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

• Wang, Shin-Huei & Hafner, Christian, 2008, "Estimating autocorrelations in the presence of deterministic trends," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2008073, Dec.
• Gerlach, Stefan & Assenmacher, Katrin & Sekine, Toshitaka, 2008, "Monetary Factors and Inflation in Japan," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6650, Jan.
• Muellbauer, John & Aron, Janine, 2008, "Monetary Policy and Inflation Modeling in a More Open Economy in South Africa," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6992, Oct.
• Nikolay Gospodinov & Taisuke Otsu, 2008, "Local GMM Estimation of Time Series Models with Conditional Moment Restrictions," Working Papers, Concordia University, Department of Economics, number 08010, Dec.
• Nikolay Gospodinov & Masayuki Hirukawa, 2008, "Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels," Working Papers, Concordia University, Department of Economics, number 08011, Oct, revised Dec 2008.
• Christian Francq & Jean-Michel Zakoïan, 2008, "Testing the Nullity of GARCH Coefficients : Correction of the Standard Tests and Relative Efficiency Comparisons," Working Papers, Center for Research in Economics and Statistics, number 2008-04.
• Janine Aron & John Muellbauer, 2008, "Multi-sector inflation forecasting - quarterly models for South Africa," CSAE Working Paper Series, Centre for the Study of African Economies, University of Oxford, number 2008-27.
• Janine Aron & John Muellbauer, 2008, "Monetary Policy and Inflation Modeling in a more Open Economy in South Africa," CSAE Working Paper Series, Centre for the Study of African Economies, University of Oxford, number 2008-28.
• Moreno, M. & Serrano, P. & Stute, Winfried, 2008, "Statistical properties and economic implications of Jump-Diffusion Processes with Shot-Noise effects," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb084912, Oct.
• Dolado, Juan José & Gonzalo, Jesús & Mayoral, Laura, 2008, "Simple Wald tests of the fractional integration parameter : an overview of new results," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we20080129, Jan.
• Alonso Fernández, Andrés Modesto & Casado, David & López Pintado, Sara & Romo, Juan, 2008, "A functional data based method for time series classification," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws087427, Dec.
• 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," Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2008025, Jun.
• Martinez, O. & Olmo, J., 2008, "A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences," Working Papers, Department of Economics, City St George's, University of London, number 08/08.
• Ploberger, Werner, 2008, "Admissible And Nonadmissible Tests In Unit-Root-Like Situations," Econometric Theory, Cambridge University Press, volume 24, issue 1, pages 15-42, February.
• Hualde, Javier & Velasco, Carlos, 2008, "Distribution-Free Tests Of Fractional Cointegration," Econometric Theory, Cambridge University Press, volume 24, issue 1, pages 216-255, February.
• Busetti, Fabio & Harvey, Andrew, 2008, "Testing For Trend," Econometric Theory, Cambridge University Press, volume 24, issue 1, pages 72-87, February.
• Phillips, Peter C.B. & Han, Chirok, 2008, "Gaussian Inference In Ar(1) Time Series With Or Without A Unit Root," Econometric Theory, Cambridge University Press, volume 24, issue 3, pages 631-650, June.
• Phillips, Peter C.B. & Magdalinos, Tassos, 2008, "Limit Theory For Explosively Cointegrated Systems," Econometric Theory, Cambridge University Press, volume 24, issue 4, pages 865-887, August.
• da Silva, Afonso Gonçalves & Robinson, Peter M., 2008, "Fractional Cointegration In Stochastic Volatility Models," Econometric Theory, Cambridge University Press, volume 24, issue 5, pages 1207-1253, October.
• Meitz, Mika & Saikkonen, Pentti, 2008, "Ergodicity, Mixing, And Existence Of Moments Of A Class Of Markov Models With Applications To Garch And Acd Models," Econometric Theory, Cambridge University Press, volume 24, issue 5, pages 1291-1320, October.
• Seo, Myung Hwan, 2008, "Unit Root Test In A Threshold Autoregression: Asymptotic Theory And Residual-Based Block Bootstrap," Econometric Theory, Cambridge University Press, volume 24, issue 6, pages 1699-1716, December.
• 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.

2007

• Dennis Kristensen, 2007, "Nonparametric Estimation and Misspecification Testing of Diffusion Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-01, May.
• Dennis Kristensen, 2007, "Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-02, May.
• Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007, "The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-09, Jun.
• Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu, 2007, "Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-10, Jun.
• Michael Jansson, 2007, "Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-12, Jun.
• Michael Sørensen & Julie Lyng Forman, 2007, "The Pearson diffusions: A class of statistically tractable diffusion processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-28, Sep.
• Søren Johansen & Morten Ørregaard Nielsen, 2007, "Likelihood inference for a nonstationary fractional autoregressive model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-33, Nov.
• Søren Johansen, 2007, "Correlation, regression, and cointegration of nonstationary economic time series," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-35, Nov.
• Søren Johansen & David F. Hendry & Carlos Santos, 2007, "Selecting a Regression Saturated by Indicators," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-36, Nov.
• James Davidson & Nigar Hashimzade, 2007, "Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-45, Dec.
• Nadezhda Ivanova, 2007, "Estimation of the Equilibrium Real Exchange Rate in Russia: Trade-Balance Approach," Working Papers, New Economic School (NES), number w0102, May.
• Claude Diebolt & Magali Jaoul-Grammare, 2007, "La masse salariale de l’Allemagne : 1810-1989. Nouvelle mesure et analyse cliométrique des chocs," Working Papers, Association Française de Cliométrie (AFC), number 07-02.
• Jean Luc de Meulemeester & Claude Diebolt & Magali Jaoul-Grammare, 2007, "Aggregate Wage Earnings in Germany: 1810-1989. New Measurement and Cliometric Analysis of Shocks," Working Papers, Association Française de Cliométrie (AFC), number 07-11.
• Paul Alagidede, 2007, "Return Dynamics in North African Stock Markets," The African Finance Journal, Africagrowth Institute, volume 9, issue 1, pages 39-52.
• Nicholas Odhiambo, 2007, "Does Interest Rate Liberalisation Really Improve the Allocative Efficiency of Investment? Kenya's Experience," The African Finance Journal, Africagrowth Institute, volume 9, issue 1, pages 53-69.
• Nadolnyak, Denis A. & Novak, James L. & Paz, Joel O., 2007, "Identifying ENSO Phase Impacts on Area Yield Insurance Rates: An Application of Non-Parametric Analysis," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association), number 9718, DOI: 10.22004/ag.econ.9718.
• Chebbi, Houssem Eddine & Lachaal, Lassaad, 2007, "Agricultural Sector and Economic Growth in Tunisia: Evidence from Co-integration and Error Correction Mechanism," 103rd Seminar, April 23-25, 2007, Barcelona, Spain, European Association of Agricultural Economists, number 9416, DOI: 10.22004/ag.econ.9416.
• Awokuse, Titus O. & Bernard, John C., 2007, "Spatial Price Dynamics in U.S. Regional Broiler Markets," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 39, issue 3, pages 1-10, December, DOI: 10.22004/ag.econ.6324.
• Maynard, Alex & Shimotsu, Katsumi, 2007, "Covariance-based orthogonality tests for regressors with unknown persistence," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273598, Feb, DOI: 10.22004/ag.econ.273598.
• Lima, Ricardo Chaves & Góis, Marcos Roberto & Ulises, Charles, None, "Previsão de preços futuros de Commodities Agrícolas com diferenciações inteira e fracionária, e erros heteroscedásticos," Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR), Sociedade Brasileira de Economia e Sociologia Rural, volume 45, issue 3, pages 1-24, DOI: 10.22004/ag.econ.161512.
• Fischer, Christian & Gil-Alana, Luis A., 2007, "The nature of the relationship between international tourism and international trade: the case of German imports of Spanish wine," Discussion Papers, University of Bonn, Institute for Food and Resource Economics, number 57033, DOI: 10.22004/ag.econ.57033.
• Iñaki Iriarte Goñi & Maria Isabel Ayuda Bosque, 2007, "Protección e importaciones de madera en España (1880-1935)," Investigaciones de Historia Económica - Economic History Research (IHE-EHR), Journal of the Spanish Economic History Association, Asociación Española de Historia Económica, volume 9, pages 45-78.
• Konstantinos Kalogeropoulos & Gareth O. Roberts & Petros Dellaportas, 2007, "Inference for stochastic volatility models using time change transformations," Papers, arXiv.org, number 0711.1594, Nov.
• Ghanbari, Ali & Aghaei Khondabi, Majid & ,, 2007, "Investigation the Impact of Fiscal policies on Private Section Investment in Iran (in Persian)," The Journal of Planning and Budgeting (٠صلنامه برنامه ریزی Ùˆ بودجه), Institute for Management and Planning studies, volume 12, issue 4, pages 59-84, July.
• Tomas del Barrio Castro, 2007, "Using the HEGY Procedure When Not All Roots Are Present," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 170.
• Rossitsa Rangelova, 2007, "R&D Expenditures and Economic Growth – International Comparison," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 18-52.
• Yunus Aksoy & Miguel A. Leon-Ledesma, 2007, "Non-linearities and Unit Roots in G7 Macroeconomic Variables," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0710, Jan.
• Antoine Jacquier & Saad Slaoui, 2007, "Variance Dispersion and Correlation Swaps," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0712, Sep.
• Jeannine Bailliu & Ali Dib & Takashi Kano & Lawrence L. Schembri, 2007, "Multilateral Adjustment and Exchange Rate Dynamics: The Case of Three Commodity Currencies," Staff Working Papers, Bank of Canada, number 07-41, DOI: 10.34989/swp-2007-41.
• Verónica Balzarotti, 2007, "Real Interest Rate Risk in the Argentine Banking System. A Measuring Model," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, volume 1, issue 46, pages 7-61, January -.
• Laura D´Amato & Lorena Garegnani & Juan M. Sotes Paladino, 2007, "Inflation Persistence and Changes in the Monetary Regime: The Argentine Case," BCRA Working Paper Series, Central Bank of Argentina, Economic Research Department, number 200723, Sep.
• Erman Erbaykal & H. Aydin Okuyan, 2007, "The Relationship Between Stock Prices and Exchange Rates: An Empirical Study on Emerging Markets," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 1, issue 1, pages 77-90.
• Agustín Maravall & Ana del Río, 2007, "Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter," Working Papers, Banco de España, number 0728, Sep.
• Fabio Busetti & Andrew Harvey, 2007, "Testing for trend," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 614, Feb.
• Alessio Ciarlone & Paolo Piselli & Giorgio Trebeschi, 2007, "Emerging Markets Spreads and Global Financial Conditions," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 637, Jun.
• Gianluca Moretti, 2007, "Detecting long memory co-movements in macroeconomic time series," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 642, Sep.
• Chiquiar Daniel & Noriega Antonio E. & Ramos Francia Manuel, 2007, "A Time Series Approach to Test a Change in Inflation Persistence: The Mexican Experience," Working Papers, Banco de México, number 2007-01, Jan.
• Koopman, Siem Jan & Ooms, Marius & Carnero, M. Angeles, 2007, "Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices," Journal of the American Statistical Association, American Statistical Association, volume 102, pages 16-27, March.
• Haldrup, Niels & Hylleberg, Svend & Pons, Gabriel & Sanso, Andreu, 2007, "Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data," Journal of Business & Economic Statistics, American Statistical Association, volume 25, pages 21-32, January.
• Baillie, Richard T. & Kapetanios, George, 2007, "Testing for Neglected Nonlinearity in Long-Memory Models," Journal of Business & Economic Statistics, American Statistical Association, volume 25, pages 447-461, October.
• Olivier Darn & V ronique Brunhes-Lesage, 2007, "L Indicateur Synth tique Mensuel d Activit (ISMA) : une r vision," Working papers, Banque de France, number 171.
• Darné, O. & Brunhes-Lesage, V., 2007, "L’indicateur synthétique mensuel d’activité (ISMA) : une révision," Bulletin de la Banque de France, Banque de France, issue 162, pages 21-36.
• Aamer S. Abu-Qarn & Suleiman Abu-Bader, 2007, "Structural Breaks In Military Expenditures: Evidence For Egypt, Israel,Jordan And Syria," Working Papers, Ben-Gurion University of the Negev, Department of Economics, number 0704.
• Suleiman Abu-Bader & Aamer S. Abu Qarn, 2007, "The Impact Of GATT On International Trade: Evidence From Structural Break Analysis," Working Papers, Ben-Gurion University of the Negev, Department of Economics, number 0712.
• Joanne S. Ercolani, 2007, "Cyclical Trends in Continuous Time Models," Discussion Papers, Department of Economics, University of Birmingham, number 07-13, Sep.
• Elizabeth Bucacos, 2007, "Real (effective) exchange rate in Uruguay: a periodic cointegration approach," Documentos de trabajo, Banco Central del Uruguay, number 2007002, Jun.
• Liliana Rojas‐Suárez & Sebastián Sotelo, 2007, "The Burden Of Debt: An Exploration Of Interest Rate Behavior In Latin America," Contemporary Economic Policy, Western Economic Association International, volume 25, issue 3, pages 387-414, July, DOI: 10.1111/j.1465-7287.2007.00044.x.
• David H Papell & Ruxandra Prodan, 2007, "Restricted Structural Change And The Unit Root Hypothesis," Economic Inquiry, Western Economic Association International, volume 45, issue 4, pages 834-853, October, DOI: 10.1111/j.1465-7295.2007.00053.x.
• Magnus Gustavsson & Pär Österholm, 2007, "Does Unemployment Hysteresis Equal Employment Hysteresis?," The Economic Record, The Economic Society of Australia, volume 83, issue 261, pages 159-173, June, DOI: 10.1111/j.1475-4932.2007.00391.x.
• Alain Durré & Pierre Giot, 2007, "An International Analysis of Earnings, Stock Prices and Bond Yields," Journal of Business Finance & Accounting, Wiley Blackwell, volume 34, issue 3‐4, pages 613-641, April, DOI: 10.1111/j.1468-5957.2007.02010.x.
• Giliola Frey & Matteo Manera, 2007, "Econometric Models Of Asymmetric Price Transmission," Journal of Economic Surveys, Wiley Blackwell, volume 21, issue 2, pages 349-415, April, DOI: 10.1111/j.1467-6419.2007.00507.x.
• Daniel J. Nordman & Philipp Sibbertsen & Soumendra N. Lahiri, 2007, "Empirical likelihood confidence intervals for the mean of a long‐range dependent process," Journal of Time Series Analysis, Wiley Blackwell, volume 28, issue 4, pages 576-599, July, DOI: 10.1111/j.1467-9892.2006.00526.x.
• Tomas del Barrio Castro, 2007, "Using the HEGY Procedure When Not All Roots Are Present," Journal of Time Series Analysis, Wiley Blackwell, volume 28, issue 6, pages 910-922, November, DOI: 10.1111/j.1467-9892.2007.00539.x.
• Antonio E. Noriega & Daniel Ventosa‐Santaulària, 2007, "Spurious Regression and Trending Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 69, issue 3, pages 439-444, June, DOI: 10.1111/j.1468-0084.2007.00481.x.
• Viv B. Hall & C. John McDermott, 2007, "Regional business cycles in New Zealand: Do they exist? What might drive them?," Papers in Regional Science, Wiley Blackwell, volume 86, issue 2, pages 167-191, June, DOI: 10.1111/j.1435-5957.2007.00119.x.
• Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2007, "Enhanced routines for instrumental variables/GMM estimation and testing," Boston College Working Papers in Economics, Boston College Department of Economics, number 667, May, revised 05 Sep 2007.
• Beum-Jo Park, 2007, "The Impact of Surprise Information on the Relation between Volatility and Trading Volume in Exchange Rate Markets (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, volume 13, issue 1, pages 56-87, March.
• Sun-Ung Hwang, 2007, "Changing Temporary Employment Dynamics in the Korean Economy (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, volume 13, issue 4, pages 87-121, December.
• M. Marzo & P. Zagaglia, 2007, "Identity and the Dynamics of Preferences," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number 595, May.
• M. Marzo & P. Zagaglia, 2007, "Domestic political constraints to foreign aid effectiveness," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number 599, Jul.
• Mohitosh Kejriwal & Pierre Perron, 2007, "Cointegration with Structural Breaks : An Application to the Feldstein-Horioka Puzzle," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2006-057, Nov.
• Chun- Yu Ho & Dan Li, 2007, "Rising Regional Inequality in China:Policy Regimes and Structural Changes," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2007-013, Feb.
• Pierre Perron & Tomoyoshi Yabu, 2007, "Estimating Deterministic Trend with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2007-020, Mar.
• Pierre Perron & Tomoyoshi Yabu, 2007, "Testing for Shifts in Trend with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2007-025, Mar.
• Pierre Perron & Zhongjun Qu, 2007, "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2007-044, Oct.
• Josep Lluís Carrion-i-Silvestre & Dukpa Kim & Pierre Perron, 2007, "GLS-based unit root tests with multiple structural breaks both under the null and the alternative hypotheses," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2008-019, Sep.
• Mohitosh Kejriwal & Pierre Perron, 2007, "Testing for Multiple Structural Changes in Cointegrated Regression Models," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2008-020, Aug, revised Nov 2008.
• Fernanda Finotti Cordeiro Perobelli & Flávia Vital Januzzi & Leandro Josias Sathler Berbet & Danilo Soares de Medeiros, 2007, "Cash flow at risk: different estimation methods tested in the Brazilian steel industry," Brazilian Review of Finance, Brazilian Society of Finance, volume 5, issue 2, pages 165-204.
• Anna Sess & Michel Grun-Rehomme, 2007, "Note sur les méthodes univariées d’extraction du cycle économique," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, volume 50, issue 3, pages 335-360.
• Busettti, F. & Harvey, A., 2007, "Tests of time-invariance," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0657, Mar.
• DeRossi, G. & Harvey, A., 2007, "Quantiles, Expectiles and Splines," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0660, Feb.
• Busettti, F. & Harvey, A., 2007, "Tests of time-invariance," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0701, Mar.
• DeRossi, G. & Harvey, A., 2007, "Quantiles, Expectiles and Splines," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0702, Feb.
• Pesaran, M.H. & Smit, L.V. & Yamagata, T., 2007, "Panel Unit Root Tests in the Presence of a Multifactor Error Structure," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0775, Dec.
• Carlos Santos & Maria Alberta Oliveira, 2007, "Assessing French Inflation Persistence with Impulse Saturation Break Tests and Automatic General-to-Specific Modelling," Working Papers de Economia (Economics Working Papers), Católica Porto Business School, Universidade Católica Portuguesa, number 10, Jun.
• David Hendry & Carlos Santos, 2007, "AUTOMATIC TESTS for SUPER EXOGENEITY," Working Papers de Economia (Economics Working Papers), Católica Porto Business School, Universidade Católica Portuguesa, number 11, Jun.
• Carlos Santos, 2007, "Discriminating mean and variance shifts," Working Papers de Economia (Economics Working Papers), Católica Porto Business School, Universidade Católica Portuguesa, number 14, Aug.
• D'Agostino, Antonello & Surico, Paolo, 2007, "Does global liquidity help to forecast US inflation?," Research Technical Papers, Central Bank of Ireland, number 10/RT/07, Dec.
• Pami Dua & Lokendra Kumawat, 2007, "Modelling Seasonal Dynamics in Indian Industrial Production--An Extention of TV-STAR Model," Working papers, Centre for Development Economics, Delhi School of Economics, number 162, Aug.
• Abbas, Qaisar & Foreman-Peck, James, 2007, "Human Capital and Economic Growth: Pakistan, 1960-2003," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2007/22, Jul, revised Dec 2007.
• Arghyrou, Michael G & Gregoriou, Andros & Kontonikas, Alexandros, 2007, "Do real interest rates converge? Evidence from the European Union," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2007/26, Sep.
• Mauro S. Ferreira, 2007, "Capturing asymmetry in real exchange rate with quantile autoregression," Textos para Discussão Cedeplar-UFMG, Cedeplar, Universidade Federal de Minas Gerais, number td306, Apr.
• Byung-Joo Lee, 2007, "Economic fundamentals and exchange rates under different exchange rate regimes: Korean experience," Journal of Applied Economics, Universidad del CEMA, volume 10, pages 137-159, May.
• Roberto Martínez-Espiñeira, 2007, "An estimation of residential water demand using co-integration and error correction tec hniques," Journal of Applied Economics, Universidad del CEMA, volume 10, pages 161-184, May.
• Javier Hidalgo, 2007, "Specification Testing Forregression Models Withdependent Data," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 518, May.
• Afonso Gonçalves da Silva & Peter M Robinson, 2007, "Fractional Cointegration In StochasticVolatility Models," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 519, May.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2007, "A Multivariate Long-Memory Model with Structural Breaks," CESifo Working Paper Series, CESifo, number 1950.
• Robert S. Chirinko & Debdulal Mallick, 2007, "The Fisher/Cobb-Douglas Paradox, Factor Shares, and Cointegration," CESifo Working Paper Series, CESifo, number 1998.
• Jarko Fidrmuc & Roman Horváth, 2007, "Volatility of Exchange Rates in Selected New EU Members: Evidence from Daily Data," CESifo Working Paper Series, CESifo, number 2107.
• Klaus Abberger, 2007, "Forecasting Quarter-on-Quarter Changes of German GDP with Monthly Business Tendency Survey Results," ifo Working Paper Series, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 40.
• Oliver Hülsewig & Johannes Mayr & Stéphane Sorbe, 2007, "Assessing the Forecast Properties of the CESifo World Economic Climate Indicator: Evidence for the Euro Area," ifo Working Paper Series, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 46.
• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009, "Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-163, Aug.
• Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2009, "Modelling Long Memory Volatility in Agricultural Commodity Futures Returns," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-183, Oct.
• Nadezhda Ivanova, 2007, "Estimation of the Equilibrium Real Exchange Rate in Russia: Trade-Balance Approach," Working Papers, Center for Economic and Financial Research (CEFIR), number w0102, May.
• Jean Imbs & Eric Jondeau & Florian Pelgrin, 2007, "Aggregating Phillips Curves," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 07-06, Feb.
• Diego Romero-Ávila, 2007, "Unit roots and persistence in the nominal interest rate: a confirmatory analysis applied to the OECD," Canadian Journal of Economics, Canadian Economics Association, volume 40, issue 3, pages 980-1007, August.
• Marjan Petreski, 2007, "Export-Led Growth Hypothesis: Empirical Evidence From Macedonia," Journal Articles, Center For Economic Analyses, pages 33-43, June.
• Munir A. Jalil B. & Martha Misas A., 2007, "Evaluación de pronósticos del tipo de cambio utilizando redes neuronales y funciones de pérdida asimétricas," Monetaria, CEMLA, volume 0, issue 3, pages 219-241, julio-sep.
• Michal Franta & Branislav Saxa & Katerina Smidkova, 2007, "Inflation Persistence in New EU Member States: Is It Different Than in the Euro Area Members?," Working Papers, Czech National Bank, Research and Statistics Department, number 2007/10, Dec.
• G. Carboni, 2007, "Shape of U.S. business cycle and long-run effects of recessions," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 200707.
• González Mario Alejandro & John Jairo Le�n, 2007, "Análisis del endeudamiento de los hogares colombianos," Revista Desarrollo y Sociedad, Universidad de los Andes,Facultad de Economía, CEDE.
• Mario Alejandro G�nzalez & John Jairo Le�n, 2007, "An�lisis del Endeudamiento de los Hogares Colombianos," Borradores de Economia, Banco de la Republica, number 4020, Sep.
• Jorge Mar�o Uribe Gil, 2007, "Caracterizaci�N Del Mercado Accionario Colombiano, 2001-2006: Un An�Lisis Comparativo," Borradores de Economia, Banco de la Republica, number 4025, Sep.
• Mauricio Avella G�mez, 2007, "Some styilized facts on public finance in Colombia since the first Kemmerer mission (1923)," Borradores de Economia, Banco de la Republica, number 4321, Dec.
• Mauricio Rubio & Daniel Vaughan, 2007, "Análisis de series de tiempo del secuestro en Colombia," Documentos de Trabajo UEC, Universidad Externado de Colombia, number 4285, Nov.
• Karoll Gómez Portilla & Santiago Gallón Gómez, 2007, "Distribución condicional de los retornos de la tasa de cambio colombiana: un ejercicio empírico a partir de modelos GARCH multivariados," Revista de Economía del Rosario, Universidad del Rosario.
• Carlos José Pena, 2007, "El costo social de la incertidumbre macroeconómica. Venezuela, 1968-2004. Una perspectiva," Perfil de Coyuntura Económica, Universidad de Antioquia, CIE.
• Ricardo Alberola, 2007, "Estimating Volatility Returns Using ARCH Models. An Empirical Case: The Spanish Energy Market," Revista Lecturas de Economía, Universidad de Antioquia, CIE.
• BAUWENS, Luc & STORTI, Giuseppe, 2007, "A component GARCH model with time varying weights," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2007019, Mar.
• BOUEZMARNI, Taoufik & ROMBOUTS, Jeroen V.K., 2007, "Semiparametric multivariate density estimation for positive data using copulas," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2007054, Aug.
• BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen V.K., 2007, "Theory and inference for a Markov switching GARCH model," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2007055, Aug.
• BOUEZMARNI, Taoufik & ROMBOUTS, Jeroen V.K., 2007, "Nonparametric density estimation for multivariate bounded data," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2007065, Aug.
• BOUADDI, Mohammed & ROMBOUTS, Jeroen V.K., 2007, "Mixed exponential power asymmetric conditional heteroskedasticity," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2007097, Dec.
• DURRE, Alain & GIOT, Pierre, 2007, "An international analysis of earnings, stock prices and Bond yields," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1984, Jan, DOI: 10.1111/j.1468-5957.2007.02010.x.
• Jondeau, Eric & Imbs, Jean & Pelgrin, Florian, 2007, "Aggregating Phillips Curves," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6184, Mar.
• Muellbauer, John & Aron, Janine, 2007, "Inflation Dynamics and Trade Openness," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6346, Jun.
• Artis, Michael & Nachane, Dilip M & Hoffmann, Mathias & Clavel, Jose Garcia, 2007, "Analyzing Strongly Periodic Series in the Frequency Domain: A Comparison of Alternative Approaches with Applications," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6517, Oct.
• Giannone, Domenico & D’Agostino, Antonello & Surico, Paolo, 2007, "(Un)Predictability and Macroeconomic Stability," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6594, Dec.
• Daniel Waldenstrom & Bruno S. Frey, 2007, "Did Nordic Countries Recognize the Gathering Storm of World War II? Evidence from the Bond Markets," CREMA Working Paper Series, Center for Research in Economics, Management and the Arts (CREMA), number 2007-18, Oct.
• Timotheos Angelidis & Stavros Degiannakis, 2007, "Backtesting VaR Models: An Expected Shortfall Approach," Working Papers, University of Crete, Department of Economics, number 0701, Jan.
• Nikolaos Giannellis & Athanasios Papadopoulos, 2007, "Purchasing Power Parity Among Developing Countries and Their Trade-Partners: Evidence from Selected CEECs and Implications for Their Membership of EU," Working Papers, University of Crete, Department of Economics, number 0716, Oct.
• Nikolaos Giannellis & Athanasios Papadopoulos, 2007, "Nonlinear Exchange Rate Adjustment in the Enlarged Eurozone. Evidence and Implications for Candidate Countries," Working Papers, University of Crete, Department of Economics, number 0718, Jan.
• Janine Aron & John Muellbauer, 2007, "Inflation dynamics and trade openness: with an application to South Africa," CSAE Working Paper Series, Centre for the Study of African Economies, University of Oxford, number 2007-11.
• Esteban-Bravo, Mercedes & Vidal-Sanz, Jose M., 2007, "The long memory of newspapers' subscriptions : between the short-run and persistence response," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb076411, Sep.
• Dolado, Juan José & Gonzalo, Jesús & Mayoral, Laura, 2007, "Wald Tests of I(1) against I(d) alternatives : some new properties and an extension to processes with trending components," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we20070625, Jun.
• Luc, BAUWENS & G., STORTI, 2007, "A Component GARCH Model with Time Varying Weights," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques, number 2007012, Mar.
• Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS, 2007, "Theory and inference for a Markov switching GARCH model," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques, number 2007033, Sep.
• Olmo, J., 2007, "An asset pricing model for mean-variance-downside-risk averse investors," Working Papers, Department of Economics, City St George's, University of London, number 07/01.
• Gonzalo, J. & Olmo, J., 2007, "The impact of heavy tails and comovements in downside-risk diversification," Working Papers, Department of Economics, City St George's, University of London, number 07/02.
• Olmo, J. & Pilbeam, K., 2007, "A resolution of the forward discount puzzle," Working Papers, Department of Economics, City St George's, University of London, number 07/10.
• Escanciano, J. C. & Olmo, J., 2007, "Estimation risk effects on backtesting for parametric value-at-risk models," Working Papers, Department of Economics, City St George's, University of London, number 07/11.
• L.A. Gil-Alanaa, 2007, "Testing The Existence of Multiple Cycles in Financial and Economic Time Series," Annals of Economics and Finance, Society for AEF, volume 8, issue 1, pages 1-20, May.
• Woon Gyu Choi, 2007, "Measuring Interest Rates as Determined by Thrift and Productivity," Annals of Economics and Finance, Society for AEF, volume 8, issue 1, pages 167-195, May.
• Hafner, Christian M. & Rombouts, Jeroen V.K., 2007, "Semiparametric Multivariate Volatility Models," Econometric Theory, Cambridge University Press, volume 23, issue 2, pages 251-280, April.
• Phillips, Peter C.B. & Kim, Chang Sik, 2007, "Long-Run Covariance Matrices For Fractionally Integrated Processes," Econometric Theory, Cambridge University Press, volume 23, issue 6, pages 1233-1247, December.
• Awokuse, Titus O. & Bernard, John C., 2007, "Spatial Price Dynamics in U.S. Regional Broiler Markets," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 39, issue 3, pages 447-456, December.
• Bentzen, Jan & Smith, Valdemar, 2007, "The Military Action in Iraq 2003: Did the US Consumer Boycott of French Wines Have any Economic Effects?," Journal of Wine Economics, Cambridge University Press, volume 2, issue 1, pages 75-83, April.
• Panagiotidis, Theodore & Pelloni, Gianluigi, 2007, "Nonlinearity In The Canadian And U.S. Labor Markets: Univariate And Multivariate Evidence From A Battery Of Tests," Macroeconomic Dynamics, Cambridge University Press, volume 11, issue 5, pages 613-637, November.
• Afonso, Antonio & Strauch, Rolf, 2007, "Fiscal policy events and interest rate swap spreads: Evidence from the EU," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 17, issue 3, pages 261-276, July.
• Daal, Elton & Naka, Atsuyuki & Yu, Jung-Suk, 2007, "Volatility clustering, leverage effects, and jump dynamics in the US and emerging Asian equity markets," Journal of Banking & Finance, Elsevier, volume 31, issue 9, pages 2751-2769, September.
• Calvet, Laurent E. & Fisher, Adlai J., 2007, "Multifrequency news and stock returns," Journal of Financial Economics, Elsevier, volume 86, issue 1, pages 178-212, October.
• Fountas, Stilianos & Karanasos, Menelaos, 2007, "Inflation, output growth, and nominal and real uncertainty: Empirical evidence for the G7," Journal of International Money and Finance, Elsevier, volume 26, issue 2, pages 229-250, March.
• Ferreira, Alex Luiz & Leon-Ledesma, Miguel A., 2007, "Does the real interest parity hypothesis hold? Evidence for developed and emerging markets," Journal of International Money and Finance, Elsevier, volume 26, issue 3, pages 364-382, April.
• Egert, Balazs & Crespo-Cuaresma, Jesus & Reininger, Thomas, 2007, "Interest rate pass-through in central and Eastern Europe: Reborn from ashes merely to pass away?," Journal of Policy Modeling, Elsevier, volume 29, issue 2, pages 209-225.
• Bajo-Rubio, Oscar & Diaz-Roldan, Carmen & Esteve, Vicente, 2007, "Change of regime and Phillips curve stability: The case of Spain, 1964-2002," Journal of Policy Modeling, Elsevier, volume 29, issue 3, pages 453-462.
• Ravenna, Federico, 2007, "Vector autoregressions and reduced form representations of DSGE models," Journal of Monetary Economics, Elsevier, volume 54, issue 7, pages 2048-2064, October.
• Bask, Mikael & Liu, Tung & Widerberg, Anna, 2007, "The stability of electricity prices: Estimation and inference of the Lyapunov exponents," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 376, issue C, pages 565-572, DOI: 10.1016/j.physa.2006.10.016.
• Hernandez, Monica & Pudney, Stephen, 2007, "Measurement error in models of welfare participation," Journal of Public Economics, Elsevier, volume 91, issue 1-2, pages 327-341, February.
• Ferda Halicioglu, 2007, "A Multivariate Causality Analysis of Export and Growth for Turkey," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2007_05, Oct.
• Ferda Halicioglu, 2007, "The Financial Development and Economic Growth Nexus for Turkey," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2007_06, Oct.
• Mardi Dungey & Michael McKenzie & Vanessa Smith, 2007, "Empirical Evidence On Jumps In The Term Structure Of The Us Treasury Market," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2007-25, Jul.
• Octavio Maroto Santana & Rosa María Cáceres Apolinario & Lourdes Jordán Sales & Alejandro Rodríguez Caro, 2007, "Estacionalidad en la rentabilidad y volatilidad de los títulos que cotizan en el LATIBEX," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 1, issue 1, pages 84-95.
• Nobay, A. Robert & Paya, Ivan & Peel, David A., 2007, "Inflation dynamics in the US - a nonlinear perspective," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24499, Nov.
• Kalogeropoulos, Konstantinos, 2007, "Likelihood-based inference for a class of multivariate diffusions with unobserved paths," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 31423, Oct.
• Gonçalves da Silva, Afonso & Robinson, Peter, 2007, "Fractional cointegration in stochastic volatility models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 4534, May.
• Hidalgo, Javier, 2007, "Specification testing for regression models with dependent data," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6799, May.
• Philip Arestis & Elias Karakitsos, 2007, "Modelling the US Housing Market," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 10, issue 2, pages 67-88, Winter.
• Noriega, Antonio & Fontenla, Matías, 2007, "La infraestructura y el crecimiento económico en México," El Trimestre Económico, Fondo de Cultura Económica, volume 74, issue 296, pages 885-900, octubre-d, DOI: http://dx.doi.org/10.20430/ete.v74i.
• William A. Barnett & Ikuyasu Usui, 2007, "The Theoretical Regularity Properties of the Normalized Quadratic Consumer Demand Model," International Symposia in Economic Theory and Econometrics, Emerald Group Publishing Limited, "Functional Structure Inference", DOI: 10.1016/S1571-0386(07)18006-6.
• van Dijk, D.J.C. & Franses, Ph.H.B.F. & Ravazzolo, F., 2007, "Evaluating real-time forecasts in real-time," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2007-33, Aug.
• Mehmet Balcilar, 2007, "Point Optimal Invariant Tests of a Unit Root in Models with Structural Change," Working Papers, Eastern Mediterranean University, Department of Economics, number 15-50, Aug.
• Eduardo Loría & Manuel G. Ramos., 2007, "La ley de Okun: una relectura para México, 1970-2004," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, volume 22, issue 1, pages 19-55.
• Eleftherios Thalassinos & Diana-Mihaela Pociovalisteanu, 2007, "A Time Series Model for the Romanian Stock Market," European Research Studies Journal, European Research Studies Journal, volume 0, issue 3-4, pages 57-72.
• David Madden, 2007, "Doctors' Fees in Ireland Following the Change in Reimbursement: Did they Jump?," The Economic and Social Review, Economic and Social Studies, volume 38, issue 2, pages 259-274.
• Swapnendu Banerjee, 2007, "Rent a Womb: Surrogate Selection, Investment Incentives and Contracting," Working Papers, eSocialSciences, number id:1021.
• S.K. Mishra, 2007, "Globalization and Structural Changes in the Indian Industrial Sector: An Analysis of Production Functions," Working Papers, eSocialSciences, number id:788.