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

2015

• Jean-Pierre Allegret & Cécile Couharde & Valérie Mignon & Tovonony Razafindrabe, 2015, "Oil currencies in the face of oil shocks: What can be learned from time-varying specifications?," Post-Print, HAL, number hal-01411812.
• Jean-Pierre Allegret & Cécile Couharde & Valérie Mignon & Tovonony Razafindrabe, 2015, "Oil currencies in the face of oil shocks: What can be learned from time-varying specifications?," Post-Print, HAL, number hal-01411817.
• Anna Creti & Khaled Guesmi, 2015, "International CAPM and Oil Price: Evidence from Selected OPEC Countries," Post-Print, HAL, number hal-01438377.
• Sofiane Aboura & Julien Chevallier, 2015, "A cross-volatility index for hedging the country risk," Post-Print, HAL, number hal-01529742, DOI: 10.1016/j.intfin.2015.05.008.
• Sofiane Aboura & Julien Chevallier, 2015, "Volatility returns with vengeance: Financial markets vs. commodities," Post-Print, HAL, number hal-01529747, DOI: 10.1016/j.ribaf.2014.04.003.
• Patrick Fève & Jean-Guillaume Sahuc, 2015, "On the Size of the Government Spending Multiplier in the Euro Area," Post-Print, HAL, number hal-01612703, DOI: 10.1093/oep/gpv025.
• Valeriy Mironov & Anna Petronevich, 2015, "Discovering the signs of Dutch disease in Russia," Post-Print, HAL, number hal-01692231, Dec, DOI: 10.1016/j.resourpol.2015.09.007.
• Vincent Bodart & Bertrand Candelon & Jean-François Carpantier, 2015, "Real exchanges rates, commodity prices and structural factors in developing countries," Post-Print, HAL, number hal-01821129, DOI: 10.1016/j.jimonfin.2014.1.
• Maria Eugenia Sanin & Francesco Violante & Maria Mansanet-Bataller, 2015, "Understanding volatility dynamics in the EU-ETS market," Post-Print, HAL, number hal-02878047, Jul, DOI: 10.1016/j.enpol.2015.02.024.
• Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance & Francesco Saraceno, 2015, "Assessing the link between price and financial stability," Post-Print, HAL, number hal-03399269, Feb, DOI: 10.1016/j.jfs.2014.12.003.
• Audrey Allegret Sallenave & Jean-Pierre Allegret & Valerie Mignon, 2015, "Oil price shocks and global imbalances: lessons from a model with trade and financial interdependencies," Post-Print, HAL, number hal-03572504.
• Christian Francq & Simos Meintanis, 2015, "Fourier-type estimation of the power GARCH model with stable-Paretian innovations," Post-Print, HAL, number hal-05417341, Sep, DOI: 10.1007/s00184-015-0560-x.
• Dominique Guegan & Lanouar Charfeddine, 2015, "Which is the best model for the US inflation rate: a structural changes model or a long memory process," Post-Print, HAL, number halshs-00645841.
• Marie-Estelle Binet & Jean-Sébastien Pentecôte, 2015, "Macroeconomic idiosyncrasies and European monetary unification: A sceptical long run view," Post-Print, HAL, number halshs-01238568, Dec, DOI: 10.1016/j.econmod.2015.08.030.
• Sofiane Aboura & Julien Chevallier, 2015, "Cross-market volatility index with Factor-DCC," Post-Print, HAL, number halshs-01348723, Dec, DOI: 10.1016/j.irfa.2014.06.003.
• Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance & Francesco Saraceno, 2015, "Assessing the link between price and financial stability," Sciences Po Economics Publications (main), HAL, number hal-03399269, Feb, DOI: 10.1016/j.jfs.2014.12.003.
• Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2015, "Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence," Working Papers, HAL, number hal-01158524, May.
• Jean-Pierre Allegret & Cécile Couharde & Valérie Mignon & Tovonony Razafindrabe, 2015, "Oil currencies in the face of oil shocks: What can be learned from time-varying specifications?," Working Papers, HAL, number hal-04141379.
• Ludovic Gauvin & Cyril Rebillard, 2015, "Towards Recoupling? Assessing the Global Impact of a Chinese Hard Landing through Trade and Commodity Price Channels," Working Papers, HAL, number hal-04141401.
• Laurent Ferrara & Pierre Guérin, 2015, "What Are The Macroeconomic Effects of High-Frequency Uncertainty Shocks?," Working Papers, HAL, number hal-04141416.
• Marc Joëts & Valérie Mignon & Tovonony Razafindrabe, 2015, "Does the volatility of commodity prices reflect macroeconomic uncertainty?," Working Papers, HAL, number hal-04141423.
• Sibbertsen, Philipp & Leschinski, Christian & Holzhausen, Marie, 2015, "A Multivariate Test Against Spurious Long Memory," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-547, Mar.
• Daniel Havran & Kata Varadi, 2015, "Price Impact and the Recovery of the Limit Order Book: Why Should We Care About Informed Liquidity Providers?," KRTK-KTI WORKING PAPERS, Institute of Economics, Centre for Economic and Regional Studies, number 1540, Aug.
• Zsolt Darvas & Andras Simon, 2015, "Filling the gap: open economy considerations for more reliable potential output estimates," KRTK-KTI WORKING PAPERS, Institute of Economics, Centre for Economic and Regional Studies, number 1557, Dec.
• Diebolt, Claude & Mishra, Tapas & Perrin, Faustine, 2015, "Did Gender-Bias Matter in the Quantity-Quality Trade-off in 19th Century France?," Lund Papers in Economic History, Lund University, Department of Economic History, number 141, Dec.
• Gustafsson, Peter & Stockhammar, Pär & Österholm, Pär, 2015, "Macroeconomic Effects of a Decline in Housing Prices in Sweden," Working Papers, National Institute of Economic Research, number 138, Mar.
• Anundsen, Andre K. & Nymoen, Ragnar, 2015, "Did US consumers `save for a rainy day' before the Great Recession?," Memorandum, Oslo University, Department of Economics, number 11/2015, May.
• Lucas, André & Schwaab, Bernd & Zhang, Xin, 2015, "Modeling financial sector joint tail risk in the euro area," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 308, Jun.
• Machava, Agostinho & Brännäs, Kurt, 2015, "Mozambican Monetary Policy and the Yield Curve of Treasury Bills - An Empirical Study," Umeå Economic Studies, Umeå University, Department of Economics, number 918, Dec.
• Ishihara, Tsunehiro, 2015, "Estimation of Generalized Realized Stochastic Volatility Model: An Application to Calendar Effect of Nikkei 225," Economic Review, Hitotsubashi University, volume 66, issue 1, pages 1-18, January, DOI: 10.15057/27507.
• Morita, Hiroshi, 2015, "Japanese Fiscal Policy under the Zero Lower Bound of Nominal Interest Rates: Time-Varying Parameters Vector Autoregression," Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number 627, Jul.
• Tsz-Kin Chung & Cho-Hoi Hui & Ka-Fai Li, 2015, "Term-Structure Modelling at the Zero Lower Bound: Implications for Estimating the Term Premium," Working Papers, Hong Kong Institute for Monetary Research, number 212015, Oct.
• Rozeta Simonovska, 2015, "The Relationship between Electricity Consumption and GDP in Albania, Bulgaria and Slovenia," Hyperion Economic Journal, Faculty of Economic Sciences, Hyperion University of Bucharest, Romania, volume 3, issue 3, pages 55-62, September.
• Weigand, Roland & Wanger, Susanne & Zapf, Ines, 2015, "Factor structural time series models for official statistics with an application to hours worked in Germany," IAB-Discussion Paper, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany], number 201522.
• Klinger, Sabine & Weber, Enzo, 2015, "Detecting unemployment hysteresis : a simultaneous unobserved components model with Markov switching," IAB-Discussion Paper, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany], number 201528.
• Fuchs, Johann & Weber, Enzo, 2015, "Long-term unemployment and labor force participation : a decomposition of unemployment to test for the discouragement and added worker hypotheses," IAB-Discussion Paper, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany], number 201532.
• Matthew Greenwood-Nimmo & Viet Hoang Nguyen, 2015, "Measuring the Connectedness of the Global Economy," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2015n07, Mar.
• Woradee Jongadsayakul, 2015, "Determinants Of Silver Futures Price Volatility: Evidence From The Thailand Futures Exchange," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 9, issue 4, pages 81-87.
• Luis Ramon Moreno Moreno & Virginia Guadalupe Lopez Torres & Ma. Enselmina Marin Vargas, 2015, "Tourism Activity And Climate Change In Mexico, 1980-2012,Actividad Turistica Y Cambio Climatico En Mexico, 1980-2012," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, volume 8, issue 4, pages 61-76.
• Cesa-Bianchi, Ambrogio & Céspedes, Luis Felipe & Rebucci, Alessandro, 2015, "Global Liquidity, House Prices and the Macroeconomy: Evidence from Advanced and Emerging Economies," IDB Publications (Working Papers), Inter-American Development Bank, number 6865, Mar, DOI: http://dx.doi.org/10.18235/0011687.
• Aviliani & Hermanto Siregar & Tubagus Nur Ahmad Maulana & Heni Hasanah, 2015, "The Impact of Macroeconomic Condition on the Bank's Performance in Indonesia," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 17, issue 4, pages 379-402, April, DOI: https://doi.org/10.21098/bemp.v17i4.
• Janneke Dlamini & Mehmet Balcilar & Rangan Gupta & Roula Inglesi-Lotz, 2015, "Revisiting the causality between electricity consumption and economic growth in South Africa: a bootstrap rolling-window approach," International Journal of Economic Policy in Emerging Economies, Inderscience Enterprises Ltd, volume 8, issue 2, pages 169-190.
• Kamel Helali & Maha Kalai, 2015, "Exchange rate pass-through to domestic prices in Tunisia: a short- and long-run analysis," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, volume 8, issue 3, pages 282-301.
• T. Chang & O.A. Gadinabokao & R. Gupta & R. Inglesi-Lotz & P. Kanniah & B.D. Simo-Kengne, 2015, "Panel Granger causality between oil consumption and GDP: evidence from BRICS countries," International Journal of Sustainable Economy, Inderscience Enterprises Ltd, volume 7, issue 1, pages 30-41.
• Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015, "Semiparametric dynamic portfolio choice with multiple conditioning variables," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP07/15, Feb.
• Shin Kanaya & Dennis Kristensen, 2015, "Estimation of stochastic volatility models by nonparametric filtering," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP09/15, Mar.
• Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2015, "An investigation into multivariate variance ratio statistics and their application to stock market predictability," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP13/15, Mar.
• Xiaohong Chen & Timothy M. Christensen, 2015, "Optimal sup-norm rates, adaptivity and inference in nonparametric instrumental variables estimation," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP32/15, Jun.
• Massimo Guidolin & Alexei G. Orlov & Manuela Pedio, 2015, "The Impact of Monetary Policy on Corporate Bonds under Regime Shifts," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 562.
• A. Nazif ÇATIK, 2015, "An asymmetric analysis of the Fuel price transmission mechanism in Turkey," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 30, issue 349, pages 31-52.
• K. Batu TUNAY, 2015, "Tek Değişkenli Filtrelerle Türkiye İçin Kredi Açığı Tahmini ve Kestirimi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 30, issue 354, pages 29-56.
• Vuslat US, 2015, "Assessing the Monetary Policy Stance in Turkey Using the Natural Interest Rate," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 30, issue 356, pages 39-64.
• Muhammad Shahbaz & Ilhan Ozturk & Amjad Ali, 2015, "Electricity Consumption and Economic Growth Causality Revisited: Evidence from Turkey," Bulletin of Energy Economics (BEE), The Economics and Social Development Organization (TESDO), volume 3, issue 4, pages 176-193, December.
• Ramon A. Castillo-Ponce & Maria De Lourdes Rodriguez-Espinosa & Edgar David Gaytan-Alfaro, 2015, "Stock Market Development and Economic Performance: The Case of Mexico," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, volume 30, issue 1, pages 41-56, Abril.
• Yıldız Akkaya & Refet S. Gürkaynak & Burçin Kısacıkoğlu & Jonathan H. Wright, 2015, "Forward Guidance and Asset Prices," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 15-E-06, Jul.
• Ambrogio Cesa-Bianchi & Mr. Luis Felipe Céspedes & Mr. Alessandro Rebucci, 2015, "Global Liquidity, House Prices, and the Macroeconomy: Evidence from Advanced and Emerging Economies," IMF Working Papers, International Monetary Fund, number 2015/023, Jan.
• Mr. Dong He & Wei Liao & Tommy Wu, 2015, "Hong Kong’s Growth Synchronization with China and the U.S.: A Trend and Cycle Analysis," IMF Working Papers, International Monetary Fund, number 2015/082, Apr.
• Mr. Paul Cashin & Mr. Kamiar Mohaddes & Mr. Mehdi Raissi, 2015, "Fair Weather or Foul? The Macroeconomic Effects of El Niño," IMF Working Papers, International Monetary Fund, number 2015/089, Apr.
• Anh D. M. Nguyen & Mr. Jemma Dridi & Ms. Filiz D Unsal & Mr. Oral Williams, 2015, "On the Drivers of Inflation in Sub-Saharan Africa," IMF Working Papers, International Monetary Fund, number 2015/189, Aug.
• Mr. Kamiar Mohaddes & Mr. Mehdi Raissi, 2015, "The U.S. Oil Supply Revolution and the Global Economy," IMF Working Papers, International Monetary Fund, number 2015/259, Dec.
• Girish Bahal & Mr. Mehdi Raissi & Mr. Volodymyr Tulin, 2015, "Crowding-Out or Crowding-In? Public and Private Investment in India," IMF Working Papers, International Monetary Fund, number 2015/264, Dec.
• William A. Barnett & Soumya Suvra Bhadury & Taniya Ghosh, 2015, "A SVAR approach to evaluation of monetary policy in India," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2015-016, Jun.
• Soumya Suvra Bhadury & Taniya Ghosh, 2015, "Reassessing exchange rate overshooting in a monetary framework," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2015-017, Jun.
• Ashima Goyal & Bhavyaa Sharma, 2015, "Government expenditure in India: Composition, cyclicality and multipliers," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2015-032, Dec.
• Vasile Alecsandru STRAT, 2015, "The relationship between the education system and the inflows of FDI for the Central and East European EU new member states," Romanian Journal of Economics, Institute of National Economy, volume 41, issue 2(50), pages 76-92, december.
• Leena Kalliovirta & Tuomas Malinen, 2015, "Nonlinearity and cross-country dependence of income inequality," Working Papers, ECINEQ, Society for the Study of Economic Inequality, number 358, Feb.
• Bin Chen & Jinho Choi & Juan Carlos Escanciano, 2015, "Testing for Fundamental Vector Moving Average Representations," CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, number 2015-022, Dec.
• Celia Melguizo Cháfer, 2015, "“An analysis of the Okun’s law for the Spanish provinces”," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 201501, Jan, revised Jan 2015.
• Germán López, 2015, "Forecast Accuracy of Small and Large Scale Dynamic Factor Models in Developing Economies," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2015-03, Feb.
• Pami Dua & Reetika Garg, 2015, "Macroeconomic determinants of foreign direct investment: evidence from India," Journal of Developing Areas, Tennessee State University, College of Business, volume 49, issue 1, pages 133-155, January-M.
• Mohammad Salahuddin & Jeff Gow, 2015, "The relationship between economic growth and remittances in the presence of cross-sectional dependence," Journal of Developing Areas, Tennessee State University, College of Business, volume 49, issue 1, pages 207-221, January-M.
• Md Abdul Wadud & S. M. Atiar Rahman & Mohd. Mozammel Hossain Chowdhury, 2015, "Sustainability of the current account in Bangladesh: an Intertemporal and cointegration analysis," Journal of Developing Areas, Tennessee State University, College of Business, volume 49, issue 1, pages 353-364, January-M.
• Mohammad I. Elian & Adil H. Suliman, 2015, "apital flows and the openness-growth nexus: Toda-Yamamoto causality modeling," Journal of Developing Areas, Tennessee State University, College of Business, volume 49, issue 1, pages 85-105, January-M.
• Ahdi N. Ajmi & Goodness C. Aye & Mehmet Balcilar & Rangan Gupta, 2015, "Causality between exports and economic growth in South Africa: evidence from linear and nonlinear tests," Journal of Developing Areas, Tennessee State University, College of Business, volume 49, issue 2, pages 163-181, April-Jun.
• Nurul Wahilah Abdul Latif & Zulkifli Abdullah & Muhamad Azhan Md Razdi, 2015, "An autoregressive distributed lag (ARDL) analysis of the nexus between savings and investment in the three Asian economies," Journal of Developing Areas, Tennessee State University, College of Business, volume 49, issue 3, pages 323-334, July-Sepe.
• Umesh Bastola* & Pratikshya Sapkota, 2015, "Causality between trade and economic growth in a least developed economy: Evidence from Nepal," Journal of Developing Areas, Tennessee State University, College of Business, volume 49, issue 4, pages 197-213, October-D.
• Joseph Boniface Ajefu*, 2015, "Impact of defence spending on economic growth in Africa: The Nigerian case," Journal of Developing Areas, Tennessee State University, College of Business, volume 49, issue 4, pages 227-244, October-D.
• Wilde Joachim, 2015, "How Large are the Effects of Simultaneity on Testing Granger Causality?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 235, issue 3, pages 320-328, June, DOI: 10.1515/jbnst-2015-0306.
• Shahrin Aidil Rizal, 2015, "Does the Forward Discount Represent a Long Memory Process or Short Memory Process with Multiple Changes in the Mean?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 235, issue 6, pages 630-641, December, DOI: 10.1515/jbnst-2015-0607.
• William A. Barnett & Soumya Suvra Bhadury & Taniya Ghosh, 2015, "An SVAR Approach to Evaluation of Monetary Policy in India: Solution to the Exchange Rate Puzzles in an Open Economy," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 201503, Aug, revised Aug 2015.
• William A. Barnett & Biyan Tang, 2015, "Chinese Divisia Monetary Index and GDP Nowcasting," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 201506, Nov, revised Nov 2015.
• Massimo Franchi & Paolo Paruolo, 2015, "Minimality of State Space Solutions of DSGE Models and Existence Conditions for Their VAR Representation," Computational Economics, Springer;Society for Computational Economics, volume 46, issue 4, pages 613-626, December, DOI: 10.1007/s10614-014-9465-4.
• Tim Lohse & Christian Thomann, 2015, "Are bad times good news for the Securities and Exchange Commission?," European Journal of Law and Economics, Springer, volume 40, issue 1, pages 33-47, August, DOI: 10.1007/s10657-014-9455-y.
• Guglielmo Caporale & Burcu Erdogan & Vladimir Kuzin, 2015, "Testing stock market convergence: a non-linear factor approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 42, issue 3, pages 481-498, August, DOI: 10.1007/s10663-014-9259-x.
• Yeliz Yalcin & Cengiz Arikan & Furkan Emirmahmutoglu, 2015, "Determining the asymmetric effects of oil price changes on macroeconomic variables: a case study of Turkey," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 42, issue 4, pages 737-746, November, DOI: 10.1007/s10663-014-9274-y.
• Costas Karfakis & Theodore Panagiotidis, 2015, "The effects of global monetary policy and Greek debt crisis on the dynamic conditional correlations of currency markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 42, issue 4, pages 795-811, November, DOI: 10.1007/s10663-014-9277-8.
• M. Berument & Zulal Denaux & Furkan Emirmahmutoglu, 2015, "The effects of capital inflows on Turkish macroeconomic performance," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 42, issue 4, pages 813-824, November, DOI: 10.1007/s10663-015-9278-2.
• Felix Groba & Jing Cao, 2015, "Chinese Renewable Energy Technology Exports: The Role of Policy, Innovation and Markets," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, volume 60, issue 2, pages 243-283, February, DOI: 10.1007/s10640-014-9766-z.
• Fotis Papailias & Dimitrios Thomakos, 2015, "Covariance averaging for improved estimation and portfolio allocation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 29, issue 1, pages 31-59, February, DOI: 10.1007/s11408-014-0242-0.
• Eduard Baitinger & Christian Fieberg & Thorsten Poddig & Armin Varmaz, 2015, "Liquidity-driven approach to dynamic asset allocation: evidence from the German stock market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 29, issue 4, pages 365-379, November, DOI: 10.1007/s11408-015-0257-1.
• Beatrice Simo-Kengne & Stephen Miller & Rangan Gupta & Goodness Aye, 2015, "Time-Varying Effects of Housing and Stock Returns on U.S. Consumption," The Journal of Real Estate Finance and Economics, Springer, volume 50, issue 3, pages 339-354, April, DOI: 10.1007/s11146-014-9470-3.
• Geoffrey Ngene & Charles Lambert & Ali Darrat, 2015, "Testing Long Memory in the Presence of Structural Breaks: An Application to Regional and National Housing Markets," The Journal of Real Estate Finance and Economics, Springer, volume 50, issue 4, pages 465-483, May, DOI: 10.1007/s11146-014-9483-y.
• David Zimmer, 2015, "Time-Varying Correlation in Housing Prices," The Journal of Real Estate Finance and Economics, Springer, volume 51, issue 1, pages 86-100, July, DOI: 10.1007/s11146-014-9475-y.
• Apostolos Serletis & Sajjadur Rahman, 2015, "On the Output Effects of Monetary Variability," Open Economies Review, Springer, volume 26, issue 2, pages 225-236, April, DOI: 10.1007/s11079-014-9325-9.
• Stephen Nicar, 2015, "International Spillovers from U.S. Fiscal Policy Shocks," Open Economies Review, Springer, volume 26, issue 5, pages 1081-1097, November, DOI: 10.1007/s11079-015-9364-x.
• Andrés Mirantes & Javier Población & Gregorio Serna, 2015, "Commodity derivative valuation under a factor model with time-varying market prices of risk," Review of Derivatives Research, Springer, volume 18, issue 1, pages 75-93, April, DOI: 10.1007/s11147-014-9104-1.
• Eva Liljeblom & Sabur Mollah & Patrik Rotter, 2015, "Do dividends signal future earnings in the Nordic stock markets?," Review of Quantitative Finance and Accounting, Springer, volume 44, issue 3, pages 493-511, April, DOI: 10.1007/s11156-013-0415-3.
• Ana-Maria Fuertes & Elena Kalotychou & Natasa Todorovic, 2015, "Daily volume, intraday and overnight returns for volatility prediction: profitability or accuracy?," Review of Quantitative Finance and Accounting, Springer, volume 45, issue 2, pages 251-278, August, DOI: 10.1007/s11156-014-0436-6.
• Dilara Kilinc & Esra Onater & Hakan Yetkiner, 2015, "The ARDL Test of Gender Kuznets Curve for G7 Countries," The Journal of European Theoretical and Applied Studies, The Center for European Studies at Kirklareli University - Turkey, volume 3, issue 2, pages 37-56.
• Paraskevi Salamaliki, 2015, "Economic Policy Uncertainty and Economic Activity: A Focus on Infrequent Structural Shifts," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2015-08, Mar.
• Fady Barsoum, 2015, "Point and Density Forecasts Using an Unrestricted Mixed-Frequency VAR Model," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2015-19, Sep.
• Mert Demirer & Francis X. Diebold & Laura Liu & Kamil Yilmaz, 2015, "Estimating Global Bank Network Connectedness," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1512, Aug.
• Gorkem Bostanci & Kamil Yilmaz, 2015, "How Connected is the Global Sovereign Credit Risk Network?," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1515, Aug.
• Masafumi Kozuka, 2015, "Exchange Rate, Marginal q and Investment Behavior of Small and Medium-Sized Enterprises in Japan: Time Series Evidences of Manufacturing Industries," Discussion Papers, Graduate School of Economics, Kobe University, number 1515, Mar.
• Sabrina Dorn, 2015, "Währungsunionen, Wechselkursregime und deren Effekte auf bilateralen Handel: drei empirische Ergebnisse," KOF Analysen, KOF Swiss Economic Institute, ETH Zurich, volume 9, issue 2, pages 43-51, June, DOI: 10.3929/ethz-a-005427569.
• Pauliina Sandqvist & Jochen Hartwig, 2015, "Ein Modell zur Prognose der schweizerischen Gesundheitsausgaben," KOF Analysen, KOF Swiss Economic Institute, ETH Zurich, volume 9, issue 3, pages 109-123, October, DOI: 10.3929/ethz-a-005427569.
• Dirk Drechsel, 2015, "Housing Cycles in Switzerland - A Time-Varying Approach," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 15-381, May, DOI: 10.3929/ethz-a-010431888.
• Matthias Bannert & Dirk Drechsel & Heiner Mikosch & Samad Sarferaz, 2015, "Macro and micro level impulse responses: A survey experimental identification procedure," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 15-386, Jun, DOI: 10.3929/ethz-a-010479956.
• Anna P. Sandqvist, 2015, "Dynamics of Sectoral Business Cycle Comovement," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 15-398, Dec, DOI: 10.3929/ethz-a-010570012.
• Leroi RAPUTSOANE, 2015, "Alternative Measures of Credit Extension for Countercyclical Buffer Decisions in South Africa," Turkish Economic Review, KSP Journals, volume 2, issue 4, pages 210-221, December.
• Marc Klemp & Niels Framroze Møller, 2015, "Post-Malthusian Dynamics in Pre-Industrial Scandinavia," Discussion Papers, University of Copenhagen. Department of Economics, number 15-03, Jan.
• Rasmus Søndergaard Pedersen & Anders Rahbek, 2015, "Nonstationary ARCH and GARCH with t-Distributed Innovations," Discussion Papers, University of Copenhagen. Department of Economics, number 15-07, Apr.
• Eric Hillebrand & Søren Johansen & Torben Schmith, 2015, "Data Revisions And The Statistical Relation Of Global Mean Sea-Level And Temperature," Discussion Papers, University of Copenhagen. Department of Economics, number 15-09, Jun.
• Rasmus Søndergaard Pedersen, 2015, "Inference and testing on the boundary in extended constant conditional correlation GARCH models," Discussion Papers, University of Copenhagen. Department of Economics, number 15-10, Sep.
• Thor Pajhede, 2015, "Backtesting Value-at-Risk: A Generalized Markov Framework," Discussion Papers, University of Copenhagen. Department of Economics, number 15-18, Nov.
• Jorge Luis Hurtado Guarín & Luis Fernando Melo Velandia, 2015, "Temporal disaggregation: an alternative multivariate methodology," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 82, pages 11-55, Enero - J, DOI: 10.17533/udea.le.n82a1.
• John P. Robinson & Elena Tracy & Yoonjoo Lee, 2015, "Cruising through the millennium - 2003-13 changes in American Daily life," electronic International Journal of Time Use Research, Research Institute on Professions (Forschungsinstitut Freie Berufe (FFB)) and The International Association for Time Use Research (IATUR), volume 12, issue 1, pages 133-152, December.
• Povilas Lastauskas & Julius Stakenas, 2015, "Global Perspective on Structural Labour Market Reforms in Europe," Bank of Lithuania Working Paper Series, Bank of Lithuania, number 21, Nov.
• Andreas Brunhart, 2015, "The Swiss Business Cycle and the Lead of Small Neighbor Liechtenstein," Arbeitspapiere, Liechtenstein-Institut, number 51, Oct.
• Chin-Hong Puah & Rayenda Khresna Brahmana & Kai-Hung Wong, 2015, "Revisiting Stock Market Integration Pre-Post Subprime Mortgage Crisis: Insight From BRIC Countries," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, volume 61, pages 120-130, August.
• Amassoma Ditimi & Ogbuagu Matthew I., 2015, "FDI, private investment and public investment in Nigeria: An unravelled dynamic relation," Journal of Economic and Financial Studies (JEFS), LAR Center Press, volume 3, issue 5, pages 10-18, October.
• Andrejs Bessonovs, 2015, "Suite of Latvia's GDP forecasting models," Working Papers, Latvijas Banka, number 2015/01, Jul.
• Tiziana Cesaroni & Stefano Iezzi, 2015, "The Predictive Content of Business Survey Indicators: evidence from SIGE," Working Papers LuissLab, Dipartimento di Economia e Finanza, LUISS Guido Carli, number 15118.
• Michael Donadelli & Vahid Mojtahed & Antonio Paradiso, 2015, "Technological Progress, Investment Frictions and Business Cycle: New Insights from a Neoclassical Growth Model," Working Papers LuissLab, Dipartimento di Economia e Finanza, LUISS Guido Carli, number 15119.
• Freese Julia, 2015, "The Regional Pattern of the U.S. House Price Bubble – An Application of SPC to City Level Data," Review of Economics, De Gruyter, volume 66, issue 2, pages 185-224, August, DOI: 10.1515/roe-2015-0204.
• Danica Unevska-Andonova & Dijana Janevska-Stefanova, 2015, "Transmission of External Shocks in Assessing Debt Sustainability, the Case of Macedonia," Working Papers, National Bank of the Republic of North Macedonia, number 2015-04, Oct.
• Ziel, Florian & Steinert, Rick & Husmann, Sven, 2015, "Efficient modeling and forecasting of electricity spot prices," Energy Economics, Elsevier, volume 47, issue C, pages 98-111, DOI: 10.1016/j.eneco.2014.10.012.
• Ouyang, Xiaoling & Sun, Chuanwang, 2015, "Energy savings potential in China's industrial sector: From the perspectives of factor price distortion and allocative inefficiency," Energy Economics, Elsevier, volume 48, issue C, pages 117-126, DOI: 10.1016/j.eneco.2014.11.020.
• Bunn, Derek & Koc, Veli & Sapio, Alessandro, 2015, "Resource externalities and the persistence of heterogeneous pricing behavior in an energy commodity market," Energy Economics, Elsevier, volume 48, issue C, pages 265-275, DOI: 10.1016/j.eneco.2014.12.015.
• Bjursell, Johan & Gentle, James E. & Wang, George H.K., 2015, "Inventory announcements, jump dynamics, volatility and trading volume in U.S. energy futures markets," Energy Economics, Elsevier, volume 48, issue C, pages 336-349, DOI: 10.1016/j.eneco.2014.11.006.
• Block, Alexander Souza & Righi, Marcelo Brutti & Schlender, Sérgio Guilherme & Coronel, Daniel Arruda, 2015, "Investigating dynamic conditional correlation between crude oil and fuels in non-linear framework: The financial and economic role of structural breaks," Energy Economics, Elsevier, volume 49, issue C, pages 23-32, DOI: 10.1016/j.eneco.2015.01.011.
• Balcilar, Mehmet & Gupta, Rangan & Miller, Stephen M., 2015, "Regime switching model of US crude oil and stock market prices: 1859 to 2013," Energy Economics, Elsevier, volume 49, issue C, pages 317-327, DOI: 10.1016/j.eneco.2015.01.026.
• Alizadeh, Amir H. & Huang, Chih-Yueh & van Dellen, Stefan, 2015, "A regime switching approach for hedging tanker shipping freight rates," Energy Economics, Elsevier, volume 49, issue C, pages 44-59, DOI: 10.1016/j.eneco.2015.01.004.
• Shao, Chengwu & Bhar, Ramaprasad & Colwell, David B., 2015, "A multi-factor model with time-varying and seasonal risk premiums for the natural gas market," Energy Economics, Elsevier, volume 50, issue C, pages 207-214, DOI: 10.1016/j.eneco.2015.04.013.
• Raviv, Eran & Bouwman, Kees E. & van Dijk, Dick, 2015, "Forecasting day-ahead electricity prices: Utilizing hourly prices," Energy Economics, Elsevier, volume 50, issue C, pages 227-239, DOI: 10.1016/j.eneco.2015.05.014.
• Chang, Chun-Ping & Lee, Chien-Chiang, 2015, "Do oil spot and futures prices move together?," Energy Economics, Elsevier, volume 50, issue C, pages 379-390, DOI: 10.1016/j.eneco.2015.02.014.
• Prasad Bal, Debi & Narayan Rath, Badri, 2015, "Nonlinear causality between crude oil price and exchange rate: A comparative study of China and India," Energy Economics, Elsevier, volume 51, issue C, pages 149-156, DOI: 10.1016/j.eneco.2015.06.013.
• Iyke, Bernard Njindan, 2015, "Electricity consumption and economic growth in Nigeria: A revisit of the energy-growth debate," Energy Economics, Elsevier, volume 51, issue C, pages 166-176, DOI: 10.1016/j.eneco.2015.05.024.
• Yu, Lean & Li, Jingjing & Tang, Ling & Wang, Shuai, 2015, "Linear and nonlinear Granger causality investigation between carbon market and crude oil market: A multi-scale approach," Energy Economics, Elsevier, volume 51, issue C, pages 300-311, DOI: 10.1016/j.eneco.2015.07.005.
• Avdulaj, Krenar & Barunik, Jozef, 2015, "Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data," Energy Economics, Elsevier, volume 51, issue C, pages 31-44, DOI: 10.1016/j.eneco.2015.05.018.
• Papież, Monika & Śmiech, Sławomir, 2015, "Dynamic steam coal market integration: Evidence from rolling cointegration analysis," Energy Economics, Elsevier, volume 51, issue C, pages 510-520, DOI: 10.1016/j.eneco.2015.08.006.
• Bouri, Elie, 2015, "Oil volatility shocks and the stock markets of oil-importing MENA economies: A tale from the financial crisis," Energy Economics, Elsevier, volume 51, issue C, pages 590-598, DOI: 10.1016/j.eneco.2015.09.002.
• Benth, Fred Espen & Koekebakker, Steen, 2015, "Pricing of forwards and other derivatives in cointegrated commodity markets," Energy Economics, Elsevier, volume 52, issue PA, pages 104-117, DOI: 10.1016/j.eneco.2015.09.009.
• Wan, Jer-Yuh & Kao, Chung-Wei, 2015, "Interactions between oil and financial markets — Do conditions of financial stress matter?," Energy Economics, Elsevier, volume 52, issue PA, pages 160-175, DOI: 10.1016/j.eneco.2015.10.003.
• Jiang, Jingze & Marsh, Thomas L. & Tozer, Peter R., 2015, "Policy induced price volatility transmission: Linking the U.S. crude oil, corn and plastics markets," Energy Economics, Elsevier, volume 52, issue PA, pages 217-227, DOI: 10.1016/j.eneco.2015.10.008.
• Bumpass, Donald & Ginn, Vance & Tuttle, M.H., 2015, "Retail and wholesale gasoline price adjustments in response to oil price changes," Energy Economics, Elsevier, volume 52, issue PA, pages 49-54, DOI: 10.1016/j.eneco.2015.08.030.
• Nazlioglu, Saban & Soytas, Ugur & Gupta, Rangan, 2015, "Oil prices and financial stress: A volatility spillover analysis," Energy Policy, Elsevier, volume 82, issue C, pages 278-288, DOI: 10.1016/j.enpol.2015.01.003.
• Eugenia Sanin, María & Violante, Francesco & Mansanet-Bataller, María, 2015, "Understanding volatility dynamics in the EU-ETS market," Energy Policy, Elsevier, volume 82, issue C, pages 321-331, DOI: 10.1016/j.enpol.2015.02.024.
• Michieka, Nyakundi M. & Gearhart, Richard, 2015, "Oil price fluctuations and employment in Kern County: A Vector Error Correction approach," Energy Policy, Elsevier, volume 87, issue C, pages 584-590, DOI: 10.1016/j.enpol.2015.09.043.
• Veenstra, Joost, 2015, "Output growth in German manufacturing, 1907–1936. A reinterpretation of time-series evidence," Explorations in Economic History, Elsevier, volume 57, issue C, pages 38-49, DOI: 10.1016/j.eeh.2015.03.001.
• Abouwafia, Hashem E. & Chambers, Marcus J., 2015, "Monetary policy, exchange rates and stock prices in the Middle East region," International Review of Financial Analysis, Elsevier, volume 37, issue C, pages 14-28, DOI: 10.1016/j.irfa.2014.11.001.
• Gębka, Bartosz & Serwa, Dobromił, 2015, "The elusive nature of motives to trade: Evidence from international stock markets," International Review of Financial Analysis, Elsevier, volume 39, issue C, pages 147-157, DOI: 10.1016/j.irfa.2015.03.001.
• Syriopoulos, Theodore & Makram, Beljid & Boubaker, Adel, 2015, "Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis," International Review of Financial Analysis, Elsevier, volume 39, issue C, pages 7-18, DOI: 10.1016/j.irfa.2015.01.015.
• Bampinas, Georgios & Panagiotidis, Theodore, 2015, "Are gold and silver a hedge against inflation? A two century perspective," International Review of Financial Analysis, Elsevier, volume 41, issue C, pages 267-276, DOI: 10.1016/j.irfa.2015.02.007.
• Antonakakis, Nikolaos & Kizys, Renatas, 2015, "Dynamic spillovers between commodity and currency markets," International Review of Financial Analysis, Elsevier, volume 41, issue C, pages 303-319, DOI: 10.1016/j.irfa.2015.01.016.
• Aboura, Sofiane & Chevallier, Julien, 2015, "Cross-market volatility index with Factor-DCC," International Review of Financial Analysis, Elsevier, volume 42, issue C, pages 132-140, DOI: 10.1016/j.irfa.2014.06.003.
• Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun, 2015, "Effects of macroeconomic uncertainty on the stock and bond markets," Finance Research Letters, Elsevier, volume 13, issue C, pages 10-16, DOI: 10.1016/j.frl.2015.03.008.
• Alemany, Aida & Ballester, Laura & González-Urteaga, Ana, 2015, "Volatility spillovers in the European bank CDS market," Finance Research Letters, Elsevier, volume 13, issue C, pages 137-147, DOI: 10.1016/j.frl.2015.02.003.
• Hu, Jun & Kanniainen, Juho, 2015, "Asymptotic expansion of European options with mean-reverting stochastic volatility dynamics," Finance Research Letters, Elsevier, volume 14, issue C, pages 1-10, DOI: 10.1016/j.frl.2015.07.004.
• Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian, 2015, "Cointegration of the prices of gold and silver: RALS-based evidence," Finance Research Letters, Elsevier, volume 15, issue C, pages 133-137, DOI: 10.1016/j.frl.2015.09.003.
• Balboa, Marina & López-Espinosa, Germán & Rubia, Antonio, 2015, "Granger causality and systemic risk," Finance Research Letters, Elsevier, volume 15, issue C, pages 49-58, DOI: 10.1016/j.frl.2015.08.003.
• Blot, Christophe & Creel, Jérôme & Hubert, Paul & Labondance, Fabien & Saraceno, Francesco, 2015, "Assessing the link between price and financial stability," Journal of Financial Stability, Elsevier, volume 16, issue C, pages 71-88, DOI: 10.1016/j.jfs.2014.12.003.
• Zhang, Han & Zhao, Qing & Kuuluvainen, Jari & Wang, Changhai & Li, Shiping, 2015, "Determinants of China's lumber import: A bounds test for cointegration with monthly data," Journal of Forest Economics, Elsevier, volume 21, issue 4, pages 269-282, DOI: 10.1016/j.jfe.2015.10.002.
• Angelidis, Timotheos & Degiannakis, Stavros & Filis, George, 2015, "US stock market regimes and oil price shocks," Global Finance Journal, Elsevier, volume 28, issue C, pages 132-146, DOI: 10.1016/j.gfj.2015.01.006.
• Do, Hung Xuan & Brooks, Robert & Treepongkaruna, Sirimon, 2015, "Realized spill-over effects between stock and foreign exchange market: Evidence from regional analysis," Global Finance Journal, Elsevier, volume 28, issue C, pages 24-37, DOI: 10.1016/j.gfj.2015.11.003.
• Sun, Zhuowei & Dunne, Peter G. & Li, Youwei, 2015, "Price discovery in the dual-platform US Treasury market," Global Finance Journal, Elsevier, volume 28, issue C, pages 95-110, DOI: 10.1016/j.gfj.2015.02.001.
• Kim, Soyoung, 2015, "Country characteristics and the effects of government consumption shocks on the current account and real exchange rate," Journal of International Economics, Elsevier, volume 97, issue 2, pages 436-447, DOI: 10.1016/j.jinteco.2015.07.007.
• Hunt, Andrew & Blake, David, 2015, "Modelling longevity bonds: Analysing the Swiss Re Kortis bond," Insurance: Mathematics and Economics, Elsevier, volume 63, issue C, pages 12-29, DOI: 10.1016/j.insmatheco.2015.03.017.
• Aboura, Sofiane & Chevallier, Julien, 2015, "A cross-volatility index for hedging the country risk," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 38, issue C, pages 25-41, DOI: 10.1016/j.intfin.2015.05.008.
• Carroll, Rachael & Kearney, Colm, 2015, "Testing the mixture of distributions hypothesis on target stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 39, issue C, pages 1-14, DOI: 10.1016/j.intfin.2015.05.003.
• Bernardini, Emmanuela & Cubadda, Gianluca, 2015, "Macroeconomic forecasting and structural analysis through regularized reduced-rank regression," International Journal of Forecasting, Elsevier, volume 31, issue 3, pages 682-691, DOI: 10.1016/j.ijforecast.2013.10.005.
• Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2015, "Comparison of methods for constructing joint confidence bands for impulse response functions," International Journal of Forecasting, Elsevier, volume 31, issue 3, pages 782-798, DOI: 10.1016/j.ijforecast.2013.08.003.
• Woźniak, Tomasz, 2015, "Testing causality between two vectors in multivariate GARCH models," International Journal of Forecasting, Elsevier, volume 31, issue 3, pages 876-894, DOI: 10.1016/j.ijforecast.2015.01.005.