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

2004

• Martin Gonzalez-Rozada & Jose Maria Fanelli, 2004, "Business Cycles and Macroeconomic Policy Coordination in Mercosur," Econometric Society 2004 Latin American Meetings, Econometric Society, number 328, Aug.
• R. Velazquez & A.E. Noriega & L.M. Soria, 2004, "International Evidence on Monetary Neutrality Under Broken Trend Stationary Models," Econometric Society 2004 Latin American Meetings, Econometric Society, number 57, Aug.
• Pascale VALERY (HEC-Montreal) & Jean-Marie Dufour (University of Montreal), 2004, "A simple estimation method and finite-sample inference for a stochastic volatility model," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 153, Aug.
• Denis Pelletier, 2004, "Regime Switching for Dynamic Correlations," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 230, Aug.
• Antonio Moreno, 2004, "Reaching Inflation Stability," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 269, Aug.
• Aurobindo Ghosh & Anil K. Bera, 2004, "Smooth Test Of Density Forecast Evaluation With Independent And Serially Dependent Data," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 319, Aug.
• Athena T. Theodorou & Neville R. Francis & Michael T. Owyang, 2004, "What Explains the Varying Monetary Response to Technology SHocks in G7-Countries," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 444, Aug.
• Rodney W. Strachan & Herman K. van Dijk, 2004, "The Value of Structural Information in the VAR Model," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 45, Aug.
• Chor-yiu SIN, 2004, "Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 476, Aug.
• Thomas A. Lubik, 2004, "How Large Are Returns to Scale in the U.S.? A View Across the Boundary," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 512, Aug.
• John Keating, 2004, "Interpreting Permanent and Transitory Shocks to Output When Aggregate Demand May Not Be Neutral in the Long-run," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 608, Aug.
• Barbara Rossi & Elena Pesavento, 2004, "Do Technology Shocks Drive Hours Up or Down?," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 96, Aug.
• Robert de Jong, 2004, "Nonlinear estimators with integrated regressors but without exogeneity," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 324, Aug.
• Barbara Rossi (Duke) & Elena Pesavento (Emory), 2004, "Small sample confidence intervals for multivariate impulse response functions at long horizons," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 364, Aug.
• Luc Bauwens & Jeroen Rombouts, 2004, "Bayesian Clustering Of Similar Multivariate Garch Models," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 370, Aug.
• Jesper Lund & Torben G. Andersen & Luca Benzoni, 2004, "Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 432, Aug.
• Werner Ploberger, 2004, "On the inadmissibility of classical tests in unit-root-type situations," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 461, Aug.
• Byeongseon Seo, 2004, "Asymptotic Distribution of the Cointegrating Vector Estimator in Error Correction Models with Conditional Heteroskedasticity," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 463, Aug.
• Giovanni Urga & Giovanni Barone Adesi & Patrick Gagliardini, 2004, "Testing Asset Pricing Model with Coskweness," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 491, Aug.
• Daniel Garces-Diaz, 2004, "How Does the Monetary Model of Exchange Rate Determination Look When It Really Works?," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 60, Aug.
• Harald Uhlig, 2004, "What moves GNP?," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 636, Aug.
• Roel C.A. Oomen, 2004, "Statistical Models for High Frequency Security Prices," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 77, Aug.
• David F. Hendry & Michael P. Clements, 2004, "Pooling of forecasts," Econometrics Journal, Royal Economic Society, volume 7, issue 1, pages 1-31, June.
• Morten Orregaard Nielsen, 2004, "Efficient inference in multivariate fractionally integrated time series models," Econometrics Journal, Royal Economic Society, volume 7, issue 1, pages 63-97, June.
• Nielsen, Morten Orregaard, 2004, "Spectral analysis of fractionally cointegrated systems," Economics Letters, Elsevier, volume 83, issue 2, pages 225-231, May.
• Rajaguru, Gulasekaran, 2004, "Impact of systematic sampling on causality in the presence of unit roots," Economics Letters, Elsevier, volume 84, issue 1, pages 127-132, July.
• Chang, Yoosoon, 2004, "Bootstrap unit root tests in panels with cross-sectional dependency," Journal of Econometrics, Elsevier, volume 120, issue 2, pages 263-293, June.
• Vlaar, Peter J. G., 2004, "Shocking the eurozone," European Economic Review, Elsevier, volume 48, issue 1, pages 109-131, February.
• Bystrom, Hans N. E., 2004, "The market's view on the probability of banking sector failure: cross-country comparisons," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 14, issue 5, pages 419-438, December.
• Cunado Eizaguirre, Juncal & Biscarri, Javier Gomez & Hidalgo, Fernando Perez de Gracia, 2004, "Structural changes in volatility and stock market development: Evidence for Spain," Journal of Banking & Finance, Elsevier, volume 28, issue 7, pages 1745-1773, July.
• Dibooglu, Sel & Kibritcioglu, Aykut, 2004, "Inflation, output growth, and stabilization in Turkey, 1980-2002," Journal of Economics and Business, Elsevier, volume 56, issue 1, pages 43-61.
• Williams, Noah, 2004, "Small noise asymptotics for a stochastic growth model," Journal of Economic Theory, Elsevier, volume 119, issue 2, pages 271-298, December.
• Cassola, Nuno & Morana, Claudio, 2004, "Monetary policy and the stock market in the euro area," Journal of Policy Modeling, Elsevier, volume 26, issue 3, pages 387-399, April.
• Normandin, Michel & Phaneuf, Louis, 2004, "Monetary policy shocks:: Testing identification conditions under time-varying conditional volatility," Journal of Monetary Economics, Elsevier, volume 51, issue 6, pages 1217-1243, September.
• Broszkiewicz-Suwaj, E & Makagon, A & Weron, R & Wyłomańska, A, 2004, "On detecting and modeling periodic correlation in financial data," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 336, issue 1, pages 196-205, DOI: 10.1016/j.physa.2004.01.025.
• Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004, "Fractional cointegration and tests of present value models," Review of Financial Economics, Elsevier, volume 13, issue 3, pages 245-258.
• Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004, "Fractional cointegration and real exchange rates," Review of Financial Economics, Elsevier, volume 13, issue 4, pages 327-340.
• Ørregaard Nielsen, Morten, 2004, "Local empirical spectral measure of multivariate processes with long range dependence," Stochastic Processes and their Applications, Elsevier, volume 109, issue 1, pages 145-166, January.
• Gevorgyan Ruben & Melikyan Narine, 2004, "Missing Data Problem and the Empirical Yield Curve Analysis. An Example of T-bills Market in Armenia," EERC Working Paper Series, EERC Research Network, Russia and CIS, number 04-03e, Feb.
• Glushchenko Konstantin, 2004, "Integration of the Russian Market. Empirical Analysis," EERC Working Paper Series, EERC Research Network, Russia and CIS, number 04-06e, Mar.
• Altissimo, Filippo & Mele, Antonio, 2004, "Simulated nonparametric estimation of continuous time models of asset prices and returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24674, Jan.
• Chen, Xiaohong & Fan, Yanqin & Patton, Andrew J., 2004, "Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24681, Feb.
• Muñoz, Sònia, 2004, "Real effects of regional house prices: dynamic panel estimation with heterogeneity," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24704, Apr.
• Kristensen, Dennis, 2004, "Estimation of partial differential equations with applications in finance," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24738, Jun.
• Mencia, Javier F. & Sentana, Enrique, 2004, "Estimation and testing of dynamic models with generalised hyperbolic innovations," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24742, Jun.
• Díaz-Emparanza Herrero, Ignacio & López de Lacalle Beltrán de Heredia, Javier, 2004, "Estacionalidad determinista y estocástica en series temporales macroeconómicas," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística), number 1134-8984, Dec.
• Vázquez Pérez, Jesús, 2004, "Does the Term Spread play a role in the FED's reaction function? An Empirical Investigation," DFAEII Working Papers, University of the Basque Country - Department of Foundations of Economic Analysis II, number 1988-088X.
• Johnson, Christian A. & Soriano, Fabián A., 2004, "Volatilidad del mercado accionario y la crisis asiática. Evidencia internacional de asimetrías," El Trimestre Económico, Fondo de Cultura Económica, volume 71, issue 282, pages 355-388, abril-jun.
• Katarina Juselius, 2004, "Inflation, Money Growth, and 1(2) Analysis," Contributions to Economic Analysis, Emerald Group Publishing Limited, "New Directions in Macromodelling", DOI: 10.1016/S0573-8555(04)69004-3.
• Helmut Lutkepohl, 2004, "Recent Advances in Cointegration Analysis," Contributions to Economic Analysis, Emerald Group Publishing Limited, "New Directions in Macromodelling", DOI: 10.1016/S0573-8555(04)69005-5.
• Peter Winker & Dietmar Maringer, 2004, "Optimal Lag Structure Selection in VEC-Models," Contributions to Economic Analysis, Emerald Group Publishing Limited, "New Directions in Macromodelling", DOI: 10.1016/S0573-8555(04)69009-2.
• Strachan, R.W. & van Dijk, H.K., 2004, "Improper priors with well defined Bayes Factors," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-18, May.
• Strachan, R.W. & van Dijk, H.K., 2004, "Valuing structure, model uncertainty and model averaging in vector autoregressive processes," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2004-23, May.
• Post, G.T. & van Vliet, P., 2004, "Conditional Downside Risk and the CAPM," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2004-048-F&A, Jul.
• Hakan Berument & Nukhet Dogan & Aysit Tansel, 2004, "Economic Performance and Unemployment: Evidence from an Emerging Economy - Turkey," Working Papers, Economic Research Forum, number 0409, Aug, revised 01 Aug 2004.
• Anna Saiti, 2004, "Cointegration and Granger Causality tests on Spanish and German Consumer Prices," European Research Studies Journal, European Research Studies Journal, volume 0, issue 1-2, pages 93-110.
• Pilar Bengoechea & Gabriel Pérez Quirós, 2004, "A useful tool to identify recessions in the euro area," European Economy - Economic Papers 2008 - 2015, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission, number 215, Oct.
• Ralf BRUEGGEMANN & Helmut LUETKEPOHL & Pentti SAIKKONEN, 2004, "Residual Autocorrelation Testing for Vector Error Correction Models," Economics Working Papers, European University Institute, number ECO2004/08.
• Helmut LÜTKEPOHL, 2004, "Recent Advances in Cointegration Analysis," Economics Working Papers, European University Institute, number ECO2004/12.
• Fabrizio CORICELLI & Bostjan JAZBEC & Igor MASTEN, 2004, "Exchange Rate Pass-Through in Acceding Countries: The Role of Exchange Rate Regimes," Economics Working Papers, European University Institute, number ECO2004/16.
• Ralf BRUEGGEMANN & Helmut LUETKEPOHL, 2004, "Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative," Economics Working Papers, European University Institute, number ECO2004/20.
• Pentti SAIKKONEN & Helmut LUETKEPOHL & Carsten TRENKLER, 2004, "Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift," Economics Working Papers, European University Institute, number ECO2004/21.
• Ralf Brueggemann & Helmut Luetkepohl, 2004, "A Small Monetary System for the Euro Area Based on German Data," Economics Working Papers, European University Institute, number ECO2004/24.
• Helmut Luetkepohl, 2004, "Forecasting with VARMA Models," Economics Working Papers, European University Institute, number ECO2004/25.
• Anindya Banerjee & Bill Russell, 2004, "Competition, the Lisbon Strategy and the Euro," Economics Working Papers, European University Institute, number ECO2004/32.
• Agostinho S. Rosa, 2004, "Uma Estimação da Curva de Phillips para Portugal," Economics Working Papers, University of Évora, Department of Economics (Portugal), number 8_2004.
• Amine JALAL & Michael ROCKINGER, 2004, "Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp115, Jun.
• Luboš Komárek, 2004, "The Nobel Prize Laureates, 2003," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 54, issue 7-8, pages 355-356, July.
• Matteo Manera & Massimo Giovannini & Margherita Grasso & Alessandro Lanza, 2004, "Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants," Working Papers, Fondazione Eni Enrico Mattei, number 2004.71, Apr.
• Matteo Manera & Alessandro Lanza & Michael McAleer, 2004, "Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns," Working Papers, Fondazione Eni Enrico Mattei, number 2004.72, Apr.
• Hannu Koskinen, 2004, "Modelling of Structural Changes in Demand for Money Cointegration Relations," Finnish Economic Papers, Finnish Economic Association, volume 17, issue 2, pages 63-72, Autumn.
• Camarero, Mariam & Flôres Junior, Renato Galvão & Tamarit, Cecilio R., 2004, "Monetary union and productivity differences in mercosur countries," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 542, Apr.
• Marco Del Negro & Frank Schorfheide & Frank Smets & Raf Wouters, 2004, "On the fit and forecasting performance of New Keynesian models," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2004-37.
• Marco Del Negro & Frank Schorfheide, 2004, "Policy predictions if the model doesn’t fit," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2004-38.
• James M. Nason & Byron G. Scott & Elizabeth C. Wakerly, 2004, "Common trends and common cycles in Canada: who knew so much has been going on?," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2004-5.
• Antonio Mele & Filippo Altissimo, 2004, "Simulated Nonparametric Estimation of Continuous Time Models of Asset Prices and Returns," FMG Discussion Papers, Financial Markets Group, number dp476, Jan.
• Enrique Sentana, 2004, "Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations," FMG Discussion Papers, Financial Markets Group, number dp502, Jun.
• Michael Jansson & Marcelo J. Moreira, 2004, "Optimal Inference in Regression Models with Nearly Integrated Regressors," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 2047.
• Bengt Assarsson & Claes Berg & Per Jansson, 2004, "Investment in Swedish manufacturing: Analysis and forecasts," Empirical Economics, Springer, volume 29, issue 2, pages 261-280, May, DOI: 10.1007/s00181-003-0165-5.
• Tor Jacobson & Marianne Nessén, 2004, "Examining world-wide purchasing power parity," Empirical Economics, Springer, volume 29, issue 3, pages 463-476, September, DOI: 10.1007/s00181-003-0176-2.
• Oliver Holtemöller, 2004, "A monetary vector error correction model of the Euro area and implications for monetary policy," Empirical Economics, Springer, volume 29, issue 3, pages 553-574, September, DOI: 10.1007/s00181-004-0198-4.
• Adusei Jumah, 2004, "The long run, market power and retail pricing," Empirical Economics, Springer, volume 29, issue 3, pages 605-620, September, DOI: 10.1007/s00181-004-0201-0.
• Giancarlo Bruno & Claudio Lupi, 2004, "Forecasting industrial production and the early detection of turning points," Empirical Economics, Springer, volume 29, issue 3, pages 647-671, September, DOI: 10.1007/s00181-004-0203-y.
• Jesús Crespo Cuaresma & Jaroslava Hlouskova, 2004, "Forecasting exchange rates in transition economies: A comparison of multivariate time series models," Empirical Economics, Springer, volume 29, issue 4, pages 787-801, December, DOI: 10.1007/s00181-004-0212-x.
• Hans-Martin Krolzig & Juan Toro, 2004, "Classical and modern business cycle measurement: The European case," Spanish Economic Review, Springer;Spanish Economic Association, volume 7, issue 1, pages 1-21, January, DOI: 10.1007/s10108-004-0088-0.
• Terje Skjerpen, 2004, "The dynamic factor model revisited: the identification problem remains," Discussion Papers, Statistics Norway, Research Department, number 369, Mar.
• Petter Vegard Hansen & Lars Lindholt, 2004, "The market power of OPEC 1973-2001," Discussion Papers, Statistics Norway, Research Department, number 385, Aug.
• Stavros Degiannakis, 2004, "Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model," Applied Financial Economics, Taylor & Francis Journals, volume 14, issue 18, pages 1333-1342, DOI: 10.1080/0960310042000285794.
• Dimitris Georgoutsos & Georgios Kouretas, 2004, "A Multivariate I(2) cointegration analysis of German hyperinflation," Applied Financial Economics, Taylor & Francis Journals, volume 14, issue 1, pages 29-41, DOI: 10.1080/0960310042000164202.
• Aamer Abu-Qarn & Suleiman Abu-Bader, 2004, "The validity of the ELG hypothesis in the MENA region: cointegration and error correction model analysis," Applied Economics, Taylor & Francis Journals, volume 36, issue 15, pages 1685-1695, DOI: 10.1080/0003684042000266865.
• John Leeming & Paul Turner, 2004, "The BSE crisis and the price of red meat in the UK," Applied Economics, Taylor & Francis Journals, volume 36, issue 16, pages 1825-1829, DOI: 10.1080/0003684042000227868.
• Yannick L'horty & Christophe Rault, 2004, "Inflation, minimum wage and other wages: an econometric study on French macroeconomic data," Applied Economics, Taylor & Francis Journals, volume 36, issue 4, pages 277-290, DOI: 10.1080/00036840410001674213.
• Claus Brand & Nuno Cassola, 2004, "A money demand system for euro area M3," Applied Economics, Taylor & Francis Journals, volume 36, issue 8, pages 817-838, DOI: 10.1080/0003684042000229541.
• Erdal Karagol & Serap Palaz, 2004, "Does defence expenditure deter economic growth in Turkey? A cointegration analysis," Defence and Peace Economics, Taylor & Francis Journals, volume 15, issue 3, pages 289-298, DOI: 10.1080/10242690320001608908.
• Huayu Sun & Yue Ma, 2004, "Money and price relationship in China," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, volume 2, issue 3, pages 225-247, DOI: 10.1080/1476528042000276123.
• Cagri Sarikaya, 2004, "Export Dynamics in Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 4, issue 2, pages 41-64.
• Charles S. Bos & Neil Shephard, 2004, "Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 04-015/4, Jan.
• Agnes S. Joseph & Jan F. Kiviet, 2004, "Viewing the Relative Efficiency of IV Estimators in Models with Lagged and Instantaneous Feedbacks," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 04-056/4, May.
• McCrorie, J.R. & Chambers, M.J., 2004, "Granger Causality and the Sampling of Economic Processes," Discussion Paper, Tilburg University, Center for Economic Research, number 2004-39.
• Chambers, M.J. & McCrorie, J.R., 2004, "Frequency Domain Gaussian Estimation of Temporally Aggregated Cointegrated Systems," Discussion Paper, Tilburg University, Center for Economic Research, number 2004-40.
• Andreou, E. & Werker, B.J.M., 2004, "An Alternative Asymptotic Analysis of Residual-Based Statistics," Discussion Paper, Tilburg University, Center for Economic Research, number 2004-56.
• Chambers, M.J. & McCrorie, J.R., 2004, "Identification and Estimation of Exchange Rate Models with Unobservable Fundamentals," Discussion Paper, Tilburg University, Center for Economic Research, number 2004-38.
• McCrorie, J.R. & Chambers, M.J., 2004, "Granger Causality and the Sampling of Economic Processes," Other publications TiSEM, Tilburg University, School of Economics and Management, number 02e79e30-1761-4800-8824-7.
• Chambers, M.J. & McCrorie, J.R., 2004, "Identification and Estimation of Exchange Rate Models with Unobservable Fundamentals," Other publications TiSEM, Tilburg University, School of Economics and Management, number d4a7b8fe-e36b-49e2-afb2-c.
• Yoichi Arai, 2004, "Testing for Linearity in Regressions with I(1) processes," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-303, Oct.
• Harald Uhlig, 2004, "Do Technology Shocks Lead to a Fall in Total Hours Worked?," Journal of the European Economic Association, MIT Press, volume 2, issue 2-3, pages 361-371, 04/05.
• Michael Ehrmann & Andreas Worms, 2004, "Bank Networks and Monetary Policy Transmission," Journal of the European Economic Association, MIT Press, volume 2, issue 6, pages 1148-1171, December.
• Manfred Deistler & Klaus Neusser, 2004, "Prognose uni- und multivariater Zeitreihen," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp0401, Jan.
• Arabinda Basistha & Richard Startz, 2004, "Measuring the NAIRU with Reduced Uncertainty: A Multiple Indicator-Common Component Approach," Working Papers, University of Washington, Department of Economics, number UWEC-2004-22, Sep.
• Jorge Rivera & Patricia Toledo, 2004, "Efectos de la infraestructura pública sobre el crecimiento de la economía, evidencia para Chile," Estudios de Economia, University of Chile, Department of Economics, volume 31, issue 1 Year 20, pages 21-38, June.
• Antonio Moreno, 2004, "The Feds Monetary Policy Rule: Past, Present and Future," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 02/04, Jan.
• Daal, Elton & Farhat, Joseph Basheer & Wei, Peihwang P., 2004, "Does futures exhibit maturity effect? New evidence from an extensive set of US and foreign futures contracts," Working Papers, University of New Orleans, Department of Economics and Finance, number 2004-03.
• Tran Van Hoa, 2004, "Australia-Thailand Free Trade Agreement: Challenges and Opportunities for Bilateral Trade Policy and Closer Economic Relations," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia, number wp04-12.
• Andrea Beltratti & Claudio Morana, 2004, "Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility," Working Papers, SEMEQ Department - Faculty of Economics - University of Eastern Piedmont, number 20, May.
• Björn Alecke, 2004, "Eastern Enlargement, EMU and Monetary Policy under Fixed Exchange Rates: Lessons from the Experience of West Germany in the Bretton Woods Era," Aussenwirtschaft, University of St. Gallen, School of Economics and Political Science, Swiss Institute for International Economics and Applied Economics Research, volume 59, issue 02, pages 191-223, June.
• Anthony D. Hall & Nikolaus Hautsch, 2004, "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 121, Mar.
• Carl Chiarella & Shenhuai Gao, 2004, "Continuous Time Model Estimation," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 138, Dec.
• Adelina Gschwandtner & John R. Cable, 2004, "On Modelling the Persistence of Profits in the Long Run: An Analysis of 156 US Companies, 1950-1999," Vienna Economics Papers, University of Vienna, Department of Economics, number vie0409, Jul.
• Fabrizio Coricelli & Bo??tjan Jazbec & Igor Masten, 2004, "Exchange Rate Policy and Inflation in Acceding Countries: The Role of Pass-through," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 2004-674, Apr.
• Kirsten Lommatzsch & Silke Tober, 2004, "Productivity Growth and the Real Appreciation of the Accession Countries' Currencies," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 2004-675, Apr.
• Michael S. Hanson, 2004, "Monetary Factors in the Long-Run Co-movement of Consumer and Commodity Prices," Wesleyan Economics Working Papers, Wesleyan University, Department of Economics, number 2004-001, Mar.
• Philip Bond & Ashok S. Rai, 2004, "Cosigned Or Group Loans," Department of Economics Working Papers, Department of Economics, Williams College, number 2004-08, Jun.
• Chris Geirgat, 2004, "Transmission of External and Internal Shocks In Argentina During the Convertibility Period: Some Empirical Findings From VARs," Department of Economics Working Papers, Department of Economics, Williams College, number 2004-11, Jul.
• Peter Pedroni, 2004, "Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis," Department of Economics Working Papers, Department of Economics, Williams College, number 2004-15.
• Matthew J. Kotchen & Michael R. Moore, 2004, "Conservation Behavior: From Voluntary Restraint to a Voluntary Price Premium," Department of Economics Working Papers, Department of Economics, Williams College, number 2004-16, Oct.
• Nils Karl Sørensen, 2004, "Model Selection, Forecasting and Monthly Seasonality of Hotel Nights in Denmark," ERSA conference papers, European Regional Science Association, number ersa04p92, Aug.
• Michel Normandin, 2004, "Canadian and U.S. financial markets: testing the international integration hypothesis under time‐varying conditional volatility," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, volume 37, issue 4, pages 1021-1041, November, DOI: 10.1111/j.0008-4085.2004.00258.x.
• Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2004, "Fractional cointegration and tests of present value models," Review of Financial Economics, John Wiley & Sons, volume 13, issue 3, pages 245-258, DOI: 10.1016/j.rfe.2003.09.009.
• Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2004, "Fractional cointegration and real exchange rates," Review of Financial Economics, John Wiley & Sons, volume 13, issue 4, pages 327-340, DOI: 10.1016/j.rfe.2003.12.001.
• Janine Aron & John Muellbauer & Coen Pretorius, 2004, "A Framework for Forecasting the Components of the Consumer Price," Development and Comp Systems, University Library of Munich, Germany, number 0409054, Sep.
• Janine Aron & John Muellbauer & Benjamin Smit, 2004, "A Structural Model of the Inflation Process in South Africa," Development and Comp Systems, University Library of Munich, Germany, number 0409055, Sep.
• Tommaso Proietti & Filippo Moauro, 2004, "Dynamic Factor Analysis with Nonlinear Temporal Aggregation Constraints," Econometrics, University Library of Munich, Germany, number 0401003, Jan.
• Jonathan B. Hill, 2004, "Causation Delays and Causal Neutralization for General Horizons: The Money-Output Relationship Revisited," Econometrics, University Library of Munich, Germany, number 0402002, Feb, revised 23 Mar 2005.
• Daniel Levy, 2004, "Cointegration in Frequency Domain," Econometrics, University Library of Munich, Germany, number 0402005, Feb.
• Christian Bayer, 2004, "Aggregate investment dynamics when firms face fixed investment cost and capital market imperfections," Econometrics, University Library of Munich, Germany, number 0405001, May.
• Evens SALIES & Peter MOFFATT, 2004, "A note on the modelling of hyper-inflations," Econometrics, University Library of Munich, Germany, number 0406002, Jun.
• Benoit Bellone, 2004, "MSVARlib: a new Gauss library to estimate multivariate Hidden Markov Models," Econometrics, University Library of Munich, Germany, number 0406004, Jun.
• Benoit Bellone & David Saint-Martin, 2004, "Detecting Turning Points with Many Predictors through Hidden Markov Models," Econometrics, University Library of Munich, Germany, number 0407001, Jul.
• Benoit Bellone, 2004, "Une lecture probabiliste du cycle d’affaires américain," Econometrics, University Library of Munich, Germany, number 0407002, Jul, revised 28 Mar 2005.
• Stanislav Radchenko, 2004, "Limited Information Bayesian Analysis of a Simultaneous Equation with an Autocorrelated Error Term and its Application to the U.S. Gasoline Market," Econometrics, University Library of Munich, Germany, number 0408001, Aug.
• Philip Kostov & John Lingard, 2004, "Regime-switching Vector Error Correction Model (VECM) analysis of UK meat consumption," Econometrics, University Library of Munich, Germany, number 0409007, Sep.
• João Leitão, 2004, "Demand Pull And Supply Push In Portuguese Cable Television," Econometrics, University Library of Munich, Germany, number 0409011, Sep.
• Elena Pesavento & Barbara Rossi, 2004, "Do Technology Shocks Drive Hours Up or Down? A Little Evidence From an Agnostic Procedure," Econometrics, University Library of Munich, Germany, number 0411002, Nov.
• Fabio Busetti, 2004, "Tests of seasonal integration and cointegration in multivariate unobserved component models," Econometrics, University Library of Munich, Germany, number 0411003, Nov.
• João Leitão, 2004, "Demand Pull and Supply Push in Portuguese Cable Television," Econometrics, University Library of Munich, Germany, number 0411009, Nov.
• Catalin Starica, 2004, "Is GARCH(1,1) as good a model as the Nobel prize accolades would imply?," Econometrics, University Library of Munich, Germany, number 0411015, Nov.
• J. Polzehl & V. Spokoiny & C. Starica, 2004, "When did the 2001 recession really start?," Econometrics, University Library of Munich, Germany, number 0411017, Nov.
• Gatfaoui Hayette, 2004, "How Does Systematic Risk Impact Stocks? A Study On the French Financial Market," Finance, University Library of Munich, Germany, number 0404003, Apr.
• Daniel Stavarek, 2004, "Linkages between Stock Prices and Exchange Rates in the EU and the United States," Finance, University Library of Munich, Germany, number 0406006, Jun.
• Martin Vojtek, 2004, "Calibration of Interest Rate Models - Transition Market Case," Finance, University Library of Munich, Germany, number 0410015, Oct.
• Daniel Levy, 2004, "Is the Feldstein-Horioka Puzzle Really a Puzzle?," International Finance, University Library of Munich, Germany, number 0402002, Feb, revised 12 May 2005.
• jose r. p. manso, 2004, "Luso-Spanish-Franco-English Relations Viewed From The Entrance Of Foreign Investment Funds," International Finance, University Library of Munich, Germany, number 0404006, Apr.
• jose ramos pires manso, 2004, "Luso-Spanish-Franco-English Relations Viewed From The Entrance Of Foreign Investment Funds," International Finance, University Library of Munich, Germany, number 0404010, Apr.
• Eric Hillebrand & Gunther Schnabl, 2004, "The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection," International Finance, University Library of Munich, Germany, number 0410008, Oct.
• Jean-Philippe Gervais & Bruno Larue & Olivier Bonroy, 2004, "Investigating Non-Linearities in the Relationship Between Real Exchange Rate Volatility and Agricultural Trade," International Trade, University Library of Munich, Germany, number 0407004, Jul.
• Michal Brzoza-Brzezina, 2004, "The Information Content of the Natural Rate of Interest: The Case of Poland," Macroeconomics, University Library of Munich, Germany, number 0402007, Feb.
• Daniel Levy & Hashem Dezhbakhsh, 2004, "International Evidence on Output Fluctuation and Shock Persistence," Macroeconomics, University Library of Munich, Germany, number 0402016, Feb.
• Oscar Jorda, 2004, "Model-Free Impulse Responses," Macroeconomics, University Library of Munich, Germany, number 0403016, Mar.
• Markku Lanne, 2004, "Nonlinear dynamics of interest rate and inflation," Macroeconomics, University Library of Munich, Germany, number 0405014, May.
• Dr. Godwin Chukwudum Nwaobi, 2004, "Modelling Economic Fluctuations In Subsaharan Africa:A Vector Autoregressive Approach," Macroeconomics, University Library of Munich, Germany, number 0406008, Jun.
• Jonathan B. Hill, 2004, "Efficient Tests of Long-Run Causation in Trivariate VAR Processes with a Rolling Window Study of the Money-Income Relationship," Macroeconomics, University Library of Munich, Germany, number 0407013, Jul, revised 15 Feb 2006.
• Odile Chagny & Frédéric Reynès & Henri Sterdyniak, 2004, "Le taux de chômage et d'équilibre : Discussion empirique et évaluation empirique," Macroeconomics, University Library of Munich, Germany, number 0411017, Nov, revised 08 Dec 2004.
• Christian Bayer, 2004, "Aggregate investment dynamics when firms face fixed investment cost and capital market imperfections," Macroeconomics, University Library of Munich, Germany, number 0411018, Nov.
• Ignacio Díaz-Emparanza, 2004, "SURGAT Seasonal Unit Roots Graphical Analysis and Testing device," Computer Programs, University Library of Munich, Germany, number 0401001, revised 19 Oct 2004.
• Martin Barlow & Yuri Gusev & Manpo Lai, 2004, "Calibration Of Multifactor Models In Electricity Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 02, pages 101-120, DOI: 10.1142/S0219024904002396.
• George M. Jabbour & Marat V. Kramin & Timur V. Kramin & Stephen D. Young, 2004, "Multinomial Lattices and Derivatives Pricing," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Michael K. Fung, 2004, "Value-Relevance of Knowledge Spillovers: Evidence from Three High-Tech Industries," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Anthony Kozberg, 2004, "Using Path Analysis to Integrate Accounting and Non-Financial Information: The Case for Revenue Drivers of Internet Stocks," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Youngsik Kwak & H. James Williams, 2004, "A Teaching Note on the Effective Interest Rate, Periodic Interest Rate and Compounding Frequency," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Sidney Leung, 2004, "Voluntary Disclosure of Strategic Operating Information and the Accuracy of Analysts' Earnings Forecasts," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Van T. Nguyen & Bonnie F. Van Ness & Robert A. Van Ness, 2004, "Intraday Trading of Island (As Reported to the Cincinnati Stock Exchange) and NASDAQ," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Bonnie F. Van Ness & Robert A. Van Ness & Richard S. Warr, 2004, "The Impact of the Introduction of Index Securities on the Underlying Stocks: The Case of the Diamonds and the Dow 30," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Mao-wei Hung & Cheng-few Lee & Leh-chyan So, 2004, "Hedging with Foreign-Listed Single Stock Futures," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Bing-Huei Lin & Jerry M. C. Wang, 2004, "Asset Pricing with Higher Moments: Empirical Evidence from the Taiwan Stock Market," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Asli Ascioglu & Thomas H. McInish, 2004, "Listing Switches from NASDAQ to the NYSE or AMEX: Is New Stock Issuance a Motive?," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Karyl B. Leggio & Donald Lien, 2004, "Is Covered Call Investing Wise? Evaluating the Strategy using Risk-Adjusted Performance Measures," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 11, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Ping Hsiao & Wayne Y. Lee, 2004, "CFA Designation, Geographical Location and Analyst Performance," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 12, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Peter C.B. Phillips & Donggyu Sul, 2004, "The Elusive Empirical Shadow of Growth Convergence," Yale School of Management Working Papers, Yale School of Management, number ysm342, Jul.
• Peter C.B. Phillips & Chi-Young Choi & Donggyu Sul, 2004, "Prewhitening Bias in HAC Estimation," Yale School of Management Working Papers, Yale School of Management, number ysm426, Jul.
• Funke, Michael & Rahn, Jörg, 2004, "Just how undervalued is the Chinese renminbi," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 14/2004.
• Lazarov, Zdravetz, 2004, "Distribution of Trading Activity across Strike Prices in the DAX Index Options Market," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 7/2004.
• Knetsch, Thomas A., 2004, "The Inventory Cycle of the German Economy," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2004,09.
• Knetsch, Thomas A., 2004, "Evaluating the German Inventory Cycle Using Data from the Ifo Business Survey," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2004,10.
• Eickmeier, Sandra, 2004, "Business Cycle Transmission from the US to Germany: a Structural Factor Approach," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2004,12.
• Cayen, Jean-Philippe & van Norden, Simon, 2004, "The reliability of Canadian output gap estimates," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2004,29.
• Härdle, Wolfgang Karl & Chen, Ying & Schulz, Rainer, 2004, "Prognose mit nichtparametrischen Verfahren," Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE), number 2004,07.
• Trenkler, Carsten & Wolf, Nikolaus, 2004, "Economic integration across borders : the Polish interwar economy 1921-1937," Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE), number 2004,38.
• Norden, Lars & Weber, Martin, 2004, "The comovement of credit default swap, bond and stock markets: An empirical analysis," CFS Working Paper Series, Center for Financial Studies (CFS), number 2004/20.
• Röthig, Andreas, 2004, "Currency Futures and Currency Crises," Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics, number 136.
• Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004, "Non-linearities and fractional integration in the US unemployment rate," HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA), number 259.

2003

• Yin-Wong Cheung & Frank Westermann, 2003, "Sectoral trends and cycles in Germany," Empirical Economics, Springer, volume 28, issue 1, pages 141-156, January, DOI: 10.1007/s001810100123.