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

• Philip Hans Franses & Chia-Lin Chang & Michael McAleer, 2011, "Analyzing Fixed-event Forecast Revisions," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-24.
• Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011, "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-27.
• Chia-Lin Chang & Michael McAleer & Christine Lim, 2011, "Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-28.
• Chia-Lin Chang & Michael McAleer & Christine Lim, 2011, "Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-31.
• Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011, "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to 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 2011-32.
• Chia-Lin Chang & Lydia González-Serrano & Juan-Ángel Jiménez-Martín, 2011, "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 2011-33.
• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2011, "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-34.
• Chia-Lin Chang & Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Pérez-Amaral, 2011, "The Rise and Fall of S&P500 Variance Futures," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-35.
• Dong Jin Lee, 2011, "Bootstrap Tests for Structural Breaks When the Regressors and Error Term are Nonstationary," Working papers, University of Connecticut, Department of Economics, number 2011-05, Mar.
• Massimiliano Mazzanti & Antonio Musolesi, 2011, "Income and time related effects in EKC," Working Papers, University of Ferrara, Department of Economics, number 201105, Feb.
• Rahmatina A. Kasri, 2011, "Time Series Evidence On Education And Economic Growth In Indonesia," Economic Journal of Emerging Markets, Universitas Islam Indonesia, volume 3, issue 2, pages 109-123.
• Reinhold Heinlein & Hans-Martin Krolzig, 2011, "Effects of monetary policy on the $/£ exchange rate. Is there a 'delayed overshooting puzzle'?," Studies in Economics, School of Economics, University of Kent, number 1124, Dec.
• J. Isaac Miller, 2011, "Conditionally Efficient Estimation of Long-run Relationships Using Mixed-frequency Time Series," Working Papers, Department of Economics, University of Missouri, number 1103, May, revised 30 May 2012.
• J. Isaac Miller, 2011, "Cointegrating MiDaS Regressions and a MiDaS Test," Working Papers, Department of Economics, University of Missouri, number 1104, Jun.
• Christopher Otrok & Panayiotis M. Pourpourides, 2011, "On The Cyclicality of Real Wages and Wage Di¤erentials," Working Papers, Department of Economics, University of Missouri, number 1116, Sep.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011, "US Disposable Personal Income and Housing Price Index: A Fractional Integration Analysis," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 03/11, Jan.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011, "Long Memory and Volatility Dynamics in the US Dollar Exchange Rate," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 04/11, Jan.
• Cavaliere, G. & Phillips, P.C.B. & Smeekes, S. & Taylor, A.M.R., 2011, "Lag length selection for unit root tests in the presence of nonstationary volatility," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 056, Jan, DOI: 10.26481/umamet.2011056.
• Domenico Ferraro & Ken Rogoff & Barbara Rossi, 2011, "Can oil prices forecast exchange rates?," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1461, May, revised Jan 2015.
• Aslanidis, Nektarios & Christiansen, Charlotte, 2011, "Quantiles of the Realized Stock-Bond Correlation," Working Papers, Universitat Rovira i Virgili, Department of Economics, number 2072/151809.
• Aslanidis, Nektarios & Christiansen, Charlotte, 2011, "Smooth Transition Patterns in the Realized Stock- Bond Correlation," Working Papers, Universitat Rovira i Virgili, Department of Economics, number 2072/152138.
• Vito Amendolagine & Rosa Capolupo & Nadia Petragallo, 2011, "Export Status and Productivity Performance: Evidence from Matched Italian Firms," Aussenwirtschaft, University of St. Gallen, School of Economics and Political Science, Swiss Institute for International Economics and Applied Economics Research, volume 66, issue 2, pages 151-180, June.
• Audrino, Francesco & Hu, Yujia, 2011, "Volatility Forecasting: Downside Risk, Jumps and Leverage Effect," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1138, Sep.
• Pankaj SINHA & Sushant GUPTA & Nakul RANDEV, 2011, "Modeling & Forecasting Of Macro-Economic Variables Of India: Before, During & After Recession," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, volume 6, issue 1(15)/ Sp, pages 43-60.
• Ä°mre ERSOY, 2011, "On Reserve Hoarding In Emes: The Case Of Turkey," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, volume 6, issue 3(17)/ Fa, pages 230-243.
• Camelia FIRICÄ‚ & Jean FIRICÄ‚, 2011, "Linguistic Globalization Consequence Of Economic Globalization," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, volume 6, issue 3(17)/ Fa, pages 244-248.
• Don J. Webber & Saten Kumar, 2011, "Australasian money demand stability:Application of structural break tests," Working Papers, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol, number 1101, Jan.
• Pierre L. Siklos & Diana N. Weymark, 2011, "Data Revisions, Gradualism, and US Inflation Pressure in Real Time," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 1110, Sep.
• Yamin Ahmad & William D. Craighead, 2011, "Temporal Aggregation and Purchasing Power Parity Persistence," Wesleyan Economics Working Papers, Wesleyan University, Department of Economics, number 2011-001, Feb, DOI: 10.1016/j.jimonfin.2011.05.008.
• Maria Dolores Gadea & Ana Gomez Loscos & Antonio Montañes, 2011, "Cycles Inside Cycles. Spanish Regional Aggregation," WIFO Working Papers, WIFO, number 390, Feb.
• Timo Mitze, 2011, "Within and Between Panel Cointegration in the German Regional Output-Trade-FDI Nexus," ERSA conference papers, European Regional Science Association, number ersa11p1258, Sep.
• Ana Gomez Loscos & M. Dolores Gadea & Antonio Montañes, 2011, "Cycles inside cycles: Spanish regional aggregation," ERSA conference papers, European Regional Science Association, number ersa11p99, Sep.
• Morten Ørregaard Nielsen & Per Frederiksen, 2011, "Fully modified narrow‐band least squares estimation of weak fractional cointegration," Econometrics Journal, Royal Economic Society, volume 14, issue , pages 77-120, February.
• Jushan Bai & Peng Wang, 2011, "Conditional Markov chain and its application in economic time series analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 26, issue 5, pages 715-734, August.
• Michael Weber & Marcel Prokopczuk, 2011, "American option valuation: Implied calibration of GARCH pricing models," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 31, issue 10, pages 971-994, October.
• 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, DOI: 10.1111/j.1538-4616.2010.00365.x.
• Ruhul A. Salim & Mohammad A. Hossain, 2011, "The Linkage Between Export And Income: Further Evidence From Bangladesh," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 56, issue 01, pages 79-95, DOI: 10.1142/S0217590811004110.
• William A. Barnett & Shu Wu, 2011, "On User Costs of Risky Monetary Assets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, "Financial Aggregation And Index Number Theory".
• William A. Barnett & Unja Chae & John W. Keating, 2011, "The Discounted Economic Stock of Money with VAR Forecasting," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, "Financial Aggregation And Index Number Theory".
• William A. Barnett, 2011, "Multilateral Aggregation-Theoretic Monetary Aggregation over Heterogeneous Countries," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, "Financial Aggregation And Index Number Theory".
• Hassan Suleiman & Zahid Muhammad, 2011, "The real exchange rate of an oil exporting economy: Empirical evidence from Nigeria," FIW Working Paper series, FIW, number 072, Sep.
• Ioana VIASU & Constantin CHILARESCU, 2011, "A Semigroups Approach to the Study of a Second Order Partial Diferential Equation Applied in Economics," Timisoara Journal of Economics, West University of Timisoara, Romania, Faculty of Economics and Business Administration, volume 4, issue 4(16), pages 239-244.
• Mirza, Harun & Storjohann, Lidia, 2011, "Making a Weak Instrument Set Stronger: Factor-Based Estimation of the Taylor Rule," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 13/2011.
• Hassler, Uwe & Meller, Barbara, 2011, "Detecting multiple breaks in long memory: The case of US inflation," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2011,26.
• Pickhardt, Michael & Sardà, Jordi, 2011, "Size and causes of the underground economy in Spain: A correction of the record and new evidence from the MCDR approach," CAWM Discussion Papers, University of Münster, Münster Center for Economic Policy (MEP), number 54.
• Verheyen, Florian, 2011, "Bilateral exports from Euro Zone countries to the US: Does exchange rate variability play a role?," University of Göttingen Working Papers in Economics, University of Goettingen, Department of Economics, number 121.
• Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie, 2011, "Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes," CFS Working Paper Series, Center for Financial Studies (CFS), number 2011/25.
• Dreger, Christian & Fidrmuc, Jarko, 2011, "Drivers of Exchange Rate Dynamics in Selected CIS Countries: Evidence from a Factor-Augmented Vector Autoregressive (FAVAR) Analysis," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 47, issue 4, pages 49-58.
• 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.
• Christian Francq & Guillaume Lepage & Jean-Michel Zakoïan, 2011, "Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE," Post-Print, HAL, number hal-05417560, Dec, DOI: 10.1016/j.jeconom.2011.08.001.
• Christian Francq & L. Horvath & J.-M. Zakoian, 2011, "Merits and Drawbacks of Variance Targeting in GARCH Models," Post-Print, HAL, number hal-05417564, Jul, DOI: 10.1093/jjfinec/nbr004.
• Christian Francq & Roch Roy & Abdessamad Saidi, 2011, "Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models," Post-Print, HAL, number hal-05417839, Nov, DOI: 10.1111/j.1467-9892.2011.00728.x.
• Michel Carbon & Christian Francq, 2011, "Portmanteau Goodness-of-Fit Test for Asymmetric Power GARCH Models," Post-Print, HAL, number hal-05431360.
• Jean-Pierre Allegret & Essahbi Essaadi, 2011, "Business cycles synchronization in East Asian economy: evidences from time-varying coherence study," Post-Print, HAL, number halshs-00566116, DOI: 10.1016/j.econmod.2010.08.014.
• Gilles Dufrénot & Valérie Mignon & Anne Peguin-Feissolle, 2011, "Les effets de la crise des subprimes sur le marché financier mexicain," Post-Print, HAL, number halshs-00595338, May, DOI: 10.3917/reco.623.0461.
• Peter Martey Addo & Monica Billio & Dominique Guegan, 2011, "A test for a new modelling : The Univariate MT-STAR Model," Post-Print, HAL, number halshs-00659158, Nov.
• Patrice Guillotreau & Ramón Jiménez-Toribio, 2011, "The price effect of expanding fish auction markets," Post-Print, HAL, number peer-01053434, Jul, DOI: 10.1016/j.jebo.2011.01.031.
• Geert Dhaene & Koen Jochmans, 2011, "An Adjusted profile likelihood for non-stationary panel data models with fixed effects," Sciences Po Economics Publications (main), HAL, number hal-01073732, Mar.
• Laurent-Emmanuel Calvet & Adlai J. Fisher, 2011, "Multifrequency News and Stock Returns," Working Papers, HAL, number hal-00591678, May.
• Geert Dhaene & Koen Jochmans, 2011, "An Adjusted profile likelihood for non-stationary panel data models with fixed effects," Working Papers, HAL, number hal-01073732, Mar.
• 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.
• Pavel Ciaian & d'Artis Kancs, 2011, "Food, Energy and Environment : is Bioenergy the missing link?," LICOS Discussion Papers, LICOS - Centre for Institutions and Economic Performance, KU Leuven, number 29211.