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

• Abdul Rashid & Fazal Husain, 2010, "Capital Inflows, Inflation and Exchange Rate Volatility : An Investigation for Linear and Nonlinear Causal Linkages," Macroeconomics Working Papers, East Asian Bureau of Economic Research, number 22832, Jan.
• Tilak Abeysinghe & Gulasekaran Rajaguru, 2010, "A Gaussian Test for Cointegration," Macroeconomics Working Papers, East Asian Bureau of Economic Research, number 23040, Jan.
• Borchani, Anis, 2010, "Statistiques des valeurs extrêmes dans le cas de lois discrètes," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number DR 10009, Dec.
• Geoff Kenny, 2010, "Macroeconomic forecasting: can forecast combination help?," Research Bulletin, European Central Bank, volume 11, pages 9-12.
• Luc Bauwens & Arie Preminger & Jeroen V. K. Rombouts, 2010, "Theory and inference for a Markov switching GARCH model," Econometrics Journal, Royal Economic Society, volume 13, issue 2, pages 218-244, July.
• Jochmann, Markus, 2010, "Modeling U.S. Inflation Dynamics: A Bayesian Nonparametric Approach," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2010-06.
• de Peretti, Christian & Siani, Carole & Cerrato, Mario, 2010, "A Bootstrap Neural Network Based Heterogeneous Panel Unit Root Test: Application to Exchange Rates," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2010-20.
• Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2010, "Equilibrium Exchange Rate Determination and Multiple Structural Changes," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2010-39.
• Chatterji, Monojit & Choudhury, Homagni, 2010, "The Changing Inter-Industry Wage Structure of the Organised Manufacturing Sector in India, 1973-74 to 2003-04," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2010-89.
• Chatterji, Monojit & Choudhury, Homagni, 2010, "Growth Rate Estimation in the presence of Unit Roots," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2010-92.
• Narayan, Paresh Kumar & Narayan, Seema & Popp, Stephan, 2010, "Does electricity consumption panel Granger cause GDP? A new global evidence," Applied Energy, Elsevier, volume 87, issue 10, pages 3294-3298, October.
• Narayan, Paresh Kumar & Narayan, Seema & Popp, Stephan, 2010, "A note on the long-run elasticities from the energy consumption-GDP relationship," Applied Energy, Elsevier, volume 87, issue 3, pages 1054-1057, March.
• Mehrotra, Aaron & Peltonen, Tuomas & Santos Rivera, Alvaro, 2010, "Modelling inflation in China--A regional perspective," China Economic Review, Elsevier, volume 21, issue 2, pages 237-255, June.
• Audrino, Francesco & Corsi, Fulvio, 2010, "Modeling tick-by-tick realized correlations," Computational Statistics & Data Analysis, Elsevier, volume 54, issue 11, pages 2372-2382, November.
• Billio, Monica & Caporin, Massimiliano, 2010, "Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion," Computational Statistics & Data Analysis, Elsevier, volume 54, issue 11, pages 2443-2458, November.
• Cipollini, Fabrizio & Gallo, Giampiero M., 2010, "Automated variable selection in vector multiplicative error models," Computational Statistics & Data Analysis, Elsevier, volume 54, issue 11, pages 2470-2486, November.
• He, Zhongfang & Maheu, John M., 2010, "Real time detection of structural breaks in GARCH models," Computational Statistics & Data Analysis, Elsevier, volume 54, issue 11, pages 2628-2640, November.
• Bouezmarni, Taoufik & Rombouts, Jeroen V.K., 2010, "Nonparametric density estimation for positive time series," Computational Statistics & Data Analysis, Elsevier, volume 54, issue 2, pages 245-261, February.
• Huang, Shirley J. & Yu, Jun, 2010, "Bayesian analysis of structural credit risk models with microstructure noises," Journal of Economic Dynamics and Control, Elsevier, volume 34, issue 11, pages 2259-2272, November.
• Babus, Ana & de Vries, Casper G., 2010, "Global stochastic properties of dynamic models and their linear approximations," Journal of Economic Dynamics and Control, Elsevier, volume 34, issue 5, pages 817-824, May.
• Athanasoglou, Panayiotis P. & Bardaka, Ioanna C., 2010, "New trade theory, non-price competitiveness and export performance," Economic Modelling, Elsevier, volume 27, issue 1, pages 217-228, January.
• Dias, Daniel A. & Marques, Carlos Robalo, 2010, "Using mean reversion as a measure of persistence," Economic Modelling, Elsevier, volume 27, issue 1, pages 262-273, January.
• Rao, B. Bhaskara, 2010, "Estimates of the steady state growth rates for selected Asian countries with an extended Solow model," Economic Modelling, Elsevier, volume 27, issue 1, pages 46-53, January.
• Jiménez-Martín, Juan-Ángel & Cinca, Alfonso Novales, 2010, "State-uncertainty preferences and the risk premium in the exchange rate market," Economic Modelling, Elsevier, volume 27, issue 5, pages 1043-1053, September.
• Barnett, William A. & He, Susan, 2010, "Existence of singularity bifurcation in an Euler-equations model of the United States economy: Grandmont was right," Economic Modelling, Elsevier, volume 27, issue 6, pages 1345-1354, November.
• Heaton, Chris & Oslington, Paul, 2010, "Micro vs macro explanations of post-war US unemployment movements," Economics Letters, Elsevier, volume 106, issue 2, pages 87-91, February.
• Konstantinou, Panagiotis Th., 2010, "Adjustment of US external imbalances: At what horizon?," Economics Letters, Elsevier, volume 106, issue 3, pages 166-168, March.
• McCallum, Bennett T., 2010, "Is the spurious regression problem spurious?," Economics Letters, Elsevier, volume 107, issue 3, pages 321-323, June.
• Miller, J. Isaac & Park, Joon Y., 2010, "Nonlinearity, nonstationarity, and thick tails: How they interact to generate persistence in memory," Journal of Econometrics, Elsevier, volume 155, issue 1, pages 83-89, March.
• Chen, Xiaohong & Hansen, Lars Peter & Carrasco, Marine, 2010, "Nonlinearity and temporal dependence," Journal of Econometrics, Elsevier, volume 155, issue 2, pages 155-169, April.
• Kristensen, Dennis, 2010, "Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models," Journal of Econometrics, Elsevier, volume 156, issue 2, pages 239-259, June.
• Chen, Xiaohong & Fan, Yanqin & Pouzo, Demian & Ying, Zhiliang, 2010, "Estimation and model selection of semiparametric multivariate survival functions under general censorship," Journal of Econometrics, Elsevier, volume 157, issue 1, pages 129-142, July.
• Jensen, Mark J. & Maheu, John M., 2010, "Bayesian semiparametric stochastic volatility modeling," Journal of Econometrics, Elsevier, volume 157, issue 2, pages 306-316, August.
• Conrad, Christian, 2010, "Non-negativity conditions for the hyperbolic GARCH model," Journal of Econometrics, Elsevier, volume 157, issue 2, pages 441-457, August.
• Cho, Jin Seo & White, Halbert, 2010, "Testing for unobserved heterogeneity in exponential and Weibull duration models," Journal of Econometrics, Elsevier, volume 157, issue 2, pages 458-480, August.
• Johansen, Søren & Nielsen, Morten Ørregaard, 2010, "Likelihood inference for a nonstationary fractional autoregressive model," Journal of Econometrics, Elsevier, volume 158, issue 1, pages 51-66, September.
• Phillips, Peter C.B. & Magdalinos, Tassos & Giraitis, Liudas, 2010, "Smoothing local-to-moderate unit root theory," Journal of Econometrics, Elsevier, volume 158, issue 2, pages 274-279, October.
• Phillips, Peter C.B., 2010, "Bootstrapping I(1) data," Journal of Econometrics, Elsevier, volume 158, issue 2, pages 280-284, October.
• Christensen, Kim & Kinnebrock, Silja & Podolskij, Mark, 2010, "Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data," Journal of Econometrics, Elsevier, volume 159, issue 1, pages 116-133, November.
• Koop, Gary & Potter, Simon, 2010, "A flexible approach to parametric inference in nonlinear and time varying time series models," Journal of Econometrics, Elsevier, volume 159, issue 1, pages 134-150, November.
• Francq, Christian & Zakoïan, Jean-Michel, 2010, "Inconsistency of the MLE and inference based on weighted LS for LARCH models," Journal of Econometrics, Elsevier, volume 159, issue 1, pages 151-165, November.
• Bikbov, Ruslan & Chernov, Mikhail, 2010, "No-arbitrage macroeconomic determinants of the yield curve," Journal of Econometrics, Elsevier, volume 159, issue 1, pages 166-182, November.
• Escanciano, Juan Carlos & Velasco, Carlos, 2010, "Specification tests of parametric dynamic conditional quantiles," Journal of Econometrics, Elsevier, volume 159, issue 1, pages 209-221, November.
• Corsi, Fulvio & Pirino, Davide & Renò, Roberto, 2010, "Threshold bipower variation and the impact of jumps on volatility forecasting," Journal of Econometrics, Elsevier, volume 159, issue 2, pages 276-288, December.
• Jahan-Parvar, Mohammad R. & Waters, George A., 2010, "Equity price bubbles in the Middle Eastern and North African Financial markets," Emerging Markets Review, Elsevier, volume 11, issue 1, pages 39-48, March.
• Lu, Yang K. & Perron, Pierre, 2010, "Modeling and forecasting stock return volatility using a random level shift model," Journal of Empirical Finance, Elsevier, volume 17, issue 1, pages 138-156, January.
• Cheng, Ai-Ru & Jahan-Parvar, Mohammad R. & Rothman, Philip, 2010, "An empirical investigation of stock market behavior in the Middle East and North Africa," Journal of Empirical Finance, Elsevier, volume 17, issue 3, pages 413-427, June.
• Christensen, Bent Jesper & Nielsen, Morten Ørregaard & Zhu, Jie, 2010, "Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model," Journal of Empirical Finance, Elsevier, volume 17, issue 3, pages 460-470, June.
• Le Pen, Yannick & Sévi, Benoît, 2010, "What trends in energy efficiencies? Evidence from a robust test," Energy Economics, Elsevier, volume 32, issue 3, pages 702-708, May.
• Adeyemi, Olutomi I. & Broadstock, David C. & Chitnis, Mona & Hunt, Lester C. & Judge, Guy, 2010, "Asymmetric price responses and the underlying energy demand trend: Are they substitutes or complements? Evidence from modelling OECD aggregate energy demand," Energy Economics, Elsevier, volume 32, issue 5, pages 1157-1164, September.
• Apergis, Nicholas & Payne, James E., 2010, "Energy consumption and growth in South America: Evidence from a panel error correction model," Energy Economics, Elsevier, volume 32, issue 6, pages 1421-1426, November.
• Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2010, "Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets," Energy Economics, Elsevier, volume 32, issue 6, pages 1445-1455, November.
• Broadstock, David C. & Hunt, Lester C., 2010, "Quantifying the impact of exogenous non-economic factors on UK transport oil demand," Energy Policy, Elsevier, volume 38, issue 3, pages 1559-1565, March.
• Gallo, Andres & Mason, Paul & Shapiro, Steve & Fabritius, Michael, 2010, "What is behind the increase in oil prices? Analyzing oil consumption and supply relationship with oil price," Energy, Elsevier, volume 35, issue 10, pages 4126-4141, DOI: 10.1016/j.energy.2010.06.033.
• Anders Bredahl Kock & Timo Teräsvirta, 2010, "Forecasting with nonlinear time series models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-01, Jan.
• Peter R. Hansen & Asger Lunde, 2010, "Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-08, Feb.
• Nektarios Aslanidis & Charlotte Christiansen, 2010, "Smooth Transition Patterns in the Realized Stock Bond Correlation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-15, Apr.
• 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.