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

• Paul Alagidede, 2007, "Return Dynamics in North African Stock Markets," The African Finance Journal, Africagrowth Institute, volume 9, issue 1, pages 39-52.
• Nicholas Odhiambo, 2007, "Does Interest Rate Liberalisation Really Improve the Allocative Efficiency of Investment? Kenya's Experience," The African Finance Journal, Africagrowth Institute, volume 9, issue 1, pages 53-69.
• Nadolnyak, Denis A. & Novak, James L. & Paz, Joel O., 2007, "Identifying ENSO Phase Impacts on Area Yield Insurance Rates: An Application of Non-Parametric Analysis," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association), number 9718, DOI: 10.22004/ag.econ.9718.
• Chebbi, Houssem Eddine & Lachaal, Lassaad, 2007, "Agricultural Sector and Economic Growth in Tunisia: Evidence from Co-integration and Error Correction Mechanism," 103rd Seminar, April 23-25, 2007, Barcelona, Spain, European Association of Agricultural Economists, number 9416, DOI: 10.22004/ag.econ.9416.
• Awokuse, Titus O. & Bernard, John C., 2007, "Spatial Price Dynamics in U.S. Regional Broiler Markets," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 39, issue 3, pages 1-10, December, DOI: 10.22004/ag.econ.6324.
• Maynard, Alex & Shimotsu, Katsumi, 2007, "Covariance-based orthogonality tests for regressors with unknown persistence," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273598, Feb, DOI: 10.22004/ag.econ.273598.
• Lima, Ricardo Chaves & Góis, Marcos Roberto & Ulises, Charles, undated, "Previsão de preços futuros de Commodities Agrícolas com diferenciações inteira e fracionária, e erros heteroscedásticos," Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR), Sociedade Brasileira de Economia e Sociologia Rural, volume 45, issue 3, pages 1-24, DOI: 10.22004/ag.econ.161512.
• Fischer, Christian & Gil-Alana, Luis A., 2007, "The nature of the relationship between international tourism and international trade: the case of German imports of Spanish wine," Discussion Papers, University of Bonn, Institute for Food and Resource Economics, number 57033, DOI: 10.22004/ag.econ.57033.
• Iñaki Iriarte Goñi & Maria Isabel Ayuda Bosque, 2007, "Protección e importaciones de madera en España (1880-1935)," Investigaciones de Historia Económica - Economic History Research (IHE-EHR), Journal of the Spanish Economic History Association, Asociación Española de Historia Económica, volume 9, pages 45-78.
• Konstantinos Kalogeropoulos & Gareth O. Roberts & Petros Dellaportas, 2007, "Inference for stochastic volatility models using time change transformations," Papers, arXiv.org, number 0711.1594, Nov.
• Ghanbari, Ali & Aghaei Khondabi, Majid & ,, 2007, "Investigation the Impact of Fiscal policies on Private Section Investment in Iran (in Persian)," The Journal of Planning and Budgeting (٠صلنامه برنامه ریزی Ùˆ بودجه), Institute for Management and Planning studies, volume 12, issue 4, pages 59-84, July.
• Tomas del Barrio Castro, 2007, "Using the HEGY Procedure When Not All Roots Are Present," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 170.
• Rossitsa Rangelova, 2007, "R&D Expenditures and Economic Growth – International Comparison," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 18-52.
• Yunus Aksoy & Miguel A. Leon-Ledesma, 2007, "Non-linearities and Unit Roots in G7 Macroeconomic Variables," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0710, Jan.
• Antoine Jacquier & Saad Slaoui, 2007, "Variance Dispersion and Correlation Swaps," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0712, Sep.
• Jeannine Bailliu & Ali Dib & Takashi Kano & Lawrence L. Schembri, 2007, "Multilateral Adjustment and Exchange Rate Dynamics: The Case of Three Commodity Currencies," Staff Working Papers, Bank of Canada, number 07-41, DOI: 10.34989/swp-2007-41.
• Verónica Balzarotti, 2007, "Real Interest Rate Risk in the Argentine Banking System. A Measuring Model," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, volume 1, issue 46, pages 7-61, January -.
• Laura D'Amato & Lorena Garegnani & Juan M. Sotes Paladino, 2007, "Inflation Persistence and Changes in the Monetary Regime: The Argentine Case," BCRA Working Paper Series, Central Bank of Argentina, Economic Research Department, number 200723, Sep.
• Erman Erbaykal & H. Aydin Okuyan, 2007, "The Relationship Between Stock Prices and Exchange Rates: An Empirical Study on Emerging Markets," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 1, issue 1, pages 77-90.
• Agustín Maravall & Ana del Río, 2007, "Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter," Working Papers, Banco de España, number 0728, Sep.
• Fabio Busetti & Andrew Harvey, 2007, "Testing for trend," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 614, Feb.
• Alessio Ciarlone & Paolo Piselli & Giorgio Trebeschi, 2007, "Emerging Markets Spreads and Global Financial Conditions," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 637, Jun.
• Gianluca Moretti, 2007, "Detecting long memory co-movements in macroeconomic time series," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 642, Sep.
• Chiquiar Daniel & Noriega Antonio E. & Ramos Francia Manuel, 2007, "A Time Series Approach to Test a Change in Inflation Persistence: The Mexican Experience," Working Papers, Banco de México, number 2007-01, Jan.
• Koopman, Siem Jan & Ooms, Marius & Carnero, M. Angeles, 2007, "Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices," Journal of the American Statistical Association, American Statistical Association, volume 102, pages 16-27, March.
• Haldrup, Niels & Hylleberg, Svend & Pons, Gabriel & Sanso, Andreu, 2007, "Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data," Journal of Business & Economic Statistics, American Statistical Association, volume 25, pages 21-32, January.
• Baillie, Richard T. & Kapetanios, George, 2007, "Testing for Neglected Nonlinearity in Long-Memory Models," Journal of Business & Economic Statistics, American Statistical Association, volume 25, pages 447-461, October.
• Olivier Darn & V ronique Brunhes-Lesage, 2007, "L Indicateur Synth tique Mensuel d Activit (ISMA) : une r vision," Working papers, Banque de France, number 171.
• Darné, O. & Brunhes-Lesage, V., 2007, "L’indicateur synthétique mensuel d’activité (ISMA) : une révision," Bulletin de la Banque de France, Banque de France, issue 162, pages 21-36.
• Aamer S. Abu-Qarn & Suleiman Abu-Bader, 2007, "Structural Breaks In Military Expenditures: Evidence For Egypt, Israel,Jordan And Syria," Working Papers, Ben-Gurion University of the Negev, Department of Economics, number 0704.
• Suleiman Abu-Bader & Aamer S. Abu Qarn, 2007, "The Impact Of GATT On International Trade: Evidence From Structural Break Analysis," Working Papers, Ben-Gurion University of the Negev, Department of Economics, number 0712.
• Joanne S. Ercolani, 2007, "Cyclical Trends in Continuous Time Models," Discussion Papers, Department of Economics, University of Birmingham, number 07-13, Sep.
• Elizabeth Bucacos, 2007, "Real (effective) exchange rate in Uruguay: a periodic cointegration approach," Documentos de trabajo, Banco Central del Uruguay, number 2007002, Jun.
• Liliana Rojas‐Suárez & Sebastián Sotelo, 2007, "The Burden Of Debt: An Exploration Of Interest Rate Behavior In Latin America," Contemporary Economic Policy, Western Economic Association International, volume 25, issue 3, pages 387-414, July, DOI: 10.1111/j.1465-7287.2007.00044.x.
• David H Papell & Ruxandra Prodan, 2007, "Restricted Structural Change And The Unit Root Hypothesis," Economic Inquiry, Western Economic Association International, volume 45, issue 4, pages 834-853, October, DOI: 10.1111/j.1465-7295.2007.00053.x.
• Magnus Gustavsson & Pär Österholm, 2007, "Does Unemployment Hysteresis Equal Employment Hysteresis?," The Economic Record, The Economic Society of Australia, volume 83, issue 261, pages 159-173, June, DOI: 10.1111/j.1475-4932.2007.00391.x.
• Alain Durré & Pierre Giot, 2007, "An International Analysis of Earnings, Stock Prices and Bond Yields," Journal of Business Finance & Accounting, Wiley Blackwell, volume 34, issue 3‐4, pages 613-641, April, DOI: 10.1111/j.1468-5957.2007.02010.x.
• Giliola Frey & Matteo Manera, 2007, "Econometric Models Of Asymmetric Price Transmission," Journal of Economic Surveys, Wiley Blackwell, volume 21, issue 2, pages 349-415, April, DOI: 10.1111/j.1467-6419.2007.00507.x.
• Daniel J. Nordman & Philipp Sibbertsen & Soumendra N. Lahiri, 2007, "Empirical likelihood confidence intervals for the mean of a long‐range dependent process," Journal of Time Series Analysis, Wiley Blackwell, volume 28, issue 4, pages 576-599, July, DOI: 10.1111/j.1467-9892.2006.00526.x.
• Tomas del Barrio Castro, 2007, "Using the HEGY Procedure When Not All Roots Are Present," Journal of Time Series Analysis, Wiley Blackwell, volume 28, issue 6, pages 910-922, November, DOI: 10.1111/j.1467-9892.2007.00539.x.
• Antonio E. Noriega & Daniel Ventosa‐Santaulària, 2007, "Spurious Regression and Trending Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 69, issue 3, pages 439-444, June, DOI: 10.1111/j.1468-0084.2007.00481.x.
• Viv B. Hall & C. John McDermott, 2007, "Regional business cycles in New Zealand: Do they exist? What might drive them?," Papers in Regional Science, Wiley Blackwell, volume 86, issue 2, pages 167-191, June, DOI: 10.1111/j.1435-5957.2007.00119.x.
• Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2007, "Enhanced routines for instrumental variables/GMM estimation and testing," Boston College Working Papers in Economics, Boston College Department of Economics, number 667, May, revised 05 Sep 2007.
• Beum-Jo Park, 2007, "The Impact of Surprise Information on the Relation between Volatility and Trading Volume in Exchange Rate Markets (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, volume 13, issue 1, pages 56-87, March.
• Sun-Ung Hwang, 2007, "Changing Temporary Employment Dynamics in the Korean Economy (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, volume 13, issue 4, pages 87-121, December.
• M. Marzo & P. Zagaglia, 2007, "Identity and the Dynamics of Preferences," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number 595, May.
• M. Marzo & P. Zagaglia, 2007, "Domestic political constraints to foreign aid effectiveness," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number 599, Jul.
• Mohitosh Kejriwal & Pierre Perron, 2007, "Cointegration with Structural Breaks : An Application to the Feldstein-Horioka Puzzle," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2006-057, Nov.
• Chun- Yu Ho & Dan Li, 2007, "Rising Regional Inequality in China:Policy Regimes and Structural Changes," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2007-013, Feb.
• Pierre Perron & Tomoyoshi Yabu, 2007, "Estimating Deterministic Trend with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2007-020, Mar.
• Pierre Perron & Tomoyoshi Yabu, 2007, "Testing for Shifts in Trend with an Integrated or Stationary Noise Component," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2007-025, Mar.
• Pierre Perron & Zhongjun Qu, 2007, "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2007-044, Oct.
• Josep Lluís Carrion-i-Silvestre & Dukpa Kim & Pierre Perron, 2007, "GLS-based unit root tests with multiple structural breaks both under the null and the alternative hypotheses," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2008-019, Sep.
• Mohitosh Kejriwal & Pierre Perron, 2007, "Testing for Multiple Structural Changes in Cointegrated Regression Models," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2008-020, Aug, revised Nov 2008.
• Fernanda Finotti Cordeiro Perobelli & Flávia Vital Januzzi & Leandro Josias Sathler Berbet & Danilo Soares de Medeiros, 2007, "Cash flow at risk: different estimation methods tested in the Brazilian steel industry," Brazilian Review of Finance, Brazilian Society of Finance, volume 5, issue 2, pages 165-204.
• Anna Sess & Michel Grun-Rehomme, 2007, "Note sur les méthodes univariées d’extraction du cycle économique," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, volume 50, issue 3, pages 335-360.
• Busettti, F. & Harvey, A., 2007, "Tests of time-invariance," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0657, Mar.
• DeRossi, G. & Harvey, A., 2007, "Quantiles, Expectiles and Splines," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0660, Feb.
• Busettti, F. & Harvey, A., 2007, "Tests of time-invariance," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0701, Mar.
• DeRossi, G. & Harvey, A., 2007, "Quantiles, Expectiles and Splines," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0702, Feb.
• Pesaran, M.H. & Smit, L.V. & Yamagata, T., 2007, "Panel Unit Root Tests in the Presence of a Multifactor Error Structure," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0775, Dec.
• Carlos Santos & Maria Alberta Oliveira, 2007, "Assessing French Inflation Persistence with Impulse Saturation Break Tests and Automatic General-to-Specific Modelling," Working Papers de Economia (Economics Working Papers), Católica Porto Business School, Universidade Católica Portuguesa, number 10, Jun.
• David Hendry & Carlos Santos, 2007, "AUTOMATIC TESTS for SUPER EXOGENEITY," Working Papers de Economia (Economics Working Papers), Católica Porto Business School, Universidade Católica Portuguesa, number 11, Jun.
• Carlos Santos, 2007, "Discriminating mean and variance shifts," Working Papers de Economia (Economics Working Papers), Católica Porto Business School, Universidade Católica Portuguesa, number 14, Aug.
• D'Agostino, Antonello & Surico, Paolo, 2007, "Does global liquidity help to forecast US inflation?," Research Technical Papers, Central Bank of Ireland, number 10/RT/07, Dec.
• Pami Dua & Lokendra Kumawat, 2007, "Modelling Seasonal Dynamics in Indian Industrial Production--An Extention of TV-STAR Model," Working papers, Centre for Development Economics, Delhi School of Economics, number 162, Aug.
• Abbas, Qaisar & Foreman-Peck, James, 2007, "Human Capital and Economic Growth: Pakistan, 1960-2003," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2007/22, Jul, revised Dec 2007.
• Arghyrou, Michael G & Gregoriou, Andros & Kontonikas, Alexandros, 2007, "Do real interest rates converge? Evidence from the European Union," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2007/26, Sep.
• Mauro S. Ferreira, 2007, "Capturing asymmetry in real exchange rate with quantile autoregression," Textos para Discussão Cedeplar-UFMG, Cedeplar, Universidade Federal de Minas Gerais, number td306, Apr.
• Byung-Joo Lee, 2007, "Economic fundamentals and exchange rates under different exchange rate regimes: Korean experience," Journal of Applied Economics, Universidad del CEMA, volume 10, pages 137-159, May.
• Roberto Martínez-Espiñeira, 2007, "An estimation of residential water demand using co-integration and error correction tec hniques," Journal of Applied Economics, Universidad del CEMA, volume 10, pages 161-184, May.
• Javier Hidalgo, 2007, "Specification Testing Forregression Models Withdependent Data," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 518, May.
• Afonso Gonçalves da Silva & Peter M Robinson, 2007, "Fractional Cointegration In StochasticVolatility Models," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 519, May.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2007, "A Multivariate Long-Memory Model with Structural Breaks," CESifo Working Paper Series, CESifo, number 1950.
• Robert S. Chirinko & Debdulal Mallick, 2007, "The Fisher/Cobb-Douglas Paradox, Factor Shares, and Cointegration," CESifo Working Paper Series, CESifo, number 1998.
• Jarko Fidrmuc & Roman Horváth, 2007, "Volatility of Exchange Rates in Selected New EU Members: Evidence from Daily Data," CESifo Working Paper Series, CESifo, number 2107.
• Klaus Abberger, 2007, "Forecasting Quarter-on-Quarter Changes of German GDP with Monthly Business Tendency Survey Results," ifo Working Paper Series, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 40.
• Oliver Hülsewig & Johannes Mayr & Stéphane Sorbe, 2007, "Assessing the Forecast Properties of the CESifo World Economic Climate Indicator: Evidence for the Euro Area," ifo Working Paper Series, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 46.
• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009, "Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-163, Aug.
• Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2009, "Modelling Long Memory Volatility in Agricultural Commodity Futures Returns," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-183, Oct.
• Nadezhda Ivanova, 2007, "Estimation of the Equilibrium Real Exchange Rate in Russia: Trade-Balance Approach," Working Papers, Center for Economic and Financial Research (CEFIR), number w0102, May.
• Jean Imbs & Eric Jondeau & Florian Pelgrin, 2007, "Aggregating Phillips Curves," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 07-06, Feb.
• Diego Romero-Ávila, 2007, "Unit roots and persistence in the nominal interest rate: a confirmatory analysis applied to the OECD," Canadian Journal of Economics, Canadian Economics Association, volume 40, issue 3, pages 980-1007, August.
• Marjan Petreski, 2007, "Export-Led Growth Hypothesis: Empirical Evidence From Macedonia," Journal Articles, Center For Economic Analyses, pages 33-43, June.
• Munir A. Jalil B. & Martha Misas A., 2007, "Evaluación de pronósticos del tipo de cambio utilizando redes neuronales y funciones de pérdida asimétricas," Monetaria, CEMLA, volume 0, issue 3, pages 219-241, julio-sep.
• Michal Franta & Branislav Saxa & Katerina Smidkova, 2007, "Inflation Persistence in New EU Member States: Is It Different Than in the Euro Area Members?," Working Papers, Czech National Bank, Research and Statistics Department, number 2007/10, Dec.
• G. Carboni, 2007, "Shape of U.S. business cycle and long-run effects of recessions," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 200707.
• González Mario Alejandro & John Jairo Le�n, 2007, "Análisis del endeudamiento de los hogares colombianos," Revista Desarrollo y Sociedad, Universidad de los Andes,Facultad de Economía, CEDE.
• Mario Alejandro G�nzalez & John Jairo Le�n, 2007, "An�lisis del Endeudamiento de los Hogares Colombianos," Borradores de Economia, Banco de la Republica, number 4020, Sep.
• Jorge Mar�o Uribe Gil, 2007, "Caracterizaci�N Del Mercado Accionario Colombiano, 2001-2006: Un An�Lisis Comparativo," Borradores de Economia, Banco de la Republica, number 4025, Sep.
• Mauricio Avella G�mez, 2007, "Some styilized facts on public finance in Colombia since the first Kemmerer mission (1923)," Borradores de Economia, Banco de la Republica, number 4321, Dec.
• Mauricio Rubio & Daniel Vaughan, 2007, "Análisis de series de tiempo del secuestro en Colombia," Documentos de Trabajo UEC, Universidad Externado de Colombia, number 4285, Nov.
• Karoll Gómez Portilla & Santiago Gallón Gómez, 2007, "Distribución condicional de los retornos de la tasa de cambio colombiana: un ejercicio empírico a partir de modelos GARCH multivariados," Revista de Economía del Rosario, Universidad del Rosario.
• Carlos José Pena, 2007, "El costo social de la incertidumbre macroeconómica. Venezuela, 1968-2004. Una perspectiva," Perfil de Coyuntura Económica, Universidad de Antioquia, CIE.
• Ricardo Alberola, 2007, "Estimating Volatility Returns Using ARCH Models. An Empirical Case: The Spanish Energy Market," Revista Lecturas de Economía, Universidad de Antioquia, CIE.
• BAUWENS, Luc & STORTI, Giuseppe, 2007, "A component GARCH model with time varying weights," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2007019, Mar.
• BOUEZMARNI, Taoufik & ROMBOUTS, Jeroen V.K., 2007, "Semiparametric multivariate density estimation for positive data using copulas," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2007054, Aug.
• BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen V.K., 2007, "Theory and inference for a Markov switching GARCH model," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2007055, Aug.
• BOUEZMARNI, Taoufik & ROMBOUTS, Jeroen V.K., 2007, "Nonparametric density estimation for multivariate bounded data," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2007065, Aug.
• BOUADDI, Mohammed & ROMBOUTS, Jeroen V.K., 2007, "Mixed exponential power asymmetric conditional heteroskedasticity," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2007097, Dec.
• DURRE, Alain & GIOT, Pierre, 2007, "An international analysis of earnings, stock prices and Bond yields," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1984, Jan, DOI: 10.1111/j.1468-5957.2007.02010.x.
• Jondeau, Eric & Imbs, Jean & Pelgrin, Florian, 2007, "Aggregating Phillips Curves," CEPR Discussion Papers, Centre for Economic Policy Research, number 6184, Mar.
• Muellbauer, John & Aron, Janine, 2007, "Inflation Dynamics and Trade Openness," CEPR Discussion Papers, Centre for Economic Policy Research, number 6346, Jun.
• Artis, Michael & Nachane, Dilip M & Hoffmann, Mathias & Clavel, Jose Garcia, 2007, "Analyzing Strongly Periodic Series in the Frequency Domain: A Comparison of Alternative Approaches with Applications," CEPR Discussion Papers, Centre for Economic Policy Research, number 6517, Oct.
• Giannone, Domenico & D’Agostino, Antonello & Surico, Paolo, 2007, "(Un)Predictability and Macroeconomic Stability," CEPR Discussion Papers, Centre for Economic Policy Research, number 6594, Dec.
• Daniel Waldenstrom & Bruno S. Frey, 2007, "Did Nordic Countries Recognize the Gathering Storm of World War II? Evidence from the Bond Markets," CREMA Working Paper Series, Center for Research in Economics, Management and the Arts (CREMA), number 2007-18, Oct.
• Timotheos Angelidis & Stavros Degiannakis, 2007, "Backtesting VaR Models: An Expected Shortfall Approach," Working Papers, University of Crete, Department of Economics, number 0701, Jan.
• Nikolaos Giannellis & Athanasios Papadopoulos, 2007, "Purchasing Power Parity Among Developing Countries and Their Trade-Partners: Evidence from Selected CEECs and Implications for Their Membership of EU," Working Papers, University of Crete, Department of Economics, number 0716, Oct.
• Nikolaos Giannellis & Athanasios Papadopoulos, 2007, "Nonlinear Exchange Rate Adjustment in the Enlarged Eurozone. Evidence and Implications for Candidate Countries," Working Papers, University of Crete, Department of Economics, number 0718, Jan.
• Janine Aron & John Muellbauer, 2007, "Inflation dynamics and trade openness: with an application to South Africa," CSAE Working Paper Series, Centre for the Study of African Economies, University of Oxford, number 2007-11.
• Esteban-Bravo, Mercedes & Vidal-Sanz, José M., 2007, "The long memory of newspapers' subscriptions : between the short-run and persistence response," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb076411, Sep.
• Dolado, Juan José & Gonzalo, Jesús & Mayoral, Laura, 2007, "Wald Tests of I(1) against I(d) alternatives : some new properties and an extension to processes with trending components," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we20070625, Jun.
• Luc, BAUWENS & G., STORTI, 2007, "A Component GARCH Model with Time Varying Weights," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques, number 2007012, Mar.
• Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS, 2007, "Theory and inference for a Markov switching GARCH model," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques, number 2007033, Sep.
• Olmo, J., 2007, "An asset pricing model for mean-variance-downside-risk averse investors," Working Papers, Department of Economics, City St George's, University of London, number 07/01.
• Gonzalo, J. & Olmo, J., 2007, "The impact of heavy tails and comovements in downside-risk diversification," Working Papers, Department of Economics, City St George's, University of London, number 07/02.
• Olmo, J. & Pilbeam, K., 2007, "A resolution of the forward discount puzzle," Working Papers, Department of Economics, City St George's, University of London, number 07/10.
• Escanciano, J. C. & Olmo, J., 2007, "Estimation risk effects on backtesting for parametric value-at-risk models," Working Papers, Department of Economics, City St George's, University of London, number 07/11.
• L.A. Gil-Alanaa, 2007, "Testing The Existence of Multiple Cycles in Financial and Economic Time Series," Annals of Economics and Finance, Society for AEF, volume 8, issue 1, pages 1-20, May.
• Woon Gyu Choi, 2007, "Measuring Interest Rates as Determined by Thrift and Productivity," Annals of Economics and Finance, Society for AEF, volume 8, issue 1, pages 167-195, May.
• Hafner, Christian M. & Rombouts, Jeroen V.K., 2007, "Semiparametric Multivariate Volatility Models," Econometric Theory, Cambridge University Press, volume 23, issue 2, pages 251-280, April.
• Phillips, Peter C.B. & Kim, Chang Sik, 2007, "Long-Run Covariance Matrices For Fractionally Integrated Processes," Econometric Theory, Cambridge University Press, volume 23, issue 6, pages 1233-1247, December.

2006

• Niels Haldrup & Andreu Sansó, 2006, "A Note on the Vogelsang Test for Additive Outliers," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2006-01, Jan.
• Gunnar Bårdsen & Niels Haldrup, 2006, "A Gaussian IV estimator of cointegrating relations," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2006-03, Feb.
• Stanislav Anatolyev & Dmitry Shakin, 2006, "Trade intensity in the Russian stock market:dynamics, distribution and determinants," Working Papers, New Economic School (NES), number w0070, Aug.
• Stanislav Anatolyev, 2006, "Nonparametric retrospection and monitoring of predictability of financial returns," Working Papers, New Economic School (NES), number w0071, Aug.
• Stanislav Anatolyev & Grigory Kosenok, 2006, "Tests in contingency tables as regression tests," Working Papers, New Economic School (NES), number w0075, Dec.
• Stanislav Anatolyev, 2006, "Dynamic modeling under linear-exponential loss," Working Papers, New Economic School (NES), number w0092, Dec.
• Olivier Roodenburg & Ard H.J. den Reijer, 2006, "Dutch GDP Data Revisions: Are They Predictable and Where Do They Come from?," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, volume 52, issue 4, pages 337-356.
• J-P.Guironnet, 2006, "Analyse cliométrique des cycles de croissance de l'éducation en France (1815-2003): vers un modèle à seuil autorégressif," Economies et Sociétés (Serie 'Histoire Economique Quantitative'), Association Française de Cliométrie (AFC), issue 34, pages 193-214, February.
• Olivier Darné & Claude Diebolt, 2006, "Cliometrics of Academic Careers and the Impact of Infrequent Large Shocks in Germany before 1945," Working Papers, Association Française de Cliométrie (AFC), number 06-01.
• Claude Diebolt & Tapas K. Mishra, 2006, "Cliometrics of the Abiding Nexus Between Demographic Components and Economic Development," Working Papers, Association Française de Cliométrie (AFC), number 06-06.
• Mohamed Chikhi & Claude Diebolt, 2006, "Nonparametric Analysis of Financial Time Series by the Kernel Methodology," Working Papers, Association Française de Cliométrie (AFC), number 06-11.
• Gomez, Miguel I. & Gonzalez, Eliana & Melo, Luis F. & Torres, Jose L., 2006, "Forecasting Food Price Inflation, Challenges for Central Banks in Developing Countries using an Inflation Targeting Framework: the Case of Colombia," 2006 Annual meeting, July 23-26, Long Beach, CA, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association), number 21181, DOI: 10.22004/ag.econ.21181.
• Fischer, Christian & Gil-Alana, Luis A., 2006, "The nature of the relationship between international tourism and international trade: the case of German imports of Spanish wine," 98th Seminar, June 29-July 2, 2006, Chania, Crete, Greece, European Association of Agricultural Economists, number 10049, DOI: 10.22004/ag.econ.10049.
• Obi, Ajuruchukwu & van Schalkwyk, Herman D., 2006, "Recent Trends in Agricultural Land Prices in South Africa: A Preliminary Investigation Using Cointegration Analysis," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia, International Association of Agricultural Economists, number 25234, DOI: 10.22004/ag.econ.25234.
• Caceres-Hernandez, Jose Juan & Martin-Rodriguez, Gloria, 2006, "Heterogeneous Seasonal Patterns in Agricultural Data and Evolving Splines," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia, International Association of Agricultural Economists, number 25261, DOI: 10.22004/ag.econ.25261.
• Fischer, Christian & Gil-Alana, Luis A., 2006, "The Nature of the Relationship between International Tourism and International Trade: The Case of German Imports of Spanish Wine," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia, International Association of Agricultural Economists, number 25341, DOI: 10.22004/ag.econ.25341.
• Resende Filho, Moises de Andrade & Buhr, Brian L., 2006, "Economic Evidence of Willingness to Pay for the National Animal Identification System in the US," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia, International Association of Agricultural Economists, number 25342, DOI: 10.22004/ag.econ.25342.
• Carter, Colin A. & Smith, Aaron D., 2006, "Estimating the Market Effect of a Food Scare: The Case of Genetically Modified StarLink Corn," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia, International Association of Agricultural Economists, number 25447, DOI: 10.22004/ag.econ.25447.
• Mghenyi, Elliot W. & Jayne, Thomas S., 2006, "Food Pricing Policy and Rural Poverty: Insights from Maize in Kenya," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia, International Association of Agricultural Economists, number 25466, DOI: 10.22004/ag.econ.25466.
• van Tilburg, Aad & Kuiper, W. Erno & Swinkels, Rob, 2006, "Market Performance of Potato Auctions in Bhutan," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia, International Association of Agricultural Economists, number 25520, DOI: 10.22004/ag.econ.25520.
• Jayne, Thomas S. & Myers, Robert J. & Nyoro, James K., 2006, "The Effects of Government Maize Marketing Policies on Maize Market Prices in Kenya," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia, International Association of Agricultural Economists, number 25555, DOI: 10.22004/ag.econ.25555.
• Brümmer, Bernhard & von Cramon-Taubadel, Stephan & Zorya, Sergiy, 2006, "Vertical Price Transmission between Wheat and Flour in Ukraine: A Markov-Switching Vector Error Correction Approach," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia, International Association of Agricultural Economists, number 25575, DOI: 10.22004/ag.econ.25575.
• Berg, Ernst & Schmitz, Bernhard & Starp, Michael, 2006, "Weather Derivatives as an Instrument to Hedge Against the Risk of High Energy Cost in Greenhouse Production," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia, International Association of Agricultural Economists, number 25629, DOI: 10.22004/ag.econ.25629.
• Alemu, Zerihun Gudeta & Biacuana, G.R., 2006, "Measuring Market Integration in Mozambican Maize Markets: A Threshold Vector Error Correction Approach," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia, International Association of Agricultural Economists, number 25657, DOI: 10.22004/ag.econ.25657.
• Yakhshilikov, Yorbol & Brosig, Stephan, 2006, "Spatial Price Transmission in Kazakh Wheat Markets," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia, International Association of Agricultural Economists, number 25690, DOI: 10.22004/ag.econ.25690.
• Hall, Viv & McDermott, John & Tremewan, James, 2006, "The Ups and Downs of New Zealand House Prices," Motu Working Papers, Motu Economic and Public Policy Research, number 292874, Jul, DOI: 10.22004/ag.econ.292874.
• Hall, Viv & McDermott, John, 2006, "Regional business cycles in New Zealand: Do they exist? What might drive them?," Motu Working Papers, Motu Economic and Public Policy Research, number 292992, Oct, DOI: 10.22004/ag.econ.292992.
• Busch, Thomas & Jesper Christensen, Bent & Orregaard Nielsen, Morten, 2006, "The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273665, Feb, DOI: 10.22004/ag.econ.273665.
• Narayan, Paresh Kumar & Smyth, Russell, 2006, "Democracy and Economic Growth in China: Evidence from Cointegration and Causality Testing," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, volume 2, issue 01, pages 1-18, DOI: 10.22004/ag.econ.50282.
• Diebold, F.X. & Kilian, L. & Nerlove, Marc, 2006, "Time Series Analysis," Working Papers, University of Maryland, Department of Agricultural and Resource Economics, number 28556, DOI: 10.22004/ag.econ.28556.
• Giulietti, Monica & Otero, Jesus & Smith, Jeremy, undated, "Testing for stationarity in heterogeneous panel data in the presence of cross section dependence," Economic Research Papers, University of Warwick - Department of Economics, number 269651, DOI: 10.22004/ag.econ.269651.
• Giulietti, Monica & Otero, Jesus & Smith, Jeremy, undated, "Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence," Economic Research Papers, University of Warwick - Department of Economics, number 269741, DOI: 10.22004/ag.econ.269741.
• Iñaki Iriarte Goñi & María Isabel Ayuda, 2006, "Una Estimación Del Consumo De Madera En España Entre 1860 Y 1935," Documentos de Trabajo (DT-AEHE), Asociación Española de Historia Económica, number 0603, Sep.
• Diks, C.G.H. & Wagener, F.O.O., 2006, "A weak bifurcation theory for discrete time stochastic dynamical systems," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 06-04.
• Diks, C.G.H. & Panchenko, V., 2006, "Rank-based entropy tests for serial independence," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 06-14.
• Erik Alencar de Figueirêdo, 2006, "Não-Linearidade e Persistência das Flutuações Econômicas: Evidência Internacional," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 7, issue 1, pages 1-28.
• Fabrício de Assis C. Vieira & Márcio Holland, 2006, "Crescimento Econômico Secular No Brasil, Modelo De Thirlwall E Termos De Troca," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 167.
• ZARZOSA VALDIVIA, Fernando Enrique, 2006, "Income distribution, Dutch disease and real exchange rate movements," Working Papers, University of Antwerp, Faculty of Business and Economics, number 2006033, Dec.
• Isabel Cortes Jimenez & Manuel Artis Ortuno, 2006, "The role of the tourism sector in economic development. Lessons from the Spanish experience," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 158.
• Vanessa Berenguer Rico & Josep Lluis Carrion Silvestre, 2006, "Testing for multicointegration in panel data with common factors," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 160.
• René Lalonde & Nicolas Parent, 2006, "The Federal Reserve's Dual Mandate: A Time-Varying Monetary Policy Priority Index for the United States," Staff Working Papers, Bank of Canada, number 06-11, DOI: 10.34989/swp-2006-11.
• Yi Zheng & James Rossiter, 2006, "Using Monthly Indicators to Predict Quarterly GDP," Staff Working Papers, Bank of Canada, number 06-26, DOI: 10.34989/swp-2006-26.
• Jason Allen & Robert Amano & David Byrne & Allan Gregory, 2006, "Canadian City Housing Prices and Urban Market Segmentation," Staff Working Papers, Bank of Canada, number 06-49, DOI: 10.34989/swp-2006-49.
• Patrick Lünnemann & Thomas Mathä, 2006, "New survey evidence on the pricing behaviour of Luxembourg firms," BCL working papers, Central Bank of Luxembourg, number 19, May.
• Hildegart A. Ahumada, 2006, "A Note on Regressions with Integrated Variables," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, volume 1, issue 45, pages 79-94, October.
• Verónica Balzarotti, 2006, "Real Interest Rate Risk in the Argentine Banking System. A Measuring Model," BCRA Working Paper Series, Central Bank of Argentina, Economic Research Department, number 200606, Dec.
• Federico Ravenna, 2006, "Vector autoregressions and reduced form representations of DSGE models," Working Papers, Banco de España, number 0619, Aug.
• Juan F. Jimeno & Esther Moral & Lorena Saiz, 2006, "Structural breaks in labor productivity growth: the United States vs. the European Union," Working Papers, Banco de España, number 0625, Oct.
• Fabio Busetti & Silvia Fabiani & Andrew Harvey, 2006, "Convergences of prices and rates of inflation," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 575, Feb.
• Benavides Guillermo, 2006, "Volatility Forecasts for the Mexican Peso - U.S. Dollar Exchange Rate: An Empirical Analysis of Garch, Option Implied and Composite Forecast Models," Working Papers, Banco de México, number 2006-04, Apr.
• Noriega Antonio E. & Ventosa-Santaulària Daniel, 2006, "Spurious Regression and Econometric Trends," Working Papers, Banco de México, number 2006-05, Apr.
• Ramos Francia Manuel & Capistrán Carlos, 2006, "Inflation Dynamics in Latin America," Working Papers, Banco de México, number 2006-11, Nov.
• Noriega Antonio E. & Ventosa-Santaulària Daniel, 2006, "Spurious Cointegration: The Engle-Granger Test in the Presence of Structural Breaks," Working Papers, Banco de México, number 2006-12, Dec.
• Munir A. Jalil B. & Martha Misas A, 2006, "Evaluación de pronósticos del tipo de cambio utilizando redes neuronales y funciones de perdida asimétricas," Borradores de Economia, Banco de la Republica de Colombia, number 376, Feb, DOI: 10.32468/be.376.
• Meitz, Mika & Terasvirta, Timo, 2006, "Evaluating Models of Autoregressive Conditional Duration," Journal of Business & Economic Statistics, American Statistical Association, volume 24, pages 104-124, January.
• Sanvi Avouyi-Dovi & Brun, M. & Dreyfus, A. & Françoise Drumetz & Oung, V. & Jean-Guillaume Sahuc, 2006, "La fonction de demande de monnaie pour la zone euro : un r examen," Working papers, Banque de France, number 142.
• Caroline Jardet, 2006, "Term Structure Anomalies: Term Premium or Peso problem?," Working papers, Banque de France, number 143.
• Olivier de Bandt & Catherine Bruno & Alexis Flageollet, 2006, "Assessing Aggregate Comovements in France, Germany and Italy. Using a Non Stationary Factor Model of the Euro Area," Working papers, Banque de France, number 145.
• Élisabeth Fonteny, 2006, "La désaisonnalisation des séries d agrégats mon taires et de Crédit à la Banque de France : aspects Théoriques et mise en oeuvre," Working papers, Banque de France, number 147.