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

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• Jorge Luis Hurtado Guarín & Luis Fernando Melo Velandia, 2010, "Una metodología multivariada de desagregación temporal," Borradores de Economia, Banco de la Republica de Colombia, number 586, Feb, DOI: 10.32468/be.586.
• Hernando Vargas & Carlos Varela & Yanneth R. Betancourt & Norberto Rodríguez, 2010, "Effects of Reserve Requirements in an Inflation Targeting Regime: The Case of Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 587, Feb, DOI: 10.32468/be.587.
• Luz Adriana Flórez, 2010, "Monetary Policy and Commodity Prices: an endogenous analysis using an SVAR approach," Borradores de Economia, Banco de la Republica de Colombia, number 610, Jun, DOI: 10.32468/be.610.
• Andrés González & Omar Mendoza & Hernán Rincón & Norberto Rodríguez, 2010, "Ciclo económico y efecto inflacionario de la depreciación de la moneda," Borradores de Economia, Banco de la Republica de Colombia, number 611, Jun, DOI: 10.32468/be.611.
• Ana María Iregui B. & Ligia Alba Melo B. & María Teresa Ramírez G., 2010, "Downward Wage Rigidities and Other Firms’ Responses to an Economic Slowdown: Evidence from a Survey of Colombian Firms," Borradores de Economia, Banco de la Republica de Colombia, number 612, Jul, DOI: 10.32468/be.612.
• Luis Fernando Melo Velandia & Joan Camilo Granados Castro, 2010, "Regulación y Valor en Riesgo," Borradores de Economia, Banco de la Republica de Colombia, number 615, Jul, DOI: 10.32468/be.615.
• Martha López P. & Fernando Tenjo G. & Héctor Zárate Solano, 2010, "The Risk-Taking Channel and Monetary Transmission Mechanism in Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 616, Jul, DOI: 10.32468/be.616.
• Eliana González & Luis F. Melo & Luis E. Rojas & Brayan Rojas, 2010, "Estimations of the natural rate of interest in Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 626, Nov, DOI: 10.32468/be.626.
• Ana María Iregui B. & Ligia Alba Melo B. & María Teresa Ranírez G., 2010, "Wage differentials across economic sectors in the Colombian formal labour market: evidence from a survey of firms," Borradores de Economia, Banco de la Republica de Colombia, number 629, Nov, DOI: 10.32468/be.629.
• Fredy Alejandro Gamboa Estrada, 2011, "Determinants of the Exchange Rate in Colombia under Inflation Targeting," Borradores de Economia, Banco de la Republica de Colombia, number 635, Jan, DOI: 10.32468/be.635.
• Santiago Caicedo & Miguel Ángel Morales Mosquera & David Pérez-Reyna, 2010, "Un análisis de sobrevaloración en el mercado de la vivienda en Colombia," Temas de Estabilidad Financiera, Banco de la Republica de Colombia, number 051, Sep, DOI: 10.32468/tef.51.
• Wilmar Cabrera & Javier Gutiérrez Rueda & Juan Carlos Mendoza & Luis Fernando Melo, 2011, "Relación entre el riesgo sistémico del sistema financiero y el sector real," Temas de Estabilidad Financiera, Banco de la Republica de Colombia, number 062, Sep, DOI: 10.32468/tef.62.
• Wilmar Cabrera & Luis Melo & Juan Carlos Mendoza, 2012, "Valor en Riesgo Condicional para el portafolio de deuda pública de las entidades financieras," Temas de Estabilidad Financiera, Banco de la Republica de Colombia, number 072, Sep, DOI: 10.32468/tef.72.
• Esteban Gómez & Andrés Murcia Pabón & Nancy Zamudio Gómez, 2013, "Foreign Debt Flows and Domestic Credit: A Principal-Agent Approach," Temas de Estabilidad Financiera, Banco de la Republica de Colombia, number 075, Mar, DOI: 10.32468/tef.75.
• Paresh Narayan & Russell Smyth, , "Dead Man Walking: An Empirical Reassessment of the Deterrent Effect of Capital Punishment Using the Bounds Testing Approach to Cointegration," American Law & Economics Association Annual Meetings, American Law & Economics Association, number 1028.
• Tom Doan, 2025, "EGTEST: RATS procedure to compute Engle-Granger test for Cointegration," Statistical Software Components, Boston College Department of Economics, number RTS00061, revised .
• Tom Doan, 2025, "RATS programs to replicate Lanne-Lutkepohl JMCB 2008 structural VAR with volatility shifts," Statistical Software Components, Boston College Department of Economics, number RTZ00109, revised .
• Tom Doan, 2025, "RATS programs to replicate Mountford and Uhlig JAE 2009 sign-constrained VAR," Statistical Software Components, Boston College Department of Economics, number RTZ00121, revised .
• Pierre Perron & Gabriel Rodríguez, , "Residuals-based Tests for Cointegration with GLS Detrended Data," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2015-017, revised 19 Oct 2015.
• Christoph Görtz & Christopher Gunn & Thomas Lubik, , "What Drives Inventory Accumulation? News on Rates of Return and Marginal Costs," Carleton Economic Papers, Carleton University, Department of Economics, number 19-09.
• Maya Papineau & Nicholas Rivers & Kareman Yassin, , "Household benefits from energy efficiency retrofits: Implications for net zero housing policy," Carleton Economic Papers, Carleton University, Department of Economics, number 24-01, revised 10 Oct 2024.
• Elias OIKARINEN & Martin HOESLI & Camilo SERRANO, 2009, "Linkages Between Direct and Securitized Real Estate," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 09-26, Jun.
• Martin HOESLI & Kustrim REKA, 2010, "Volatility Spillovers, Asymmetry and Extreme Events in Securitized Real Estate Returns," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 10-40, Sep.
• Eric JONDEAU & Michael ROCKINGER, 2010, "Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 10-41, Aug.
• Damir FILIPOVIC & Eberhard BERHARD & Paul SCHNEIDER, 2011, "Density Approximations For Multivariate Affine Jump-Diffusion Processes," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-20, Apr.
• Simon A. BRODA & Markus HAAS & Jochen KRAUSE & Marc S. PAOLELLA & Sven C. STEUDE, 2011, "Stable Mixture GARCH Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-39, Sep.
• Vladimir Filimonov & Didier Sornette, 2012, "Quantifying Reflexivity in Financial Markets: Towards a Prediction of Flash Crashes," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-02, Feb.
• Didier Sornette & Alexander I. Saichev, 2012, "A Simple Microstructure Return Model Explaining Microstructure Noise and Epps Effects," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-08, Feb.
• Martin Hoesli & Elias Oikarinen, 2012, "Are REITs Real Estate? Evidence from International Sector Level Data," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-15, Mar.
• Valentina Corradi & Walter Distaso & Antonio Mele, 2012, "Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-18, Feb.
• Robert F. Engle & Eric Jondeau & Michael Rockinger, 2012, "Systemic Risk in Europe," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-45, Dec.
• Shan (Victor) Jiang, , "Immigration, Information, and Trade Margins," Working Papers, Department of Economics, University of Calgary, number 2007-16, revised 31 Oct 2007.
• Apostolos Serletis, , "150 Years of the Oil Price-Macroeconomy Relationship," Working Papers, Department of Economics, University of Calgary, number 2017-01.
• Ali Jadidzadeh & Apostolos Serletis, , "How Does the U.S. Natural Gas Market React to Demand and Supply Shocks in the Crude Oil Market?," Working Papers, Department of Economics, University of Calgary, number 2017-02.
• Apostolos Serletis & Libo Xu, , "Demand Systems with Heteroscedastic Disturbances," Working Papers, Department of Economics, University of Calgary, number 2018-11, revised 25 Sep 2018.
• Apostolos Serletis & Libo Xu, , "Money Supply Volatility and the Macroeconomy," Working Papers, Department of Economics, University of Calgary, number 2018-16, revised 05 Nov 2018.
• Apostolos Serletis & Libo Xu, , "Conditional Correlation Demand Systems," Working Papers, Department of Economics, University of Calgary, number 2018-17, revised 25 Nov 2018.
• Apostolos Serletis & Libo Xu, , "Markov Switching Oil Price Uncertainty," Working Papers, Department of Economics, University of Calgary, number 2019-02, revised 02 Jan 2019.
• Apostolos Serletis & Libo Xu, , "Consumption, Leisure, and Money," Working Papers, Department of Economics, University of Calgary, number 2019-08, revised 06 Jul 2019.
• Libo Xu, , "Functional Monetary Aggregates, Monetary Policy, and Business Cycles," Working Papers, Department of Economics, University of Calgary, number 2020-04, revised 22 Sep 2020.
• Gabriele Fiorentini & Christophe Planas, 1996, "Non-Admissible Decompositions in Unobserved Components Models," Working Papers, CEMFI, number wp1996_9613.
• Gabriele Fiorentini & Enrique Sentana, 1996, "Conditional Means of Time Series Processes and Time Series Processes for Conditional Means," Working Papers, CEMFI, number wp1996_9617.
• Sona Benecka & Ludmila Fadejeva & Martin Feldkircher, 2018, "Spillovers from Euro Area Monetary Policy: A Focus on Emerging Europe," Working Papers, Czech National Bank, Research and Statistics Department, number 2018/2, May.
• BAUWENS, Luc & ROMBOUTS, Jeroen VK, 2007, "Bayesian clustering of many GARCH models," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1916, Jan, DOI: 10.1080/07474930701220576.
• BAUWENS, Luc & LUBRANO, Michel, 2007, "Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1918, Jan, DOI: 10.1080/07474930701220634.
• BAUWENS, Luc & ROMBOUTS, Jeroen VK, 2007, "Bayesian inference for the mixed conditional heteroskedasticity model," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1931, Jan, DOI: 10.1111/j.1368-423X.2007.00213.x.
• BEINE, Michel & BOS, Charles S. & LAURENT, Sébastien, 2006, "The impact of Central Bank FX interventions on currency components," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1980, Jan, DOI: 10.2139/ssrn.844704.
• SILVESTRINI, Andrea & VEREDAS, David, 2009, "Temporal aggregation of univariate and multivariate time series models: A survey," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2013, Jan, DOI: 10.1111/j.1467-6419.2007.00538.x.
• BAUWENS, Luc & HAUTSCH, Nikolaus, 2009, "Modelling financial high frequency data using point processes," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2123, Jan.
• SILVESTRINI, Andrea, 2010, "Testing fiscal sustainability in Poland: a Bayesian analysis of cointegration," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2220, Jan, DOI: 10.1007/s00181-009-0303-9.
• BAUWENS, Luc & STORTI, Giuseppe, 2013, "Computationally efficient inference procedures for vast dimensional realized covariance models," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2469, Jan, DOI: 10.1007/978-88-470-2871-5_4.
• Diego Vílchez, 2015, "Assessing the House Price Dynamics in Lima," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies, number 09-2015, Mar.
• Massimo Giuliodori, , "The Empirical Relevance of a basic sticky-price intertemporal model," Working Papers, Business School - Economics, University of Glasgow, number 2001_17.
• Anton Muscatelli & Franco Spinelli & Carmine Trecroci, , "Real Exchange Rates in the Long Run: Evidence from Historical Data (Figures)," Working Papers, Business School - Economics, University of Glasgow, number 2001_6figures.
• Gary Koop & Dimitris Korobilis, , "A new index of financial conditions," Working Papers, Business School - Economics, University of Glasgow, number 2013_06.
• Helge Berger & Ulrich Woitek, , "Does Conservatism Matter? A Time Series Approach to Central Banking," Working Papers, Business School - Economics, University of Glasgow, number 9814, revised May 1999.
• Danilo Leiva-Leon & Lorenzo Ductor, 2019, "Fluctuations in Global Macro Volatility," ThE Papers, Department of Economic Theory and Economic History of the University of Granada., number 19/09, Jul.
• Yuan Tian & Alexandr Akimov & Eduardo Roca & Victor Wong, , "2012-10 Does the Carbon Market Help or Hurt the Stock Price of Electricity Companies? Further Evidence from the European Context," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201210.
• Ajay Chhibber & Akshata Kalloor, 2017, "Reviving Private Investment in India: Determinants and Policy Levers," Working Papers, The George Washington University, Institute for International Economic Policy, number 2017-5, May.
• Hutter, Christian & Klinger, Sabine & Trenkler, Carsten & Weber, Enzo, 2019, "Which factors are behind Germany's labour market upswing?," IAB-Discussion Paper, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany], number 201920.
• Louisa Grimm & Sven Steinkamp & Frank Westermann, 2021, "On Optimal Currency Areas and Common Cycles: Are the Acceding Countries Ready to Join the Euro?," IEER Working Papers, Institute of Empirical Economic Research, Osnabrueck University, number 120, Apr.
• Hans-Martin Krolzig & Massimiliano Marcellino & Grayham E. Mizon, , "A Markov-Switching Vector Equilibrium Correction Model of the UK Labour Market," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 185.
• Anusha, , "Evaluating reliability of some symmetric and asymmetric univariate filters," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2015-030.
• D.M. Nachane, , "Time-varying spectral analysis: Theory and applications," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2018-025.
• Laura Liu & Mikkel Plagborg-M?ller, 2021, "Full-Information Estimation of Heterogeneous Agent Models Using Macro and Micro Data," CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, number 2021-001 Classification- , Jan.
• Bruno Chiarini & Elisabetta Marzano & Friedrich Schneider, , "Tax rates and Tax evasion: an Empirical Analysis of the Structural Aspects and Long-Run Characteristics in Italy," Working Papers, Department of the Treasury, Ministry of the Economy and of Finance, number wp2009-1.
• Silvestro DI SANZO & Alicia PEREZ-ALONSO, , "Unemployment and Hysteresis: A Nonlinear Unobserved Components A Nonlinear Unobserved Components A Nonlinear Unobserved Components A Nonlinear Unobserved Components A Nonlinear Unobserved Components Approach," Working Papers, Department of the Treasury, Ministry of the Economy and of Finance, number wp2010-10.
• Matteo LUCIANI, , "Monetary Policy and the Housing Market: A Structural Factor Analysis," Working Papers, Department of the Treasury, Ministry of the Economy and of Finance, number wp2010-7.
• William A. Barnett & Marcelle Chauvetz & Danilo Leiva-Leonx, 2014, "Real-Time Nowcasting Nominal GDP Under Structural Break," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 201313, Feb, revised Feb 2014.
• Massimo Franchi, , "The Integration Order of Vector Autoregressive Processes," Discussion Papers, University of Copenhagen. Department of Economics, number 06-05.
• Katarina Juselius & Sophia Dimelis, , "The Greek crisis: A story of self-reinforcing feedback mechanisms," Discussion Papers, University of Copenhagen. Department of Economics, number 18-06.
• Laura Rinaldi, , "Payment Cards and Money Demand in Belgium," International Economics Working Papers Series, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics, number ces0116.
• Deborah Gefang & Gary Koop & Aubrey Poon, , "Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 20/02.
• Eric Hillebrand & Gunther Schnabl, 2003, "The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection," Departmental Working Papers, Department of Economics, Louisiana State University, number 2003-09, Sep.
• S. Raja Sethu Durai & Sunil Paul, 2018, "Calendar Anomaly and the Degree of Market Inefficiency of Bitcoin," Working Papers, Madras School of Economics,Chennai,India, number 2018-168, Apr.
• Jyotsana Kala & Naveen Srinivasan, 2020, "Institutional Design and Credibility," Working Papers, Madras School of Economics,Chennai,India, number 2020-193, Jun.
• Swati Singh & Naveen Srinivasan, 2020, "The Oil Story: Is it Still the Same?," Working Papers, Madras School of Economics,Chennai,India, number 2020-197, Jun.
• Thomas J.Flavin & Dolores Lagoa-Varela, 2019, "On the stability of Stock-bond comovements across market conditions in the Eurozone periphery," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n295-19.pdf.
• William Gatt & Owen Grech, , "An assessment of the Maltese housing market," CBM Policy Papers, Central Bank of Malta, number PP/02/2016.
• Germano Ruisi, , "Global Oil Price Swings and Shipping Disruptions: Do They Matter for Malta?," CBM Policy Papers, Central Bank of Malta, number PP/07/2022.
• George Pasmangiu, 2020, "A Retrospective Analysis And Construction Of A Financial Stability Index For Romania In The 2010s," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 10913090, Jul.
• Harsimrat Kaeley & Ye QIAO & Nader BAGHERZADEH, 0000, "Support for Stock Trend Prediction Using Transformers and Sentiment Analysis," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 13815878.
• Krzysztof Drachal, 0000, "Choosing Parameters for Bayesian Symbolic Regression: An Application to Modelling Commodities Prices," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 14116014.
• Gergana Taneva-Angelova & Stefan Raychev, 0000, "Examining the Correlation between Gold Price Fluctuations and Unemployment Levels in the Context of Green Transition: Insights from Time Series Analysis and Granger Causality," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 15016513.
• Jamiu Ibrahim Aminu & Mohammed Shamwil & Ibrahim Abdullahi, 0000, "Energy Efficiency and Economic Growth in Nigeria: A Long-Run Perspective," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 15016577.
• Krzysztof Drachal & Joanna J?drzejewska, 0000, "Forecasting the Index of Commodities Prices Using Various Bayesian Models," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 15316933.
• Peter C.B.Phillips & Jun Yu, , "Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-08-2009.
• Hrushikesh Mallick & Mantu Kumar Mahalik & Hemachandra Padhan, 0, "Does globalization exacerbate income inequality in two largest emerging economies? The role of FDI and remittances inflows," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), volume 0, issue , pages 1-38, DOI: 10.1007/s12232-020-00350-0.
• Todd Clark & Florian Huber & Gary Koop & Massimiliano Marcellino & Michael Pfarrhofer, 2021, "Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model," Working Papers, University of Strathclyde Business School, Department of Economics, number 2307, Oct.
• Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2020, "Bayesian Modelling of TVP-VARs Using Regression Trees," Working Papers, University of Strathclyde Business School, Department of Economics, number 2308, Feb, revised Aug 2023.
• Florian Huber & Gary Koop, 2023, "Fast and Order-invariant Inference in Bayesian VARs with Non-Parametric Shocks," Working Papers, University of Strathclyde Business School, Department of Economics, number 2309, May.
• Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon & Ping Wu, 2023, "Incorporating Short Data into Large Mixed-Frequency VARs for Regional Nowcasting," Working Papers, University of Strathclyde Business School, Department of Economics, number 2311, Apr.
• Cem Cebi & K. Azim Ozdemir, , "Non-linear effects of fiscal stimulus on fiscal sustainability Indicators in Turkey," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 2128.
• Mattia Guerini & Alessio Moneta, 2016, "A Method for Agent-Based Models Validation," Working Papers Series, Institute for New Economic Thinking, number 42, Apr, DOI: 10.2139/ssrn.2772133.
• Borus Jungbacker & Siem Jan Koopman & Michel van der Wel, 0000, "Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 09-041/4, 00, revised 17 Sep 2010.
• Malin Gardberg & Lorenzo (L.C.G.) Pozzi, 2018, "Consumption and wealth in the long run: an integrated unobserved component approach," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 18-046/VI, May, revised 13 Sep 2018.
• Duc Hong Vo & Tan Ngoc Vu & Anh The Vo & Michael McAleer, 2019, "Modelling the relationship between crude oil and agricultural commodity prices," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2019-11, Mar.
• Manabu Asai & Rangan Gupta & Michael McAleer, 2019, "The Impact of jumps and leverage in forecasting the co-volatility of oil and gold futures," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2019-12, Mar.
• Michael McAleer, 2019, "What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2019-17, Mar.
• Michael McAleer, 2019, "What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2019-18, Mar.
• Domenico Giannone & Michèle Lenza & Lucrezia Reichlin, 2008, "Explaining the great moderation: it is not the shocks," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/6413.
• Luis A. Gil-Alana & Guglielmo M. Caporale, 2006, "Nonlinearities and fractional integration in the US unemployment rate," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 18/06, Dec.
• Marta Lachowska, , "Expenditure and Confidence: Using Daily Data to Identify Shocks to Consumer Confidence," Upjohn Working Papers, W.E. Upjohn Institute for Employment Research, number ml16-oep.
• Mengheng Li & Ivan Mendieta-Muñoz, 2025, "RUnpacking trend inflation: Evidence from a factor correlated unobserved components model of sticky and flexible prices    ," Working Paper Series, Department of Economics, University of Utah, University of Utah, Department of Economics, number 2025-04.
• Tzu-Yi Yang & Eddy Lie & Chien-Chung Lu, 0, "The Influences of the US Stock Market on Virtual Currency Price under US Monetary Policy Threshold," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 0, issue 0, pages 1-19.
• Demet Beton Kalmaz & Tomiwa Sunday Adebayo & Nuru Giritli, 0, "Investigating the Determinants of the Trade Balance: The Case of the UK," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 0, issue 0, pages 1-22.
• Wajih Khallouli, 0, "On the Robustness of Portfolio Diversification Benefits within MENA Stock Markets," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 0, issue 0, pages 1-31.
• Nezir Köse & Emre Ünal, 0, "The Effects of the Volatilities in Global Determinants on the Istanbul Stock Exchange," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 0, issue 0, pages 1-38.
• Junko Koeda & Atushi Sekine, 2021, "Nelson-Siegel Decay Factor and Term Premia in Japan," Working Papers, Waseda University, Faculty of Political Science and Economics, number 2106, Apr.
• Octavio Fernández Amador & Josef Baumgartner & Jesús Crespo Cuaresma, 2010, "Milking the Prices: The Role of Asymmetries in the Price Transmission Mechanism for Milk Products in Austria," WIFO Working Papers, WIFO, number 378, Jul.
• M. Hashem Pesaran & Til Schuermann & Björn-Jakob Treutler & Scott M. Weiner & April, , "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 03-13.
• Giulietti, Monica & Otero,Jesus & Waterson, Michael, 2019, "Rigidities and adjustments of daily prices to costs: Evidence from supermarket data," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 1187.
• B. Pesaran & G. Wright, , "The Use Of Spreads In Forecasting Medium Term U.K Interest Rates," Working Papers, University of East London, Department of Economics, number 9606.
• Brad R. Humphreys & Scott Schuh & Corey J.M. Williams, , "Learning by Doing, Productivity, and Growth: New Evidence on the Link between Micro and Macro Data," Working Papers, Department of Economics, West Virginia University, number 24-02.
• Arabinda Basistha, , "Estimates of Quarterly and Monthly Episodes of Global Recessions: Evidence from Markov-switching Dynamic Factor Models," Working Papers, Department of Economics, West Virginia University, number 24-07.
• Tae-Hwan Kim & Dong Jin Lee & Paul Mizen, 2020, "Impulse Response Analysis in Conditional Quantile Models and an Application to Monetary Policy," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2020rwp-164, Feb.
• Karim Abadir & Gabriel Talmain, , "Aggregation, Persistence and Volatility in a Macromodel," Discussion Papers, Department of Economics, University of York, number 01/03.
• Steve Lawford & Michalis P Stamatogiannis, , "The Finite-Sample Effects of VAR Dimensions on MLE Bias, MLE Variance and Minimum MSE Estimators: Purely Nonstationary Case," Discussion Papers, Department of Economics, University of York, number 02/04.
• P N Smith & S Sorensen & M R Wickens, , "Macroeconomic Sources of Equity Risk," Discussion Papers, Department of Economics, University of York, number 03/13.
• P N Smith & S Sorensen & M R Wickens, , "An Asset Market Integration Test Based on Observable Macroeconomic Stochastic Discount Factors," Discussion Papers, Department of Economics, University of York, number 03/14.
• Juri Marcucci & Mario Quagliariello, , "Is Bank Portfolio Riskiness Procyclical? Evidence from Italy using a Vector Autoregression," Discussion Papers, Department of Economics, University of York, number 05/09.
• Vito Polito & Peter Spencer, , "UK Macroeconomic Volatility and the Welfare Costs of Inflation," Discussion Papers, Department of Economics, University of York, number 11/21.
• Pongrapeeporn Abhakorn & Peter N. Smith & Michael R. Wickens, , "A Cross Section of Equity Returns: The No-Arbitrage Test," Discussion Papers, Department of Economics, University of York, number 11/23.
• Pongrapeeporn Abhakorn & Peter N. Smith & Michael R. Wickens, , "Consumption, Size and Book-to-Market Ratio in Equity Returns," Discussion Papers, Department of Economics, University of York, number 11/24.
• Elias Tzavalis & Michael Wickens, , "The Rational Expectations Hypothesis of the Term Structure: reconciling the evidence," Discussion Papers, Department of Economics, University of York, number 95/33.

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• Mirdala, Rajmund, 2016, "Interest rates and structural shocks in European transition economies," Business and Economic Horizons (BEH), Prague Development Center (PRADEC), volume 10, issue 4, pages 1-15, October, DOI: 10.22004/ag.econ.246042.
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