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

• 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.
• 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.

2008

• Abdou Kâ Diongue & Dominique Guegan, 2008, "The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics," Post-Print, HAL, number halshs-00259225, Feb.
• Ibrahim Ahamada & Philippe Jolivaldt, 2008, "Wavelets unit root test vs DF test : A further investigation based on monte carlo experiments," Post-Print, HAL, number halshs-00275767, Mar.
• Mohamed Ayadi & Wajih Khallouli & René Sandretto, 2008, "La contagion liée au changement des anticipations : évidence de la crise coréenne," Post-Print, HAL, number halshs-00303689.
• Mohamed El Hedi Arouri & Fredj Jawadi, 2008, "Are American and French Stok Markets Integrated?," Post-Print, HAL, number halshs-00324235.
• Iuliana Matei, 2008, "Prices and output co-movements : an empirical investigation for the CEECs," Post-Print, HAL, number halshs-00335025, Oct.
• Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2008, "Backtesting Value-at-Risk : A GMM Duration-based Test," Post-Print, HAL, number halshs-00363146, Nov.
• Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2008, "Backtesting Value-at-Risk : A GMM Duration-based Test," Post-Print, HAL, number halshs-00363165, Nov.
• Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2008, "Backtesting Value-at-Risk : A GMM Duration-based Test," Post-Print, HAL, number halshs-00363168, Nov.
• Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2008, "Backtesting Value-at-Risk: A GMM Duration-Based Test," Post-Print, HAL, number halshs-00364793.
• Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2008, "Backtesting Value-at-Risk: A GMM Duration-Based-Test," Post-Print, HAL, number halshs-00364796.
• Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2008, "Backtesting Value-at-Risk: A GMM Duration-Based Test," Post-Print, HAL, number halshs-00364797.
• Sandrine Levasseur, 2008, "Updating empirical evidence on business cycles synchronization between CEECs and euro area : how important is the recent period," Sciences Po Economics Publications (main), HAL, number hal-00973040, Apr.
• Sandrine Levasseur, 2008, "Updating empirical evidence on business cycles synchronization between CEECs and euro area : how important is the recent period," Working Papers, HAL, number hal-00973040, Apr.
• 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.
• Jonas Dovern & Ulrich Fritsche, 2008, "Estimating fundamental cross-section dispersion from fixed event forecasts," Macroeconomics and Finance Series, University of Hamburg, Department of Socioeconomics, number 200801, May.
• Bask, Mikael & Widerberg, Anna, 2008, "Market Structure and the Stability and Volatility of Electricity Prices," Working Papers in Economics, University of Gothenburg, Department of Economics, number 327, Nov.
• Amado, Cristina & Teräsvirta, Timo, 2008, "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 691, Jan.
• Lundgren, Jens & Hellström, Jörgen & Rudholm, Niklas, 2008, "Multinational Electricity Market Integration and Electricity Price Dynamics," HUI Working Papers, HUI Research, number 16, Apr.
• Zagaglia, Paolo, 2008, "The Sources of Volatility Transmission in the Euro Area Money Market: From Longer Maturities to the Overnight?," Research Papers in Economics, Stockholm University, Department of Economics, number 2008:5, May.
• Söderberg, Jonas, 2008, "Liquidity on the Scandinavian Order-driven Stock Exchanges," CAFO Working Papers, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics, number 2009:11, Dec.
• Laurence Fung & Chi-sang Tam & Ip-wing Yu, 2008, "Changes in Investors' Risk Appetite - An Assessment of Financial Integration and Interdependence," Working Papers, Hong Kong Monetary Authority, number 0812, Aug.
• Maroje Lang & Davor Kunovac & Silvio Basač & Željka Štaudinger, 2008, "Modelling of Currency outside Banks in Croatia," Working Papers, The Croatian National Bank, Croatia, number 17, Feb.
• Keiko Yamaguchi, 2008, "Testing for the presence of noise in long memory processes [in Japanese]," Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number d07-230, Jan.
• Sarantis Tsiaplias & Chew Lian Chua, 2008, "Forecasting Australian Macroeconomic Variables Using a Large Dataset," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2008n04, Feb.
• Wang-Sheng Lee & Sandy Suardi, 2008, "The Australian Firearms Buyback and Its Effect on Gun Deaths," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2008n17, Aug.
• Wang-Sheng Lee & Sandy Suardi, 2008, "Minimum Wages and Employment: Reconsidering the Use of a Time-Series Approach as an Evaluation Tool," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2008n20, Oct.
• Christos Floros, 2008, "Long Memory In Exchange Rates: International Evidence," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 2, issue 1, pages 31-39.
• Fredj Jawadi & Mohamed El Hédi Arouri, 2008, "Are American And French Stock Markets Integrated?," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 2, issue 2, pages 107-116.
• Claudio Morana, 2008, "Realized portfolio selection in the euro area," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research, number 10-2008, Jun.
• Andrea Beltratti & Claudio Morana, 2008, "International shocks and national house prices," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research, number 14-2008, Jun.
• Claudio Morana, 2008, "Realized Betas and the Cross-Section of Expected Returns," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research, number 15-2008, Jun.
• Mednik, Matias & Rodríguez, César & Ruprah, Inder J., 2008, "Hysteresis in Unemployment: Evidence from Latin America," IDB Publications (Working Papers), Inter-American Development Bank, number 2902, Mar, DOI: http://dx.doi.org/10.18235/0011139.
• Matias Mednik & Cesar M. Rodriguez & Inder J. Ruprah, 2008, "Hysteresis in Unemployment:Evidence from Latin America," OVE Working Papers, Inter-American Development Bank, Office of Evaluation and Oversight (OVE), number 0408, Mar.
• Gollier, Christian & Koundouri, Phoebe & Pantelidis, Theologos, 2008, "Declining Discount Rates: Economic Justifications and Implications for Long-Run Policy," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 525, Jun, revised 10 Jun 2026.
• Costas Anyfantakis & Guglielmo Maria Caporale & Nikitas Pittis, 2008, "Parameter instability and forecasting performance: a Monte Carlo study," International Journal of Business Forecasting and Marketing Intelligence, Inderscience Enterprises Ltd, volume 1, issue 1, pages 1-20.
• Mariam Camarero & Juan Carlos Cuestas & Javier Ordonez, 2008, "Nonlinear trend stationarity of real exchange rates: the case of the Mediterranean countries," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, volume 1, issue 1, pages 30-46.
• Dominique Guégan & Justin Leroux, 2008, "Local Lyapunov exponents: Zero plays no role in Forecasting chaotic systems," Cahiers de recherche, HEC Montréal, Institut d'économie appliquée, number 08-10, Sep.
• Xiaohong Chen & Demian Pouzo, 2008, "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 CWP09/08, May.
• Xiaohong Chen & Roger Koenker & Zhijie Xiao, 2008, "Copula-based nonlinear quantile autoregression," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP27/08, Oct.
• Nezir KÖSE & Yeliz YALÇIN & Furkan EMİRMAHMUTOĞLU, 2008, "Türkiye turizm sektörünün talep analizi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 23, issue 263, pages 24-40.
• Juncal Cunado & Luis Alberiko Gil-Alana & Fernando Perez de Gracia, 2008, "New Evidence on US Current Account Sustainability," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 7, issue 1, pages 1-21, April.
• Yuan-Ming Lee & Kuan-Min Wang & T. Thanh-Binh Nguyen, 2008, "A Common-Use Proxy for Economic Performance: Application to Asymmetric Causality between the Stock Returns and Growth," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 7, issue 2, pages 101-124, August.
• Elizabeth A. Maharaj & Imad Moosa & Jonathan Dark & Param Silvapulle, 2008, "Wavelet Estimation of Asymmetric Hedge Ratios: Does Econometric Sophistication Boost Hedging Effectiveness?," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 7, issue 3, pages 213-230, December.
• YiHao Lai, 2008, "Does Asymmetric Dependence Structure Matter? A Value-at-Risk View," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 7, issue 3, pages 249-268, December.
• Mototsugu Shintani & Tomoyoshi Yabu & Daisuke Nagakura, 2008, "Spurious Regressions in Technical Trading: Momentum or Contrarian?," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 08-E-09, Jun.
• Till van Treeck, 2008, "Asymmetric income and wealth effects in a non-linear error correction model of US consumer spending," IMK Working Paper, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute, number 06-2008.
• Sven Schreiber & Juliane Scharff, 2008, "Evidence on the effects of inflation on price dispersion under indexation," IMK Working Paper, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute, number 12-2008.
• Cecilia Maya & Karoll Gómez, 2008, "What Exactly is "Bad News" in Foreign Exchange Markets? Evidence from Latin American Markets," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 45, issue 132, pages 161-183.
• Rodrigo A. Alfaro & Carmen Gloria Silva, 2008, "Volatilidad de Indices Accionarios: El caso del IPSA," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 45, issue 132, pages 217-233.
• Per-Ola Maneschiöld, 2008, "A Note on the Export-Led Growth Hypothesis: A Time Series Approach," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 45, issue 132, pages 293-302.
• Josep Lluís Carrion-i-Silvestre & Vicente German-Soto, 2008, "Panel Data Stochastic Convergence Analysis of the Mexican Regions," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 200805, Apr, revised Apr 2008.
• M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2008, "Estimating and Forecasting GARCH Volatility in the Presence of Outiers," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2008-13, Oct.
• Candelon, Bertrand & Dupuy, Arnaud & Gil-Alana, Luis A., 2008, "The Nature of Occupational Unemployment Rates in the United States: Hysteresis or Structural?," IZA Discussion Papers, IZA Network @ LISER, number 3571, Jun.
• Angrist, Joshua & Kuersteiner, Guido M., 2008, "Causal Effects of Monetary Shocks: Semiparametric Conditional Independence Tests with a Multinomial Propensity Score," IZA Discussion Papers, IZA Network @ LISER, number 3606, Jul.
• Philippe J. Deschamps, 2008, "Comparing smooth transition and Markov switching autoregressive models of US unemployment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 23, issue 4, pages 435-462, DOI: 10.1002/jae.1014.
• John M. Maheu & Stephen Gordon, 2008, "Learning, forecasting and structural breaks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 23, issue 5, pages 553-583, DOI: 10.1002/jae.1018.
• Ruhul A. Salim & Shuddhasattwa Rafiq & A. F. M. Kamrul Hassan, 2008, "Causality And Dynamics Of Energy Consumption And Output: Evidence From Non-Oecd Asian Countries," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, volume 33, issue 2, pages 1-26, December.
• Elsadig Musa Ahmed, 2008, "Foreign Direct Investment Intensity Effects On Tfp Intensity Of Asean 5 Plus 2," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, volume 33, issue 2, pages 155-166, December.
• Fitzenberger Bernd & Franz Wolfgang & Bode Oliver, 2008, "The Phillips Curve and NAIRU Revisited: New Estimates for Germany," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 228, issue 5-6, pages 465-496, October, DOI: 10.1515/jbnst-2008-5-605.
• Marie Diron, 2008, "Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data," Journal of Forecasting, John Wiley & Sons, Ltd., volume 27, issue 5, pages 371-390, DOI: 10.1002/for.1067.
• Ralf Brüggemann & Helmut Lütkepohl & Massimiliano Marcellino, 2008, "Forecasting euro area variables with German pre-EMU data," Journal of Forecasting, John Wiley & Sons, Ltd., volume 27, issue 6, pages 465-481, DOI: 10.1002/for.1064.
• Konrad Banachewicz & André Lucas, 2008, "Quantile forecasting for credit risk management using possibly misspecified hidden Markov models," Journal of Forecasting, John Wiley & Sons, Ltd., volume 27, issue 7, pages 566-586, DOI: 10.1002/for.1072.
• Hyndman, Rob J. & Khandakar, Yeasmin, 2008, "Automatic Time Series Forecasting: The forecast Package for R," Journal of Statistical Software, Foundation for Open Access Statistics, volume 27, issue i03, DOI: http://hdl.handle.net/10.18637/jss..
• Ted Juhl & Zhijie Xiao, 2008, "Tests For Changing Mean With Monotonic Power," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200809, Sep, revised Sep 2008.
• William Barnett & Evgeniya Aleksandrovna Duzhak, 2008, "Empirical Assessment of Bifurcation Regions within New Keynesian Models," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200811, Oct, revised Oct 2008.
• Danilo Santini & David Poyer, 2008, "Motor Vehicle Output and GDP, 1968–2007," Atlantic Economic Journal, Springer;International Atlantic Economic Society, volume 36, issue 4, pages 483-491, December, DOI: 10.1007/s11293-008-9139-5.
• Daiki Maki, 2008, "The Performance of Variance Ratio Unit Root Tests Under Nonlinear Stationary TAR and STAR Processes: Evidence from Monte Carlo Simulations and Applications," Computational Economics, Springer;Society for Computational Economics, volume 31, issue 1, pages 77-94, February, DOI: 10.1007/s10614-007-9107-1.
• Ahdi Ajmi & Adnen Ben Nasr & Mohamed Boutahar, 2008, "Seasonal Nonlinear Long Memory Model for the US Inflation Rates," Computational Economics, Springer;Society for Computational Economics, volume 31, issue 3, pages 243-254, April, DOI: 10.1007/s10614-007-9116-0.
• Guglielmo Caporale & Luis Gil-Alana, 2008, "Testing for unit and fractional orders of integration in the trend and seasonal components of US monetary aggregates," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 35, issue 3, pages 241-253, July, DOI: 10.1007/s10663-008-9061-8.
• Jarko Fidrmuc & Sylvia Kaufmann & Andreas Resch, 2008, "Structural breaks in Austrian foreign trade with Eastern Europe during the early 1970s," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 35, issue 5, pages 465-479, December, DOI: 10.1007/s10663-008-9068-1.
• Emanuele Bacchiocchi & Massimo Florio, 2008, "Privatisation and aggregate output: testing for macroeconomic transmission channels," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 35, issue 5, pages 525-545, December, DOI: 10.1007/s10663-008-9071-6.
• Marco Barassi & Matthew Cole & Robert Elliott, 2008, "Stochastic Divergence or Convergence of Per Capita Carbon Dioxide Emissions: Re-examining the Evidence," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, volume 40, issue 1, pages 121-137, May, DOI: 10.1007/s10640-007-9144-1.
• Allan Zebedee & Eric Bentzen & Peter Hansen & Asger Lunde, 2008, "The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 22, issue 1, pages 3-20, March, DOI: 10.1007/s11408-007-0068-0.
• François-Éric Racicot & Raymond Théoret & Alain Coën, 2008, "Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 14, issue 1, pages 112-124, February, DOI: 10.1007/s11294-008-9134-2.
• Paresh Narayan, 2008, "Common Trends and Common Cycles in Per Capita GDP: The Case of the G7 Countries, 1870–2001," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 14, issue 3, pages 280-290, August, DOI: 10.1007/s11294-008-9162-y.
• Maria do Rosario Correia & Reinhard Neck & Theodore Panagiotidis & Christian Richter, 2008, "An empirical investigation of the sustainability of the public deficit in Portugal," International Economics and Economic Policy, Springer, volume 5, issue 1, pages 209-223, July, DOI: 10.1007/s10368-008-0105-0.
• Andrew Hughes Hallett & Christian Richter, 2008, "Have the Eurozone economies converged on a common European cycle?," International Economics and Economic Policy, Springer, volume 5, issue 1, pages 71-101, July, DOI: 10.1007/s10368-008-0113-0.
• Eric Hillebrand & Gunther Schnabl, 2008, "A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility," International Economics and Economic Policy, Springer, volume 5, issue 4, pages 389-401, December, DOI: 10.1007/s10368-008-0121-0.
• Balazs Egert & Carol Leonard, 2008, "Dutch Disease Scare in Kazakhstan: Is it real?," Open Economies Review, Springer, volume 19, issue 2, pages 147-165, April, DOI: 10.1007/s11079-007-9051-7.
• Christian Hirschhausen & Anne Neumann, 2008, "Long-Term Contracts and Asset Specificity Revisited: An Empirical Analysis of Producer–Importer Relations in the Natural Gas Industry," Review of Industrial Organization, Springer;The Industrial Organization Society, volume 32, issue 2, pages 131-143, March, DOI: 10.1007/s11151-008-9165-0.
• Young Lee & Rodney Fort, 2008, "Attendance and the Uncertainty-of-Outcome Hypothesis in Baseball," Review of Industrial Organization, Springer;The Industrial Organization Society, volume 33, issue 4, pages 281-295, December, DOI: 10.1007/s11151-008-9193-9.
• Kenneth Lorek & G. Willinger & Allen Bathke, 2008, "Statistically based quarterly earnings expectation models for nonseasonal firms," Review of Quantitative Finance and Accounting, Springer, volume 31, issue 1, pages 105-119, July, DOI: 10.1007/s11156-007-0059-2.
• Jan-Egbert Sturm & Timo Wollmershäuser, 2008, "The Stress of Having a Single Monetary Policy in Europe," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 08-190, Feb, DOI: 10.3929/ethz-a-005552299.
• Jan P.A.M. Jacobs & Jan-Egbert Sturm, 2008, "The information content of KOF indicators on Swiss current account data revisions," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 08-202, Jan, DOI: 10.3929/ethz-a-005640680.
• Rasmus Fatum & Michael Hutchison & Thomas Wu, 2008, "Do Both U.S. and Foreign Macro Surprises Matter for the Intraday Exchange Rate? Evidence from Japan," EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics, number 2009-01, Nov, revised Jan 2009.
• Bent Nielsen & Heino Bohn Nielsen, 2008, "Properties of Estimated Characteristic Roots," Discussion Papers, University of Copenhagen. Department of Economics, number 08-13, May.
• Konstantinos Fokianos & Anders Rahbek & Dag Tjøstheim, 2008, "Poisson Autoregression," Discussion Papers, University of Copenhagen. Department of Economics, number 08-35, May, revised Dec 2008.
• Prof D.S.G. Pollock, 2008, "The Frequency Analysis of the Business Cycle," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 08/12, Apr.
• Prof D.S.G. Pollock, 2008, "The Realisation of Finite-Sample Frequency-Selective Filters," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 08/13, Apr.
• P.A.V.B. Swamy & George S. Tavlas & Stephen G. Hall & George Hondroyiannis, 2008, "Estimation of Parameters in the Presence of Model misspecification and Measurement Error," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 08/27, Aug.
• D.S.G. Pollock, 2008, "Realisations of Finite-Sample Frequency-Selective Filters," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 08/32, Sep.
• Gilbert COLLETAZ & Christophe HURLIN & Sessi TOKPAVI, 2008, "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 266.
• GOLLIER Christian & KOUNDOURI Phoebe & PANTELIDIS Theologos, 2008, "Declining Discount Rates : Economic Justifications and Implications for Long-Run Policy," LERNA Working Papers, LERNA, University of Toulouse, number 08.17.261, Jul.
• Qaisar Abbas & James Foreman-Peck, 2008, "Human Capital and Economic Growth: Pakistan, 1960-2003," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, volume 13, issue 1, pages 1-27, Jan-Jun.
• Khalid Mushtaq & Abdul Gafoor & Maula Dad, 2008, "Apple Market Integration: Implications for Sustainable Agricultural Development," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, volume 13, issue 1, pages 129-138, Jan-Jun.
• Muhammad Arshad Khan & Abdul Qayyum, 2008, "Long-Run and Short-Run Dynamics of the Exchange Rate in Pakistan: Evidence FromUnrestricted Purchasing Power Parity Theory," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, volume 13, issue 1, pages 29-56, Jan-Jun.
• Falak Sher & Eatzaz Ahmad, 2008, "Forecasting Wheat Production in Pakistan," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, volume 13, issue 1, pages 57-85, Jan-Jun.
• Saima Siddiqui & Sameena Zehra & Sadia Majeed & Muhammad Sabihuddin Butt, 2008, "Export-Led Growth Hypothesis in Pakistan: A Reinvestigation Using the Bounds Test," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, volume 13, issue 2, pages 59-80, Jul-Dec.
• Muhammad Abdul Majid Makki & Suleman Aziz Lodhi, 2008, "Impact of Intellectual Capital Efficiency on Profitability (A Case Study of LSE25 Companies)," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, volume 13, issue 2, pages 81-98, Jul-Dec.
• Schlicht, Ekkehart, 2008, "Trend Extraction From Time Series With Structural Breaks and Missing Observations," Discussion Papers in Economics, University of Munich, Department of Economics, number 2127, Feb.
• Konstantins Benkovskis, 2008, "Short-Term Forecasts of Latvia's Real Gross Domestic Product Growth Using Monthly Indicators," Working Papers, Latvijas Banka, number 2008/05, Sep.
• S. Boragan Aruoba, 2008, "Data Revisions Are Not Well Behaved," Journal of Money, Credit and Banking, Blackwell Publishing, volume 40, issue 2-3, pages 319-340, March.
• Don Bredin & Stilianos Fountas, 2008, "Macroeconomic Uncertainty and Performance in the European Union and Implications for the objectives of Monetary Policy," Discussion Paper Series, Department of Economics, University of Macedonia, number 2008_01, Jan, revised Jan 2008.
• Theodore Panagiotidis, 2008, "Market Efficiency and the Euro: The case of the Athens Stock exchange," Discussion Paper Series, Department of Economics, University of Macedonia, number 2008_14, Dec, revised Dec 2008.
• Stilianos Fountas & Menelaos Karanasos, 2008, "Are economic growth and the variability of the business cycle related ? Evidence from five European countries," Discussion Paper Series, Department of Economics, University of Macedonia, number 2008_17, Dec, revised Dec 2008.
• Panagiotis Th. Konstantinou, 2008, "Adjustment of US External Imbalances: At What Horizon?," Discussion Paper Series, Department of Economics, University of Macedonia, number 2008_18, Dec, revised Dec 2008.
• Theologos Dergiades & Lefteris Tsoulfidis, 2008, "Estimating Residential Demand for Electricity in the United States, 1965-2006," Discussion Paper Series, Department of Economics, University of Macedonia, number 2008_19, Mar, revised Apr 2008.
• Timotheos Angelidis & Alexandros Benos, 2008, "Value-at-Risk for Greek Stocks," Multinational Finance Journal, Multinational Finance Journal, volume 12, issue 1-2, pages 67-104, March-Jun.
• James Ang & Kunal Sen, 2008, "Private Saving In India And Malaysia Compared: The Role Of Financial Liberalization And Expected Pension Benefits," Monash Economics Working Papers, Monash University, Department of Economics, number 13/08, Jun.
• Tuck Cheong Tang & Evan Lau, 2008, "An Empirical Investigation On The Sustainability Of Balancing Item Of Balance Of Payment Accounts For Oic Member Countries," Monash Economics Working Papers, Monash University, Department of Economics, number 31/08, Nov.
• Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2008, "Testing fractional order of long memory processes: a Monte Carlo study," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08012, Feb, DOI: 10.1080/03610911003646381.
• Abdou Ka Diongue & Dominique Guegan, 2008, "The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08013, Feb.
• Dominique Guegan & Justin Leroux, 2008, "Forecasting chaotic systems: the role of local Lyapunov exponents," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08014, Feb, revised Sep 2008, DOI: 10.1016/j.chaos.2008.09.017.
• Laurent Ferrara & Thomas Raffinot, 2008, "A non-parametric method to nowcast the Euro Area IPI," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08033, Apr.
• Laurent Ferrara & Dominique Guegan, 2008, "Business surveys modelling with seasonal-cyclical long memory models," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08035, May.
• Christophe Chorro & Dominique Guegan & Florian Ielpo, 2008, "Option pricing under GARCH models with generalized hyperbolic innovations (II): data and results," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08047, Jul.
• Mathieu Gatumel & Dominique Guegan, 2008, "Dynamic analysis of the insurance linked securities index," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08049, Sep.
• Laurent Ferrara & Dominique Guegan & Patrick Rakotomarolahy, 2008, "GDP nowcasting with ragged-edge data: A semi-parametric modelling," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08082, Nov, revised Nov 2009, DOI: 10.1002/for.1159.
• Iuliana Matei, 2008, "Prices and output co-movements: an empirical investigation for the CEECs," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number bla08061, Oct.
• Ibrahim Ahamada & Philippe Jolivaldt, 2008, "Wavelets unit root test vs DF test: A further investigation based on monte carlo experiments," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number v08032, Mar.
• George Athanasopoulos & Rob J Hyndman & Haiyan Song & Doris C Wu, 2008, "The tourism forecasting competition," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 10/08, Dec, revised Oct 2009.
• Jae H. Kim & Haiyang Song & Kevin Wong & George Athanasopoulos & Shen Liu, 2008, "Beyond point forecasting: evaluation of alternative prediction intervals for tourist arrivals," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 11/08, Dec, revised Oct 2009.
• Luc Dresse & Christophe Van Nieuwenhuyze, 2008, "Do survey indicators let us see the business cycle ? A frequency decomposition," Working Paper Research, National Bank of Belgium, number 131, Mar.
• Yacine Ait-Sahalia & Jialin Yu, 2008, "High Frequency Market Microstructure Noise Estimates and Liquidity Measures," NBER Working Papers, National Bureau of Economic Research, Inc, number 13825, Feb.