## Research classified by
*Journal of
Economic Literature* (JEL) codes

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**

**This topic is covered by the following reading lists:**

Most recent items first, undated at the end.

**Is Inflation Persistence Different in Reality?**

*by*Nikolaos Antonakakis & Juncal Cunado & Luis A. Gil-Alana & Rangan Gupta

**Can Volume Predict Bitcoin Returns and Volatility? A Nonparametric Causality-in-Quantiles Approach**

*by*Mehmet Balcilar & Elie Bouri & Rangan Gupta & David Roubaud

**Testing the Efficiency of the Art Market using Quantile-Based Unit Root Tests with Sharp and Smooth Breaks**

*by*Goodness C. Aye & Tsangyao Chang & Wen-Yi Chen & Rangan Gupta & Mark Wohar

**Periodically Collapsing Bubbles in the South African Stock Market**

*by*Mehmet Balcilar & Rangan Gupta & Charl Jooste & Mark E. Wohar

**Market Efficiency of Baltic Stock Markets: A Fractional Integration Approach**

*by*Luis A. Gil-Alana & Rangan Gupta & Olanrewaju I. Shittu & OlaOluwa S. Yaya

**The Role of Current Account Balance in Forecasting the US Equity Premium: Evidence from a Quantile Predictive Regression Approach**

*by*Rangan Gupta & Anandamayee Majumdar & Mark Wohar

**Terror Attacks and Stock-Market Fluctuations: Evidence Based on a Nonparametric Causality-in-Quantiles Test for the G7 Countries**

*by*Mehmet Balcilar & Rangan Gupta & Christian Pierdzioch & Mark Wohar

**Revisiting the Twin Deficits Hypothesis: A Quantile Cointegration Analysis over the Period of 1791-2013**

*by*Nikolaos Antonakakis & Juncal Cunado & Rangan Gupta & Mawuli K. Segnon

**Dynamic Comovement between Social Infrastructure, Economic Growth and Inequality in South Africa**

*by*Sixolile Jafta & Goodness C. Aye

**Concentration on the few? R&D and innovation in German firms 2001 to 2013**

*by*Rammer, Christian & Schubert, Torben

**Population aging in healthcare - a minor issue? Evidence from Switzerland**

*by*Colombier, Carsten

**A quasi real-time leading indicator for the EU industrial production**

*by*Donadelli, Michael & Paradiso, Antonio & Riedel, Max

**A historical analysis of the US stock price index using empirical mode decomposition over 1791-2015**

*by*Tiwari, Aviral Kumar & Dar, Arif Billah & Bhanja, Niyati & Gupta, Rangan

**Automatic identification of general vector error correction models**

*by*Arbués, Ignacio & Ledo, Ramiro & Matilla-García, Mariano

**Regional wheat price effects of extreme weather events and wheat export controls in Russia and Ukraine**

*by*Götz, Linde & Djuric, Ivan & Nivievskyi, Oleg

**A data-driven selection of an appropriate seasonal adjustment approach**

*by*Webel, Karsten

**Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models**

*by*Florian Ziel & Rafal Weron

**Recent advances in electricity price forecasting: A review of probabilistic forecasting**

*by*Jakub Nowotarski & Rafal Weron

**Automated variable selection and shrinkage for day-ahead electricity price forecasting**

*by*Bartosz Uniejewski & Jakub Nowotarski & Rafal Weron

**On the importance of the long-term seasonal component in day-ahead electricity price forecasting**

*by*Jakub Nowotarski & Rafal Weron

**To combine or not to combine? Recent trends in electricity price forecasting**

*by*Jakub Nowotarski & Rafal Weron

**Estimation of Nonlinear Panel Models with Multiple Unobserved Effects**

*by*Chen, Mingli

**Conventional monetary policy and the degree of interest rate pass through in the long run: a non-normal approach**

*by*Dong-Yop Oh & Hyejin Lee & Karl David Boulware

**Estimation and Application of Fully Parametric Multifactor Quantile Regression with Dynamic Coefficients**

*by*Paraschiv, Florentina & Bunn, Derek & Westgaard, Sjur

**Understanding the sources of macroeconomic uncertainty**

*by*Barbara Rossi & Tatevik Sekhposyan & Matthieu Soupre

**In-sample inference and forecasting in misspecified factor models**

*by*Marine Carrasco & Barbara Rossi

**Oil shocks on unemployment in Central and Eastern Europe**

*by*Juan Carlos Cuestas & Luis A. Gil-Alana

**On the use of high frequency measures of volatility in MIDAS regressions**

*by*Elena Andreou

**Inflation Persistence and Structural Breaks: The Experience of Inflation Targeting Countries and the US**

*by*Giorgio Canarella & Stephen M. Miller

**Convergence in Income Inequality: Further Evidence from the Club Clustering Methodology across the U.S. States**

*by*Nicholas Apergis & Christina Christou & Rangan Gupta & Stephen M. Miller

**Time-Frequency Relationship between Inflation and Inflation Uncertainty for the U.S.: Evidence from Historical Data**

*by*Claudiu Tiberiu Albulescu & Aviral Kumar Tiwari & Stephen M. Miller & Rangan Gupta

**Inflation Persistence and Structural Breaks: The Experience of Inflation Targeting Countries and the US**

*by*Giorgio Canarella & Stephen M. Miller

**Did Okun's Law Die after the Great Recession?**

*by*Giorgio Canarella & Stephen M. Miller

**Time-Varying Persistence of Inflation: Evidence from a Wavelet-based Approach**

*by*Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller

**Inflation Targeting: New Evidence from Fractional Integration and Cointegration**

*by*Giorgio Canarella & Stephen M. Miller

**Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events**

*by*David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh

**Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers**

*by*Manabu Asai & Chia-Lin Chang & Michael McAleer

**A bidding strategy for minimizing the imbalances costs for renewable generators in Spanish power markets**

*by*Francisco Javier Eransus

**Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?**

*by*Massimiliano Caporin & Chia-Lin Chang & Michael McAleer

**When did inflation expectations in the euro area de-anchor?**

*by*Andrea Fracasso & Rocco Probo

**Do Exports lead Economic Output in Five Asian Countries? A Cointegration and Granger Causality Analysis**

*by*Jiayi Huang & Miguel Ramirez

**Testing for a Threshold in Models with Endogenous Regressors**

*by*Rothfelder, Mario & Boldea, Otilia

**Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events**

*by*David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh

**Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers**

*by*Manabu Asai & Chia-Lin Chang & Michael McAleer

**A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics**

*by*Manabu Asai & Michael McAleer

**Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S**

*by*Siem Jan Koopman & Rutger Lit & Andre Lucas

**A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices**

*by*David E. Allen & Chialin Chang & Michael McAleer & Abhay K. Singh

**Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area**

*by*Gabriele Galati & Irma Hindrayanto & Siem Jan Koopman & Marente Vlekke

**Bayesian Dynamic Modeling of High-Frequency Integer Price Changes**

*by*Istvan Barra & Siem Jan Koopman

**Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?**

*by*Massimiliano Caporin & Chia-Lin Chang & Michael McAleer

**Stock-Market Expectations: Econometric Evidence that both REH and Behavioral Insights Matter**

*by*Roman Frydman & Joshua R. Stillwagon

**Unemployment Hysteresis and Structural Change in Europe**

*by*Kurmas Akdogan

**On Estimation of the Normalized CES Production Function for Turkey**

*by*Selen Baser Andic

**Forecasting Turkish Real GDP Growth in a Data Rich Environment**

*by*Bahar Sen Dogan & Murat Midilic

**In Pursuit of Understanding Markups in Restaurant Services Prices**

*by*Mustafa Utku Ozmen

**Alternative HAC Covariance Matrix Estimators with Improved Finite Sample Properties**

*by*Luke Hartigan

**Portmanteau Tests for Linearity of Stationary Time Series**

*by*Zacharias Psaradakis & Marian Vavra

**Nowcasting UK GDP during the depression**

*by*Smith Paul

**Unemployment Persistence in OECD Countries after the Great Recession**

*by*André M. Marques & Gilberto Tadeu Lima, Victor Troster

**A real-time GDP data set for Switzerland**

*by*Severin Bernhard

**Business Confidence in South Africa: Identifying Key Domestic Drivers and The Nature Of Their Impact**

*by*Andrew Maredza & Zvikomborero Nyamazunzu

**Asymmetric Volatility of Net Convenience Yield: Evidence from Indian Commodity Futures Markets**

*by*BRAJESH KUMAR

**Estimating and forecasting value-at-risk using the unbiased extreme value volatility estimator**

*by*Dilip Kumar

**Testing the Saving-Investment Relationship for the Country Groups Classified by Income Levels**

*by*MUSTAFA KIZILTAN & ANNA GOLOVKO

**How Do Exchange Rate Movements Affect Stock Prices? The Case of Turkey**

*by*Fela Ã–zbey & Erhan Ä°ÅŸcan & Mehmet Fatih TraÅŸ

**The Determinants of Exchange Rate Volatility in South Africa**

*by*Trust R. Mpofu

**On The Stability Of The Excess Sensitivity Of Aggregate Consumption Growth In The Us**

*by*Gerdie Everaert & Lorenzo Pozzi & Ruben Schoonackers

**The Linear Regression Of Weighted Segments**

*by*Mateescu, Dan

**A Life Course Perspective on the Income-to-Health Relationship: Macro-Empirical Evidence from Two Centuries**

*by*Nagel, Korbinian

**The Impact of a People’s Republic of China Slowdown on Commodity Prices and Detecting the Asymmetric Responses of Economic Activity in Asian Countries to Commodity Price Shocks**

*by*Ghoshray, Atanu & Pundit, Madhavi

**Forecasting Unemployment with Google Searches**

*by*Tuhkuri, Joonas

**ETLAnow: A Model for Forecasting with Big Data – Forecasting Unemployment with Google Searches in Europe**

*by*Tuhkuri, Joonas

**Tendencias comunes en el índice de precios al consumidor**

*by*Ramos, Maria Gracia & Winkelried, Diego

**From the “Great Inflation” to the “Great Moderation” in Peru: A Time Varying Structural Vector Autoregressions Analysis**

*by*Castillo, Paul & Montoya, Jimena & Quineche, Ricardo

**Volatility Dependent Dynamic Equicorrelation**

*by*Adam Clements & Ayesha Scott & Annastiina Silvennoinen

**A Matlab program and user's guide for the fractionally cointegrated VAR model**

*by*Morten Ã˜rregaard Nielsen & MichaÅ‚ Ksawery Popiel

**Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown**

*by*Giuseppe Cavaliere & Morten Ã˜rregaard Nielsen & A. M. Robert Taylor

**Forecasting banking crises with dynamic panel probit models**

*by*António R. Antunes & Diana Bonfim & Nuno Monteiro & Paulo M.M. Rodrigues

**A wavelet-based multivariate multiscale approach for forecasting**

*by*António Rua

**Residual-augmented IVX predictive regression**

*by*Paulo M.M. Rodrigues & Matei Demetrescu

**Does Country Risks Predict Stock Returns and Volatility? Evidence from a Nonparametric Approach**

*by*Tahir Suleman & Rangan Gupta & Mehmet Balcilar

**Does Geopolitical Risks Predict Stock Returns and Volatility of Leading Defense Companies? Evidence from a Nonparametric Approach**

*by*Nicholas Apergis & Matteo Bonato & Rangan Gupta & Clement Kyei

**Differences of Opinion and Stock Market Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach**

*by*Mehmet Balcilar & Riza Demirer & Rangan Gupta & Mark E. Wohar

**Forecasting US GNP Growth: The Role of Uncertainty**

*by*Mawuli Segnon & Rangan Gupta & Stelios Bekiros & Mark E. Wohar

**Testing the Efficiency of the Wine Market using Unit Root Tests with Sharp and Smooth Breaks**

*by*Elie Bouri & Tsangyao Chang & Rangan Gupta

**Modelling Long Memory Volatility in the Bitcoin Market: Evidence of Persistence and Structural Breaks**

*by*Elie Bouri & Luis A. Gil-Alana & Rangan Gupta & David Roubaud

**Geopolitical Risks and Stock Market Dynamics of the BRICS**

*by*Mehmet Balcilar & Matteo Bonato & Riza Demirer & Rangan Gupta

**Time-Varying Persistence of Inflation: Evidence from a Wavelet-Based Approach**

*by*Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller

**Does U.S. Macroeconomic News Make the South African Stock Market Riskier?**

*by*Esin Cakan & Rangan Gupta

**Gold Futures Returns and Realized Moments: A Forecasting Experiment Using a Quantile-Boosting Approach**

*by*Matteo Bonato & Riza Demirer & Rangan Gupta & Christian Pierdzioch

**Components of Economic Policy Uncertainty and Predictability of US Stock Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantile Approach**

*by*Nikolaos Antonakakis & Mehmet Balcilar & Rangan Gupta & Clement Kyei

**The Effect of Investor Sentiment on Gold Market Dynamics**

*by*Mehmet Balcilar & Matteo Bonato & Riza Demirer & Rangan Gupta

**Can Weather Conditions in New York Predict South African Stock Returns?**

*by*Nicholas Apergis & Rangan Gupta

**Does U.S. News Impact Asian Emerging Markets? Evidence from Nonparametric Causality-in-Quantiles Test**

*by*Mehmet Balcilar & Esin Cakan & Rangan Gupta

**Do Terror Attacks Predict Gold Returns? Evidence from a Quantile-Predictive-Regression Approach**

*by*Rangan Gupta & Anandamayee Majumdar & Christian Pierdzioch & Mark Wohar

**Do Terror Attacks Affect the Dollar-Pound Exchange Rate? A Nonparametric Causality-in-Quantiles Analysis**

*by*Mehmet Balcilar & Rangan Gupta & Christian Pierdzioch & Mark Wohar

**The Term Premium as a Leading Macroeconomic Indicator**

*by*Vasilios Plakandaras & Periklis Gogas & Theophilos Papadimitriou & Rangan Gupta

**Nonlinear relationship between exchange rate volatility and economic growth: A South African perspective**

*by*Fourie, Justin & Pretorius, Theuns & Harvey, Rhett & Henrico, Van Niekerk & Phiri, Andrew

**Forecasting United States Presidential election 2016 using multiple regression models**

*by*Sinha, Pankaj & Nagarnaik, Ankit & Raj, Kislay & Suman, Vineeta

**Nonlinear Dependence between Stock Prices and Exchange Rate in Nigeria**

*by*Effiong, Ekpeno L.

**The unemployment-stock market relationship in South Africa: Evidence from symmetric and asymmetric cointegration models**

*by*Tapa, Nosipho & Tom, Zandile & Lekoma, Molebogeng & Ebersohn, J. & Phiri, Andrew

**Nonlinear impact of inflation on economic growth in South Africa: A smooth transition regression (STR) analysis**

*by*Khoza, Keorapetse & Thebe, Relebogile & Phiri, Andrew

**Dynamic relationship between stock return, trading volume, and volatility in the Stock Exchange of Thailand: does the US subprime crisis matter?**

*by*Jiranyakul, Komain

**Asymmetric Effects of Exchange Rate Changes on British Bilateral Trade Balances**

*by*BAHMANI-OSKOOEE, Mohsen & HALICIOGLU, Ferda & GHODSI, Seyed Hesam

**Ispitivanje kalendarskih sezonaliteta na hrvatskom tržištu kapitala**

*by*Tomić, Bojan

**Dynamic Structure of the Spot Price of Crude Oil: Does Time Aggregation Matter?**

*by*Barnett, William & Aghababa, Hajar

**Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility**

*by*Escribano, Alvaro & Sucarrat, Genaro

**The Validity of the Tourism-Led Growth Hypothesis for Thailand**

*by*Jiranyakul, Komain

**Evidence of cross-country portfolio diversification benefits: The case of Saudi Arabia**

*by*Ali, Hakim & Masih, Mansur

**Do changes in shariah screening methodology make islamic indices substitutes or complements? an application of MGARCH-DCC and markov switching analysis**

*by*Mantai, Mohammed Mahmoud & Masih, Mansur

**Fast profits in a fasting month? A markov regime switching approach in search of ramadan effect on stock markets**

*by*Hasbullah, Faruq & Masih, Mansur

**Does microfinance affect economic growth? Evidence from Bangladesh based on ARDL approach**

*by*Sultan, Yousuf & Masih, Mansur

**Is financial sector development an engine of economic growth? evidence from India**

*by*Ziaurrahman, Muhammad & Masih, Mansur

**What drives banks’ willingness to lend to SMEs? An ARDL approach**

*by*Lokman, Azarahiah & Masih, Mansur

**The Oil Price Crash in 2014/15: Was There a (Negative) Financial Bubble?**

*by*Fantazzini, Dean

**The impact of real estate, inequality and current account imbalances on excessive credit: A cross country analysis**

*by*Halim, Asyraf Abdul & Ariff, Muhammad & Masih, A. Mansur M.

**Role of instability in affecting capital flight magnitude: An ARDL bounds testing approach**

*by*Hasnul, Al Gifari & Masih, Mansur

**Semiparametric Efficient Adaptive Estimation of the PTTGARCH model**

*by*Ciccarelli, Nicola

**Everything you always wanted to know about bitcoin modelling but were afraid to ask**

*by*Fantazzini, Dean & Nigmatullin, Erik & Sukhanovskaya, Vera & Ivliev, Sergey

**Socioeconomic Development and Its Effect on Performance of Islamic Banks: Dynamic Panel Approaches**

*by*Chowdhury, M. Ashraful Ferdous & Haque, M. Mahmudul & Alhabshi, Syed Othman & Masih, Abul Mansur M.

**Nonlinearities in Wagner's law: Further evidence from South Africa**

*by*Phiri, Andrew

**Do Combination Forecasts Outperform the Historical Average? Economic and Statistical Evidence**

*by*Thomadakis, Apostolos

**Bayesian Nonparametric Estimation of Ex-post Variance**

*by*Griffin, Jim & Liu, Jia & Maheu, John M

**Local Explosion Modelling by Noncausal Process**

*by*Gouriéroux, Christian & Zakoian, Jean-Michel

**Automating Analytics: Forecasting Time Series in Economics and Business**

*by*Gerunov, Anton

**Changes in inflation persistence prior and subsequent to the subprime crisis: What are the implications for South Africa?**

*by*Phiri, Andrew

**Impact of Oil Price and Its Volatility on Stock Market Index in Pakistan: Bivariate EGARCH Model**

*by*Naurin, Abida & Qayyum, Abdul

**The response of industrial production to the price of oil: new evidence for Thailand**

*by*Jiranyakul, Komain

**Exchange Rate Undervaluation and Sectoral Performance of the South African Economy**

*by*Njindan Iyke, Bernard

**Are output fluctuations transitory or permanent in Ghana?**

*by*Yeboah Asuamah, Samuel

**Long run equilibrium adjustment between inflation and stock market returns in South Africa: A nonlinear perspective**

*by*Phiri, Andrew

**Asymmetric pass-through effects from monetary policy to housing prices in South Africa**

*by*Phiri, Andrew

**Public health expenditure in Spain: is there partisan behaviour?**

*by*Clemente, Jesús & Lazaro, Angelina & Montanes, Antonio

**Do spot and future palm oil prices influence the stock market prices of a major palm oil producer? the Malaysian experience**

*by*Mohammad Nor, Karina & Masih, Mansur

**Home financing loans and their relationship to real estate bubble: An analysis of the U.S. mortgage market**

*by*Asadov, Alam & Masih, Mansur

**Exploring the nexus between income inequality and financial indicators: endemic to the Indian economy?**

*by*Ahsan, Zainab Fida & Masih, Mansur

**Does consumer sentiment predict consumer spending in Malaysia? an autoregressive distributed lag (ARDL) approach**

*by*Mohd Haniff, NorAzza & Masih, Mansur

**An empirical investigation of causal linkages between domestic terrorism and macroeconomic variables: a case for Pakistan**

*by*Bukhari, Naseem & Masih, Mansur

**Dutch disease or Nigerian disease: a prima facie? New evidence from ARDL bound test analysis**

*by*Mustapha, Ishaq Muhammad & Masih, Mansur

**Is energy a stimulus for economic growth? A focused study on Malaysia using the auto regressive distributed lag technique**

*by*Abarahan, Amnisuhailah Binti & Masih, Mansur

**Forecasting Daily Stock Volatility Using GARCH-CJ Type Models with Continuous and Jump Variation**

*by*BOUSALAM, Issam & HAMZAOUI, Moustapha & ZOUHAYR, Otman

**Does crisis affect convergence process? The case of the Spanish provinces**

*by*Montañés, Antonio & Olmos, Lorena & Reyes, Marcelo

**The growth trade-off between direct and indirect taxes in South Africa: Evidence from a STR model**

*by*Phiri, Andrew

**Forecasting oil price realized volatility: A new approach**

*by*Degiannakis, Stavros & Filis, George

**Causality between Bank’s major activities and Economic Growth: Evidences from Pakistan**

*by*Mushtaq, Saba

**Impact of Ethical Screening on Risk and Returns: the Case of Constructed Moroccan Islamic Stock Indexes**

*by*BOUSALAM, Issam & HAMZAOUI, Moustapha

**Models of Financial Return With Time-Varying Zero Probability**

*by*Sucarrat, Genaro & Grønneberg, Steffen

**Are Some Taxes Better for Growth in Pakistan?A Time Series Analysis**

*by*Munir, Kashif & Sultan, Maryam

**Oil Prices and REER with Impact of Regime Dummies**

*by*Ahmed, Syed Shujaat & Nazir, Sidra

**Real effective exchange rates comovements and the South African currency**

*by*Raputsoane, Leroi

**Do WTO Rulings Really Matter? Evidence from the Rare Earth Elements Market**

*by*Juliane Proelss & Denis Schweizer & Volker Seiler

**Growth Trends and Systematic Patterns of Booms and Busts - Testing 200 Years of Business Cycle Dynamics -**

*by*Marlon Fritz & Thomas Gries & Yuanhua Feng

**Do WTO Rulings Really Matter? Evidence from the Rare Earth Elements Market**

*by*Juliane Proelss & Denis Schweizer & Volker Seiler

**Generalizing smooth transition autoregressions**

*by*Emilio Zanetti Chini

**Pattern and determinants of structural transformation in Africa**

*by*Raghbendra Jha & Sadia Afrin

**Asymmetric threshold vertical price transmission in wheat and flour markets in Dhaka (Bangladesh): seemingly unrelated regression analysis**

*by*Mohammad J Alam & Raghbendra Jha

**Structural transformation in South Asia**

*by*Raghbendra Jha & Sadia Afrin

**Road accidents and business cycles in Spain**

*by*Jesús Rodríguez-López & Gustavo A. Marrero & Rosa Marina González-Marrero & Teresa Leal-Linares

**Improving the Teaching of Econometrics**

*by*David Hendry & Grayham E. Mizon

**Evaluating Multi-Step System Forecasts with Relatively Few Forecast-Error Observations**

*by*David Hendry & Andrew B. Martinez

**Detecting Volcanic Eruptions in Temperature Reconstructions by Designed Break-Indicator Saturation**

*by*David Hendry & Felix Pretis & Lea Schneider & Jason E. Smerdon

**An Overview of Forecasting Facing Breaks**

*by*Jennifer Castle & David Hendry & Michael P. Clements

**Deciding Between Alternative Approaches In Macroeconomics**

*by*David Hendry

**Flexible Functional Forms and Curvature Conditions: Parametric Productivity Estimation in Canadian and U.S. Manufacturing Industries**

*by*Jakir Hussain & Jean-Thomas Bernard

**A Quantile Regression Model for Electricity Peak Demand Forecasting: An Approach to Avoiding Power Blackouts**

*by*Niematallah Elamin & Mototsugu Fukushige

**Trends and Cycles in Historical Gold and Silver Prices**

*by*Luis Alberiko Gil-Alaña & Rangan Gupta

**The persistence of air pollution in four mega-cities of China**

*by*Luis Alberiko Gil-Alaña & Carlos Pestana Barros & Zhongfei Chen

**Regime Shifts in India's Monetary Policy Response Function**

*by*Kumawat, Lokendra & Bhanumurthy, N. R.

**How Crashes Develop: Intradaily Volatility and Crash Evolution**

*by*David S. Bates

**Linking excessive disinflation and output movements in an emerging, small open economy A hybrid New Keynesian Phillips Curve perspective**

*by*Karol Szafranek

**Predicting Belgium’s GDP using targeted bridge models**

*by*Christophe Piette

**Predicting Belgium’s GDP using targeted bridge models**

*by*Christophe Piette

**Singular Spectrum Analysis of Grenander Processes and Sequential Time Series Reconstruction**

*by*D.S. Poskitt

**Specification Testing for Nonlinear Multivariate Cointegrating Regressions**

*by*Chaohua Dong & Jiti Gao & Dag Tjostheim & Jiying Yin

**Bayesian Indirect Inference and the ABC of GMM**

*by*Michael Creel & Jiti Gao & Han Hong & Dennis Kristensen

**Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models**

*by*Gael M. Martin & Brendan P.M. McCabe & David T. Frazier & Worapree Maneesoonthorn & Christian P. Robert

**Empirical Investigation of Purchasing Power Parity for Turkey: Evidence from Recent Nonlinear Unit Root Tests**

*by*Dilem Yıldırım

**The Feldstein-Horioka Puzzle in the Presence of Structural Breaks: Evidence from China**

*by*Dilem Yıldırım & Ethem Erdem Orman

**Replacing Judgment by Statistics: Constructing Consumer Confidence Indicators on the basis of Data-driven Techniques. The Case of the Euro Area**

*by*Christian Gayer & Alessandro Girardi & Andreas Reuter

**Sobre Los Fundamentales Del Precio De La Energía Eléctrica: Evidencia Empírica Para Colombia**

*by*Jorge Barrientos Marín & Mónica Toro Martínez

**Convergence rates of sums of α-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes**

*by*Shin Kanaya

**The impact of monetary strategies on inflation persistence**

*by*Evzen Kocenda & Balazs Varga

**An Irreversible Change of Correlations in the US Equities Market and Difficulties in Using the Information**

*by*Masahiko Egami & Yuki Shigeta & Katsutoshi Wakai

**Dynamic Structure of the Spot Price of Crude Oil: Does Time Aggregation Matter?**

*by*William Barnett & Hajar Aghababa

**Federal Minimum Wage Hikes Do Reduce Teenage Employment: The Time Series Effects of Minimum Wages in the US Revisited**

*by*Bazen, Stephen & Marimoutou, Velayoudom

**On Nonparametric Identification of Treatment Effects in Duration Models**

*by*Johansson, Per & Lee, Myoung-jae

**Interest Rate (In)sensitivity of Emerging Market Corporate Debt: Economic Analysis based on 2002-2015 Empirical Evidence**

*by*Mariya Gubareva & Maria Rosa Borges

**Determinants of non-resident government debt ownership**

*by*António Afonso & Jorge Silva

**Disinflation and the Phillips Curve: Israel 1986-2015**

*by*Rafi Melnick & Till Strohsal &

**Convergence rates of sums of α-mixing triangular arrays : with an application to non-parametric drift function estimation of continuous-time processes**

*by*Kanaya, Shin

**Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions**

*by*YAMAMOTO, Yohei

**Monitoring Parameter Constancy with Endogenous Regressors**

*by*KUROZUMI, Eiji

**Essays on Stock Market Integration - On Stock Market Efficiency, Price Jumps and Stock Market Correlations**

*by*Liu, Yuna

**Stock exchange integration and price jump risks - The case of the OMX Nordic exchange mergers**

*by*Liu, Yuna

**Labor Productivity Slowdown in the Developed Economies. Another Productivity Puzzle?**

*by*Georg Erber & Ulrich Fritsche & Patrick Harms

**The Influence of Additive Outliers on the Performance of Information Criteria to Detect Nonlinearity**

*by*Rinke, Saskia

**Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting**

*by*Kruse, Robinson & Leschinski, Christian & Will, Michael

**On the Memory of Products of Long Range Dependent Time Series**

*by*Leschinski, Christian

**Nowcasting Tourism Industry Performance Using High Frequency Covariates**

*by*Ashley Hirashima & James Jones & Carl S. Bonham & Peter Fuleky

**A Dynamic Analysis of the Determinants of the Greek Credit Default Swaps**

*by*Maria do Rosario Correia & Christian Gokus & Andrew Hughes Hallett & Christian Richter

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**Nonlinearity of the inflation-output trade-off and time-varying price rigidity**

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**Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate**

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**Economic Growth in Africa: Comparing Recent Improvements with the "lost 1980s and early 1990s" and Estimating New Growth Trends**

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**Effects of the Endogenous Scope of Preferentialism on International Goods Trade**

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**Is the Italian Public Debt Really Unsustainable? An Historical Comparison (1861-2010)**

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**Has the Basel Accord Improved Risk Management During the Global Financial Crisis**

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**Modeling the Effects of Oil Prices on Global Fertilizer Prices and Volatility**

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**Modeling Dynamic Diurnal Patterns in High-Frequency Financial Data**

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**Forecasting Stock Returns under Economic Constraints**

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**A Comparison of Alternative Methods to Construct Confidence Intervals for the Estimate of a Break Date in Linear Regression Models**

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**Employment Reallocation and Unemployment Revisited: A Quantile Regression Approach**

*by*T. Panagiotidis & G. Pelloni

**The asymmetric effect of income on import demand in Greece**

*by*Ioanna C. Bardakas

**Efficiency and stock returns : evidence from the insurance industry**

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**How have inflation dynamics changed over time? : Evidence from the euro area and USA**

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**Structural features and interest-rate dynamics of Russia's interbank lending market**

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**Evaluating Predictive Densities of US Output Growth and Inflation in a Large Macroeconomic Data Set**

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**Conditional Predictive Density Evaluation in the Presence of Instabilities**

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**Priors about Observables in Vector Autoregressions**

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**Fiscal Sustainability and the Value of Money: Lessons from the British Paper Pound, 1797-1821**

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**Nowcasting French GDP in Real-Time from Survey Opinions: Information or Forecast Combinations?**

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**An Analysis of the Process of Disinflationary Structural Change: The Case of Mexico**

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**The Italian financial cycle: 1861-2011**

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**Tracking world trade and GDP in real time**

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**Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility**

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**Meeting our D€STINY. A Disaggregated €uro area Short Term INdicator model to forecast GDP (Y) growth**

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**Short-term forecasting for empirical economists. A survey of the recently proposed algorithms**

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**Biofuels and Food Prices: Searching for the Causal Link**

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**Why Do Emerging Markets Liberalize Capital Outflow Controls? Fiscal versus Net Capital Flow Concerns**

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**Money Market Rates and Retail Interest Regulation in China: The Disconnect between Interbank and Retail Credit Conditions**

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**Short-Run Forecasting of Argentine GDP Growth**

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**On the Predictive Power of Yield Spread for Future Growth and Recession: The Turkish Case**

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**The Impact of Monetary Policy Surprises on Australian Financial Futures Markets**

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**Oscillatory Versus Quadratic Trends in Natural Resource Commodity Prices**

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**Priors about Observables in Vector Autoregressions**

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**Evaluation of Talent in a Changing World: The Case of Major League Baseball**

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**Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems**

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**The present value model of U.S. stock prices revisited: long-run evidence with structural breaks, 1871-2010**

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**Specifying The Effective Determinants Of House Price Volatilities In Iran**

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**End-Point Bias in Trend-Cycle Decompositions : An Application to the Real Exchange Rates of Turkey**

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**Public Debt Stock Sustainability in Selected OECD Countries**

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**A Real Economic Activity Indicator for Turkey**

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**Weather Effects On Returns And Volatility: Evidence From Morocco**

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**An Early Warning System For Inflation In The Philippines Using Markov-Switching And Logistic Regression Models**

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**Determinants Of Foreign Institutional Investment In India: An Empirical Analysis**

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**Output Relationships in South Asia: Are Bangladesh and India Different from Neighbours?**

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**Using Time Series in the Analysis of the Gross Domestic Product**

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**The Linear and Non-displaced Estimator in Multiple Regression**

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**Multiple Regression Used in Macro-economic Analysis**

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**Rational Bubbles Exist in the G-7 Stock Markets? Threshold Cointegration Approach**

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**A Bunch of Models, a Bunch of Nulls and Inference about Predictive Ability**

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**Inflation Persistence in Nine Latin American Countries: Panel SURKSS Test with a Fourier Function**

*by*Yanli LI, Hongfeng PENG & Hongfeng PENG

**The IPO Cycles in China's A-share IPO Market: Detection Based on a Three Regimes Markov Switching Model**

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**Does Wealth or Credit Effect Exist in China?**

*by*Chih-Wei SU & Hsu-Ling CHANG & Chun JIANG

**New Keynesian Phillips Curve for Romania**

*by*Saman, Corina & Pauna, Bianca

**Does Venture Capital Spur Economic Growth? Evidence from Israel**

*by*Zhang, Biao & Zhang, Dongxiang & Wang, Juan & Huang, Xiashuai

**Foreign Direct Investment based on Country Risk and other Macroconomic Factors. Econometric Models for Romanian Economy**

*by*Savoiu, Gheorghe & Dinu, Vasile & Ciuca, Suzana

**The Analysis of Relationship between the Rate of Stock Return and Interest Rate with Nonlinear Methods: The Case of Turkey**

*by*Ekrem Akbas, Yusuf

**Estimation Fractional Integration Parameter and an Application to Major Turkish Financial Time Series**

*by*Pekkaya, Mehmet

**Tax-Spend or Spend-Tax: An Ampirical Survey on Turkey**

*by*Akca, Hasim & Bilgin, Cevat

**Stochastic properties of the consumption-income ratios in central and eastern European countries**

*by*Giray Gozgor

**Instrumental Effects of Fiscal Policy for Pakistan Economy**

*by*Ghulam Rasool Madni

**Internal and External Determinants of Economic Growth: A closer look at Pakistan’s Economy**

*by*Muhammad Jamil & Rao Muhammad Atif & Khalid Zaman

**Oil Price Fluctuations and Output performance in Nigeria : a Var Approach**

*by*Ismail O. Fasanya & Adegbemi B.O Onakoya

**What Causes What? Panel Cointegration Approach on Investment in Telecommunication and Economic Growth: Case of Asian Countries**

*by*Bilal Mehmood & Wasif Siddiqui

**Grado de inversión y flujos de inversión directa extranjera a economías emergentes**

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**Estimating the supply elasticity of cotton in Mali with the Nerlove Model: A bayesian method of moments approach**

*by*Fousseini Traoré

**Macroeconomic News Effects on the Stock Markets in Intraday Data**

*by*Barbara Będowska-Sójka

**Robust Estimation in VaR Modelling - Univariate Approaches using Bounded Innovation Propagation and Regression Quantiles Methodology**

*by*Ewa Ratuszny

**The Economic Balance of the Czech Republic and Slovakia During the Economic Crisis**

*by*Ilya Bolotov & Radek Čajka & Kateřina Gajdušková

**Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition?**

*by*Jozef Barunik

**Forecasting economic crisis using gradient measurement of development and log-logistic function**

*by*Rafal Siedlecki & Daniel Papla

**An inquisition into bivariate threshold effects in the inflation-growth correlation: Evaluating South Africa’s macroeconomic objectives**

*by*Andrew Phiri

**Understanding the functional central limit theorems with some applications to unit root testing with structural change**

*by*Juan Carlos Aquino & Gabriel Rodríguez

**Application of Autoregressive Models for Forecasting Marine Insurance Market**

*by*Burcã Ana-Maria & Bãtrînca Ghiorghe

**VLCC Ships Prices and their Influence on Maritime Insurance MarketAbstract:The global economic and financial crisis has repressed the boom of the shipping industry, generating a high volatility of vessels’ prices. With the global expansion of the maritime sector, marine insurance is on the forefront nowadays, more than ever before. As the marine insurance premiums vary according to the value of insured assets and their number, the marine insurance market can be analyzed through the forecast of vessels’ prices within the turbulent business environment**

*by*Burca Ana-Maria & Batrinca Ghiorghe

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*by*Boriss Siliverstovs

**Short-term forecasting of French GDP growth using dynamic factor models**

*by*Marie Bessec & Catherine Doz

**Constructing a conditional GDP fan chart with an application to French business survey data**

*by*Matthieu Cornec

**Short-term Forecasting for Empirical Economists: A Survey of the Recently Proposed Algorithms**

*by*Camacho, Maximo & Perez-Quiros, Gabriel & Poncela, Pilar

**What inflation developments reveal about the Phillips curve: implications for monetary policy**

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*by*RICO BELDA, PAZ

**La situación del empleo en turismo rural en España/The Employment Situation in Rural Tourism in Spain**

*by*ARIAS MARTÍN, PEDRO

**Forward-Looking and Backward-Looking Taylor Rules: Evidence from Pakistan**

*by*Nadia Tahir

**One-Step-Ahead Forecastability of GARCH (1,1): A Comparative Analysis of USD- and PKR-Based Exchange Rate Volatilities**

*by*Abdul Jalil Khan & Parvez Azim

**The out-of-sample forecasting performance of non-linear models of real exchange rate behaviour: The case of the South African Rand**

*by*Goodness C. Aye & Mehmet Balcilar & Adél Bosch & Rangan Gupta & Francois Stofberg

**A test for the existence of a fractional root in a non-stationary time series**

*by*Diego Lemus & Elkin Castaño

**Mit Zeitungen Konjunkturprognosen erstellen: Eine Vergleichsstudie für die Schweiz und Deutschland**

*by*David Iselin & Boriss Siliverstovs

**The Use of Simple Regression in Macroeconomic Analysis**

*by*Constantin Anghelache & Ligia Prodan

**Dating Business Cycles in Historical Perspective: Evidence for Switzerland**

*by*Boriss Siliverstovs

**Determinants of economic growth in Ghana: parametric and nonparametric investigations**

*by*George Adu

**Do fiscal incentives promote investment?: empirical evidence from Nigeria**

*by*Babajide Fowowe

**Regime-dependent monetary policy convergence: the case of southern African development community (SADC)**

*by*Emmanuel Anoruo & Yusuf Ahmad

**Government expenditure and economic growth: the ethiopian experience, 1950–2007**

*by*Kojo Menyah & Yemane Wolde-Rufael

**Secilmis Ulkelere Gore Turkiye’nin Turizm Talebi**

*by*Mahmut Zortuk & Seyhat Bayrak

**Modelo econométrico para pronosticar la inflación utilizando cointegración, var y vec para la economía mexicana 1990.I-2011.IV**

*by*Segura-Rodríguez, Diana C. & Venegas-Martínez,Francisco & Allier-Campuzano, Héctor

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