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

• Liebermann, Joelle, 2011, "The Impact of Macroeconomic News on Bond Yields: (In)Stabilities over Time and Relative Importance," Research Technical Papers, Central Bank of Ireland, number 7/RT/11, Mar.
• Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011, "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/05, Jan.
• 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," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/12, Feb.
• Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2011, "Evaluating Individual and Mean Non-Replicable Forecasts," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/16, Apr.
• Shawkat Hammoudeh & Tengdong Liu & Chia-Lin Chang & Michael McAleer, 2011, "Risk Spillovers in Oil-Related CDS, Stock and Credit Markets," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/17, Apr.
• 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," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/22, May.
• Philip Hans Franses & Chia-Lin Chang & Michael McAleer, 2011, "Analyzing Fixed-event Forecast Revisions," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/25, Jun.
• 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," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/26, Jul.
• 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," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/28, Jul.
• Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011, "The Rise and Fall of S&P500 Variance Futures," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/32, Nov.
• Catherine ARAUJO BONJEAN & Catherine SIMONET, 2011, "Are grain markets in Niger driven by speculation?," Working Papers, CERDI, number 201128.
• Anna Creti & Pierre-André Jouvet & Valérie Mignon, 2011, "Carbon Price Drivers: Phase I versus Phase II Equilibrium?," Working Papers, Chaire Economie du climat, number 1106, Jun.
• Boris Solier & Pierre-André Jouvet, 2011, "An overview of CO2 cost pass-through to electricity prices in Europe," Working Papers, Chaire Economie du climat, number 1108, Jun.
• 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, Universidad del CEMA, volume 14, pages 269-296, November.
• Marek Jarocinski & Albert Marcet, 2011, "Autoregressions in Small Samples, Priors about Observables and Initial Conditions," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp1061, Jul.
• Michael Artis & Declan Curran & Marianne Sensier, 2011, "Investigating Agglomeration Economies in a Panel of European Cities and Regions," SERC Discussion Papers, Centre for Economic Performance, LSE, number 0078, Apr.
• Michael Artis & Marianne Sensier, 2011, "Tracking Unemployment in Wales through Recession and into Recovery," SERC Discussion Papers, Centre for Economic Performance, LSE, number 0079, Apr.
• Sherzod N. Tashpulatov, 2011, "Estimating the Volatility of Electricity Prices: The Case of the England and Wales Wholesale Electricity Market," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp439, May.
• Guglielmo Maria Caporale & Alessandro Girardi & Marco Ventura, 2011, "The Euro Changeover and Price Adjustments in Italy," CESifo Working Paper Series, CESifo, number 3386.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011, "Fractional Integration and Cointegration in US Financial Time Series Data," CESifo Working Paper Series, CESifo, number 3416.
• Klaus Abberger & Wolfgang Nierhaus, 2011, "Construction of Composite Business Cycle Indicators in a Sparse Data Environment," CESifo Working Paper Series, CESifo, number 3557.
• Marc Gronwald, 2011, "A Characterization of Oil Price Behavior - Evidence from Jump Models," CESifo Working Paper Series, CESifo, number 3644.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011, "Persistence and Cyclical Dependence in the Monthly Euribor Rate," CESifo Working Paper Series, CESifo, number 3653.
• Geoff Kenny & Thomas Kostka & Federico Masera, 2011, "How Informative are the Subjective Density Forecasts of Macroeconomists?," CESifo Working Paper Series, CESifo, number 3671.
• José Manuel Madeira Belbute, 2011, "Is the Euro-Area Core Price Index Really More Persistent than the Food and Energy Price Indexes?," CEFAGE-UE Working Papers, University of Evora, CEFAGE-UE (Portugal), number 2011_14.
• José Manuel Madeira Belbute, 2011, "Final energy demand in Portugal: How persistent it is and why it matters for environmental policy," CEFAGE-UE Working Papers, University of Evora, CEFAGE-UE (Portugal), number 2011_20.
• Pablo Pincheira, 2011, "A Bunch of Models, a Bunch of Nulls and Inference About Predictive Ability," Working Papers Central Bank of Chile, Central Bank of Chile, number 607, Jan.
• Anna Creti & Pierre-André Jouvet & Valérie Mignon, 2011, "Carbon Price Drivers: Phase I Versus Phase II Equilibrium?," Working Papers, CEPII research center, number 2011-09, Apr.
• Valérie Mignon, 2011, "Recent developments on commodity, energy and carbon markets: an introduction," International Economics, CEPII research center, issue 126-127, pages 5-12.
• Yannick Le Pen & Benoît Sévi, 2011, "Macro factors in oil futures returns," International Economics, CEPII research center, issue 126-127, pages 13-38.
• Anna Creti & Maria-Eugenia Sanin, 2011, "Price versus quantities in the coordination of international environmental policy," International Economics, CEPII research center, issue 126-127, pages 109-130.
• Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen Rombouts, 2011, "A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models," CIRANO Working Papers, CIRANO, number 2011s-13, Jan.
• Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf & Maral Kichian, 2011, "An Identification-Robust Test for Time-Varying Parameters in the Dynamics of Energy Prices," CIRANO Working Papers, CIRANO, number 2011s-22, Feb.
• Luc Bauwens & Arnaud Dufays & Jeroen Rombouts, 2011, "Marginal Likelihood for Markov-Switching and Change-Point Garch Models," CIRANO Working Papers, CIRANO, number 2011s-72, Nov.
• E. Otranto, 2011, "Classification of Volatility in Presence of Changes in Model Parameters," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 201113.
• Aitor Ciarreta & Mónica Lagullón & Ainhoa Zarraga, 2011, "Modelación de los precios en el mercado eléctrico espanol," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Semei Coronado Ramírez & Leonardo Gatica Arreola, 2011, "Identificación de episodios de dependencia no lineal en el peso mexicano," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Juan Manuel Julio Rom�n, 2011, "Modeling Data Revisions," Borradores de Economia, Banco de la Republica, number 7929, Feb.
• Juan Manuel Julio, 2011, "Data Revisions and the Output Gap," Borradores de Economia, Banco de la Republica, number 7956, Feb.
• Jacobo Campo Robledo & Luis Fernando Melo Velandia, 2011, "Sustainability of Latin American Fiscal Deficits: A Panel Data Approach," Borradores de Economia, Banco de la Republica, number 9106, Dec.
• Aaron Garavito & David Camilo L�pez & Enrique Montes Uribe, 2011, "Aproximaci�n a los �ndices de valor unitario y quantum del comercio exterior colombiano," Borradores de Economia, Banco de la Republica, number 9149, Nov.
• Juan José Echavarría & Norberto Rodr�guez & Luis Eduardo Rojas, 2011, "La Meta Del Banco Central Y La Persistencia De La Inflación En Colombia," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 29, issue 65, pages 198-222, DOI: 10.32468/Espe.6505.
• Juan José Echavarría & Enrique L�pez & Martha Misas, 2011, "La Persistencia Estadística De La Inflación En Colombia," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 29, issue 65, pages 224-266, DOI: 10.32468/Espe.6506.
• Thomas Goda & Photis Lysandrou & Chris Stewart, 2011, "The contribution of us bond demand to the us bond yield conundrum of 2004 to 2007: an empirical investigation," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 10719, Dec.
• Cecilia Maya Ochoa & Catalina Mar�a Jaramillo Ospina & Lina Mar�a Montoya Madrigal, 2011, "¿Existen ganancias por la cobertura de riesgo cambiario en un portafolio de acciones global, desde la perspectiva de un inversionista colombiano?," Estudios Gerenciales, Universidad Icesi.
• Jaime Montoya R., 2011, "La tasa de cambio nominal: una aproximación desde la oferta y la demanda de divisas," Perfil de Coyuntura Económica, Universidad de Antioquia, CIE.
• José Luis de la Cruz G. & Carlos Mar�n H., 2011, "El impacto de China sobre América Latina en el mercado de Estados Unidos, un análisis de causalidad," Perfil de Coyuntura Económica, Universidad de Antioquia, CIE, issue 18, pages 97-126.
• Elkin Castano Vélez & Santiago Alejandro Gallón Gómez & Karoll Gómez Portilla, 2011, "Sesgos en estimación, tamano y potencia de una prueba sobre el parámetro de memoria larga en modelos ARFIMA," Revista Lecturas de Economía, Universidad de Antioquia, CIE.
• Milena Hoyos & Mario Galindo, 2011, "Comparación de los modelos SETAR y STAR para el índice de empleo industrial colombiano," Documentos de Trabajo, Escuela de Economía, Universidad Nacional de Colombia, FCE, CID, number 8347, Apr.
• Madeleine Gil Ángel & Jacobo Campo Robledo, 2011, "Hipótesis de Fisher y cambio de régimen en Colombia: 1990-2010," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 3, issue 2, pages 27-40.
• BAUWENS, Luc & KOOP, Gary & KOROBILIS, Dimitris & ROMBOUTS, Jeroen V. K., 2011, "A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2011003, Jan.
• BOUEZMARNI, Taoufik & VAN BELLEGEM, Sébastien, 2011, "Nonparametric Beta kernel estimator for long memory time series," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2011004, Jan.
• BAUWENS, Luc & DUFAYS, Arnaud & ROMBOUTS, Jeroen V.K., 2011, "Marginal likelihood for Markov-switching and change-point GARCH models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2011013, Dec.
• KOROBILIS, Dimitris, 2011, "Hierarchical shrinkage priors for dynamic regressions with many predictors," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2011021, May.
• VAN BELLEGEM, Sébastien, 2011, "Locally stationary volatility modelling," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2011041, Oct.
• BAUWENS, Luc & DUFAYS, Arnaud & DE BACKER, Bruno, 2011, "Estimating and forecasting structural breaks in financial time series," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2011055, Nov.
• Timmermann, Allan & Patton, Andrew, 2011, "Forecast Rationality Tests Based on Multi-Horizon Bounds," CEPR Discussion Papers, Centre for Economic Policy Research, number 8194, Jan.
• Marcellino, Massimiliano, 2011, "Markov-switching MIDAS models," CEPR Discussion Papers, Centre for Economic Policy Research, number 8234, Feb.
• Patton, Andrew, 2011, "On the High-Frequency Dynamics of Hedge Fund Risk Exposures," CEPR Discussion Papers, Centre for Economic Policy Research, number 8479, Jul.
• Rossi, Barbara & Inoue, Atsushi, 2011, "Out-of-Sample Forecast Tests Robust to the Choice of Window Size," CEPR Discussion Papers, Centre for Economic Policy Research, number 8542, Aug.
• Rogoff, Kenneth & Rossi, Barbara & Ferraro, Domenico, 2011, "Can Oil Prices Forecast Exchange Rates?," CEPR Discussion Papers, Centre for Economic Policy Research, number 8635, Nov.
• Egger, Peter & Dorn, Sabrina, 2011, "On the Distribution of Exchange Rate Regime Treatment Effects on International Trade," CEPR Discussion Papers, Centre for Economic Policy Research, number 8654, Nov.
• Christian Schluter & Mark Trede, 2011, "Estimating Continuous-Time Income Models," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 1811, Jan.
• Frédérique BEC & Othman BOUABDALLAH & Laurent FERRARA, 2011, "The Possible Shapes of Recoveries in Markov-Switching Models," Working Papers, Center for Research in Economics and Statistics, number 2011-02.
• Alberto HOLLY & Alain MONFORT & Michael ROCKINGER, 2011, "Fourth Order Pseudo Maximum Likelihood Methods," Working Papers, Center for Research in Economics and Statistics, number 2011-05.
• Berenguer Rico, Vanessa & Gonzalo, Jesús, 2011, "Summability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we1115, Jun.
• Feunou, Bruno & Fontaine, Jean-Sébastien & Taamouti, Abderrahim & Tédongap, Roméo, 2011, "Risk premium, variance premium and the maturity structure of uncertainty," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we1144, Nov.
• Kapar, B. & Olmo, J., 2011, "The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk," Working Papers, Department of Economics, City St George's, University of London, number 11/02.
• Otsu, Taisuke & Whang, Yoon-Jae, 2011, "Testing For Nonnested Conditional Moment Restrictions Via Conditional Empirical Likelihood," Econometric Theory, Cambridge University Press, volume 27, issue 1, pages 114-153, February.
• 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.
• Kruse, Robinson, 2011, "On European monetary integration and the persistence of real effective exchange rates," Finance Research Letters, Elsevier, volume 8, issue 1, pages 45-50, March.
• Proietti, Tommaso, 2011, "Direct and iterated multistep AR methods for difference stationary processes," International Journal of Forecasting, Elsevier, volume 27, issue 2, pages 266-280, DOI: 10.1016/j.ijforecast.2010.05.014.
• Athanasopoulos, George & Hyndman, Rob J. & Song, Haiyan & Wu, Doris C., 2011, "The tourism forecasting competition," International Journal of Forecasting, Elsevier, volume 27, issue 3, pages 822-844, DOI: 10.1016/j.ijforecast.2010.04.009.
• Kim, Jae H. & Wong, Kevin & Athanasopoulos, George & Liu, Shen, 2011, "Beyond point forecasting: Evaluation of alternative prediction intervals for tourist arrivals," International Journal of Forecasting, Elsevier, volume 27, issue 3, pages 887-901, DOI: 10.1016/j.ijforecast.2010.02.014.
• Chang, Chia-Lin & Franses, Philip Hans & McAleer, Michael, 2011, "How accurate are government forecasts of economic fundamentals? The case of Taiwan," International Journal of Forecasting, Elsevier, volume 27, issue 4, pages 1066-1075, October.
• Proietti, Tommaso, 2011, "Direct and iterated multistep AR methods for difference stationary processes," International Journal of Forecasting, Elsevier, volume 27, issue 2, pages 266-280, April.
• Athanasopoulos, George & Hyndman, Rob J. & Song, Haiyan & Wu, Doris C., 2011, "The tourism forecasting competition," International Journal of Forecasting, Elsevier, volume 27, issue 3, pages 822-844, July.
• Kim, Jae H. & Wong, Kevin & Athanasopoulos, George & Liu, Shen, 2011, "Beyond point forecasting: Evaluation of alternative prediction intervals for tourist arrivals," International Journal of Forecasting, Elsevier, volume 27, issue 3, pages 887-901, July.
• Cho, Jaeho & Yoo, Byoung Hark, 2011, "The Korean stock market volatility during the currency crisis and the credit crisis," Japan and the World Economy, Elsevier, volume 23, issue 4, pages 246-252, DOI: 10.1016/j.japwor.2011.09.003.
• Chang, Tsangyao & Lee, Chia-Hao & Chou, Pei-I & Tang, Dai-Piao, 2011, "Revisiting long-run purchasing power parity with asymmetric adjustment for G-7 countries," Japan and the World Economy, Elsevier, volume 23, issue 4, pages 259-264, DOI: 10.1016/j.japwor.2011.09.001.
• Coudert, Virginie & Couharde, Cécile & Mignon, Valérie, 2011, "Exchange rate volatility across financial crises," Journal of Banking & Finance, Elsevier, volume 35, issue 11, pages 3010-3018, November.
• Harris, Richard D.F. & Stoja, Evarist & Yilmaz, Fatih, 2011, "A cyclical model of exchange rate volatility," Journal of Banking & Finance, Elsevier, volume 35, issue 11, pages 3055-3064, November.
• Cartea, Álvaro & Karyampas, Dimitrios, 2011, "Volatility and covariation of financial assets: A high-frequency analysis," Journal of Banking & Finance, Elsevier, volume 35, issue 12, pages 3319-3334, DOI: 10.1016/j.jbankfin.2011.05.012.
• Al-Anaswah, Nael & Wilfling, Bernd, 2011, "Identification of speculative bubbles using state-space models with Markov-switching," Journal of Banking & Finance, Elsevier, volume 35, issue 5, pages 1073-1086, May.
• Rangel, José Gonzalo, 2011, "Macroeconomic news, announcements, and stock market jump intensity dynamics," Journal of Banking & Finance, Elsevier, volume 35, issue 5, pages 1263-1276, May.
• Rombouts, Jeroen V.K. & Stentoft, Lars, 2011, "Multivariate option pricing with time varying volatility and correlations," Journal of Banking & Finance, Elsevier, volume 35, issue 9, pages 2267-2281, September.
• Guillotreau, Patrice & Jiménez-Toribio, Ramón, 2011, "The price effect of expanding fish auction markets," Journal of Economic Behavior & Organization, Elsevier, volume 79, issue 3, pages 211-225, August.
• Boguth, Oliver & Carlson, Murray & Fisher, Adlai & Simutin, Mikhail, 2011, "Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas," Journal of Financial Economics, Elsevier, volume 102, issue 2, pages 363-389, DOI: 10.1016/j.jfineco.2011.06.002.
• Ciaian, Pavel & Kancs, d'Artis, 2011, "Food, energy and environment: Is bioenergy the missing link?," Food Policy, Elsevier, volume 36, issue 5, pages 571-580, October.
• Belot, Michèle & James, Jonathan, 2011, "Healthy school meals and educational outcomes," Journal of Health Economics, Elsevier, volume 30, issue 3, pages 489-504, May.
• de Mello, Luiz & Moccero, Diego, 2011, "Monetary policy and macroeconomic stability in Latin America: The cases of Brazil, Chile, Colombia and Mexico," Journal of International Money and Finance, Elsevier, volume 30, issue 1, pages 229-245, February.
• Ahmad, Yamin & Craighead, William D., 2011, "Temporal aggregation and purchasing power parity persistence," Journal of International Money and Finance, Elsevier, volume 30, issue 5, pages 817-830, September.
• Nautz, Dieter & Scheithauer, Jan, 2011, "Monetary policy implementation and overnight rate persistence," Journal of International Money and Finance, Elsevier, volume 30, issue 7, pages 1375-1386, DOI: 10.1016/j.jimonfin.2011.07.005.
• Chan, Kenneth S. & Dang, Vinh Q.T. & Lai, Jennifer T. & Yan, Isabel K.M., 2011, "Regional capital mobility in China: 1978–2006," Journal of International Money and Finance, Elsevier, volume 30, issue 7, pages 1506-1515, DOI: 10.1016/j.jimonfin.2011.08.001.
• Russell, Bill, 2011, "Non-stationary inflation and panel estimates of United States short and long-run Phillips curves," Journal of Macroeconomics, Elsevier, volume 33, issue 3, pages 406-419, September.
• Aguiar-Conraria, LuI´s & Joana Soares, Maria, 2011, "Business cycle synchronization and the Euro: A wavelet analysis," Journal of Macroeconomics, Elsevier, volume 33, issue 3, pages 477-489, September.
• Demiralp, Berna & Gantt, Bonnie B. & Selover, David D., 2011, "Modeling unemployment as an inventory: A multicointegration approach," Journal of Macroeconomics, Elsevier, volume 33, issue 4, pages 724-737, DOI: 10.1016/j.jmacro.2011.06.005.
• Mishra, Ritesh Kumar & Sharma, Chandan, 2011, "India's demand for international reserve and monetary disequilibrium: Reserve adequacy under floating regime," Journal of Policy Modeling, Elsevier, volume 33, issue 6, pages 901-919, DOI: 10.1016/j.jpolmod.2011.03.005.
• Chang, Chia-Lin & Khamkaew, Thanchanok & McAleer, Michael & Tansuchat, Roengchai, 2011, "Modelling conditional correlations in the volatility of Asian rubber spot and futures returns," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 81, issue 7, pages 1482-1490, DOI: 10.1016/j.matcom.2010.07.004.
• Hwang, Tsorng-Chyi & Chen, Meng-Gu & Chang, Chia-Lin, 2011, "Price stabilization in the Taiwan hog and broiler industries: Evidence from a STAR approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 82, issue 2, pages 213-219, DOI: 10.1016/j.matcom.2011.03.007.
• Kollias, Christos & Manou, Efthalia & Papadamou, Stephanos & Stagiannis, Apostolos, 2011, "Stock markets and terrorist attacks: Comparative evidence from a large and a small capitalization market," European Journal of Political Economy, Elsevier, volume 27, issue S1, pages 64-77, DOI: 10.1016/j.ejpoleco.2011.05.002.
• Dimpfl, Thomas, 2011, "The impact of US news on the German stock market—An event study analysis," The Quarterly Review of Economics and Finance, Elsevier, volume 51, issue 4, pages 389-398, DOI: 10.1016/j.qref.2011.07.005.
• Andrés, Antonio R. & Halicioglu, Ferda & Yamamura, Eiji, 2011, "Socio-economic determinants of suicide in Japan," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, volume 40, issue 6, pages 723-731, DOI: 10.1016/j.socec.2011.08.002.
• Ghassen El Montasser, 2011, "The overall seasonal integration tests under non-stationary alternatives," Journal of Economics and Econometrics, Economics and Econometrics Society, volume 54, issue 1, pages 24-38.
• Ghassen El Montasser, 2011, "The overall seasonal integration tests under non-stationary alternatives: A methodological note," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2011_06, Apr.
• Giuseppe Piroli & Pavel Ciaian & d'Artis Kancs, 2011, "Land Use Change Impacts of Biofuels: Near-VAR Evidence from the US," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2011_11, Aug.
• Prasad S Bhattacharya & Dimitrios D Thomakos, 2011, "Improving Forecasting Performance by Window and Model Averaging," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2011-05, Mar.
• Emmanuel De Veirman & Ashley Dunstan, 2011, "Time-Varying Returns, Intertemporal Substitution and Cyclical Variation in Consumption," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2011-14, Jun.
• Guerrero de Lizardi, Carlos, 2011, "An EViews Program to Run a Monte Carlo Experiment: The Dickey-Fuller Distribution," EGAP Computer Code, Tecnológico de Monterrey, Campus Ciudad de México, number 2011-01, revised .
• Linda Margarita Medina Herrera & Ernesto Pacheco Velázquez, 2011, "Comparando distancias en los mercados financieros mundiales," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 6, issue 2, pages 88-98.
• Harun UCAK & Ibrahim ARISOY, 2011, "Turkiye Ekonomisinde Verimlilik, Ihracat ve Ithalat Arasindaki Nedensellik Iliskisinin Analizi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, volume 11, issue 4, pages 639-651.
• Jarocinski, Marek & Marcet, Albert, 2011, "Autoregressions in small samples, priors about observables and initial conditions," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 121711, Jul.
• Artis, Michael & Curran, Declan & Sensier, Marianne, 2011, "Investigating agglomeration economies in a panel of European cities and regions," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 58459, Apr.
• Artiach Escauriaza, Miguel Manuel & Arteche González, Jesús María, 2011, "Doubly fractional models for dynamic heteroskedastic cycles," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística), number 1134-8984, Feb.
• Boriss Siliverstovs & Sule Akkoyunlu, 2011, "Does the Law of One Price Hold in a High-Inflation Environment? A Tale of Two Cities in Turkey," EcoMod2011, EcoMod, number 3139, Jul.
• Reza Habibi, 2011, "A Simple Estimate of VAR under Garch Modelling," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 14, issue 2, pages 127-136, Winter.
• Fabio C. Bagliano & Claudio Morana, 2011, "The Effects of the US Economic and Financial Crises on Euro Area Convergence," Chapters, Edward Elgar Publishing, chapter 7, in: Wim Meeusen, "The Economic Crisis and European Integration".
• Jürgen Kromphardt & Camille Logeay, 2011, "Flattening of the Phillips Curve: Estimations and consequences for economic policy," European Journal of Economics and Economic Policies: Intervention, Edward Elgar Publishing, volume 8, issue 1, pages 43-67.
• Noriega, Antonio E. & Ramos-Francia, Manuel & Rodríguez-Pérez, Cid Alonso, 2011, "Demanda por dinero en México (1986-2010)," El Trimestre Económico, Fondo de Cultura Económica, volume 78, issue 312, pages 699-749, octubre-d, DOI: http://dx.doi.org/10.20430/ete.v78i.
• Bec Frederique & Othman Bouabdallah & Laurent Ferrara, 2011, "The possible shapes of recoveries in Markov-Switching models," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2011-02.
• Diep Duong & Norman R. Swanson, 2011, "Volatility in Discrete and Continuous-Time Models: A Survey with New Evidence on Large and Small Jumps," Advances in Econometrics, Emerald Group Publishing Limited, "Missing Data Methods: Time-Series Methods and Applications", DOI: 10.1108/S0731-9053(2011)000027B006.
• WanChun Luo & Rui Liu, 2011, "Analysis of meat price volatility in China," China Agricultural Economic Review, Emerald Group Publishing Limited, volume 3, issue 3, pages 402-411, September, DOI: 10.1108/17561371111165815.
• Beatriz Vaz de Melo Mendes & Cecília Aíube, 2011, "Copula based models for serial dependence," International Journal of Managerial Finance, Emerald Group Publishing Limited, volume 7, issue 1, pages 68-82, February, DOI: 10.1108/17439131111109008.
• Samih Azar, 2011, "Retesting the CCAPM Euler equations," International Journal of Managerial Finance, Emerald Group Publishing Limited, volume 7, issue 4, pages 324-346, September, DOI: 10.1108/17439131111166366.
• Chor Foon Tang, 2011, "An exploration of dynamic relationship between tourist arrivals, inflation, unemployment and crime rates in Malaysia," International Journal of Social Economics, Emerald Group Publishing Limited, volume 38, issue 1, pages 50-69, January, DOI: 10.1108/03068291111091963.
• Abbas Valadkhani & Majid Nameni, 2011, "How can Iran's black market exchange rate be managed?," Journal of Economic Studies, Emerald Group Publishing Limited, volume 38, issue 2, pages 186-202, May, DOI: 10.1108/01443581111128415.
• Seema Narayan & Paresh Kumar Narayan, 2011, "Are shocks to national income persistent? New global evidence," Journal of Economic Studies, Emerald Group Publishing Limited, volume 38, issue 2, pages 218-230, May, DOI: 10.1108/01443581111128433.
• Saeid Mahdavi, 2011, "A re‐examination of Wagner's Law using US total state and local expenditure and its sub‐categories," Journal of Economic Studies, Emerald Group Publishing Limited, volume 38, issue 4, pages 398-413, September, DOI: 10.1108/01443581111160860.
• Girijasankar Mallik & Ramprasad Bhar, 2011, "Has the link between inflation uncertainty and interest rates changed after inflation targeting?," Journal of Economic Studies, Emerald Group Publishing Limited, volume 38, issue 6, pages 620-636, November, DOI: 10.1108/01443581111177358.
• Yuqin Zhang & Abdol S. Soofi & Shouyang Wang, 2011, "Testing for nonlinearity of exchange rates: an information‐theoretic approach," Journal of Economic Studies, Emerald Group Publishing Limited, volume 38, issue 6, pages 637-657, November, DOI: 10.1108/01443581111177367.
• Reetu Verma & Ali Salman Saleh, 2011, "Saving and investment in Saudi Arabia: an empirical analysis," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 28, issue 2, pages 136-148, June, DOI: 10.1108/10867371111137139.
• Chan, F. & McAleer, M.J. & Medeiros, M.C., 2011, "Structure and Asymptotic theory for Nonlinear Models with GARCH Errors," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2010-79, Jan.
• McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2011, "International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2011-04, Jan.
• Asai, M. & McAleer, M.J. & Medeiros, M., 2011, "Modelling and Forecasting Noisy Realized Volatility," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2011-05, Jan.
• Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011, "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2011-11, Feb.
• Hammoudeh, S.M. & Liu, T. & Chang, C-L. & McAleer, M.J., 2011, "Risk Spillovers in Oil-Related CDS, Stock and Credit Markets," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2011-15, Apr.
• Franses, Ph.H.B.F. & Chang, C-L. & McAleer, M.J., 2011, "Analyzing Fixed-event Forecast Revisions," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2011-22, Jun.
• Chen, C.W.S. & Gerlach, R. & Hwang, B.B.K. & McAleer, M.J., 2011, "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2011-17, Jun.
• Santos, P.A. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011, "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2011-27, Jul.
• Chang, C-L. & McAleer, M.J. & Lim, C., 2011, "Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2011-28, Jul.
• Casarin, R. & Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011, "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2011-29, Jul.
• de Bruijn, L.P. & Franses, Ph.H.B.F., 2011, "Evaluating the Rationality of Managers' Sales Forecasts," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2011-36, Nov.
• Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011, "The Rise and Fall of S&P500 Variance Futures," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2011-37, Nov.
• Zeynel Abidin Ozdemir & Mehmet Balcilar & Aysit Tansel, 2011, "International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?," Working Papers, Eastern Mediterranean University, Department of Economics, number 15-28.
• Edgardo A. Ayala Gaytán & Joana C. Chapa Cantú & Juan D. Murguía Hernández, 2011, "Una reconsideración sobre la convergencia regional en México," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, volume 26, issue 2, pages 217-247.
• Víctor-Hugo Alcalá Ríos & Manuel Gómez Zaldívar & Daniel Ventosa-Santaulària, 2011, "Paradoja Feldstein-Horioka: el caso de México (1950-2007)," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, volume 26, issue 2, pages 293-313.
• Rabindra Nepal & Tooraj Jamasb, 2011, "Market Integration, Efficiency, and Interconnectors: The Irish Single Electricity Market," Working Papers, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge, number EPRG 1121, Jul.
• Ibrahim Tutar & Aysit Tansel, 2011, "An Analysis of Political and Institutional Power Dispersion: The Case of Turkey," Working Papers, Economic Research Forum, number 580, Jan, revised 05 Jan 2011.
• Atiq-ur-Rehman, 2011, "Impact of Model Specification Decisions on Unit Root Tests," International Econometric Review (IER), Economic Research Association, volume 3, issue 2, pages 22-33, September.
• Saang Joon Baak, 2011, "Measuring Misalignments in the Korean Exchange Rate (ROK Economic System Series No.19)," Discussion papers, ERINA - Economic Research Institute for Northeast Asia, number 1102e, Jul.
• Adam P. Balcerzak & Miroslawa Zurek, 2011, "Foreign Direct Investment and Unemployment: VAR Analysis for Poland in the Years 1995-2009," European Research Studies Journal, European Research Studies Journal, volume 0, issue 1, pages 3-14.
• Katrakilidis Constantinos & Trachanas Emmanouil, 2011, "Has the Accession of Greece in the EU Influenced the Dynamics of the Country’s “Twin Deficits”? An Empirical Investigation," European Research Studies Journal, European Research Studies Journal, volume 0, issue 1, pages 45-54.
• Athanasios Vazakidis & Antonios Adamopoulos, 2011, "Financial Development and Economic Growth: An Empirical Analysis for the UK," European Research Studies Journal, European Research Studies Journal, volume 0, issue 2, pages 135-148.
• Ravi P. Rannan-Eliya & Aparnaa Somanathan & Shiva Raj Adhikari & Eddy van Doorslaer & Owen O’ Donnell, 2011, "Who Pays for Health Care in Asia?," Working Papers, eSocialSciences, number id:3608, Feb.
• Elsadig Musa Ahmed, 2011, "Measuring the effects of labour productivity on ASEAN5 plus 3 economic growth," E3 Journal of Business Management and Economics., E3 Journals, volume 2, issue 2, pages 069-074.
• Ana Lilia Valderrama Santibáñez. & Omar Neme Castillo., 2011, "El efecto de la tecnología en las exportaciones manufactureras mexicanas hacia Estados Unidos," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, volume 34, issue 1, pages 65-99, Enero-Jun, DOI: 10.24275/ETYPUAM/NE/342011/Valderra.
• Tommaso Proietti & Helmut Luetkepohl, 2011, "Does the Box-Cox Transformation Help in Forecasting Macroeconomic Time Series?," Economics Working Papers, European University Institute, number ECO2011/29.
• Alfredo Marvão Pereira & José Manuel Belbute, 2011, "Final energy demand in Portugal: How persistent it is and why it matters for environmental policy," Economics Working Papers, University of Évora, Department of Economics (Portugal), number 2_2011.
• Marijana Ivanov & Marina Tkalec & Maruška Vizek, 2011, "The Determinants of Financial Euroization in a Post-Transition Country: Do Threshold Effects Matter?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 61, issue 3, pages 230-251, July.
• Eduard Baumöhl & Štefan Lyócsa & Tomáš Výrost, 2011, "Volatility Regimes in Macroeconomic Time Series: The Case of the Visegrad Group," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 61, issue 6, pages 530-544, December.
• Katerina Arnostova & David Havrlant & Luboš Rùžièka & Peter Tóth, 2011, "Short-Term Forecasting of Czech Quarterly GDP Using Monthly Indicators," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 61, issue 6, pages 566-583, December.
• Petra Posedel & Maruška Vizek, 2011, "Are House Prices Characterized by Threshold Effects? Evidence from Developed and Post-Transition Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 61, issue 6, pages 584-600, December.
• Jozef Barunik & Lukas Vacha & Ladislav Krištoufek, 2011, "Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2011/22, Jun, revised Jun 2011.
• Krenar Avdulaj, 2011, "The Extreme Value Theory as a Tool to Measure Market Risk," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2011/26, Jul, revised Jul 2011.
• Eric Heyer, 2011, "The effectiveness of economic policy and position in the cycle The case of tax reductions on overtime in France," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2011-09, Apr.
• Chunrong Ai & Meixia Meng, 2011, "A Locally Linear Estimation of Regression Discontinuity," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 6, issue 4, pages 495-506, December.
• Alessandro Cologni & Matteo Manera, 2011, "On the Economic Determinants of Oil Production. Theoretical Analysis and Empirical Evidence for Small Exporting Countries," Working Papers, Fondazione Eni Enrico Mattei, number 2011.54, Jul.
• João O. Soares, Joaquim P. Pina, Manuel S. Ribeiro, Margarida Catalão-Lopes, 2011, "Quantitative vs. Qualitative Criteria for Credit Risk Assessment," Frontiers in Finance and Economics, SKEMA Business School, volume 8, issue 1, pages 69-87, April.
• Beatriz Vaz de Melo Mendes, Silvia Regina Costa Lopes, 2011, "Dynamic Copulas and Long Range Dependence," Frontiers in Finance and Economics, SKEMA Business School, volume 8, issue 2, pages 89-111, October.
• Timothy Bianco & Ryan Eiben & Dieter Gramlich & Mikhail V. Oet & Stephen J. Ong & Jing Wang, 2011, "SAFE: An early warning system for systemic banking risk," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1129.
• Atsushi Inoue & Barbara Rossi, 2011, "Out-of-sample forecast tests robust to the choice of window size," Working Papers, Federal Reserve Bank of Philadelphia, number 11-31.
• Domenico Ferraro & Kenneth S. Rogoff & Barbara Rossi, 2011, "Can oil prices forecast exchange rates?," Working Papers, Federal Reserve Bank of Philadelphia, number 11-34.
• Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo, 2011, "Multiplicative Error Models," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2011_03, Feb, revised Apr 2011.
• Elena Sinelnikova,, 2011, "World experience of researches of demand for money and its application for Russia," Published Papers, Gaidar Institute for Economic Policy, number 136, revised 2013.
• Elena Sinelnikova,, 2011, "Assessment of Demand for Cash in Conditions of the Development of Electronic Payments," Published Papers, Gaidar Institute for Economic Policy, number 137, revised 2013.
• Elena Sinelnikova-Muryleva, 2011, "Innovations in the sphere of payments and the money demand in Russia," Research Paper Series, Gaidar Institute for Economic Policy, issue 157P.
• Mario Cerrato & Christian de Peretti & Rolf Larsson & Nicholas Sarantis, 2011, "A nonlinear panel unit root test under cross section dependence," Working Papers, Business School - Economics, University of Glasgow, number 2011_08, May.
• Fithra Faisal Hastiadi, 2011, "East Asian Regionalism: The Need For Asean+3 Fta," Journal of Global Business and Economics, Global Research Agency, volume 3, issue 1, pages 31-56, July.
• Adrian Wai-Kong Cheung & Jen-Je Su & Astrophel Kim Choo, 2011, "Are Euro exchange rates markets efficient? New evidence from a large panel," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201109, Sep.
• Abdulnasser Hatemi-J & Eduardo Roca, 2011, "Are Real Estate Markets Integrated with the World Market?," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201111, Nov.
• Andrew C. Worthington & Helen Higgs, 2011, "Macro drivers of Australian housing affordability, 1985â 2010: An autoregressive distributed lag approach," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201116.
• Helen Higgs & Andrew C. Worthington, 2011, "Price and income elasticity of Australian retail finance: An autoregressive distributed lag (ARDL) approach," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201117.