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

2006

• Stephane Dees & Filippo di Mauro & M. Hashem Pesaran & L. Vanessa Smith, 2006, "Exploring the International Linkages of the Euro Area: a Global VAR Analysis," Computing in Economics and Finance 2006, Society for Computational Economics, number 47, Jul.
• Andrea Cipollini & George Kapetanios, 2006, "Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis," Computing in Economics and Finance 2006, Society for Computational Economics, number 477, Jul.
• Almuth Scholl & Harald Uhlig, 2006, "New Evidence on the Puzzles: Monetary Policy and Exchange Rates," Computing in Economics and Finance 2006, Society for Computational Economics, number 5, Jul.
• Dean Fantazzini & Alessandro Carta & Elena Maria DeGiuli, 2006, "A Unified Copula Framework for VaR forecasting," Computing in Economics and Finance 2006, Society for Computational Economics, number 57, Jul.
• Ramón Maria-Dolores & Jesus Vazquez, 2006, "The relative importance of Term Spread, Policy Inertia and Persistent Monetary Policy Shocks in Monetary Policy Rules," Computing in Economics and Finance 2006, Society for Computational Economics, number 6, Jul.
• M. Hashem Pesaran & Ron Smith, 2006, "Macroeconometric Modelling with a Global Perspective," IEPR Working Papers, Institute of Economic Policy Research (IEPR), number 06.43, Jan.
• Hyungsik Roger Moon & Frank Schorfheide, 2006, "Boosting Your Instruments: Estimation with Overidentifying Inequality Moment Conditions," IEPR Working Papers, Institute of Economic Policy Research (IEPR), number 06.56, Oct.
• Natalie Hegwood & David H. Papell, 2006, "Are Real GDP Levels Trend, Difference, or Regime-Wise Trend Stationary? Evidence from Panel Data Tests Incorporating Structural Change," Working Papers, Sam Houston State University, Department of Economics and International Business, number 0601, Sep.
• Caesar Lack, 2006, "Forecasting Swiss inflation using VAR models," Economic Studies, Swiss National Bank, number 2006-02.
• Sami Taban, 2006, "Türkiye’de Sağlık ve Ekonomik Büyüme Arasındaki Nedensellik İlişkisi," Sosyoekonomi Journal, Sosyoekonomi Society, issue 2006-2.
• Boris Krey & Peter Zweifel, 2006, "Efficient Electricity Portfolios for Switzerland and the United States," SOI - Working Papers, Socioeconomic Institute - University of Zurich, number 0602, Feb.
• Uwe Hassler & Jürgen Wolters, 2006, "Autoregressive distributed lag models and cointegration," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 90, issue 1, pages 59-74, March, DOI: 10.1007/s10182-006-0221-5.
• Helmut Lütkepohl, 2006, "Structural vector autoregressive analysis for cointegrated variables," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 90, issue 1, pages 75-88, March, DOI: 10.1007/s10182-006-0222-4.
• Christoph Rothe & Philipp Sibbertsen, 2006, "Phillips-Perron-type unit root tests in the nonlinear ESTAR framework," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 90, issue 3, pages 439-456, September, DOI: 10.1007/s10182-006-0244-y.
• Alfredo Pereira & Jorge Andraz, 2006, "Public investment in transportation infrastructures and regional asymmetries in Portugal," The Annals of Regional Science, Springer;Western Regional Science Association, volume 40, issue 4, pages 803-817, December, DOI: 10.1007/s00168-006-0066-6.
• Tun-Hsiang Yu & David Bessler & Stephen Fuller, 2006, "Effect of lock delay on grain barge rates: examination of upper Mississippi and Illinois Rivers," The Annals of Regional Science, Springer;Western Regional Science Association, volume 40, issue 4, pages 887-908, December, DOI: 10.1007/s00168-005-0057-z.
• Stefan Frey & Joachim Grammig, 2006, "Liquidity supply and adverse selection in a pure limit order book market," Empirical Economics, Springer, volume 30, issue 4, pages 1007-1033, January, DOI: 10.1007/s00181-005-0009-6.
• Anthony Hall & Nikolaus Hautsch, 2006, "Order aggressiveness and order book dynamics," Empirical Economics, Springer, volume 30, issue 4, pages 973-1005, January, DOI: 10.1007/s00181-005-0008-7.
• Mohammad Hasan, 2006, "The prices of silver and exchange rates in a metallic monetary system—the cases of India and Iran," Empirical Economics, Springer, volume 31, issue 1, pages 195-206, March, DOI: 10.1007/s00181-005-0037-2.
• Abdulnasser Hatemi-J & Manuchehr Irandoust, 2006, "A bootstrap-corrected causality test: another look at the money–income relationship," Empirical Economics, Springer, volume 31, issue 1, pages 207-216, March, DOI: 10.1007/s00181-005-0038-1.
• Stuart Wilson, 2006, "Factor accumulation in Canada before the Great Depression: investment and immigration dynamics," Empirical Economics, Springer, volume 31, issue 1, pages 261-275, March, DOI: 10.1007/s00181-005-0048-z.
• K. Balcombe, 2006, "Bayesian estimation of cointegrating thresholds in the term structure of interest rates," Empirical Economics, Springer, volume 31, issue 2, pages 277-289, June, DOI: 10.1007/s00181-005-0011-z.
• Andre Jungmittag, 2006, "Innovation dynamics in the EU: convergence or divergence? A cross-country panel data analysis," Empirical Economics, Springer, volume 31, issue 2, pages 313-331, June, DOI: 10.1007/s00181-005-0018-5.
• Ralf Brüggemann, 2006, "Sources of German unemployment: a structural vector error correction analysis," Empirical Economics, Springer, volume 31, issue 2, pages 409-431, June, DOI: 10.1007/s00181-005-0021-x.
• Antonio Ribba, 2006, "The joint dynamics of inflation, unemployment and interest rate in the United States since 1980," Empirical Economics, Springer, volume 31, issue 2, pages 497-511, June, DOI: 10.1007/s00181-005-0031-8.
• Heino Nielsen & Christopher Bowdler, 2006, "Inflation adjustment in the open economy: an I(2) analysis of UK prices," Empirical Economics, Springer, volume 31, issue 3, pages 569-586, September, DOI: 10.1007/s00181-005-0030-9.
• Marc-André Gosselin & René Lalonde, 2006, "An Eclectic Approach to Estimating U.S. Potential GDP," Empirical Economics, Springer, volume 31, issue 4, pages 951-975, November, DOI: 10.1007/s00181-006-0063-8.
• Thomas A. Knetsch, 2006, "Short-Run and Long-Run Comovement of GDP and Some Expenditure Aggregates in Germany, France and Italy," Springer Books, Springer, "Convergence or Divergence in Europe?", DOI: 10.1007/3-540-32611-1_11.
• Uwe Hassler & Jürgen Wolters, 2006, "Autoregressive Distributed Lag Models and Cointegration," Springer Books, Springer, chapter 5, in: Olaf Hübler & Jachim Frohn, "Modern Econometric Analysis", DOI: 10.1007/3-540-32693-6_5.
• Helmut Lütkepohl, 2006, "Structural Vector Autoregressive Analysis for Cointegrated Variables," Springer Books, Springer, chapter 6, in: Olaf Hübler & Jachim Frohn, "Modern Econometric Analysis", DOI: 10.1007/3-540-32693-6_6.
• Juncal Cunado & Luis A. Gil-Alana & Fernando Pérez de Gracia, 2006, "Additional Empirical Evidence on Real Convergence: A Fractionally Integrated Approach," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 142, issue 1, pages 67-91, April, DOI: 10.1007/s10290-006-0057-9.
• Gang Liu & Terje Skjerpen & Anders Rygh Swensen & Kjetil Telle, 2006, "Unit Roots, Polynomial Transformations and the Environmental Kuznets Curve," Discussion Papers, Statistics Norway, Research Department, number 443, Jan.
• Gang Liu, 2006, "A causality analysis on GDP and air emissions in Norway," Discussion Papers, Statistics Norway, Research Department, number 447, Feb.
• Anne Neumann & Boriss Siliverstovs & Christian von Hirschhausen, 2006, "Convergence of European spot market prices for natural gas? A real-time analysis of market integration using the Kalman Filter," Applied Economics Letters, Taylor & Francis Journals, volume 13, issue 11, pages 727-732, DOI: 10.1080/13504850500404258.
• Francisco Ledesma-Rodriguez & Jorge Perez-Rodriguez & Simon Sosvilla-Rivero, 2006, "An empirical examination of exchange-rate credibility determinants in the EMS," Applied Economics Letters, Taylor & Francis Journals, volume 13, issue 13, pages 847-850, DOI: 10.1080/13504850500425311.
• Boriss Siliverstovs & Dierk Herzer, 2006, "Export-led growth hypothesis: evidence for Chile," Applied Economics Letters, Taylor & Francis Journals, volume 13, issue 5, pages 319-324, DOI: 10.1080/13504850500407293.
• Claudio Morana & Andrea Beltratti, 2006, "Structural breaks and common factors in the volatility of the Fama-French factor portfolios," Applied Financial Economics, Taylor & Francis Journals, volume 16, issue 14, pages 1059-1073, DOI: 10.1080/09603100500426598.
• Thomas Flavin, 2006, "How risk averse are fund managers? Evidence from Irish mutual funds," Applied Financial Economics, Taylor & Francis Journals, volume 16, issue 18, pages 1355-1363, DOI: 10.1080/09603100600592760.
• J. Lindquist & Roger Vilhelmsson, 2006, "Is the Swedish central government a wage leader?," Applied Economics, Taylor & Francis Journals, volume 38, issue 14, pages 1617-1625, DOI: 10.1080/00036840500407124.
• Paresh Kumar Narayan & Russell Smyth, 2006, "Dead man walking: an empirical reassessment of the deterrent effect of capital punishment using the bounds testing approach to cointegration," Applied Economics, Taylor & Francis Journals, volume 38, issue 17, pages 1975-1989, DOI: 10.1080/00036840500427288.
• Camille Logeay & Sven Schreiber, 2006, "Testing the effectiveness of the French work-sharing reform: a forecasting approach," Applied Economics, Taylor & Francis Journals, volume 38, issue 17, pages 2053-2068, DOI: 10.1080/00036840500427031.
• Gilles Dufrenot & Laurent Mathieu & Valerie Mignon & Anne Peguin-Feissolle, 2006, "Persistent misalignments of the European exchange rates: some evidence from non-linear cointegration," Applied Economics, Taylor & Francis Journals, volume 38, issue 2, pages 203-229, DOI: 10.1080/00036840500390262.
• Boriss Siliverstovs, 2006, "Multicointegration in US consumption data," Applied Economics, Taylor & Francis Journals, volume 38, issue 7, pages 819-833, DOI: 10.1080/00036840500398760.
• Charles Bos & Neil Shephard, 2006, "Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form," Econometric Reviews, Taylor & Francis Journals, volume 25, issue 2-3, pages 219-244, DOI: 10.1080/07474930600713275.
• Nuno Cassola & Claudio Morana, 2006, "Volatility of interest rates in the euro area: Evidence from high frequency data," The European Journal of Finance, Taylor & Francis Journals, volume 12, issue 6-7, pages 513-528, DOI: 10.1080/13518470500162758.
• Christer Ljungwall, 2006, "Export-led Growth: Application to China's Provinces, 1978-2001," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, volume 4, issue 2, pages 109-126, DOI: 10.1080/14765280600736866.
• Ali Askin Culha, 2006, "A Structural VAR Analysis of the Determinants of Capital Flows into Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 6, issue 2, pages 11-35.
• Ali Askin Culha, 2006, "A Structural VAR Analysis of the Determinants of Capital Flows Into Turkey," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 0605.
• Cees Diks & Florian Wagener, 2006, "A Weak Bifurcation Theory for Discrete Time Stochastic Dynamical Systems," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 06-043/1, May.
• H. Peter Boswijk & Roy van der Weide, 2006, "Wake me up before you GO-GARCH," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 06-079/4, Sep, revised 21 Sep 2006.
• Domenico Giannone & Lucrezia Reichlin, 2006, "Does information help recovering structural shocks from past observations?," Journal of the European Economic Association, MIT Press, volume 4, issue 2-3, pages 455-465, 04-05.
• Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2006, "Economic and VAR Shocks: What Can Go Wrong?," Journal of the European Economic Association, MIT Press, volume 4, issue 2-3, pages 466-474, 04-05.
• Jean Boivin & Marc P. Giannoni, 2006, "Has Monetary Policy Become More Effective?," The Review of Economics and Statistics, MIT Press, volume 88, issue 3, pages 445-462, August.
• László Kónya & Jai Pal Singh, 2006, "Exports, Imports and Economic Growth in India," Working Papers, School of Economics, La Trobe University, number 2006.06, Dec.
• Giuliana Passamani & Roberto Tamborini, 2006, "Monetary policy through the �credit-cost channel�. Italy and Germany," Department of Economics Working Papers, Department of Economics, University of Trento, Italia, number 0609.
• Shushanik Papanyan, 2006, "The Transmission of Shocks between Europe, Japan and the United States," Working Papers, University of Texas at Arlington, Department of Economics, number 0605.
• Antonia López Villavicencio & Josep Lluís Raymond Bara, 2006, "The short and long-run determinants of the real exchange rate in Mexico," Working Papers, Department of Applied Economics at Universitat Autonoma of Barcelona, number wpdea0606, Oct.
• José Casals Carro & Miguel Jerez Méndez & Sonia Sotoca López, 2006, "Decomposition of state-space Model with inputs: The theory and an application to estimate the ROI of advertising," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0602.
• Rómulo A.Chumacero & J.Rodrigo Fuentes, 2006, "Economic growth in Latin America: structural breaks or fundamentals," Estudios de Economia, University of Chile, Department of Economics, volume 33, issue 2 Year 20, pages 141-154, December.
• Marianela Luzardo Briceño, 2006, "An EWMA model application for quality control analysis in the production of primary aluminium: CVG-Venalum case," Economía, Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela, volume 31, issue 22, pages 41-55, january-d.
• Domenico Giannone & Lucrezia Reichlin, 2006, "Does information help recovering structural shocks from past observations?," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/166169, Apr.
• Marc Hallin & Abdeljelil Farhat & Jean-Marie Dufour, 2006, "Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/2143.
• Juncal Cuñado & Javier Gómez Biscarri & Fernando Perez de Gracia, 2006, "Changes in the Dynamic Behavior of Emerging Market Volatility: Revisiting the Effects of Financial L," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 01/06, Jan.
• Luis Alberiko Gil-Alana & Antonio Moreno, 2006, "Technology Shocks and Hours Worked: A Fractional Integration Perspective," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 03/06, Feb.
• Javier Hualde & Peter Robinson, 2006, "Semiparametric Estimation of Fractional Cointegration," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 07/06, Jun.
• Westerlund, J., 2006, "Testing for error correction in panel data," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 056, Jan, DOI: 10.26481/umamet.2006056.
• Arief Bustaman & Kankesu Jayanthakumaran, 2006, "The Impact of Exchange Rate Volatility on Indonesia’s Exports to the USA: An Application of ARDL Bounds Testing Procedure," Working Papers in Economics and Development Studies (WoPEDS), Department of Economics, Padjadjaran University, number 200610, Dec, revised Dec 2006.
• Jayanthakumaran, Kankesu & Pahlavani, Mosayeb, 2006, "Structural Breaks in Trade and Income Per Capita in ASEAN-5 Countries: An Application of Innovational Outlier Models," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia, number wp06-12.
• Oleg Korenok & Stanislav Radchenko & Norman R. Swanson, 2006, "International Evidence on the Efficacy of new-Keynesian Models of Inflation Persistence," Working Papers, VCU School of Business, Department of Economics, number 0602, Jun.
• Monica Billio & Silvestro Di Sanzo, 2006, "Granger-causality in Markov Switching Models," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2006_20.
• Silvestro Di Sanzo, 2006, "Output fluctuations persistence: Do cyclical shocks matter?," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2006_21.
• Monica Billio & Massimiliano Caporin, 2006, "A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2006_53.
• Manolis Syllignakis & Georgios Kouretas, 2006, "Long And Short-Run Linkages In Cee Stock Markets: Implications For Portfolio Diversification And Stock Market Integration," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp832, Jul.
• Michael S. Hanson, 2006, "Varying Monetary Policy Regimes: A Vector Autoregressive Investigation," Wesleyan Economics Working Papers, Wesleyan University, Department of Economics, number 2006-003, Jan.
• Alfredo Marvao Pereira & Maria De Fatima Pinho, 2006, "Impact of Public Investment Upon Economic Performance and Budgetary Consolidation Efforts in the European Union," ERSA conference papers, European Regional Science Association, number ersa06p122, Aug.
• Ramiro Gil-Serrate & Julio Lopez-Laborda, 2006, "Revenue Decentralisation and Economic Growth in the Spanish Autonomous Communities," ERSA conference papers, European Regional Science Association, number ersa06p214, Aug.
• Elizabeth C. Wakerly & Byron G. Scott & James M. Nason, 2006, "Common trends and common cycles in Canada: who knew so much has been going on?," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, volume 39, issue 1, pages 320-347, February, DOI: 10.1111/j.0008-4085.2006.00349.x.
• Richard Dennis, 2006, "The policy preferences of the US Federal Reserve," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 21, issue 1, pages 55-77, January, DOI: 10.1002/jae.808.
• Fabio Busetti, 2006, "Tests of seasonal integration and cointegration in multivariate unobserved component models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 21, issue 4, pages 419-438, May, DOI: 10.1002/jae.852.
• Anthony Garratt & Donald Robertson & Stephen Wright, 2006, "Permanent vs transitory components and economic fundamentals," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 21, issue 4, pages 521-542, May, DOI: 10.1002/jae.850.
• Ralf Brüggemann & Helmut Lütkepohl, 2006, "A small monetary system for the euro area based on German data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 21, issue 6, pages 683-702, September, DOI: 10.1002/jae.864.
• Jian Yang & Cheng Hsiao & Qi Li & Zijun Wang, 2006, "The emerging market crisis and stock market linkages: further evidence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 21, issue 6, pages 727-744, September, DOI: 10.1002/jae.889.
• Elena Pesavento & Barbara Rossi, 2006, "Small‐sample confidence intervals for multivariate impulse response functions at long horizons," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 21, issue 8, pages 1135-1155, December, DOI: 10.1002/jae.894.
• Markku Lanne, 2006, "Nonlinear dynamics of interest rate and inflation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 21, issue 8, pages 1157-1168, December, DOI: 10.1002/jae.908.
• Anindya Banerjee & Paul Mizen, 2006, "A re‐interpretation of the linear quadratic model when inventories and sales are polynomially cointegrated," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 21, issue 8, pages 1249-1264, December, DOI: 10.1002/jae.892.
• Clements, Michael P. & Galvão, Ana Beatriz & Kim, Jae H., 2006, "Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 777.
• Aleksander Welfe & Piotr Keblowski, 2006, "Price-Wage System with Taxation: Multivariate Cointegration Analysis," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 13, May.
• Trenton Smith & Young H. Lee, 2006, "Why are Americans Addicted to Baseball? An Empirical Analysis of Fandom in Korea and the U.S," Working Papers, School of Economic Sciences, Washington State University, number 2006-05, May.
• Mariam Camarero & Josep Lluis Carrion-i-Silvestre & Cecilio Tamarit, 2006, "New evidence of the real interest rate parity for OECD countries using panel unit root tests with breaks," Working Papers, Xarxa de Referència en Economia Aplicada (XREAP), number CREAP2006-14, Dec, revised Dec 2006.
• P N Smith & S Sorensen & M R Wickens, 2006, "The Asymmetric Effect of the Business Cycle on the Realtion between Stock Market Returns and their Volatility," Discussion Papers, Department of Economics, University of York, number 06/04, Jan.
• Curran, Declan & Funke, Michael, 2006, "Taking the temperature: forecasting GDP growth for mainland in China," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 6/2006.
• Gluschenko, Konstantin, 2006, "Russia's common market takes shape: price convergence and market integration among Russian regions," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 7/2006.
• Hofmann, Boris, 2006, "Do monetary indicators (still) predict euro area inflation?," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2006,18.
• Knetsch, Thomas A. & Reimers, Hans-Eggert, 2006, "How to treat benchmark revisions? The case of German production and orders statistics," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2006,38.
• Herwartz, Helmut & Reimers, Hans-Eggert, 2006, "Modelling the Fisher hypothesis: World wide evidence," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2006-04.
• Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2006, "Multivariate normal mixture GARCH," CFS Working Paper Series, Center for Financial Studies (CFS), number 2006/09.
• Doganoglu, Toker & Hartz, Christoph & Mittnik, Stefan, 2006, "Portfolio optimization when risk factors are conditionally varying and heavy tailed," CFS Working Paper Series, Center for Financial Studies (CFS), number 2006/24.
• Rengifo, Erick W. & Trifan, Emanuela, 2006, "Investors Facing Risk: Loss Aversion and Wealth Allocation Between Risky and Risk-Free Assets," Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics, number 180.
• Frömmel, Michael & Schmidt, Torsten, 2006, "Bank Lending and Asset Prices in the Euro Area," RWI Discussion Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, number 42.
• Weber, Enzo, 2006, "British interest rate convergence between the US and Europe: A recursive cointegration analysis," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-005.
• Brüggemann, Ralf & Härdle, Wolfgang Karl & Mungo, Julius & Trenkler, Carsten, 2006, "VAR modeling for dynamic semiparametric factors of volatility strings," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-011.
• Trenkler, Carsten, 2006, "Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-012.
• Brüggemann, Ralf, 2006, "Finite sample properties of impulse response intervals in SVECMs with long-run identifying restrictions," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-021.
• Polzehl, Jörg & Spokoiny, Vladimir & Stărică, Cătălin, 2006, "When did the 2001 recession really start?," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-032.
• Weber, Enzo, 2006, "Macroeconomic integration in Asia Pacific: Common stochastic trends and business cycle coherence," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-039.
• Uhlig, Harald, 2006, "Discussion of "The source of historical economic fluctuations: An analysis using long-run restrictions" by Neville Francis and Valerie A. Ramey," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-042.
• Weber, Enzo, 2006, "The euro and the transatlantic capital market leadership: A recursive cointegration analysis," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-056.
• Weber, Enzo, 2006, "Common and uncommon sources of growth in Asia Pacific," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-064.
• Trenkler, Carsten & Saikkonen, Pentti & Lütkepohl, Helmut, 2006, "Testing for the cointegrating rank of a VAR process with level shift and trend break," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-067.
• Chen, Ying & Härdle, Wolfgang Karl & Spokoiny, Vladimir, 2006, "GHICA: Risk analysis with GH distributions and independent components," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2006-078.
• Keck, Alexander & Raubold, Alexander, 2006, "Forecasting trade," WTO Staff Working Papers, World Trade Organization (WTO), Economic Research and Statistics Division, number ERSD-2006-05, DOI: 10.30875/09f15011-en.
• Joseph P. Romano & Michael Wolf, 2006, "Improved Nonparametric Confidence Intervals in Time Series Regressions," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 273, Feb.

2005

• Eickmeier, Sandra, 2005, "Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,02.
• Eickmeier, Sandra & Breitung, Jörg, 2005, "How synchronized are central and east European economies with the euro area? Evidence from a structural factor model," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,20.
• Knetsch, Thomas A., 2005, "Short-run and long-run comovement of GDP and some expenditure aggregates in Germany, France and Italy," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,39.
• Xu, Fang, 2005, "Does Consumption-Wealth Ratio Signal Stock Returns? VECM Results for Germany," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2005-02.
• Blaskowitz, Oliver J. & Herwartz, Helmut & de Cadenas Santiago, Gonzalo, 2005, "Modeling the FIBOR/EURIBOR Swap Term Structure: An Empirical Approach," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2005-04.
• Liesenfeld, Roman & Hogrefe, Jens & Aßmann, Christian, 2005, "The Decline in German Output Volatility: A Bayesian Analysis," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2006-02.
• Frey, Stefan & Grammig, Joachim, 2005, "Liquidity supply and adverse selection in a pure limit order book market," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 05-01.
• Hassler, Uwe & Wolters, Jürgen, 2005, "Autoregressive distributed lag models and cointegration," Discussion Papers, Free University Berlin, School of Business & Economics, number 2005/22.
• Pierdzioch, Christian & Schertler, Andrea, 2005, "Investing in European Stock Markets for High-Technology Firms," Kiel Working Papers, Kiel Institute for the World Economy, number 1265.
• Brüggemann, Ralf & Trenkler, Carsten, 2005, "Are Eastern European countries catching up? Time series evidence for Czech Republic, Hungary, and Poland," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-014.
• Blaskowitz, Oliver J. & Herwartz, Helmut & Cadenas Santiago, Gonzalo de, 2005, "Modeling the FIBOR/EURIBOR swap term structure: An empirical approach," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-024.
• Brüggemann, Ralf & Lütkepohl, Helmut, 2005, "Uncovered interest rate parity and the expectations hypothesis of the term structure: Empirical results for the US and Europe," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-035.
• Scholl, Almuth & Uhlig, Harald, 2005, "New evidence on the puzzles: Results from agnostic identification on monetary policy and exchange rates," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-037.
• Mountford, Andrew & Uhlig, Harald, 2005, "What are the effects of fiscal policy shocks?," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-039.
• Chen, Ying & Härdle, Wolfgang Karl & Spokoiny, Vladimir, 2005, "Portfolio value at risk based on independent components analysis," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-060.
• Clostermann, Jörg & Seitz, Franz, 2005, "Are bond markets really overpriced: The case of the US," Arbeitsberichte – Working Papers, Technische Hochschule Ingolstadt (THI), number 11.
• Neumann, Anne & Siliverstovs, Boriss, 2005, "Convergence of European Spot Market Prices for Natural Gas? A Real-Time Analysis of Market Integration using the Kalman Filter," Dresden Discussion Paper Series in Economics, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics, number 05/05.
• Kaiser, Ulrich & Kongsted, Hans Christian, 2005, "Do Magazines' "Companion Websites" Cannibalize the Demand for the Print Version?," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 05-49.
• Kaiser, Ulrich, 2005, "Is a Newspaper's Companion Website a Competing Outlet Channel for the Print Version?," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 05-78.
• Rustam Ibragimov, 2005, "A Tale of Two Tails: Peakedness Properties in Inheritance Models of Evolutionary Theory," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 2092.
• Martin D. D. Evans(Georgetown University and NBER), 2005, "Where Are We Now? Real-time Estimates of the Macro Economy," Working Papers, Georgetown University, Department of Economics, number gueconwpa~05-05-02, May.
• Andros Gregoriou & Alexandros Kontonikas, 2005, "Inflation Targeting and the Stationarity of Inflation: New Results from an ESTAR Unit Root Test," Working Papers, Business School - Economics, University of Glasgow, number 2005_10, Oct.
• Boriss Siliverstovs & Dierk Herzer, 2005, "Manufacturing exports, mining exports and growth: cointegration and causality analysis for Chile (1960-2001)," Ibero America Institute for Econ. Research (IAI) Discussion Papers, Ibero-America Institute for Economic Research, number 104, Apr.
• Boriss Siliverstovs & Dierk Herzer, 2005, "Export-led growth hypothesis: Evidence for Chile," Ibero America Institute for Econ. Research (IAI) Discussion Papers, Ibero-America Institute for Economic Research, number 112, Jul.
• Ramón Cobo-Reyes & Gabriel Pérez Quirós, 2005, "The effect of oil price on industrial production and on stock returns," ThE Papers, Department of Economic Theory and Economic History of the University of Granada., number 05/18, Sep.
• A. Durre & H. Beltran & P. Giot, 2005, "Volatility regimes and the provision of liquidity in order book markets," Post-Print, HAL, number hal-00268757, Sep.
• A. Durre & H. Beltran & P. Giot, 2005, "Volatility regimes and the provision of liquidity in order book markets," Post-Print, HAL, number hal-00268760, Jun.
• P. Bisciari & A. Durre, 2005, "La bulle "internet", un remake de la bulle de 1929 ?," Post-Print, HAL, number hal-00284708.
• Jérôme Creel & Francesco Saraceno & Paola Veroni, 2005, "Discretionary Policy Interactions and the Fiscal Theory of the Price Level: A SVAR Analysis on French Data," Post-Print, HAL, number hal-00972896, Mar.
• Genevieve Nouyrigat & Francisca M Beer, 2005, "International Asset Pricing Model and Portfolio Diversification with Time Varying Risk: A Comparison of Developed and Emerging Markets," Post-Print, HAL, number hal-04537940, Feb.
• Dominique Guegan, 2005, "How can we define the concept of long memory ? An econometric survey," Post-Print, HAL, number halshs-00179343.
• Dominique Guegan & Stéphanie Rioublanc, 2005, "Regime switching model: real or spurious long memory?," Post-Print, HAL, number halshs-00189208, Dec.
• Mohamed El Hedi Arouri, 2005, "Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with asymmetric Effects," Post-Print, HAL, number halshs-00207883, Sep.
• Mohamed El Hedi Arouri, 2005, "Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with asymmetric Effects," Post-Print, HAL, number halshs-00207919, Apr.
• Jérôme Creel & Francesco Saraceno & Paola Veroni, 2005, "Discretionary Policy Interactions and the Fiscal Theory of the Price Level: A SVAR Analysis on French Data," Sciences Po Economics Publications (main), HAL, number hal-00972896, Mar.
• Jérôme Creel & Paola Veroni & Francesco Saraceno, 2005, "Discretionary Policy Interactions and the Fiscal Theory of the Price Level: A SVAR Analysis on French Data," Sciences Po Economics Publications (main), HAL, number hal-03597711, Jul.
• Hayette Gatfaoui, 2005, "How does systematic risk impact stocks ? A study on the French financial market," Working Papers, HAL, number hal-00605035.
• Jérôme Creel & Paola Veroni & Francesco Saraceno, 2005, "Discretionary Policy Interactions and the Fiscal Theory of the Price Level: A SVAR Analysis on French Data," Working Papers, HAL, number hal-03597711, Jul.
• Michael Funke & Jörg Rahn, 2005, "Just how Undervalued is the Chinese Renminbi," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics, number 20504, Apr.
• Rothe, Christoph & Sibbertsen, Philipp, 2005, "Phillips-Perron-type unit root tests in the nonlinear ESTAR framework," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-315, Jun.
• Sibbertsen, Philipp & Krämer, Walter, 2005, "The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-318, Jun.
• Christiansen, Charlotte, 2005, "Decomposing European bond and equity volatility," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number F-2004-01, Sep.
• Christiansen, Charlotte, 2005, "Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number F-2005-03, Sep.
• Silvennoinen, Annastiina & Teräsvirta, Timo, 2005, "Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 577, Jan, revised 01 Oct 2005.
• Byström, Hans & Olofsdotter , Karin & Söderström, Lars, 2005, "Is China an Optimum Currency Area?," Working Papers, Lund University, Department of Economics, number 2005:6, Jan.
• Westerlund, Joakim, 2005, "Panel Cointegration Tests of the Fisher Hypothesis," Working Papers, Lund University, Department of Economics, number 2005:10, Jan.
• Westerlund, Joakim, 2005, "Testing for Error Correction in Panel Data," Working Papers, Lund University, Department of Economics, number 2005:11, Jan.
• Westerlund, Joakim, 2005, "Testing for Panel Cointegration with Multiple Structural Breaks," Working Papers, Lund University, Department of Economics, number 2005:12, Jan.
• Jönsson, Kristian, 2005, "Testing for Stationarity in Panel Data when Errors are Serially Correlated. Finite-Sample Results," Working Papers, Lund University, Department of Economics, number 2005:16, Feb.
• Erlandsson, Ulf, 2005, "Transition Variables in the Markov-switching Model: Some Small Sample Properties," Working Papers, Lund University, Department of Economics, number 2005:25, Mar.
• Westerlund, Joakim & Edgerton , David, 2005, "Panel Cointegration Tests with Deterministic Trends and Structural Breaks," Working Papers, Lund University, Department of Economics, number 2005:42, Oct.
• Eriksson, Åsa, 2005, "Wage Formation and the Relation between Real Wages and Unemployment in Sweden," Working Papers, Lund University, Department of Economics, number 2006:1, Dec.
• Nymoen, Ragnar, 2005, "Evaluating a Central Bank’s Recent Forecast Failure," Memorandum, Oslo University, Department of Economics, number 22/2005, Aug.
• Bjørnland, Hilde C., 2005, "Monetary Policy and the Illusionary Exchange Rate Puzzle," Memorandum, Oslo University, Department of Economics, number 26/2005, Nov.
• Bjørnland, Hilde C., 2005, "Monetary policy and exchange rate interactions in a small open economy," Memorandum, Oslo University, Department of Economics, number 31/2005, Dec.
• Bjørnland, Hilde C. & Hungnes, Håvard, 2005, "The commodity currency puzzle," Memorandum, Oslo University, Department of Economics, number 32/2005, Dec.
• Amilon, Henrik, 2005, "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 177, Jan.
• Villani, Mattias, 2005, "Inference in Vector Autoregressive Models with an Informative Prior on the Steady State," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 181, Mar.
• Adolfson, Malin & Lindé, Jesper & Villani, Mattias, 2005, "Forecasting Performance of an Open Economy Dynamic Stochastic General Equilibrium Model," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 190, Sep, revised 01 Jun 2006.
• Simonsen, Ola, 2005, "An Empirical Model for Durations in Stocks," Umeå Economic Studies, Umeå University, Department of Economics, number 657, Apr.
• Hiroaki Chigira, 2005, "A Test of Cointegration Rank Based on Principal Component Analysis (revised, January 2006)," Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number d05-126, Nov.
• Andrea Beltratti & Claudio Morana, 2005, "Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios," ICER Working Papers, ICER - International Centre for Economic Research, number 23-2005, Jul.
• Dupaigne, Martial & Fève, Patrick, 2005, "Technology Shocks around the World," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 346, Apr.
• Andi Irawan, 2005, "Analisis Perilaku Instabilitas, Pergerakan Harga, Employment dan Investasi di dalam Sektor Pertanian Indonesia: Aplikasi Vector Error Correction Model," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 8, issue 1, pages 79-115, June, DOI: https://doi.org/10.21098/bemp.v8i1..
• Andi Irawan, 2005, "ANALISIS PERILAKU INSTABILITAS, PERGERAKAN HARGA, EMPLOYMENT DAN INVESTASI DI DALAM SEKTOR PERTANIAN INDONESIA: Aplikasi Vector Error Correction Model," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 8, issue 1, pages 79-115, June, DOI: https://doi.org/10.21098/bemp.v8i1..
• Solikin M. Juhro, 2005, "Analisis Kebijakan Moneter dalam Model Makroekonometrik Struktural Jangka Panjang: Structural Cointegrating Vector Autoregression," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 8, issue 2, pages 199-237, September, DOI: https://doi.org/10.21098/bemp.v8i2..
• Solikin M. Juhro, 2005, "Analisis Kebijakan Moneter Dalam Model Makroekonometrik Struktural Jangka Panjang: Structural Cointegrating Vector Autoregression," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 8, issue 2, pages 199-237, September, DOI: https://doi.org/10.21098/bemp.v8i2..
• Michel Normandin & Bruno Powo Fosso, 2005, "Global versus Country-Specific Shocks and International Business Cycles," Cahiers de recherche, HEC Montréal, Institut d'économie appliquée, number 05-07, Dec.
• Rafael Doménech & Víctor Gómez, 2005, "Ciclo económico y desempleo estructural en la economía española," Investigaciones Economicas, Fundación SEPI, volume 29, issue 2, pages 259-288, May.
• Massimiliano Marcellino & James Stock & Mark Watson, 2005, "A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 285.
• Massimiliano Marcellino, 2005, "Pooling-based Data Interpolation and Backdating," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 299.
• Bauer, Dietmar & Wagner, Martin, 2005, "Autoregressive Approximations of Multiple Frequency I(1) Processes," Economics Series, Institute for Advanced Studies, number 174, Sep.
• Adnan KASMAN & Evrim TURGUTLU & Gonca KONYALI, 2005, "Cari Açık Büyümenin mi Aşırı Değerli TL’nin mi Sonucudur?," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 20, issue 233, pages 88-98.