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

• Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen Rombouts, 2011, "A comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models," Working Papers, University of Strathclyde Business School, Department of Economics, number 1113, Apr.
• Deborah Gefang & Gary Koop & Simon Potter, 2011, "Understanding Liquidity and Credit Risks in the Financial Crisis," Working Papers, University of Strathclyde Business School, Department of Economics, number 1114, Apr.
• Zafer Dilaver & Lester C Hunt, 2011, "Turkish Aggregate Electricity Demand: An Outlook to 2020," Surrey Energy Economics Centre (SEEC), School of Economics Discussion Papers (SEEDS), Surrey Energy Economics Centre (SEEC), School of Economics, University of Surrey, number 132, May.
• Lütkepohl, Helmut & Proietti, Tommaso, 2011, "Does the Box-Cox transformation help in forecasting macroeconomic time series?," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 08/2011, Oct.
• Proietti, Tommaso, 2011, "The Multistep Beveridge-Nelson Decomposition," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number 09/2011, Oct.
• Eo, Yunjong & Morley, James, 2011, "Likelihood-Ratio-Based Confidence Sets for the Timing of Structural Breaks," Working Papers, University of Sydney, School of Economics, number 2011-07, Aug, revised Feb 2014.
• Paul Alagidede & Theodore Panagiotidis & Xu Zhang, 2011, "Why a diversified portfolio should include African assets," Applied Economics Letters, Taylor & Francis Journals, volume 18, issue 14, pages 1333-1340, DOI: 10.1080/13504851.2010.537617.
• Jurgen Holl & Robert Kunst, 2011, "Unit root in unemployment - new evidence from nonparametric tests," Applied Economics Letters, Taylor & Francis Journals, volume 18, issue 6, pages 509-512, DOI: 10.1080/13504851003725934.
• Nii Ayi Armah & Norman Swanson, 2011, "Some variables are more worthy than others: new diffusion index evidence on the monitoring of key economic indicators," Applied Financial Economics, Taylor & Francis Journals, volume 21, issue 1-2, pages 43-60, DOI: 10.1080/09603107.2011.523188.
• Timo Terasvirta & Zhenfang Zhao, 2011, "Stylized facts of return series, robust estimates and three popular models of volatility," Applied Financial Economics, Taylor & Francis Journals, volume 21, issue 1-2, pages 67-94, DOI: 10.1080/09603107.2011.523195.
• Guglielmo Maria Caporale & Luis Gil-Alana, 2011, "The weekly structure of US stock prices," Applied Financial Economics, Taylor & Francis Journals, volume 21, issue 23, pages 1757-1764, DOI: 10.1080/09603107.2011.562168.
• Jean-Philippe Gervais, 2011, "Disentangling nonlinearities in the long- and short-run price relationships: an application to the US hog/pork supply chain," Applied Economics, Taylor & Francis Journals, volume 43, issue 12, pages 1497-1510, DOI: 10.1080/00036840802600558.
• Alfred Haug & Syed Basher, 2011, "Linear or nonlinear cointegration in the purchasing power parity relationship?," Applied Economics, Taylor & Francis Journals, volume 43, issue 2, pages 185-196, DOI: 10.1080/00036840802403656.
• Fuchun Li & Greg Tkacz, 2011, "A Consistent Test for Multivariate Conditional Distributions," Econometric Reviews, Taylor & Francis Journals, volume 30, issue 3, pages 251-273, DOI: 10.1080/07474938.2011.553518.
• Nikolay Gospodinov & Ye Tao, 2011, "Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors," Econometric Reviews, Taylor & Francis Journals, volume 30, issue 4, pages 379-405, August, DOI: 10.1080/07474938.2011.553538.
• Chia-Lin Chang & Michael McAleer & Les Oxley, 2011, "Great Expectatrics: Great Papers, Great Journals, Great Econometrics," Econometric Reviews, Taylor & Francis Journals, volume 30, issue 6, pages 583-619, DOI: 10.1080/07474938.2011.586614.
• Shu-Ling Chen & Hyeongwoo Kim, 2011, "Nonlinear Mean Reversion across National Stock Markets: Evidence from Emerging Asian Markets," International Economic Journal, Taylor & Francis Journals, volume 25, issue 2, pages 239-250, DOI: 10.1080/10168737.2011.580569.
• Don Harding & Adrian Pagan, 2011, "An Econometric Analysis of Some Models for Constructed Binary Time Series," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 29, issue 1, pages 86-95, January, DOI: 10.1198/jbes.2009.08005.
• Viktor Todorov & George Tauchen, 2011, "Volatility Jumps," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 29, issue 3, pages 356-371, July, DOI: 10.1198/jbes.2010.08342.
• Drew Creal & Siem Jan Koopman & André Lucas, 2011, "A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 29, issue 4, pages 552-563, October, DOI: 10.1198/jbes.2011.10070.
• Andrew J. Patton & Allan Timmermann, 2011, "Forecast Rationality Tests Based on Multi-Horizon Bounds," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 1, pages 1-17, June, DOI: 10.1080/07350015.2012.634337.
• José Gonzalo Rangel & Robert F. Engle, 2011, "The Factor--Spline--GARCH Model for High and Low Frequency Correlations," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 1, pages 109-124, May, DOI: 10.1080/07350015.2012.643132.
• Jesús Gonzalo & Jean-Yves Pitarakis, 2011, "Regime-Specific Predictability in Predictive Regressions," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 2, pages 229-241, June, DOI: 10.1080/07350015.2011.652053.
• Harendra Kumar Behera, 2011, "Onshore and offshore market for Indian rupee: recent evidence on volatility and shock spillover," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, volume 4, issue 1, pages 43-55, DOI: 10.1080/17520843.2010.509918.
• Betty Agnani & Henry Aray, 2011, "The January effect across volatility regimes," Quantitative Finance, Taylor & Francis Journals, volume 11, issue 6, pages 947-953, DOI: 10.1080/14697680903540373.
• Mehmet Balcilar & Zeynel Abidin Ozdemir & Esin Cakan, 2011, "On the Nonlinear Causality Between Inflation and Inflation Uncertainty in the G3 Countries," Journal of Applied Economics, Taylor & Francis Journals, volume 14, issue 2, pages 269-296, November, DOI: 10.1016/S1514-0326(11)60015-9.
• Burcu Deniz Yildirim, 2011, "Turkiye'nin Finansal Piyasa Likiditesi, Olcumu ve Analizi," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 11, issue 1, pages 11-28.
• Mete Feridun & Yaya Sissoko, 2011, "Impact of FDI on Economic Development: A Causality Analysis for Singapore, 1976 – 2002," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 4, issue 1, pages 7-17, March.
• Kahnim Farajova, 2011, "Budget Deficit and Macroeconomics Fundamentals: The case of Azerbaijan," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 4, issue 2, pages 143-158, August.
• Efe Çağlar Çağli & Pinar Evrim Mandaci & Pinar Hakan Kahyaoğlu, 2011, "Volatility Shifts and Persistence in Variance: Evidence from the Sector Indices of Istanbul Stock Exchange," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 4, issue 3, pages 119-140, December.
• Lennart Hoogerheide & Anne Opschoor & Herman K. van Dijk, 2011, "A Class of Adaptive EM-based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive Simulation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-004/4, Jan.
• Sjoerd van den Hauwe & Richard Paap & Dick J.C. van Dijk, 2011, "An Alternative Bayesian Approach to Structural Breaks in Time Series Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-023/4, Feb.
• Siem Jan Koopman & Andre Lucas & Marcel Scharth, 2011, "Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-057/4, Mar, revised 27 Jan 2012.
• Xin Zhang & Drew Creal & Siem Jan Koopman & Andre Lucas, 2011, "Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-078/2/DSF22, May.
• Oleg Sokolinskiy & Dick van Dijk, 2011, "Forecasting Volatility with Copula-Based Time Series Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-125/4, Sep.
• Siem Jan Koopman & Marcel Scharth, 2011, "The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-132/4, Sep.
• Pawel Janus & Siem Jan Koopman & André Lucas, 2011, "Long Memory Dynamics for Multivariate Dependence under Heavy Tails," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-175/2/DSF28, Dec.
• Hallin, M. & van den Akker, R. & Werker, B.J.M., 2011, "A Class of Simple Distribution-free Rank-based Unit Root Tests (Revision of DP 2010-72)," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-002.
• Cizek, P. & Jacobs, J.P.A.M. & Ligthart, J.E. & Vrijburg, H., 2011, "GMM Estimation of Fixed Effects Dynamic Panel Data Models with Spatial Lag and Spatial Errors (Replaced by CentER DP 2015-003)," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-134.
• Yong Song, 2011, "Modelling Regime Switching and Structural Breaks with an Infinite Dimension Markov Switching Model," Working Papers, University of Toronto, Department of Economics, number tecipa-427, Apr.
• Jon Faust & Jonathan H. Wright, 2011, "Efficient Prediction of Excess Returns," The Review of Economics and Statistics, MIT Press, volume 93, issue 2, pages 647-659, May.
• Joshua D. Angrist & Guido M. Kuersteiner, 2011, "Causal Effects of Monetary Shocks: Semiparametric Conditional Independence Tests with a Multinomial Propensity Score," The Review of Economics and Statistics, MIT Press, volume 93, issue 3, pages 725-747, August.
• Miguel Ramirez, 2011, "Is Public Investment Productive in the Argentine Case? A Single Break Unit Root and Cointegration Analysis, 1960-2007," Working Papers, Trinity College, Department of Economics, number 1101, Mar.
• Miguel Ramirez, 2011, "Remittance Flows and Economic Growth in Mexico: A Single Break Unit Root and Cointegration Analysis, 1970-2009," Working Papers, Trinity College, Department of Economics, number 1106, Jul.
• James Alm & Abel Embaye, 2011, "Explaining the Growth of Government Spending in South Africa," Working Papers, Tulane University, Department of Economics, number 1105, Apr.
• Leandro M. Magnusson & Sophocles Mavroeidis, 2011, "Identification Using Stability Restrictions," Working Papers, Tulane University, Department of Economics, number 1116, Jan.
• Fabio C. Bagliano & Claudio Morana, 2011, "Macro-finance interactions in the US: A global perspective," Working papers, Former Department of Economics and Public Finance "G. Prato", University of Torino, number 23, Oct.
• Don Bredin & Stilianos Fountas, 2011, "US Infl ation and infl ation uncertainty in a historical perspective: The impact of recessions," Working Papers, Geary Institute, University College Dublin, number 201053, Mar.
• Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011, "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-01.
• Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011, "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-02.
• Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2011, "Are Forecast Updates Progressive?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-03.
• Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011, "Modelling and Forecasting Noisy Realized Volatility," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-09.
• Philip Hans Franses & Michael McAleer & Rianne Legerstee:, 2011, "Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-11.
• Shawkat Hammoudeh & Tengdong Liu & Chia-Lin Chang & Michael McAleer, 2011, "Risk Spillovers in Oil-Related CDS, Stock and Credit Markets," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-12.
• Chia-Lin Chang & Michael McAleer, 2011, "Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-13.
• Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2011, "Evaluating Individual and Mean Non-Replicable Forecasts," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-15.
• Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer, 2011, "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-16.
• LanFen Chu & Michael McAleer & Chi-Chung Chen, 2011, "How Volatile is ENSO?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-21.
• Alfredo García-Hiernaux & David E. Guerrero, 2011, "Convergence and Cointegration," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-22.
• Philip Hans Franses & Chia-Lin Chang & Michael McAleer, 2011, "Analyzing Fixed-event Forecast Revisions," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-24.
• Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011, "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-27.
• Chia-Lin Chang & Michael McAleer & Christine Lim, 2011, "Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-28.
• Chia-Lin Chang & Michael McAleer & Christine Lim, 2011, "Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-31.
• Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011, "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-32.
• Chia-Lin Chang & Lydia González-Serrano & Juan-Ángel Jiménez-Martín, 2011, "Currency Hedging Strategies Using Dynamic Multivariate GARCH," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-33.
• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2011, "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-34.
• Chia-Lin Chang & Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Pérez-Amaral, 2011, "The Rise and Fall of S&P500 Variance Futures," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-35.
• Dong Jin Lee, 2011, "Bootstrap Tests for Structural Breaks When the Regressors and Error Term are Nonstationary," Working papers, University of Connecticut, Department of Economics, number 2011-05, Mar.
• Massimiliano Mazzanti & Antonio Musolesi, 2011, "Income and time related effects in EKC," Working Papers, University of Ferrara, Department of Economics, number 201105, Feb.
• Rahmatina A. Kasri, 2011, "Time Series Evidence On Education And Economic Growth In Indonesia," Economic Journal of Emerging Markets, Universitas Islam Indonesia, volume 3, issue 2, pages 109-123.
• Reinhold Heinlein & Hans-Martin Krolzig, 2011, "Effects of monetary policy on the $/£ exchange rate. Is there a 'delayed overshooting puzzle'?," Studies in Economics, School of Economics, University of Kent, number 1124, Dec.
• J. Isaac Miller, 2011, "Conditionally Efficient Estimation of Long-run Relationships Using Mixed-frequency Time Series," Working Papers, Department of Economics, University of Missouri, number 1103, May, revised 30 May 2012.
• J. Isaac Miller, 2011, "Cointegrating MiDaS Regressions and a MiDaS Test," Working Papers, Department of Economics, University of Missouri, number 1104, Jun.
• Christopher Otrok & Panayiotis M. Pourpourides, 2011, "On The Cyclicality of Real Wages and Wage Di¤erentials," Working Papers, Department of Economics, University of Missouri, number 1116, Sep.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011, "US Disposable Personal Income and Housing Price Index: A Fractional Integration Analysis," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 03/11, Jan.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011, "Long Memory and Volatility Dynamics in the US Dollar Exchange Rate," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 04/11, Jan.
• Cavaliere, G. & Phillips, P.C.B. & Smeekes, S. & Taylor, A.M.R., 2011, "Lag length selection for unit root tests in the presence of nonstationary volatility," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 056, Jan, DOI: 10.26481/umamet.2011056.
• Domenico Ferraro & Ken Rogoff & Barbara Rossi, 2011, "Can oil prices forecast exchange rates?," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1461, May, revised Jan 2015.
• Aslanidis, Nektarios & Christiansen, Charlotte, 2011, "Quantiles of the Realized Stock-Bond Correlation," Working Papers, Universitat Rovira i Virgili, Department of Economics, number 2072/151809.
• Aslanidis, Nektarios & Christiansen, Charlotte, 2011, "Smooth Transition Patterns in the Realized Stock- Bond Correlation," Working Papers, Universitat Rovira i Virgili, Department of Economics, number 2072/152138.
• Vito Amendolagine & Rosa Capolupo & Nadia Petragallo, 2011, "Export Status and Productivity Performance: Evidence from Matched Italian Firms," Aussenwirtschaft, University of St. Gallen, School of Economics and Political Science, Swiss Institute for International Economics and Applied Economics Research, volume 66, issue 2, pages 151-180, June.
• Audrino, Francesco & Hu, Yujia, 2011, "Volatility Forecasting: Downside Risk, Jumps and Leverage Effect," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1138, Sep.
• Pankaj SINHA & Sushant GUPTA & Nakul RANDEV, 2011, "Modeling & Forecasting Of Macro-Economic Variables Of India: Before, During & After Recession," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, volume 6, issue 1(15)/ Sp, pages 43-60.
• Ä°mre ERSOY, 2011, "On Reserve Hoarding In Emes: The Case Of Turkey," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, volume 6, issue 3(17)/ Fa, pages 230-243.
• Camelia FIRICÄ‚ & Jean FIRICÄ‚, 2011, "Linguistic Globalization Consequence Of Economic Globalization," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, volume 6, issue 3(17)/ Fa, pages 244-248.
• Don J. Webber & Saten Kumar, 2011, "Australasian money demand stability:Application of structural break tests," Working Papers, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol, number 1101, Jan.
• Pierre L. Siklos & Diana N. Weymark, 2011, "Data Revisions, Gradualism, and US Inflation Pressure in Real Time," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 1110, Sep.
• Yamin Ahmad & William D. Craighead, 2011, "Temporal Aggregation and Purchasing Power Parity Persistence," Wesleyan Economics Working Papers, Wesleyan University, Department of Economics, number 2011-001, Feb, DOI: 10.1016/j.jimonfin.2011.05.008.
• Maria Dolores Gadea & Ana Gomez Loscos & Antonio Montañes, 2011, "Cycles Inside Cycles. Spanish Regional Aggregation," WIFO Working Papers, WIFO, number 390, Feb.
• Timo Mitze, 2011, "Within and Between Panel Cointegration in the German Regional Output-Trade-FDI Nexus," ERSA conference papers, European Regional Science Association, number ersa11p1258, Sep.
• Ana Gomez Loscos & M. Dolores Gadea & Antonio Montañes, 2011, "Cycles inside cycles: Spanish regional aggregation," ERSA conference papers, European Regional Science Association, number ersa11p99, Sep.
• Morten Ørregaard Nielsen & Per Frederiksen, 2011, "Fully modified narrow‐band least squares estimation of weak fractional cointegration," Econometrics Journal, Royal Economic Society, volume 14, issue , pages 77-120, February.
• Jushan Bai & Peng Wang, 2011, "Conditional Markov chain and its application in economic time series analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 26, issue 5, pages 715-734, August.
• Michael Weber & Marcel Prokopczuk, 2011, "American option valuation: Implied calibration of GARCH pricing models," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 31, issue 10, pages 971-994, October.
• Christopher D. Carroll & Misuzu Otsuka & Jiri Slacalek, 2011, "How Large Are Housing and Financial Wealth Effects? A New Approach," Journal of Money, Credit and Banking, Blackwell Publishing, volume 43, issue 1, pages 55-79, February, DOI: 10.1111/j.1538-4616.2010.00365.x.
• Ruhul A. Salim & Mohammad A. Hossain, 2011, "The Linkage Between Export And Income: Further Evidence From Bangladesh," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 56, issue 01, pages 79-95, DOI: 10.1142/S0217590811004110.
• William A. Barnett & Shu Wu, 2011, "On User Costs of Risky Monetary Assets," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, "Financial Aggregation And Index Number Theory".
• William A. Barnett & Unja Chae & John W. Keating, 2011, "The Discounted Economic Stock of Money with VAR Forecasting," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, "Financial Aggregation And Index Number Theory".
• William A. Barnett, 2011, "Multilateral Aggregation-Theoretic Monetary Aggregation over Heterogeneous Countries," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, "Financial Aggregation And Index Number Theory".
• Hassan Suleiman & Zahid Muhammad, 2011, "The real exchange rate of an oil exporting economy: Empirical evidence from Nigeria," FIW Working Paper series, FIW, number 072, Sep.
• Ioana VIASU & Constantin CHILARESCU, 2011, "A Semigroups Approach to the Study of a Second Order Partial Diferential Equation Applied in Economics," Timisoara Journal of Economics, West University of Timisoara, Romania, Faculty of Economics and Business Administration, volume 4, issue 4(16), pages 239-244.
• Mirza, Harun & Storjohann, Lidia, 2011, "Making a Weak Instrument Set Stronger: Factor-Based Estimation of the Taylor Rule," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 13/2011.
• Hassler, Uwe & Meller, Barbara, 2011, "Detecting multiple breaks in long memory: The case of US inflation," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2011,26.
• Pickhardt, Michael & Sardà, Jordi, 2011, "Size and causes of the underground economy in Spain: A correction of the record and new evidence from the MCDR approach," CAWM Discussion Papers, University of Münster, Münster Center for Economic Policy (MEP), number 54.
• Verheyen, Florian, 2011, "Bilateral exports from Euro Zone countries to the US: Does exchange rate variability play a role?," University of Göttingen Working Papers in Economics, University of Goettingen, Department of Economics, number 121.
• Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie, 2011, "Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes," CFS Working Paper Series, Center for Financial Studies (CFS), number 2011/25.
• Dreger, Christian & Fidrmuc, Jarko, 2011, "Drivers of Exchange Rate Dynamics in Selected CIS Countries: Evidence from a Factor-Augmented Vector Autoregressive (FAVAR) Analysis," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 47, issue 4, pages 49-58.
• Dreger, Christian & Wolters, Jürgen, 2011, "Money and inflation in the euro area during the financial crisis," Discussion Papers, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics, number 300.
• Westermann, Frank & Diekmann, Katharina, 2011, "Financial Development and Sectoral Output: Growth in 19th Century Germany," Proceedings of the German Development Economics Conference, Berlin 2011, Verein für Socialpolitik, Research Committee Development Economics, number 81.
• Rossen, Anja, 2011, "On the predictive content of nonlinear transformations of lagged autoregression residuals and time series observations," HWWI Research Papers, Hamburg Institute of International Economics (HWWI), number 113.
• Kellermann, Kersten & Schlag, Carsten-Henning, 2011, "Frankenstärke und Importpreisreagibilität: Kurz-, mittel- und langfristige Effekte," KOFL Working Papers, Konjunkturforschungsstelle Liechtenstein (KOFL), Vaduz, number 10.
• Brunhart, Andreas, 2011, "Evaluating the effect of "Zumwinkel-Affair" and financial crisis on stock prices in Liechtenstein: An unconventional augmented GARCH-approach," KOFL Working Papers, Konjunkturforschungsstelle Liechtenstein (KOFL), Vaduz, number 9.
• Dobnik, Frauke, 2011, "Long-run Money Demand in OECD Countries – Cross-Member Cointegration," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 237.
• 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.
• Christian Francq & Guillaume Lepage & Jean-Michel Zakoïan, 2011, "Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE," Post-Print, HAL, number hal-05417560, Dec, DOI: 10.1016/j.jeconom.2011.08.001.
• Christian Francq & L. Horvath & J.-M. Zakoian, 2011, "Merits and Drawbacks of Variance Targeting in GARCH Models," Post-Print, HAL, number hal-05417564, Jul, DOI: 10.1093/jjfinec/nbr004.
• Christian Francq & Roch Roy & Abdessamad Saidi, 2011, "Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models," Post-Print, HAL, number hal-05417839, Nov, DOI: 10.1111/j.1467-9892.2011.00728.x.
• Michel Carbon & Christian Francq, 2011, "Portmanteau Goodness-of-Fit Test for Asymmetric Power GARCH Models," Post-Print, HAL, number hal-05431360.
• Jean-Pierre Allegret & Essahbi Essaadi, 2011, "Business cycles synchronization in East Asian economy: evidences from time-varying coherence study," Post-Print, HAL, number halshs-00566116, DOI: 10.1016/j.econmod.2010.08.014.
• Gilles Dufrénot & Valérie Mignon & Anne Peguin-Feissolle, 2011, "Les effets de la crise des subprimes sur le marché financier mexicain," Post-Print, HAL, number halshs-00595338, May, DOI: 10.3917/reco.623.0461.
• Peter Martey Addo & Monica Billio & Dominique Guegan, 2011, "A test for a new modelling : The Univariate MT-STAR Model," Post-Print, HAL, number halshs-00659158, Nov.
• Patrice Guillotreau & Ramón Jiménez-Toribio, 2011, "The price effect of expanding fish auction markets," Post-Print, HAL, number peer-01053434, Jul, DOI: 10.1016/j.jebo.2011.01.031.
• Geert Dhaene & Koen Jochmans, 2011, "An Adjusted profile likelihood for non-stationary panel data models with fixed effects," Sciences Po Economics Publications (main), HAL, number hal-01073732, Mar.
• Laurent-Emmanuel Calvet & Adlai J. Fisher, 2011, "Multifrequency News and Stock Returns," Working Papers, HAL, number hal-00591678, May.
• Geert Dhaene & Koen Jochmans, 2011, "An Adjusted profile likelihood for non-stationary panel data models with fixed effects," Working Papers, HAL, number hal-01073732, Mar.
• Vincent Brémond & Emmanuel Hache & Valerie Mignon, 2011, "Does OPEC still exist as a cartel ? An empirical investigation," Working Papers, HAL, number hal-02469630, Mar.
• David Guerreiro & Valérie Mignon, 2011, "On price convergence in Eurozone," Working Papers, HAL, number hal-04140947.
• Amélie Charles & Olivier Darné & Claude Diebolt & Laurent Ferrara, 2011, "A new monthly chronology of the US industrial cycles in the prewar economy," Working Papers, HAL, number hal-04140957.
• Sylvain Prado, 2011, "Free lunch in the oil market: a note on Long Memory," Working Papers, HAL, number hal-04140982.
• Vincent Brémond & Emmanuel Hache & Valérie Mignon, 2011, "Does OPEC still exist as a cartel? An empirical investigation," Working Papers, HAL, number hal-04141014.
• Patrick Guillaumont & Sylviane Guillaumont Jeanneney, 2011, "Big Push versus Absorptive Capacity: How to Reconcile the Two Approaches," Working Papers, HAL, number halshs-00564565, Feb.
• Gilles Dufrénot & Valérie Mignon & Anne Peguin-Feissolle, 2011, "The Effects of the Subprime Crisis on the Latin American Financial Markets: An Empirical Assessment," Working Papers, HAL, number halshs-00587460, Apr.
• Michael Funke & Roberta Colavecchio & Declan Curran, 2011, "Drifting together of falling apart? The empirics of regional economic growth in post-unification Germany," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics, number 21102, Feb.
• Heinen, Florian & Kaufmann, Hendrik & Sibbertsen, Philipp, 2011, "The dynamics of real exchange rates - A reconsideration," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-463, Jan.
• Heinen, Florian, 2011, "A note on testing for purchasing power parity," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-471, May.
• Heinen, Florian & Michael, Stefanie & Sibbertsen, Philipp, 2011, "Two competitive models and their identification problem: The ESTAR and TSTAR model," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-474, May.
• Heinen, Florian & Willert, Juliane, 2011, "Monitoring a change in persistence of a long range dependent time series," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-479, Sep.
• Roberta Colavecchio & Ulrich Fritsche & Michael Graff, 2011, "Inflation Inequality in Europe," Macroeconomics and Finance Series, University of Hamburg, Department of Socioeconomics, number 201102, Feb.
• Kopsch, Fredrik, 2011, "A demand model for domestic air travel in Sweden," Working papers in Transport Economics, CTS - Centre for Transport Studies Stockholm (KTH and VTI), number 2011:8, Nov.
• Mauritzen, Johannes, 2011, "What Happens When it's Windy in Denmark? An Empirical Analysis of Wind Power on Price Variability in the Nordic Electricity Market," Working Paper Series, Research Institute of Industrial Economics, number 889, Nov.
• Hagströmer, Björn & Nilsson, Birger & Hansson, Björn, 2011, "The components of the illiquidity premium: An empirical analysis of U.S. stocks 1927-2010," Working Papers, Lund University, Department of Economics, number 2011:24, Aug.
• Nymoen, Ragnar & Rygh Swensen, Anders & Tveter, Eivind, 2011, "Interpreting the evidence for New Keynesian models of inflation dynamics," Memorandum, Oslo University, Department of Economics, number 23/2011, Jul.
• Soultanaeva, Albina, 2011, "Back on the Map - Essays on Financial Markets in the Baltic States," Umeå Economic Studies, Umeå University, Department of Economics, number 820, Jan.
• Vatthanamixay Chansomphou & Masaru Ichihashi, 2011, "Foreign aid, foreign direct investment and economic growth of Lao PDR," IDEC DP2 Series, Hiroshima University, Graduate School for International Development and Cooperation (IDEC), number 1-2, Sep.
• Tang, Chor Foon, 2011, "Multivariate Granger Causality and the Dynamic Relationship between Health Care Spending, Income and Relative Price of Health Care in Malaysia," Hitotsubashi Journal of Economics, Hitotsubashi University, volume 52, issue 2, pages 199-214, December, DOI: 10.15057/22028.
• Shu-Ping Shi & Peter C. B. Phillips & Jun Yu, 2011, "Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles," Working Papers, Hong Kong Institute for Monetary Research, number 172011, Jun.
• Stefan Gerlach & Peter Tillmann, 2011, "Inflation Targeting and Inflation Persistence in Asia-Pacific," Working Papers, Hong Kong Institute for Monetary Research, number 252011, Aug.
• Ivo Krznar, 2011, "An Analysis of the Domestic Inflation Rate Dynamics and the Phillips Curve," Working Papers, The Croatian National Bank, Croatia, number 31, Nov.
• Eiji Kurozumi & Kohei Aono, 2011, "Estimation and Inference in Predictive Regressions," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd11-192, May.
• Daisuke Nagakura & Toshiaki Watanabe, 2011, "A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd11-200, Aug.
• Masato Ubukata & Toshiaki Watanabe, 2011, "Market Variance Risk Premiums in Japan as Predictor Variables and Indicators of Risk Aversion," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd11-214, Dec.
• Viet Hoang Nguyen & Yongcheol Shin, 2011, "Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2011n14, Jun.
• Toderoiu, Filon, 2011, "Macroeconomic Variables Influencing the European Convergence of the Romanian Agri-Food Sector," Agricultural Economics and Rural Development, Institute of Agricultural Economics, volume 8, issue 1, pages 13-43.
• Shih Yung Wei & Jack J. W. Yang, 2011, "The Impact Of Short Sale Restrictions On Stock Volatility: Evidence From Taiwan," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 5, issue 4, pages 89-98.
• Rizki E. Wimanda, 2011, "Dampak Depresiasi Nilai Tukar Dan Pertumbuhan Uang Beredar Terhadap Inflasi: Aplikasi Threshold Model," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 13, issue 4, pages 409-432, April, DOI: https://doi.org/10.21098/bemp.v13i4.
• Rizki E. Wimanda, 2011, "The Impact Of Exchange Rate Depreciation And The Money Supply Growth On Inflation: The Implementation Of The Threshold Model," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 13, issue 4, pages 391-414, April, DOI: https://doi.org/10.21098/bemp.v13i4.
• Saten Kumar, 2011, "Cointegration and the demand for energy in Fiji," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, volume 35, issue 1, pages 85-97.
• Sebastian Brauer & Carl-Friedrich Leuschner & Frank Westermann, 2011, "Does the Introduction of IFRS Change the Timeliness of Loss Recognition? Evidence from German Firms," IEER Working Papers, Institute of Empirical Economic Research, Osnabrueck University, number 87, Oct.
• Peter C. B. Phillips & Yangru Wu & Jun Yu, 2011, "EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 52, issue 1, pages 201-226, February.
• Jón Daníelsson & Francisco Peñaranda, 2011, "On The Impact Of Fundamentals, Liquidity, And Coordination On Market Stability," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 52, issue 3, pages 621-638, August, DOI: j.1468-2354.2011.00642.x.
• Stephen Pudney, 2011, "Factor rotation with non-negativity constraints," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP02/11, Jan.
• Costantini, Mauro & Lupi, Claudio, 2011, "A Simple Panel-CADF Test for Unit Roots," Economics Series, Institute for Advanced Studies, number 261, Jan.
• Pedroni, Peter & Vogelsang, Timothy J. & Wagner, Martin & Westerlund, Joakim, 2011, "Nonparametric Rank Tests for Non-stationary Panels," Economics Series, Institute for Advanced Studies, number 270, Jun.