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

• Peter Fuleky & Eric Zivot, 2011, "Indirect Inference Based on the Score," Working Papers, University of Hawaii Economic Research Organization, University of Hawaii at Manoa, number 2011-12, Aug.
• Peter Fuleky, 2011, "On the Choice of the Unit Period in Time Series Models," Working Papers, University of Hawaii Economic Research Organization, University of Hawaii at Manoa, number 2011-4, Aug.
• Peter Fuleky & Eric Zivot, 2011, "Indirect Inference Based on the Score," Working Papers, University of Hawaii at Manoa, Department of Economics, number 201109, Apr.
• Peter Fuleky, 2011, "On the Choice of the Unit Period in Time Series Models," Working Papers, University of Hawaii at Manoa, Department of Economics, number 201111, Aug.
• Christophe Boucher & Bertrand Maillet, 2011, "Une analyse temps-fréquence des cycles financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00755499, DOI: 10.3917/reco.623.0441.
• Christophe Boucher & Bertrand Maillet, 2011, "Une analyse temps-fréquences des cycles financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00565229, Jan.
• Dominique Guegan & Justin Leroux, 2011, "Predicting chaos with Lyapunov exponents: zero plays no role in forecasting chaotic systems," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00644500.
• Peter Martey Addo & Monica Billio & Dominique Guegan, 2011, "A test for a new modelling : The Univariate MT-STAR Model," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00659158, Nov.
• Luis Alberiko Gil-Alana & Antonio Moreno & Seonghoon Cho, 2011, "The Deaton paradox in a long memory context with structural breaks," Post-Print, HAL, number hal-00711450, Jun, DOI: 10.1080/00036846.2011.572857.
• Claude Lopez & Chris J Murray & David H Papell, 2011, "Median-Unbiased Estimation in DF-GLS Regressions and the PPP Puzzle," Post-Print, HAL, number hal-00737928, Oct, DOI: 10.1080/00036846.2011.605761.
• Olivier Darné & Amélie Charles, 2011, "Large shocks in U.S. macroeconomic time series: 1860-1988," Post-Print, HAL, number hal-00771828, DOI: 10.1007/s11698-010-0052-1.
• Valentina Corradi & Norman R. Swanson, 2011, "Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models," Post-Print, HAL, number hal-00796745, Mar, DOI: 10.1016/j.jeconom.2010.12.009.
• Alberto Holly & Alain Monfort & Michael Rockinger, 2011, "Fourth order pseudo maximum likelihood methods," Post-Print, HAL, number hal-00815562, Apr, DOI: 10.1016/j.jeconom.2011.01.004.
• Uwe Hassler, 2011, "Estimation of fractional integration under temporal aggregation," Post-Print, HAL, number hal-00815563, Apr, DOI: 10.1016/j.jeconom.2011.01.003.
• Máximo Camacho & Gabriel Pérez Quirós & Hugo Rodríguez Mendizábal, 2011, "High-growth recoveries, inventories and the great moderation," Post-Print, HAL, number hal-00828978, Jun, DOI: 10.1016/j.jedc.2011.04.004.
• Cees Diks & Valentyn Panchenko & Dick van Dijk, 2011, "Likelihood-based scoring rules for comparing density forecasts in tails," Post-Print, HAL, number hal-00834423, Jun, DOI: 10.1016/j.jeconom.2011.04.001.
• Marc Hallin & Ramon van den Akker & Bas J.M. Werker, 2011, "A class of simple distribution-free rank-based unit root tests," Post-Print, HAL, number hal-00834424, Jun, DOI: 10.1016/j.jeconom.2011.03.007.
• Karim M. Abadir & Walter Distaso & Liudas Giraitis, 2011, "An I() model with trend and cycles," Post-Print, HAL, number hal-00834425, Jun, DOI: 10.1016/j.jeconom.2011.03.006.
• Maria Elvira Mancino & Simona Sanfelici, 2011, "Covariance Estimation and Dynamic Asset-Allocation under Microstructure Effects via Fourier Methodology," Palgrave Macmillan Books, Palgrave Macmillan, chapter 1, in: Greg N. Gregoriou & Razvan Pascalau, "Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures", DOI: 10.1057/9780230298101_1.
• Guido Ascari & Nicola Branzoli & Efrem Castelnuovo, 2011, "Trend Inflation, Wage Indexation, and Determinacy in the U.S," Quaderni di Dipartimento, University of Pavia, Department of Economics and Quantitative Methods, number 153, Oct.
• Juan Carlos Aquino & Gabriel Rodríguez, 2011, "Understanding The Functional Central Limit Theorems With Some Applications To Unit Root Testing With Structural Change," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2011-319.
• Firouz Fallahi & Gabriel Rodríguez, 2011, "Convergence In The Canadian Provinces: Evidence Using Unemployment Rates," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2011-322.
• Sarwat Razzaqi & Faiz Bilquees & Saadia Sherbaz, 2011, "Dynamic Relationship Between Energy and Economic Growth: Evidence from D8 Countries," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 50, issue 4, pages 437-458.
• Naeem Akram, 2011, "Impact of Public Debt on the Economic Growth of Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 50, issue 4, pages 599-615.
• Christian Calmès & Raymond Théoret, 2011, "Shadow banking and the dynamics of aggregate leverage: An application of the Kalman filter to cyclical leverage measures," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp022011, Jan.
• Dagher, Leila, 2011, "Natural Gas demand at the utility level: An application of dynamic elasticities," MPRA Paper, University Library of Munich, Germany, number 116126.
• Paradiso, Antonio & Rao, B. Bhaskara, 2011, "The effects of Minsky moment and stock prices on the US Taylor Rule," MPRA Paper, University Library of Munich, Germany, number 27840, Jan.
• Výrost, Tomáš & Baumöhl, Eduard & Lyócsa, Štefan, 2011, "On the relationship of persistence and number of breaks in volatility: new evidence for three CEE countries," MPRA Paper, University Library of Munich, Germany, number 27927, Jan.
• Tang, Chor Foon & Lai, Yew Wah, 2011, "The Stability of Export-led Growth Hypothesis: Evidence from Asia's Four Little Dragons," MPRA Paper, University Library of Munich, Germany, number 27962.
• Tan, Bee Wah & Tang, Chor Foon, 2011, "The dynamic relationship between private domestic investment, the user cost of capital, and economic growth in Malaysia," MPRA Paper, University Library of Munich, Germany, number 27964.
• Ahmed, Walid M.A., 2011, "Comovements and Causality of Sector Price Indices: Evidence from the Egyptian Stock Exchange," MPRA Paper, University Library of Munich, Germany, number 28127, Jan.
• Buss, Ginters, 2011, "Asymmetric Baxter-King filter," MPRA Paper, University Library of Munich, Germany, number 28176, Jan.
• Ardia, David & Lennart, Hoogerheide & Nienke, Corré, 2011, "Stock index returns’ density prediction using GARCH models: Frequentist or Bayesian estimation?," MPRA Paper, University Library of Munich, Germany, number 28259, Jan.
• Pötscher, Benedikt M., 2011, "On the Order of Magnitude of Sums of Negative Powers of Integrated Processes," MPRA Paper, University Library of Munich, Germany, number 28287, Jan.
• Paradiso, Antonio & Rao, B. Bhaskara & Margani, Patrizia, 2011, "Time Series Estimates of the Italian Consumer Confidence Indicator," MPRA Paper, University Library of Munich, Germany, number 28395, Jan.
• Islam, Faridul & Shahbaz, Muhammad & Shabbir, Muhammad, 2011, "Phillips curve in a small open economy: A time series exploration of North Cyprus," MPRA Paper, University Library of Munich, Germany, number 28397, Jan.
• Rao, B. Bhaskara & Paradiso, Antonio, 2011, "Estimates of the US Phillips curve with the general to specific method," MPRA Paper, University Library of Munich, Germany, number 28411, Jan.
• Magazzino, Cosimo, 2011, "Energy consumption and aggregate income in Italy: cointegration and causality analysis," MPRA Paper, University Library of Munich, Germany, number 28494.
• Bhattacharya, Kaushik, 2011, "Role of Rules of Thumb in Forecasting Foreign Tourist Arrival: A Case Study of India," MPRA Paper, University Library of Munich, Germany, number 28515, Jan.
• Shahbaz, Muhammad & Rahman, Mizanur, 2011, "Impact of economic growth and financial development on exports: Cointegration and causality analysis in Pakistan," MPRA Paper, University Library of Munich, Germany, number 28563, Feb.
• Francq, Christian & Roy, Roch & Saidi, Abdessamad, 2011, "Asymptotic properties of weighted least squares estimation in weak parma models," MPRA Paper, University Library of Munich, Germany, number 28721, Feb.
• Tiwari, Aviral & Shahbaz, Muhammad, 2011, "India's trade with USA and her trade balance: An empirical analysis," MPRA Paper, University Library of Munich, Germany, number 29023, Jan.
• Okada, Keisuke & Samreth, Sovannroeun, 2011, "A study on the socio-economic determinants of suicide: Evidence from 13 European OECD countries," MPRA Paper, University Library of Munich, Germany, number 29075, Feb.
• Haupert, Michael & Murray, James, 2011, "Regime Switching and Wages in Major League Baseball under the Reserve Clause," MPRA Paper, University Library of Munich, Germany, number 29094, Feb.
• Pitarakis, Jean-Yves, 2011, "Joint Detection of Structural Change and Nonstationarity in Autoregressions," MPRA Paper, University Library of Munich, Germany, number 29189, Feb.
• Tang, Chor Foon, 2011, "Temporal Granger causality and the dynamics examination on the tourism-growth nexus in Malaysia," MPRA Paper, University Library of Munich, Germany, number 29237, Mar.
• Melesse, Wondemhunegn Ezezew, 2011, "The Dynamics between Real Exchange Rate Movements and Trends in Trade Performance: The Case of Ethiopia," MPRA Paper, University Library of Munich, Germany, number 29316, Mar.
• Fakhri, Hasanov & Khudayar, Hasanli, 2011, "Why had the Money Market Approach been irrelevant in explaining inflation in Azerbaijan during the rapid economic growth period?," MPRA Paper, University Library of Munich, Germany, number 29559, Feb.
• Di Iorio, Francesca & Triacca, Umberto, 2011, "Testing for non-causality by using the Autoregressive Metric," MPRA Paper, University Library of Munich, Germany, number 29637.
• Lanne, Markku & Luoto, Jani, 2011, "Autoregression-Based Estimation of the New Keynesian Phillips Curve," MPRA Paper, University Library of Munich, Germany, number 29801, Mar.
• Bessonovs, Andrejs, 2011, "GDP Modelling with Factor Model: an Impact of Nested Data on Forecasting Accuracy," MPRA Paper, University Library of Munich, Germany, number 30211, Apr.
• Lanne, Markku & Nyberg, Henri & Saarinen, Erkka, 2011, "Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison," MPRA Paper, University Library of Munich, Germany, number 30254, Apr.
• Luati, Alessandra & Proietti, Tommaso & Reale, Marco, 2011, "The Variance Profile," MPRA Paper, University Library of Munich, Germany, number 30378, Apr.
• Korobilis, Dimitris, 2011, "Hierarchical shrinkage priors for dynamic regressions with many predictors," MPRA Paper, University Library of Munich, Germany, number 30380, Apr.
• Casadio, Paolo & Paradiso, Antonio & Rao, B. Bhaskara, 2011, "Estimates of the Steady State Growth Rates for Ireland," MPRA Paper, University Library of Munich, Germany, number 30595, Apr.
• Dinda, Soumyananda, 2011, "China’s Trade in Asia and the World: Long run Relation with Short run Dynamics," MPRA Paper, University Library of Munich, Germany, number 30664, Apr, revised 04 May 2011.
• Cellini, Roberto & Cuccia, Tiziana, 2011, "Are exchange rates really free from seasonality? An exploratory analysis on monthly time series," MPRA Paper, University Library of Munich, Germany, number 30888, May.
• Omay, Tolga & Takay Araz, Bahar & Ilalan, Deniz, 2011, "The effects of terrorist activities on foreign direct investment: nonlinear Evidence," MPRA Paper, University Library of Munich, Germany, number 31015, Apr.
• Peeters, Marga & Den Reijer, Ard, 2011, "On wage formation, wage flexibility and wage coordination : A focus on the wage impact of productivity in Germany, Greece, Ireland, Portugal, Spain and the United States," MPRA Paper, University Library of Munich, Germany, number 31102, Jun.
• Enders, Walter & Holt, Matthew T., 2011, "Breaks, bubbles, booms, and busts: the evolution of primary commodity price fundamentals," MPRA Paper, University Library of Munich, Germany, number 31461, Jun.
• Casadio, Paolo & Paradiso, Antonio & Rao, B. Bhaskara, 2011, "Estimates of the steady state growth rates for the Scandinavian countries: a knowledge economy approach," MPRA Paper, University Library of Munich, Germany, number 31606, May.
• Mohamed, Issam A.W., 2011, "Utilizing System Dynamics Models in Analyzing Macroeconomic Variables of Yemen," MPRA Paper, University Library of Munich, Germany, number 31692.
• Resende Filho, M A & Bressan, V G F & Braga, M J & Bressan, A A, 2011, "Sobre a Demanda Agregada por Carnes no Mercado Brasileiro
  [On the Demand for Meat in Brazil]," MPRA Paper, University Library of Munich, Germany, number 31818, Jun.
• Abdul Karim, Zulkefly & Zaidi, Mohd Azlan Shah & Ismail, Mohd Adib & Abdul Karim, Bakri, 2011, "Institutions and foreign direct investment (FDI) in Malaysia: empirical evidence using ARDL model," MPRA Paper, University Library of Munich, Germany, number 31899, Jun.
• ince, meltem, 2011, "Financial liberalization, financial development and economic growth: An empirical analysis for Turkey," MPRA Paper, University Library of Munich, Germany, number 31978, Apr, revised 05 May 2011.
• Athanasoglou, Panayiotis, 2011, "The role of product variety and quality and of domestic supply in foreign trade," MPRA Paper, University Library of Munich, Germany, number 32034, Apr.
• Kuikeu, Oscar, 2011, "Comment la dernière crise financière a relancé le débat relatif à l'arrimage du fcfa à l'euro
  [How the recent financial crisis have revived the debate on the parity between fcfa and euro]," MPRA Paper, University Library of Munich, Germany, number 32077, Jul.
• Tommaso, Proietti & Helmut, Luetkepohl, 2011, "Does the Box-Cox transformation help in forecasting macroeconomic time series?," MPRA Paper, University Library of Munich, Germany, number 32294, Jul.
• Mandler, Martin, 2011, "Threshold effects in the monetary policy reaction function of the Deutsche Bundesbank," MPRA Paper, University Library of Munich, Germany, number 32430, Jul.
• Paradiso, Antonio & Rao, B. Bhaskara, 2011, "Estimates of the demand for US consumer borrowings," MPRA Paper, University Library of Munich, Germany, number 32562, Jul.
• Halkos, George & Tzeremes, Nickolaos, 2011, "Economic growth and carbon dioxide emissions: Empirical evidence from China," MPRA Paper, University Library of Munich, Germany, number 32840.
• Halicioglu, Ferda & Karatas, Cevat, 2011, "A social discount rate for Turkey," MPRA Paper, University Library of Munich, Germany, number 32925.
• Escañuela Romana, Ignacio, 2011, "Evidencia empírica sobre la predictibilidad de los ciclos bursátiles: el comportamiento del índice Dow Jones Industrial Average en las crisis bursátiles de 1929, 1987 y 2997
  [Empirical evidence on the predictability of stock market cycles: the beh," MPRA Paper, University Library of Munich, Germany, number 33150, Sep.
• Josheski, Dushko & Koteski, Cane, 2011, "The causal relationship between patent growth and growth of GDP with quarterly data in the G7 countries: cointegration, ARDL and error correction models," MPRA Paper, University Library of Munich, Germany, number 33153, Sep.
• Tuomas, Malinen, 2011, "Inequality and savings: a reassesment of the relationship in cointegrated panels," MPRA Paper, University Library of Munich, Germany, number 33350, Aug.
• Bai, Jushan & Wang, Peng, 2011, "Conditional Markov chain and its application in economic time series analysis," MPRA Paper, University Library of Munich, Germany, number 33369, Aug.
• Wright, Allan S & Craigwell, Roland C & RamjeeSingh, Diaram, 2011, "Exchange rate determination in Jamaica: A market microstructures and macroeconomic fundamentals approach," MPRA Paper, University Library of Munich, Germany, number 33436.
• Muhammad, Anees & Ishfaq, Ahmed, 2011, "Industrial development, agricultural growth, urbanization and environmental Kuznets curve in Pakistan," MPRA Paper, University Library of Munich, Germany, number 33469, Sep.
• Kuikeu, Oscar, 2011, "Arguments contre la zone franc
  [Against the cfa franc zone]," MPRA Paper, University Library of Munich, Germany, number 33710, Sep.
• Chilarescu, Constantin & Viasu, Ioana Luciana, 2011, "A Semigroups Approach to the Study of a Second Order Partial Differential Equation Applied in Economics," MPRA Paper, University Library of Munich, Germany, number 33908, Oct.
• Tadesse, Tasew, 2011, "Foreign aid and economic growth in Ethiopia," MPRA Paper, University Library of Munich, Germany, number 33953, Jul, revised 20 Sep 2011.
• Mukherjee, Soumyatanu, 2011, "Roaring Food Prices in India," MPRA Paper, University Library of Munich, Germany, number 34009, Oct.
• Josheski, Dushko & Lazarov, Darko & Fotov, Risto & Koteski, Cane, 2011, "Causal relationship between wages and prices in UK: VECM analysis and Granger causality testing," MPRA Paper, University Library of Munich, Germany, number 34095, Oct.
• Julio Roman, Juan Manuel, 2011, "The Hodrick-Prescott filter with priors: linear restrictions on HP filters," MPRA Paper, University Library of Munich, Germany, number 34202, Oct.
• Taştan, Hüseyin, 2011, "Simulation based estimation of threshold moving average models with contemporaneous shock asymmetry," MPRA Paper, University Library of Munich, Germany, number 34302.
• Freddy, Liew, 2011, "Productivity-wage-growth nexus: an empirical study of Singapore," MPRA Paper, University Library of Munich, Germany, number 34459, Nov.
• Shepherd, Ben, 2011, "When are adaptive expectations rational? A generalization," MPRA Paper, University Library of Munich, Germany, number 34644, Oct.
• Paradiso, Antonio & Kumar, Saten & Rao, B. Bhaskara, 2011, "The growth effects of education in Australia," MPRA Paper, University Library of Munich, Germany, number 34791, Nov.
• Kuriyama, Akira, 2011, "A partial differential equation to express a business cycle :an implication for Japan's law interest policy," MPRA Paper, University Library of Munich, Germany, number 35166, Mar.
• Yan, Isabel K. & Chan, Kenneth S. & Dang, Vinh Q.T. & Lai, Jennifer T., 2011, "Regional Capital Mobility in China: 1978-2006," MPRA Paper, University Library of Munich, Germany, number 35217, Aug.
• Yan, Isabel K. & Chong, Terence & Lam, Tau-Hing, 2011, "Is the Chinese Stock Market Really Efficient," MPRA Paper, University Library of Munich, Germany, number 35219, Aug.
• Li, Kui-Wai & Wong, Douglas K T, 2011, "The Exchange Rate and Interest Rate Differential Relationship: Evidence from Two Financial Crises," MPRA Paper, University Library of Munich, Germany, number 35297, Dec.
• Horvath, Roman & Poldauf, Petr, 2011, "International stock market comovements: what happened during the financial crisis?," MPRA Paper, University Library of Munich, Germany, number 35317, Dec.
• Farzanegan, Mohammad Reza, 2011, "Military spending and economic growth: the case of Iran," MPRA Paper, University Library of Munich, Germany, number 35498, Dec.
• Lof, Matthijs, 2011, "GMM estimation with noncausal instruments under rational expectations," MPRA Paper, University Library of Munich, Germany, number 35536, Dec.
• Travaglini, Guido, 2011, "Climate change: where is the hockey stick? evidence from millennial-scale reconstructed and updated temperature time series," MPRA Paper, University Library of Munich, Germany, number 35565, Dec.
• Sahbaz, A, 2011, "Cari İşlem Açıklarının Sürdürülebilirliği: 2001-2011 Türkiye Örneği
  [Current Account Deficits Sustainability: 2001-2011 The Case Of Turkey]," MPRA Paper, University Library of Munich, Germany, number 36294, Oct.
• Guzman, Giselle C., 2011, "The case for higher frequency inflation expectations," MPRA Paper, University Library of Munich, Germany, number 36656, Jun.
• Wong, Shirly Siew-Ling & Puah, Chin-Hong & Shazali, Abu Mansor, 2011, "Survey Evidence on the Rationality of Business Expectations: Implications from the Malaysian Agricultural Sector," MPRA Paper, University Library of Munich, Germany, number 36661, Dec.
• Puah, Chin-Hong & Chong, Lucy Lee-Yun & Jais, Mohamad, 2011, "Testing the Rational Expectations Hypothesis on the Retail Trade Sector Using Survey Data from Malaysia," MPRA Paper, University Library of Munich, Germany, number 36699, Oct.
• Escobari, Diego, 2011, "Testing for Stochastic and Beta-convergence in Latin American Countries," MPRA Paper, University Library of Munich, Germany, number 36741, May.
• Abu Mansor, Shazali & Abdul Karim, Bakri, 2011, "Subsidy and export: Malaysian case," MPRA Paper, University Library of Munich, Germany, number 37025, Dec.
• Sasikumar, Anoop, 2011, "Testing for weak form market efficiency in Indian foreign exchange market," MPRA Paper, University Library of Munich, Germany, number 37071, May.
• Aruga, Kentaka, 2011, "非遺伝子組換え大豆とエネルギーの価格関係について
  [Relationships among the Non-Genetically Modified Soybean and Energy Prices]," MPRA Paper, University Library of Munich, Germany, number 38186, Jun, revised 20 Aug 2011.
• Rossi, Francesco, 2011, "Risk components in UK cross-sectional equities: evidence of regimes and overstated parametric estimates," MPRA Paper, University Library of Munich, Germany, number 38682, Nov, revised 31 Mar 2012.
• Bartolucci, Francesco, 2011, "An alternative to the Baum-Welch recursions for hidden Markov models," MPRA Paper, University Library of Munich, Germany, number 38778, Dec.
• Kasai, Ndahiriwe & Naraidoo, Ruthira, 2011, "Evaluating the forecasting performance of linear and nonlinear monetary policy rules for South Africa," MPRA Paper, University Library of Munich, Germany, number 40699, Jun.
• Wada, Tatsuma, 2011, "On the Correlations of Trend-Cycle Errors," MPRA Paper, University Library of Munich, Germany, number 41754, Dec.
• Halicioglu, Ferda, 2011, "The Demand for Calories in Turkey," MPRA Paper, University Library of Munich, Germany, number 41807.
• Hussain, Anwar Hussain & Farid, Asif Farid & Hussain, Shah Hussain & Iqbal, Sajid Iqbal, 2011, "The Future of Budgetary Allocation to Sports Sector in Pakistan: Evidences from Autoregressive Integrated Moving Average Model," MPRA Paper, University Library of Munich, Germany, number 41979, revised 2011.
• Andreas, Brunhart, 2011, "Stock market’s reactions to revelation of tax evasion: an empirical assessment," MPRA Paper, University Library of Munich, Germany, number 42047, Oct, revised Sep 2012.
• Lúcio Godeiro, Lucas, 2011, "Impact of calendar effects in the volatility of vale shares," MPRA Paper, University Library of Munich, Germany, number 45993, Nov.
• Jiranyakul, Komain, 2011, "The Link between Output Growth and Output Volatility in Five Crisis-Affected Asian Countries," MPRA Paper, University Library of Munich, Germany, number 46068.
• Douch, Mohamed & Essaddam, Naceur, 2011, "Short and Long-Term Effects of September 11 on Stock Returns: Evidence from U.S. Defense Firms," MPRA Paper, University Library of Munich, Germany, number 46529, Jan, revised Mar 2013.
• Fantazzini, Dean & Geraskin, Petr, 2011, "Everything You Always Wanted to Know about Log Periodic Power Laws for Bubble Modelling but Were Afraid to Ask," MPRA Paper, University Library of Munich, Germany, number 47869, Feb.
• Ciuiu, Daniel, 2011, "Bayes multivariate signification tests and Granger causality," MPRA Paper, University Library of Munich, Germany, number 48945, Sep, revised 01 Oct 2011.
• Dergiades, Theologos & Martinopoulos, Georgios & Tsoulfidis, Lefteris, 2011, "Energy Consumption and Economic Growth: Parametric and Non-Parametric Causality Testing for the Case of Greece," MPRA Paper, University Library of Munich, Germany, number 51120, Nov, revised 12 Nov 2011.
• Dergiades, Theologos, 2011, "Do Investors' Sentiment Dynamics affect Stock Returns? Evidence from the US Economy," MPRA Paper, University Library of Munich, Germany, number 51128, Nov, revised 15 Nov 2011.
• Fallahi, Firouz, 2011, "Convergence of Total Health Expenditure as a Share of GDP: Evidence from Selected OECD Countries," MPRA Paper, University Library of Munich, Germany, number 51324.
• Tsoulfidis, Lefteris & Tsaliki, Persefoni, 2011, "Classical competition and regulating capital: theory and empirical evidence," MPRA Paper, University Library of Munich, Germany, number 51334, revised 2013.
• Bilgili, Faik, 2011, "City price convergence in Turkey with structural breaks," MPRA Paper, University Library of Munich, Germany, number 54295, Oct.
• Ghassan, Hassan B., 2011, "Public and Private Investment in Saudi Economy: Evidence from Weak Exogeneity and Bound Cointegration Tests," MPRA Paper, University Library of Munich, Germany, number 56537, Feb.
• Le Quang, Canh, 2011, "Electricity consumption and economic growth in Vietnam: A cointegration and causality analysis," MPRA Paper, University Library of Munich, Germany, number 81052, revised 2011.
• Rangan Gupta & Mampho P. Modise, 2011, "Macroeconomic Variables and South African Stock Return Predictability," Working Papers, University of Pretoria, Department of Economics, number 201107, Mar.
• Rangan Gupta & Mampho P. Modise & Josine Uwilingiye, 2011, "Out-of-Sample Equity Premium Predictability in South Africa: Evidence from a Large Number of Predictors," Working Papers, University of Pretoria, Department of Economics, number 201122, Oct.
• Riane de Bruyn & Rangan Gupta & Lardo stander, 2011, "Testing the Monetary Model for Exchange Rate Determination in South Africa: Evidence from 101 Years of Data," Working Papers, University of Pretoria, Department of Economics, number 201134, Dec.
• Rangan Gupta & Yuxiang Ye & Christopher Sako, 2011, "Financial Variables and the Out-of-Sample Forecastability of the Growth Rate of Indian Industrial Production," Working Papers, University of Pretoria, Department of Economics, number 201135, Dec.
• Goodness C. Aye & Mehmet Balcilar & Rangan Gupta, 2011, "Long- and Short-Run Relationships between House and Stock Prices in South Africa: A Nonparametric Approach," Working Papers, University of Pretoria, Department of Economics, number 201136, Dec.
• David Havrlant & Roman Hušek, 2011, "Models of Factors Driving the Czech Export," Prague Economic Papers, Prague University of Economics and Business, volume 2011, issue 3, pages 195-215, DOI: 10.18267/j.pep.396.
• Jiří Trešl, 2011, "Srovnání vybraných metod predikce změn trendu indexu PX
  [Selected Methods of the Prediction of PX Index Trend Reversal]," Politická ekonomie, Prague University of Economics and Business, volume 2011, issue 2, pages 184-204, DOI: 10.18267/j.polek.780.
• Miroslav Plašil, 2011, "Potenciální produkt, mezera výstupu a míra nejistoty spojená s jejich určením při použití Hodrick-Prescottova filtru
  [Potential Product, Output Gap and Uncertainty Rate Associated with Their Determination while Using the Hodrick-Prescott Filter]," Politická ekonomie, Prague University of Economics and Business, volume 2011, issue 4, pages 490-507, DOI: 10.18267/j.polek.801.
• Łukasz Kwiatkowski, 2011, "Bayesian Analysis of a Regime Switching In-Mean Effect for the Polish Stock Market," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 3, issue 4, pages 187-219, December.
• Luis F. Martins, 2011, "Moment conditions model averaging with an application to a forward-looking monetary policy reaction function," Working Papers, Banco de Portugal, Economics and Research Department, number w201116.
• Paulo M.M. Rodrigues & Tomás del Barrio Castro, 2011, "The Impact of Persistent Cycles on Zero Frequency Unit Root Tests," Working Papers, Banco de Portugal, Economics and Research Department, number w201124.
• Paulo M.M. Rodrigues & Antonio Rubia, 2011, "A Class of Robust Tests in Augmented Predictive Regressions," Working Papers, Banco de Portugal, Economics and Research Department, number w201126.
• Paulo M.M. Rodrigues & Nazarii Salish, 2011, "Modeling and Forecasting Interval Time Series with Threshold Models: An Application to S&P500 Index Returns," Working Papers, Banco de Portugal, Economics and Research Department, number w201128.
• Morten Ø. Nielsen, 2011, "Asymptotics For The Conditional-sum-of-squares Estimator In Multivariate Fractional Time Series Models," Working Paper, Economics Department, Queen's University, number 1259, Jan.
• George Kapetanios & Fotis Papailias, 2011, "Block Bootstrap and Long Memory," Working Papers, Queen Mary University of London, School of Economics and Finance, number 679, Jun.
• Alexey Balaev, 2011, "Modeling multivariate parametric densities of financial returns (in Russian)," Quantile, Quantile, issue 9, pages 39-60, July.
• Domingo Rodriguez Benavides & Francisco Venegas-Martinez & Instituto Politecnico Nacional, 2011, "Efectos de las exportaciones en el crecimiento economico de Mexico: Un analisis de cointegracion, 1929-2009," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., volume 7, issue 2, pages 55-71, Enero-Jun.
• Adrian Pagan & Don Harding, 2011, "Econometric Analysis and Prediction of Recurrent Events," NCER Working Paper Series, National Centre for Econometric Research, number 75, Oct.
• Adam E Clements & Annastiina Silvennoinen, 2011, "Volatility timing and portfolio selection: How best to forecast volatility," NCER Working Paper Series, National Centre for Econometric Research, number 76, Oct.
• Armas, Adrián & Vallejos , Lucy & Vega, Marco, 2011, "Indicadores tendenciales de inflación y su relevancia como variables indicativas de política monetaria," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 20, pages 27-56.
• Morales Vásquez, Daniel, 2011, "Presiones cambiarias en el Perú: Un enfoque no lineal," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 20, pages 57-71.
• Carrera, César, 2011, "El canal del crédito bancario en el Perú: Evidencia y mecanismo de transmisión," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 22, pages 63-82.
• Vladimir Zdorovenin & Jacques Pézier, 2011, "Does Information Content of Option Prices Add Value for Asset Allocation?," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2011-03, Jan.
• Muhammad Zakaria & Ahmed Bilal Ghauri, 2011, "Trade Openness and Real Exchange Rate: Some Evidence from Pakistan," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 14, issue 39, pages 201-229, March.
• Chaido Dritsaki, 2011, "The Random Walk Hypothesis and Correlation in the Visegrad Countries Emerging Stock Markets," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 14, issue 40, pages 25-56, June.
• Sasa Zikovic, 2011, "Measuring risk of crude oil at extreme quantiles," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, volume 29, issue 1, pages 9-31.
• Dimitris Korobilis, 2011, "Hierarchical Shrinkage Priors for Dynamic Regressions with Many Predictors," Working Paper series, Rimini Centre for Economic Analysis, number 21_11, Apr.
• Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen V.K. Rombouts, 2011, "The Contribution of Structural Break Models to Forecasting Macroeconomic Series," Working Paper series, Rimini Centre for Economic Analysis, number 38_11, Jul.
• Atanu Ghoshray, 2011, "Underlying Trends and International Price Transmission of Agricultural Commodities," ADB Economics Working Paper Series, Asian Development Bank, number 257, May.
• Andrew Hughes Hallett & Christian Richter, 2011, "Trans-Pacific Economic Relations and US-China Business Cycles: Convergence within Asia versus US Economic Leadership," ADBI Working Papers, Asian Development Bank Institute, number 292, Jun.
• Sebastian Fossati, 2011, "Dating U.S. Business Cycles with Macro Factors," Working Papers, University of Alberta, Department of Economics, number 2011-05, May.
• Sebastian Fossati, 2011, "Unit Root Testing with Stationary Covariates and a Structural Break in the Trend Function," Working Papers, University of Alberta, Department of Economics, number 2011-10, May.
• Boris Poutko, 2011, "Determination of the nature of growth of the main trends of time series in small quantity of observations," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 22, issue 2, pages 93-97.
• Cengiz Toraman & Cagatay Basarir & Mehmet Fatih Bayramoglu, 2011, "Determination of Factors Affecting the Price of Gold: A Study of MGARCH Model," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 2, issue 4, pages 1-37.
• Young Wook Han, 2011, "Structural Breaks and Long Memory Property in Korean Won Exchange Rates: Adaptive FIGARCH Model," East Asian Economic Review, Korea Institute for International Economic Policy, volume 15, issue 2, pages 33-59, DOI: 10.11644/KIEP.JEAI.2011.15.2.229.
• A. Mansur M. Masih & Lurion De Mello, 2011, "Does the ‘Environmental Kuznets Curve’ Exist? An Application of Long-run Structural Modelling to Saudi Arabia - La Curva di Kuznets esiste? Un’applicazione LRSM al caso dell’Arabia Saudita," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 64, issue 2, pages 211-235.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011, "Multi-Factor Gegenbauer Processes and European Inflation Rates," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 26, pages 386-409.
• G.A. Karathanassis & V.I. Sogiakas, 2011, "The EMU Integration Structure and the Spillover Dynamics Towards the IAS Harmonization," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 26, pages 433-462.
• Pierre Clauss, 2011, "Hedge Funds Performance Ratios Adjusted to Market Liquidity Risk," Journal of Financial Transformation, Capco Institute, volume 31, pages 133-139.
• Mario Gómez Aguirre, 2011, "Dynamic Capabilities and Competitive Advantage into Mexican Firms: Testing Gibrat’s Law," Revista Nicolaita de Estudios Económicos, Universidad Michoacana de San Nicolás de Hidalgo, Instituto de Investigaciones Económicas y Empresariales, volume 0, issue 2, pages 35-56.
• Su, Chi Wei & Chang, Hsu Ling & Zhu, Meng Nan, 2011, "A Non-Linear Model of Causality Between the Stock and Real Estate Markets of European Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 41-53, March.
• Chang, Tsangyao & Chiu, Chi Chen & Tzeng, Han Wen, 2011, "Revisiting Purchasing Power Parity for Nine Transition Countries Using the Rank Test for Nonlinear Cointegration," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 19-30, June.
• Acatrinei, Marius Cristian & Caraiani, Petre, 2011, "Modeling and Forecasting the Dynamics in Romanian Stock Market Indices Using Threshold Models," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 42-54, June.
• Yang-Cheng Lu & Chang, Tsangyao & Chin-Ping Yu, 2011, "Long-Run Purchasing Power Parity with Asymmetric Adjustment: Evidence from Mainland China and Taiwan," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 59-70, September.
• Saman, Corina, 2011, "Scenarios of the Romanian GDP Evolution With Neural Models," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 129-140, December.
• Chang, Tsangyao & Lee, Chia-Hao, 2011, "Hysteresis in Unemployment for G-7 Countries: Threshold Unit Root Test," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 5-14, December.
• Saman, Corina, 2011, "Aplicatii ale metodei regresiei ortogonale in conomie," Working Papers of Macroeconomic Modelling Seminar, Institute for Economic Forecasting, number 112402, Oct.
• M. Fr Mmel & R. Kruse, 2011, "Testing for a rational bubble under long memory," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 11/722, May.
• Norman R. Swanson & Nii Ayi Armah, 2011, "Predictive Inference Under Model Misspecification with an Application to Assessing the Marginal Predictive Content of Money for Output," Departmental Working Papers, Rutgers University, Department of Economics, number 201103, May.
• Norman R. Swanson & Nii Ayi Armah, 2011, "Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Largescale Macroeconomic Time Series Environments," Departmental Working Papers, Rutgers University, Department of Economics, number 201105, May.
• Norman R. Swanson & Valentina Corradi & Walter Distaso, 2011, "Predictive Inference for Integrated Volatility," Departmental Working Papers, Rutgers University, Department of Economics, number 201108, May.
• Norman R. Swanson & Valentina Corradi & Walter Distaso, 2011, "Predictive Inference for Integrated Volatility," Departmental Working Papers, Rutgers University, Department of Economics, number 201109, May.
• Norman R. Swanson & Valentina Corradi, 2011, "Predictive Density Construction and Accuracy Testing with Multiple Possibly Misspecified Diffusion Models," Departmental Working Papers, Rutgers University, Department of Economics, number 201112, May.
• Norman R. Swanson & Nii Ayi Armah, 2011, "Some Variables are More Worthy Than Others: New Diffusion Index Evidence on the Monitoring of Key Economic Indicators," Departmental Working Papers, Rutgers University, Department of Economics, number 201115, May.
• Diep Duong & Norman R. Swanson, 2011, "Empirical Evidence on Jumps and Large Fluctuations in Individual Stocks," Departmental Working Papers, Rutgers University, Department of Economics, number 201116, May.
• Diep Duong & Norman R. Swanson, 2011, "Volatility in Discrete and Continuous Time Models: A Survey with New Evidence on Large and Small Jumps," Departmental Working Papers, Rutgers University, Department of Economics, number 201117, May.
• Willem H. Boshoff, 2011, "Gasoline, diesel fuel and jet fuel demand in South Africa," ERSA Working Paper Series, Economic Research Southern Africa, number 226, Jun.
• Niek J. Schoeman & Ruthira Naraidoo & Samuel S. Jibao, 2011, "Fiscal regime changes and the sustainability of fiscal imbalance in South Africa; a smooth transition error-correction approach," ERSA Working Paper Series, Economic Research Southern Africa, number 228, Jul.
• Jacek Leskow & Justyna Mokrzycka & Krzysztof Krawiec, 2011, "Modeling Stock Market Indexes With Copula Functions," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, volume 7, issue 2, pages 1-16, August.
• Anjana Mehra & Gian Kaur, 2011, "Determinants of Exports of Textile Industry in Punjab," Foreign Trade Review, , volume 46, issue 1, pages 46-57, April, DOI: 10.1177/0015732515110103.
• Firouz Fallahi & Gabriel Rodríguez, 2011, "Persistence of Unemployment in the Canadian Provinces," International Regional Science Review, , volume 34, issue 4, pages 438-458, October, DOI: 10.1177/0160017610383280.
• Chia-Lin Chang & Thanchanok Khamkaew & Roengchai Tansuchat & Michael McAleer, 2011, "Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations," Tourism Economics, , volume 17, issue 3, pages 481-507, June, DOI: 10.5367/te.2011.0046.
• Boriss Siliverstovs, 2011, "The Real-Time Predictive Content of the KOF Economic Barometer," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 147, issue 3, pages 353-375, September.
• López Herrera, Francisco & Ortiz Calisto, Edgar & Gutiérrez, Raúl De Jesús, 2011, "Integración fraccionaria y valor en riesgo / Fractional Integration and Value at Risk," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 1, issue 1, pages 29-53, enero-jun.
• Young Hoon Lee & Rodney Fort, 2011, "Competitive Balance:Time Series Lessons from the English Premier League," Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy), number 1102, Jun, revised Jun 2011.
• Seongman Moon & Carlos Velasco, 2011, "On the Properties of Regression Tests of Asset Return Predictability," Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy), number 1111, Aug.
• Juan Carlos Cuestas & Bruce Philp, 2011, "Economic class and the distribution of income: A time-series analysis of the UK economy, 1955-2010," Working Papers, The University of Sheffield, Department of Economics, number 2011012, Apr, revised Apr 2011.
• Yu-chin Chen & Wen-Jen Tsay, 2011, "Forecasting Commodity Prices with Mixed-Frequency Data: An OLS-Based Generalized ADL Approach," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 11-A001, Mar, revised May 2011.
• Shu-Ping Shi & Peter C.B. Phillips & Jun Yu, 2011, "Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles," Working Papers, Singapore Management University, School of Economics, number 08-2011, Aug.
• Peter C.B. Phillips & Shu-Ping Shi & Jun Yu, 2011, "Testing for Multiple Bubbles," Working Papers, Singapore Management University, School of Economics, number 09-2011, Aug.