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

2006

• Campbell, John Y. & Yogo, Motohiro, 2006, "Efficient tests of stock return predictability," Journal of Financial Economics, Elsevier, volume 81, issue 1, pages 27-60, July.
• Baillie, Richard T. & Kilic, Rehim, 2006, "Do asymmetric and nonlinear adjustments explain the forward premium anomaly?," Journal of International Money and Finance, Elsevier, volume 25, issue 1, pages 22-47, February.
• Gerlach, Richard & Wilson, Patrick & Zurbruegg, Ralf, 2006, "Structural breaks and diversification: The impact of the 1997 Asian financial crisis on the integration of Asia-Pacific real estate markets," Journal of International Money and Finance, Elsevier, volume 25, issue 6, pages 974-991, October.
• Barnett, William A., 2006, "Comments on "Chaotic monetary dynamics with confidence"," Journal of Macroeconomics, Elsevier, volume 28, issue 1, pages 253-255, March.
• He, Yijun & Barnett, William A., 2006, "Singularity bifurcations," Journal of Macroeconomics, Elsevier, volume 28, issue 1, pages 5-22, March.
• Narayan, Paresh Kumar, 2006, "The behaviour of US stock prices: Evidence from a threshold autoregressive model," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 71, issue 2, pages 103-108, DOI: 10.1016/j.matcom.2005.11.016.
• Chen, Shyh-Wei, 2006, "Simultaneously modeling the volatility of the growth rate of real GDP and determining business cycle turning points: Evidence from the U.S., Canada and the UK," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 71, issue 2, pages 87-102, DOI: 10.1016/j.matcom.2005.11.015.
• Oliveira, Francisco H.P. & Jayme, Frederico Jr. & Lemos, Mauro B., 2006, "Increasing returns to scale and international diffusion of technology: An empirical study for Brazil (1976-2000)," World Development, Elsevier, volume 34, issue 1, pages 75-88, January.
• Ravallion, Martin, 2006, "Looking beyond averages in the trade and poverty debate," World Development, Elsevier, volume 34, issue 8, pages 1374-1392, August.
• Heather M. Anderson & George Athanasopoulos & Farshid Vahid, 2006, "Nonlinear autoregressive leading indicator models of output in G-7 countries," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2006-14, Apr.
• Chin Nam Low & Heather Anderson & Ralph Snyder, 2006, "Beverridge Nelson Decomposition With Markov Switching," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2006-18, Jul.
• Robinson, Peter M., 2006, "Nonparametric spectrum estimation for spatial data," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 4543, Feb.
• Dalla, Violetta & Giraitis, Liudas & Hidalgo, Javier, 2006, "Consistent estimation of the memory parameter for nonlinear time series," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6813, Jan.
• Martínez Granado, María Teresa & Siotis, Georges, 2006, "Computing abuse related damages in the case of new entry: An illustration for the Directory Enquiry Services market," DFAEII Working Papers, University of the Basque Country - Department of Foundations of Economic Analysis II, number 1988-088X, Jul.
• Flávio Vilela Vieira, 2006, "China: long-run economic growth," Brazilian Journal of Political Economy, Center of Political Economy, volume 26, issue 3, pages 401-424.
• Nikolaos Giannellis & Athanasios P. Papadopoulos, 2006, "Purchasing Power Parity among Developing Countries and their Trade-Partners. Evidence from Selected CEEC and Implications for their Membership of EU," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 9, issue 1, pages 39-56, Summer.
• Ansgar Belke & Thorsten Polleit, 2006, "Dividend Yields for Forecasting Stock Market Returns. An ARDL Cointegration Analysis for Germany," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 9, issue 1, pages 86-116, Summer.
• Borus Jungbacker & Siem Jan Koopman, 2006, "Model-Based Measurement of Actual Volatility in High-Frequency Data," Advances in Econometrics, Emerald Group Publishing Limited, "Econometric Analysis of Financial and Economic Time Series", DOI: 10.1016/S0731-9053(05)20007-5.
• Heather M. Anderson & Chin Nam Low, 2006, "Random Walk Smooth Transition Autoregressive Models," Contributions to Economic Analysis, Emerald Group Publishing Limited, "Nonlinear Time Series Analysis of Business Cycles", DOI: 10.1016/S0573-8555(05)76010-7.
• de Pooter, M.D. & Segers, R. & van Dijk, H.K., 2006, "Gibbs sampling in econometric practice," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2006-13, Mar.
• Rotger, G.P. & Franses, Ph.H.B.F., 2006, "Forecasting high-frequency electricity demand with a diffusion index model," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2006-38, Sep.
• Dekimpe, M.G. & Franses, Ph.H.B.F. & Hanssens, D.M. & Naik, P., 2006, "Time-Series Models in Marketing," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2006-049-MKT, Sep.
• Dr. Ioannis N. Kallianiotis & Dr. Dean Frear, 2006, "Assets Return and Risk and Exchange Rate Trends: An Ex Post Analysis," European Research Studies Journal, European Research Studies Journal, volume 0, issue 3-4, pages 15-34.
• Nikolaos Dritsakis & Erotokritos Varelas & Antonios Adamopoulos, 2006, "The Main Determinants of Economic Growth : An Empirical Investigation with Granger Causality Analysis for Greece," European Research Studies Journal, European Research Studies Journal, volume 0, issue 3-4, pages 47-58.
• P. Jenkins, Stephen, 2000, "The distribution of income by sectors of the population," ISER Working Paper Series, Institute for Social and Economic Research, number 2000-18, May.
• Pudney, Stephen & Hernandez, Monica, 2006, "Measurement error in models of welfare participation," ISER Working Paper Series, Institute for Social and Economic Research, number 2006-29, Jun.
• A. Frenzel Baudisch, 2006, "Continuous Market Growth Beyond Functional Satiation. Time-Series Analyses of U.S. Footwear Consumption, 1955-2002," Papers on Economics and Evolution, Philipps University Marburg, Department of Geography, number 2006-03, May.
• Adrian Wood, 2006, "Making globalisation work for the poor: The 2000 White Paper Reconsidered," Working Papers, eSocialSciences, number id:501.
• Karuna Gomanee, 2006, "Aid, Public Spending and Human Welfare: Evidence from Quantile Regressions," Working Papers, eSocialSciences, number id:761.
• Pranab Bardhan, 2006, "Pro-Poor Targeting and Accountability of Local Governments in West Bengal," Working Papers, eSocialSciences, number id:773.
• Bill Russell, Anindya Banerjee, 2006, "The Long-Run Phillips Curve and Non-Stationary Inflation," Economics Working Papers, European University Institute, number ECO2006/16.
• Markku Lanne, 2006, "Forecasting Realized Volatility by Decomposition," Economics Working Papers, European University Institute, number ECO2006/20.
• Markku Lanne, 2006, "A Mixture Multiplicative Error Model for Realized Volatility," Economics Working Papers, European University Institute, number ECO2006/3.
• Ralf Brueggemann & Helmut Luetkepohl & Massimiliano Marcellino, 2006, "Forecasting Euro-Area Variables with German Pre-EMU Data," Economics Working Papers, European University Institute, number ECO2006/30.
• Anindya Banerjee & Josep Lluís Carrion-i-Silvestre, 2006, "Cointegration in Panel Data with Breaks and Cross-Section Dependence," Economics Working Papers, European University Institute, number ECO2006/5.
• Yeliz Yalcin & Eray M. Yycel, 2006, "The Day-of-the-Week Effect on Stock-Market Volatility and Return: Evidence from Emerging Markets (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 56, issue 5-6, pages 258-277, May.
• Jarko Fidrmuc & Roman Horváth, 2006, "Credibility of Exchange Rate Policies in Selected EU New Members: Evidence from High Frequency Data," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2006/28, Oct, revised Oct 2006.
• LI Zinai & ZHOU Jian, 2006, "Analysis on structural changes in the macroeconomic data series with the empirical evidence from China," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 1, issue 2, pages 155-170, June.
• LIANG Qi & TENG Jianzhou, 2006, "Unit roots and structural breakpoints in China¡¯s macroeconomic and financial time series," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 1, issue 4, pages 537-559, December.
• Girijasankar Mallik, 2006, "Has the Stock Market Integration Between the Asian and OECD Countries Improved After the Asian Crisis?," Frontiers in Finance and Economics, SKEMA Business School, volume 3, issue 2, pages 55-69, December.
• Fernandes, Marcelo & Rocha, Marco Aurélio dos Santos, 2006, "Are price limits on futures markets that cool?: evidence from the Brazilian Mercantile and Futures Exchange," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 630, Nov.
• Tim Bollerslev & Hao Zhou, 2006, "Expected stock returns and variance risk premia," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2007-11.
• Erik Hjalmarsson, 2006, "Inference in Long-Horizon Regressions," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 853.
• Erik Hjalmarsson, 2006, "Predictive regressions with panel data," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 869.
• Michael J. Dueker & Martin Sola & Fabio Spagnolo, 2006, "Contemporaneous threshold autoregressive models: estimation, testing and forecasting," Working Papers, Federal Reserve Bank of St. Louis, number 2003-024, DOI: 10.20955/wp.2003.024.
• Robert W. Rich & Joseph Tracy, 2006, "The relationship between expected inflation, disagreement, and uncertainty: evidence from matched point and density forecasts," Staff Reports, Federal Reserve Bank of New York, number 253, Jul.
• Alexandros Kontonikas & Alberto Montagnoli & Nicola Spagnolo, 2006, "Stock Returns and Inflation: The Impact of Inflation Targeting," Working Papers, Business School - Economics, University of Glasgow, number 2005_11, Aug.
• Guglielmo maria Coporale & Alexandros Kontonikas, 2006, "The EURO and Inflation Uncertainty In The EMU," Working Papers, Business School - Economics, University of Glasgow, number 2005_13, Sep.
• Carlos Santos & David Hendry, 2006, "Saturation in Autoregressive Models," Notas Económicas, Faculty of Economics, University of Coimbra, issue 24, pages 8-19, December.
• João Sousa Andrade, 2006, "Mobilidade do Capital e Sustentabilidade Externa: uma aplicação da tese de F-H a Portugal (1910-2004)," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2006-04.
• Dierk Herzer & Rainer Klump, 2006, "Poverty, Government Transfers, and the Business Cycle: Evidence for the United States," Ibero America Institute for Econ. Research (IAI) Discussion Papers, Ibero-America Institute for Economic Research, number 141, Jun.
• Dierk Herzer & Stephan Klasen & Felicitas Nowak-Lehmann D., 2006, "In search of FDI-led growth in developing countries," Ibero America Institute for Econ. Research (IAI) Discussion Papers, Ibero-America Institute for Economic Research, number 150, Jul.
• Henry Aray, 2006, "The Latin American and Spanish Stock markets," ThE Papers, Department of Economic Theory and Economic History of the University of Granada., number 06/12, Dec.
• Antonio E. Noriega & Daniel Ventosa-Santaularia, 2006, "Spurious Regression and Trending Variables," Department of Economics and Finance Working Papers, Universidad de Guanajuato, Department of Economics and Finance, number EM200701, Sep, revised Jan 2007.
• Nicolas Million, 2006, "Changements de régime pour la persistance et la dynamique du taux d'intérêt réel américain," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00119051, Oct.
• Serge Rey, 2006, "Effective Exchange rate Volatility and MENA countries’ exports to EU," Post-Print, HAL, number hal-01885316.
• Jean-Guillaume Sahuc, 2006, "Partial indexation, trend inflation, and the hybrid Phillips curve," Post-Print, HAL, number hal-02877995, Jan, DOI: 10.1016/j.econlet.2005.07.002.
• Frédérique Bec & Mélika Ben Salem & Ronald Macdonald, 2006, "Real exchange rates and real interest rates : a nonlinear perspective," Post-Print, HAL, number hal-04176239, DOI: 10.3917/rel.722.0177.
• Eric Heyer & Xavier Timbeau, 2006, "Immobilier et politique monétaire," Sciences Po Economics Publications (main), HAL, number hal-01010123, DOI: 10.3917/reof.096.0115.
• Idrovo Aguirre, Byron, 2006, "Estimación del spread de tasas de corto y largo plazo: Un indicador de alerta temprana
  [An estimation of short and long term rates spread: a leading indicator]," MPRA Paper, University Library of Munich, Germany, number 11116, Dec, revised 12 Mar 2007.
• Gomez-Sorzano, Gustavo, 2006, "Decomposing violence: terrorist murder in the twentieth century in the U.S," MPRA Paper, University Library of Munich, Germany, number 1145, Jun, revised 11 Nov 2006.
• Mishra, SK, 2006, "Globalization and Structural Changes in the Indian Industrial Sector: An Analysis of Production Functions," MPRA Paper, University Library of Munich, Germany, number 1231, Dec.
• Shepherd, Ben, 2006, "Estimating Price Elasticities of Supply for Cotton: A Structural Time-Series Approach," MPRA Paper, University Library of Munich, Germany, number 1252, Aug.
• Gomez-Sorzano, Gustavo, 2006, "A model of cyclical terrorist murder in Colombia, 1950-2004. Forecasts 2005-2019," MPRA Paper, University Library of Munich, Germany, number 134, May, revised 22 May 2006.
• Gomez-Sorzano, Gustavo, 2006, "Scenarios for sustainable peace in colombia by year 2019," MPRA Paper, University Library of Munich, Germany, number 135, Sep, revised 22 Sep 2006.
• Weron, Rafal & Misiorek, Adam, 2006, "Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market," MPRA Paper, University Library of Munich, Germany, number 1363.
• Harb, Nasri, 2006, "Trade Between Euro Zone and Arab Countries: a Panel Study," MPRA Paper, University Library of Munich, Germany, number 13675, Mar.
• Pandey, Alok Kumar, 2006, "Export and Economic Growth in India: Causal Interpretation," MPRA Paper, University Library of Munich, Germany, number 14670, Apr, revised Oct 2006.
• Matesanz Gómez, David & Fugarolas Álvarez-Ude, Guadalupe, 2006, "Exchange rate policy and trade balance. A cointegration analysis of the argentine experience since 1962," MPRA Paper, University Library of Munich, Germany, number 151, revised 2006.
• Rao, B. Bhaskara, 2006, "Time Series Econometrics of Growth Models: A Guide for Applied Economists," MPRA Paper, University Library of Munich, Germany, number 1547, Dec.
• Feng, Yuanhua & Beran, Jan & Yu, Keming, 2006, "Modelling financial time series with SEMIFAR-GARCH model," MPRA Paper, University Library of Munich, Germany, number 1593.
• Waheed, Muhammad & Alam, Tasneem & Ghauri, Saghir Pervaiz, 2006, "Structural breaks and unit root: evidence from Pakistani macroeconomic time series," MPRA Paper, University Library of Munich, Germany, number 1797, Dec.
• Mapa, Dennis S. & Briones, Kristine Joy S., 2006, "Measuring the Common Component of Stock Market Fluctuations in the Asia-Pacific Region," MPRA Paper, University Library of Munich, Germany, number 21247.
• Haider, Adnan & Butt, M. Sabihuddin, 2006, "The Direction of Causality between Health Spending and GDP: The Case of Pakistan," MPRA Paper, University Library of Munich, Germany, number 23379, Aug, revised 05 Dec 2006.
• Bond, Derek & Dyson, Kenneth, 2006, "Long memory and non-linearity in Stock Markets," MPRA Paper, University Library of Munich, Germany, number 252, Sep.
• Chagas Lopes, Margarida, 2006, "Portuguese Women in Science and Technology (S&T): Some Gender Features Behind MSc. and PhD. Achievement," MPRA Paper, University Library of Munich, Germany, number 26744.
• Alam, Tasneem & Waheed, Muhammad, 2006, "The monetary transmission mechanism in Pakistan: a sectoral analysis," MPRA Paper, University Library of Munich, Germany, number 2719, Sep, revised 13 Apr 2007.
• Foresti, Pasquale, 2006, "Testing for Granger causality between stock prices and economic growth," MPRA Paper, University Library of Munich, Germany, number 2962, revised 2007.
• Halkos, George & Kevork, Ilias, 2006, "Forecasting an ARIMA (0,2,1) using the random walk model with drift," MPRA Paper, University Library of Munich, Germany, number 31841.
• Gopalan, Sasidaran, 2006, "A causal investigation of aggregate output fluctuations in India," MPRA Paper, University Library of Munich, Germany, number 33063, Sep.
• Gómez-Sorzano, Gustavo, 2006, "Using the Beveridge & Nelson decomposition of economic time series for pointing out the occurrence of terrorist attacks," MPRA Paper, University Library of Munich, Germany, number 3388, Dec, revised 22 Mar 2007.
• Gómez-Sorzano, Gustavo, 2006, "Decomposing violence: terrorist murder and attacks in New York State from 1933 to 2005," MPRA Paper, University Library of Munich, Germany, number 3776, Dec, revised 01 Jul 2007.
• Kimbugwe, Hassan, 2006, "The bilateral J-Curve hypothesis between Turkey and her 9 trading partners," MPRA Paper, University Library of Munich, Germany, number 4254, May.
• Gómez-Sorzano, Gustavo, 2006, "Cycles of violence, and terrorist attacks index for the State of Ohio," MPRA Paper, University Library of Munich, Germany, number 4605, Feb, revised 25 Aug 2007.
• Jiranyakul, Komain, 2006, "The Impact of International Oil Prices on Industrial Production: The Case of Thailand," MPRA Paper, University Library of Munich, Germany, number 47035, Dec.
• Han, Heejoon & Park, Joon Y., 2006, "Time series properties of ARCH processes with persistent covariates," MPRA Paper, University Library of Munich, Germany, number 5199, May.
• Gervais, Jean-Philippe & Larue, Bruno, 2006, "A Joint Test of Price Discrimination, Menu Cost and Currency Invoicing," MPRA Paper, University Library of Munich, Germany, number 565, Jun.
• Ventosa-Santaularària, Daniel & Gómez, Manuel, 2006, "Inflation and Breaks: the validity of the Dickey-Fuller test," MPRA Paper, University Library of Munich, Germany, number 58773.
• Frimpong, Joseph Magnus & Oteng-Abayie, Eric Fosu, 2006, "Modelling and Forecasting Volatility of Returns on the Ghana Stock Exchange Using GARCH Models," MPRA Paper, University Library of Munich, Germany, number 593, Oct, revised 07 Oct 2006.
• Frimpong, Joseph Magnus & Oteng-Abayie, Eric Fosu, 2006, "Aggregate Import demand and Expenditure Components in Ghana:An Econometric Analysis," MPRA Paper, University Library of Munich, Germany, number 599, Aug, revised 15 Aug 0002.
• Saidi, Youssef & Zakoian, Jean-Michel, 2006, "Stationarity and geometric ergodicity of a class of nonlinear ARCH models," MPRA Paper, University Library of Munich, Germany, number 61988, revised 2006.
• Bulla, Jan, 2006, "Application of Hidden Markov Models and Hidden Semi-Markov Models to Financial Time Series," MPRA Paper, University Library of Munich, Germany, number 7675.
• Lorde, Troy & Moore, Winston, 2006, "Modeling and Forecasting the Volatility of Long-stay Tourist Arrivals," MPRA Paper, University Library of Munich, Germany, number 95599, Dec.
• C.E. Moolman & E.L. Roos & J.C. Le Roux & C. B. Du Toit, 2006, "Foreign Direct Investment: South Africa�s Elixir of Life?," Working Papers, University of Pretoria, Department of Economics, number 200605, Feb.
• J. H. Eita & Moses M. Sichei, 2006, "Estimating the Equilibrium Real Exchange Rate for Namibia," Working Papers, University of Pretoria, Department of Economics, number 200608, Feb.
• Karel Brůna, 2006, "Glenn Rudebusch's View on the Targeting of Short-Term Interest Rates
  [Cílování krátkodobých úrokových sazeb pohledem Glenna Rudebusche]," Český finanční a účetní časopis, Prague University of Economics and Business, volume 2006, issue 1, pages 163-169, DOI: 10.18267/j.cfuc.135.
• Katsumi Shimotsu, 2006, "Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend," Working Paper, Economics Department, Queen's University, number 1061, Mar.
• Katsumi Shimotsu, 2006, "Gaussian Semiparametric Estimation Of Multivariate Fractionally Integrated Processes," Working Paper, Economics Department, Queen's University, number 1062, Feb.
• Katsumi Shimotsu, 2006, "Simple (but Effective) Tests Of Long Memory Versus Structural Breaks," Working Paper, Economics Department, Queen's University, number 1101, Dec.
• Bent Jesper Christensen & Morten Ø. Nielsen & Thomas Busch, 2006, "The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps," Working Paper, Economics Department, Queen's University, number 1188, Feb.
• George Kapetanios & Zacharias Psaradakis, 2006, "Sieve Bootstrap for Strongly Dependent Stationary Processes," Working Papers, Queen Mary University of London, School of Economics and Finance, number 552, Jan.
• Duo Qin & Marie Anne Cagas & Geoffrey Ducanes & Nedelyn Magtibay-Ramos & Pilipinas F. Quising, 2006, "Measuring Regional Market Integration by Dynamic Factor Error Correction Model (DF-ECM) Approach - The Case of Developing Asia," Working Papers, Queen Mary University of London, School of Economics and Finance, number 565, Sep.
• George Kapetanios & Elias Tzavalis, 2006, "Stochastic Volatility Driven by Large Shocks," Working Papers, Queen Mary University of London, School of Economics and Finance, number 568, Sep.
• Richard T. Baillie & George Kapetanios, 2006, "Nonlinear Models with Strongly Dependent Processes and Applications to Forward Premia and Real Exchange Rates," Working Papers, Queen Mary University of London, School of Economics and Finance, number 570, Sep.
• Duo Qin, 2006, "Uncover Latent PPP by Dynamic Factor Error Correction Model (DF-ECM) Approach: Evidence from Five OECD Countries," Working Papers, Queen Mary University of London, School of Economics and Finance, number 575, Sep.
• Marcelo Fernandes & Marco Aurélio dos Santos Rocha, 2006, "Are Price Limits on Futures Markets That Cool? Evidence from the Brazilian Mercantile and Futures Exchange," Working Papers, Queen Mary University of London, School of Economics and Finance, number 579, Nov.
• Sergey Belousov, 2006, "Volatility modeling with jumps: applications to Russian and American stock markets (in Russian)," Quantile, Quantile, issue 1, pages 101-110, September.
• Stan Hurn & Ralf Becker, 2006, "Testing for nonlinearity in mean in the presence of heteroskedasticity," Stan Hurn Discussion Papers, School of Economics and Finance, Queensland University of Technology, number 2006-02, Jun.
• Paul Hiebert, 2006, "Household Saving and Asset Valuations in Selected Industrialised Countries," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2006-07, Aug.
• Jesús Ferreyra & Jorge Salas, 2006, "The Equilibrium Real Exchange Rate in Peru: BEER Models and Confidence Band Building," Working Papers, Banco Central de Reserva del Perú, number 2006-006, Jun.
• Cesar Carrera & Mahir Binici, 2006, "Pass-Through del Tipo de Cambio y Política Monetaria: Evidencia Empírica de los Países del OECD," Working Papers, Banco Central de Reserva del Perú, number 2006-009, Oct.
• Marcelo Fernandes & Marcelo Cunha Medeiros & Alvaro Veiga, 2006, "A (semi-)parametric functional coefficient autoregressive conditional duration model," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 535, Dec.
• Yuriy Kharin, 2006, "Stability in Stochastic Forecasting of Time Series," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 1, issue 1, pages 82-93.
• Min-Chang Ko & Byung-Taik Cho, 2006, "Suggestions for an East Asian Monetary Union: Focusing on the Effects of Monetary Integration on Bilateral Trade," East Asian Economic Review, Korea Institute for International Economic Policy, volume 10, issue 1, pages 131-157, DOI: 10.11644/KIEP.JEAI.2006.10.1.154.
• Panos Fousekis, 2006, "Convergence Clubs of State-Level Agricultural Productivity in the U.S.A," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 59, issue 4, pages 481-501.
• Luis A. Gil-Alana, 2006, "UK Unemployment Dynamics: a Fractionally Cointegrated Approach," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 59, issue 1, pages 33-50.
• Truc Le Nguyen & Subrata Ghatak & Vince Daly, 2006, "The export propensity of Polish SMEs," Economics Discussion Papers, School of Economics, Kingston University London, number 2006-3, Jul.
• Plinio Hernández & Césare Armando Salazar, 2006, "Efectos de la apertura y la desregulación en la participación de los salarios en la producción de la industria en México, 1980-2002," Revista Nicolaita de Estudios Económicos, Universidad Michoacana de San Nicolás de Hidalgo, Instituto de Investigaciones Económicas y Empresariales, volume 0, issue 1, pages 29-50.
• Dobrescu, Emilian, 2006, "Double-Conditioned Potential Output," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 3, issue 1, pages 32-50, March.
• Mario Denni & G. Frewer, 2006, "New evidence on the relationship beetween crude oil and petroleum product prices," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0061, Dec.
• Bruce Mizrach, 2006, "Nonlinear Time Series Analysis," Departmental Working Papers, Rutgers University, Department of Economics, number 200604, Feb.
• Norman Swanson & Geetesh Bhardwaj, 2006, "A Predictive Comparison of Some Simple Long Memory and Short Memory Models of Daily U.S. Stock Returns, With Emphasis on Business Cycle Effects," Departmental Working Papers, Rutgers University, Department of Economics, number 200613, Sep.
• Valentina Corradi & Norman Swanson & Geetesh Bhardwaj, 2006, "A Simulation Based Specification Test for Diffusion Processes," Departmental Working Papers, Rutgers University, Department of Economics, number 200614, Sep.
• Valentina Corradi & Norman Swanson & Walter Distaso, 2006, "Predictive Inference for Integrated Volatility," Departmental Working Papers, Rutgers University, Department of Economics, number 200616, Sep.
• Norman Swanson & Valentina Corradi, 2006, "Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes," Departmental Working Papers, Rutgers University, Department of Economics, number 200618, Sep.
• Norman Swanson & Nii Ayi Armah, 2006, "Predictive Inference Under Model Misspecification with an Application to Assessing the Marginal Predictive Content of Money for Output," Departmental Working Papers, Rutgers University, Department of Economics, number 200619, Sep.
• Valentina Corradi & Norman Swanson & Walter Distaso, 2006, "Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures," Departmental Working Papers, Rutgers University, Department of Economics, number 200620, Oct.
• Valentina Corradi & Norman Swanson, 2006, "Predictive Density Evaluation. Revised," Departmental Working Papers, Rutgers University, Department of Economics, number 200621, Oct.
• Kurt Brännäs & Jonas Nordström, 2006, "Tourist Accommodation Effects of Festivals," Tourism Economics, , volume 12, issue 2, pages 291-302, June, DOI: 10.5367/000000006777637458.
• Asif Idrees Agha & Muhammad Saleem Khan, 2006, "An Empirical Analysis of Fiscal Imbalances and Inflation in Pakistan," SBP Research Bulletin, State Bank of Pakistan, Research Department, volume 2, pages 343-362..
• Sadia Bader, 2006, "Determining Import Intensity of Exports for Pakistan," SBP Research Bulletin, State Bank of Pakistan, Research Department, volume 2, pages 363-381..
• Zulfiqar Hyder & Muhammad Mazhar Khan, 2006, "Monetary Conditions Index for Pakistan," SBP Working Paper Series, State Bank of Pakistan, Research Department, number 11, May.
• Sadia Bader, 2006, "Determining Import Intensity of Exports for Pakistan," SBP Working Paper Series, State Bank of Pakistan, Research Department, number 15, Sep.
• Alexander Kempf & Christoph Memmel, 2006, "Estimating the global Minimum Variance Portfolio," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 58, issue 4, pages 332-348, October.
• Ole E Barndorff-Nielsen & Peter Hansen & Asger Lunde & Neil Shephard, 2006, "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise," OFRC Working Papers Series, Oxford Financial Research Centre, number 2006fe05.
• Ole E. Barndorff-Nielsen & Peter R. Hansen & Asger Lunde & Neil Shephard, 2006, "Subsampling realised kernels," OFRC Working Papers Series, Oxford Financial Research Centre, number 2006fe06.
• Michael T. Owyang & Jeremy Piger & Howard J. Wall & Federal Reserve Bank of St. Louis, 2006, "A State-Level Analysis of the Great Moderation," Computing in Economics and Finance 2006, Society for Computational Economics, number 131, Jul.
• Antonio E. Noriega & School of Economics, University of Guanajuato & Daniel Ventosa-Santaulà ria & School of Economics, University of Guanajuato, 2006, "Spurious regression and econometric trends," Computing in Economics and Finance 2006, Society for Computational Economics, number 151, Jul.
• Simon van Norden, 2006, "Testing for Recent Trends in US Productivity Growth," Computing in Economics and Finance 2006, Society for Computational Economics, number 177, Jul.
• Periklis Kougoulis & John C. Nankervis & Jerry Coakley, 2006, "Generalized variance ratio tests in the presence of statistical dependence," Computing in Economics and Finance 2006, Society for Computational Economics, number 180, Jul.
• John Stachurski & University of Melbourne, 2006, "Computing the Distributions of Economic Models via Simulation," Computing in Economics and Finance 2006, Society for Computational Economics, number 185, Jul.
• Esben Hoeg & Per Frederiksen, 2006, "The Fractional OU Process: Term Structure Theory and Application," Computing in Economics and Finance 2006, Society for Computational Economics, number 194, Jul.
• Josu Arteche, 2006, "Semiparametric estimation in perturbed long memory series," Computing in Economics and Finance 2006, Society for Computational Economics, number 22, Jul.
• David Colliings & Nicola Baxter, 2006, "Computational Finance Techniques for Valuing Customers," Computing in Economics and Finance 2006, Society for Computational Economics, number 220, Jul.
• Tino Berger & Gerdie Everaert, 2006, "Re-examining the Structural and the Persistence Approach," Computing in Economics and Finance 2006, Society for Computational Economics, number 226, Jul.
• Kostas Giannopoulos, 2006, "Pricing Basket spread options," Computing in Economics and Finance 2006, Society for Computational Economics, number 252, Jul.
• Y. Kahiri & A. Shmilovici & S. Hauser, 2006, "Measuring the Efficiency of the Intraday Forex Market with a Universal Data Compression Algorithm," Computing in Economics and Finance 2006, Society for Computational Economics, number 256, Jul.
• Riccardo Corradini, 2006, "Advanced estimates of regional accounts: an alternative approach by spatial panels," Computing in Economics and Finance 2006, Society for Computational Economics, number 287, Jul.
• Alfonso Gutierrez & Jerry Coakley & Neil Kellard, 2006, "Threshold Autoregressive Models of the Commodities Futures Basis," Computing in Economics and Finance 2006, Society for Computational Economics, number 323, Jul.
• Meryem Duygun Fethi & Salih Turan Katirciglu & Sami Fethi, 2006, "Testing the impact of disaggregated investment on Economic growth," Computing in Economics and Finance 2006, Society for Computational Economics, number 370, Jul.
• Isabella Procidano & Margherita Gerolimetto & Silio Rigatti Luchini, 2006, "Dynamic cointegration and relevant vector machine: the relationship between gold and silver," Computing in Economics and Finance 2006, Society for Computational Economics, number 380, Jul.
• Giuseppe Storti & Luc Bauwens, 2006, "A component GARCH model with time varying weights," Computing in Economics and Finance 2006, Society for Computational Economics, number 388, Jul.
• George Monokroussos, 2006, "A Dynamic Tobit Model for the Open Market Desk's Daily Reaction Function," Computing in Economics and Finance 2006, Society for Computational Economics, number 390, Jul.
• Elena Andreou, 2006, "Monotonic Power in tests for structural change in the mean based on orthonormal series filtering," Computing in Economics and Finance 2006, Society for Computational Economics, number 394, Jul.
• Jane M. Binner & C. Thomas Elger & Barry E. Jones & Birger Nilsson, 2006, "Forecasting Inflation: the Relevance of Higher Moments," Computing in Economics and Finance 2006, Society for Computational Economics, number 407, Jul.
• Serge Hayward, 2006, "Genetically Optimised Artificial Neural Network for Financial Time Series Data Mining," Computing in Economics and Finance 2006, Society for Computational Economics, number 417, Jul.
• Jiri Slacalek, 2006, "International Wealth Effects," Computing in Economics and Finance 2006, Society for Computational Economics, number 425, Jul.
• Dietmar Maringer & Mark Meyer, 2006, "Smooth Transition Autoregressive (STAR) Models," Computing in Economics and Finance 2006, Society for Computational Economics, number 456, Jul.
• M. Karanasos & S. Schurer, 2006, "Is the relationship between ination and its uncertainty linear?," Computing in Economics and Finance 2006, Society for Computational Economics, number 463, Jul.
• Alessandra Amendola & Giuseppe Storti, 2006, "The combination of volatility forecasts," Computing in Economics and Finance 2006, Society for Computational Economics, number 496, Jul.
• William A. Barnett & Unja Chae & John W. Keating, 2006, "The discounted economic stock of money with VAR forecasting," Computing in Economics and Finance 2006, Society for Computational Economics, number 51, Jul.
• William A. Barnett & Evgeniya A. Duzhak, 2006, "Bifurcation analysis of New Keynesian models," Computing in Economics and Finance 2006, Society for Computational Economics, number 55, Jul.
• Christian Francq & Svetlana Makarova & Jean-Michel Zakoïan, 2006, "Stochastic unit-root bilinear processes," Computing in Economics and Finance 2006, Society for Computational Economics, number 63, Jul.
• Christian Francq & Jean-Michel Zakoïan, 2006, "Inference in GARCH when some coefficients are equal to zero," Computing in Economics and Finance 2006, Society for Computational Economics, number 64, Jul.
• Robert Aebi & Klaus Neusser & Peter Steiner, 2006, "A Large Deviation Approach to the Measurement of Mobility," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 142, issue II, pages 195-222, June.
• Catherine Bruneau & Amine Lahiani, 2006, "Estimation d'un modèle TIMA avec asymétrie contemporaine par inférence indirecte," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 142, issue IV, pages 479-500, December.
• Yu-Chin Hsu & Chung-Ming Kuan, 2006, "Change-Point Estimation of Nonstationary I(d) Processes," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 06-A007, Sep.
• Chung-Ming Kuan & Yu-Wei Hsieh, 2006, "Improved HAC Covariance Matrix Estimation Based on Forecast Errors," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 06-A008, Sep.
• Wei-Ming Lee & Chung-Ming Kuan, 2006, "Testing Over-Identifying Restrictions without Consistent Estimation of the Asymptotic Covariance Matrix," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 06-A009, Sep.
• Katrin Assenmacher & Stefan Gerlach, 2006, "Money Growth, Output Gaps and Inflation at Low and High Frequency: Spectral Estimates for Switzerland," Working Papers, Swiss National Bank, number 2006-05.
• Marie Briere & Aurélie Cohen, 2006, "A quoi réagit le marchés des obligations privées?," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 06-003.RS.
• André Farber & Van Nam Nguyen & Quan-Hoang Vuong, 2006, "Policy impacts on Vietnam stock markets: a case of anomalies and disequilibria 2000-2006," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 06-005.RS, Apr.
• Patrick Eugster & Peter Zweifel, 2006, "Correlated Risks: A Conflict of Interest Between Insurers and Consumers and Its Resolution," SOI - Working Papers, Socioeconomic Institute - University of Zurich, number 0604, Apr.
• Jürgen Wolters & Uwe Hassler, 2006, "Unit root testing," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 90, issue 1, pages 43-58, March, DOI: 10.1007/s10182-006-0220-6.
• Uwe Hassler & Jürgen Wolters, 2006, "Autoregressive distributed lag models and cointegration," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 90, issue 1, pages 59-74, March, DOI: 10.1007/s10182-006-0221-5.
• Helmut Herwartz, 2006, "Econometric analysis of high frequency data," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 90, issue 1, pages 89-104, March, DOI: 10.1007/s10182-006-0223-3.
• Stephan Boes & Peter Pflaumer, 2006, "University student enrollment forecasts by analysis structural ratios using ARIMA-methods," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 90, issue 2, pages 253-271, June, DOI: 10.1007/s10182-006-0233-1.
• George Hammond, 2006, "A time series analysis of U.S. metropolitan and non-metropolitan income divergence," The Annals of Regional Science, Springer;Western Regional Science Association, volume 40, issue 1, pages 81-94, March, DOI: 10.1007/s00168-005-0029-3.
• Roman Liesenfeld & Ingmar Nolte & Winfried Pohlmeier, 2006, "Modelling financial transaction price movements: a dynamic integer count data model," Empirical Economics, Springer, volume 30, issue 4, pages 795-825, January, DOI: 10.1007/s00181-005-0001-1.
• David Veredas, 2006, "Macroeconomic surprises and short-term behaviour in bond futures," Empirical Economics, Springer, volume 30, issue 4, pages 843-866, January, DOI: 10.1007/s00181-005-0002-y.
• Artur Silva Lopes, 2006, "Deterministic seasonality in Dickey–Fuller tests: should we care?," Empirical Economics, Springer, volume 31, issue 1, pages 165-182, March, DOI: 10.1007/s00181-005-0029-2.
• Guglielmo Caporale & Luis Gil-Alana, 2006, "Long memory at the long run and at the cyclical frequencies: modelling real wages in England, 1260–1994," Empirical Economics, Springer, volume 31, issue 1, pages 83-93, March, DOI: 10.1007/s00181-005-0017-6.
• Kari Heimonen, 2006, "Nonlinear adjustment in PPP—evidence from threshold cointegration," Empirical Economics, Springer, volume 31, issue 2, pages 479-495, June, DOI: 10.1007/s00181-005-0026-5.
• Dimitris Christopoulos, 2006, "Does a non-linear mean reverting process characterize real GDP movements?," Empirical Economics, Springer, volume 31, issue 3, pages 601-611, September, DOI: 10.1007/s00181-005-0034-5.
• Dimitris Hatzinikolaou & Athanassios Stavrakoudis, 2006, "Empirical size and power of some diagnostic tests applied to a distributed lag model," Empirical Economics, Springer, volume 31, issue 3, pages 631-643, September, DOI: 10.1007/s00181-005-0039-0.
• Emanuela Marrocu, 2006, "An Investigation of the Effects of Data Transformation on Nonlinearity," Empirical Economics, Springer, volume 31, issue 4, pages 801-820, November, DOI: 10.1007/s00181-006-0055-8.
• Sabine Stephan, 2006, "German Exports to the Euro Area," Empirical Economics, Springer, volume 31, issue 4, pages 871-882, November, DOI: 10.1007/s00181-006-0059-4.
• David Giles & Chad Stroomer, 2006, "Does Trade Openness Affect the Speed of Output Convergence? Some Empirical Evidence," Empirical Economics, Springer, volume 31, issue 4, pages 883-903, November, DOI: 10.1007/s00181-006-0060-y.