Research classified by Journal of Economic Literature (JEL) codes

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Top JEL
/ C: Mathematical and Quantitative Methods
/ / C2: Single Equation Models; Single Variables
/ / / C22: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

2012

• Andrews, Donald W.K. & Guggenberger, Patrik, 2012, "Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity," Journal of Econometrics, Elsevier, volume 169, issue 2, pages 196-210, DOI: 10.1016/j.jeconom.2012.01.017.
• Xiao, Zhijie, 2012, "Robust inference in nonstationary time series models," Journal of Econometrics, Elsevier, volume 169, issue 2, pages 211-223, DOI: 10.1016/j.jeconom.2012.01.027.
• Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2012, "Model selection when there are multiple breaks," Journal of Econometrics, Elsevier, volume 169, issue 2, pages 239-246, DOI: 10.1016/j.jeconom.2012.01.026.
• Ploberger, Werner & Phillips, Peter C.B., 2012, "Optimal estimation under nonstandard conditions," Journal of Econometrics, Elsevier, volume 169, issue 2, pages 258-265, DOI: 10.1016/j.jeconom.2012.01.025.
• Shimotsu, Katsumi, 2012, "Exact local Whittle estimation of fractionally cointegrated systems," Journal of Econometrics, Elsevier, volume 169, issue 2, pages 266-278, DOI: 10.1016/j.jeconom.2012.01.028.
• Shintani, Mototsugu & Yabu, Tomoyoshi & Nagakura, Daisuke, 2012, "Spurious regressions in technical trading," Journal of Econometrics, Elsevier, volume 169, issue 2, pages 301-309, DOI: 10.1016/j.jeconom.2012.01.019.
• Liang, Zhongwen & Li, Qi, 2012, "Functional coefficient regression models with time trend," Journal of Econometrics, Elsevier, volume 170, issue 1, pages 15-31, DOI: 10.1016/j.jeconom.2011.08.009.
• Koo, Bonsoo & Linton, Oliver, 2012, "Estimation of semiparametric locally stationary diffusion models," Journal of Econometrics, Elsevier, volume 170, issue 1, pages 210-233, DOI: 10.1016/j.jeconom.2012.05.003.
• Ai, Chunrong & Chen, Xiaohong, 2012, "The semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions," Journal of Econometrics, Elsevier, volume 170, issue 2, pages 442-457, DOI: 10.1016/j.jeconom.2012.05.015.
• Gospodinov, Nikolay & Otsu, Taisuke, 2012, "Local GMM estimation of time series models with conditional moment restrictions," Journal of Econometrics, Elsevier, volume 170, issue 2, pages 476-490, DOI: 10.1016/j.jeconom.2012.05.017.
• Halunga, Andreea G. & Osborn, Denise R., 2012, "Ratio-based estimators for a change point in persistence," Journal of Econometrics, Elsevier, volume 171, issue 1, pages 24-31, DOI: 10.1016/j.jeconom.2012.05.024.
• Hoogerheide, Lennart & Opschoor, Anne & van Dijk, Herman K., 2012, "A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation," Journal of Econometrics, Elsevier, volume 171, issue 2, pages 101-120, DOI: 10.1016/j.jeconom.2012.06.011.
• Frini, Olfa & Muller, Christophe, 2012, "Demographic transition, education and economic growth in Tunisia," Economic Systems, Elsevier, volume 36, issue 3, pages 351-371, DOI: 10.1016/j.ecosys.2012.04.002.
• Petrevski, Goran & Bogoev, Jane, 2012, "Interest rate pass-through in South East Europe: An empirical analysis," Economic Systems, Elsevier, volume 36, issue 4, pages 571-593, DOI: 10.1016/j.ecosys.2012.03.001.
• Polito, Vito & Wickens, Mike, 2012, "A model-based indicator of the fiscal stance," European Economic Review, Elsevier, volume 56, issue 3, pages 526-551, DOI: 10.1016/j.euroecorev.2011.12.003.
• Baur, Dirk G. & Dimpfl, Thomas & Jung, Robert C., 2012, "Stock return autocorrelations revisited: A quantile regression approach," Journal of Empirical Finance, Elsevier, volume 19, issue 2, pages 254-265, DOI: 10.1016/j.jempfin.2011.12.002.
• Wu, Zhengxiao, 2012, "On the intraday periodicity duration adjustment of high-frequency data," Journal of Empirical Finance, Elsevier, volume 19, issue 2, pages 282-291, DOI: 10.1016/j.jempfin.2011.12.004.
• Taamouti, Abderrahim, 2012, "Moments of multivariate regime switching with application to risk-return trade-off," Journal of Empirical Finance, Elsevier, volume 19, issue 2, pages 292-308, DOI: 10.1016/j.jempfin.2011.12.001.
• Chen, Yi-Ting, 2012, "A simple approach to standardized-residuals-based higher-moment tests," Journal of Empirical Finance, Elsevier, volume 19, issue 4, pages 427-453, DOI: 10.1016/j.jempfin.2012.04.006.
• Aslanidis, Nektarios & Christiansen, Charlotte, 2012, "Smooth transition patterns in the realized stock–bond correlation," Journal of Empirical Finance, Elsevier, volume 19, issue 4, pages 454-464, DOI: 10.1016/j.jempfin.2012.04.005.
• Liu, Xinyi & Margaritis, Dimitris & Wang, Peiming, 2012, "Stock market volatility and equity returns: Evidence from a two-state Markov-switching model with regressors," Journal of Empirical Finance, Elsevier, volume 19, issue 4, pages 483-496, DOI: 10.1016/j.jempfin.2012.04.011.
• Gospodinov, Nikolay & Hirukawa, Masayuki, 2012, "Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels," Journal of Empirical Finance, Elsevier, volume 19, issue 4, pages 595-609, DOI: 10.1016/j.jempfin.2012.04.001.
• Benavides, Guillermo & Capistrán, Carlos, 2012, "Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts," Journal of Empirical Finance, Elsevier, volume 19, issue 5, pages 627-639, DOI: 10.1016/j.jempfin.2012.07.001.
• McKenzie, Michael & Satchell, Stephen & Wongwachara, Warapong, 2012, "Nonlinearity and smoothing in venture capital performance data," Journal of Empirical Finance, Elsevier, volume 19, issue 5, pages 782-795, DOI: 10.1016/j.jempfin.2012.08.004.
• Zaklan, Aleksandar & Cullmann, Astrid & Neumann, Anne & von Hirschhausen, Christian, 2012, "The globalization of steam coal markets and the role of logistics: An empirical analysis," Energy Economics, Elsevier, volume 34, issue 1, pages 105-116, DOI: 10.1016/j.eneco.2011.03.001.
• Brémond, Vincent & Hache, Emmanuel & Mignon, Valérie, 2012, "Does OPEC still exist as a cartel? An empirical investigation," Energy Economics, Elsevier, volume 34, issue 1, pages 125-131, DOI: 10.1016/j.eneco.2011.03.010.
• Sene, Seydina Ousmane, 2012, "Estimating the demand for gasoline in developing countries: Senegal," Energy Economics, Elsevier, volume 34, issue 1, pages 189-194, DOI: 10.1016/j.eneco.2011.04.014.
• Kuper, Gerard H., 2012, "Inventories and upstream gasoline price dynamics," Energy Economics, Elsevier, volume 34, issue 1, pages 208-214, DOI: 10.1016/j.eneco.2011.08.008.
• Arouri, Mohamed El Hédi & Lahiani, Amine & Lévy, Aldo & Nguyen, Duc Khuong, 2012, "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Energy Economics, Elsevier, volume 34, issue 1, pages 283-293, DOI: 10.1016/j.eneco.2011.10.015.
• Chang, Kuang-Liang, 2012, "Volatility regimes, asymmetric basis effects and forecasting performance: An empirical investigation of the WTI crude oil futures market," Energy Economics, Elsevier, volume 34, issue 1, pages 294-306, DOI: 10.1016/j.eneco.2011.11.009.
• Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar, 2012, "Modeling and explaining the dynamics of European Union Allowance prices at high-frequency," Energy Economics, Elsevier, volume 34, issue 1, pages 316-326, DOI: 10.1016/j.eneco.2011.02.011.
• Creti, Anna & Jouvet, Pierre-André & Mignon, Valérie, 2012, "Carbon price drivers: Phase I versus Phase II equilibrium?," Energy Economics, Elsevier, volume 34, issue 1, pages 327-334, DOI: 10.1016/j.eneco.2011.11.001.
• Fuinhas, José Alberto & Marques, António Cardoso, 2012, "Energy consumption and economic growth nexus in Portugal, Italy, Greece, Spain and Turkey: An ARDL bounds test approach (1965–2009)," Energy Economics, Elsevier, volume 34, issue 2, pages 511-517, DOI: 10.1016/j.eneco.2011.10.003.
• Xu, Bing & Ouenniche, Jamal, 2012, "A data envelopment analysis-based framework for the relative performance evaluation of competing crude oil prices' volatility forecasting models," Energy Economics, Elsevier, volume 34, issue 2, pages 576-583, DOI: 10.1016/j.eneco.2011.12.005.
• Boutabba, Mohamed Amine & Beaumais, Olivier & Lardic, Sandrine, 2012, "Permit price dynamics in the U.S. SO2 trading program: A cointegration approach," Energy Economics, Elsevier, volume 34, issue 3, pages 714-722, DOI: 10.1016/j.eneco.2011.04.004.
• Bildirici, Melike E. & Kayıkçı, Fazıl, 2012, "Economic growth and electricity consumption in former Soviet Republics," Energy Economics, Elsevier, volume 34, issue 3, pages 747-753, DOI: 10.1016/j.eneco.2012.02.010.
• Salim, Ruhul A. & Rafiq, Shuddhasattwa, 2012, "Why do some emerging economies proactively accelerate the adoption of renewable energy?," Energy Economics, Elsevier, volume 34, issue 4, pages 1051-1057, DOI: 10.1016/j.eneco.2011.08.015.
• Apergis, Nicholas & Tsoumas, Chris, 2012, "Long memory and disaggregated energy consumption: Evidence from fossils, coal and electricity retail in the U.S," Energy Economics, Elsevier, volume 34, issue 4, pages 1082-1087, DOI: 10.1016/j.eneco.2011.09.002.
• Akkemik, K. Ali & Göksal, Koray, 2012, "Energy consumption-GDP nexus: Heterogeneous panel causality analysis," Energy Economics, Elsevier, volume 34, issue 4, pages 865-873, DOI: 10.1016/j.eneco.2012.04.002.
• Dagher, Leila, 2012, "Natural gas demand at the utility level: An application of dynamic elasticities," Energy Economics, Elsevier, volume 34, issue 4, pages 961-969, DOI: 10.1016/j.eneco.2011.05.010.
• Gronwald, Marc, 2012, "A characterization of oil price behavior — Evidence from jump models," Energy Economics, Elsevier, volume 34, issue 5, pages 1310-1317, DOI: 10.1016/j.eneco.2012.06.006.
• Wen, Xiaoqian & Wei, Yu & Huang, Dengshi, 2012, "Measuring contagion between energy market and stock market during financial crisis: A copula approach," Energy Economics, Elsevier, volume 34, issue 5, pages 1435-1446, DOI: 10.1016/j.eneco.2012.06.021.
• Fosten, Jack, 2012, "Rising household diesel consumption in the United States: A cause for concern? Evidence on asymmetric pricing," Energy Economics, Elsevier, volume 34, issue 5, pages 1514-1522, DOI: 10.1016/j.eneco.2012.06.025.
• Neto, David, 2012, "Testing and estimating time-varying elasticities of Swiss gasoline demand," Energy Economics, Elsevier, volume 34, issue 6, pages 1755-1762, DOI: 10.1016/j.eneco.2012.07.009.
• Hellström, Jörgen & Lundgren, Jens & Yu, Haishan, 2012, "Why do electricity prices jump? Empirical evidence from the Nordic electricity market," Energy Economics, Elsevier, volume 34, issue 6, pages 1774-1781, DOI: 10.1016/j.eneco.2012.07.006.
• Song, Nianfu & Aguilar, Francisco X. & Shifley, Stephen R. & Goerndt, Michael E., 2012, "Analysis of U.S. residential wood energy consumption: 1967–2009," Energy Economics, Elsevier, volume 34, issue 6, pages 2116-2124, DOI: 10.1016/j.eneco.2012.03.004.
• Gianfreda, Angelica & Grossi, Luigi, 2012, "Forecasting Italian electricity zonal prices with exogenous variables," Energy Economics, Elsevier, volume 34, issue 6, pages 2228-2239, DOI: 10.1016/j.eneco.2012.06.024.
• Nepal, Rabindra & Jamasb, Tooraj, 2012, "Interconnections and market integration in the Irish Single Electricity Market," Energy Policy, Elsevier, volume 51, issue C, pages 425-434, DOI: 10.1016/j.enpol.2012.08.047.
• He, Kaijian & Yu, Lean & Lai, Kin Keung, 2012, "Crude oil price analysis and forecasting using wavelet decomposed ensemble model," Energy, Elsevier, volume 46, issue 1, pages 564-574, DOI: 10.1016/j.energy.2012.07.055.

2011

• de Jong, Robert M. & Woutersen, Tiemen, 2011, "Dynamic Time Series Binary Choice," Econometric Theory, Cambridge University Press, volume 27, issue 4, pages 673-702, August.
• Cavaliere, Giuseppe & Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2011, "Testing For Unit Roots In The Presence Of A Possible Break In Trend And Nonstationary Volatility," Econometric Theory, Cambridge University Press, volume 27, issue 5, pages 957-991, October.
• Han, Chirok & Phillips, Peter C. B. & Sul, Donggyu, 2011, "Uniform Asymptotic Normality In Stationary And Unit Root Autoregression," Econometric Theory, Cambridge University Press, volume 27, issue 6, pages 1117-1151, December.
• Meitz, Mika & Saikkonen, Pentti, 2011, "Parameter Estimation In Nonlinear Ar–Garch Models," Econometric Theory, Cambridge University Press, volume 27, issue 6, pages 1236-1278, December.
• Sun, Yixiao & Phillips, Peter C.B. & Jin, Sainan, 2011, "Power Maximization And Size Control In Heteroskedasticity And Autocorrelation Robust Tests With Exponentiated Kernels," Econometric Theory, Cambridge University Press, volume 27, issue 6, pages 1320-1368, December.
• Favero, Carlo A. & Gozluklu, Arie E. & Tamoni, Andrea, 2011, "Demographic Trends, the Dividend-Price Ratio, and the Predictability of Long-Run Stock Market Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 46, issue 5, pages 1493-1520, October.
• Thompson, Gary M. & Mutkoski, Stephen A., 2011, "Reconsidering the 1855 Bordeaux Classification of the Médoc and Graves using Wine Ratings from 1970–2005," Journal of Wine Economics, Cambridge University Press, volume 6, issue 1, pages 15-36, January.
• Peter C.B. Phillips & Tassos Magdalinos, 2011, "Inconsistent VAR Regression with Common Explosive Roots," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1777, Jan.
• Qiying Wang & Peter C.B. Phillips, 2011, "Specification Testing for Nonlinear Cointegrating Regression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1779, Jan, revised Feb 2011.
• Chirok Han & Peter C.B. Phillips, 2011, "First Difference MLE and Dynamic Panel Estimation," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1780, Jan.
• Donald W.K. Andrews & Patrik Guggenberger, 2011, "A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1812, Aug.
• Donald W.K. Andrews & Patrik Guggenberger, 2011, "A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1812R, Aug, revised Dec 2012.
• Donald W.K. Andrews & Xu Cheng & Patrik Guggenberger, 2011, "Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1813, Aug.
• Christopher Otrok & Panayiotis M. Pourpourides, 2011, "On the Cyclicality of Real Wages and Wage Differentials," Working Papers, Central Bank of Cyprus, number 2011-4, Sep.
• Tuomas Malinen, 2011, "Income Inequality and Savings: A Reassessment of the Relationship in Cointegrated Panels," DEGIT Conference Papers, DEGIT, Dynamics, Economic Growth, and International Trade, number c016_076, Sep.
• Adrien Bonache & Karen Moris, 2011, "Premières preuves empiriques de chaos dans les ventes de biens à la mode - First empirical evidence of chaos in the sales of fashion goods," Working Papers CREGO, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations, number 1110602, Jun.
• Christian Dreger & Konstantin A. Kholodilin, 2011, "Verbraucherumfragen für Konsumprognosen besser nutzen," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, volume 78, issue 28, pages 3-8.
• Guglielmo Maria Caporale & Alessandro Girardi & Marco Ventura, 2011, "The Euro Changeover and Price Adjustments in Italy," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1114.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011, "Fractional Integration and Cointegration in US Financial Time Series Data," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1116.
• Christian Dreger & Jürgen Wolters, 2011, "Money and Inflation in the Euro Area during the Financial Crisis," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1131.
• Aleksandar Zaklan & Jan Abrell & Anne Neumann, 2011, "Stationarity Changes in Long-Run Fossil Resource Prices: Evidence from Persistence Break Testing," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1152.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011, "Persistence and Cyclical Dependence in the Monthly Euribor Rate," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1165.
• Narayan, Paresh Kumar & Narayan, Seema, 2011, "The importance of real and nominal shocks on the UK housing market," Working Papers, Deakin University, Department of Economics, number fe_2011_05, Jan.
• Paresh Kumar Narayan & Seema Narayan, 2011, "The inflation-output nexus:empirical evidence from India, Brazil and South Africa," Working Papers, Deakin University, Department of Economics, number 2011_06, Aug.
• Paresh Kumar Narayan & Seema Narayan, 2011, "Has the structural break slowed down growth rates of stock markets?," Working Papers, Deakin University, Department of Economics, number 2011_10, Aug.
• Narayan, Seema & Narayan, Paresh Kumar, 2011, "Did the US macroeconomic conditions affect Asian stock markets?," Working Papers, Deakin University, Department of Economics, number fe_2011_13, Jan, DOI: 10.1016/j.asieco.2012.05.001.
• Prasad S Bhattacharya & Dimitrios D Thomakos, 2011, "Improving forecasting performance by window and model averaging," Working Papers, Deakin University, Department of Economics, number 2011_1, Feb.
• Sylvain Prado, 2011, "Free lunch in the oil market: a note on Long Memory," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2011-23.
• Amélie Charles & Olivier Darné & Claude Diebolt & Laurent Ferrara, 2011, "A new monthly chronology of the US industrial cycles in the prewar economy," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2011-27.
• David Guerreiro & Valérie Mignon, 2011, "On price convergence in Eurozone," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2011-34.
• Vincent Brémond & Emmanuel Hache & Valérie Mignon, 2011, "Does OPEC still exist as a cartel? An empirical investigation," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2011-5.
• Ashish Garg & B. S. Bodla, 2011, "Impact of the Foreign Institutional Investments on Stock Market: Evidence from India," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 46, issue 2, pages 303-322.
• Barbara Rossi & Atsushi Inoue, 2011, "Out-of-Sample Forecast Tests Robust to Window Size Choice," Working Papers, Duke University, Department of Economics, number 11-04.
• Domenico Ferraro & Ken Rogoff & Barbara Rossi, 2011, "Can Oil Prices Forecast Exchange Rates?," Working Papers, Duke University, Department of Economics, number 11-05.
• Barbara Rossi & Tatevik Sekhposyan, 2011, "Forecast Optimality Tests in the Presence of Instabilities," Working Papers, Duke University, Department of Economics, number 11-18.
• Barbara Rossi, 2011, "Advances in Forecasting Under Instability," Working Papers, Duke University, Department of Economics, number 11-20.
• Bill Russell & Anindya Banerjee & Issam Malki & Natalia Ponomareva, 2011, "A Multiple Break Panel Approach To Estimating United States Phillips Curves," Dundee Discussion Papers in Economics, Economic Studies, University of Dundee, number 252, Jun.
• Miguel D. Ramirez, 2011, "Foreign Direct Investment And Its Determinants In The Chilean Case: Single Break Unit Root And Cointegration Analysis," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 11, issue 1.
• L.Oladele ODERINDE & Wakeel.A. ISOLA, 2011, "Output, Electricity Consumption And Exports In Nigeria And Ghana: Evidence From Multivariate Causality Test," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 11, issue 2.
• ESCOBARI, Diego, 2011, "Testing for Stochastic and Beta-convergence in Latin American Countries," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 11, issue 2.
• DREGER, Christian & REIMERS, Hans-Eggert, 2011, "On The Role Of Sectoral And National Wage Components In The Wage Bargaining Process," Regional and Sectoral Economic Studies, Euro-American Association of Economic Development, volume 11, issue 1.
• Andrew Hughes Hallett & Christian Richter, 2011, "Trans-Pacific Economic Relations and US-China Business Cycles : Convergence within Asia versus US Economic Leadership," Development Economics Working Papers, East Asian Bureau of Economic Research, number 23244, Jun.
• Andrew Hughes Hallett & Christian Richter, 2011, "Trans-Pacific Economic Relations and US-China Business Cycles : Convergence within Asia versus US Economic Leadership," Governance Working Papers, East Asian Bureau of Economic Research, number 23244, Jun.
• Abdul Haque & Hung-Chun Liu & Fakhar-Un-Nisa, 2011, "Testing the Weak Form Efficiency of Pakistani Stock Market (2000 2010)," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, volume 1, issue 4, pages 153-162.
• 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 1, pages 77-120, February.
• Bauwens, Luc & Korobilis, Dimitris & Koop, Gary & Rombouts, Jeroen V.K., 2011, "A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2011-25.
• Gefang, Deborah & Koop, Gary & Potter, Simon M., 2011, "Understanding Liquidity and Credit Risks in the Financial Crisis," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2011-26.
• Cerrato, Mario & de Peretti, Christian & Larsson, Rolf & Sarantis, Nicholas, 2011, "A Nonlinear Panel Unit Root Test under Cross Section Dependence," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2011-30.
• Russell, Bill & Banerjee, Anindya & Malki, Issam & Ponomareva, Natalia, 2011, "A Multiple Break Panel Approach to Estimating United States Phillips Curves," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2012-27, May.
• Mariam Camarero & Yurena Mendoza & Javier Ordoñez, 2011, "Re-examining Emissions. Is Assessing Convergence Meaningless?," Working Papers, Department of Applied Economics II, Universidad de Valencia, number 1104, Feb.
• Mariam Camarero & Juana Castillo & Andrés J. Picazo-Tadeo & Cecilio Tamarit, 2011, "Eco-efficiency and convergence in OECD countries," Working Papers, Department of Applied Economics II, Universidad de Valencia, number 1116, Jun.
• Samreth, Sovannroeun, 2011, "An empirical study on the hysteresis of currency substitution in Cambodia," Journal of Asian Economics, Elsevier, volume 22, issue 6, pages 518-527, DOI: 10.1016/j.asieco.2011.08.007.
• Camacho, Maximo & Perez Quiros, Gabriel & Rodriguez Mendizabal, Hugo, 2011, "High-growth recoveries, inventories and the Great Moderation," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 8, pages 1322-1339, August.
• Andrés, Antonio Rodríguez & Halicioglu, Ferda, 2011, "Testing the hypothesis of the natural suicide rates: Further evidence from OECD data," Economic Modelling, Elsevier, volume 28, issue 1-2, pages 22-26, January.
• Allegret, Jean-Pierre & Essaadi, Essahbi, 2011, "Business cycles synchronization in East Asian economy: Evidences from time-varying coherence study," Economic Modelling, Elsevier, volume 28, issue 1-2, pages 351-365, January.
• Chen, Mei-ping & Lee, Chien-Chiang & Hsu, Yi-Chung, 2011, "The impact of American depositary receipts on the Japanese index: Do industry effect and size effect matter?," Economic Modelling, Elsevier, volume 28, issue 1-2, pages 526-539, January.
• Chen, Show-Lin & Wu, Jyh-Lin, 2011, "Home bias and the persistence of real exchange rates," Economic Modelling, Elsevier, volume 28, issue 1-2, pages 55-59, January.
• Zhang, Chengsi, 2011, "Inflation persistence, inflation expectations, and monetary policy in China," Economic Modelling, Elsevier, volume 28, issue 1-2, pages 622-629, January.
• Lee, Yuan-Ming & Wang, Kuan-Min, 2011, "The effectiveness of the sunshine effect in Taiwan's stock market before and after the 1997 financial crisis," Economic Modelling, Elsevier, volume 28, issue 1-2, pages 710-727, January.
• Andrés, Antonio Rodríguez & Halicioglu, Ferda, 2011, "Testing the hypothesis of the natural suicide rates: Further evidence from OECD data," Economic Modelling, Elsevier, volume 28, issue 1, pages 22-26, DOI: 10.1016/j.econmod.2010.10.004.
• Allegret, Jean-Pierre & Essaadi, Essahbi, 2011, "Business cycles synchronization in East Asian economy: Evidences from time-varying coherence study," Economic Modelling, Elsevier, volume 28, issue 1, pages 351-365, DOI: 10.1016/j.econmod.2010.08.014.
• Chen, Mei-ping & Lee, Chien-Chiang & Hsu, Yi-Chung, 2011, "The impact of American depositary receipts on the Japanese index: Do industry effect and size effect matter?," Economic Modelling, Elsevier, volume 28, issue 1, pages 526-539, DOI: 10.1016/j.econmod.2010.07.001.
• Tawadros, George B., 2011, "The stylised facts of Australia's business cycle," Economic Modelling, Elsevier, volume 28, issue 1, pages 549-556, DOI: 10.1016/j.econmod.2010.06.017.
• Chen, Show-Lin & Wu, Jyh-Lin, 2011, "Home bias and the persistence of real exchange rates," Economic Modelling, Elsevier, volume 28, issue 1, pages 55-59, DOI: 10.1016/j.econmod.2010.09.025.
• Zhang, Chengsi, 2011, "Inflation persistence, inflation expectations, and monetary policy in China," Economic Modelling, Elsevier, volume 28, issue 1, pages 622-629, DOI: 10.1016/j.econmod.2010.06.009.
• Lee, Yuan-Ming & Wang, Kuan-Min, 2011, "The effectiveness of the sunshine effect in Taiwan's stock market before and after the 1997 financial crisis," Economic Modelling, Elsevier, volume 28, issue 1, pages 710-727, DOI: 10.1016/j.econmod.2010.05.008.
• Broto, Carmen, 2011, "Inflation targeting in Latin America: Empirical analysis using GARCH models," Economic Modelling, Elsevier, volume 28, issue 3, pages 1424-1434, May.
• Balcilar, Mehmet & Gupta, Rangan & Shah, Zahra B., 2011, "An in-sample and out-of-sample empirical investigation of the nonlinearity in house prices of South Africa," Economic Modelling, Elsevier, volume 28, issue 3, pages 891-899, May.
• Halicioglu, Ferda, 2011, "Modeling life expectancy in Turkey," Economic Modelling, Elsevier, volume 28, issue 5, pages 2075-2082, September.
• Dufrénot, Gilles & Mignon, Valérie & Péguin-Feissolle, Anne, 2011, "The effects of the subprime crisis on the Latin American financial markets: An empirical assessment," Economic Modelling, Elsevier, volume 28, issue 5, pages 2342-2357, September.
• Chang, Hsin-Chen & Huang, Bwo-Nung & Yang, Chin Wei, 2011, "Military expenditure and economic growth across different groups: A dynamic panel Granger-causality approach," Economic Modelling, Elsevier, volume 28, issue 6, pages 2416-2423, DOI: 10.1016/j.econmod.2011.06.001.
• Zhang, Chengsi & Murasawa, Yasutomo, 2011, "Output gap measurement and the New Keynesian Phillips curve for China," Economic Modelling, Elsevier, volume 28, issue 6, pages 2462-2468, DOI: 10.1016/j.econmod.2011.07.003.
• Hatemi-J, Abdulnasser & Roca, Eduardo, 2011, "How globally contagious was the recent US real estate market crisis? Evidence based on a new contagion test," Economic Modelling, Elsevier, volume 28, issue 6, pages 2560-2565, DOI: 10.1016/j.econmod.2011.07.017.
• Shelley, Gary L. & Wallace, Frederick H., 2011, "Further evidence regarding nonlinear trend reversion of real GDP and the CPI," Economics Letters, Elsevier, volume 112, issue 1, pages 56-59, July.
• Patalinghug, Epictetus E., 2011, "Crime rates and labor market opportunities in the Philippines: 1970–2008," Economics Letters, Elsevier, volume 113, issue 2, pages 160-164, DOI: 10.1016/j.econlet.2011.07.015.
• Roy, Saktinil & Kemme, David M., 2011, "What is really common in the run-up to banking crises?," Economics Letters, Elsevier, volume 113, issue 3, pages 211-214, DOI: 10.1016/j.econlet.2011.07.007.
• Kim, Chang Sik & Lee, Sungro, 2011, "Spurious regressions driven by excessive volatility," Economics Letters, Elsevier, volume 113, issue 3, pages 292-297, DOI: 10.1016/j.econlet.2011.08.014.
• Aït-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan, 2011, "Ultra high frequency volatility estimation with dependent microstructure noise," Journal of Econometrics, Elsevier, volume 160, issue 1, pages 160-175, January.
• Zhang, Lan & Mykland, Per A. & Aït-Sahalia, Yacine, 2011, "Edgeworth expansions for realized volatility and related estimators," Journal of Econometrics, Elsevier, volume 160, issue 1, pages 190-203, January.
• Large, Jeremy, 2011, "Estimating quadratic variation when quoted prices change by a constant increment," Journal of Econometrics, Elsevier, volume 160, issue 1, pages 2-11, January.
• Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011, "Subsampling realised kernels," Journal of Econometrics, Elsevier, volume 160, issue 1, pages 204-219, January.
• Patton, Andrew J., 2011, "Volatility forecast comparison using imperfect volatility proxies," Journal of Econometrics, Elsevier, volume 160, issue 1, pages 246-256, January.
• Busch, Thomas & Christensen, Bent Jesper & Nielsen, Morten Ørregaard, 2011, "The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets," Journal of Econometrics, Elsevier, volume 160, issue 1, pages 48-57, January.
• Allen, Jason & Gregory, Allan W. & Shimotsu, Katsumi, 2011, "Empirical likelihood block bootstrapping," Journal of Econometrics, Elsevier, volume 161, issue 2, pages 110-121, April.
• Corradi, Valentina & Swanson, Norman R., 2011, "Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models," Journal of Econometrics, Elsevier, volume 161, issue 2, pages 304-324, April.
• Holly, Alberto & Monfort, Alain & Rockinger, Michael, 2011, "Fourth order pseudo maximum likelihood methods," Journal of Econometrics, Elsevier, volume 162, issue 2, pages 278-293, June.
• Deschamps, Philippe J., 2011, "Bayesian estimation of an extended local scale stochastic volatility model," Journal of Econometrics, Elsevier, volume 162, issue 2, pages 369-382, June.
• Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas, 2011, "An I(d) model with trend and cycles," Journal of Econometrics, Elsevier, volume 163, issue 2, pages 186-199, August.
• Hallin, Marc & van den Akker, Ramon & Werker, Bas J.M., 2011, "A class of simple distribution-free rank-based unit root tests," Journal of Econometrics, Elsevier, volume 163, issue 2, pages 200-214, August.
• Diks, Cees & Panchenko, Valentyn & van Dijk, Dick, 2011, "Likelihood-based scoring rules for comparing density forecasts in tails," Journal of Econometrics, Elsevier, volume 163, issue 2, pages 215-230, August.
• Rossi, Barbara & Sekhposyan, Tatevik, 2011, "Understanding models' forecasting performance," Journal of Econometrics, Elsevier, volume 164, issue 1, pages 158-172, September.
• Pesaran, M. Hashem & Pick, Andreas & Timmermann, Allan, 2011, "Variable selection, estimation and inference for multi-period forecasting problems," Journal of Econometrics, Elsevier, volume 164, issue 1, pages 173-187, September.
• Kristensen, Dennis, 2011, "Semi-nonparametric estimation and misspecification testing of diffusion models," Journal of Econometrics, Elsevier, volume 164, issue 2, pages 382-403, October.
• Amano, Tomoyuki & Taniguchi, Masanobu, 2011, "Control variate method for stationary processes," Journal of Econometrics, Elsevier, volume 165, issue 1, pages 20-29, DOI: 10.1016/j.jeconom.2011.05.003.
• Hsu, Shih-Hsun & Kuan, Chung-Ming, 2011, "Estimation of conditional moment restrictions without assuming parameter identifiability in the implied unconditional moments," Journal of Econometrics, Elsevier, volume 165, issue 1, pages 87-99, DOI: 10.1016/j.jeconom.2011.05.008.
• Bester, C. Alan & Conley, Timothy G. & Hansen, Christian B., 2011, "Inference with dependent data using cluster covariance estimators," Journal of Econometrics, Elsevier, volume 165, issue 2, pages 137-151, DOI: 10.1016/j.jeconom.2011.01.007.
• Chiang, Min-Hsien & Wang, Li-Min, 2011, "Volatility contagion: A range-based volatility approach," Journal of Econometrics, Elsevier, volume 165, issue 2, pages 175-189, DOI: 10.1016/j.jeconom.2011.07.004.
• Francq, Christian & Lepage, Guillaume & Zakoïan, Jean-Michel, 2011, "Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE," Journal of Econometrics, Elsevier, volume 165, issue 2, pages 246-257, DOI: 10.1016/j.jeconom.2011.08.001.
• Égert, Balázs, 2011, "Catching-up and inflation in Europe: Balassa-Samuelson, Engel's Law and other culprits," Economic Systems, Elsevier, volume 35, issue 2, pages 208-229, June.
• Moreno, Manuel & Serrano, Pedro & Stute, Winfried, 2011, "Statistical properties and economic implications of jump-diffusion processes with shot-noise effects," European Journal of Operational Research, Elsevier, volume 214, issue 3, pages 656-664, November.
• Kiani, Khurshid M., 2011, "Relationship between portfolio diversification and value at risk: Empirical evidence," Emerging Markets Review, Elsevier, volume 12, issue 4, pages 443-459, DOI: 10.1016/j.ememar.2010.12.004.
• Conrad, Christian & Karanasos, Menelaos & Zeng, Ning, 2011, "Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study," Journal of Empirical Finance, Elsevier, volume 18, issue 1, pages 147-159, January.
• Frijns, Bart & Lehnert, Thorsten & Zwinkels, Remco C.J., 2011, "Modeling structural changes in the volatility process," Journal of Empirical Finance, Elsevier, volume 18, issue 3, pages 522-532, June.
• Alexeev, Vitali & Tapon, Francis, 2011, "Testing weak form efficiency on the Toronto Stock Exchange," Journal of Empirical Finance, Elsevier, volume 18, issue 4, pages 661-691, September.
• Stentoft, Lars, 2011, "American option pricing with discrete and continuous time models: An empirical comparison," Journal of Empirical Finance, Elsevier, volume 18, issue 5, pages 880-902, DOI: 10.1016/j.jempfin.2011.09.004.
• Gefang, Deborah & Koop, Gary & Potter, Simon M., 2011, "Understanding liquidity and credit risks in the financial crisis," Journal of Empirical Finance, Elsevier, volume 18, issue 5, pages 903-914, DOI: 10.1016/j.jempfin.2011.07.006.
• Dilaver, Zafer & Hunt, Lester C., 2011, "Industrial electricity demand for Turkey: A structural time series analysis," Energy Economics, Elsevier, volume 33, issue 3, pages 426-436, May.
• Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2011, "Crude oil hedging strategies using dynamic multivariate GARCH," Energy Economics, Elsevier, volume 33, issue 5, pages 912-923, September.
• Bhar, Ramaprasad & Malliaris, A.G., 2011, "Oil prices and the impact of the financial crisis of 2007–2009," Energy Economics, Elsevier, volume 33, issue 6, pages 1049-1054, DOI: 10.1016/j.eneco.2011.01.016.
• Regnard, Nazim & Zakoïan, Jean-Michel, 2011, "A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices," Energy Economics, Elsevier, volume 33, issue 6, pages 1240-1251, DOI: 10.1016/j.eneco.2011.02.004.
• Alexeeva-Talebi, Victoria, 2011, "Cost pass-through of the EU emissions allowances: Examining the European petroleum markets," Energy Economics, Elsevier, volume 33, issue S1, pages 75-83, DOI: 10.1016/j.eneco.2011.07.029.
• Dilaver, Zafer & Hunt, Lester C, 2011, "Modelling and forecasting Turkish residential electricity demand," Energy Policy, Elsevier, volume 39, issue 6, pages 3117-3127, June.
• Dilaver, Zafer & Hunt, Lester C., 2011, "Turkish aggregate electricity demand: An outlook to 2020," Energy, Elsevier, volume 36, issue 11, pages 6686-6696, DOI: 10.1016/j.energy.2011.07.043.
• Halicioglu, Ferda, 2011, "A dynamic econometric study of income, energy and exports in Turkey," Energy, Elsevier, volume 36, issue 5, pages 3348-3354, DOI: 10.1016/j.energy.2011.03.031.
• Cristina Amado & Timo Teräsvirta, 2011, "Modelling Volatility by Variance Decomposition," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-01, Jan.
• Timo Teräsvirta, 2011, "Nonlinear models for autoregressive conditional heteroskedasticity," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-02, Jan.
• Michael Sørensen, 2011, "Prediction-based estimating functions: review and new developments," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-05, Jan.
• Stefano Grassi & Tommaso Proietti, 2011, "Bayesian stochastic model specification search for seasonal and calendar effects," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-08, Feb.
• Eduardo Rossi & Paolo Santucci de Magistris, 2011, "Estimation of long memory in integrated variance," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-11, Apr.
• Dennis Kristensen, 2011, "Nonparametric Detection and Estimation of Structural Change," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-13, Apr.
• Stefano Grassi & Paolo Santucci de Magistris, 2011, "When Long Memory Meets the Kalman Filter: A Comparative Study," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-14, May.
• Antonio E. Noriega & Daniel Ventosa-Santaularia, 2011, "A Simple Test for Spurious Regressions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-15, May.
• Stefano Grassi & Tommaso Proietti, 2011, "Characterizing economic trends by Bayesian stochastic model specification search," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-16, May.
• Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2011, "A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-23, May.
• Rasmus Tangsgaard Varneskov & Pierre Perron, 2011, "Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-26, Jun.
• Anders Bredahl Kock & Timo Teräsvirta, 2011, "Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-27, Aug.
• Anders Bredahl Kock & Timo Teräsvirta, 2011, "Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-28, Aug.
• Yushu Li, 2011, "Wavelet Based Outlier Correction for Power Controlled Turning Point Detection in Surveillance Systems," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-29, Jul.
• Christian Bach, 2011, "Conservatism in Corporate Valuation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-32, Sep.
• Adrian Pagan & Don Harding, 2011, "Econometric Analysis and Prediction of Recurrent Events," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-33, Sep.
• Lars Stentoft, 2011, "American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-34, Sep.
• Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011, "Financial Risk Measurement for Financial Risk Management," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-37, Nov.
• Luc Luc & Arnaud Dufays & Jeroen V.K. Rombouts, 2011, "Marginal Likelihood for Markov-switching and Change-point Garch Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-41, Nov.
• Tim Bollerslev & Daniela Osterrieder & Natalia Sizova & George Tauchen, 2011, "Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-51, Dec.
• Lars Stentoft, 2011, "What we can learn from pricing 139,879 Individual Stock Options," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-52, Dec.
• Olivier Coibion & Yuriy Gorodnichenko, 2011, "Monetary Policy, Trend Inflation, and the Great Moderation: An Alternative Interpretation," American Economic Review, American Economic Association, volume 101, issue 1, pages 341-370, February.
• Richard Crump & Gopi Shah Goda & Kevin J. Mumford, 2011, "Fertility and the Personal Exemption: Comment," American Economic Review, American Economic Association, volume 101, issue 4, pages 1616-1628, June.