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

2008

• Inoue, Atsushi & Rossi, Barbara, 2008, "Which Structural Parameters Are "Structural"? Identifying the Sources of Instabilities in Economic Models," Working Papers, Duke University, Department of Economics, number 08-02.
• Giacomini, Raffaella & Rossi, Barbara, 2008, "Forecast Comparisons in Unstable Environments," Working Papers, Duke University, Department of Economics, number 08-04.
• Tatevik Sekhposyan & Barbara Rossi, 2008, "Has modelsí forecasting performance for US output growth and inflation changed over time, and when?," Working Papers, Duke University, Department of Economics, number 09-02.
• Catherine Kyrtsou & Costas Vorlow, 2008, "Modelling non-linear comovements between time series," Department of Economics Working Papers, Durham University, Department of Economics, number 2008_01, Jan.
• AKA, Bédia F., 2008, "Revisiting The Export-Output Nexus For Western Africa Countries: A Markov Switching Causality Approach," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 8, issue 1, pages 155-166.
• SINHA, Dipendra, 2008, "Patents, Innovations And Economic Growth In Japan And South Korea: Evidence From Individual Country And Panel Data," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 8, issue 1, pages 181-188.
• Peeters, H.M.M. & Den Reijer, A.H.J., 2008, "ON WAGE FORMATION, WAGE DEVELOPMENT AND FLEXIBILITY: A comparison between European countries and the United States," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 8, issue 1, pages 59-74.
• KONYA, Laszlo & SINGH, Jai Pal, 2008, "Are Indian Exports And Imports Cointegrated?," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 8, issue 2, pages 177-186.
• Suleiman ABU-BADER & Aamer S. ABU-QARN, 2008, "The Impact Of Gatt On International Trade: Evidence From Structural Break Analysis," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 8, issue 2, pages 23-36.
• Melike Bildirici & Özgür Ömer ERS?N & Elçin Aykaç ALP, 2008, "An Empirical Analysis of Debt Policies, External Dependence, Inflation and Crisis in the Ottoman Empire and Turkey: 1830-2005 Period," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 8, issue 2, pages 79-100.
• Ghartey, E.E., 2008, "Is the Caribbean Community an Optimum Currency Area?," Estudios Economicos de Desarrollo Internacional, Euro-American Association of Economic Development, volume 8, issue 1, pages 5-36.
• Tahir MUKHTAR & Muhammad Tariq JAVED, 2008, "Market Integration In Wholesale Maize Markets In Pakistan," Regional and Sectoral Economic Studies, Euro-American Association of Economic Development, volume 8, issue 2, pages 85-98.
• LEE, Chew Ging, 2008, "Tourism And Economic Growth: The Case Of Singapore," Regional and Sectoral Economic Studies, Euro-American Association of Economic Development, volume 8, issue 1, pages 89-98.
• REBELO, João & CORREIA, Leonida, 2008, "Port Wine Dynamics: Production, Trade And Market Structure," Regional and Sectoral Economic Studies, Euro-American Association of Economic Development, volume 8, issue 1, pages 99-114.
• PERERA, Nelson & VARMA, Reetu, 2008, "An Empirical Analysis Of Sustainability Of Trade Deficit: Evidence From Sri Lanka," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 5, issue 1, pages 79-92.
• Aka, Bédia F. & P. Pieretti, 2008, "Wage Dynamics In A Structural Time Series Model For Luxembourg," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 5, issue 2.
• K.Suresh Chandra & J.V.Janhavi, 2008, "Unit Root Tests for Time Series in the Presence of an Explosive Root," Development Economics Working Papers, East Asian Bureau of Economic Research, number 22499, Jan.
• Jirka Slacalek, 2008, "Financial innovation and the effect of housing wealth on consumption," Research Bulletin, European Central Bank, volume 7, pages 5-7.
• Cappiello, Lorenzo & Manganelli, Simone & Kadareja, Arjan, 2008, "The impact of the euro on equity markets: a country and sector decomposition," Working Paper Series, European Central Bank, number 906, Jun.
• Pierluigi, Beatrice & Roma, Moreno, 2008, "Labour cost and employment across euro area countries and sectors," Working Paper Series, European Central Bank, number 912, Jun.
• McAdam, Peter & Willman, Alpo, 2008, "Medium run redux: technical change, factor shares and frictions in the euro area," Working Paper Series, European Central Bank, number 915, Jun.
• Maurin, Laurent & Drechsel, Katja, 2008, "Flow of conjunctural information and forecast of euro area economic activity," Working Paper Series, European Central Bank, number 925, Aug.
• Hahn, Elke & Skudelny, Frauke, 2008, "Early estimates of euro area real GDP growth: a bottom up approach from the production side," Working Paper Series, European Central Bank, number 975, Dec.
• Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2008, "The term structure of interest rates across frequencies," Working Paper Series, European Central Bank, number 976, Dec.
• Linzert, Tobias & Schmidt, Sandra, 2008, "What explains the spread between the euro overnight rate and the ECB's policy rate?," Working Paper Series, European Central Bank, number 983, Dec.
• Durré, Alain & Beaupain, Renaud, 2008, "The interday and intraday patterns of the overnight market: evidence from an electronic platform," Working Paper Series, European Central Bank, number 988, Dec.
• Nielsen, Morten, 2008, "A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis," Working Papers, Cornell University, Center for Analytic Economics, number 08-05, May.
• Ramirez, Miguel D. & Sharma, Hari, 2008, "Remittances and Growth in Latin America: A Panel Unit Root and Panel Cointegration Analysis," Working Papers, Yale University, Department of Economics, number 51, Jun.
• Yixiao Sun & Peter C. B. Phillips & Sainan Jin, 2008, "Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing," Econometrica, Econometric Society, volume 76, issue 1, pages 175-194, January.
• John Stachurski & Vance Martin, 2008, "Computing the Distributions of Economic Models via Simulation," Econometrica, Econometric Society, volume 76, issue 2, pages 443-450, March.
• Michael Jansson, 2008, "Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis," Econometrica, Econometric Society, volume 76, issue 5, pages 1103-1142, September.
• Ulrich K. Müller & Mark W. Watson, 2008, "Testing Models of Low-Frequency Variability," Econometrica, Econometric Society, volume 76, issue 5, pages 979-1016, September.
• Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008, "Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise," Econometrica, Econometric Society, volume 76, issue 6, pages 1481-1536, November.
• Konrad Banachewicz & André Lucas & Aad van der Vaart, 2008, "Modelling Portfolio Defaults Using Hidden Markov Models with Covariates," Econometrics Journal, Royal Economic Society, volume 11, issue 1, pages 155-171, March.
• Halicioglu, Ferda, 2008, "The bilateral J-curve: Turkey versus her 13 trading partners," Journal of Asian Economics, Elsevier, volume 19, issue 3, pages 236-243, June.
• Colavecchio, Roberta & Funke, Michael, 2008, "Volatility transmissions between renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures," China Economic Review, Elsevier, volume 19, issue 4, pages 635-648, December.
• Otranto, Edoardo, 2008, "Clustering heteroskedastic time series by model-based procedures," Computational Statistics & Data Analysis, Elsevier, volume 52, issue 10, pages 4685-4698, June.
• Strickland, Chris M. & Martin, Gael M. & Forbes, Catherine S., 2008, "Parameterisation and efficient MCMC estimation of non-Gaussian state space models," Computational Statistics & Data Analysis, Elsevier, volume 52, issue 6, pages 2911-2930, February.
• Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2008, "Money growth, output gaps and inflation at low and high frequency: Spectral estimates for Switzerland," Journal of Economic Dynamics and Control, Elsevier, volume 32, issue 2, pages 411-435, February.
• Camacho, Maximo & Perez-Quiros, Gabriel & Saiz, Lorena, 2008, "Do European business cycles look like one?," Journal of Economic Dynamics and Control, Elsevier, volume 32, issue 7, pages 2165-2190, July.
• Proietti, Tommaso, 2008, "Band spectral estimation for signal extraction," Economic Modelling, Elsevier, volume 25, issue 1, pages 54-69, January.
• Giulietti, Monica & Otero, Jesús & Smith, Jeremy, 2008, "Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence," Economics Letters, Elsevier, volume 101, issue 3, pages 188-192, December.
• Quoreshi, A.M.M. Shahiduzzaman, 2008, "A vector integer-valued moving average model for high frequency financial count data," Economics Letters, Elsevier, volume 101, issue 3, pages 258-261, December.
• Hsu, Yu-Chin & Kuan, Chung-Ming, 2008, "Change-point estimation of nonstationary I(d) processes," Economics Letters, Elsevier, volume 98, issue 2, pages 115-121, February.
• Kuan, Chung-Ming & Hsieh, Yu-Wei, 2008, "Improved HAC covariance matrix estimation based on forecast errors," Economics Letters, Elsevier, volume 99, issue 1, pages 89-92, April.
• Krämer, Walter, 2008, "Long memory with Markov-Switching GARCH," Economics Letters, Elsevier, volume 99, issue 2, pages 390-392, May.
• Marmer, Vadim, 2008, "Nonlinearity, nonstationarity, and spurious forecasts," Journal of Econometrics, Elsevier, volume 142, issue 1, pages 1-27, January.
• Xu, Ke-Li & Phillips, Peter C.B., 2008, "Adaptive estimation of autoregressive models with time-varying variances," Journal of Econometrics, Elsevier, volume 142, issue 1, pages 265-280, January.
• Hafner, Christian M., 2008, "Temporal aggregation of multivariate GARCH processes," Journal of Econometrics, Elsevier, volume 142, issue 1, pages 467-483, January.
• Kristensen, Dennis, 2008, "Estimation of partial differential equations with applications in finance," Journal of Econometrics, Elsevier, volume 144, issue 2, pages 392-408, June.
• Kejriwal, Mohitosh & Perron, Pierre, 2008, "The limit distribution of the estimates in cointegrated regression models with multiple structural changes," Journal of Econometrics, Elsevier, volume 146, issue 1, pages 59-73, September.
• Han, Heejoon & Park, Joon Y., 2008, "Time series properties of ARCH processes with persistent covariates," Journal of Econometrics, Elsevier, volume 146, issue 2, pages 275-292, October.
• Lieberman, Offer & Phillips, Peter C.B., 2008, "A complete asymptotic series for the autocovariance function of a long memory process," Journal of Econometrics, Elsevier, volume 147, issue 1, pages 99-103, November.
• Fidrmuc, Jarko & Horváth, Roman, 2008, "Volatility of exchange rates in selected new EU members: Evidence from daily data," Economic Systems, Elsevier, volume 32, issue 1, pages 103-118, March.
• Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2008, "Interpreting euro area inflation at high and low frequencies," European Economic Review, Elsevier, volume 52, issue 6, pages 964-986, August.
• Nielsen, Morten Ørregaard & Frederiksen, Per, 2008, "Finite sample accuracy and choice of sampling frequency in integrated volatility estimation," Journal of Empirical Finance, Elsevier, volume 15, issue 2, pages 265-286, March.
• Ledoit, Oliver & Wolf, Michael, 2008, "Robust performance hypothesis testing with the Sharpe ratio," Journal of Empirical Finance, Elsevier, volume 15, issue 5, pages 850-859, December.
• Ringlund, Guro Bornes & Rosendahl, Knut Einar & Skjerpen, Terje, 2008, "Does oilrig activity react to oil price changes An empirical investigation," Energy Economics, Elsevier, volume 30, issue 2, pages 371-396, March.
• Dergiades, Theologos & Tsoulfidis, Lefteris, 2008, "Estimating residential demand for electricity in the United States, 1965-2006," Energy Economics, Elsevier, volume 30, issue 5, pages 2722-2730, September.
• Waldenström, Daniel & Frey, Bruno S., 2008, "Did nordic countries recognize the gathering storm of World War II? Evidence from the bond markets," Explorations in Economic History, Elsevier, volume 45, issue 2, pages 107-126, April.
• Lanne, Markku & Luoto, Jani, 2008, "Robustness of the risk-return relationship in the U.S. stock market," Finance Research Letters, Elsevier, volume 5, issue 2, pages 118-127, June.
• Becker, Ralf & Clements, Adam E., 2008, "Are combination forecasts of S&P 500 volatility statistically superior?," International Journal of Forecasting, Elsevier, volume 24, issue 1, pages 122-133.
• Doornik, Jurgen A. & Ooms, Marius, 2008, "Multimodality in GARCH regression models," International Journal of Forecasting, Elsevier, volume 24, issue 3, pages 432-448.
• Dordonnat, V. & Koopman, S.J. & Ooms, M. & Dessertaine, A. & Collet, J., 2008, "An hourly periodic state space model for modelling French national electricity load," International Journal of Forecasting, Elsevier, volume 24, issue 4, pages 566-587.
• Weron, Rafal & Misiorek, Adam, 2008, "Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models," International Journal of Forecasting, Elsevier, volume 24, issue 4, pages 744-763.
• Cheung, Yin-Wong & Lai, Kon S., 2008, "Nominal exchange rate flexibility and real exchange rate adjustment: New evidence from dual exchange rates in developing countries," Japan and the World Economy, Elsevier, volume 20, issue 3, pages 415-434, August.
• Jayasinghe, Prabhath & Tsui, Albert K., 2008, "Exchange rate exposure of sectoral returns and volatilities: Evidence from Japanese industrial sectors," Japan and the World Economy, Elsevier, volume 20, issue 4, pages 639-660, December.
• O'Donnell, Owen & van Doorslaer, Eddy & Rannan-Eliya, Ravi P. & Somanathan, Aparnaa & Adhikari, Shiva Raj & Akkazieva, Baktygul & Harbianto, Deni & Garg, Charu C. & Hanvoravongchai, Piya & Herrin, Ale, 2008, "Who pays for health care in Asia?," Journal of Health Economics, Elsevier, volume 27, issue 2, pages 460-475, March.
• Hartwig, Jochen, 2008, "What drives health care expenditure?--Baumol's model of 'unbalanced growth' revisited," Journal of Health Economics, Elsevier, volume 27, issue 3, pages 603-623, May.
• Jardet, Caroline, 2008, "Term structure anomalies: Term premium or peso-problem?," Journal of International Money and Finance, Elsevier, volume 27, issue 4, pages 592-608, June.
• Assenmacher-Wesche, Katrin & Gerlach, Stefan & Sekine, Toshitaka, 2008, "Monetary factors and inflation in Japan," Journal of the Japanese and International Economies, Elsevier, volume 22, issue 3, pages 343-363, September.
• Iacoviello, Matteo & Minetti, Raoul, 2008, "The credit channel of monetary policy: Evidence from the housing market," Journal of Macroeconomics, Elsevier, volume 30, issue 1, pages 69-96, March.
• Russell, Bill & Banerjee, Anindya, 2008, "The long-run Phillips curve and non-stationary inflation," Journal of Macroeconomics, Elsevier, volume 30, issue 4, pages 1792-1815, December.
• Larraz-Iribas, Beatriz & Alfaro-Navarro, Jose-Luis & Rodriguez-Aragon, Francisco, 2008, "Asymmetric Behaviour of Spanish Regional House Prices: A Multivariate Approach," The Journal of Economic Asymmetries, Elsevier, volume 5, issue 2, pages 81-104, DOI: 10.1016/j.jeca.2008.02.006.
• Narayan, Paresh Kumar, 2008, "Do shocks to G7 stock prices have a permanent effect?," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 77, issue 4, pages 369-373, DOI: 10.1016/j.matcom.2007.03.003.
• Hayakawa, Kazuhiko & Kurozumi, Eiji, 2008, "The role of “leads” in the dynamic OLS estimation of cointegrating regression models," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 79, issue 3, pages 555-560, DOI: 10.1016/j.matcom.2008.02.027.
• Bauer, Rob & Frijns, Bart & Otten, Rogér & Tourani-Rad, Alireza, 2008, "The impact of corporate governance on corporate performance: Evidence from Japan," Pacific-Basin Finance Journal, Elsevier, volume 16, issue 3, pages 236-251, June.
• Barnett, William A. & Duzhak, Evgeniya Aleksandrovna, 2008, "Non-robust dynamic inferences from macroeconometric models: Bifurcation stratification of confidence regions," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 387, issue 15, pages 3817-3825, DOI: 10.1016/j.physa.2008.01.045.
• Owyang, Michael T. & Piger, Jeremy & Wall, Howard J., 2008, "A state-level analysis of the Great Moderation," Regional Science and Urban Economics, Elsevier, volume 38, issue 6, pages 578-589, November.
• Haldrup, Niels & Sansó, Andreu, 2008, "A note on the Vogelsang test for additive outliers," Statistics & Probability Letters, Elsevier, volume 78, issue 3, pages 296-300, February.
• Drost, Feike C. & van den Akker, Ramon & Werker, Bas J.M., 2008, "Note on integer-valued bilinear time series models," Statistics & Probability Letters, Elsevier, volume 78, issue 8, pages 992-996, June.
• Alvarez-Plata, Patricia & Brück, Tilman, 2008, "External Debt in Post-Conflict Countries," World Development, Elsevier, volume 36, issue 3, pages 485-504, March.
• Sylwia Nowak, 2008, "How Do Public Announcements Affect The Frequency Of Trading In U.S. Airline Stocks?," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2008-38, Nov.
• Francisco Venegas Martínez & Francisco J. Sánchez Torres, 2008, "Sobre la convergencia del modelo GARCH(1,1)-M al movimiento geométrico browniano con reversión a la media," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 2, issue 2, pages 92-103.
• Robinson, Peter, 2008, "Correlation testing in time series, spatial and cross-sectional data," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 25470, Mar.
• Arteche González, Jesús María & Orbe Lizundia, Jesús María, 2008, "Selection of the number of frequencies using bootstrap techniques in log-periodogram regression," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística), number 1134-8984, Feb.
• Frédérique BEC & Charbel BASSIL, 2008, "Federal Funds Rate Stationarity: New Evidence," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2008-35.
• Francisco Javier Trívez Bielsa & ÁngelMauricio Reyes Terrón & Francisco Javier Aliaga Lordeman, 2008, "Análisis coyuntural y prospectivo de la industria maquiladora de exportación mexicana," Economía Mexicana NUEVA ÉPOCA, CIDE, División de Economía, volume 0, issue 1, pages 63-99, January-J.
• Michiel de Pooter & Francesco Ravazzolo & Rene Segers & Herman K. van Dijk, 2008, "Bayesian near-boundary analysis in basic macroeconomic time-series models," Advances in Econometrics, Emerald Group Publishing Limited, "Bayesian Econometrics", DOI: 10.1016/S0731-9053(08)23011-2.
• de Pooter, M.D. & Ravazzolo, F. & Segers, R. & van Dijk, H.K., 2008, "Bayesian near-boundary analysis in basic macroeconomic time series models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2008-13, Aug.
• Divino, J.A. & McAleer, M.J., 2008, "Modelling sustainable international tourism demand to the Brazilian Amazon," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2008-22, Nov.
• Eduardo Loría & Manuel G. Ramos & Leobardo de Jesús, 2008, "Producto potencial y ciclos económicos en México, 1980.1-2006.4," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, volume 23, issue 1, pages 25-47.
• Daniel Ventosa-Santaulària & Alfonso Mendoza Velázquez & Manuel Gómez-Zaldívar, 2008, "Varianza condicional de medias móviles no-lineales," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, volume 0, issue 2, pages 29-48, November.
• Athanasios L. Athanasenas & Constantinos Katrakilidis, 2008, "An Eclectic Causality Model for Income Growth: Evidence from Greece," European Research Studies Journal, European Research Studies Journal, volume 0, issue 1-2, pages 31-46.
• Poonam Gupta, 2008, "What Constrains Indian Manufacturing," Working Papers, eSocialSciences, number id:1597.
• Antonio Anselmi & Paola Maddalena Chiodini & Flavio Verrecchia, 2008, "ESeC-Rubin Missing Value Interpretation for a Regional Bottom-Up Hierarchical Forecasting," Working Papers, ESeC - Economic Statistics no-profit Association, number 002, Sep.
• Markku Lanne & Pentti Saikkonen, 2008, "Modeling Expectations with Noncausal Autoregressions," Economics Working Papers, European University Institute, number ECO2008/20.
• Mika Meitz & Pentti Saikkonen, 2008, "Parameter Estimation in Nonlinear AR-GARCH Models," Economics Working Papers, European University Institute, number ECO2008/25.
• James Davidson & Philipp Sibbertsen, 2008, "Tests of Bias in Log-Periodogram Regression," Discussion Papers, University of Exeter, Department of Economics, number 0805.
• James Davidson & Nigar Hashimzade, 2008, "Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes," Discussion Papers, University of Exeter, Department of Economics, number 0807.
• Jan Babecký, 2008, "Aggregate Wage Flexibility in New EU Member States," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, volume 2, issue 2, pages 123-145, September.
• Vít Pošta, 2008, "Estimating the Dynamics of Weak Efficiency on the Prague Stock Exchange Using the Kalman Filter," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 58, issue 05-06, pages 248-260, August.
• Alexandr Kuchynka, 2008, "Volatility extraction using the Kalman filter," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2008/10, Jun, revised Jun 2008.
• Michal Franta & Branislav Saxa & Katerina Smidkova, 2008, "Inflation Persistence: Is It Similar in the New EU Member States and the Euro Area Members?," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2008/25, Oct, revised Oct 2008.
• Sandrine Levasseur, 2008, "Updating empirical evidence on business cycles synchronization between CEECs and the euro area : How important is the recent period," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2008-11.
• KONG Dongmin & LIU Hening & WANG Le, 2008, "Is there a risk-return trade-off? Evidences from Chinese stock markets," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 3, issue 1, pages 1-14, March.
• LIU Jinquan & ZHENG Tingguo & SUI Jianli, 2008, "Dual long memory of inflation and test of the relationship between inflation and inflation uncertainty," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 3, issue 2, pages 240-254, June.
• Güray Küçükkocaoglu, 2008, "Intra-Day Stock Returns and Close-End Price Manipulation in the Istanbul Stock Exchange," Frontiers in Finance and Economics, SKEMA Business School, volume 5, issue 1, pages 46-84, April.
• Siba Prasada Panda, Niranjan Swain, D.K. Malhotra, 2008, "Relationship Between Implied and Ralized Volatility of S&P CNX Nifty Inde in India," Frontiers in Finance and Economics, SKEMA Business School, volume 5, issue 1, pages 85-105, April.
• Rajeev Dhawan & Karsten Jeske & Pedro Silos, 2008, "Productivity, energy prices, and the Great Moderation: a new link," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2008-11.
• Mark J. Jensen & John M. Maheu, 2008, "Bayesian semiparametric stochastic volatility modeling," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2008-15.
• Sophie Guilloux-Nefussi & Enisse Kharroubi, 2008, "Some preliminary evidence on the globalization-inflation nexus," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 18.
• Luciana Juvenal & Mark P. Taylor, 2008, "Threshold adjustment in deviations from the law of one price," Working Papers, Federal Reserve Bank of St. Louis, number 2008-027, DOI: 10.20955/wp.2008.027.
• Jan J. J. Groen & George Kapetanios, 2008, "Revisiting useful approaches to data-rich macroeconomic forecasting," Staff Reports, Federal Reserve Bank of New York, number 327.
• S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2008, "Real-time measurement of business conditions," Working Papers, Federal Reserve Bank of Philadelphia, number 08-19.
• Nii Ayi Armah & Norman R. Swanson, 2008, "Seeing inside the black box: Using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments," Working Papers, Federal Reserve Bank of Philadelphia, number 08-25.
• Christian T. Brownlees & Giampiero Gallo, 2008, "Comparison of Volatility Measures: a Risk Management Perspective," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2008_03, Feb.
• Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi, 2008, "A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2008_09, Jun.
• Wajih Khallouli & René Sandretto & Mohamed Ayadi, 2008, "La contagion liée au changement des anticipations : évidence de la crise coréenne," Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Etienne (GATE Lyon St-Etienne), Université de Lyon, number 0816.
• Essahbi Essaadi & Mohamed Boutahar, 2008, "A Measure of Variability in Comovement for Economic Variables: a Time-Varying Coherence Function Approach," Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Etienne (GATE Lyon St-Etienne), Université de Lyon, number 0827.
• Mario Cerrato & Christian de Peretti & Nick Sarantis, 2008, "A Nonlinear Panel Unit Root Test under Cross Section Dependence," Working Papers, Business School - Economics, University of Glasgow, number 2008_08, Mar.
• Mario Cerrato & Hyunsok Kim & Ronald MacDonald, 2008, "3-Regime symmetric STAR modeling and exchange rate reversion," Working Papers, Business School - Economics, University of Glasgow, number 2009_05, Dec, revised Feb 2009.
• Manuel Gomez & Daniel Ventosa-Santaularia, 2008, "Testing for a Deterministic Trend when there is Evidence of Unit-Root," Department of Economics and Finance Working Papers, Universidad de Guanajuato, Department of Economics and Finance, number EM200801, Feb, revised Jun 2010.
• Tara Sinclair, 2008, "Asymmetry in the Business Model: Revisiting the Friedman Plucking Model," Working Papers, The George Washington University, Institute for International Economic Policy, number 2008-03, Feb.
• Agnès Bénassy-Quéré & Valérie Mignon, 2008, "China and the relationship between the oil price and the dollar," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00634796.
• Dominique Guegan, 2008, "Effect of noise filtering on predictions : on the routes of chaos," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00235448, Jan.
• Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2008, "Testing fractional order of long memory processes : a Monte Carlo study," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00259193, Feb.
• Abdou Kâ Diongue & Dominique Guegan, 2008, "The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00259225, Feb.
• Dominique Guegan & Justin Leroux, 2008, "Forecasting chaotic systems : the role of local Lyapunov exponents," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00259238, Feb.
• Ibrahim Ahamada & Philippe Jolivaldt, 2008, "Wavelets unit root test vs DF test : A further investigation based on monte carlo experiments," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00275767, Mar.
• Laurent Ferrara & Thomas Raffinot, 2008, "A non-parametric method to nowcast the Euro Area IPI," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00275769, Apr.
• Laurent Ferrara & Dominique Guegan, 2008, "Business surveys modelling with Seasonal-Cyclical Long Memory models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00277379, May.
• Laurent Ferrara & Dominique Guegan, 2008, "Business surveys modelling with Seasonal-Cyclical Long Memory models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00283710.
• Mathieu Gatumel & Dominique Guegan, 2008, "Dynamic Analysis of the Insurance Linked Securities Index," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00320378, Sep.
• Iuliana Matei, 2008, "Prices and output co-movements : an empirical investigation for the CEECs," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00335025, Oct.
• Claude Diebolt & Cédric Doliger, 2008, "New international evidence on the cyclical behaviour of output : Kuznets swings reconsidered," Post-Print, HAL, number hal-00278967, Dec, DOI: 10.1007/s11135-006-9064-0.
• R. Beaupain & A. Durre, 2008, "The interday and intraday patterns of the overnight market: Evidence from an electronic platform," Post-Print, HAL, number hal-00393019.
• Agnès Bénassy-Quéré & Valérie Mignon, 2008, "China and the relationship between the oil price and the dollar," Post-Print, HAL, number hal-00634796.
• Olivier Darné & Jean-François Hoarau, 2008, "La parité des pouvoirs d'achat pour l'économie chinoise : une nouvelle analyse par les tests de racine unitaire," Post-Print, HAL, number hal-01243479.
• 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.
• Marnik G. Dekimpe & Philip Hans Franses & Dominique M. Hanssens & Prasad A. Naik, 2008, "Time-Series Models in Marketing," International Series in Operations Research & Management Science, Springer, chapter 0, in: Berend Wierenga, "Handbook of Marketing Decision Models", DOI: 10.1007/978-0-387-78213-3_11.
• Giovanni Dosi & Giorgio Fagiolo & Andrea Roventini, 2008, "The microfoundations of business cycles: an evolutionary, multi-agent model," Journal of Evolutionary Economics, Springer, volume 18, issue 3, pages 413-432, August, DOI: 10.1007/s00191-008-0094-8.
• John Ermisch, 2008, "Child support and non-resident fathers’ contact with their children," Journal of Population Economics, Springer;European Society for Population Economics, volume 21, issue 4, pages 827-853, October, DOI: 10.1007/s00148-006-0125-4.
• Christian Hafner & Helmut Herwartz, 2008, "Analytical quasi maximum likelihood inference in multivariate volatility models," Metrika: International Journal for Theoretical and Applied Statistics, Springer, volume 67, issue 2, pages 219-239, March, DOI: 10.1007/s00184-007-0130-y.
• Jinquan Liu & Tingguo Zheng & Jianli Sui, 2008, "Dual long memory of inflation and test of the relationship between inflation and inflation uncertainty," Psychometrika, Springer;The Psychometric Society, volume 3, issue 2, pages 240-254, June, DOI: 10.1007/s11459-008-0011-y.
• Claude Diebolt & Cédric Doliger, 2008, "New international evidence on the cyclical behaviour of output: Kuznets swings reconsidered," Quality & Quantity: International Journal of Methodology, Springer, volume 42, issue 6, pages 719-737, December, DOI: 10.1007/s11135-006-9064-0.
• Stephanie E. Lang & Klaus Röder, 2008, "Die Kosten des Indextrackings — Eine Fallstudie über den Exchange Traded Fund DAX®EX," Schmalenbach Journal of Business Research, Springer, volume 60, issue 3, pages 298-321, May, DOI: 10.1007/BF03372796.
• Gianluca Fusai & Andrea Roncoroni, 2008, "Implementing Models in Quantitative Finance: Methods and Cases," Springer Finance, Springer, number 978-3-540-49959-6, ISBN: ARRAY(0xa1c2a1f8), April, DOI: 10.1007/978-3-540-49959-6.
• Roman Liesenfeld & Ingmar Nolte & Winfried Pohlmeier, 2008, "Modelling financial transaction price movements: a dynamic integer count data model," Studies in Empirical Economics, Springer, in: Luc Bauwens & Winfried Pohlmeier & David Veredas, "High Frequency Financial Econometrics", DOI: 10.1007/978-3-7908-1992-2_8.
• Su Zhou & Mohsen Bahmani-Oskooee & Ali M. Kutan, 2008, "Purchasing Power Parity before and after the Adoption of the Euro," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 144, issue 1, pages 134-150, April, DOI: 10.1007/s10290-008-0140-5.
• Olutomi I Adeyemi & David C Broadstock & Mona Chitnis & Lester C Hunt & Guy Judge, 2008, "Asymmetric Price Responses and the Underlying Energy Demand Trend: Are they Substitutes or Complements? Evidence from Modelling OECD Aggregate Energy Demand," Surrey Energy Economics Centre (SEEC), School of Economics Discussion Papers (SEEDS), Surrey Energy Economics Centre (SEEC), School of Economics, University of Surrey, number 121, Oct.
• Vasco Gabriel & Paul Levine & Christopher Spencer, 2008, "How forward-looking is the Fed? Direct estimates from a `Calvo-type' rule," School of Economics Discussion Papers, School of Economics, University of Surrey, number 0508, Jun.
• Sandra Tatierska, 2008, "ULC Dynamics of Euro Area Countries and SR in the Long Run," Working and Discussion Papers, Research Department, National Bank of Slovakia, number WP 6/2008, Oct.
• Daniel Buncic, 2008, "A Note on Long Horizon Forecasts of Nonlinear Models of Real Exchange Rates: Comments on Rapach and Wohar (2006)," Discussion Papers, School of Economics, The University of New South Wales, number 2008-02, Feb.
• Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008, "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Discussion Papers, School of Economics, The University of New South Wales, number 2008-10, May.
• Leon du Toit, 2008, "Optimal HP filtering for South Africa," Working Papers, Stellenbosch University, Department of Economics, number 07/2008.
• A. Morales-Zumaquero & Simon Sosvilla-Rivero, 2008, "Macroeconomic instability in the European monetary system?," Applied Financial Economics, Taylor & Francis Journals, volume 18, issue 12, pages 965-983, DOI: 10.1080/09603100701367401.
• Martin Bohl & Pierre Siklos, 2008, "Empirical evidence on feedback trading in mature and emerging stock markets," Applied Financial Economics, Taylor & Francis Journals, volume 18, issue 17, pages 1379-1389, DOI: 10.1080/09603100701704280.
• Ferda Halicioglu, 2008, "The J-curve dynamics of Turkey: an application of ARDL model," Applied Economics, Taylor & Francis Journals, volume 40, issue 18, pages 2423-2429, DOI: 10.1080/00036840600949496.
• Offer Lieberman & Peter Phillips, 2008, "Refined Inference on Long Memory in Realized Volatility," Econometric Reviews, Taylor & Francis Journals, volume 27, issue 1-3, pages 254-267, DOI: 10.1080/07474930701873374.
• Fulvio Corsi & Stefan Mittnik & Christian Pigorsch & Uta Pigorsch, 2008, "The Volatility of Realized Volatility," Econometric Reviews, Taylor & Francis Journals, volume 27, issue 1-3, pages 46-78, DOI: 10.1080/07474930701853616.
• Roger Kelly & George Mavrotas, 2008, "Savings and financial sector development: panel cointegration evidence from Africa," The European Journal of Finance, Taylor & Francis Journals, volume 14, issue 7, pages 563-581, DOI: 10.1080/13518470801890602.
• Sascha Mergner & Jan Bulla, 2008, "Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques," The European Journal of Finance, Taylor & Francis Journals, volume 14, issue 8, pages 771-802, DOI: 10.1080/13518470802173396.
• Stilianos Fountas & Menelaos Karanasos, 2008, "Are economic growth and the variability of the business cycle related? Evidence from five European countries," International Economic Journal, Taylor & Francis Journals, volume 22, issue 4, pages 445-459, DOI: 10.1080/10168730802497478.
• Stavros Degiannakis, 2008, "ARFIMAX and ARFIMAX-TARCH realized volatility modeling," Journal of Applied Statistics, Taylor & Francis Journals, volume 35, issue 10, pages 1169-1180, DOI: 10.1080/02664760802271017.
• Derek Bond & Kenneth A. Dyson, 2008, "Long memory and nonlinearity in stock markets," Applied Financial Economics Letters, Taylor & Francis Journals, volume 4, issue 1, pages 45-48, DOI: 10.1080/17446540701367451.
• Afsin Sahin & Yilmaz Akdi & Cemal Atakan, 2008, "An Investigation on the Shuttle Trade Dynamics of a Small-Open-Economy," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 1, issue 2, pages 1-12, December.
• V. Dordonnat & S.J. Koopman & M. Ooms & A. Dessertaine & J. Collet, 2008, "An Hourly Periodic State Space Model for Modelling French National Electricity Load," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-008/4, Jan.
• Marc K. Francke & Siem Jan Koopman & Aart de Vos, 2008, "Likelihood Functions for State Space Models with Diffuse Initial Conditions," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-040/4, Apr.
• Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008, "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-050/4, May.
• Drew Creal & Siem Jan Koopman & André Lucas, 2008, "A General Framework for Observation Driven Time-Varying Parameter Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-108/4, Nov.
• Siem Jan Koopman & Soon Yip Wong, 2008, "Spline Smoothing over Difficult Regions," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-114/4, Nov.
• Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2008, "Note on integer-valued bilinear time series models," Other publications TiSEM, Tilburg University, School of Economics and Management, number aaf4f3fe-f141-4784-89b5-0.
• Heikki Kauppi, 2008, "Yield-Curve Based Probit Models for Forecasting U.S. Recessions: Stability and Dynamics," Discussion Papers, Aboa Centre for Economics, number 31, May.
• Chun Liu & John M Maheu, 2008, "Forecasting Realized Volatility: A Bayesian Model Averaging Approach," Working Papers, University of Toronto, Department of Economics, number tecipa-313, Apr.
• Mark J Jensen & John M Maheu, 2008, "Bayesian semiparametric stochastic volatility modeling," Working Papers, University of Toronto, Department of Economics, number tecipa-314, Apr.
• Zhongfang He & John M Maheu, 2008, "Real Time Detection of Structural Breaks in GARCH Models," Working Papers, University of Toronto, Department of Economics, number tecipa-336, Sep.
• Graham Elliott & Ivana Komunjer & Allan Timmermann, 2008, "Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?," Journal of the European Economic Association, MIT Press, volume 6, issue 1, pages 122-157, March.
• Dorren McMahon, 2008, "“Which Kind of Paddy?” A Survey of the Literature on the History, Sociology and Anthropology of Alcohol and the Irish," Working Papers, Geary Institute, University College Dublin, number 200801, Jan.
• D. (Derek) Bond & Niall Hession & Michael J. Harrison & Edward J. (Edward Joseph) O'Brien, 2008, "Nonlinearity as an explanation of the forward exchange rate anomaly," Working Papers, School of Economics, University College Dublin, number 200801, Jan.
• Dong Jin Lee, 2008, "Parametric and Semiparametric Efficient Tests for Parameter Instability," Working papers, University of Connecticut, Department of Economics, number 2008-40, Oct, revised Aug 2009.
• Jun Ma & Charles R. Nelson, 2008, "Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components," Working Papers, University of Washington, Department of Economics, number UWEC-2008-06-R, Sep, revised Sep 2008.