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

2020

• Lütkepohl, Helmut, 2020, "Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity," Economics Letters, Elsevier, volume 195, issue C, DOI: 10.1016/j.econlet.2020.109458.
• Magnus, Jan R. & Sentana, Enrique, 2020, "Zero-diagonality as a linear structure," Economics Letters, Elsevier, volume 196, issue C, DOI: 10.1016/j.econlet.2020.109513.
• Chang, Seong Yeon, 2020, "A new test of asset return predictability with an unstable predictor," Economics Letters, Elsevier, volume 196, issue C, DOI: 10.1016/j.econlet.2020.109529.
• Cheng, Kai & Yang, Yang, 2020, "Revisiting the effects of monetary policy shocks: Evidence from SVAR with narrative sign restrictions," Economics Letters, Elsevier, volume 196, issue C, DOI: 10.1016/j.econlet.2020.109598.
• Karlsson, Sune & Österholm, Pär, 2020, "A hybrid time-varying parameter Bayesian VAR analysis of Okun’s law in the United States," Economics Letters, Elsevier, volume 197, issue C, DOI: 10.1016/j.econlet.2020.109622.
• Ruge-Murcia, Francisco, 2020, "Estimating nonlinear dynamic equilibrium models by matching impulse responses," Economics Letters, Elsevier, volume 197, issue C, DOI: 10.1016/j.econlet.2020.109624.
• Kim, Dukpa & Oka, Tatsushi & Estrada, Francisco & Perron, Pierre, 2020, "Inference related to common breaks in a multivariate system with joined segmented trends with applications to global and hemispheric temperatures," Journal of Econometrics, Elsevier, volume 214, issue 1, pages 130-152, DOI: 10.1016/j.jeconom.2019.05.008.
• Gadea Rivas, María Dolores & Gonzalo, Jesús, 2020, "Trends in distributional characteristics: Existence of global warming," Journal of Econometrics, Elsevier, volume 214, issue 1, pages 153-174, DOI: 10.1016/j.jeconom.2019.05.009.
• Bruns, Stephan B. & Csereklyei, Zsuzsanna & Stern, David I., 2020, "A multicointegration model of global climate change," Journal of Econometrics, Elsevier, volume 214, issue 1, pages 175-197, DOI: 10.1016/j.jeconom.2019.05.010.
• Holt, Matthew T. & Teräsvirta, Timo, 2020, "Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis," Journal of Econometrics, Elsevier, volume 214, issue 1, pages 198-215, DOI: 10.1016/j.jeconom.2019.05.011.
• Wagner, Martin & Grabarczyk, Peter & Hong, Seung Hyun, 2020, "Fully modified OLS estimation and inference for seemingly unrelated cointegrating polynomial regressions and the environmental Kuznets curve for carbon dioxide emissions," Journal of Econometrics, Elsevier, volume 214, issue 1, pages 216-255, DOI: 10.1016/j.jeconom.2019.05.012.
• Pretis, Felix, 2020, "Econometric modelling of climate systems: The equivalence of energy balance models and cointegrated vector autoregressions," Journal of Econometrics, Elsevier, volume 214, issue 1, pages 256-273, DOI: 10.1016/j.jeconom.2019.05.013.
• Li, Mengheng & Koopman, Siem Jan & Lit, Rutger & Petrova, Desislava, 2020, "Long-term forecasting of El Niño events via dynamic factor simulations," Journal of Econometrics, Elsevier, volume 214, issue 1, pages 46-66, DOI: 10.1016/j.jeconom.2019.05.004.
• Phillips, Peter C.B. & Leirvik, Thomas & Storelvmo, Trude, 2020, "Econometric estimates of Earth’s transient climate sensitivity," Journal of Econometrics, Elsevier, volume 214, issue 1, pages 6-32, DOI: 10.1016/j.jeconom.2019.05.002.
• She, Rui & Ling, Shiqing, 2020, "Inference in heavy-tailed vector error correction models," Journal of Econometrics, Elsevier, volume 214, issue 2, pages 433-450, DOI: 10.1016/j.jeconom.2019.03.008.
• Lu, Xiaohui & Zheng, Xu, 2020, "A goodness-of-fit test for copulas based on martingale transformation," Journal of Econometrics, Elsevier, volume 215, issue 1, pages 84-117, DOI: 10.1016/j.jeconom.2019.08.007.
• Akashi, Fumiya & Taniguchi, Masanobu & Monti, Anna Clara, 2020, "Robust causality test of infinite variance processes," Journal of Econometrics, Elsevier, volume 216, issue 1, pages 235-245, DOI: 10.1016/j.jeconom.2020.01.016.
• Alonso, Andrés M. & Galeano, Pedro & Peña, Daniel, 2020, "A robust procedure to build dynamic factor models with cluster structure," Journal of Econometrics, Elsevier, volume 216, issue 1, pages 35-52, DOI: 10.1016/j.jeconom.2020.01.004.
• Barigozzi, Matteo & Hallin, Marc, 2020, "Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals," Journal of Econometrics, Elsevier, volume 216, issue 1, pages 4-34, DOI: 10.1016/j.jeconom.2020.01.003.
• Bräuning, Falk & Koopman, Siem Jan, 2020, "The dynamic factor network model with an application to international trade," Journal of Econometrics, Elsevier, volume 216, issue 2, pages 494-515, DOI: 10.1016/j.jeconom.2019.10.007.
• Chambers, Marcus J., 2020, "Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data," Journal of Econometrics, Elsevier, volume 217, issue 1, pages 140-160, DOI: 10.1016/j.jeconom.2019.10.010.
• Han, Hyojin & Khrapov, Stanislav & Renault, Eric, 2020, "The leverage effect puzzle revisited: Identification in discrete time," Journal of Econometrics, Elsevier, volume 217, issue 2, pages 230-258, DOI: 10.1016/j.jeconom.2019.12.003.
• Bauwens, Luc & Otranto, Edoardo, 2020, "Nonlinearities and regimes in conditional correlations with different dynamics," Journal of Econometrics, Elsevier, volume 217, issue 2, pages 496-522, DOI: 10.1016/j.jeconom.2019.12.014.
• Martínez-Iriarte, Julián & Sun, Yixiao & Wang, Xuexin, 2020, "Asymptotic F tests under possibly weak identification," Journal of Econometrics, Elsevier, volume 218, issue 1, pages 140-177, DOI: 10.1016/j.jeconom.2019.10.011.
• Antoine, Bertille & Renault, Eric, 2020, "Testing identification strength," Journal of Econometrics, Elsevier, volume 218, issue 2, pages 271-293, DOI: 10.1016/j.jeconom.2020.04.017.
• Komunjer, Ivana & Zhu, Yinchu, 2020, "Likelihood ratio testing in linear state space models: An application to dynamic stochastic general equilibrium models," Journal of Econometrics, Elsevier, volume 218, issue 2, pages 561-586, DOI: 10.1016/j.jeconom.2020.04.029.
• Gungor, Sermin & Luger, Richard, 2020, "Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects," Journal of Econometrics, Elsevier, volume 218, issue 2, pages 750-770, DOI: 10.1016/j.jeconom.2020.04.037.
• Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2020, "Constructing joint confidence bands for impulse response functions of VAR models – A review," Econometrics and Statistics, Elsevier, volume 13, issue C, pages 69-83, DOI: 10.1016/j.ecosta.2018.10.002.
• Filippeli, Thomai & Harrison, Richard & Theodoridis, Konstantinos, 2020, "DSGE-based priors for BVARs and quasi-Bayesian DSGE estimation," Econometrics and Statistics, Elsevier, volume 16, issue C, pages 1-27, DOI: 10.1016/j.ecosta.2018.12.002.
• Haddad, Hedi Ben & Mezghani, Imed & Al Dohaiman, Mohammed, 2020, "Common shocks, common transmission mechanisms and time-varying connectedness among Dow Jones Islamic stock market indices and global risk factors," Economic Systems, Elsevier, volume 44, issue 2, DOI: 10.1016/j.ecosys.2020.100760.
• Amendola, Adalgiso & Di Serio, Mario & Fragetta, Matteo & Melina, Giovanni, 2020, "The euro-area government spending multiplier at the effective lower bound," European Economic Review, Elsevier, volume 127, issue C, DOI: 10.1016/j.euroecorev.2020.103480.
• Gambetti, Luca & Musso, Alberto, 2020, "The effects of the ECB’s expanded asset purchase programme," European Economic Review, Elsevier, volume 130, issue C, DOI: 10.1016/j.euroecorev.2020.103573.
• Gribisch, Bastian & Hartkopf, Jan Patrick & Liesenfeld, Roman, 2020, "Factor state–space models for high-dimensional realized covariance matrices of asset returns," Journal of Empirical Finance, Elsevier, volume 55, issue C, pages 1-20, DOI: 10.1016/j.jempfin.2019.08.003.
• Pacicco, Fausto & Vena, Luigi & Venegoni, Andrea, 2020, "Communication and financial supervision: How does disclosure affect market stability?," Journal of Empirical Finance, Elsevier, volume 57, issue C, pages 1-15, DOI: 10.1016/j.jempfin.2020.01.002.
• Ji, Jingru & Wang, Donghua & Xu, Dinghai & Xu, Chi, 2020, "Combining a self-exciting point process with the truncated generalized Pareto distribution: An extreme risk analysis under price limits," Journal of Empirical Finance, Elsevier, volume 57, issue C, pages 52-70, DOI: 10.1016/j.jempfin.2020.03.003.
• Fang, Tong & Lee, Tae-Hwy & Su, Zhi, 2020, "Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection," Journal of Empirical Finance, Elsevier, volume 58, issue C, pages 36-49, DOI: 10.1016/j.jempfin.2020.05.007.
• Hinderks, W.J. & Wagner, A., 2020, "Factor models in the German electricity market: Stylized facts, seasonality, and calibration," Energy Economics, Elsevier, volume 85, issue C, DOI: 10.1016/j.eneco.2019.03.024.
• Barbaglia, Luca & Croux, Christophe & Wilms, Ines, 2020, "Volatility spillovers in commodity markets: A large t-vector autoregressive approach," Energy Economics, Elsevier, volume 85, issue C, DOI: 10.1016/j.eneco.2019.104555.
• Tranberg, Bo & Hansen, Rasmus Thrane & Catania, Leopoldo, 2020, "Managing volumetric risk of long-term power purchase agreements," Energy Economics, Elsevier, volume 85, issue C, DOI: 10.1016/j.eneco.2019.104567.
• Urom, Christian & Chevallier, Julien & Zhu, Bangzhu, 2020, "A dynamic conditional regime-switching GARCH CAPM for energy and financial markets," Energy Economics, Elsevier, volume 85, issue C, DOI: 10.1016/j.eneco.2019.104577.
• Branger, Nicole & Flacke, René Marian & Gräber, Nikolai, 2020, "Monopoly power in the oil market and the macroeconomy," Energy Economics, Elsevier, volume 85, issue C, DOI: 10.1016/j.eneco.2019.104597.
• Kocaarslan, Baris & Soytas, Mehmet Ali & Soytas, Ugur, 2020, "The asymmetric impact of oil prices, interest rates and oil price uncertainty on unemployment in the US," Energy Economics, Elsevier, volume 86, issue C, DOI: 10.1016/j.eneco.2019.104625.
• Raghavan, Mala, 2020, "An analysis of the global oil market using SVARMA models," Energy Economics, Elsevier, volume 86, issue C, DOI: 10.1016/j.eneco.2019.104633.
• Chen, Jinyu & Zhu, Xuehong & Li, Hailing, 2020, "The pass-through effects of oil price shocks on China's inflation: A time-varying analysis," Energy Economics, Elsevier, volume 86, issue C, DOI: 10.1016/j.eneco.2020.104695.
• Abdel-Latif, Hany & El-Gamal, Mahmoud, 2020, "Financial liquidity, geopolitics, and oil prices," Energy Economics, Elsevier, volume 87, issue C, DOI: 10.1016/j.eneco.2019.104482.
• Rubaszek, Michał & Uddin, Gazi Salah, 2020, "The role of underground storage in the dynamics of the US natural gas market: A threshold model analysis," Energy Economics, Elsevier, volume 87, issue C, DOI: 10.1016/j.eneco.2020.104713.
• Durmaz, Tunç & Pommeret, Aude & Tastan, Hüseyin, 2020, "Estimation of residential electricity demand in Hong Kong under electricity charge subsidies," Energy Economics, Elsevier, volume 88, issue C, DOI: 10.1016/j.eneco.2020.104742.
• Bragoudakis, Zacharias & Degiannakis, Stavros & Filis, George, 2020, "Oil and pump prices: Testing their asymmetric relationship in a robust way," Energy Economics, Elsevier, volume 88, issue C, DOI: 10.1016/j.eneco.2020.104755.
• Marchese, Malvina & Kyriakou, Ioannis & Tamvakis, Michael & Di Iorio, Francesca, 2020, "Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models," Energy Economics, Elsevier, volume 88, issue C, DOI: 10.1016/j.eneco.2020.104757.
• Nazlioglu, Saban & Gupta, Rangan & Gormus, Alper & Soytas, Ugur, 2020, "Price and volatility linkages between international REITs and oil markets," Energy Economics, Elsevier, volume 88, issue C, DOI: 10.1016/j.eneco.2020.104779.
• Baba, Amina & Creti, Anna & Massol, Olivier, 2020, "What can be learned from the free destination option in the LNG imbroglio?," Energy Economics, Elsevier, volume 89, issue C, DOI: 10.1016/j.eneco.2020.104764.
• Bonato, Matteo & Gupta, Rangan & Lau, Chi Keung Marco & Wang, Shixuan, 2020, "Moments-based spillovers across gold and oil markets," Energy Economics, Elsevier, volume 89, issue C, DOI: 10.1016/j.eneco.2020.104799.
• Han, Lin & Kordzakhia, Nino & Trück, Stefan, 2020, "Volatility spillovers in Australian electricity markets," Energy Economics, Elsevier, volume 90, issue C, DOI: 10.1016/j.eneco.2020.104782.
• Apergis, Nicholas & Gozgor, Giray & Lau, Chi Keung Marco & Wang, Shixuan, 2020, "Dependence structure in the Australian electricity markets: New evidence from regular vine copulae," Energy Economics, Elsevier, volume 90, issue C, DOI: 10.1016/j.eneco.2020.104834.
• Antonakakis, Nikolaos & Cunado, Juncal & Filis, George & Gabauer, David & de Gracia, Fernando Perez, 2020, "Oil and asset classes implied volatilities: Investment strategies and hedging effectiveness," Energy Economics, Elsevier, volume 91, issue C, DOI: 10.1016/j.eneco.2020.104762.
• Boako, Gideon & Alagidede, Imhotep Paul & Sjo, Bo & Uddin, Gazi Salah, 2020, "Commodities price cycles and their interdependence with equity markets," Energy Economics, Elsevier, volume 91, issue C, DOI: 10.1016/j.eneco.2020.104884.
• Koirala, Niraj Prasad & Ma, Xiaohan, 2020, "Oil price uncertainty and U.S. employment growth," Energy Economics, Elsevier, volume 91, issue C, DOI: 10.1016/j.eneco.2020.104910.
• Hassan, Kamrul & Hoque, Ariful & Wali, Muammer & Gasbarro, Dominic, 2020, "Islamic stocks, conventional stocks, and crude oil: Directional volatility spillover analysis in BRICS," Energy Economics, Elsevier, volume 92, issue C, DOI: 10.1016/j.eneco.2020.104985.
• Su, Chi-Wei & Qin, Meng & Tao, Ran & Moldovan, Nicoleta-Claudia & Lobonţ, Oana-Ramona, 2020, "Factors driving oil price —— from the perspective of United States," Energy, Elsevier, volume 197, issue C, DOI: 10.1016/j.energy.2020.117219.
• Su, Chi-Wei & Qin, Meng & Tao, Ran & Umar, Muhammad, 2020, "Does oil price really matter for the wage arrears in Russia?," Energy, Elsevier, volume 208, issue C, DOI: 10.1016/j.energy.2020.118350.
• Escobari, Diego & Sharma, Shahil, 2020, "Explaining the nonlinear response of stock markets to oil price shocks," Energy, Elsevier, volume 213, issue C, DOI: 10.1016/j.energy.2020.118778.
• Dong Jin Lee & Tae-Hwan Kim & Paul Mizen, 2020, "Impulse response analysis in conditional quantile models with an application to monetary policy," Discussion Papers, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM), number 2020/08.
• Bruno Alves Moura & Gisele Ferreira Tiryaki & Diego Nunes Teixeira, 2020, "Fragilidade fiscal e os ciclos econômicos no Brasil pós-Plano Real: evidências de um modelo de fator dinâmico associado à análise VAR [Fiscal fragility and business cycles in Brazil after the Real Pla," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), volume 30, issue 2, pages 517-549, May-Augus.
• Fernanda Cimini & Jorge Britto & Leonardo Costa Ribeiro, 2020, "Complexity systems and middle-income trap: the long-term roots of Latin America underdevelopment [Sistemas complexos e armadilha da renda media: as raízes de longo prazo do subdesenvolvimento latino-a," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), volume 30, issue spe, pages 1225-1256, December.
• Magazzino, Cosimo & Schneider, Nicolas, 2020, "The Causal Relationship between Primary Energy Consumption and Economic Growth in Israel: A Multivariate Approach," International Review of Environmental and Resource Economics, now publishers, volume 14, issue 4, pages 417-491, December, DOI: 10.1561/101.00000121.
• Ghoshal, S. & Bengtzen, M. & Roberts, S., 2020, "Short Memories? The Impact of SEC Enforcement on Insider Leakage," Journal of Law, Finance, and Accounting, now publishers, volume 5, issue 2, pages 273-305, September, DOI: 10.1561/108.00000048.
• Mohanty, Ranjan Kumar & Bhanumurthy, N.R., 2020, "Revisiting the Role of Fiscal Policy in Determining Interest Rates in India," Working Papers, National Institute of Public Finance and Policy, number 20/296, Feb.
• Honey Karun & Hrishikesh Vinod & Chakraborty, Lekha S., 2020, "Did public investment crowd out private investment in India?," Working Papers, National Institute of Public Finance and Policy, number 20/312, Jul.
• Bhattacharya, Rudrani & Kapoor, Mrigankshi, 2020, "Forecasting Consumer Price Index Inflation in India: Vector Error Correction Mechanism Vs. Dynamic Factor Model Approach for Non-Stationary Time Series," Working Papers, National Institute of Public Finance and Policy, number 20/323, Oct.
• Deborah Gefang & Gary Koop & Aubrey Poon, 2020, "Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE), number ESCoE DP-2020-07, May.
• Andrew C. Harvey, 2020, "Time series models for epidemics: leading indicators, control groups and policy assessment," National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research, number 517, Oct.
• Paula Adamczyk & Ben Westmore, 2020, "Unpicking Portugal’s export performance: A microdata analysis," OECD Economics Department Working Papers, OECD Publishing, number 1618, Sep, DOI: 10.1787/71df6aa3-en.
• Rafal Zukowski, 2020, "Time Series Decomposition As A Method Of Measuring Capital Markets Convergence," OLSZTYN ECONOMIC JOURNAL, University of Warmia and Mazury in Olsztyn, Faculty of Economic Sciences, volume 15, issue 2, pages 155-164, August, DOI: https://doi.org/10.31648/oej.5838.
• Simona Roxana Patarlageanu & Marius Constantin & Mihai Dinu, 2020, "Considerations Regarding The Horeca Industry In Bihor County. An Econometric Approach," Oradea Journal of Business and Economics, University of Oradea, Faculty of Economics, volume 5, issue 1, pages 7-17, March.
• Ai Jun Hou & Weining Wang & Cathy Y H Chen & Wolfgang Karl Härdle, 2020, "Pricing Cryptocurrency Options," Journal of Financial Econometrics, Oxford University Press, volume 18, issue 2, pages 250-279.
• Richard Ashley & Kwok Ping Tsang & Randal Verbrugge, 2020, "A new look at historical monetary policy (and the great inflation) through the lens of a persistence-dependent policy rule," Oxford Economic Papers, Oxford University Press, volume 72, issue 3, pages 672-691.
• Regis Barnichon & Geert Mesters, 2020, "Identifying Modern Macro Equations with Old Shocks," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 135, issue 4, pages 2255-2298.
• Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2020, "Identification and Estimation in Non-Fundamental Structural VARMA Models," The Review of Economic Studies, Review of Economic Studies Ltd, volume 87, issue 4, pages 1915-1953.
• Massimiliano Caporin & Zahra Mohammadi Nikpour & Paola Valbonesi, 2020, "Oil Price Uncertainty and Conflicts: Evidence from the Middle East and North Africa," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0250, Mar.
• Giovanni Caggiano & Efrem Castelnuovo & Silvia Delrio & Richard Kima, 2020, "Financial Uncertainty and Real Activity: The Good, the Bad, and the Ugly," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0255, Jun.
• Giovanni Caggiano & Efrem Castelnuovo & Richard Kima, 2020, "The global effects of Covid-19-induced uncertainty," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0256, Jun.
• Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2020, "Uncertainty and monetary policy in good and bad times: A replication of the VAR investigation by Bloom (2009)," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0261, Aug.
• Harris Ntantanis & Lawrence Pohlman, 2020, "Market implied GDP," Journal of Asset Management, Palgrave Macmillan, volume 21, issue 7, pages 636-646, December, DOI: 10.1057/s41260-020-00176-z.
• Andrés Berenguer & Luis Gandarias & Álvaro Arévalo, 2020, "Singular spectrum analysis for modelling the hard-to-model risk factors," Risk Management, Palgrave Macmillan, volume 22, issue 3, pages 178-191, September, DOI: 10.1057/s41283-020-00060-5.
• Daniel Felix Ahelegbey & Paolo Giudici & Shatha Qamhieh Hashem, 2020, "Network VAR models to Measure Financial Contagion," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 178, Jan.
• Arianna Agosto & Daniel Felix Ahelegbey, 2020, "Default count-based network models for credit contagion," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 180, Feb.
• Daniel Felix Ahelegbey & Emmanuel Senyo Fianu & Luigi Grossi, 2020, "Modeling Risk Contagion in the Italian Zonal Electricity Market," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 182, Feb.
• Paolo Giudici & Thomas Leach & Paolo Pagnottoni, 2020, "Libra or Librae? Basket based stablecoins to mitigate foreign exchange volatility spillovers," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 183, Feb.
• Daniel Felix Ahelegbey & Oyakhilome Wallace Ibhagui, 2020, "Interconnected Deviations from Covered Interest Parity," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 191, Sep.
• Shuonan Zhang, 2020, "State-owned enterprises and entrusted lending: A DSGE analysis for growth and business cycles in China," Working Papers in Economics & Finance, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group, number 2020-01, Jan.
• Ioannis Chatziantoniou & David Gabauer & Hardik A. Marfatia, 2020, "Dynamic Connectedness And Spillovers Across Sectors: Evidence From The Indian Stock Market," Working Papers in Economics & Finance, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group, number 2020-04, Jan.
• Jhonatan Portilla Goicochea & Gabriel Rodríguez, 2020, "Evolution of Monetary Policy in Peru: An Empirical Application using a Mixture Innovation TVP-VAR-SV Model," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2020-485, DOI: 10.18800/2079-8474.0485.
• Álvaro Jiménez & Gabriel Rodríguez, 2020, "Time-Varying Impact of Fiscal Shocks over GDP Growth in Peru: An Empirical Application using Hybrid TVP-VAR-SV Models," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2020-489, DOI: 10.18800/2079-8474.0489.
• Xu Cheng & Winston Wei Dou & Zhipeng Liao, 2020, "Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 20-019, May.
• Roberto S. Mariano & Suleyman Ozmucur, 2020, "Predictive Performance of Mixed-Frequency Nowcasting and Forecasting Models (with Application to Philippine Inflation and GDP Growth)Abstract: We study how the separation of time and risk preferences relates to a behavioral property that generalizes ," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 20-029, Aug.
• Frank Schorfheide & Dongho Song, 2020, "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 20-039, Jul.
• Muhammad Mohsin & Li Naiwen & Muhammad Zia-UR-Rehman & Sobia Naseem & Sajjad Ahmad Baig, 2020, "The volatility of bank stock prices and macroeconomic fundamentals in the Pakistani context: an application of GARCH and EGARCH models," Oeconomia Copernicana, Institute of Economic Research, volume 11, issue 4, pages 609-636, December, DOI: 10.24136/oc.2020.025.
• Margarita Debuque-Gonzales, 2020, "Policy responses to shocks and monetary effectiveness under inflation targeting: The Philippine case," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, volume 57, issue 2, pages 116-145, December.
• Gulzar Khan & Ather Maqsood Ahmed, 2020, "Understanding Business Cycle Fluctuations in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 59, issue 1, pages 1-28.
• Mushtaq Hussain Khan & Junaid Ahmed & Mazhar Mughal, 2020, "Oil Price Volatility and Stock Returns: Evidence from Three Oil-price Wars," PIDE-Working Papers, Pakistan Institute of Development Economics, number 2020:22.
• Filippo Gusella & Engelbert Stockhammer, 2020, "Testing fundamentalist-momentum trader financial cycles. An empirical analysis via the Kalman filter," Working Papers, Post Keynesian Economics Society (PKES), number PKWP2009, Mar.
• PINSHI, Christian P., 2020, "Uncertainty, monetary policy and COVID-19," MPRA Paper, University Library of Munich, Germany, number 100147.
• PINSHI, Christian P., 2020, "COVID-19 uncertainty and monetary policy," MPRA Paper, University Library of Munich, Germany, number 100184, May.
• Lopez Buenache, German & Borsi, Mihály Tamás & Rosa-García, Alfonso, 2020, "Credit cycles and labor market slacks: predictive evidence from Markov-switching models," MPRA Paper, University Library of Munich, Germany, number 100362, May.
• Quaas, Georg, 2020, "The reproduction number and its measurement. A critique of the Robert Koch Institute," MPRA Paper, University Library of Munich, Germany, number 100780, May.
• Arigoni, Filippo & Lenarčič, Črt, 2020, "The impact of trade policy uncertainty shocks on the Euro Area," MPRA Paper, University Library of Munich, Germany, number 100832, Jun.
• Pinshi, Christian P., 2020, "Monetary policy, uncertainty and COVID-19," MPRA Paper, University Library of Munich, Germany, number 100836, Jun, revised 27 May 2020.
• Delis, Manthos & Savva, Christos & Theodossiou, Panayiotis, 2020, "A Coronavirus Asset Pricing Model: The Role of Skewness," MPRA Paper, University Library of Munich, Germany, number 100877, Jun.
• Quaas, Georg, 2020, "The reproduction number and its measurement. A critique of the Robert Koch Institute. Revised," MPRA Paper, University Library of Munich, Germany, number 101026, May, revised 10 Jun 2020.
• PINSHI, Christian P. & KABEYA, Anselme M., 2020, "Financial development and Economic growth in the Democratic Republic of the Congo : Supply leading or Demand following?," MPRA Paper, University Library of Munich, Germany, number 101459, Jun.
• MALATA, Alain K. & PINSHI, Christian P., 2020, "Fading the effects of coronavirus with monetary policy," MPRA Paper, University Library of Munich, Germany, number 101526, May, revised Jun 2020.
• PINSHI, Christian P., 2020, "Arithmétique du Pass-through de la COVID 19 sur le Système financier Congolais
  [COVID-19 Pass-through Arithmetic on the Congolese Financial System]," MPRA Paper, University Library of Munich, Germany, number 101783, Jul.
• PINSHI, Christian P., 2020, "On the causal nature between financial development and economic growth in the Democratic Republic of the Congo: Is it supply leading or demand following?," MPRA Paper, University Library of Munich, Germany, number 101837, Jul, revised 14 Jul 2020.
• Bhandari, Avishek, 2020, "Long Memory and Correlation Structures of Select Stock Returns Using Novel Wavelet and Fractal Connectivity Networks," MPRA Paper, University Library of Munich, Germany, number 101946, Jun.
• Fantazzini, Dean, 2020, "Short-term forecasting of the COVID-19 pandemic using Google Trends data: Evidence from 158 countries," MPRA Paper, University Library of Munich, Germany, number 102315, Aug.
• Fantazzini, Dean, 2020, "Discussing copulas with Sergey Aivazian: a memoir," MPRA Paper, University Library of Munich, Germany, number 102317, Aug.
• Okpara, Godwin Chigozie, 2020, "News on Stock Market Returns and Conditional Volatility in Nigeria: An EGARCH-in-Mean Approach," MPRA Paper, University Library of Munich, Germany, number 102381, Aug, revised 12 Aug 2020.
• Aslam, Faheem & Aziz, Saqib & Nguyen, Duc Khuong & Mughal, Khurram S. & Khan, Maaz, 2020, "On the Efficiency of Foreign Exchange Markets in times of the COVID-19 Pandemic," MPRA Paper, University Library of Munich, Germany, number 102458, May, revised Jul 2020.
• García-Albán, Freddy & Gonzalez-Astudillo, Manuel & Vera-Albán, Cristhian, 2020, "Good Luck or Good Policy? An Analysis of the Effects of Oil Revenue and Fiscal Policy Shocks: The Case of Ecuador," MPRA Paper, University Library of Munich, Germany, number 102592, Aug.
• Avellán, Guillermo & González-Astudillo, Manuel & Salcedo, Juan José, 2020, "A Streamlined Procedure to Construct a Macroeconomic Uncertainty Index with an Application to the Ecuadorian Economy," MPRA Paper, University Library of Munich, Germany, number 102593, Aug.
• del Barrio Castro, Tomás & Cubada, Ginaluca & Osborn, Denise R., 2020, "On cointegration for processes integrated at different frequencies," MPRA Paper, University Library of Munich, Germany, number 102611, Aug.
• PINSHI, Christian P., 2020, "Rethinking Error Correction Model in Macroeconometric Analysis: A Relevant Review," MPRA Paper, University Library of Munich, Germany, number 102644.
• Degiannakis, Stavros & Floros, Christos & Salvador, Enrique & Vougas, Dimitrios, 2020, "On the Stationarity of Futures Hedge Ratios," MPRA Paper, University Library of Munich, Germany, number 102907, Aug.
• Kuikeu, Oscar, 2020, "Intérêt de la diligence: appréhension de l’impact économique de la Covid-19 au Cameroun sous le prisme de la santé Reproductive. Une approche par la Modélisation VAR
  [Interest of civism: economic impact of Covid-19 in Cameroon under the framework ," MPRA Paper, University Library of Munich, Germany, number 102943, Sep.
• Kuikeu, Oscar, 2020, "La Covid-19 à l’épreuve des faits: quel est donc l’impact économique attendu au Cameroun? Une approche par la Modélisation VAR
  [The factsheets of the Covid-19: what is the real economic impact in Cameroon? An assessment with the VAR Methodology]," MPRA Paper, University Library of Munich, Germany, number 103127, Sep.
• Fokin, Nikita & Haritonova, Marina, 2020, "Сравнительный Анализ Прогнозных Моделей Российского Ввп В Условиях Наличия Структурных Сдвигов
  [Comparative analysis of the forecasting models for Russia’s GDP under the structural breaks]," MPRA Paper, University Library of Munich, Germany, number 103412.
• Saccal, Alessandro, 2020, "A note on minimality in Dynare," MPRA Paper, University Library of Munich, Germany, number 103656, Oct.
• Umer, Shahzad & Buhari, Dogan & Avik, Sinha & Zeeshan, Fareed, 2020, "Does Export product diversification help to reduce energy demand: Exploring the contextual evidences from the newly industrialized countries," MPRA Paper, University Library of Munich, Germany, number 103718, revised 2020.
• Fantazzini, Dean & Kolodin, Nikita, 2020, "Does the hashrate affect the bitcoin price?," MPRA Paper, University Library of Munich, Germany, number 103812.
• Saccal, Alessandro, 2020, "A note on gensys’ minimality," MPRA Paper, University Library of Munich, Germany, number 103818, Oct.
• Kuikeu, Oscar, 2020, "Essai sur la stabilité monétaire: la Cyclicité et la contra cyclicité de l’activité productive comme critères de cette stabilité. Cas de la Communauté économique et Monétaire de l’Afrique centrale (CEMAC)
  [Essay on monetary stability: the cyclicit," MPRA Paper, University Library of Munich, Germany, number 104006, Nov.
• Yadav, Jayant, 2020, "Flight to Safety in Business cycles," MPRA Paper, University Library of Munich, Germany, number 104093, Oct.
• Kuikeu, Oscar, 2020, "La Coopération internationale à l’épreuve des faits : sur quelle base légiférer ? enseignements des relations de parité monétaire. Le cas de la Communauté économique et Monétaire d’Afrique centrale (CEMAC)
  [International cooperation in the facts: ," MPRA Paper, University Library of Munich, Germany, number 104320, Nov.
• Arigoni, Filippo & Breznikar, Miha & Lenarčič, Črt & Maletič, Matjaž, 2020, "Impact of fiscal measures in response to the COVID-19 pandemic on small-open economies: lessons from Slovenia," MPRA Paper, University Library of Munich, Germany, number 104474, Dec.
• Chuluunbayar, Delgerjargal, 2020, "Asymmetric transmission and effects of resource shocks: Case of Mongolia," MPRA Paper, University Library of Munich, Germany, number 104641, Oct.
• Mora Barrenechea, Mauricio, 2020, "Time-varying effects of commodities prices in the Bolivian economy," MPRA Paper, University Library of Munich, Germany, number 104706, Dec.
• Kuikeu, Oscar, 2020, "Age d’entrée dans le Mariage : enseignements tirés des Modèles de Durée. Le cas des économies de la Communauté économique et Monétaire d’Afrique centrale (CEMAC)
  [Date of entry into civil Union: lessons from duration Models. The case of Common Sta," MPRA Paper, University Library of Munich, Germany, number 104752, Dec.
• Li, Chenxing & Maheu, John M, 2020, "A Multivariate GARCH-Jump Mixture Model," MPRA Paper, University Library of Munich, Germany, number 104770, Dec.
• Murhula, Pacifique, 2020, "Tendance de l'inflation sous-jacente en RDC: une modélisation à partir de l'approche VAR structurelle
  [Trend of Core inflation in DRCongo: a model based on the Structural VAR approach]," MPRA Paper, University Library of Munich, Germany, number 105005, Dec, revised 08 Jan 2021.
• Pincheira, Pablo & Jarsun, Nabil, 2020, "Summary of the Paper Entitled: Forecasting Fuel Prices with the Chilean Exchange Rate," MPRA Paper, University Library of Munich, Germany, number 105056, Dec.
• Lomonosov, Daniil & Polbin, Andrey & Fokin, Nikita, 2020, "Влияние Шоков Мировой Деловой Активности, Предложения Нефти И Спекулятивных Нефтяных Шоков На Экономику Рф
  [The impact of global economic activity, oil supply and speculative oil shocks on the Russian economy]," MPRA Paper, University Library of Munich, Germany, number 106019, Feb.
• Pennoni, Fulvia & Bartolucci, Francesco & Forte, Gianfranco & Ametrano, Ferdinando, 2020, "Exploring the dependencies among main cryptocurrency log-returns: A hidden Markov model," MPRA Paper, University Library of Munich, Germany, number 106150.
• Känzig, Diego Raoul, 2020, "The macroeconomic effects of oil supply news: Evidence from OPEC announcements," MPRA Paper, University Library of Munich, Germany, number 106249, Nov.
• Metodieva, Tsvetana Harizanova & Bartos, Hristina Harizanova, 2020, "Relation between emitted CO2, asset expenditures, produced energy from renewables and energy consumption. Evidence from Bulgaria," MPRA Paper, University Library of Munich, Germany, number 106348, Nov.
• Uduji, Joseph & Okolo-Obasi, Elda & Asongu, Simplice, 2020, "Oil Extraction in Nigeria’s Ogoniland: the Role of Corporate Social Responsibility in Averting a Resurgence of Violence," MPRA Paper, University Library of Munich, Germany, number 107514, Jan.
• MALATA, Alain K. & PINSHI, Christian P., 2020, "Système financier et COVID-19 : Un examen de l’impact en RDC
  [Financial system and COVID-19: A review of the impact in the DRC]," MPRA Paper, University Library of Munich, Germany, number 107772, Oct.
• PINSHI, Christian P. & MALATA, Alain, 2020, "Canal d’incertitude de la COVID-19 : Quelles stratégies et tactiques pour la politique monétaire ?
  [COVID-19 Uncertainty Channel: What Strategies and Tactics for Monetary Policy?]," MPRA Paper, University Library of Munich, Germany, number 109313, Sep.
• Jabbie, Mohamed & Jackson, Emerson Abraham, 2020, "On the Validity of Purchasing Power Parity (PPP): The Case of Sierra Leone," MPRA Paper, University Library of Munich, Germany, number 110659, Jan, revised 05 Jun 2020.
• Ben Youssef, Slim, 2020, "The relationships between renewable energy, net energy imports, arms exports, and military expenditures in the USA," MPRA Paper, University Library of Munich, Germany, number 110959, Nov.
• Cuesta, Lizeth, 2020, "Efecto del crecimiento demográfico en la deuda externa. Estudio para países sudamericanos usando un análisis de cointegración
  [Effect of population growth on external debt. Study for South American countries using a cointegration analysis]," MPRA Paper, University Library of Munich, Germany, number 111041, Aug, revised 11 Apr 2021.
• Urom, christian & Guesmi, Khaled & abid, ilyes & Dagher, Leila, 2020, "Dynamic integration and transmission channels among interest rates and oil price shocks," MPRA Paper, University Library of Munich, Germany, number 116082.
• Pinshi, Christian, 2020, "Rethinking error correction model in macroeconometric analysis : A relevant review," MPRA Paper, University Library of Munich, Germany, number 98202, Jan.
• Neifar, Malika, 2020, "Cyclical Output, Cyclical Unemployment, and augmented Okun's Law in MENA zone," MPRA Paper, University Library of Munich, Germany, number 98953, Mar.
• NEIFAR, MALIKA & HarzAllah, AMIRA, 2020, "Can Canadian Stock market provide complete hedge against Inflation ?," MPRA Paper, University Library of Munich, Germany, number 99093, Mar.
• Kuikeu, Oscar, 2020, "Convergence des politiques fiscales de la CEMAC: une application des tests de la racine unitaire en données de panel
  [Fiscal policies Convergence in CEMAC: an application of panel data unit root tests]," MPRA Paper, University Library of Munich, Germany, number 99216, Mar.
• Kuikeu, Oscar, 2020, "Le Protectionnisme: analyse économétrique. Le cas de la Communauté économique et Monétaire de l’Afrique centrale (CEMAC)
  [The Protectionism: econometic analysis. The case of CEMAC]," MPRA Paper, University Library of Munich, Germany, number 99295, Mar.
• Gluschenko, Konstantin, 2020, "Nonlinear Models of Convergence," MPRA Paper, University Library of Munich, Germany, number 99316, Mar.
• Polbin, Andrey, 2020, "Multivariate Unobserved Component Model for an Oil-exporting Economy: The Case of Russia," MPRA Paper, University Library of Munich, Germany, number 99381, Mar.
• Gabriel, Ricardo Duque & Pessoa, Ana Sofia, 2020, "Adopting the Euro: a synthetic control approach," MPRA Paper, University Library of Munich, Germany, number 99391, Mar.
• Mariolis, Theodore & Veltsistas, Panagiotis, 2020, "Γιορτάζοντας τα 60 χρόνια των Θεωριών του Rudolf E. Kálmán και του Piero Sraffa: Τα Συστήματα Τιμών του Πραγματικού Κόσμου είναι Σχεδόν Μη-Ελέγξιμα
  [Celebrating 60 Years of Rudolf E. Kálmán’s and Piero Sraffa’s Theories: Real-World Price Systems a," MPRA Paper, University Library of Munich, Germany, number 99648, Apr.
• Bhandari, Avishek, 2020, "Long memory and fractality among global equity markets: A multivariate wavelet approach," MPRA Paper, University Library of Munich, Germany, number 99653, Apr.
• Neifar, Malika, 2020, "Multivariate GARCH Approaches: case of major sectorial Tunisian stock markets," MPRA Paper, University Library of Munich, Germany, number 99658, Apr.
• Kuikeu, Oscar, 2020, "L’impact économique du COVID-19 au Cameroun: une approche par la Modélisation VAR
  [Economic impact of COVID-19 in Cameroon: an empirical assessment with the VAR Methodology]," MPRA Paper, University Library of Munich, Germany, number 99727, Apr.
• Oguzhan Cepni & Wiehan Dul & Rangan Gupta & Mark E. Wohar, 2020, "The Dynamics of U.S. REITs Returns to Uncertainty Shocks: A Proxy SVAR Approach," Working Papers, University of Pretoria, Department of Economics, number 202001, Jan.
• Oguzhan Cepni & David Gabauer & Rangan Gupta & Khuliso Ramabulana, 2020, "Time-Varying Spillover of US Trade War on the Growth of Emerging Economies," Working Papers, University of Pretoria, Department of Economics, number 202002, Jan.
• Rangan Gupta & Chi Keung Marco Lau & Jacobus A Nel & Xin Sheng, 2020, "Monetary Policy Uncertainty Spillovers in Time- and Frequency-Domains," Working Papers, University of Pretoria, Department of Economics, number 202005, Jan.
• Semei Coronado & Rangan Gupta & Saban Nazlioglu & Omar Rojas, 2020, "Time-Varying Causality between Bond and Oil Markets of the United States: Evidence from Over One and Half Centuries of Data," Working Papers, University of Pretoria, Department of Economics, number 202006, Jan.
• Edmond Berisha & David Gabauer & Rangan Gupta & Chi Keung Marco Lau, 2020, "Time-Varying Influence of Household Debt on Inequality in United Kingdom," Working Papers, University of Pretoria, Department of Economics, number 202017, Feb.
• Hardik A. Marfatia & Rangan Gupta & Keagile Lesame, 2020, "Dynamic Impact of Unconventional Monetary Policy on International REITs," Working Papers, University of Pretoria, Department of Economics, number 202020, Feb.
• Elie Bouri & Riza Demirer & David Gabauer & Rangan Gupta, 2020, "Sentiment and Financial Market Connectedness: The Role of Investor Happiness," Working Papers, University of Pretoria, Department of Economics, number 202022, Mar.
• Rangan Gupta & Jun Ma & Konstantinos Theodoridis & Mark E. Wohar, 2020, "Is there a National Housing Market Bubble Brewing in the United States?," Working Papers, University of Pretoria, Department of Economics, number 202023, Mar.
• Selçuk Gul & Rangan Gupta, 2020, "A Note on the Time-Varying Impact of Global, Region- and Country-Specific Uncertainties on the Volatility of International Trade," Working Papers, University of Pretoria, Department of Economics, number 202025, Mar.
• Edmond Berisha & David Gabauer & Rangan Gupta & Jacobus Nel, 2020, "Time-Varying Predictability of Financial Stress on Inequality in United Kingdom," Working Papers, University of Pretoria, Department of Economics, number 202030, Apr.
• Syed Jawad Hussain Shahzad & Rangan Gupta & Riza Demirer & Christian Pierdzioch, 2020, "Oil-Shocks and Directional Predictability of Macroeconomic Uncertainties of Developed Economies: Evidence from High-Frequency Data," Working Papers, University of Pretoria, Department of Economics, number 202031, Apr.
• Riza Demirer & David Gabauer & Rangan Gupta & Qiang Ji, 2020, "Monetary Policy and Speculative Spillovers in Financial Markets," Working Papers, University of Pretoria, Department of Economics, number 202032, Apr.
• Semih Emre Cekin & Rangan Gupta & Eric Olson, 2020, "The Taylor Curve: International Evidence," Working Papers, University of Pretoria, Department of Economics, number 202034, May.
• Afees A. Salisu & Rangan Gupta, 2020, "Dynamic Effects of Monetary Policy Shocks on Macroeconomic Volatility in the United Kingdom," Working Papers, University of Pretoria, Department of Economics, number 202041, May.
• Afees A. Salisu & Rangan Gupta & Elie Bouri & Qiang Ji, 2020, "The Role of Global Economic Conditions in Forecasting Gold Market Volatility: Evidence from a GARCH-MIDAS Approach," Working Papers, University of Pretoria, Department of Economics, number 202043, May.
• Mehmet Balcilar & Rangan Gupta & Theshne Kisten, 2020, "The Impact of Uncertainty Shocks in South Africa: The Role of Financial Regimes," Working Papers, University of Pretoria, Department of Economics, number 202046, May.
• Elie Bouri & Oguzhan Cepni & David Gabauer & Rangan Gupta, 2020, "Return Connectedness across Asset Classes around the COVID-19 Outbreak," Working Papers, University of Pretoria, Department of Economics, number 202047, May.
• Rangan Gupta & Xin Sheng, 2020, "The Effects of Oil Shocks on Macroeconomic Uncertainty: Evidence from a Large Panel Dataset of US States," Working Papers, University of Pretoria, Department of Economics, number 202048, May.
• Afees A. Salisu & Rangan Gupta & Elie Bouri & Qiang Ji, 2020, "Forecasting Oil Volatility Using a GARCH-MIDAS Approach: The Role of Global Economic Conditions," Working Papers, University of Pretoria, Department of Economics, number 202051, May.
• Mehmet Balcilar & Edmond Berisha & Rangan Gupta & Christian Pierdzioch, 2020, "Time-Varying Evidence of Predictability of Financial Stress in the United States over a Century: The Role of Inequality," Working Papers, University of Pretoria, Department of Economics, number 202054, Jun.
• Oguzhan Cepni & Rangan Gupta & Yigit Onay, 2020, "The Role of Investor Sentiment in Forecasting Housing Returns in China: A Machine Learning Approach," Working Papers, University of Pretoria, Department of Economics, number 202055, Jun.
• Elie Bouri & David Gabauer & Rangan Gupta & Aviral Kumar Tiwari, 2020, "Volatility Connectedness of Major Cryptocurrencies: The Role of Investor Happiness," Working Papers, University of Pretoria, Department of Economics, number 202059, Jun.
• Semei Coronado & Rangan Gupta & Besma Hkiri & Omar Rojas, 2020, "Time-Varying Spillover between Currency and Stock Markets in the United States: More than Two Centuries of Historical Evidence," Working Papers, University of Pretoria, Department of Economics, number 202060, Jun.
• Rangan Gupta & Xin Sheng & Mehmet Balcilar & Qiang Ji, 2020, "Time-Varying Impact of Pandemics on Global Output Growth," Working Papers, University of Pretoria, Department of Economics, number 202062, Jul.
• Rangan Gupta & Syed Jawad Hussain Shahzad & Xin Sheng & Sowmya Subramaniam, 2020, "The Role of Oil and Risk Shocks in the High-Frequency Movements of the Term Structure of Interest Rates of the United States," Working Papers, University of Pretoria, Department of Economics, number 202063, Jul.
• David Gabauer & Rangan Gupta & Hardik A. Marfatia & Stephen M. Miller, 2020, "Estimating U.S. Housing Price Network Connectedness: Evidence from Dynamic Elastic Net, Lasso, and Ridge Vector Autoregressive Models," Working Papers, University of Pretoria, Department of Economics, number 202065, Jul.
• Mehmet Balcilar & Elie Bouri & Rangan Gupta & Clement Kweku Kyei, 2020, "High-Frequency Predictability of Housing Market Movements of the United States: The Role of Economic Sentiment," Working Papers, University of Pretoria, Department of Economics, number 202066, Jul.
• Zhuhua Jiang & Rangan Gupta & Sowmya Subramaniam & Seong-Min Yoon, 2020, "The Effect of Air Quality and Weather on the Chinese Stock Market: Evidence from Shenzhen Stock Exchange," Working Papers, University of Pretoria, Department of Economics, number 202070, Aug.
• Elie Bouri & Rangan Gupta & Clement Kweku Kyei & Rinsuna Shivambu, 2020, "Uncertainty and Daily Predictability of Housing Returns and Volatility of the United States: Evidence from a Higher-Order Nonparametric Causality-in-Quantiles Test," Working Papers, University of Pretoria, Department of Economics, number 202071, Aug.
• Xin Sheng & Hardik A. Marfatia & Rangan Gupta & Qiang Ji, 2020, "House Price Synchronization across the US States: The Role of Structural Oil Shocks," Working Papers, University of Pretoria, Department of Economics, number 202076, Aug.
• Rangan Gupta & Hardik A. Marfatia & Christian Pierdzioch & Afees A. Salisu, 2020, "Machine Learning Predictions of Housing Market Synchronization across US States: The Role of Uncertainty," Working Papers, University of Pretoria, Department of Economics, number 202077, Aug.
• Rangan Gupta & Sowmya Subramaniam & Elie Bouri & Qiang Ji, 2020, "Infectious Disease-Related Uncertainty and the Safe-Haven Characteristic of US Treasury Securities," Working Papers, University of Pretoria, Department of Economics, number 202078, Aug.
• Goodness C. Aye, 2020, "Effect of Fiscal and Monetary Policies on Economic Activities in South Africa: The Role of Policy Uncertainty," Working Papers, University of Pretoria, Department of Economics, number 202082, Sep.
• David Gabauer & Rangan Gupta & Jacobus Nel & Woraphon Yamaka, 2020, "Time-Varying Predictability of Labor Productivity on Inequality in United Kingdom," Working Papers, University of Pretoria, Department of Economics, number 202084, Sep.