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

• Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2015, "The out-of-sample forecasting performance of nonlinear models of regional housing prices in the US," Applied Economics, Taylor & Francis Journals, volume 47, issue 22, pages 2259-2277, May, DOI: 10.1080/00036846.2015.1005814.
• Enrique Moral-Benito & Luis Serv鮠, 2015, "Testing weak exogeneity in cointegrated panels," Applied Economics, Taylor & Francis Journals, volume 47, issue 30, pages 3216-3228, June, DOI: 10.1080/00036846.2015.1013611.
• Rangan Gupta & Patrick T. Kanda & Mampho P. Modise & Alessia Paccagnini, 2015, "DSGE model-based forecasting of modelled and nonmodelled inflation variables in South Africa," Applied Economics, Taylor & Francis Journals, volume 47, issue 3, pages 207-221, January, DOI: 10.1080/00036846.2014.959707.
• Saban Nazlioglu & Shawkat Hammoudeh & Rangan Gupta, 2015, "Volatility transmission between Islamic and conventional equity markets: evidence from causality-in-variance test," Applied Economics, Taylor & Francis Journals, volume 47, issue 46, pages 4996-5011, October, DOI: 10.1080/00036846.2015.1039705.
• Paramati & Rakesh Gupta & Eduardo Roca, 2015, "Stock market interdependence between Australia and its trading partners: does trade intensity matter?," Applied Economics, Taylor & Francis Journals, volume 47, issue 49, pages 5303-5319, October, DOI: 10.1080/00036846.2015.1047088.
• Rangan Gupta & Luis A. Gil-Alana & Olaoluwa S. Yaya, 2015, "Do sunspot numbers cause global temperatures? Evidence from a frequency domain causality test," Applied Economics, Taylor & Francis Journals, volume 47, issue 8, pages 798-808, February, DOI: 10.1080/00036846.2014.980575.
• Annastiina Silvennoinen & Timo Ter�svirta, 2015, "Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach," Econometric Reviews, Taylor & Francis Journals, volume 34, issue 1-2, pages 174-197, February, DOI: 10.1080/07474938.2014.945336.
• Joshua C. C. Chan & Eric Eisenstat, 2015, "Marginal Likelihood Estimation with the Cross-Entropy Method," Econometric Reviews, Taylor & Francis Journals, volume 34, issue 3, pages 256-285, March, DOI: 10.1080/07474938.2014.944474.
• Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2015, "Independent Factor Autoregressive Conditional Density Model," Econometric Reviews, Taylor & Francis Journals, volume 34, issue 5, pages 594-616, May, DOI: 10.1080/07474938.2013.808561.
• Monica Billio & Silvio Di Sanzo, 2015, "Granger-causality in Markov switching models," Journal of Applied Statistics, Taylor & Francis Journals, volume 42, issue 5, pages 956-966, May, DOI: 10.1080/02664763.2014.993367.
• Katarzyna Łasak & Carlos Velasco, 2015, "Fractional Cointegration Rank Estimation," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 33, issue 2, pages 241-254, April, DOI: 10.1080/07350015.2014.945589.
• Frank Schorfheide & Dongho Song, 2015, "Real-Time Forecasting With a Mixed-Frequency VAR," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 33, issue 3, pages 366-380, July, DOI: 10.1080/07350015.2014.954707.
• Paolo Canofari & Giancarlo Marini & Giovanni Piersanti, 2015, "Expectations and systemic risk in EMU government bond spreads," Quantitative Finance, Taylor & Francis Journals, volume 15, issue 4, pages 711-724, April, DOI: 10.1080/14697688.2014.968606.
• Taisuke Nakata & Christopher Tonetti, 2015, "Small Sample Properties of Bayesian Estimators of Labor Income Processes," Journal of Applied Economics, Taylor & Francis Journals, volume 18, issue 1, pages 121-148, May, DOI: 10.1016/S1514-0326(15)30006-4.
• Diego Winkelried & José Enrique Gutierrez, 2015, "Regional Inflation Dynamics and Inflation Targeting. The Case of Peru," Journal of Applied Economics, Taylor & Francis Journals, volume 18, issue 2, pages 199-224, November, DOI: 10.1016/S1514-0326(15)30009-X.
• Ahdi Noomen Ajmi & Goodness C. Aye & Mehmet Balcilar & Ghassen El Montasser & Rangan Gupta, 2015, "Causality Between Us Economic Policy and Equity Market Uncertainties: Evidence from Linear and Nonlinear Tests," Journal of Applied Economics, Taylor & Francis Journals, volume 18, issue 2, pages 225-246, November, DOI: 10.1016/S1514-0326(15)30010-6.
• Nikolaos Antonakakis & Rangan Gupta & Christophe André, 2015, "Dynamic Co-movements between Economic Policy Uncertainty and Housing Market Returns," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, volume 21, issue 1, pages 53-60, January, DOI: 10.1080/10835547.2015.12089971.
• Beatrice D. Simo-Kengne & Rangan Gupta & Goodness C. Aye, 2015, "House Prices and Balance of Trade Dynamics in South Africa: Evidence from an Agnostic Identification Procedure," Journal of Housing Research, Taylor & Francis Journals, volume 24, issue 1, pages 107-126, January, DOI: 10.1080/10835547.2015.12092094.
• Raghavan, Mala, 2015, "The macroeconomic effects of oil price shocks on ASEAN-5 economies," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2015-10, Oct.
• Afsin Sahin & Volkan Ulke, 2015, "Farkli Belirsizlik Duzeylerinde Faiz Oraninin Makroekonomik Degiskenlere Etkileri : Turkiye Uzerine Etkilesimli Vektor Otoregresif Modeli Uygulamasi," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 15, issue 1, pages 65-93.
• Zekeriya Yildirim, 2015, "Enflasyon Rejimleri ve Uretici Enflasyonundan Tuketici Enflasyonuna Geciskenlik," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 15, issue 3, pages 89-114.
• K. Azim Ozdemir, 2015, "Interest Rate Surprises and Transmission Mechanism in Turkey: Evidence from Impulse Response Analysis," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1504.
• Suleyman Hilmi Kal & Ferhat Arslaner & Nuran Arslaner, 2015, "The Dynamic Relationship Between Stock, Bond and Foreign Exchange Markets," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1512.
• Kazim Azam & Andre Lucas, 2015, "Mixed Density based Copula Likelihood," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-003/IV/DSF084, Jan.
• Manabu Asai & Michael McAleer, 2015, "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-018/III, Feb.
• Shiqing Ling & Michael McAleer & Howell Tong, 2015, "Frontiers in Time Series and Financial Econometrics: An Overview," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-026/III, Feb.
• Siem Jan Koopman & Rutger Lit & André Lucas, 2015, "Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-037/III/DSF90, Mar.
• Bart Keijsers & Bart Diris & Erik Kole, 2015, "Cyclicality in Losses on Bank Loans," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-050/III, May, revised 01 Sep 2017.
• Laurent Callot & Johannes Tang Kristensen, 2015, "Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-069/III, Jun.
• Siem Jan Koopman & Rutger Lit & Andre Lucas, 2015, "Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-076/IV/DSF94, Jul.
• Chia-Lin Chang & Yiying Li & Michael McAleer, 2015, "Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-077/III, Jul.
• Sait R. Ozturk & Michel van der Wel & Dick van Dijk, 2015, "Why do Pit-Hours outlive the Pit?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-082/III, Jul.
• Francine Gresnigt & Erik Kole & Philip Hans Franses, 2015, "Specification Testing in Hawkes Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-086/III, Jul.
• David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2015, "Multivariate Volatility Impulse Response Analysis of GFC News Events," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-089/III, Jul.
• Michael McAleer, 2015, "The Fundamental Equation in Tourism Finance," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-129/III, Nov.
• Drew Creal & Siem Jan Koopman & André Lucas & Marcin Zamojski, 2015, "Generalized Autoregressive Method of Moments," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-138/III, Dec, revised 06 Jul 2018.
• Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk, 2015, "Forecasting Value-at-Risk under Temporal and Portfolio Aggregation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-140/III, Jan, revised 19 Apr 2017.
• Hallin, M. & Werker, B.J.M. & van den Akker, R., 2015, "Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models," Discussion Paper, Tilburg University, Center for Economic Research, number 2015-001.
• Panchanan Das, 2015, "Entrepreneurial Impulse, Investment Behavior, and Economic Fluctuations–A VAR Analysis with Indian Data," Asian Development Review, MIT Press, volume 32, issue 2, pages 1-17, September.
• Ivaldi, Marc & Sokullu, Senay & Toru-Delibasi, Tuba, 2015, "Airport Prices in a Two-Sided Market Setting: Major US Airports," TSE Working Papers, Toulouse School of Economics (TSE), number 15-587, May.
• Moura, Alban, 2015, "The effects of government spending endogeneity on estimated multipliers in the US," TSE Working Papers, Toulouse School of Economics (TSE), number 15-610, Nov.
• Matias Piaggio & Emilio Padilla & Carolina Roman, 2015, "The long-run relationshiop between C02 emissions and economic activity in a small open economy: Uruguay 1882-2010," Working Papers, Department of Applied Economics at Universitat Autonoma of Barcelona, number wpdea1506, Sep.
• Cendejas Bueno, José Luis & Muñoz, Félix & Fernández-de-Pinedo, Nadia, 2015, "A contribution to the analysis of historical economic fluctuations (1870-2010): filtering, spurious cycles and unobserved component modelling," Working Papers in Economic Theory, Universidad Autónoma de Madrid (Spain), Department of Economic Analysis (Economic Theory and Economic History), number 2015/04, Apr.
• Cendejas Bueno, José Luis & Castañeda, Juan Enrique & Muñoz, Félix, 2015, "Business cycles and monetary regimes in the U.S. (1960 – 2014): A plea for monetary stability," Working Papers in Economic Theory, Universidad Autónoma de Madrid (Spain), Department of Economic Analysis (Economic Theory and Economic History), number 2015/05, Sep.
• Manabu Asai & Michael McAleer, 2015, "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2015-02, Feb.
• Chia-Lin Chang & Yiying Li & Michael McAleer, 2015, "Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2015-08, Jun.
• David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2015, "Multivariate Volatility Impulse Response Analysis of GFC News Events," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2015-10, Jul.
• Alfredo Garcia Hiernaux & David Esteban Guerrero Burbano & Michael McAleer, 2015, "Market Integration Dynamics and Asymptotic Price Convergence in Distribution," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2015-18, Nov.
• Stelios D. Bekiros & Rangan Gupta & Alessia Paccagnini, 2015, "Oil price forecastability and economic uncertainty," Open Access publications, School of Economics, University College Dublin, number 10197/7345, Jul.
• Rangan Gupta & Patrick T. Kanda & Mampho P. Modise & Alessia Paccagnini, 2015, "DSGE model-based forecasting of modelled and nonmodelled inflation variables in South Africa," Open Access publications, School of Economics, University College Dublin, number 10197/7351.
• Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2015, "Forecasting with Instabilities: an Application to DSGE Models with Financial Frictions," Working Papers, School of Economics, University College Dublin, number 201523, Oct.
• Philipp Eisenhauer & James J. Heckman & Edward Vytlacil, 2015, "The Generalized Roy Model and the Cost-Benefit Analysis of Social Programs," Journal of Political Economy, University of Chicago Press, volume 123, issue 2, pages 413-443, DOI: 10.1086/679498.
• Tae-Hwy Lee & Saerom Lee, 2015, "Solving the Forecast Combination Puzzle," Working Papers, University of California at Riverside, Department of Economics, number 202514, Oct.
• Katsuyuki Shibayama, 2015, "Trend Dominance in Macroeconomic Fluctuations," Studies in Economics, School of Economics, University of Kent, number 1518, Sep.
• Claude Diebolt & Tapas Mishra & Faustine Perrin, 2015, "Did Gender-Bias Matter in the Quantity- Quality Trade-off in the 19th Century France ?," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2015-28.
• Matias Piaggio & Emilio Padilla & Carolina Roman, 2015, "The long-run relationship between CO2 emissions and economic activity in a small open economy: Uruguay 1882 - 2010," Documentos de Trabajo (working papers), Instituto de Economía - IECON, number 15-11, Sep.
• Miguel Carriquiry, 2015, "An examination of the relationship between biodiesel and soybean oil prices using an asset pricing model," Documentos de Trabajo (working papers), Instituto de Economía - IECON, number 15-17, Dec.
• Chevillon, G. & Hecq, A.W. & Laurent, S.F.J.A., 2015, "Long memory through marginalization of large systems and hidden cross-section dependence," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 014, Jan, DOI: 10.26481/umagsb.2015014.
• Cubadda, G. & Guardabascio, B. & Hecq, A.W., 2015, "A Vector Heterogeneous Autoregressive Index model for realized volatility measures," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 033, Jan, DOI: 10.26481/umagsb.2015033.
• Götz, T.B. & Hecq, A.W. & Smeekes, S., 2015, "Testing for Granger Causality in Large Mixed-Frequency VARs," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 036, Jan, DOI: 10.26481/umagsb.2015036.
• Badasen Polina & Kartaev Philipp & Khazanov Alexey, 2015, "The econometric estimation of the effect of ruble exchange rate dynamics on economic activity," Working Papers, Moscow State University, Faculty of Economics, number 0014, Jan.
• Atsushi Inoue & Chun-Hung Kuo & Barbara Rossi, 2015, "Identifying the sources of model misspecification," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1479, Feb, revised Jun 2018.
• Majid M. Al-Sadoon, 2015, "Testing subspace Granger causality," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1495, Nov.
• Fengler, Matthias R. & Herwartz, Helmut, 2015, "Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1517, Jul.
• Aepli, Matthias D. & Frauendorfer, Karl & Fuess, Roland & Paraschiv, Florentina, 2015, "Multivariate Dynamic Copula Models: Parameter Estimation and Forecast Evaluation," Working Papers on Finance, University of St. Gallen, School of Finance, number 1513, Jul.
• Kiesel, Ruediger & Paraschiv, Florentina, 2015, "Econometric Analysis of 15-minute Intraday Electricity Prices," Working Papers on Finance, University of St. Gallen, School of Finance, number 1521, Oct.
• Andreea Röthig & Andreas Röthig & Carl Chiarella, 2015, "On Candlestick-based Trading Rules Profitability Analysis via Parametric Bootstraps and Multivariate Pair-Copula based Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 362, Aug.
• DUMITRESCU, Sorin, 2015, "European Equity Market Return, Volatility And Liquidity Spillover Dynamics During The Eurozone Debt Crisis," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 19, issue 2, pages 30-50.
• ACATRINEI, Marius, 2015, "A Copula-Garch Model For A Proxy Portfolio For Bet-Fi Index," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 19, issue 2, pages 8-16.
• Atilla Cifter, 2015, "Stock Returns, Inflation, and Real Activity in Developing Countries: A Markov-Switching Approach," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 62, issue 1, pages 55-76.
• Tayfur Bayat & Saban Nazlioglu & Selim Kayhan, 2015, "Exchange Rate and Oil Price Interactions in Transition Economies: Czech Republic, Hungary and Poland," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 62, issue 3, pages 267-285.
• Škrinjarić Tihana, 2015, "Measuring Dynamics of Risk and Performance of Sector Indices on Zagreb Stock Exchange," Croatian Review of Economic, Business and Social Statistics, Paradigm, volume 1, issue 1-2, pages 27-41, December, DOI: 10.1515/crebss-2016-0003.
• Antczak - Stępniak Agata, 2015, "Residential Development Activity In The Polish Legal Setting," Real Estate Management and Valuation, Paradigm, volume 23, issue 1, pages 42-54, March, DOI: 10.1515/remav-2015-0004.
• Gupta Kapil & Kaur Mandeep, 2015, "Impact Of Financial Crisis On Hedging Effectiveness Of Futures Contracts: Evidence From The National Stock Exchange Of India," South East European Journal of Economics and Business, Paradigm, volume 10, issue 2, pages 69-88, December, DOI: 10.1515/jeb-2015-0009.
• Junko Koeda, 2015, "Bond Supply and Excess Bond Returns in Zero-Lower Bound and Normal Environments: Evidence from Japan," Working Papers, Waseda University, Faculty of Political Science and Economics, number 1506, Jul.
• Tomasz Skoczylas, 2015, "Bivariate GARCH models for single asset returns," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2015-03, Feb.
• Celia Melguizo, 2015, "An analysis of Okun?s law for the Spanish provinces," ERSA conference papers, European Regional Science Association, number ersa15p1558, Oct.
• Fabio Gaetano Santeramo, 2015, "Price Transmission in the European Tomatoes and Cauliflowers Sectors," Agribusiness, John Wiley & Sons, Ltd., volume 31, issue 3, pages 399-413, June.
• Mario J. Crucini & Mototsugu Shintani, 2015, "Measuring international business cycles by saving for a rainy day," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, volume 48, issue 4, pages 1266-1290, November, DOI: 10.1111/caje.12146.
• Giovanni Caggiano & Efrem Castelnuovo & Valentina Colombo & Gabriela Nodari, 2015, "Estimating Fiscal Multipliers: News From A Non‐linear World," Economic Journal, Royal Economic Society, volume 0, issue 584, pages 746-776, May.
• Christiane Baumeister & James D. Hamilton, 2015, "Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information," Econometrica, Econometric Society, volume 83, issue 5, pages 1963-1999, September.
• Virginie Coudert & Karine Hervé & Pierre Mabille, 2015, "Internationalization Versus Regionalization in the Emerging Stock Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 20, issue 1, pages 16-27, January.
• Yanan Li & David E. Giles, 2015, "Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 20, issue 2, pages 155-177, March.
• André K. Anundsen, 2015, "Econometric Regime Shifts and the US Subprime Bubble," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 30, issue 1, pages 145-169, January.
• Matteo Luciani, 2015, "Monetary Policy and the Housing Market: A Structural Factor Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 30, issue 2, pages 199-218, March.
• Luca Sala, 2015, "Dsge Models in the Frequency Domains," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 30, issue 2, pages 219-240, March.
• Fabio Canova & Alain Schlaepfer, 2015, "Has the Euro‐Mediterranean Partnership Affected Mediterranean Business Cycles?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 30, issue 2, pages 241-262, March.
• Luciana Juvenal & Ivan Petrella, 2015, "Speculation in the Oil Market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 30, issue 4, pages 621-649, June.
• Hyeongwoo Kim & Ippei Fujiwara & Bruce E. Hansen & Masao Ogaki, 2015, "Purchasing Power Parity and the Taylor Rule," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 30, issue 6, pages 874-903, September.
• Knut Are Aastveit & Hilde C. Bjørnland & Leif Anders Thorsrud, 2015, "What Drives Oil Prices? Emerging Versus Developed Economies," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 30, issue 7, pages 1013-1028, November.
• Sepideh Dolatabadi & Morten Ørregaard Nielsen & Ke Xu, 2015, "A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 35, issue 4, pages 339-356, April.
• Jürgen Gaul & Erik Theissen, 2015, "A Partially Linear Approach to Modeling the Dynamics of Spot and Futures Prices," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 35, issue 4, pages 371-384, April.
• Kevin Lee & James Morley & Kalvinder Shields, 2015, "The Meta Taylor Rule," Journal of Money, Credit and Banking, Blackwell Publishing, volume 47, issue 1, pages 73-98, February, DOI: 10.1111/jmcb.12169.
• Andrea Carriero & Haroon Mumtaz & Konstantinos Theodoridis & Angeliki Theophilopoulou, 2015, "The Impact of Uncertainty Shocks under Measurement Error: A Proxy SVAR Approach," Journal of Money, Credit and Banking, Blackwell Publishing, volume 47, issue 6, pages 1223-1238, September, DOI: 10.1111/jmcb.12243.
• Benjamin Wong, 2015, "Do Inflation Expectations Propagate the Inflationary Impact of Real Oil Price Shocks?: Evidence from the Michigan Survey," Journal of Money, Credit and Banking, Blackwell Publishing, volume 47, issue 8, pages 1673-1689, December, DOI: 10.1111/jmcb.12288.
• Ambrogio Cesa‐Bianchi & Luis Felipe Cespedes & Alessandro Rebucci, 2015, "Global Liquidity, House Prices, and the Macroeconomy: Evidence from Advanced and Emerging Economies," Journal of Money, Credit and Banking, Blackwell Publishing, volume 47, issue S1, pages 301-335, March, DOI: 10.1111/jmcb.12204.
• Terence D. Agbeyegbe, 2015, "An inverted U‐shaped crude oil price return‐implied volatility relationship," Review of Financial Economics, John Wiley & Sons, volume 27, issue 1, pages 28-45, November, DOI: 10.1016/j.rfe.2015.08.001.
• Goodness C. Aye & Rangan Gupta & Prudence S. Moyo & Nehrunaman Pillay, 2015, "The Impact of Exchange Rate Uncertainty on Exports in South Africa," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 01, pages 1-14, DOI: 10.1142/S1793993315500040.
• Hakan Danis & Ender Demir & Mehmet Huseyin Bilgin, 2015, "Conditional Jump Dynamics In Stock Returns: Evidence From Mist Stock Exchanges," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 60, issue 01, pages 1-17, DOI: 10.1142/S0217590815500058.
• Joice John, 2015, "Has Inflation Persistence In India Changed Over Time?," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 60, issue 04, pages 1-16, DOI: 10.1142/S0217590815500952.
• Andrej Drygalla, 2015, "Switching to Exchange Rate Flexibility? The Case of Central and Eastern European Inflation Targeters," FIW Working Paper series, FIW, number 139, Jan.
• Rajmund Mirdala, 2015, "Sources of Real Exchange Rate Fluctuations in New EU Member Countries," FIW Working Paper series, FIW, number 160, Dec.
• Bidong Liu & Jakub Nowotarski & Tao Hong & Rafal Weron, 2015, "Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/15/01, Feb.
• Bidong Liu & Jiali Liu & Tao Hong, 2015, "Sister models for load forecast combination," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/15/02, Feb.
• Katarzyna Maciejowska & Rafal Weron, 2015, "Short- and mid-term forecasting of baseload electricity prices in the UK: The impact of intra-day price relationships and market fundamentals," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/15/04.
• Jakub Nowotarski & Bidong Liu & Rafal Weron & Tao Hong, 2015, "Improving short term load forecast accuracy via combining sister forecasts," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/15/05, May.
• Katarzyna Maciejowska & Jakub Nowotarski, 2015, "A hybrid model for GEFCom2014 probabilistic electricity price forecasting," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/15/06, May.
• Pu Wang & Bidong Liu & Tao Hong, 2015, "Electric load forecasting with recency effect: A big data approach," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/15/08, Oct.
• Gregory Chow & Linlin Niu, 2015, "Housing Price in Urban China as Determined by Demand and Supply," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2015-03-09, Mar.
• Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015, "Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables," Discussion Papers, Department of Economics, University of York, number 15/01, Feb.
• Javier Hualde & Fabrizio Iacone, 2015, "Autocorrelation robust inference using the Daniell kernel with fixed bandwidth," Discussion Papers, Department of Economics, University of York, number 15/14, Aug.
• Laura Coroneo & Fabrizio Iacone, 2015, "Comparing predictive accuracy in small samples," Discussion Papers, Department of Economics, University of York, number 15/15, Sep.
• Vladimir Arčabić, 2015, "Djelovanje neizvjesnosti na bankarsko tržište u Republici Hrvatskoj," EFZG Working Papers Series, Faculty of Economics and Business, University of Zagreb, number 1503, Apr.
• Milan Deskar Škrbić & Hrvoje Šimović, 2015, "The size and determinants of fiscal multipliers in Western Balkans: comparing Croatia, Slovenia and Serbia," EFZG Working Papers Series, Faculty of Economics and Business, University of Zagreb, number 1510, Oct.
• Pang, Ke & Siklos, Pierre L., 2015, "Macroeconomic consequences of the real-financial nexus: Imbalances and spillovers between China and the U.S," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 2/2015.
• Mironov, V.V. & Petronevich, A.V., 2015, "Discovering the signs of Dutch disease in Russia," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 3/2015.
• Deryugina, Elena & Kovalenko, Olga & Pantina, Irina & Ponomarenko, Alexey, 2015, "Disentangling loan demand and supply shocks in Russia," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 8/2015.
• Deryugina, Elena & Ponomarenko, Alexey & Sinyakov, Andrey & Sorokin, Constantine, 2015, "Evaluating underlying inflation measures for Russia," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 24/2015.
• Metiu, Norbert & Hilberg, Björn & Grill, Michael, 2015, "Financial frictions and global spillovers," Discussion Papers, Deutsche Bundesbank, number 04/2015.
• Meller, Barbara & Metiu, Norbert, 2015, "The synchronization of European credit cycles," Discussion Papers, Deutsche Bundesbank, number 20/2015.
• Hossfeld, Oliver & Röthig, Andreas, 2015, "Do speculative traders anticipate or follow USD/EUR exchange rate movements? New evidence on the efficiency of the EUR currency futures market," Discussion Papers, Deutsche Bundesbank, number 41/2015.
• Götz, Thomas B. & Hecq, Alain & Smeekes, Stephan, 2015, "Testing for Granger causality in large mixed-frequency VARs," Discussion Papers, Deutsche Bundesbank, number 45/2015.
• Silvestrini, Andrea & Zaghini, Andrea, 2015, "Financial shocks and the real economy in a nonlinear world: From theory to estimation," CFS Working Paper Series, Center for Financial Studies (CFS), number 505.
• Zadrozny, Peter A., 2015, "Extended Yule-Walker identification of Varma models with single- or mixed frequency data," CFS Working Paper Series, Center for Financial Studies (CFS), number 526.
• Brunhart, Andreas, 2015, "The Swiss business cycle and the lead of small neighbor Liechtenstein," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 130154, DOI: 10.13091/li-ap-51.
• Avdulaj, Krenar & Barunik, Jozef, 2015, "Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data," FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, number 32.
• Smolik, Filip & Vacha, Lukas, 2015, "Time-scale analysis of sovereign bonds market co-movement in the EU," FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, number 44.
• Hachula, Michael & Hoffmann, Sebastian, 2015, "The output effects of commodity price volatility: Evidence from exporting countries," Discussion Papers, Free University Berlin, School of Business & Economics, number 2015/29.
• Bartzsch, Nikolaus & Seitz, Franz, 2015, "Cash holdings in Germany and the demand for "German" banknotes: What role for cashless payments?," Weidener Diskussionspapiere, University of Applied Sciences Amberg-Weiden (OTH), number 51.
• Proietti, Tommaso & Marczak, Martyna & Mazzi, Gianluigi, 2015, "EuroMInd-D: A density estimate of monthly gross domestic product for the euro area," Hohenheim Discussion Papers in Business, Economics and Social Sciences, University of Hohenheim, Faculty of Business, Economics and Social Sciences, number 03-2015.
• Marczak, Martyna & Beissinger, Thomas, 2015, "Bidirectional relationship between investor sentiment and excess returns: New evidence from the wavelet perspective," Hohenheim Discussion Papers in Business, Economics and Social Sciences, University of Hohenheim, Faculty of Business, Economics and Social Sciences, number 06-2015.
• Marczak, Martyna & Proietti, Tommaso & Grassi, Stefano, 2015, "A data-cleaning augmented Kalman filter for robust estimation of state space models," Hohenheim Discussion Papers in Business, Economics and Social Sciences, University of Hohenheim, Faculty of Business, Economics and Social Sciences, number 13-2015.
• Reed, W. Robert, 2015, "Testing for unit roots with cointegrated data," Economics Discussion Papers, Kiel Institute for the World Economy, number 2015-57.
• Fecht, Falko & Reitz, Stefan, 2015, "Euro money market trading during times of crisis," Kiel Working Papers, Kiel Institute for the World Economy, number 2012.
• Holtemöller, Oliver & Mallick, Sushanta, 2015, "Global Food Prices and Business Cycle Dynamics in an Emerging Market Economy," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 15/2015.
• Fang, Lei & Härdle, Wolfgang Karl, 2015, "Stochastic population analysis: A functional data approach," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2015-007.
• Cui, Wei & Härdle, Wolfgang Karl & Wang, Weining, 2015, "Estimation of NAIRU with inflation expectation data," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2015-010.
• Meyer-Gohde, Alexander & Neuhoff, Daniel, 2015, "Generalized exogenous processes in DSGE: A Bayesian approach," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2015-014.
• Lütkepohl, Helmut & Netšunajev, Aleksei, 2015, "Structural vector autoregressions with heteroskedasticity: A comparison of different volatility models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2015-015.
• Gätjen, Rebekka & Schienle, Melanie, 2015, "Measuring connectedness of Euro area sovereign risk," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2015-019.
• Lee, Tsung-Hsien Michael & Chen, Wenjuan, 2015, "Is there an asymmetric impact of housing on output?," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2015-020.
• Burdejova, Petra & Härdle, Wolfgang Karl & Kokoszka, Piotr & Xiong, Q., 2015, "Change point and trend analyses of annual expectile curves of tropical storms," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2015-029.
• Luetkepohl, Helmut & Milunovich, George, 2015, "Testing for identification in SVAR-GARCH models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2015-030.
• Chen, Wenjuan & Netsunajev, Aleksei, 2015, "On the long-run neutrality of demand shocks," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2015-043.
• Xu, Xiu & Mihoci, Andrija & Härdle, Wolfgang Karl, 2015, "lCARE: Localizing conditional autoregressive expectiles," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2015-052.
• Cagala, Tobias & Glogowsky, Ulrich & Grimm, Veronika & Rincke, Johannes, 2015, "Cooperation and Trustworthiness in Repeated Interaction," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association, number 107597.
• Krolzig, Hans-Martin & Sserwanja, Isaac, 2015, "Fiscal Policy, Interest Rates, and Output: Equilibrium-Correction Dynamics in the US Economy," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association, number 112813.
• Haas, Markus & Liu, Ji-Chun, 2015, "Theory for a Multivariate Markov--switching GARCH Model with an Application to Stock Markets," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association, number 112855.
• Hanck, Christoph & Demetrescu, Matei & Kruse, Robinson, 2015, "Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association, number 112916.
• Scheufele, Rolf & Bäurle, Gregor, 2015, "Credit cycles and real activity - the Swiss case," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association, number 112931.
• von Borstel, Julia & Eickmeier, Sandra & Krippner, Leo, 2015, "The interest rate pass-through in the euro area during the sovereign debt crisis," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association, number 113035.
• Dybowski, T. Philipp, 2015, "Tracing the Role of Foresight on the Effects of U.S. Tax Policy: Evidence from a Time-Varying SVAR," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association, number 113049.
• Schreiber, Sven & Breitung, Jörg, 2015, "Tests Of Non-Causality In A Frequency Band," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association, number 113111.
• Lemke, Wolfgang & Vladu, Andreea, 2015, "A Shadow-Rate Term Structure Model for the Euro Area," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association, number 113159.
• Winkler, Roland C. & Linnemann, Ludger, 2015, "Estimating nonlinear effects of fiscal policy using quantile regression methods," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association, number 113164.
• Busch, Ramona & Memmel, Christoph, 2015, "Banks Net Interest Margin and the Level of Interest Rates," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association, number 113187.
• Sahito, Jam Ghulam Murtaza, 2015, "Market integration of wheat in Pakistan," Discussion Papers, Justus Liebig University Giessen, Center for international Development and Environmental Research (ZEU), number 72.
• Benedikt Rotermann & Bernd Wilfling, 2015, "Estimating rational stock-market bubbles with sequential Monte Carlo methods," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 4015, May.
• Christian Rohe & Matthias Hartermann, 2015, "The role of external shocks for monetary policy in Colombia and Brazil: A Bayesian SVAR analysis," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 4215, Jun.
• Almeida, Daniel de & Hotta, Luiz & Ruiz Ortega, Esther, 2015, "MGARCH models: tradeoff between feasibility and flexibility," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws1516, Jul.
• Luya Wang & Zhongwen Liang & Juan Lin & Qi Li, 2015, "Local Constant Kernel Estimation of a Partially Linear Varying Coefficient Cointegration Model," Annals of Economics and Finance, Society for AEF, volume 16, issue 2, pages 353-369, November.
• Juselius, Katarina, 2015, "Haavelmo’S Probability Approach And The Cointegrated Var," Econometric Theory, Cambridge University Press, volume 31, issue 2, pages 213-232, April.
• El-Shagi, Makram & Giesen, Sebastian & Kelly, Logan J., 2015, "The Quantity Theory Revisited: A New Structural Approach," Macroeconomic Dynamics, Cambridge University Press, volume 19, issue 1, pages 58-78, January.
• Bradley, Michael D. & Jansen, Dennis W. & Sinclair, Tara M., 2015, "How Well Does “Core” Inflation Capture Permanent Price Changes?," Macroeconomic Dynamics, Cambridge University Press, volume 19, issue 4, pages 791-815, June.
• Leroi RAPUTSOANE, 2015, "Alternative Measures of Credit Extension for Countercyclical Buffer Decisions in South Africa," Turkish Economic Review, EconSciences Journals, volume 2, issue 4, pages 210-221, December.
• Peter C. B. Phillips & Sainan Jin, 2015, "Business Cycles, Trend Elimination, and the HP Filter," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2005, Jun.
• Xiaohong Chen & Zhipeng Liao, 2015, "Sieve Semiparametric Two-Step GMM under Weak Dependence," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2012, Jul.
• Alfredo Marvão Pereira & Rui M. Pereira, 2015, "Is All Infrastructure Investment Created Equal? The Case of Portugal," Working Papers, Economics Department, William & Mary, number 156, Feb.
• Nektarios A. Michail, 2015, "Examining the Stability of Okun’s Coefficient," Working Papers, Central Bank of Cyprus, number 2015-2, Dec.
• Edgar Ventura Neyra & Gabriel Rodríguez, 2015, "Explaining the Determinants of the Frequency of Exchange Rate Interventions in Peru Using Count Models," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot GmbH, Berlin, volume 61, issue 3, pages 261-292, DOI: 10.3790/aeq.61.3.261.
• Monfort, Alain (ed.), 2015, "Non-Negativity, Zero Lower Bound and Affine Interest Rate Models," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/15295.
• Helmut Lütkepohl & George Milunovich, 2015, "Testing for Identification in SVAR-GARCH Models: Reconsidering the Impact of Monetary Shocks on Exchange Rates," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1455.
• Helmut Lütkepohl & Aleksei Netsunajev, 2015, "Structural Vector Autoregressions with Heteroskedasticity: A Comparison of Different Volatility Models," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1464.
• Alanoud Al-Maadid & Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2015, "Spillovers between Food and Energy Prices and Structural Breaks," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1466.
• Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana & Rangan Gupta, 2015, "The Relationship between Healthcare Expenditure and Disposable Personal Income in the US States: A Fractional Integration and Cointegration Analysis," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1486.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & C. James Orlando, 2015, "Linkages between the US and European Stock Markets: A Fractional Cointegration Approach," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1505.
• Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2015, "Macro News and Commodity Returns," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1508.
• Laurent Ferrara & Pierre Guérin, 2015, "What Are The Macroeconomic Effects of High-Frequency Uncertainty Shocks?," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2015-12.
• Ludovic Gauvin & Cyril Rebillard, 2015, "Towards Recoupling? Assessing the Global Impact of a Chinese Hard Landing through Trade and Commodity Price Channels," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2015-21.
• 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?," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2015-38.
• Marc Joëts & Valérie Mignon & Tovonony Razafindrabe, 2015, "Does the volatility of commodity prices reflect macroeconomic uncertainty?," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2015-7.
• Adam Goliński & João Madeira & Dooruj Rambaccussing, 2015, "Fractional Integration of the Price-Dividend Ratio in a Present-Value Model of Stock Prices," Dundee Discussion Papers in Economics, Economic Studies, University of Dundee, number 284, Feb.
• Dooruj Rambaccussing, 2015, "Modelling Housing Prices using a Present Value State Space Model," Dundee Discussion Papers in Economics, Economic Studies, University of Dundee, number 285, Feb.
• Dooruj McRambaccussing, 2015, "Moment Matching in the Present Value identity, and a New Model," Dundee Discussion Papers in Economics, Economic Studies, University of Dundee, number 291, Oct.
• Edward E GHARTEY, 2015, "Causal Relationship Between Financial Development And Economic Growth In South Africa," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 15, issue 1, pages 125-142.
• Declerck , Francis & Indjehagopian , Jean-Pierre & Bellocq , Flavien, 2015, "Relation entre le prix du pétrole et les cours boursiers des grandes compagnies pétrolières mondiales," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1504, Feb.
• Chevillon, Guillaume & Hecq , Alain & Laurent, Sébastien, 2015, "Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1507, Jun.