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

2019

• N. Mhlaba & A. Phiri, 2019, "Is public debt harmful towards economic growth? New evidence from South Africa," Cogent Economics & Finance, Taylor & Francis Journals, volume 7, issue 1, pages 1603653-160, January, DOI: 10.1080/23322039.2019.1603653.
• Xiu Xu & Cathy Yi-Hsuan Chen & Wolfgang Karl Härdle, 2019, "Dynamic credit default swap curves in a network topology," Quantitative Finance, Taylor & Francis Journals, volume 19, issue 10, pages 1705-1726, October, DOI: 10.1080/14697688.2019.1585560.
• Ying Chen & Wee Song Chua & Wolfgang Karl Härdle, 2019, "Forecasting limit order book liquidity supply–demand curves with functional autoregressive dynamics," Quantitative Finance, Taylor & Francis Journals, volume 19, issue 9, pages 1473-1489, September, DOI: 10.1080/14697688.2019.1622290.
• Daniel Kaufmann & Gil Mehrez & Tugrul Gurgur, 2019, "Voice or public sector management? An empirical investigation of determinants of public sector performance based on a survey of public officials," Journal of Applied Economics, Taylor & Francis Journals, volume 22, issue 1, pages 321-348, January, DOI: 10.1080/15140326.2019.1627718.
• Rangan Gupta & Chi Keung Marco Lau & Vasilios Plakandaras & Wing-Keung Wong, 2019, "The role of housing sentiment in forecasting U.S. home sales growth: evidence from a Bayesian compressed vector autoregressive model," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, volume 32, issue 1, pages 2554-2567, January, DOI: 10.1080/1331677X.2019.1650657.
• Raghavan, Mala, 2019, "An analysis of the global oil market using SVARMA models," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2019-01.
• Raghavan, Mala & Devadason, Evelyn S, 2019, "How resilient is ASEAN-5 to trade shocks? Regional and global shocks compared," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2019-04.
• Dungey, Mardi & Islam, Raisul & Volkov, Vladimir, 2019, "Crisis transmission: visualizing vulnerability," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2019-07.
• Burrell, Hamish & Vespignani, Joaquin, 2019, "The industrial impact of economic uncertainty shocks in Australia," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2019-08.
• Tayyar Buyukbasaran & Gokce Karasoy Can & Hande Kucuk, 2019, "Identifying Credit Supply Shocks in Turkey," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1906.
• Tayyar Buyukbasaran & Cem Cebi & Erdal Yilmaz, 2019, "Interaction of Monetary and Fiscal Policies in Turkey," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1935.
• Robert Czudaj, 2019, "Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach," Chemnitz Economic Papers, Department of Economics, Chemnitz University of Technology, number 030, May, revised May 2019.
• Yasuo Hirose & Takeki Sunakawa, 2019, "The Natural Rate of Interest in a Nonlinear DSGE Model," Working Papers, Tokyo Center for Economic Research, number e128, Feb.
• Anne Opschoor & André Lucas & Istvan Barra & Dick van Dijk, 2019, "Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 19-013/IV, Feb, revised 23 Oct 2019.
• Agnieszka Borowska & Lennart Hoogerheide & Siem Jan Koopman, 2019, "Bayesian Risk Forecasting for Long Horizons," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 19-018/III, Feb.
• Peter Boswijk & Yang Zu, 2019, "Adaptive Testing for Cointegration with Nonstationary Volatility," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 19-043/III, Jun.
• Anne Opschoor & André Lucas, 2019, "Time-varying tail behavior for realized kernels," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 19-051/IV, Jul.
• Anne Opschoor & André Lucas, 2019, "Observation-driven Models for Realized Variances and Overnight Returns," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 19-052/IV, Jul.
• Anoek Castelein & Dennis Fok & Richard Paap, 2019, "Dynamics in clickthrough and conversion probabilities of paid search advertisements," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 19-056/III, Aug.
• Peter Boswijk & Giuseppe Cavaliere & Iliyan Georgiev & Anders Rahbek, 2019, "Bootstrapping Non-Stationary Stochastic Volatility," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 19-083/III, Dec.
• Martin Burda & Louis Belisle, 2019, "Copula Multivariate GARCH Model with Constrained Hamiltonian Monte Carlo," Working Papers, University of Toronto, Department of Economics, number tecipa-638, Apr.
• Regis Barnichon & Christian Brownlees, 2019, "Impulse Response Estimation by Smooth Local Projections," The Review of Economics and Statistics, MIT Press, volume 101, issue 3, pages 522-530, July.
• Fève, Patrick & Moura, Alban & Pierrard, Olivier, 2019, "Shadow Banking and the Great Recession: Evidence from an Estimated DSGE Model," TSE Working Papers, Toulouse School of Economics (TSE), number 19-996, Mar.
• Fabio Canetg & Daniel Kaufmann, 2019, "Shocking Interest Rate Floors," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp1901, May.
• Abhinav Anand & John Cotter, 2019, "Integration Among US Banks," Working Papers, Geary Institute, University College Dublin, number 201913, Sep.
• Laurentiu Guinea & Luis A. Puch & Jesús Ruiz, 2019, "News-driven housing booms: Spain vs. Germany," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2019-32, Sep.
• Gustavo Fruet Dias & Marcelo Fernandes & Cristina Mabel Scherrer, 2019, "Price discovery in a continuous-time setting," University of East Anglia School of Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK., number 2019-02, Aug.
• Oleksandr Faryna & Heli Simola, 2019, "How Trade Composition Affects Sensitivity to Foreign Shocks: Applying a Global VAR Model to Ukraine," Visnyk of the National Bank of Ukraine, National Bank of Ukraine, issue 247, pages 4-18, DOI: 10.26531/vnbu2019.247.01.
• Anastasiia Antonova, 2019, "Price-Setting in Ukraine: Evidence from Online Prices," Visnyk of the National Bank of Ukraine, National Bank of Ukraine, issue 248, pages 4-10, DOI: 10.26531/vnbu2019.248.01.
• Mansur, Alfan, 2019, "Sharia Banking Dynamics and the Macroeconomic Responses: Evidence from Indonesia," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, volume 53, issue 2, pages 139-152, DOI: http://dx.doi.org/10.17576/JEM-2019.
• Claude Diebolt & Tapas Mishra & Faustine Perrin, 2019, "Gender Equality as an Enforcer of Individuals’ Choice between Education and Fertility: Evidence from 19th Century France," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2019-44.
• Juan Gabriel Brida & Bibiana Lanzilotta & Lucía Rosich, 2019, "Common trends in producers’ expectations, the nonlinear linkage with Uruguayan GDP and its implications in economic growth forecasting," Documentos de Trabajo (working papers), Instituto de Economía - IECON, number 19-28, Dec.
• Burak Alparslan Eroglu & J. Isaac Miller & Taner Yigit, 2019, "Time-Varying Cointegration and the Kalman Filter," Working Papers, Department of Economics, University of Missouri, number 1905, Jun.
• Deepankar Basu & Leila Gautham, 2019, "What is the Impact of an Exogenous Shock to the Wage Share? VAR Results for the US Economy, 1973–2018," UMASS Amherst Economics Working Papers, University of Massachusetts Amherst, Department of Economics, number 2019-08.
• Régis Barnichon & Geert Mesters, 2019, "The Phillips multiplier," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1632, Jan.
• Régis Barnichon & Geert Mesters, 2019, "Identifying modern macro equations with old shocks," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1659, May.
• Majid Al-Sadoon & Piotr Zwiernik, 2019, "The identification problem for linear rational expectations models," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1669, Sep.
• Régis Barnichon & Davide Debortoli & Christian Matthes, 2019, "Understanding the size of the government spending multiplier: It’s in the sign," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1688, Feb, revised Sep 2020.
• Gergely Ganics & Barbara Rossi & Tatevik Sekhposyan, 2019, "From fixed-event to fixed-horizon density forecasts: Obtaining measures of multi-horizon uncertainty from survey density forecasts," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1689, Dec.
• S. Devrim Yilmaz & Engelbert Stockhammer, 2019, "Coupling Cycle Mechanisms: Minsky debt cycles and the Multiplier-Accelerator," CEPN Working Papers, Centre d'Economie de l'Université de Paris Nord, number 2019-02, Feb.
• Federico Bassi, 2019, "Capacity Utilization and the NAIRCU - Evidences of Hysteresis in EU countries," CEPN Working Papers, Centre d'Economie de l'Université de Paris Nord, number 2019-09, Oct.
• Bolboaca, Maria, 2019, "The Impact of Technological Change," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1902, Feb.
• Ivan Mendieta-Munoz & Mengheng Li, 2019, "The Multivariate Simultaneous Unobserved Compenents Model and Identification via Heteroskedasticity," Working Paper Series, Department of Economics, University of Utah, University of Utah, Department of Economics, number 2019_06.
• Mengheng Li & Ivan Mendieta-Munoz, 2019, "The multivariate simultaneous unobserved components model and identification via heteroskedasticity," Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney, number 2019/08, Jun.
• Qazi Haque & Leandro M. Magnusson & Kazuki Tomioka, 2019, "Empirical evidence on the dynamics of investment under uncertainty in the U.S," Economics Discussion / Working Papers, The University of Western Australia, Department of Economics, number 19-18.
• Litwiński Michł, 2019, "The Influence of Income Inequalities on Socio-Economic Development in the European Union," Econometrics. Advances in Applied Data Analysis, Sciendo, volume 23, issue 1, pages 45-60, March, DOI: 10.15611/eada.2019.1.04.
• Shobande Olatunji A., 2019, "Monetary Policy Spillovers Through Industrial Growth in Nigeria: A Time Series Analysis," Economics and Business, Sciendo, volume 33, issue 1, pages 94-110, January, DOI: 10.2478/eb-2019-0007.
• Sekuła Paweł, 2019, "Causality Analysis Between Stock Market Indices," Financial Sciences. Nauki o Finansach, Sciendo, volume 24, issue 1, pages 74-93, March, DOI: 10.15611/fins.2019.1.05.
• Oseni Isiaq O. & Adekunle Ibrahim A. & Alabi Mumeen O., 2019, "Exchange rate volatility and industrial output growth in Nigeria," Journal of Economics and Management, Sciendo, volume 38, issue 4, pages 129-156, December, DOI: 10.22367/jem.2019.38.07.
• Bechný Jakub, 2019, "Output gap in the Czech economy: DSGE approach," Review of Economic Perspectives, Sciendo, volume 19, issue 2, pages 137-156, June, DOI: 10.2478/revecp-2019-0008.
• Mavikela Nomahlubi & Mhaka Simba & Phiri Andrew, 2019, "The Inflation-Growth Relationship in SSA Inflation-Targeting Countries," Studia Universitatis Babeș-Bolyai Oeconomica, Sciendo, volume 64, issue 2, pages 84-102, August, DOI: 10.2478/subboec-2019-0011.
• Yang Hu & Les Oxley & Chunlin Lang, 2019, "Can Economic Policy Uncertainty, Volume, Transaction Activity and Twitter Predict Bitcoin? Evidence from Time-Varying Granger Causality Tests," Working Papers in Economics, University of Waikato, number 19/12, Jul.
• Kufre J. Bassey & Michael K. Mba & Ochoche Abraham, 2019, "On Economic Growth - Reserve Accumulation Nexus In Nigeria: A Nonlinear Asymmetric Cointegration Estimation," West African Journal of Monetary and Economic Integration, West African Monetary Institute, volume 19, issue 1, pages 27-39, June.
• Gerard J. van den Berg & Bas van der Klaauw, 2019, "Structural Empirical Evaluation Of Job Search Monitoring," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 60, issue 2, pages 879-903, May, DOI: 10.1111/iere.12376.
• Hilde C. Bjørnland & Leif Anders Thorsrud, 2019, "Commodity prices and fiscal policy design: Procyclical despite a rule," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 34, issue 2, pages 161-180, March, DOI: 10.1002/jae.2669.
• Michael W. McCracken & Joseph T. McGillicuddy, 2019, "An empirical investigation of direct and iterated multistep conditional forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 34, issue 2, pages 181-204, March, DOI: 10.1002/jae.2668.
• Gabriele Fiorentini & Enrique Sentana, 2019, "Dynamic specification tests for dynamic factor models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 34, issue 3, pages 325-346, April, DOI: 10.1002/jae.2678.
• Matteo Barigozzi & Christian Brownlees, 2019, "NETS: Network estimation for time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 34, issue 3, pages 347-364, April, DOI: 10.1002/jae.2676.
• Giovanni Angelini & Emanuele Bacchiocchi & Giovanni Caggiano & Luca Fanelli, 2019, "Uncertainty across volatility regimes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 34, issue 3, pages 437-455, April, DOI: 10.1002/jae.2672.
• Anthony Garratt & Shaun P. Vahey & Yunyi Zhang, 2019, "Real‐time forecast combinations for the oil price," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 34, issue 3, pages 456-462, April, DOI: 10.1002/jae.2673.
• Florian Huber & Gregor Kastner & Martin Feldkircher, 2019, "Should I stay or should I go? A latent threshold approach to large‐scale mixture innovation models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 34, issue 5, pages 621-640, August, DOI: 10.1002/jae.2680.
• Xin Jin & John M. Maheu & Qiao Yang, 2019, "Bayesian parametric and semiparametric factor models for large realized covariance matrices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 34, issue 5, pages 641-660, August, DOI: 10.1002/jae.2685.
• Lucia Alessi & Mark Kerssenfischer, 2019, "The response of asset prices to monetary policy shocks: Stronger than thought," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 34, issue 5, pages 661-672, August, DOI: 10.1002/jae.2706.
• Davaajargal Luvsannyam & Khuslen Batmunkh, 2019, "A factor‐augmented vector autoregressive (FAVAR) approach for monetary policy: Replication of the empirical results in “measuring the effects of monetary policy”," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 34, issue 5, pages 820-821, August, DOI: 10.1002/jae.2677.
• Giovanni Angelini & Luca Fanelli, 2019, "Exogenous uncertainty and the identification of structural vector autoregressions with external instruments," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 34, issue 6, pages 951-971, September, DOI: 10.1002/jae.2736.
• George Kapetanios & Massimiliano Marcellino & Fabrizio Venditti, 2019, "Large time‐varying parameter VARs: A nonparametric approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 34, issue 7, pages 1027-1049, November, DOI: 10.1002/jae.2722.
• Pablo Cuba‐Borda & Luca Guerrieri & Matteo Iacoviello & Molin Zhong, 2019, "Likelihood evaluation of models with occasionally binding constraints," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 34, issue 7, pages 1073-1085, November, DOI: 10.1002/jae.2729.
• Wei Lin & Gloria González‐Rivera, 2019, "Extreme returns and intensity of trading," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 34, issue 7, pages 1121-1140, November, DOI: 10.1002/jae.2738.
• Olesya Grishchenko & Sarah Mouabbi & Jean‐Paul Renne, 2019, "Measuring Inflation Anchoring and Uncertainty: A U.S. and Euro Area Comparison," Journal of Money, Credit and Banking, Blackwell Publishing, volume 51, issue 5, pages 1053-1096, August, DOI: 10.1111/jmcb.12622.
• Zeyyad Mandalinci & Haroon Mumtaz, 2019, "Global Economic Divergence and Portfolio Capital Flows to Emerging Markets," Journal of Money, Credit and Banking, Blackwell Publishing, volume 51, issue 6, pages 1713-1730, September, DOI: 10.1111/jmcb.12576.
• Jan Pablo Burgard & Matthias Neuenkirch & Matthias Nöckel, 2019, "State‐Dependent Transmission of Monetary Policy in the Euro Area," Journal of Money, Credit and Banking, Blackwell Publishing, volume 51, issue 7, pages 2053-2070, October, DOI: 10.1111/jmcb.12592.
• Martín Almuzara & Dante Amengual & Enrique Sentana, 2019, "Normality tests for latent variables," Quantitative Economics, Econometric Society, volume 10, issue 3, pages 981-1017, July, DOI: 10.3982/QE859.
• Miranda-Agrippino, Silvia & Ricco, Giovanni, 2019, "Identification with External Instruments in Structural VARs under Partial Invertibility," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 1213.
• Zezethu Zandile & Andrew Phiri, 2019, "Fdi As A Contributing Factor To Economic Growth In Burkina Faso: How True Is This?," Global Economy Journal (GEJ), World Scientific Publishing Co. Pte. Ltd., volume 19, issue 01, pages 1-27, March, DOI: 10.1142/S2194565919500040.
• Katarzyna Maciejowska & Rafal Weron, 2019, "Electricity price forecasting," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/19/01, Feb.
• Katarzyna Maciejowska, 2019, "Assessing the impact of renewable energy sources on the electricity price level and variability - a Quantile Regression approach," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/19/02, Jul.
• Bartosz Uniejewski & Rafal Weron, 2019, "Regularized Quantile Regression Averaging for probabilistic electricity price forecasting," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/19/04, Nov.
• Julian Martinez-Iriarte & Yixiao Sun & Xuexin Wang, 2019, "Asymptotic F Tests under Possibly Weak Identification," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2019-03-12, Mar.
• Blazsek, Szabolcs & Escribano, Álvaro & Licht, Adrian, 2019, "Co-integration and common trends analysis with score-driven models : an application to the federal funds effective rate and US inflation rate," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 28451, May.
• Blazsek, Szabolcs & Escribano, Álvaro & Licht, Adrian, 2019, "Markov-switching score-driven multivariate models: outlier-robust measurement of the relationships between world crude oil production and US industrial production," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 29030, Oct.
• Alloza, Mario & Gonzalo, Jesús & Sanz, Carlos, 2019, "Dynamic Effects of Persistent Shocks," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 29187, Nov.
• Phillips, Garry David Alan & Wang, Dandan, 2019, "Bias assessment and reduction for the 2SLS estimator in general dynamic simultaneous equations models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 28322, Apr.
• Michał Rubaszek, 2019, "Forecasting crude oil prices with DSGE models," GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit, number GRU_2019_024, Aug.
• Max Breitenlechner & Riikka Nuutilainen, 2019, "China's Monetary Policy and the Loan Market: How Strong is the Credit Channel in China?," GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit, number GRU_2019_027, Aug.
• Christian Cortes García & Álvaro Cangrejo Esquive, 2019, "Modelo de volatilidad a los precios de cierre de la acción pfcemargos comprendidas entre 16/mayo/2013 al 31/mayo/2017," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 42, issue 119, pages 119-138, Mayo.
• Raúl de Jesús Gutiérrez & Miriam Sosa Castro, 2019, "Predicción de la volatilidad en los mercados del petróleo mexicano a través de modelos CgarCH asimétricos bajo dos supuestos distribucionales," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 42, issue 120, pages 253-267, Diciembre.
• Yegnanew A. Shiferaw, 2019, "Multivariate Analysis of East African Currency Exchange Rate Dynamics," Annals of Economics and Finance, Society for AEF, volume 20, issue 2, pages 587-610, November.
• Lateef O. Akanni, 2019, "Modelling returns and volatility connectedness between food prices and exchange rate in Nigeria," Working Papers, Centre for Econometric and Allied Research, University of Ibadan, number 064, Mar.
• Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2019, "Testing Garch-X Type Models," Econometric Theory, Cambridge University Press, volume 35, issue 5, pages 1012-1047, October.
• Miller, Stephen M. & Martins, Luis Filipe & Gupta, Rangan, 2019, "A Time-Varying Approach Of The Us Welfare Cost Of Inflation," Macroeconomic Dynamics, Cambridge University Press, volume 23, issue 2, pages 775-797, March.
• Serletis, Apostolos & Mehmandosti, Elaheh Asadi, 2019, "150 Years Of The Oil Price–Macroeconomy Relationship," Macroeconomic Dynamics, Cambridge University Press, volume 23, issue 3, pages 1302-1311, April.
• Adelajda MATUKA, 2019, "Bank credit to the private sector: VECM approach for Albania," Journal of Economics and Political Economy, EconSciences Journals, volume 6, issue 2, pages 159-171, June.
• Julius N. ANYU & William G. DZEKASHU, 2019, "China’s enterprises in Africa: Market entry strategies, implications for capacity building, and corporate social responsibility," Journal of Economics and Political Economy, EconSciences Journals, volume 6, issue 2, pages 172-180, June.
• Md. Gias Uddin KHAN & Susmita CHOWDHURY & Syed AZDAAN, 2019, "Does the exchange rate influence the exports? Evidence from Bangladesh," Turkish Economic Review, EconSciences Journals, volume 6, issue 4, pages 313-319, December.
• Gavin D.M. OOFT, 2019, "Inflation and economic activity in Suriname," Journal of Economics Library, EconSciences Journals, volume 6, issue 3, pages 168-185, September.
• Jan Philipp Fritsche & Patrick Christian Harms, 2019, "20 Years of Common European Monetary Policy: Reasons to Celebrate," DIW Weekly Report, DIW Berlin, German Institute for Economic Research, volume 9, issue 20/21, pages 179-187.
• Jan Philipp Fritsche & Patrick Christian Harms, 2019, "20 Jahre EZB-Geldpolitik – Gute Gründe zu feiern!," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, volume 86, issue 20, pages 359-367.
• Kerstin Bernoth & Helmut Herwartz, 2019, "Exchange Rates, Foreign Currency Exposure and Sovereign Risk," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1792.
• Martin Bruns & Michele Piffer, 2019, "Bayesian Structural VAR Models: A New Approach for Prior Beliefs on Impulse Responses," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1796.
• Jasper de Jong & Emmanuel De Veirman, 2019, "Heterogeneity and Asymmetric Macroeconomic Effects of Changes in Loan-to-Value Limits," Working Papers, DNB, number 635, May.
• Jamal HUSEIN & Chuck PIER, 2019, "Long-Run Sustainability Of Current Account Balance: Evidence From Twenty North And Latin American Economies," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 19, issue 2, pages 75-90.
• Rashmi Ranjan PAITAL & Subhendu DUTTA & Aruna Kumar DASH, 2019, "Crude Oil Import Elasticity Of Demand In India: An Empirical Analysis 1987-2016," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 19, issue 2, pages 125-136.
• Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2019, "Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2019-09, Feb.
• Giannone, Domenico & Lenza, Michele & Reichlin, Lucrezia, 2019, "Money, credit, monetary policy and the business cycle in the euro area: what has changed since the crisis?," Working Paper Series, European Central Bank, number 2226, Jan.
• Bobeica, Elena & Ciccarelli, Matteo & Vansteenkiste, Isabel, 2019, "The link between labor cost and price inflation in the euro area," Working Paper Series, European Central Bank, number 2235, Feb.
• Baumann, Ursel & Lodge, David & Miescu, Mirela S., 2019, "Global growth on life support? The contributions of fiscal and monetary policy since the global financial crisis," Working Paper Series, European Central Bank, number 2248, Mar.
• Foroni, Claudia & Stracca, Livio, 2019, "Much ado about nothing? The shale oil revolution and the global supply curve," Working Paper Series, European Central Bank, number 2309, Aug.
• Chavleishvili, Sulkhan & Manganelli, Simone, 2019, "Forecasting and stress testing with quantile vector autoregression," Working Paper Series, European Central Bank, number 2330, Nov.
• García, Juan Angel & Poon, Aubrey, 2019, "Inflation trends in Asia: implications for central banks," Working Paper Series, European Central Bank, number 2338, Dec.
• Zouheir Mighri & Majid Ibrahim Alsaggaf, 2019, "Volatility Spillovers among the Cryptocurrency Time Series," International Journal of Economics and Financial Issues, Econjournals, volume 9, issue 3, pages 81-90.
• Rezgar Mohammed & Olga Murova, 2019, "Strategic Price Response in the Differentiated U.S. Yogurt Market," International Journal of Economics and Financial Issues, Econjournals, volume 9, issue 6, pages 163-170.
• Yaya Keho, 2019, "Relationship Between Savings And Economic Growth In Cote D'Ivoire," International Journal of Economics and Financial Issues, Econjournals, volume 9, issue 6, pages 202-207.
• Nidhi Malhotra & Saumya Gupta, 2019, "Volatility Spillovers and Correlation Between Cryptocurrencies and Asian Equity Market," International Journal of Economics and Financial Issues, Econjournals, volume 9, issue 6, pages 208-215.
• Kenneth Chikezie Anyalechi & Hillary Chijindu Ezeaku & Josaphat. U. J. Onwumere & E. J. Okereke, 2019, "Does Oil Price Fluctuation Affect Stock Market Returns in Nigeria?," International Journal of Energy Economics and Policy, Econjournals, volume 9, issue 1, pages 194-199.
• Omer Ali Ibrahim & Sonal Devesh & Hisham Mohamed Hassan, 2019, "Sensitivity of Fiscal Balances to Oil Price Shocks: Short and Long Term Effects in the Context of Oman," International Journal of Energy Economics and Policy, Econjournals, volume 9, issue 2, pages 146-155.
• La Ode Saidi & Pasrun Adam & Manat Rahim & Rosnawintang Rosnawintang, 2019, "The Effect of Crude Oil Prices on Economic Growth in South East Sulawesi, Indonesia: An Application of Autoregressive Distributed Lag Model," International Journal of Energy Economics and Policy, Econjournals, volume 9, issue 2, pages 194-198.
• Akhmad Akhmad & Buyung Romadhoni & Kasnaeny Karim & Muhammad Jibril Tajibu & Muhammad Syukur, 2019, "The Impact of Fuel Oil Price Fluctuations on Indonesia s Macro Economic Condition," International Journal of Energy Economics and Policy, Econjournals, volume 9, issue 2, pages 277-282.
• Warsono Warsono & Edwin Russels & Wamiliana Wamiliana & Widiarti Widiarti & Mustofa Usman, 2019, "Vector Autoregressive with Exogenous Variable Model and its Application in Modeling and Forecasting Energy Data: Case Study of PTBA and HRUM Energy," International Journal of Energy Economics and Policy, Econjournals, volume 9, issue 2, pages 390-398.
• Jamal Sekali & Mohamed Bouzahzah, 2019, "Financial Development and Environmental Quality: Empirical Evidence for Morocco," International Journal of Energy Economics and Policy, Econjournals, volume 9, issue 2, pages 67-74.
• Zouheir Ahmed Mighri & Majid Ibrahim Alsaggaf, 2019, "Asymmetric Threshold Cointegration and Nonlinear Adjustment between Oil Prices and Financial Stress," International Journal of Energy Economics and Policy, Econjournals, volume 9, issue 3, pages 87-105.
• Marco Mele, 2019, "Renewable Energy Consumption: the Effects on Economic Growth in Mexico," International Journal of Energy Economics and Policy, Econjournals, volume 9, issue 3, pages 269-273.
• Majed S. Almozaini, 2019, "The Causality Relationship between Economic Growth and Energy Consumption in The World s top Energy Consumers," International Journal of Energy Economics and Policy, Econjournals, volume 9, issue 4, pages 40-53.
• Shabbir Ahmad, 2019, "The Impact of Oil Price Uncertainty on Stock Returns in Gulf Countries," International Journal of Energy Economics and Policy, Econjournals, volume 9, issue 6, pages 447-452.
• Calderón Villarreal, Cuauhtémoc & Cuevas, Víctor M., 2019, "Crecimiento industrial y aumento de los precios de los bienes de consumo en México: un análisis econométrico," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), December.
• Calderón Villarreal, Cuauhtémoc & Cuevas, Víctor M., 2019, "Industrial growth and consumer goods inflation in Mexico: an econometric analysis," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), December.
• Hasumi, Ryo & Iiboshi, Hirokuni & Matsumae, Tatsuyoshi & Nakamura, Daisuke, 2019, "Does a financial accelerator improve forecasts during financial crises? Evidence from Japan with prediction-pooling methods," Journal of Asian Economics, Elsevier, volume 60, issue C, pages 45-68, DOI: 10.1016/j.asieco.2018.10.005.
• Almaas, Synne S. & Kurita, Takamitsu, 2019, "Modelling the real yen–dollar rate and inflation dynamics based on international parity conditions," Journal of Asian Economics, Elsevier, volume 61, issue C, pages 51-64, DOI: 10.1016/j.asieco.2019.02.003.
• Dash, Saumya Ranjan & Maitra, Debasish, 2019, "The relationship between emerging and developed market sentiment: A wavelet-based time-frequency analysis," Journal of Behavioral and Experimental Finance, Elsevier, volume 22, issue C, pages 135-150, DOI: 10.1016/j.jbef.2019.02.006.
• Fève, Patrick & Moura, Alban & Pierrard, Olivier, 2019, "Shadow banking and financial regulation: A small-scale DSGE perspective," Journal of Economic Dynamics and Control, Elsevier, volume 101, issue C, pages 130-144, DOI: 10.1016/j.jedc.2019.02.001.
• Lütkepohl, Helmut & Schlaak, Thore, 2019, "Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH," Journal of Economic Dynamics and Control, Elsevier, volume 101, issue C, pages 41-61, DOI: 10.1016/j.jedc.2019.01.008.
• Guidolin, Massimo & Pedio, Manuela, 2019, "Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models," Journal of Economic Dynamics and Control, Elsevier, volume 107, issue C, pages 1-1, DOI: 10.1016/j.jedc.2019.103723.
• Li, Kai, 2019, "Portfolio selection with inflation-linked bonds and indexation lags," Journal of Economic Dynamics and Control, Elsevier, volume 107, issue C, pages 1-1, DOI: 10.1016/j.jedc.2019.103727.
• Yang, Minxian, 2019, "The risk return relationship: Evidence from index returns and realised variances," Journal of Economic Dynamics and Control, Elsevier, volume 107, issue C, pages 1-1, DOI: 10.1016/j.jedc.2019.103732.
• Herrera, Ana María & Rangaraju, Sandeep Kumar, 2019, "The quantitative effects of tax foresight: Not all states are equal," Journal of Economic Dynamics and Control, Elsevier, volume 107, issue C, pages 1-1, DOI: 10.1016/j.jedc.2019.103726.
• Iskrev, Nikolay, 2019, "What to expect when you're calibrating: Measuring the effect of calibration on the estimation of macroeconomic models," Journal of Economic Dynamics and Control, Elsevier, volume 99, issue C, pages 54-81, DOI: 10.1016/j.jedc.2018.12.002.
• Michieka, Nyakundi M. & Gearhart, Richard S., 2019, "Oil price dynamics and sectoral employment in the U.S," Economic Analysis and Policy, Elsevier, volume 62, issue C, pages 140-149, DOI: 10.1016/j.eap.2019.02.001.
• Pal, Debdatta & Mitra, Subrata K., 2019, "Oil price and automobile stock return co-movement: A wavelet coherence analysis," Economic Modelling, Elsevier, volume 76, issue C, pages 172-181, DOI: 10.1016/j.econmod.2018.07.028.
• Nepal, Rabindra & Paija, Nirash, 2019, "A multivariate time series analysis of energy consumption, real output and pollutant emissions in a developing economy: New evidence from Nepal," Economic Modelling, Elsevier, volume 77, issue C, pages 164-173, DOI: 10.1016/j.econmod.2018.05.023.
• Raghavan, Mala & Athanasopoulos, George, 2019, "Analysis of shock transmissions to a small open emerging economy using a SVARMA model," Economic Modelling, Elsevier, volume 77, issue C, pages 187-203, DOI: 10.1016/j.econmod.2018.09.004.
• Dong, Minyi & Chang, Chun-Ping & Gong, Qiang & Chu, Yin, 2019, "Revisiting global economic activity and crude oil prices: A wavelet analysis," Economic Modelling, Elsevier, volume 78, issue C, pages 134-149, DOI: 10.1016/j.econmod.2018.08.012.
• Donadelli, M. & Paradiso, A. & Livieri, G., 2019, "Adding cycles into the neoclassical growth model," Economic Modelling, Elsevier, volume 78, issue C, pages 162-171, DOI: 10.1016/j.econmod.2018.09.018.
• Xie, Zixiong & Chen, Shyh-Wei, 2019, "Exchange rates and fundamentals: A bootstrap panel data analysis," Economic Modelling, Elsevier, volume 78, issue C, pages 209-224, DOI: 10.1016/j.econmod.2018.09.021.
• Sam, Chung Yan & McNown, Robert & Goh, Soo Khoon, 2019, "An augmented autoregressive distributed lag bounds test for cointegration," Economic Modelling, Elsevier, volume 80, issue C, pages 130-141, DOI: 10.1016/j.econmod.2018.11.001.
• Gadea-Rivas, María Dolores & Gómez-Loscos, Ana & Leiva-Leon, Danilo, 2019, "Increasing linkages among European regions. The role of sectoral composition," Economic Modelling, Elsevier, volume 80, issue C, pages 222-243, DOI: 10.1016/j.econmod.2018.11.009.
• Peng, Wei & Zeng, Yufeng, 2019, "Overnight exchange rate risk based on multi-quantile and joint-shock CAViaR models," Economic Modelling, Elsevier, volume 80, issue C, pages 392-399, DOI: 10.1016/j.econmod.2018.11.023.
• Ben Slimane, Ikrame & Majdoub, Jihed & Ben Sassi, Salim, 2019, "Crude oil and equity market comovements among Asia's for little dragons countries. Evidence of unobserved components approach," Economic Modelling, Elsevier, volume 80, issue C, pages 62-74, DOI: 10.1016/j.econmod.2018.05.024.
• Morana, Claudio & Sbrana, Giacomo, 2019, "Climate change implications for the catastrophe bonds market: An empirical analysis," Economic Modelling, Elsevier, volume 81, issue C, pages 274-294, DOI: 10.1016/j.econmod.2019.04.020.
• Van Cauwenberge, Annelies & Vancauteren, Mark & Braekers, Roel & Vandemaele, Sigrid, 2019, "International trade, foreign direct investments, and firms’ systemic risk : Evidence from the Netherlands," Economic Modelling, Elsevier, volume 81, issue C, pages 361-386, DOI: 10.1016/j.econmod.2019.07.001.
• Livat, Florine & Alston, Julian M. & Cardebat, Jean-Marie, 2019, "Do denominations of origin provide useful quality signals? The case of Bordeaux wines," Economic Modelling, Elsevier, volume 81, issue C, pages 518-532, DOI: 10.1016/j.econmod.2018.06.003.
• Smallwood, Aaron D., 2019, "Analyzing exchange rate uncertainty and bilateral export growth in China: A multivariate GARCH-based approach," Economic Modelling, Elsevier, volume 82, issue C, pages 332-344, DOI: 10.1016/j.econmod.2019.01.014.
• Pal, Debdatta & Mitra, Subrata K., 2019, "Correlation dynamics of crude oil with agricultural commodities: A comparison between energy and food crops," Economic Modelling, Elsevier, volume 82, issue C, pages 453-466, DOI: 10.1016/j.econmod.2019.05.017.
• Cubillos-Rocha, Juan S. & Gomez-Gonzalez, Jose E. & Melo-Velandia, Luis F., 2019, "Detecting exchange rate contagion using copula functions," The North American Journal of Economics and Finance, Elsevier, volume 47, issue C, pages 13-22, DOI: 10.1016/j.najef.2018.12.001.
• Ghartey, Edward E., 2019, "Asymmetries in exchange rate pass-through and monetary policy principle: Some Caribbean empirical evidence," The North American Journal of Economics and Finance, Elsevier, volume 47, issue C, pages 325-335, DOI: 10.1016/j.najef.2018.05.001.
• Wei, Yanfeng, 2019, "Oil price shocks, economic policy uncertainty and China’s trade: A quantitative structural analysis," The North American Journal of Economics and Finance, Elsevier, volume 48, issue C, pages 20-31, DOI: 10.1016/j.najef.2018.08.016.
• Balli, Faruk & de Bruin, Anne & Chowdhury, Md Iftekhar Hasan, 2019, "Spillovers and the determinants in Islamic equity markets," The North American Journal of Economics and Finance, Elsevier, volume 50, issue C, DOI: 10.1016/j.najef.2019.101040.
• Gupta, Rangan & Kanda, Patrick & Tiwari, Aviral Kumar & Wohar, Mark E., 2019, "Time-varying predictability of oil market movements over a century of data: The role of US financial stress," The North American Journal of Economics and Finance, Elsevier, volume 50, issue C, DOI: 10.1016/j.najef.2019.100994.
• Apostolakis, Georgios N. & Giannellis, Nikolaos & Papadopoulos, Athanasios P., 2019, "Financial stress and asymmetric shocks transmission within the Eurozone. How fragile is the common monetary policy?," The North American Journal of Economics and Finance, Elsevier, volume 50, issue C, DOI: 10.1016/j.najef.2019.101006.
• Hindrayanto, Irma & Samarina, Anna & Stanga, Irina M., 2019, "Is the Phillips curve still alive? Evidence from the euro area," Economics Letters, Elsevier, volume 174, issue C, pages 149-152, DOI: 10.1016/j.econlet.2018.11.021.
• Bauer, Dietmar, 2019, "Periodic and seasonal (co-)integration in the state space framework," Economics Letters, Elsevier, volume 174, issue C, pages 165-168, DOI: 10.1016/j.econlet.2018.11.018.
• Wang, Bin, 2019, "Measuring the natural rate of interest of China: A time varying perspective," Economics Letters, Elsevier, volume 176, issue C, pages 117-120, DOI: 10.1016/j.econlet.2019.01.011.
• Xiao, Weilin & Yu, Jun, 2019, "Asymptotic theory for rough fractional Vasicek models," Economics Letters, Elsevier, volume 177, issue C, pages 26-29, DOI: 10.1016/j.econlet.2019.01.020.
• Christou, Christina & Gupta, Rangan & Nyakabawo, Wendy, 2019, "Time-varying impact of uncertainty shocks on the US housing market," Economics Letters, Elsevier, volume 180, issue C, pages 15-20, DOI: 10.1016/j.econlet.2019.03.029.
• Delle Monache, Davide & Petrella, Ivan, 2019, "Efficient matrix approach for classical inference in state space models," Economics Letters, Elsevier, volume 181, issue C, pages 22-27, DOI: 10.1016/j.econlet.2019.04.012.
• Wang, Shaoping & Zhao, Qing & Li, Yanglin, 2019, "Testing for no-cointegration under time-varying variance," Economics Letters, Elsevier, volume 182, issue C, pages 45-49, DOI: 10.1016/j.econlet.2019.06.001.
• Ma, Xutao & Zhang, Zhen & Ma, Xubu & Shen, Yue, 2019, "Measuring cross-category spillovers of policy-specific uncertainty in China," Economics Letters, Elsevier, volume 183, issue C, pages 1-1, DOI: 10.1016/j.econlet.2019.108611.
• Bilgin, Mehmet Huseyin & Demir, Ender & Gozgor, Giray & Karabulut, Gokhan & Kaya, Huseyin, 2019, "A novel index of macroeconomic uncertainty for Turkey based on Google-Trends," Economics Letters, Elsevier, volume 184, issue C, DOI: 10.1016/j.econlet.2019.108601.
• Ettmeier, Stephanie & Kriwoluzky, Alexander, 2019, "Same, but different? Testing monetary policy shock measures," Economics Letters, Elsevier, volume 184, issue C, DOI: 10.1016/j.econlet.2019.108640.
• Evgenidis, Anastasios & Salachas, Evangelos, 2019, "Unconventional monetary policy and the credit channel in the euro area," Economics Letters, Elsevier, volume 185, issue C, DOI: 10.1016/j.econlet.2019.108695.
• Manner, Hans & Stark, Florian & Wied, Dominik, 2019, "Testing for structural breaks in factor copula models," Journal of Econometrics, Elsevier, volume 208, issue 2, pages 324-345, DOI: 10.1016/j.jeconom.2018.10.001.
• Kim, Donggyu & Fan, Jianqing, 2019, "Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction," Journal of Econometrics, Elsevier, volume 208, issue 2, pages 395-417, DOI: 10.1016/j.jeconom.2018.10.003.
• Liang, Chong & Schienle, Melanie, 2019, "Determination of vector error correction models in high dimensions," Journal of Econometrics, Elsevier, volume 208, issue 2, pages 418-441, DOI: 10.1016/j.jeconom.2018.09.018.
• Fan, Jianqing & Kim, Donggyu, 2019, "Structured volatility matrix estimation for non-synchronized high-frequency financial data," Journal of Econometrics, Elsevier, volume 209, issue 1, pages 61-78, DOI: 10.1016/j.jeconom.2018.12.019.
• Jarociński, Marek & Marcet, Albert, 2019, "Priors about observables in vector autoregressions," Journal of Econometrics, Elsevier, volume 209, issue 2, pages 238-255, DOI: 10.1016/j.jeconom.2018.12.023.
• Yang, Nian & Chen, Nan & Wan, Xiangwei, 2019, "A new delta expansion for multivariate diffusions via the Itô-Taylor expansion," Journal of Econometrics, Elsevier, volume 209, issue 2, pages 256-288, DOI: 10.1016/j.jeconom.2019.01.003.
• Cerovecki, Clément & Francq, Christian & Hörmann, Siegfried & Zakoïan, Jean-Michel, 2019, "Functional GARCH models: The quasi-likelihood approach and its applications," Journal of Econometrics, Elsevier, volume 209, issue 2, pages 353-375, DOI: 10.1016/j.jeconom.2019.01.006.
• Boot, Tom & Nibbering, Didier, 2019, "Forecasting using random subspace methods," Journal of Econometrics, Elsevier, volume 209, issue 2, pages 391-406, DOI: 10.1016/j.jeconom.2019.01.009.
• Kaufmann, Sylvia & Schumacher, Christian, 2019, "Bayesian estimation of sparse dynamic factor models with order-independent and ex-post mode identification," Journal of Econometrics, Elsevier, volume 210, issue 1, pages 116-134, DOI: 10.1016/j.jeconom.2018.11.008.
• Koop, Gary & Korobilis, Dimitris & Pettenuzzo, Davide, 2019, "Bayesian compressed vector autoregressions," Journal of Econometrics, Elsevier, volume 210, issue 1, pages 135-154, DOI: 10.1016/j.jeconom.2018.11.009.
• Bianchi, Daniele & Billio, Monica & Casarin, Roberto & Guidolin, Massimo, 2019, "Modeling systemic risk with Markov Switching Graphical SUR models," Journal of Econometrics, Elsevier, volume 210, issue 1, pages 58-74, DOI: 10.1016/j.jeconom.2018.11.005.
• Kastner, Gregor, 2019, "Sparse Bayesian time-varying covariance estimation in many dimensions," Journal of Econometrics, Elsevier, volume 210, issue 1, pages 98-115, DOI: 10.1016/j.jeconom.2018.11.007.
• Bergamelli, Michele & Bianchi, Annamaria & Khalaf, Lynda & Urga, Giovanni, 2019, "Combining p-values to test for multiple structural breaks in cointegrated regressions," Journal of Econometrics, Elsevier, volume 211, issue 2, pages 461-482, DOI: 10.1016/j.jeconom.2019.01.013.
• Bollerslev, Tim & Meddahi, Nour & Nyawa, Serge, 2019, "High-dimensional multivariate realized volatility estimation," Journal of Econometrics, Elsevier, volume 212, issue 1, pages 116-136, DOI: 10.1016/j.jeconom.2019.04.023.
• Hale, Galina & Lopez, Jose A., 2019, "Monitoring banking system connectedness with big data," Journal of Econometrics, Elsevier, volume 212, issue 1, pages 203-220, DOI: 10.1016/j.jeconom.2019.04.027.
• Korobilis, Dimitris & Pettenuzzo, Davide, 2019, "Adaptive hierarchical priors for high-dimensional vector autoregressions," Journal of Econometrics, Elsevier, volume 212, issue 1, pages 241-271, DOI: 10.1016/j.jeconom.2019.04.029.
• Onatski, Alexei & Wang, Chen, 2019, "Extreme canonical correlations and high-dimensional cointegration analysis," Journal of Econometrics, Elsevier, volume 212, issue 1, pages 307-322, DOI: 10.1016/j.jeconom.2019.04.032.
• de Castro, Luciano & Galvao, Antonio F. & Kaplan, David M. & Liu, Xin, 2019, "Smoothed GMM for quantile models," Journal of Econometrics, Elsevier, volume 213, issue 1, pages 121-144, DOI: 10.1016/j.jeconom.2019.04.008.
• Fiorentini, Gabriele & Sentana, Enrique, 2019, "Consistent non-Gaussian pseudo maximum likelihood estimators," Journal of Econometrics, Elsevier, volume 213, issue 2, pages 321-358, DOI: 10.1016/j.jeconom.2019.05.017.
• Paolella, Marc S. & Polak, Paweł & Walker, Patrick S., 2019, "Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns," Journal of Econometrics, Elsevier, volume 213, issue 2, pages 493-515, DOI: 10.1016/j.jeconom.2019.07.002.
• Leippold, Markus & Yang, Hanlin, 2019, "Particle filtering, learning, and smoothing for mixed-frequency state-space models," Econometrics and Statistics, Elsevier, volume 12, issue C, pages 25-41, DOI: 10.1016/j.ecosta.2019.07.001.
• Morana, Claudio, 2019, "Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices," Econometrics and Statistics, Elsevier, volume 12, issue C, pages 42-65, DOI: 10.1016/j.ecosta.2019.04.001.
• García-Enríquez, Javier & Hualde, Javier, 2019, "Local Whittle estimation of long memory: Standard versus bias-reducing techniques," Econometrics and Statistics, Elsevier, volume 12, issue C, pages 66-77, DOI: 10.1016/j.ecosta.2019.05.004.
• Czudaj, Robert L., 2019, "Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach," Econometrics and Statistics, Elsevier, volume 12, issue C, pages 78-145, DOI: 10.1016/j.ecosta.2019.05.002.