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

• Pawel STRAWINSKI & Robert SLEPACZUK, 2008, "Analysis Of High Frequency Data On The Warsaw Stock Exchange In The Context Of Efficient Market Hypothesis," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, volume 3, issue 3(5)_Fall, pages 306-319.
• Fulvio Corsi & Davide Pirino & Roberto Renò, 2008, "Volatility forecasting: the jumps do matter," Department of Economics University of Siena, Department of Economics, University of Siena, number 534, Jun.
• Don Webber & Paul White & Angela Helvin, 2008, "Modelling structural change using broken sticks," Working Papers, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol, number 0801, Jan.
• Pierre L. Siklos & Diana N. Weymark, 2008, "Data Revisions, Gradualism, and US Inflation Pressure in Real Time," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 0816, Sep.
• Laura Barbieri, 2008, "Panel Cointegration Tests: A Survey," Rivista Internazionale di Scienze Sociali, Vita e Pensiero, Pubblicazioni dell'Universita' Cattolica del Sacro Cuore, volume 116, issue 1, pages 3-36.
• Adelina Gschwandtner & Jesus Crespo Cuaresma, 2008, "Explaining the persistence of profits: A time-varying approach," Vienna Economics Papers, University of Vienna, Department of Economics, number vie0806, Jun.
• Fatma Marrakchi Charfi, 2008, "Taux de change réel d’équilibre et mésalignements: Enseignements d’un modèle VAR-ECM pour le cas de la Tunisie," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 55, issue 4, pages 439-464.
• Paweł Strawiński & Robert Ślepaczuk, 2008, "Analysis of HF data on the WSE in the context of EMH," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2008-08.
• Yeyati, Eduardo Levy & Schmukler, Sergio L. & Van Horen, Neeltje, 2008, "Crises, capital controls, and financial integration," Policy Research Working Paper Series, The World Bank, number 4770, Nov.
• Krishna Chaitanya, & Emilia Vazquez Rozas, 2008, "Are Emerging Economies Fdi Inflows Cointegrated With Fdi Inflows Of China? ??? An Empirical Investigation," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp904, Dec.
• S. Borağan Aruoba, 2008, "Data Revisions Are Not Well Behaved," Journal of Money, Credit and Banking, Blackwell Publishing, volume 40, issue 2‐3, pages 319-340, March, DOI: 10.1111/j.1538-4616.2008.00115.x.
• Otero, Jesús & Smith, Jeremy & Giulietti, Monica, 2008, "Testing for seasonal unit roots in heterogeneous panels using monthly data in the presence of cross sectional dependence," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 865.
• Jacek Kotlowski, 2008, "Forecasting inflation with dynamic factor model – the case of Poland," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 24, Feb.
• Andrzej Toroj, 2008, "Estimation of weights for the Monetary Conditions Index in Poland," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 27, Jun.
• Edith Skriner, 2008, "Forecasting Global Flows," FIW Working Paper series, FIW, number 009, Jan.
• Adam Misiorek, 2008, "Short-term forecasting of electricity prices: Do we need a different model for each hour?," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/08/01.
• M. Hashem Pesaran & L. Vanessa Smith & Takashi Yamagata, 2008, "Panel Unit Root Tests in the Presence of a Multifactor Error Structure," Discussion Papers, Department of Economics, University of York, number 08/03, Mar.
• Zagaglia, Paolo, 2008, "Money-market segmentation in the euro area: what has changed during the turmoil?," Bank of Finland Research Discussion Papers, Bank of Finland, number 23/2008.
• Liu, Ruipeng & Di Matteo, Tiziana & Lux, Thomas, 2008, "Multifractality and long-range dependence of asset returns: The scaling behaviour of the Markov-switching multifractal model with lognormal volatility components," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2008-09.
• Herwartz, Helmut, 2008, "Exact inference in diagnosing value-at-risk estimates: A Monte Carlo device," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2008-16.
• Berger, Helge & Harjes, Thomas, 2008, "Does global liquidity matter for monetary policy in the Euro area?," Discussion Papers, Free University Berlin, School of Business & Economics, number 2008/13.
• Weitzel, Enno-Burghard & Keskin, Gülsen & Brosig, Stephan, 2008, "Der türkische Tomatensektor: regionale Gesichtspunkte und räumliche Marktintegration
  [Turkish tomato sector – Regional aspects and spatial market integration]," IAMO Discussion Papers, Leibniz Institute of Agricultural Development in Transition Economies (IAMO), number 120.
• Qin, Duo, 2008, "Uncover Latent PPP by Dynamic Factor Error Correction Model (DF-ECM) Approach: Evidence from Five OECD Countries," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 2, pages 1-26, DOI: 10.5018/economics-ejournal.ja.2008-.
• Liu, Ruipeng & Di Matteo, Tiziana & Lux, Thomas, 2008, "Multifractality and long-range dependence of asset returns: The scaling behaviour of the Markov-switching multifractal model with lognormal volatility components," Kiel Working Papers, Kiel Institute for the World Economy, number 1427.
• Lux, Thomas, 2008, "Sentiment dynamics and stock returns: the case of the German stock market," Kiel Working Papers, Kiel Institute for the World Economy, number 1470.
• Herrmann, Klaus, 2008, "Models for time-varying moments using maximum entropy applied to a generalized measure of volatility," FAU Discussion Papers in Economics, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics, number 06/2008.
• Dominique Guegan & Justin Leroux, 2008, "Forecasting chaotic systems : the role of local Lyapunov exponents," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00259238, Feb.
• Ibrahim Ahamada & Philippe Jolivaldt, 2008, "Wavelets unit root test vs DF test : A further investigation based on monte carlo experiments," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00275767, Mar.
• Laurent Ferrara & Thomas Raffinot, 2008, "A non-parametric method to nowcast the Euro Area IPI," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00275769, Apr.
• Laurent Ferrara & Dominique Guegan, 2008, "Business surveys modelling with Seasonal-Cyclical Long Memory models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00277379, May.
• Laurent Ferrara & Dominique Guegan, 2008, "Business surveys modelling with Seasonal-Cyclical Long Memory models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00283710.
• Mathieu Gatumel & Dominique Guegan, 2008, "Dynamic Analysis of the Insurance Linked Securities Index," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00320378, Sep.
• Iuliana Matei, 2008, "Prices and output co-movements : an empirical investigation for the CEECs," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00335025, Oct.
• Claude Diebolt & Cédric Doliger, 2008, "New international evidence on the cyclical behaviour of output : Kuznets swings reconsidered," Post-Print, HAL, number hal-00278967, Dec, DOI: 10.1007/s11135-006-9064-0.
• R. Beaupain & A. Durre, 2008, "The interday and intraday patterns of the overnight market: Evidence from an electronic platform," Post-Print, HAL, number hal-00393019.
• Agnès Bénassy-Quéré & Valérie Mignon, 2008, "China and the relationship between the oil price and the dollar," Post-Print, HAL, number hal-00634796.
• 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," Post-Print, HAL, number hal-01243479.
• Abdou Kâ Diongue & Dominique Guegan, 2008, "The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics," Post-Print, HAL, number halshs-00259225, Feb.
• Ibrahim Ahamada & Philippe Jolivaldt, 2008, "Wavelets unit root test vs DF test : A further investigation based on monte carlo experiments," Post-Print, HAL, number halshs-00275767, Mar.
• Mohamed Ayadi & Wajih Khallouli & René Sandretto, 2008, "La contagion liée au changement des anticipations : évidence de la crise coréenne," Post-Print, HAL, number halshs-00303689.
• Mohamed El Hedi Arouri & Fredj Jawadi, 2008, "Are American and French Stok Markets Integrated?," Post-Print, HAL, number halshs-00324235.
• Iuliana Matei, 2008, "Prices and output co-movements : an empirical investigation for the CEECs," Post-Print, HAL, number halshs-00335025, Oct.
• Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2008, "Backtesting Value-at-Risk : A GMM Duration-based Test," Post-Print, HAL, number halshs-00363146, Nov.
• Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2008, "Backtesting Value-at-Risk : A GMM Duration-based Test," Post-Print, HAL, number halshs-00363165, Nov.
• Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2008, "Backtesting Value-at-Risk : A GMM Duration-based Test," Post-Print, HAL, number halshs-00363168, Nov.
• Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2008, "Backtesting Value-at-Risk: A GMM Duration-Based Test," Post-Print, HAL, number halshs-00364793.
• Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2008, "Backtesting Value-at-Risk: A GMM Duration-Based-Test," Post-Print, HAL, number halshs-00364796.
• Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2008, "Backtesting Value-at-Risk: A GMM Duration-Based Test," Post-Print, HAL, number halshs-00364797.
• Sandrine Levasseur, 2008, "Updating empirical evidence on business cycles synchronization between CEECs and euro area : how important is the recent period," Sciences Po Economics Publications (main), HAL, number hal-00973040, Apr.
• Sandrine Levasseur, 2008, "Updating empirical evidence on business cycles synchronization between CEECs and euro area : how important is the recent period," Working Papers, HAL, number hal-00973040, Apr.
• Aymen Belgacem, 2008, "L'impact des signaux de politique monétaire sur la rentabilité et la volatilité des actions du CAC 40," Working Papers, HAL, number hal-04140714.
• Christophe Hurlin & Gilbert Colletaz & Sessi Tokpavi & Bertrand Candelon, 2008, "Backtesting Value-at-Risk: A GMM Duration-Based Test," Working Papers, HAL, number halshs-00329495, Oct.
• Essahbi Essaadi & Mohamed Boutahar, 2008, "A Measure of Variability in Comovement for Economic Variables : a Time-Varying Coherence Function Approach," Working Papers, HAL, number halshs-00333582, Oct.
• Roberta Colavecchio & Michael Funke, 2008, "Volatility Transmission between Renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics, number 20803, Mar.
• Marc Gronwald & Michael Funke, 2008, "The undisclosed Renminbi Basket: are the markets telling us something about where the Renminbi - US Dollar Exchange Rate is going?," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics, number 20804, Apr.
• Michael Funke & Roberta Colavecchio, 2008, "Volatility Transmission between Renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics, number 20812, Dec.
• 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?," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics, number 20812b, Dec.
• Kruse, Robinson, 2008, "Rational bubbles and fractional integration," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-394, Mar.
• Kruse, Robinson, 2008, "A new unit root test against ESTAR based on a class of modified statistics," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-398, Apr.
• Kuswanto, Heri & Sibbertsen, Philipp, 2008, "A Study on "Spurious Long Memory in Nonlinear Time Series Models"," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-410, Nov.
• Jonas Dovern & Ulrich Fritsche, 2008, "Estimating fundamental cross-section dispersion from fixed event forecasts," Macroeconomics and Finance Series, University of Hamburg, Department of Socioeconomics, number 200801, May.
• Bask, Mikael & Widerberg, Anna, 2008, "Market Structure and the Stability and Volatility of Electricity Prices," Working Papers in Economics, University of Gothenburg, Department of Economics, number 327, Nov.
• Amado, Cristina & Teräsvirta, Timo, 2008, "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 691, Jan.
• Lundgren, Jens & Hellström, Jörgen & Rudholm, Niklas, 2008, "Multinational Electricity Market Integration and Electricity Price Dynamics," HUI Working Papers, HUI Research, number 16, Apr.
• Zagaglia, Paolo, 2008, "The Sources of Volatility Transmission in the Euro Area Money Market: From Longer Maturities to the Overnight?," Research Papers in Economics, Stockholm University, Department of Economics, number 2008:5, May.
• Söderberg, Jonas, 2008, "Liquidity on the Scandinavian Order-driven Stock Exchanges," CAFO Working Papers, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics, number 2009:11, Dec.
• Laurence Fung & Chi-sang Tam & Ip-wing Yu, 2008, "Changes in Investors' Risk Appetite - An Assessment of Financial Integration and Interdependence," Working Papers, Hong Kong Monetary Authority, number 0812, Aug.
• Maroje Lang & Davor Kunovac & Silvio Basač & Željka Štaudinger, 2008, "Modelling of Currency outside Banks in Croatia," Working Papers, The Croatian National Bank, Croatia, number 17, Feb.
• Keiko Yamaguchi, 2008, "Testing for the presence of noise in long memory processes [in Japanese]," Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number d07-230, Jan.
• Sarantis Tsiaplias & Chew Lian Chua, 2008, "Forecasting Australian Macroeconomic Variables Using a Large Dataset," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2008n04, Feb.
• Wang-Sheng Lee & Sandy Suardi, 2008, "The Australian Firearms Buyback and Its Effect on Gun Deaths," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2008n17, Aug.
• Wang-Sheng Lee & Sandy Suardi, 2008, "Minimum Wages and Employment: Reconsidering the Use of a Time-Series Approach as an Evaluation Tool," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2008n20, Oct.
• Christos Floros, 2008, "Long Memory In Exchange Rates: International Evidence," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 2, issue 1, pages 31-39.
• Fredj Jawadi & Mohamed El Hédi Arouri, 2008, "Are American And French Stock Markets Integrated?," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 2, issue 2, pages 107-116.
• Claudio Morana, 2008, "Realized portfolio selection in the euro area," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research, number 10-2008, Jun.
• Andrea Beltratti & Claudio Morana, 2008, "International shocks and national house prices," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research, number 14-2008, Jun.
• Claudio Morana, 2008, "Realized Betas and the Cross-Section of Expected Returns," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research, number 15-2008, Jun.
• Mednik, Matias & Rodríguez, César & Ruprah, Inder J., 2008, "Hysteresis in Unemployment: Evidence from Latin America," IDB Publications (Working Papers), Inter-American Development Bank, number 2902, Mar, DOI: http://dx.doi.org/10.18235/0011139.
• Matias Mednik & Cesar M. Rodriguez & Inder J. Ruprah, 2008, "Hysteresis in Unemployment:Evidence from Latin America," OVE Working Papers, Inter-American Development Bank, Office of Evaluation and Oversight (OVE), number 0408, Mar.
• Gollier, Christian & Koundouri, Phoebe & Pantelidis, Theologos, 2008, "Declining Discount Rates: Economic Justifications and Implications for Long-Run Policy," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 525, Jun.
• Costas Anyfantakis & Guglielmo Maria Caporale & Nikitas Pittis, 2008, "Parameter instability and forecasting performance: a Monte Carlo study," International Journal of Business Forecasting and Marketing Intelligence, Inderscience Enterprises Ltd, volume 1, issue 1, pages 1-20.
• Mariam Camarero & Juan Carlos Cuestas & Javier Ordonez, 2008, "Nonlinear trend stationarity of real exchange rates: the case of the Mediterranean countries," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, volume 1, issue 1, pages 30-46.
• Dominique Guégan & Justin Leroux, 2008, "Local Lyapunov exponents: Zero plays no role in Forecasting chaotic systems," Cahiers de recherche, HEC Montréal, Institut d'économie appliquée, number 08-10, Sep.
• Xiaohong Chen & Demian Pouzo, 2008, "Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP09/08, May.
• Xiaohong Chen & Roger Koenker & Zhijie Xiao, 2008, "Copula-based nonlinear quantile autoregression," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP27/08, Oct.
• Nezir KÖSE & Yeliz YALÇIN & Furkan EMİRMAHMUTOĞLU, 2008, "Türkiye turizm sektörünün talep analizi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 23, issue 263, pages 24-40.
• Juncal Cunado & Luis Alberiko Gil-Alana & Fernando Perez de Gracia, 2008, "New Evidence on US Current Account Sustainability," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 7, issue 1, pages 1-21, April.
• Yuan-Ming Lee & Kuan-Min Wang & T. Thanh-Binh Nguyen, 2008, "A Common-Use Proxy for Economic Performance: Application to Asymmetric Causality between the Stock Returns and Growth," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 7, issue 2, pages 101-124, August.
• Elizabeth A. Maharaj & Imad Moosa & Jonathan Dark & Param Silvapulle, 2008, "Wavelet Estimation of Asymmetric Hedge Ratios: Does Econometric Sophistication Boost Hedging Effectiveness?," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 7, issue 3, pages 213-230, December.
• YiHao Lai, 2008, "Does Asymmetric Dependence Structure Matter? A Value-at-Risk View," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 7, issue 3, pages 249-268, December.
• Mototsugu Shintani & Tomoyoshi Yabu & Daisuke Nagakura, 2008, "Spurious Regressions in Technical Trading: Momentum or Contrarian?," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 08-E-09, Jun.
• Till van Treeck, 2008, "Asymmetric income and wealth effects in a non-linear error correction model of US consumer spending," IMK Working Paper, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute, number 06-2008.
• Sven Schreiber & Juliane Scharff, 2008, "Evidence on the effects of inflation on price dispersion under indexation," IMK Working Paper, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute, number 12-2008.
• Cecilia Maya & Karoll Gómez, 2008, "What Exactly is "Bad News" in Foreign Exchange Markets? Evidence from Latin American Markets," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 45, issue 132, pages 161-183.
• Rodrigo A. Alfaro & Carmen Gloria Silva, 2008, "Volatilidad de Indices Accionarios: El caso del IPSA," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 45, issue 132, pages 217-233.
• Per-Ola Maneschiöld, 2008, "A Note on the Export-Led Growth Hypothesis: A Time Series Approach," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 45, issue 132, pages 293-302.
• Josep Lluís Carrion-i-Silvestre & Vicente German-Soto, 2008, "Panel Data Stochastic Convergence Analysis of the Mexican Regions," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 200805, Apr, revised Apr 2008.
• M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2008, "Estimating and Forecasting GARCH Volatility in the Presence of Outiers," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2008-13, Oct.
• Candelon, Bertrand & Dupuy, Arnaud & Gil-Alana, Luis A., 2008, "The Nature of Occupational Unemployment Rates in the United States: Hysteresis or Structural?," IZA Discussion Papers, IZA Network @ LISER, number 3571, Jun.
• Angrist, Joshua & Kuersteiner, Guido M., 2008, "Causal Effects of Monetary Shocks: Semiparametric Conditional Independence Tests with a Multinomial Propensity Score," IZA Discussion Papers, IZA Network @ LISER, number 3606, Jul.
• Philippe J. Deschamps, 2008, "Comparing smooth transition and Markov switching autoregressive models of US unemployment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 23, issue 4, pages 435-462, DOI: 10.1002/jae.1014.
• John M. Maheu & Stephen Gordon, 2008, "Learning, forecasting and structural breaks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 23, issue 5, pages 553-583, DOI: 10.1002/jae.1018.
• Ruhul A. Salim & Shuddhasattwa Rafiq & A. F. M. Kamrul Hassan, 2008, "Causality And Dynamics Of Energy Consumption And Output: Evidence From Non-Oecd Asian Countries," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, volume 33, issue 2, pages 1-26, December.
• Elsadig Musa Ahmed, 2008, "Foreign Direct Investment Intensity Effects On Tfp Intensity Of Asean 5 Plus 2," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, volume 33, issue 2, pages 155-166, December.
• Fitzenberger Bernd & Franz Wolfgang & Bode Oliver, 2008, "The Phillips Curve and NAIRU Revisited: New Estimates for Germany," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 228, issue 5-6, pages 465-496, October, DOI: 10.1515/jbnst-2008-5-605.
• Marie Diron, 2008, "Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data," Journal of Forecasting, John Wiley & Sons, Ltd., volume 27, issue 5, pages 371-390, DOI: 10.1002/for.1067.
• Ralf Brüggemann & Helmut Lütkepohl & Massimiliano Marcellino, 2008, "Forecasting euro area variables with German pre-EMU data," Journal of Forecasting, John Wiley & Sons, Ltd., volume 27, issue 6, pages 465-481, DOI: 10.1002/for.1064.
• Konrad Banachewicz & André Lucas, 2008, "Quantile forecasting for credit risk management using possibly misspecified hidden Markov models," Journal of Forecasting, John Wiley & Sons, Ltd., volume 27, issue 7, pages 566-586, DOI: 10.1002/for.1072.
• Hyndman, Rob J. & Khandakar, Yeasmin, 2008, "Automatic Time Series Forecasting: The forecast Package for R," Journal of Statistical Software, Foundation for Open Access Statistics, volume 27, issue i03, DOI: http://hdl.handle.net/10.18637/jss..
• Ted Juhl & Zhijie Xiao, 2008, "Tests For Changing Mean With Monotonic Power," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200809, Sep, revised Sep 2008.
• William Barnett & Evgeniya Aleksandrovna Duzhak, 2008, "Empirical Assessment of Bifurcation Regions within New Keynesian Models," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200811, Oct, revised Oct 2008.
• Danilo Santini & David Poyer, 2008, "Motor Vehicle Output and GDP, 1968–2007," Atlantic Economic Journal, Springer;International Atlantic Economic Society, volume 36, issue 4, pages 483-491, December, DOI: 10.1007/s11293-008-9139-5.
• Daiki Maki, 2008, "The Performance of Variance Ratio Unit Root Tests Under Nonlinear Stationary TAR and STAR Processes: Evidence from Monte Carlo Simulations and Applications," Computational Economics, Springer;Society for Computational Economics, volume 31, issue 1, pages 77-94, February, DOI: 10.1007/s10614-007-9107-1.
• Ahdi Ajmi & Adnen Ben Nasr & Mohamed Boutahar, 2008, "Seasonal Nonlinear Long Memory Model for the US Inflation Rates," Computational Economics, Springer;Society for Computational Economics, volume 31, issue 3, pages 243-254, April, DOI: 10.1007/s10614-007-9116-0.
• Guglielmo Caporale & Luis Gil-Alana, 2008, "Testing for unit and fractional orders of integration in the trend and seasonal components of US monetary aggregates," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 35, issue 3, pages 241-253, July, DOI: 10.1007/s10663-008-9061-8.
• Jarko Fidrmuc & Sylvia Kaufmann & Andreas Resch, 2008, "Structural breaks in Austrian foreign trade with Eastern Europe during the early 1970s," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 35, issue 5, pages 465-479, December, DOI: 10.1007/s10663-008-9068-1.
• Emanuele Bacchiocchi & Massimo Florio, 2008, "Privatisation and aggregate output: testing for macroeconomic transmission channels," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 35, issue 5, pages 525-545, December, DOI: 10.1007/s10663-008-9071-6.
• Marco Barassi & Matthew Cole & Robert Elliott, 2008, "Stochastic Divergence or Convergence of Per Capita Carbon Dioxide Emissions: Re-examining the Evidence," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, volume 40, issue 1, pages 121-137, May, DOI: 10.1007/s10640-007-9144-1.
• Allan Zebedee & Eric Bentzen & Peter Hansen & Asger Lunde, 2008, "The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 22, issue 1, pages 3-20, March, DOI: 10.1007/s11408-007-0068-0.
• François-Éric Racicot & Raymond Théoret & Alain Coën, 2008, "Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 14, issue 1, pages 112-124, February, DOI: 10.1007/s11294-008-9134-2.
• Paresh Narayan, 2008, "Common Trends and Common Cycles in Per Capita GDP: The Case of the G7 Countries, 1870–2001," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 14, issue 3, pages 280-290, August, DOI: 10.1007/s11294-008-9162-y.
• Maria do Rosario Correia & Reinhard Neck & Theodore Panagiotidis & Christian Richter, 2008, "An empirical investigation of the sustainability of the public deficit in Portugal," International Economics and Economic Policy, Springer, volume 5, issue 1, pages 209-223, July, DOI: 10.1007/s10368-008-0105-0.
• Andrew Hughes Hallett & Christian Richter, 2008, "Have the Eurozone economies converged on a common European cycle?," International Economics and Economic Policy, Springer, volume 5, issue 1, pages 71-101, July, DOI: 10.1007/s10368-008-0113-0.
• Eric Hillebrand & Gunther Schnabl, 2008, "A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility," International Economics and Economic Policy, Springer, volume 5, issue 4, pages 389-401, December, DOI: 10.1007/s10368-008-0121-0.
• Balazs Egert & Carol Leonard, 2008, "Dutch Disease Scare in Kazakhstan: Is it real?," Open Economies Review, Springer, volume 19, issue 2, pages 147-165, April, DOI: 10.1007/s11079-007-9051-7.
• Christian Hirschhausen & Anne Neumann, 2008, "Long-Term Contracts and Asset Specificity Revisited: An Empirical Analysis of Producer–Importer Relations in the Natural Gas Industry," Review of Industrial Organization, Springer;The Industrial Organization Society, volume 32, issue 2, pages 131-143, March, DOI: 10.1007/s11151-008-9165-0.
• Young Lee & Rodney Fort, 2008, "Attendance and the Uncertainty-of-Outcome Hypothesis in Baseball," Review of Industrial Organization, Springer;The Industrial Organization Society, volume 33, issue 4, pages 281-295, December, DOI: 10.1007/s11151-008-9193-9.
• Kenneth Lorek & G. Willinger & Allen Bathke, 2008, "Statistically based quarterly earnings expectation models for nonseasonal firms," Review of Quantitative Finance and Accounting, Springer, volume 31, issue 1, pages 105-119, July, DOI: 10.1007/s11156-007-0059-2.
• Jan-Egbert Sturm & Timo Wollmershäuser, 2008, "The Stress of Having a Single Monetary Policy in Europe," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 08-190, Feb, DOI: 10.3929/ethz-a-005552299.
• Jan P.A.M. Jacobs & Jan-Egbert Sturm, 2008, "The information content of KOF indicators on Swiss current account data revisions," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 08-202, Jan, DOI: 10.3929/ethz-a-005640680.
• Rasmus Fatum & Michael Hutchison & Thomas Wu, 2008, "Do Both U.S. and Foreign Macro Surprises Matter for the Intraday Exchange Rate? Evidence from Japan," EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics, number 2009-01, Nov, revised Jan 2009.
• Bent Nielsen & Heino Bohn Nielsen, 2008, "Properties of Estimated Characteristic Roots," Discussion Papers, University of Copenhagen. Department of Economics, number 08-13, May.
• Konstantinos Fokianos & Anders Rahbek & Dag Tjøstheim, 2008, "Poisson Autoregression," Discussion Papers, University of Copenhagen. Department of Economics, number 08-35, May, revised Dec 2008.
• Prof D.S.G. Pollock, 2008, "The Frequency Analysis of the Business Cycle," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 08/12, Apr.
• Prof D.S.G. Pollock, 2008, "The Realisation of Finite-Sample Frequency-Selective Filters," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 08/13, Apr.
• P.A.V.B. Swamy & George S. Tavlas & Stephen G. Hall & George Hondroyiannis, 2008, "Estimation of Parameters in the Presence of Model misspecification and Measurement Error," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 08/27, Aug.
• D.S.G. Pollock, 2008, "Realisations of Finite-Sample Frequency-Selective Filters," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 08/32, Sep.
• Gilbert COLLETAZ & Christophe HURLIN & Sessi TOKPAVI, 2008, "Backtesting Value-at-Risk: A GMM Duration-Based Test," LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans, number 266.
• GOLLIER Christian & KOUNDOURI Phoebe & PANTELIDIS Theologos, 2008, "Declining Discount Rates : Economic Justifications and Implications for Long-Run Policy," LERNA Working Papers, LERNA, University of Toulouse, number 08.17.261, Jul.
• Qaisar Abbas & James Foreman-Peck, 2008, "Human Capital and Economic Growth: Pakistan, 1960-2003," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, volume 13, issue 1, pages 1-27, Jan-Jun.
• Khalid Mushtaq & Abdul Gafoor & Maula Dad, 2008, "Apple Market Integration: Implications for Sustainable Agricultural Development," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, volume 13, issue 1, pages 129-138, Jan-Jun.
• Muhammad Arshad Khan & Abdul Qayyum, 2008, "Long-Run and Short-Run Dynamics of the Exchange Rate in Pakistan: Evidence FromUnrestricted Purchasing Power Parity Theory," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, volume 13, issue 1, pages 29-56, Jan-Jun.
• Falak Sher & Eatzaz Ahmad, 2008, "Forecasting Wheat Production in Pakistan," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, volume 13, issue 1, pages 57-85, Jan-Jun.
• Saima Siddiqui & Sameena Zehra & Sadia Majeed & Muhammad Sabihuddin Butt, 2008, "Export-Led Growth Hypothesis in Pakistan: A Reinvestigation Using the Bounds Test," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, volume 13, issue 2, pages 59-80, Jul-Dec.
• Muhammad Abdul Majid Makki & Suleman Aziz Lodhi, 2008, "Impact of Intellectual Capital Efficiency on Profitability (A Case Study of LSE25 Companies)," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, volume 13, issue 2, pages 81-98, Jul-Dec.
• Schlicht, Ekkehart, 2008, "Trend Extraction From Time Series With Structural Breaks and Missing Observations," Discussion Papers in Economics, University of Munich, Department of Economics, number 2127, Feb.
• Konstantins Benkovskis, 2008, "Short-Term Forecasts of Latvia's Real Gross Domestic Product Growth Using Monthly Indicators," Working Papers, Latvijas Banka, number 2008/05, Sep.
• S. Boragan Aruoba, 2008, "Data Revisions Are Not Well Behaved," Journal of Money, Credit and Banking, Blackwell Publishing, volume 40, issue 2-3, pages 319-340, March.
• Don Bredin & Stilianos Fountas, 2008, "Macroeconomic Uncertainty and Performance in the European Union and Implications for the objectives of Monetary Policy," Discussion Paper Series, Department of Economics, University of Macedonia, number 2008_01, Jan, revised Jan 2008.
• Theodore Panagiotidis, 2008, "Market Efficiency and the Euro: The case of the Athens Stock exchange," Discussion Paper Series, Department of Economics, University of Macedonia, number 2008_14, Dec, revised Dec 2008.
• Stilianos Fountas & Menelaos Karanasos, 2008, "Are economic growth and the variability of the business cycle related ? Evidence from five European countries," Discussion Paper Series, Department of Economics, University of Macedonia, number 2008_17, Dec, revised Dec 2008.
• Panagiotis Th. Konstantinou, 2008, "Adjustment of US External Imbalances: At What Horizon?," Discussion Paper Series, Department of Economics, University of Macedonia, number 2008_18, Dec, revised Dec 2008.
• Theologos Dergiades & Lefteris Tsoulfidis, 2008, "Estimating Residential Demand for Electricity in the United States, 1965-2006," Discussion Paper Series, Department of Economics, University of Macedonia, number 2008_19, Mar, revised Apr 2008.
• Timotheos Angelidis & Alexandros Benos, 2008, "Value-at-Risk for Greek Stocks," Multinational Finance Journal, Multinational Finance Journal, volume 12, issue 1-2, pages 67-104, March-Jun.
• James Ang & Kunal Sen, 2008, "Private Saving In India And Malaysia Compared: The Role Of Financial Liberalization And Expected Pension Benefits," Monash Economics Working Papers, Monash University, Department of Economics, number 13/08, Jun.
• Tuck Cheong Tang & Evan Lau, 2008, "An Empirical Investigation On The Sustainability Of Balancing Item Of Balance Of Payment Accounts For Oic Member Countries," Monash Economics Working Papers, Monash University, Department of Economics, number 31/08, Nov.
• Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2008, "Testing fractional order of long memory processes: a Monte Carlo study," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08012, Feb, DOI: 10.1080/03610911003646381.
• Abdou Ka Diongue & Dominique Guegan, 2008, "The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08013, Feb.
• Dominique Guegan & Justin Leroux, 2008, "Forecasting chaotic systems: the role of local Lyapunov exponents," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08014, Feb, revised Sep 2008, DOI: 10.1016/j.chaos.2008.09.017.
• Laurent Ferrara & Thomas Raffinot, 2008, "A non-parametric method to nowcast the Euro Area IPI," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08033, Apr.
• Laurent Ferrara & Dominique Guegan, 2008, "Business surveys modelling with seasonal-cyclical long memory models," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08035, May.
• Christophe Chorro & Dominique Guegan & Florian Ielpo, 2008, "Option pricing under GARCH models with generalized hyperbolic innovations (II): data and results," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08047, Jul.
• Mathieu Gatumel & Dominique Guegan, 2008, "Dynamic analysis of the insurance linked securities index," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08049, Sep.
• Laurent Ferrara & Dominique Guegan & Patrick Rakotomarolahy, 2008, "GDP nowcasting with ragged-edge data: A semi-parametric modelling," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08082, Nov, revised Nov 2009, DOI: 10.1002/for.1159.
• Iuliana Matei, 2008, "Prices and output co-movements: an empirical investigation for the CEECs," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number bla08061, Oct.
• Ibrahim Ahamada & Philippe Jolivaldt, 2008, "Wavelets unit root test vs DF test: A further investigation based on monte carlo experiments," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number v08032, Mar.
• George Athanasopoulos & Rob J Hyndman & Haiyan Song & Doris C Wu, 2008, "The tourism forecasting competition," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 10/08, Dec, revised Oct 2009.
• Jae H. Kim & Haiyang Song & Kevin Wong & George Athanasopoulos & Shen Liu, 2008, "Beyond point forecasting: evaluation of alternative prediction intervals for tourist arrivals," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 11/08, Dec, revised Oct 2009.
• Luc Dresse & Christophe Van Nieuwenhuyze, 2008, "Do survey indicators let us see the business cycle ? A frequency decomposition," Working Paper Research, National Bank of Belgium, number 131, Mar.
• Yacine Ait-Sahalia & Jialin Yu, 2008, "High Frequency Market Microstructure Noise Estimates and Liquidity Measures," NBER Working Papers, National Bureau of Economic Research, Inc, number 13825, Feb.
• Jon Faust & Jonathan H. Wright, 2008, "Efficient Prediction of Excess Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 14169, Jul.
• S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2008, "Real-Time Measurement of Business Conditions," NBER Working Papers, National Bureau of Economic Research, Inc, number 14349, Sep.
• Olivier Coibion & Yuriy Gorodnichenko, 2008, "Monetary Policy, Trend Inflation and the Great Moderation: An Alternative Interpretation," NBER Working Papers, National Bureau of Economic Research, Inc, number 14621, Dec.
• Juan Carlos Cuestas & Dean Garratt, 2008, "Is real GDP per capita a stationary process? Smooth transitions, nonlinear trends and unit root testing," NBS Discussion Papers in Economics, Economics, Nottingham Business School, Nottingham Trent University, number 2008/12, Jul.
• Juan Carlos Cuestas & Barry Harrison, 2008, "Testing for stationarity of inflation in Central and Eastern European Countries," NBS Discussion Papers in Economics, Economics, Nottingham Business School, Nottingham Trent University, number 2008/13, Sep.
• Juan Carlos Cuestas & Paulo Jose Regis, 2008, "Nonlinearities and the order of integration of oil prices," NBS Discussion Papers in Economics, Economics, Nottingham Business School, Nottingham Trent University, number 2008/15, Sep.
• Simeon Coleman, 2008, "Inflation persistence in the Franc Zone: evidence from disaggregated prices," NBS Discussion Papers in Economics, Economics, Nottingham Business School, Nottingham Trent University, number 2008/16, Nov.
• Cristina Amado & Timo Teräsvirta, 2008, "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," NIPE Working Papers, NIPE - Universidade do Minho, number 03/2008.
• Vasco J. Gabriel & Paul Levine & Christopher Spencer, 2008, "How forward-looking is the Fed? Direct estimates from a ‘Calvo-type’ rule," NIPE Working Papers, NIPE - Universidade do Minho, number 09/2008.