Research classified by Journal of Economic Literature (JEL) codes

---

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

2009

• Chabi-Yo, Fousseni, 2009, "Expected Returns and Volatility of Fama-French Factors," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2009-17, Sep.
• Ramirez, Miguel D., 2009, "Does Public Investment Enhance Labor Productivity Growth in Argentina? A Cointegration Analysis," Working Papers, Yale University, Department of Economics, number 57, Jan.
• Ramirez, Miguel D., 2009, "Foreign Direct Investment and Its Determinants in the ChileCase: An Error Correction Model Analysis, 1960-2002," Working Papers, Yale University, Department of Economics, number 62, Jun.
• Qiying Wang & Peter C. B. Phillips, 2009, "Structural Nonparametric Cointegrating Regression," Econometrica, Econometric Society, volume 77, issue 6, pages 1901-1948, November.
• David Ardia, 2009, "Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations," Econometrics Journal, Royal Economic Society, volume 12, issue 1, pages 105-126, March.
• Xiaohong Chen & Roger Koenker & Zhijie Xiao, 2009, "Copula-based nonlinear quantile autoregression," Econometrics Journal, Royal Economic Society, volume 12, issue s1, pages 50-67, January.
• Xu Cheng & P eter C. B. Phillips, 2009, "Semiparametric cointegrating rank selection," Econometrics Journal, Royal Economic Society, volume 12, issue s1, pages 83-104, January.
• Bagdatoglou, George & Kontonikas, Alexandros, 2009, "A New Test of the Real Interest Rate Parity Hypothesis: Bounds Approach and Structural Breaks," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2009-23.
• Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2009, "3-Regime symmetric STAR modeling and exchange rate reversion," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2009-07.
• Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2009, "Technical Appendix-3-Regime asymmetric STAR modeling and exchange rate reversion," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2009-37.
• Colavecchio, Roberta & Funke, Michael, 2009, "Volatility dependence across Asia-Pacific onshore and offshore currency forwards markets," Journal of Asian Economics, Elsevier, volume 20, issue 2, pages 174-196, March.
• Richard, Patrick, 2009, "Modified fast double sieve bootstraps for ADF tests," Computational Statistics & Data Analysis, Elsevier, volume 53, issue 12, pages 4490-4499, October.
• Bouezmarni, T. & Rombouts, J.V.K., 2009, "Semiparametric multivariate density estimation for positive data using copulas," Computational Statistics & Data Analysis, Elsevier, volume 53, issue 6, pages 2040-2054, April.
• Baillie, Richard T. & Morana, Claudio, 2009, "Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach," Journal of Economic Dynamics and Control, Elsevier, volume 33, issue 8, pages 1577-1592, August.
• Stan Hurn & Ralf Becker, 2009, "Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity," Economic Analysis and Policy, Elsevier, volume 39, issue 2, pages 311-326, September.
• Anatolyev, Stanislav, 2009, "Dynamic modeling under linear-exponential loss," Economic Modelling, Elsevier, volume 26, issue 1, pages 82-89, January.
• Bagliano, Fabio C. & Morana, Claudio, 2009, "International macroeconomic dynamics: A factor vector autoregressive approach," Economic Modelling, Elsevier, volume 26, issue 2, pages 432-444, March.
• Becker, Bettina & Hall, Stephen G., 2009, "How far from the Euro Area? Measuring convergence of inflation rates in Eastern Europe," Economic Modelling, Elsevier, volume 26, issue 4, pages 788-798, July.
• Davidson, James & Sibbertsen, Philipp, 2009, "Tests of bias in log-periodogram regression," Economics Letters, Elsevier, volume 102, issue 2, pages 83-86, February.
• Baum, Christopher F. & Caglayan, Mustafa & Ozkan, Neslihan, 2009, "The second moments matter: The impact of macroeconomic uncertainty on the allocation of loanable funds," Economics Letters, Elsevier, volume 102, issue 2, pages 87-89, February.
• Kuester, Keith & Müller, Gernot J. & Stölting, Sarah, 2009, "Is the New Keynesian Phillips curve flat?," Economics Letters, Elsevier, volume 103, issue 1, pages 39-41, April.
• Gabriel, Vasco J. & Levine, Paul & Spencer, Christopher, 2009, "How forward-looking is the Fed? Direct estimates from a 'Calvo-type' rule," Economics Letters, Elsevier, volume 104, issue 2, pages 92-95, August.
• Anatolyev, Stanislav & Kosenok, Grigory, 2009, "Tests in contingency tables as regression tests," Economics Letters, Elsevier, volume 105, issue 2, pages 189-192, November.
• Kim, Dukpa & Perron, Pierre, 2009, "Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses," Journal of Econometrics, Elsevier, volume 148, issue 1, pages 1-13, January.
• Juhl, Ted & Xiao, Zhijie, 2009, "Tests for changing mean with monotonic power," Journal of Econometrics, Elsevier, volume 148, issue 1, pages 14-24, January.
• Lawford, Steve & Stamatogiannis, Michalis P., 2009, "The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators," Journal of Econometrics, Elsevier, volume 148, issue 2, pages 124-130, February.
• Kim, Dukpa & Perron, Pierre, 2009, "Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope," Journal of Econometrics, Elsevier, volume 149, issue 1, pages 26-51, April.
• Kurozumi, Eiji & Hayakawa, Kazuhiko, 2009, "Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors," Journal of Econometrics, Elsevier, volume 149, issue 2, pages 118-135, April.
• Corradi, Valentina & Distaso, Walter & Swanson, Norman R., 2009, "Predictive density estimators for daily volatility based on the use of realized measures," Journal of Econometrics, Elsevier, volume 150, issue 2, pages 119-138, June.
• Xiao, Zhijie, 2009, "Quantile cointegrating regression," Journal of Econometrics, Elsevier, volume 150, issue 2, pages 248-260, June.
• Perron, Pierre & Yabu, Tomoyoshi, 2009, "Estimating deterministic trends with an integrated or stationary noise component," Journal of Econometrics, Elsevier, volume 151, issue 1, pages 56-69, July.
• Phillips, Peter C.B., 2009, "Long memory and long run variation," Journal of Econometrics, Elsevier, volume 151, issue 2, pages 150-158, August.
• Chen, Xiaohong & Pouzo, Demian, 2009, "Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals," Journal of Econometrics, Elsevier, volume 152, issue 1, pages 46-60, September.
• De Rossi, Giuliano & Harvey, Andrew, 2009, "Quantiles, expectiles and splines," Journal of Econometrics, Elsevier, volume 152, issue 2, pages 179-185, October.
• Dungey, Mardi & McKenzie, Michael & Smith, L. Vanessa, 2009, "Empirical evidence on jumps in the term structure of the US Treasury Market," Journal of Empirical Finance, Elsevier, volume 16, issue 3, pages 430-445, June.
• Dionne, Georges & Duchesne, Pierre & Pacurar, Maria, 2009, "Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange," Journal of Empirical Finance, Elsevier, volume 16, issue 5, pages 777-792, December.
• Apergis, Nicholas & Payne, James E., 2009, "Energy consumption and economic growth in Central America: Evidence from a panel cointegration and error correction model," Energy Economics, Elsevier, volume 31, issue 2, pages 211-216, DOI: 10.1016/j.eneco.2008.09.002.
• Wolde-Rufael, Yemane, 2009, "Energy consumption and economic growth: The experience of African countries revisited," Energy Economics, Elsevier, volume 31, issue 2, pages 217-224, DOI: 10.1016/j.eneco.2008.11.005.
• Bask, Mikael & Widerberg, Anna, 2009, "Market structure and the stability and volatility of electricity prices," Energy Economics, Elsevier, volume 31, issue 2, pages 278-288, March.
• Halicioglu, Ferda, 2009, "An econometric study of CO2 emissions, energy consumption, income and foreign trade in Turkey," Energy Policy, Elsevier, volume 37, issue 3, pages 1156-1164, March.
• Alagidede, Paul & Panagiotidis, Theodore, 2009, "Modelling stock returns in Africa's emerging equity markets," International Review of Financial Analysis, Elsevier, volume 18, issue 1-2, pages 1-11, March.
• Andrés González & Kirstin Hubrich & Timo Teräsvirta, 2009, "Forecasting inflation with gradual regime shifts and exogenous information," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-03, Jan.
• Tim Bollerslev & Natalia Sizova & George Tauchen, 2009, "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-05, Feb.
• Anders Tolver Jensen & Theis Lange, 2009, "On IGARCH and convergence of the QMLE for misspecified GARCH models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-06, Feb.
• Jeroen V.K. Rombouts & Lars Stentoft, 2009, "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-07, Feb.
• Konstantinos Fokianos & Anders Rahbek & Dag Tjøstheim, 2009, "Poisson Autoregression," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-12, Mar.
• Peter Reinhard Hansen & Guillaume Horel, 2009, "Quadratic Variation by Markov Chains," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-13, Mar.
• Anders Bredahl Kock, 2009, "Forecasting with Universal Approximators and a Learning Algorithm," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-18, May.
• Michael Frömmel & Robinson Kruse, 2009, "Interest rate convergence in the EMS prior to European Monetary Union," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-23, Jun.
• Michael Jansson & Morten Ørregaard Nielsen, 2009, "Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-37, Aug.
• Niels Haldrup & Antonio Montañés & Andreu Sansó, 2009, "Detection of additive outliers in seasonal time series," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-40, Sep.
• Dennis Kristensen, 2009, "Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-41, Sep.
• Kim Christensen & Silja Kinnebrock & Mark Podolskij, 2009, "Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-45, Sep.
• Isabel Casas & Irene Gijbels, 2009, "Unstable volatility functions: the break preserving local linear estimator," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-48, Oct.
• Torben G. Andersen & Viktor Todorov, 2009, "Realized Volatility and Multipower Variation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-49, May.
• Robinson Kruse & Michael Frömmel & Lukas Menkhoff & Philipp Sibbertsen, 2009, "What do we know about real exchange rate non-linearities?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-50, May.
• Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2009, "Jump-Robust Volatility Estimation using Nearest Neighbor Truncation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-52, Oct.
• Florian Heinen & Philipp Sibbertsen & Robinson Kruse, 2009, "Forecasting long memory time series under a break in persistence," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-53, Nov.
• Michael Jansson & Morten Ørregaard Nielsen, 2009, "Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-55, Nov.
• Christian M. Dahl & Emma M. Iglesias, 2009, "Modelling the Volatility-Return Trade-off when Volatility may be Nonstationary," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-59, Oct.
• Helle Bunzel & Walter Enders, 2009, "The Taylor Rule and “Opportunistic” Monetary Policy," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-04, Dec.
• Seyfettin Erdoğan & Hilal Bozkurt, 2009, "The Determinants of Current Account Deficit in Turkey: An Analysis with MGARCH Models," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., volume 24, issue 84, pages 135-172, July.
• Jiti Gao & Degui Li & Dag Tjostheim, 2009, "Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series," School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy, number 2009-26.
• Nikolaos Askitas & Klaus F. Zimmermann, 2009, "Google Econometrics and Unemployment Forecasting," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, volume 55, issue 2, pages 107-120.
• Shuddhasattwa Rafiq & Ruhul A. Salim, 2009, "Temporal Causality between Energy Consumption and Income in Six Asian Emerging Countries," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, volume 55, issue 4, pages 335-350.
• Emilian Dobrescu, 2009, "Estimating the Total Factor Productivity in Romanian Economy," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, volume 11, issue 26, pages 512-521, June.
• Lucian-Liviu Albu & Vasile Dinu, 2009, "How Deep and How Long Could Be the Recession in Romania," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, volume 11, issue Number Sp, pages 675-683, November.
• Terence C. Mills, 2009, "Modelling trends and cycles in economic time series: historical perspective and future developments," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), volume 3, issue 3, pages 221-244, October, DOI: 10.1007/s11698-008-0031-y.
• Paul Alagidede, 2009, "Are African Stock Markets Integrated with the Rest of the World?," The African Finance Journal, Africagrowth Institute, volume 11, issue 1, pages 37-53.
• Masuda, Tadayoshi & Goldsmith, Peter D., , "World Soybean Demand: An Elasticity Analysis and Long-Term Projections," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin, Agricultural and Applied Economics Association, number 49490, DOI: 10.22004/ag.econ.49490.
• Belot, Michele & James, Jonathan, 2009, "Healthy School Meals And Educational Outcomes," Working Papers, American Association of Wine Economists, number 56207, Dec, DOI: 10.22004/ag.econ.56207.
• Balagtas, Joseph Valdes & Holt, Matthew T., None, "AJAE Appendix: The Commodity Terms of Trade, Unit Roots, and Nonlinear Alternatives," American Journal of Agricultural Economics APPENDICES, Agricultural and Applied Economics Association, volume 91, issue 01, pages 1-21, DOI: 10.22004/ag.econ.164070.
• Martin-Rodriguez, Gloria & Caceres-Hernandez, Jose Juan, 2009, "The Proportion of the Seasonal Period as a Season Index in Weekly Agricultural Data," 2009 Conference, August 16-22, 2009, Beijing, China, International Association of Agricultural Economists, number 49956, DOI: 10.22004/ag.econ.49956.
• Hassouneh, Islam & Serra, Teresa & Gil, Jose Maria, 2009, "Price transmission in the Spanish bovine sector: the BSE effect," 2009 Conference, August 16-22, 2009, Beijing, China, International Association of Agricultural Economists, number 50121, DOI: 10.22004/ag.econ.50121.
• Mugunieri, Godiah Lawrence & Obare, Gideon A. & Omamo, Steven Were, 2009, "Does the structure of agricultural science and technology policy system matter in developing country agricultural productivity growth trends? Evidence from Kenya and Uganda," 2009 Conference, August 16-22, 2009, Beijing, China, International Association of Agricultural Economists, number 50538, Jun, DOI: 10.22004/ag.econ.50538.
• Busse, Stefan & Ihle, Rico, 2009, "German Rapeseed Oil and Biodiesel Pricing under Changing Market Conditions: A Markov-switching Vector Error Correction Model Approach," 2009 Conference, August 16-22, 2009, Beijing, China, International Association of Agricultural Economists, number 51032, DOI: 10.22004/ag.econ.51032.
• Loy, Jens-Peter & Pieniadz, Agata, 2009, "Optimal Grain Marketing Revisited: A German and Polish Perspective," 2009 Conference, August 16-22, 2009, Beijing, China, International Association of Agricultural Economists, number 51058, DOI: 10.22004/ag.econ.51058.
• Vermeulen, Hester & Ndibongo Traub, Lulama & Meyer, Ferdinand H., 2009, "Impact Analysis Of Food Policy Response On Household Food Security: The Case Of South Africa’S Maize Subsector," 2009 Conference, August 16-22, 2009, Beijing, China, International Association of Agricultural Economists, number 51396, DOI: 10.22004/ag.econ.51396.
• Ramirez, Octavio A., 2009, "The Asymmetric Cycling of U.S. Soybeans and Brazilian Coffee Prices: An Opportunity for Improved Forecasting and Understanding of Price Behavior," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 41, issue 01, pages 1-14, April, DOI: 10.22004/ag.econ.48760.
• Baek, Jungho & Koo, Won W., None, "On the Dynamic Relationship between U.S. Farm Income and Macroeconomic Variables," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 41, issue 2, DOI: 10.22004/ag.econ.53097.
• Orregaard Nielsen, Morten & Frederiksen, Per, 2009, "Fully Modied Narrow-Band Least Squares Estimation of Stationary Fractional Cointegration," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273647, Feb, DOI: 10.22004/ag.econ.273647.
• Jesper Christensen, Bent & Zhu, Jie & Orregaard Nielsen, Morten, 2009, "Long memory in stock market volatility and the volatility-in-mean effect: the FIEGARCH-M model," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273693, Jun, DOI: 10.22004/ag.econ.273693.
• Jansson, Michael & AYrregaard Nielsen, Morten, 2009, "Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273699, Aug, DOI: 10.22004/ag.econ.273699.
• Frederiksen, Per & Nielsen, Frank S. & Orregaard Nielsen, Morten, 2009, "Local polynomial Whittle estimation of perturbed fractional processes," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273704, Sep, DOI: 10.22004/ag.econ.273704.
• Jansson, Michael & Orregaard Nielsen, Morten, 2009, "Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273720, Nov, DOI: 10.22004/ag.econ.273720.
• Bogdan Dima & Oana LobonÅ£ & Cristina Nicolescu, 2009, "The Fiscal Revenues And Public Expenditures: Is Their Evolution Sustenable? The Romanian Case," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 1, issue 11, pages 1-42.
• Henrique Duarte Carvalho & Paulo Roberto Scalco & João Eustáquio de Lima, 2009, "Integração Espacial entre os Preços das Cestas Básicas nas Capitais da Região Sudeste do Brasil," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 10, issue 2, pages 373-399.
• Christopher Timmins & Wolfram Schlenker, 2009, "Reduced-Form Versus Structural Modeling in Environmental and Resource Economics," Annual Review of Resource Economics, Annual Reviews, volume 1, issue 1, pages 351-380, September.
• Yacine Ait-Sahalia & Jialin Yu, 2009, "High frequency market microstructure noise estimates and liquidity measures," Papers, arXiv.org, number 0906.1444, Jun.
• Hugo Rodríguez Mendizábal & Máximo Camacho & Gabriel Pérez Quirós, 2009, "Are the High-growth Recovery Periods Over?," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 772.09, Apr.
• Laura Mayoral, 2009, "Heterogeneous dynamics, aggregation and the persistence of economic shocks," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 786.09, Oct.
• Elisabeth T. Pereira & J. P. Cerdeira Bento & Ricardo Fernando Silva, 2009, "Cointegration and Asymmetric Adjustment between Output and Unemployment: an Application to the U.S. Economy," Working Papers de Economia (Economics Working Papers), Departamento de Economia, Gestão e Engenharia Industrial, Universidade de Aveiro, number 52, Dec.
• Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar, 2010, "Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency," Working Papers, University of Heidelberg, Department of Economics, number 0497, Mar.
• Jan P.A.M. Jacobs & Jenny E. Ligthart & Hendrik Vrijburg, 2009, "Dynamic Panel Data Models Featuring Endogenous Interaction and Spatially Correlated Errors," International Center for Public Policy Working Paper Series, at AYSPS, GSU, International Center for Public Policy, Andrew Young School of Policy Studies, Georgia State University, number paper0915, Dec.
• Zhongfang He & John M. Maheu, 2009, "Real Time Detection of Structural Breaks in GARCH Models," Staff Working Papers, Bank of Canada, number 09-31, DOI: 10.34989/swp-2009-31.
• Fuchun Li & Greg Tkacz, 2009, "A Consistent Test for Multivariate Conditional Distributions," Staff Working Papers, Bank of Canada, number 09-34, DOI: 10.34989/swp-2009-34.
• Hasan Sahin & Ismail H. Genç, 2009, "An Empirical Analysis of Short Term Interest Rate Models for Turkey," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 3, issue 2, pages 107-119.
• Mert Ural, 2009, "Alternative Approaches for Estimating Value at Risk," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 3, issue 2, pages 63-86.
• Turhan Korkmaz & Emrah Ismail Çevik, 2009, "Volatility Spillover Effect from Volatility Implied Index to Emerging Markets," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 3, issue 2, pages 87-106.
• Maximo Camacho & Gabriel Perez-Quiros, 2009, "Ñ-STING: España Short Term INdicator of Growth," Working Papers, Banco de España, number 0912, Jun.
• Maximo Camacho & Gabriel Perez-Quiros & Hugo Rodríguez Mendizábal, 2009, "High-growth Recoveries, Inventories and the Great Moderation," Working Papers, Banco de España, number 0917, Aug.
• Andrea Silvestrini, 2009, "Seasonal adjustment of bank deposits and loans," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 42, Mar.
• Andrea Nobili, 2009, "Composite indicators for monetary analysis," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 713, May.
• Benavides Guillermo & Capistrán Carlos, 2009, "Forecasting Exchange Rate Volatility: The Superior Performance of Conditional Combinations of Time Series and Option Implied Forecasts," Working Papers, Banco de México, number 2009-01, Jan.
• Noriega Antonio E. & Ramos Francia Manuel, 2009, "On the dynamics of inflation persistence around the world," Working Papers, Banco de México, number 2009-02, Feb.
• Rangel José Gonzalo & Engle Robert F., 2009, "The Factor-Spline-GARCH Model for High and Low Frequency Correlations," Working Papers, Banco de México, number 2009-03, Feb.
• Capistrán Carlos & Constandse Christian & Ramos Francia Manuel, 2009, "Using Seasonal Models to Forecast Short-Run Inflation in Mexico," Working Papers, Banco de México, number 2009-05, Jul.
• Benavides Guillermo & Capistrán Carlos, 2009, "A Note on the Volatilities of the Interest Rate and the Exchange Rate Under Different Monetary Policy Instruments: Mexico 1998-2008," Working Papers, Banco de México, number 2009-10, Oct.
• Rangel José Gonzalo, 2009, "Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics," Working Papers, Banco de México, number 2009-15, Dec.
• Francq, Christian & Zakoïan, Jean-Michel, 2009, "Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons," Journal of the American Statistical Association, American Statistical Association, volume 104, issue 485, pages 313-324.
• Pesaran, M. Hashem & Timmermann, Allan, 2009, "Testing Dependence Among Serially Correlated Multicategory Variables," Journal of the American Statistical Association, American Statistical Association, volume 104, issue 485, pages 325-337.
• Fokianos, Konstantinos & Rahbek, Anders & Tjøstheim, Dag, 2009, "Poisson Autoregression," Journal of the American Statistical Association, American Statistical Association, volume 104, issue 488, pages 1430-1439.
• Anatolyev, Stanislav, 2009, "Nonparametric Retrospection and Monitoring of Predictability of Financial Returns," Journal of Business & Economic Statistics, American Statistical Association, volume 27, issue 2, pages 149-160.
• Perron, Pierre & Yabu, Tomoyoshi, 2009, "Testing for Shifts in Trend With an Integrated or Stationary Noise Component," Journal of Business & Economic Statistics, American Statistical Association, volume 27, issue 3, pages 369-396.
• Aruoba, S. BoraÄŸan & Diebold, Francis X. & Scotti, Chiara, 2009, "Real-Time Measurement of Business Conditions," Journal of Business & Economic Statistics, American Statistical Association, volume 27, issue 4, pages 417-427.
• Knüppel, Malte, 2009, "Testing Business Cycle Asymmetries Based on Autoregressions With a Markov-Switching Intercept," Journal of Business & Economic Statistics, American Statistical Association, volume 27, issue 4, pages 544-552.
• Sanvi Avouyi-Dovi & Bardos, M. & Caroline Jardet & Kendaoui, L. & Moquet , J., 2009, "Macro stress testing with a macroeconomic credit risk model: Application to the French manufacturing sector," Working papers, Banque de France, number 238.
• Simon Dubecq & Ghattassi, I., 2009, "Consumption-Wealth Ratio and Housing Prices," Working papers, Banque de France, number 264.
• Pamfili Antipa & Schalck, C., 2009, "Impact of Fiscal Policy on Residential Investment in France," Working papers, Banque de France, number 270.
• Maximo Camacho & Gabriel Pérez-Quirós & Hugo Rodríguez Mendizábal, 2015, "Are the high-growth recovery periods over?," Working Papers, Barcelona School of Economics, number 382, Sep.
• Laura Mayoral, 2015, "Heterogeneous dynamics, aggregation and the persistence of economic shocks," Working Papers, Barcelona School of Economics, number 400, Sep.
• Marco R Barassi & Dayong Zhang, 2009, "Fractional Integration and Cointegration: Testing the Term Structure of Interest Rates," Discussion Papers, Department of Economics, University of Birmingham, number 09-17, Nov.
• Oğuz Atuk & Mustafa Utku Özmen, 2009, "Design and evaluation of core inflation measures for Turkey," IFC Working Papers, Bank for International Settlements, number 3, Mar.
• Carlos Capistrán & Manuel Ramos‐Francia, 2009, "Inflation Dynamics In Latin America," Contemporary Economic Policy, Western Economic Association International, volume 27, issue 3, pages 349-362, July, DOI: 10.1111/j.1465-7287.2008.00128.x.
• Helge Berger & Thomas Harjes, 2009, "Does Global Liquidity Matter for Monetary Policy in the Euro Area?," International Finance, Wiley Blackwell, volume 12, issue 1, pages 33-55, May, DOI: 10.1111/j.1468-2362.2009.01231.x.
• Francesco Audrino & Peter Bühlmann, 2009, "Splines for financial volatility," Journal of the Royal Statistical Society Series B, Royal Statistical Society, volume 71, issue 3, pages 655-670, June, DOI: 10.1111/j.1467-9868.2009.00696.x.
• Siem Jan Koopman & Kai Ming Lee, 2009, "Seasonality with trend and cycle interactions in unobserved components models," Journal of the Royal Statistical Society Series C, Royal Statistical Society, volume 58, issue 4, pages 427-448, September, DOI: 10.1111/j.1467-9876.2009.00661.x.
• Philipp Sibbertsen & Robinson Kruse, 2009, "Testing for a break in persistence under long‐range dependencies," Journal of Time Series Analysis, Wiley Blackwell, volume 30, issue 3, pages 263-285, May, DOI: 10.1111/j.1467-9892.2009.00611.x.
• Christian Francq & Jean‐Michel Zakoïan, 2009, "Bartlett's formula for a general class of nonlinear processes," Journal of Time Series Analysis, Wiley Blackwell, volume 30, issue 4, pages 449-465, July, DOI: 10.1111/j.1467-9892.2009.00623.x.
• Siem Jan Koopman & Marius Ooms & Irma Hindrayanto, 2009, "Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 71, issue 5, pages 683-713, October, DOI: 10.1111/j.1468-0084.2009.00557.x.
• Robert Stehrer & Julia Woerz, 2009, "Industrial Diversity, Trade Patterns, and Productivity Convergence," Review of Development Economics, Wiley Blackwell, volume 13, issue 2, pages 356-372, May, DOI: 10.1111/j.1467-9361.2008.00506.x.
• Nasri Harb, 2009, "Oil Exports, Non‐Oil GDP, and Investment in the GCC Countries," Review of Development Economics, Wiley Blackwell, volume 13, issue 4, pages 695-708, November, DOI: 10.1111/j.1467-9361.2009.00524.x.
• Thabo M. Mokoena & Rangan Gupta & Reneé Van Eyden, 2009, "Testing For Ppp Using Sadc Real Exchange Rates," South African Journal of Economics, Economic Society of South Africa, volume 77, issue 3, pages 351-362, September, DOI: 10.1111/j.1813-6982.2009.01220.x.
• Andrew Stuart Duncan & Guangling“dave” Liu, 2009, "Modelling South African Currency Crises As Structural Changes In The Volatility Of The Rand," South African Journal of Economics, Economic Society of South Africa, volume 77, issue 3, pages 363-379, September, DOI: 10.1111/j.1813-6982.2009.01215.x.
• Lennart Hoogerheide & Richard Kleijn & Francesco Ravazzolo & Herman K. van Dijk & Marno Verbeek, 2009, "Forecast accuracy and economic gains from Bayesian model averaging using time varying weight," Working Paper, Norges Bank, number 2009/10, Jun.
• Jan J. J. Groen & Richard Paap & Francesco Ravazzolo, 2009, "Real-Time Inflation Forecasting in a Changing World," Working Paper, Norges Bank, number 2009/16, Aug.
• Zhijie Xiao, 2009, "Quantile Cointegrating Regression," Boston College Working Papers in Economics, Boston College Department of Economics, number 708, Jan.
• Ted Juhl & Zhijie Xiao, 2009, "Tests for Changing Mean with Monotonic Power," Boston College Working Papers in Economics, Boston College Department of Economics, number 709, Jun.
• Zhijie Xiao & Roger Koenker, 2009, "Conditional Quantile Estimation for GARCH Models," Boston College Working Papers in Economics, Boston College Department of Economics, number 725, Mar.
• George Hondroyiannis, 2009, "Fertility Determinants and Economic Uncertainty:An Assessment Using European Panel Data," Working Papers, Bank of Greece, number 96, Apr.
• M. Marzo & P. Zagaglia, 2009, "A further look at the 2004 reform of the operational framework of the ECB," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number 659, Mar.
• Mohitosh Kejriwal & Pierre Perron, 2009, "A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2009-005, Feb.
• Evarist Stoja & Arnold Polanski, 2009, "Dynamic Density Forecasts for Multivariate Asset Returns," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 09/616, Sep.
• Zisimos Koustas & Jean-Francois Lamarche, 2009, "Instrumental variable estimation of a nonlinear Taylor rule," Working Papers, Brock University, Department of Economics, number 0909, Dec, revised Jul 2010.
• Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2009, "Private information, stock markets, and exchange rates," Working Papers, Monetary Policy Group, Bank of Thailand, number 2009-07, Jul.
• Vladimir Borgy & Valérie Mignon, 2009, "Taux d'intérêt et marchés boursiers : une analyse empirique de l'intégration financière internationale," Economie & Prévision, La Documentation Française, volume 0, issue 1, pages 105-121.
• Laurent Ferrara, 2009, "Caractérisation et datation des cycles économiques en zone euro," Revue économique, Presses de Sciences-Po, volume 60, issue 3, pages 703-712.
• Juncal Cuñado & L.A. Gil-Alana & F. Pérez de Gracia, 2009, "AK growth models: new evidence based on fractional integration and breaking trends," Recherches économiques de Louvain, De Boeck Université, volume 75, issue 2, pages 131-149.
• Françoise Charpin, 2009, "Estimation précoce de la croissance. De la régression LARS au modèle à facteurs," Revue de l'OFCE, Presses de Sciences-Po, volume 0, issue 1, pages 31-48.
• Parail, V., 2009, "Can Merchant Interconnectors Deliver Lower and More Stable Prices? The Case of NorNed," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0947, Nov.
• Ajimuda Olumide, 2009, "Price Volatility, Expectations and Monetary Policy in Nigeria," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, volume 1, pages 109-140, May.
• Amaranta Melchor del Río & Susanne Thorwarth, 2009, "Tomatoes or tomato pickers? Free trade and migration between Mexico and the United States," Journal of Applied Economics, Universidad del CEMA, volume 12, pages 109-135, May.
• Christos Agiakloglou & Sotiris Karkalakos, 2009, "A spatial and economic analysis for telecommunications: Evidence from the European Union," Journal of Applied Economics, Universidad del CEMA, volume 12, pages 11-32, May.
• Peter M Robinson, 2009, "Correlation Testing in Time Series, SpatialandCross-Sectional Data," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 530, Jan.
• Walter Kraemer, 2008, "Long Memory with Markov-Switching GARCH," CESifo Working Paper Series, CESifo, number 2225.
• Nannette Lindenberg & Frank Westermann, 2009, "Common Trends and Common Cycles among Interest Rates of the G7-Countries," CESifo Working Paper Series, CESifo, number 2532.
• Gabriella Deborah Legrenzi, 2009, "Asymmetric and Non-Linear Adjustments in Local Fiscal Policy," CESifo Working Paper Series, CESifo, number 2550.
• Helmut Lütkepohl & Fang Xu, 2009, "The Role of the Log Transformation in Forecasting Economic Variables," CESifo Working Paper Series, CESifo, number 2591.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2009, "Multi-Factor Gegenbauer Processes and European Inflation Rates," CESifo Working Paper Series, CESifo, number 2648.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2009, "Long Memory in US Real Output per Capita," CESifo Working Paper Series, CESifo, number 2671.
• Marc Gronwald & Janina Ketterer, 2009, "Evaluating Emission Trading as a Policy Tool - Evidence from Conditional Jump Models," CESifo Working Paper Series, CESifo, number 2682.
• Guglielmo Maria Caporale & Luca Onorante & Paolo Paesani, 2009, "Inflation and Inflation Uncertainty in the Euro Area," CESifo Working Paper Series, CESifo, number 2720.
• Sasa Zikovic & Randall Filer, 2009, "Hybrid Historical Simulation VaR and ES: Performance in Developed and Emerging Markets," CESifo Working Paper Series, CESifo, number 2820.
• Marc Gronwald, 2009, "Jumps in Oil Prices- Evidence and Implications," ifo Working Paper Series, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 75.
• David E. Allen & Michael McAleer & Marcel Scharth, 2009, "Realized Volatility Risk," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-197, Dec, revised Jan 2010.
• Susmita Dasgupta & Benoit Laplante & Siobhan Murray & David Wheeler, 2009, "Climate Change and the Future Impacts of Storm-Surge Disasters in Developing Countries," Working Papers, Center for Global Development, number 182, Sep.
• Giovanni BARONE-ADESI & Helyette GEMAN & John THEAL, 2009, "On the Lease Rate, the Convenience Yield and Speculative Effects in the Gold Futures Market," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 09-07, Mar.
• 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?," Working Papers, CEPII research center, number 2009-01, Jan.
• Myriam Blin & Bazoumana Ouattara, 2009, "Foreign Direct Investment and Economic Growth in Mauritius: Evidence from Bounds Test Cointegration," Economie Internationale, CEPII research center, issue 117, pages 47-61.
• Xiaohong Chen & Lars P. Hansen & Marine Carrasco, 2009, "Nonlinearity and Temporal Dependence," CIRANO Working Papers, CIRANO, number 2009s-17, May.
• Frédérique Bec & Mélika Ben Salem & Marine Carrasco, 2009, "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," CIRANO Working Papers, CIRANO, number 2009s-18, May.
• Jeroen Rombouts & Lars Stentoft, 2009, "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CIRANO Working Papers, CIRANO, number 2009s-19, May.
• Jason Allen & Robert Amano & David P. Byrne & Allan W. Gregory, 2009, "Canadian city housing prices and urban market segmentation," Canadian Journal of Economics, Canadian Economics Association, volume 42, issue 3, pages 1132-1149, August, DOI: 10.1111/j.1540-5982.2009.01541.x.
• F. Crudu, 2009, "GMM, Generalized Empirical Likelihood, and Time Series," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 200912.
• José R. Sánchez-Fung, 2009, "Modelación de la inversión en Centroamérica y la República Dominicana," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• jair Ojeda Joya, 2009, "Purchasing Power Parity and Breaking Trend Functions in the Real Exchange Rate," Borradores de Economia, Banco de la Republica, number 5521, May.
• Jos� Eduardo G�mez Gonz�lez & In�s Paola Orozco, 2009, "Un Modelo de Alerta Temprana para el Sistema Financiero Colombiano," Borradores de Economia, Banco de la Republica, number 5544, May.
• Ignacio Lozano & Enrique Cabrera, 2009, "Una nota sobre la sostenibilidad fiscal y el nexo entre los ingresos y gastos del Gobierno Colombiano," Borradores de Economia, Banco de la Republica, number 6126, Nov.
• Juan Jos� Echavarr�a & Enrique L�pez E. & Martha Misas A., 2009, "Intervenciones cambiarias y pol�tica monetaria en Colombia. Un an�lisis de VAR estructural," Borradores de Economia, Banco de la Republica, number 6127, Nov.
• Catherine Fayad Hernández & Roberto Carlos Fortich Mesa & Ignacio Vélez - Pareja, 2009, "Proyección De La Tasa De Cambio De Colombia Bajo Condiciones De Ppa: Evidencia Empírica Usando Var," Estudios Gerenciales, Universidad Icesi.
• David Mauricio Rivera Palacio, 2009, "Modelacion del efecto del día de la semana para los índices accionarios de Colombia mediante un modelo STAR GARCH," Revista de Economía del Rosario, Universidad del Rosario.
• Andrés Eduardo Rangel Jiménez, 2009, "¿Histéresis en la tasa de desempleo de Bogotá? Consideraciones sobre el uso de los test ADF y Zivot-Andrews," Revista de Economía y Administración, Universidad Autónoma de Occidente.
• Catherine Fayad & Roberto Fortich & Ignacio Velez-Pareja, 2009, "Proyeccion de la tasa de cambio de Colombia bajo condiciones de PPA: evidencia empirica y demostracion econometrica mediante VAR," Documentos de Trabajo, Universidad Tecnológica de Bolívar, number 5293, Feb.
• Milena Hoyos & Johanna Ramos & Lorena Vivas, 2009, "Un modelo SETAR para el PIB Colombiano," Documentos de Trabajo, Escuela de Economía, Universidad Nacional de Colombia, FCE, CID, number 6160, May.
• Jaime Silva González, 2009, "Estimación de la tasa de cambio real de equilibrio: aplicación a Colombia," Revista de Economía del Caribe, Universidad del Norte, volume 0, issue 0, pages 1-35.
• Guido Gabriel González Casares & Marlon Andrés Viera Mendoza & Xavier Ordenana Rodríguez, 2009, "El destino de las remesas en Ecuador: Un análisis microeconómico sobre los factores que determinan su utilización en actividades de inversión," Revista de Economía del Caribe, Universidad del Norte, volume 0, issue 0, pages 1-37.
• José Luis Ramos Ruiz & Raimundo Abello Llanos & Gustavo Rodríguez Albor, 2009, "Posibilidades de transformación productiva y desarrollo tecnológico del Caribe colombiano," Revista de Economía del Caribe, Universidad del Norte, volume 0, issue 0, pages 1-40.
• Paola Roldán Vásquez & Carlos Ospino Hernández, 2009, "¿Quiénes terminan en la informalidad?: Impacto de las características y el tiempo de búsqueda," Revista de Economía del Caribe, Universidad del Norte, volume 0, issue 0, pages 1-32.
• Gustavo Solórzano Andrade & Iván Rivadeneyra Camino & Luis Ángel Guamán Lazo, 2009, "Cambio estructural en la competitividad ecuatoriana después de la dolarización," Revista de Economía del Caribe, Universidad del Norte, volume 0, issue 0, pages 1.
• ROMBOUTS, Jeroen V.K. & STENTOFT, Lars, 2009, "Bayesian option pricing using mixed normal heteroskedasticity models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2009013, Mar.
• BAUWENS, Luc & ROMBOUTS, Jeroen, 2009, "On marginal likelihood computation in change-point models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2009061, Oct.
• Muellbauer, John & Aron, Janine, 2009, "Some Issues in Modeling and Forecasting Inflation in South Africa," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7183, Feb.
• Pérez-Quirós, Gabriel & Camacho, Máximo, 2009, "Introducing the Euro-STING: Short-Term Indicator of Euro Area Growth," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7343, Jun.
• Ferrara, Laurent & Darné, Olivier, 2009, "Identification of slowdowns and accelerations for the euro area economy," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7376, Jul.
• Nael Al-Anaswah & Bernd Wilfling, 2009, "Identification of speculative bubbles using state-space models with Markov-switching," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 0309, Sep.
• Tino Berger & Bernd Kempa, 2009, "A new approach to estimating equilibrium exchange rates for small open economies: The case of Canada," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 0509, Aug.