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

2013

• Do, Hung Xuan & Brooks, Robert Darren & Treepongkaruna, Sirimon, 2013, "Generalized impulse response analysis in a fractionally integrated vector autoregressive model," Economics Letters, Elsevier, volume 118, issue 3, pages 462-465, DOI: 10.1016/j.econlet.2012.12.023.
• Ahmad, Yamin & Lo, Ming Chien & Mykhaylova, Olena, 2013, "Volatility and persistence of simulated DSGE real exchange rates," Economics Letters, Elsevier, volume 119, issue 1, pages 38-41, DOI: 10.1016/j.econlet.2012.12.032.
• Hualde, Javier, 2013, "A simple test for the equality of integration orders," Economics Letters, Elsevier, volume 119, issue 3, pages 233-237, DOI: 10.1016/j.econlet.2013.03.003.
• Franchi, Massimo & Vidotto, Anna, 2013, "A check for finite order VAR representations of DSGE models," Economics Letters, Elsevier, volume 120, issue 1, pages 100-103, DOI: 10.1016/j.econlet.2013.04.013.
• Allen, David & Ng, K.H. & Peiris, Shelton, 2013, "The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics," Economics Letters, Elsevier, volume 120, issue 1, pages 117-122, DOI: 10.1016/j.econlet.2013.03.049.
• Kollmann, Robert, 2013, "Estimating the state vector of linearized DSGE models without the Kalman filter," Economics Letters, Elsevier, volume 120, issue 1, pages 65-66, DOI: 10.1016/j.econlet.2013.03.041.
• Bachmeier, Lance, 2013, "Identification in models of gasoline pricing," Economics Letters, Elsevier, volume 120, issue 1, pages 71-73, DOI: 10.1016/j.econlet.2013.03.029.
• Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Filis, George, 2013, "Dynamic co-movements of stock market returns, implied volatility and policy uncertainty," Economics Letters, Elsevier, volume 120, issue 1, pages 87-92, DOI: 10.1016/j.econlet.2013.04.004.
• Atak, Alev & Kapetanios, George, 2013, "A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors," Economics Letters, Elsevier, volume 120, issue 2, pages 224-228, DOI: 10.1016/j.econlet.2013.03.051.
• Seong, Byeongchan, 2013, "Semiparametric selection of seasonal cointegrating ranks using information criteria," Economics Letters, Elsevier, volume 120, issue 3, pages 592-595, DOI: 10.1016/j.econlet.2013.06.031.
• Cavicchioli, Maddalena, 2013, "Spectral density of Markov-switching VARMA models," Economics Letters, Elsevier, volume 121, issue 2, pages 218-220, DOI: 10.1016/j.econlet.2013.07.022.
• Messow, Philip & Krämer, Walter, 2013, "Spurious persistence in stochastic volatility," Economics Letters, Elsevier, volume 121, issue 2, pages 221-223, DOI: 10.1016/j.econlet.2013.08.008.
• Blomquist, Johan & Westerlund, Joakim, 2013, "Testing slope homogeneity in large panels with serial correlation," Economics Letters, Elsevier, volume 121, issue 3, pages 374-378, DOI: 10.1016/j.econlet.2013.09.012.
• Guharay, Samar K. & Thakur, Gaurav S. & Goodman, Fred J. & Rosen, Scott L. & Houser, Daniel, 2013, "Analysis of non-stationary dynamics in the financial system," Economics Letters, Elsevier, volume 121, issue 3, pages 454-457, DOI: 10.1016/j.econlet.2013.09.026.
• Dominicy, Yves & Veredas, David, 2013, "The method of simulated quantiles," Journal of Econometrics, Elsevier, volume 172, issue 2, pages 235-247, DOI: 10.1016/j.jeconom.2012.08.010.
• Broda, Simon A. & Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013, "Stable mixture GARCH models," Journal of Econometrics, Elsevier, volume 172, issue 2, pages 292-306, DOI: 10.1016/j.jeconom.2012.08.012.
• Laurent, Sébastien & Rombouts, Jeroen V.K. & Violante, Francesco, 2013, "On loss functions and ranking forecasting performances of multivariate volatility models," Journal of Econometrics, Elsevier, volume 173, issue 1, pages 1-10, DOI: 10.1016/j.jeconom.2012.08.004.
• Müller, Ulrich K. & Watson, Mark W., 2013, "Low-frequency robust cointegration testing," Journal of Econometrics, Elsevier, volume 174, issue 2, pages 66-81, DOI: 10.1016/j.jeconom.2012.09.006.
• Fuentes-Albero, Cristina & Melosi, Leonardo, 2013, "Methods for computing marginal data densities from the Gibbs output," Journal of Econometrics, Elsevier, volume 175, issue 2, pages 132-141, DOI: 10.1016/j.jeconom.2013.03.002.
• Arbués, Ignacio, 2013, "Determining the MSE-optimal cross section to forecast," Journal of Econometrics, Elsevier, volume 175, issue 2, pages 61-70, DOI: 10.1016/j.jeconom.2012.02.009.
• Hidalgo, Javier & Seo, Myung Hwan, 2013, "Testing for structural stability in the whole sample," Journal of Econometrics, Elsevier, volume 175, issue 2, pages 84-93, DOI: 10.1016/j.jeconom.2013.02.008.
• Jensen, Mark J. & Maheu, John M., 2013, "Bayesian semiparametric multivariate GARCH modeling," Journal of Econometrics, Elsevier, volume 176, issue 1, pages 3-17, DOI: 10.1016/j.jeconom.2013.03.009.
• Filipović, Damir & Mayerhofer, Eberhard & Schneider, Paul, 2013, "Density approximations for multivariate affine jump-diffusion processes," Journal of Econometrics, Elsevier, volume 176, issue 2, pages 93-111, DOI: 10.1016/j.jeconom.2012.12.003.
• Inoue, Atsushi & Kilian, Lutz, 2013, "Inference on impulse response functions in structural VAR models," Journal of Econometrics, Elsevier, volume 177, issue 1, pages 1-13, DOI: 10.1016/j.jeconom.2013.02.009.
• Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2013, "Sequential estimation of shape parameters in multivariate dynamic models," Journal of Econometrics, Elsevier, volume 177, issue 2, pages 233-249, DOI: 10.1016/j.jeconom.2013.04.010.
• Johansen, Søren & Lange, Theis, 2013, "Least squares estimation in a simple random coefficient autoregressive model," Journal of Econometrics, Elsevier, volume 177, issue 2, pages 285-288, DOI: 10.1016/j.jeconom.2013.04.013.
• Horvath, Roman & Petrovski, Dragan, 2013, "International stock market integration: Central and South Eastern Europe compared," Economic Systems, Elsevier, volume 37, issue 1, pages 81-91, DOI: 10.1016/j.ecosys.2012.07.004.
• Willems, Tim, 2013, "Analyzing the effects of US monetary policy shocks in dollarized countries," European Economic Review, Elsevier, volume 61, issue C, pages 101-115, DOI: 10.1016/j.euroecorev.2013.03.005.
• Sottile, Pedro, 2013, "On the political determinants of sovereign risk: Evidence from a Markov-switching vector autoregressive model for Argentina," Emerging Markets Review, Elsevier, volume 15, issue C, pages 160-185, DOI: 10.1016/j.ememar.2013.02.005.
• Bowe, Michael & Hyde, Stuart & McFarlane, Lavern, 2013, "Duration, trading volume and the price impact of trades in an emerging futures market," Emerging Markets Review, Elsevier, volume 17, issue C, pages 89-105, DOI: 10.1016/j.ememar.2013.08.002.
• Varneskov, Rasmus & Voev, Valeri, 2013, "The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts," Journal of Empirical Finance, Elsevier, volume 20, issue C, pages 83-95, DOI: 10.1016/j.jempfin.2012.11.002.
• Becker, Christoph & Schmidt, Wolfgang M., 2013, "Stressing correlations and volatilities — A consistent modeling approach," Journal of Empirical Finance, Elsevier, volume 21, issue C, pages 174-194, DOI: 10.1016/j.jempfin.2012.12.009.
• Abhakorn, Pongrapeeporn & Smith, Peter N. & Wickens, Michael R., 2013, "What do the Fama–French factors add to C-CAPM?," Journal of Empirical Finance, Elsevier, volume 22, issue C, pages 113-127, DOI: 10.1016/j.jempfin.2013.04.002.
• Akay, Ozgur (Ozzy) & Senyuz, Zeynep & Yoldas, Emre, 2013, "Hedge fund contagion and risk-adjusted returns: A Markov-switching dynamic factor approach," Journal of Empirical Finance, Elsevier, volume 22, issue C, pages 16-29, DOI: 10.1016/j.jempfin.2013.02.005.
• Kim, Hwagyun & Park, Hail, 2013, "Term structure dynamics with macro-factors using high frequency data," Journal of Empirical Finance, Elsevier, volume 22, issue C, pages 78-93, DOI: 10.1016/j.jempfin.2013.03.003.
• Rossi, Eduardo & Santucci de Magistris, Paolo, 2013, "Long memory and tail dependence in trading volume and volatility," Journal of Empirical Finance, Elsevier, volume 22, issue C, pages 94-112, DOI: 10.1016/j.jempfin.2013.03.004.
• Post, Thierry & Kopa, Miloš, 2013, "Aggregate investor preferences and beliefs: A comment," Journal of Empirical Finance, Elsevier, volume 23, issue C, pages 187-190, DOI: 10.1016/j.jempfin.2013.06.003.
• Koop, Gary & Tole, Lise, 2013, "Modeling the relationship between European carbon permits and certified emission reductions," Journal of Empirical Finance, Elsevier, volume 24, issue C, pages 166-181, DOI: 10.1016/j.jempfin.2013.10.005.
• Wang, Yu Shan, 2013, "Oil price effects on personal consumption expenditures," Energy Economics, Elsevier, volume 36, issue C, pages 198-204, DOI: 10.1016/j.eneco.2012.08.007.
• Ozturk, Ilhan & Acaravci, Ali, 2013, "The long-run and causal analysis of energy, growth, openness and financial development on carbon emissions in Turkey," Energy Economics, Elsevier, volume 36, issue C, pages 262-267, DOI: 10.1016/j.eneco.2012.08.025.
• Kang, Sang Hoon & Yoon, Seong-Min, 2013, "Modeling and forecasting the volatility of petroleum futures prices," Energy Economics, Elsevier, volume 36, issue C, pages 354-362, DOI: 10.1016/j.eneco.2012.09.010.
• Nazlioglu, Saban & Erdem, Cumhur & Soytas, Ugur, 2013, "Volatility spillover between oil and agricultural commodity markets," Energy Economics, Elsevier, volume 36, issue C, pages 658-665, DOI: 10.1016/j.eneco.2012.11.009.
• Salamaliki, Paraskevi K. & Venetis, Ioannis A., 2013, "Energy consumption and real GDP in G-7: Multi-horizon causality testing in the presence of capital stock," Energy Economics, Elsevier, volume 39, issue C, pages 108-121, DOI: 10.1016/j.eneco.2013.04.010.
• Stern, David I. & Enflo, Kerstin, 2013, "Causality between energy and output in the long-run," Energy Economics, Elsevier, volume 39, issue C, pages 135-146, DOI: 10.1016/j.eneco.2013.05.007.
• Balcilar, Mehmet & Ozdemir, Zeynel Abidin, 2013, "The causal nexus between oil prices and equity market in the U.S.: A regime switching model," Energy Economics, Elsevier, volume 39, issue C, pages 271-282, DOI: 10.1016/j.eneco.2013.04.014.
• Gardebroek, Cornelis & Hernandez, Manuel A., 2013, "Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets," Energy Economics, Elsevier, volume 40, issue C, pages 119-129, DOI: 10.1016/j.eneco.2013.06.013.
• Mirantes, Andrés García & Población, Javier & Serna, Gregorio, 2013, "The stochastic seasonal behavior of energy commodity convenience yields," Energy Economics, Elsevier, volume 40, issue C, pages 155-166, DOI: 10.1016/j.eneco.2013.06.011.
• Beckmann, Joscha & Czudaj, Robert, 2013, "Is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters?," Energy Economics, Elsevier, volume 40, issue C, pages 665-678, DOI: 10.1016/j.eneco.2013.08.007.
• Bruns, Stephan B. & Gross, Christian, 2013, "What if energy time series are not independent? Implications for energy-GDP causality analysis," Energy Economics, Elsevier, volume 40, issue C, pages 753-759, DOI: 10.1016/j.eneco.2013.08.020.
• Gupta, Rangan & Modise, Mampho P., 2013, "Does the source of oil price shocks matter for South African stock returns? A structural VAR approach," Energy Economics, Elsevier, volume 40, issue C, pages 825-831, DOI: 10.1016/j.eneco.2013.10.005.
• Joshua D. Angrist & Òscar Jordà & Guido Kuersteiner, 2013, "Semiparametric Estimates of Monetary Policy Effects: String Theory Revisited," NBER Working Papers, National Bureau of Economic Research, Inc, number 19355, Aug.
• Serena Ng & Jonathan H. Wright, 2013, "Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling," NBER Working Papers, National Bureau of Economic Research, Inc, number 19469, Sep.
• Efstathios Avdis & Jessica A. Wachter, 2013, "Maximum likelihood estimation of the equity premium," NBER Working Papers, National Bureau of Economic Research, Inc, number 19684, Nov.
• S. Borağan Aruoba & Luigi Bocola & Frank Schorfheide, 2013, "Assessing DSGE Model Nonlinearities," NBER Working Papers, National Bureau of Economic Research, Inc, number 19693, Dec.
• Frank Schorfheide & Dongho Song, 2013, "Real-Time Forecasting with a Mixed-Frequency VAR," NBER Working Papers, National Bureau of Economic Research, Inc, number 19712, Dec.
• Simeon Coleman Author name: Vitor Leone, 2013, "Is it good to share? Debating patterns in availability and use of job share," NBS Discussion Papers in Economics, Economics, Nottingham Business School, Nottingham Trent University, number 2013/01, Jan.
• Chunping Liu Author name: Patrick Minford, 2013, "Comparing Behavioural and Rational Expectations for the US Post-War Economy," NBS Discussion Papers in Economics, Economics, Nottingham Business School, Nottingham Trent University, number 2013/02, Feb.
• Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2013, "Housing and the Great Depression," Working Papers, University of Nevada, Las Vegas , Department of Economics, number 1301, Apr.
• Rubén Hernández-Murillo & Michael T Owyang & Margarita Rubio, 2013, "Clustered Housing Cycles," Discussion Papers, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM), number 2013/02, Feb.
• Igor Alexandre Clemente de Morais, 2013, "Ciclo e indicadores antecedentes na indústria do Rio Grande do Sul [Cycles and background indicators in industry in the state of Rio Grande do Sul]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), volume 23, issue 1, pages 133-154, January-A.
• T.P.Koirala, Ph.D., 2013, "Time-Varying Parameters of Inflation Model in Nepal: State Space Modeling," NRB Economic Review, Nepal Rastra Bank, Economic Research Department, volume 25, issue 2, pages 66-77, October.
• T. Deroyon & A. Montaut & P.-A. Pionnier, 2013, "A monthly estimation method of ILO unemployment: a state-space framework," Documents de Travail de l'Insee - INSEE Working Papers, Institut National de la Statistique et des Etudes Economiques, number g2013-01.
• Bjørnar Karlsen Kivedal, 2013, "A New Keynesian Framework and Wage and Price Dynamics in the US," Working Paper Series, Department of Economics, Norwegian University of Science and Technology, number 15113, Jul.
• Juan C. Cuestas & Carlyn Dobson, 2013, "Convergence of inflationary shocks: evidence from the Caribbean," NCID Working Papers, Navarra Center for International Development, University of Navarra, number 02/2013, Feb.
• Guglielmo Maria Caporale & Alessandro Girardi, 2013, "Business Cycles, International Trade and Capital Flows: Evidence from Latin America," NCID Working Papers, Navarra Center for International Development, University of Navarra, number 06/2013, Oct.
• Özer Karagedikli & Ryan, Michael & Daan Steenkamp & Tugrul Vehbi, 2013, "What happens when the Kiwi flies? Sectoral effects of the exchange rate shocks," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2013/05, Jan.
• Oscar Parkyn & Tugrul Vehbi, 2013, "The Effects of Fiscal Policy in New Zealand: Evidence from a VAR Model with Debt Constraints," Treasury Working Paper Series, New Zealand Treasury, number 13/02, Jan.
• Denise R Osborn & Tugrul Vehbi, 2013, "Empirical Evidence on Growth Spillovers from China to New Zealand," Treasury Working Paper Series, New Zealand Treasury, number 13/17, Jul.
• Kam Leong Szeto, 2013, "Estimating New Zealand’s Output Gap Using a Small Macro Model," Treasury Working Paper Series, New Zealand Treasury, number 13/18, Jul.
• Sadullah Çelik & Hüseyin Kaya, 2013, "Day-of-the-week effect in Consumer Confidence Index: The case of Turkey," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, volume 2012, issue 2, pages 33-42, DOI: 10.1787/jbcma-2012-5k49j33nqdg5.
• Ozgur (Ozzy) Akay & Zeynep Senyuz & Emre Yoldas, 2013, "Hedge Fund Contagion and Risk-adjusted Returns: A Markov-switching Dynamic Factor Approach," Working Papers, Office of Financial Research, US Department of the Treasury, number 13-03, Mar.
• Paul Glasserman & H. Peyton Young, 2013, "How Likely is Contagion in Financial Networks?," Working Papers, Office of Financial Research, US Department of the Treasury, number 13-06, Jun, revised 12 Apr 2017.
• Marina Tkalec, 2013, "The Dynamics of Deposit Euroization in European Post-Transition Countries: Evidence from Threshold VAR," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 66-83.
• Peter Backé & Martin Feldkircher & Tomáš Slacík, 2013, "Economic Spillovers from the Euro Area to the CESEE Region via the Financial Channel: A GVAR Approach," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 50-64.
• Jouko Rautava, 2013, "Oil Prices, Excess Uncertainty and Trend Growth," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 77-87.
• Martin Feldkircher, 2013, "A Global Macro Model for Emerging Europe," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 185, Sep.
• Arturo Leonardo Vásquez Cordano & Raúl Lizardo García Carpio & Erix Aldo Ruiz Mondaca, 2013, "Análisis de la Evolución e Integración de los Mercados Internacionales de Gas Natural," Working Papers, Osinergmin, Gerencia de Políticas y Análisis Económico, number 30, Dec.
• Jason R. Blevins, 2013, "Identifying Restrictions for Finite Parameter Continuous Time Models with Discrete Time Data," Working Papers, Ohio State University, Department of Economics, number 13-01, Nov.
• Martin Uebele, 2013, "What Drives Commodity Market Integration? Evidence from the 1800s," CESifo Economic Studies, CESifo Group, volume 59, issue 2, pages 412-442, June.
• Xin Jin & John M. Maheu, 2013, "Modeling Realized Covariances and Returns," Journal of Financial Econometrics, Oxford University Press, volume 11, issue 2, pages 335-369, March.
• Carl Bonham & Calla Wiemer, 2013, "Chinese saving dynamics: the impact of GDP growth and the dependent share," Oxford Economic Papers, Oxford University Press, volume 65, issue 1, pages 173-196, January.
• Batrinca Ghiorghe & Cojanu Gianina, 2013, "The Causality Relationship between the Dry Bulk Market and Worldwide Economic Growth," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 2, pages 2-6, May.
• Felix Chan, 2013, "Advantages of Non-Normality in Testing Cointegration Rank," Bankwest Curtin Economics Centre Working Paper series, Bankwest Curtin Economics Centre (BCEC), Curtin Business School, number WP1306, Jul.
• Espinosa Acuña, Óscar A. & Vaca González, Paola A. & Avila Forero, Raúl A., 2013, "Elasticidades de demanda por electricidad e impactos macroecon_omicos del precio de la energía eléctrica en Colombia || Elasticity of Electricity Demand and Macroeconomics Impacts of Electricity Price in Colombia," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 16, issue 1, pages 216-249, December.
• Giovanni Caggiano & Efrem Castelnuovo & Nicolas Groshenny, 2013, "Uncertainty Shocks and Unemployment Dynamics: An Analysis of Post-WWII U.S. Recessions," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0166, Jun.
• Matteo Manera & Marcella Nicolini & Ilaria Vignati, 2013, "Futures price volatility in commodities markets: The role of short term vs long term speculation," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 042, Apr.
• Hamrita Mohamed Essaied, 2013, "Export-led growth in Tunisia: A wavelet filtering based analysis," Business and Economic Horizons (BEH), Prague Development Center, volume 9, issue 3, pages 12-27, October.
• Pawel M. Kolba & Radoslaw Kotkowski, 2013, "Business Cycles Indicators And Short-Term Forecasts Of Polish Industry Production Index," Oeconomia Copernicana, Institute of Economic Research, volume 4, issue 3, pages 65-79, September, DOI: 10.12775/OeC.2013.023.
• Pawel M. Kolba & Radoslaw Kotkowski, 2013, "Business Cycle Indicators And Short-Term Forecast Of Polish Industry Production Index," Working Papers, Institute of Economic Research, number 13/2013, Feb, revised May 2013.
• Carlo Andrea Bollino & Davide Ciferri & Paolo Polinori, 2013, "Integration and convergence in European electricity markets," Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia, number 114/2013, Jan.
• Abdul Rashid & Fazal Husain, 2013, "Capital Inflows, Inflation, and the Exchange Rate Volatility- An Investigation for Linear and Nonlinear Causal Linkages," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 52, issue 3, pages 183-206.
• Christian Calmès & Raymond Théoret, 2013, "The change in banks' product mix, diversification and performance: An application of multivariate GARCH to Canadian data," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp012013, Jan.
• Christian Calmès & Raymond Théoret, 2013, "Is the Canadian banking system really “stronger” than the U.S. one?," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp022013, May.
• Hamzah, Siti Nur Zahara & Lau, Evan, 2013, "The Role of Social Factors in Explaining Crime," MPRA Paper, University Library of Munich, Germany, number 43518, Jan.
• Baumöhl, Eduard, 2013, "Stock market integration between the CEE-4 and the G7 markets: Asymmetric DCC and smooth transition approach," MPRA Paper, University Library of Munich, Germany, number 43834, Jan.
• Bouzahzah, Mohamed & El Menyari, Younesse, 2013, "The relationship between international tourism and economic growth: the case of Morocco and Tunisia," MPRA Paper, University Library of Munich, Germany, number 44102, Jan.
• Boufateh, Talel & Ajmi, Ahdi Noomen & El Montasser, Ghassen & Issaoui, Fakhri, 2013, "Dynamic relationship between energy consumption and income in Tunisia: A SVECM approach," MPRA Paper, University Library of Munich, Germany, number 44539, Feb.
• Bollino, Carlo Andrea & Ciferri, Davide & Polinori, Paolo, 2013, "Integration and Convergence in European Electricity Markets," MPRA Paper, University Library of Munich, Germany, number 44704, Jan.
• Hatemi-J, Abdulnasser, 2013, "A New Asymmetric GARCH Model: Testing, Estimation and Application," MPRA Paper, University Library of Munich, Germany, number 45170, Mar.
• Koop, Gary & Korobilis, Dimitris, 2013, "A New Index of Financial Conditions," MPRA Paper, University Library of Munich, Germany, number 45463, Mar.
• Choudhary, Ali & Hanif, Nadim & Iqbal, Javed, 2013, "On smoothing macroeconomic time series using HP and modified HP filter," MPRA Paper, University Library of Munich, Germany, number 45630, Mar.
• Chang, Chia-Lin & Hsu, Hui-Kuang, 2013, "Modelling Volatility Size Effects for Firm Performance: The Impact of Chinese Tourists to Taiwan," MPRA Paper, University Library of Munich, Germany, number 45691, Mar.
• P., Srinivasan & M., Kalaivani, 2013, "Stock Market Linkages in Emerging Asia-Pacific Markets," MPRA Paper, University Library of Munich, Germany, number 45871, Apr.
• Adawo, Monday A. & Effiong, Ekpeno L., 2013, "Monetary exchange rate model as a long-run phenomenon: evidence from Nigeria," MPRA Paper, University Library of Munich, Germany, number 46407, Feb.
• Kociecki, Andrzej, 2013, "Further Results on Identification of Structural VAR Models," MPRA Paper, University Library of Munich, Germany, number 46536, Apr.
• Ageli, Mohammed Moosa, 2013, "Wagner’s Law in Saudi Arabia 1970 - 2012: An Econometric Analysis," MPRA Paper, University Library of Munich, Germany, number 46594, Jan.
• Ageli, Mohammed Moosa, 2013, "Tourism Economics in Saudi Arabia: PP-VAR Approach," MPRA Paper, University Library of Munich, Germany, number 46602, Apr.
• Lehmann, Robert & Wohlrabe, Klaus, 2013, "Sectoral gross value-added forecasts at the regional level: Is there any information gain?," MPRA Paper, University Library of Munich, Germany, number 46765, May.
• Mirdala, Rajmund, 2013, "Lessons Learned from Tax versus Expenditure Based Fiscal Consolidation in the European Transition Economies," MPRA Paper, University Library of Munich, Germany, number 46792, Feb.
• Mirdala, Rajmund, 2013, "Real Output and Prices Adjustments under Different Exchange Rate Regimes," MPRA Paper, University Library of Munich, Germany, number 46879, Jan.
• Su, Yongyang & Lau, Chi Keung Marco & Tan, Na, 2013, "Hedging China’s Energy Oil Market Risks," MPRA Paper, University Library of Munich, Germany, number 47134, Apr.
• Bezemer, Dirk & Grydaki, Maria, 2013, "Debt and the U.S. Great Moderation," MPRA Paper, University Library of Munich, Germany, number 47399, Jun.
• Grydaki, Maria & Bezemer, Dirk, 2013, "Did Credit Decouple from Output in the Great Moderation?," MPRA Paper, University Library of Munich, Germany, number 47424, Jun.
• Kociecki, Andrzej, 2013, "Towards Understanding the Normalization in Structural VAR Models," MPRA Paper, University Library of Munich, Germany, number 47645, Jun.
• Qian, Hang, 2013, "Vector Autoregression with Mixed Frequency Data," MPRA Paper, University Library of Munich, Germany, number 47856, Jun.
• Krishnankutty, Raveesh & Chakraborty, Kiran Shankar, 2013, "Determinants of debt capital in Indian corporate sector: a quantile regression analysis," MPRA Paper, University Library of Munich, Germany, number 48307, May.
• Dobrescu, Emilian, 2013, "Modelling the sectoral structure of the final output," MPRA Paper, University Library of Munich, Germany, number 48569, May.
• Muto, Ichiro & Kumano, Yusuke & Nakano, Akihiro, 2013, "What explains the recent fluctuations in Japan's output? A structural factor analysis of Japan's industrial production," MPRA Paper, University Library of Munich, Germany, number 48615, Jul.
• Antonakakis, Nikolaos & Dragouni, Mina & Filis, George, 2013, "Time-Varying Interdependencies of Tourism and Economic Growth: Evidence from European Countries," MPRA Paper, University Library of Munich, Germany, number 48715, Aug.
• Mirdala, Rajmund, 2013, "Current Account Adjustments and Real Exchange Rates in the European Transition Economies," MPRA Paper, University Library of Munich, Germany, number 48901, May.
• Sucarrat, Genaro & Grønneberg, Steffen & Escribano, Alvaro, 2013, "Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown," MPRA Paper, University Library of Munich, Germany, number 49344, Aug.
• Bystrov, Victor, 2013, "A factor-augemented model of markup on mortgage loans in Poland," MPRA Paper, University Library of Munich, Germany, number 49683, Sep.
• Delavari, Majid & Gandali Alikhani, Nadiya, 2013, "The Dynamic Effects of Crude Oil and Natural Gas Prices on Iran's Methanol," MPRA Paper, University Library of Munich, Germany, number 49733, Jan.
• Baumohl, Eduard & Lyocsa, Stefan, 2013, "Volatility and dynamic conditional correlations of European emerging stock markets," MPRA Paper, University Library of Munich, Germany, number 49898, Sep.
• Gonzalez-Astudillo, Manuel, 2013, "Monetary-Fiscal Policy Interactions: Interdependent Policy Rule Coefficients," MPRA Paper, University Library of Munich, Germany, number 50040, Jul.
• Kitov, Ivan & KItov, Oleg, 2013, "Does Banque de France control inflation and unemployment?," MPRA Paper, University Library of Munich, Germany, number 50239, Sep.
• Ramirez, Francisco, 2013, "The Relationship Between Credit and Business Cycles in Central America and the Dominican Republic," MPRA Paper, University Library of Munich, Germany, number 50332, Oct.
• Mirdala, Rajmund, 2013, "Fiscal Imbalances and Current Account Adjustments in the European Transition Economies," MPRA Paper, University Library of Munich, Germany, number 50362, Aug.
• Ali, Sharafat, 2013, "The Small and Medium Enterprises and Poverty in Pakistan: An Empirical Analysis," MPRA Paper, University Library of Munich, Germany, number 50506, Jun, revised Jul 2113.
• Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia, 2013, "Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises," MPRA Paper, University Library of Munich, Germany, number 50940, Oct, revised 23 Oct 2013.
• Cagnone, Silvia & Bartolucci, Francesco, 2013, "Adaptive quadrature for likelihood inference on dynamic latent variable models for time-series and panel data," MPRA Paper, University Library of Munich, Germany, number 51037, Oct.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013, "On the tracking and replication of hedge fund optimal investment portfolio strategies in global capital markets in presence of nonlinearities, applying Bayesian filters: 1. Stratanovich – Kalman – Bucy filters for Gaussian linear investment returns d," MPRA Paper, University Library of Munich, Germany, number 51046, Oct.
• Ben Cheikh, Nidhaleddine, 2013, "Exchange Rate and Consumer Prices in the Euro Area: A Cointegrated VAR Analysis," MPRA Paper, University Library of Munich, Germany, number 51162, Oct.
• dogru, bulent, 2013, "Inflation and Inflation Uncertainty: Evidence from Turkey, 1923–2012," MPRA Paper, University Library of Munich, Germany, number 51232, Jun.
• Ezzat, Hassan, 2013, "Long Memory Processes and Structural Breaks in Stock Returns and Volatility: Evidence from the Egyptian Exchange," MPRA Paper, University Library of Munich, Germany, number 51465, Aug.
• Bayraci, Selcuk & Demiralay, Sercan, 2013, "Conditional Autoregregressive Range (CARR) Based Volatility Spillover Index For the Eurozone Markets," MPRA Paper, University Library of Munich, Germany, number 51909, Nov.
• Jensen, Mark J & Maheu, John M, 2013, "Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis," MPRA Paper, University Library of Munich, Germany, number 52132, Dec.
• Bentour, El Mostafa, 2013, "Should Moroccan Officials Depend on the Workers’ Remittances to Finance the Current Account Deficit?," MPRA Paper, University Library of Munich, Germany, number 52290, May, revised 01 May 2013.
• Alimi, R. Santos, 2013, "Testing Augmented Wagner’s Law for Nigeria Based on Cointegration and Error-Correction Modelling Techniques," MPRA Paper, University Library of Munich, Germany, number 52319.
• Ludwig, Alexander, 2013, "Sovereign risk contagion in the Eurozone: a time-varying coefficient approach," MPRA Paper, University Library of Munich, Germany, number 52340, Dec.
• n.a.m, Naseem & m.s, Hamizah, 2013, "Exchange Rate Misalignment and Economic Growth: Recent Evidence in Malaysia," MPRA Paper, University Library of Munich, Germany, number 52447.
• Balaguer, Jacint & Ripollés, Jordi, 2013, "Asymmetric fuel price responses under heterogeneity," MPRA Paper, University Library of Munich, Germany, number 52481, Dec.
• Sebri, Maamar & Ben Salha, Ousama, 2013, "On the causal dynamics between economic growth, renewable energy consumption, CO2 emissions and trade openness: Fresh evidence from BRICS countries," MPRA Paper, University Library of Munich, Germany, number 52535, Dec.
• Hina, Hafsa & Qayyum, Abdul, 2013, "Estimation of Keynesian Exchange Rate Model of Pakistan by Considering Critical Events and Multiple Cointegrating Vectors," MPRA Paper, University Library of Munich, Germany, number 52611.
• Degiannakis, Stavros & Duffy, David & Filis, George, 2013, "Time-varying Business Cycles Synchronisation in Europe," MPRA Paper, University Library of Munich, Germany, number 52925, Oct.
• Khundrakpam, Jeevan Kumar, 2013, "A Note on Differential Asymmetric Effects of Money Supply and Policy Rate Shocks in India," MPRA Paper, University Library of Munich, Germany, number 53058, Nov.
• Khundrakpam, Jeevan Kumar, 2013, "Are there Asymmetric Effects of Monetary Policy in India?," MPRA Paper, University Library of Munich, Germany, number 53059, Dec.
• Liu, Lin & Hussain, Syed, 2013, "Understanding the Sims-Cogley-Nason Approach in A Finite Sample," MPRA Paper, University Library of Munich, Germany, number 53118, Jul.
• Mirdala, Rajmund, 2013, "Exchange Rate Pass-Through to Domestic Prices under Different Exchange Rate Regimes," MPRA Paper, University Library of Munich, Germany, number 53209, Dec.
• Badiane, Ousmane & Goudan, Anatole & Tankari, Mahamadou Roufahi, 2013, "Time Path of Price Adjustment in Domestic Markets of Non-tradable Staples to Changes in World Market Prices," MPRA Paper, University Library of Munich, Germany, number 53485, Oct.
• Leiva-Leon, Danilo, 2013, "A New Approach to Infer Changes in the Synchronization of Business Cycle Phases," MPRA Paper, University Library of Munich, Germany, number 54452, Jun.
• Sharafat, Ali & Hamid, Waqas & Muhammad, Asghar & Raheel Abbas, Kalroo & Muhammad, Ayaz & Mukhtyar, Khan, 2013, "Foreign Capital and Investment in Pakistan: A Cointegration and Causality Analysis," MPRA Paper, University Library of Munich, Germany, number 55640, revised 28 Apr 2013.
• KARGI, Bilal, 2013, "Konut Piyasası ve Ekonomik Büyüme İlişkisi: Türkiye Üzerine Zaman Serileri Analizi (2000-2012)
  [Housing market and economic growth relation: time series analysis over Turkey (2000-2012)]," MPRA Paper, University Library of Munich, Germany, number 55694, Feb.
• Gatt, William, 2013, "Forecasting inflation at the Central Bank of Malta�," MPRA Paper, University Library of Munich, Germany, number 56876, Mar.
• Lof, Matthijs, 2013, "Essays on Expectations and the Econometrics of Asset Pricing," MPRA Paper, University Library of Munich, Germany, number 59064, May.
• Ülke, Volkan & Ergun, Ugur, 2013, "The Relationship between Consumer Price and Producer Price Indices in Turkey," MPRA Paper, University Library of Munich, Germany, number 59437, Sep.
• Szarowska, Irena, 2013, "Relationship between government expenditure and output in the problematic regions in the European Union," MPRA Paper, University Library of Munich, Germany, number 59777, Dec.
• Sbia, Rashid & Hamdi, Helmi, 2013, "Dynamic relationships between oil revenues, government spending and economic growth in an oil-dependent economy," MPRA Paper, University Library of Munich, Germany, number 64150, revised 2013.
• Sbia, Rashid & Hamdi, Helmi, 2013, "Are Investment and Saving Cointegrated Evidence From Middle East and North African Countries," MPRA Paper, University Library of Munich, Germany, number 64151.
• Sikdar, Asaduzzaman & Kundu, Nobinkhor & Khan, Zakir Saadullah, 2013, "Trade openness and inflation: A test of Romer hypothesis for Bangladesh," MPRA Paper, University Library of Munich, Germany, number 65244, Jun, revised 16 Oct 2013.
• Gauvin, Ludovic & Rebillard, Cyril, 2013, "Towards Recoupling? Assessing the Impact of a Chinese Hard Landing on Commodity Exporters: Results from Conditional Forecast in a GVAR Model," MPRA Paper, University Library of Munich, Germany, number 65457, Oct.
• Degiannakis, Stavros & Livada, Alexandra, 2013, "Evaluation of Realized Volatility Predictions from Models with Leptokurtically and Asymmetrically Distributed Forecast Errors," MPRA Paper, University Library of Munich, Germany, number 67968, Nov.
• Hamidi Sahneh, Mehdi, 2013, "Testing for Noncausal Vector Autoregressive Representation," MPRA Paper, University Library of Munich, Germany, number 68867, Aug, revised 16 Aug 2014.
• Ebghaei, Felor, 2013, "Türkiye’de Kamu Yatırım Harcamalarının Özel Sektör Yatırım Üzerindeki Etkisi
  [The Effec of Public Investment Expenditure on Private Investment in Turkey]," MPRA Paper, University Library of Munich, Germany, number 77896, Oct, revised Mar 2017.
• Shijaku, Gerti & Kalluci, Irini, 2013, "Determinants of bank credit to the private sector: The case of Albania," MPRA Paper, University Library of Munich, Germany, number 79092.
• Babaei Balderlou, Saharnaz & Ebrahimi Torki, Mahyar & Heidari, Hassan, 2013, "تفكيك اثرات منشأ شوك‌هاي نفتي بر همبستگی پویای بین رشد بخش صنعت و معدن و قیمت نفت خام در ایران
  [Separation of the Effects of Oil Price Shocks Origin on Dynamic Correlation between Growth of Industry and Mine Sector and Crude Oil Price in Iran]," MPRA Paper, University Library of Munich, Germany, number 79257, Apr.
• Degiannakis, Stavros & Floros, Christos & Dent, Pamela, 2013, "Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence," MPRA Paper, University Library of Munich, Germany, number 80433.
• Degiannakis, Stavros & Floros, Christos, 2013, "Modeling CAC40 Volatility Using Ultra-high Frequency Data," MPRA Paper, University Library of Munich, Germany, number 80445.
• Degiannakis, Stavros & Filis, George & Floros, Christos, 2013, "Oil and stock price returns: Evidence from European industrial sector indices in a time-varying environment," MPRA Paper, University Library of Munich, Germany, number 80495.
• Ari, Ali & Yılmaz, Ahmet & Cergibozan, Raif & Ozcan, Yunus, 2013, "The Inflation Dynamics of the Turkish Economy in 1990-2011 Period," MPRA Paper, University Library of Munich, Germany, number 95675.
• Degiannakis, Stavros & Filis, George & Floros, Christos, 2013, "Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment," MPRA Paper, University Library of Munich, Germany, number 96298.
• Beatrice D. Simo-Kengne & Rangan Gupta & Goodness C. Aye, 2013, "Macro Shocks And House Prices In South Africa," Working Papers, University of Pretoria, Department of Economics, number 201302, Jan.
• Rangan Gupta & Charl Jooste & Kanyane Matlou, 2013, "A Time-Varying Approach to Analysing Fiscal Policy and Asset Prices in South Africa," Working Papers, University of Pretoria, Department of Economics, number 201303, Jan.
• Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2013, "Housing and the Great Depression," Working Papers, University of Pretoria, Department of Economics, number 201308, Jan.
• Goodness C. Aye & Rangan Gupta & Alain Kaninda & Wendy Nyakabawo & Aarifah Razak, 2013, "House Price, Stock Price and Consumption in South Africa: A Structural VAR Approach," Working Papers, University of Pretoria, Department of Economics, number 201309, Feb.
• Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar, 2013, "Forecasting Aggregate Retail Sales: The Case of South Africa," Working Papers, University of Pretoria, Department of Economics, number 201312, Feb.
• Rangan Gupta & Mampho P. Modise, 2013, "Does the Source of Oil Price Shocks Matter for South African Stock Returns? A Structural VAR Approach," Working Papers, University of Pretoria, Department of Economics, number 201318, Apr.
• Goodness C. Aye & Mehmet Balcilar & Adel Bosch & Rangan Gupta, 2013, "Housing and the Business Cycle in South Africa," Working Papers, University of Pretoria, Department of Economics, number 201323, May.
• Beatrice D. Simo-Kengne & Stephen M. Miller & Rangan Gupta & Goodness C. Aye, 2013, "Time-Varying Effects of Housing and Stock Prices on U.S. Consumption," Working Papers, University of Pretoria, Department of Economics, number 201325, May.
• Annari de Waal & Renee van Eyden, 2013, "The impact of economic shocks in the rest of the world on South Africa: Evidence from a global VAR," Working Papers, University of Pretoria, Department of Economics, number 201328, Jun.
• Wendy Nyakabawo & Stephen M. Miller & Mehmet Balcilar & Sonali Das & Rangan Gupta, 2013, "Temporal Causality between House Prices and Output in the U. S.: A Bootstrap Rolling-Window Approach," Working Papers, University of Pretoria, Department of Economics, number 201329, Jul.
• Janneke Dlamini & Mehmet Balcilar & Rangan Gupta & Roula Inglesi-Lotz, 2013, "Revisiting the Causality between Electricity Consumption and Economic Growth in South Africa: A Bootstrap Rolling-Window Approach," Working Papers, University of Pretoria, Department of Economics, number 201330, Jul.
• Kirsten Thompson & Renee van Eyden & Rangan Gupta, 2013, "Identifying a financial conditions index for South Africa," Working Papers, University of Pretoria, Department of Economics, number 201333, Jul.
• Ahdi N. Ajmi & Goodness C. Aye & Mehmet Balcilar & Rangan Gupta, 2013, "Causality between Exports and Economic Growth in South Africa: Evidence from Linear and Nonlinear Tests," Working Papers, University of Pretoria, Department of Economics, number 201339, Aug.
• Janneke Dlamini & Mehmet Balcilar & Rangan Gupta & Roula Inglesi-Lotz, 2013, "Revisiting the Causal Relationship between Energy Consumption and Economic Growth in South Africa: Evidence from a Bootstrap Rolling Window Approach," Working Papers, University of Pretoria, Department of Economics, number 201341, Aug.
• Beatrice D. Simo-Kengne & Stephen M. Miller & Rangan Gupta, 2013, "Evolution of Monetary Policy in the US: The Role of Asset Prices," Working Papers, University of Pretoria, Department of Economics, number 201343, Aug.
• Goodness C. Aye & Mehmet Balcilar & John P. Dunne & Rangan Gupta & Renee van Eyden, 2013, "Military Expenditure, Economic Growth and Structural Instability: A Case Study of South Africa," Working Papers, University of Pretoria, Department of Economics, number 201344, Aug.
• Xiao-lin Li & Mehmet Balcilar & Rangan Gupta & Tsangyao Chang, 2013, "The Causal Relationship between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling-Window Approach," Working Papers, University of Pretoria, Department of Economics, number 201345, Aug.
• Goodness C. Aye & Stephen M. Miller & Rangan Gupta & Mehmet Balcilar, 2013, "Forecasting the US Real Private Residential Fixed Investment Using Large Number of Predictors," Working Papers, University of Pretoria, Department of Economics, number 201348, Aug.
• Roula Inglesi-Lotz & Mehmet Balcilar & Rangan Gupta, 2013, "Time-Varying Causality between Research Output and Economic Growth in the US," Working Papers, University of Pretoria, Department of Economics, number 201350, Aug.