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

• Suleiman Abu-Bader & Aamer S. Abu-Qarn, 2006, "Trade Liberalization Or Oil Shocks: Which Explains Structural Breaks In International Trade Ratios?," Working Papers, Ben-Gurion University of the Negev, Department of Economics, number 0613.
• Stefan Gerlach & Wensheng Peng, 2006, "Output gaps and inflation in Mainland China," BIS Working Papers, Bank for International Settlements, number 194, Feb.
• Stefan Gerlach & Katrin Assenmacher-Wesche, 2006, "Interpreting Euro area inflation at high and low frequencies," BIS Working Papers, Bank for International Settlements, number 195, Feb.
• Paresh Kumar Narayan & Russell Smyth, 2006, "What Determines Migration Flows From Low‐Income To High‐Income Countries? An Empirical Investigation Of Fiji–U.S. Migration 1972–2001," Contemporary Economic Policy, Western Economic Association International, volume 24, issue 2, pages 332-342, April, DOI: 10.1093/cep/byj019.
• Kevin S. Nell, 2006, "Structural Change And Nonlinearities In A Phillips Curve Model For South Africa," Contemporary Economic Policy, Western Economic Association International, volume 24, issue 4, pages 600-617, October, DOI: 10.1093/cep/byl004.
• Patricia Alvarez‐Plata & Mechthild Schrooten, 2006, "The Argentinean Currency Crisis: A Markov‐Switching Model Estimation," The Developing Economies, Institute of Developing Economies, volume 44, issue 1, pages 79-91, March, DOI: 10.1111/j.1746-1049.2006.00004.x.
• Dierk HERZER & Felicitas NOWAK‐LEHMANN D. & Boriss SILIVERSTOVS, 2006, "Export‐Led Growth In Chile: Assessing The Role Of Export Composition In Productivity Growth," The Developing Economies, Institute of Developing Economies, volume 44, issue 3, pages 306-328, September, DOI: 10.1111/j.1746-1049.2006.00019.x.
• Eric Jondeau & Michael Rockinger, 2006, "Optimal Portfolio Allocation under Higher Moments," European Financial Management, European Financial Management Association, volume 12, issue 1, pages 29-55, January, DOI: 10.1111/j.1354-7798.2006.00309.x.
• Helmut Herwartz & Hans‐Eggert Reimers, 2006, "Long‐Run Links among Money, Prices and Output: Worldwide Evidence," German Economic Review, Verein für Socialpolitik, volume 7, issue 1, pages 65-86, February, DOI: 10.1111/j.1468-0475.2006.00147.x.
• Stephen P. Jenkins & Lorenzo Cappellari & Peter Lynn & Annette Jäckle & Emanuela Sala, 2006, "Patterns of consent: evidence from a general household survey," Journal of the Royal Statistical Society Series A, Royal Statistical Society, volume 169, issue 4, pages 701-722, October, DOI: 10.1111/j.1467-985X.2006.00417.x.
• Jukka Corander & Mattias Villani, 2006, "A Bayesian Approach to Modelling Graphical Vector Autoregressions," Journal of Time Series Analysis, Wiley Blackwell, volume 27, issue 1, pages 141-156, January, DOI: 10.1111/j.1467-9892.2005.00460.x.
• Liudas Giraitis & Peter C. B. Phillips, 2006, "Uniform Limit Theory for Stationary Autoregression," Journal of Time Series Analysis, Wiley Blackwell, volume 27, issue 1, pages 51-60, January, DOI: 10.1111/j.1467-9892.2005.00452.x.
• Violetta Dalla & Liudas Giraitis & Javier Hidalgo, 2006, "Consistent estimation of the memory parameter for nonlinear time series," Journal of Time Series Analysis, Wiley Blackwell, volume 27, issue 2, pages 211-251, March, DOI: 10.1111/j.1467-9892.2005.00464.x.
• Giuseppe Cavaliere & A. M. Robert Taylor, 2006, "Testing the Null of Co‐integration in the Presence of Variance Breaks," Journal of Time Series Analysis, Wiley Blackwell, volume 27, issue 4, pages 613-636, July, DOI: 10.1111/j.1467-9892.2006.00475.x.
• Antonio E. Noriega & Daniel Ventosa‐Santaulària, 2006, "Spurious Regression Under Broken‐Trend Stationarity," Journal of Time Series Analysis, Wiley Blackwell, volume 27, issue 5, pages 671-684, September, DOI: 10.1111/j.1467-9892.2006.00482.x.
• Mariam Camarero & Josep Lluís Carrion‐i‐Silvestre & Cecilio Tamarit, 2006, "Testing for Hysteresis in Unemployment in OECD Countries: New Evidence using Stationarity Panel Tests with Breaks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 68, issue 2, pages 167-182, April, DOI: 10.1111/j.1468-0084.2006.00157.x.
• Josep Lluís Carrion‐i‐Silvestre & Andreu Sansó, 2006, "Testing the Null of Cointegration with Structural Breaks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 68, issue 5, pages 623-646, October, DOI: 10.1111/j.1468-0084.2006.00180.x.
• Vanessa Berenguer‐Rico & Josep Lluís Carrion‐i‐Silvestre, 2006, "Testing for Multicointegration in Panel Data with Common Factors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 68, issue s1, pages 721-739, December, DOI: 10.1111/j.1468-0084.2006.00453.x.
• Raffaella Giacomini & Barbara Rossi, 2006, "How Stable is the Forecasting Performance of the Yield Curve for Output Growth?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 68, issue s1, pages 783-795, December, DOI: 10.1111/j.1468-0084.2006.00456.x.
• Jesús Gonzalo & Jean‐Yves Pitarakis, 2006, "Threshold Effects in Cointegrating Relationships," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 68, issue s1, pages 813-833, December, DOI: 10.1111/j.1468-0084.2006.00458.x.
• Fabio Busetti & Silvia Fabiani & Andrew Harvey, 2006, "Convergence of Prices and Rates of Inflation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 68, issue s1, pages 863-877, December, DOI: 10.1111/j.1468-0084.2006.00460.x.
• Laura Mayoral, 2006, "Further Evidence on the Statistical Properties of Real GNP," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 68, issue s1, pages 901-920, December, DOI: 10.1111/j.1468-0084.2006.00462.x.
• Jesús Crespo Cuaresma & Gerhard Reitschuler, 2006, "‘Guns Or Butter?’ Revisited: Robustness And Nonlinearity Issues In The Defense–Growth Nexus," Scottish Journal of Political Economy, Scottish Economic Society, volume 53, issue 4, pages 523-541, September, DOI: 10.1111/j.1467-9485.2006.00393.x.
• Christopher F. Baum & Mustafa Caglayan, 2006, "On the Sensitivity of the Volume and Volatility of Bilateral Trade Flows to Exchange Rate Uncertainty," Boston College Working Papers in Economics, Boston College Department of Economics, number 641, Apr, revised 06 Feb 2008.
• Stephen G. Hall & George Hondroyiannis, 2006, "Measuring the Correlation of Shocks betweem the EU15 and the New Member Countries," Working Papers, Bank of Greece, number 31, Jan.
• George A. Christodoulakis & Stephen E Satchell, 2006, "Exact Elliptical Distributions for Models of Conditionally Random Financial Volatility," Working Papers, Bank of Greece, number 32, Jan.
• Alexandros E. Milionis, 2006, "An Alternative Definition of Market Efficiency and some Comments on its Empirical Testing," Working Papers, Bank of Greece, number 50, Nov.
• Salem Abo Zaid, 2006, "The Trade–Growth Relationship in Israel Revisited: Evidence from Annual Data, 1960-2004," Bank of Israel Working Papers, Bank of Israel, number 2006.11, Dec.
• Zeynel Abidin Ozdemir, 2006, "Persistence in Emerging Market Stock Returns: Empirical Evidence from Six Stock Markets," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, volume 8, issue 31, pages 19-30.
• Nildag Basak Ceylan, 2006, "The Effects of G-7 Countries’ Stock Markets on the Istanbul Stock Exchange," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, volume 8, issue 32, pages 37-56.
• Pierre Perron & Zhongjun Qu, 2006, "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2006-016, Dec.
• Tatsuma Wada & Pierre Perron, 2006, "State Space Model with Mixtures of Normals: Specifications and Applications to International Data," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2006-029, Sep.
• Mohitosh Kejriwal & Pierre Perron, 2006, "Testing for Multiple Structural Changes in Cointegrated Regression Models," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2006-051, Sep.
• Mohitosh Kejriwal & Pierre Perron, 2006, "Unit Root Tests Allowing for a Break in the Trend Function at an Unknown Time Under Both the Null and Alternative Hypotheses," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2006-052, Sep.
• Dukpa Kim & Pierre Perron, 2006, "Assessing the Relative Power of Structural Break Tests Using a Framework Based on the Approximate Bahadur Slope," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2006-063, Nov.
• Mohitosh Kejriwal & Pierre Perron, 2006, "The Limit Distribution of the Estimates in Cointegrated Regression Models with Multiple Structural Changes," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2006-064, Dec.
• Luca Fanelli, 2006, "Testing the New Keynesian Phillips Curve through Vector Autoregressive models: Results from the Euro area," Quaderni di Dipartimento, Department of Statistics, University of Bologna, number 0.
• Luca Fanelli, 2006, "Testing the New Keynesian Phillips Curve through Vector Autoregressive models : Results from the Euro area," Quaderni di Dipartimento, Department of Statistics, University of Bologna, number 0.
• Marcelo C. Carvalho & Marco Aurélio S. Freire & Marcelo Cunha Medeiros & Leonardo R. Souza, 2006, "Modeling and Forecasting the Volatility of Brazilian Asset Returns: a Realized Variance Approach," Brazilian Review of Finance, Brazilian Society of Finance, volume 4, issue 1, pages 55-77.
• Guglielmo Maria Caporale & Alexandros Kontonikas, 2006, "The Euro And Inflation Uncertainty In The European Monetary Union," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 06-01, Jan.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2006, "Testing For Unit And Fractional Orders Of Integration In The Trend And Seasonal Components Of Us Monetary Aggregates," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 06-13, Apr.
• Guglielmo Maria Caporale & Christoph Hanck, 2006, "Cointegration Tests Of Ppp:Do They Also Exhibit Erratic Behaviour?," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 06-18, Sep.
• Mikael Bask & Tung Liu & Anna Widerberg, 2006, "The Stability of Electricity Prices: Estimation and Inference of the Lyapunov Exponent," Working Papers, Ball State University, Department of Economics, number 200603, Apr, revised Apr 2006.
• Frédérique Bec & Mélika Ben Salem & Ronald MacDonald, 2006, "Real exchange rates and real interest rates : a nonlinear perspective," Recherches économiques de Louvain, De Boeck Université, volume 72, issue 2, pages 177-194.
• Éric Heyer & Xavier Timbeau, 2006, "Immobilier et politique monétaire," Revue de l'OFCE, Presses de Sciences-Po, volume 96, issue 1, pages 115-151.
• Olivier Darné & Claude Diebolt, 2006, "Chocs temporaires et permanents dans le PIB de la France, du Royaume-Uni et des États-Unis," Revue d'économie politique, Dalloz, volume 116, issue 1, pages 65-78.
• Pesaran, M.H. & Timmermann, A., 2006, "Testing Dependence Among Serially Correlated Multi-category Variables," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0648, Jul.
• DeRossi, G. & Harvey, A., 2006, "Time-Varying Quantiles," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0649, Jul.
• Bond, Derek & Harrison, Michael J & O’Brien, Edward J., 2006, "Testing for Long Memory and Nonlinear Time Series: A Demand for Money Study," Research Technical Papers, Central Bank of Ireland, number 2/RT/06, Apr.
• Bond, Derek & Harrison, Michael J & Hession, Niall & O’Brien, Edward J., 2006, "Some Empirical Observations on the Forward Exchange Rate Anomaly," Research Technical Papers, Central Bank of Ireland, number 3/RT/06, Apr.
• D'Agostino, Antonello & Domenico, Giannone & Surico, Paolo, 2006, "(Un)Predictability and Macroeconomic Stability," Research Technical Papers, Central Bank of Ireland, number 5/RT/06, Jun.
• Fabio C. Bagliano & Claudio Morana, 2006, "International Macroeconomic Dynamics: A Factor Vector Autoregressive Approach," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 32.
• Sylviane GUILLAUMONT JEANNENEY & Patrick GUILLAUMONT, 2006, "Big Push versus Absorptive Capacity: How to Reconcile the Two Approaches," Working Papers, CERDI, number 200614.
• Amalia Morales Zumaquero & Simón Sosvilla Rivero, 2006, "Macroeconomic Instability in the European Monetary System?," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2006/06.
• 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, Universidad del CEMA, volume 9, pages 105-118, May.
• Viviana Fernández, 2006, "Extremal dependence in European capital markets," Journal of Applied Economics, Universidad del CEMA, volume 9, pages 275-293, November.
• James F. Nieberding, 2006, "Estimating overcharges in antitrust cases using a reduced-form approach: Methods and issues," Journal of Applied Economics, Universidad del CEMA, volume 9, pages 361-380, November.
• Violetta Dalla & Liudas Giraitis & Javier Hidalgo, 2006, "Consistent estimation of the memory parameterfor nonlinear time series," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number /06/497, Jan.
• Violetta Dalla & Liudas Giraitis & Javier Hidalgo, 2006, "Consistent estimation of the memory parameterfor nonlinear time series," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 497, Jan.
• Peter M Robinson, 2006, "Nonparametric Spectrum Estimation for SpatialData," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 498, Feb.
• Guglielmo Maria Caporale & Christoph Hanck, 2006, "Cointegration Tests of PPP: Do they also Exhibit Erratic Behaviour?," CESifo Working Paper Series, CESifo, number 1811.
• Guglielmo Maria Caporale & Alexandros Kontonikas, 2006, "The Euro and Inflation Uncertainty in the European Monetary Union," CESifo Working Paper Series, CESifo, number 1842.
• Klaus Abberger, 2006, "Qualitative Business Surveys in Manufacturing and Industrial Production - What can be Learned from Industry Branch Results?," ifo Working Paper Series, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 31.
• Stanislav Anatolyev & Dmitry Shakin, 2006, "Trade intensity in the Russian stock market:dynamics, distribution and determinants," Working Papers, Center for Economic and Financial Research (CEFIR), number w0070, Aug.
• Stanislav Anatolyev, 2006, "Nonparametric retrospection and monitoring of predictability of financial returns," Working Papers, Center for Economic and Financial Research (CEFIR), number w0071, Aug.
• Stanislav Anatolyev & Grigory Kosenok, 2006, "Tests in contingency tables as regression tests," Working Papers, Center for Economic and Financial Research (CEFIR), number w0075, Dec.
• Stanislav Anatolyev, 2006, "Dynamic modeling under linear-exponential loss," Working Papers, Center for Economic and Financial Research (CEFIR), number w0092, Dec.
• Eric Jondeau & Michael Rockinger, 2006, "The Economic Value of Distributional Timing," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-35, Nov.
• Maria Semenova, 2006, "What Jump Process to use to Model S&P500 Returns?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-06, Mar.
• Eric Jondeau & Michael Rockinger, 2006, "The Impact of News on Higher Moments," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-28, Nov.
• vladimir Borgy & Valérie Mignon, 2006, "Taux d’intérêt et marchés boursiers : une analyse empirique de l’intégration financière internationale," Working Papers, CEPII research center, number 2006-25, Dec.
• Alex Maynard, 2006, "The forward premium anomaly: statistical artefact or economic puzzle? New evidence from robust tests," Canadian Journal of Economics, Canadian Economics Association, volume 39, issue 4, pages 1244-1281, November.
• Joon Y. Park & Mototsugu Shintani, 2006, "Testing for a Unit Root against Transitional Autoregressive Models," Levine's Bibliography, UCLA Department of Economics, number 321307000000000316, Sep.
• Ian Babetskii, 2006, "Aggregate Wage Flexibility in Selected New EU Member States," Working Papers, Czech National Bank, Research and Statistics Department, number 2006/1, Apr.
• Martha Misas & Mar�a Teresa Ram�rez, 2006, "Colombian economic growth under Markov switching regimes with endogenous transition probabilities," Borradores de Economia, Banco de la Republica, number 2148, Dec.
• Munir A. Jalil. B & Martha Misas, 2006, "Evaluaci�n de pron�sticos del tipo de cambio utilizando," Borradores de Economia, Banco de la Republica, number 2636, Feb.
• Mauricio Arias & Camilo Hern�ndez & Camilo Zea, 2006, "Expectativas De Inflacion En El Mercado De Deuda P�Blica Colombiano," Borradores de Economia, Banco de la Republica, number 2695, Mar.
• Eliana Gonz�lez & Miguel I. G�mez & Luis F. Melo & Jos� Luis Torres, 2006, "Forecasting Food Price Inflation in Developing Countries with Inflation Targeting Regimes: the Colombian Case," Borradores de Economia, Banco de la Republica, number 2735, Oct.
• Luis Eduardo Arango & Andr�s Felipe Garc�a & Carlos Esteban Posada, 2006, "La metodolog�a de la Encuesta Continua de Hogares y el empalme de las series del mercado laboral urbano de Colombia," Borradores de Economia, Banco de la Republica, number 3039, Oct.
• Timo Terasvirta & Andr�s Gonz�lez, 2006, "Modelling autoregressive processes with a shifting mean," Borradores de Economia, Banco de la Republica, number 3230, Dec.
• Carlos Alberto Castro & Juan Ricardo Perilla & Orlando Gracia, 2006, "El comercio internacional y la productividad total de los factores en Colombia," Archivos de Economía, Departamento Nacional de Planeación, number 2470, May.
• Juan Sebastián CAMPOS, 2006, "Estimación de la brecha entre el PIB Potencial y el observado a través de Modelos VAR estructural para Colombia," Archivos de Economía, Departamento Nacional de Planeación, number 2596, Mar.
• Constanza MARTINEZ VENTURA, 2006, "Pronósticos de producción agrícola," Archivos de Economía, Departamento Nacional de Planeación, number 3394, Apr.
• Julio César Alonso & Mauricio Alejandro Arcos, 2006, "Cuatro hechos estilizados de las series de rendimientos: Una ilustración para Colombia," Estudios Gerenciales, Universidad Icesi.
• Julio César Alonso & Mauricio Alejandro Arcos, 2006, "Valor en Riesgo: Evaluación del desempeno de diferentes metodologías para 7 países latinoamericanos," Borradores de Economía y Finanzas, Universidad Icesi, number 3744, Sep.
• Álvaro Hernando Chaves Castro, 2006, "Desestacionalización de la producción industrial con la metodología X-12 ARIMA," Documentos de Trabajo UEC, Universidad Externado de Colombia, number 2294, Oct.
• Fabio Fernando Moscoso & Hernando E. V�squez, 2006, "Determinantes del comercio intra-industrial en el Grupo de los Tres," Documentos de Trabajo UEC, Universidad Externado de Colombia, number 2324, Apr.
• Ramón Javier Mesa Callejas & Mauricio López Gonzalez, 2006, "Reflexiones a propósito de la estrategia de Crecimiento económico en Colombia 2019," Perfil de Coyuntura Económica, Universidad de Antioquia, CIE.
• Wilman Gómez Munoz & Alejandro Torres García, 2006, "Distribución, crecimiento económico y pobreza en Colombia: la discusión reciente y algunas perspectivas a mediano plazo," Perfil de Coyuntura Económica, Universidad de Antioquia, CIE.
• Elkin Castano & Santiago Gallón & Karoll Gómez & Johanna Vásquez, 2006, "Análisis de los factores asociadosa la deserción y graduación estudiantil universitaria," Revista Lecturas de Economía, Universidad de Antioquia, CIE.
• Mauricio A. Hernández Monsalve & Ramón Javier Mesa, 2006, "La experiencia colombiana bajo un régimen de fluctuación controlada del tipo de cambio: el papel de las intervenciones bancarias," Revista Lecturas de Economía, Universidad de Antioquia, CIE.
• Bernardo Albertoi Zapata Bonnett, 2006, "Determinantes de la prima de riesgo soberano para Colombia," Ensayos de Economía, Universidad Nacional de Colombia Sede Medellín, number 8271, Sep.
• Alejandro Marín Calad & Álvaro Hurtado Rendon, 2006, "Un aporte al debate sobre la neutralidad del dinero: evidencia empírica del caso colombiano en el periodo 1970-2000," Ensayos de Economía, Universidad Nacional de Colombia Sede Medellín, number 8272, Sep.
• BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen, 2006, "Regime switching GARCH models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2006011, Feb.
• BAUWENS, Luc & HAFNER, Christian & ROMBOUTS, Jeroen, 2006, "Multivariate mixed normal conditional heteroskedasticity," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2006012, Feb.
• PREMINGER, Arie & HAFNER, Christian, 2006, "Deciding between GARCH and stochastic volatility via strong decision rules," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2006042, May.
• PREMINGER, Arie & STORTI, Giuseppe, 2006, "A GARCH (1,1) estimator with (almost) no moment conditions on the error term," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2006068, Aug.
• HAFNER, Christian & PREMINGER, Arie, 2006, "Asymptotic theory for a factor GARCH model," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2006071, Sep.
• CORONEO, Laura & VEREDAS, David, 2006, "Intradaily seasonality of returns distribution. A quantile regression approach and intradaily VaR estimation," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2006077, Sep.
• MEITZ, Mika & SAIKKONEN, Pentti, 2006, "Stability of nonlinear AR-GARCH models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2006078, Sep.
• Minford, Patrick & Peel, David, 2006, "On the Equality of Real Interest Rates Across Borders in Integrated Capital Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 5611, Apr.
• Gerlach, Stefan & Assenmacher, Katrin, 2006, "Interpreting Euro Area Inflation at High and Low Frequencies," CEPR Discussion Papers, Centre for Economic Policy Research, number 5632, Apr.
• Gerlach, Stefan & Assenmacher, Katrin, 2006, "Understanding the Link between Money Growth and Inflation in the Euro Area," CEPR Discussion Papers, Centre for Economic Policy Research, number 5683, May.
• Gerlach, Stefan & Assenmacher, Katrin, 2006, "Money Growth, Output Gaps and Inflation at Low and High Frequency: Spectral Estimates for Switzerland," CEPR Discussion Papers, Centre for Economic Policy Research, number 5723, Jun.
• Steen, Frode & Asche, Frank, 2006, "When Anti-Dumping Measures Lead to Increased Market Power: A Case Study of the European Salmon Market," CEPR Discussion Papers, Centre for Economic Policy Research, number 5781, Aug.
• Siotis, Georges & Martinez Granado, Maite, 2006, "Computing Abuse Related Damages in the Case of New Entry: An Illustration for the Directory Enquiry Services Market," CEPR Discussion Papers, Centre for Economic Policy Research, number 5813, Sep.
• Gerlach, Stefan & Assenmacher, Katrin, 2006, "Money at Low Frequencies," CEPR Discussion Papers, Centre for Economic Policy Research, number 5868, Oct.
• Daniel Waldenstrom & Bruno S. Frey, 2006, "Using Markets to Measure Pre-War Threat Assessments: The Nordic Countries facing World War II," CREMA Working Paper Series, Center for Research in Economics, Management and the Arts (CREMA), number 2006-27, Nov.
• Nikolay Gospodinov, 2006, "A New Look at the Forward Premium Puzzle," Working Papers, Concordia University, Department of Economics, number 08009, Sep, revised Dec 2008.
• Gonzalo, Jesús & Pitarakis, Jean-Yves, 2006, "Threshold effects in cointegrating relationships," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we20060621, Jun.
• Tena Horrillo, Juan de Dios & Jerez, Miguel & Sotoca, Sonia & Carvallo, Nicole, 2006, "A proposal to obtain a long quarterly chilean gdp series," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws061706, Mar.
• Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS, 2006, "Regime switching GARCH models," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques, number 2006006, Feb.
• Luc, BAUWENS & C.M., HAFNER & J.V.K., ROMBOUTS, 2006, "Multivariate mixed normal conditional heteroskedasticity," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques, number 2006007, Feb.
• Frédérique BEC & Mélika BEN SALEM & Ronald MACDONALD, 2006, "Real exchange rates and real interest rates : a nonlinear perspective," Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2006024, Jun.
• Olmo, J., 2006, "A new family of estimators for the extremal index," Working Papers, Department of Economics, City St George's, University of London, number 06/01.
• Chen, Willa W. & Deo, Rohit S., 2006, "The Variance Ratio Statistic At Large Horizons," Econometric Theory, Cambridge University Press, volume 22, issue 2, pages 206-234, April.
• Hualde, Javier, 2006, "Unbalanced Cointegration," Econometric Theory, Cambridge University Press, volume 22, issue 5, pages 765-814, October.
• Meitz, Mika, 2006, "A Necessary And Sufficient Condition For The Strict Stationarity Of A Family Of Garch Processes," Econometric Theory, Cambridge University Press, volume 22, issue 5, pages 985-988, October.
• 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.
• 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.
• 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.