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

• Ralf Becker & Adam Clements & James Curchin, 2007, "Does implied volatility reflect a wider information set than econometric forecasts?," NCER Working Paper Series, National Centre for Econometric Research, number 15, May.
• Ralf Becker & Adam Clements, 2007, "Are combination forecasts of S&P 500 volatility statistically superior?," NCER Working Paper Series, National Centre for Econometric Research, number 17, Jun.
• Ralf Becker & Adam Clements, 2007, "Forecasting stock market volatility conditional on macroeconomic conditions," NCER Working Paper Series, National Centre for Econometric Research, number 18, Jun.
• Paul Castillo & Alberto Humala & Vicente Tuesta, 2007, "Monetary Policy, Regime Shifts, and Inflation Uncertainty in Peru (1949-2006)," Working Papers, Banco Central de Reserva del Perú, number 2007-005, Mar.
• Rodriguez Gabriel, 2007, "Application of Three Alternative Approaches to Identify Business Cycles in Peru," Working Papers, Banco Central de Reserva del Perú, number 2007-007, May.
• Marco Di Domizio, 2007, "La domanda di calcio in Italia: serie A 1962-2006," Rivista di Diritto ed Economia dello Sport, Centro di diritto e business dello Sport, volume 3, issue 1, pages 71-90, Maggio.
• Shuangzhe Liu & Tiefeng Ma & Wolfgang Polasek, 2013, "Spatial System Estimators for Panel Models: A Sensitivity and Simulation Study," Working Paper series, Rimini Centre for Economic Analysis, number 05_13, Jan.
• Theodore Panagiotidis & Gianluigi Pelloni, 2007, "Non-Linearity In The Canadian And Us Labour Markets: Univariate And Multivariate Evidence From A Battery Of Tests," Working Paper series, Rimini Centre for Economic Analysis, number 06_07, Jul.
• Zhongfang He & John M. Maheu, 2009, "Real Time Detection of Structural Breaks in GARCH Models," Working Paper series, Rimini Centre for Economic Analysis, number 11_09, Jan.
• John M. Maheu & Yong Song, 2012, "A New Structural Break Model with Application to Canadian Inflation Forecasting," Working Paper series, Rimini Centre for Economic Analysis, number 27_12, Jun.
• Deborah Gefang & Gary Koop & Simon M. Potter, 2010, "Understanding Liquidity and Credit Risks in the Financial Crisis," Working Paper series, Rimini Centre for Economic Analysis, number 45_10, Jan.
• Shuangzhe Liu & Tiefeng Ma & Wolfgang Polasek, 2012, "Spatial System Estimators for Panel Models: A Sensitivity and Simulation Study," Working Paper series, Rimini Centre for Economic Analysis, number 75_12, Nov.
• Marcelo Fernandes & Marcelo Cunha Medeiros & MArcelo Scharth, 2007, "Modeling and predicting the CBOE market volatility index," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 548, Aug.
• Duo Qin & Marie Anne Cagas & Geoffrey Ducanes & Nedelyn Magtibay-Ramos & Pilipinas F. Quising, 2007, "Measuring Regional Market Integration in Developing Asia: a Dynamic Factor Error Correction Model (DF-ECM) Approach," Working Papers on Regional Economic Integration, Asian Development Bank, number 8, May.
• Lev Slutskin, 2007, "Stability Tests for Linear Regression Models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 6, issue 2, pages 126-135.
• James W. Saunoris & James E. Payne, 2007, "New evidence on modeling the Phillips Curve and time-varying volatility," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 60, issue 3, pages 355-364.
• Tiru K. Jayaraman & Baljeet Singh, 2007, "Impact of Foreign Direct Investment on Employment in Pacifi c Island Countries: An Empirical Study of Fiji," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 60, issue 1, pages 57-74.
• Bettina Becker & Stephen Hall, 2007, "Measuring convergence of the new member countries’ exchange rates to the euro," Journal of Financial Transformation, Capco Institute, volume 19, pages 20-25.
• Dobrescu, Emilian, 2007, "Double Conditioned Potential Output," Working Papers of Institute for Economic Forecasting, Institute for Economic Forecasting, number 070701, Jul.
• Donal Bredin & Stilianos Fountas, 2007, "Is macroeconomic uncertainty bad for macroeconomic performance? Evidence from five Asian countries," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1178, Mar.
• Christian Macaro, 2007, "The Impact of Vintage on the Persistence of Gross Domestic Product Shocks," CEIS Research Paper, Tor Vergata University, CEIS, number 101, May.
• Tommaso Proietti, 2007, "Band Spectral Estimation for Signal Extraction," CEIS Research Paper, Tor Vergata University, CEIS, number 104, May.
• Reetu Verma, 2007, "Savings, Investment and Growth in India," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, volume 8, issue 1, pages 87-98, January, DOI: 10.1177/139156140600800105.
• Mohammed Nur & Albert Wijeweera & Brian Dollery, 2007, "Estimation of the Export Demand Function using Bilateral Trade Data," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, volume 8, issue 2, pages 249-264, December, DOI: 10.1177/139156140700800204.
• Andrea Mervar & James E. Payne, 2007, "Analysis of Foreign Tourism Demand for Croatian Destinations: Long-Run Elasticity Estimates," Tourism Economics, , volume 13, issue 3, pages 407-420, September, DOI: 10.5367/000000007781497764.
• Caporale Guglielmo Maria & Kontonikas Alexandros, 2007, "The Euro and Inflation Uncertainty in the European Monetary Union," CELPE Discussion Papers, CELPE - CEnter for Labor and Political Economics, University of Salerno, Italy, number 101, Jul.
• Muhammad Arif, 2007, "Developing Bond Market in Pakistan," SBP Research Bulletin, State Bank of Pakistan, Research Department, volume 3, pages 129-157.
• Zulfiqar Hyder & Muhammad Mazhar Khan, 2007, "Monetary Conditions Index for Pakistan," SBP Research Bulletin, State Bank of Pakistan, Research Department, volume 3, pages 165-190.
• Eva Gutierrez, 2007, "Export Performance and External Competitiveness in the Former Yugoslav Republic of Macedonia," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, volume 5, issue 2, pages 203-224.
• Andrew Hughes Hallett & Christian R. Richter, 2007, "Time Varying Cyclical Analysis for Economies in Transition," CASE Network Studies and Analyses, CASE-Center for Social and Economic Research, number 0334.
• Patrick Richard, 2007, "ARMA Sieve bootstrap unit root tests," Cahiers de recherche, Departement d'économique de l'École de gestion à l'Université de Sherbrooke, number 07-05, revised Jul 2009.
• Patrick Richard, 2007, "GLS Bias Correction for Low Order ARMA models," Cahiers de recherche, Departement d'économique de l'École de gestion à l'Université de Sherbrooke, number 07-19.
• Chao-Chun Chen & Wen-Jen Tsay, 2007, "Estimating Markov-Switching ARMA Models with Extended Algorithms of Hamilton," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 07-A009, Oct.
• Jun Yu, 2007, "Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-06-2008, Apr, revised Oct 2008.
• Katrin Assenmacher & Stefan Gerlach & Toshitaka Sekine, 2007, "Monetary Factors and Inflation in Japan," Working Papers, Swiss National Bank, number 2007-13.
• Dennis Gaertner, 2007, "Why Bayes Rules: A Note on Bayesian vs. Classical Inference in Regime Switching Models," SOI - Working Papers, Socioeconomic Institute - University of Zurich, number 0719, Dec.
• Andros Gregoriou & Christos Ioannidis, 2007, "Generalized method of moments and present value tests of the consumption-capital asset pricing model under transactions costs: evidence from the UK stock market," Empirical Economics, Springer, volume 32, issue 1, pages 19-39, April, DOI: 10.1007/s00181-006-0070-9.
• Mark Trede & Bernd Wilfling, 2007, "Estimating exchange rate dynamics with diffusion processes: an application to Greek EMU data," Empirical Economics, Springer, volume 33, issue 1, pages 23-39, July, DOI: 10.1007/s00181-006-0081-6.
• Taizhong Hu & Ying Li, 2007, "Increasing failure rate and decreasing reversed hazard rate properties of the minimum and maximum of multivariate distributions with log-concave densities," Metrika: International Journal for Theoretical and Applied Statistics, Springer, volume 65, issue 3, pages 325-330, May, DOI: 10.1007/s00184-006-0079-2.
• Bradley Ewing & Jamie Kruse & Yongsheng Wang, 2007, "Local housing price index analysis in wind-disaster-prone areas," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, volume 40, issue 2, pages 463-483, February, DOI: 10.1007/s11069-006-9005-1.
• Josep Carrion-i-Silvestre & Andreu Sansó, 2007, "The KPSS test with two structural breaks," Spanish Economic Review, Springer;Spanish Economic Association, volume 9, issue 2, pages 105-127, June, DOI: 10.1007/s10108-006-9017-8.
• Apostolos Serletis, 2007, "The Welfare Cost of Inflation," Springer Books, Springer, chapter 0, "The Demand for Money", DOI: 10.1007/978-0-387-71727-2_6.
• Khurshid M. Kiani, 2007, "Stock Returns Predictability in Transition Economies," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), volume 14, issue 1, pages 93-104, May, DOI: 10.1007/s11300-007-0135-2.
• Rainer Thiele & Peter Nunnenkamp & Axel Dreher, 2007, "Do Donors Target Aid in Line with the Millennium Development Goals? A Sector Perspective of Aid Allocation," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 143, issue 4, pages 596-630, December, DOI: 10.1007/s10290-007-0124-x.
• Arvid Raknerud & Terje Skjerpen & Anders Rygh Swensen, 2007, "Forecasting key macroeconomic variables from a large number of predictors: A state space approach," Discussion Papers, Statistics Norway, Research Department, number 504, May.
• Erling Røed Larsen & Steffen Weum, 2007, "Home, Sweet Home or Is It - Always? Testing the Efficiency of the Norwegian Housing Market," Discussion Papers, Statistics Norway, Research Department, number 506, Jun.
• Robert Kohn & Rachida Ouysse, 2007, "Bayesian Variable Selection of Risk Factors in the APT Model," Discussion Papers, School of Economics, The University of New South Wales, number 2007-32, Oct.
• Claudio Morana, 2007, "A structural common factor approach to core inflation estimation and forecasting," Applied Economics Letters, Taylor & Francis Journals, volume 14, issue 3, pages 163-169, DOI: 10.1080/13504850500425147.
• Stanislav Anatolyev & Dmitry Shakin, 2007, "Trade intensity in the Russian stock market: dynamics, distribution and determinants," Applied Financial Economics, Taylor & Francis Journals, volume 17, issue 2, pages 87-104, DOI: 10.1080/09603100600606123.
• Kurt Brannas & Ola Simonsen, 2007, "Discretized time and conditional duration modelling for stock transaction data," Applied Financial Economics, Taylor & Francis Journals, volume 17, issue 8, pages 647-658, DOI: 10.1080/09603100600690044.
• Nasri Harb, 2007, "Trade between Euro zone and Arab countries: a panel study," Applied Economics, Taylor & Francis Journals, volume 39, issue 16, pages 2099-2107, DOI: 10.1080/00036840600722307.
• Robert-Paul Berben, 2007, "Does stock market uncertainty impair the use of monetary indicators in the euro area?," Applied Economics, Taylor & Francis Journals, volume 39, issue 1, pages 13-23, DOI: 10.1080/00036840600903436.
• Giancarlo Marini & Alessandro Piergallini & Pasquale Scaramozzino, 2007, "Inflation bias after the Euro: evidence from the UK and Italy," Applied Economics, Taylor & Francis Journals, volume 39, issue 4, pages 461-470, DOI: 10.1080/00036840500438962.
• Markku Lanne & Saikkonen Pentti, 2007, "Modeling Conditional Skewness in Stock Returns," The European Journal of Finance, Taylor & Francis Journals, volume 13, issue 8, pages 691-704, DOI: 10.1080/13518470701538608.
• Christian Gianella & Corinne Chanteloup, 2007, "Assessing Russia's Non-fuel Trade Elasticities: Does the Russian Economy React 'Normally' to Exchange Rate Movements?," Post-Communist Economies, Taylor & Francis Journals, volume 19, issue 2, pages 153-166, DOI: 10.1080/14631370701312063.
• Roberto Martínez-Espiñeira, 2007, "An Estimation of Residential Water Demand Using Co-Integration and Error Correction Techniques," Journal of Applied Economics, Taylor & Francis Journals, volume 10, issue 1, pages 161-184, May, DOI: 10.1080/15140326.2007.12040486.
• Michael Beenstock & Daniel Felsenstein, 2007, "Spatial Vector Autoregressions," Spatial Economic Analysis, Taylor & Francis Journals, volume 2, issue 2, pages 167-196, DOI: 10.1080/17421770701346689.
• Mubariz Hasanov & Tolga Omay, 2007, "Are the Transition Stock Markets Efficient? Evidence from Non-Linear Unit Root Tests," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 7, issue 2, pages 1-12.
• Adnan Kasman & Erdost Torun, 2007, "Long Memory in the Turkish Stock Market Return and Volatility," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 7, issue 2, pages 13-27.
• Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2007, "Economic Base Multipliers Revisited," Trinity Economics Papers, Trinity College Dublin, Department of Economics, number tep0807, Jun.
• Konrad Banachewicz & André Lucas, 2007, "Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 07-046/2, Jun.
• Cizek, P., 2007, "Robust and Efficient Adaptive Estimation of Binary-Choice Regression Models," Discussion Paper, Tilburg University, Center for Economic Research, number 2007-12.
• Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2007, "Note on Integer-Valued Bilinear Time Series Models," Discussion Paper, Tilburg University, Center for Economic Research, number 2007-47.
• Cizek, P. & Haerdle, W. & Spokoiny, V., 2007, "Adaptive Pointwise Estimation in Time-Inhomogeneous Time-Series Models," Discussion Paper, Tilburg University, Center for Economic Research, number 2007-35.
• Cizek, P., 2007, "Efficient Robust Estimation of Time-Series Regression Models," Discussion Paper, Tilburg University, Center for Economic Research, number 2007-95.
• Cizek, P., 2007, "Efficient Robust Estimation of Regression Models (Revision of DP 2006-08)," Discussion Paper, Tilburg University, Center for Economic Research, number 2007-87.
• Cizek, P., 2007, "Robust and Efficient Adaptive Estimation of Binary-Choice Regression Models," Other publications TiSEM, Tilburg University, School of Economics and Management, number 09af7c4a-65bd-4684-855b-e.
• Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2007, "Note on Integer-Valued Bilinear Time Series Models," Other publications TiSEM, Tilburg University, School of Economics and Management, number 4eb72bc4-4b8b-45a9-b97c-7.
• Cizek, P. & Haerdle, W. & Spokoiny, V., 2007, "Adaptive Pointwise Estimation in Time-Inhomogeneous Time-Series Models," Other publications TiSEM, Tilburg University, School of Economics and Management, number a797e4a8-12cf-4ac5-9fae-b.
• John M Maheu & Thomas H McCurdy, 2007, "Modeling foreign exchange rates with jumps," Working Papers, University of Toronto, Department of Economics, number tecipa-279, Feb.
• John M Maheu & Stephen Gordon, 2007, "Learning, Forecasting and Structural Breaks," Working Papers, University of Toronto, Department of Economics, number tecipa-284, Mar.
• Chun Liu & John M Maheu, 2007, "Are there Structural Breaks in Realized Volatility?," Working Papers, University of Toronto, Department of Economics, number tecipa-304, Dec.
• 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," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, volume 26, pages 35-50.
• Katrin Assenmacher-Wesche & Stefan Gerlach, 2007, "Money at Low Frequencies," Journal of the European Economic Association, MIT Press, volume 5, issue 2-3, pages 534-542, 04-05.
• Colin A. Carter & Aaron Smith, 2007, "Estimating the Market Effect of a Food Scare: The Case of Genetically Modified StarLink Corn," The Review of Economics and Statistics, MIT Press, volume 89, issue 3, pages 522-533, August.
• László Kónya & Jai Pal Singh, 2007, "Causality between Indian Exports, Imports, and Agricultural, Manufacturing GDP," Working Papers, School of Economics, La Trobe University, number 2007.02.
• Tiia P¸ss & Mare Viies & Reet Maldre, 2007, "Convergence Analysis of the Structure of Tax Revenue and Tax Burden in EU," Working Papers, Tallinn School of Economics and Business Administration, Tallinn University of Technology, number 166.
• Sandra E. Black & Paul Devereux & Kjell G. Salvanes, 2007, "From the Cradle to the Labor Market? The Effect of Birth Weight on Adult Outcomes," Working Papers, Geary Institute, University College Dublin, number 200718, Jun.
• D. (Derek) Bond & Michael J. Harrison & Edward J. (Edward Joseph) O'Brien, 2007, "Modelling Ireland’s exchange rates : from EMS to EMU," Working Papers, School of Economics, University College Dublin, number 200718, Nov.
• Jun Ma & Charles Nelson & Richard Startz, 2007, "Spurious Inference in the GARCH(1,1) Model When It Is Weakly Identified," Working Papers, University of Washington, Department of Economics, number UWEC-2006-14-P, Mar, revised Mar 2007.
• David Veredas, 2007, "Macro Surprises and short-term behavior in bond futures," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/136236.
• Erik Lueth & Marta Ruiz-Arranz, 2007, "Are workers' remittances a hedge against macroeconomic shocks? The case of Sri Lanka," Asia-Pacific Development Journal, United Nations Economic and Social Commission for Asia and the Pacific (ESCAP), volume 14, issue 1, pages 25-39, June.
• Rainer Thiele & Peter Nunnenkamp & Axel Dreher, 2007, "Do Donors Target Aid in Line with the Millennium Development Goals?: A Sector Perspective of Aid Allocation," WIDER Working Paper Series, World Institute for Development Economic Research (UNU-WIDER), number DP2007-04.
• Patrick Guillaumont & Sylviane Guillaumont Jeanneney, 2007, "Big Push versus Absorptive Capacity: How to Reconcile the Two Approaches," WIDER Working Paper Series, World Institute for Development Economic Research (UNU-WIDER), number DP2007-05.
• Jayanthakumaran, Kankesu & Lee, Shao-Wei, 2007, "An initial push for successful transition from import substitution to export-orientation in Taiwan and China: The FDI-led hypothesis," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia, number wp07-03.
• Chowdhury, Khorshed & Saleh, Ali Salman, 2007, "Testing the Keynesian Proposition of Twin Deficits in the Presence of Trade Liberalisation: Evidence from Sri Lanka after War: the case of a bridge too far?," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia, number wp07-09.
• Chowdhury, Khorshed, 2007, "Balassa-Samuelson Effect Approaching Fifty Years: Is it Retiring Early in Australia?," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia, number wp07-11.
• Chancharat,Surachai & Valadkhani, Abbas, 2007, "Testing for the Random Walk Hypothesis and Structural Breaks in International Stock Prices," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia, number wp07-15.
• Francisco Peñaranda & Jón Daníelsson, 2007, "On the impact of fundamentals, liquidity and coordination on market stability," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1003, Jan, revised Mar 2010.
• Fulvio Corsi & Francesco Audrino, 2007, "Realized Correlation Tick-by-Tick," University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen, number 2007-02, Jan.
• Francesco Audrino & Peter Bühlmann, 2007, "Splines for Financial Volatility," University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen, number 2007-11, Apr.
• Korenok Oleg, 2007, "Bayesian Methods in Nonlinear Time Series," Working Papers, VCU School of Business, Department of Economics, number 0703, Mar.
• Silvestro Di Sanzo, 2007, "Forecasting Time Series with Long Memory and Level Shifts, A Bayesian Approach," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2007_03.
• Monica Billio & Massimiliano Caporin, 2007, "Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2007_18.
• Monica Billio & Roberto Casarin & Domenico Sartore, 2007, "Bayesian Inference on Dynamic Models with Latent Factors," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2007_34.
• Qian Chen & David E. Giles, 2007, "A Saddlepoint Approximation to the Distribution of the Half-Life Estimator in an Autoregressive Model: New Insights Into the PPP Puzzle," Econometrics Working Papers, Department of Economics, University of Victoria, number 0703, May.
• Mark J. Holmes & Brian Silverstone, 2007, "Business Confidence and Cyclical Turning Points: A Markov-Switching Approach," Working Papers in Economics, University of Waikato, number 07/19, Sep.
• Balazs Egert, 2007, "Real Convergence, Price Level Convergence and Inflation Differentials in Europe," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp895, Nov.
• Tigran Poghosyan & Evzen Kocenda, 2007, "Macroeconomic Sources of Foreign Exchange Risk in New EU Members," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp898, Nov.
• Diego Romero‐Ávila, 2007, "Unit roots and persistence in the nominal interest rate: a confirmatory analysis applied to the OECD," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, volume 40, issue 3, pages 980-1007, August, DOI: 10.1111/j.1365-2966.2007.00439.x.
• Andreas Röthig & Carl Chiarella, 2007, "Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 27, issue 8, pages 719-737, August.
• Giulietti, Monica & Otero, Jesus & Smith, Jeremy, 2007, "Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 784.
• Giulietti, Monica & Otero, Jesus & Waterson, Michael, 2007, "Pricing behaviour under competition in the UK electricity supply industry," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 790.
• Apostolos Serletis, 2007, "Unit Root Behavior in Energy Futures Prices," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, "Quantitative And Empirical Analysis Of Energy Markets".
• Paola Zerilli, 2007, "Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis," Discussion Papers, Department of Economics, University of York, number 07/08, May.
• Vito Polito & Mike Wickens, 2007, "Measuring the Fiscal Stance," Discussion Papers, Department of Economics, University of York, number 07/14, Jun.
• Égert, Balázs & Leonard, Carol S., 2007, "Dutch desease scare in Kazakhstan: is it real?," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 9/2007.
• Colavecchio, Roberta & Funke, Michael, 2007, "Volatility dependence across Asia-Pacific on-shore and off-shore U.S.dollar futures markets," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 17/2007.
• Mehrotra, Aaron & Peltonen, Tuomas & Santos Rivera, Alvaro, 2007, "Modelling inflation in China: a regional perspective," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 19/2007.
• Funke, Michael & Gronwald, Marc, 2007, "The undisclosed renminbi basket: are the markets telling us something about where the renminbi - US dollar exchange rate is going?," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 20/2007.
• Laakkonen, Helinä, 2007, "Exchange rate volatility, macro announcements and the choice of intraday sasonality filtering method," Bank of Finland Research Discussion Papers, Bank of Finland, number 23/2007.
• Hasko, Harri, 2007, "Some unpleasant fiscal arithmetic: the role of monetary and fiscal policy in public debt dynamics since the 1970s," Bank of Finland Research Discussion Papers, Bank of Finland, number 28/2007.
• Archontakis, Theofanis & Lemke, Wolfgang, 2007, "Threshold dynmamics of short-term interest rates: empirical evidence and implications for the term structure," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2007,02.
• Herwartz, Helmut, 2007, "A note on model selection in (time series) regression models - General-to-specific or specific-to-general?," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2007-09.
• Lee, Hwa-Taek & Yoon, Gawon, 2007, "Does Purchasing Power Parity Hold Sometimes? Regime Switching in Real Exchange Rates," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2007-24.
• Feng, Yuanhua & Beran, Jan & Yu, Keming, 2007, "Modelling financial time series with SEMIFAR-GARCH model," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 07/14.
• Cremers, Heinz & Walzner, Jens, 2007, "Risikosteuerung mit Kreditderivaten unter besonderer Berücksichtigung von Credit Default Swaps," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 80.
• Klasen, Stephan & Herzer, Dierk & Nowak-Lehmann D., Felicitas, 2007, "In search of FDI-led growth in developing countries," Proceedings of the German Development Economics Conference, Göttingen 2007, Verein für Socialpolitik, Research Committee Development Economics, number 14.
• Qin, Duo, 2007, "Uncover Latent PPP by Dynamic Factor Error Correction Model (DF-ECM) Approach: Evidence from five OECD countries," Economics Discussion Papers, Kiel Institute for the World Economy, number 2007-29.
• Thiele, Rainer & Nunnenkamp, Peter & Dreher, Axel, 2007, "Do donors target aid in line with the millennium development goals? A sector perspective of aid allocation," Open Access Publications from Kiel Institute for the World Economy, Kiel Institute for the World Economy, number 4164, DOI: 10.1007/s10290-007-0124-x.
• Curto Millet, Fabien, 2007, "Inflation Expectations, the Phillips Curve and Monetary Policy," Kiel Working Papers, Kiel Institute for the World Economy, number 1339.
• Fitzenberger, Bernd & Franz, Wolfgang & Bode, Oliver, 2007, "The Phillips Curve and NAIRU Revisited: New Estimates for Germany," Kiel Working Papers, Kiel Institute for the World Economy, number 1344.
• Kromphardt, Jürgen & Logeay, Camille, 2007, "Changes in the Balance of Power Between the Wage and Price Setters and the Central Bank: Consequences for the Phillips Curve and the NAIRU," Kiel Working Papers, Kiel Institute for the World Economy, number 1354.
• Rickels, Wilfried & Duscha, Vicki & Keller, Andreas & Peterson, Sonja, 2007, "The determinants of allowance prices in the European emissions trading scheme: Can we expect an efficient allowance market 2008?," Kiel Working Papers, Kiel Institute for the World Economy, number 1387.
• Assenmacher-Wesche, Katrin & Gerlach, Stefan & Sekine, Toshitaka, 2007, "Monetary factors and inflation in Japan," IMFS Working Paper Series, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS), number 13.
• Knedlik, Tobias & Scheufele, Rolf, 2007, "Three methods of forecasting currency crises: Which made the run in signaling the South African currency crisis of June 2006?," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 17/2007.
• Karanasos, Menelaos & Schurer, Stefanie, 2007, "Is the Relationship Between Inflation and its Uncertainty Linear?," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 18.
• Fischer, Matthias J., 2007, "Are correlations constant over time? Application of the CC-TRIGt-test to return series from different asset classes," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-012.
• Tsay, Wen-Jen & Härdle, Wolfgang Karl, 2007, "A generalized ARFIMA process with Markov-switching fractional differencing parameter," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-022.
• Bauwens, Luc & Hautsch, Nikolaus, 2007, "Modelling financial high frequency data using point processes," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-066.
• Fitzenberger, Bernd & Franz, Wolfgang & Bode, Oliver, 2007, "The Phillips Curve and NAIRU Revisited: New Estimates for Germany," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 07-070.
• Linzert, Tobias & Schmidt, Sandra, 2007, "What Explains the Spread Between the Euro Overnight Rate and the ECB's Policy Rate?," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 07-076.
• Michael Artis & Jos� G. Clavel & Mathias Hoffmann & Dilip Nachane, 2007, "Harmonic Regression Models: A Comparative Review with Applications," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 333, Sep.
• Daniel Waldenstr�m & Bruno S. Frey, 2007, "Did Nordic Countries Recognize the Gathering Storm of World War II? Evidence from the Bond Markets," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 336, Oct.

2006

• Olivier Bandt & Catherine Bruneau & Alexis Flageollet, 2006, "Assessing Aggregate Comovements in France, Germany and Italy Using a Non Stationary Factor Model of the Euro Area," Springer Books, Springer, "Convergence or Divergence in Europe?", DOI: 10.1007/3-540-32611-1_7.
• Jürgen Wolters & Uwe Hassler, 2006, "Unit Root Testing," Springer Books, Springer, chapter 4, in: Olaf Hübler & Jachim Frohn, "Modern Econometric Analysis", DOI: 10.1007/3-540-32693-6_4.
• Uwe Hassler & Jürgen Wolters, 2006, "Autoregressive Distributed Lag Models and Cointegration," Springer Books, Springer, chapter 5, in: Olaf Hübler & Jachim Frohn, "Modern Econometric Analysis", DOI: 10.1007/3-540-32693-6_5.
• Giancarlo Bruno & Edoardo Otranto, 2006, "The choice of time interval in seasonal adjustment: A heuristic approach," Statistical Papers, Springer, volume 47, issue 3, pages 393-417, June, DOI: 10.1007/s00362-006-0295-x.
• Gang Liu & Terje Skjerpen & Anders Rygh Swensen & Kjetil Telle, 2006, "Unit Roots, Polynomial Transformations and the Environmental Kuznets Curve," Discussion Papers, Statistics Norway, Research Department, number 443, Jan.
• Paul Levine & Luis F. Martins & Vasco J. Gabriel, 2006, "Robust Estimates of the New Keynesian Phillips Curve," School of Economics Discussion Papers, School of Economics, University of Surrey, number 0206, Jan.
• Jesus Crespo Cuaresma & Adelina Gschwandtner, 2006, "The competitive environment hypothesis revisited: non-linearity, nonstationarity and profit persistence," Applied Economics, Taylor & Francis Journals, volume 38, issue 4, pages 465-472, DOI: 10.1080/00036840500390312.
• Boriss Siliverstovs, 2006, "Multicointegration in US consumption data," Applied Economics, Taylor & Francis Journals, volume 38, issue 7, pages 819-833, DOI: 10.1080/00036840500398760.
• Roman Liesenfeld & Jean-Francois Richard, 2006, "Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models," Econometric Reviews, Taylor & Francis Journals, volume 25, issue 2-3, pages 335-360, DOI: 10.1080/07474930600713424.
• Laurens Swinkels & Pieter Van Der Sluis, 2006, "Return-based style analysis with time-varying exposures," The European Journal of Finance, Taylor & Francis Journals, volume 12, issue 6-7, pages 529-552, DOI: 10.1080/13518470500248508.
• Vicente Esteve & Francisco Requena, 2006, "A Cointegration Analysis of Car Advertising and Sales Data in the Presence of Structural Change," International Journal of the Economics of Business, Taylor & Francis Journals, volume 13, issue 1, pages 111-128, DOI: 10.1080/13571510500520036.
• Paresh Kumar Narayan & Xiujian Peng, 2006, "An Econometric Analysis of the Determinants of Fertility for China, 1952-2000," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, volume 4, issue 2, pages 165-183, DOI: 10.1080/14765280600737039.
• Kristen Monaco & Taggert J. Brooks & John Bitzan, 2006, "A Time Series Analysis of Wages in Deregulated Industries: A Study of Motor Carriage and Rail," Journal of Applied Economics, Taylor & Francis Journals, volume 9, issue 1, pages 105-118, May, DOI: 10.1080/15140326.2006.12040640.
• Viviana Fernandez, 2006, "Extremal Dependence in European Capital Markets," Journal of Applied Economics, Taylor & Francis Journals, volume 9, issue 2, pages 275-293, November, DOI: 10.1080/15140326.2006.12040648.
• Pinar Ozlu, 2006, "Risk Premium and Central Bank Intervention," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 6, issue 1, pages 65-79.
• Saadet Kasman & Duygu Ayhan, 2006, "Macroeconomic Volatility under Alternative Exchange Rate Regimes in Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 6, issue 2, pages 37-58.
• Derek Bond & Michael J. Harrison & Niall Hession & Edward J. O'Brien, 2006, "Some Empirical Observations on the Forward Exchange Rate Anomaly," Trinity Economics Papers, Trinity College Dublin, Department of Economics, number tep2006, Jan.
• Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2006, "Purchasing Power Parity: The Irish Experience Re-visited," Trinity Economics Papers, Trinity College Dublin, Department of Economics, number tep200615, Nov.
• Cars Hommes & Sebastiano Manzan, 2006, "Testing for Nonlinear Structure and Chaos in Economic Time. A Comment," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 06-030/1, Mar.
• Cees Diks & Florian Wagener, 2006, "A Weak Bifurcation Theory for Discrete Time Stochastic Dynamical Systems," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 06-043/1, May.
• Michiel D. de Pooter & René Segers & Herman K. van Dijk, 2006, "On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 06-076/4, Aug.
• Konrad Banachewicz & Aad van der Vaart & André Lucas, 2006, "Modeling Portfolio Defaults using Hidden Markov Models with Covariates," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 06-094/2, Oct.
• Siem Jan Koopman & Marius Ooms & Irma Hindrayanto, 2006, "Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 06-101/4, Nov.
• Siem Jan Koopman & Soon Yip Wong, 2006, "Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 06-105/4, Nov.
• Filippo Altissimo & Laurent Bilke & Andrew Levin & Thomas Mathä & Benoit Mojon, 2006, "Sectoral and Aggregate Inflation Dynamics in the Euro Area," Journal of the European Economic Association, MIT Press, volume 4, issue 2-3, pages 585-593, 04-05.
• László Kónya & Jai Pal Singh, 2006, "Exports, Imports and Economic Growth in India," Working Papers, School of Economics, La Trobe University, number 2006.06, Dec.
• Roberto Casarin & Carmine Trecroci, 2006, "Business Cycle and Stock Market Volatility: A Particle Filter Approach," Working Papers, University of Brescia, Department of Economics, number ubs0603.
• Michael Dueker & Martin Sola & Fabio Spagnolo, 2006, "Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2006-04, Apr.
• Gerardo Angeles-Castro, 2006, "The Relationship Between Economic Growth and Inequality: Evidence from the Age of Market Liberalism," Studies in Economics, School of Economics, University of Kent, number 0601, Jan.
• Marc Hallin & Abdeljelil Farhat & Jean-Marie Dufour, 2006, "Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/2143.
• Luis Alberiko Gil-Alana & Antonio Moreno, 2006, "Technology Shocks and Hours Worked: A Fractional Integration Perspective," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 03/06, Feb.
• Javier Hualde & Carlos Velasco, 2006, "Distribution-free Tests of Fractional Cointegration," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 08/06, Jun.
• Palm, F.C. & Smeekes, S. & Urbain, J.R.Y.J., 2006, "Bootstrap unit root tests: comparison and extensions," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 015, Jan, DOI: 10.26481/umamet.2006015.
• Daal, Elton & Naka, Atsuyuki & Yu, Jung-Suk, 2006, "Volatility Clustering, Leverage Effects, and Jump Dynamics in the US and Emerging Asian Equity Markets," Working Papers, University of New Orleans, Department of Economics and Finance, number 2005-03, Jan.
• Harvie, Charles & Pahlavani, Mosayeb & Saleh, Ali Salman, 2006, "Identifying Structural Breaks in the Lebanese Economy 1970-2003: An Application of the Zivot and Andrews Test," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia, number wp06-02.
• Jayanthakumaran, Kankesu & Pahlavani, Mosayeb, 2006, "Australia and New Zealand CER Agreement and Breakpoints in Bilateral Trade: An Application of the Wald-type Test," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia, number wp06-06.
• Marashdeh, Hazem & Saleh, Ali Salman, 2006, "Revisiting Budget and Trade Deficits in Lebanon: A Critique," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia, number wp06-07.
• Harvie, Charles & Pahlavani, Mosayeb, 2006, "Testing for Structural Breaks in the Korean Economy 1980-2005: An Application of the Innovational Outlier and Additive Outlier Models," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia, number wp06-09.
• Valadkhani, Abbas, 2006, "Labour Productivity in Iran," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia, number wp06-13.
• Harvie, Charles & Pahlavani, Mosayeb, 2006, "Sources of Economic Growth in South Korea: An Application of the ARDL Analysis in the Presence of Structural Breaks - 1980-2005," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia, number wp06-17.
• Laura Mayoral, 2006, "Minimum distance estimation of stationary and non-stationary ARFIMA processes," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 959, Jan.
• Michael Lechner, 2006, "The Relation of Different Concepts of Causality in Econometrics," University of St. Gallen Department of Economics working paper series 2006, Department of Economics, University of St. Gallen, number 2006-15, Jun.
• Andreas Röthig & Carl Chiarella, 2006, "Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 172, Feb.
• Andrew Patton, 2006, "Volatility Forecast Comparison using Imperfect Volatility Proxies," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 175, May.
• David E. A. Giles, 2006, "Spurious Regressions With Time-Series data: Further Asymptotic Results," Econometrics Working Papers, Department of Economics, University of Victoria, number 0603, Aug.
• Konstantin Gluschenko, 2006, "Price Linkages of Russian Regional Markets," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp839, Sep.
• Bal??zs ??gert & Jesus Crespo-Cuaresma & Thomas Reininger, 2006, "Interest Rate Pass-Through in Central and Eastern Europe: Reborn from Ashes Merely to Pass Away?," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp851, Nov.
• P. Siklos, W. Enders & B. Falk, 2006, "A Threshold Model of Real US GDP and the Problem of Constructing Confidence Intervals in TAR Models," Working Papers, Wilfrid Laurier University, Department of Economics, number eg0052, revised 2006.
• Stephan von Cramon-Taubadel & Jens-Peter Loy & Jochen Meyer, 2006, "The impact of cross-sectional data aggregation on the measurement of vertical price transmission: An experiment with German food prices," Agribusiness, John Wiley & Sons, Ltd., volume 22, issue 4, pages 505-522, DOI: 10.1002/agr.20100.
• Alex Maynard, 2006, "The forward premium anomaly: statistical artefact or economic puzzle? New evidence from robust tests," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, volume 39, issue 4, pages 1244-1281, November, DOI: 10.1111/j.1540-5982.2006.00389.x.
• Carol Alexander & Emese Lazar, 2006, "Normal mixture GARCH(1,1): applications to exchange rate modelling," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 21, issue 3, pages 307-336, April, DOI: 10.1002/jae.849.
• Ivan Paya & David A. Peel, 2006, "Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 21, issue 5, pages 655-668, July, DOI: 10.1002/jae.860.
• Giulietti, Monica & Otero, Jesus & Smith, Jeremy, 2006, "Testing for stationarity in heterogeneous panel data in the presence of cross section dependence," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 758.