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

2007

• 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, Centre for Economic Policy Research, number 6184, Mar.
• Muellbauer, John & Aron, Janine, 2007, "Inflation Dynamics and Trade Openness," CEPR Discussion Papers, Centre for Economic Policy Research, 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, Centre for Economic Policy Research, number 6517, Oct.
• Giannone, Domenico & D’Agostino, Antonello & Surico, Paolo, 2007, "(Un)Predictability and Macroeconomic Stability," CEPR Discussion Papers, Centre for Economic Policy Research, 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, José 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.
• António AFONSO & Priscilla TOFFANO, 2013, "Fiscal regimes in the EU," Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven, number ces13.06, Apr.
• Maria S. Heracleous, 2007, "Sample Kurtosis, GARCH-t and the Degrees of Freedom Issue," Economics Working Papers, European University Institute, number ECO2007/60.
• Mario Cerrato & Christian De Peretti & Nick Sarantis, 2007, "A nonlinear panel unit root test under cross section dependence," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne, number 07-12.
• Konstantin Pavlovich Gluschenko, 2007, "Price Linkages of Russian Regional Markets," Spatial Economics=Prostranstvennaya Ekonomika, Economic Research Institute, Far Eastern Branch, Russian Academy of Sciences (Khabarovsk, Russia), issue 1, pages 48-60, DOI: 10.14530/se.2007.1.048-060.
• Radka Štiková, 2007, "Models of Political Cycles: The Czech Experience / Modely politického cyklu a jejich testování na podmínkách ČR [available in Czech only]," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2007/18, May, revised May 2007.
• Stanislav Anatolyev & Victor Kitov, 2007, "Using All Observations when Forecasting under Structural Breaks," Finnish Economic Papers, Finnish Economic Association, volume 20, issue 2, pages 166-176, Autumn.
• S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2007, "Real-time measurement of business conditions," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 901.
• Michael T. Owyang & Jeremy M. Piger & Howard J. Wall, 2007, "A state-level analysis of the Great Moderation," Working Papers, Federal Reserve Bank of St. Louis, number 2007-003, DOI: 10.20955/wp.2007.003.
• Giampiero Gallo & Margherita Velucchi, 2007, "On the Interaction between Ultra–high Frequency Measures of Volatility," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2007_01, May.
• Christian T. Brownlees & Giampiero Gallo, 2007, "Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2007_02, May.
• Margherita Velucchi, 2007, "Regime Switching: Italian Financial Markets over a Century," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2007_03, May.
• Christian T. Brownlees & Giampiero Gallo, 2007, "Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2007_04, May.
• Christian T. Brownlees & Giampiero M. Gallo, 2007, "Comparison of Volatility Measures: a Risk Management Perspective," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2007_15, Nov.
• Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2007, "A Model for Multivariate Non-negative Valued Processes in Financial Econometrics," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2007_16, Dec.
• Francisco Penaranda & Jon Danielsson, 2007, "On the Impact of Fundamentals, Liquidity and Coordination on Market Stability," FMG Discussion Papers, Financial Markets Group, number dp586, Jan.
• Bob Nobay & Ivan Paya & David A. Peel, 2007, "Inflation Dynamics in the US -A Nonlinear Perspective," FMG Discussion Papers, Financial Markets Group, number dp601, Nov.
• Luciano Nakabashi & Fábio Dória Scatolin & Marcio José Vargas da Cruz, 2007, "Investimento, Indústria e Crescimento Econômico Brasileiro: uma Análise da Relação de Causalidade," Working Papers, Universidade Federal do Paraná, Department of Economics, number 0062.
• Essahbi Essaadi & Jamel Jouini & Walih Khallouli, 2007, "The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis," Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Etienne (GATE Lyon St-Etienne), Université de Lyon, number 0725, Oct.
• Joseph Byrne & Alexandros Kontonikas & Alberto Montagnoli, 2007, "Unit Roots in Inflation and Aggregation Bias," Working Papers, Business School - Economics, University of Glasgow, number 2007_07, May.
• Alberto Montagnoli & Andros Gregoriou & Alexandros Kontonikas, 2007, "Euro Area Inflation Differentials: Unit Roots, Structural Breaks and Non-Linear Adjustment," Working Papers, Business School - Economics, University of Glasgow, number 2007_13, Jun.
• Michael G. Arghyrou & Andros Gregoriou & Alexandros Kontonikas, 2007, "Do real interest rates converge? Evidence from the European Union," Working Papers, Business School - Economics, University of Glasgow, number 2007_21, Jun.
• Joseph P. Byrne & Norbert Fiess, 2007, "Euro Area Inflation: Aggregation Bias and Convergence," Working Papers, Business School - Economics, University of Glasgow, number 2007_41, Oct.
• Paulo Reis Mourão, 2007, "Factores de alteração da composição da Despesa Pública: o caso norte-americano," Notas Económicas, Faculty of Economics, University of Coimbra, issue 26, pages 27-41, December.
• Bety Agnany & Henry Aray, 2007, "The January Effect across Volatility Regimes," ThE Papers, Department of Economic Theory and Economic History of the University of Granada., number 07/04, Dec.
• Manuel Gomez & Daniel Ventosa-Santaularia, 2007, "Inflation and breaks: the validity of the Dickey-Fuller test," Department of Economics and Finance Working Papers, Universidad de Guanajuato, Department of Economics and Finance, number EM200601, Jun.
• Daniel Ventosa-Santaularia, 2007, "Spurious Instrumental Variables," Department of Economics and Finance Working Papers, Universidad de Guanajuato, Department of Economics and Finance, number EM200704, Jun, revised Mar 2009.
• Nicolas Million, 2007, "Effet peso : présentation théorique et application à la politique monétaire," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00144659, Mar.
• Darmoul Mokhtar & Nizar Harrathi, 2007, "Monetary information arrivals and intraday exchange rate volatility: a comparison of the GARCH and the EGARCH models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00174996, Jun.
• A. Durre & P. Giot, 2007, "An International Analysis of Earnings, Stock Prices and Bond Yields," Post-Print, HAL, number hal-00171145.
• Patrick Guillaumont & Sylviane Guillaumont Jeanneney, 2007, "Big Push versus Absorptive Capacity. How to reconcile the Two Approaches," Post-Print, HAL, number hal-00204840.
• R. Baupain & A. Durre, 2007, "The interday and intraday patterns of the overnight market : evidence from an electronic platform," Post-Print, HAL, number hal-00300195.
• Laurent-Emmanuel Calvet & Adlai J. Fisher, 2007, "Multifrequency news and stock returns," Post-Print, HAL, number hal-00459675, Oct, DOI: 10.1016/j.jfineco.2006.09.001.
• Veronika Czellar & G. Andrew Karolyi & Elvezio Ronchetti, 2007, "Indirect robust estimation of the short-term interest rate process," Post-Print, HAL, number hal-00463251, Sep, DOI: 10.1016/j.jempfin.2006.09.004.
• Darmoul Mokhtar & Nizar Harrathi, 2007, "Monetary information arrivals and intraday exchange rate volatility: a comparison of the GARCH and the EGARCH models," Post-Print, HAL, number halshs-00174996, Jun.
• Agnès Bénassy-Quéré & Valérie Mignon & Alexis Penot, 2007, "China and the relationship between the oil price and the dollar," Post-Print, HAL, number halshs-00201394.
• Christophe Rault, 2007, "Further Results on Week-Exogeneity in Vector Error Correction Models," Post-Print, HAL, number halshs-00202833, Jul.
• Ali Ari & Rustem Dagtekin, 2007, "Les indicateurs d'alerte de la crise financière de 2000-2001 en Turquie : un modèle de prévision de crise jumelle," Working Papers, HAL, number hal-01295697.
• Georges Prat & Fredj Jawadi, 2007, "Nonlinear stock prices adjustment in the G7 countries," Working Papers, HAL, number halshs-00172896, Sep.
• Roberta Colavecchio & Michael Funke, 2007, "Volatility dependence across Asia-Pacific on-shore and off-shore U.S. dollar futures markets," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics, number 20708, Aug.
• Kuswanto, Heri & Sibbertsen, Philipp, 2007, "Can we distinguish between common nonlinear time series models and long memory?," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-380, Nov.
• Sibbertsen, Philipp & Kruse, Robinson, 2007, "Testing for a break in persistence under long-range dependencies," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-381, Nov.
• Bask, Mikael & Widerberg, Anna, 2007, "The Stability and Volatility of Electricity Prices: An Illustration of (lambda, sigma-2) Analysis," Working Papers in Economics, University of Gothenburg, Department of Economics, number 267, Oct.
• Teräsvirta, Timo & Zhao, Zhenfang, 2007, "Stylized Facts of Return Series, Robust Estimates, and Three Popular Models of Volatility," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 662, Jun, revised 01 Aug 2007.
• Péguin-Feissolle, Anne & Strikholm, Birgit & Teräsvirta, Timo, 2007, "Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 672, Aug, revised 18 Jan 2012.
• Westerlund, Joakim, 2007, "A Note on the Pooling of Individual PANIC Unit Root Tests," Working Papers, Lund University, Department of Economics, number 2007:5, Feb.
• Marzo, Massimiliano & Zagaglia, Paolo, 2007, "Volatility forecasting for crude oil futures," Research Papers in Economics, Stockholm University, Department of Economics, number 2007:9, Jun.
• Marzo, Massimiliano & Zagaglia, Paolo, 2007, "Conditional Leptokurtosis in Energy Prices: Multivariate Evidence from Futures Markets," Research Papers in Economics, Stockholm University, Department of Economics, number 2007:11, Jun.
• Spargoli, Fabrizio & Zagaglia, Paolo, 2007, "The Comovements between Futures Markets for Crude Oil: Evidence from a Structural GARCH Model," Research Papers in Economics, Stockholm University, Department of Economics, number 2007:15, Aug.
• Spargoli, Fabrizio & Zagaglia, Paolo, 2007, "Along the Forward Curve for Natural Gas: Unobservable Shocks and Dynamic Correlations," Research Papers in Economics, Stockholm University, Department of Economics, number 2007:16, Aug.
• Kim, Dongcheol & Kim, Dong-Soon, 2007, "Return-Volatility Spillover and Foreign Operations of Dually-Listed Global Firms," Hitotsubashi Journal of Economics, Hitotsubashi University, volume 48, issue 1, pages 1-24, June, DOI: 10.15057/13791.
• Katayama, Naoya, 2007, "Seasonally and Fractionally Differenced Time Series," Hitotsubashi Journal of Economics, Hitotsubashi University, volume 48, issue 1, pages 25-55, June, DOI: 10.15057/13796.
• Ip-wing Yu & Laurence Fung & Chi-sang Tam, 2007, "Assessing Financial Market Integration In Asia - Equity Markets," Working Papers, Hong Kong Monetary Authority, number 0704, Apr.
• Ip-wing Yu & Laurence Fung & Chi-sang Tam, 2007, "Assessing Bond Market Integration in Asia," Working Papers, Hong Kong Monetary Authority, number 0710, Jun.
• Laurence Fung & Ip-wing Yu, 2007, "Assessing the Credibility of The Convertibility Zone of The Hong Kong Dollar," Working Papers, Hong Kong Monetary Authority, number 0719, Dec.
• Yin-wong Cheung & Kon S. Lai, 2007, "Nominal Exchange Rate Flexibility and Real Exchange Rate Adjustment: New Evidence from Dual Exchange Rates in Developing Countries," Working Papers, Hong Kong Institute for Monetary Research, number 092007, May.
• Peter C. B. Phillips & Yangru Wu & Jun Yu, 2007, "Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?," Working Papers, Hong Kong Institute for Monetary Research, number 222007.
• Ansgar Belke & Thorsten Polleit, 2007, "Money and Inflation," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim, Department of Economics, University of Hohenheim, Germany, number 284/2007.
• Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2007, "Enhanced routines for instrumental variables/GMM estimation and testing," CERT Discussion Papers, Centre for Economic Reform and Transformation, Heriot Watt University, number 0706.
• Claudio Morana, 2007, "On the macroeconomic causes of exchange rates volatility," ICER Working Papers, ICER - International Centre for Economic Research, number 8-2007, Mar.
• Richard T. Baillie & Claudio Morana, 2007, "Modeling Long Memory and Structural Breaks in Conditional Variances: an Adaptive FIGARCH Approach," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research, number 11-2007, Mar.
• Claudio Morana, 2007, "Estimating, Filtering and Forecasting Realized Betas," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research, number 6-2007, Mar.
• Taoufik Bouezmarni & Jeroen V.K. Rombouts, 2007, "Semiparametric Multivariate Density Estimation for Positive Data Using Copulas," Cahiers de recherche, HEC Montréal, Institut d'économie appliquée, number 07-08, Jul.
• Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts, 2007, "Theory and inference for a Markov switching Garch model," Cahiers de recherche, HEC Montréal, Institut d'économie appliquée, number 07-09, Aug.
• Taoufik Bouezmarni & Jeroen V.K. Rombouts, 2007, "Nonparametric density estimation for multivariate bounded data," Cahiers de recherche, HEC Montréal, Institut d'économie appliquée, number 07-10, Aug.
• Dominique Guégan & Justin Leroux, 2007, "Forecasting chaotic systems: The role of local Lyapunov exponents," Cahiers de recherche, HEC Montréal, Institut d'économie appliquée, number 07-12, Dec.
• Mohammed Bouaddi & Jeroen V.K. Rombouts, 2007, "Mixed Exponential Power Asymmetric Conditional Heteroskedasticity," Cahiers de recherche, HEC Montréal, Institut d'économie appliquée, number 07-15, Dec.
• Valentina Corradi & Norman R. Swanson, 2007, "Nonparametric Bootstrap Procedures For Predictive Inference Based On Recursive Estimation Schemes," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 48, issue 1, pages 67-109, February.
• Andrea Mervar & James E. Payne, 2007, "An Analysis of Foreign Tourism Demand for Croatian Destinations: Long-Run Elasticity Estimates," Working Papers, The Institute of Economics, Zagreb, number 0701, Feb.
• Peter Robinson, 2007, "Correlation testing in time series, spatial and cross-sectional data," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP01/07, Jan.
• Skriner, Edith, 2007, "Forecasting Global Flows," Economics Series, Institute for Advanced Studies, number 214, Jul.
• Işıl AKGÜN & Hülya SAYYAN, 2007, "İMKB-30 hisse senedi getirilerinde volatilitenin kısa ve uzun hafızalı asimetrik koşullu değişen varyans modelleri ile öngörüsü," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 22, issue 250, pages 127-141.
• Afşin ŞAHİN & Yılmaz AKDİ, 2007, "Çiftçinin eline geçen fiyatların, genel fiyat endeksleri ve döviz kuruyla ilişkileri," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 22, issue 252, pages 116-122.
• Burak GÜRİŞ & Burcu KIRAN, 2007, "Reel faiz oranı ve reel döviz kurunun kısa vadeli sermaye hareketlerine etkileri: Sınır testi yaklaşımı," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 22, issue 255, pages 85-94.
• Serpil TÜRKYILMAZ & Mustafa ÖZER, 2007, "Türkiye’de döviz kuru oynaklığının uzun hafiza özelliklerinin analizi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 22, issue 259, pages 99-113.
• Luis A. Gil-Alana, 2007, "A Multivariate Long Memory Model for the Specification of Real Output in the US, the UK, and Canada," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 6, issue 2, pages 135-146, August.
• Fabio Busetti & Lorenzo Forni & Andrew Harvey & Fabrizio Venditti, 2007, "Inflation Convergence and Divergence within the European Monetary Union," International Journal of Central Banking, International Journal of Central Banking, volume 3, issue 2, pages 95-121, June.
• Norlida Hanim Salleh, 2007, "An Ardl Model Of Tourism Demand For Malaysia," IIUM Journal of Economics and Management, IIUM Journal of Economis and Management, volume 15, issue 1, pages 65-92, June.
• M.N. Siddiqi, 2007, "Shariah,Economics And The Progress Of Islamic Finance: The Role Of Shariah Experts," IIUM Journal of Economics and Management, IIUM Journal of Economis and Management, volume 15, issue 1, pages 93-114, June.
• Daisuke Nagakura, 2007, "Testing for Coefficient Stability of AR(1) Model When the Null is an Integrated or a Stationary Process," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 07-E-20, Nov.
• Mr. Frederick L Joutz & Mr. Stephan Danninger, 2007, "What Explains Germany’s Rebounding Export Market Share?," IMF Working Papers, International Monetary Fund, number 2007/024, Feb.
• Till van Treeck, 2007, "Reconsidering the Investment-Profit Nexus in Finance-Led Economies: an ARDL-Based Approach," IMK Working Paper, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute, number 01-2007, Jan.
• Sabine Stephan, 2007, "A re-assessment of German import demand," IMK Working Paper, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute, number 08-2007.
• Juan Carlos Escanciano & Jose Olmo, 2007, "Backtesting Parametric Value-at-Risk with Estimation Risk," CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, number 2007-005, Mar, revised Sep 2008.
• Giorgo Sertsios, 2007, "¿Puede el Diseño de un Torneo Deportivo Afectar su Asistencia?," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 44, issue 129, pages 59-89.
• Juan Eduardo Coeymans., 2007, "Consumo de Acero, Inversión y Producto en América Latina. Un Análisis de Cointegración y de la Dinámica de Corto Plazo," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile., number 321.
• Vanessa Berenguer-Rico & Josep Lluís Carrion-i-Silvestre, 2007, "Multicointegration, polynomial cointegration and I(2) cointegration with structural breaks. An application to the sustainability of the US external deficit," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 200709, May, revised May 2007.
• Mauro Costantini & Roy Cerqueti, 2007, "Non parametric Fractional Cointegration Analysis," ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY), number 78, Feb.
• Mauro Costantini & Sergio de Nardis, 2007, "Estimates of Structural Changes in the Wage Equation:Some Evidence for Italy," ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY), number 86, Nov.
• Juan Carlos Cuestas & Javier Ordoñez & Mariam Camarero, 2007, "The Role Of Commodity Terms Of Trade In Determining The Real Exchange Rates Of Mediterranean Countries," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2007-15, Jul.
• Pesaran, M. Hashem & Smith, L. Vanessa & Yamagata, Takashi, 2007, "Panel Unit Root Tests in the Presence of a Multifactor Error Structure," IZA Discussion Papers, IZA Network @ LISER, number 3254, Dec.
• Christoph Schleicher, 2007, "Codependence in cointegrated autoregressive models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 22, issue 1, pages 137-159, DOI: 10.1002/jae.930.
• George Athanasopoulos & Heather M. Anderson & Farshid Vahid, 2007, "Nonlinear autoregressive leading indicator models of output in G-7 countries," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 22, issue 1, pages 63-87, DOI: 10.1002/jae.935.
• M. Hashem Pesaran, 2007, "A simple panel unit root test in the presence of cross-section dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 22, issue 2, pages 265-312, DOI: 10.1002/jae.951.
• Ansari, M. I. & Ahmed, S. M., 2007, "Does money matter? Evidence from vector error-correction for Mexico," Journal of Developing Areas, Tennessee State University, College of Business, volume 41, issue 1, pages 185-202, September.
• Tsangyao Chang & Yuan-Hong Ho & Chung-Ju Huang, 2007, "Revisiting Hysteresis In Unemployment For Ten European Countries: An Empirical Note On A More Powerful Nonlinear (Logistic) Unit Root," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, volume 32, issue 1, pages 49-57, June.
• Emmanuel De Veirman, 2007, "Which Nonlinearity in the Phillips Curve? The Absence of Accelerating Deflation in Japan," Economics Working Paper Archive, The Johns Hopkins University,Department of Economics, number 536, Jan.
• Robert M. de Jong & Tiemen Woutersen, 2007, "Dynamic time series binary choice," Economics Working Paper Archive, The Johns Hopkins University,Department of Economics, number 538, Jun.
• Thomas A. Knetsch, 2007, "Forecasting the price of crude oil via convenience yield predictions," Journal of Forecasting, John Wiley & Sons, Ltd., volume 26, issue 7, pages 527-549, DOI: 10.1002/for.1040.
• Francesco Audrino & Robert Fernholz & Roberto Ferretti, 2007, "A Forecasting Model for Stock Market Diversity," Annals of Finance, Springer, volume 3, issue 2, pages 213-240, March, DOI: 10.1007/s10436-006-0046-y.
• Jesús Otero & Jeremy Smith, 2007, "The KPSS Test with Outliers," Computational Economics, Springer;Society for Computational Economics, volume 29, issue 3, pages 423-423, May, DOI: 10.1007/s10614-006-9056-0.
• Torsten Selck & Mark Rhinard & Frank Häge, 2007, "The evolution of European legal integration," European Journal of Law and Economics, Springer, volume 24, issue 3, pages 187-200, December, DOI: 10.1007/s10657-007-9024-8.
• L. Gil-Alana, 2007, "Long run and cyclical strong dependence in macroeconomic time series: Nelson and Plosser revisited," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 34, issue 2, pages 139-154, April, DOI: 10.1007/s10663-006-9027-7.
• Guglielmo Caporale & Luis Gil-Alana, 2007, "Testing for deterministic and stochastic cycles in macroeconomic time series," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 34, issue 2, pages 155-169, April, DOI: 10.1007/s10663-007-9033-4.
• Bruno Bosco & Lucia Parisio & Matteo Pelagatti, 2007, "Deregulated Wholesale Electricity Prices in Italy: An Empirical Analysis," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 13, issue 4, pages 415-432, November, DOI: 10.1007/s11294-007-9105-z.
• Jonathan Beck, 2007, "The sales effect of word of mouth: a model for creative goods and estimates for novels," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, volume 31, issue 1, pages 5-23, March, DOI: 10.1007/s10824-006-9029-0.
• Patrick Minford & David Peel, 2007, "On the Equality of Real Interest Rates Across Borders in Integrated Capital Markets," Open Economies Review, Springer, volume 18, issue 1, pages 119-125, February, DOI: 10.1007/s11079-007-9002-3.
• Fabio Rumler, 2007, "Estimates of the Open Economy New Keynesian Phillips Curve for Euro Area Countries," Open Economies Review, Springer, volume 18, issue 4, pages 427-451, September, DOI: 10.1007/s11079-007-9028-6.
• Giuseppe Tullio & Jürgen Wolters, 2007, "Monetary Policy in Austria–Hungary, 1876–1913: An Econometric Analysis of the Determinants of the Central Bank’s Discount Rate and the Liquidity Ratio," Open Economies Review, Springer, volume 18, issue 5, pages 521-537, November, DOI: 10.1007/s11079-007-9032-x.
• Timotheos Angelidis & Alexandros Benos & Stavros Degiannakis, 2007, "A robust VaR model under different time periods and weighting schemes," Review of Quantitative Finance and Accounting, Springer, volume 28, issue 2, pages 187-201, February, DOI: 10.1007/s11156-006-0010-y.
• Yusuke Kinari & Masahiko Shibamoto, 2007, "Efficacy of Fiscal Policy in Japan: Keynesian and Non-Keynesian Effects on Aggregate Demand," Discussion Paper Series, Research Institute for Economics & Business Administration, Kobe University, number 212, Nov.