2012, "Cyclicality of real wages in the USA and Germany: New insights from wavelet analysis," FZID Discussion Papers, University of Hohenheim, Center for Research on Innovation and Services (FZID), number 50-2012.
• Slowak, André P., 2012, "Die Durchsetzung von Schnittstellen in der Standardsetzung: Fallbeispiel Ladesystem Elektromobilität," FZID Discussion Papers, University of Hohenheim, Center for Research on Innovation and Services (FZID), number 51-2012.
• Marczak, Martyna & Gómez, Víctor, 2012, "SPECTRAN, a set of Matlab programs for Spectral analysis," FZID Discussion Papers, University of Hohenheim, Center for Research on Innovation and Services (FZID), number 60-2012.
• Bejger, Sylwester, 2012, "Cartel in the Indian cement industry: An attempt to identify it," Economics Discussion Papers, Kiel Institute for the World Economy, number 2012-18.
• Heidari, Hassan & Katircioglu, Salih Turan & Davoudi, Narmin, 2012, "Are current account deficits sustainable? New evidence from Iran using bounds test approach to level relationship," Economics Discussion Papers, Kiel Institute for the World Economy, number 2012-24.
• Anderson, Gordon, 2012, "Boats and tides and "Trickle Down" theories: What economists presume about wellbeing when they employ stochastic process theory in modeling behavior," Economics Discussion Papers, Kiel Institute for the World Economy, number 2012-28.
• Ben Cheikh, Nidhaleddine, 2012, "Asymmetric exchange rate pass-through in the Euro area: New evidence from smooth transition models," Economics Discussion Papers, Kiel Institute for the World Economy, number 2012-36.
• Ben Cheikh, Nidhaleddine, 2012, "Asymmetric exchange rate pass-through in the Euro area: New evidence from smooth transition models," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 6, pages 1-28, DOI: 10.5018/economics-ejournal.ja.2012-.
• Anderson, Gordon, 2012, "Boats and tides and "trickle down" theories: What economists presume about wellbeing when they employ stochastic process theory in modeling behavior," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 6, pages 1-44, DOI: 10.5018/economics-ejournal.ja.2012-.
• Heidari, Hassan & Katircioglu, Salih Turan & Davoudi, Narmin, 2012, "Are current account deficits sustainable? New evidence from Iran using bounds test approach to level relationships," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 6, pages 1-18, DOI: 10.5018/economics-ejournal.ja.2012-.
• Horsewood, Nicholas & Voicu, Anca Monika, 2012, "Does corruption hinder trade for the new EU members?," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 6, pages 1-28, DOI: 10.5018/economics-ejournal.ja.2012-.
• Rickels, Wilfried & Görlich, Dennis & Oberst, Gerrit & Peterson, Sonja, 2012, "Carbon price dynamics: Evidence from Phase II of the European Emission Trading Scheme," Kiel Working Papers, Kiel Institute for the World Economy, number 1804.
• Hosseinkouchack, Mehdi & Wolters, Maik H., 2012, "Do large recessions reduce output permanently?," Kiel Working Papers, Kiel Institute for the World Economy, number 1815.
• Agiakloglou, Christos & Gkouvakis, Michalis, 2012, "Causal interrelations among market fundamentals: Evidence from the Europen telecommunications sector," 23rd European Regional ITS Conference, Vienna 2012, International Telecommunications Society (ITS), number 60387.
• Brunhart, Andreas, 2012, "Stock market's reactions to revelation of tax evasion: An empirical assessment," KOFL Working Papers, Konjunkturforschungsstelle Liechtenstein (KOFL), Vaduz, number 9 [rev.].
• Nickl, Richard & Reiß, Markus, 2012, "A Donsker theorem for Lévy measures," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-003.
• Chao, Shih-Kang & Härdle, Wolfgang Karl & Wang, Weining, 2012, "Quantile regression in risk calibration," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-006.
• Choros-Tomczyk, Barbara & Härdle, Wolfgang Karl & Overbeck, Ludger, 2012, "Copula dynamics in CDOs," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-032.
• Fengler, Matthias R. & Okhrin, Ostap, 2012, "Realized copula," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-034.
• Baur, Dirk G. & Dimpfl, Thomas & Jung, Robert C., 2012, "Stock return autocorrelations revisited: A quantile regression approach," University of Tübingen Working Papers in Business and Economics, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics, number 24.
• Böckers, Veit & Heimeshoff, Ulrich & Müller, Andrea, 2012, "Vorsprung durch Technik: Empirical Evidence of the German Scrappage Program," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century, Verein für Socialpolitik / German Economic Association, number 62043.
• Dorn, Sabrina & Egger, Peter, 2012, "On the Distribution of Exchange Rate Regime Treatment Effects on International Trade," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century, Verein für Socialpolitik / German Economic Association, number 62054.
• Hanck, Christoph & Demetrescu, Matei & Tarcolea, Adina, 2012, "IV-Based Cointegration Testing in Dependent Panels with Time-Varying Variance," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century, Verein für Socialpolitik / German Economic Association, number 62072.
• Heinlein, Reinhold & Krolzig, Hans-Martin, 2012, "On the construction of two-country cointegrated VAR models with an application to the UK and US," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century, Verein für Socialpolitik / German Economic Association, number 62310.

2011

• Seher Sülkü & Asena Caner, 2011, "Health care expenditures and gross domestic product: the Turkish case," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), volume 12, issue 1, pages 29-38, February, DOI: 10.1007/s10198-010-0221-y.
• Özden Gür Ali & Başak Topaler, 2011, "How removing prescription drugs from reimbursement lists increases the pharmaceutical expenditures for alternatives," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), volume 12, issue 6, pages 553-562, December, DOI: 10.1007/s10198-010-0270-2.
• Chunrong Ai & Meixia Meng, 2011, "A locally linear estimation of regression discontinuity," Frontiers of Economics in China, Springer;Higher Education Press, volume 6, issue 4, pages 495-506, December, DOI: 10.1007/s11459-011-0144-2.
• Bas Klaauw & Limin Wang, 2011, "Child mortality in rural India," Journal of Population Economics, Springer;European Society for Population Economics, volume 24, issue 2, pages 601-628, April, DOI: 10.1007/s00148-009-0290-3.
• Robinson Kruse, 2011, "A new unit root test against ESTAR based on a class of modified statistics," Statistical Papers, Springer, volume 52, issue 1, pages 71-85, February, DOI: 10.1007/s00362-009-0204-1.
• Arvid Raknerud & Bjørn Helge Vatne & Ketil Rakkestad, 2011, "How do banks' funding costs affect interest margins?," Discussion Papers, Statistics Norway, Research Department, number 665, Sep.
• Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen Rombouts, 2011, "A comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models," Working Papers, University of Strathclyde Business School, Department of Economics, number 1113, Apr.
• Deborah Gefang & Gary Koop & Simon Potter, 2011, "Understanding Liquidity and Credit Risks in the Financial Crisis," Working Papers, University of Strathclyde Business School, Department of Economics, number 1114, Apr.
• Zafer Dilaver & Lester C Hunt, 2011, "Turkish Aggregate Electricity Demand: An Outlook to 2020," Surrey Energy Economics Centre (SEEC), School of Economics Discussion Papers (SEEDS), Surrey Energy Economics Centre (SEEC), School of Economics, University of Surrey, number 132, May.
• Lütkepohl, Helmut & Proietti, Tommaso, 2011, "Does the Box-Cox transformation help in forecasting macroeconomic time series?," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 08/2011, Oct.
• Proietti, Tommaso, 2011, "The Multistep Beveridge-Nelson Decomposition," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 09/2011, Oct.
• Eo, Yunjong & Morley, James, 2011, "Likelihood-Ratio-Based Confidence Sets for the Timing of Structural Breaks," Working Papers, University of Sydney, School of Economics, number 2011-07, Aug, revised Feb 2014.
• Paul Alagidede & Theodore Panagiotidis & Xu Zhang, 2011, "Why a diversified portfolio should include African assets," Applied Economics Letters, Taylor & Francis Journals, volume 18, issue 14, pages 1333-1340, DOI: 10.1080/13504851.2010.537617.
• Jurgen Holl & Robert Kunst, 2011, "Unit root in unemployment - new evidence from nonparametric tests," Applied Economics Letters, Taylor & Francis Journals, volume 18, issue 6, pages 509-512, DOI: 10.1080/13504851003725934.
• Nii Ayi Armah & Norman Swanson, 2011, "Some variables are more worthy than others: new diffusion index evidence on the monitoring of key economic indicators," Applied Financial Economics, Taylor & Francis Journals, volume 21, issue 1-2, pages 43-60, DOI: 10.1080/09603107.2011.523188.
• Timo Terasvirta & Zhenfang Zhao, 2011, "Stylized facts of return series, robust estimates and three popular models of volatility," Applied Financial Economics, Taylor & Francis Journals, volume 21, issue 1-2, pages 67-94, DOI: 10.1080/09603107.2011.523195.
• Guglielmo Maria Caporale & Luis Gil-Alana, 2011, "The weekly structure of US stock prices," Applied Financial Economics, Taylor & Francis Journals, volume 21, issue 23, pages 1757-1764, DOI: 10.1080/09603107.2011.562168.
• Jean-Philippe Gervais, 2011, "Disentangling nonlinearities in the long- and short-run price relationships: an application to the US hog/pork supply chain," Applied Economics, Taylor & Francis Journals, volume 43, issue 12, pages 1497-1510, DOI: 10.1080/00036840802600558.
• Alfred Haug & Syed Basher, 2011, "Linear or nonlinear cointegration in the purchasing power parity relationship?," Applied Economics, Taylor & Francis Journals, volume 43, issue 2, pages 185-196, DOI: 10.1080/00036840802403656.
• Fuchun Li & Greg Tkacz, 2011, "A Consistent Test for Multivariate Conditional Distributions," Econometric Reviews, Taylor & Francis Journals, volume 30, issue 3, pages 251-273, DOI: 10.1080/07474938.2011.553518.
• Nikolay Gospodinov & Ye Tao, 2011, "Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors," Econometric Reviews, Taylor & Francis Journals, volume 30, issue 4, pages 379-405, August, DOI: 10.1080/07474938.2011.553538.
• Chia-Lin Chang & Michael McAleer & Les Oxley, 2011, "Great Expectatrics: Great Papers, Great Journals, Great Econometrics," Econometric Reviews, Taylor & Francis Journals, volume 30, issue 6, pages 583-619, DOI: 10.1080/07474938.2011.586614.
• Shu-Ling Chen & Hyeongwoo Kim, 2011, "Nonlinear Mean Reversion across National Stock Markets: Evidence from Emerging Asian Markets," International Economic Journal, Taylor & Francis Journals, volume 25, issue 2, pages 239-250, DOI: 10.1080/10168737.2011.580569.
• Don Harding & Adrian Pagan, 2011, "An Econometric Analysis of Some Models for Constructed Binary Time Series," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 29, issue 1, pages 86-95, January, DOI: 10.1198/jbes.2009.08005.
• Viktor Todorov & George Tauchen, 2011, "Volatility Jumps," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 29, issue 3, pages 356-371, July, DOI: 10.1198/jbes.2010.08342.
• Drew Creal & Siem Jan Koopman & André Lucas, 2011, "A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 29, issue 4, pages 552-563, October, DOI: 10.1198/jbes.2011.10070.
• Andrew J. Patton & Allan Timmermann, 2011, "Forecast Rationality Tests Based on Multi-Horizon Bounds," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 1, pages 1-17, June, DOI: 10.1080/07350015.2012.634337.
• José Gonzalo Rangel & Robert F. Engle, 2011, "The Factor--Spline--GARCH Model for High and Low Frequency Correlations," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 1, pages 109-124, May, DOI: 10.1080/07350015.2012.643132.
• Jesús Gonzalo & Jean-Yves Pitarakis, 2011, "Regime-Specific Predictability in Predictive Regressions," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 2, pages 229-241, June, DOI: 10.1080/07350015.2011.652053.
• Harendra Kumar Behera, 2011, "Onshore and offshore market for Indian rupee: recent evidence on volatility and shock spillover," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, volume 4, issue 1, pages 43-55, DOI: 10.1080/17520843.2010.509918.
• Betty Agnani & Henry Aray, 2011, "The January effect across volatility regimes," Quantitative Finance, Taylor & Francis Journals, volume 11, issue 6, pages 947-953, DOI: 10.1080/14697680903540373.
• Mehmet Balcilar & Zeynel Abidin Ozdemir & Esin Cakan, 2011, "On the Nonlinear Causality Between Inflation and Inflation Uncertainty in the G3 Countries," Journal of Applied Economics, Taylor & Francis Journals, volume 14, issue 2, pages 269-296, November, DOI: 10.1016/S1514-0326(11)60015-9.
• Burcu Deniz Yildirim, 2011, "Turkiye'nin Finansal Piyasa Likiditesi, Olcumu ve Analizi," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 11, issue 1, pages 11-28.
• Mete Feridun & Yaya Sissoko, 2011, "Impact of FDI on Economic Development: A Causality Analysis for Singapore, 1976 – 2002," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 4, issue 1, pages 7-17, March.
• Kahnim Farajova, 2011, "Budget Deficit and Macroeconomics Fundamentals: The case of Azerbaijan," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 4, issue 2, pages 143-158, August.
• Efe Çağlar Çağli & Pinar Evrim Mandaci & Pinar Hakan Kahyaoğlu, 2011, "Volatility Shifts and Persistence in Variance: Evidence from the Sector Indices of Istanbul Stock Exchange," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 4, issue 3, pages 119-140, December.
• Lennart Hoogerheide & Anne Opschoor & Herman K. van Dijk, 2011, "A Class of Adaptive EM-based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive Simulation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-004/4, Jan.
• Sjoerd van den Hauwe & Richard Paap & Dick J.C. van Dijk, 2011, "An Alternative Bayesian Approach to Structural Breaks in Time Series Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-023/4, Feb.
• Siem Jan Koopman & Andre Lucas & Marcel Scharth, 2011, "Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-057/4, Mar, revised 27 Jan 2012.
• Xin Zhang & Drew Creal & Siem Jan Koopman & Andre Lucas, 2011, "Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-078/2/DSF22, May.
• Oleg Sokolinskiy & Dick van Dijk, 2011, "Forecasting Volatility with Copula-Based Time Series Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-125/4, Sep.
• Siem Jan Koopman & Marcel Scharth, 2011, "The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-132/4, Sep.
• Pawel Janus & Siem Jan Koopman & André Lucas, 2011, "Long Memory Dynamics for Multivariate Dependence under Heavy Tails," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-175/2/DSF28, Dec.
• Hallin, M. & van den Akker, R. & Werker, B.J.M., 2011, "A Class of Simple Distribution-free Rank-based Unit Root Tests (Revision of DP 2010-72)," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-002.
• Cizek, P. & Jacobs, J.P.A.M. & Ligthart, J.E. & Vrijburg, H., 2011, "GMM Estimation of Fixed Effects Dynamic Panel Data Models with Spatial Lag and Spatial Errors (Replaced by CentER DP 2015-003)," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-134.
• Yong Song, 2011, "Modelling Regime Switching and Structural Breaks with an Infinite Dimension Markov Switching Model," Working Papers, University of Toronto, Department of Economics, number tecipa-427, Apr.
• Jon Faust & Jonathan H. Wright, 2011, "Efficient Prediction of Excess Returns," The Review of Economics and Statistics, MIT Press, volume 93, issue 2, pages 647-659, May.
• Joshua D. Angrist & Guido M. Kuersteiner, 2011, "Causal Effects of Monetary Shocks: Semiparametric Conditional Independence Tests with a Multinomial Propensity Score," The Review of Economics and Statistics, MIT Press, volume 93, issue 3, pages 725-747, August.
• Miguel Ramirez, 2011, "Is Public Investment Productive in the Argentine Case? A Single Break Unit Root and Cointegration Analysis, 1960-2007," Working Papers, Trinity College, Department of Economics, number 1101, Mar.
• Miguel Ramirez, 2011, "Remittance Flows and Economic Growth in Mexico: A Single Break Unit Root and Cointegration Analysis, 1970-2009," Working Papers, Trinity College, Department of Economics, number 1106, Jul.
• James Alm & Abel Embaye, 2011, "Explaining the Growth of Government Spending in South Africa," Working Papers, Tulane University, Department of Economics, number 1105, Apr.
• Leandro M. Magnusson & Sophocles Mavroeidis, 2011, "Identification Using Stability Restrictions," Working Papers, Tulane University, Department of Economics, number 1116, Jan.
• Fabio C. Bagliano & Claudio Morana, 2011, "Macro-finance interactions in the US: A global perspective," Working papers, Former Department of Economics and Public Finance "G. Prato", University of Torino, number 23, Oct.
• Don Bredin & Stilianos Fountas, 2011, "US Infl ation and infl ation uncertainty in a historical perspective: The impact of recessions," Working Papers, Geary Institute, University College Dublin, number 201053, Mar.
• Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011, "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-01.
• Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011, "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-02.
• Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2011, "Are Forecast Updates Progressive?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-03.
• Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011, "Modelling and Forecasting Noisy Realized Volatility," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-09.
• Philip Hans Franses & Michael McAleer & Rianne Legerstee:, 2011, "Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-11.
• Shawkat Hammoudeh & Tengdong Liu & Chia-Lin Chang & Michael McAleer, 2011, "Risk Spillovers in Oil-Related CDS, Stock and Credit Markets," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-12.
• Chia-Lin Chang & Michael McAleer, 2011, "Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-13.
• Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2011, "Evaluating Individual and Mean Non-Replicable Forecasts," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-15.
• 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," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-16.
• LanFen Chu & Michael McAleer & Chi-Chung Chen, 2011, "How Volatile is ENSO?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-21.
• Alfredo García-Hiernaux & David E. Guerrero, 2011, "Convergence and Cointegration," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-22.