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

2009

• Hans J. Skaug & Jun Yu, 2009, "Automated Likelihood Based Inference for Stochastic Volatility Models," Working Papers, Singapore Management University, School of Economics, number 15-2009, Nov.
• Jun Yu, 2009, "Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models," Working Papers, Singapore Management University, School of Economics, number 16-2009, Nov.
• Peter C.B. PHILIPS & Yangru WU & Jun YU, 2009, "Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?," Working Papers, Singapore Management University, School of Economics, number 19-2009, Nov.
• Jun YU, 2009, "Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results," Working Papers, Singapore Management University, School of Economics, number 21-2009, Nov.
• Peter C.B.Phillips & Ioannis Kasparis, 2009, "Dynamic Misspecification in Nonparametric Cointegrating Regression," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-01-2009, Jan.
• Peter C.B.Phillips & Yangru Wu & Jun Yu, 2009, "Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-03-2008, Apr.
• Jun Yu, 2009, "Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-04-2009, Apr.
• Peter C.B.Phillips & Tassos Magdalinos, 2009, "Econometric Inference in the Vicinity of Unity," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-06-2009, Apr.
• Matteo Bonato & Massimiliano Caporin & Angelo Ranaldo, 2009, "Forecasting realized (co)variances with a block structure Wishart autoregressive model," Working Papers, Swiss National Bank, number 2009-03.
• Sule Akkoyunlu & Frank R. Lichtenberg & Boriss Siliverstovs & Peter Zweifel, 2009, "Spurious correlation in estimation of the health production function: A note," SOI - Working Papers, Socioeconomic Institute - University of Zurich, number 0903, Feb.
• Rajiv Sethi & Rohini Somanathan, 2009, "Racial Inequality and Segregation Measures: Some Evidence from the 2000 Census," The Review of Black Political Economy, Springer;National Economic Association, volume 36, issue 2, pages 79-91, June, DOI: 10.1007/s12114-009-9042-6.
• Enzo Giacomini & Michael Handel & Wolfgang K. Härdle, 2009, "Time Dependent Relative Risk Aversion," Contributions to Economics, Springer, in: Georg Bol & Svetlozar T. Rachev & Reinhold Würth, "Risk Assessment", DOI: 10.1007/978-3-7908-2050-8_3.
• Joakim Westerlund & Mauro Costantini, 2009, "Panel cointegration and the neutrality of money," Empirical Economics, Springer, volume 36, issue 1, pages 1-26, February, DOI: 10.1007/s00181-007-0181-y.
• Aránzazu Juan & Antonio Arroyo, 2009, "European incomplete catching-up," Empirical Economics, Springer, volume 36, issue 2, pages 385-402, May, DOI: 10.1007/s00181-008-0201-6.
• Marc Gronwald, 2009, "Reconsidering the macroeconomics of the oil price in Germany: testing for causality in the frequency domain," Empirical Economics, Springer, volume 36, issue 2, pages 441-453, May, DOI: 10.1007/s00181-008-0204-3.
• Chengsi Zhang & Joel Clovis, 2009, "Modeling US inflation dynamics: persistence and monetary policy regimes," Empirical Economics, Springer, volume 36, issue 2, pages 455-477, May, DOI: 10.1007/s00181-008-0205-2.
• Paresh Narayan & Seema Narayan & Vinod Mishra, 2009, "Estimating money demand functions for South Asian countries," Empirical Economics, Springer, volume 36, issue 3, pages 685-696, June, DOI: 10.1007/s00181-008-0219-9.
• Muthi Samudram & Mahendhiran Nair & Santha Vaithilingam, 2009, "Keynes and Wagner on government expenditures and economic development: the case of a developing economy," Empirical Economics, Springer, volume 36, issue 3, pages 697-712, June, DOI: 10.1007/s00181-008-0214-1.
• Hyeon-seung Huh & Hyun Lee & Namkyung Lee, 2009, "Nonlinear Phillips curve, NAIRU and monetary policy rules," Empirical Economics, Springer, volume 37, issue 1, pages 131-151, September, DOI: 10.1007/s00181-008-0226-x.
• Beate Schirwitz, 2009, "A comprehensive German business cycle chronology," Empirical Economics, Springer, volume 37, issue 2, pages 287-301, October, DOI: 10.1007/s00181-008-0233-y.
• Josep Carrion-i-Silvestre & Vicente German-Soto, 2009, "Panel data stochastic convergence analysis of the Mexican regions," Empirical Economics, Springer, volume 37, issue 2, pages 303-327, October, DOI: 10.1007/s00181-008-0234-x.
• Christian Aßmann & Jens Hogrefe & Roman Liesenfeld, 2009, "The decline in German output volatility: a Bayesian analysis," Empirical Economics, Springer, volume 37, issue 3, pages 653-679, December, DOI: 10.1007/s00181-008-0251-9.
• Kim Christensen & Mark Podolskij & Mathias Vetter, 2009, "Bias-correcting the realized range-based variance in the presence of market microstructure noise," Finance and Stochastics, Springer, volume 13, issue 2, pages 239-268, April, DOI: 10.1007/s00780-009-0089-9.
• Fredj Jawadi & Georges Prat, 2009, "Nonlinear Stock Price Adjustment in the G7 Countries," Working Papers, HAL, number hal-04140874.
• Jacques Jaussaud & Serge Rey, 2009, "Long-Run Determinants of Japanese Import Flows from USA and China : A Sectoral Approach," Working papers of CATT, HAL, number hal-01880360.
• Jacques Jaussaud & Serge Rey, 2009, "Long-Run Determinants of Japanese Exports to China and the United States: A Sectoral Analysis," Working papers of CATT, HAL, number hal-01880362, Nov.
• Michael Funke & Roberta Colavecchio, 2009, "Volatility dependence across Asia-Pacific onshore and offshore currency forwards markets," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics, number 20903, Mar.
• Sibbertsen, Philipp & Willert, Juliane, 2009, "Testing for a break in persistence under long-range dependencies and mean shifts," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-422, Jul.
• Kuswanto, Heri, 2009, "A New Simple Test Against Spurious Long Memory Using Temporal Aggregation," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-425, Aug.
• Kuswanto, Heri & Sibbertsen, Philipp, 2009, "Testing for Long Memory Against ESTAR Nonlinearities," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-427, Aug.
• Heinen, Florian & Sibbertsen, Philipp & Kruse, Robinson, 2009, "Forecasting long memory time series under a break in persistence," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-433, Nov.
• Tsiaras, Leonidas, 2009, "The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number F-2009-02, Mar.
• Widerberg, Anna & Wråke, Markus, 2009, "The Impact of the EU Emissions Trading System on CO2 Intensity in Electricity Generation," Working Papers in Economics, University of Gothenburg, Department of Economics, number 361, Jun.
• Westerlund, Joakim & Costantini, Mauro & Narayan, Paresh & Popp, Stephan, 2009, "Seasonal Unit Root Tests for Trending and Breaking Series with Application to Industrial Production," Working Papers in Economics, University of Gothenburg, Department of Economics, number 377, Sep.
• Westerlund, Joakim, 2009, "Testing for Unit Roots in Panel Time Series Models with Multiple Breaks," Working Papers in Economics, University of Gothenburg, Department of Economics, number 384, Sep.
• Jawadi, Fredj & Leoni, Patrick, 2009, "Threshold cointegration relationships between oil and stock markets," Discussion Papers on Economics, University of Southern Denmark, Department of Economics, number 3/2009, Jan.
• Marzo, Massimiliano & Zagaglia, Paolo, 2009, "The Comovements Along the Term Structure of Oil Forwards in Periods of High and Low Volatility: How Tight Are They?," Research Papers in Economics, Stockholm University, Department of Economics, number 2009:1, Jan.
• Marzo, Massimiliano & Zagaglia, Paolo, 2009, "A Further Look at the 2004 Reform of the Operational Framework of the ECB," Research Papers in Economics, Stockholm University, Department of Economics, number 2009:8, Feb.
• Zagaglia, Paolo, 2009, "Money-Market Segmentation in the Euro Area: What has Changed During the Turmoil?," Research Papers in Economics, Stockholm University, Department of Economics, number 2009:11, Apr.
• Lönnbark, Carl & Holmberg, Ulf & Brännäs, Kurt, 2009, "Value at Risk for Large Portfolios," Umeå Economic Studies, Umeå University, Department of Economics, number 769, Apr.
• Lönnbark, Carl, 2009, "On risk prediction," Umeå Economic Studies, Umeå University, Department of Economics, number 770, May.
• D. Ventosa-Santaulària, 2009, "Spurious Regression," Journal of Probability and Statistics, Hindawi, volume 2009, pages 1-27, August, DOI: 10.1155/2009/802975.
• Kurozumi, Eiji, 2009, "Construction of Stationarity Tests with Less Size Distortions," Hitotsubashi Journal of Economics, Hitotsubashi University, volume 50, issue 1, pages 87-105, June, DOI: 10.15057/17465.
• Frank Leung & Kevin Chow & Simon Chan, 2009, "Measures of Trend Inflation in Hong Kong," Working Papers, Hong Kong Monetary Authority, number 0907, Apr.
• Dong He & Zhiwei Zhang & Honglin Wang, 2009, "Hong Kong's Financial Market Interactions with the US and Mainland China in Crisis and Tranquil Times," Working Papers, Hong Kong Monetary Authority, number 0910, Jun.
• Roberta Colavecchio & Michael Funke, 2009, "Volatility Dependence across Asia-Pacific Onshore and Offshore Currency Forwards Markets," Working Papers, Hong Kong Institute for Monetary Research, number 112009, Feb.
• Gurnain Kaur Pasricha, 2009, "Bank Competition and International Financial Integration:Evidence Using a New Index," Working Papers, Hong Kong Institute for Monetary Research, number 242009, Jul.
• Teresa Leal Linares & Javier J. Pérez, 2009, "Un sistema ARIMA con agregación temporal para la previsión y el seguimiento del déficit del Estado," Hacienda Pública Española / Review of Public Economics, IEF, volume 190, issue 3, pages 27-58, June.
• Isao Ishida & Toshiaki Watanabe, 2009, "Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd08-032, Feb.
• Hiroki Masuda & Takayuki Morimoto, 2009, "An Optimal Weight for Realized Variance Based on Intermittent High-Frequency Data," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd08-033, Feb.
• Fulvio Corsi & Davide Pirino & Roberto Reno, 2009, "Volatility Forecasting: The Jumps Do Matter," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd08-036, Mar.
• Drew Creal & Siem Jan Koopman & Andre Lucas, 2009, "A General Framework for Observation Driven Time-Varying Parameter Models," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd08-038, Mar.
• Toshiaki Watanabe & Masato Ubukata, 2009, "Option Pricing Using Realized Volatility and ARCH Type Models," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd09-066, Apr.
• Eiji Kurozumi & Shinya Tanaka, 2009, "Reducing the Size Distortion of the KPSS Test," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd09-085, Sep.
• Kunz, Marcus, 2009, "Disparities, persistence and dynamics of regional unemployment rates in Germany," IAB-Discussion Paper, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany], number 200908.
• Kunz, Marcus, 2009, "Unemployment dynamics in West Germany : do districts adjust differently than larger regional units?," IAB-Discussion Paper, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany], number 200911.
• Kunz, Marcus, 2009, "Sources for regional unemployment disparities in Germany : lagged adjustment processes, exogenous shocks or both?," IAB-Discussion Paper, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany], number 200919.
• Richard T. Baille & Claudio Morana, 2009, "Investigating Inflation Dynamics and Structural Change with an Adaptive ARFIMA Approach," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research, number 06-2009, May.
• Bouezmarni, Taoufik & Van Bellegem, Sébastien, 2009, "Nonparametric Beta Kernel Estimator for Long Memory Time Series," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 633, Sep.
• P.W. Novianti & Suhartono, 2009, "Permodelan Indeks Harga Konsumen Indonesia Dengan Menggunakan Model Intervensi Multi Input," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 12, issue 1, pages 75-96, July, DOI: https://doi.org/10.21098/bemp.v12i1.
• P.W. Novianti & Suhartono, 2009, "Modeling of Indonesia Consumer Price Index Using Multi Input Intervention Model," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 12, issue 1, pages 75-96, July, DOI: https://doi.org/10.21098/bemp.v12i1.
• Emilios Avgouleas & Stavros Degiannakis, 2009, "Trade transparency and trading volume: the possible impact of the financial instruments markets directive on the trading volume of EU equity markets," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, volume 1, issue 1, pages 96-123.
• Nannette Lindenberg & Frank Westermann, 2009, "Common Trends and Common Cycles among Interest Rates of the G7-Countries," IEER Working Papers, Institute of Empirical Economic Research, Osnabrueck University, number 77, Jan.
• Jin Seo Cho & Halbert White, 2009, "Testing for Unobserved Heterogeneity in Exponential and Weibull Duration Models," Discussion Paper Series, Institute of Economic Research, Korea University, number 0912.
• Xiaohong Chen & Wei Biao Wu Wu & Yanping Yi, 2009, "Efficient estimation of copula-based semiparametric Markov models," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP06/09, Mar.
• Xiaohong Chen & Demian Pouzo, 2009, "Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP20/09, Jul.
• Chunrong Ai & Xiaohong Chen, 2009, "Semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP28/09, Oct.
• Kunst, Robert M., 2009, "A Nonparametric Test for Seasonal Unit Roots," Economics Series, Institute for Advanced Studies, number 233, Jan.
• Skriner, Edith, 2009, "Competitiveness and Specialisation of the Austrian Export Sector. A Constant-Market-Shares Analysis," Economics Series, Institute for Advanced Studies, number 235, Feb.
• Burcu ÖZCAN & Veli YILANCI, 2009, "Türk hisse senedi piyasasının zayıf formda etkinliğinin testi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 24, issue 274, pages 100-115.
• Turhan KORKMAZ & Sedat ERDOĞAN & Emrah İsmail ÇEVİK, 2009, "VOB’da işlem gören endeks ve döviz vadeli sözleşmelerin getirilerinde uzun hafıza varlığının test edilmesi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 24, issue 274, pages 7-32.
• Cem DOĞAN & Derya ERSEL, 2009, "Türkiye’nin dış ticaret dengesinin Box-Jenkins modelleriyle tahmini," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 24, issue 276, pages 52-73.
• A. Duygu AYHAN & Adnan KASMAN, 2009, "De Jure ve De Facto kur rejimlerinin makroekonomik değişkenlerin oynaklığına etkisi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 24, issue 278, pages 46-69.
• Marcela Sabaté, 2009, "Vertical Specialization and Nonstationarities in International Trade Series," The Institute for International Integration Studies Discussion Paper Series, IIIS, number iiisdp309, Nov.
• Khurshid M. Kiani, 2009, "Asymmetries in Macroeconomic Time Series in Eleven Asian Economies," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 8, issue 1, pages 37-54, April.
• Bettina Becker & Stephen G. Hall, 2009, "A new look at economic convergence in Europe: a common factor approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 14, issue 1, pages 85-97, DOI: 10.1002/ijfe.364.
• Chih-nan Chen & Tsutomu Watanabe & Tomoyoshi Yabu, 2009, "A New Method for Identifying the Effects of Foreign Exchange Interventions," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 09-E-06, Feb.
• Florin-Marius PAVELESCU, 2009, "Savings-Investments Relationship in an Open Economy," Romanian Journal of Economics, Institute of National Economy, volume 29, issue 2(38), pages 85-106, December.
• Benavides, Guillermo, 2009, "Predictive Accuracy of Futures Options Implied Volatility: the Case of the Exchange Rate Futures Mexican Peso-Us Dollar," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 0, issue 09, pages 55-95, segundo s.
• Ebru Caglayan & Tugba Dayioglu, 2009, "Doviz Kuru Getiri Volatilitesinin Kosullu Degisen Varyans Modelleri ile Ongorusu," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, volume 9, issue 1, pages 1-16, May.
• Cem Kadilar & Muammer Simsek & Cagdas Hakan Aladag, 2009, "Forecasting The Exchange Rate Series With Ann: The Case Of Turkey," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, volume 9, issue 1, pages 17-29, May.
• Askitas, Nikos & Zimmermann, Klaus F., 2009, "Google Econometrics and Unemployment Forecasting," IZA Discussion Papers, IZA Network @ LISER, number 4201, Jun.
• Askitas, Nikos & Zimmermann, Klaus F., 2009, "Prognosen aus dem Internet: Weitere Erholung am Arbeitsmarkt erwartet," IZA Standpunkte, Institute of Labor Economics (IZA), number 13, Jun.
• Askitas, Nikos & Zimmermann, Klaus F., 2009, "Googlemetrie und Arbeitsmarkt in der Wirtschaftskrise," IZA Standpunkte, Institute of Labor Economics (IZA), number 17, Aug.
• Giovanni Caggiano & Leone Leonida, 2009, "International output convergence: evidence from an autocorrelation function approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 24, issue 1, pages 139-162, DOI: 10.1002/jae.1038.
• Chun Liu & John M. Maheu, 2009, "Forecasting realized volatility: a Bayesian model-averaging approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 24, issue 5, pages 709-733, DOI: 10.1002/jae.1070.
• Sandra Sookram & George Saridakis, 2009, "The effect of economic factors on the tax ratio in Trinidad and Tobago," Journal of Developing Areas, Tennessee State University, College of Business, volume 42, issue 2, pages 111-128, January-M.
• Cem Payaslioglu, 2009, "Common features and stylized facts in Turkish macroeconomy," Journal of Developing Areas, Tennessee State University, College of Business, volume 43, issue 1, pages 155-176, September.
• Nicholas M. Odhiambo, 2009, "Interest rate reforms, financial deepening and economic growth in Kenya:an empirical investigation," Journal of Developing Areas, Tennessee State University, College of Business, volume 43, issue 1, pages 295-313, September.
• Warapong Wongwachara & Anusorn Minphimai, 2009, "Unobserved Component Models of the Phillips Relation in the ASEAN Economy," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, volume 5, issue 2, pages 241-256, July.
• Yuan-Hong Ho & Chiung-Ju Huang, 2009, "Tax-Spend, Spend-Tax, or Fiscal Synchronization: A Panel Analysis of the Chinese Provincial Real Data," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, volume 5, issue 2, pages 257-272, July.
• Yemane Wolde-Rufael, 2009, "Does Public R&D Crowd Out Private R&D? A Note From Taiwan, Roc," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, volume 34, issue 1, pages 59-69, June.
• M. Abimbola Oyinlola & M. Adetunji Babatunde, 2009, "A Bound Testing Analysis Of Exchange Rate Pass- Through To Aggregate Import Prices In Nigeria: 1980-2006," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, volume 34, issue 2, pages 97-109, December.
• Hassler Uwe & Wolters Jürgen, 2009, "Hysteresis in Unemployment Rates? A Comparison between Germany and the US," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 229, issue 2-3, pages 119-129, April, DOI: 10.1515/jbnst-2009-2-303.
• Alberto Cabrero & Gonzalo Camba-Mendez & Astrid Hirsch & Fernando Nieto, 2009, "Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank," Journal of Forecasting, John Wiley & Sons, Ltd., volume 28, issue 3, pages 194-217, DOI: 10.1002/for.1118.
• Armin Shmilovici & Yoav Kahiri & Irad Ben-Gal & Shmuel Hauser, 2009, "Measuring the Efficiency of the Intraday Forex Market with a Universal Data Compression Algorithm," Computational Economics, Springer;Society for Computational Economics, volume 33, issue 2, pages 131-154, March, DOI: 10.1007/s10614-008-9153-3.
• Mustapha Belkhouja & Mohamed Boutahar, 2009, "Structural Change and Long Memory in the Dynamic of U.S. Inflation Process," Computational Economics, Springer;Society for Computational Economics, volume 34, issue 2, pages 195-216, September, DOI: 10.1007/s10614-009-9178-2.
• Christian Dreger & Jürgen Wolters, 2009, "Money velocity and asset prices in the euro area," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 36, issue 1, pages 51-63, February, DOI: 10.1007/s10663-008-9092-1.
• Asger Lunde & Allan Zebedee, 2009, "Intraday volatility responses to monetary policy events," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 23, issue 4, pages 383-399, December, DOI: 10.1007/s11408-009-0114-1.
• María García Centeno & Román Mínguez Salido, 2009, "Estimation of Asymmetric Stochastic Volatility Models for Stock-Exchange Index Returns," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 15, issue 1, pages 71-87, February, DOI: 10.1007/s11294-008-9191-6.
• Andrew Hughes Hallett & Christian Richter, 2009, "Is the US no longer the economy of first resort? Changing economic relationships in the Asia-Pacific region," International Economics and Economic Policy, Springer, volume 6, issue 2, pages 207-234, July, DOI: 10.1007/s10368-009-0136-1.
• Andrew Hughes Hallett & Christian Richter, 2009, "Has there been any structural convergence in the transmission of European monetary policies?," International Economics and Economic Policy, Springer, volume 6, issue 2, pages 85-101, July, DOI: 10.1007/s10368-009-0132-5.
• Benjamas Jirasakuldech & Robert Campbell & Riza Emekter, 2009, "Conditional Volatility of Equity Real Estate Investment Trust Returns: A Pre- and Post-1993 Comparison," The Journal of Real Estate Finance and Economics, Springer, volume 38, issue 2, pages 137-154, February, DOI: 10.1007/s11146-007-9079-x.
• Jorge Braga de Macedo & Luis Pereira & Afonso Reis, 2009, "Comparing Exchange Market Pressure across Five African Countries," Open Economies Review, Springer, volume 20, issue 5, pages 645-682, November, DOI: 10.1007/s11079-008-9087-3.
• Chiara Pronzato, 2009, "Return to work after childbirth: does parental leave matter in Europe?," Review of Economics of the Household, Springer, volume 7, issue 4, pages 341-360, December, DOI: 10.1007/s11150-009-9059-4.
• Chia-Lin Chang & Michael Mcaleer, 2009, "Daily Tourist Arrivals, Exchange Rates and Voatility for Korea and Taiwan," Korean Economic Review, Korean Economic Association, volume 25, pages 241-267.
• Corina Dumitrescu & Ioana Vasiu, 2009, "Aspects Concerning the Strategy for the Prevention and Countering of Financing Terrorism," Knowledge Horizons - Economics, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, volume 1, issue 1, pages 10-19, March.
• Masahiko Shibamoto & Yoshiro Tsutsui & Chisako Yamane, 2009, "Understanding Regional Growth Dynamics in JAPAN: Panel Cointegration Approach Utilizing The PANIC Method," Discussion Paper Series, Research Institute for Economics & Business Administration, Kobe University, number 243, Sep, revised Mar 2016.
• Turan Bali & Kamil Yilmaz, 2009, "The Intertemporal Relation between Expected Return and Risk on Currency," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 0909, Sep, revised Nov 2009.
• Boriss Siliverstovs, 2009, "Evaluating short-run forecasting properties of the KOF employment indicator for Switzerland in real time," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 09-226, May, DOI: 10.3929/ethz-a-005817192.
• Sule Akkoyunlu & Frank R. Lichtenberg & Boriss Silverstovs & Peter Zweifel, 2009, "Spurious correlation in estimation of the health production function," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 09-227, May, DOI: 10.3929/ethz-a-005799493.
• Sule Akkoyunlu, 2009, "Trade, aid, remittances and migration," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 09-229, Jan, DOI: 10.3929/ethz-a-005859381.
• Simone Elmer & Thomas Maag, 2009, "The Persistence of Inflation in Switzerland," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 09-235, Jul, DOI: 10.3929/ethz-a-005888618.
• Bettina Becker & Stephen G. Hall, 2009, "How Far From the Euro Area? Measuring Convergence of Inflation Rates in Eastern Europe," Discussion Paper Series, Department of Economics, Loughborough University, number 2009_05, Mar, revised Mar 2009.
• Bettina Becker & Stephen G. Hall, 2009, "How Far From the Euro Area? Measuring Convergence of Inflation Rates in Eastern Europe," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 09/1, Jan.
• Stephen Hall & P.A.V.B. Swamy & George S. Tavlas & George Hondroyiannis, 2009, "Time-Varying Coefficient Estimation in the Presence of Non-Stationarity," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 09/13, Sep.
• Stephen Hall & George Hondroyiannis & P.A.V.B. Swamy & George S. Tavlas, 2009, "Bretton-Woods Systems, Old and New, and the Rotation of Exchange-Rates Regimes," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 09/15, Sep.
• Bettina Becker & Stephen G. Hall, 2009, "Measuring Convergence of the New Member Countries’ Exchange Rates to the Euro," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 09/2, Jan.
• Gilbert COLLETAZ & Christophe HURLIN & Sessi TOKPAVI, 2009, "Backtesting Value-at-Risk: A GMM Duration-Based Test," LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans, number 265.
• Beckmann, Elisabeth & Fidrmuc, Jarko, 2009, "Oil Price Shock and Structural Changes in CMEA Trade," Discussion Papers in Economics, University of Munich, Department of Economics, number 10963, Aug.
• Ludmila Fadejeva & Aleksejs Melihovs, 2009, "Measuring Total Factor Productivity and Variable Factor Utilisation: Sector Approach, The Case of Latvia," Working Papers, Latvijas Banka, number 2009/03, Aug.
• Stefania Lionetti & Juan Gabriel Brida & Wiston Adrián Risso, 2009, "Long run economic growth and tourism: inferring from Uruguay," Quaderni della facoltà di Scienze economiche dell'Università di Lugano, USI Università della Svizzera italiana, number 0901.
• Jeroen V.K. Rombouts & Lars Stentoft, 2009, "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," Cahiers de recherche, CIRPEE, number 0926.
• Luc Bauwens & Jeroen V.K. Rombouts, 2009, "On Marginal Likelihood Computation in Change-point Models," Cahiers de recherche, CIRPEE, number 0942.
• Kausik Chaudhuri & Bodhisattva Sengupta, 2009, "Revenue-Expenditure Nexus for Southern States: Some Policy Oriented Econometric Observations," Working Papers, Madras School of Economics,Chennai,India, number 2009-048, Apr.
• Otilia Boldea & Alastair R. Hall, 2009, "Estimation and Inference in Unstable Nonlinear Least Squares Models," Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester, number 126.
• Johannes Paha, 2009, "Using Accounting Data in Cartel Damage Calculations – Blessing or Menace?," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 200929.
• Antonello D'Agostino & Paolo Surico, 2009, "Does Global Liquidity Help to Forecast U.S. Inflation?," Journal of Money, Credit and Banking, Blackwell Publishing, volume 41, issue 2-3, pages 479-489, March.
• Emmanuel De Veirman, 2009, "What Makes the Output-Inflation Trade-Off Change? The Absence of Accelerating Deflation in Japan," Journal of Money, Credit and Banking, Blackwell Publishing, volume 41, issue 6, pages 1117-1140, September.
• Paul Alagidede & Theodore Panagiotidis, 2009, "Modelling stock returns in Africa’s emerging equity markets," Discussion Paper Series, Department of Economics, University of Macedonia, number 2009_01, Jan, revised Jan 2009.
• Theologos Dergiades & Lefteris Tsoulfidis, 2009, "Revisiting Residential Demand for Electricity in Greece: New Evidence from the ARDL Approach to Cointegration," Discussion Paper Series, Department of Economics, University of Macedonia, number 2009_12, Jun, revised Jun 2009.
• D. Johannes Juttner & Wayne Leung, 2009, "Towards Decoding Currency Volatilities," Multinational Finance Journal, Multinational Finance Journal, volume 13, issue 1-2, pages 103-134, March-Jun.
• Silika Prohl & Joakim Westerlund, 2009, "Using Panel Data to Test for Fiscal Sustainability within the European Union," FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, volume 65, issue 2, pages 246-269, June, DOI: 10.1628/001522109X470612.
• Robert Dixon & David Shepherd, 2009, "Regional Dimensions of the Australian Business Cycle," Department of Economics - Working Papers Series, The University of Melbourne, number 1088.
• Lupi, Claudio, 2009, "Covariate Augmented Dickey-Fuller Tests with R," Economics & Statistics Discussion Papers, University of Molise, Department of Economics, number esdp09051, Mar.
• Cerqueti, Roy & Costantini, Mauro & Lupi, Claudio, 2009, "A Characterization of the Dickey-Fuller Distribution, With Some Extensions to the Multivariate Case," Economics & Statistics Discussion Papers, University of Molise, Department of Economics, number esdp09055, Sep.
• Chor Foon Tang & Hooi Hooi Lean, 2009, "The Effects Of Disaggregated Savings On Economic Growth In Malaysia - Generalised Variance Decomposition Analysis," Development Research Unit Working Paper Series, Monash University, Department of Economics, number 04-09, Mar.
• Dominique Guegan & Zhiping Lu, 2009, "Wavelet method for locally stationary seasonal long memory processes," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 09015, Mar.
• Benjamin Hamidi & Emmanuel Jurczenko & Bertrand Maillet, 2009, "D'un multiple conditionnel en assurance de portefeuille: CAViaR pour les gestionnaires ?," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 09033, May.
• Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2009, "A Risk Management Approach for Portfolio Insurance Strategies," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 09034, May.
• Dominique Guegan & Patrick Rakotomarolahy, 2009, "The Multivariate k-Nearest Neighbor Model for Dependent Variables: One-Sided Estimation and Forecasting," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 09050, Jul, revised Dec 2009.
• 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," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 09053, Aug.
• D. S. Poskitt & Arivalzahan Sengarapillai, 2009, "Description Length and Dimensionality Reduction in Functional Data Analysis," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 13/09, Nov.
• Alysha M De Livera & Rob J Hyndman, 2009, "Forecasting time series with complex seasonal patterns using exponential smoothing," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 15/09, Dec.
• Ralph D. Snyder & J. Keith Ord, 2009, "Exponential Smoothing and the Akaike Information Criterion," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 4/09, Jun.
• Brendan P.M. McCabe & Gael M. Martin & David Harris, 2009, "Optimal Probabilistic Forecasts for Counts," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 7/09, Aug.
• James W. Taylor & Ralph D. Snyder, 2009, "Forecasting Intraday Time Series with Multiple Seasonal Cycles Using Parsimonious Seasonal Exponential Smoothing," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 9/09, Oct.
• I. De Greef & C. Van Nieuwenhuyze, 2009, "The National Bank of Belgium, Research Department’s new business survey indicator," Economic Review, National Bank of Belgium, issue ii, pages 31-51, June.
• David S. Bates, 2009, "U.S. Stock Market Crash Risk, 1926-2006," NBER Working Papers, National Bureau of Economic Research, Inc, number 14913, Apr.
• Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2009, "Jump-Robust Volatility Estimation using Nearest Neighbor Truncation," NBER Working Papers, National Bureau of Economic Research, Inc, number 15533, Nov.
• Giuseppe Cavaliere & David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2009, "Testing for unit roots in the presence of a possible break in trend and non-stationary volatility," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics, number 09/05, Dec.
• Mario Jovanovic, 2009, "Serbian foreign exchange market during 2004-2008," SEEMHN papers, National Bank of Serbia, number 19, Mar.
• H. Erkel-Rousse & C. Minodier, 2009, "Do Business Tendency Surveys in Industry and Services Help in Forecasting GDP Growth? A Real-Time Analysis on French Data," Documents de Travail de l'Insee - INSEE Working Papers, Institut National de la Statistique et des Etudes Economiques, number g2009-03.
• Luiz de Mello & Diego Moccero & Matteo Mogliani, 2009, "Do Latin American Central Bankers Behave Non-Linearly?: The Experiences of Brazil, Chile, Colombia and Mexico," OECD Economics Department Working Papers, OECD Publishing, number 679, Mar, DOI: 10.1787/226284172842.
• Luiz de Mello & Matteo Mogliani, 2009, "Current Account Sustainability in Brazil: A Non-Linear Approach," OECD Economics Department Working Papers, OECD Publishing, number 703, Jul, DOI: 10.1787/223518424256.
• Aaron Mehrotra & Tomáš Slacík, 2009, "Evaluating Inflation Determinants with a Money Supply Rule in Four Central and Eastern European EU Member States," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 3, pages 6-21.
• Jesús Crespo Cuaresma & Gernot Doppelhofer & Martin Feldkircher, 2009, "Economic Growth Determinants for European Regions: Is Central and Eastern Europe Different?," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 3, pages 22-37.
• Michael Boss & Martin Fenz & Johannes Pann & Claus Puhr & Martin Schneider & Eva Ubl, 2009, "Modeling Credit Risk through the Austrian Business Cycle: An Update of the OeNB Model," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 17, pages 85-101.
• Dumitriu Ramona & Stefanescu Razvan, 2009, "Analysis Of The Romanian Current Account Sustainability," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 163-168, May.
• Joseph V. Balagtas & Matthew T. Holt, 2009, "The Commodity Terms of Trade, Unit Roots, and Nonlinear Alternatives: A Smooth Transition Approach," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, volume 91, issue 1, pages 87-105.
• Nikolay Gospodinov, 2009, "A New Look at the Forward Premium Puzzle," Journal of Financial Econometrics, Oxford University Press, volume 7, issue 3, pages 312-338, Summer.
• Jushan Bai & Josep Lluís Carrion-I-Silvestre, 2009, "Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data," The Review of Economic Studies, Review of Economic Studies Ltd, volume 76, issue 2, pages 471-501.
• Raffaella Giacomini & Barbara Rossi, 2009, "Detecting and Predicting Forecast Breakdowns," The Review of Economic Studies, Review of Economic Studies Ltd, volume 76, issue 2, pages 669-705.
• James Rude & Jean-Philippe Gervais, 2009, "Biases in Calculating Dumping Margins: The Case of Cyclical Products," Review of Agricultural Economics, Agricultural and Applied Economics Association, volume 31, issue 1, pages 122-142.
• James Rude & Jean-Philippe Gervais, 2009, "Biases in Calculating Dumping Margins: The Case of Cyclical Products," Review of Agricultural Economics, Agricultural and Applied Economics Association, volume 31, issue 1, pages 122-142.
• Tim Bollerslev & George Tauchen & Hao Zhou, 2009, "Expected Stock Returns and Variance Risk Premia," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 11, pages 4463-4492, November.
• Tommaso Proietti, 2009, "Structural Time Series Models for Business Cycle Analysis," Palgrave Macmillan Books, Palgrave Macmillan, chapter 9, in: Terence C. Mills & Kerry Patterson, "Palgrave Handbook of Econometrics", DOI: 10.1057/9780230244405_9.
• Manoj K. Pandey & Charanjit Kaur, 2009, "Investigating Suicidal Trend and its Economic Determinants: Evidence from India," ASARC Working Papers, The Australian National University, Australia South Asia Research Centre, number 2009-08.
• Jose Oliver Q. Suaiso & Dennis S. Mapa, 2009, "Measuring market risk using extreme value theory," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, volume 46, issue 2, pages 91-121, December.
• Muhammad Zakaria & Bashir Ahmed Fida, 2009, "Democratic Institutions and Variability of Economic Growth in Pakistan: Some Evidence from the Time-series Analysis," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 48, issue 3, pages 269-289.

2008

• Christophe Hurlin & Gilbert Colletaz & Sessi Tokpavi & Bertrand Candelon, 2008, "Backtesting Value-at-Risk: A GMM Duration-Based Test," Working Papers, HAL, number halshs-00329495, Oct.
• Essahbi Essaadi & Mohamed Boutahar, 2008, "A Measure of Variability in Comovement for Economic Variables : a Time-Varying Coherence Function Approach," Working Papers, HAL, number halshs-00333582, Oct.
• Roberta Colavecchio & Michael Funke, 2008, "Volatility Transmission between Renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics, number 20803, Mar.
• Marc Gronwald & Michael Funke, 2008, "The undisclosed Renminbi Basket: are the markets telling us something about where the Renminbi - US Dollar Exchange Rate is going?," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics, number 20804, Apr.
• Michael Funke & Roberta Colavecchio, 2008, "Volatility Transmission between Renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics, number 20812, Dec.
• Michael Funke & Marc Gronwald, 2008, "The undisclosed Renminbi Basket: are the markets telling us something about where the Renminbi - US Dollar Exchange Rate is going?," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics, number 20812b, Dec.
• Kruse, Robinson, 2008, "Rational bubbles and fractional integration," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-394, Mar.
• Kruse, Robinson, 2008, "A new unit root test against ESTAR based on a class of modified statistics," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-398, Apr.
• Kuswanto, Heri & Sibbertsen, Philipp, 2008, "A Study on "Spurious Long Memory in Nonlinear Time Series Models"," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-410, Nov.