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

• Eduardo Levy-Yeyati & Sergio L. Schmukler & Neeltje van Horen, 2010, "Crises, Capital Controls and Financial Integration," Chapters, Edward Elgar Publishing, chapter 6, in: Masahiro Kawai & Mario B. Lamberte, "Managing Capital Flows".
• Capistrán, Carlos & López-Moctezuma, Gabriel, 2010, "Las expectativas macroeconómicas de los especialistas. Una evaluación de pronósticos de corto plazo en México," El Trimestre Económico, Fondo de Cultura Económica, volume 77, issue 306, pages 275-312, abril-jun, DOI: http://dx.doi.org/10.20430/ete.v77i.
• Houssem Eddine Chebbi, 2010, "Agriculture and economic growth in Tunisia," China Agricultural Economic Review, Emerald Group Publishing Limited, volume 2, issue 1, pages 63-78, February, DOI: 10.1108/17561371011017504.
• Francesco Pastore, 2010, "Assessing the impact of incomes policy: the Italian experience," International Journal of Manpower, Emerald Group Publishing Limited, volume 31, issue 7, pages 793-817, October, DOI: 10.1108/01437721011081608.
• Dierk Herzer, 2010, "Outward FDI and economic growth," Journal of Economic Studies, Emerald Group Publishing Limited, volume 37, issue 5, pages 476-494, September, DOI: 10.1108/01443581011075424.
• Roberto Dell'Anno & Ferda Halicioglu, 2010, "An ARDL model of unrecorded and recorded economies in Turkey," Journal of Economic Studies, Emerald Group Publishing Limited, volume 37, issue 6, pages 627-646, November, DOI: 10.1108/01443581011086666.
• Rup Singh & Saten Kumar, 2010, "Some empirical evidence on the demand for money in the Pacific Island countries," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 27, issue 3, pages 211-222, August, DOI: 10.1108/10867371011060045.
• Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2010, "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2010-10, Feb.
• Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2010, "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2010-12, Feb.
• Chang, C-L. & McAleer, M.J. & Tansuchat, R., 2010, "Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2010-14, Mar.
• Chang, C-L. & McAleer, M.J., 2010, "Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2010-15, Mar.
• Franses, Ph.H.B.F. & McAleer, M.J. & Legerstee, R., 2010, "Evaluating Macroeconomic Forecast: A Review of Some Recent Developments," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2010-19, Mar.
• Chang, C-L. & Franses, Ph.H.B.F. & McAleer, M.J., 2010, "Are Forecast Updates Progressive?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2010-24, Apr.
• Chang, C-L. & McAleer, M.J. & Franses, Ph.H.B.F., 2010, "Combining Non-Replicable Forecasts," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2010-44, Jul.
• Chang, C-L. & McAleer, M.J. & Lim, C., 2010, "Modelling the volatility in short and long haul Japanese tourist arrivals to New Zealand and Taiwan," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2010-47, Jul.
• McAleer, M.J. & Oxley, L., 2010, "Ten Things We Should Know About Time Series," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2010-49, Jul.
• Chen, P-Y. & Chang, C-L. & Chen, C-C. & McAleer, M.J., 2010, "Modeling the Effect of Oil Price on Global Fertilizer Prices," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2010-56, Sep.
• Caporin, M. & McAleer, M.J., 2010, "Model Selection and Testing of Conditional and Stochastic Volatility Models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2010-57, Oct.
• McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2010, "GFC-Robust Risk Management Strategies under the Basel Accord," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2010-59, Oct.
• Chang, C-L. & Franses, Ph.H.B.F. & McAleer, M.J., 2010, "Evaluating Combined Non-Replicable Forecast," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2010-74, Dec.
• Guillermo Benavides Perales, 2010, "The Theory of Storage and Price Dynamics of Agricultural Commodity Futures: the Case of Corn and Wheat," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, volume 0, issue 1, pages 1-22, May.
• Pravakar Sahoo, 2010, "India-Korea Trade and Investment Relations," Working Papers, eSocialSciences, number id:2354.
• Susmita Dasgupta & Benoit Laplante & Siobhan Murray & David Wheeler, 2010, "Climate Change and the Future Impacts of Storm-Surge Disasters in Developing Countries," Working Papers, eSocialSciences, number id:2437, Feb.
• Susmita Dasgupta & Benoit Laplante & David Wheeler & Brian Blankespoor, 2010, "The Economics of Adaptation to Extreme Weather Events in Developing Countries," Working Papers, eSocialSciences, number id:2509, Jun.
• Patrick Guillaumont & Sylviane Guillaumont Jeanneney, 2010, "Big Push versus Absorptive Capacity: How to Reconcile the Two Approaches," Working Papers, eSocialSciences, number id:3000, Oct.
• Pami Dua & Lokendra Kumawat, 2010, "Modelling and Forecasting Seasonality in Indian Macroeconomic Time Series," Working Papers, eSocialSciences, number id:3005, Oct.
• Rainer Thiele & Peter Nunnenkamp & Axel Dreher, 2010, "Do Donors Target Aid in Line with the Millennium Development Goals? A Sector Perspective of Aid Allocation," Working Papers, eSocialSciences, number id:3026, Oct.
• Paul Wachtel & Peter L. Rousseau, 2010, "Economic Growth and Financial Depth: Is the Relationship Extinct Already?," Working Papers, eSocialSciences, number id:3225, Nov.
• Martin Ravallion, 2010, "Looking Beyond Averages in the Trade and Poverty Debate," Working Papers, eSocialSciences, number id:3258, Dec.
• Chambers, MJ, 2010, "Jackknife Estimation of Stationary Autoregressive Models," Economics Discussion Papers, University of Essex, Department of Economics, number 2786.
• José Manuel Belbute, 2010, "Is the Euro-Area Core Price Index Really More Persistent than the Food and Energy Price Indexes?," Economics Working Papers, University of Évora, Department of Economics (Portugal), number 3_2010.
• Adriano Pareto & Annamaria Urbano, 2010, "Stime preliminari nelle statistiche giudiziarie: un'applicazione ai procedimenti di separazione e divorzio," RIVISTA DI ECONOMIA E STATISTICA DEL TERRITORIO, FrancoAngeli Editore, volume 2010, issue 3, pages 108-135.
• Evžen Koèenda & Tigran Poghosyan, 2010, "Exchange Rate Risk in Central European Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 60, issue 1, pages 22-39, February.
• Mehmet Umutlu & Aslihan Altay-Salih, 2010, "Does ADR Listing Affect the Dynamics of Volatility in Emerging Markets?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 60, issue 2, pages 122-137, May.
• Eduard Baumöhl & Tomáš Výrost, 2010, "Stock Market Integration: Granger Causality Testing with Respect to Nonsynchronous Trading Effects," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 60, issue 5, pages 414-425, December.
• Michal Franta & Branislav Saxa & Kateøina Šmídková, 2010, "The Role of Inflation Persistence in the Inflation Process in the New EU Member States," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 60, issue 6, pages 480-500, December.
• Hsu-Ling Chang & Chi-Wei Su, 2010, "The Lending-Deposit Rate Relationship in Eastern European Countries: Evidence from the Rank Test for Non-linear Cointegration," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 60, issue 6, pages 534-544, December.
• Eric Heyer, 2010, "Efficacité de la politique économique et position dans le cycle: le cas de la défiscalisation des heures supplémentaires en France," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2010-26, Oct.
• Bing Zhang & Xindan Li, 2010, "Currency Appreciation and Stock Market Performance: Evidence from China," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 5, issue 3, pages 393-411, September.
• Massimiliano Mazzanti & Antonio Musolesi, 2010, "Carbon Abatement Leaders and Laggards Non Parametric Analyses of Policy Oriented Kuznets Curves," Working Papers, Fondazione Eni Enrico Mattei, number 2010.149, Nov.
• Francesco D’Amuri & Juri Marcucci, 2010, "“Google it!”Forecasting the US Unemployment Rate with a Google Job Search index," Working Papers, Fondazione Eni Enrico Mattei, number 2010.31, Mar.
• Vieira, Fabrício de Assis C. & Brito, Márcio Holland de, 2010, "Crescimento econômico secular no Brasil, modelo de thirlwall e termos de troca," Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil), number 206, Jun.
• Vieira, Flávio Vilela & Brito, Márcio Holland de, 2010, "Exchange rate dynamics in Brazil," Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil), number 210, Jun.
• Rasmus Fatum & Michael M. Hutchison & Thomas Wu, 2010, "Asymmetries and state dependence: the impact of macro surprises on intraday exchange rates," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 49.
• James H. Stock & Mark W. Watson, 2010, "Modeling inflation after the crisis," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 173-220.
• Michael J. Dueker & Laura E. Jackson & Michael T. Owyang & Martin Sola, 2010, "A Time-Varying Threshold STAR Model with Applications," Working Papers, Federal Reserve Bank of St. Louis, number 2010-029, revised 10 Aug 2022, DOI: 10.20955/wp.2010.029.
• Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2010, "Jump-robust volatility estimation using nearest neighbor truncation," Staff Reports, Federal Reserve Bank of New York, number 465.
• S. Boragan Aruoba & Francis X. Diebold, 2010, "Real-time macroeconomic monitoring: real activity, inflation, and interactions," Working Papers, Federal Reserve Bank of Philadelphia, number 10-5.
• Jan P. A. M. Jacobs & Simon van Norden, 2010, "Lessons from the latest data on U.S. productivity," Working Papers, Federal Reserve Bank of Philadelphia, number 11-1.
• Giovanni De Luca & Giampiero Gallo, 2010, "A Time-varying Mixing Multiplicative Error Model for Realized Volatility," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2010_03, Apr.
• Hrishikesh D. Vinod, 2010, "A New Solution to Time Series Inference in Spurious Regression Problems," Fordham Economics Discussion Paper Series, Fordham University, Department of Economics, number dp2010-01.
• Pavel Trunin & Dmitriy Kniazev & Ekaterina Kuduykina, 2010, "Perspective issues in the CBR`s exchange rate policy," Research Paper Series, Gaidar Institute for Economic Policy, issue 144P.
• Sergey Drobyshevsky & G.Kuzmicheva & Elena Sinelnikova & Pavel Trunin, 2010, "Modeling monetary demand in the Russian economy over 1999�2008," Research Paper Series, Gaidar Institute for Economic Policy, issue 136P.
• Christian de Peretti & Carole Siani & Mario Cerrato, 2010, "A Bootstrap Neural Network Based Heterogeneous Panel Unit Root Test: Application to Exchange Rates," Working Papers, Business School - Economics, University of Glasgow, number 2010_05, Mar.
• Hyunsok Kim & Ronald MacDonald, 2010, "Equilibrium exchange rate determination and multiple structural changes," Working Papers, Business School - Economics, University of Glasgow, number 2010_14, May.
• Abdulnasser Hatemi-J & Eduardo Roca, 2010, "The Impact of the US Real Estate Market on Other Major Markets During Normal and Crisis Periods," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201003, Mar.
• Vitali Alexeev & Alex Maynard, 2010, "Localized Level Crossing Random Walk Test Robust to the Presence of Structural Breaks," Working Papers, University of Guelph, Department of Economics and Finance, number 1001.
• Vitali Alexeev & Francis Tapon, 2010, "Testing Weak Form Efficiency on the Toronto Stock Exchange," Working Papers, University of Guelph, Department of Economics and Finance, number 1002.
• Virginie Coudert & Cécile Couharde & Valérie Mignon, 2010, "Exchange Rate Flexibility across Financial Crises," CEPN Working Papers, HAL, number hal-00845254.
• Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2010, "Testing Fractional Order of Long Memory Processes: A Monte Carlo Study," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00486655, Apr, DOI: 10.1080/03610911003646381.
• Adeline Bachellerie & Jérôme Héricourt & Valérie Mignon, 2010, "L'intégration commerciale est-elle une condition préalable à l'intégration financière ?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00649944, May, DOI: 10.3917/reco.613.0477.
• Laurent Ferrara & Dominique Guegan & Patrick Rakotomarolahy, 2010, "GDP nowcasting with ragged-edge data: a semi-parametric modeling," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00460461, Mar, DOI: 10.1002/for.1159.
• Dominique Guegan & Patrick Rakotomarolahy, 2010, "A Short Note on the Nowcasting and the Forecasting of Euro-area GDP Using Non-Parametric Techniques," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00460472.
• Dominique Guegan & Patrick Rakotomarolahy, 2010, "A short note on the nowcasting and the forecasting of Euro-area GDP using non-parametric techniques," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00461711, Jan.
• Dominique Guegan & Justin Leroux, 2010, "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-00462454, Jan.
• Christophe Chorro & Dominique Guegan & Florian Ielpo, 2010, "Option pricing for GARCH-type models with generalized hyperbolic innovations," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00469529, Mar.
• Ibrahim Ahamada & Philippe Jolivaldt, 2010, "Classical vs wavelet-based filters Comparative study and application to business cycle," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00476022, Mar.
• Dominique Guegan & Zhiping Lu, 2010, "Testing unit roots and long range dependence of foreign exchange," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00505117, Jun.
• Dominique Guegan & Patrick Rakotomarolahy, 2010, "Alternative methods for forecasting GDP," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00505165, Jul.
• Dominique Guegan & Patrick Rakotomarolahy, 2010, "Alternative methods for forecasting GDP," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00511979, Dec.
• Christophe Chorro & Dominique Guegan & Florian Ielpo, 2010, "Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00523371, Jul.
• Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2010, "Testing Fractional Order of Long Memory Processes: A Monte Carlo Study," Post-Print, HAL, number hal-00486655, Apr, DOI: 10.1080/03610911003646381.
• Sylviane Guillaumont Jeanneney & Patrick Guillaumont, 2010, "Big Push versus Absorptive Capacity. How to Reconcile the Two Approaches?," Post-Print, HAL, number hal-00488690.
• Adeline Bachellerie & Jérôme Héricourt & Valérie Mignon, 2010, "L'intégration commerciale est-elle une condition préalable à l'intégration financière ?," Post-Print, HAL, number hal-00649944, May, DOI: 10.3917/reco.613.0477.
• Frédérique Bec & Mélika Ben Salem & Marine Carrasco, 2010, "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," Post-Print, HAL, number hal-00685810, Dec.
• Ruslan Bikbov & Mikhail Chernov, 2010, "No-arbitrage macroeconomic determinants of the yield curve," Post-Print, HAL, number hal-00732517, Sep, DOI: 10.1016/j.jeconom.2010.05.004.
• J. Carlos Escanciano & Carlos Velasco, 2010, "Specification tests of parametric dynamic conditional quantiles," Post-Print, HAL, number hal-00732534, Sep, DOI: 10.1016/j.jeconom.2010.06.003.
• Gary Koop & Simon Potter, 2010, "A flexible approach to parametric inference in nonlinear and time varying time series models," Post-Print, HAL, number hal-00732535, Sep, DOI: 10.1016/j.jeconom.2010.05.002.
• Christian Francq & Jean-Michel Zakoïan, 2010, "Inconsistency of the MLE and inference based on weighted LS for LARCH models," Post-Print, HAL, number hal-00732536, Sep, DOI: 10.1016/j.jeconom.2010.05.003.
• Kim Christensen & Silja Kinnebrock & Mark Podolskij, 2010, "Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data," Post-Print, HAL, number hal-00732537, Sep, DOI: 10.1016/j.jeconom.2010.05.001.
• Fulvio Corsi & Davide Pirino & Roberto Renò, 2010, "Threshold bipower variation and the impact of jumps on volatility forecasting," Post-Print, HAL, number hal-00741630, Oct, DOI: 10.1016/j.jeconom.2010.07.008.
• Fabien Candau & Michaël Goujon & Jean-François Hoarau & Serge Rey, 2010, "Taux de change réel et compétitivité de l’économie réunionnaise," Post-Print, HAL, number hal-01881844.
• Ibrahim Ahamada & Philippe Jolivaldt, 2010, "Classical vs wavelet-based filters Comparative study and application to business cycle," Post-Print, HAL, number halshs-00476022, Mar.
• Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2010, "Testing Fractional Order of Long Memory Processes: A Monte Carlo Study," PSE-Ecole d'économie de Paris (Postprint), HAL, number hal-00486655, Apr, DOI: 10.1080/03610911003646381.
• Laurent Ferrara & Dominique Guegan & Patrick Rakotomarolahy, 2010, "GDP nowcasting with ragged-edge data: a semi-parametric modeling," PSE-Ecole d'économie de Paris (Postprint), HAL, number halshs-00460461, Mar, DOI: 10.1002/for.1159.
• Eric Heyer, 2010, "Efficacité de la politique économique et position dans le cycle : le cas de la défiscalisation des heures supplémentaires en France," Sciences Po Economics Publications (main), HAL, number hal-01069450, Oct.
• Mohamed El Hedi Arouri & Duc Khuong Nguyen & Amine Lahiani, 2010, "Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models," Working Papers, HAL, number hal-00507831, Aug.
• Virginie Coudert & Cécile Couharde & Valérie Mignon, 2010, "Exchange Rate Flexibility across Financial Crises," Working Papers, HAL, number hal-00845254.
• Eric Heyer, 2010, "Efficacité de la politique économique et position dans le cycle : le cas de la défiscalisation des heures supplémentaires en France," Working Papers, HAL, number hal-01069450, Oct.

2009

• Beine, Michel & Laurent, Sébastien & Palm, Franz C., 2009, "Central bank FOREX interventions assessed using realized moments," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 19, issue 1, pages 112-127, February.
• Ciarlone, Alessio & Piselli, Paolo & Trebeschi, Giorgio, 2009, "Emerging markets' spreads and global financial conditions," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 19, issue 2, pages 222-239, April.
• Gnabo, Jean-Yves & Teiletche, Jérôme, 2009, "Foreign-exchange intervention strategies and market expectations: insights from Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 19, issue 3, pages 432-446, July.
• Arghyrou, Michael G. & Gregoriou, Andros & Kontonikas, Alexandros, 2009, "Do real interest rates converge? Evidence from the European union," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 19, issue 3, pages 447-460, July.
• Dahl, Christian M. & Hansen, Henrik & Smidt, John, 2009, "The cyclical component factor model," International Journal of Forecasting, Elsevier, volume 25, issue 1, pages 119-127.
• Athanasopoulos, George & Ahmed, Roman A. & Hyndman, Rob J., 2009, "Hierarchical forecasts for Australian domestic tourism," International Journal of Forecasting, Elsevier, volume 25, issue 1, pages 146-166.
• Morana, Claudio, 2009, "On the macroeconomic causes of exchange rate volatility," International Journal of Forecasting, Elsevier, volume 25, issue 2, pages 328-350.
• Lahiani, A. & Scaillet, O., 2009, "Testing for threshold effect in ARFIMA models: Application to US unemployment rate data," International Journal of Forecasting, Elsevier, volume 25, issue 2, pages 418-428.
• Kocenda, Evzen & Poghosyan, Tigran, 2009, "Macroeconomic sources of foreign exchange risk in new EU members," Journal of Banking & Finance, Elsevier, volume 33, issue 11, pages 2164-2173, November.
• Becker, Ralf & Clements, Adam E. & McClelland, Andrew, 2009, "The jump component of S&P 500 volatility and the VIX index," Journal of Banking & Finance, Elsevier, volume 33, issue 6, pages 1033-1038, June.
• Nautz, Dieter & Schmidt, Sandra, 2009, "Monetary policy implementation and the federal funds rate," Journal of Banking & Finance, Elsevier, volume 33, issue 7, pages 1274-1284, July.
• Banerjee, Swapnendu & Basu, Sanjay, 2009, "Rent a womb: Surrogate selection, investment incentives and contracting," Journal of Economic Behavior & Organization, Elsevier, volume 69, issue 3, pages 260-273, March.
• Caporale, Guglielmo Maria & Kontonikas, Alexandros, 2009, "The Euro and inflation uncertainty in the European Monetary Union," Journal of International Money and Finance, Elsevier, volume 28, issue 6, pages 954-971, October.
• Kyrtsou, Catherine & Vorlow, Costas, 2009, "Modelling non-linear comovements between time series," Journal of Macroeconomics, Elsevier, volume 31, issue 1, pages 200-211, March.
• Chalamandaris, Georgios & Tsekrekos, Andrianos E., 2009, "Common Factors and Causality in the Dynamics of Implied Volatility Surfaces: Evidence from the FX OTC Market," The Journal of Economic Asymmetries, Elsevier, volume 6, issue 1, pages 49-74, DOI: 10.1016/j.jeca.2009.01.005.
• Galvao, Antonio F. & Montes-Rojas, Gabriel & Olmo, Jose, 2009, "Quantile Threshold Effects in the Dynamics of the Dollar/Pound Exchange Rate," The Journal of Economic Asymmetries, Elsevier, volume 6, issue 2, pages 69-82, DOI: 10.1016/j.jeca.2009.02.007.
• Kobayashi, Masahito, 2009, "Testing for jumps in the stochastic volatility models," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 79, issue 8, pages 2597-2608, DOI: 10.1016/j.matcom.2008.12.009.
• Chen, Cathy W.S. & Gerlach, Richard & Cheng, Nick Y.P. & Yang, Y.L., 2009, "The impact of structural breaks on the integration of the ASEAN-5 stock markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 79, issue 8, pages 2654-2664, DOI: 10.1016/j.matcom.2008.12.012.
• Shi, Xiuhong & Kobayashi, Masahito, 2009, "Testing for jumps in the EGARCH process," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 79, issue 9, pages 2797-2808, DOI: 10.1016/j.matcom.2008.05.003.
• Perron, Pierre & Wada, Tatsuma, 2009, "Let's take a break: Trends and cycles in US real GDP," Journal of Monetary Economics, Elsevier, volume 56, issue 6, pages 749-765, September.
• Daniel Buncic, 2009, "Understanding forecast failure of ESTAR models of real exchange rates," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2009_18, 08.
• Tommaso Proietti, 2009, "The Multistep Beveridge-Nelson Decomposition," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2009_24, 09.
• Don Harding & Adrian Pagan, 2009, "An econometric analysis of some models for constructed binary time series," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2009-08, Jan.
• Miksjuk Alexei, 2009, "Studying the Relation between the Interest Rates and the Exchange Rate in Belarus under the Speculative Motives Assumption," EERC Working Paper Series, EERC Research Network, Russia and CIS, number 09/07e, Nov.
• Guillermo Benavides Perales, 2009, "Price volatility forecasts for agricultural commodities: an application of volatility models, option implieds and composite approaches forfutures prices of corn and wheat," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 3, issue 2, pages 40-59.
• J Korosteleva & Colin Lawson, 2009, "The Belarusian Case of Transition: Whither Financial Repression?," Department of Economics Working Papers, University of Bath, Department of Economics, number 4/09.
• Cláudio H. dos Santos & Manoel Carlos de Castro Pires, 2009, "How does Brazilian private investment respond to increases in the gross tax burden? An econometric investigation," Brazilian Journal of Political Economy, Center of Political Economy, volume 29, issue 3, pages 213-231.
• Janine Aron & John Muellbauer, 2009, "Monetary Policy and Inflation Modeling in a More Open Economy in South Africa," Chapters, Edward Elgar Publishing, chapter 15, in: Gill Hammond & Ravi Kanbur & Eswar Prasad, "Monetary Policy Frameworks for Emerging Markets".
• Frédérique Bec & Othman Bouabdallah & Laurent Ferrara, 2011, "The European Way Out of Recessions," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2011-23.
• Rodolfo Cermeño & Daniel Ángeles Galván, 2009, "Desempeño de estimadores alternativos en modelos GARCH bivariados con muestras finitas," Working Papers, CIDE, División de Economía, number DTE 469, Dec.
• Chang, C-L. & McAleer, M.J. & Tansuchat, R., 2009, "Modelling conditional correlations for risk diversification in crude oil markets," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-11, Jun.
• Chang, C-L. & McAleer, M.J. & Tansuchat, R., 2009, "Forecasting volatility and spillovers in crude oil spot, forward and future markets," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-12, Jun.
• Chang, C-L. & Franses, Ph.H.B.F. & McAleer, M.J., 2009, "How Accurate are Government Forecast of Economic Fundamentals?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-09, Jul.
• McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2009, "What Happened to Risk Management During the 2008-09 Financial Crisis?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-17, Aug.
• Chu, L. & McAleer, M.J. & Chen, C-C., 2009, "How Volatile is ENSO?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-18, Aug.
• Groen, J.J.J. & Paap, R., 2009, "Real-time inflation forecasting in a changing world," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-19, Sep.
• Khamkaew, T. & Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2009, "Modelling conditional correlations in the volatility of Asian rubber spot and futures returns," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-34, Nov.
• Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2009, "Modelling Long Memory Volatility in Agricultural Commodity Futures Returns," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-35, Nov.
• Chang, C-L. & Khamkaew, T. & McAleer, M.J. & Tansuchat, R., 2009, "Interdependence of international tourism demand and volatility in leading ASEAN destinations," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-36, Nov.
• McAleer, M.J. & Medeiros, M.C., 2009, "Forecasting Realized Volatility with Linear and Nonlinear Models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-37, Nov.
• da Veiga, B. & Chan, F. & McAleer, M.J., 2009, "It Pays to Violate: How Effective are the Basel Accord Penalties?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-39, Nov.
• Chang, C-L. & McAleer, M.J., 2009, "Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-41, Nov.
• Chang, C-L. & McAleer, M.J., 2009, "Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-41, Nov.
• Rombouts, J.V.K. & Verbeek, M.J.C.M., 2009, "Evaluating Portfolio Value-At-Risk Using Semi-Parametric GARCH Models," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2004-107-F&A, Jan.
• Francisco Venegas Martínez & Miguel à ngel Tinoco Zermeño & Víctor Hugo Torres Preciado, 2009, "Desregulación financiera, desarrollo del sistema financiero y crecimiento económico en México: efectos de largo plazo y causalidad," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, volume 24, issue 2, pages 249-283.
• Vladimir Parail, 2009, "Can Merchant Interconnectors Deliver Lower and More Stable Prices? The Case of NorNed," Working Papers, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge, number EPRG 0926, Nov.
• Manuel Gómez Zaldivar & Oscar Manjarrez Castro & Daniel Ventosa-Santaulària, 2009, "Regresión espuria en especificaciones dinámicas," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, volume 0, issue 1, pages 1-20, May.
• Lake E. A. & Katrakilidis C., 2009, "The Effects of the Increasing Oil Price Returns and its Volatility on Four Emerged Stock Markets," European Research Studies Journal, European Research Studies Journal, volume 0, issue 1, pages 149-161.
• Mojmir Sabolovic, 2009, "Business Performance Analysis via VAIC™," European Research Studies Journal, European Research Studies Journal, volume 0, issue 3, pages 77-82.
• Ion Dobre & Adriana AnaMaria Alexandru, 2009, "The Impact of Unemployment Rate on the Dimension of Shadow Economy in Spain: A Structural Equation Approach," European Research Studies Journal, European Research Studies Journal, volume 0, issue 4, pages 179-197.
• Eduardo Yeyati Levy, 2009, "Crises, Capital Controls, and Financial Integration," Working Papers, eSocialSciences, number id:2099.
• Rajiv Sethi, 2009, "Racial Inequality and Segregation Measures: Some Evidence from the 2000 Census," Working Papers, eSocialSciences, number id:2104.
• Katelijne A.E. Carbonez, 2009, "Model Selection and Estimation of Long-Memory Time-Series Models," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, volume 0, issue 4, pages 512-554.
• Carlos Martinez-Mongay & Luis Angel Maza Lasierra, 2009, "Competitiveness and growth in EMU: The role of the external sector in the adjustment of the Spanish economy," European Economy - Economic Papers 2008 - 2015, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission, number 355, Jan.
• Helmut Luetkepohl, 2009, "Forecasting Aggregated Time Series Variables: A Survey," Economics Working Papers, European University Institute, number ECO2009/17.
• Margherita Gerolimetto & Christine Mauracher, 2009, "Struttura ed evoluzione delle esportazioni italiane di vino da tavola e a denominazione di origine," Economia agro-alimentare, FrancoAngeli Editore, volume 11, issue 3, pages 119-142.
• C. Peter Timmer, 2009, "Did Speculation Affect World Rice Prices?," Working Papers, Agricultural and Development Economics Division of the Food and Agriculture Organization of the United Nations (FAO - ESA), number 09-07.
• Jozef Barunik & Lukas Vacha, 2009, "Wavelet Analysis of Central European Stock Market Behaviour During the Crisis," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2009/23, Oct, revised Oct 2009.
• ZHANG Chengsi, 2009, "Structural instability of China inflation dynamics," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 4, issue 1, pages 30-45, March.
• FAN Gang & HE Liping & HU Jiani, 2009, "CPI vs. PPI: Which drives which£¿," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 4, issue 3, pages 317-334, September.
• Edward E. Ghartey, 2009, "The Mid 1990s Peso Crisis in Mexico: An Application of the Girton-Roper Model," Frontiers in Finance and Economics, SKEMA Business School, volume 6, issue 1, pages 73-92, April.
• Erik Hjalmarsson & Peter Manchev, 2009, "Characteristic-based mean-variance portfolio choice," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 981.
• Jan J. J. Groen & Richard Paap & Francesco Ravazzolo, 2009, "Real-time inflation forecasting in a changing world," Staff Reports, Federal Reserve Bank of New York, number 388, Aug.
• Albert J. Menkveld & Asani Sarkar & Michel Van der Wel, 2009, "Are market makers uninformed and passive? Signing trades in the absence of quotes," Staff Reports, Federal Reserve Bank of New York, number 395.
• Valentina Corradi & Norman R. Swanson, 2009, "Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models," Working Papers, Federal Reserve Bank of Philadelphia, number 09-29.
• Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo, 2009, "Intra-daily Volume Modeling and Prediction for Algorithmic Trading," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2009_01, Feb.
• Fabrizio Cipollini & Giampiero M. Gallo, 2009, "Automated Variable Selection in Vector Multiplicative Error Models," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2009_02, Feb.
• Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2009, "Semiparametric vector MEM," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2009_03, Feb.
• Mancino Maria Elvira & Simona Sanfelici, 2009, "Covariance estimation and dynamic asset allocation under microstructure effects via Fourier methodology," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2009-09, Dec.
• George Bagdatoglou & Alexandros Kontonikas, 2009, "A New Test of the Real Interest Rate Parity Hypothesis: Bounds Approach and Structural Breaks," Working Papers, Business School - Economics, University of Glasgow, number 2009_17, May.
• Mario Cerrato & Hyunsok Kim & Ronald MacDonald, 2009, "Technical Appendix-3-Regime asymmetric STAR modeling and exchange rate reversion," Working Papers, Business School - Economics, University of Glasgow, number 2009_26, Jul.
• Mario Cerrato & Christian de Peretti & Rolf Larsson & Nick Sarantis, 2009, "A Nonlinear Panel Unit Root Test under Cross Section Dependence," Working Papers, Business School - Economics, University of Glasgow, number 2009_28, Jul.
• Matteo Modena, 2009, "An Empirical Investigation of the Lucas Hypothesis: the Yield Curve and Non Linearity in the Money-Output Relationship," Working Papers, Business School - Economics, University of Glasgow, number 2010_15, May, revised Jun 2010.
• Jingping Gu & Paula Hernandez-Verme, 2009, "A Semiparametric Time Trend Varying Coefficients Model: With An Application to Evaluate Credit Rationing in U.S. Credit Market," Department of Economics and Finance Working Papers, Universidad de Guanajuato, Department of Economics and Finance, number EM200902, Aug.
• Adeline Bachellerie & Jérôme Héricourt & Valérie Mignon, 2009, "From Various Degrees of Trade to Various Degrees of Financial Integration: What Do Interest Rates Have to Say?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00649936, Dec.
• Laurent Ferrara & Dominique Guegan & Patrick Rakotomarolahy, 2009, "GDP nowcasting with ragged-edge data : A semi-parametric modelling," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00344839, Nov.
• Dominique Guegan & Zhiping Lu, 2009, "Wavelet Method for Locally Stationary Seasonal Long Memory Processes," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00375531, Mar.
• Benjamin Hamidi & Emmanuel Jurczenko & Bertrand Maillet, 2009, "D'un multiple conditionnel en assurance de portefeuille : CAViaR pour les gestionnaires ?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00389773, May.
• Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2009, "A Risk Management Approach for Portfolio Insurance Strategies," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00389789, May.
• Dominique Guegan & Patrick Rakotomarolahy, 2009, "The Multivariate k-Nearest Neighbor Model for Dependent Variables : One-Sided Estimation and Forecasting," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00423871, Dec.
• Monica Billio & Laurent Ferrara & Dominique Guegan & Gian Luigi Mazzi, 2009, "Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00423890, Aug.
• Dominique Guegan & Justin Leroux, 2009, "Forecasting chaotic systems: The role of local Lyapunov exponents," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00431726, Sep, DOI: 10.1016/j.chaos.2008.09.017.
• R. Beaupain & A. Durre, 2009, "The interday and intraday patterns of the overnight market: evidence from an electronic platform," Post-Print, HAL, number hal-00393027, Jun.
• Steve Lawford & Michalis P. Stamatogiannis, 2009, "The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators," Post-Print, HAL, number hal-00563603, Feb, DOI: 10.1016/j.jeconom.2008.10.004.
• Adeline Bachellerie & Jérôme Héricourt & Valérie Mignon, 2009, "From Various Degrees of Trade to Various Degrees of Financial Integration: What Do Interest Rates Have to Say?," Post-Print, HAL, number hal-00649936, Dec.
• Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2009, "A Risk Management Approach for Portfolio Insurance Strategies," Post-Print, HAL, number halshs-00389789, May.
• Essahbi Essaadi & Jamel Jouini & Wajih Khallouli, 2009, "The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis," Post-Print, HAL, number halshs-00404386, DOI: 10.2298/PAN0902241E.
• Monica Billio & Laurent Ferrara & Dominique Guegan & Gian Luigi Mazzi, 2009, "Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area," Post-Print, HAL, number halshs-00423890, Aug.
• Olivier Darné & Amélie Charles, 2009, "Large shocks in U.S. macroeconomic time series: 1860–1988," Working Papers, HAL, number hal-00422502.
• Chengsi Zhang, 2009, "Structural instability of China inflation dynamics," Frontiers of Economics in China, Springer;Higher Education Press, volume 4, issue 1, pages 30-45, March, DOI: 10.1007/s11459-009-0002-7.
• Gang Fan & Liping He & Jiani Hu, 2009, "CPI vs. PPI: Which drives which?," Frontiers of Economics in China, Springer;Higher Education Press, volume 4, issue 3, pages 317-334, September, DOI: 10.1007/s11459-009-0018-z.
• Dimitrios Dadakas & Erotokritos Varelas, 2009, "The decomposition of Greek real GDP (1858–1938)," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), volume 56, issue 2, pages 189-202, June, DOI: 10.1007/s12232-008-0059-0.
• Guglielmo Caporale & Luis Gil-Alana, 2009, "Multiple shifts and fractional integration in the US and UK unemployment rates," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 33, issue 4, pages 364-375, October, DOI: 10.1007/s12197-008-9058-y.
• Angelos Kanas, 2009, "Real exchange rate, stationarity, and economic fundamentals," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 33, issue 4, pages 393-409, October, DOI: 10.1007/s12197-008-9041-7.
• Martin Schmidt, 2009, "The nonlinear behavior of competition: the impact of talent compression on competition," Journal of Population Economics, Springer;European Society for Population Economics, volume 22, issue 1, pages 57-74, January, DOI: 10.1007/s00148-006-0104-9.
• Davide Ferrari & Sandra Paterlini, 2009, "The Maximum Lq-Likelihood Method: An Application to Extreme Quantile Estimation in Finance," Methodology and Computing in Applied Probability, Springer, volume 11, issue 1, pages 3-19, March, DOI: 10.1007/s11009-007-9063-1.
• José Dias Curto & João Tomaz & José Castro Pinto, 2009, "A new approach to bad news effects on volatility: the multiple-sign-volume sensitive regime EGARCH model (MSV-EGARCH)," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, volume 8, issue 1, pages 23-36, April, DOI: 10.1007/s10258-009-0037-9.