Research classified by Journal of Economic Literature (JEL) codes

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Top JEL
/ C: Mathematical and Quantitative Methods
/ / C3: Multiple or Simultaneous Equation Models; Multiple Variables
/ / / C32: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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This JEL code is mentioned in the following RePEc Biblio entries:

1. Estimated DSGE Models
2. Forecasting with DSGE Models
3. Nowcasting
4. Sign Restrictions
5. Bayesian Vector autoregressions (BVARs)
6. Dynamic Factor Models

2007

• Hahn, Elke, 2007, "The impact of exchange rate shocks on sectoral activity and prices in the euro area," Working Paper Series, European Central Bank, number 796, Aug.
• Llaudes, Ricardo, 2007, "Monetary policy shocks in a two-sector open economy: an empirical study," Working Paper Series, European Central Bank, number 799, Aug.
• Musso, Alberto & Proietti, Tommaso, 2007, "Growth accounting for the euro area: a structural approach," Working Paper Series, European Central Bank, number 804, Aug.
• Franta, Michal & Saxa, Branislav & Šmídková, Kateřina, 2007, "Inflation persistence: euro area and new EU Member States," Working Paper Series, European Central Bank, number 810, Sep.
• Cappiello, Lorenzo & De Santis, Roberto A., 2007, "The uncovered return parity condition," Working Paper Series, European Central Bank, number 812, Sep.
• Kaufmann, Sylvia & Valderrama, Maria Teresa, 2007, "The role of credit aggregates and asset prices in the transmission mechanism: a comparison between the euro area and the US," Working Paper Series, European Central Bank, number 816, Sep.
• Ciccarelli, Matteo & Altavilla, Carlo, 2007, "Information combination and forecast (st)ability evidence from vintages of time-series data," Working Paper Series, European Central Bank, number 846, Dec.
• L. Bauwens & J.V.K. Rombouts, 2007, "Bayesian inference for the mixed conditional heteroskedasticity model," Econometrics Journal, Royal Economic Society, volume 10, issue 2, pages 408-425, July.
• Rasmus Kattai, 2007, "Constants do not stay constant because variables are varying," Bank of Estonia Working Papers, Bank of Estonia, number 2007-01, Jan, revised 02 Jan 2007.
• Lenno Uuskula, 2007, "Firm entry and liquidity," Bank of Estonia Working Papers, Bank of Estonia, number 2007-06, Aug, revised 26 Aug 2007.
• Christian Schulz, 2007, "Forecasting economic growth for Estonia : application of common factor methodologies," Bank of Estonia Working Papers, Bank of Estonia, number 2007-09, Sep, revised 04 Sep 2007.
• Hyndman, Rob J. & Shahid Ullah, Md., 2007, "Robust forecasting of mortality and fertility rates: A functional data approach," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 10, pages 4942-4956, June.
• Staszewska, Anna, 2007, "Representing uncertainty about response paths: The use of heuristic optimisation methods," Computational Statistics & Data Analysis, Elsevier, volume 52, issue 1, pages 121-132, September.
• Cubadda, Gianluca, 2007, "A unifying framework for analysing common cyclical features in cointegrated time series," Computational Statistics & Data Analysis, Elsevier, volume 52, issue 2, pages 896-906, October.
• Morana, Claudio, 2007, "Multivariate modelling of long memory processes with common components," Computational Statistics & Data Analysis, Elsevier, volume 52, issue 2, pages 919-934, October.
• Ruge-Murcia, Francisco J., 2007, "Methods to estimate dynamic stochastic general equilibrium models," Journal of Economic Dynamics and Control, Elsevier, volume 31, issue 8, pages 2599-2636, August.
• Centoni, Marco & Cubadda, Gianluca & Hecq, Alain, 2007, "Common shocks, common dynamics, and the international business cycle," Economic Modelling, Elsevier, volume 24, issue 1, pages 149-166, January.
• Baghli, Mustapha & Cahn, Christophe & Fraisse, Henri, 2007, "Is the inflation-output Nexus asymmetric in the Euro area?," Economics Letters, Elsevier, volume 94, issue 1, pages 1-6, January.
• Hashem Pesaran, M., 2007, "A pair-wise approach to testing for output and growth convergence," Journal of Econometrics, Elsevier, volume 138, issue 1, pages 312-355, May.
• Hualde, J. & Robinson, P.M., 2007, "Root-n-consistent estimation of weak fractional cointegration," Journal of Econometrics, Elsevier, volume 140, issue 2, pages 450-484, October.
• Harvey, Andrew C. & Trimbur, Thomas M. & Van Dijk, Herman K., 2007, "Trends and cycles in economic time series: A Bayesian approach," Journal of Econometrics, Elsevier, volume 140, issue 2, pages 618-649, October.
• Eklund, Bruno & Terasvirta, Timo, 2007, "Testing constancy of the error covariance matrix in vector models," Journal of Econometrics, Elsevier, volume 140, issue 2, pages 753-780, October.
• Hall, Alastair R. & Inoue, Atsushi, 2007, "Corrigendum to: "The large sample behaviour of the generalized method of moments estimator in misspecified models": [Journal of Econometrics 114 (2003) 361-394]," Journal of Econometrics, Elsevier, volume 141, issue 2, pages 1417-1418, December.
• Nielsen, Morten Orregaard & Shimotsu, Katsumi, 2007, "Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach," Journal of Econometrics, Elsevier, volume 141, issue 2, pages 574-596, December.
• Bowsher, Clive G., 2007, "Modelling security market events in continuous time: Intensity based, multivariate point process models," Journal of Econometrics, Elsevier, volume 141, issue 2, pages 876-912, December.
• Eickmeier, Sandra, 2007, "Business cycle transmission from the US to Germany--A structural factor approach," European Economic Review, Elsevier, volume 51, issue 3, pages 521-551, April.
• Coutts, Ken & Norman, Neville R., 2007, "Global influences on UK manufacturing prices: 1970-2000," European Economic Review, Elsevier, volume 51, issue 5, pages 1205-1221, July.
• Kahn, James A. & Rich, Robert W., 2007, "Tracking the new economy: Using growth theory to detect changes in trend productivity," Journal of Monetary Economics, Elsevier, volume 54, issue 6, pages 1670-1701, September.
• Lief Brandes & Egon Franck, 2007, "Who Made Who – An Empirical Analysis of Competitive Balance in European Soccer Leagues," Eastern Economic Journal, Eastern Economic Association, volume 33, issue 3, pages 379-403, Summer.
• Jan P.A.M. Jacobs & Kenneth F. Wallis, 2007, "Cointegration, Long-Run Structural Modelling And Weak Exogeneity: Two Models Of The Uk Economy," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2007-12, Jun.
• Mardi Dungey & Renee Fry, 2007, "The Identification Of Fiscal And Monetary Policy In A Structural Var," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2007-29, Dec.
• Urzúa, Carlos M., 2007, "A Back-of-the-Envelope Rule to Identify Atheoretical VARs," EGAP Working Papers, Tecnológico de Monterrey, Campus Ciudad de México, number 2007-03, Feb.
• Ertugrul Deliktas & Özlem Önder & Metin Karadag, 2007, "The Spillover Effects of Public Capital Formation on the Manufacturing Industry in the Turkish Geographical Regions," Working Papers, Ege University, Department of Economics, number 0702, Feb.
• Robinson, Peter M., 2007, "Multiple local whittle estimation in stationary systems," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 4436, Oct.
• Robinson, Peter, 2007, "Diagnostic testing for cointegration," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 4465, Sep.
• Robinson, Peter, 2007, "On discrete sampling of time-varying continuous-time systems," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6795, Jun.
• Seo, Myung Hwan, 2007, "Estimation of nonlinear error correction models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6802, Mar.
• Ciarreta Antuñano, Aitor & Zárraga Alonso, Ainhoa, 2007, "Electricity consumption and economic growth: evidence from Spain," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística), number 1134-8984, Jan.
• Philip Arestis & Elias Karakitsos, 2007, "Modelling the US Housing Market," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 10, issue 2, pages 67-88, Winter.
• Oglietti, Guillermo Celso, 2007, "La relación de causalidad entre el crecimiento y la IED en Argentina. ¿Pan para hoy, hambre para mañana?," El Trimestre Económico, Fondo de Cultura Económica, volume 74, issue 294, pages 349-378, abril-jun, DOI: http://dx.doi.org/10.20430/ete.v74i.
• Chumacero, Rómulo A. & Hermann, Jorge, 2007, "No estaba muerta … La teoría cuantitativa y la relación entre dinero e inflación," El Trimestre Económico, Fondo de Cultura Económica, volume 74, issue 295, pages 766-787, julio-sep, DOI: http://dx.doi.org/10.20430/ete.v74i.
• Heij, C., 2007, "Improved forecasting with leading indicators: the principal covariate index," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2007-23, Jun.
• Paap, R. & Segers, R. & van Dijk, D.J.C., 2007, "Do leading indicators lead peaks more than troughs?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2007-08, Mar.
• Strachan, R.W. & van Dijk, H.K., 2007, "Bayesian model averaging in vector autoregressive processes with an investigation of stability of the US great ratios and risk of a liquidity trap in the USA, UK and Japan," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2007-11, Mar.
• Victor M. Guerrero, 2007, "Pronósticos restringidos con modelos de series de tiempo múltiples y su aplicación para evaluar metas de política macroeconómica en México," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, volume 22, issue 2, pages 241-311.
• Hrushikesh Mallick, 2007, "Does Energy Consumption Fuel Economic Growth In India?," Working Papers, eSocialSciences, number id:1299.
• Lekha S. Chakraborty, 2007, "Fiscal Deficit, Capital Formation, and Crowding Out : Evidence from India," Working Papers, eSocialSciences, number id:837.
• Boschi, Melisso, 2007, "Foreign capital in Latin America: A long-run structural Global VAR perspective," Economics Discussion Papers, University of Essex, Department of Economics, number 8918.
• Hideaki HIRATA & Ayhan KOSE & Christopher OTROK, 2013, "Regionalization vs. Globalization," Discussion papers, Research Institute of Economy, Trade and Industry (RIETI), number 13004, Jan.
• Helmut Luetkepohl, 2007, "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers, European University Institute, number ECO2007/11.
• Christian Kascha, 2007, "A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models," Economics Working Papers, European University Institute, number ECO2007/12.
• Juraj Stanèík, 2007, "Determinants of Exchange-Rate Volatility: The Case of the New EU Members," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 57, issue 9-10, pages 414-432, October.
• Jerome Creel & Paola Monperrus-Veroni & Francesco Saraceno, 2007, "Has the Golden Rule of Public Finance Made a Difference in the UK ?," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2007-13.
• Matteo Pelagatti & Bruno Bosco & Lucia Parisio & Fabio Baldi, 2007, "A Robust Multivariate Long Run Analysis of European Electricity Prices," Working Papers, Fondazione Eni Enrico Mattei, number 2007.103, Nov.
• Derek W. Bunn & Carlo Fezzi, 2007, "Interaction of European Carbon Trading and Energy Prices," Working Papers, Fondazione Eni Enrico Mattei, number 2007.63, Jun.
• Stanislav Anatolyev & Victor Kitov, 2007, "Using All Observations when Forecasting under Structural Breaks," Finnish Economic Papers, Finnish Economic Association, volume 20, issue 2, pages 166-176, Autumn.
• Alastair R. Hall & Atsushi Inoue & James M. Nason & Barbara Rossi, 2007, "Information criteria for impulse response function matching estimation of DSGE models," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2007-10.
• Erik Hjalmarsson & Pär Österholm, 2007, "Testing for cointegration using the Johansen methodology when variables are near-integrated," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 915.
• Massimo Guidolin & Giovanna Nicodano, 2007, "Small caps in international equity portfolios: the effects of variance risk," Working Papers, Federal Reserve Bank of St. Louis, number 2005-075, DOI: 10.20955/wp.2005.075.
• Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2007, "Multivariate contemporaneous threshold autoregressive models," Working Papers, Federal Reserve Bank of St. Louis, number 2007-019, DOI: 10.20955/wp.2007.019.
• Ivana Komunjer & Michael T. Owyang, 2007, "Multivariate forecast evaluation and rationality testing," Working Papers, Federal Reserve Bank of St. Louis, number 2007-047, DOI: 10.20955/wp.2007.047.
• V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2007, "Are structural VARs with long-run restrictions useful in developing business cycle theory?," Staff Report, Federal Reserve Bank of Minneapolis, number 364, DOI: 10.21034/sr.364.
• Wen-Jen Tsay, 2007, "Maximum Likelihood Estimation of Stationary Multivariate ARFIMA Processes," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan, number 07-A011, Dec.
• Jun Yu, 2007, "Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-06-2008, Apr, revised Oct 2008.
• Jonas Stulz, 2007, "Exchange rate pass-through in Switzerland: Evidence from vector autoregressions," Economic Studies, Swiss National Bank, number 2007-04.
• Arvid Raknerud & Terje Skjerpen & Anders Swensen, 2007, "A linear demand system within a seemingly unrelated time series equations framework," Empirical Economics, Springer, volume 32, issue 1, pages 105-124, April, DOI: 10.1007/s00181-006-0074-5.
• Kent Friberg, 2007, "Intersectoral wage linkages: the case of Sweden," Empirical Economics, Springer, volume 32, issue 1, pages 161-184, April, DOI: 10.1007/s00181-006-0077-2.
• Martin Schmidt, 2007, "M1 demand and volatility," Empirical Economics, Springer, volume 32, issue 1, pages 85-104, April, DOI: 10.1007/s00181-006-0073-6.
• Andrea Nobili, 2007, "Assessing the predictive power of financial spreads in the euro area: does parameters instability matter?," Empirical Economics, Springer, volume 33, issue 1, pages 177-195, July, DOI: 10.1007/s00181-006-0098-x.
• John Dawson & Amit Sen, 2007, "New evidence on the convergence of international income from a group of 29 countries," Empirical Economics, Springer, volume 33, issue 2, pages 199-230, September, DOI: 10.1007/s00181-006-0099-9.
• Apostolos Serletis, 2007, "The Welfare Cost of Inflation," Springer Books, Springer, chapter 0, "The Demand for Money", DOI: 10.1007/978-0-387-71727-2_6.
• Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2007, "A Review of Nonfundamentalness and Identification in Structural VAR Models," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2007/22, Oct.
• Arvid Raknerud & Terje Skjerpen & Anders Rygh Swensen, 2007, "Forecasting key macroeconomic variables from a large number of predictors: A state space approach," Discussion Papers, Statistics Norway, Research Department, number 504, May.
• Ralf Bruggemann & Carsten Trenkler, 2007, "Are Eastern European Countries Catching Up? Time Series Evidence for Czech Republic, Hungary and Poland," Applied Economics Letters, Taylor & Francis Journals, volume 14, issue 4, pages 245-249, DOI: 10.1080/13504850500425782.
• Syed Basher & Joakim Westerlund, 2007, "Is there really a unit root in the inflation rate? More evidence from panel data models," Applied Economics Letters, Taylor & Francis Journals, volume 15, issue 3, pages 161-164, DOI: 10.1080/13504850600706305.
• Melisso Boschi & Alessandro Girardi, 2007, "Euro area inflation: long-run determinants and short-run dynamics," Applied Financial Economics, Taylor & Francis Journals, volume 17, issue 1, pages 9-24, DOI: 10.1080/09603100600592828.
• Stavros Degiannakis & Evdokia Xekalaki, 2007, "Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models," Applied Financial Economics, Taylor & Francis Journals, volume 17, issue 2, pages 149-171, DOI: 10.1080/09603100500461686.
• Boriss Siliverstovs & Dierk Herzer, 2007, "Manufacturing exports, mining exports and growth: cointegration and causality analysis for Chile (1960-2001)," Applied Economics, Taylor & Francis Journals, volume 39, issue 2, pages 153-167, DOI: 10.1080/00036840500427965.
• Sungbae An & Frank Schorfheide, 2007, "Bayesian Analysis of DSGE Models," Econometric Reviews, Taylor & Francis Journals, volume 26, issue 2-4, pages 113-172, DOI: 10.1080/07474930701220071.
• L. Bauwens & J. V. K. Rombouts, 2007, "Bayesian Clustering of Many Garch Models," Econometric Reviews, Taylor & Francis Journals, volume 26, issue 2-4, pages 365-386, DOI: 10.1080/07474930701220576.
• Luc Bauwens & Michel Lubrano, 2007, "Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market," Econometric Reviews, Taylor & Francis Journals, volume 26, issue 2-4, pages 469-486, DOI: 10.1080/07474930701220634.
• Peter McAdam, 2007, "USA, Japan and the Euro Area: Comparing Business-Cycle Features," International Review of Applied Economics, Taylor & Francis Journals, volume 21, issue 1, pages 135-156, DOI: 10.1080/02692170601035066.
• Stavros Degiannakis & Evdokia Xekalaki, 2007, "Simulated evidence on the distribution of the standardized one-step-ahead prediction errors in ARCH processes," Applied Financial Economics Letters, Taylor & Francis Journals, volume 3, issue 1, pages 31-37, DOI: 10.1080/17446540600706833.
• Byron Gangnes & Craig Parsons, 2007, "Have US–Japan Trade Agreements Made a Difference?," Journal of the Asia Pacific Economy, Taylor & Francis Journals, volume 12, issue 4, pages 548-566, DOI: 10.1080/13547860701594277.
• Pinar Evrim Mandaci & Erdost Torun, 2007, "Testing Integration between the Major Emerging Markets," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 7, issue 1, pages 1-12.
• Vesile Kutlu & Nese Kavrukkoca, 2007, "Evaluating the Maastricht Convergence Criteria for New Prospective European Union Members," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 7, issue 1, pages 13-26.
• Charles S. Bos & Phillip Gould, 2007, "Dynamic Correlations and Optimal Hedge Ratios," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 07-025/4, Feb.
• Siem Jan Koopman & André Lucas & Marius Ooms & Kees van Montfort & Victor van der Geest, 2007, "Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 07-027/4, Mar.
• Michiel D. de Pooter & Francesco Ravazzolo & Dick van Dijk, 2007, "Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 07-028/4, Mar.
• Michiel De Pooter, 2007, "Examining the Nelson-Siegel Class of Term Structure Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 07-043/4, Jun.
• Siem Jan Koopman & Max I.P. Mallee & Michel van der Wel, 2007, "Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 07-095/4, Dec.
• C.S. Bos & S.J. Koopman & M. Ooms, 2007, "Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 07-099/4, Dec.
• Huisman, K.J.M. & Kort, P.M. & Plasmans, J.E.J., 2007, "Investment in High-Tech Industries : An Example from the LCD Industry," Discussion Paper, Tilburg University, Center for Economic Research, number 2007-85.
• Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007, "The Effect of Long Memory in Volatility on Stock Market Fluctuations," The Review of Economics and Statistics, MIT Press, volume 89, issue 4, pages 684-700, November.
• Cuesta, Rafael A. & Knox, C.A. & Zofío, José Luis, 2007, "Environmental Efficiency Measurement with Translog Distance Functions: A Parametric Approach," Working Papers in Economic Theory, Universidad Autónoma de Madrid (Spain), Department of Economic Analysis (Economic Theory and Economic History), number 2007/02, Mar.
• Diewert, Erwin, 2007, "Index Numbers," Economics working papers, Vancouver School of Economics, number diewert-07-01-03-08-17-23, Jan, revised 31 Jan 2007.
• WenSho Fang & Stephen M. Miller, 2007, "The Great Moderation and the Relationship between Output Growth and Its Volatility," Working papers, University of Connecticut, Department of Economics, number 2007-04, Mar.
• WenShwo Fang & Stephen M. Miller & ChunShen Lee, 2007, "Cross-Country Evidence on Output Growth Volatility: Nonstationary Variance and GARCH Models," Working papers, University of Connecticut, Department of Economics, number 2007-20, Apr, revised Mar 2008.
• Juan Pablo Domínguez H., 2007, "Cost of Equity Capital and Country Risk: An econometric analysis of the expected rate of return for four Latin American countries," Economía, Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela, volume 32, issue 23, pages 63-90, january-j.
• Michel Beine & Charles Bos & Sébastien Laurent, 2007, "The impact of Central Bank FX interventions on currency components," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/10419.
• Domenico Giannone & Troy Matheson, 2007, "A new core inflation indicator for New Zealand," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/6407.
• J. Isaac Miller, 2007, "Cointegrating Regressions with Messy Regressors: Missingness, Mixed Frequency, and Measurement Error," Working Papers, Department of Economics, University of Missouri, number 0722, Nov, revised 15 Apr 2009.
• Cubadda, G. & Hecq, A.W. & Palm, F.C., 2007, "Macro-panels and reality," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 009, Jan, DOI: 10.26481/umamet.2007009.
• Fabio Canova & Matthias Paustian, 2007, "Business cycle measurement with some theory," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1203, Nov, revised Jul 2011.
• Daniel Kohler, 2007, "Carry Trades: Betting Against Safe Haven," University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen, number 2007-12, Apr.
• Taro Kanatani & Roberto Reno', 2007, "Unbiased covariance estimation with interpolated data," Department of Economics University of Siena, Department of Economics, University of Siena, number 502, Apr.
• Yamin Ahmad, 2007, "The Effects of Small Sample Bias in Threshold Autoregressive Models," Working Papers, UW-Whitewater, Department of Economics, number 07-01, May, revised Jun 2007.
• Monica Billio & Massimiliano Caporin, 2007, "Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2007_18.
• Roberto Casarin & Domenico Sartore, 2007, "Matrix-State Particle Filter for Wishart Stochastic Volatility Processes," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2007_30.
• Monica Billio & Jacques Anas & Laurent Ferrara & Marco Lo Duca, 2007, "Business Cycle Analysis with Multivariate Markov Switching Models," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2007_32.
• Monica Billio & Jacques Anas & Laurent Ferrara & Marco Lo Duca, 2007, "A turning point chronology for the Euro-zone," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2007_33.
• Cifter Atilla & Ozun Alper, 2007, "The Monetary Transmission Mechanism in the New Economy: Evidence from Turkey (1997-2006)," South East European Journal of Economics and Business, Sciendo, volume 2, issue 1, pages 15-24, April, DOI: 10.2478/v10033-007-0011-3.
• Yongsung Chang & Taeyoung Doh & Frank Schorfheide, 2007, "Non‐stationary Hours in a DSGE Model," Journal of Money, Credit and Banking, Blackwell Publishing, volume 39, issue 6, pages 1357-1373, September, DOI: 10.1111/j.1538-4616.2007.00070.x.
• Michal Rubaszek & Pawel Skrzypczynski, 2007, "Can a simple DSGE model outperform Professional Forecasters?," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 5, May.
• Peter N Smith & Steffen Sorensen & Mike Wickens, 2007, "The Asymmetric Effect of the Business Cycle on the Equity Premium (This is an extensively revised version of earlier paper No. 06/04)," Discussion Papers, Department of Economics, University of York, number 07/11, May.
• Renatas Kizys & Peter Spencer, 2007, "Assessing the Relation between Equity Risk Premium and Macroeconomic Volatilities in the UK," Discussion Papers, Department of Economics, University of York, number 07/13, Jun.
• Dötz, Niko, 2007, "Time-varying contributions by the corporate bond and CDS markets to credit risk price discovery," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2007,08.
• Hogrefe, Jens, 2007, "The yield spread and GDP growth - Time Varying Leading Properties and the Role of Monetary Policy," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2007-12.
• Wohltmann, Hans-Werner & Winkler, Roland C., 2007, "Solution of RE Models with Anticipated Shocks and Optimal Policy," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2007-32.
• Gundel, Sebastian, 2007, "Declining export prices due to increased competition from NIC: Evidence from Germany and the CEEC," University of Göttingen Working Papers in Economics, University of Goettingen, Department of Economics, number 63.
• Kühl, Michael, 2007, "Cointegration in the foreign exchange market and market efficiency since the introduction of the Euro: Evidence based on bivariate cointegration analyses," University of Göttingen Working Papers in Economics, University of Goettingen, Department of Economics, number 68.
• Grammig, Joachim & Theissen, Erik & Wuensche, Oliver, 2007, "Time and price impact of a trade: A structural approach," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 07-12.
• Hautsch, Nikolaus, 2007, "Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model," CFS Working Paper Series, Center for Financial Studies (CFS), number 2007/25.
• Nolte, Ingmar & Voev, Valeri, 2007, "Panel intensity models with latent factors: An application to the trading dynamics on the foreign exchange market," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 07/02.
• Lechner, Sandra & Nolte, Ingmar, 2007, "Customer trading in the foreign exchange market empirical evidence from an internet trading platform," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 07/03.
• Nolte, Ingmar & Voev, Valeri, 2007, "Estimating high-frequency based (co-) variances: A unified approach," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 07/07.
• Rengifo, Erick W. & Trifan, Emanuela, 2007, "Investors Facing Risk II: Loss Aversion and Wealth Allocation When Utility Is Derived From Consumption and Narrowly Framed Financial Investments," Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics, number 181.
• Brosig, Stephan & Weitzel, Enno-Burghard & Glauben, Thomas & Poghosyan, Tigran & Rozelle, Scott, 2007, "Spatial market integration and the dynamics of transaction costs in the Chinese soy bean market," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 6, issue 5, pages 431-437.
• Bandholz, Harm & Clostermann, Jörg & Seitz, Franz, 2007, "Explaining the US bond yield conundrum," Weidener Diskussionspapiere, University of Applied Sciences Amberg-Weiden (OTH), number 2.
• Franchi, Massimo & Jusélius, Katarina, 2007, "Taking a DSGE Model to the Data Meaningfully," Economics Discussion Papers, Kiel Institute for the World Economy, number 2007-6.
• Pesaran, Mohammad Hashem & Holly, Sean & Dees, Stephane & Smith, L. Vanessa, 2007, "Long Run Macroeconomic Relations in the Global Economy," Economics Discussion Papers, Kiel Institute for the World Economy, number 2007-7.
• Canarella, Giorgio & Sapra, Sunil K. & Pollard, Stephen K., 2007, "Asymmetry and Spillover Effects in the North American Equity Markets," Economics Discussion Papers, Kiel Institute for the World Economy, number 2007-35.
• Chen, Pu & Schneider, Elena & Frohn, Joachim, 2007, "A Long Run Structural Macroeconometric Model for Germany," Economics Discussion Papers, Kiel Institute for the World Economy, number 2007-47.
• Pesaran, Mohammad Hashem & Holly, Sean & Dees, Stephane & Smith, L. Vanessa, 2007, "Long Run Macroeconomic Relations in the Global Economy," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 1, pages 1-20, DOI: 10.5018/economics-ejournal.ja.2007-.
• Franchi, Massimo & Jusélius, Katarina, 2007, "Taking a DSGE Model to the Data Meaningfully," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 1, pages 1-38, DOI: 10.5018/economics-ejournal.ja.2007-.
• Pollard, Stephen K. & Sapra, Sunil K. & Canarella, Giorgio, 2007, "Asymmetry and Spillover Effects in the North American Equity Markets," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 1, pages 1-52, DOI: 10.5018/economics-ejournal.ja.2007-.
• Kromphardt, Jürgen & Logeay, Camille, 2007, "Changes in the Balance of Power Between the Wage and Price Setters and the Central Bank: Consequences for the Phillips Curve and the NAIRU," Kiel Working Papers, Kiel Institute for the World Economy, number 1354.
• Reis, Ricardo & Watson, Mark W., 2007, "Measuring changes in the value of the numeraire," Kiel Working Papers, Kiel Institute for the World Economy, number 1364.
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• Weber, Enzo, 2007, "Volatility and causality in Asia Pacific financial markets," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-004.
• Fischer, Matthias J., 2007, "Are correlations constant over time? Application of the CC-TRIGt-test to return series from different asset classes," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-012.
• Weber, Enzo, 2007, "What happened to the transatlantic capital market relations?," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-014.
• Weber, Enzo, 2007, "Who leads financial markets?," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-015.
• Weber, Enzo, 2007, "Simultaneous causality in international trade," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-018.
• Weber, Enzo, 2007, "Regional and outward economic integration in South-East Asia," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-019.
• Tsay, Wen-Jen & Härdle, Wolfgang Karl, 2007, "A generalized ARFIMA process with Markov-switching fractional differencing parameter," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-022.
• Borak, Szymon & Härdle, Wolfgang Karl & Mammen, Enno & Park, Byeong U., 2007, "Time series modelling with semiparametric factor dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-023.
• Härdle, Wolfgang Karl & Mungo, Julius, 2007, "Long memory persistence in the factor of Implied volatility dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-027.
• Weber, Enzo, 2007, "Economic integration and the foreign exchange," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-038.
• Sarferaz, Samad & Uebele, Martin, 2007, "Tracking down the business cycle: A dynamic factor model for Germany 1820-1913," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-039.
• Hautsch, Nikolaus, 2007, "Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-052.
• Weber, Enzo, 2007, "Correlation vs. causality in stock market comovement," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-064.
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• Meyer-Gohde, Alexander, 2007, "Solving linear rational expectations models with lagged expectations quickly and easily," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2007-069.
• Wölfle, Marco, 2007, "Price Discovery for Cross-Listed Securities from Emerging Eastern European Countries," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 07-067.
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• Lars Peter Hansen, 2007, "Beliefs, Doubts and Learning: Valuing Economic Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 12948, Mar.
• Torben G. Andersen & Luca Benzoni, 2007, "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 12962, Mar.
• Marco Del Negro & Frank Schorfheide, 2007, "Monetary Policy Analysis with Potentially Misspecified Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 13099, May.
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• Jessica A. Wachter & Missaka Warusawitharana, 2007, "Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?," NBER Working Papers, National Bureau of Economic Research, Inc, number 13165, Jun.
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• Ricardo Reis & Mark W. Watson, 2007, "Relative Goods' Prices, Pure Inflation, and the Phillips Correlation," NBER Working Papers, National Bureau of Economic Research, Inc, number 13615, Nov.
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• Alastair R. Hall & Denis Pelletier, 2007, "Non-Nested Testing in Models Estimated via Generalized Method of Moments," Working Paper Series, North Carolina State University, Department of Economics, number 011, Mar, revised Mar 2007.
• Pablo A. Guerron, 2007, "What You Match Does Matter: The Effects of Data on DSGE Estimation," Working Paper Series, North Carolina State University, Department of Economics, number 012, Jul.
• William J. McCausland & Shirley Miller & Denis Pelletier, 2007, "A New Approach to Drawing States in State Space Models," Working Paper Series, North Carolina State University, Department of Economics, number 014, Aug, revised Aug 2007.
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• Mario A. Margarido & Frederico A. Turolla & Carlos R. F. Bueno, 2007, "The world market for soybeans: price transmission into Brazil and effects from the timing of crop and trade," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), volume 17, issue 2, pages 241-270, May-Augus.
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• Pablo Antolín, 2007, "Longevity Risk and Private Pensions," OECD Working Papers on Insurance and Private Pensions, OECD Publishing, number 3, Jan, DOI: 10.1787/261260613084.
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• Sylvia Kaufmann, 2007, "Capturing the Link between M3 Growth and Inflation in the Euro Area – An Econometric Model to Produce Conditional Inflation Forecasts," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 93-108.
• Gert Peersman, 2007, "The Relative Importance of Symmetric and Asymmetric Shocks: the Case of United Kingdom and Euro Area," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 136, May.
• Gerhard Fenz & Martin Schneider, 2007, "Transmission of Business Cycle Shocks between Unequal Neighbours: Germany and Austria," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 137, May.
• Tatsuyoshi Miyakoshi & Masakatsu Okubo & Junji Shimada, 2007, "The Dynamic Welfare Costs of the 1997 Asian Crisis," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 07-25, Jun.
• Tatsuyoshi Miyakoshi & Masakatsu Okubo & Junji Shimada, 2007, "The Dynamic Welfare Cost of Stagnation: An Alternative Measure to the Lucas-Obstfeld Model," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 07-26, Jun.
• Michel Beine & Charles S. Bos & Sébastien Laurent, 2007, "The Impact of Central Bank FX Interventions on Currency Components," Journal of Financial Econometrics, Oxford University Press, volume 5, issue 1, pages 154-183.
• Jennifer Castle & David Hendry, 2007, "Forecasting UK Inflation: the Roles of Structural Breaks and Time Disaggregation," Economics Series Working Papers, University of Oxford, Department of Economics, number 309, Feb.
• M. Shabri Abd. Majid, 2007, "Inflation, financial development, and economic growth: the case of Malaysia and Thailand," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, volume 44, issue 1, pages 217-238, June.
• Stefano HERZEL & Catalin STARICA & Thomas NORD, 2007, "The IGARCH e®ect: Consequences on volatility forecasting and option trading," Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia, number 34/2007, Jul.