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

• Jon Faust & Jonathan H. Wright, 2008, "Efficient Prediction of Excess Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 14169, Jul.
• S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2008, "Real-Time Measurement of Business Conditions," NBER Working Papers, National Bureau of Economic Research, Inc, number 14349, Sep.
• Olivier Coibion & Yuriy Gorodnichenko, 2008, "Monetary Policy, Trend Inflation and the Great Moderation: An Alternative Interpretation," NBER Working Papers, National Bureau of Economic Research, Inc, number 14621, Dec.
• Juan Carlos Cuestas & Dean Garratt, 2008, "Is real GDP per capita a stationary process? Smooth transitions, nonlinear trends and unit root testing," NBS Discussion Papers in Economics, Economics, Nottingham Business School, Nottingham Trent University, number 2008/12, Jul.
• Juan Carlos Cuestas & Barry Harrison, 2008, "Testing for stationarity of inflation in Central and Eastern European Countries," NBS Discussion Papers in Economics, Economics, Nottingham Business School, Nottingham Trent University, number 2008/13, Sep.
• Juan Carlos Cuestas & Paulo Jose Regis, 2008, "Nonlinearities and the order of integration of oil prices," NBS Discussion Papers in Economics, Economics, Nottingham Business School, Nottingham Trent University, number 2008/15, Sep.
• Simeon Coleman, 2008, "Inflation persistence in the Franc Zone: evidence from disaggregated prices," NBS Discussion Papers in Economics, Economics, Nottingham Business School, Nottingham Trent University, number 2008/16, Nov.
• Cristina Amado & Timo Teräsvirta, 2008, "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," NIPE Working Papers, NIPE - Universidade do Minho, number 03/2008.
• Vasco J. Gabriel & Paul Levine & Christopher Spencer, 2008, "How forward-looking is the Fed? Direct estimates from a ‘Calvo-type’ rule," NIPE Working Papers, NIPE - Universidade do Minho, number 09/2008.
• Hui-Boon Tan & Chen-Chen Yong, 2008, "Regional Economic Integration and Trade Flows: The Experience of Asean-5 and Japan," NUBS Malaysia Campus Research Paper Series, Nottingham University Business School Malaysia Campus, number 2008-07, Aug.
• David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2008, "Testing for unit roots in the presence of uncertainty over both the trend and initial condition," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics, number 08/03, May.
• Brendan K. Beare, 2008, "Unit Root Testing with Unstable Volatility," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2008-W06, May.
• Bent Nielsen & Heino Bohn Nielsen, 2008, "Properties of etimated characteristic roots," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2008-W07, 05.
• Emmanuel De Veirman & Ashley Dunstan, 2008, "How do Housing Wealth, Financial Wealth and Consumption Interact? Evidence from New Zealand," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2008/05, Feb.
• David Hargreaves, 2008, "The tax system and housing demand in New Zealand," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2008/06, Feb.
• Christian Gianella & Isabell Koske & Elena Rusticelli & Olivier Chatal, 2008, "What Drives the NAIRU? Evidence from a Panel of OECD Countries," OECD Economics Department Working Papers, OECD Publishing, number 649, Nov, DOI: 10.1787/231764364351.
• Jan Jacobs & Jan-Egbert Sturm, 2009, "The information content of KOF indicators on Swiss current account data revisions," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, volume 2008, issue 2, pages 161-181, DOI: 10.1787/jbcma-v2008-art9-en.
• Friedrich Fritzer & Lukas Reiss, 2008, "An Analysis of Credit to the Household Sector in Austria," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 16, pages 122-134.
• Clemens Jobst & Claudia Kwapil, 2008, "The Interest Rate Pass-Through in Austria – Effects of the Financial Crisis," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 54-67.
• Stephan Danninger & Fred Joutz, 2008, "What Explains Germany's Rebounding Export Market Share?," CESifo Economic Studies, CESifo Group, volume 54, issue 4, pages 681-714, December.
• Christian Gollier & Phoebe Koundouri & Theologos Pantelidis, 2008, "Declining discount rates: Economic justifications and implications for long-run policy
  [‘Regime switches in interest rates’]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, volume 23, issue 56, pages 758-795.
• David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu, 2008, "Time-Varying Arrival Rates of Informed and Uninformed Trades," Journal of Financial Econometrics, Oxford University Press, volume 6, issue 2, pages 171-207, Spring.
• Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2008, "Parameterizing Unconditional Skewness in Models for Financial Time Series," Journal of Financial Econometrics, Oxford University Press, volume 6, issue 2, pages 208-230, Spring.
• Chun Liu & John M. Maheu, 2008, "Are There Structural Breaks in Realized Volatility?," Journal of Financial Econometrics, Oxford University Press, volume 6, issue 3, pages 326-360, Summer.
• Per Frederiksen & Morten Orregaard Nielsen, 2008, "Bias-Reduced Estimation of Long-Memory Stochastic Volatility," Journal of Financial Econometrics, Oxford University Press, volume 6, issue 4, pages 496-512, Fall.
• Lars Stentoft, 2008, "American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution," Journal of Financial Econometrics, Oxford University Press, volume 6, issue 4, pages 540-582, Fall.
• Mika Meitz & Pentti Saikkonen, 2008, "Parameter estimation in nonlinear AR-GARCH models," Economics Series Working Papers, University of Oxford, Department of Economics, number 396, Jun.
• Jennifer Castle & David Hendry & Jurgen A. Doornik, 2008, "Model Selection when there are Multiple Breaks," Economics Series Working Papers, University of Oxford, Department of Economics, number 407, Oct.
• Giovanni Caggiano & Efrem Castelnuovo, 2008, "Long Memory and Non-Linearities in International Inflation," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0076, May.
• Massimiliano Caporin & Juliusz Pres, 2008, "Forecasting temperature indices with timevarying long-memory models," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0088.
• Eklund, Jana & Kapetanios, George, 2008, "A review of forecasting techniques for large datasets," National Institute Economic Review, National Institute of Economic and Social Research, volume 203, issue , pages 109-115, January.
• Xiaohong Chen & Demian Pouzo, 2008, "Efficient Estimation of Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1640R, Feb, revised Jul 2009.
• P. Jeganathan, 2008, "Limit Theorems for Functionals of Sums that Converge to Fractional Brownian and Stable Motions," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1649, Apr.
• Xiaohong Chen & Lars P. Hansen & Marine Carrasco, 2008, "Nonlinearity and Temporal Dependence," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1652, May.
• Peter C.B. Phillips, 2008, "Unit Root Model Selection," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1653, May.
• Peter C.B. Phillips & Tassos Magdalinos, 2008, "Unit Root and Cointegrating Limit Theory When Initialization Is in the Infinite Past," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1655, May.
• Peter C.B. Phillips, 2008, "Long Memory and Long Run Variation," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1656, May.
• Qiying Wang & Peter C.B. Phillips, 2008, "Structural Nonparametric Cointegrating Regression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1657, May.
• Xu Cheng & Peter C.B. Phillips, 2008, "Semiparametric Cointegrating Rank Selection," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1658, May.
• Peter C.B. Phillips & Tassos Magdalinos & Liudas Giraitis, 2008, "Smoothing Local-to-Moderate Unit Root Theory," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1659, May.
• Taisuke Otsu & Myung Hwan Seo & Yoon-Jae Whang, 2008, "Testing for Non-Nested Conditional Moment Restrictions Using Unconditional Empirical Likelihood," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1660, May.
• Yixiao Sun & Peter C.B. Phillips, 2008, "Optimal Bandwidth Choice for Interval Estimation in GMM Regression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1661, May.
• Donald W.K. Andrews & Patrik Guggenberger, 2008, "Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1665, Jun.
• Donald W.K. Andrews & Patrik Guggenberger, 2008, "Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1665R, Jun, revised Mar 2010.
• Donald W.K. Andrews & Patrik Guggenberger, 2008, "Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1665R2, Jun, revised Feb 2012.
• Xiaohong Chen & Roger Koenker & Zhijie Xiao, 2008, "Copula-Based Nonlinear Quantile Autoregression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1679, Oct.
• Xiaohong Chen & Yanqin Fan & Demian Pouzo & Zhiliang Ying, 2008, "Estimation and Model Selection of Semiparametric Multivariate Survival Functions under General Censorship," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1683, Nov.
• Christian Dreger & Jürgen Wolters, 2008, "M3 Money Demand and Excess Liquidity in the Euro Area," Working Paper / FINESS, DIW Berlin, German Institute for Economic Research, number 7.1a.
• Christian Dreger & Jürgen Wolters, 2008, "Money Velocity and Asset Prices in the Euro Area," Working Paper / FINESS, DIW Berlin, German Institute for Economic Research, number 7.1b.
• Georg Erber & Ulrich Fritsche, 2008, "Produktivitätswachstum in Deutschland: kein nachhaltiger Aufschwung in Sicht," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, volume 75, issue 36, pages 512-519.
• Jonas Dovern & Ulrich Fritsche, 2008, "Estimating Fundamental Cross-Section Dispersion from Fixed Event Forecasts," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 787.
• Christian Dreger & Jürgen Wolters, 2008, "M3 Money Demand and Excess Liquidity in the Euro Area," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 795.
• Christian Dreger & Jürgen Wolters, 2008, "Money Velocity and Asset Prices in the Euro Area," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 813.
• Chiara Pronzato, 2008, "Return to work after childbirth: Does parental leave matter in Europe?," Working Papers, "Carlo F. Dondena" Centre for Research on Social Dynamics (DONDENA), Università Commerciale Luigi Bocconi, number 014, Oct.
• Aymen Belgacem, 2008, "L'impact des signaux de politique monétaire sur la rentabilité et la volatilité des actions du CAC 40," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2008-38.
• K. Pushpangadan & N. Shanta, 2008, "Competition and Profitability in Indian Manufacturing Industries," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 43, issue 1, pages 103-123, July.
• 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, Dec.
• 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.