## 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.

**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 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

**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

**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

**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

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

*by*Jiayi Huang & Miguel Ramirez

**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

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

*by*Severin Bernhard

**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

**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

**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

**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

**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

**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

**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

**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

**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

**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

**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

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

*by*Jorge Barrientos Marín & Mónica Toro Martínez

**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

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

*by*Bazen, Stephen & Marimoutou, Velayoudom

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

*by*António Afonso & Jorge Silva

**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

**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

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

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

**A note on the power of panel cointegration tests â€“ An application to health care expenditure and gdp**

*by*Giorgia Marini

**Amazonian Deforestation, Environmental Kuznets Curve and Deforestation Policy: A Cointegration Approach**

*by*Philippe Polomé & Jérôme Trotignon

**On Trend Breaks and Initial Condition in Unit Root Testing**

*by*Anton Skrobotov

**Direct and indirect effects based on difference-in-differences with an application to political preferences following the Vietnam draft lottery**

*by*Deuchert, Eva & Huber, Martin & Schelker, Mark

**Sovereign Debt Spreads within the Euro Area: When Fears Become Excess Fears**

*by*Francesco Calvori & Matteo Dentella & Giampiero M. Gallo

**Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM**

*by*Giampiero M. Gallo & Edoardo Otranto

**Median Response to Shocks: A Model for VaR Spillovers in East Asia**

*by*Fabrizio Cipollini & Giampiero Gallo & Andrea Ugolini

**The impact of the Great Recession on the European Union countries**

*by*Jesus Ferreiro & Catalina Galvez & Carmen Gomez & Ana Gonzalez

**An analysis of the determinants of the impact of the Great Recession on the Eurozone countries**

*by*Carlos A. Carrasco & Jesus Ferreiro

**Foods, Fuels or Finances: Which Prices Matter for Biofuels?**

*by*Ondrej Filip & Karel Janda & Ladislav Kristoufek & David Zilberman

**Risk Management of Demand Deposits in a Low Interest Rate Environment**

*by*Hana Dzmuranova

**Fiscal Reaction Functions for European Union Countries**

*by*Katia Berti & Eugeniu Colesnic & Cyril Desponts & Stephanie Pamies & Etienne Sail

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

*by*Allen, D.E. & Chang, C-L. & McAleer, M.J. & Singh, A.K.

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

*by*Caporin, M. & Chang, C-L. & McAleer, M.J.

**Determining causal inference in linear and non-linear time-series using convergent cross mapping. An application of government expenditure and economic growth relation in Mexico 1980-2015**

*by*Rubi Tonantzin Gutiérrez Villanueva

**Causalidad en Segundos Momentos: Una aplicación a la volatilidad bursátil en México, Estados Unidos y Australia**

*by*Omar Alejandro González Rivas

**Relaciones entre los mercados bursátiles de México y Estados Unidos: Evidencia de cointegración y Causalidad de Granger**

*by*Juan Carlos Bonifacio Ramírez

**The stability of money demand in the long-run: Italy 1861–2011**

*by*Vittorio Daniele & Pasquale Foresti & Oreste Napolitano

**Bayesian Unit Root Test for Panel Data**

*by*Jitendra Kuma & Anoop Chaturvedi & Umme Afifa

**A Smoothing Test under First-Order Autoregressive Processes and a First-Order Moving-Average Correction**

*by*Ana Paula Martins

**The Effect of Biofuels on the Link between Oil and Agricultural Commodity Prices: A Smooth Transition Cointegration Approach**

*by*Anthony Paris

**Reassessing the empirical relationship between the oil price and the dollar**

*by*Virginie Coudert & Valérie Mignon

**Measuring financial cycles with a model-based filter: Empirical evidence for the United States and the euro area**

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

**Exchange Rate Linkages between the ASEAN Currencies, the US Dollar and the Chinese RMB**

*by*Guglielmo Maria Caporale & Luis A. Gil-Alana & Kefei You

**Updated Reference Forecasts for Global CO2 Emissions from Fossil-Fuel Consumption**

*by*José M. Belbute & Alfredo Marvão Pereira

**Do Global CO2 Emissions from Fossil-Fuel Consumption Exhibit Long Memory? A Fractional Integration Analysis**

*by*José M. Belbute & Alfredo Marvão Pereira

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

*by*Sucarrat, Genaro & Escribano, Álvaro

**Understanding the Sources of Macroeconomic Uncertainty**

*by*Rossi, Barbara & Sekhposyan, Tatevik & Soupre, Mattheiu

**Forecast Rationality Tests in the Presence of Instabilities, With Applications to Federal Reserve and Survey Forecasts**

*by*Rossi, Barbara & Sekhposyan, Tatevik

**In-sample Inference and Forecasting in Misspecified Factor Models**

*by*Carrasco, Marine & Rossi, Barbara

**Forecasting Macroeconomic Variables under Model Instability**

*by*Pettenuzzo, Davide & Timmermann, Allan G

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

*by*Andreou, Elena

**Pronóstico del volumen de negociación del mercado secundario de renta fija en Colombia: a través de la modelación no lineal star**

*by*Miller Ariza

**Transmisión de choques en los flujos de capitales al crecimiento económico colombiano**

*by*Juan David Rojas & Sebastián Higuera

**Estimación de elasticidades de sustitución Armington: una aplicación para la industria en Colombia**

*by*Mónica Eliana FLÓREZ BUSTAMANTE & Jurany Beccie RAMÍREZ GALLEGO

**Prévision de l’activité économique au Québec**

*by*Maxime Leroux & Rachidi Kotchoni & Dalibor Stevanovic

**Direct and Indirect Effects Based on Difference-in-Differences with an Application to Political Preferences Following the Vietnam Draft Lottery**

*by*Eva Deuchert & Martin Huber & Mark Schelker

**Exchange Rate Linkages between the ASEAN Currencies, the US Dollar and the Chinese RMB**

*by*Guglielmo Maria Caporale & Luis A. Gil-Alana & Kefei You

**Identification and Estimation of the Environmental Kuznets Curve: Pairwise Differencing to Deal with Nonlinearity and Nonstationarity**

*by*Suphi Sen & Bertrand Melenberg & Herman R. J. Vollebergh

**Working Time Reductions at the End of the Career. Do they Prolong the Time Spent in Employment?**

*by*Andrea Albanese & Bart Cockx & Yannick Thuy

**On a Possible Problem in the Estimation of Saddle-point Dynamic Economic Models**

*by*Audrey Laporte & Adrian Rohit Dass & Brian Ferguson

**On Estimating Long-Run Effects In Models with Lagged Dependent Variables**

*by*W. Robert Reed & Min Zhu

**Univariate Unit Root Tests Perform Poorly When Data Are Cointegrated**

*by*W. Robert Reed

**A Semiparametric Intraday GARCH Model**

*by*Peter Malec

**Asymptotic Theory for Beta-t-GARCH**

*by*Ryoko Ito

**Spline-DCS for Forecasting Trade Volume in High-Frequency Finance**

*by*Ryoko Ito

**Option-Implied Equity Premium Predictions via Entropic TiltinG**

*by*Davide Pettenuzzo & Konstantinos Metaxoglou & Aaron Smith

**Option-Implied Equity Premium Predictions via Entropic TiltinG**

*by*Davide Pettenuzzo & Konstantinos Metaxoglou & Aaron Smith

**Exhange rate linkages between the Asean currencies, the US dollar and the Chinese RMB**

*by*Caporale, Guglielmo Maria & Gil-Alana, Luis A. & You, Kefei

**The dynamic Black-Litterman approach to asset allocation**

*by*Harris, Richard D F & Stoja, Evarist & Tan, Linzhi

**Adaptive models and heavy tails**

*by*Petrella, Ivan & Delle Monache, Davide

**Understanding the Sources of Macroeconomic Uncertainty**

*by*Barbara Rossi & Tatevik Sekhposyan & Matthiew Soupre

**Exchange Rate Risk Premium: An Analysis of its Determinants for the Mexican Peso-USD**

*by*Benavides Guillermo

**A Functional Approach to Test Trending Volatility**

*by*Hernández del Valle Gerardo & Juárez-Torres Miriam & Guerrero Santiago

**Unit Root Testing in ARMA Models: A Likelihood Ratio Approach**

*by*Hernández Juan R.

**Adaptive models and heavy tails**

*by*Davide Delle Monache & Ivan Petrella

**Price asymmetries in the European gasoline market**

*by*Alberto Bagnai & Christian Alexander Mongeau Ospina

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

*by*Shin Kanaya

**A Dynamic Multi-Level Factor Model with Long-Range Dependence**

*by*Yunus Emre Ergemen & Carlos Vladimir Rodríguez-Caballero

**Tightness of M-estimators for multiple linear regression in time series**

*by*Søren Johansen & Bent Nielsen

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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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**The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry**

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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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**An examination of tourist arrivals dynamics using short-term time series data: a space-time cluster approach**

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**To Predict the Equity Market, Consult Economic Theory**

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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**

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**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**

*by*Oinonen, Sami & Paloviita, Maritta & Vilmi, Lauri

**Money demand models for Russia : A sectoral approach**

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

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**Long Memory and Structural Breaks in Realized Volatility: An Irreversible Markov Switching Approach**

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**Time-Consistency Problem and the Behavior of US Inflation from 1970 to 2008**

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**Estimating Stochastic Volatility Models using Prediction-based Estimating Functions**

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**Which Global Stock Indices Trigger Stronger Contagion Risk in the Vietnamese Stock Market? Evidence Using a Bivariate Analysis**

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**The Purchasing Power Parity in Emerging Europe: Empirical Results Based on Two-Break Analysis**

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**Inflation and relative price variability in Venezuela**

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

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**Commodity Prices, Convenience Yields, and Inflation**

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**Stock Return Co-movement and Systemic Risk in the Turkish Banking System**

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

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

*by*Mohammed MRAOUA & Rachid ELLAIA & Abdelkhalak EL HAMI

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

*by*Christopher John F. CRUZ & Claire Dennis S. MAPA

**Econometric Analysis of the Modified Phillips Curve in Finland 1988–2009**

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

*by*SRINIVASAN P. & KALAIVANI M.

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**The Validity of the Halloween Effect in the Istanbul Stock Exchange**

*by*Veli Yilanci

**Do Imports and Foreign Capital Inflows Lead Economic Growth? Cointegration and Causality Analysis in Pakistan**

*by*Mohammad Mafizur Rahman & Muhammad Shahbaz

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

*by*Biru Paksha Paul

**ASEANâ€“India Free Trade Agreement (FTA) and its Impact on India**

*by*Rajan Sudesh Ratna & Murali Kallummal

**Theoretical Aspects Regarding the Use of the Multiple Linear Regression Model in Economic Analyses**

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**The Features of the Chronological Series of Statistical Indices**

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

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**General Aspects Regarding the Classical Hypotheses in Multiple Regression**

*by*Constantin ANGHELACHE & Gabriela Victoria ANGHELACHE & Daniel DUMITRESCU & Cristi DUMITRESCU & Adina Mihaela DINU

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

*by*Constantin ANGHELACHE & Vergil VOINEAGU & Alexandru MANOLE & Diana Valentina SOARE & Ligia PRODAN

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

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

*by*Li-Hung Wu

**Board Ownership and Firm Value in Taiwan - A Panel Smooth Transition Regression Model**

*by*Feng-Li Lin

**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**

*by*Zhiqiang HU & Yizhu WANG

**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**

*by*Sánchez, Elmer

**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

**Central Bank Modelling and Variables Doing Random Walks**

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**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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**The dynamics of real exchange rates - A reconsideration**

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**Indirect Inference Based on the Score**

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**Forecast Optimality Tests in the Presence of Instabilities**

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**Out-of-Sample Forecast Tests Robust to Window Size Choice**

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**The Euro Changeover and Price Adjustments in Italy**

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**On the High-Frequency Dynamics of Hedge Fund Risk Exposures**

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**Nonparametric Beta kernel estimator for long memory time series**

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**Comparación de los modelos SETAR y STAR para el índice de empleo industrial colombiano**

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**Final energy demand in Portugal: How persistent it is and why it matters for environmental policy**

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**The Euro Changeover and Price Adjustments in Italy**

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**Tracking Unemployment in Wales through Recession and into Recovery**

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**Investigating Agglomeration Economies in a Panel of European Cities and Regions**

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**The Rise and Fall of S&P500 Variance Futures**

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**GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies**

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**Analyzing Fixed-event Forecast Revisions**

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**Evaluating Individual and Mean Non-Replicable Forecasts**

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**International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord**

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**The Impact of Macroeconomic News on Bond Yields: (In)Stabilities over Time and Relative Importance**

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