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

2012

• Okpara, Godwin Chigozie, 2012, "An Error Correction Model Analysis of the Determinant of Foreign Direct Investment: Evidence from Nigeria," MPRA Paper, University Library of Munich, Germany, number 36676, Feb, revised 14 Feb 2012.
• Liew, Freddy, 2012, "Forecasting inflation in Asian economies," MPRA Paper, University Library of Munich, Germany, number 36781, Jan.
• Murad, S. M. Woahid, 2012, "Bilateral Export and Import Demand Functions of Bangladesh: A Cointegration Approach," MPRA Paper, University Library of Munich, Germany, number 36919, Mar.
• Abdurrahman, Korkmaz, 2012, "The transmission process of financial crises across the emerging markets: an alternative consideration," MPRA Paper, University Library of Munich, Germany, number 37421, Mar.
• Köksal, Bülent & Orhan, Mehmet, 2012, "Market risk of developed and developing countries during the global financial crisis," MPRA Paper, University Library of Munich, Germany, number 37523, Mar.
• Ludlow-Wiechers, Jorge, 2012, "Backward and forward closed solutions of multivariate ARMA models," MPRA Paper, University Library of Munich, Germany, number 37635, Mar.
• Bystrov, Victor & di Salvatore, Antonietta, 2012, "Martingale approximation for common factor representation," MPRA Paper, University Library of Munich, Germany, number 37669, Mar.
• Lanne, Markku & Saikkonen, Pentti, 2012, "Supplementary appendix to "noncausal vector autoregression"," MPRA Paper, University Library of Munich, Germany, number 37732.
• Antonakakis, Nikolaos, 2012, "Exchange return co-movements and volatility spillovers before and after the introduction of Euro," MPRA Paper, University Library of Munich, Germany, number 37869, Apr.
• Stavarek, Daniel & Heryan, Tomas, 2012, "Day of the week effect in central European stock markets," MPRA Paper, University Library of Munich, Germany, number 38431, Apr.
• Qian, Hang, 2012, "A Flexible State Space Model and its Applications," MPRA Paper, University Library of Munich, Germany, number 38455, Apr.
• Ismail, Mohd Adib & Mawar, Murni Yunus, 2012, "Energy use, emissions, economic growth and trade: A Granger non-causality evidence for Malaysia," MPRA Paper, University Library of Munich, Germany, number 38473.
• Parrini, Alessandro, 2012, "Indirect estimation of GARCH models with alpha-stable innovations," MPRA Paper, University Library of Munich, Germany, number 38544, Apr.
• Saha, Malayendu & Bhunia, Amalendu, 2012, "How far India has gone down the road towards financial integration with US since subprime crisis? An Econometric Analysis," MPRA Paper, University Library of Munich, Germany, number 38731, Apr.
• Karapanagiotidis, Paul, 2012, "Improving Bayesian VAR density forecasts through autoregressive Wishart Stochastic Volatility," MPRA Paper, University Library of Munich, Germany, number 38885, Mar.
• Lau, Evan & Hamzah, Siti Nur Zahara, 2012, "Crimonometric Analysis: Testing the Deterrence Hypothesis in Sabah," MPRA Paper, University Library of Munich, Germany, number 39297, May.
• Chan, Joshua & Strachan, Rodney, 2012, "Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods," MPRA Paper, University Library of Munich, Germany, number 39360.
• Simwaka, Kisu, 2012, "Time varying fractional cointegration," MPRA Paper, University Library of Munich, Germany, number 39505, Jun.
• Jang, Tae-Seok, 2012, "Structural estimation of the New-Keynesian Model: a formal test of backward- and forward-looking expectations," MPRA Paper, University Library of Munich, Germany, number 39669, Jun.
• Grydaki, Maria & Bezemer, Dirk J., 2012, "The Role of Credit in Great Moderation: a Multivariate GARCH Approach," MPRA Paper, University Library of Munich, Germany, number 39813, Jun.
• Antonakakis, Nikolaos, 2012, "The great synchronization of international trade collapse," MPRA Paper, University Library of Munich, Germany, number 39859, Jul.
• Chan, Joshua & Eisenstat, Eric, 2012, "Marginal Likelihood Estimation with the Cross-Entropy Method," MPRA Paper, University Library of Munich, Germany, number 40051.
• Dinda, Soumyananda, 2012, "Factors Determining FDI in Nigeria: Role of Emerging Economies," MPRA Paper, University Library of Munich, Germany, number 40192, Jul, revised 20 Jul 2012.
• Jang, Tae-Seok, 2012, "Structural estimation of the New-Keynesian Model: a formal test of backward- and forward-looking expectations," MPRA Paper, University Library of Munich, Germany, number 40278, Jul.
• Antonakakis, Nikolaos & Darby, Julia, 2012, "Forecasting Volatility in Developing Countries' Nominal Exchange Returns," MPRA Paper, University Library of Munich, Germany, number 40875, Aug.
• Mirdala, Rajmund, 2012, "Macroeconomic Aspects of Real Exchange Rate Volatility in the Central European Countries," MPRA Paper, University Library of Munich, Germany, number 40910, May.
• Balogun, Emmanuel Dele & Dauda, Risikat O. S., 2012, "Poverty and employment impact of trade liberalization in Nigeria: empirical evidence and policy implications," MPRA Paper, University Library of Munich, Germany, number 41006, Aug, revised 05 Sep 2012.
• Li, Kui-Wai, 2012, "The US monetary performance prior to the 2008 crisis," MPRA Paper, University Library of Munich, Germany, number 41036.
• Dechert, Andreas, 2012, "Variance Ratio Testing for Fractional Cointegration in Presence of Trends and Trend Breaks," MPRA Paper, University Library of Munich, Germany, number 41044, Sep.
• Stepanenko-Lypovyk, Bohdana, 2012, "Модельна Оцінка Впливу Елементів Фінансового Механізму Зеленого Бізнесу На Основні Макроіндикатори
  [Model Evaluation Of Impact Of Green Busness Financial Mechanism Elements On The Main Macroindicators]," MPRA Paper, University Library of Munich, Germany, number 41130, Feb.
• Yıldırım, Metin & Korap, Levent, 2012, "Testing the Lucas critique for the Turkish money demand function," MPRA Paper, University Library of Munich, Germany, number 41156.
• Zaghini, Andrea & Bencivelli, Lorenzo, 2012, "Financial innovation, macroeconomic volatility and the great moderation," MPRA Paper, University Library of Munich, Germany, number 41263, Sep.
• Syed Muhammad, Atif & Sardar, Mohazzam, 2012, "Inclusive Growth Strategies for Pakistan: Myth or Reality for Policymakers!," MPRA Paper, University Library of Munich, Germany, number 41376, Jul.
• Bento Cerdeira, João Paulo, 2012, "The role of foreign direct investment in the renewable electricity generation and economic growth nexus in Portugal: a cointegration and causality analysis," MPRA Paper, University Library of Munich, Germany, number 41533, Sep.
• Francq, Christian & Meintanis, Simos, 2012, "Fourier--type estimation of the power garch model with stable--paretian innovations," MPRA Paper, University Library of Munich, Germany, number 41667, Oct.
• Brissimis, Sophocles N. & Garganas, Eugenie N. & Hall, Stephen G., 2012, "Consumer credit in an era of financial liberalisation: An overreaction to repressed demand?," MPRA Paper, University Library of Munich, Germany, number 41819, Oct.
• Lanne, Markku & Luoto, Jani, 2012, "Does Output Gap, Labor's Share or Unemployment Rate Drive Inflation?," MPRA Paper, University Library of Munich, Germany, number 41820.
• Bai, Zhidong & Hui, Yongchang & Wong, Wing-Keung, 2012, "New Non-Linearity Test to Circumvent the Limitation of Volterra Expansion," MPRA Paper, University Library of Munich, Germany, number 41872, Aug.
• Huang, Y-F., 2012, "Forecasting Chinese inflation and output: A Bayesian vector autoregressive approach," MPRA Paper, University Library of Munich, Germany, number 41933, Oct.
• Ardliansyah, Rifqi, 2012, "Stock Market Integration and International Portfolio Diversification between U.S. and ASEAN Equity Markets," MPRA Paper, University Library of Munich, Germany, number 41958, Aug.
• Mirdala, Rajmund, 2012, "Sources of exchange rate volatility in the european transition economies (effects of economic crisis revealed)," MPRA Paper, University Library of Munich, Germany, number 42060, Sep.
• Ricco, Giovanni & Ellahie, Atif, 2012, "Government Spending Reloaded: Fundamentalness and Heterogeneity in Fiscal SVARs," MPRA Paper, University Library of Munich, Germany, number 42105, Apr.
• Bentes, Sonia R & Menezes, Rui, 2012, "On the predictive power of implied volatility indexes: A comparative analysis with GARCH forecasted volatility," MPRA Paper, University Library of Munich, Germany, number 42193, Oct.
• Gajewski, Krzysztof & Pawłowska, Małgorzata & Rogowski, Wojciech, 2012, "Relacje firm z bankami w Polsce w świetle danych ze sprawozdawczości bankowej
  [Bank-firm relationships in Poland in the light of data from bank reporting]," MPRA Paper, University Library of Munich, Germany, number 42544, Oct, revised 29 Oct 2012.
• Khatun, Fahmida & Ahamad, Mazbahul G., 2012, "Investigating the determinants of inflationary trends in Bangladesh: an ARDL bounds F-Test Approach," MPRA Paper, University Library of Munich, Germany, number 42572, Mar.
• Kociecki, Andrzej, 2012, "Orbital Priors for Time-Series Models," MPRA Paper, University Library of Munich, Germany, number 42804, Nov.
• Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Filis, George, 2012, "Dynamic Co-movements between Stock Market Returns and Policy Uncertainty," MPRA Paper, University Library of Munich, Germany, number 42905, Nov.
• Antonakakis, Nikolaos, 2012, "Dynamic Correlations of Sovereign Bond Yield Spreads in the Euro zone and the Role of Credit Rating Agencies' Downgrades," MPRA Paper, University Library of Munich, Germany, number 43013.
• Antonakakis, Nikolaos & Vergos, Konstantinos, 2012, "Sovereign Bond Yield Spillovers in the Euro Zone During the Financial and Debt Crisis," MPRA Paper, University Library of Munich, Germany, number 43284, Dec.
• Rimgailaite, Ramune, 2012, "Exchange rate modelling for Lithuania and Switzerland," MPRA Paper, University Library of Munich, Germany, number 43451, Sep.
• Vespignani, Joaquin L., 2012, "The industrial impact of monetary shocks during the inflation targeting era in Australia," MPRA Paper, University Library of Munich, Germany, number 43686, Jun, revised 01 Jan 2013.
• Hasanov, Fakhri, 2012, "The impact of the real exchange rate on non-oil exports. Is there an asymmetric adjustment towards the equilibrium?," MPRA Paper, University Library of Munich, Germany, number 43728, May.
• Mirdala, Rajmund, 2012, "Interest Rates Determination and Crisis Puzzle (Empirical Evidence from the European Transition Economies)," MPRA Paper, University Library of Munich, Germany, number 43756, Dec.
• Slavescu, Ecaterina & Panait, Iulian, 2012, "Improving customer churn models as one of customer relationship management business solutions for the telecommunication industry," MPRA Paper, University Library of Munich, Germany, number 44250.
• Cerro, Ana Maria & Michel Rivero, Andrés, 2012, "Business cycles and crime. the case of Argentina," MPRA Paper, University Library of Munich, Germany, number 44515.
• Brunhart, Andreas, 2012, "Identification of Liechtenstein's Historic Economic Growth and Business Cycles by Econometric Extensions of Data Series," MPRA Paper, University Library of Munich, Germany, number 44628, Nov.
• Matkovskyy, Roman, 2012, "Прогнозування Реакції Економіки України На Економічні Шоки В Сусідніх Державах: Глобальна Векторна Авторегресійна Модель «Україна-Сусіди»
  [Forecasting the Responses of Ukraine to Economic Shocks in the Neighbour-Countries: Global Vector Autoregres," MPRA Paper, University Library of Munich, Germany, number 44717, Jan, revised Nov 2012.
• El Montasser, Ghassen, 2012, "The seasonal KPSS Test: some extensions and further results," MPRA Paper, University Library of Munich, Germany, number 45110, Jan, revised 04 Mar 2014.
• Komijani, Akbar & Gandali Alikhani, Nadiya & Naderi, Esmaeil, 2012, "The Long-run and Short-run Effects of Crude Oil Price on Methanol Market in Iran," MPRA Paper, University Library of Munich, Germany, number 45975, Oct.
• Saglio, Sophie & López-Villavicencio, Antonia, 2012, "Introducing price-setting behaviour in the Phillips Curve: the role of nonlinearities," MPRA Paper, University Library of Munich, Germany, number 46646, Dec.
• Doran, Justin & Fingleton, Bernard, 2012, "Economic shocks and growth: spatio-temporal perspectives on Europe's economies in a time of crisis," MPRA Paper, University Library of Munich, Germany, number 47292, Aug.
• Delavari, Majid & Gandali Alikhani, Nadiya & Naderi, Esmaeil, 2012, "The analyses of Crude Oil and Natural Gas Prices on Petrochemicals Products: A Case Study of IRAN's Methanol," MPRA Paper, University Library of Munich, Germany, number 48788, Feb.
• Delavari, Majid & Gandali Alikhani, Nadiya, 2012, "The Effect of Crude Oil Price on the Methanol price," MPRA Paper, University Library of Munich, Germany, number 49727, May.
• Ezzat, Hassan, 2012, "The Application of GARCH Methods in Modeling Volatility Using Sector Indices from the Egyptian Exchange," MPRA Paper, University Library of Munich, Germany, number 51584, Dec.
• Pop, Raluca Elena, 2012, "Herd behavior towards the market index: evidence from Romanian stock exchange," MPRA Paper, University Library of Munich, Germany, number 51595, Jun.
• Gurgul, Henryk & Lach, Łukasz, 2012, "The electricity consumption versus economic growth of the Polish economy," MPRA Paper, University Library of Munich, Germany, number 52233.
• Gurgul, Henryk & Lach, Łukasz, 2012, "The association between stock market and exchange rates for advanced and emerging markets – A case study of the Swiss and Polish economies," MPRA Paper, University Library of Munich, Germany, number 52238.
• Gurgul, Henryk & Lach, Łukasz, 2012, "Two deficits and economic growth: Case of CEE countries in transition," MPRA Paper, University Library of Munich, Germany, number 52257.
• Gurgul, Henryk & Lach, Łukasz, 2012, "Technological progress and economic growth: evidence from Poland," MPRA Paper, University Library of Munich, Germany, number 52279.
• Gurgul, Henryk & Lach, Łukasz, 2012, "Financial Development and Economic Growth in Poland in Transition: Causality Analysis," MPRA Paper, University Library of Munich, Germany, number 52303.
• Gurgul, Henryk & Lach, Łukasz & Mestel, Roland, 2012, "The relationship between budgetary expenditure and economic growth in Poland," MPRA Paper, University Library of Munich, Germany, number 52304.
• Das, Seshanwita & Das, Tapas, 2012, "A Time-series Analysis of Impact of FDI on Economic Development In India during Post-reforms Era (1991-2010)," MPRA Paper, University Library of Munich, Germany, number 53090, Oct.
• Malgarini, Marco, 2012, "Industrial production and Confidence after the crisis: what's going on?," MPRA Paper, University Library of Munich, Germany, number 53813.
• Zouabi, Oussama, 2012, "Changement climatique, agriculture et croissance économique :Une modélisation VAR
  [Climate Change, Agriculture and Economic Growth: A VAR modeling]," MPRA Paper, University Library of Munich, Germany, number 61072, revised 2014.
• Santeramo, Fabio Gaetano, 2012, "Price transmission in the European tomatoes and cauliflowers sectors," MPRA Paper, University Library of Munich, Germany, number 62180, Sep.
• Jaramillo Franco, Miguel & Serván Lozano, Sergio, 2012, "Modeling exchange rate dynamics in Peru: A cointegration approach using the UIP and PPP," MPRA Paper, University Library of Munich, Germany, number 70772, Apr.
• Bataa, Erdenebat, 2012, "Macroeconomic risks of Mongolia and ways to mitigate them," MPRA Paper, University Library of Munich, Germany, number 72386, Jun, revised 25 Jun 2013.
• Degiannakis, Stavros & Floros, Christos & Livada, Alexandra, 2012, "Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence," MPRA Paper, University Library of Munich, Germany, number 80463.
• Goodness C. Aye & Rangan Gupta, 2012, "Are the Effects of Monetary Policy Asymmetric in India? Evidence from a Nonlinear Vector Autoregression Approach," Working Papers, University of Pretoria, Department of Economics, number 201202, Jan.
• Rangan Gupta & Roula Inglesi-Lotz, 2012, "Macro Shocks and Real US Stock Prices with Special Focus on the "Great Recession"," Working Papers, University of Pretoria, Department of Economics, number 201208, Feb.
• Rangan Gupta & Monique Reid, 2012, "Macroeconomic Surprises and Stock Returns in South Africa," Working Papers, University of Pretoria, Department of Economics, number 201212, Apr.
• Rangan Gupta, 2012, "Forecasting House Prices for the Four Census Regions and the Aggregate US Economy: The Role of a Data-Rich Environment," Working Papers, University of Pretoria, Department of Economics, number 201214, Apr.
• Vittorio Peretti & Rangan Gupta & Roula Inglesi-Lotz, 2012, "Do House Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-Varying Vector Autoregressive Model," Working Papers, University of Pretoria, Department of Economics, number 201216, May.
• Beatrice D. Simo-Kengne & Mehmet Balcilar & Rangan Gupta & Monique Reid & Goodness C. Aye, 2012, "Is The Relationship Between Monetary Policy And House Prices Asymmetric In South Africa? Evidence From A Markov-Switching Vector Autoregressive Model," Working Papers, University of Pretoria, Department of Economics, number 201222, Jul.
• Goodness C. Aye & Rangan Gupta & Mampho P. Modise, 2012, "Do Stock Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-Varying Vector Autoregressive Model," Working Papers, University of Pretoria, Department of Economics, number 201224, Aug.
• Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2012, "The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US," Working Papers, University of Pretoria, Department of Economics, number 201226, Aug.
• Beatrice D. Simo-Kengne & Rangan Gupta & Goodness C. Aye, 2012, "House Prices And Balance Of Trade Dynamics In South Africa: Evidence From An Agnostic Identification Procedure," Working Papers, University of Pretoria, Department of Economics, number 201227, Aug.
• Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Charl Jooste & Stephen M. Miller & Zeynel A. Ozdemir, 2012, "Fiscal Policy Shocks and the Dynamics of Asset Prices: The South African Experience," Working Papers, University of Pretoria, Department of Economics, number 201228, Sep.
• Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012, "Was the Recent Downturn in US GDP Predictable?," Working Papers, University of Pretoria, Department of Economics, number 201230, Oct.
• António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2012, "Is There a Trade-off between Exchange Rate and Interest Rate Volatility? Evidence from an M-GARCH Model," International Journal of Economic Sciences, Prague University of Economics and Business, volume 2012, issue 1, pages 19-37.
• Krzysztof Osiewalski & Jacek Osiewalski, 2012, "Missing observations in daily returns - Bayesian inference within the MSF-SBEKK model," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 4, issue 3, pages 169-197, September.
• Michał Majsterek, 2012, "Cointegration Analysis in the Case of I(2) – General Overview," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 4, issue 4, pages 215-252, December.
• Justyna Wróblewska, 2012, "Bayesian Analysis of Weak Form Polynomial Reduced Rank Structures in VEC Models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 4, issue 4, pages 253-267, December.
• James G. MacKinnon & Morten Ø. Nielsen, 2010, "Numerical Distribution Functions Of Fractional Unit Root And Cointegration Tests," Working Paper, Economics Department, Queen's University, number 1240, Jul.
• H. Peter Boswijk & Michael Jansson & Morten Ø. Nielsen, 2012, "Improved Likelihood Ratio Tests For Cointegration Rank In The Var Model," Working Paper, Economics Department, Queen's University, number 1297, Aug.
• Kumudini R. Ganegodage & Alicia N. Rambaldi, 2012, "Economic Consequences of War: Evidence from Sri Lanka," Discussion Papers Series, School of Economics, University of Queensland, Australia, number 453.
• David Jacobs & Vanessa Rayner, 2012, "The Role of Credit Supply in the Australian Economy," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2012-02, May.
• Mariano Kulish & Adrian Pagan, 2012, "Estimation and Solution of Models with Expectations and Structural Changes," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2012-08, Dec.
• Winkelried, Diego, 2012, "Traspaso del tipo de cambio y metas de inflación en el Perú," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 23, pages 9-24.
• Winkelried, Diego & Gutiérrez, José, 2012, "Dinámica inflacionaria regional y el esquema de metas de inflación en el Perú," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 24, pages 79-98.
• Barrera, Carlos, 2012, "El ciclo común y los grupos homogéneos en la inflación," Working Papers, Banco Central de Reserva del Perú, number 2012-010, Apr.
• Winkelried, Diego & Saldarriaga, Miguel, 2012, "Trade linkages and growth in Latin America: A time-varying SVAR approach," Working Papers, Banco Central de Reserva del Perú, number 2012-011, Apr.
• Winkelried, Diego & Gutierrez, José Enrique, 2012, "Regional inflation dynamics and inflation targeting in Peru," Working Papers, Banco Central de Reserva del Perú, number 2012-018, Oct.
• Mendoza, Liu & Morales, Daniel, 2012, "Constructing a real-time coincident recession index: an application to the Peruvian economy," Working Papers, Banco Central de Reserva del Perú, number 2012-020, Nov.
• Marco Del Negro & Vasco Curdia, 2012, "Rare Shocks, Great Recessions," 2012 Meeting Papers, Society for Economic Dynamics, number 654.
• Nicolae Ghiba & Diana Sadoveanu, 2012, "Testing Purchasing Power Parity in Romania using standard unit root tests, with one structural break and cointegration analysis," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 15, issue 44, pages 225-242, June.
• Stylianou Tasos, 2012, "Does Government Debt Promote Economic Growth? An Empirical Analysis with Structural Breaks for the Economy of China," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 15, issue 45, pages 229-248, December.
• Narayan Sethi, 2012, "Inflows and their Macroeconomic Impact in India a VAR Analysis," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 15, issue 45, pages 93-142, December.
• Martin Burda & John M. Maheu, 2012, "Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models," Working Paper series, Rimini Centre for Economic Analysis, number 46_12, Jun.
• Mark J. Jensen & John M. Maheu, 2012, "Bayesian Semiparametric Multivariate GARCH Modeling," Working Paper series, Rimini Centre for Economic Analysis, number 48_12, Jun.
• Xin Jin & John M. Maheu, 2012, "Modelling Realized Covariances and Returns," Working Paper series, Rimini Centre for Economic Analysis, number 49_12, Jun.
• Chris Florakis & Gianluigi Giorgioni & Alexandros Kostakis & Costas Milas, 2012, "The Impact of Stock Market Illiquidity on Real UK GDP Growth," Working Paper series, Rimini Centre for Economic Analysis, number 65_12, Nov.
• Dimitris Korobilis, 2012, "Bayesian Forecasting with Highly Correlated Predictors," Working Paper series, Rimini Centre for Economic Analysis, number 67_12, Nov.
• Ruslan Grigoryev & Shabbar Jaffry & German Marchenko, 2012, "Investigation of the consequences of ignoring daily data non-synchronism in cross-market linkages: BRIC and developed countries," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 26, issue 2, pages 92-112.
• Ruslan Grigoryev & Shabbar Jaffry & German Marchenko, 2012, "The role of the timeline in Granger causality test in the presence of daily data non-synchronism," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 27, issue 3, pages 3-19.
• S. M. Woahid Murad, 2012, "Bilateral Export and Import Demand Functions of Bangladesh: A Cointegration Approach," Bangladesh Development Studies, Bangladesh Institute of Development Studies (BIDS), volume 35, issue 1, pages 43-60.
• Parvesh K. Chopra, 2012, "Country Matters: Country Risk Measurement by Causal Pathways - La valutazione del rischio paese attraverso percorsi causali," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 65, issue 2, pages 251-289.
• Christian Growitsch & Marcus Stronzik & Rabindra Nepal, 2012, "Price convergence and information efficiency in German natural gas markets," EWI Working Papers, Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI), number 2012-5, Mar.
• Ozan Bakis & Fatih Karanfil & Sezgin Polat, 2012, "Interactions between bank behavior and financial structure: evidence from a developing country," GIAM Working Papers, Galatasaray University Economic Research Center, number 12-1, Mar.
• Ozcan Ceylan, 2012, "Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model," GIAM Working Papers, Galatasaray University Economic Research Center, number 12-4, Sep.
• Guglielmo Maria Caporale & Nicola Spagnolo, 2012, "Stock Market Integration Between Three CEECs," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 27, pages 115-122.
• Wajih Khallouli & René Sandretto, 2012, "Testing for “Contagion” of the Subprime Crisis on the Middle East and North African Stock Markets: A Markov Switching EGARCH Approach," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 27, pages 134-166.
• Tirza J. Aguilar & Dennis Martin, 2012, "Perspectivas de inflación en Bolivia," Revista Latinoamericana de Desarrollo Economico, Carrera de Economía de la Universidad Católica Boliviana (UCB), issue 18, pages 33-64.
• Jonathan Fortun Vargas, 2012, "Monetary dynamics in post inflation Bolivia," Revista Latinoamericana de Desarrollo Economico, Carrera de Economía de la Universidad Católica Boliviana (UCB), issue 18, pages 65-104.
• Mario Gómez Aguirre & José Carlos Rodríguez, 2012, "Análsis de la Relación de Causalidad entre el Índice de Precios del Productor y del Consumidor en los Países Miembros del TLCAN," Revista Nicolaita de Estudios Económicos, Universidad Michoacana de San Nicolás de Hidalgo, Instituto de Investigaciones Económicas y Empresariales, volume 0, issue 1, pages 89-100.
• Michael Berlemann & Julia Freese & Sven Knoth, 2012, "Eyes Wide Shut? The U.S. House Market Bubble through the Lense of Statistical Process Control," Working Paper, Helmut Schmidt University, Hamburg, number 124/2012, Oct.
• Christoph P. Pfeiffer, 2012, "Causalities and casualties: Media attention and terrorism, 1970–2010," Working Paper, Helmut Schmidt University, Hamburg, number 127/2012, Nov.
• Matei, Marius, 2012, "Perspectives on risk measurement: a critical assessment of PC-GARCH against the main volatility forecasting models," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 95-115, March.
• Cifter, Atilla, 2012, "Volatility Forecasting with Asymmetric Normal Mixture Garch Model: Evidence from South Africa," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 127-142, June.
• Ansgar Belke & Ingo Bordon & Ulrich Volz, 2012, "Effects of Global Liquidity on Commodity and Food Prices," ROME Working Papers, ROME Network, number 201201.
• Francesco Giuli & Massimiliano Tancioni, 2012, "Prince-setting, monetary policy and the contractionary effects of productivity improvements," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0161, Jul.
• Gianluca Cubadda & Barbara Guardabascio & Alain Hecq, 2012, "A General to Specific Approach for Constructing Composite Business Cycle Indicators," CEIS Research Paper, Tor Vergata University, CEIS, number 224, Feb, revised 27 Feb 2012.
• Tupac Panigo, Demian & Chena, Pablo Ignacio, 2012, "Regulationist Macro-Models for Developing Countries. An Application to the Argentine New Development Pattern," Revue de la Régulation - Capitalisme, institutions, pouvoirs, Association Recherche et Régulation, volume 11.
• Betty Daniel & Christos Shiamptanis, 2012, "Pushing the Limit? Fiscal Policy in the European Monetary Union," Working Papers, Toronto Metropolitan University, Department of Economics, number 033, Jun.
• Heather Anderson & Howard Chan & Robert Faff & Yew Kee Ho, 2012, "Reported earnings and analyst forecasts as competing sources of information: A new approach," Australian Journal of Management, Australian School of Business, volume 37, issue 3, pages 333-359, December, DOI: 10.1177/0312896211434574.
• Biru Paksha Paul & Anupam Das, 2012, "Export-led Growth in India and the Role of Liberalisation," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, volume 6, issue 1, pages 1-26, February, DOI: 10.1177/097380101100600101.
• Swati Yadav & V. Upadhyay & Seema Sharma, 2012, "Impact of Fiscal Policy Shocks on the Indian Economy," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, volume 6, issue 4, pages 415-444, November, DOI: 10.1177/0973801012462171.
• P. K. Mishra, 2012, "The Dynamics of the Relationship between Imports and Economic Growth in India," South Asian Journal of Macroeconomics and Public Finance, , volume 1, issue 1, pages 57-79, June, DOI: 10.1177/227797871200100105.
• Mohammad Monjurul Hoque & Zulkornain Yusop, 2012, "Impacts of Trade Liberalization on Export Performance in Bangladesh: An Empirical Investigation," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, volume 13, issue 2, pages 207-239, September, DOI: 10.1177/1391561412457235.
• Alexander Chubrik & Przemyslaw Wozniak & Gulnar Hajiyeva, 2012, "Two Exercises of Inflation Modelling and Forecasting for Azerbaijan," CASE Network Studies and Analyses, CASE-Center for Social and Economic Research, number 435.
• Franz Seitz & Julian von Landesberger, 2012, "Household Money Demand: The Euro Area Case," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 148, issue III, pages 409-438, September.
• Bertille Antoine & Eric Renault, 2012, "Efficient Minimum Distance Estimation with Multiple Rates of Convergence," Discussion Papers, Department of Economics, Simon Fraser University, number dp12-03, Mar.
• Bertille Antoine & Eric Renault, 2012, "Efficient Inference with Poor Instruments: a General Framework," Discussion Papers, Department of Economics, Simon Fraser University, number dp12-04, Mar.
• Bertille Antoine & Eric Renault, 2012, "Testing Identification Strength," Discussion Papers, Department of Economics, Simon Fraser University, number dp12-17, Sep, revised Jan 2017.
• Danuta Rozpędowska-Matraszek, 2012, "Panelowy model SSANOVA wykorzystany do oceny wpływu efektów zróżnicowania sektorowego i regionalnego na prowadzoną restrukturyzację zatrudnienia w opiece zdrowotnej w Polsce w latach 1999-2009," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 27, pages 87-100.
• Diana Sadoveanu & Nicolae Ghiba, 2012, "Purchasing Power Parity: Evidence From Four Cee Countries," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, volume 4, issue 1 (March), pages 80-89.
• Juan Carlos Cuestas, 2012, "A Note on the Current Account Sustainability of European Transition Economies," Working Papers, The University of Sheffield, Department of Economics, number 2012011.
• Juan Carlos Cuestas & Javier Ordóñez, 2012, "Smooth Transitions, Asymmetric Adjustment and Unit Roots," Working Papers, The University of Sheffield, Department of Economics, number 2012012.
• Juan Carlos Cuestas & Mercedes Monfort & Javier Ordóñez, 2012, "Real Convergence in Europe: A Cluster Analysis," Working Papers, The University of Sheffield, Department of Economics, number 2012023.
• Andras Fulop & Junye Li & Jun Yu, 2012, "Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility," Working Papers, Singapore Management University, School of Economics, number 03-2012, Jan.
• Rodrigo De-Losso, 2012, "Did The Taylor Rule Stabilize Inflation in Brazil?," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2012_21, Sep.
• Rodrigo De-Losso, 2012, "Questioning The Taylor Rule," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2012_22, Sep.

2011

• Cristina Amado & Timo Teräsvirta, 2011, "Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations," NIPE Working Papers, NIPE - Universidade do Minho, number 15/2011.
• Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2011, "Forecasting Nevada Gross Gaming Revenue and Taxable Sales Using Coincident and Leading Employment Indexes," Working Papers, University of Nevada, Las Vegas , Department of Economics, number 1103, Mar.
• Nicholas Apergis & Christina Christou & Stephen M. Miller, 2011, "Country and Industry Convergence of Equity Markets: International Evidence from Club Convergence and Clustering," Working Papers, University of Nevada, Las Vegas , Department of Economics, number 1105, Mar.
• Rangan Gupta & Alain Kabundi & Stephen M. Miller & Josine Uwilingiye, 2011, "Using Large Data Sets to Forecast Sectoral Employment," Working Papers, University of Nevada, Las Vegas , Department of Economics, number 1106, Mar.
• Flaviane Souza Santiago & Rogério Silva de Mattos & Fernando Salgueiro Perobelli, 2011, "Um modelo integrado econométrico+insumo-produto para previsão de longo prazo da demanda de combustíveis no Brasil [An integrated econometric+input-output model for long term forecast of fuel demand in," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), volume 21, issue 3, pages 423-455, September.
• Bhattacharya, Rudrani & Pandey, Radhika & Veronese, Giovanni, 2011, "Tracking India Growth in Real Time," Working Papers, National Institute of Public Finance and Policy, number 11/90, Jul.
• Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2011, "Multivariate High-Frequency-Based Volatility (HEAVY) Models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2011-W01, Feb.
• Luis Alberiko Gil-Alaña & Juan C. Cuestas & Estefania Mourelle, 2011, "Is there asymmetric behaviour in African inflation? A non-linear approach," NCID Working Papers, Navarra Center for International Development, University of Navarra, number 03/2011, Apr.
• Emmanuel De Veirman & Ashley Dunstan, 2011, "Time-varying returns, intertemporal substitution and cyclical variation in consumption," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2011/05, Aug.
• Luiz de Mello & Pier Carlo Padoan & Linda Rousová, 2011, "The Growth Effects of Current Account Reversals: The Role of Macroeconomic Policies," OECD Economics Department Working Papers, OECD Publishing, number 871, May, DOI: 10.1787/5kgb1mftj6s3-en.
• Stéphanie Guichard & Elena Rusticelli, 2011, "Reassessing the NAIRUs after the Crisis," OECD Economics Department Working Papers, OECD Publishing, number 918, Dec, DOI: 10.1787/5kg0kp712f6l-en.
• Christiaan Heij & Dick van Dijk & Patrick J.F. Groenen, 2011, "Forecasting with Leading Indicators by means of the Principal Covariate Index," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, volume 2011, issue 1, pages 73-92, DOI: 10.1787/jbcma-2011-5kgdwlpzs79v.
• Jarko Fidrmuc & Reiner Martin, 2011, "FDI, Trade and Growth in CESEE Countries," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 70-89.
• Konstantins Benkovskis & Andrejs Bessonovs & Martin Feldkircher & Julia Wörz, 2011, "The Transmission of Euro Area Monetary Shocks to the Czech Republic, Poland and Hungary: Evidence from a FAVAR Model," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 3, pages 8-36.
• Mester Ioana Teodora & Simut Ramona Marinela, 2011, "An Investigation Of Longrun Relationship Between Economic Growth, Investment And Export In Romania," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 316-321, July.
• Katarína Danišková & Jarko Fidrmuc, 2011, "Inflation Convergence and the New Keynesian, Phillips Curve in the Czech Republic," Working Papers, Leibniz Institut für Ost- und Südosteuropaforschung (Leibniz Institute for East and Southeast European Studies), number 292, Jan.
• Philipp Matros & Enzo Weber, 2011, "Non-Stationary Interest Rate Differentials and the Role of Monetary Policy," Working Papers, Leibniz Institut für Ost- und Südosteuropaforschung (Leibniz Institute for East and Southeast European Studies), number 293, Jan.
• Numan Ülkü & Enzo Weber, 2011, "Bigger Fish in Small Pond : The Interaction between Foreigners' Trading and Emerging Stock Market Returns under the Microscope," Working Papers, Leibniz Institut für Ost- und Südosteuropaforschung (Leibniz Institute for East and Southeast European Studies), number 294, Jan.
• Fabio Canova & Evi Pappa, 2011, "Fiscal policy, pricing frictions and monetary accommodation
  [Expansionary fiscal consolidations in Europe: New evidence]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, volume 26, issue 68, pages 555-598.
• Teresa Serra & David Zilberman & José Gil, 2011, "Price volatility in ethanol markets," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, volume 38, issue 2, pages 259-280, June.
• Germán Coloma, 2011, "Market Delineation And Merger Simulation: A Proposed Methodology With An Application To The Argentine Biscuit Market," Journal of Competition Law and Economics, Oxford University Press, volume 7, issue 1, pages 113-131.
• Ruijun Bu & Ludovic Giet & Kaddour Hadri & Michel Lubrano, 2011, "Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations," Journal of Financial Econometrics, Oxford University Press, volume 9, issue 1, pages 198-236, Winter.
• Maria Elvira Mancino & Simona Sanfelici, 2011, "Estimating Covariance via Fourier Method in the Presence of Asynchronous Trading and Microstructure Noise," Journal of Financial Econometrics, Oxford University Press, volume 9, issue 2, pages 367-408, Spring.
• Ghiba Nicolae, 2011, "The Relationship Between Productivity and Relative Prices in Romania (Balassa-Samuelson Internal Mechanism)," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 819-823, May.
• Popescu Iulian, 2011, "The Impact of International Financial Crisis on Bank Lending to Households. A VAR Approach," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 2, pages 1088-1094, May.
• Stoica Tiberiu, 2011, "Estimating Potential Output in Romania using a Structural VAR," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 2, pages 1203-1207, May.
• Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2011, "Multivariate High-Frequency-Based Volatility (HEAVY) Models," Economics Series Working Papers, University of Oxford, Department of Economics, number 533, Feb.
• Gian Piero Aielli & Massimiliano Caporin, 2011, "Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0133, May.
• Gian Piero Aielli, 2011, "Dynamic Conditional Correlation: On properties and estimation," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0142, Nov.
• Guillermo Lavanda & Gabriel Rodríguez, 2011, "Descomposición histórica de la inflación en Perú. Distinguiendo entre choques de demanda y choques de oferta," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, volume 34, issue 67, pages 126-162.
• Alberto Humala & Gabriel Rodríguez, 2011, "A Factorial Decomposition Of Inflation In Peru, An Alternative Measure Of Core Inflation," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2011-315.
• Alberto Humala & Gabriel Rodríguez, 2011, "Estimation Of A Time Varying Natural Interest Rate For Peru," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2011-316.
• Guivanna Aguilar, 2011, "Microcrédito Y Crecimiento Regional En El Perú," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2011-317.
• Massimo De Felice & Franco Moriconi, 2011, "Un’estensione stocastica del modello "Fisher-Lange"," Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia, number 86/2011, Mar.
• Akhand Akhtar Hossain, 2011, "The Foreign-Income and Real-Exchange-Rate Elasticities of Bangladesh Exports," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 50, issue 2, pages 119-144.
• Tahir Mukhtar & Aliya H. Khan, 2011, "The Current Account Dynamics in Pakistan: An Intertemporal Optimisation Perspective," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 50, issue 4, pages 401-421.
• Luís Aguiar-Conraria & Manuel M. F. Martins & Maria Joana Soares, 2011, "Synchronization of Economic Sentiment Cycles in the Euro Area: a time-frequency analysis," CEF.UP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 1005, Oct.
• Luís Aguiar-Conraria & Manuel M. F. Martins & Maria Joana Soares, 2011, "Synchronization of Economic Sentiment Cycles in the Euro Area: a time-frequency analysis," CEF.UP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 1105, Oct.