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

• Frederick H. Wallace & Rene Lozano Cortes & Luis Fernando Cabrera Castellanos, 2008, "Pruebas de cointegracion de paridad de poder de compra," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., volume 4, issue 2, pages 7-25, Enero-Jun.
• Ralf Becker & Adam Clements & Andrew McClelland, 2008, "The Jump component of S&P 500 volatility and the VIX index," NCER Working Paper Series, National Centre for Econometric Research, number 24, Mar.
• Pedro Silos & Karsten Jeske & Rajeev Dhawan, 2008, "Productivity, Energy Prices and the Great Moderation: A New Link," 2008 Meeting Papers, Society for Economic Dynamics, number 877.
• Cristiana Tudor, 2008, "Modelarea volatilitatii seriilor de timp prin modele GARCH simetrice," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 11, issue 30, pages 183-208, (4).
• Szymon Wlazlowski & Monica Giulietti & Jane Binner & Costas Milas, 2008, "Smooth Transition Models in Price Transmission," Working Paper series, Rimini Centre for Economic Analysis, number 04_08, Jan.
• Steve Lawford & Michalis P. Stamatogiannis, 2008, "The Finite-Sample E ects of VAR Dimensions on OLS Bias, OLS Variance, and Minimum MSE Estimators," Working Paper series, Rimini Centre for Economic Analysis, number 13_08, Jan.
• Mark J. Jensen & John M. Maheu, 2009, "Bayesian Semiparametric Stochastic Volatility Modeling," Working Paper series, Rimini Centre for Economic Analysis, number 23_09, Jan.
• Dean Fantazzini, 2008, "An Econometric Analysis of Financial Data in Risk Management," Applied Econometrics, Russian Academy of National Economy and Public Administration (RANEPA), volume 10, issue 2, pages 91-137.
• Henry Penikas, 2008, "Forecasting for the Bank's Asset-Liability Management," Applied Econometrics, Russian Academy of National Economy and Public Administration (RANEPA), volume 12, issue 4, pages 3-26.
• Dean Fantazzini, 2008, "Econometric Analysis of Financial Data in Risk Management (continuation). Section III: Managing Operational Risk," Applied Econometrics, Russian Academy of National Economy and Public Administration (RANEPA), volume 11, issue 3, pages 87-122.
• Dean Fantazzini, 2008, "Credit Risk Management," Applied Econometrics, Russian Academy of National Economy and Public Administration (RANEPA), volume 12, issue 4, pages 84-137.
• Boris Brodsky, 2008, "Structural Changes and Unit Roots: Distinguishing Models of Nonstationary Time Series," Applied Econometrics, Russian Academy of National Economy and Public Administration (RANEPA), volume 11, issue 3, pages 52-63.
• Richard Jong-A-Pin & Jakob de Haan, 2008, "Time-varying impact of public capital on output: New evidence based on VARs for OECD countries," EIB Papers, European Investment Bank, Economics Department, number 3/2008, Jul.
• Mariam Camarero & Renato G. Flôres, 2008, "A “SURE” Approach to Testing for Convergence in Regional Integrated areas: An Application to Output Convergence in Mercosur," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 23, pages 1-23.
• Mircea Gligor & Marcel Ausloos, 2008, "Convergence and Cluster Structures in EU Area according to Fluctuations in Macroeconomic Indices," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 23, pages 297-330.
• Torben W. Hendricks & Bernd Kempa, 2008, "Asymmetric Transmission of Monetary Policy in Europe: a Markov-switching Approach," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 23, pages 873-895.
• Mario Gómez & José Carlos Rodríguez, 2008, "Patenting activity and innovativeness in US and Japan: an econometric analysis," Revista Nicolaita de Estudios Económicos, Universidad Michoacana de San Nicolás de Hidalgo, Instituto de Investigaciones Económicas y Empresariales, volume 0, issue 1, pages 9-23.
• Albu, Lucian Liviu, 2008, "A Model to Estimate the Composite Index of Economic Activity in Romania – IEF-RO," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 5, issue 2, pages 44-50, June.
• Fernandez, Paula & Teixeira, Joao & Ferreira, Joao & Azevedo, Susana G., 2008, "Modelling Tourism Demand: A Comparative Study Between Artificial Neural Networks And The Box-Jenkins Methodology," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 5, issue 3, pages 30-50, Septembe2.
• Ruxanda, Gheorghe & Botezatu, Andreea, 2008, "Spurious Regression And Cointegration. Numerical Example: Romania’S M2 Money Demand," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 5, issue 3, pages 51-62, September.
• Scutaru, Cornelia & Saman, Corina & Stanica, Cristian, 2008, "Predictability And Complexity In Macroeconomics. The Case Of Gross Fixed Capital Formation In The Romanian Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 5, issue 4, pages 196-205, December.
• Matteo Formenti, 2008, "Indicators and Tests of Sustainability: The Italian Case," Rivista di Politica Economica, SIPI Spa, volume 98, issue 6, pages 123-160, November-.
• Bruno Caprettini, 2008, "Finance and the Diffusion of Digital Technologies," Rivista di Politica Economica, SIPI Spa, volume 98, issue 6, pages 79-122, November-.
• Giancarlo Marini & Alessandro Piergallini, 2008, "Indicators and Tests of Fiscal Sustainability: An Integrated Approach," CEIS Research Paper, Tor Vergata University, CEIS, number 111, Jul, revised 11 Jul 2008.
• Tommaso Proietti & Alessandra Luati, 2013, "The Exponential Model for the Spectrum of a Time Series: Extensions and Applications," CEIS Research Paper, Tor Vergata University, CEIS, number 272, Apr, revised 19 Apr 2013.
• Tommaso Proietti & Alessandra Luati, 2013, "The Generalised Autocovariance Function," CEIS Research Paper, Tor Vergata University, CEIS, number 276, Apr, revised 30 Apr 2013.
• Samih Antoine Azar, 2008, "The Effect of the Lebanese Peg to the US Dollar on Market Efficiency and Risk," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 7, issue 1, pages 1-15, January, DOI: 10.1177/097265270700700101.
• Sanjeev Gupta & Gulshan Kumar, 2008, "Growth Performance and Forecasts of Exports of Leather Industry in Punjab," Foreign Trade Review, , volume 43, issue 1, pages 27-41, April, DOI: 10.1177/0015732515080102.
• Krishna Chaitanya Vadlamannati, 2008, "Do Insurance Sector Growth and Reforms Affect Economic Development? Empirical Evidence from India," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, volume 2, issue 1, pages 43-86, March, DOI: 10.1177/097380100700200102.
• Madhusudan Ghosh, 2008, "Economic Reforms, Growth and Regional Divergence in India," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, volume 2, issue 3, pages 265-285, August, DOI: 10.1177/097380100800200303.
• Jana Eklund & George Kapetanios, 2008, "A review of forecasting techniques for large datasets," National Institute Economic Review, National Institute of Economic and Social Research, volume 203, issue 1, pages 109-115, January.
• Jan Babecký & Kamil Dybczak, 2008, "Real Wage Flexibility in the Enlarged Eu: Evidence From a Structural Var," National Institute Economic Review, National Institute of Economic and Social Research, volume 204, issue 1, pages 126-138, April.
• Amarjit Singh Sethi, 2008, "Some Methodological Aspects of Rates of Growth Computations," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, volume 9, issue 1, pages 195-209, June, DOI: 10.1177/139156140700900109.
• Harendra Behera & Vathsala Narasimhan & K.N. Murty, 2008, "Relationship between Exchange Rate Volatility and Central Bank Intervention," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, volume 9, issue 1, pages 69-84, June, DOI: 10.1177/139156140700900103.
• Mahmood-ul-Hasan Khan, 2008, "Short Run Effects of an Unanticipated Change in Monetary Policy: Interpreting Macroeconomic Dynamics in Pakistan," SBP Research Bulletin, State Bank of Pakistan, Research Department, volume 4, pages 1-30.
• S. Adnan H. A. S. Bukhari & Safdar Ullah Khan, 2008, "Estimating Output Gap for Pakistan Economy: Structural and Statistical Approaches," SBP Research Bulletin, State Bank of Pakistan, Research Department, volume 4, pages 31-60.
• Syed Adnan H. A. S. Bukhari & Safdar Ullah Khan, 2008, "Estimating Output Gap for Pakistan economy: Structural and Statistical Approaches," SBP Working Paper Series, State Bank of Pakistan, Research Department, number 24, Jun.
• Mustafa Caglayan & Jing Di, 2008, "Does Real Exchange Rate Volatility Affect Sectoral Trade Flows?," Working Papers, The University of Sheffield, Department of Economics, number 2008011, Sep, revised Sep 2008.
• Patrick Richard, 2008, "Modified Fast Double Sieve Bootstraps for ADF Tests," Cahiers de recherche, Departement d'économique de l'École de gestion à l'Université de Sherbrooke, number 08-17.
• Hüseyin Avni EGELİ & Haluk EGELİ, 2008, "Bir Geçiş Ekonomisi Olarak Kırgızistan’ın Dış Borçlarının Sürdürebilirliği," Sosyoekonomi Journal, Sosyoekonomi Society, issue 2008-1.
• Recep DÜZGÜN & Emine BİLGİLİ, 2008, "Kamu Tüketim Harcaması ve Özel Tüketim: Orta Asya Ülkeleri Üzerine Panel Veri Analizi," Sosyoekonomi Journal, Sosyoekonomi Society, issue 2008-2.
• P. Saavedra & C. Hernández & I. Luengo & J. Artiles & A. Santana, 2008, "Estimation of population spectrum for linear processes with random coefficients," Computational Statistics, Springer, volume 23, issue 1, pages 79-98, January, DOI: 10.1007/s00180-007-0069-5.
• 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.
• Michael Sørensen, 2008, "Efficient estimation for ergodic diffusions sampled at high frequency," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-46, Jan.
• Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2008, "Parameterizing unconditional skewness in models for financial time series," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-07, Jan.
• Christina Amado & Timo Teräsvirta, 2008, "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-08, Jan.
• Peter Christoffersen & Kris Dorion & Yintian Wang, 2008, "Volatility Components, Affine Restrictions and Non-Normal Innovations," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-10, Feb.
• Lars Stentoft, 2008, "Option Pricing using Realized Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-13, Mar.
• Jie Zhu, 2008, "FIEGARCH-M and and International Crises: A Cross-Country Analysis," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-16, Mar.
• Michael Sørensen, 2008, "Parametric inference for discretely sampled stochastic differential equations," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-18, Apr.
• Anne Péguin-Feissolle & Birgit Strikholm & Timo Teräsvirta, 2008, "Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-19, Apr.
• Frank S. Nielsen, 2008, "Local polynomial Whittle estimation covering non-stationary fractional processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-28, Jun.
• Per Frederiksen & Frank S. Nielsen & Morten Ørregaard Nielsen, 2008, "Local polynomial Whittle estimation of perturbed fractional processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-29, Jun.
• Mika Meitz & Pentti Saikkonen, 2008, "Parameter estimation in nonlinear AR-GARCH models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-30, Jun.
• Per Frederiksen & Morten Ørregaard Nielsen, 2008, "Bias-reduced estimation of long memory stochastic volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-35, Jun.
• Morten Ørregaard Nielsen, 2008, "A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-36, Jun.
• Christian M. Dahl & Emma M. Iglesias, 2008, "The limiting properties of the QMLE in a general class of asymmetric volatility models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-38, Jul.
• Lars Stentoft, 2008, "American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-41, Sep.
• Christian M. Dahl & Henrik Hansen & John Smidt, 2008, "The cyclical component factor model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-44, Sep.
• Bent Jesper Christensen & Christian M. Dahl & Emma M. Iglesias, 2008, "Semiparametric Inference in a GARCH-in-Mean Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-46, Sep.
• Tim Bollerslev & Tzuo Hao & George Tauchen, 2008, "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-48, Sep.
• Tim Bollerslev, 2008, "Glossary to ARCH (GARCH)," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-49, Sep.
• Bent Jesper Christensen & Michael Sørensen, 2008, "Optimal inference in dynamic models with conditional moment restrictions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-51, Sep.
• Per Frederiksen & Frank S. Nielsen, 2008, "Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-59, Nov.
• Giuseppe Cavaliere & David I. Harvey & Stephen J. Leybourne & A.M. Robert Taylor, 2008, "Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-62, Dec.
• Trevor Breusch & Farshid Vahid, 2008, "Global Temperature Trends," ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics, number 2008-495, Jul.
• Christian M. Hafner & Helmut Herwartz, 2008, "Testing for Causality in Variance Usinf Multivariate GARCH Models," Annals of Economics and Statistics, GENES, issue 89, pages 215-241.
• Rebeca Jiménez-Rodríguez & Giuseppe Russo, 2008, "Institutional Rigidities and Employment Rigidity on the Italian Labour Market," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, volume 54, issue 3, pages 217-227.
• Alexander Perruchoud, 2008, "Analyzing the Swiss Business Cycle," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, volume 54, issue 4, pages 255-292.
• Terence C. Mills, 2008, "Exploring historical economic relationships: two and a half centuries of British interest rates and inflation," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), volume 2, issue 3, pages 213-228, October.
• Claude Diebolt & Magali Jaoul-Grammare, 2008, "Econométrie historique des salaires en France : une relecture des années charnières," Working Papers, Association Française de Cliométrie (AFC), number 08-08.
• Claude Diebolt & Karine Pellier, 2008, "Analyse spectrale de l’évolution de longue période des brevets en France, en Allemagne, en Grande-Bretagne, aux Etats-Unis et au Japon (17ème-20ème siècles)," Working Papers, Association Française de Cliométrie (AFC), number 08-09.
• Baek, Jungho & Koo, Won W., 2008, "A Dynamic Approach to the FDI-Environment Nexus: The Case of China and India," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association), number 6508, DOI: 10.22004/ag.econ.6508.
• Weitzel, Enno-Burghard & Keskin, Gulsen & Brosig, Stephan, 2008, "Der Türkische Tomatensektor – Regionale Gesichtspunkte Und Räumliche Marktintegration," IAMO Discussion Papers, Institute of Agricultural Development in Transition Economies (IAMO), number 91910, DOI: 10.22004/ag.econ.91910.
• Allen, Jason & Gregory, Allan W. & Shimotsu, Katsumi, 2008, "Empirical Likelihood Block Bootstrapping," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273632, Mar, DOI: 10.22004/ag.econ.273632.
• Orregaard Nielsen, Morten, 2008, "A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273651, Jul, DOI: 10.22004/ag.econ.273651.
• Busch, Thomas & Jesper Christensen, Bent & Orregaard Nielsen, Morten, 2008, "The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273658, Oct, DOI: 10.22004/ag.econ.273658.
• Orregaard Nielsen, Morten, 2008, "A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273662, Oct, DOI: 10.22004/ag.econ.273662.
• Resende Filho, Moises de Andrade, undated, "Potenciais benefícios do sistema de rastreabilidade animal dos EUA para o setor de carnes americano," Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR), Sociedade Brasileira de Economia e Sociologia Rural, volume 46, issue 4, pages 1-26, DOI: 10.22004/ag.econ.61199.
• Tejada, Cesar Augusto Oviedo & Silva, Agnaldo Gomes da, undated, "O pass-through das variações da taxa de câmbio para os preços dos principais produtos exportados pelo Brasil," Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR), Sociedade Brasileira de Economia e Sociologia Rural, volume 46, issue 01, pages 1-35, DOI: 10.22004/ag.econ.61279.
• Hossain, Akhand Akhtar, 2008, "The Agricultural and the External (Net Barter) Terms of Trade in Bangladesh: Trends, Movements and Relationships, 1952-2006," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, volume 4, issue 01-2, pages 1-15, DOI: 10.22004/ag.econ.50011.
• Saghaian, Sayed H. & Ozertan, Gokhan & Spaulding, Aslihan D., 2008, "The Impacts of Atlantic Bonito Rush and the Avian Influenza on Meat Products in Turkey," 2008 Annual Meeting, February 2-6, 2008, Dallas, Texas, Southern Agricultural Economics Association, number 6892, DOI: 10.22004/ag.econ.6892.
• Nicola, Danieli Scalcon & Freitas, Clailton Ataides & Paz, Marlon Vidal, 2008, "Previsão Dos Preços Do Açúcar E Análise Da Sua Volatilidade No Mercado Futuro Brasileiro (2003 A 2007): Uma Aplicação De Modelos Da Família Arch," 46th Congress, July 20-23, 2008, Rio Branco, Acre, Brazil, Sociedade Brasileira de Economia, Administracao e Sociologia Rural (SOBER), number 108829, Jul, DOI: 10.22004/ag.econ.108829.
• Otero, Jesus & Smith, Jeremy & Giulietti, Monica, undated, "Testing for seasonal unit roots in heterogeneous panels using monthly data in the presence of cross sectional dependence," Economic Research Papers, University of Warwick - Department of Economics, number 269863, DOI: 10.22004/ag.econ.269863.
• Ioan TalpoÅŸ & Cosmin Enache, 2008, "Fiscal Policy Sustainability In Romania," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 1, issue 10, pages 1-23.
• Valentina Vasile & Mariana Balan, 2008, "Impact Of Greenhouse Effect Gases On Climatic Changes. Measurement Indicators And Forecast Models," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 2, issue 10, pages 1-19.
• Dijk, D. van & Diks, C.G.H. & Panchenko, V., 2008, "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 08-03.
• Veridiana Ramos Carvalho & Gilberto Tadeu Lima & Antonio Tiago Loureiro Araujo dos Santos, 2008, "A Restrição Externa como Fator Limitante do Crescimento Econômico Brasileiro: Um Teste Empírico," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 9, issue 2, pages 285-307.
• Pedro Raffy Vartanian, 2008, "Choques monetários e cambiais sob regimes de câmbio flutuante nos países membros do Mercosul: há indícios de convergência macroeconômica?," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 200807211410580.
• Mosar Leandro Ness & Igor Clemente de Morais & Vanessa Battisti, 2008, "Oferta e Demanda por Exportações de Automóveis (1992-2006)," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 200807211626060.
• Camilo Serrano & Martin Hoesli, 2008, "Are Securitized Real Estate Returns More Predictable Than Stock Returns?," ERES, European Real Estate Society (ERES), number eres2008_252, Jan.
• Dimitra Kyriakopoulou & Antonis Demos, 2010, "Edgeworth and Moment Approximations: The Case of MM and QML Estimators for the MA(1) Models," DEOS Working Papers, Athens University of Economics and Business, number 1003, May.