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

• 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 Dynamics and Persistence: Implications for Monetary Policy," 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.
• Luca Fanelli, 2008, "Testing the New Keynesian Phillips Curve Through Vector Autoregressive Models: Results from the Euro Area," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 70, issue 1, pages 53-66, February, DOI: 10.1111/j.1468-0084.2007.00490.x.
• Chun‐Yu Ho & Dan Li, 2008, "Rising regional inequality in China: Policy regimes and structural changes," Papers in Regional Science, Wiley Blackwell, volume 87, issue 2, pages 245-259, June, DOI: 10.1111/j.1435-5957.2008.00171.x.
• Julie Lyng Forman & Michael Sørensen, 2008, "The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, volume 35, issue 3, pages 438-465, September, DOI: 10.1111/j.1467-9469.2007.00592.x.
• Michael Funke & Marc Gronwald, 2008, "The Undisclosed Renminbi Basket: Are the Markets Telling Us Something about Where the Renminbi–US Dollar Exchange Rate is Going?," The World Economy, Wiley Blackwell, volume 31, issue 12, pages 1581-1598, December, DOI: 10.1111/j.1467-9701.2008.01141.x.
• Xiaohong Chen & Roger Koenker & Zhijie Xiao, 2008, "Copula-Based Nonlinear Quantile Autoregression," Boston College Working Papers in Economics, Boston College Department of Economics, number 691, Oct.
• Christopher F. Baum & Mustafa Caglayan, 2008, "The Volatility of International Trade Flows and Exchange Rate Uncertainty," Boston College Working Papers in Economics, Boston College Department of Economics, number 695, Nov.
• Panayiotis P. Athanasoglou & Ioanna C. Bardaka, 2008, "Price and Non - Price Competitiveness of Exports of Manufactures," Working Papers, Bank of Greece, number 69, Apr.
• Alexandros E. Milionis & Evangelia Papanagiotou, 2008, "A Note on the Use of Moving Average Trading Rules to Test For Weak from Efficiency in Capital Markets," Working Papers, Bank of Greece, number 91, Oct.
• Dong Heon Kim & Chang-Jin Kim & Do-wan Kim, 2008, "Uncovering Structural Change in U.S. Economy: The Analysis of Single Source of Error Beveridge-Nelson Decomposition (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, volume 14, issue 1, pages 64-92, March.
• Beum-Jo Park, 2008, "A Study on the Relationship between Volatility and Trading Volumes Using a Surprising-Information-Stochastic-Volatility(SISV) Model (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, volume 14, issue 4, pages 47-85, December.
• Pierre Perron & Zhongjun Qu, 2008, "Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2008-004, Aug.
• Pierre Perron & Yohei Yamamoto, 2008, "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2008-006, May.
• Jing Zhou & Pierre Perron, 2008, "Testing for Breaks in Coefficients and Error Variance: Simulations and Applications," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2008-010, Jul.
• Pierre Perron & Jing Zhou, 2008, "Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2008-011, Jul.
• Yang K. Lu & Pierre Perron, 2008, "Modeling and Forecasting Stock Return Volatility Using a Random Level Shift Model," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2008-012, Sep.
• Pierre Perron & Yohei Yamamoto, 2008, "Estimating and Testing Multiple Structural Changes in Models with Endogenous Regressors," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2008-017, Oct.
• Karanasos Menelaos & Schurer Stefanie, 2008, "Is the Relationship between Inflation and Its Uncertainty Linear?," German Economic Review, De Gruyter, volume 9, issue 3, pages 265-286, August, DOI: 10.1111/j.1468-0475.2008.00433.x.
• Abu-Qarn Aamer S & Abu-Bader Suleiman, 2008, "Structural Breaks in Military Expenditures: Evidence for Egypt, Israel, Jordan and Syria," Peace Economics, Peace Science, and Public Policy, De Gruyter, volume 14, issue 1, pages 39-61, April, DOI: 10.2202/1554-8597.1111.
• Davide Pettenuzzo & Allan G. Timmermann & Rossen I. Valkanov, 2008, "Return Predictability under Equilibrium Constraints on the Equity Premium," Working Papers, Brandeis University, Department of Economics and International Business School, number 37, Oct.
• Ciaran Driver & Lorenzo Trapani & Giovanni Urga, 2008, "On the Relationship Between Cross-Sectional and Time Series Measures of Uncertainty," Working Papers, Department of Management, Information and Production Engineering, University of Bergamo, number 0803.
• Tung Liu & Courtenay C. Stone & Gary J. Santoni, 2008, "Federal Securities Regulations and Stock Market Returns," Working Papers, Ball State University, Department of Economics, number 200803, Dec, revised Dec 2008.
• Emin Agamaliyev & Christophe Boya & Julien Malizard, 2008, "The Popularity's Determiners of Right-Wing Populism and Left-Wing Communism in France," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, volume 51, issue 4, pages 481-503.
• 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," Recherches économiques de Louvain, De Boeck Université, volume 74, issue 2, pages 219-236.
• Pesaran, M.H. & Pick, A., 2008, "Forecasting Random Walks Under Drift Instability," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0814, Mar.
• Harvey, A., 2008, "Dynamic distributions and changing copulas," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0839, Sep.
• Harvey, A. & Chakravarty, T., 2008, "Beta-t-(E)GARCH," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0840, Sep.
• Maria Teresa Mota & Mariana Alves da Cunha & Carlos Santos, 2008, "Looking for a break in Spanish Inflation Data in the early eighties and assessing persistence," Working Papers de Economia (Economics Working Papers), Católica Porto Business School, Universidade Católica Portuguesa, number 022008, Feb.
• Carlos Santos, 2008, "Selection on the basis of prior testing," Working Papers de Economia (Economics Working Papers), Católica Porto Business School, Universidade Católica Portuguesa, number 062008, Sep.
• Eduardo Mendes & Les Oxley & William Rea & Marco Reale, 2008, "Long memory or shifting means? A new approach and application to realised volatility," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 08/04, Jan.
• Jennifer Brown & Les Oxley & William Rea & Marco Reale, 2008, "The Empirical Properties of Some Popular Estimators of Long Memory Processes," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 08/13, Jun.
• Les Oxley & Chris Price & William Rea & Marco Reale, 2008, "A New Procedure to Test for H Self-Similarity," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 08/16, Sep.
• Otrok, Christopher & Pourpourides, Panayiotis M., 2008, "On The Cyclicality of Real Wages and Wage Differentials," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2008/19, Aug, revised Mar 2009.
• Toderoiu, Filon & MATEESCU, Mihaela, 2008, "Ratings trends and market meat in Romania in the context of the current food crisis," Revista de Economie Industriala (Journal of Industrial Eonomics), Centre for Industrial Economics and Services, volume 6, issue 2, pages 88-95, June.
• M. Hashem Pesaran & Allan Timmermann, 2006, "Testing Dependence among Serially Correlated Multi-category Variables," CESifo Working Paper Series, CESifo, number 1770.
• Ian Babetskii, 2007, "Aggregate Wage Flexibility in Selected New EU Member States," CESifo Working Paper Series, CESifo, number 1916.
• Stephan Danninger & Fred Joutz, 2007, "What Explains Germany’s Rebounding Export Market Share?," CESifo Working Paper Series, CESifo, number 1957.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2007, "Long Run and Cyclical Dynamics in the US Stock Market," CESifo Working Paper Series, CESifo, number 2046.
• Balázs Egert, 2007, "Real Convergence, Price Level Convergence and Inflation Differentials in Europe," CESifo Working Paper Series, CESifo, number 2127.
• M. Hashem Pesaran & L. Vanessa Smith & Takashi Yamagata, 2008, "Panel Unit Root Tests in the Presence of a Multifactor Error Structure," CESifo Working Paper Series, CESifo, number 2193.
• Jan-Egbert Sturm & Timo Wollmershäuser, 2008, "The Stress of Having a Single Monetary Policy in Europe," CESifo Working Paper Series, CESifo, number 2251.
• Michael Funke & Marc Gronwald, 2008, "The Undisclosed Renminbi Basket: Are the Markets Telling us something about where the Renminbi – US Dollar Exchange Rate is Going?," CESifo Working Paper Series, CESifo, number 2272.
• M. Hashem Pesaran & Andreas Pick, 2008, "Forecasting Random Walks Under Drift Instability," CESifo Working Paper Series, CESifo, number 2293.
• Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana, 2008, "Modelling Long-Run Trends and Cycles in Financial Time Series Data," CESifo Working Paper Series, CESifo, number 2330.
• Jan Jacobs & Jan-Egbert Sturm, 2008, "The Information Content of KOF Indicators on Swiss Current Account Data Revisions," CESifo Working Paper Series, CESifo, number 2370.
• François Lescaroux & Valérie Mignon, 2008, "On the Influence of Oil Prices on Economic Activity and Other Macroeconomic and Financial Variables," Working Papers, CEPII research center, number 2008-05, Apr.
• Francis Bismans & Olivier Damette, 2008, "Currency Transaction Tax Elasticity: an Econometric Estimation," Economie Internationale, CEPII research center, issue 115, pages 193-212.
• Claude Lopez & Christian J. Murray & David H. Papell, 2008, "Median-Unbiased Estimation in DF-GLS Regressions and the PPP Puzzle," University of Cincinnati, Economics Working Papers Series, University of Cincinnati, Department of Economics, number 2008-05, revised 2008.
• Michal Skorepa, 2008, "A Simple, Model-Independent Analysis of Reasons for Non-Fulfillment of the Declared Inflation Target," Occasional Publications - Chapters in Edited Volumes, Czech National Bank, Research and Statistics Department, chapter 3, in: Katerina Smidkova, "Evaluation of the Fulfilment of the CNB's Inflation Targets 1998-2007".
• Ataman Ozyildirim & Brian Schaitkin & Victor Zarnowitz, 2008, "Business Cycles in the Euro Area Defined with Coincident Economic Indicators and Predicted with Leading Economic Indicators," Economics Program Working Papers, The Conference Board, Economics Program, number 08-04, Nov.
• E. Otranto, 2008, "Clustering Heteroskedastic Time Series by Model-Based Procedures," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 200801.
• J. Tena & E. Otranto, 2008, "A Realistic Model for Official Interest Rates," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 200802.
• Lisi & E. Otranto, 2008, "Clustering Mutual Funds by Return and Risk Levels," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 200813.
• Arango Luis Eduardo & Andr�s Felipe Garcia & Carlos Esteban Posada, 2008, "La metodología de la Encuesta Continua de Hogares y el empalme de las series del mercado laboral urbano de Colombia," Revista Desarrollo y Sociedad, Universidad de los Andes,Facultad de Economía, CEDE.
• Elkin Castano & Karoll Gómez & Santiago Gallón, 2008, "Pronóstico y estructuras de volatilidad multiperíodo de la tasa de cambio del peso colombiano," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Enrique L�pez Enciso, 2008, "Algunos hechos estilizados sobre el comportamiento de los precios regulados en Colombia," Borradores de Economia, Banco de la Republica, number 4999, Aug.
• Sandra Rozo & Diego V�squez & Dairo Estrada, 2008, "An Industrial Organization Analysis for the Colombian Banking System," Borradores de Economia, Banco de la Republica, number 5001, Aug.
• Jorge Gallego & Yalila Aljure Jiménez, 2008, "Desigualdad y leyes de potencia," Documentos de Economía, Universidad Javeriana - Bogotá, number 5011, Jul.
• WANG , Shin-Huei & HSIAO, Cheng, 2008, "An easy test for two stationary long processes being uncorrelated via AR approximations," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2008047, Aug.
• 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, Centre for Economic Policy Research, number 6650, Jan.
• Muellbauer, John & Aron, Janine, 2008, "Monetary Policy and Inflation Modeling in a More Open Economy in South Africa," CEPR Discussion Papers, Centre for Economic Policy Research, 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.
• 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.
• Marnik G. Dekimpe & Philip Hans Franses & Dominique M. Hanssens & Prasad A. Naik, 2008, "Time-Series Models in Marketing," International Series in Operations Research & Management Science, Springer, chapter 0, in: Berend Wierenga, "Handbook of Marketing Decision Models", DOI: 10.1007/978-0-387-78213-3_11.
• Giovanni Dosi & Giorgio Fagiolo & Andrea Roventini, 2008, "The microfoundations of business cycles: an evolutionary, multi-agent model," Journal of Evolutionary Economics, Springer, volume 18, issue 3, pages 413-432, August, DOI: 10.1007/s00191-008-0094-8.
• John Ermisch, 2008, "Child support and non-resident fathers’ contact with their children," Journal of Population Economics, Springer;European Society for Population Economics, volume 21, issue 4, pages 827-853, October, DOI: 10.1007/s00148-006-0125-4.
• Christian Hafner & Helmut Herwartz, 2008, "Analytical quasi maximum likelihood inference in multivariate volatility models," Metrika: International Journal for Theoretical and Applied Statistics, Springer, volume 67, issue 2, pages 219-239, March, DOI: 10.1007/s00184-007-0130-y.
• Jinquan Liu & Tingguo Zheng & Jianli Sui, 2008, "Dual long memory of inflation and test of the relationship between inflation and inflation uncertainty," Psychometrika, Springer;The Psychometric Society, volume 3, issue 2, pages 240-254, June, DOI: 10.1007/s11459-008-0011-y.
• Claude Diebolt & Cédric Doliger, 2008, "New international evidence on the cyclical behaviour of output: Kuznets swings reconsidered," Quality & Quantity: International Journal of Methodology, Springer, volume 42, issue 6, pages 719-737, December, DOI: 10.1007/s11135-006-9064-0.
• Stephanie E. Lang & Klaus Röder, 2008, "Die Kosten des Indextrackings — Eine Fallstudie über den Exchange Traded Fund DAX®EX," Schmalenbach Journal of Business Research, Springer, volume 60, issue 3, pages 298-321, May, DOI: 10.1007/BF03372796.
• Gianluca Fusai & Andrea Roncoroni, 2008, "Implementing Models in Quantitative Finance: Methods and Cases," Springer Finance, Springer, number 978-3-540-49959-6, ISBN: ARRAY(0x5eed27f0), October, DOI: 10.1007/978-3-540-49959-6.
• Roman Liesenfeld & Ingmar Nolte & Winfried Pohlmeier, 2008, "Modelling financial transaction price movements: a dynamic integer count data model," Studies in Empirical Economics, Springer, in: Luc Bauwens & Winfried Pohlmeier & David Veredas, "High Frequency Financial Econometrics", DOI: 10.1007/978-3-7908-1992-2_8.
• Su Zhou & Mohsen Bahmani-Oskooee & Ali M. Kutan, 2008, "Purchasing Power Parity before and after the Adoption of the Euro," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 144, issue 1, pages 134-150, April, DOI: 10.1007/s10290-008-0140-5.
• Olutomi I Adeyemi & David C Broadstock & Mona Chitnis & Lester C Hunt & Guy Judge, 2008, "Asymmetric Price Responses and the Underlying Energy Demand Trend: Are they Substitutes or Complements? Evidence from Modelling OECD Aggregate Energy Demand," Surrey Energy Economics Centre (SEEC), School of Economics Discussion Papers (SEEDS), Surrey Energy Economics Centre (SEEC), School of Economics, University of Surrey, number 121, Oct.
• Vasco Gabriel & Paul Levine & Christopher Spencer, 2008, "How forward-looking is the Fed? Direct estimates from a `Calvo-type' rule," School of Economics Discussion Papers, School of Economics, University of Surrey, number 0508, Jun.
• Sandra Tatierska, 2008, "ULC Dynamics of Euro Area Countries and SR in the Long Run," Working and Discussion Papers, Research Department, National Bank of Slovakia, number WP 6/2008, Oct.
• Daniel Buncic, 2008, "A Note on Long Horizon Forecasts of Nonlinear Models of Real Exchange Rates: Comments on Rapach and Wohar (2006)," Discussion Papers, School of Economics, The University of New South Wales, number 2008-02, Feb.
• Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008, "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Discussion Papers, School of Economics, The University of New South Wales, number 2008-10, May.
• Leon du Toit, 2008, "Optimal HP filtering for South Africa," Working Papers, Stellenbosch University, Department of Economics, number 07/2008.
• A. Morales-Zumaquero & Simon Sosvilla-Rivero, 2008, "Macroeconomic instability in the European monetary system?," Applied Financial Economics, Taylor & Francis Journals, volume 18, issue 12, pages 965-983, DOI: 10.1080/09603100701367401.
• Martin Bohl & Pierre Siklos, 2008, "Empirical evidence on feedback trading in mature and emerging stock markets," Applied Financial Economics, Taylor & Francis Journals, volume 18, issue 17, pages 1379-1389, DOI: 10.1080/09603100701704280.
• Ferda Halicioglu, 2008, "The J-curve dynamics of Turkey: an application of ARDL model," Applied Economics, Taylor & Francis Journals, volume 40, issue 18, pages 2423-2429, DOI: 10.1080/00036840600949496.
• Offer Lieberman & Peter Phillips, 2008, "Refined Inference on Long Memory in Realized Volatility," Econometric Reviews, Taylor & Francis Journals, volume 27, issue 1-3, pages 254-267, DOI: 10.1080/07474930701873374.
• Fulvio Corsi & Stefan Mittnik & Christian Pigorsch & Uta Pigorsch, 2008, "The Volatility of Realized Volatility," Econometric Reviews, Taylor & Francis Journals, volume 27, issue 1-3, pages 46-78, DOI: 10.1080/07474930701853616.
• Roger Kelly & George Mavrotas, 2008, "Savings and financial sector development: panel cointegration evidence from Africa," The European Journal of Finance, Taylor & Francis Journals, volume 14, issue 7, pages 563-581, DOI: 10.1080/13518470801890602.
• Sascha Mergner & Jan Bulla, 2008, "Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques," The European Journal of Finance, Taylor & Francis Journals, volume 14, issue 8, pages 771-802, DOI: 10.1080/13518470802173396.
• Stilianos Fountas & Menelaos Karanasos, 2008, "Are economic growth and the variability of the business cycle related? Evidence from five European countries," International Economic Journal, Taylor & Francis Journals, volume 22, issue 4, pages 445-459, DOI: 10.1080/10168730802497478.
• Stavros Degiannakis, 2008, "ARFIMAX and ARFIMAX-TARCH realized volatility modeling," Journal of Applied Statistics, Taylor & Francis Journals, volume 35, issue 10, pages 1169-1180, DOI: 10.1080/02664760802271017.
• Derek Bond & Kenneth A. Dyson, 2008, "Long memory and nonlinearity in stock markets," Applied Financial Economics Letters, Taylor & Francis Journals, volume 4, issue 1, pages 45-48, DOI: 10.1080/17446540701367451.
• Afsin Sahin & Yilmaz Akdi & Cemal Atakan, 2008, "An Investigation on the Shuttle Trade Dynamics of a Small-Open-Economy," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 1, issue 2, pages 1-12, December.
• V. Dordonnat & S.J. Koopman & M. Ooms & A. Dessertaine & J. Collet, 2008, "An Hourly Periodic State Space Model for Modelling French National Electricity Load," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-008/4, Jan.
• Marc K. Francke & Siem Jan Koopman & Aart de Vos, 2008, "Likelihood Functions for State Space Models with Diffuse Initial Conditions," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-040/4, Apr.
• Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008, "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-050/4, May.
• Drew Creal & Siem Jan Koopman & André Lucas, 2008, "A General Framework for Observation Driven Time-Varying Parameter Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-108/4, Nov.
• Siem Jan Koopman & Soon Yip Wong, 2008, "Spline Smoothing over Difficult Regions," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-114/4, Nov.
• Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2008, "Note on integer-valued bilinear time series models," Other publications TiSEM, Tilburg University, School of Economics and Management, number aaf4f3fe-f141-4784-89b5-0.
• Heikki Kauppi, 2008, "Yield-Curve Based Probit Models for Forecasting U.S. Recessions: Stability and Dynamics," Discussion Papers, Aboa Centre for Economics, number 31, May.
• Chun Liu & John M Maheu, 2008, "Forecasting Realized Volatility: A Bayesian Model Averaging Approach," Working Papers, University of Toronto, Department of Economics, number tecipa-313, Apr.
• Mark J Jensen & John M Maheu, 2008, "Bayesian semiparametric stochastic volatility modeling," Working Papers, University of Toronto, Department of Economics, number tecipa-314, Apr.
• Zhongfang He & John M Maheu, 2008, "Real Time Detection of Structural Breaks in GARCH Models," Working Papers, University of Toronto, Department of Economics, number tecipa-336, Sep.
• Graham Elliott & Ivana Komunjer & Allan Timmermann, 2008, "Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?," Journal of the European Economic Association, MIT Press, volume 6, issue 1, pages 122-157, March.
• Dorren McMahon, 2008, "“Which Kind of Paddy?” A Survey of the Literature on the History, Sociology and Anthropology of Alcohol and the Irish," Working Papers, Geary Institute, University College Dublin, number 200801, Jan.
• D. (Derek) Bond & Niall Hession & Michael J. Harrison & Edward J. (Edward Joseph) O'Brien, 2008, "Nonlinearity as an explanation of the forward exchange rate anomaly," Working Papers, School of Economics, University College Dublin, number 200801, Jan.
• Dong Jin Lee, 2008, "Parametric and Semiparametric Efficient Tests for Parameter Instability," Working papers, University of Connecticut, Department of Economics, number 2008-40, Oct, revised Aug 2009.
• Jun Ma & Charles R. Nelson, 2008, "Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components," Working Papers, University of Washington, Department of Economics, number UWEC-2008-06-R, Sep, revised Sep 2008.
• Marcos José Dal Bianco, 2008, "Argentinean real exchange rate 1900-2006, test purchasing power parity theory," Estudios de Economia, University of Chile, Department of Economics, volume 35, issue 1 Year 20, pages 33-64, June.
• Andres Pereyra & Elías Rubinstein & Marcelo Pérez, 2008, "Tasa generadora de viajes para el puerto de Montevideo. Una propuesta metodológica," Documentos de Trabajo (working papers), Department of Economics - dECON, number 2108, Oct.
• Andrea Silvestrini & David Veredas, 2008, "Temporal aggregation of univariate and multivariate time series models: a survey," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/136205, Jul.
• Laurent Moulin & Matteo Sala & Andrea Silvestrini & David Veredas, 2008, "Using intra annual information to forecast the annual state deficit. The case of France," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/136217.
• J. Isaac Miller & Joon Y. Park, 2008, "Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory," Working Papers, Department of Economics, University of Missouri, number 0801, Jan.
• Jorge Braga de Macedo & Luis Brites Pereira & Afonso Mendonca Reis, 2008, "Exchange market pressure in African lusophone countries," Nova SBE Working Paper Series, Universidade Nova de Lisboa, Nova School of Business and Economics, number wp527.
• Bayer, C & Hanck, C.H., 2008, "Is double trouble? How to combine cointegration tests," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 014, Jan, DOI: 10.26481/umamet.2008014.
• Manner, H., 2008, "Testing for Asymmetric Dependence," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 042, Jan, DOI: 10.26481/umamet.2008042.
• Verma, Reetu & Perera, Nelson, 2008, "An Empirical Analysis of Sustainability of Trade Deficit:Evidence from Sri Lanka," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia, number wp08-06.
• Martínez Ibáñez, Oscar & Olmo, José, 2008, "A nonlinear threshold model for the dependence of extremes of stationary sequences," Working Papers, Universitat Rovira i Virgili, Department of Economics, number 2072/5361.
• Fulvio Corsi & Francesco Audrino, 2008, "Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects," University of St. Gallen Department of Economics working paper series 2008, Department of Economics, University of St. Gallen, number 2008-04, Jan.
• Fulvio Corsi & Francesco Audrino, 2008, "Modeling Tick-by-Tick Realized Correlations," University of St. Gallen Department of Economics working paper series 2008, Department of Economics, University of St. Gallen, number 2008-05, Jan.
• Davide La Vecchia & Fabio Trojani, 2008, "Infinitesimal Robustness for Diffusions," University of St. Gallen Department of Economics working paper series 2008, Department of Economics, University of St. Gallen, number 2008-09, Apr.
• Francesco Audrino & Marcelo C. Medeiros, 2008, "Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process," University of St. Gallen Department of Economics working paper series 2008, Department of Economics, University of St. Gallen, number 2008-16, Aug.