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

• 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

• Paolo Guasoni, 2006, "Asymmetric Information in Fads Models," Finance and Stochastics, Springer, volume 10, issue 2, pages 159-177, April, DOI: 10.1007/s00780-006-0006-4.
• 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.
• Giulietti, Monica & Otero, Jesús & Smith, Jeremy, 2006, "Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 771.
• Steven Cook, 2006, "Are Stock Prices And Economic Activity Cointegrated? Evidence From The Us, 1950–2005," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 2, issue 01, pages 1-10, DOI: 10.1142/S2010495206500035.
• Wai Mun Fong & Wing-Keung Wong, 2006, "The Stochastic Component Of Realized Volatility," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 2, issue 01, pages 1-34, DOI: 10.1142/S2010495206500047.
• Rafal Weron & Adam Misiorek, 2006, "Short-term electricity price forecasting with time series models: A review and evaluation," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/06/01.
• Adam Misiorek & Rafal Weron, 2006, "Interval forecasting of spot electricity prices," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/06/05.
• Jonathan Beck, 2006, "The Sales Effect of Word of Mouth: A Model for Creative Goods and Estimates for Novels," CIG Working Papers, Wissenschaftszentrum Berlin (WZB), Research Unit: Competition and Innovation (CIG), number SP II 2006-16, Sep.
• Ivan Šošić & Vlasta Bahovec & Mirjana Čižmešija & Nataša Kurnoga Živadinović, 2006, "Indirektno vs direktno desezoniranje aregatnih vremenskih nizova," EFZG Working Papers Series, Faculty of Economics and Business, University of Zagreb, number 0611, Nov.
• Colavecchio, Roberta & Funke, Michael, 2006, "Volatility transmissions between renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 16/2006.
• Wang, Jiao & Ji, Andy G., 2006, "Exchange rate sensitivity of China's bilateral trade flows," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 19/2006.
• Bask, Mikael & Liu, Tung & Widerberg, Anna, 2006, "The stability of electricity prices: estimation and inference of the Lyapunov exponents," Bank of Finland Research Discussion Papers, Bank of Finland, number 9/2006.
• Stahn, Kerstin, 2006, "Has the impact of key determinants of German exports changed? Results from estimations of Germany's intra euro-area and extra euro-area exports," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2006,07.
• Knetsch, Thomas A., 2006, "Forecasting the price of crude oil via convenience yield predictions," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2006,12.
• Stahn, Kerstin, 2006, "Has the export pricing behaviour of German enterprises changed? Empirical evidence from German sectoral prices," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2006,37.
• Knetsch, Thomas A. & Reimers, Hans-Eggert, 2006, "How to treat benchmark revisions? The case of German production and orders statistics," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2006,38.
• Stirböck, Claudia, 2006, "How strong is the impact of exports and other demand components on German import demand? Evidence from euro-area and non-euro-area imports," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2006,39.
• Arz, Stephanus, 2006, "A new mixed multiplicative-additive model for seasonal adjusment," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2006,47.
• Herwartz, Helmut & Xu, Fang, 2006, "Reviewing the sustainability/stationarity of current account imbalances with tests for bounded integration," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2006-07.
• Lux, Thomas & Kaizoji, Taisei, 2006, "Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2006-13.
• Hartz, Christoph & Mittnik, Stefan & Paolella, Marc S., 2006, "Accurate Value-at-Risk forecast with the (good old) normal-GARCH model," CFS Working Paper Series, Center for Financial Studies (CFS), number 2006/23.
• Carroll, Christopher D. & Otsuka, Misuzu & Slacalek, Jirka, 2006, "How large is the housing wealth effect? A new approach," CFS Working Paper Series, Center for Financial Studies (CFS), number 2006/35.
• Röthig, Andreas & Chiarella, Carl, 2006, "Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models," Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics, number 167.
• Barja Daza, Gover & Monterrey Arce, Javier & Villarroel Böhrt, Sergio, 2006, "Bolivia: Impact of Shocks and Poverty Policy on Household Welfare," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 4, issue 6, pages 63-123, DOI: 10.35319/lajed.20066245.
• Angeles-Castro, Gerardo, 2006, "The relationship between economic growth and inequality: evidence from the age of market liberalism," Proceedings of the German Development Economics Conference, Berlin 2006, Verein für Socialpolitik, Research Committee Development Economics, number 2.
• Satoguina, Honorat, 2006, "Energy Demand and Supply Issues - Scenario 2020 and Implications for CDM in West African Economic and Monetary Union. Case Study: Benin, Burkina Faso, Niger and Togo," HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA), number 357.
• Kittelmann, Kristina & Tirpak, Marcel & Schweickert, Rainer & Vinhas de Souza, Lúcio, 2006, "From transition crises to macroeconomic stability? Lessons from a crises early warning system for Eastern European and CIS countries," Kiel Working Papers, Kiel Institute for the World Economy, number 1269.
• Krämer, Walter, 2006, "Long memory with Markov-Switching GARCH," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2006,35.
• Christensen, Kim & Podolskij, Mark, 2006, "Range-Based Estimation of Quadratic Variation," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2006,37.
• Christensen, Kim & Podolskij, Mark & Vetter, Mathias, 2006, "Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2006,52.
• Giacomini, Enzo & Handel, Michael & Härdle, Wolfgang Karl, 2006, "Time dependent relative risk aversion," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-020.
• Polzehl, Jörg & Spokoiny, Vladimir, 2006, "Varying coefficient GARCH versus local constant volatility modeling: Comparison of the predictive power," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-033.
• Brüggemann, Ralf & Lütkepohl, Helmut & Marcellino, Massimiliano, 2006, "Forecasting euro-area variables with German pre-EMU data," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-065.
• Ng, Wing Lon, 2006, "Overreaction and multiple tail dependence at the high-frequency level: The copula rose," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-086.
• Kosater, Peter, 2006, "On the impact of weather on German hourly power prices," Discussion Papers in Econometrics and Statistics, University of Cologne, Institute of Econometrics and Statistics, number 1/06.
• Keck, Alexander & Raubold, Alexander, 2006, "Forecasting trade," WTO Staff Working Papers, World Trade Organization (WTO), Economic Research and Statistics Division, number ERSD-2006-05, DOI: 10.30875/09f15011-en.
• Kappler, Marcus, 2006, "Panel Tests for Unit Roots in Hours Worked," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 06-022.
• Stefan Reimann, 2006, "An Elementary Model of Price Dynamics in a Financial Market Distribution, Multiscaling & Entropy," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 271, Feb.
• Joseph P. Romano & Michael Wolf, 2006, "Improved Nonparametric Confidence Intervals in Time Series Regressions," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 273, Feb.
• Stefan Reimann, 2006, "The Process of price formation and the skewness of asset returns," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 276, Feb.
• Daniel Waldenstr�m & Bruno S. Frey, 2006, "Using Markets to Measure Pre-War Threat Assessments: The Nordic Countries facing World War II," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 308, Nov.
• Eric Heyer & Xavier Timbeau, 2006, "Immobilier et politique monétaire," Sciences Po Economics Publications (main), HAL, number hal-01010123, DOI: 10.3917/reof.096.0115.
• Olivier Darné & Jean-François Hoarau, 2006, "Testing the purchasing power parity in China," Working Papers, HAL, number hal-04138871.
• Maican, Florin G. & Sweeney, Richard J., 2006, "Real Exchange Rate Adjustment In European Transition Countries," Working Papers in Economics, University of Gothenburg, Department of Economics, number 202, Feb.
• Hultblad, Brigitta & Karlsson, Sune, 2006, "Bayesian simultaneous determination of structural breaks and lag lengths," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 630, Jun.
• Meitz, Mika & Saikkonen, Pentti, 2006, "Stability of nonlinear AR-GARCH models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 632, Jun.
• González, Andrés & Teräsvirta, Timo, 2006, "Modelling autoregressive processes with a shifting mean," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 637, Sep, revised 22 May 2007.
• Teräsvirta, Timo, 2006, "An introduction to univariate GARCH models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 646, Dec.
• Strikholm, Birgit, 2006, "Determining the number of breaks in a piecewise linear regression model," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 648, Dec.
• Waldenström, Daniel & Frey, Bruno S., 2006, "Using Markets to Measure Pre-War Threat Assessments: The Nordic Countries Facing World War II," Working Paper Series, Research Institute of Industrial Economics, number 676, Nov.
• Westerlund, Joakim & Costantini, Mauro, 2006, "Panel Cointegration and the Neutrality of Money," Working Papers, Lund University, Department of Economics, number 2006:18, Aug.
• Jönsson, Kristian, 2006, "Testing Stationarity in Small and Medium-Sized Samples when Disturbances are Serially Correlated," Working Papers, Lund University, Department of Economics, number 2006:20, Oct, revised 09 Nov 2009.
• Jönsson, Kristian, 2006, "Finite-Sample Stability of the KPSS Test," Working Papers, Lund University, Department of Economics, number 2006:23, Dec.
• Chollete, Lorán & Heinen, Andreas, 2006, "Frequent Turbulence? A Dynamic Copula Approach," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2006/10, Oct.
• Giordani, Paolo & Kohn, Robert, 2006, "Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 196, May.
• Holmberg, Karolina, 2006, "Derivation and Estimation of a New Keynesian Phillips Curve in a Small Open Economy," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 197, May.
• Quoreshi, Shahiduzzaman, 2006, "LongMemory, Count Data, Time Series Modelling for Financial Application," Umeå Economic Studies, Umeå University, Department of Economics, number 673, Apr.
• Quoreshi, Shahiduzzaman, 2006, "A Vector Integer-Valued Moving Average Modelfor High Frequency Financial Count Data," Umeå Economic Studies, Umeå University, Department of Economics, number 674, Apr.
• Quoreshi, Shahiduzzaman, 2006, "Time Series Modelling Of High Frequency Stock Transaction Data," Umeå Economic Studies, Umeå University, Department of Economics, number 675, Apr.
• Brännäs, Kurt & Lönnbark, Carl, 2006, "Effects of Explanatory Variables in Count Data Moving Average Models," Umeå Economic Studies, Umeå University, Department of Economics, number 679, Apr.
• Simonsen, Ola, 2006, "Stock Data, Trade Durations, And Limit Order Book Information," Umeå Economic Studies, Umeå University, Department of Economics, number 689, Aug.
• Brännäs, Kurt & Soultanaeva, Albina, 2006, "Influence of News in Moscow and New York on Returns and Risks on Baltic State Stock Indices," Umeå Economic Studies, Umeå University, Department of Economics, number 696, Sep.
• Angelov, Nikolay, 2006, "Structural breaks in Iron-Ore prices: The impact of the 1973 oil crisis," Working Paper Series, Uppsala University, Department of Economics, number 2006:11, Jan.
• Gustavsson, Magnus & Österholm, Pär, 2006, "Does Unemployment Hysteresis Equal Employment Hysteresis?," Working Paper Series, Uppsala University, Department of Economics, number 2006:15, Jul.
• Almasri, Abdullah, 2006, "A New Approach for Analyzing Fractional Difference Processes," CAFO Working Papers, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics, number 2006:2, Jan.
• Almasri, Abdullah & Shukur, Ghazi, 2006, "Clustering Using Wavelet Transformation," CAFO Working Papers, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics, number 2006:3, Jan.
• Andreja Pufnik & Davor Kunovac, 2006, "Short-Term Forecasting of Inflation in Croatia with Seasonal ARIMA Processes," Working Papers, The Croatian National Bank, Croatia, number 16, Dec.
• Campbell, John & Yogo, Motohiro, 2006, "Efficient tests of stock return predictability," Scholarly Articles, Harvard University Department of Economics, number 3122601.
• Eiji Kurozumi & Yoichi Arai, 2006, "Test for the null hypothesis of cointegration with reduced size distortion," Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number d06-190, Nov.
• Kazuhiko Hayakawa & Eiji Kurozumi, 2006, "The Role of "Leads" in the Dynamic OLS Estimation of Cointegrating Regression Models," Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number d06-194, Dec.
• Eiji Kurozumi & Kazuhiko Hayakawa, 2006, "Asymptotic Properties of the Efficient Estimators for Cointegrating Regression Models with Serially Dependent Errors," Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number d06-197, Dec.
• Chin Nam Low & Heather Anderson & Ralph Snyder, 2006, "Beveridge-Nelson Decomposition with Markov Switching," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2006n14, Jul.
• Claudio Morana, 2006, "The End of the Japanese Stagnation: an Assessment of the Policy Solutions," ICER Working Papers, ICER - International Centre for Economic Research, number 27-2006, Jul.
• Fabio C. Bagliano & Claudio Morana, 2006, "International Macroeconomic Dynamics: a Factor Vector Autoregressive Approach," ICER Working Papers, ICER - International Centre for Economic Research, number 41-2006, Jul.
• Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts, 2006, "Regime switching GARCH models," Cahiers de recherche, HEC Montréal, Institut d'économie appliquée, number 06-08, Jun.
• Taoufik Bouezmarni & Jeroen V.K. Rombouts, 2006, "Nonparametric Density Estimation for Positive Time Series," Cahiers de recherche, HEC Montréal, Institut d'économie appliquée, number 06-09, Sep.
• Román Mínguez Salido & Eduardo Morales Martínez, 2006, "Aplicación de procesos con raíz unitaria estocástica a índices bursátiles," Investigaciones Economicas, Fundación SEPI, volume 30, issue 1, pages 163-174, January.
• Cem K. ARSLAN & Cumhur ERDEM & Meziyet Sema ERDEM, 2006, "Makroekonomik Değişkenler Ve İmkb 100 Endeksi Arasındaki İlişkinin Belirlenmesi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 21, issue 239, pages 125-135.
• Hasan TÜRE & Yılmaz AKDİ, 2006, "Mevsimsel eşbütünleşme: Tüketim ve GSYİH," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 21, issue 242, pages 101-113.
• Nasip BOLATOĞLU, 2006, "1994 ve 2000-2001 krizlerinin çoklu denge açısından değerlendirilmesi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 21, issue 243, pages 31-42.
• Hüseyin Mualla YÜCEOL, 2006, "Türkiye ekonomisinde büyüme ve işsizlik ilişkisinin dinamikleri," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 21, issue 243, pages 81-95.
• Duygu AYHAN, 2006, "Döviz kuru rejimlerinin kur oynaklığı üzerine etkisi: Türkiye örneği," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 21, issue 245, pages 64-76.
• E. Alper GÜVEL & Hüseyin KALYONCU, 2006, "Bütçe açıklarının sürdürülebilirliği : Avrupa Birliği üyesi ülkeler üzerine bir uygulama," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 21, issue 247, pages 43-50.
• Sıdıka BAŞÇI & Nildağ Başak CEYLAN, 2006, "Makroekonomik değişkenlerin borsa getirisi ve oynaklığı üzerindeki etkisi: Türkiye örneği," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 21, issue 249, pages 30-36.
• Peter G. Szilagyi & Jonathan A. Batten, 2006, "Arbitrage, Covered Interest Parity and Long-Term Dependence between the US Dollar and the Yen," The Institute for International Integration Studies Discussion Paper Series, IIIS, number iiisdp128, Apr.
• María Dolores Gadea & Laura Mayoral, 2006, "The Persistence of Inflation in OECD Countries: A Fractionally Integrated Approach," International Journal of Central Banking, International Journal of Central Banking, volume 2, issue 1, March.
• Arturo Lorenzo Valdés, 2006, "Modelos de corrección de error no lineal entre mercados accionarios latinoamericanos y el mercado accionario de Estados Unidos," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, volume 21, issue 1, pages 117-129, July.
• Darius Hinz & Camille Logeay, 2006, "Forecasting Employment for Germany," IMK Working Paper, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute, number 01-2006, revised Jan 2006.
• Peter F. Christoffersen & Francis X. Diebold, 2006, "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," Management Science, INFORMS, volume 52, issue 8, pages 1273-1287, August, DOI: 10.1287/mnsc.1060.0520.
• Juan de Dios Tena & Miguel Jerez & Sonia Sotoca & Nicole Carvallo, 2006, "A Proposal to Obtain a Long Quarterly Chilean GDP Series," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 43, issue 128, pages 285-300.
• Giancarlo Bruno & Claudio Lupi & Carmine Pappalardo & Gianfranco Piras, 2006, "The cross-country effects of EU holidays on domestic GDP's," ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY), number 63, Feb.
• Luciana Crosilla, 2006, "The seasonality of ISAE business and consumer surveys: methodological aspects and empirical evidence," ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY), number 68, May.
• Heejoon Kang, 2006, "Inappropriate Detrending and Spurious Cointegration," Working Papers, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy, number 2006-14.
• Ángel León & Francis Benito & Juan Nave, 2006, "Modeling The Euro Overnight Rate," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2006-11, Jun.
• Alicia Pérez Alonso, 2006, "A Bootstrap Approach To Test The Conditional Symmetry In Time Series Models," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2006-18, Jul.
• Juan Carlos Cuestas & Javier Ordoñez Monfort & Maria Amparo Camarero Olivas, 2006, "Nonlinear trend stationary of real exchange rates: The case of the Mediterranean countries," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2006-27, Dec.
• Gloria M. Soto Pacheco & Mª Asunción Prats Albentosa, 2006, "Un Estudio Empírico De Transmisión Monetaria En Europa," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2006-04, Feb.
• Schlicht, Ekkehart & Ludsteck, Johannes, 2006, "Variance Estimation in a Random Coefficients Model," IZA Discussion Papers, IZA Network @ LISER, number 2031, Mar.
• Pesaran, M. Hashem & Timmermann, Allan, 2006, "Testing Dependence among Serially Correlated Multi-Category Variables," IZA Discussion Papers, IZA Network @ LISER, number 2196, Jul.
• Emese Lazar & Carol Alexander, 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, DOI: 10.1002/jae.849.
• Mototsugu Shintani, 2006, "A nonparametric measure of convergence towards purchasing power parity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 21, issue 5, pages 589-604, DOI: 10.1002/jae.867.
• David A. Peel & Ivan Paya, 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, DOI: 10.1002/jae.860.
• Obben, James. & Nugroho, Agus Eko., 2006, "Determinites of the funding volatility of Indonesian banks: a dynamic model," Journal of Developing Areas, Tennessee State University, College of Business, volume 39, issue 2, pages 41-61, January-M.
• Ruhul A. Salim, 2006, "Measuring Productive Efficiency Incorporating Firms¡¯ Heterogeneity: An Empirical Analysis," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, volume 31, issue 1, pages 135-147, June.
• Serge Rey, 2006, "Effective Exchange Rate Volatility And Mena Countries Exports To The Eu," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, volume 31, issue 2, pages 23-54, December.
• Christopher D. Carroll & Misuzu Otsuka & Jirka Slacalek, 2006, "How Large Is the Housing Wealth Effect? A New Approach," Economics Working Paper Archive, The Johns Hopkins University,Department of Economics, number 535, Oct.
• Jungmittag Andre & Grupp Hariolf, 2006, "Wechselwirkungen zwischen Innovations- und Wachstumsprozessen in Deutschland 1951-1999 im Vergleich zu 1850-1913 / Dynamic Relationships Between Innovation Activities and Per Capita Income in Germany 1951-1999 in Comparison to 1850-1913," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 226, issue 2, pages 180-207, April, DOI: 10.1515/jbnst-2006-0204.
• Timo Teräsvirta & Marcelo C. Medeiros & Gianluigi Rech, 2006, "Building neural network models for time series: a statistical approach," Journal of Forecasting, John Wiley & Sons, Ltd., volume 25, issue 1, pages 49-75, DOI: 10.1002/for.974.
• Håvard Hungnes & Hilde C. Bjørnland, 2006, "The importance of interest rates for forecasting the exchange rate," Journal of Forecasting, John Wiley & Sons, Ltd., volume 25, issue 3, pages 209-221, DOI: 10.1002/for.983.
• Christopher F. Baum & John Barkoulas, 2006, "Long-memory forecasting of US monetary indices," Journal of Forecasting, John Wiley & Sons, Ltd., volume 25, issue 4, pages 291-302, DOI: 10.1002/for.990.
• Antonio Rubia & Trino-Manuel Ñíguez, 2006, "Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence," Journal of Forecasting, John Wiley & Sons, Ltd., volume 25, issue 6, pages 439-458, DOI: 10.1002/for.997.
• William Barnett, 2006, "Comment on 'Chaotic Monetary Dynamics with Confidence'," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200602, Jan.
• William Barnett & Ousmane Seck, 2006, "Rotterdam vs Almost Ideal Models: Will the Best Demand Specification Please Stand Up?," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200605, Feb.
• William Barnett & Evgeniya Aleksandrovna Duzhak, 2006, "Non-Robust Dynamic Inferences from Macroeconometric Models: Bifurcation Stratification of Confidence Regions," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200608, Oct.
• William Barnett & Ikuyasu Usui, 2006, "The Theoretical Regularity Properties of the Normalized Quadratic Consumer Demand Model," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200609, Oct.
• William Barnett & Yijun He, 2006, "Existence of Bifurcation in Macroeconomic Dynamics: Grandmont was Right," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 200610, Nov.
• William Barnett & John Keating & Unja Chae, 2006, "The Discounted Economic Stock of Money with VAR Forecasting," Annals of Finance, Springer, volume 2, issue 3, pages 229-258, July, DOI: 10.1007/s10436-006-0038-y.
• Rituparna Kar & Nityananda Sarkar, 2006, "Mean and volatility dynamics of Indian rupee/US dollar exchange rate series: an empirical investigation," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 13, issue 1, pages 41-69, March, DOI: 10.1007/s10690-007-9034-0.
• Stephen Hall & George Hondroyiannis, 2006, "Measuring the correlation of shocks between the EU15 and the new member countries," Economic Change and Restructuring, Springer, volume 39, issue 1, pages 19-34, June, DOI: 10.1007/s10644-007-9018-0.
• Harald Badinger, 2006, "Fiscal shocks, output dynamics and macroeconomic stability: an empirical assessment for Austria (1983–2002)," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 33, issue 5, pages 267-284, December, DOI: 10.1007/s10663-006-9016-x.
• Christos Agiakloglou & Demetrius Yannelis, 2006, "Estimation of Price Elasticities for International Telecommunications Demand," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 12, issue 1, pages 131-137, February, DOI: 10.1007/s11294-005-2279-3.
• Christos Karpetis & Erotokritos Varelas & Spyros Zikos, 2006, "Unit Root Investigation of Greek Real Money Supply and GDP," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 12, issue 4, pages 449-460, November, DOI: 10.1007/s11294-006-9039-x.
• F. DePenya & L. Gil-Alana, 2006, "Testing of nonstationary cycles in financial time series data," Review of Quantitative Finance and Accounting, Springer, volume 27, issue 1, pages 47-65, August, DOI: 10.1007/s11156-006-8542-8.
• Chang Sik Kim, 2006, "Band Spectrum Least Squares in Fractional Cointegration Models with Unknown Fractional Integration Orders," Korean Economic Review, Korean Economic Association, volume 22, pages 21-54.
• Namwon Hyung & Philip Hans Franses, 2006, "Fi-break Model of US Inflation Rate: Long-memory, Level Shifts, or Both?," Korean Economic Review, Korean Economic Association, volume 22, pages 83-97.