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

• 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.
• 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(0x609a3510), 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.
• Marcos José Dal Bianco, 2008, "Argentinean real exchange rate 1900-2006, test purchasing power parity theory," Estudios de Economia, University of Chile, Department of Economics, volume 35, issue 1 Year 20, pages 33-64, June.
• Andres Pereyra & Elías Rubinstein & Marcelo Pérez, 2008, "Tasa generadora de viajes para el puerto de Montevideo. Una propuesta metodológica," Documentos de Trabajo (working papers), Department of Economics - dECON, number 2108, Oct.
• Andrea Silvestrini & David Veredas, 2008, "Temporal aggregation of univariate and multivariate time series models: a survey," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/136205, Jul.
• Laurent Moulin & Matteo Sala & Andrea Silvestrini & David Veredas, 2008, "Using intra annual information to forecast the annual state deficit. The case of France," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/136217.
• J. Isaac Miller & Joon Y. Park, 2008, "Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory," Working Papers, Department of Economics, University of Missouri, number 0801, Jan.
• Jorge Braga de Macedo & Luis Brites Pereira & Afonso Mendonca Reis, 2008, "Exchange market pressure in African lusophone countries," Nova SBE Working Paper Series, Universidade Nova de Lisboa, Nova School of Business and Economics, number wp527.
• Bayer, C & Hanck, C.H., 2008, "Is double trouble? How to combine cointegration tests," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 014, Jan, DOI: 10.26481/umamet.2008014.
• Manner, H., 2008, "Testing for Asymmetric Dependence," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 042, Jan, DOI: 10.26481/umamet.2008042.
• Verma, Reetu & Perera, Nelson, 2008, "An Empirical Analysis of Sustainability of Trade Deficit:Evidence from Sri Lanka," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia, number wp08-06.
• Martínez Ibáñez, Oscar & Olmo, José, 2008, "A nonlinear threshold model for the dependence of extremes of stationary sequences," Working Papers, Universitat Rovira i Virgili, Department of Economics, number 2072/5361.
• Fulvio Corsi & Francesco Audrino, 2008, "Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects," University of St. Gallen Department of Economics working paper series 2008, Department of Economics, University of St. Gallen, number 2008-04, Jan.
• Fulvio Corsi & Francesco Audrino, 2008, "Modeling Tick-by-Tick Realized Correlations," University of St. Gallen Department of Economics working paper series 2008, Department of Economics, University of St. Gallen, number 2008-05, Jan.
• Davide La Vecchia & Fabio Trojani, 2008, "Infinitesimal Robustness for Diffusions," University of St. Gallen Department of Economics working paper series 2008, Department of Economics, University of St. Gallen, number 2008-09, Apr.
• Francesco Audrino & Marcelo C. Medeiros, 2008, "Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process," University of St. Gallen Department of Economics working paper series 2008, Department of Economics, University of St. Gallen, number 2008-16, Aug.
• Pawel STRAWINSKI & Robert SLEPACZUK, 2008, "Analysis Of High Frequency Data On The Warsaw Stock Exchange In The Context Of Efficient Market Hypothesis," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, volume 3, issue 3(5)_Fall, pages 306-319.
• Fulvio Corsi & Davide Pirino & Roberto Renò, 2008, "Volatility forecasting: the jumps do matter," Department of Economics University of Siena, Department of Economics, University of Siena, number 534, Jun.
• Don Webber & Paul White & Angela Helvin, 2008, "Modelling structural change using broken sticks," Working Papers, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol, number 0801, Jan.
• Pierre L. Siklos & Diana N. Weymark, 2008, "Data Revisions, Gradualism, and US Inflation Pressure in Real Time," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 0816, Sep.
• Laura Barbieri, 2008, "Panel Cointegration Tests: A Survey," Rivista Internazionale di Scienze Sociali, Vita e Pensiero, Pubblicazioni dell'Universita' Cattolica del Sacro Cuore, volume 116, issue 1, pages 3-36.
• Adelina Gschwandtner & Jesus Crespo Cuaresma, 2008, "Explaining the persistence of profits: A time-varying approach," Vienna Economics Papers, University of Vienna, Department of Economics, number vie0806, Jun.
• Fatma Marrakchi Charfi, 2008, "Taux de change réel d’équilibre et mésalignements: Enseignements d’un modèle VAR-ECM pour le cas de la Tunisie," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 55, issue 4, pages 439-464.
• Paweł Strawiński & Robert Ślepaczuk, 2008, "Analysis of HF data on the WSE in the context of EMH," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2008-08.
• Yeyati, Eduardo Levy & Schmukler, Sergio L. & Van Horen, Neeltje, 2008, "Crises, capital controls, and financial integration," Policy Research Working Paper Series, The World Bank, number 4770, Nov.
• Krishna Chaitanya, & Emilia Vazquez Rozas, 2008, "Are Emerging Economies Fdi Inflows Cointegrated With Fdi Inflows Of China? ??? An Empirical Investigation," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp904, Dec.
• S. Borağan 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, DOI: 10.1111/j.1538-4616.2008.00115.x.
• Otero, Jesús & Smith, Jeremy & Giulietti, Monica, 2008, "Testing for seasonal unit roots in heterogeneous panels using monthly data in the presence of cross sectional dependence," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 865.
• Jacek Kotlowski, 2008, "Forecasting inflation with dynamic factor model – the case of Poland," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 24, Feb.
• Andrzej Toroj, 2008, "Estimation of weights for the Monetary Conditions Index in Poland," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 27, Jun.
• Edith Skriner, 2008, "Forecasting Global Flows," FIW Working Paper series, FIW, number 009, Jan.
• Adam Misiorek, 2008, "Short-term forecasting of electricity prices: Do we need a different model for each hour?," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/08/01.
• M. Hashem Pesaran & L. Vanessa Smith & Takashi Yamagata, 2008, "Panel Unit Root Tests in the Presence of a Multifactor Error Structure," Discussion Papers, Department of Economics, University of York, number 08/03, Mar.
• Zagaglia, Paolo, 2008, "Money-market segmentation in the euro area: what has changed during the turmoil?," Bank of Finland Research Discussion Papers, Bank of Finland, number 23/2008.
• Liu, Ruipeng & Di Matteo, Tiziana & Lux, Thomas, 2008, "Multifractality and long-range dependence of asset returns: The scaling behaviour of the Markov-switching multifractal model with lognormal volatility components," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2008-09.
• Herwartz, Helmut, 2008, "Exact inference in diagnosing value-at-risk estimates: A Monte Carlo device," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2008-16.
• Berger, Helge & Harjes, Thomas, 2008, "Does global liquidity matter for monetary policy in the Euro area?," Discussion Papers, Free University Berlin, School of Business & Economics, number 2008/13.
• Weitzel, Enno-Burghard & Keskin, Gülsen & Brosig, Stephan, 2008, "Der türkische Tomatensektor: regionale Gesichtspunkte und räumliche Marktintegration
  [Turkish tomato sector – Regional aspects and spatial market integration]," IAMO Discussion Papers, Leibniz Institute of Agricultural Development in Transition Economies (IAMO), number 120.
• Qin, Duo, 2008, "Uncover Latent PPP by Dynamic Factor Error Correction Model (DF-ECM) Approach: Evidence from Five OECD Countries," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 2, pages 1-26, DOI: 10.5018/economics-ejournal.ja.2008-.
• Liu, Ruipeng & Di Matteo, Tiziana & Lux, Thomas, 2008, "Multifractality and long-range dependence of asset returns: The scaling behaviour of the Markov-switching multifractal model with lognormal volatility components," Kiel Working Papers, Kiel Institute for the World Economy, number 1427.
• Lux, Thomas, 2008, "Sentiment dynamics and stock returns: the case of the German stock market," Kiel Working Papers, Kiel Institute for the World Economy, number 1470.
• Herrmann, Klaus, 2008, "Models for time-varying moments using maximum entropy applied to a generalized measure of volatility," FAU Discussion Papers in Economics, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics, number 06/2008.
• Popp, Stephan, 2008, "A Nonlinear Unit Root Test in the Presence of an Unknown Break," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 45.
• Bayer, Christian & Hanck, Christoph, 2008, "Is Double Trouble? – How to Combine Cointegration Tests," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 48.
• Bayer, Christian & Hanck, Christoph, 2008, "Is double trouble? How to combine cointegration tests," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2008,10.
• Čížek, Pavel & Härdle, Wolfgang Karl & Spokoiny, Vladimir, 2008, "Adaptive pointwise estimation in time-inhomogeneous time-series models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-002.
• Härdle, Wolfgang Karl & Hautsch, Nikolaus & Pigorsch, Uta, 2008, "Measuring and modeling risk using high-frequency data," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-045.
• Hautsch, Nikolaus & Ou, Yangguoyi, 2008, "Discrete-time stochastic volatility models and MCMC-based statistical inference," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-063.
• Hautsch, Nikolaus, 2008, "Testing multiplicative error models using conditional moment tests," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-067.
• Brause, Alexander, 2008, "Foreign exchange interventions in emerging market countries: New lessons from Argentina," W.E.P. - Würzburg Economic Papers, University of Würzburg, Department of Economics, number 79.
• Nautz, Dieter & Schmidt, Sandra, 2008, "Monetary Policy Implementation and the Federal Funds Rate," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 08-025.
• Oliver Ledoit & Michael Wolf, 2008, "Robust Performance Hypothesis Testing with the Sharpe Ratio," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 320, Jan.
• S. Sanfelici & S. Ogawa, 2008, "An improved two-step regularization scheme for spot volatility estimation," Economics Department Working Papers, Department of Economics, Parma University (Italy), number 2008-ME02.
• Mohammed Nishat & Khalid Mustafa, 2008, "Philippine Trading volume and serial correlation in stock returns in an emerging market : a case study of Pakistan," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, volume 45, issue 2, pages 101-117, December.
• Daryl Patrick Evangelista & Philip Amadeus Libre, 2008, "Electoral cycles in Philippine fiscal and monetary policy," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, volume 45, issue 2, pages 119-159, December.
• Muhammad Shahbaz & Khalil Ahmad & A. R. Chaudhary, 2008, "Economic Growth and Its Determinants in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 47, issue 4, pages 471-486.
• Naeem Akram & Ihtsham ul Haq Padda & Mohammad Khan, 2008, "The Long Term Impact of Health on Economic Growth in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 47, issue 4, pages 487-500.
• Wallace, Frederick & Lozano Cortés, René & Cabrera-Castellanos, Luis F., 2008, "Pruebas de cointegración de paridad de poder adquisitivo
  [Cointegration Tests of Purchasing Power Parity]," MPRA Paper, University Library of Munich, Germany, number 10011, Jul.
• Eo, Yunjong & Morley, James C., 2008, "Likelihood-Based Confidence Sets for the Timing of Structural Breaks," MPRA Paper, University Library of Munich, Germany, number 10372, Sep.
• Weron, Rafal & Misiorek, Adam, 2008, "Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models," MPRA Paper, University Library of Munich, Germany, number 10428, Jun.
• Hirawan, Fajar Bambang, 2008, "An Analysis of Employment and Growth in Java after the Economic Crisis 1997/1998: Examining the Role of Farm Activities in West Java," MPRA Paper, University Library of Munich, Germany, number 10441, Jul.
• Rao, B. Bhaskara & Singh, Rup & Kumar, Saten, 2008, "Do we need time series econometrics," MPRA Paper, University Library of Munich, Germany, number 10530, Jan, revised 14 Sep 2008.
• Leong, Choi-Meng & Puah, Chin-Hong & Abu Mansor, Shazali & Evan, Lau, 2008, "Testing the Effectiveness of Monetary Policy in Malaysia Using Alternative Monetary Aggregation," MPRA Paper, University Library of Munich, Germany, number 10568, Jun.
• Giovanis, Eleftherios, 2008, "An algorithm using GARCH process , Monte-Carlo simulation and wavelets analysis for stock prediction," MPRA Paper, University Library of Munich, Germany, number 10674, Sep.
• Proietti, Tommaso, 2008, "Direct and iterated multistep AR methods for difference stationary processes," MPRA Paper, University Library of Munich, Germany, number 10859, Oct.
• Visser, Marcel P., 2008, "Forecasting S&P 500 Daily Volatility using a Proxy for Downward Price Pressure," MPRA Paper, University Library of Munich, Germany, number 11100, Oct.
• Idrovo Aguirre, Byron, 2008, "¿Cuál es el crecimiento de largo plazo de la economía chilena?: Una respuesta formal para una antigua pregunta
  [Which is the growth of long term of the Chilean economy?]," MPRA Paper, University Library of Munich, Germany, number 11114, Feb, revised 14 Aug 2008.
• Sek, Siok Kun & Kapsalyamova, Zhanna, 2008, "Exchange rate pass-through and volatility: Impacts on domestic prices in four Asian countries," MPRA Paper, University Library of Munich, Germany, number 11130, Aug, revised 26 Oct 2008.
• Long, Dara, 2008, "Purchasing Power Parity and Real Exchange Rate in Japan," MPRA Paper, University Library of Munich, Germany, number 11173, Oct.
• Adam, Anokye M. & Tweneboah, George, 2008, "Macroeconomic Factors and Stock Market Movement: Evidence from Ghana," MPRA Paper, University Library of Munich, Germany, number 11256, Oct.
• Grassi, Stefano & Proietti, Tommaso, 2008, "Has the Volatility of U.S. Inflation Changed and How?," MPRA Paper, University Library of Munich, Germany, number 11453, Nov.
• Halicioglu, Ferda, 2008, "An econometric study of CO2 emissions, energy consumption, income and foreign trade in Turkey," MPRA Paper, University Library of Munich, Germany, number 11457.
• Luati, Alessandra & Proietti, Tommaso, 2008, "On the Spectral Properties of Matrices Associated with Trend Filters," MPRA Paper, University Library of Munich, Germany, number 11502, Nov.
• Guidi, Francesco, 2008, "Volatility and Long Term Relations in Equity Markets: Empirical Evidence from Germany, Switzerland, and the UK," MPRA Paper, University Library of Munich, Germany, number 11535, Nov.
• Sanogo, Issa & Gyengani, Zakaria, 2008, "Private investment in guinea, does macro-instability matter? A comparative analysis," MPRA Paper, University Library of Munich, Germany, number 11606, Feb.
• Klein, Achim & Urbig, Diemo, 2008, "Who Drives the Market? Estimating a Heterogeneous Agent-based Financial Market Model Using a Neural Network Approach," MPRA Paper, University Library of Munich, Germany, number 116175, Jun, revised 30 Apr 2011.
• Duasa, Jarita, 2008, "Impact of exchange rate shock on prices of imports and exports," MPRA Paper, University Library of Munich, Germany, number 11624.
• Eliza, Nor & M., Azali & Law, Siong-Hook & Lee, Chin, 2008, "Demand For International Reserves in ASEAN-5 Economies," MPRA Paper, University Library of Munich, Germany, number 11735.
• Kroës, Romain M., 2008, "Quelques bénéfices heuristiques d’une redéfinition du profit
  [Some heuristic Advantages of revising the current Conception of Profit]," MPRA Paper, University Library of Munich, Germany, number 11848, Sep, revised 24 Nov 2008.
• Silva Lopes, Artur C. B. da & Monteiro, Olga Susana, 2008, "Short and long run tests of the expectations hypothesis: the Portuguese case," MPRA Paper, University Library of Munich, Germany, number 12001, Sep.
• Sergio, Bianchi & Alessandro, Trudda, 2008, "Global Asset Return in Pension Funds: a dynamical risk analysis," MPRA Paper, University Library of Munich, Germany, number 12011, May, revised 14 Jun 2008.
• Kleppe, Tore Selland & Skaug, Hans J., 2008, "Simulated maximum likelihood for general stochastic volatility models: a change of variable approach," MPRA Paper, University Library of Munich, Germany, number 12022, Jul.
• Xu, Zhiwei, 2008, "Univariate Unobserved-Component Model with Non-Random Walk Permanent Component," MPRA Paper, University Library of Munich, Germany, number 12038, Nov.
• Kueh, Jerome Swee-Hui & Puah, Chin-Hong & Wong, Chiew-Meu, 2008, "Bounds Estimation for Trade Openness and Government Expenditure Nexus of ASEAN-4 Countries," MPRA Paper, University Library of Munich, Germany, number 12351, Nov.
• Sipos, Ciprian & Boleantu, Mihai, 2008, "Autoregressive models for analysis of foreign investment in Romania," MPRA Paper, University Library of Munich, Germany, number 13082, Apr.
• Duasa, Jarita & Ahmad, Nursilah, 2008, "Identifying good inflation forecaster," MPRA Paper, University Library of Munich, Germany, number 13302.
• Atiq-ur-Rehman, Atiq-ur-Rehman & Zaman, Asad, 2008, "Model specification, observational equivalence and performance of unit root tests," MPRA Paper, University Library of Munich, Germany, number 13489, Jul.
• Habibi, Fateh & Abdul Rahim, Khalid & Chin, Lee, 2008, "United Kingdom and United States Tourism Demand for Malaysia:A Cointegration Analysis," MPRA Paper, University Library of Munich, Germany, number 13590, Nov.
• Faghih, Nezameddin & Faghih, Ali, 2008, "Nyquist Frequency in Sequentially Sampled Data," MPRA Paper, University Library of Munich, Germany, number 14311.
• Bhattacharyya, Surajit & Saxena, Arunima, 2008, "Stock Futures Introduction & Its Impact on Indian Spot Market," MPRA Paper, University Library of Munich, Germany, number 15250.
• Harb, Nasri, 2008, "Oil Exports, Non Oil GDP and Investment in the GCC Countries," MPRA Paper, University Library of Munich, Germany, number 15576, Jun.
• Harding, Don, 2008, "FoolWatch: A Case study of econometric analysis and evidenced-based-policy making in the Australian Government," MPRA Paper, University Library of Munich, Germany, number 16041, Jul.
• Harding, Don, 2008, "FoolWatch - Further Discussion of Econometric Analysis Undertaken By ACCC," MPRA Paper, University Library of Munich, Germany, number 16048, Jul.
• Pandey, Alok Kumar, 2008, "Globalization and WTO: Impact on India’s economic growth and export," MPRA Paper, University Library of Munich, Germany, number 16104, Jan.
• Francq, Christian & Horvath, Lajos & Zakoian, Jean-Michel, 2008, "Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space," MPRA Paper, University Library of Munich, Germany, number 16669.
• Francq, Christian & Zakoian, Jean-Michel, 2008, "Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons," MPRA Paper, University Library of Munich, Germany, number 16672.
• Marvasti, Akbar & Smyth, David, 2008, "Barter and Business Cycles: A Comment and Further Empirical Evidence," MPRA Paper, University Library of Munich, Germany, number 18258, Jan.
• Chen, Shu-Ling & Kim, Hyeongwoo, 2008, "Nonlinear Mean Reversion across National Stock Markets: Evidence from Emerging Asian Markets," MPRA Paper, University Library of Munich, Germany, number 18680, Aug, revised Nov 2009.
• Kumar, Saten, 2008, "Cointegration and the Demand for Energy in Fiji," MPRA Paper, University Library of Munich, Germany, number 18704, Mar.
• Kumar, Saten & Manoka, Billy, 2008, "Testing the Stability of Demand for Money in Tonga," MPRA Paper, University Library of Munich, Germany, number 19300, Jun.
• Rizvi, Syed Kumail Abbas & Naqvi, Bushra, 2008, "Asymmetric Behavior of Inflation Uncertainty and Friedman-Ball Hypothesis: Evidence from Pakistan," MPRA Paper, University Library of Munich, Germany, number 19488, Jan.
• Levent, Korap, 2008, "Asymmetric information content of the YTL/US$ exchange rate return: new evidence from the post-crisis data using arma-egarch-m modeling," MPRA Paper, University Library of Munich, Germany, number 19631, Dec.
• El Bouhadi, A. & Ounir, A. & El Maguiri, M., 2008, "Construction d’un portefeuille efficient : Application empirique à partir d’un échantillon de valeurs cotées à la Bourse des Valeurs de Casablanca
  [THE efficient portfolio construction: an empirical investigation based on some listed shares in cas," MPRA Paper, University Library of Munich, Germany, number 19681, May.
• Tang, Chor Foon, 2008, "Is inflation always a monetary phenomenon in Malaysia?," MPRA Paper, University Library of Munich, Germany, number 19778, Sep.
• Dudek, Sławomir, 2008, "Consumer Survey Data and short-term forecasting of households consumption expenditures in Poland," MPRA Paper, University Library of Munich, Germany, number 19818, Aug.
• Mapa, Dennis & Beronilla, Nikkin, 2008, "Range-Based Models in Estimating Value-at-Risk (VaR)," MPRA Paper, University Library of Munich, Germany, number 21223.
• Othman, Redzuan & Salleh, Norlida Hanim Mohd, 2008, "Hubungan Pembangunan Industri Pelancongan Dan Pertumbuhan Ekonomi Di Beberapa Negara Utama ASEAN
  [Relationship Between Tourism Industry Development and Economic Growth in Major ASEAN Countries]," MPRA Paper, University Library of Munich, Germany, number 22457, Sep, revised 20 Feb 2010.
• El Bouhadi, A. & Elkhider, Abdelkader & Kchirid, El Mustapha & Idriss, El Abbassi, 2008, "LES déterminants du taux de change au Maroc : Une étude empirique
  [THE Exchange Rate Determinants in Morocco: An Empirical Investigation]," MPRA Paper, University Library of Munich, Germany, number 24115, Nov.
• Giovanis, Eleftherios, 2008, "Additional Smoothing Transition Autoregressive Models," MPRA Paper, University Library of Munich, Germany, number 24657, Aug.
• Giovanis, Eleftherios, 2008, "Applications of Least Mean Square (LMS) Algorithm Regression in Time-Series Analysis," MPRA Paper, University Library of Munich, Germany, number 24658, Aug.
• Giovanis, Eleftherios, 2008, "Smoothing Transition Autoregressive (STAR) Models with Ordinary Least Squares and Genetic Algorithms Optimization," MPRA Paper, University Library of Munich, Germany, number 24660, Aug.
• Bandyopadhyay, Kaushik Ranjan, 2008, "Implication of Fuel Price Deregulation on Fuel Demand and CO2 Emission: A Case Study of Car Ownership and Utilisation in India," MPRA Paper, University Library of Munich, Germany, number 25641, revised 2009.
• Frappa, Sebastien & Murez, Michèle & Montornès, Jérémi & Barbier de la Serre, Anne, 2008, "Bank interest rates pass-through: new evidence from French panel data," MPRA Paper, University Library of Munich, Germany, number 26709, Aug.
• Rashid, Abdul, 2008, "Macroeconomic Variables and Stock Market Performance: Testing for Dynamic Linkages with a Known Structural Break," MPRA Paper, University Library of Munich, Germany, number 26937, Jan.
• Abdul Karim, Zulkefly & Zaidi, Mohd Azlan Shah & Jusoh, Mansor, 2008, "Variabiliti harga relatif dan inflasi : bukti empirikal di Semenanjung Malaysia, Sabah dan Sarawak
  [Relative price variability and inflation: empirical evidence in Peninsular Malaysia, Sabah and Sarawak]," MPRA Paper, University Library of Munich, Germany, number 26970, Jan, revised Jun 2008.
• Abdul Karim, Zulkefly & Abdul Karim, Bakri, 2008, "Stock market integration: Malaysia and its major trading partners," MPRA Paper, University Library of Munich, Germany, number 26976, Dec, revised Jun 2009.
• Abderrazik, Amal & Boutkardine, Mehdi & El Bahi, Nour El Houda & Kartoubi, Salah Eddine & El Bouhadi, Abdelhamid, 2008, "Evaluation du Risque d’un Echantillon de Valeurs Mobilières de la Bourse de Casablanca
  [Risk Assessment of a Sample of Securities in Casablanca Stock Exchange]," MPRA Paper, University Library of Munich, Germany, number 27731, May.
• Dinda, Soumyananda, 2008, "Factors Determining FDI to Nigeria: An Empirical Investigation," MPRA Paper, University Library of Munich, Germany, number 28097, Jul, revised Nov 2010.
• Omay, Tolga, 2008, "The Term Structure of Interest Rate as a Predictor of Inflation and Real Economic Activity: Nonlinear Evidence from Turkey," MPRA Paper, University Library of Munich, Germany, number 28572.
• Harding, Don, 2008, "Detecting and forecasting business cycle turning points," MPRA Paper, University Library of Munich, Germany, number 33583, Sep.
• Mohamed Hassan, Hisham, 2008, "Cointegration growth, poverty and inequality in Sudan," MPRA Paper, University Library of Munich, Germany, number 36651, May, revised Feb 2012.
• Guzman, Giselle C., 2008, "Using sentiment surveys to predict GDP growth and stock returns," MPRA Paper, University Library of Munich, Germany, number 36653, Oct.
• Raihan, Selim, 2008, "Trade Liberalization and Poverty in Bangladesh," MPRA Paper, University Library of Munich, Germany, number 37905, Dec.
• Bruno, Giancarlo, 2008, "Forecasting Using Functional Coefficients Autoregressive Models," MPRA Paper, University Library of Munich, Germany, number 42335, Jun.
• Jiranyakul, Komain & Brahmasrene, Tantatape, 2008, "Cointegration between Investment and Saving in Selected Asian Countries: ARDL Bounds Testing Procedure," MPRA Paper, University Library of Munich, Germany, number 45076.
• Xu, Zhiwei, 2008, "Univariate Unobserved-Component Model with Non-Random Walk Permanent Component," MPRA Paper, University Library of Munich, Germany, number 46162, Nov.
• Xu, Zhiwei, 2008, "Univariate Unobserved-Component Model with a Non-Random-Walk Permanent Component," MPRA Paper, University Library of Munich, Germany, number 50053, Nov.
• Jiranyakul, Komain, 2008, "Empirical Assessment of the Present Value Model of Stock Prices Using the Data from Thailand’s Stock Market," MPRA Paper, University Library of Munich, Germany, number 55156, Jun.
• Ventosa-Santaulària, Daniel, 2008, "Spurious Instrumental Variables," MPRA Paper, University Library of Munich, Germany, number 59005.
• Ventosa-Santaulària, Daniel, 2008, "Spurious Regression," MPRA Paper, University Library of Munich, Germany, number 59008.
• Valle e Azevedo, João, 2008, "A Multivariate Band-Pass Filter," MPRA Paper, University Library of Munich, Germany, number 6555, Jan.
• Halicioglu, Ferda, 2008, "The J-Curve Dynamics of Turkey: An Application of ARDL Model," MPRA Paper, University Library of Munich, Germany, number 6824, Jan.
• Proietti, Tommaso, 2008, "Structural Time Series Models for Business Cycle Analysis," MPRA Paper, University Library of Munich, Germany, number 6854, Jan.
• Buncic, Daniel, 2008, "A note on long horizon forecasts of nonlinear models of real exchange rates: Comments on Rapach and Wohar (2006)," MPRA Paper, University Library of Munich, Germany, number 6904, Jan.
• Fugarolas Álvarez-Ude, Guadalupe & Mañalich Gálvez, Isis & Matesanz Gómez, David, 2008, "Empirical Evidence Of The Balance Of Payments Constrained Growth In Cuba. The Effects Of Comercial Regimes Since 1960," MPRA Paper, University Library of Munich, Germany, number 6993, Feb.
• Caleiro, António, 2008, "Detecting Peaks and Valleys in the Number of Births in Portugal," MPRA Paper, University Library of Munich, Germany, number 7031, Jan.
• Travaglini, Guido, 2008, "Dynamic GMM Estimation With Structural Breaks. An Application to Global Warming and its Causes," MPRA Paper, University Library of Munich, Germany, number 7108, Feb.
• Alper, C. Emre & Fendoglu, Salih & Saltoglu, Burak, 2008, "Forecasting Stock Market Volatilities Using MIDAS Regressions: An Application to the Emerging Markets," MPRA Paper, University Library of Munich, Germany, number 7460, Mar.