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

2008

• Michael Ehrmann, 2004, "Firm Size and Monetary Policy Transmission – Evidence from German Business Survey Data," CESifo Working Paper Series, CESifo, number 1201.
• Thomas A. Knetsch, 2004, "Evaluating the German Inventory Cycle – Using Data from the Ifo Business Survey," CESifo Working Paper Series, CESifo, number 1202.
• M. Hashem Pesaran, 2004, "A Pair-Wise Approach to Testing for Output and Growth Convergence," CESifo Working Paper Series, CESifo, number 1308.
• M. Hashem Pesaran & Paolo Zaffaroni, 2004, "Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management," CESifo Working Paper Series, CESifo, number 1358.
• Stephane Dees & Filippo di Mauro & M. Hashem Pesaran & L. Vanessa Smith, 2005, "Exploring the International Linkages of the Euro Area: a Global VAR Analysis," CESifo Working Paper Series, CESifo, number 1425.
• M. Hashem Pesaran & L. Vanessa Smith & Ron P. Smith, 2005, "What if the UK had Joined the Euro in 1999? An Empirical Evaluation Using a Global VAR," CESifo Working Paper Series, CESifo, number 1477.
• M. Hashem Pesaran & Ron P. Smith, 2006, "Macroeconometric Modelling with a Global Perspective," CESifo Working Paper Series, CESifo, number 1659.
• Yin-Wong Cheung, 2006, "An Empirical Model of Daily Highs and Lows," CESifo Working Paper Series, CESifo, number 1695.
• Stephane Dees & Sean Holly & M. Hashem Pesaran & L. Vanessa Smith, 2007, "Long Run Macroeconomic Relations in the Global Economy," CESifo Working Paper Series, CESifo, number 1904.
• Adrian Pagan & M. Hashem Pesaran, 2007, "On Econometric Analysis of Structural Systems with Permanent and Transitory Shocks and Exogenous Variables," CESifo Working Paper Series, CESifo, number 1924.
• Katrin Assenmacher-Wesche & M. Hashem Pesaran, 2007, "Assessing Forecast Uncertainties in a VECX Model for Switzerland: An Exercise in Forecast Combination across Models and Observation Windows," CESifo Working Paper Series, CESifo, number 2116.
• M. Hashem Pesaran & Til Schuermann & L. Vanessa Smith, 2008, "Forecasting Economic and Financial Variables with Global VARs," CESifo Working Paper Series, CESifo, number 2263.
• Katrin Assenmacher-Wesche & M. Hashem Pesaran, 2008, "A VECX Model of the Swiss Economy," CESifo Working Paper Series, CESifo, number 2281.
• M. Hashem Pesaran & Paolo Zaffaroni, 2008, "Optimal Asset Allocation with Factor Models for Large Portfolios," CESifo Working Paper Series, CESifo, number 2326.
• Guglielmo Maria Caporale & Davide Ciferri & Alessandro Girardi, 2008, "Are the Baltic Countries Ready to Adopt the Euro? A Generalised Purchasing Power Parity Approach," CESifo Working Paper Series, CESifo, number 2359.
• Yan-Leung Cheung & Yin-Wong Cheung & Alan T.K. Wan, 2008, "A High-Low Model of Daily Stock Price Ranges," CESifo Working Paper Series, CESifo, number 2387.
• Markku Lanne & Helmut Luetkepohl, 2008, "Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis," CESifo Working Paper Series, CESifo, number 2407.
• Steffen Henzel, 2008, "Learning Trend Inflation – Can Signal Extraction Explain Survey Forecasts?," ifo Working Paper Series, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 55.
• Felipe Morandé & Mauricio Tejada, 2008, "Sources of Uncertainty for Conducting Monetary Policy in Chile," Working Papers Central Bank of Chile, Central Bank of Chile, number 492, Oct.
• Patricio Jaramillo, 2008, "Estimación de Var Bayesianos para la Economía Chilena," Working Papers Central Bank of Chile, Central Bank of Chile, number 508, Dec.
• Alberto Ortiz & Federico Sturzenegger & Ashoka Mody, 2008, "Estimating SARB's Policy Reaction Rule," CID Working Papers, Center for International Development at Harvard University, number 165, May.
• Virginie Coudert & Mathieu Gex, 2008, "Contagion in the Credit Default Swap Market: the case of the GM and Ford Crisis in 2005," Working Papers, CEPII research center, number 2008-14, Sep.
• Z. Yejim Giirbiiz & Thomas Jobert & Ruhi Tuncer, 2008, "The Turkish Experience in Inflation Targeting: Uncertainties and the Efficiency of Monetary Policy," Economie Internationale, CEPII research center, issue 116, pages 127-146.
• Claude Lopez & David H. Papell, 2008, "Testing for Group-Wise Convergence with an Application to Euro Area Inflation," University of Cincinnati, Economics Working Papers Series, University of Cincinnati, Department of Economics, number 2010-03, revised 2010.
• Javier Mencía & Enrique Sentana, 2008, "Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations," Working Papers, CEMFI, number wp2008_0804, Apr.
• Javier Mencía & Enrique Sentana, 2008, "Multivariate Location-Scale Mixtures of Normals and Mean-Variance-skewness Portfolio Allocation," Working Papers, CEMFI, number wp2008_0805, Apr.
• José Luis Torres T., 2008, "La Estimación de la brecha del producto en Colombia," Investigación Conjunta-Joint Research, Centro de Estudios Monetarios Latinoamericanos, CEMLA, chapter 4, in: Centro de Estudios Monetarios Latinoamericanos (CEMLA), "Estimación y Uso de Variables no Observables en la Región".
• Juan José Echavarría Soto & Enrique López Enciso & Martha Misas Arango & Juana Téllez Corredor & Juan Carlos Parra Álvarez, 2008, "La tasa de interés natural en Colombia," Investigación Conjunta-Joint Research, Centro de Estudios Monetarios Latinoamericanos, CEMLA, chapter 7, in: Centro de Estudios Monetarios Latinoamericanos (CEMLA), "Estimación y Uso de Variables no Observables en la Región".
• J. Tena & E. Otranto, 2008, "A Realistic Model for Official Interest Rates," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 200802.
• Jes√∫s Otero & Manuel Ram√≠rez G√≥mez, 2008, "Modeling the monetary policy reaction function of the colombian central bank," Documentos de Trabajo, Universidad del Rosario, number 4650, Apr.
• Marta Casas Monsegny & Edilberto Cepeda, 2008, "Modelos ARCH, GARCH y EGARCH: aplicaciones a series financieras," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Oscar Becerra & Luis Fernando Melo, 2008, "Medidas De Riesgo Financiero Usando C�Pulas: Teor�A Y Aplicaciones," Borradores de Economia, Banco de la Republica, number 4523, Feb.
• Dairo Estrada & Javier Guti�rrez Rueda, 2008, "Supervisi�N Y Regulaci�N Del Sistema Financiero:Modelos Implicaciones Y Alcances," Borradores de Economia, Banco de la Republica, number 4543, Feb.
• Jorge Anfdr�s Tamayo, 2008, "La tasa natural de desempleo en Colombia y sus determinantes," Borradores de Economia, Banco de la Republica, number 4545, Feb.
• Enrique Montes & Aaron Garavito & Carolina Pulido & Monica Hern�ndez, 2008, "El mercado venezolano en las exportaciones colombianas:Dependencia de los exportadores en 2006," Borradores de Economia, Banco de la Republica, number 4548, Mar.
• Juan Carlos Parra Alvarez, 2008, "Hechos Estilizados de la Econom�a Colombiana:Fundamentos Emp�ricos para la Construcci�n y Evaluaci�n de un Modelo DSGE," Borradores de Economia, Banco de la Republica, number 4602, Apr.
• Oscar Becerra & Luis Fernando Melo, 2008, "Transmisi�n de tasas de inter�s bajo el esquema de metas de inflaci�n: evidencia para Colombia," Borradores de Economia, Banco de la Republica, number 4731, Jun.
• Alejandro Reveiz & Carlos Eduardo Le�n, 2008, "Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space," Borradores de Economia, Banco de la Republica, number 4732, Jun.
• Luis Eduardo Arango & Fernando Arias & Luz Adriana Fl�rez, 2008, "Trends, Fluctuations, and Determinants of Commodity Prices," Borradores de Economia, Banco de la Republica, number 4734, Jun.
• Daniel Mej�a & Mar�a Teresa Ram�rez & Jorge Tamayo, 2008, "The Demographic Transition in Colombia: Theory and Evidence," Borradores de Economia, Banco de la Republica, number 5128, Nov.
• Andr�s Salamanca & Viviana Monroy, 2008, "DEUDA EXTERNA P�BLICA E INVERSI�N EN COLOMBIA 1994-2007: Evidencia de un Modelo No-Lineal TAR," Borradores de Economia, Banco de la Republica, number 5213, Dec.
• Mauricio Avella G�mez, 2008, "Perspectivas de crecimiento del gasto p�blico en Colombia, 1925-2003 �Una visi�n descriptiva � la Wagner, o � la Peacock y Wiseman?," Borradores de Economia, Banco de la Republica, number 5214, Dec.
• Juan José Echavarría Soto & Enrique L�pez Enciso & Martha Misas Arango, 2008, "La tasa de cambio real de equilibrio en Colombia y su desalineamiento: estimación a través de un modelo SVEC," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 26, issue 57, pages 282-319, DOI: 10.32468/Espe.5706.
• Carlos J. Pena P., 2008, "Choques petroleros, incertidumbre e inversión privada. Venezuela, 1968-2007," Perfil de Coyuntura Económica, Universidad de Antioquia, CIE.
• Mauricio López & Carlos Castaneda, 2008, "Sostenibilidad de la deuda pública y crecimiento económico: el caso reciente de la economía colombiana," Perfil de Coyuntura Económica, Universidad de Antioquia, CIE.
• Francisco Pérez T, 2008, "Impacto de la crisis del sector rural en el mercado laboral urbano y nacional un análisis de vectores autoregresivos," Documentos de Trabajo, Escuela de Economía, Universidad Nacional de Colombia, FCE, CID, number 4686, May.
• Mario García Molina & Jeanne Kelly Ru�z Tavera, 2008, "Ley de Thirlwall y modelo de brechas: un modelo unificado," Documentos de Trabajo, Escuela de Economía, Universidad Nacional de Colombia, FCE, CID, number 4835, Jul.
• Ingrid Acevedo Bohórquez & Ermilson Velásquez Ceballos, 2008, "Algunos conceptos de la econometría espacial y el análisis exploratorio de datos espaciales," Revista Ecos de Economía, Universidad EAFIT.
• Jésus Botero Garcia, 2008, "Evaluando impactos externos mediante un modelo de equilibrio general computable con competencia imperfecta: El caso colombiano," Revista Ecos de Economía, Universidad EAFIT.
• CHOLLETE, Loran & HEINEN, Andréas & VALDESOGO, Alfonso, 2008, "Modeling international financial returns with a multivariate regime switching copula," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2008013, Mar.
• Adam Elbourne & Debby Lanser & Bert Smid & Martin Vromans, 2008, "Macroeconomic resilience in a DSGE model," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis, number 96, Jan.
• Thomas J. flavin & Ekaterini Panopoulou, 2008, "Detecting shift and pure contagion in East Asian equity markets: A Unified Approach," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n1890208.pdf.
• Thomas J. Flavin & Ekaterini Panopoulou & Deren Unalmis, 2008, "On the stability of domestic financial market linkages in the presence of time-varying volatility," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n1981108.pdf.
• Markku Lanne & Helmut L‹Tkepohl, 2008, "Identifying Monetary Policy Shocks via Changes in Volatility," Journal of Money, Credit and Banking, Blackwell Publishing, volume 40, issue 6, pages 1131-1149, September.
• Yuzo Hosoya & Takahiro Terasaka, 2008, "Inference on Transformed Stationary Time Series," Discussion Papers, Meisei University, School of Economics, number 11, Feb.
• Zsolt Darvas, 2008, "Leveraged carry trade portfolios," Working Papers, Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest, number 0802, Jun, revised 18 Jun 2008.
• Zoltán Reppa, 2008, "Interest rate expectations and macroeconomic shocks affecting the yield curve," MNB Bulletin (discontinued), Magyar Nemzeti Bank (Central Bank of Hungary), volume 3, issue 3, pages 26-32, December.
• Marianna Valentinyi-Endrész & Zoltán Vásáry, 2008, "Macro stress testing with sector specific bankruptcy models," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2008/2.
• Andrea Cipollini & Giuseppe Missaglia, 2008, "Measuring bank capital requirements through Dynamic Factor analysis," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi", number 010, Feb.
• Andrea Cipollini & George Kapetanios, 2008, "Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi", number 014, Mar.
• Mario Forni & Luca Gambetti, 2008, "The dynamic e ects of monetary policy: A structural factor model approach," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi", number 026, Nov.
• Yannick LE PEN & Benoît SEVI, 2008, "On the non-convergence of energy intensities: evidence from a pair-wise econometric approach," Cahiers du CREDEN (CREDEN Working Papers), CREDEN (Centre de Recherche en Economie et Droit de l'Energie), Faculty of Economics, University of Montpellier 1, number 08.12.79.
• Tine Olsen & Brett Inder, 2008, "Coffee Commodity Chain," Monash Economics Working Papers, Monash University, Department of Economics, number 06/08, Mar.
• Dominique Guegan, 2008, "Effect of noise filtering on predictions: on the routes of chaos," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08008, Jan.
• Jing Zhang & Dominique Guegan, 2008, "Pricing bivariate option under GARCH processes with time-varying copula," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08015, Feb, DOI: 10.1016/j.insmatheco.2008.02.003.
• Dominique Guegan, 2008, "Non-stationarity and meta-distribution," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08026, Mar.
• Christophe Chorro & Dominique Guegan & Florian Ielpo, 2008, "Option pricing under GARCH models with generalized hyperbolic innovations (I): methodology," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number b08037, May.
• Ralph D. Snyder & Anne B. Koehler, 2008, "A View of Damped Trend as Incorporating a Tracking Signal into a State Space Model," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 7/08, Sep.
• Philippe Moës, 2008, "Multivariate structural time series models with dual cycles : implications for measurement of output gap and potential growth," Working Paper Research, National Bank of Belgium, number 136, Aug.
• Francesca Monti, 2008, "Forecast with judgment and models," Working Paper Research, National Bank of Belgium, number 153, Dec.
• Marek Rozkrut, 2008, "It’s not only WHAT is said, it’s also WHO the speaker is. Evaluating the effectiveness of central bank communication," NBP Working Papers, Narodowy Bank Polski, number 47, Apr.
• Jean Boivin & Marc Giannoni, 2008, "Global Forces and Monetary Policy Effectiveness," NBER Working Papers, National Bureau of Economic Research, Inc, number 13736, Jan.
• Marco Del Negro & Frank Schorfheide, 2008, "Forming Priors for DSGE Models (and How it Affects the Assessment of Nominal Rigidities)," NBER Working Papers, National Bureau of Economic Research, Inc, number 13741, Jan.
• Timothy Cogley & Giorgio E. Primiceri & Thomas J. Sargent, 2008, "Inflation-Gap Persistence in the U.S," NBER Working Papers, National Bureau of Economic Research, Inc, number 13749, Jan.
• M. Ayhan Kose & Christopher Otrok & Eswar S. Prasad, 2008, "Global Business Cycles: Convergence or Decoupling?," NBER Working Papers, National Bureau of Economic Research, Inc, number 14292, Oct.
• Andrew T. Foerster & Pierre-Daniel G. Sarte & Mark W. Watson, 2008, "Sectoral vs. Aggregate Shocks: A Structural Factor Analysis of Industrial Production," NBER Working Papers, National Bureau of Economic Research, Inc, number 14389, Oct.
• Anthony W. Lynch & Jessica A. Wachter, 2008, "Using Samples of Unequal Length in Generalized Method of Moments Estimation," NBER Working Papers, National Bureau of Economic Research, Inc, number 14411, Oct.
• V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2008, "Are Structural VARs with Long-Run Restrictions Useful in Developing Business Cycle Theory?," NBER Working Papers, National Bureau of Economic Research, Inc, number 14430, Oct.
• Andrew Mountford & Harald Uhlig, 2008, "What are the Effects of Fiscal Policy Shocks?," NBER Working Papers, National Bureau of Economic Research, Inc, number 14551, Dec.
• Kirstin Hubrich & Kenneth D. West, 2008, "Forecast Evaluation of Small Nested Model Sets," NBER Working Papers, National Bureau of Economic Research, Inc, number 14601, Dec.
• Juan Carlos Cuestas & Paulo Jose Regis, 2008, "Testing for PPP in Australia: evidence from unit root tests against nonlinear trend stationarity alternatives," NBS Discussion Papers in Economics, Economics, Nottingham Business School, Nottingham Trent University, number 2008/3, Feb.
• Juan Carlos Cuestas & Estefania Mourelle, 2008, "Nonlinearities in real exchange rate determination: do African exchange rates follow a radom walk?," NBS Discussion Papers in Economics, Economics, Nottingham Business School, Nottingham Trent University, number 2008/8, Jul.
• Gary Koop & Roberto Leon Gonzalez & Rodney W. Strachan, 2008, "Bayesian Inference in the Time Varying Cointegration Model," GRIPS Discussion Papers, National Graduate Institute for Policy Studies, number 08-01, May.
• Ricardo M. Sousa & António Afonso, 2008, "Fiscal Policy, Housing and Stock Prices," NIPE Working Papers, NIPE - Universidade do Minho, number 21/2008.
• Ricardo M. Sousa & António Afonso, 2008, "The Macroeconomic Effects of Fiscal Policy," NIPE Working Papers, NIPE - Universidade do Minho, number 22/2008.
• Giorgio Canarella & WenShwo Fang & Stephen M. Miller & Stephen K. Pollard, 2008, "Is the Great Moderation Ending? UK and US Evidence," Working Papers, University of Nevada, Las Vegas , Department of Economics, number 0801, Nov.
• Hon-Chung Hui, 2008, "Transmission Channels Linking Real Estate Shocks with Macroeconomic Performance: Evidence from Malaysia," NUBS Malaysia Campus Research Paper Series, Nottingham University Business School Malaysia Campus, number 2008-09, Jun.
• Dr. James Mitchell, 2008, "Combining Forecast Densities from VARs with Uncertain Instabilities," National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research, number 303, Jan.
• Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard, 2008, "Measuring downside risk-realised semivariance," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2008-W02, 01.
• Søren Johansen & Bent Nielsen, 2008, "An analysis of the indicator saturation estimator as a robust regression estimator," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2008-W03, 01.
• Neil Shephard & Torben Andersen, 2008, "Stochastic Volatility: Origins and Overview," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2008-W04, May.
• Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008, "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2008-W10, Jan.
• Betty Daniel & Christos Shiamptanis, 2008, "Fiscal Policy in the European Monetary Union," Discussion Papers, University at Albany, SUNY, Department of Economics, number 08-11.
• Özer Karagedikli & Rishab Sethi & Christie Smith & Aaron Drew, 2008, "Changes in the transmission mechanism of monetary policy in New Zealand," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2008/03, Feb.
• Emmanuel De Veirman & Ashley Dunstan, 2008, "How do Housing Wealth, Financial Wealth and Consumption Interact? Evidence from New Zealand," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2008/05, Feb.
• David Hargreaves, 2008, "The tax system and housing demand in New Zealand," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2008/06, Feb.
• Friedrich Fritzer & Lukas Reiss, 2008, "An Analysis of Credit to the Household Sector in Austria," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 16, pages 122-134.
• Gerhard Fenz & Martin Schneider, 2008, "Transmission of business cycle shocks between the US and the euro area," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 145, Jul.
• Fabio Rumler & Maria Teresa Valderrama, 2008, "Comparing the New Keynesian Phillips Curve with Time Series Models to Forecast Inflation," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 148, Sep.
• Peter C. Schotman & Rolf Tschernig & Jan Budek, 2008, "Long Memory and the Term Structure of Risk," Journal of Financial Econometrics, Oxford University Press, volume 6, issue 4, pages 459-495, Fall.
• Neil Shephard & Ole E. Barndorff-Nielsen, 2008, "Modelling and measuring volatility," Economics Series Working Papers, University of Oxford, Department of Economics, number 2008--FE-31, Nov.
• Neil Shephard & Silja Kinnebrock & Ole E. Barndorff-Neilsen, 2008, "Measuring downside risk - realised semivariance," Economics Series Working Papers, University of Oxford, Department of Economics, number 382, Jan.
• Neil Shephard & Torben G. Andersen, 2008, "Stochastic Volatility: Origins and Overview," Economics Series Working Papers, University of Oxford, Department of Economics, number 389, Mar.
• Neil Shephard & Ole E. Barndorff-Nielsen & Peter Reinhard Hansen, 2008, "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Economics Series Working Papers, University of Oxford, Department of Economics, number 397, Jul.
• Neil Shephard & Kevin Sheppard & Robert F. Engle, 2008, "Fitting vast dimensional time-varying covariance models," Economics Series Working Papers, University of Oxford, Department of Economics, number 403, Sep.
• Neil Shephard & Ole E. Barndorff-Nielsen & University of Aarhus, 2001, "Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models," Economics Series Working Papers, University of Oxford, Department of Economics, number 71, Jul.
• Massimiliano Caporin & Michael McAleer, 2008, "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0064.
• S. Sanfelici & M. E. Mancino, 2008, "Covariance estimation via Fourier method in the presence of asynchronous trading and microstructure noise," Economics Department Working Papers, Department of Economics, Parma University (Italy), number 2008-ME01.
• Thomas Gries & Manfred Kraft & Daniel Meierrieks, 2008, "Linkages between Financial Deepening,Trade Openness and Economic Development: Causality Evidence from Sub-Saharan Africa," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 15, Apr.
• Thomas Gries & Manfred Kraft & Daniel Meierrieks, 2008, "Financial Deepening, Trade Openness and Economic Growth in Latin America and the Caribbean," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 17, Aug.
• Melisso Boschi & Luca Pieroni, 2008, "Aluminium market and the macroeconomy," Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia, number 42/2008, Jan.
• Akhand Akhtar Hossain, 2008, "Rural Labour Market Developments, Agricultural Productivity, and Real Wages in Bangladesh, 1950–2006," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 47, issue 1, pages 89-114.
• Marçal, Emerson F. & Valls Pereira, Pedro L., 2008, "Testando A Hipótese De Contágio A Partir De Modelos Multivariados De Volatilidade
  [Testing the contagion hypotheses using multivariate volatility models]," MPRA Paper, University Library of Munich, Germany, number 10356, Sep.
• Basher, Syed A. & Westerlund, Joakim, 2008, "Panel Cointegration and the Monetary Exchange Rate Model," MPRA Paper, University Library of Munich, Germany, number 10453, Sep.
• de Silva, Ashton, 2008, "Forecasting macroeconomic variables using a structural state space model," MPRA Paper, University Library of Munich, Germany, number 11060, Sep.
• Griffin, Jim & Steel, Mark F.J., 2008, "Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes," MPRA Paper, University Library of Munich, Germany, number 11071, Oct.
• Sek, Siok Kun & Kapsalyamova, Zhanna, 2008, "Exchange rate pass-through and volatility: Impacts on domestic prices in four Asian countries," MPRA Paper, University Library of Munich, Germany, number 11130, Aug, revised 26 Oct 2008.
• Hooy, Chee Wooi & Chan, Tze-Haw, 2008, "The Impact of Yuan/Ringgit on Bilateral Trade Balance of China and Malaysia," MPRA Paper, University Library of Munich, Germany, number 11306, Oct.
• Lucchetti, Riccardo & Palomba, Giulio, 2008, "Nonlinear Adjustment in US Bond Yields: an Empirical Analysis with Conditional Heteroskedasticity," MPRA Paper, University Library of Munich, Germany, number 11571.
• Taboga, Marco, 2008, "Macro-finance VARs and bond risk premia: a caveat," MPRA Paper, University Library of Munich, Germany, number 11585, Nov.
• Memon, Manzoor Hussain & Baig, Waqar Saleem & Ali, Muhammad, 2008, "Causal Relationship Between Exports and Agricultural GDP in Pakistan," MPRA Paper, University Library of Munich, Germany, number 11845, Oct.
• Silva Lopes, Artur C. B. da & Monteiro, Olga Susana, 2008, "Short and long run tests of the expectations hypothesis: the Portuguese case," MPRA Paper, University Library of Munich, Germany, number 12001, Sep.
• Stavarek, Daniel, 2008, "Exchange Market Pressure in Central European Countries from the Eurozone Membership Perspective," MPRA Paper, University Library of Munich, Germany, number 12079, Nov.
• Rossi, Eduardo & Spazzini, Filippo, 2008, "Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis," MPRA Paper, University Library of Munich, Germany, number 12260.
• Sergio, Brasini & Marzia, Freo & Giorgio, Tassinari, 2008, "An analysis of the role of liking on the memorial response to advertising," MPRA Paper, University Library of Munich, Germany, number 12342, Dec.
• Bukowski, Maciej & Koloch, Grzegorz & Lewandowski, Piotr, 2008, "Shocks and rigidities as determinants of CEE labor markets' performance. A panel SVECM approach," MPRA Paper, University Library of Munich, Germany, number 12429, Dec.
• Duasa, Jarita & Kassim, Salina, 2008, "Hot money and economic performance: An empirical analysis," MPRA Paper, University Library of Munich, Germany, number 12470, Dec.
• Rubaszek, Michał, 2008, "Economic convergence and the fundamental equilibrium exchange rate in Poland," MPRA Paper, University Library of Munich, Germany, number 12910, Oct.
• Lemoine, Matthieu & Mazzi, Gian Luigi & Monperrus-Veroni, Paola & Reynes, Frédéric, 2008, "Real time estimation of potential output and output gap for theeuro-area: comparing production function with unobserved componentsand SVAR approaches," MPRA Paper, University Library of Munich, Germany, number 13128, Nov, revised Nov 2008.
• Duasa, Jarita & Kassim, Salina, 2008, "Herd behaviour in Malaysian capital market: An empirical analysis," MPRA Paper, University Library of Munich, Germany, number 13303.
• Jahan-Parvar, Mohammad R. & Mohammadi, Hassan, 2008, "Oil Prices and Real Exchange Rates in Oil-Exporting Countries: A Bounds Testing Approach," MPRA Paper, University Library of Munich, Germany, number 13435, Dec.
• Shamiri, Ahmed & Shaari, Abu Hassan & Isa, Zaidi, 2008, "Comparing the accuracy of density forecasts from competing GARCH models," MPRA Paper, University Library of Munich, Germany, number 13662.
• Eo, Yunjong, 2008, "Bayesian Analysis of DSGE Models with Regime Switching," MPRA Paper, University Library of Munich, Germany, number 13910, Aug, revised 11 Feb 2009.
• Klein, A. & Urbig, D. & Kirn, S., 2008, "Who Drives the Market? Estimating a Heterogeneous Agent-based Financial Market Model Using a Neural Network Approach," MPRA Paper, University Library of Munich, Germany, number 14433, Jun.
• Sanogo, Issa, 2008, "SPATIAL integration of the rice market: emprirical evidence from mid-west and far-west Nepal and the Nepalese-Indian border," MPRA Paper, University Library of Munich, Germany, number 14488.
• Mendonca, Gui Pedro, 2008, "Structural Breaks, Regime Change and Asymmetric Adjustment: A Short and Long Run Global Approach to the Output/Unemployment Dynamics," MPRA Paper, University Library of Munich, Germany, number 14648, Nov.
• Chauvet, Marcelle & Senyuz, Zeynep, 2008, "A Joint Dynamic Bi-Factor Model of the Yield Curve and the Economy as a Predictor of Business Cycles," MPRA Paper, University Library of Munich, Germany, number 15076, Dec, revised Apr 2009.
• Marçal, Emerson F. & Valls Pereira, Pedro L., 2008, "Testing the Hypothesis of Contagion using Multivariate Volatility Models," MPRA Paper, University Library of Munich, Germany, number 15623, Aug.
• Samreth, Sovannroeun, 2008, "Estimating Money Demand Function in Cambodia: ARDL Approach," MPRA Paper, University Library of Munich, Germany, number 16274, revised Jun 2009.
• Cesaroni, Tatiana, 2008, "Estimating potential output using business survey data in a SVAR framework," MPRA Paper, University Library of Munich, Germany, number 16324, Feb.
• Gachet, Ivan & Maldonado, Diego & Pérez, Wilson, 2008, "Determinantes de la Inflación en una Economía Dolarizada: El Caso Ecuatoriano
  [Determinants of Inflation in a Dollarized Economy: The Case of Ecuador]," MPRA Paper, University Library of Munich, Germany, number 17101, Feb.
• Idrovo Aguirre, Byron & Caro S., Juan Carlos, 2008, "Indicadores de Actividad para la Inversión en Infraestructura y Vivienda
  [Economic indicators of Investment in Infrastructure and House]," MPRA Paper, University Library of Munich, Germany, number 19368, Nov, revised 15 Jan 2009.
• Levent, Korap, 2008, "Modeling base money demand and inflation for the Turkish economy," MPRA Paper, University Library of Munich, Germany, number 19617.
• Levent, Korap, 2008, "Modeling Turkish M2 broad money demand: a portfolio-based approach using implications for monetary policy," MPRA Paper, University Library of Munich, Germany, number 19703.
• Levent, Korap, 2008, "Testing international parity hypothesis in a multivariate identified co-integrating system: the Turkish evidence," MPRA Paper, University Library of Munich, Germany, number 20020.
• Levent, Korap, 2008, "Long-run relations between money, prices and output: the case of Turkey," MPRA Paper, University Library of Munich, Germany, number 20265.
• Levent, Korap, 2008, "A monetary model of TL/US$ exchange rate: a co-integrating approach," MPRA Paper, University Library of Munich, Germany, number 20389.
• Korobilis, Dimitris, 2008, "Forecasting in vector autoregressions with many predictors," MPRA Paper, University Library of Munich, Germany, number 21122, Jan.
• Saraogi, Ravi, 2008, "GDP Forecast for Australia," MPRA Paper, University Library of Munich, Germany, number 22797, May.
• Lanne, Markku & Ahoniemi, Katja, 2008, "Implied Volatility with Time-Varying Regime Probabilities," MPRA Paper, University Library of Munich, Germany, number 23721, Dec.
• Korap, Levent, 2008, "Determinants of reserve money demand: a multivariate co-integrating approach," MPRA Paper, University Library of Munich, Germany, number 25525.
• Abdul Karim, Zulkefly & Jusoh, Mansor & Khalid, Norlin, 2008, "Halaju wang di Malaysia : bukti empirik
  [The velocity of money in Malaysia : empirical evidence]," MPRA Paper, University Library of Munich, Germany, number 26966, Jan, revised 19 Jun 2008.
• Abdul Karim, Zulkefly & Abdul Karim, Bakri, 2008, "Stock market integration: Malaysia and its major trading partners," MPRA Paper, University Library of Munich, Germany, number 26976, Dec, revised Jun 2009.
• Omay, Tolga, 2008, "The Term Structure of Interest Rate as a Predictor of Inflation and Real Economic Activity: Nonlinear Evidence from Turkey," MPRA Paper, University Library of Munich, Germany, number 28572.
• Puah, Chin-Hong & Habibullah, M.S. & Abu Mansor, Shazali, 2008, "On the Long-Run Monetary Neutrality: Evidence from the SEACEN Countries," MPRA Paper, University Library of Munich, Germany, number 31762.
• Puah, Chin-Hong & Habibullah, Muzafar Shah & Abu Mansor, Shazali, 2008, "Some Empirical Evidence on the Quantity Theoretic Proposition of Money in ASEAN-5," MPRA Paper, University Library of Munich, Germany, number 31768.
• Lai, Jennifer /J.T., 2008, "Capital flow to China and the issue of hot money: an empirical investigation," MPRA Paper, University Library of Munich, Germany, number 32539, Sep, revised Sep 2009.
• Osman, Mohammad & Jean Louis, Rosmy & Balli, Faruk, 2008, "Output gap and inflation nexus: the case of United Arab Emirates," MPRA Paper, University Library of Munich, Germany, number 34006, revised 2009.
• Tang, Chor Foon, 2008, "A re-examination of the role of foreign direct investment and exports in Malaysia's economic growth," MPRA Paper, University Library of Munich, Germany, number 38536.
• Almosabbeh, Imadeddin, 2008, "العوامل المؤثرة في البطالة في الجمهورية العربية السورية دراسة تطبيقية باستخدام منهجية التكامل المشترك
  [The Effective Factories in Unemployment in the Syrian Arab Republic: An Empirical Study by Using Cointegration Method]," MPRA Paper, University Library of Munich, Germany, number 41871, Mar.
• Alexiou, Constantinos & Tsaliki, Persefoni & Tsoulfidis, Lefteris, 2008, "The Greek Hyperinflation Revisited," MPRA Paper, University Library of Munich, Germany, number 42428, Feb, revised Nov 2012.
• Bandi, Federico & Moloche, Guillermo, 2008, "On the functional estimation of multivariate diffusion processes," MPRA Paper, University Library of Munich, Germany, number 43681, Jul.
• Caiado, Jorge & Crato, Nuno, 2008, "Identifying the evolution of stock markets stochastic structure after the euro," MPRA Paper, University Library of Munich, Germany, number 6609, Jan.
• Basher, Syed A. & Fachin, Stefano, 2008, "The long-term decline of internal migration in Canada – Ontario as a case study," MPRA Paper, University Library of Munich, Germany, number 6685, Jan.
• Proietti, Tommaso, 2008, "Structural Time Series Models for Business Cycle Analysis," MPRA Paper, University Library of Munich, Germany, number 6854, Jan.
• Proietti, Tommaso, 2008, "Estimation of Common Factors under Cross-Sectional and Temporal Aggregation Constraints: Nowcasting Monthly GDP and its Main Components," MPRA Paper, University Library of Munich, Germany, number 6860, Jan.
• Fugarolas Álvarez-Ude, Guadalupe & Mañalich Gálvez, Isis & Matesanz Gómez, David, 2008, "Empirical Evidence Of The Balance Of Payments Constrained Growth In Cuba. The Effects Of Comercial Regimes Since 1960," MPRA Paper, University Library of Munich, Germany, number 6993, Feb.
• Vargas, Gregorio A., 2008, "What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns?," MPRA Paper, University Library of Munich, Germany, number 7174, Feb.
• Liew, Venus Khim-Sen & Baharumshah, Ahmad Zubaidi & Habibullah, Muzafar Shah & Midi, Habshah, 2008, "Monetary exchange rate model: supportive evidence from nonlinear testing procedures," MPRA Paper, University Library of Munich, Germany, number 7293.
• Angelidis, Timotheos & Degiannakis, Stavros, 2008, "Volatility forecasting: intra-day vs. inter-day models," MPRA Paper, University Library of Munich, Germany, number 80434.
• Degiannakis, Stavros & Livada, Alexandra & Panas, Epaminondas, 2008, "Rolling-sampled parameters of ARCH and Levy-stable models," MPRA Paper, University Library of Munich, Germany, number 80464.
• Degiannakis, Stavros, 2008, "ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling," MPRA Paper, University Library of Munich, Germany, number 80465.
• Chollete, Loran & Heinen, Andreas & Valdesogo, Alfonso, 2008, "Modeling International Financial Returns with a Multivariate Regime Switching Copula," MPRA Paper, University Library of Munich, Germany, number 8114, Feb.
• Laakkonen, Helinä & Lanne, Markku, 2008, "Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times," MPRA Paper, University Library of Munich, Germany, number 8296.
• Brambila Macias, Jose, 2008, "The Dynamics of Parallel Economies. Measuring the Informal Sector in México," MPRA Paper, University Library of Munich, Germany, number 8400, Mar.
• L. Arnaut, Javier, 2008, "Demanda de dinero y liberalizacion financiera en Mexico: Un enfoque de cointegracion
  [Money demand and financial liberalization in Mexico: A cointegration approach]," MPRA Paper, University Library of Munich, Germany, number 8680.
• Iiboshi, Hirokuni & Umeda, Masanobu & Wakita, Shigeru, 2008, "Monetary Policy in Japan Reconsidered: A Regime-switching VAR Analysis," MPRA Paper, University Library of Munich, Germany, number 87391, Dec.
• Rao, B. Bhaskara & Tamazian, Artur, 2008, "A model of growth and finance: FIML estimates for India," MPRA Paper, University Library of Munich, Germany, number 8763, May.
• Lorca-Susino, Maria, 2008, "The US Dollar and the Euro: Deus Ex-Machina," MPRA Paper, University Library of Munich, Germany, number 8855, Apr.
• Pillai N., Vijayamohanan, 2008, "Forecasting Demand for Electricity: Some Methodological Issues and an Analysis," MPRA Paper, University Library of Munich, Germany, number 8899, May.
• Vázquez, Miguel & Sánchez-Úbeda, Eugenio F. & Berzosa, Ana & Barquín, Julián, 2008, "Short-term evolution of forward curves and volatility in illiquid power market," MPRA Paper, University Library of Munich, Germany, number 8932, Feb, revised May 2008.
• Eita, Joel Hinaunye & Mbazima, Daisy, 2008, "The Causal Relationship Between Government Revenue and Expenditure in Namibia," MPRA Paper, University Library of Munich, Germany, number 9154, May.
• Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia, 2008, "Inference regarding multiple structural changes in linear models estimated via two stage least squares," MPRA Paper, University Library of Munich, Germany, number 9251, Jun, revised 20 Jun 2008.
• Adam, Anokye M. & Tweneboah, George, 2008, "Do macroeconomic variables play any role in the stock market movement in Ghana?," MPRA Paper, University Library of Munich, Germany, number 9301.
• Adam, Anokye M. & Tweneboah, George, 2008, "Do macroeconomic variables play any role in the stock market movement in Ghana?," MPRA Paper, University Library of Munich, Germany, number 9357, revised 2008.
• Stevans, Lonnie & Sessions, David, 2008, "Speculation, Futures Prices, and the U.S. Real Price of Crude Oil," MPRA Paper, University Library of Munich, Germany, number 9456, Jul, revised 04 Jul 2008.
• Hall, Alastair R. & Han, Sanggohn & Boldea, Otilia, 2008, "Asymptotic Distribution Theory for Break Point Estimators in Models Estimated via 2SLS," MPRA Paper, University Library of Munich, Germany, number 9472, Jul.
• Zafar, Sabahat & Butt, Muhammad Sabihuddin, 2008, "Impact of Trade Liberalization on External Debt Burden: Econometric Evidence from Pakistan," MPRA Paper, University Library of Munich, Germany, number 9548, Jun.