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

2014

• Nidhaleddine Ben Cheikh & Waël Louhichi, 2014, "Measuring the Impact of Exchange Rate Movements on Domestic Prices: A Cointegrated VAR Analysis," FIW Working Paper series, FIW, number 131, Mar.
• Katarzyna Maciejowska, 2014, "Fundamental and speculative shocks, what drives electricity prices?," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/14/05, Apr.
• Katarzyna Maciejowska & Jakub Nowotarski & Rafal Weron, 2014, "Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/14/09, Jun.
• Tao Hong & Katarzyna Maciejowska & Jakub Nowotarski & Rafal Weron, 2014, "Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/14/10, Jul.
• Blagov, Boris & Funke, Michael, 2014, "The credibility of Hong Kong's currency board system: Looking through the prism of MS-VAR models with time-varying transition probabilities," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 15/2014.
• Molyneux, Philip & Liu, Hong & Jiang, Chunxia, 2014, "Bank capital, adjustment and ownership: Evidence from China," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 16/2014.
• Melolinna, Marko, 2014, "What is the role of Emerging Asia in global oil prices?," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 18/2014.
• Deryugina, Elena & Ponomarenko, Alexey, 2014, "A large Bayesian vector autoregression model for Russia," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 22/2014.
• Matros, Philipp & Vilsmeier, Johannes, 2014, "The multivariate option iPoD framework: assessing systemic financial risk," Discussion Papers, Deutsche Bundesbank, number 20/2014.
• Hossfeld, Oliver & MacDonald, Ronald, 2014, "Carry funding and safe haven currencies: A threshold regression approach," Discussion Papers, Deutsche Bundesbank, number 34/2014.
• Knüppel, Malte, 2014, "Forecast-error-based estimation of forecast uncertainty when the horizon is increased," Discussion Papers, Deutsche Bundesbank, number 40/2014.
• Sacht, Stephen, 2014, "Identification of prior information via moment-matching," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2014-04.
• Prettner, Catherine & Prettner, Klaus, 2014, "How interdependent are Eastern European economies and the Euro area?," University of Göttingen Working Papers in Economics, University of Goettingen, Department of Economics, number 187.
• Herwartz, Helmut, 2014, "Structural analysis with independent innovations," University of Göttingen Working Papers in Economics, University of Goettingen, Department of Economics, number 208.
• Hautsch, Nikolaus & Okhrin, Ostap & Ristig, Alexander, 2014, "Efficient iterative maximum likelihood estimation of high-parameterized time series models," CFS Working Paper Series, Center for Financial Studies (CFS), number 450.
• Bibinger, Markus & Hautsch, Nikolaus & Malec, Peter & Reiss, Markus, 2014, "Estimating the spot covariation of asset prices: Statistical theory and empirical evidence," CFS Working Paper Series, Center for Financial Studies (CFS), number 477.
• Warne, Anders & Coenen, Günter & Christoffel, Kai, 2014, "Marginalized predictive likelihood comparisons of linear Gaussian state-space models with applications to DSGE, DSGEVAR, and VAR models," CFS Working Paper Series, Center for Financial Studies (CFS), number 478.
• Guerron-Quintana, Pablo & Inoue, Atsushi & Kilian, Lutz, 2014, "Impulse response matching estimators for DSGE models," CFS Working Paper Series, Center for Financial Studies (CFS), number 498.
• Ayaydin, Hasan & Karaaslan, İbrahim, 2014, "Stock Market Development, Bank Concentration, Ownership Structure, and Bank Performance: Evidence from Turkey," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 1, issue 1, pages 49-67.
• KARGI, Bilal, 2014, "The Effects of Oil Prices On Inflation and Growth: Time Series Analysis In Turkish Economy For 1988:01-2013:04 Period," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 5, issue 2, pages 29-36.
• Ponomarev, Yuri & Trunin, Pavel V. & Uljukaev, Aleksej V., 2014, "Exchange Rate Pass-through in Russia," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 121960, Mar.
• Barja, Gover, 2014, "Time Series Analysis of Macroeconomic Conditions in Open Economies," EconStor Theses, ZBW - Leibniz Information Centre for Economics, number 333582, DOI: 10.26076/5079-5880.
• Krasnosselski, Nikolai & Cremers, Heinz & Sanddorf, Walter, 2014, "Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 208.
• Golosnoy, Vasyl & Rossen, Anja, 2014, "Modeling dynamics of metal price series via state space approach with two common factors," HWWI Research Papers, Hamburg Institute of International Economics (HWWI), number 156.
• Lindner, Fabian, 2014, "The housing wealth effect on consumption reconsidered," Economics Discussion Papers, Kiel Institute for the World Economy, number 2014-15.
• Juselius, Katarina, 2014, "Testing for near I(2) trends when the signal to noise ratio is small," Economics Discussion Papers, Kiel Institute for the World Economy, number 2014-8.
• Juselius, Katarina, 2014, "Testing for near I(2) trends when the signal-to-noise ratio is small," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 8, pages 1-30, DOI: 10.5018/economics-ejournal.ja.2014-.
• Reicher, Claire, 2014, "The aggregate effects of long run sectoral reallocation," Kiel Working Papers, Kiel Institute for the World Economy, number 1928.
• Gehrke, Britta & Yao, Fang, 2014, "Phillips curve shocks and real exchange rate fluctuations: SVAR evidence," FAU Discussion Papers in Economics, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics, number 11/2014.
• Baur, Dirk G. & Beckmann, Joscha & Czudaj, Robert, 2014, "Gold Price Forecasts in a Dynamic Model Averaging Framework – Have the Determinants Changed Over Time?," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 506, DOI: 10.4419/86788581.
• Born, Benjamin & Müller, Gernot J. & Pfeifer, Johannes, 2015, "Does austerity pay off?," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 77, revised 2015.
• Lütkepohl, Helmut, 2014, "Structural vector autoregressive analysis in a data rich environment: A survey," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2014-004.
• Altmeyer, Randolf & Bibinger, Markus, 2014, "Functional stable limit theorems for efficient spectral covolatility estimators," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2014-005.
• Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2014, "Confidence bands for impulse responses: Bonferroni versus Wald," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2014-007.
• Lütkepohl, Helmut & Velinov, Anton, 2014, "Structural vector autoregressions: Checking identifying long-run restrictions via heteroskedasticity," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2014-009.
• Hautsch, Nikolaus & Okhrin, Ostap & Ristig, Alexander, 2014, "Efficient iterative maximum likelihood estimation of high-parameterized time series models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2014-010.
• Reiß, Markus & Todorov, Viktor & Tauchen, George, 2014, "Nonparametric test for a constant beta over a fixed time interval," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2014-022.
• Lütkepohl, Helmut & Netésunajev, Aleksei, 2014, "Structural vector autoregressions with smooth transition in variances: The interaction between US monetary policy and the stock market," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2014-031.
• Bibinger, Markus & Hautsch, Nikolaus & Malec, Peter & Reiss, Markus, 2014, "Estimating the spot covariation of asset prices: Statistical theory and empirical evidence," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2014-055.
• Born, Benjamin & Breuer, Sebastian & Elstner, Steffen, 2014, "Uncertainty and the Great Recession," Working Papers, German Council of Economic Experts / Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung, number 04/2014.
• Herwartz, Helmut & Plödt, Martin, 2014, "Sign restrictions and statistical identification under volatility breaks -- Simulation based evidence and an empirical application to monetary policy analysis," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association, number 100326.
• Wagner, Martin & Wied, Dominik, 2014, "Monitoring Stationarity and Cointegration," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association, number 100386.
• Buchen, Teresa, 2014, "News Media, Common Information, and Sectoral Comovement," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association, number 100391.
• Manner, Hans & Blatt, Dominik & Candelon, Bertrand, 2014, "Detecting financial contagion in a multivariate system," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association, number 100411.
• Glogowsky, Ulrich & Cagala, Tobias & Rincke, Johannes & Grimm, Veronika, 2014, "Cooperation and Trustworthiness in Repeated Interaction," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association, number 100437.
• Klinger, Sabine & Weber, Enzo, 2014, "Decomposing Beveridge curve dynamics by correlated unobserved components: The impact of labour market reforms in Germany," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association, number 100499.
• Schreiber, Sven, 2014, "The estimation uncertainty of permanent-transitory decompositions in co-integrated systems," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association, number 100582.
• Winker, Peter & Helmut, Lütkepohl & Staszewska-Bystrova, Anna, 2014, "Confidence Bands for Impulse Responses: Bonferroni versus Wald," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association, number 100597.
• Dechert, Andreas, 2014, "Fraktionale Kointegrationsbeziehungen zwischen Euribor-Zinssätzen," W.E.P. - Würzburg Economic Papers, University of Würzburg, Department of Economics, number 93.
• Eisenhauer, Philipp & Heckman, James J. & Vytlacil, Edward, 2014, "The generalized Roy model and the cost-benefit analysis of social programs," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 14-082.
• Stefan Bruder, 2014, "Comparing several methods to compute joint prediction regions for path forecasts generated by vector autoregressions," ECON - Working Papers, Department of Economics - University of Zurich, number 181, Nov, revised Dec 2015.
• Petrella, Ivan & Juvenal, Luciana, 2014, "Speculation in the Oil Market," CEPR Discussion Papers, Centre for Economic Policy Research, number 9808, Feb.
• Marcellino, Massimiliano & Carriero, Andrea & Clark, Todd, 2014, "No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates," CEPR Discussion Papers, Centre for Economic Policy Research, number 9848, Mar.
• Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2014, "Structural FECM: Cointegration in large-scale structural FAVAR models," CEPR Discussion Papers, Centre for Economic Policy Research, number 9858, Mar.
• Kilian, Lutz & Inoue, Atsushi, 2014, "Joint Confidence Sets for Structural Impulse Responses," CEPR Discussion Papers, Centre for Economic Policy Research, number 9892, Mar.
• Tino Berger & Bernd Kempa, 2014, "Time-varying equilibrium rates in small open economies: Evidence for Canada," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 3414, Oct.
• Martin T. Bohl & Jeanne Diesteldorf & Christian A. Salm & Bernd Wilfling, 2014, "Spot Market Volatility and Futures Trading: The Pitfalls of Using a Dummy Variable Approach," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 3514, Oct.
• Tatsuyoshi Okimoto, 2014, "Asymmetric Increasing Trends in Dependence in International Equity Markets," AJRC Working Papers, Australia-Japan Research Centre, Crawford School of Public Policy, The Australian National University, number 1405.
• Russel Davidson & Andrea Monticini, 2014, "Heteroskedasticity-and-Autocorrelation-Consistent Bootstrapping," DISCE - Working Papers del Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE), number def012, Mar.
• Blazsek, Szabolcs & Escribano, Álvaro, 2014, "Propensity to patent, R&D and market competition : dynamic spillovers of innovation leaders and followers," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we1412, Jun.
• Yu, Jun, 2014, "Econometric Analysis Of Continuous Time Models: A Survey Of Peter Phillips’S Work And Some New Results," Econometric Theory, Cambridge University Press, volume 30, issue 4, pages 737-774, August.
• Debortoli, Davide & Maih, Junior & Nunes, Ricardo, 2014, "Loose Commitment In Medium-Scale Macroeconomic Models: Theory And Applications," Macroeconomic Dynamics, Cambridge University Press, volume 18, issue 1, pages 175-198, January.
• Stengos, Thanasis & Yazgan, M. Ege, 2014, "Persistence In Convergence," Macroeconomic Dynamics, Cambridge University Press, volume 18, issue 4, pages 753-782, June.
• Güntner, Jochen H. F., 2014, "How Do International Stock Markets Respond To Oil Demand And Supply Shocks?," Macroeconomic Dynamics, Cambridge University Press, volume 18, issue 8, pages 1657-1682, December.
• Hasan AYAYDIN & brahim KARAASLAN, 2014, "Stock Market Development, Bank Concentration, Ownership Structure, and Bank Performance: Evidence from Turkey," Journal of Economics and Political Economy, EconSciences Journals, volume 1, issue 1, pages 49-67, September.
• Xiaohong Chen & Timothy M. Christensen, 2014, "Optimal Uniform Convergence Rates and Asymptotic Normality for Series Estimators under Weak Dependence and Weak Conditions," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1976, Dec.
• Alfredo Marvão Pereira & Jorge M. Andraz, 2014, "On The Long-Term Macroeconomic Effects Of Social Security Spending:Evidence For 12 Eu Countries," Working Papers, Economics Department, William & Mary, number 150, Apr.
• Alfredo Marvão Pereira & Jorge M. Andraz, 2014, "On The Long-Term Macroeconomic Effects Of Social Spending In The United States," Working Papers, Economics Department, William & Mary, number 151, Apr.
• Avouyi-Dovi, Sanvi (ed.), 2014, "Stress testing and financial risks," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/15231.
• Helmut Lütkepohl, 2014, "Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1351.
• Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2014, "Confidence Bands for Impulse Responses: Bonferroni versus Wald," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1354.
• Helmut Lütkepohl & Anton Velinov, 2014, "Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1356.
• Micaela Ponce & Anne Neumann, 2014, "Elasticities of Supply for the US Natural Gas Market," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1372.
• Anton Velinov & Wenjuan Chen, 2014, "Are There Bubbles in Stock Prices?: Testing for Fundamental Shocks," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1375.
• Helmut Lütkepohl & Aleksei Netsunajev, 2014, "Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1388.
• Guglielmo Maria Caporale & Faek Menla Ali & Nicola Spagnolo, 2014, "Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1394.
• Guglielmo Maria Caporale & Marinko Skare, 2014, "Long Memory in UK Real GDP, 1851-2013: An ARFIMA-FIGARCH Analysis," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1395.
• Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2014, "Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Mean Analysis," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1399.
• Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2014, "Macro News and Bond Yield Spreads in the Euro Area," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1413.
• Blomquist, Johan & Westerlund, Joakim, 2014, "Testing slope homogeneity in large panels with serial correlation," Working Papers, Deakin University, Department of Economics, number fe_2014_04, Jan, DOI: 10.1016/j.econlet.2013.09.012.
• Emmanuel De Veirman & Andrew Levin, 2014, "Cyclical changes in firm volatility," Working Papers, DNB, number 408, Jan.
• Virginie Coudert & Cyriac Guillaumin & Hélène Raymond, 2014, "Looking at the other side of carry trades: Are there any safe haven currencies?," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2014-13.
• Jean-Pierre Allegret & Valérie Mignon & Audrey Sallenave, 2014, "Oil price shocks and global imbalances: Lessons from a model with trade and financial interdependencies," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2014-14.
• Sofiane Aboura & Julien Chevallier, 2014, "Cross-Market Spillovers with ‘Volatility Surprise’," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2014-46.
• Salem Boubakri & Cécile Couharde & Hélène Raymond, 2014, "Financial integration, financial turmoil and risk premia in emerging markets," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2014-52.
• B. Anand & Sunil Paul & M. Ramachandran, 2014, "Volatility Spillover between Oil and Stock Market Returns," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 49, issue 1, pages 37-56.
• Arif Billah Dar & Niyati Bhanja & Aviral Kumar Tiwari, 2014, "Exchange Rate and Stock Price Relationship: A Wavelet Analysis for India," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 49, issue 1, pages 125-142.
• Kratz, Marie & Nagel , Werner, 2014, "On the Capacity Functional of Excursion Sets of Gaussian Random Fields on R²," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1416, Nov.
• Matteo Barigozzi & Marc Hallin, 2014, "Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2014-52, Nov.
• Marek Jarociński & Bartosz Maćkowiak, 2014, "Choosing variables in macroeconomic modelling," Research Bulletin, European Central Bank, volume 20, pages 5-8.
• Dées, Stéphane & Güntner, Jochen, 2014, "The international dimension of confidence shocks," Working Paper Series, European Central Bank, number 1669, Apr.
• Camba-Méndez, Gonzalo & Serwa, Dobromil, 2014, "Market perception of sovereign credit risk in the euro area during the financial crisis," Working Paper Series, European Central Bank, number 1710, Aug.
• Bijsterbosch, Martin & Falagiarda, Matteo, 2014, "Credit supply dynamics and economic activity in euro area countries: a time-varying parameter VAR analysis," Working Paper Series, European Central Bank, number 1714, Aug.
• Hubrich, Kirstin & Tetlow, Robert J., 2014, "Financial stress and economic dynamics: the transmission of crises," Working Paper Series, European Central Bank, number 1728, Sep.
• Konečný, Tomáš & Babecká Kucharčuková, Oxana, 2014, "Credit spreads and the links between the financial and real sectors in a small open economy: the case of the Czech Republic," Working Paper Series, European Central Bank, number 1730, Sep.
• Mohamed BOUZAHZAH & Radouane BACHAR, 2014, "Exchange Rate Policy in Morocco and Persistence of Real Exchange Rate Misalignments," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, volume 4, issue 1, pages 122-134.
• Hatice Gaye GENCER & Erdem KILIC, 2014, "Conditional Correlations and Volatility Links Among Gold, Oil and Istanbul Stock Exchange Sector Returns," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, volume 4, issue 1, pages 170-182.
• Ghazi Al-Assaf & Abdullah M. Al-Malki, 2014, "Modelling the Macroeconomic Determinants of Workers' Remittances: The Case of Jordan," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, volume 4, issue 3, pages 514-526.
• Feyyaz ZEREN & Mustafa KOC, 2014, "The Nexus between Energy Consumption and Financial Development with Asymmetric Causality Test: New Evidence from Newly Industrialized Countries," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, volume 4, issue 1, pages 83-91.
• Lili Li, 2014, "Empirical Research on the Relationship between China Export and New Energy Consumption," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, volume 4, issue 2, pages 229-237.
• Nadhem Selmi & Nejib Hachicha, 2014, "Were Oil Price Markets the Source of Credit Crisis in European Countries? Evidence Using a VAR-MGARCH-DCC Model," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, volume 4, issue 2, pages 169-177.
• Ching-Chun Wei & Chung-Hsuan Chen, 2014, "Does WTI Oil Price Returns Volatility Spillover to the Exchange Rate and Stock Index in the US?," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, volume 4, issue 2, pages 189-197.
• Aliyu Barde Abdullahi, 2014, "Modeling Petroleum Product Demand in Nigeria Using Structural Time Series Model (STSM) Approach," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, volume 4, issue 3, pages 427-441.
• Sercan Demiralay & Hatice Gaye Gencer, 2014, "Volatility Transmissions between Oil Prices and Emerging Market Sectors: Implications for Portfolio Management and Hedging Strategies," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, volume 4, issue 3, pages 442-447.
• Papusson Chaiwat & Nantarat Tangvitoontham, 2014, "Petroleum s Price Transmission and Imported Demand for Crude Oil in Thailand," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, volume 4, issue 3, pages 476-483.
• Atef Saad Alshehry & Mounir Belloumi, 2014, "Investigating the Causal Relationship between Fossil Fuels Consumption and Economic Growth at Aggregate and Disaggregate Levels in Saudi Arabia," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, volume 4, issue 4, pages 531-545.
• Hasan AYAYDIN & Ýbrahim KARAASLAN, 2014, "Stock Market Development, Bank Concentration, Ownership Structure, and Bank Performance: Evidence from Turkey," Journal of Economics and Political Economy, , volume 1, issue 1, pages 49-67, September.
• Lanzilotta M., Bibiana, 2014, "Expectativas y producción industrial en el Uruguay: interdependencia sectorial y tendencias comunes," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), August.
• Lanzilotta M., Bibiana, 2014, "Expectations and industrial output in Uruguay: Sectoral interdependence and common trends," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), August.
• Korobilis, Dimitris, 2014, "Data-based priors for vector autoregressions with drifting coefficients," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2014-022, Jan.
• Chan, Joshua C.C. & Eisenstat, Eric & Koop, Gary, 2014, "Large Bayesian VARMAs," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2015-06, Sep.
• Golinski, Adam & Madeira, Joao & Rambaccussing, Dooruj, 2014, "Fractional Integration of the Price-Dividend Ratio in a Present-Value Model of Stock Prices," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2015-79, Sep.
• Juan Carlos Cuestas & Karsten Staehr, 2014, "The great (De)leveraging in the GIIPS countries. Domestic credit and net foreign liabilities 1998–2013," Bank of Estonia Working Papers, Bank of Estonia, number wp2014-4, Oct, revised 10 Oct 2014.
• Fabio Filipozzi & Kersti Harkmann, 2014, "Currency hedge – walking on the edge?," Bank of Estonia Working Papers, Bank of Estonia, number wp2014-5, Oct, revised 10 Oct 2014.
• Samake, Issouf & Yang, Yongzheng, 2014, "Low-income countries’ linkages to BRICS: Are there growth spillovers?," Journal of Asian Economics, Elsevier, volume 30, issue C, pages 1-14, DOI: 10.1016/j.asieco.2013.09.002.
• Ganegodage, K. Renuka & Rambaldi, Alicia N., 2014, "Economic consequences of war: Evidence from Sri Lanka," Journal of Asian Economics, Elsevier, volume 30, issue C, pages 42-53, DOI: 10.1016/j.asieco.2013.12.001.
• Jin, Hailong & Qian, Hang & Wang, Tong & Choi, E. Kwan, 2014, "Income distribution in urban China: An overlooked data inconsistency issue," China Economic Review, Elsevier, volume 30, issue C, pages 383-396, DOI: 10.1016/j.chieco.2014.02.004.
• Caporin, Massimiliano & McAleer, Michael, 2014, "Robust ranking of multivariate GARCH models by problem dimension," Computational Statistics & Data Analysis, Elsevier, volume 76, issue C, pages 172-185, DOI: 10.1016/j.csda.2012.05.012.
• Chan, Joshua C.C. & Koop, Gary, 2014, "Modelling breaks and clusters in the steady states of macroeconomic variables," Computational Statistics & Data Analysis, Elsevier, volume 76, issue C, pages 186-193, DOI: 10.1016/j.csda.2013.05.007.
• Audrino, Francesco, 2014, "Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks," Computational Statistics & Data Analysis, Elsevier, volume 76, issue C, pages 43-60, DOI: 10.1016/j.csda.2013.06.002.
• Nyberg, Henri & Saikkonen, Pentti, 2014, "Forecasting with a noncausal VAR model," Computational Statistics & Data Analysis, Elsevier, volume 76, issue C, pages 536-555, DOI: 10.1016/j.csda.2013.10.014.
• Aielli, Gian Piero & Caporin, Massimiliano, 2014, "Variance clustering improved dynamic conditional correlation MGARCH estimators," Computational Statistics & Data Analysis, Elsevier, volume 76, issue C, pages 556-576, DOI: 10.1016/j.csda.2013.01.029.
• Guillén, Osmani Teixeira de Carvalho & Issler, João Victor & Franco-Neto, Afonso Arinos de Mello, 2014, "On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century and beyond," Journal of Economic Dynamics and Control, Elsevier, volume 39, issue C, pages 62-78, DOI: 10.1016/j.jedc.2013.11.008.
• Chaudourne, Jeremy & Fève, Patrick & Guay, Alain, 2014, "Understanding the effect of technology shocks in SVARs with long-run restrictions," Journal of Economic Dynamics and Control, Elsevier, volume 41, issue C, pages 154-172, DOI: 10.1016/j.jedc.2014.01.012.
• Lee, Yongwoong & Poon, Ser-Huang, 2014, "Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors," Journal of Economic Dynamics and Control, Elsevier, volume 41, issue C, pages 69-92, DOI: 10.1016/j.jedc.2014.02.008.
• Bouakez, Hafedh & Chihi, Foued & Normandin, Michel, 2014, "Measuring the effects of fiscal policy," Journal of Economic Dynamics and Control, Elsevier, volume 47, issue C, pages 123-151, DOI: 10.1016/j.jedc.2014.08.004.
• Artuç, Erhan & Pourpourides, Panayiotis M., 2014, "R&D and aggregate fluctuations," Journal of Economic Dynamics and Control, Elsevier, volume 47, issue C, pages 54-71, DOI: 10.1016/j.jedc.2014.07.006.
• Diks, Cees & Panchenko, Valentyn & Sokolinskiy, Oleg & van Dijk, Dick, 2014, "Comparing the accuracy of multivariate density forecasts in selected regions of the copula support," Journal of Economic Dynamics and Control, Elsevier, volume 48, issue C, pages 79-94, DOI: 10.1016/j.jedc.2014.08.021.
• Hatemi-J, Abdulnasser, 2014, "Asymmetric generalized impulse responses with an application in finance," Economic Modelling, Elsevier, volume 36, issue C, pages 18-22, DOI: 10.1016/j.econmod.2013.09.014.
• Beckmann, Joscha & Czudaj, Robert, 2014, "Volatility transmission in agricultural futures markets," Economic Modelling, Elsevier, volume 36, issue C, pages 541-546, DOI: 10.1016/j.econmod.2013.09.036.
• Chen, Shyh-Wei, 2014, "Testing for fiscal sustainability: New evidence from the G-7 and some European countries," Economic Modelling, Elsevier, volume 37, issue C, pages 1-15, DOI: 10.1016/j.econmod.2013.10.024.
• Garratt, Anthony & Mise, Emi, 2014, "Forecasting exchange rates using panel model and model averaging," Economic Modelling, Elsevier, volume 37, issue C, pages 32-40, DOI: 10.1016/j.econmod.2013.10.017.
• Abid, Ilyes & Kaabia, Olfa & Guesmi, Khaled, 2014, "Stock market integration and risk premium: Empirical evidence for emerging economies of South Asia," Economic Modelling, Elsevier, volume 37, issue C, pages 408-416, DOI: 10.1016/j.econmod.2013.11.015.
• Baumöhl, Eduard & Lyócsa, Štefan, 2014, "Volatility and dynamic conditional correlations of worldwide emerging and frontier markets," Economic Modelling, Elsevier, volume 38, issue C, pages 175-183, DOI: 10.1016/j.econmod.2013.12.022.
• Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2014, "Persistence and cycles in US hours worked," Economic Modelling, Elsevier, volume 38, issue C, pages 504-511, DOI: 10.1016/j.econmod.2014.01.026.
• Bekiros, Stelios, 2014, "Forecasting with a state space time-varying parameter VAR model: Evidence from the Euro area," Economic Modelling, Elsevier, volume 38, issue C, pages 619-626, DOI: 10.1016/j.econmod.2014.02.015.
• Qiao, Zhuo & Chu, Patrick Kuok-Kun, 2014, "Does fine wine price contain useful information to forecast GDP? Evidence from major developed countries," Economic Modelling, Elsevier, volume 38, issue C, pages 75-79, DOI: 10.1016/j.econmod.2013.12.006.
• Wang, Yi-Chia, 2014, "Evidence of public capital spillovers and endogenous growth in Taiwan," Economic Modelling, Elsevier, volume 39, issue C, pages 314-321, DOI: 10.1016/j.econmod.2014.02.022.
• Legrand, Romain, 2014, "Euro introduction: Has there been a structural change? Study on 10 European Union countries," Economic Modelling, Elsevier, volume 40, issue C, pages 136-151, DOI: 10.1016/j.econmod.2014.03.020.
• Aboura, Sofiane & Chevallier, Julien, 2014, "Cross-market index with Factor-DCC," Economic Modelling, Elsevier, volume 40, issue C, pages 158-166, DOI: 10.1016/j.econmod.2014.04.001.
• Boutabba, Mohamed Amine, 2014, "The impact of financial development, income, energy and trade on carbon emissions: Evidence from the Indian economy," Economic Modelling, Elsevier, volume 40, issue C, pages 33-41, DOI: 10.1016/j.econmod.2014.03.005.
• Soukiazis, Elias & Cerqueira, Pedro André & Antunes, Micaela, 2014, "Explaining Italy's economic growth: A balance-of-payments approach with internal and external imbalances and non-neutral relative prices," Economic Modelling, Elsevier, volume 40, issue C, pages 334-341, DOI: 10.1016/j.econmod.2014.04.014.
• Joëts, Marc, 2014, "Energy price transmissions during extreme movements," Economic Modelling, Elsevier, volume 40, issue C, pages 392-399, DOI: 10.1016/j.econmod.2013.11.023.
• Dufrénot, Gilles & Keddad, Benjamin, 2014, "Business cycles synchronization in East Asia: A Markov-switching approach," Economic Modelling, Elsevier, volume 42, issue C, pages 186-197, DOI: 10.1016/j.econmod.2014.07.001.
• Teulon, Frédéric & Guesmi, Khaled & Mankai, Selim, 2014, "Regional stock market integration in Singapore: A multivariate analysis," Economic Modelling, Elsevier, volume 43, issue C, pages 217-224, DOI: 10.1016/j.econmod.2014.07.045.
• Liu, Chunping & Minford, Patrick, 2014, "Comparing behavioural and rational expectations for the US post-war economy," Economic Modelling, Elsevier, volume 43, issue C, pages 407-415, DOI: 10.1016/j.econmod.2014.09.013.
• Hurtado, Samuel, 2014, "DSGE models and the Lucas critique," Economic Modelling, Elsevier, volume 44, issue S1, pages 12-19, DOI: 10.1016/j.econmod.2013.12.002.
• Camarero, Mariam & D'Adamo, Gaetano & Tamarit, Cecilio, 2014, "Wage leadership models: A country-by-country analysis of the EMU," Economic Modelling, Elsevier, volume 44, issue S1, pages 2-11, DOI: 10.1016/j.econmod.2013.12.001.
• Belke, Ansgar H. & Bordon, Ingo G. & Hendricks, Torben W., 2014, "Monetary policy, global liquidity and commodity price dynamics," The North American Journal of Economics and Finance, Elsevier, volume 28, issue C, pages 1-16, DOI: 10.1016/j.najef.2013.12.003.
• Halvorsen, Jørn I. & Jacobsen, Dag Henning, 2014, "How important can bank lending shocks be for economic fluctuations?," The North American Journal of Economics and Finance, Elsevier, volume 29, issue C, pages 104-123, DOI: 10.1016/j.najef.2014.05.006.
• Belke, Ansgar & Rees, Andreas, 2014, "Globalisation and monetary policy—A FAVAR analysis for the G7 and the eurozone," The North American Journal of Economics and Finance, Elsevier, volume 29, issue C, pages 306-321, DOI: 10.1016/j.najef.2014.06.003.
• Apergis, Nicholas & Christou, Christina & Miller, Stephen M., 2014, "Country and industry convergence of equity markets: International evidence from club convergence and clustering," The North American Journal of Economics and Finance, Elsevier, volume 29, issue C, pages 36-58, DOI: 10.1016/j.najef.2014.05.002.
• Balcilar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat, 2014, "What drives herding in oil-rich, developing stock markets? Relative roles of own volatility and global factors," The North American Journal of Economics and Finance, Elsevier, volume 29, issue C, pages 418-440, DOI: 10.1016/j.najef.2014.06.009.
• Chen, Mei-Ping & Chen, Pei-Fen & Lee, Chien-Chiang, 2014, "Frontier stock market integration and the global financial crisis," The North American Journal of Economics and Finance, Elsevier, volume 29, issue C, pages 84-103, DOI: 10.1016/j.najef.2014.05.004.
• Götz, Thomas B. & Hecq, Alain, 2014, "Nowcasting causality in mixed frequency vector autoregressive models," Economics Letters, Elsevier, volume 122, issue 1, pages 74-78, DOI: 10.1016/j.econlet.2013.10.037.
• Aboura, Sofiane & Chevallier, Julien, 2014, "Volatility equicorrelation: A cross-market perspective," Economics Letters, Elsevier, volume 122, issue 2, pages 289-295, DOI: 10.1016/j.econlet.2013.12.008.
• Tschernig, Rolf & Weber, Enzo & Weigand, Roland, 2014, "Long- versus medium-run identification in fractionally integrated VAR models," Economics Letters, Elsevier, volume 122, issue 2, pages 299-302, DOI: 10.1016/j.econlet.2013.12.005.
• Bao, Yong & Hua, Ying, 2014, "On the Fisher information matrix of a vector ARMA process," Economics Letters, Elsevier, volume 123, issue 1, pages 14-16, DOI: 10.1016/j.econlet.2014.01.019.
• Swensen, Anders Rygh, 2014, "Some exact and inexact linear rational expectation models in vector autoregressive models," Economics Letters, Elsevier, volume 123, issue 2, pages 216-219, DOI: 10.1016/j.econlet.2014.02.015.
• Kim, Dukpa, 2014, "Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility," Economics Letters, Elsevier, volume 123, issue 3, pages 282-286, DOI: 10.1016/j.econlet.2014.03.004.
• Psaradakis, Zacharias & Vávra, Marián, 2014, "On testing for nonlinearity in multivariate time series," Economics Letters, Elsevier, volume 125, issue 1, pages 1-4, DOI: 10.1016/j.econlet.2014.07.031.
• Carpenter, Seth & Demiralp, Selva & Schlusche, Bernd & Senyuz, Zeynep, 2014, "Measuring stress in money markets: A dynamic factor approach," Economics Letters, Elsevier, volume 125, issue 1, pages 101-106, DOI: 10.1016/j.econlet.2014.08.017.
• Cheong, Chongcheul & Lee, Hyunchul, 2014, "Forecasting with a parsimonious subset VAR model," Economics Letters, Elsevier, volume 125, issue 2, pages 167-170, DOI: 10.1016/j.econlet.2014.08.027.
• Vogelsang, Timothy J. & Wagner, Martin, 2014, "Integrated modified OLS estimation and fixed-b inference for cointegrating regressions," Journal of Econometrics, Elsevier, volume 178, issue 2, pages 741-760, DOI: 10.1016/j.jeconom.2013.10.015.