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

• Rao, Gyaneshwar, 2008, "The Relationship between Crude and Refined Product Market: The Case of Singapore Gasoline Market using MOPS Data," MPRA Paper, University Library of Munich, Germany, number 7579, Mar.
• SELLAMI, Ahmed & CHIKHI, Mohamed, 2008, "تقدير دالة الادخار العائلي في الجزائر 1970-2005
  [Estimating the household saving function in Algeria 1970-2005]," MPRA Paper, University Library of Munich, Germany, number 76720, revised 2008.
• Chin, Wencheong, 2008, "Spurious long-range dependence: evidence from Malaysian equity markets," MPRA Paper, University Library of Munich, Germany, number 7914.
• Degiannakis, Stavros, 2008, "ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling," MPRA Paper, University Library of Munich, Germany, number 80465.
• Razzak, Weshah, 2008, "On The dynamic of search, matching and productivity in New Zealand and Australia," MPRA Paper, University Library of Munich, Germany, number 8262.
• Lanne, Markku & Saikkonen, Pentti, 2008, "Modeling Expectations with Noncausal Autoregressions," MPRA Paper, University Library of Munich, Germany, number 8411.
• Saghaian, Sayed & Ozertan, Gokhan & Spaulding, Aslihan, 2008, "The Impacts of Atlantic Bonito Rush and the Avian Influenza on Meat Products in Turkey," MPRA Paper, University Library of Munich, Germany, number 8507, Feb.
• Sitzia, Bruno & Iovino, Doriana, 2008, "Nonlinearities in Exchange rates: Double EGARCH Threshold Models for Forecasting Volatility," MPRA Paper, University Library of Munich, Germany, number 8661, Jan.
• Petranov, Stefan, 2008, "Оценка На Бета Коефициентите На Публични Дружества В България
  [Estimation of Beta Coefficients for Publicly Traded Companies in Bulgaria]," MPRA Paper, University Library of Munich, Germany, number 88385.
• Luati, Alessandra & Proietti, Tommaso, 2008, "On the Equivalence of the Weighted Least Squares and the Generalised Least Squares Estimators, with Applications to Kernel Smoothing," MPRA Paper, University Library of Munich, Germany, number 8910, May.
• Bernardi, Mauro & Della Corte, Giuseppe & Proietti, Tommaso, 2008, "Extracting the Cyclical Component in Hours Worked: a Bayesian Approach," MPRA Paper, University Library of Munich, Germany, number 8967, May.
• Visser, Marcel P., 2008, "Garch Parameter Estimation Using High-Frequency Data," MPRA Paper, University Library of Munich, Germany, number 9076, Jun.
• Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia, 2008, "Inference regarding multiple structural changes in linear models estimated via two stage least squares," MPRA Paper, University Library of Munich, Germany, number 9251, Jun, revised 20 Jun 2008.
• Salazar, Eduardo, 2008, "Curva de Phillips y la Tasa Natural de Desempleo. Una aproximación simple para el Perú. (1993 - 2006)
  [Phillips Curve and the natural rate of unemployment. A simple approach to Peru. (1993 - 2006)]," MPRA Paper, University Library of Munich, Germany, number 9527, Jan.
• Strawinski, Pawel & Slepaczuk, Robert, 2008, "Analysis of HF data on the WSE in the context of EMH," MPRA Paper, University Library of Munich, Germany, number 9532, Jun.
• Salazar, Eduardo, 2008, "El Riesgo País y el Tipo de Cambio Nominal entre el Perú y Estados Unidos. Una aproximación a través de un Modelo de Mercado de Activos de determinación del Tipo de Cambio. (1998:12 – 2007:12)
  [The Country Risk and the nominal exchange rate betwee," MPRA Paper, University Library of Munich, Germany, number 9540, Apr.
• Lorde, Troy & Francis, Brian & Skeete, Stephney, 2008, "Are Shocks to Barbados Long-Stay Visitor Arrivals Permanent or Temporary: A Short Empirical Note," MPRA Paper, University Library of Munich, Germany, number 95597, Dec.
• Lorde, Troy & Francis, Brian & Waithe, Kimberly & Taylor, Timothy, 2008, "Interest Rate Determination in Small Developing Countries," MPRA Paper, University Library of Munich, Germany, number 95621, Jan.
• Goodwin, Barry K. & Holt, Matthew T. & Prestemon, Jeffery P., 2008, "The Commodity Terms of Trade, Unit Roots, and Nonlinear Alternatives: A Smooth Transition Approach," MPRA Paper, University Library of Munich, Germany, number 9684, Apr.
• Rao, B. Bhaskara, 2008, "Estimates of the Steady State Growth Rates for Selected Asian Countries with an Extended Solow Model," MPRA Paper, University Library of Munich, Germany, number 9724, Jul, revised 01 Jul 2008.
• S. Adnan H. A. S., Bukhari & Safdar Ullah, Khan, 2008, "Estimating Output Gap for Pakistan Economy:Structural and Statistical Approaches," MPRA Paper, University Library of Munich, Germany, number 9736, Apr, revised 20 Jun 2008.
• Thabo Mokoena & Rangan Gupta & Renee van Eyden, 2008, "Testing for PPP Using SADC Real Exchange Rates," Working Papers, University of Pretoria, Department of Economics, number 200822, Jun.
• Radka Štiková, 2008, "Models of political cycles: the czech experience," Prague Economic Papers, Prague University of Economics and Business, volume 2008, issue 3, pages 213-229, DOI: 10.18267/j.pep.330.
• Alexandr Kuchynka, 2008, "An empirical application of a two-factor model of stochastic volatility," Prague Economic Papers, Prague University of Economics and Business, volume 2008, issue 3, pages 243-253, DOI: 10.18267/j.pep.332.
• Josef Arlt & Milan Bašta, 2008, "Časové řady měsíční a roční míry inflace a jejich vlastnosti
  [Time series of monthly and yearly inflation rates and their properties]," Politická ekonomie, Prague University of Economics and Business, volume 2008, issue 4, pages 536-556, DOI: 10.18267/j.polek.652.
• António Rua & Francisco Craveiro Dias, 2008, "Forecasting Using Targeted Diffusion Indexes," Working Papers, Banco de Portugal, Economics and Research Department, number w200807.
• José R. Maria & Sara Serra, 2008, "Forecasting investment: A fishing contest using survey data," Working Papers, Banco de Portugal, Economics and Research Department, number w200818.
• António Rua & Cláudia Duarte & Francisco Craveiro Dias, 2008, "Inflation expectations in the euro area: Are consumers rational?," Working Papers, Banco de Portugal, Economics and Research Department, number w200823.
• Mohitosh Kejriwal & Pierre Perron, 2008, "Testing for Multiple Structural Changes in Cointegrated Regression Models," Purdue University Economics Working Papers, Purdue University, Department of Economics, number 1216, Nov.
• Jason Allen & Allan Gregory & Katsumi Shimotsu, 2008, "Empirical Likelihood Block Bootstrapping," Working Paper, Economics Department, Queen's University, number 1156, Mar.
• Morten Ø. Nielsen & Per Houmann Frederiksen, 2008, "Fully Modified Narrow-band Least Squares Estimation Of Stationary Fractional Cointegration," Working Paper, Economics Department, Queen's University, number 1171, Jul.
• Morten Ø. Nielsen, 2008, "A Powerful Tuning Parameter Free Test Of The Autoregressive Unit Root Hypothesis," Working Paper, Economics Department, Queen's University, number 1175, Jul.
• Bent Jesper Christensen & Morten Ø. Nielsen & Thomas Busch, 2008, "The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets," Working Paper, Economics Department, Queen's University, number 1181, Oct.
• Morten Ø. Nielsen, 2008, "A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic," Working Paper, Economics Department, Queen's University, number 1185, Oct.
• Jan J.J. Groen & George Kapetanios, 2008, "Revisiting Useful Approaches to Data-Rich Macroeconomic Forecasting," Working Papers, Queen Mary University of London, School of Economics and Finance, number 624, Mar.
• Jana Eklund & George Kapetanios, 2008, "A Review of Forecasting Techniques for Large Data Sets," Working Papers, Queen Mary University of London, School of Economics and Finance, number 625, Mar.
• Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2008, "Forecasting with Dynamic Models using Shrinkage-based Estimation," Working Papers, Queen Mary University of London, School of Economics and Finance, number 635, Oct.
• 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 Presidential 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 Presidential 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 Presidential Academy of National Economy and Public Administration (RANEPA), volume 11, issue 3, pages 87-122.
• Dean Fantazzini, 2008, "Credit Risk Management," Applied Econometrics, Russian Presidential 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 Presidential 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.
• Paresh Narayan, 2008, "Is Asian per capita GDP panel stationary?," Empirical Economics, Springer, volume 34, issue 3, pages 439-449, June, DOI: 10.1007/s00181-007-0129-2.
• Andrea Silvestrini & Matteo Salto & Laurent Moulin & David Veredas, 2008, "Monitoring and forecasting annual public deficit every month: the case of France," Empirical Economics, Springer, volume 34, issue 3, pages 493-524, June, DOI: 10.1007/s00181-007-0132-7.
• Roger Bowden & Jennifer Zhu, 2008, "The agribusiness cycle and its wavelets," Empirical Economics, Springer, volume 34, issue 3, pages 603-622, June, DOI: 10.1007/s00181-007-0140-7.
• Andrea Cipollini & Kostas Mouratidis & Nicola Spagnolo, 2008, "Evaluating currency crises: the case of the European monetary system," Empirical Economics, Springer, volume 35, issue 1, pages 11-27, August, DOI: 10.1007/s00181-007-0141-6.
• Peter Sephton, 2008, "Critical values of the augmented fractional Dickey–Fuller test," Empirical Economics, Springer, volume 35, issue 3, pages 437-450, November, DOI: 10.1007/s00181-007-0171-0.
• Abdulnasser Hatemi-J, 2008, "Tests for cointegration with two unknown regime shifts with an application to financial market integration," Empirical Economics, Springer, volume 35, issue 3, pages 497-505, November, DOI: 10.1007/s00181-007-0175-9.
• David McMillan, 2008, "Non-linear cointegration and adjustment: an asymmetric exponential smooth-transition model for US interest rates," Empirical Economics, Springer, volume 35, issue 3, pages 591-606, November, DOI: 10.1007/s00181-007-0180-z.
• 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, None, "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, None, "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, , "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.
• Jason Allen & Allan Gregory & Katsumi Shimotsu, 2008, "Empirical Likelihood Block Bootstrapping," Staff Working Papers, Bank of Canada, number 08-18, DOI: 10.34989/swp-2008-18.
• Elif Arbatli, 2008, "Futures Markets, Oil Prices and the Intertemporal Approach to the Current Account," Staff Working Papers, Bank of Canada, number 08-48, DOI: 10.34989/swp-2008-48.
• Laura D´Amato & Lorena Garegnani & Juan M. Sotes, 2008, "Inflation Persistence and Changes in the Monetary Regime: The Argentine Case," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, volume 1, issue 50, pages 127-167, January -.
• Tomás Castagnino & Laura D’Amato, 2008, "Regime and Underlying Inflation Dynamics: ¿Generalized Comovement or Relative Price Adjustment?," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, volume 1, issue 52, pages 87-120, October -.
• Ricardo Bebczuk, 2008, "Imports-Exports Correlation: A New Puzzle?," BCRA Working Paper Series, Central Bank of Argentina, Economic Research Department, number 200833, Oct.
• Tomás Castagnino & Laura D´Amato, 2008, "Regime Dependence, Common Shocks and the Inflation-Relative Price Variability Relation," BCRA Working Paper Series, Central Bank of Argentina, Economic Research Department, number 200838, Sep.
• Maximo Camacho & Gabriel Perez-Quiros, 2008, "Introducing the EURO-STING: Short Term INdicator of Euro Area Growth," Working Papers, Banco de España, number 0807, Apr.
• Carmen Broto & Esther Ruiz, 2008, "Testing for conditional heteroscedasticity in the components of inflation," Working Papers, Banco de España, number 0812, Jun.
• Carmen Broto & Javier Díaz-Cassou & Aitor Erce-Domínguez, 2008, "Measuring and explaining the volatility of capital flows towards emerging countries," Working Papers, Banco de España, number 0817, Sep.
• Carmen Broto, 2008, "Inflation targeting in Latin America: Empirical analysis using GARCH models," Working Papers, Banco de España, number 0826, Dec.
• Alessio Ciarlone & Paolo Piselli & Giorgio Trebeschi, 2008, "Emerging market spreads in the recent financial turmoil," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 35, Nov.
• Juri Marcucci & Mario Quagliariello, 2008, "Credit risk and business cycle over different regimes," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 670, Jun.
• Andrea Silvestrini & David Veredas, 2008, "Temporal aggregation of univariate and multivariate time series models: A survey," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 685, Aug.
• Alessandro Calza & Andrea Zaghini, 2008, "Nonlinearities in the dynamics of the euro area demand for M1," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 690, Sep.
• Alberto Locarno & Alessandra Staderini, 2008, "Tax revenue and the macroeconomic framework in Italy," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 694, Dec.
• Capistrán Carlos & López Moctezuma Gabriel, 2008, "Experts' Macroeconomics Expectations: An Evaluation of Mexican Short-Run Forecasts," Working Papers, Banco de México, number 2008-11, Aug.
• Noriega Antonio E. & Ramos Francia Manuel, 2008, "A Note on the Dynamics of Persistence in US Inflation," Working Papers, Banco de México, number 2008-12, Aug.
• Cizek, Pavel, 2008, "Robust and Efficient Adaptive Estimation of Binary-Choice Regression Models," Journal of the American Statistical Association, American Statistical Association, volume 103, pages 687-696, June.
• Bhardwaj, Geetesh & Corradi, Valentina & Swanson, Norman R., 2008, "A Simulation-Based Specification Test for Diffusion Processes," Journal of Business & Economic Statistics, American Statistical Association, volume 26, pages 176-193, April.
• Prodan, Ruxandra, 2008, "Potential Pitfalls in Determining Multiple Structural Changes With an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, volume 26, pages 50-65, January.
• Giordani, Paolo & Kohn, Robert, 2008, "Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models," Journal of Business & Economic Statistics, American Statistical Association, volume 26, pages 66-77, January.
• Barbier de la Serre, A. & Sébastien Frappa & J Rémy Montorn s & Murez, M., 2008, "La transmission des taux de marché aux taux bancaires : une estimation sur données individuelles fran aises," Working papers, Banque de France, number 194.
• Guilloux, S. & Kharroubi, E., 2008, "Some Preliminary Evidence on the Globalization-Inflation Nexus," Working papers, Banque de France, number 195.
• Million, N., 2008, "Test simultan de la non-stationnarit et de la non-lin arit : une application au taux d.int r t r el am ricain," Working papers, Banque de France, number 201.
• Renaud Lacroix & Maurin, L., 2008, "D saisonnalisation des agr gats mon taires : Mise en place d une cha ne r nov e," Working papers, Banque de France, number 207.
• Renaud Lacroix, 2008, "Analyse conjoncturelle de données brutes et estimation de cycles Partie 1 : estimation et tests," Working papers, Banque de France, number 209.
• Renaud Lacroix, 2008, "Analyse conjoncturelle de données brutes et estimation de cycles Partie 2 : mise en oeuvre empirique," Working papers, Banque de France, number 210.
• Laurent Ferrara & Dominique Gu gan, 2008, "Business surveys modelling with Seasonal-Cyclical Long Memory models," Working papers, Banque de France, number 224.
• Olivier Darn & Laurent Ferrara, 2009, "Identification of slowdowns and accelerations for the euro area economy," Working papers, Banque de France, number 239.
• Brunhes-Lesage, V. & Darné, O., 2008, "Pourquoi calculer un indicateur du climat des affaires dans les services ?," Bulletin de la Banque de France, Banque de France, issue 171, pages 23-29.
• Brunhes-Lesage, V. & Darné, O., 2008, "Why calculate a business sentiment indicator for services?," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 13, pages 21-30, Autumn.
• Jesús Crespo Cuaresma & Adelina Gschwandtner, 2008, "Tracing The Dynamics Of Competition: Evidence From Company Profits," Economic Inquiry, Western Economic Association International, volume 46, issue 2, pages 208-213, April, DOI: 10.1111/j.1465-7295.2007.00062.x.
• Theofanis Archontakis & Wolfgang Lemke, 2008, "Threshold Dynamics of Short‐term Interest Rates: Empirical Evidence and Implications for the Term Structure," Economic Notes, Banca Monte dei Paschi di Siena SpA, volume 37, issue 1, pages 75-117, February, DOI: 10.1111/j.1468-0300.2008.00189.x.
• David Shepherd & Robert Dixon, 2008, "The Cyclical Dynamics and Volatility of Australian Output and Employment," The Economic Record, The Economic Society of Australia, volume 84, issue 264, pages 34-49, March, DOI: 10.1111/j.1475-4932.2008.00445.x.
• Menelaos Karanasos & Stefanie Schurer, 2008, "Is the Relationship between Inflation and Its Uncertainty Linear?," German Economic Review, Verein für Socialpolitik, volume 9, issue 3, pages 265-286, August, DOI: 10.1111/j.1468-0475.2008.00433.x.
• Andrea Silvestrini & David Veredas, 2008, "Temporal Aggregation Of Univariate And Multivariate Time Series Models: A Survey," Journal of Economic Surveys, Wiley Blackwell, volume 22, issue 3, pages 458-497, July, DOI: 10.1111/j.1467-6419.2007.00538.x.
• Donald W. K. Andrews & Patrik Guggenberger, 2008, "Asymptotics for stationary very nearly unit root processes," Journal of Time Series Analysis, Wiley Blackwell, volume 29, issue 1, pages 203-212, January, DOI: 10.1111/j.1467-9892.2007.00552.x.
• D. S. Poskitt, 2008, "Properties of the Sieve Bootstrap for Fractionally Integrated and Non‐Invertible Processes," Journal of Time Series Analysis, Wiley Blackwell, volume 29, issue 2, pages 224-250, March, DOI: 10.1111/j.1467-9892.2007.00554.x.
• Franz C. Palm & Stephan Smeekes & Jean‐Pierre Urbain, 2008, "Bootstrap Unit‐Root Tests: Comparison and Extensions," Journal of Time Series Analysis, Wiley Blackwell, volume 29, issue 2, pages 371-401, March, DOI: 10.1111/j.1467-9892.2007.00565.x.
• Mika Meitz & Pentti Saikkonen, 2008, "Stability of nonlinear AR‐GARCH models," Journal of Time Series Analysis, Wiley Blackwell, volume 29, issue 3, pages 453-475, May, DOI: 10.1111/j.1467-9892.2007.00562.x.
• Eiji Kurozumi & Yoichi Arai, 2008, "Test for the null hypothesis of cointegration with reduced size distortion," Journal of Time Series Analysis, Wiley Blackwell, volume 29, issue 3, pages 476-500, May, DOI: 10.1111/j.1467-9892.2007.00564.x.
• Helmut Herwartz & Fang Xu, 2008, "Reviewing The Sustainability/Stationarity Of Current Account Imbalances With Tests For Bounded Integration," Manchester School, University of Manchester, volume 76, issue 3, pages 267-278, June, DOI: 10.1111/j.1467-9957.2008.01059.x.
• Till Van Treeck, 2008, "Reconsidering The Investment–Profit Nexus In Finance‐Led Economies: An Ardl‐Based Approach," Metroeconomica, Wiley Blackwell, volume 59, issue 3, pages 371-404, July, DOI: 10.1111/j.1467-999X.2008.00312.x.
• Zsolt Darvas, 2008, "Estimation Bias and Inference in Overlapping Autoregressions: Implications for the Target‐Zone Literature," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 70, issue 1, pages 1-22, February, DOI: 10.1111/j.1468-0084.2007.00488.x.