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

2018

• Dungey, Mardi & Luciani, Matteo & Veredas, David, 2018, "Systemic risk in the US: Interconnectedness as a circuit breaker," Economic Modelling, Elsevier, volume 71, issue C, pages 305-315, DOI: 10.1016/j.econmod.2017.10.004.
• Cipollini, Andrea & Lo Cascio, Iolanda & Muzzioli, Silvia, 2018, "Risk aversion connectedness in five European countries," Economic Modelling, Elsevier, volume 71, issue C, pages 68-79, DOI: 10.1016/j.econmod.2017.12.003.
• Dungey, Mardi & Khan, Faisal & Raghavan, Mala, 2018, "International trade and the transmission of shocks: The case of ASEAN-4 and NIE-4 economies," Economic Modelling, Elsevier, volume 72, issue C, pages 109-121, DOI: 10.1016/j.econmod.2018.01.008.
• Otero, Jesús & Argüello, Ricardo & Oviedo, Juan Daniel & Ramírez, Manuel, 2018, "Explaining coffee price differentials in terms of chemical markers: Evidence from a pairwise approach," Economic Modelling, Elsevier, volume 72, issue C, pages 190-201, DOI: 10.1016/j.econmod.2018.01.017.
• Ma, Feng & Liu, Jing & Wahab, M.I.M. & Zhang, Yaojie, 2018, "Forecasting the aggregate oil price volatility in a data-rich environment," Economic Modelling, Elsevier, volume 72, issue C, pages 320-332, DOI: 10.1016/j.econmod.2018.02.009.
• Degiannakis, Stavros & Filis, George & Panagiotakopoulou, Sofia, 2018, "Oil price shocks and uncertainty: How stable is their relationship over time?," Economic Modelling, Elsevier, volume 72, issue C, pages 42-53, DOI: 10.1016/j.econmod.2018.01.004.
• BenSaïda, Ahmed & Litimi, Houda & Abdallah, Oussama, 2018, "Volatility spillover shifts in global financial markets," Economic Modelling, Elsevier, volume 73, issue C, pages 343-353, DOI: 10.1016/j.econmod.2018.04.011.
• Bataa, Erdenebat & Osborn, Denise R. & Sensier, Marianne, 2018, "China's increasing global influence: Changes in international growth linkages," Economic Modelling, Elsevier, volume 74, issue C, pages 194-206, DOI: 10.1016/j.econmod.2018.05.014.
• Sharma, Chandan & Pal, Debdatta, 2018, "Exchange rate volatility and India's cross-border trade: A pooled mean group and nonlinear cointegration approach," Economic Modelling, Elsevier, volume 74, issue C, pages 230-246, DOI: 10.1016/j.econmod.2018.05.016.
• Rua, António, 2018, "Modelling currency demand in a small open economy within a monetary union," Economic Modelling, Elsevier, volume 74, issue C, pages 88-96, DOI: 10.1016/j.econmod.2018.05.004.
• Jian, Zhihong & Deng, Pingjun & Zhu, Zhican, 2018, "High-dimensional covariance forecasting based on principal component analysis of high-frequency data," Economic Modelling, Elsevier, volume 75, issue C, pages 422-431, DOI: 10.1016/j.econmod.2018.07.015.
• Motegi, Kaiji & Sadahiro, Akira, 2018, "Sluggish private investment in Japan’s Lost Decade: Mixed frequency vector autoregression approach," The North American Journal of Economics and Finance, Elsevier, volume 43, issue C, pages 118-128, DOI: 10.1016/j.najef.2017.10.009.
• Bai, Shuming & Koong, Kai S., 2018, "Oil prices, stock returns, and exchange rates: Empirical evidence from China and the United States," The North American Journal of Economics and Finance, Elsevier, volume 44, issue C, pages 12-33, DOI: 10.1016/j.najef.2017.10.013.
• Chen, Wei-Peng & Ling Lin, Shu & Lu, Jun & Wu, Chih-Chiang, 2018, "The impact of funding liquidity on market quality," The North American Journal of Economics and Finance, Elsevier, volume 44, issue C, pages 153-166, DOI: 10.1016/j.najef.2017.12.002.
• Yang, Lu & Tian, Shuairu & Yang, Wei & Xu, Mingli & Hamori, Shigeyuki, 2018, "Dependence structures between Chinese stock markets and the international financial market: Evidence from a wavelet-based quantile regression approach," The North American Journal of Economics and Finance, Elsevier, volume 45, issue C, pages 116-137, DOI: 10.1016/j.najef.2018.02.005.
• de Oliveira, Felipe A. & Maia, Sinézio F. & de Jesus, Diego P. & Besarria, Cássio da N., 2018, "Which information matters to market risk spreading in Brazil? Volatility transmission modelling using MGARCH-BEKK, DCC, t-Copulas," The North American Journal of Economics and Finance, Elsevier, volume 45, issue C, pages 83-100, DOI: 10.1016/j.najef.2018.02.003.
• Ong, Sheue Li & Sato, Kiyotaka, 2018, "Regional or global shock? A global VAR analysis of Asian economic and financial integration," The North American Journal of Economics and Finance, Elsevier, volume 46, issue C, pages 232-248, DOI: 10.1016/j.najef.2018.04.009.
• Bandyopadhyay, Sanghamitra, 2018, "The absolute Gini is a more reliable measure of inequality for time dependent analyses (compared with the relative Gini)," Economics Letters, Elsevier, volume 162, issue C, pages 135-139, DOI: 10.1016/j.econlet.2017.07.012.
• Dolores Gadea-Rivas, M. & Gómez-Loscos, Ana & Bandrés, Eduardo, 2018, "Clustering regional business cycles," Economics Letters, Elsevier, volume 162, issue C, pages 171-176, DOI: 10.1016/j.econlet.2017.10.029.
• Pellegrino, Giovanni, 2018, "Uncertainty and the real effects of monetary policy shocks in the Euro area," Economics Letters, Elsevier, volume 162, issue C, pages 177-181, DOI: 10.1016/j.econlet.2017.10.006.
• Shin, Minchul & Zhang, Boyuan & Zhong, Molin & Lee, Dong Jin, 2018, "Measuring international uncertainty: The case of Korea," Economics Letters, Elsevier, volume 162, issue C, pages 22-26, DOI: 10.1016/j.econlet.2017.10.014.
• Duan, Kun & Mishra, Tapas & Parhi, Mamata, 2018, "Space matters: Understanding the real effects of macroeconomic variations in cross-country housing price movements," Economics Letters, Elsevier, volume 163, issue C, pages 130-135, DOI: 10.1016/j.econlet.2017.11.035.
• Fève, Patrick & Garcia, Pablo & Sahuc, Jean-Guillaume, 2018, "State-dependent risk taking and the transmission of monetary policy shocks," Economics Letters, Elsevier, volume 164, issue C, pages 10-14, DOI: 10.1016/j.econlet.2017.12.024.
• Ong, Kian, 2018, "Do fiscal spending news shocks generate financial spillovers?," Economics Letters, Elsevier, volume 164, issue C, pages 46-49, DOI: 10.1016/j.econlet.2017.12.039.
• Fasani, Stefano & Rossi, Lorenza, 2018, "Are uncertainty shocks aggregate demand shocks?," Economics Letters, Elsevier, volume 167, issue C, pages 142-146, DOI: 10.1016/j.econlet.2018.03.029.
• Cheah, Eng-Tuck & Mishra, Tapas & Parhi, Mamata & Zhang, Zhuang, 2018, "Long Memory Interdependency and Inefficiency in Bitcoin Markets," Economics Letters, Elsevier, volume 167, issue C, pages 18-25, DOI: 10.1016/j.econlet.2018.02.010.
• Demirer, Riza & Gupta, Rangan, 2018, "Presidential cycles and time-varying bond–stock market correlations: Evidence from more than two centuries of data," Economics Letters, Elsevier, volume 167, issue C, pages 36-39, DOI: 10.1016/j.econlet.2018.03.006.
• Kurz, Malte S., 2018, "A note on low-dimensional Kalman smoothers for systems with lagged states in the measurement equation," Economics Letters, Elsevier, volume 168, issue C, pages 42-45, DOI: 10.1016/j.econlet.2018.03.037.
• Zhang, Lingxiang, 2018, "Spurious regressions with high-order models: A reconsideration," Economics Letters, Elsevier, volume 168, issue C, pages 70-72, DOI: 10.1016/j.econlet.2018.04.007.
• Kapetanios, George & Zikes, Filip, 2018, "Time-varying Lasso," Economics Letters, Elsevier, volume 169, issue C, pages 1-6, DOI: 10.1016/j.econlet.2018.04.029.
• Klarl, Torben, 2018, "Housing is local: Applying a dynamic unobserved factor model for the Dutch housing market," Economics Letters, Elsevier, volume 170, issue C, pages 79-84, DOI: 10.1016/j.econlet.2018.05.037.
• Angelini, Giovanni & Gorgi, Paolo, 2018, "DSGE Models with observation-driven time-varying volatility," Economics Letters, Elsevier, volume 171, issue C, pages 169-171, DOI: 10.1016/j.econlet.2018.07.023.
• Meinen, Philipp & Roehe, Oke, 2018, "To sign or not to sign? On the response of prices to financial and uncertainty shocks," Economics Letters, Elsevier, volume 171, issue C, pages 189-192, DOI: 10.1016/j.econlet.2018.07.045.
• Gabauer, David & Gupta, Rangan, 2018, "On the transmission mechanism of country-specific and international economic uncertainty spillovers: Evidence from a TVP-VAR connectedness decomposition approach," Economics Letters, Elsevier, volume 171, issue C, pages 63-71, DOI: 10.1016/j.econlet.2018.07.007.
• Eraslan, Sercan & Menla Ali, Faek, 2018, "Oil price shocks and stock return volatility: New evidence based on volatility impulse response analysis," Economics Letters, Elsevier, volume 172, issue C, pages 59-62, DOI: 10.1016/j.econlet.2018.08.022.
• Wiesen, Thomas F.P. & Beaumont, Paul M. & Norrbin, Stefan C. & Srivastava, Anuj, 2018, "Are generalized spillover indices overstating connectedness?," Economics Letters, Elsevier, volume 173, issue C, pages 131-134, DOI: 10.1016/j.econlet.2018.10.007.
• Dias, Gustavo Fruet & Kapetanios, George, 2018, "Estimation and forecasting in vector autoregressive moving average models for rich datasets," Journal of Econometrics, Elsevier, volume 202, issue 1, pages 75-91, DOI: 10.1016/j.jeconom.2017.06.022.
• Johansen, Søren & Nielsen, Morten Ørregaard, 2018, "The cointegrated vector autoregressive model with general deterministic terms," Journal of Econometrics, Elsevier, volume 202, issue 2, pages 214-229, DOI: 10.1016/j.jeconom.2017.10.003.
• Sibbertsen, Philipp & Leschinski, Christian & Busch, Marie, 2018, "A multivariate test against spurious long memory," Journal of Econometrics, Elsevier, volume 203, issue 1, pages 33-49, DOI: 10.1016/j.jeconom.2017.07.005.
• Li, Jia & Patton, Andrew J., 2018, "Asymptotic inference about predictive accuracy using high frequency data," Journal of Econometrics, Elsevier, volume 203, issue 2, pages 223-240, DOI: 10.1016/j.jeconom.2017.10.005.
• Gafarov, Bulat & Meier, Matthias & Montiel Olea, José Luis, 2018, "Delta-method inference for a class of set-identified SVARs," Journal of Econometrics, Elsevier, volume 203, issue 2, pages 316-327, DOI: 10.1016/j.jeconom.2017.12.004.
• Georgiev, Iliyan & Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2018, "Testing for parameter instability in predictive regression models," Journal of Econometrics, Elsevier, volume 204, issue 1, pages 101-118, DOI: 10.1016/j.jeconom.2018.01.005.
• Giesecke, Kay & Schwenkler, Gustavo, 2018, "Filtered likelihood for point processes," Journal of Econometrics, Elsevier, volume 204, issue 1, pages 33-53, DOI: 10.1016/j.jeconom.2017.11.011.
• Chevillon, Guillaume & Hecq, Alain & Laurent, Sébastien, 2018, "Generating univariate fractional integration within a large VAR(1)," Journal of Econometrics, Elsevier, volume 204, issue 1, pages 54-65, DOI: 10.1016/j.jeconom.2018.01.002.
• Oka, Tatsushi & Perron, Pierre, 2018, "Testing for common breaks in a multiple equations system," Journal of Econometrics, Elsevier, volume 204, issue 1, pages 66-85, DOI: 10.1016/j.jeconom.2018.01.003.
• Darolles, Serge & Francq, Christian & Laurent, Sébastien, 2018, "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Journal of Econometrics, Elsevier, volume 204, issue 2, pages 223-247, DOI: 10.1016/j.jeconom.2018.02.003.
• Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique, 2018, "A spectral EM algorithm for dynamic factor models," Journal of Econometrics, Elsevier, volume 205, issue 1, pages 249-279, DOI: 10.1016/j.jeconom.2018.03.013.
• Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2018, "Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions," Journal of Econometrics, Elsevier, volume 207, issue 1, pages 71-91, DOI: 10.1016/j.jeconom.2018.05.004.
• Carvalho, Carlos & Masini, Ricardo & Medeiros, Marcelo C., 2018, "ArCo: An artificial counterfactual approach for high-dimensional panel time-series data," Journal of Econometrics, Elsevier, volume 207, issue 2, pages 352-380, DOI: 10.1016/j.jeconom.2018.07.005.
• Hwang, Jungbin & Sun, Yixiao, 2018, "Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework," Journal of Econometrics, Elsevier, volume 207, issue 2, pages 381-405, DOI: 10.1016/j.jeconom.2018.07.006.
• Marczak, Martyna & Proietti, Tommaso & Grassi, Stefano, 2018, "A data-cleaning augmented Kalman filter for robust estimation of state space models," Econometrics and Statistics, Elsevier, volume 5, issue C, pages 107-123, DOI: 10.1016/j.ecosta.2017.02.002.
• Grigoryeva, Lyudmila & Ortega, Juan-Pablo & Peresetsky, Anatoly, 2018, "Volatility forecasting using global stochastic financial trends extracted from non-synchronous data," Econometrics and Statistics, Elsevier, volume 5, issue C, pages 67-82, DOI: 10.1016/j.ecosta.2017.01.003.
• Breitung, Jörg & Schreiber, Sven, 2018, "Assessing causality and delay within a frequency band," Econometrics and Statistics, Elsevier, volume 6, issue C, pages 57-73, DOI: 10.1016/j.ecosta.2017.04.005.
• Hosszú, Zsuzsanna, 2018, "The impact of credit supply shocks and a new Financial Conditions Index based on a FAVAR approach," Economic Systems, Elsevier, volume 42, issue 1, pages 32-44, DOI: 10.1016/j.ecosys.2017.05.007.
• Audzei, Volha & Brázdik, František, 2018, "Exchange rate dynamics and their effect on macroeconomic volatility in selected CEE countries," Economic Systems, Elsevier, volume 42, issue 4, pages 584-596, DOI: 10.1016/j.ecosys.2018.02.003.
• Constantinescu, Mihnea & Nguyen, Anh D.M., 2018, "Unemployment or credit: Which one holds the potential? Results for a small open economy with a low degree of financialization," Economic Systems, Elsevier, volume 42, issue 4, pages 649-664, DOI: 10.1016/j.ecosys.2018.08.003.
• Burriel, Pablo & Galesi, Alessandro, 2018, "Uncovering the heterogeneous effects of ECB unconventional monetary policies across euro area countries," European Economic Review, Elsevier, volume 101, issue C, pages 210-229, DOI: 10.1016/j.euroecorev.2017.10.007.
• Gehrke, Britta & Weber, Enzo, 2018, "Identifying asymmetric effects of labor market reforms," European Economic Review, Elsevier, volume 110, issue C, pages 18-40, DOI: 10.1016/j.euroecorev.2018.07.006.
• Bouri, Elie & Gupta, Rangan & Hosseini, Seyedmehdi & Lau, Chi Keung Marco, 2018, "Does global fear predict fear in BRICS stock markets? Evidence from a Bayesian Graphical Structural VAR model," Emerging Markets Review, Elsevier, volume 34, issue C, pages 124-142, DOI: 10.1016/j.ememar.2017.11.004.
• Yu, Honghai & Fang, Libing & Sun, Boyang & Du, Donglei, 2018, "Risk contribution of the Chinese stock market to developed markets in the post-crisis period," Emerging Markets Review, Elsevier, volume 34, issue C, pages 87-97, DOI: 10.1016/j.ememar.2017.10.006.
• Demir, Ender & Gozgor, Giray & Sari, Emre, 2018, "Dynamics of the Turkish paintings market: A comprehensive empirical study," Emerging Markets Review, Elsevier, volume 36, issue C, pages 180-194, DOI: 10.1016/j.ememar.2018.04.007.
• Badshah, Ihsan & Bekiros, Stelios & Lucey, Brian M. & Uddin, Gazi Salah, 2018, "Asymmetric linkages among the fear index and emerging market volatility indices," Emerging Markets Review, Elsevier, volume 37, issue C, pages 17-31, DOI: 10.1016/j.ememar.2018.03.002.
• Jian, Zhihong & Wu, Shuai & Zhu, Zhican, 2018, "Asymmetric extreme risk spillovers between the Chinese stock market and index futures market: An MV-CAViaR based intraday CoVaR approach," Emerging Markets Review, Elsevier, volume 37, issue C, pages 98-113, DOI: 10.1016/j.ememar.2018.06.001.
• Wang, Yi-Chiuan & Wu, Jyh-Lin & Lai, Yi-Hao, 2018, "New evidence on asymmetric return–volume dependence and extreme movements," Journal of Empirical Finance, Elsevier, volume 45, issue C, pages 212-227, DOI: 10.1016/j.jempfin.2017.11.012.
• Chevallier, Julien & Nguyen, Duc Khuong & Siverskog, Jonathan & Uddin, Gazi Salah, 2018, "Market integration and financial linkages among stock markets in Pacific Basin countries," Journal of Empirical Finance, Elsevier, volume 46, issue C, pages 77-92, DOI: 10.1016/j.jempfin.2017.12.006.
• Dark, Jonathan, 2018, "Multivariate models with long memory dependence in conditional correlation and volatility," Journal of Empirical Finance, Elsevier, volume 48, issue C, pages 162-180, DOI: 10.1016/j.jempfin.2018.06.011.
• Xu, Xiu & Mihoci, Andrija & Härdle, Wolfgang Karl, 2018, "lCARE - localizing conditional autoregressive expectiles," Journal of Empirical Finance, Elsevier, volume 48, issue C, pages 198-220, DOI: 10.1016/j.jempfin.2018.06.006.
• Chen, Ying & Han, Qian & Niu, Linlin, 2018, "Forecasting the term structure of option implied volatility: The power of an adaptive method," Journal of Empirical Finance, Elsevier, volume 49, issue C, pages 157-177, DOI: 10.1016/j.jempfin.2018.09.006.
• Rajbhandari, Ashish & Zhang, Fan, 2018, "Does energy efficiency promote economic growth? Evidence from a multicountry and multisectoral panel dataset," Energy Economics, Elsevier, volume 69, issue C, pages 128-139, DOI: 10.1016/j.eneco.2017.11.007.
• Ji, Qiang & Zhang, Hai-Ying & Geng, Jiang-Bo, 2018, "What drives natural gas prices in the United States? – A directed acyclic graph approach," Energy Economics, Elsevier, volume 69, issue C, pages 79-88, DOI: 10.1016/j.eneco.2017.11.002.
• Bouri, Elie & Shahzad, Syed Jawad Hussain & Raza, Naveed & Roubaud, David, 2018, "Oil volatility and sovereign risk of BRICS," Energy Economics, Elsevier, volume 70, issue C, pages 258-269, DOI: 10.1016/j.eneco.2017.12.018.
• Zhang, Yaojie & Ma, Feng & Shi, Benshan & Huang, Dengshi, 2018, "Forecasting the prices of crude oil: An iterated combination approach," Energy Economics, Elsevier, volume 70, issue C, pages 472-483, DOI: 10.1016/j.eneco.2018.01.027.
• Antonakakis, Nikolaos & Cunado, Juncal & Filis, George & Gabauer, David & Perez de Gracia, Fernando, 2018, "Oil volatility, oil and gas firms and portfolio diversification," Energy Economics, Elsevier, volume 70, issue C, pages 499-515, DOI: 10.1016/j.eneco.2018.01.023.
• Zhao, Weigang & Cao, Yunfei & Miao, Bo & Wang, Ke & Wei, Yi-Ming, 2018, "Impacts of shifting China's final energy consumption to electricity on CO2 emission reduction," Energy Economics, Elsevier, volume 71, issue C, pages 359-369, DOI: 10.1016/j.eneco.2018.03.004.
• Pan, Zhiyuan & Wang, Qing & Wang, Yudong & Yang, Li, 2018, "Forecasting U.S. real GDP using oil prices: A time-varying parameter MIDAS model," Energy Economics, Elsevier, volume 72, issue C, pages 177-187, DOI: 10.1016/j.eneco.2018.04.008.
• Liu, Jing & Ma, Feng & Yang, Ke & Zhang, Yaojie, 2018, "Forecasting the oil futures price volatility: Large jumps and small jumps," Energy Economics, Elsevier, volume 72, issue C, pages 321-330, DOI: 10.1016/j.eneco.2018.04.023.
• Cross, Jamie & Nguyen, Bao H., 2018, "Time varying macroeconomic effects of energy price shocks: A new measure for China," Energy Economics, Elsevier, volume 73, issue C, pages 146-160, DOI: 10.1016/j.eneco.2018.05.014.
• Drachal, Krzysztof, 2018, "Comparison between Bayesian and information-theoretic model averaging: Fossil fuels prices example," Energy Economics, Elsevier, volume 74, issue C, pages 208-251, DOI: 10.1016/j.eneco.2018.04.043.
• Escribano, Alvaro & Sucarrat, Genaro, 2018, "Equation-by-equation estimation of multivariate periodic electricity price volatility," Energy Economics, Elsevier, volume 74, issue C, pages 287-298, DOI: 10.1016/j.eneco.2018.05.017.
• Di Sanzo, Silvestro, 2018, "A Markov switching long memory model of crude oil price return volatility," Energy Economics, Elsevier, volume 74, issue C, pages 351-359, DOI: 10.1016/j.eneco.2018.06.015.
• Smith, Michael Stanley & Shively, Thomas S., 2018, "Econometric modeling of regional electricity spot prices in the Australian market," Energy Economics, Elsevier, volume 74, issue C, pages 886-903, DOI: 10.1016/j.eneco.2018.07.013.
• Chang, Kai & Chen, Rongda & Chevallier, Julien, 2018, "Market fragmentation, liquidity measures and improvement perspectives from China's emissions trading scheme pilots," Energy Economics, Elsevier, volume 75, issue C, pages 249-260, DOI: 10.1016/j.eneco.2018.07.010.
• Dimpfl, Thomas & Peter, Franziska J., 2018, "Analyzing volatility transmission using group transfer entropy," Energy Economics, Elsevier, volume 75, issue C, pages 368-376, DOI: 10.1016/j.eneco.2018.08.008.
• Ma, Feng & Zhang, Yaojie & Huang, Dengshi & Lai, Xiaodong, 2018, "Forecasting oil futures price volatility: New evidence from realized range-based volatility," Energy Economics, Elsevier, volume 75, issue C, pages 400-409, DOI: 10.1016/j.eneco.2018.09.006.
• Hou, Chenghan & Nguyen, Bao H., 2018, "Understanding the US natural gas market: A Markov switching VAR approach," Energy Economics, Elsevier, volume 75, issue C, pages 42-53, DOI: 10.1016/j.eneco.2018.08.004.
• Prakash Ranjan, Ravi & Bhattachharyya, Malay, 2018, "Does investor attention to energy stocks exhibit power law?," Energy Economics, Elsevier, volume 75, issue C, pages 573-582, DOI: 10.1016/j.eneco.2018.09.005.
• Gavard, Claire & Kirat, Djamel, 2018, "Flexibility in the market for international carbon credits and price dynamics difference with European allowances," Energy Economics, Elsevier, volume 76, issue C, pages 504-518, DOI: 10.1016/j.eneco.2018.10.018.
• Chang, Chun-Ping & Wen, Jun & Dong, Minyi & Hao, Yu, 2018, "Does government ideology affect environmental pollutions? New evidence from instrumental variable quantile regression estimations," Energy Policy, Elsevier, volume 113, issue C, pages 386-400, DOI: 10.1016/j.enpol.2017.11.021.
• Bigerna, Simona, 2018, "Estimating temperature effects on the Italian electricity market," Energy Policy, Elsevier, volume 118, issue C, pages 257-269, DOI: 10.1016/j.enpol.2018.03.068.
• Dash, Devi Prasad & Sethi, Narayan & Bal, Debi Prasad, 2018, "Is the demand for crude oil inelastic for India? Evidence from structural VAR analysis," Energy Policy, Elsevier, volume 118, issue C, pages 552-558, DOI: 10.1016/j.enpol.2018.04.001.
• Bekiros, Stelios & Avdoulas, Christos & Hassapis, Christis, 2018, "Nonlinear equilibrium adjustment dynamics and predictability of the term structure of interest rates," International Review of Financial Analysis, Elsevier, volume 55, issue C, pages 140-155, DOI: 10.1016/j.irfa.2017.11.009.
• Frijns, Bart & Indriawan, Ivan & Tourani-Rad, Alireza, 2018, "The interactions between price discovery, liquidity and algorithmic trading for U.S.-Canadian cross-listed shares," International Review of Financial Analysis, Elsevier, volume 56, issue C, pages 136-152, DOI: 10.1016/j.irfa.2018.01.005.
• Xu, Yongdeng & Taylor, Nick & Lu, Wenna, 2018, "Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: An MEM approach," International Review of Financial Analysis, Elsevier, volume 56, issue C, pages 208-220, DOI: 10.1016/j.irfa.2018.01.011.
• Ji, Qiang & Bouri, Elie & Roubaud, David, 2018, "Dynamic network of implied volatility transmission among US equities, strategic commodities, and BRICS equities," International Review of Financial Analysis, Elsevier, volume 57, issue C, pages 1-12, DOI: 10.1016/j.irfa.2018.02.001.
• Caloia, Francesco Giuseppe & Cipollini, Andrea & Muzzioli, Silvia, 2018, "Asymmetric semi-volatility spillover effects in EMU stock markets," International Review of Financial Analysis, Elsevier, volume 57, issue C, pages 221-230, DOI: 10.1016/j.irfa.2018.03.001.
• Karanasos, Menelaos & Menla Ali, Faek & Margaronis, Zannis & Nath, Rajat, 2018, "Modelling time varying volatility spillovers and conditional correlations across commodity metal futures," International Review of Financial Analysis, Elsevier, volume 57, issue C, pages 246-256, DOI: 10.1016/j.irfa.2017.11.003.
• Bilgin, Mehmet Huseyin & Gozgor, Giray & Lau, Chi Keung Marco & Sheng, Xin, 2018, "The effects of uncertainty measures on the price of gold," International Review of Financial Analysis, Elsevier, volume 58, issue C, pages 1-7, DOI: 10.1016/j.irfa.2018.03.009.
• Schmidbauer, Harald & Rösch, Angi, 2018, "The impact of festivities on gold price expectation and volatility," International Review of Financial Analysis, Elsevier, volume 58, issue C, pages 117-131, DOI: 10.1016/j.irfa.2018.03.006.
• Ahmad, Wasim & Mishra, Anil V. & Daly, Kevin, 2018, "Heterogeneous dependence and dynamic hedging between sectors of BRIC and global markets," International Review of Financial Analysis, Elsevier, volume 59, issue C, pages 117-133, DOI: 10.1016/j.irfa.2018.07.005.
• Antonakakis, Nikolaos & Chang, Tsangyao & Cunado, Juncal & Gupta, Rangan, 2018, "The relationship between commodity markets and commodity mutual funds: A wavelet-based analysis," Finance Research Letters, Elsevier, volume 24, issue C, pages 1-9, DOI: 10.1016/j.frl.2017.03.005.
• Österholm, Pär, 2018, "The relation between treasury yields and corporate bond yield spreads in Australia: Evidence from VARs," Finance Research Letters, Elsevier, volume 24, issue C, pages 186-192, DOI: 10.1016/j.frl.2017.09.009.
• Jena, Sangram Keshari & Tiwari, Aviral Kumar & Roubaud, David & Shahbaz, Muhammad, 2018, "Index futures volatility and trading activity: Measuring causality at a multiple horizon," Finance Research Letters, Elsevier, volume 24, issue C, pages 247-255, DOI: 10.1016/j.frl.2017.09.012.
• Zhu, Fangfei & Zhu, Yabei & Jin, Xuejun & Luo, Xingguo, 2018, "Do spillover effects between crude oil and natural gas markets disappear? Evidence from option markets," Finance Research Letters, Elsevier, volume 24, issue C, pages 25-33, DOI: 10.1016/j.frl.2017.05.007.
• Zhipeng, Yan & Shenghong, Li, 2018, "Hedge ratio on Markov regime-switching diagonal Bekk–Garch model," Finance Research Letters, Elsevier, volume 24, issue C, pages 49-55, DOI: 10.1016/j.frl.2017.06.015.
• Guo, Peng & Zhu, Huiming & You, Wanhai, 2018, "Asymmetric dependence between economic policy uncertainty and stock market returns in G7 and BRIC: A quantile regression approach," Finance Research Letters, Elsevier, volume 25, issue C, pages 251-258, DOI: 10.1016/j.frl.2017.11.001.
• Dey, Shubhasis & Sampath, Aravind, 2018, "Dynamic linkages between gold and equity prices: Evidence from Indian financial services and information technology companies," Finance Research Letters, Elsevier, volume 25, issue C, pages 41-46, DOI: 10.1016/j.frl.2017.10.002.
• Pan, Wei-Fong, 2018, "Sentiment and asset price bubble in the precious metals markets," Finance Research Letters, Elsevier, volume 26, issue C, pages 106-111, DOI: 10.1016/j.frl.2017.12.012.
• Dash, Saumya Ranjan & Maitra, Debasish, 2018, "Does sentiment matter for stock returns? Evidence from Indian stock market using wavelet approach," Finance Research Letters, Elsevier, volume 26, issue C, pages 32-39, DOI: 10.1016/j.frl.2017.11.008.
• Damianov, Damian S. & Elsayed, Ahmed H., 2018, "On the transmission of spillover risks between the housing market, the mortgage and equity REITs markets, and the stock market," Finance Research Letters, Elsevier, volume 27, issue C, pages 193-200, DOI: 10.1016/j.frl.2018.03.001.
• NETO, David, 2018, "What to do when effective exchange rates cannot be calculated for developing economies? PANIC?," Finance Research Letters, Elsevier, volume 27, issue C, pages 283-290, DOI: 10.1016/j.frl.2018.03.010.
• Dai, Zhifeng & Wen, Fenghua, 2018, "Some improved sparse and stable portfolio optimization problems," Finance Research Letters, Elsevier, volume 27, issue C, pages 46-52, DOI: 10.1016/j.frl.2018.02.026.
• Fleming, Michael J. & Mizrach, Bruce & Nguyen, Giang, 2018, "The microstructure of a U.S. Treasury ECN: The BrokerTec platform," Journal of Financial Markets, Elsevier, volume 40, issue C, pages 2-22, DOI: 10.1016/j.finmar.2017.05.004.
• Yoldas, Emre & Senyuz, Zeynep, 2018, "Financial stress and equilibrium dynamics in term interbank funding markets," Journal of Financial Stability, Elsevier, volume 34, issue C, pages 136-149, DOI: 10.1016/j.jfs.2018.01.002.
• Hiebert, Paul & Jaccard, Ivan & Schüler, Yves, 2018, "Contrasting financial and business cycles: Stylized facts and candidate explanations," Journal of Financial Stability, Elsevier, volume 38, issue C, pages 72-80, DOI: 10.1016/j.jfs.2018.06.002.
• Degiannakis, Stavros, 2018, "Multiple days ahead realized volatility forecasting: Single, combined and average forecasts," Global Finance Journal, Elsevier, volume 36, issue C, pages 41-61, DOI: 10.1016/j.gfj.2017.12.002.
• Cesa-Bianchi, Ambrogio & Ferrero, Andrea & Rebucci, Alessandro, 2018, "International credit supply shocks," Journal of International Economics, Elsevier, volume 112, issue C, pages 219-237, DOI: 10.1016/j.jinteco.2017.11.006.
• Hunt, Andrew & Blake, David, 2018, "Identifiability, cointegration and the gravity model," Insurance: Mathematics and Economics, Elsevier, volume 78, issue C, pages 360-368, DOI: 10.1016/j.insmatheco.2017.09.014.
• Ojeda-Joya, Jair N. & Sarmiento, Gloria, 2018, "Sovereign risk and the real exchange rate: A non-linear approach," International Economics, Elsevier, volume 156, issue C, pages 1-14, DOI: 10.1016/j.inteco.2017.05.003.
• Bahloul, Walid & Gupta, Rangan, 2018, "Impact of macroeconomic news surprises and uncertainty for major economies on returns and volatility of oil futures," International Economics, Elsevier, volume 156, issue C, pages 247-253, DOI: 10.1016/j.inteco.2018.04.002.
• Boutabba, Mohamed Amine & Diaw, Diadié & Lessoua, Albert, 2018, "Environment-energy-growth nexus in Sub-Saharan Africa: The role of intermediate goods," International Economics, Elsevier, volume 156, issue C, pages 254-267, DOI: 10.1016/j.inteco.2018.04.003.
• Benkraiem, Ramzi & Lahiani, Amine & Miloudi, Anthony & Shahbaz, Muhammad, 2018, "New insights into the US stock market reactions to energy price shocks," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 56, issue C, pages 169-187, DOI: 10.1016/j.intfin.2018.02.004.
• Lu, Ruoxi & Bessler, David A. & Leatham, David J., 2018, "The transmission of liquidity shocks via China's segmented money market: Evidence from recent market events," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 57, issue C, pages 110-126, DOI: 10.1016/j.intfin.2018.07.005.
• Wang, Gang-Jin & Xie, Chi & Zhao, Longfeng & Jiang, Zhi-Qiang, 2018, "Volatility connectedness in the Chinese banking system: Do state-owned commercial banks contribute more?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 57, issue C, pages 205-230, DOI: 10.1016/j.intfin.2018.07.008.
• Fong, Tom Pak Wing & Sze, Angela Kin Wan & Ho, Edmund Ho Cheung, 2018, "Determinants of equity mutual fund flows – Evidence from the fund flow dynamics between Hong Kong and global markets," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 57, issue C, pages 231-247, DOI: 10.1016/j.intfin.2018.09.001.
• Knüppel, Malte, 2018, "Forecast-error-based estimation of forecast uncertainty when the horizon is increased," International Journal of Forecasting, Elsevier, volume 34, issue 1, pages 105-116, DOI: 10.1016/j.ijforecast.2017.08.006.
• de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018, "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, volume 34, issue 1, pages 45-63, DOI: 10.1016/j.ijforecast.2017.08.003.
• Hasumi, Ryo & Iiboshi, Hirokuni & Nakamura, Daisuke, 2018, "Trends, cycles and lost decades: Decomposition from a DSGE model with endogenous growth," Japan and the World Economy, Elsevier, volume 46, issue C, pages 9-28, DOI: 10.1016/j.japwor.2018.02.003.
• Herrera, R. & Clements, A.E., 2018, "Point process models for extreme returns: Harnessing implied volatility," Journal of Banking & Finance, Elsevier, volume 88, issue C, pages 161-175, DOI: 10.1016/j.jbankfin.2017.12.001.
• Schweikert, Karsten, 2018, "Are gold and silver cointegrated? New evidence from quantile cointegrating regressions," Journal of Banking & Finance, Elsevier, volume 88, issue C, pages 44-51, DOI: 10.1016/j.jbankfin.2017.11.010.
• Podstawski, Maximilian & Velinov, Anton, 2018, "The state dependent impact of bank exposure on sovereign risk," Journal of Banking & Finance, Elsevier, volume 88, issue C, pages 63-75, DOI: 10.1016/j.jbankfin.2017.11.002.
• (Jeremy) Chiu, Ching-wai & Harris, Richard D.F. & Stoja, Evarist & Chin, Michael, 2018, "Financial market Volatility, macroeconomic fundamentals and investor Sentiment," Journal of Banking & Finance, Elsevier, volume 92, issue C, pages 130-145, DOI: 10.1016/j.jbankfin.2018.05.003.
• Green, Rikard & Larsson, Karl & Lunina, Veronika & Nilsson, Birger, 2018, "Cross-commodity news transmission and volatility spillovers in the German energy markets," Journal of Banking & Finance, Elsevier, volume 95, issue C, pages 231-243, DOI: 10.1016/j.jbankfin.2017.10.004.
• Santis, Roberto A. De, 2018, "Unobservable systematic risk, economic activity and stock market," Journal of Banking & Finance, Elsevier, volume 97, issue C, pages 51-69, DOI: 10.1016/j.jbankfin.2018.09.014.
• Farago, Adam & Tédongap, Roméo, 2018, "Downside risks and the cross-section of asset returns," Journal of Financial Economics, Elsevier, volume 129, issue 1, pages 69-86, DOI: 10.1016/j.jfineco.2018.03.010.
• Everaert, Gerdie & Iseringhausen, Martin, 2018, "Measuring the international dimension of output volatility," Journal of International Money and Finance, Elsevier, volume 81, issue C, pages 20-39, DOI: 10.1016/j.jimonfin.2017.11.001.
• Brož, Václav & Kočenda, Evžen, 2018, "Dynamics and factors of inflation convergence in the European union," Journal of International Money and Finance, Elsevier, volume 86, issue C, pages 93-111, DOI: 10.1016/j.jimonfin.2018.04.002.
• Chen, Yu-chin & Lee, Dongwon, 2018, "Market power, inflation targeting, and commodity currencies," Journal of International Money and Finance, Elsevier, volume 88, issue C, pages 122-139, DOI: 10.1016/j.jimonfin.2018.07.002.
• Istrefi, Klodiana & Mouabbi, Sarah, 2018, "Subjective interest rate uncertainty and the macroeconomy: A cross-country analysis," Journal of International Money and Finance, Elsevier, volume 88, issue C, pages 296-313, DOI: 10.1016/j.jimonfin.2017.07.015.
• Lovcha, Yuliya & Perez-Laborda, Alejandro, 2018, "Monetary policy shocks, inflation persistence, and long memory," Journal of Macroeconomics, Elsevier, volume 55, issue C, pages 117-127, DOI: 10.1016/j.jmacro.2017.10.006.
• Fausch, Jürg & Sigonius, Markus, 2018, "The impact of ECB monetary policy surprises on the German stock market," Journal of Macroeconomics, Elsevier, volume 55, issue C, pages 46-63, DOI: 10.1016/j.jmacro.2017.09.001.
• Pontines, Victor, 2018, "Self-selection and treatment effects: Revisiting the effectiveness of foreign exchange intervention," Journal of Macroeconomics, Elsevier, volume 57, issue C, pages 299-316, DOI: 10.1016/j.jmacro.2018.06.007.
• Gupta, Rangan & Ma, Jun & Risse, Marian & Wohar, Mark E., 2018, "Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty," Journal of Macroeconomics, Elsevier, volume 57, issue C, pages 317-337, DOI: 10.1016/j.jmacro.2018.06.009.
• Romano, Simone, 2018, "Fiscal foresight: Do expectations have cross-border effects?," Journal of Macroeconomics, Elsevier, volume 57, issue C, pages 71-82, DOI: 10.1016/j.jmacro.2018.05.001.
• Dahl, Roy Endré & Jonsson, Erlendur, 2018, "Volatility spillover in seafood markets," Journal of Commodity Markets, Elsevier, volume 12, issue C, pages 44-59, DOI: 10.1016/j.jcomm.2017.12.005.
• Cavallo, Antonella & Ribba, Antonio, 2018, "Measuring the effects of oil price and Euro-area shocks on CEECs business cycles," Journal of Policy Modeling, Elsevier, volume 40, issue 1, pages 74-96, DOI: 10.1016/j.jpolmod.2017.09.006.
• Helmy, Heba E., 2018, "The twin deficit hypothesis in Egypt," Journal of Policy Modeling, Elsevier, volume 40, issue 2, pages 328-349, DOI: 10.1016/j.jpolmod.2018.01.009.
• Dua, Pami & Kapur, Hema, 2018, "Macro stress testing and resilience assessment of Indian banking," Journal of Policy Modeling, Elsevier, volume 40, issue 2, pages 452-475, DOI: 10.1016/j.jpolmod.2018.01.005.
• Plakandaras, Vasilios & Gupta, Rangan & Wohar, Mark E., 2018, "UK macroeconomic volatility: Historical evidence over seven centuries," Journal of Policy Modeling, Elsevier, volume 40, issue 4, pages 767-789, DOI: 10.1016/j.jpolmod.2018.04.002.
• Doménech, Rafael & García, Juan Ramón & Ulloa, Camilo, 2018, "The effects of wage flexibility on activity and employment in Spain," Journal of Policy Modeling, Elsevier, volume 40, issue 6, pages 1200-1220, DOI: 10.1016/j.jpolmod.2018.08.002.
• Guglielminetti, Elisa & Pouraghdam, Meradj, 2018, "Time-varying job creation and macroeconomic shocks," Labour Economics, Elsevier, volume 50, issue C, pages 156-179, DOI: 10.1016/j.labeco.2017.09.008.
• Baumeister, Christiane & Hamilton, James D., 2018, "Inference in structural vector autoregressions when the identifying assumptions are not fully believed: Re-evaluating the role of monetary policy in economic fluctuations," Journal of Monetary Economics, Elsevier, volume 100, issue C, pages 48-65, DOI: 10.1016/j.jmoneco.2018.06.005.
• Barnichon, Regis & Matthes, Christian, 2018, "Functional Approximation of Impulse Responses," Journal of Monetary Economics, Elsevier, volume 99, issue C, pages 41-55, DOI: 10.1016/j.jmoneco.2018.04.013.
• Wu, Lei & Liu, Chunlin & Meng, Qingbin & Zeng, Hongchao, 2018, "Price discovery in China's inter-bank bond market," Pacific-Basin Finance Journal, Elsevier, volume 48, issue C, pages 84-98, DOI: 10.1016/j.pacfin.2017.12.010.
• Fang, Libing & Xiao, Binqing & Yu, Honghai & You, Qixing, 2018, "A stable systemic risk ranking in China’s banking sector: Based on principal component analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 492, issue C, pages 1997-2009, DOI: 10.1016/j.physa.2017.11.115.
• Wei, Yu & Yu, Qianwen & Liu, Jing & Cao, Yang, 2018, "Hot money and China’s stock market volatility: Further evidence using the GARCH–MIDAS model," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 492, issue C, pages 923-930, DOI: 10.1016/j.physa.2017.11.022.
• Uddin, Gazi Salah & Bekiros, Stelios & Ahmed, Ali, 2018, "The nexus between geopolitical uncertainty and crude oil markets: An entropy-based wavelet analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 495, issue C, pages 30-39, DOI: 10.1016/j.physa.2017.12.025.
• Kanda, Patrick & Burke, Michael & Gupta, Rangan, 2018, "Time-varying causality between equity and currency returns in the United Kingdom: Evidence from over two centuries of data," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 506, issue C, pages 1060-1080, DOI: 10.1016/j.physa.2018.05.037.
• Bonaccolto, G. & Caporin, M. & Gupta, R., 2018, "The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 507, issue C, pages 446-469, DOI: 10.1016/j.physa.2018.05.061.
• Hassani, Hossein & Silva, Emmanuel Sirimal & Gupta, Rangan & Das, Sonali, 2018, "Predicting global temperature anomaly: A definitive investigation using an ensemble of twelve competing forecasting models," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 509, issue C, pages 121-139, DOI: 10.1016/j.physa.2018.05.147.
• Dybowski, T.P. & Adämmer, P., 2018, "The economic effects of U.S. presidential tax communication: Evidence from a correlated topic model," European Journal of Political Economy, Elsevier, volume 55, issue C, pages 511-525, DOI: 10.1016/j.ejpoleco.2018.05.001.
• Li, Hong, 2018, "Residual state ownership and stock market integration: Evidence from Chinese partly-privatised firms," The Quarterly Review of Economics and Finance, Elsevier, volume 67, issue C, pages 100-112, DOI: 10.1016/j.qref.2017.05.004.
• Ahmad, Wasim & Rais, Shirin & Shaik, Abdul Rahman, 2018, "Modelling the directional spillovers from DJIM Index to conventional benchmarks: Different this time?," The Quarterly Review of Economics and Finance, Elsevier, volume 67, issue C, pages 14-27, DOI: 10.1016/j.qref.2017.04.012.
• Fang, Sheng & Egan, Paul, 2018, "Measuring contagion effects between crude oil and Chinese stock market sectors," The Quarterly Review of Economics and Finance, Elsevier, volume 68, issue C, pages 31-38, DOI: 10.1016/j.qref.2017.11.010.
• Balcilar, Mehmet & Gupta, Rangan & van Eyden, Reneé & Thompson, Kirsten & Majumdar, Anandamayee, 2018, "Comparing the forecasting ability of financial conditions indices: The case of South Africa," The Quarterly Review of Economics and Finance, Elsevier, volume 69, issue C, pages 245-259, DOI: 10.1016/j.qref.2018.03.012.
• Morales-Zumaquero, Amalia & Sosvilla-Rivero, Simón, 2018, "Volatility spillovers between foreign exchange and stock markets in industrialized countries," The Quarterly Review of Economics and Finance, Elsevier, volume 70, issue C, pages 121-136, DOI: 10.1016/j.qref.2018.04.013.
• Tiwari, Aviral Kumar & Cunado, Juncal & Gupta, Rangan & Wohar, Mark E., 2018, "Volatility spillovers across global asset classes: Evidence from time and frequency domains," The Quarterly Review of Economics and Finance, Elsevier, volume 70, issue C, pages 194-202, DOI: 10.1016/j.qref.2018.05.001.
• Guisinger, Amy Y. & Hernandez-Murillo, Ruben & Owyang, Michael T. & Sinclair, Tara M., 2018, "A state-level analysis of Okun's law," Regional Science and Urban Economics, Elsevier, volume 68, issue C, pages 239-248, DOI: 10.1016/j.regsciurbeco.2017.11.005.
• Chang, Chia-Lin & McAleer, Michael & Wang, Yu-Ann, 2018, "Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices," Renewable and Sustainable Energy Reviews, Elsevier, volume 81, issue P1, pages 1002-1018, DOI: 10.1016/j.rser.2017.07.024.
• Nowotarski, Jakub & Weron, Rafał, 2018, "Recent advances in electricity price forecasting: A review of probabilistic forecasting," Renewable and Sustainable Energy Reviews, Elsevier, volume 81, issue P1, pages 1548-1568, DOI: 10.1016/j.rser.2017.05.234.
• Skjerpen, Terje & Storrøsten, Halvor Briseid & Rosendahl, Knut Einar & Osmundsen, Petter, 2018, "Modelling and forecasting rig rates on the Norwegian Continental Shelf," Resource and Energy Economics, Elsevier, volume 53, issue C, pages 220-239, DOI: 10.1016/j.reseneeco.2018.05.004.
• Christou, Christina & Gupta, Rangan & Nyakabawo, Wendy & Wohar, Mark E., 2018, "Do house prices hedge inflation in the US? A quantile cointegration approach," International Review of Economics & Finance, Elsevier, volume 54, issue C, pages 15-26, DOI: 10.1016/j.iref.2017.12.012.
• Stona, Filipe & Morais, Igor A.C. & Triches, Divanildo, 2018, "Economic dynamics during periods of financial stress: Evidences from Brazil," International Review of Economics & Finance, Elsevier, volume 55, issue C, pages 130-144, DOI: 10.1016/j.iref.2018.02.006.
• Huang, MeiChi, 2018, "Time-varying diversification strategies: The roles of state-level housing assets in optimal portfolios," International Review of Economics & Finance, Elsevier, volume 55, issue C, pages 145-172, DOI: 10.1016/j.iref.2018.02.001.
• Hassouneh, Islam & Couleau, Anabelle & Serra, Teresa & Al-Sharif, Iqbal, 2018, "The effect of conflict on Palestine, Israel, and Jordan stock markets," International Review of Economics & Finance, Elsevier, volume 56, issue C, pages 258-266, DOI: 10.1016/j.iref.2017.10.028.
• Ghosh, Taniya & Bhadury, Soumya, 2018, "Money's causal role in exchange rate: Do divisia monetary aggregates explain more?," International Review of Economics & Finance, Elsevier, volume 57, issue C, pages 402-417, DOI: 10.1016/j.iref.2018.02.005.
• Yu, Honghai & Du, Donglei & Fang, Libing & Yan, Panpan, 2018, "Risk contribution of crude oil to industry stock returns," International Review of Economics & Finance, Elsevier, volume 58, issue C, pages 179-199, DOI: 10.1016/j.iref.2018.03.009.
• Jitmaneeroj, Boonlert, 2018, "The effect of the rebalancing horizon on the tradeoff between hedging effectiveness and transaction costs," International Review of Economics & Finance, Elsevier, volume 58, issue C, pages 282-298, DOI: 10.1016/j.iref.2018.03.027.
• Neaime, Simon & Gaysset, Isabelle & Badra, Nasser, 2018, "The eurozone debt crisis: A structural VAR approach," Research in International Business and Finance, Elsevier, volume 43, issue C, pages 22-33, DOI: 10.1016/j.ribaf.2017.08.002.
• Kyritsis, Evangelos & Serletis, Apostolos, 2018, "The zero lower bound and market spillovers: Evidence from the G7 and Norway," Research in International Business and Finance, Elsevier, volume 44, issue C, pages 100-123, DOI: 10.1016/j.ribaf.2017.05.015.
• Huo, Rui & Ahmed, Abdullahi D., 2018, "Relationships between Chinese stock market and its index futures market: Evaluating the impact of QFII scheme," Research in International Business and Finance, Elsevier, volume 44, issue C, pages 135-152, DOI: 10.1016/j.ribaf.2017.07.049.
• Tsagkanos, Athanasios & Evgenidis, Anastasios & Vartholomatou, Konstantina, 2018, "Financial and monetary stability across Euro-zone and BRICS: An exogenous threshold VAR approach," Research in International Business and Finance, Elsevier, volume 44, issue C, pages 386-393, DOI: 10.1016/j.ribaf.2017.07.108.
• Mensah, Jones Odei & Premaratne, Gamini, 2018, "Dependence patterns among Asian banking sector stocks: A copula approach," Research in International Business and Finance, Elsevier, volume 45, issue C, pages 357-388, DOI: 10.1016/j.ribaf.2017.07.169.
• Lau, Chi Keung Marco & Sheng, Xin, 2018, "Inter- and intra-regional analysis on spillover effects across international stock markets," Research in International Business and Finance, Elsevier, volume 46, issue C, pages 420-429, DOI: 10.1016/j.ribaf.2018.04.013.
• Caporale, Guglielmo Maria & Spagnolo, Fabio & Spagnolo, Nicola, 2018, "Exchange rates and macro news in emerging markets," Research in International Business and Finance, Elsevier, volume 46, issue C, pages 516-527, DOI: 10.1016/j.ribaf.2018.06.007.
• Kumar, Satish, 2018, "Price discovery in emerging currency markets," Research in International Business and Finance, Elsevier, volume 46, issue C, pages 528-536, DOI: 10.1016/j.ribaf.2018.07.001.
• van Aarle, Bas & Engwerda, Jacob & Weeren, Arie, 2018, "Effects of debt mutualization in a monetary union with endogenous risk premia: Can Eurobonds contribute to debt stabilization?," Structural Change and Economic Dynamics, Elsevier, volume 44, issue C, pages 100-114, DOI: 10.1016/j.strueco.2017.11.004.
• Lastauskas, Povilas & Stakenas, Julius, 2018, "Structural labour market reforms in the EU-15: Single-country vs. coordinated counterfactuals," Structural Change and Economic Dynamics, Elsevier, volume 44, issue C, pages 88-99, DOI: 10.1016/j.strueco.2017.11.001.
• Bazán-Palomino, Walter & Rodríguez, Gabriel, 2018, "The New Keynesian framework for a small open economy with structural breaks: Empirical evidence from Peru," Structural Change and Economic Dynamics, Elsevier, volume 46, issue C, pages 13-25, DOI: 10.1016/j.strueco.2018.03.004.
• Bahal, Girish & Raissi, Mehdi & Tulin, Volodymyr, 2018, "Crowding-out or crowding-in? Public and private investment in India," World Development, Elsevier, volume 109, issue C, pages 323-333, DOI: 10.1016/j.worlddev.2018.05.004.
• George Richards, 2018, "Estimation of a Nonlinear Common Factor Model," Journal of Economics and Econometrics, Economics and Econometrics Society, volume 61, issue 1, pages 1-28.
• Jitendra Kumar & Varun Agiwal, 2018, "Merger and Acquire of Series: A New Approach of Time Series Modeling," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI RP 2018/16, Dec.
• Rabindra Nepal & Nirash Paija, 2018, "Closing the Evidence Gap: Energy Consumption, Real Output and Pollutant Emissions in a Developing Mountainous Economy," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2018-03, Jan.
• Victor Pontines, 2018, "Self-Selection and Treatment Effects in Macroeconomics: Revisiting the Effectiveness of Foreign Exchange Intervention," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2018-13, Mar.
• Chenghan Hou & Bao H. Nguyen, 2018, "Understanding the US Natural Gas Market: A Markov Switching VAR Approach," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2018-14, Apr.
• Jamie L. Cross & Chenghan Hou & Aubrey Poon, 2018, "International Transmissions of Aggregate Macroeconomic Uncertainty in Small Open Economies: An Empirical Approach," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2018-16, Apr.
• Stephan B. Bruns & Johannes König & David I. Stern, 2018, "Replication and Robustness Analysis of 'Energy and Economic Growth in the USA: A Multivariate Approach'," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2018-18, Apr.
• Joshua C.C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2018, "Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2018-26, May.
• Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2018, "Economic Policy Uncertainty Spillovers in Booms and Busts," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2018-27, Jun.
• Anthony Garratt & Shaun P. Vahey & Yunyi Zhang, 2018, "Real-Time Forecast Combinations for the Oil Price," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2018-38, Aug.