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

2022

• Gregory Boadu-Sebbe, 2022, "Effect of Exchange-Traded Funds Arbitrage Transactions on their Underlying Holdings," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp738, Oct.
• Peter A. Zadrozny, 2022, "Linear Identification of Linear Rational-Expectations Models by Exogenous Variables Reconciles Lucas and Sims," CESifo Working Paper Series, CESifo, number 10078.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2022, "Gold and Silver as Safe Havens: A Fractional Integration and Cointegration Analysis," CESifo Working Paper Series, CESifo, number 10084.
• Lutz Kilian & Michael D. Plante & Alexander W. Richter, 2022, "Macroeconomic Responses to Uncertainty Shocks: The Perils of Recursive Orderings," CESifo Working Paper Series, CESifo, number 10121.
• Emmanuel Joel Aikins Abakah & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2022, "Cryptocurrencies, Technology Stocks, Covid-19 and US Policy Responses: A Fractional Integration Analysis," CESifo Working Paper Series, CESifo, number 9624.
• Mario Di Serio & Matteo Fragetta & Emanuel Gasteiger & Giovanni Melina, 2022, "The Euro Area Government Spending Multiplier in Demand- and Supply-Driven Recessions," CESifo Working Paper Series, CESifo, number 9678.
• Andrea Nocera & M. Hashem Pesaran, 2022, "Causal Effects of the Fed's Large-Scale Asset Purchases on Firms' Capital Structure," CESifo Working Paper Series, CESifo, number 9695.
• Guglielmo Maria Caporale & Nicola Spagnolo & Awon Almajali, 2022, "Fossil and Renewable Energy Stock Indices: Connectedness and the COP Meetings," CESifo Working Paper Series, CESifo, number 9824.
• Robert Lehmann & Ida Wikman, 2022, "Quarterly GDP Estimates for the German States," ifo Working Paper Series, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 370.
• Martin Indergand & Eric Jondeau & Andreas Fuster, 2022, "Measuring and Stress-Testing Market-Implied Bank Capital," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-11, Jan.
• Soros Chitsiripanich & Marc S. Paolella & Pawel Polak & Patrick S. Walker, 2022, "Momentum Without Crashes," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-87, Nov.
• Yifei Cai & Valérie Mignon & Jamel Saadaoui, 2022, "Not all political relation shocks are alike: Assessing the impacts of US-China tensions on the oil market," Working Papers, CEPII research center, number 2022-07, Aug.
• Dan Zhang & Arash Farnoosh & Frédéric Lantz, 2022, "Does something change in the oil market with the COVID-19 crisis?," International Economics, CEPII research center, issue 169, pages 252-268.
• Jihene Jebeniani & Jamel Trabelsi, 2022, "Effects of the business cycle on real exchange rate misalignments with respect to exchange rate regimes," International Economics, CEPII research center, issue 170, pages 92-102.
• Martín Almuzara & Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022, "GDP Solera. The Ideal Vintage Mix," Working Papers, CEMFI, number wp2022_2204, Apr.
• Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022, "Specification tests for non-Gaussian structural vector autoregressions," Working Papers, CEMFI, number wp2022_2212, Dec.
• Jaromir Baxa & Jan Zacek, 2022, "Monetary Policy and the Financial Cycle: International Evidence," Working Papers, Czech National Bank, Research and Statistics Department, number 2022/4, Apr.
• John Cajas-Guijarro & Anthony Pozo-Barrera & Dom�nica C�rdenas-L�pez, 2022, "Neutralidad monetaria y deuda externa en dolarización: el caso ecuatoriano desde un enfoque de cointegración," Revista Desarrollo y Sociedad, Universidad de los Andes,Facultad de Economía, CEDE, volume 92, issue 9, pages 317-377.
• John Cajas Guijarro & Hugo J�come Estrella & Bryan P�rez Almeida, 2022, "Mercado laboral y shocks petroleros: un análisis de cohorte y PVAR para Ecuador," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, volume 41, issue 86, pages 243-276.
• Daniele Covri Rivera, 2022, "Función consumo final de hogares para Ecuador, periodo 2000-2017," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, volume 41, issue 87, pages 545-568, DOI: 10.15446/cuad.econ.v41n87.92260.
• Julián Camilo Galvis Niño & Juan Felipe Acevedo Estrella, 2022, "Determinantes de las brechas de género para Colombia 2016-2020," Econógrafos, Escuela de Economía, Universidad Nacional de Colombia, FCE, CID, number 022648, Sep.
• Francisco Jose Perez Torres, 2022, "Ocupación informal y formal en Colombia, equilibrios de largo plazo y principales causas históricas (2001-2019). Un análisis vectorial de corrección de errores," Tiempo y Economía, Universidad de Bogotá Jorge Tadeo Lozano, volume 9, issue 1, pages 41-103, DOI: 10.21789/24222704.1690.
• Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2022, "We modeled long memory with just one lag!," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2022016, Apr.
• Bauwens, Luc & Otranto, Edoardo, 2022, "Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 3202, Mar, DOI: https://doi.org/10.1093/jjfinec/nba.
• Mlikota, Marko & Schorfheide, Frank, 2022, "Sequential Monte Carlo With Model Tempering," CEPR Discussion Papers, Centre for Economic Policy Research, number 17035, Feb.
• Chang, Minsu & Schorfheide, Frank, 2022, "On the Effects of Monetary Policy Shocks on Earnings and Consumption Heterogeneity," CEPR Discussion Papers, Centre for Economic Policy Research, number 17049, Feb.
• Hasenzagl, Thomas & Pellegrino, Filippo & Reichlin, Lucrezia & Ricco, Giovanni, 2022, "Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices," CEPR Discussion Papers, Centre for Economic Policy Research, number 17111, Mar.
• Inoue, Atsushi & Rossi, Barbara & Wang, Yiru, 2022, "Local Projections in Unstable Environments: How Effective is Fiscal Policy?," CEPR Discussion Papers, Centre for Economic Policy Research, number 17134, Mar.
• Lewis, Daniel & Mertens, Karel, 2022, "Dynamic Identification Using System Projections and Instrumental Variables," CEPR Discussion Papers, Centre for Economic Policy Research, number 17153, Mar.
• Almuzara, Martin & Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2022, "GDP Solera: The Ideal Vintage Mix," CEPR Discussion Papers, Centre for Economic Policy Research, number 17196, Apr.
• Goncalves, Silvia & Herrera, Ana Maria & Kilian, Lutz & Pesavento, Elena, 2022, "When do state-dependent local projections work?," CEPR Discussion Papers, Centre for Economic Policy Research, number 17265, Apr.
• Foroni, Claudia & Furlanetto, Francesco, 2022, "Explaining Deviations from Okun's Law," CEPR Discussion Papers, Centre for Economic Policy Research, number 17369, Jun.
• Clark, Todd & Huber, Florian & Koop, Gary & Marcellino, Massimiliano & Pfarrhofer, Michael, 2022, "Tail Forecasting with Multivariate Bayesian Additive Regression Trees," CEPR Discussion Papers, Centre for Economic Policy Research, number 17461, Jul.
• Carriero, Andrea & Marcellino, Massimiliano & Tornese, Tommaso, 2022, "Blended Identification in Structural VARs," CEPR Discussion Papers, Centre for Economic Policy Research, number 17640, Nov.
• Hauzenberger, Niko & Huber, Florian & Marcellino, Massimiliano & Petz, Nico, 2022, "Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty," CEPR Discussion Papers, Centre for Economic Policy Research, number 17646, Nov.
• Canova, Fabio & Pappa, Evi, 2022, "Costly disasters, energy consumption, and the role of fiscal policy," CEPR Discussion Papers, Centre for Economic Policy Research, number 17655, Nov.
• Kilian, Lutz & Plante, Michael D. & Richter, Alexander W., 2022, "Macroeconomic Responses to Uncertainty Shocks: The Perils of Recursive Orderings," CEPR Discussion Papers, Centre for Economic Policy Research, number 17698, Nov.
• Beaudry, Paul & Collard, Fabrice & Feve, Patrick & Guay, Alain & Portier, Franck, 2022, "Dynamic Identification in VARs," CEPR Discussion Papers, Centre for Economic Policy Research, number 17726, Dec.
• Nico Peter Benjamin Wehrle, 2022, "The Cost of Renewable Electricity and Energy Storage in Germany," European Journal of Business Science and Technology, Mendel University in Brno, Faculty of Business and Economics, volume 8, issue 1, pages 19-41, DOI: 10.11118/ejobsat.2022.005.
• Klara Zalesakova, 2022, "Stock market development as a leading indicator of future economic growth in the BRICS countries," MENDELU Working Papers in Business and Economics, Mendel University in Brno, Faculty of Business and Economics, number 2022-82, Sep.
• Mehmet Balcilar & George Ike & Rangan Gupta, 2022, "The Role of Economic Policy Uncertainty in Predicting Output Growth in Emerging Markets: A Mixed-Frequency Granger Causality Approach," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 58, issue 4, pages 1008-1026, March, DOI: 10.1080/1540496X.2020.1860747.
• Alexis Stenfors & Ioannis Chatziantoniou & David Gabauer, 2022, "The Evolution of Monetary Policy Focal Points," Journal of Economic Issues, Taylor & Francis Journals, volume 56, issue 2, pages 348-355, April, DOI: 10.1080/00213624.2022.2050149.
• Vikram Mohite & Vibha Bhandari, 2022, "An Empirical Study on Co-Integration and Causality Among GCC Stock Markets," Capital Markets Review, Malaysian Finance Association, volume 30, issue 1, pages 51-64.
• Godfred Aawaar & Eric Nkansah & Irrshad Kaseeram, 2022, "Currency Carry Trades and Stock Market Returns in Africa Abstract: Research Question: Is there a causal link between African currency targeted carry trades and the returns of their stock market indices? What is the nature of return volatility in carr," Capital Markets Review, Malaysian Finance Association, volume 30, issue 1, pages 65-83.
• Giorgio Massari & Patrizio Tirelli, 2022, "Whither Liquidity Shocks?," Working Papers, University of Milano-Bicocca, Department of Economics, number 502, Aug.
• William Gatt & Germano Ruisi, 2022, "The spillover of euro area shocks to the Maltese economy," CBM Working Papers, Central Bank of Malta, number WP/03/2022.
• William Gatt, 2022, "MEDSEA-FIN: an estimated DSGE model with housing and financial frictions for Malta," CBM Working Papers, Central Bank of Malta, number WP/05/2022.
• Andras Viktor Szabo, 2022, "Credit Risk Modelling of Mortgage Loans in the Supervisory Stress Test of the Magyar Nemzeti Bank," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), volume 21, issue 1, pages 56-94.
• Laszlo Szepesvary, 2022, "Effect of the Yield Level, the Inflation Environment and the Pandemic on the Lapse Rates of Life Insurances," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), volume 21, issue 3, pages 44-72.
• Costanza Torricelli & Beatrice Bertelli, 2022, "ESG screening strategies and portfolio performance: how do they fare in periods of financial distress?," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 0087, Jun.
• Heather M. Anderson & Jiti Gao & Guido Turnip & Farshid Vahid & Wei Wei, 2022, "Estimating the Effect of an EU-ETS Type Scheme in Australia Using a Synthetic Treatment Approach," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 12/22.
• Jiti Gao & Bin Peng & Yayi Yan, 2022, "Nonparametric Estimation and Testing for Time-Varying VAR Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 3/22.
• Guohua Feng & Jiti Gao & Bin Peng, 2022, "Multi-Level Panel Data Models: Estimation and Empirical Analysis," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 4/22.
• Jiti Gao & Bin Peng & Wei Biao Wu & Yayi Yan, 2022, "Time-Varying Multivariate Causal Processes," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 8/22.
• Kamila Kuziemska-Pawlak & Jakub Mućk, 2022, "Global Value Chains and Equilibrium Exchange Rate: Evidence from Central European Economies," NBP Working Papers, Narodowy Bank Polski, number 354.
• Erkmen G. Aslim & Shin-Yi Chou & Kuhelika De, 2022, "Business Cycles and Healthcare Employment," NBER Working Papers, National Bureau of Economic Research, Inc, number 29799, Feb.
• David Lucca & Jonathan H. Wright, 2022, "The Narrow Channel of Quantitative Easing: Evidence from YCC Down Under," NBER Working Papers, National Bureau of Economic Research, Inc, number 29971, Apr.
• Dake Li & Mikkel Plagborg-Møller & Christian K. Wolf, 2022, "Local Projections vs. VARs: Lessons From Thousands of DGPs," NBER Working Papers, National Bureau of Economic Research, Inc, number 30207, Jul.
• Orlov, D. & Postnikov, E., 2022, "Phillips curve: Inflation and NAIRU in the Russian regions," Journal of the New Economic Association, New Economic Association, volume 55, issue 3, pages 61-80, DOI: 10.31737/2221-2264-2022-55-3-4.
• Zubarev, A. & Rybak, K., 2022, "The impact of global shocks on the Russian economy: FAVAR approach," Journal of the New Economic Association, New Economic Association, volume 56, issue 4, pages 48-68, DOI: 10.31737/2221-2264-2022-56-4-3.
• Cristina Amado, 2022, "Outlier robust specification of multiplicative time-varying volatility models," NIPE Working Papers, NIPE - Universidade do Minho, number 11/2022.
• Yam Lal Bhoosal & Rohan Byanjankar, 2022, "An Empirical Study on the Determinants of Government Revenue in Nepal," NRB Economic Review, Nepal Rastra Bank, Economic Research Department, volume 34, issue 2, pages 30-49, October.
• Marko Bajic, 2022, "Balance sheet data of the National Bank of the Kingdom of Serbia, Kingdom of Serbs, Croats and Slovenes and Kingdom of Yugoslavia in 1884–1940," Working Papers Bulletin, National Bank of Serbia, number 6, Mar.
• Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2022, "Using hierarchical aggregation constraints to nowcast regional economic aggregates," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers (2017-2023 papers hosted by The National Institute of Economic and Social Research), Economic Statistics Centre of Excellence (ESCoE), number ESCoE DP-2022-04, Mar.
• Martin Weale & Paul Labonne, 2022, "Nowcasting in the presence of large measurement errors and revisions," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers (2017-2023 papers hosted by The National Institute of Economic and Social Research), Economic Statistics Centre of Excellence (ESCoE), number ESCoE DP-2022-05, Mar.
• Paul Labonne, 2022, "Asymmetric Uncertainty: Nowcasting Using Skewness in Real-time Data," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers (2017-2023 papers hosted by The National Institute of Economic and Social Research), Economic Statistics Centre of Excellence (ESCoE), number ESCoE DP-2022-23, Oct.
• Garratt, Anthony & Petrella, Ivan & Zhang, Yunyi, 2022, "Asymmetry and Interdependence when Evaluating U.S. Energy Information Agency Forecasts," National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research, number 541, Sep.
• Sonia Chipeva, 2022, "Bulgarian Economy on the Way of Ecological Transformation," Ikonomiceski i Sotsialni Alternativi, University of National and World Economy, Sofia, Bulgaria, issue 4, pages 18-27, December.
• Jhonatan Portilla & Gabriel Rodríguez & Paul Castillo B., 2022, "Evolution of Monetary Policy in Peru: An Empirical Application Using a Mixture Innovation TVP-VAR-SV Model
  [Metas de Inflación en Una Economía Dolarizada: La Experencia Del Perú]," CESifo Economic Studies, CESifo Group, volume 68, issue 1, pages 98-126.
• Chiara Casoli & Riccardo (Jack) Lucchetti, 2022, "Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices
  [Commodity-price comovement and global economic activity]," The Econometrics Journal, Royal Economic Society, volume 25, issue 2, pages 494-514.
• Yue Qiu & Tian Xie & Jun Yu & Qiankun Zhou, 2022, "Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks
  [Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 1, pages 160-186.
• Diaa Noureldin, 2022, "Volatility Prediction Using a Realized-Measure-Based Component Model
  [Modelling Volatility by Variance Decomposition]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 1, pages 76-104.
• Genaro Sucarrat & Steffen Grønneberg, 2022, "Risk Estimation with a Time-Varying Probability of Zero Returns
  [On the Coherence of Expected Shortfall]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 2, pages 278-309.
• Sebastian Bayer & Timo Dimitriadis, 2022, "Regression-Based Expected Shortfall Backtesting
  [Backtesting Expected Shortfall]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 3, pages 437-471.
• Rogier Quaedvlieg & Peter Schotman, 2022, "Hedging Long-Term Liabilities
  [Pricing the Term Structure with Linear Regressions]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 3, pages 505-538.
• Simona Boffelli & Jan Novotny & Giovanni Urga, 2022, "A Frequency-Specific Factorization to Identify Commonalities with an Application to the European Bond Markets
  [Systemic Risk and Stability in Financial Networks]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 4, pages 681-715.
• Arnaud Dufays & Elysee Aristide Houndetoungan & Alain Coën, 2022, "Selective Linear Segmentation for Detecting Relevant Parameter Changes
  [Risks and Portfolio Decisions Involving Hedge Funds]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 4, pages 762-805.
• Yannick Hoga, 2022, "Modeling Time-Varying Tail Dependence, with Application to Systemic Risk Forecasting," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 5, pages 1007-1037.
• Marcello Pericoli & Marco Taboga, 2022, "Nearly Exact Bayesian Estimation of Non-linear No-Arbitrage Term-Structure Models
  [Pricing the Term Structure with Linear Regressions]," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 5, pages 807-838.
• Matteo Deleidi, 2022, "Quantifying multipliers in Italy: does fiscal policy composition matter?
  [The macroeconomic effects of public investment: Evidence from advanced economies]," Oxford Economic Papers, Oxford University Press, volume 74, issue 2, pages 359-381.
• Jan Čapek & Jesús Crespo Cuaresma & Johannes Holler & Philip Schuster, 2022, "Fiscal multipliers in a small open economy: the case of Austria
  [The macroeconomic effects of fiscal policy in Portugal: a bayesian SVAR analysis]," Oxford Economic Papers, Oxford University Press, volume 74, issue 2, pages 412-430.
• Juan Angel Garcia & Aubrey Poon, 2022, "Inflation trends in Asia: implications for central banks
  [Are Phillips curves useful for forecasting inflation?]," Oxford Economic Papers, Oxford University Press, volume 74, issue 3, pages 671-700.
• Regis Barnichon & Davide Debortoli & Christian Matthes, 2022, "Understanding the Size of the Government Spending Multiplier: It’s in the Sign," The Review of Economic Studies, Review of Economic Studies Ltd, volume 89, issue 1, pages 87-117.
• Efrem Castelnuovo & Giovanni Pellegrino & Giacomo Ranzato, 2022, "Delayed Overshooting Puzzle: Does Systematic Monetary Policy Matter?," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0280, Jun.
• Daouda Lawa tan Toe & Salifou Ouedraogo, 2022, "Dynamic relationship between trading volume, returns and returns volatility: an empirical investigation on the main African’s stock markets," Journal of Asset Management, Palgrave Macmillan, volume 23, issue 5, pages 429-444, September, DOI: 10.1057/s41260-022-00274-0.
• Georgios Magkonis & Eun Young Oh & Shuonan Zhang, 2022, "On the Macroeconomic Effects of Shadow Banking Development," Working Papers in Economics & Finance, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group, number 2022-06, Jul.
• John W. Keating, 2022, "Implications of Endogenous Money Growth for Some Tests of Superneutrality and the Fisher Effect," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, volume 45, issue 89, pages 24-51.
• Junior A. Ojeda Cunya & Gabriel Rodríguez, 2022, "Time-Varying Effects of External Shocks on Macroeconomic Fluctuations in Peru: An Empirical Application using TVP-VAR- SV Models," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2022-507, DOI: 10.18800/2079-8474.0507.
• Gabriel Rodríguez & Renato Vassallo, 2022, "Time Evolution of External Shocks on Macroeconomic Fluctuations in Pacific Alliance Countries: Empirical Application using TVP-VAR-SV Models," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2022-508, DOI: 10.18800/2079-8474.0508.
• Gabriel Rodríguez & Paulo Chávez, 2022, "Time Changing Effects of External Shocks on Macroeconomic Fluctuations in Peru: Empirical Application Using Regime-Switching VAR Models with Stochastic Volatility," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2022-509, DOI: 10.18800/2079-8474.0509.
• Roberto Calero & Gabriel Rodríguez & Rodrigo Salcedo Cisneros, 2022, "Evolution of the Exchange Rate Pass-Throught into Prices in Peru: An Empirical Application Using TVP-VAR-SV Models," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2022-510, DOI: 10.18800/2079-8474.0510.
• Aysegul Corakci & Tolga Omay & Mübariz Hasanov, 2022, "Hysteresis and stochastic convergence in Eurozone unemployment rates: evidence from panel unit roots with smooth breaks and asymmetric dynamics," Oeconomia Copernicana, Institute of Economic Research, volume 13, issue 1, pages 11-55, March, DOI: 10.24136/oc.2022.001.
• Karsten Kohler & Engelbert Stockhammer, 2022, "Flexible exchange rates in emerging markets: shock absorbers or drivers of endogenous cycles?," Working Papers, Post Keynesian Economics Society (PKES), number PKWP2205, Feb.
• Xu, Jack, 2022, "Beyond Merton: Multi-Dimensional Balance Sheet in Default Modeling," MPRA Paper, University Library of Munich, Germany, number 112022, Feb.
• Van, Germinal, 2022, "An Empirical Analysis of the Socioeconomic Status of Blacks on Police Treatment and Arrests: A Granger Causality Approach," MPRA Paper, University Library of Munich, Germany, number 112214, Mar.
• Pedini, Luca & Severini, Sabrina, 2022, "Exploring the hedge, diversifier and safe haven properties of ESG investments: A cross-quantilogram analysis," MPRA Paper, University Library of Munich, Germany, number 112339.
• Natoli, Filippo, 2022, "Temperature surprise shocks," MPRA Paper, University Library of Munich, Germany, number 112568, Mar.
• Lehmann, Robert & Wikman, Ida, 2022, "Quarterly GDP Estimates for the German States," MPRA Paper, University Library of Munich, Germany, number 112642, Mar.
• del Barrio Castro, Tomás, 2022, "Testing for the cointegration rank between Periodically Integrated processes," MPRA Paper, University Library of Munich, Germany, number 112730, revised 2022.
• Li, Chenxing, 2022, "A multivariate GARCH model with an infinite hidden Markov mixture," MPRA Paper, University Library of Munich, Germany, number 112792, Mar.
• Duque Garcia, Carlos Alberto, 2022, "Ciclos económicos, inversión y rentabilidad del capital en Colombia: un análisis de series de tiempo
  [Economic cycles, investment and profits in Colombia: a time-series analysis]," MPRA Paper, University Library of Munich, Germany, number 113272, Jun.
• Fantazzini, Dean, 2022, "Crypto Coins and Credit Risk: Modelling and Forecasting their Probability of Death," MPRA Paper, University Library of Munich, Germany, number 113744.
• Zubarev, Andrey & Kirillova, Maria, 2022, "Оценивание Влияния Внешних Шоков На Российскую Экономику С Помощью Модели Gvar
  [Estimating the impact of external shocks on Russian economy: GVAR approach]," MPRA Paper, University Library of Munich, Germany, number 113762, May, revised 01 Jul 2022.
• Kuikeu, Oscar, 2022, "Etude empirique de l’impact des formes traditionnelles de protectionnisme : cas de l’économie camerounaise
  [Empirical study of Old form of protection: case of cameroonian economy]," MPRA Paper, University Library of Munich, Germany, number 113854, Jul.
• Bigerna, Simona & D'Errico, Maria Chiara & Polinori, Paolo & Simshauer, Paul, 2022, "Renewable energy and portfolio volatility spillover effects of GCC oil exporting countries," MPRA Paper, University Library of Munich, Germany, number 114164, Aug.
• Garratt, Anthony & Petrella, Ivan & Zhang, Yunyi, 2022, "Asymmetry and Interdependence when Evaluating U.S. Energy Information Agency Forecasts," MPRA Paper, University Library of Munich, Germany, number 114325, Aug.
• Tonni, Lorenzo, 2022, "Business cycle and factor income shares: a VAR sign restriction approach," MPRA Paper, University Library of Munich, Germany, number 114586, Sep.
• Stuermer, Martin, 2022, "Non-Renewable Resource Extraction over the Long Term: Empirical Evidence from Global Copper Production," MPRA Paper, University Library of Munich, Germany, number 114767, Sep.
• Hlongwane, Nyiko Worship & Daw, Olebogeng David, 2022, "Renewable electricity consumption and economic growth: A comparative study of South Africa and Zimbabwe," MPRA Paper, University Library of Munich, Germany, number 115154, Oct, revised 24 Oct 2022.
• Storti, Giuseppe & Wang, Chao, 2022, "A multivariate semi-parametric portfolio risk optimization and forecasting framework," MPRA Paper, University Library of Munich, Germany, number 115266, Aug.
• Yang, Zixiu & Fantazzini, Dean, 2022, "Using crypto assets pricing methods to build technical oscillators for short-term bitcoin trading," MPRA Paper, University Library of Munich, Germany, number 115508.
• Hoffmaister, Alexander W., 2022, "Two's not company: mis-aggregation and "supply-induced" unemployment increases," MPRA Paper, University Library of Munich, Germany, number 115513, Nov.
• Garratt, Anthony & Petrella, Ivan & Zhang, Yunyi, 2022, "Asymmetry and Interdependence when Evaluating U.S. Energy Information Administration Forecasts," MPRA Paper, University Library of Munich, Germany, number 115559, Aug.
• Yusifzada, Tural, 2022, "Response of Inflation to the Climate Stress: Evidence from Azerbaijan," MPRA Paper, University Library of Munich, Germany, number 116522, Apr, revised 20 Sep 2022.
• Fantazzini, Dean & Kurbatskii, Alexey & Mironenkov, Alexey & Lycheva, Maria, 2022, "Forecasting oil prices with penalized regressions, variance risk premia and Google data," MPRA Paper, University Library of Munich, Germany, number 118239.
• Sergey Ivashchenko & Semih Emre Cekin & Rangan Gupta & Chien-Chiang Lee, 2022, "Real-Time Forecast of DSGE Models with Time-Varying Volatility in GARCH Form," Working Papers, University of Pretoria, Department of Economics, number 202204, Jan.
• Afees A. Salisu & Rangan Gupta & Elie Bouri, 2022, "Testing the Forecasting Power of Global Economic Conditions for the Volatility of International REITs using a GARCH-MIDAS Approach," Working Papers, University of Pretoria, Department of Economics, number 202211, Feb.
• Juncal Cunado & David Gabauer & Rangan Gupta & Chien-Chiang Lee, 2022, "On the Propagation Mechanism of International Real Interest Rate Spillovers: Evidence from More than 200 Years of Data," Working Papers, University of Pretoria, Department of Economics, number 202212, Feb.
• Shixuan Wang & Rangan Gupta & Matteo Bonato & Oguzhan Cepni, 2022, "The Effects of Conventional and Unconventional Monetary Policy Shocks on US REITs Moments: Evidence from VARs with Functional Shocks," Working Papers, University of Pretoria, Department of Economics, number 202219, Apr.
• Imran Yousaf & Vasilios Plakandaras & Elie Bouri & Rangan Gupta, 2022, "Hedge and Safe Haven Properties of Gold, US Treasury, Bitcoin, and Dollar/CHF against the FAANA Companies and S&P 500," Working Papers, University of Pretoria, Department of Economics, number 202227, May.
• Petre Caraiani & Rangan Gupta & Jacobus Nel & Joshua Nielsen, 2022, "Monetary Policy and Bubbles in G7 Economies: Evidence from a Panel VAR Approach," Working Papers, University of Pretoria, Department of Economics, number 202230, Jun.
• Afees A. Salisu & Riza Demirer & Rangan Gupta, 2022, "Policy Uncertainty and Stock Market Volatility Revisited: The Predictive Role of Signal Quality," Working Papers, University of Pretoria, Department of Economics, number 202232, Jun.
• Xolani Sibande & Riza Demirer & Mehmet Balcilar & Rangan Gupta, 2022, "On the Pricing Effects of Bitcoin Mining in the Fossil Fuel Market: The Case of Coal," Working Papers, University of Pretoria, Department of Economics, number 202239, Sep.
• Elie Bouri & Rangan Gupta & Hardik A. Marfatia & Jacobus Nel, 2022, "Do Climate Risks Predict US Housing Returns and Volatility? Evidence from a Quantiles-Based Approach," Working Papers, University of Pretoria, Department of Economics, number 202240, Sep.
• Vasilios Plakandaras & Rangan Gupta & Sayar Karmakar & Mark E. Wohar, 2022, "Is Real Interest Rate a Monetary Phenomenon in Advanced Economies? Time-Varying Evidence from Over 700 Years of Data," Working Papers, University of Pretoria, Department of Economics, number 202245, Sep.
• Oguzhan Cepni & Rangan Gupta & Wenting Liao & Jun Ma, 2022, "Climate Risks and Forecastability of the Weekly State-Level Economic Conditions of the United States," Working Papers, University of Pretoria, Department of Economics, number 202251, Oct.
• Renee van Eyden & Rangan Gupta & Joshua Nielsen & Elie Bouri, 2022, "Investor Sentiment and Multi-Scale Positive and Negative Stock Market Bubbles in a Panel of G7 Countries," Working Papers, University of Pretoria, Department of Economics, number 202256, Nov.
• Jiawen Luo & Oguzhan Cepni & Riza Demirer & Rangan Gupta, 2022, "Forecasting Multivariate Volatilities with Exogenous Predictors: An Application to Industry Diversification Strategies," Working Papers, University of Pretoria, Department of Economics, number 202258, Dec.
• Laura Liu & Mikkel Plagborg-Møller, 2022, "Full-Information Estimation of Heterogeneous Agent Models Using Macro and Micro Data," Working Papers, Princeton University. Economics Department., number 2022-21, Jun.
• Emilia Gosińska & Aleksander Welfe, 2022, "The Cointegrated VAR Model with Deterministic Structural Breaks," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 14, issue 3, pages 335-350, September.
• Pongsak Luangaram & Nipit Wongpunya, 2022, "Exploring the Role of Exchange Rate in Inflation Targeting: Evidence from Thailand," PIER Discussion Papers, Puey Ungphakorn Institute for Economic Research, number 179, May.
• James McNeil & Gregor W. Smith, 2022, "The All-Gap Phillips Curve," Working Paper, Economics Department, Queen's University, number 1488, Jul.
• Haroon Mumtaz & Michele Piffer, 2022, "Impulse response estimation via fexible local projections," Working Papers, Queen Mary University of London, School of Economics and Finance, number 938, Apr.
• Matthew Read, 2022, "The Unit-effect Normalisation in Set-identified Structural Vector Autoregressions," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2022-04, Oct, DOI: 10.47688/rdp2022-04.
• Matthew Read, 2022, "Estimating the Effects of Monetary Policy in Australia Using Sign-restricted Structural Vector Autoregressions," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2022-09, Dec, DOI: 10.47688/rdp2022-09.
• Castillo, Teresa & Lahura, Erick, 2022, "Los Efectos de la Política Fiscal sobre la Actividad Económica en el Perú," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 40, pages 9-34.
• Pérez Forero, Fernando, 2022, "Exchange Rate Volatility in LATAM: Common and Idiosyncratic Factors," Working Papers, Banco Central de Reserva del Perú, number 2022-001, May.
• Chicama, Diego & Nivin, Rafael, 2022, "Evaluando el modelo Growth-at-Risk como herramienta para vigilar los riesgos macrofiancieros en la economía peruana," Working Papers, Banco Central de Reserva del Perú, number 2022-008, Oct.
• Thomas Lubik & Christian Matthes & Elmar Mertens, 2022, "Online Appendix to "Indeterminacy and Imperfect Information"," Online Appendices, Review of Economic Dynamics, number 20-377.
• Thomas Lubik & Christian Matthes & Elmar Mertens, 2022, "Code and data files for "Indeterminacy and Imperfect Information"," Computer Codes, Review of Economic Dynamics, number 20-377, revised .
• Kijin Kim & Soyoung Kim & Donghyun Lee & Cyn-Young Park, 2022, "Impacts of Social Distancing Policy and Vaccination During the COVID-19 Pandemic in the Republic of Korea," ADB Economics Working Paper Series, Asian Development Bank, number 658, May.
• Gan-Ochir Doojav, 2022, "Macroeconomic Effects of COVID-19 in a Commodity-Exporting Economy: Evidence from Mongolia," ADBI Working Papers, Asian Development Bank Institute, number 1337, Aug.
• Vyacheslav Manevich & Anatoly Peresetsky & Polina Pogorelova, 2022, "Stock market and cryptocurrency market volatility," Applied Econometrics, Russian Academy of National Economy and Public Administration (RANEPA), volume 65, pages 65-76.
• Andrei Zubarev & Maria Kirillova, 2022, "Modeling COVID-19 spread in the Russian Federation using global VAR approach," Applied Econometrics, Russian Academy of National Economy and Public Administration (RANEPA), volume 65, pages 117-138.
• Irina Kalabikhina & Zarina Kazbekova & German Klimenko & Anton Kolotusha, 2022, "Demographic regional rankings by media activity on maternal (family) capital," Applied Econometrics, Russian Academy of National Economy and Public Administration (RANEPA), volume 67, pages 46-73.
• Maria Lycheva & Alexey Mironenkov & Alexey Kurbatskii & Dean Fantazzini, 2022, "Forecasting oil prices with penalized regressions, variance risk premia and Google data," Applied Econometrics, Russian Academy of National Economy and Public Administration (RANEPA), volume 68, pages 28-49.
• Ahmet Kardaslar, 2022, "The Impact of Economic Growth, Energy Consumption and Globalization on Ecological Footprint: The Case of Turkey (Ekonomik Büyüme, Enerji Tüketimi ve Küreselleşme Sürecinin Ekolojik Ayak İzi Üzerindeki," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 13, issue 3, pages 385-401.
• Ahmet Kardaslar, 2022, "The Impact of Economic Growth, Energy Consumption and Globalization on Ecological Footprint: The Case of Turkey (Ekonomik Büyüme, Enerji Tüketimi ve Küreselleşme Sürecinin Ekolojik Ayak İzi Üzerindeki," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 13, issue 3, pages 385-401.
• Kilishi A. Abdulhakeem, 2022, "Modeling with Time Series: Issues and Common Errors," Working Papers, Department of Economics, University of Ilorin, number 24, Mar.
• Talknice Saungweme & Nicholas M. Odhiambo, 2022, "Does Public Debt Granger-Cause Inflation in Tanzania? A Multivariate Analysis," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 75, issue 1, pages 75-100.
• Camila Miriam Santander Quino, 2022, "Ciclos económicos y financieros: Una aproximación empírica para Bolivia," Documentos de trabajo, Instituto de Investigaciones Socio-Económicas (IISEC), Universidad Católica Boliviana, number 1/2022, Mar.
• Domingo Rodríguez Benavides & Owen Eli Ceballos Minare, 2022, "Clubes de convergencia regional en Colombia 2000-2016: un análisis flexible por departamentos," INVESTIGACIONES REGIONALES - Journal of REGIONAL RESEARCH, Asociación Española de Ciencia Regional, issue 53, pages 47-65.
• Domingo Rodríguez Benavides & Miguel Ángel Mendoza González & Nancy Ivonne Muller Durán, 2022, "Convergencia regional sigma débil en México: 1970-2019," INVESTIGACIONES REGIONALES - Journal of REGIONAL RESEARCH, Asociación Española de Ciencia Regional, issue 54, pages 29-49.
• Joseph Falzon & Elaine Bonnici, 2022, "Does it pay to be a faithful investor? A risk-based approach performance analysis of Islamic funds vs UCITS schemes," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), volume 29, pages 100-118.

2021

• Helmut Herwartz & Christian Ochsner & Hannes Rohloff, 2021, "The Credit Composition of Global Liquidity," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 202115.
• Yoonseok Lee & Donggyu Sul, 2021, "Depth-Weighted Forecast Combination: Application to COVID-19 Cases," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University, number 238, Feb.
• Botshekan, Mohammad Hashem & Takaloo, Amir & H. soureh, Reza & Abdollahi Poor, Mohammad Sadegh, 2021, "Global Economic Policy Uncertainty (GEPU) and Non-Performing Loans (NPL) in Iran's Banking System: Dynamic Correlation using the DCC-GARCH Approach," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 16, issue 2, pages 187-212, June.
• Zohor, Ahmad Kanishka & Ebad, Ebadullah & rashid, Nabila, 2021, "A Study on the Contribution of Foreign Direct Investment to Economic Growth in Afghanistan," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 16, issue 4, pages 555-568, December.
• Stilianos Fountas & Paraskevi Tzika, 2021, "Economic policy uncertainty spillovers in Europe before and after the Eurozone crisis," Discussion Paper Series, Department of Economics, University of Macedonia, number 2021_09, Jun, revised Jun 2021.
• Paraskevi Tzika & Theologos Pantelidis, 2021, "The contribution of Economic Policy Uncertainty to the persistence of shocks to stock market volatility," Discussion Paper Series, Department of Economics, University of Macedonia, number 2021_11, Sep, revised Sep 2021.
• Veronika Varvařovská & Michaela Staňková, 2021, "Does the Involvement of "Green Energy" Increase the Productivity of Companies in the Production of the Electricity Sector?," European Journal of Business Science and Technology, Mendel University in Brno, Faculty of Business and Economics, volume 7, issue 2, pages 152-164, DOI: 10.11118/ejobsat.2021.012.
• Balazs Vonnak, 2021, "Estimating the Effect of Monetary Policy with Dissenting Votes as Instrument," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2021/4.
• Hiroshi Morita & Hidekazu Niwa, 2021, "An Effect of Population Aging on the Effectiveness of Fiscal Policy: Analysis using a panel VAR model," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, volume 17, issue 3, pages 1-20, November.
• Giovanni Caggiano & Efrem Castelnuovo, 2021, "Global Uncertainty," Monash Economics Working Papers, Monash University, Department of Economics, number 2021-12, Oct.
• Jiti Gao & Bin Peng & Yayi Yan, 2021, "Parameter Stability Testing for Multivariate Dynamic Time-Varying Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 11/21.
• Yayi Yan & Jiti Gao & Bin Peng, 2021, "On Time-Varying VAR models: Estimation, Testing and Impulse Response Analysis," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 17/21.
• Yayi Yan & Jiti Gao & Bin Peng, 2021, "Asymptotics for Time-Varying Vector MA(∞) Processes," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 22/21.
• Andres Algaba & Samuel Borms & Kris Boudt & Brecht Verbeken, 2021, "Daily news sentiment and monthly surveys: A mixed–frequency dynamic factor model for nowcasting consumer confidence," Working Paper Research, National Bank of Belgium, number 396, Feb.
• Anna Sznajderska, 2021, "Should we recalculate the level of spillover effects if the alternative GDP measures for China are correct?," Bank i Kredyt, Narodowy Bank Polski, volume 52, issue 5, pages 437-456.
• Minsu Chang & Xiaohong Chen & Frank Schorfheide, 2021, "Heterogeneity and Aggregate Fluctuations," NBER Working Papers, National Bureau of Economic Research, Inc, number 28853, May.
• Christiane Baumeister & Danilo Leiva-León & Eric R. Sims, 2021, "Tracking Weekly State-Level Economic Conditions," NBER Working Papers, National Bureau of Economic Research, Inc, number 29003, Jul.
• Mikkel Plagborg-Møller & Christian K. Wolf, 2021, "Instrumental Variable Identification of Dynamic Variance Decompositions," NBER Working Papers, National Bureau of Economic Research, Inc, number 29044, Jul.
• Thorsten Drautzburg & Jonathan H. Wright, 2021, "Refining Set-Identification in VARs through Independence," NBER Working Papers, National Bureau of Economic Research, Inc, number 29316, Oct.
• Frank Schorfheide & Dongho Song, 2021, "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," NBER Working Papers, National Bureau of Economic Research, Inc, number 29535, Dec.
• Susana Campos-Martins & Cristina Amado, 2021, "Modelling Time-Varying Volatility Interactions," NIPE Working Papers, NIPE - Universidade do Minho, number 12/2021.
• Bhattacharya, Rudrani & Chowdhury, Sabarni, 2021, "How effective is e-NAM in integrating food commodity prices in India? Evidence from Onion Market," Working Papers, National Institute of Public Finance and Policy, number 21/336, Apr.
• Aleksandar Lagator, 2021, "Global development trends in payment card industry," Working Papers Bulletin, National Bank of Serbia, number 1, Sep.
• Darko Kovacevic, 2021, "Assessment of the Republic of Serbia's Systemic Risk and the Likelihood of a Systemic Crisis," Working Papers Bulletin, National Bank of Serbia, number 2, Sep.
• George Kapetanios & Fotis Papailias, 2021, "UK Economic Conditions during the Pandemic: Assessing the Economy using ONS Faster Indicators," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers (2017-2023 papers hosted by The National Institute of Economic and Social Research), Economic Statistics Centre of Excellence (ESCoE), number ESCoE DP-2021-10, Aug.
• Kanya Paramaguru, 2021, "A Comparison of Business Cycle Extraction Methods: Application to the UK," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers (2017-2023 papers hosted by The National Institute of Economic and Social Research), Economic Statistics Centre of Excellence (ESCoE), number ESCoE DP-2021-19, Dec.
• Pierre-Alain Pionnier & Johannes Schuffels, 2021, "Estimating regional house price levels: Methodology and results of a pilot project with Spain," OECD Statistics Working Papers, OECD Publishing, number 2021/03, Dec, DOI: 10.1787/b9fec1b2-en.
• Rachel R. Cheti & Bahati Ilembo, 2021, "Vector Autoregressive Approach After First Differencing: A Time Series Analysis Of Inflation And Its Determinants In Tanzania," Oradea Journal of Business and Economics, University of Oradea, Faculty of Economics, volume 6, issue 2, pages 43-56, September, DOI: http://doi.org/10.47535/1991ojbe128.
• Helmut Lütkepohl & Mika Meitz & Aleksei Netšunajev & Pentti Saikkonen, 2021, "Testing identification via heteroskedasticity in structural vector autoregressive models," The Econometrics Journal, Royal Economic Society, volume 24, issue 1, pages 1-22.
• Michael Cai & Marco Del Negro & Edward Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2021, "Online estimation of DSGE models," The Econometrics Journal, Royal Economic Society, volume 24, issue 1, pages 33-58.
• Katarina Juselius, 2021, "Disequilibrium macroeconometrics
  [The financial crisis and the systemic failure of the academics profession]," Industrial and Corporate Change, Oxford University Press and the Associazione ICC, volume 30, issue 2, pages 357-376.
• Stoyan V Stoyanov & Francesco A Fabozzi, 2021, "Dynamics of Equity Factor Returns and Asset Pricing
  [Dynamic Conditional Correlation: On Properties and Estimation]," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 1, pages 178-201.
• Bent Jesper Christensen & Rasmus Tangsgaard Varneskov, 2021, "Dynamic Global Currency Hedging
  [Arbitrage in the Foreign Exchange Market: Turning on the Microscope]," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 1, pages 97-127.
• Joel Hasbrouck, 2021, "Price Discovery in High Resolution," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 3, pages 395-430.
• Giuseppe Buccheri & Giacomo Bormetti & Fulvio Corsi & Fabrizio Lillo, 2021, "Comment on: Price Discovery in High Resolution," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 3, pages 439-451.
• Jeremias Bekierman & Bastian Gribisch, 2021, "A Mixed Frequency Stochastic Volatility Model for Intraday Stock Market Returns," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 3, pages 496-530.
• Maddalena Cavicchioli, 2021, "Fourth Moment Structure of Markov Switching Multivariate GARCH Models," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 4, pages 565-582.
• John M Maheu & Azam Shamsi Zamenjani, 2021, "Nonparametric Dynamic Conditional Beta," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 4, pages 583-613.
• Gustavo F. Dias & Marcelo Fernandes & Cristina M. Scherrer, 2021, "Price Discovery in a Continuous-Time Setting
  [Price Discovery and Common Factor Models]," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 5, pages 985-1008.
• Daniel J Lewis, 2021, "Identifying Shocks via Time-Varying Volatility," The Review of Economic Studies, Review of Economic Studies Ltd, volume 88, issue 6, pages 3086-3124.
• Irina Zviadadze, 2021, "Term Structure of Risk in Expected Returns
  [Stock returns and volatility: Pricing the short-run and long-run components of market risk]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 12, pages 6032-6086.
• Alina Barbulescu & Cristian Stefan Dumitriu, 2021, "Markov Switching Model for Financial Time Series," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 193-198, August.
• Alina Barbulescu & Cristian Stefan Dumitriu, 2021, "Artificial Intelligence Models for Financial Time Series," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 685-690, August.