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

2010

• Jeroen V.K. Rombouts & Lars Stentoft, 2010, "Multivariate Option Pricing with Time Varying Volatility and Correlations," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-19, Apr.
• Marco Aiolfi & Carlos Capistrán & Allan Timmermann, 2010, "Forecast Combinations," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-21, May.
• Robinson Kruse, 2010, "On European monetary integration and the persistence of real effective exchange rates," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-26, Mar.
• Robinson Kruse & Sanne Hiller, 2010, "Milestones of European Integration: Which matters most for Export Openness?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-27, Jul.
• Nikolaus Hautsch & Mark Podolskij, 2010, "Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-29, Jul.
• Morten Ørregaard Nielsen & Per Frederiksen, 2010, "Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-31, May.
• Mogens Bladt & Michael Sørensen, 2010, "Simple simulation of diffusion bridges with application to likelihood inference for diffusions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-32, Aug.
• Fernando Baltazar-Larios & Michael Sørensen, 2010, "Maximum likelihood estimation for integrated diffusion processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-33, Aug.
• Leonidas Tsiaras, 2010, "The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-34, Feb.
• Robinson Kruse & Rickard Sandberg, 2010, "Linearity Testing in Time-Varying Smooth Transition Autoregressive Models under Unknown Degree of Persistency," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-36, Jul.
• Rasmus Tangsgaard Varneskov, 2010, "The Role of Dynamic Specification in Forecasting Volatility in the Presence of Jumps and Noisy High-Frequency Data," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-39, Aug.
• Robinson Kruse & Philipp Sibbertsen, 2010, "Long memory and changing persistence," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-42, Aug.
• Dennis Kristensen, 2010, "Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-43, Aug.
• Jeroen V.K. Rombouts & Lars Stentoft, 2010, "Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-44, Aug.
• Christian M. Dahl & Emma M. Iglesias, 2010, "Asymptotic normality of the QMLE in the level-effect ARCH model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-48, Aug.
• Christos Ntantamis, 2010, "A Duration Hidden Markov Model for the Identification of Regimes in Stock Market Returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-51, Aug.
• Christos Ntantamis, 2010, "Detecting Structural Breaks using Hidden Markov Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-52, Aug.
• Nektarios Aslanidis & Charlotte Christiansen, 2010, "Sign and Quantiles of the Realized Stock-Bond Correlation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-55, Aug.
• James G. MacKinnon & Morten Ørregaard Nielsen, 2010, "Numerical distribution functions of fractional unit root and cointegration tests," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-59, Aug.
• Søren Johansen & Morten Ørregaard Nielsen, 2010, "A necessary moment condition for the fractional functional central limit theorem," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-70, 10.
• Hyeongwoo Kim & Young-Kyu Moh, 2010, "Examining the Evidence of Purchasing Power Parity by Recursive Mean Adjustment," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2010-08, Dec.
• Shu-Ping Shi, 2010, "Bubbles or Volatility: A Markov-Switching Unit Root Test with Regime-Varying Error Variance," ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics, number 2010-524, Jun.
• Frédérique Bec & Mélika Ben Salem & Marine Carrasco, 2010, "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime star Model," Annals of Economics and Statistics, GENES, issue 99-100, pages 395-427.
• Olga Susana M. Monteiro & Artur C. B. da Silva Lopes, 2010, "Short- and Long-Run Tests of the Expectations Hypothesis: The Portuguese Case," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, volume 56, issue 3, pages 257-280.
• Ansgar Belke & Robert Czudaj, 2010, "Is Euro Area Money Demand (Still) Stable? Cointegrated VAR Versus Single Equation Techniques," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, volume 56, issue 4, pages 285-315, DOI: 10.3790/aeq.56.4.285.
• Ali Acaravci & Ilhan Ozturk, 2010, "Testing Purchasing Power Parity in Transition Countries: Evidence from Structural Breaks," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, volume 12, issue 27, pages 190-198, February.
• Yuan-Ming Lee & Kuan-Min Wang, 2010, "The Asymmetric Impulse of the Sunshine Effect on Stock Returns and Volatilities," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, volume 12, issue 28, pages 606-633, June.
• Carlo Ciccarelli & Stefano Fenoaltea & Tommaso Proietti, 2010, "The effects of unification: markets, policy, and cyclical convergence in Italy, 1861–1913," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), volume 4, issue 3, pages 269-292, October, DOI: 10.1007/s11698-009-0046-z.
• Giacomo Sbrana, 2010, "The exact linkage between the Beveridge-Nelson decomposition and other permanent-transitory decompositions," Working Papers, Association Française de Cliométrie (AFC), number 10-09.
• Joel Hinaunye Eita & Andre C. Jordaan, 2010, "A Causality Analysis Between Financial Development and Economic Growth for Botswana," The African Finance Journal, Africagrowth Institute, volume 12, issue 1, pages 72-89.
• Irrshad Kaseeram, 2010, "Forward-Looking Monetary Policy Reaction Functions for South Africa," The African Finance Journal, Africagrowth Institute, volume 12, issue Conferenc, pages 98-109.
• Busse, Stefan & Brümmer, Bernhard & Ihle, Rico, , "The Pattern of Integration between Fossil Fuel and Vegetable Oil Markets: The Case of Biodiesel in Germany," 2010 Annual Meeting, July 25-27, 2010, Denver, Colorado, Agricultural and Applied Economics Association, number 61010, DOI: 10.22004/ag.econ.61010.
• Masuda, Tadayoshi & Goldsmith, Peter D., , "China's Meat Consumption: An Income Elasticity Analysis and Long-Term Projections," 2010 Annual Meeting, July 25-27, 2010, Denver, Colorado, Agricultural and Applied Economics Association, number 61601, DOI: 10.22004/ag.econ.61601.
• Hassouneh, Islam & Radwan, Amr & Serra, Teresa & Gil, Jose Maria, , "The Impact of Avian Influenza on Vertical Price Transmission in the Egyptian Poultry Sector," 84th Annual Conference, March 29-31, 2010, Edinburgh, Scotland, Agricultural Economics Society, number 91830, DOI: 10.22004/ag.econ.91830.
• Ngepah, Nicholas, 2010, "Inequality and agricultural production: Evidence from aggregate agriculture and sugarcane farms in South Africa," African Journal of Agricultural and Resource Economics, African Association of Agricultural Economists, volume 5, issue 2, pages 1-19, December, DOI: 10.22004/ag.econ.156671.
• Baek, Jungho & Koo, Won W., 2010, "The U.S. Agricultural Sector and the Macroeconomy," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 42, issue 3, pages 1-9, August, DOI: 10.22004/ag.econ.92580.
• Johansen, Soren & Orregaard Nielsen, Morten, 2010, "Likelihood inference for a nonstationary fractional autoregressive model," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273648, Feb, DOI: 10.22004/ag.econ.273648.
• Orregaard Nielsen, Morten & Frederiksen, Per, 2010, "Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273722, May, DOI: 10.22004/ag.econ.273722.
• MacKinnon, James G., 2010, "Critical Values for Cointegration Tests," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273723, Jan, DOI: 10.22004/ag.econ.273723.
• MacKinnon, James G. & Orregaard Nielsen, Morten, 2010, "Numerical Distribution Functions of Fractional Unit Root and Cointegration Tests," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273739, Jul, DOI: 10.22004/ag.econ.273739.
• Johansen, Soren & Orregaard Nielsen, Morten, 2010, "A necessary moment condition for the fractional functional central limit theorem," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273743, Oct, DOI: 10.22004/ag.econ.273743.
• Siqueira, Kennya Beatriz & Kilmer, Richard L. & Campos, Antonio Carvalho, 2010, "The dynamics of farm milk price formation in Brazil," Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR), Sociedade Brasileira de Economia e Sociologia Rural, volume 48, issue 01, pages 1-21, March, DOI: 10.22004/ag.econ.150197.
• Morais, Igor Alexandre Clemente de & Bertoldi, Adriana & Anjos, Adriana Toledo Mendes dos, 2010, "Estimativa de um Modelo não Linear para as Exportações Brasileiras de Borracha no Período 1992-2006," Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR), Sociedade Brasileira de Economia e Sociologia Rural, volume 48, issue 3, pages 1-26, DOI: 10.22004/ag.econ.151889.
• Azar, Samih Antoine, 2010, "Testing the Expectations Hypothesis on Corporate Bond Yields," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, volume 6, issue 01-2, pages 1-11, April, DOI: 10.22004/ag.econ.143265.
• Rodríguez, Gabriel, 2010, "Using A Forward-Looking Phillips Curve to Estimate the Output Gap in Peru," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, volume 6, issue 01-2, pages 1-13, April, DOI: 10.22004/ag.econ.143270.
• Ahmed KSAIER & Isabelle CRISTIANI-D’ORNANO, 2010, "Interdependence And Forecasting Of S&P500, Oil, Euro / Dollar And 10-Year U.S. Interest Rate Markets: An Attempt Of Modelling Through The Volatility," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 6, pages 145-166, December.
• Jane BOGOEV, 2010, "Investigation Of The Determinants Of The Adjustment Of Lending Rates In Macedonia – A Sur Approach," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 6, pages 89-116, December.
• Hafner, C. & Preminger, A., 2010, "Deciding between GARCH and Stochastic Volatility via Strong Decision Rules," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2010032, Jan.
• Selim Adem Hatirli & Kübra Onder, 2010, "An Investigation Of Real Exchange Rate Volatility On Turkish Textile And Apparel Export," Anadolu University Journal of Social Sciences, Anadolu University, volume 10, issue 2, pages 41-54, May.
• Bahar Berberoglu, 2010, "The Effect Of Economic Performance On The Graduate Numbers Of Anadolu University Distant Education Faculties," Anadolu University Journal of Social Sciences, Anadolu University, volume 10, issue 2, pages 99-110, May.
• Ricardo Camila Kraide Kretzmann & Marina Silva da Cunha, 2010, "Flutuações no Mercado de Trabalho Brasileiro: Regiões Metropolitanas e Não-Metropolitanas," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 10, issue 2, pages 401-419.
• Pedro Raffy Vartanian, 2010, "Choques Monetários e Cambiais sob Regimes de Câmbio Flutuante nos Países Membros do Mercosul: Há Indícios de Convergência Macroeconômica?," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 11, issue 2, pages 435-464.
• VALDIVIA, Fernando Zarzosa, 2010, "Determinants of the structural real exchange rates and economic structures in Argentina, Chile and Mexico," Working Papers, University of Antwerp, Faculty of Business and Economics, number 2010025, Nov.
• Stephen Clayton & Michael Nieswiadomy & Mark C. Strazicich, 2010, "Was There a Structural Break in Barry Bonds’ Bat?," Working Papers, Department of Economics, Appalachian State University, number 10-13.
• Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2010, "State-Dependent Threshold STAR Models," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 818.10, Apr.
• Elsa Sarmento & Alcina Nunes, 2010, "Comparative Survival Analysis of Firms: the case of the Portuguese North region," Working Papers de Economia (Economics Working Papers), Departamento de Economia, Gestão e Engenharia Industrial, Universidade de Aveiro, number 53, Sep.
• Carlos Pinho & Mara Madaleno, 2010, "CO2 spot and futures price analysis for EEX and ECX," Working Papers de Economia (Economics Working Papers), Departamento de Economia, Gestão e Engenharia Industrial, Universidade de Aveiro, number 54, Dec.
• Vito Amendolagine & Rosa Capolupo & Nadia Petragallo, 2010, "Export Status and Performance in a Panel of Italian Manufacturing Firms," SERIES, Dipartimento di Economia e Finanza - Università degli Studi di Bari "Aldo Moro", number 0027, Jan, revised Jan 2010.
• Milkana Mochurova & Todor Kaloyanov & Plamen Mishev, 2010, "Impacts of Climate Change on Winter Tourism in Borovets," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 98-126.
• Burcu Kiran, 2010, "The Structure of Tourism Revenues in Turkey: Evidence from Fractional Integration under Multiple Structural Breaks," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 85-96.
• Álvaro Cartea & Dimitrios Karyampas, 2009, "Volatility and Covariation of Financial Assets: A High-Frequency Analysis," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0913, Oct.
• Álvaro Cartea & Dimitrios Karyampas, 2009, "The Relationship Between the Volatility of Returns and the Number of Jumps in Financial Markets," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0914, Nov.
• Maximo Camacho & Rafael Domenech, 2010, "MICA-BBVA: A Factor Model of Economic and Financial Indicators for Short-term GDP Forecasting," Working Papers, BBVA Bank, Economic Research Department, number 1021, Aug.
• Jesus Sierra, 2010, "International Capital Flows and Bond Risk Premia," Staff Working Papers, Bank of Canada, number 10-14, DOI: 10.34989/swp-2010-14.
• Jens Mehrhoff, 2010, "Seasonal Adjustment in Times of Strong Economic Changes," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, volume 1, issue 59, pages 7-23, July - Se.
• Bora Suslu & Selahattin Bekmez, 2010, "An Analysis of Time Inconsistency in Turkey with ARDL Method," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 4, issue 2, pages 85-110.
• Javier Mencía, 2010, "Testing non-linear dependence in the hedge fund industry," Working Papers, Banco de España, number 1007, Mar.
• Maximo Camacho & Gabriel Perez-Quiros & Pilar Poncela, 2010, "Green shoots in the euro area. A real time measure," Working Papers, Banco de España, number 1026, Jul.
• Ibarra-Ramírez Raúl, 2010, "Forecasting Inflation in Mexico Using Factor Models: Do Disaggregated CPI Data Improve Forecast Accuracy?," Working Papers, Banco de México, number 2010-01, Mar.
• Noriega Antonio E. & Ventosa-Santaulària Daniel, 2010, "Spurious Long-Horizon Regression in Econometrics," Working Papers, Banco de México, number 2010-06, Jun.
• Benavides Guillermo, 2010, "Forecasting Short-Run Inflation Volatility using Futures Prices: An Empirical Analysis from a Value at Risk Perspective," Working Papers, Banco de México, number 2010-12, Oct.
• György Simon, Jr, 2010, "Technical Progress And Its Factors In Russia’S Economy," Economic Annals, Faculty of Economics and Business, University of Belgrade, volume 55, issue 186, pages 7-41, July – Se.
• La Vecchia, Davide & Trojani, Fabio, 2010, "Infinitesimal Robustness for Diffusions," Journal of the American Statistical Association, American Statistical Association, volume 105, issue 490, pages 703-712.
• Escanciano, J. Carlos & Olmo, Jose, 2010, "Backtesting Parametric Value-at-Risk With Estimation Risk," Journal of Business & Economic Statistics, American Statistical Association, volume 28, issue 1, pages 36-51.
• Hong, Seung Hyun & Phillips, Peter C. B., 2010, "Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, volume 28, issue 1, pages 96-114.
• Perron, Pierre & Qu, Zhongjun, 2010, "Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices," Journal of Business & Economic Statistics, American Statistical Association, volume 28, issue 2, pages 275-290.
• Christoffersen, Peter & Dorion, Christian & Jacobs, Kris & Wang, Yintian, 2010, "Volatility Components, Affine Restrictions, and Nonnormal Innovations," Journal of Business & Economic Statistics, American Statistical Association, volume 28, issue 4, pages 483-502.
• Kejriwal, Mohitosh & Perron, Pierre, 2010, "Testing for Multiple Structural Changes in Cointegrated Regression Models," Journal of Business & Economic Statistics, American Statistical Association, volume 28, issue 4, pages 503-522.
• Valérie Chauvin & Damette, O., 2010, "Wealth effects: the French case," Working papers, Banque de France, number 276.
• Sanvi Avouyi-Dovi & Julien Idier., 2010, "Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market," Working papers, Banque de France, number 278.
• ramona Jimborean & Ferroni, F., 2010, "Did Tax Policies mitigate US Business Cycles?," Working papers, Banque de France, number 296.
• Konstantīns Beņkovskis, 2010, "LATCOIN: determining medium to long-run tendencies of economic growth in Latvia in real time," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, volume 10, issue 2, pages 27-48, December.
• Joanne S. Ercolani, 2010, "On the Asymptotic Properties of a Feasible Estimator of the Continuous Time Long Memory Parameter," Discussion Papers, Department of Economics, University of Birmingham, number 10-09, Mar.
• Bill Russell & Anindya Banerjee & Issam Malki & Natalia Ponomareva, 2010, "A Multiple Break Panel Approach to Estimating United States Phillips Curves," Discussion Papers, Department of Economics, University of Birmingham, number 10-14, Apr.
• Aninday Banerjee & Markus Eberhardt & J James Reade, 2010, "Panel Estimation for Worriers," Discussion Papers, Department of Economics, University of Birmingham, number 10-33, Nov.
• Frank Leung & Kevin Chow & Simon Chan, 2010, "Measures of trend inflation in Hong Kong," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements, "Monetary policy and the measurement of inflation: prices, wages and expectations".
• Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2010, "Private information, stock markets, and exchange rates," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements, "The international financial crisis and policy challenges in Asia and the Pacific".
• Benaković Dubravka & Posedel Petra, 2010, "Do macroeconomic factors matter for stock returns? Evidence from estimating a multifactor model on the Croatian market," Business Systems Research, Sciendo, volume 1, issue 1-2, pages 39-46, January, DOI: 10.2478/v10305-012-0023-z.
• Fernanda Cuitiño & Elena Ganón & Ina Tiscordio & Leonardo Vicente, 2010, "Modelos univariados de series de tiempo para predecir la inflación de corto plazo," Documentos de trabajo, Banco Central del Uruguay, number 2010008, Aug.
• Conrado Brum & Elizabeth Bucacos & Patricia Carballo, 2010, "La demanda de dinero en una economía dolarizada. Una estimación para Uruguay," Documentos de trabajo, Banco Central del Uruguay, number 2010013, Sep.
• Islam Hassouneh & Teresa Serra & José M. Gil, 2010, "Price transmission in the Spanish bovine sector: the BSE effect," Agricultural Economics, International Association of Agricultural Economists, volume 41, issue 1, pages 33-42, January, DOI: 10.1111/j.1574-0862.2009.00423.x.
• Paresh Kumar Narayan & Ingrid Nielsen & Russell Smyth, 2010, "Is There a Natural Rate of Crime?," American Journal of Economics and Sociology, Wiley Blackwell, volume 69, issue 2, pages 759-782, April, DOI: 10.1111/j.1536-7150.2010.00714.x.
• Sarantis Tsiaplias & Chew Lian Chua, 2010, "Forecasting Australian Macroeconomic Variables Using A Large Dataset," Australian Economic Papers, Wiley Blackwell, volume 49, issue 1, pages 44-59, March, DOI: 10.1111/j.1467-8454.2010.00386.x.
• Wang‐Sheng Lee & Sandy Suardi, 2010, "The Australian Firearms Buyback And Its Effect On Gun Deaths," Contemporary Economic Policy, Western Economic Association International, volume 28, issue 1, pages 65-79, January, DOI: 10.1111/j.1465-7287.2009.00165.x.
• Ulrike Busch & Dieter Nautz, 2010, "Controllability and Persistence of Money Market Rates along the Yield Curve: Evidence from the Euro Area," German Economic Review, Verein für Socialpolitik, volume 11, issue 3, pages 367-380, August, DOI: 10.1111/j.1468-0475.2009.00480.x.
• Özer Karagedikli & Troy Matheson & Christie Smith & Shaun P. Vahey, 2010, "RBCs AND DSGEs: THE COMPUTATIONAL APPROACH TO BUSINESS CYCLE THEORY AND EVIDENCE," Journal of Economic Surveys, Wiley Blackwell, volume 24, issue 1, pages 113-136, February, DOI: 10.1111/j.1467-6419.2009.00589.x.
• David Greasley & Les Oxley, 2010, "Cliometrics And Time Series Econometrics: Some Theory And Applications," Journal of Economic Surveys, Wiley Blackwell, volume 24, issue 5, pages 970-1042, December, DOI: 10.1111/j.1467-6419.2010.00650.x.
• JULES H. Van BINSBERGEN & RALPH S. J. KOIJEN, 2010, "Predictive Regressions: A Present‐Value Approach," Journal of Finance, American Finance Association, volume 65, issue 4, pages 1439-1471, August, DOI: 10.1111/j.1540-6261.2010.01575.x.
• Alessandra Luati & Tommaso Proietti, 2010, "Hyper‐spherical and elliptical stochastic cycles," Journal of Time Series Analysis, Wiley Blackwell, volume 31, issue 3, pages 169-181, May, DOI: 10.1111/j.1467-9892.2010.00655.x.
• Mohitosh Kejriwal & Pierre Perron, 2010, "A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component," Journal of Time Series Analysis, Wiley Blackwell, volume 31, issue 5, pages 305-328, September, DOI: 10.1111/j.1467-9892.2010.00666.x.
• Marc K. Francke & Siem Jan Koopman & Aart F. De Vos, 2010, "Likelihood functions for state space models with diffuse initial conditions," Journal of Time Series Analysis, Wiley Blackwell, volume 31, issue 6, pages 407-414, November, DOI: 10.1111/j.1467-9892.2010.00673.x.
• Eiji Kurozumi & Shinya Tanaka, 2010, "Reducing the size distortion of the KPSS test," Journal of Time Series Analysis, Wiley Blackwell, volume 31, issue 6, pages 415-426, November, DOI: 10.1111/j.1467-9892.2010.00674.x.
• Nikolaos Giannellis & Athanasios P. Papadopoulos, 2010, "Nonlinear Exchange Rate Adjustment in the Enlarged Eurozone: Evidence and Implications for Candidate Countries," Review of International Economics, Wiley Blackwell, volume 18, issue 4, pages 741-757, September, DOI: 10.1111/j.1467-9396.2010.00895.x.
• Patrick Minford & Ruthira Naraidoo, 2010, "Vicious And Virtuous Circles – The Political Economy Of Unemployment," South African Journal of Economics, Economic Society of South Africa, volume 78, issue 1, pages 1-22, March, DOI: 10.1111/j.1813-6982.2010.01235.x.
• James Alm & Abel Embaye, 2010, "Explaining The Growth Of Government Spending In South Africa," South African Journal of Economics, Economic Society of South Africa, volume 78, issue 2, pages 152-169, June, DOI: 10.1111/j.1813-6982.2010.01242.x.
• Luis A. Gil‐alana, 2010, "Inflation In South Africa: A Time‐Series View Across Sectors Using Long‐Range Dependence," South African Journal of Economics, Economic Society of South Africa, volume 78, issue 4, pages 325-343, December.
• Francesco Ravazzolo & Philip Rothman, 2010, "Oil and US GDP: A real-time out-of-sample examination," Working Paper, Norges Bank, number 2010/18, Sep.
• Halbert White & Karim Chalak & Xun Lu, 2010, "Linking Granger Causality and the Pearl Causal Model with Settable Systems," Boston College Working Papers in Economics, Boston College Department of Economics, number 744, Aug.
• Zongwu Cai & Zhijie Xiao, 2010, "Semiparametric Quantile Regression Estimation in Dynamic Models with Partially Varying Coefficients," Boston College Working Papers in Economics, Boston College Department of Economics, number 761, Nov.
• Heather Gibson & Hiona Balfoussia, 2010, "The impact of nominal and real uncertainty on macroeconomic aggregates in Greece," Economic Bulletin, Bank of Greece, issue 34, pages 57-71, September.
• Stephen Hall & George Hondroyiannis & P.A.V.B Swamy & George Tavlas, 2010, "Bretton-Woods systems, old and new, and the rotation of exchange-rate regimes," Working Papers, Bank of Greece, number 112, Apr.
• Athanasoglou Panagiotis & Backinezos Constantina & Evagelia A. Georgiou, 2010, "Export performance, competitiveness and commodity composition," Working Papers, Bank of Greece, number 114, May.
• Do-wan Kim & Kibeom Kim, 2010, "The Stress test of Household Loan Sector considering Heteroscedasticity, Autocorrelation and Conditional Loss at Given Default(LGD) (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, volume 16, issue 3, pages 119-155, September.
• Pierre Perron & Linxia Ren, 2010, "On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2010-049, Jan.
• Busch Ulrike & Nautz Dieter, 2010, "Controllability and Persistence of Money Market Rates along the Yield Curve: Evidence from the Euro Area," German Economic Review, De Gruyter, volume 11, issue 3, pages 367-380, August, DOI: 10.1111/j.1468-0475.2009.00480.x.
• Grassi Stefano & Proietti Tommaso, 2010, "Has the Volatility of U.S. Inflation Changed and How?," Journal of Time Series Econometrics, De Gruyter, volume 2, issue 1, pages 1-22, September, DOI: 10.2202/1941-1928.1050.
• Evarist Stoja & Richard D. F. Harris & Fatih Yilmaz, 2010, "A Cyclical Model of Exchange Rate Volatility," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 10/618, Oct.
• Dominique Guégan, 2010, "Effect of Noise Filtering on Predictions :on the Routes of Chaos," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, volume 53, issue 2, pages 255-272.
• Stella Karagianni & Thanasis Sfetsos & Costas Siriopoulos, 2010, "Extracting Formations from Long Financial Time Series Using Data Mining," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, volume 53, issue 2, pages 273-293.
• Dimitris Kugiuntzis & Efthimia Bora-Senta, 2010, "Gaussian Analysis of Non-Gaussian Time Series," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, volume 53, issue 2, pages 295-322.
• Nicolas Million, 2010, "Test simultané de la non-stationnarité et de la non-linéarité : une application au taux d'intérêt réel américain," Economie & Prévision, La Documentation Française, volume 0, issue 1, pages 83-95.
• Yannick Le Pen & Benoît Sévi, 2010, "Impact d'un choc sur les corrélations de trois indices boursiers. La faillite de Lehman Brothers," Revue économique, Presses de Sciences-Po, volume 61, issue 3, pages 407-419.
• Adeline Bachellerie & Jérôme Héricourt & Valérie Mignon, 2010, "L'intégration commerciale est-elle une condition préalable à l'intégration financière ?," Revue économique, Presses de Sciences-Po, volume 61, issue 3, pages 477-487.
• Harvey, A., 2010, "Exponential Conditional Volatility Models," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1040, Aug.
• Chia-Lin Chang & Michael McAleer, 2010, "Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/02, Feb.
• Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010, "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/03, Jan.
• Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010, "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/04, Jan.
• Philip Hans Franses & Michael McAleer & Rianne Legerstee, 2010, "Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/09, Mar.
• Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2010, "Are Forecast Updates Progressive?," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/12, Apr.
• Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2010, "How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/16, Apr.
• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010, "Analyzing and Forecasting Volatility Spillovers, Asymmetries and Hedging in Major Oil Markets," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/19, Apr.
• Manuabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010, "Modelling and Forecasting Noisy Realized Volatility," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/21, May.
• David E. Allen & Michael McAleer & Marcel Scharth, 2010, "Realized Volatility Risk," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/26, May.
• Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat, 2010, "Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/27, May.
• LanFen Chu & Chi-Chung Chen & Michael McAleer, 2010, "How Volatile is ENSO?," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/31, Apr.
• Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2010, "Combining Non-Replicable Forecasts," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/35, May.
• Chia-Lin Chang & Michael McAleer & Les Oxley, 2010, "Great Expectatrics: Great Papers, Great Journals, Great Econometrics," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/36, May.
• Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat, 2010, "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/38, Jan.
• Chia-Lin Chang & Michael McAleer & Christine Lim, 2010, "Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/40, Jun.
• Michael McAleer & Les Oxley, 2010, "Ten Things We Should Know About Time Series," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/42, Jun.
• Chia-Lin Chang & Sung-Po Chen & Michael McAleer, 2010, "Globalization and Knowledge Spillover: International Direct Investment, Exports and Patents," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/54, Aug.
• Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2010, "Modeling the Effect of Oil Price on Global Fertilizer Prices," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/55, Sep.
• David Grreasley, 2010, "Cliometrics and Time Series Econometrics: Some Theory and Applications," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/56, Sep.
• Massimiliano Caporin & Michael McAleer, 2010, "Model Selection and Testing of Conditional and Stochastic Volatility Models," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/58, Sep.
• Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2010, "GFC-Robust Risk Management Strategies under the Basel Accord," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/63, Oct.
• Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2010, "Evaluating Combined Non-Replicable Forecasts," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/74, Dec.
• Michaël GOUJON & Fabien CANDAU & Jean-François HOARAU & Serge REY, 2010, "Taux de change réel et compétitivité de l’économie réunionnaise," Working Papers, CERDI, number 201029.
• Kazuyuki Inagaki, 2010, "Income inequality and the suicide rate in Japan: Evidence from cointegration and LA-VAR," Journal of Applied Economics, Universidad del CEMA, volume 13, pages 113-133, May.
• Degui Li & Oliver Linton & Zudi Lu, 2010, "Loch Linear Fitting under Near Epoch Dependence: Uniform Consistency with Convergence Rate," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 549, Aug.
• Klaus Abberger & Wolfgang Nierhaus, 2010, "Markov-Switching and the Ifo Business Climate: The Ifo Business Cycle Traffic Lights," CESifo Working Paper Series, CESifo, number 2936.
• Rebeca Jiménez-Rodriguez & Amalia Morales-Zumaquero & Balazs Egert, 2010, "The VARying Effect of Foreign Shocks in Central and Eastern Europe," CESifo Working Paper Series, CESifo, number 3080.
• Balazs Egert, 2010, "Catching-up and Inflation in Europe: Balassa-Samuelson, Engel's Law and other Culprits," CESifo Working Paper Series, CESifo, number 3110.
• Klaus Abberger & Wolfgang Nierhaus, 2010, "The Ifo Business Cycle Clock: Circular Correlation with the Real GDP," CESifo Working Paper Series, CESifo, number 3179.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2010, "US Disposable Personal Income and Housing Price Index: A Fractional Integration Analysis," CESifo Working Paper Series, CESifo, number 3208.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2010, "The Weekly Structure of US Stock Prices," CESifo Working Paper Series, CESifo, number 3245.
• Katharina Diekmann & Frank Westermann, 2010, "Financial Development and Sectoral Output Growth in 19th Century Germany," CESifo Working Paper Series, CESifo, number 3283.
• Marianna Belloc & Riccardo Tilli, 2010, "Gender Unemployment Catching-up: Empirical Evidence from Italian Regions," CESifo Working Paper Series, CESifo, number 3300.
• Brian Blankespoor & Susmita Dasgupta & Benoit Laplante & David Wheeler, 2010, "The Economics of Adaptation to Extreme Weather Events in Developing Countries," Working Papers, Center for Global Development, number 199, Jan.
• Virginie Coudert & Cécile Couharde & Valérie Mignon, 2010, "Exchange Rate Flexibility Across Financial Crises," Working Papers, CEPII research center, number 2010-08, Apr.
• Gilles Dufrénot & Valérie Mignon & Anne Péguin-Feissolle, 2010, "The Effects of the Subprime Crisis on the Latin American Financial Markets: an Empirical Assessment," Working Papers, CEPII research center, number 2010-11, Jul.
• Mohitosh Kejriwal & Claude Lopez, 2010, "Unit Roots, Level Shifts and Trend Breaks in PerCapita Output: A Robust Evaluation," University of Cincinnati, Economics Working Papers Series, University of Cincinnati, Department of Economics, number 2010-02.
• Jeroen Rombouts & Lars Stentoft, 2010, "Multivariate Option Pricing With Time Varying Volatility and Correlations," CIRANO Working Papers, CIRANO, number 2010s-23, May.
• Jeroen Rombouts & Lars Stentoft, 2010, "Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models," CIRANO Working Papers, CIRANO, number 2010s-38, Sep.
• Jan P.A.M. Jacobs & Simon van Norden, 2010, "Lessons From the Latest Data on U.S. Productivity," CIRANO Working Papers, CIRANO, number 2010s-46, Dec.
• Ignacio Lozano & Enrique Cabrera, 2010, "Una nota sobre la sostenibilidad fiscal y el nexo entre los ingresos y gastos del Gobierno colombiano," Monetaria, CEMLA, volume 0, issue 2, pages 207-238, abril-jun.
• Joze Mencinger, 2010, "Excise Tax Policy and Cross-Border Purchases of Automotive Fuels," DANUBE: Law and Economics Review, European Association Comenius - EACO, issue 4, pages 5-29, December.
• Katerina Arnostova & David Havrlant & Lubos Ruzicka & Peter Toth, 2010, "Short-Term Forecasting of Czech Quarterly GDP Using Monthly Indicators," Working Papers, Czech National Bank, Research and Statistics Department, number 2010/12, Dec.
• C. Detotto & E. Otranto, 2010, "A Time Varying Parameter Approach to Analyze the Macroeconomic Consequences of Crime," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 201002.
• F. Crudu, 2010, "Z-Estimators and Auxiliary Information under Weak Dependence," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 201022.
• Nancy Milena Hoyos Gomez & Johanna Ramos & Lorena Vivas, 2010, "Un modelo SETAR para el PIB colombiano," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Byron Idrovo A., 2010, "¿Cuál es el crecimiento de largo plazo de la economía chilena? Una respuesta formal para una antigua pregunta," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Yalila Aljure Jiménez & Jorge Andrés Gallego, 2010, "Desigualdad y leyes de potencia," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Fredy Vásquez Bedoya & Sergio Iván Restrepo Ochoa & John Fernando Lopera Sierra, 2010, "Una revisión crítica de las técnicas de filtrado para la teoría de los ciclos económicos reales," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Juan Jos� Echavarr�a S. & Enrique L�pez E. & Martha Misas A., 2010, "La persistencia estad�stica de la inflaci�n en Colombia," Borradores de Economia, Banco de la Republica, number 7573, Oct.
• Juan Jos� Echavarr�a & Norberto Rodr�guez & Luis Eduardo Rojas, 2010, "La Meta Del Banco Central Y La Persistencia De La Inflaci�N En Colombia," Borradores de Economia, Banco de la Republica, number 7809, Dec.
• Catalina Franco & Johanna Ramos, 2010, "Desigualdades Salariales en Colombia: Un análisis para trabajadores rurales y jóvenes, 2002-2009," Archivos de Economía, Departamento Nacional de Planeación, number 7311, Aug.
• Julio César Alonso & Manuel Serna Cortés, 2010, "Intra-Day-Patterns in the Colombian Exchange Market Index and VAR: Evaluation of Different Approaches," Borradores de Economía y Finanzas, Universidad Icesi, number 7098, Jun.
• Carlo José Pena, 2010, "Shocks exógenos, dinámica macroeconómica e inversión privada. Venezuela, 1968-2009," Perfil de Coyuntura Económica, Universidad de Antioquia, CIE.
• Martha Misas A & Juan Jos� Echavarr�a S & Enrique L�pez E, 2010, "La persistencia estadística de la inflación en Colombia," Vniversitas Económica, Universidad Javeriana - Bogotá, volume 0, issue 0, pages 1-42.
• Mariana Gutiérrez Bernal & Susana Yepes Bernal, 2010, "América Latina y Asia del Este: una mirada al papel de los choques externos," Revista Ecos de Economía, Universidad EAFIT.
• Andrés Mauricio Mora & Daniela Fleisman & Angélica Montoya & Nicolás Acevedo, 2010, "Generalidades de los ADRS: Un estudio de caso sectorial para empresas de Colombia, México, Brasil y Chile," Revista Ecos de Economía, Universidad EAFIT.
• Víctor David Jaramillo Mejía, 2010, "Aplicación del análisis espectral de series temporales al modelo tricíclico de Schumpeter," Revista Tendencias, Universidad de Narino, volume 11, issue 2, pages 63-83.
• DHAENE, Geert & JOCHMANS, Koen, 2010, "Split-panel jackknife estimation of fixed-effect models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2010003, Jan.
• ROMBOUTS, Jeroen J. K & STENTOFT, Lars, 2010, "Multivariate option pricing with time varying volatility and correlations," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2010020, May.
• CARPANTIER, Jean - François, 2010, "Commodities inventory effect," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2010040, Jul.
• ROMBOUTS, Jeroen V. K. & STENTOFT, Lars, 2010, "Option pricing with asymmetric heteroskedastic normal mixture models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2010049, Aug.
• Timmermann, Allan & Aiolfi, Marco & Rodriguez, Marius, 2010, "Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7656, Jan.
• Favero, Carlo A. & Gozluklu, Arie & Tamoni, Andrea, 2010, "Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7734, Mar.
• Patton, Andrew, 2010, "On the Dynamics of Hedge Fund Risk Exposures," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7780, Apr.
• Muellbauer, John & Aron, Janine, 2010, "New methods for forecasting inflation, applied to the US," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7877, Jun.
• Muellbauer, John & Aron, Janine, 2010, "Does aggregating forecasts by CPI component improve inflation forecast accuracy in South Africa?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7895, Jun.
• Gerlach, Stefan & Tillmann, Peter, 2010, "Inflation Targeting and Inflation Persistence in Asia," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8046, Oct.
• Muellbauer, John & Sinclair, Peter & Aron, Janine & Farrell, Greg, 2010, "Exchange Rate Pass-through and Monetary Policy in South Africa," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8153, Dec.
• Thorsten Lehnert & Bart Frijns & Remco C.J. Zwinkels, 2010, "Modelling structural changes in the volatility process," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 10-05.