Research classified by Journal of Economic Literature (JEL) codes

---

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

---

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

2014

• De Santis, Paola & Drago, Carlo, 2014, "Asimmetria del rischio sistematico dei titoli immobiliari americani: nuove evidenze econometriche
  [Systematic Risk Asymmetry of the American Real Estate Securities: Some New Econometric Evidence]," MPRA Paper, University Library of Munich, Germany, number 59381, Oct.
• Jarocinski, Marek, 2014, "A note on implementing the Durbin and Koopman simulation smoother," MPRA Paper, University Library of Munich, Germany, number 59466, Oct.
• Cellini, Roberto & Di Caro, Paolo & Torrisi, Gianpiero, 2014, "Regional resilience in Italy: do employment and income tell the same story?," MPRA Paper, University Library of Munich, Germany, number 59660, Oct.
• Demiralay, Sercan & Ulusoy, Veysel, 2014, "Links Between Commodity Futures And Stock Market: Diversification Benefits, Financialization And Financial Crises," MPRA Paper, University Library of Munich, Germany, number 59727, Aug.
• Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Filis, George, 2014, "Spillovers between oil and stock markets at times of geopolitical unrest and economic turbulence," MPRA Paper, University Library of Munich, Germany, number 59760, Nov.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2014, "On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper, University Library of Munich, Germany, number 59770, Jul.
• Ben Jebli, Mehdi & Ben Youssef, Slim & Apergis, Nicholas, 2014, "The dynamic interaction between combustible renewables and waste consumption and international tourism: The case of Tunisia," MPRA Paper, University Library of Munich, Germany, number 59827, Nov.
• Jiranyakul, Komain, 2014, "Causal linkages between electricity consumption and GDP in Thailand: evidence from the bounds test," MPRA Paper, University Library of Munich, Germany, number 60038, Nov.
• Jin, Xin & Maheu, John M, 2014, "Bayesian Semiparametric Modeling of Realized Covariance Matrices," MPRA Paper, University Library of Munich, Germany, number 60102, Nov.
• Deluna, Roperto Jr & Peralta, Tiffany Faith, 2014, "Public Health Expenditures, Income and Health Outcomes in the Philippines," MPRA Paper, University Library of Munich, Germany, number 60115, Apr.
• Deluna, Roperto Jr, 2014, "The Long-run Relationship among World Oil Price, Exchange Rate and Inflation in the Philippines," MPRA Paper, University Library of Munich, Germany, number 60116, Aug.
• Deluna, Roperto Jr & Chelly, Antiquisa, 2014, "Economic Growth, Financial and Trade Globalization in the Philippines: A Vector Autoregressive Analysis," MPRA Paper, University Library of Munich, Germany, number 60206, Aug.
• Lee, Mei-Yu, 2014, "Computer Simulates the Effect of Internal Restriction on Residuals in Linear Regression Model with First-order Autoregressive Procedures," MPRA Paper, University Library of Munich, Germany, number 60362.
• Rahooja, Sabbah & Ali, Asif & Ahmed, Jameel & Hussain, Fayyaz & Rifat, Rizwana, 2014, "Monetary Policy and Bank Hetrogeneity: Effectiveness of Bank Lending Channel in Pakistan," MPRA Paper, University Library of Munich, Germany, number 60473, Dec.
• Jiranyakul, Komain, 2014, "Causal linkages between electricity consumption and GDP in Thailand: evidence from the bounds test," MPRA Paper, University Library of Munich, Germany, number 60625, Nov.
• Giovannelli, Alessandro & Proietti, Tommaso, 2014, "On the Selection of Common Factors for Macroeconomic Forecasting," MPRA Paper, University Library of Munich, Germany, number 60673, Nov.
• Bai, Jushan & Li, Kunpeng & Lu, Lina, 2014, "Estimation and inference of FAVAR models," MPRA Paper, University Library of Munich, Germany, number 60960, Dec.
• Ucal, Meltem & Bilgin, Mehmet Hüseyin & Haug, Alfred A., 2014, "Income Inequality and FDI: Evidence with Turkish Data," MPRA Paper, University Library of Munich, Germany, number 61104, Jun.
• Ezzat, Hassan & Kirkulak, Berna, 2014, "Information Arrival and Volatility: Evidence from the Saudi Arabia Stock Exchange (Tadawul)," MPRA Paper, University Library of Munich, Germany, number 61160, Feb.
• Mirdala, Rajmund, 2014, "Interest Rates and Structural Shocks in European Transition Economies," MPRA Paper, University Library of Munich, Germany, number 62031, Aug.
• Fuinhas, José Alberto & Marques, António Cardoso & Nogueira, David Coito, 2014, "Análise VAR dos índices bolsistas SP500, FTSE100, PSI20, HSI e IBOVESPA
  [Integration of the indexes SP500, FTSE100, PSI20, HSI and IBOVESPA: A VAR approach]," MPRA Paper, University Library of Munich, Germany, number 62092, Oct, revised 10 Feb 2015.
• Helali, Kamel & Kalai, Maha & Boujelben, Thouraya, 2014, "Exchange rate Pass-Through to domestic prices in Tunisia: a short and long run analysis," MPRA Paper, University Library of Munich, Germany, number 62204, Jun, revised 10 Dec 2014.
• Nicar, Stephen, 2014, "International spillovers from U.S. fiscal policy shocks," MPRA Paper, University Library of Munich, Germany, number 63214, Aug.
• Huseynov, Salman & Ahmadov, Vugar & Adigozalov, Shaig, 2014, "Beating a Random Walk: “Hard Times” for Forecasting Inflation in Post-Oil Boom Years?," MPRA Paper, University Library of Munich, Germany, number 63515, Oct.
• Degiannakis, Stavros & Floros, Christos, 2014, "Intra-Day Realized Volatility for European and USA Stock Indices," MPRA Paper, University Library of Munich, Germany, number 64940, Apr, revised Jan 2015.
• Naser, Hanan, 2014, "On the cointegration and causality between Oil market, Nuclear Energy Consumption, and Economic Growth: Evidence from Developed Countries," MPRA Paper, University Library of Munich, Germany, number 65252, Oct, revised 25 Mar 2015.
• Tang, Bo, 2014, "Real Exchange Rate and Economic Growth in China: A Cointegrated VAR Approach," MPRA Paper, University Library of Munich, Germany, number 66087, Nov.
• Degiannakis, Stavros & Duffy, David & Filis, George & Livada, Alexandra, 2014, "Business Cycle Synchronisation in EMU: Can Fiscal Policy Bring Member-Countries Closer?," MPRA Paper, University Library of Munich, Germany, number 67892, Sep.
• Arreola Hernandez, Jose & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Al Janabi, Mazin A. M. & Reboredo, Juan Carlos, 2014, "Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach," MPRA Paper, University Library of Munich, Germany, number 73399, Dec, revised Aug 2016.
• Huseynov, Salman & Ahmadov, Vugar, 2014, "Azərbaycan üzrə DSÜT modeli: qiymətləndirmə və proqnozlaşdırma
  [A DSGE model for Azerbaijan: estimation and forecasting]," MPRA Paper, University Library of Munich, Germany, number 78123, Aug.
• Heidari, Hassan & Babaei Balderlou, Saharnaz, 2014, "بررسی تأثیر نااطمینانی قیمت نفت خام بر رشد بخش صنعت و معدن در ایران کاربردی از مدل‌های تبدیل مارکف
  [Investigation of the Effect of Crude Oil Price Uncertainty on the Growth of Industry and Mine Sector in Iran: An Application of Markov-Switching Mo," MPRA Paper, University Library of Munich, Germany, number 79228, Nov.
• Degiannakis, Stavros & Dent, Pamela & Floros, Christos, 2014, "A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification," MPRA Paper, University Library of Munich, Germany, number 80431.
• Degiannakis, Stavros & Duffy, David & Filis, George, 2014, "Business Cycle Synchronisation in EU: A time-varying approach," MPRA Paper, University Library of Munich, Germany, number 80437.
• ZAREEN, SHUMAILA & Qayyum, Abdul, 2014, "An Analysis of the Impact of Government Size on Economic Growth of Pakistan: An Endogenous Growth," MPRA Paper, University Library of Munich, Germany, number 85426, revised 2015.
• Bilgili, Faik & Doğan, İbrahim & H. Tülüce, Nadide & Kuşkaya, Sevda, 2014, "The impact of biomass, geothermal and hydroelectric energy consumption on industrial production: A threshold cointegration model with regime shifts," MPRA Paper, University Library of Munich, Germany, number 90168, May.
• Degiannakis, Stavros & Filis, George & Kizys, Renatas, 2014, "The effects of oil price shocks on stock market volatility: Evidence from European data," MPRA Paper, University Library of Munich, Germany, number 96296.
• Salles, Andre Assis de & Oliveira, Erick Meira de, 2014, "The Relationship between Oil and Brazilian Agricultural Commodities Prices," MPRA Paper, University Library of Munich, Germany, number 98390, Apr, revised Dec 2019.
• Saeidinezhad, Elham, 2014, "The International Spillover of Fiscal and Technology Shocks before the Crisis: The case of the UK and Italy," MPRA Paper, University Library of Munich, Germany, number 98556, Mar.
• Rangan Gupta & Patrick T. Kanda, 2014, "Does the Price of Oil Help Predict Inflation in South Africa? Historical Evidence Using a Frequency Domain Approach," Working Papers, University of Pretoria, Department of Economics, number 201401, Jan.
• Mulatu F. Zerihun & Marthinus C. Breitenbach & Francis Kemegue, 2014, "Nonlinear Econometric Approaches in Testing PPP of SADC Economies towards Monetary Union," Working Papers, University of Pretoria, Department of Economics, number 201406, Feb.
• Saban Nazlioglu & Ugur Soytas & Rangan Gupta, 2014, "Volatility Spillover between Energy and Financial Markets," Working Papers, University of Pretoria, Department of Economics, number 201409, Mar.
• Furkan Emirmahmutoglu & Mehmet Balcilar & Nicholas Apergis & Beatrice D. Simo-Kengne & Tsangyao Chang & Rangan Gupta, 2014, "Causal relationship between asset prices and output in the US: Evidence from state-level panel Granger causality test," Working Papers, University of Pretoria, Department of Economics, number 201411, Mar.
• Mehmet Balcilar & Kirsten Thompson & Rangan Gupta & Renee van Eyden, 2014, "Testing the Asymmetric Effects of Financial Conditions in South Africa: A Nonlinear Vector Autoregression Approach," Working Papers, University of Pretoria, Department of Economics, number 201414, Apr.
• Patrick T. kanda & Mehmet Balcilar & Pejman Bahramian & Rangan Gupta, 2014, "Forecasting South African Inflation Using Non-Linear Models: A Weighted Loss-Based Evaluation," Working Papers, University of Pretoria, Department of Economics, number 201416, Apr.
• Vasilios Plakandaras & Rangan Gupta & Periklis Gogas & Theophilos Papadimitriou, 2014, "Forecasting the U.S. Real House Price Index," Working Papers, University of Pretoria, Department of Economics, number 201418, May.
• Stephen M. Miller & Luis F. Martins & Rangan Gupta, 2014, "A Time-Varying Approach of the US Welfare Cost of Inflation," Working Papers, University of Pretoria, Department of Economics, number 201419, May.
• Ahdi N. Ajmi & Vassilios Babalos & Rangan Gupta & Roulof Hefer, 2014, "A Reinvestigation of the Oil Price and Consumer Price Nexus in South Africa: An Asymmetric Causality Approach," Working Papers, University of Pretoria, Department of Economics, number 201423, May.
• Goodness C. Aye & Mehmet Balcilar & Ghassen El Montasser & Rangan Gupta & Nangamso C. Manjezi, 2014, "Can Debt Ceiling and Government Shutdown Predict US Real Stock Returns? A Boot-strap Rolling-Window Approach," Working Papers, University of Pretoria, Department of Economics, number 201426, Jun.
• Hossein Hassani & Rangan Gupta & Xu Huang & Mansi Ghodsi, 2014, "Does Sunspot Numbers Cause Global Temperatures? A Reconsideration Using a Non-Parametric Causality Test," Working Papers, University of Pretoria, Department of Economics, number 201427, Jun.
• Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2014, "Regime Switching Model of US Crude Oil and Stock Market Prices: 1859 to 2013," Working Papers, University of Pretoria, Department of Economics, number 201429, Jun.
• Mehmet Balcilar & Josine Uwilingiye & Rangan Gupta, 2014, "Dynamic Relationship between Oil Price and Inflation in South Africa," Working Papers, University of Pretoria, Department of Economics, number 201430, Jun.
• Tsangyao Chang & Hsiao-Ping Chu & Frederick W. Deale & Rangan Gupta & Stephen M. Miller, 2014, "The Relationship between Population Growth and Economic Growth Over 1870-2013: Evidence from a Bootstrapped Panel-Granger Causality Test," Working Papers, University of Pretoria, Department of Economics, number 201431, Jun.
• Ahdi N. Ajmi & Vassilios Babalos & Fotini Economou & Rangan Gupta, 2014, "Real Estate Markets and Uncertainty Shocks: A Variance Causality Approach," Working Papers, University of Pretoria, Department of Economics, number 201436, Jul.
• Tsangyao Chang & Hsiao-Ping Chu & Frederick W. Deale & Rangan Gupta, 2014, "Relationship between Happiness and Smoking: A Bootstrap Panel Causality Test," Working Papers, University of Pretoria, Department of Economics, number 201443, Aug.
• Vassilios Babalos & Mehmet Balcilar & Rangan Gupta, 2014, "Revisiting Herding Behavior in REITs: A Regime-Switching Approach," Working Papers, University of Pretoria, Department of Economics, number 201448, Sep.
• Adnen Ben Nasr & Mehmet Balcilar & Ahdi N. Ajmi & Goodness C. Aye & Rangan Gupta & Reneé van Eyden, 2014, "Causality between Inflation and Inflation Uncertainty in South Africa: Evidence from a Markov-Switching Vector Autoregressive Model," Working Papers, University of Pretoria, Department of Economics, number 201453, Oct.
• Kola Akinsomi & Goodness C. Aye & Vassilios Babalos & Fotini Economou & Rangan Gupta, 2014, "Real Estate Returns Predictability Revisited: Novel Evidence from the US REITs Market," Working Papers, University of Pretoria, Department of Economics, number 201454, Oct.
• Amine Lahiani & Shawkat Hammoudeh & Rangan Gupta, 2014, "Linkages between Financial Sector CDS Spreads and Macroeconomic Influence in a Nonlinear Setting," Working Papers, University of Pretoria, Department of Economics, number 201456, Oct.
• Ahdi N. Ajmi & Rangan Gupta & Monique Kruger & Nicola Schoeman & Leoné Walters, 2014, "The Nonparametric Relationship between Oil and South African Agricultural Prices," Working Papers, University of Pretoria, Department of Economics, number 201461, Oct.
• Ghassen El Montasser & Kenza Aggad & Louise Clark & Rangan Gupta & Shannon Kemp, 2014, "Causal Link between Oil Price and Uncertainty in India," Working Papers, University of Pretoria, Department of Economics, number 201467, Nov.
• Rangan Gupta & Gbeada Josiane Seu Epse Kean & Mpho Asnath Tsebe & Nthabiseng Tsoanamatsie & João Ricardo Sato, 2014, "Time-Varying Causality between Oil and Commodity Prices in the Presence of Structural Breaks and Nonlinearity," Working Papers, University of Pretoria, Department of Economics, number 201469, Nov.
• Mehmet Balcilar & Reneé van Eyden & Josine Uwilingiye & Rangan Gupta, 2014, "The impact of oil price on South African GDP growth: A Bayesian Markov Switching-VAR analysis," Working Papers, University of Pretoria, Department of Economics, number 201470, Nov.
• Won Joong Kim & Shawkat Hammoudeh & Jun Seog Hyun & Rangan Gupta, 2014, "Oil Price Shocks and China’s Economy: Reactions of the Monetary Policy to Oil Price Shocks," Working Papers, University of Pretoria, Department of Economics, number 201481, Dec.
• Hossein Hassani & Zara Ghodsi & Rangan Gupta & Mawuli K. Segnon, 2014, "Forecasting Home Sales in the Four Census Regions and the Aggregate US Economy Using Singular Spectrum Analysis," Working Papers, University of Pretoria, Department of Economics, number 201482, Dec.
• Omid Ranjbar & Tsangyao Chang & Elmarie Nel & Rangan Gupta, 2014, "The Causal Relationship between Energy Consumption and Economic Growth in South Africa: New Evidence from Asymmetric Causality in Frequency Domain," Working Papers, University of Pretoria, Department of Economics, number 201483, Dec.
• Goodness C. Aye, 2014, "Does Oil Price Uncertainty Matter for Stock Returns in South Africa?," Working Papers, University of Pretoria, Department of Economics, number 201484, Dec.
• Diksha Dave & Goodness C. Aye, 2014, "Oil Price Uncertainty and Savings in South Africa," Working Papers, University of Pretoria, Department of Economics, number 201485, Dec.
• Goodness C. Aye, 2014, "Causality between Oil and South Africa’s Food Price: Time Varying Approach," Working Papers, University of Pretoria, Department of Economics, number 201486, Dec.
• Tomas Konecny, 2014, "Linkages between the Financial and Real Sectors across Interest Rate Regimes: The Case of the Czech Republic," ACTA VSFS, University of Finance and Administration, volume 8, issue 2, pages 113-131.
• Milan Bašta, 2014, "Simulating Bivariate Stationary Processes with Scale-Specific Characteristics," Acta Oeconomica Pragensia, Prague University of Economics and Business, volume 2014, issue 1, pages 3-26, DOI: 10.18267/j.aop.423.
• Michal Řičař, 2014, "Macroeconomic Modelling of a Firm's Default," Acta Oeconomica Pragensia, Prague University of Economics and Business, volume 2014, issue 1, pages 27-40, DOI: 10.18267/j.aop.424.
• Milan Bašta, 2014, "Additive Decomposition and Boundary Conditions in Wavelet-Based Forecasting Approaches," Acta Oeconomica Pragensia, Prague University of Economics and Business, volume 2014, issue 2, pages 48-70, DOI: 10.18267/j.aop.431.
• Roman Hušek & Tomáš Formánek, 2014, "Alternative specification, estimation and identification of vector autoregressions
  [Alternativní specifikace, odhad a identifikace vektorových autoregresí]," Acta Oeconomica Pragensia, Prague University of Economics and Business, volume 2014, issue 4, pages 52-72, DOI: 10.18267/j.aop.446.
• Lucie Tomanová, 2014, "Exchange Rate Exposure and its Determinants: Evidence on Hungarian Firms," European Financial and Accounting Journal, Prague University of Economics and Business, volume 2014, issue 2, pages 47-65, DOI: 10.18267/j.efaj.119.
• Daniela Milučká, 2014, "Inflation dynamics in the Czech Republic: Estimation of the New Keynesian Phillips curve," International Journal of Economic Sciences, Prague University of Economics and Business, volume 2014, issue 2, pages 53-70.
• Erkan Özata, 2014, "Sustainability of current account deficit with high oil prices: Evidence from Turkey," International Journal of Economic Sciences, Prague University of Economics and Business, volume 2014, issue 2, pages 71-88.
• Eduard Baumöhl, 2014, "Determinanty integrácie akciových trhov krajín V4
  [Determinants of CEE-4 Stock Market Integration]," Politická ekonomie, Prague University of Economics and Business, volume 2014, issue 3, pages 347-365, DOI: 10.18267/j.polek.955.
• Sára Bíza Bisová & Roman Hušek, 2014, "Srovnání měnových transmisních mechanismů České republiky a Polska pomocí funkcí odezvy
  [Comparison of the Monetary Transmission Mechanisms of Czech Republic and Poland Using Impulse Response Functions]," Politická ekonomie, Prague University of Economics and Business, volume 2014, issue 6, pages 785-807, DOI: 10.18267/j.polek.982.
• Anna Staszewska-Bystrova & Peter Winker, 2014, "Measuring Forecast Uncertainty of Corporate Bond Spreads by Bonferroni-Type Prediction Bands," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 6, issue 2, pages 89-104, June.
• Marta Skrzypczyńska, 2014, "Cyclical Processes in the Polish Economy," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 6, issue 3, pages 153-192, September.
• Maddalena Cavicchioli, 2014, "Autocovariance and Linear Transformations of Markov Switching VARMA Processes," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 6, issue 4, pages 275-289, December.
• Morten Ø. Nielsen & Lealand Morin, 2014, "Fcvarmodel.m: A Matlab Software Package For Estimation And Testing In The Fractionally Cointegrated Var Model," Working Paper, Economics Department, Queen's University, number 1273, Mar.
• Maggie Jones & Morten Ø. Nielsen & Michal Ksawery Popiel, 2014, "A Fractionally Cointegrated Var Analysis Of Economic Voting And Political Support," Working Paper, Economics Department, Queen's University, number 1326, Jun.
• Sepideh Dolatabadi & Ke Xu & Morten Ø. Nielsen, 2014, "A Fractionally Cointegrated Var Analysis Of Price Discovery In Commodity Futures Markets," Working Paper, Economics Department, Queen's University, number 1328, Jul.
• Thomai Filippeli & Konstantinos Theodoridis, 2014, "DSGE Priors for BVAR Models," Working Papers, Queen Mary University of London, School of Economics and Finance, number 713, Mar.
• Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter, 2014, "Fat-tails in VAR Models," Working Papers, Queen Mary University of London, School of Economics and Finance, number 714, Mar.
• Haroon Mumtaz & Gabor Pinter & Konstantinos Theodoridis, 2014, "What do VARs Tell Us about the Impact of a Credit Supply Shock? An Empirical Analysis," Working Papers, Queen Mary University of London, School of Economics and Finance, number 716, Apr.
• Piergiorgio Alessandri & Haroon Mumtaz, 2014, "Financial Regimes and Uncertainty Shocks," Working Papers, Queen Mary University of London, School of Economics and Finance, number 729, Oct.
• Haroon Mumtaz & Konstantinos Theodoridis, 2014, "The Changing Transmission of Uncertainty shocks in the US: An Empirical Analysis," Working Papers, Queen Mary University of London, School of Economics and Finance, number 735, Dec.
• Roger Alejandro Banegas Rivero & Reyna Vergara Gonzalez, 2014, "Influencia y divergencia de choques de precios del petroleo en precios del gas natural: ¿Mecanismo unidireccional o canales de transmision?, una estimacion mediante vectores estructurales con corrector de errores (SVEC), 1992 (I)-2011 (IV)," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., volume 11, issue 1, pages 59-87, Enero-Jun.
• Ruijun Bu & Jie Cheng & Kaddour Hadri, 2014, "Reducible Diffusions with Time-Varying Transformations with Application to Short-Term Interest Rates," Economics Working Papers, Queen's Management School, Queen's University Belfast, number 14-01.
• Diana María Morán Chiquito, 2014, "Determinantes de la inflación en Ecuador Un análisis econométrico utilizando modelos VAR," Economia y Sociedad., Universidad Michoacana de San Nicolas de Hidalgo, Facultad de Economia, issue 31, pages 53-70, Julio-Dic.
• Adam Clements & Stan Hurn & Zili Li, 2014, "Forecasting day-ahead electricity load using a multiple equation time series approach," NCER Working Paper Series, National Centre for Econometric Research, number 103, Sep, revised 06 May 2015.
• Josef Manalo & Dilhan Perera & Daniel Rees, 2014, "Exchange Rate Movements and the Australian Economy," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2014-11, Sep.
• Winkelried, Diego, 2014, "Inferring inflation expectations from fixed-event forecasts," Working Papers, Banco Central de Reserva del Perú, number 2014-016, Dec.
• Giovanni Razzu & Carl Singleton, 2014, "Gender and the Business Cycle: A Stocks and Flows Analysis of US and UK Labour Market States," Economics Discussion Papers, Department of Economics, University of Reading, number em-dp2014-10, Nov.
• Ricardo Nunes & Jinill Kim & Jesper Linde & Davide Debortoli, 2014, "Designing a Simple Loss Function for the Fed: Does the Dual Mandate Make Sense?," 2014 Meeting Papers, Society for Economic Dynamics, number 1043.
• Juan Rubio-Ramirez & Daniel Waggoner & Jonas Arias, 2014, "Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications," 2014 Meeting Papers, Society for Economic Dynamics, number 1199.
• Luca Gambetti, 2014, "Noisy News in Business Cycles," 2014 Meeting Papers, Society for Economic Dynamics, number 1406.
• Thorsten Drautzburg, 2014, "A Narrative Approach to a Fiscal DSGE Model," 2014 Meeting Papers, Society for Economic Dynamics, number 791.
• Mosab I. Tabash & Raj S. Dhankar, 2014, "Islamic Banking and Economic Growth — A cointegration Approach," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 17, issue 53, pages 61-90, September.
• Marina Tkalec & Maruska Vizek, 2014, "Real estate boom and export performance bust in Croatia," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, volume 32, issue 1, pages 11-34.
• Vasilios Plakandaras & Rangan Gupta & Periklis Gogas & Theophilos Papadimitriou, 2014, "Forecasting the U.S. Real House Price Index," Working Paper series, Rimini Centre for Economic Analysis, number 30_14, Nov.
• Mark J. Jensen & John M. Maheu, 2014, "Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis," Working Paper series, Rimini Centre for Economic Analysis, number 31_14, Nov.
• Xin Jin & John M. Maheu, 2014, "Bayesian Semiparametric Modeling of Realized Covariance Matrices," Working Paper series, Rimini Centre for Economic Analysis, number 34_14, Nov.
• Xin Jin & John M. Maheu, 2014, "Modeling Covariance Breakdowns in Multivariate GARCH," Working Paper series, Rimini Centre for Economic Analysis, number 36_14, Nov.
• Joshua C.C. Chan & Eric Eisenstat & Gary Koop, 2014, "Large Bayesian VARMAs," Working Paper series, Rimini Centre for Economic Analysis, number 40_14, Nov.
• Eric Eisenstat & Rodney Strachan, 2014, "Modelling Inflation Volatility," Working Paper series, Rimini Centre for Economic Analysis, number 43_14, Dec.
• Alexey Balaev, 2014, "The copula based on multivariate t-distribution with vector of degrees of freedom," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 33, issue 1, pages 90-110.
• İbrahim Arısoy & Cengiz Aytun, 2014, "An Empirical Analysis of the Relations among Consumer Expenditures, Consumption Credits and Consumer Confidence in Turkish Economy," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 5, issue 2, pages 33-45.
• Bedriye Saraçoğlu & Özlem Yiğit & Necmettin Alpay Koçak, 2014, "Alternative Methods Of Estimating Output Gap For Turkey," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 5, issue 3, pages 43-65.
• Vasilios Plakandaras & Rangan Gupta & Theophilos Papadimitriou & Periklis Gogas, 2014, "Forecasting the U.S. Real House Price Index," DUTH Research Papers in Economics, Democritus University of Thrace, Department of Economics, number 10-2014, Apr.
• Abdulrahman Al-Shayeb & Abdulnasser Hatemi-J, 2014, "The Performance of the Banking Sector in the UAE - La performance del settore bancario negli Emirati Arabi Uniti," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 67, issue 4, pages 439-448.
• Mei-Yu Lee, 2014, "Adequacy of Lagrange Multiplier Test," European Economic Letters, European Economics Letters Group, volume 3, issue 2, pages 32-35.
• Kang-Soek Lee & Franceline Mercurelli, 2014, "Convergence in the Core Euro Zone under the Global Financial Crisis," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 29, pages 20-63.
• Paolo Canofari & Giancarlo Marini & Giovanni Piersanti, 2014, "Expectations and Systemic Risk in EMU Government Bond Spreads," LEAP Working Papers, Luiss Institute for European Analysis and Policy, number 2014/1, Jun.
• Zhong, Ming & Chang,Tsangyao & Tzeng, Han-Wen, 2014, "International Equity Diversification Between the United States and Brics Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 123-138, March.
• Congregado, Emilio & Carmona, Monica & Golpe, Antonio A. & Van Stel, André, 2014, "Unemployment, Gender and Labor Force Participation in Spain: Future Trends in Labor Market," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 53-66, March.
• Chih-Chung Yang & Yungho Leu & Chien-Pang Lee, 2014, "A Dynamic Weighted Distancedbased Fuzzy Time Series Neural Network with Bootstrap Model for Option Price Forecasting," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 115-129, June.
• Tosun, M. Umur & Iyidogan, Pelin Varol & Telatar, Erdinç, 2014, "The Twin Deficits in Selected Central and Eastern European Economies: Bounds Testing Approach with Causality Analysis," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 141-160, June.
• Melike Bildirici & Özgür Ömer Ersin, 2014, "Nonlinearity, Volatility and Fractional Integration in Daily Oil Prices: Smooth Transition Autoregressive ST-FI(AP)GARCH Models," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 108-135, October.
• Adriana Anamaria Davidescu (Alexandru), 2014, "Investigating the Impact of Unemployment Rate on the Romanian Shadow Economy. A Complex Approach Based on ARDL and SVAR Analysis," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 109-127, December.
• Emilian Dobrescu, 2014, "Attempting to Quantify the Accuracy of Complex Macroeconomic Forecasts," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 5-21, December.
• Mateescu, George Daniel, 2014, "Extinderi ale regresiei cu puncte multiple," Studii Economice, Institutul National de Cercetari Economice (INCE), number 141118, Nov.
• Saverio M. Fratini & Alessia Naccarato, 2014, "The Gravitation of Market Prices as a Stochastic Process," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0195, Oct.
• Маевский Владимир Иванович & Малков Сергей Юрьевич & Рубинштейн А.А., 2014, "Особенности И Проблемы Моделирования Переключающегося Воспроизводства
  [Features and problems of modeling the shifting mode of reproduction]," Working papers, Institute of Economics, number a:pru174:y:2015:1, Oct.
• G. Peersman & W. Wagner, 2014, "Shocks to Bank Lending, Risk-Taking, Securitization, and their Role for U.S. Business Cycle Fluctuations," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 14/874, Feb.
• G. Peersman, 2014, "The Effectiveness of Unconventional Monetary Policies," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 14/875, Feb.
• G. Everaert & L. Pozzi, 2014, "The dynamics of European financial market integration," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 14/877, Mar.
• Jef Boeckx & Maarten Dossche & Gert Peersman, 2014, "Effectiveness and Transmission of the ECB s Balance Sheet Policies," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 14/887, Jul.
• Stefano Neri, 2014, "The Impact of the Sovereign Debt Crisis on Bank Lending Rates in the Euro Area," Rivista Bancaria - Minerva Bancaria, Istituto di Cultura Bancaria Francesco Parrillo, issue 5-6, September.
• Francis M. Kemegue & Marthinus C. Breitenbach & Mulatu F. Zerihun, 2014, "Nonlinear Econometric Approaches in Testing PPP of SADC Economies towards Monetary Union," ERSA Working Paper Series, Economic Research Southern Africa, number 420, Feb.
• Greg Farrell & Jessica Kramer, 2014, "The reliability of South African real-time output gap estimates," ERSA Working Paper Series, Economic Research Southern Africa, number 428, Apr.
• Leroi Raputsoane, 2014, "Disaggregated Credit Extension and Financial Distress in South Africa," ERSA Working Paper Series, Economic Research Southern Africa, number 435, Jun.
• Leroi Raputsoane, 2014, "Financial Stress Indicator Variables and Monetary Policy in South Africa," ERSA Working Paper Series, Economic Research Southern Africa, number 443, Jul.
• Eric Schaling & James Bernstein & Leroi Raputsoane, 2014, "Credit Procyclicality and Financial Regulation in South Africa," ERSA Working Paper Series, Economic Research Southern Africa, number 445, Jul.
• Elie Bouri & Georges Azzi, 2014, "On the Dynamic Transmission of Mean and Volatility across the Arab Stock Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 13, issue 3, pages 279-304, December, DOI: 10.1177/0972652714552041.
• Stavros Degiannakis & George Filis & Renatas Kizys, 2014, "The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data," The Energy Journal, , volume 35, issue 1, pages 35-56, January, DOI: 10.5547/01956574.35.1.3.
• Fanny Henriet & Nicolas Maggiar & Katheline Schubert, 2014, "A Stylized Applied Energy-Economy Model for France," The Energy Journal, , volume 35, issue 4, pages 1-38, October, DOI: 10.5547/01956574.35.4.1.
• Stephan B. Bruns & Christian Gross & David I. Stern, 2014, "Is There Really Granger Causality between Energy Use and Output?," The Energy Journal, , volume 35, issue 4, pages 101-134, October, DOI: 10.5547/01956574.35.4.5.
• Satyananda Sahoo, 2014, "Financial Intermediation and Growth: Bank-Based versus Market-Based Systems," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, volume 8, issue 2, pages 93-114, May, DOI: 10.1177/0973801013519998.
• Ranajoy Bhattacharyya & Jaydeep Mukherjee, 2014, "Do Exchange Rates Affect Exports in India?," South Asian Journal of Macroeconomics and Public Finance, , volume 3, issue 2, pages 175-193, December, DOI: 10.1177/2277978714548631.
• Krishanu Pradhan, 2014, "Is India’s Public Debt Sustainable?," South Asian Journal of Macroeconomics and Public Finance, , volume 3, issue 2, pages 241-266, December, DOI: 10.1177/2277978714548637.
• Navaratnam Ravinthirakumaran, 2014, "Applicability of Openness-led Growth Hypothesis in Sri Lanka," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, volume 15, issue 2, pages 241-263, September, DOI: 10.1177/1391561414548951.
• Massimo Franchi & Paolo Paruolo, 2014, "Inverting a matrix function around a singularity via local rank factorization," DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome, number 2014/6, Dec.
• Dongkoo Chang & Jami'ah Jaffar, 2014, "Monetary Policy Towards Inclusive Growth: The Case of Korea," Working Papers, South East Asian Central Banks (SEACEN) Research and Training Centre, number wp05, Jun.
• Manuel Lukas & Eric Hillebrand, 2014, "Bagging Weak Predictors," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-01, Jan.
• Paul Catani & Timo Teräsvirta & Meiqun Yin, 2014, "A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-03, Jan.
• Timo Teräsvirta & Yukai Yang, 2014, "Linearity and Misspecification Tests for Vector Smooth Transition Regression Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-04, Feb.
• Debopam Bhattacharya & Shin Kanaya & Margaret Stevens, 2014, "Are University Admissions Academically Fair?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-06, Feb.
• Markku Lanne & Jani Luoto, 2014, "Noncausal Bayesian Vector Autoregression," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-07, Mar.
• Timo Teräsvirta & Yukai Yang, 2014, "Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-08, Mar.
• Yukai Yang, 2014, "Testing Constancy of the Error Covariance Matrix in Vector Models against Parametric Alternatives using a Spectral Decomposition," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-11, Apr.
• Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2014, "Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-13, Apr.
• Federico Carlini & Katarzyna Lasak, 2014, "On an Estimation Method for an Alternative Fractionally Cointegrated Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-15, Apr.
• Markku Lanne & Henri Nyberg, 2014, "Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-17, May.
• Maggie E. C. Jones & Morten Ørregaard Nielsen & Michael Ksawery Popiel, 2014, "A fractionally cointegrated VAR analysis of economic voting and political support," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-23, Aug.
• Sepideh Dolatabadi & Morten Ørregaard Nielsen & Ke Xu, 2014, "A fractionally cointegrated VAR analysis of price discovery in commodity futures markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-24, Jul.
• Morten Ørregaard Nielsen, 2014, "Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-34, Oct.
• Gustavo Fruet Dias & George Kapetanios, 2014, "Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-37, Oct.
• Søren Johansen, 2014, "Times Series: Cointegration," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-38, Oct.
• Laurent Callot & Johannes Tang Kristensen, 2014, "Vector Autoregressions with Parsimoniously Time Varying Parameters and an Application to Monetary Policy," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-41, Nov.
• Paolo Santucci de Magistris & Federico Carlini, 2014, "On the identification of fractionally cointegrated VAR models with the F(d) condition," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-43, Nov.
• Cristina M. Scherrer, 2014, "Cross listing: price discovery dynamics and exchange rate effects," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-53, Dec.
• Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana Stern, 2014, "The Short-Run Pricing Behavior of Closed-End Funds: Bond vs. Equity Funds," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2014-14, Nov.
• Patrick Feve & Ahmat Jidoud, 2014, "News Shocks, Information Flows and SVARs," Annals of Economics and Statistics, GENES, issue 113-114, pages 293-307, DOI: 10.15609/annaeconstat2009.113-114.2.
• Isaiah Andrews & Anna Mikusheva, 2014, "Weak Identification in Maximum Likelihood: A Question of Information," American Economic Review, American Economic Association, volume 104, issue 5, pages 195-199, May.
• María Lorena Mari del Cristo & Marta Gómez-Puig, 2014, "Dollarization and the relationship between EMBI and fundamentals Latin American countries," Working Papers, Asociación Española de Economía y Finanzas Internacionales, number 14-05, Feb.
• Channarong Chaiphat, 2014, "Cointegration of Capital Markets in ASEAN-5 Countries," Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, volume 21, issue 1, pages 42-58, June.
• Woradee Jongadsayakul, 2014, "Determinants of the Gold Futures Price Volatility: The Case of Thailand Futures Exchange," Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, volume 21, issue 1, pages 59-78, June.
• Delia Popescu & Andreea Saseanu & Daniel Bulin & Grazia Calabro, 2014, "Econometric Models in Romanian Tourism under the Impact of Sustainable Development," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, volume 16, issue Special 8, pages 1063-1063, August.
• Vasile Alecsandru STRAT, 2014, "The Relationship Between Foreign Direct Investment And The Higher Education System In Romania," Journal of Social and Economic Statistics, Bucharest University of Economic Studies, volume 3, issue 1, pages 10-24, JULY.
• Zivanemoyo Chinzara & Tinashe Harry Dumile Kambadza, 2014, "Evidence Of Segmentation Among African Equity Markets," The African Finance Journal, Africagrowth Institute, volume 16, issue 1, pages 19-38.
• Kim, Man-Keun & Tejeda, Hernan A., 2014, "Post Livestock Mandatory Price Reporting: An Assessment of Effects on Cattle Cash Prices," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota, Agricultural and Applied Economics Association, number 169692, Jul, DOI: 10.22004/ag.econ.169692.
• Dharmasena, Senarath & Bessler, David A. & Todd, Jessica & Capps, Oral, Jr., 2014, "Dynamics of the Food Environment in the United States," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota, Agricultural and Applied Economics Association, number 169797, May, DOI: 10.22004/ag.econ.169797.
• Li, Xin, 2014, "Hedging Crude Oil and Corn Futures: An Application in International Trade," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota, Agricultural and Applied Economics Association, number 170174, Jul, DOI: 10.22004/ag.econ.170174.
• Li, Xi-Le & Saghaian, Sayed, 2014, "The Presence Of Market Power In The Coffee Market: The Case Of Colombian Milds," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota, Agricultural and Applied Economics Association, number 170348, DOI: 10.22004/ag.econ.170348.
• Koirala, Krishna H. & Mishra, Ashok K. & Mehlhorn, Joey, , "Using Copula to Test Dependency between Energy and Agricultural Commodities," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota, Agricultural and Applied Economics Association, number 170364, DOI: 10.22004/ag.econ.170364.
• Diermeier, Matthias & Schmidt, Torsten, 2014, "Oil price effects on land use competition: an empirical analysis," Agricultural Economics Review, Greek Association of Agricultural Economists, volume 15, issue 01, pages 1-17, DOI: 10.22004/ag.econ.253679.
• Loy, Jens-Peter & Holm, Thore & Steinhagen, Carsten & Glauben, Thomas, 2014, "Cost Pass-Through In Differentiated Product Markets: A Disaggregated Study For Milk And Butter," 88th Annual Conference, April 9-11, 2014, AgroParisTech, Paris, France, Agricultural Economics Society, number 169762, Apr, DOI: 10.22004/ag.econ.169762.
• Bastianin, Andrea & Galeotti, Marzio & Manera, Matteo, 2014, "Forecasting the Oil-gasoline Price Relationship: Should We Care about the Rockets and the Feathers?," Climate Change and Sustainable Development, Fondazione Eni Enrico Mattei (FEEM), number 165791, Mar, DOI: 10.22004/ag.econ.165791.
• Mengel, Carolin & von Cramon-Taubadel, Stephan, 2014, "Distance and border effects on price transmission - a meta-analysis," GlobalFood Discussion Papers, Georg-August-Universitaet Goettingen, GlobalFood, Department of Agricultural Economics and Rural Development, number 170988, May, DOI: 10.22004/ag.econ.170988.
• Mengel, Carolin & von Cramon-Taubadel, Stephan, 2014, "Proximity and price co-movement in West African rice markets," GlobalFood Discussion Papers, Georg-August-Universitaet Goettingen, GlobalFood, Department of Agricultural Economics and Rural Development, number 170989, May, DOI: 10.22004/ag.econ.170989.
• ßrregaard Nielsen, Morten & Morin, Lealand, 2014, "FCVARmodel.m: A Matlab software package for estimation and testing in the fractionally cointegrated VAR model," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 274021, Mar, DOI: 10.22004/ag.econ.274021.
• Jones, Maggie E.C. & ßrregaard Nielsen, Morten & Ksawery Popiel, Michal, 2014, "A fractionally cointegrated VAR analysis of economic voting and political support," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 274652, Jun, DOI: 10.22004/ag.econ.274652.
• Dolatabadi, Sepideh & ßrregaard Nielsen, Morten & Xu, Ke, 2014, "A fractionally cointegrated VAR analysis of price discovery in commodity futures markets," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 274654, Jul, DOI: 10.22004/ag.econ.274654.
• Dharmasena, Senarath & Ishdorj, Ariun & Capps, Oral, Jr. & Bessler, David A., 2014, "Dynamics of Macroeconomic Shocks on Food Assistance Programs in the United States," 2014 Annual Meeting, February 1-4, 2014, Dallas, Texas, Southern Agricultural Economics Association, number 162368, Jan, DOI: 10.22004/ag.econ.162368.