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

2012

• Lundgren, Jens, 2012, "Market Liberalization and Market Integration - Essays on the Nordic Electricity Market," Umeå Economic Studies, Umeå University, Department of Economics, number 852, Nov.
• Nakajima, Jouchi & Watanabe, Toshiaki, 2012, "Time-Varying Vector Autoregressive Modei-A Survey with the Application to the Japanese Macroeconomic Data-," Economic Review, Hitotsubashi University, volume 63, issue 3, pages 193-208, July, DOI: 10.15057/25864.
• 外木, 暁幸 & Tonogi, Akiyuki, 2012, "大規模posデータの実証分析とフィリップス曲線への含意," Research Center for Price Dynamics Working Paper Series, Research Center for Price Dynamics, Institute of Economic Research, Hitotsubashi University, number 6, Jun.
• Jouchi Nakajima & Toshiaki Watanabe, 2012, "Time-Varying Vector Autoregressive Model - A Survey with the Application to the Japanese Macroeconomic Data -," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd12-232, Apr.
• Max Meulemann & Martin Uebele & Bernd Wilfling, 2012, "The Restoration of the Gold Standard after the US Civil War: A Volatility Analysis," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd12-251, Nov.
• Andras Fulop & Junye Li & Jun Yu, 2012, "Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd12-264, Dec.
• Klinger, Sabine & Weber, Enzo, 2012, "Decomposing Beveridge curve dynamics by correlated unobserved components," IAB-Discussion Paper, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany], number 201228.
• Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Yongcheol Shin, 2012, "International Linkages of the Korean Economy: The Global Vector Error-Correcting Macroeconometric Modelling Approach," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2012n18, Aug.
• Yen-Hsien Lee & Ya-Ling Huang & Hao-Jang Yang, 2012, "The Asymmetric Long-Run Relationship Between Crude Oil And Gold Futures," Global Journal of Business Research, The Institute for Business and Finance Research, volume 6, issue 1, pages 9-15.
• Cesa-Bianchi, Ambrogio, 2012, "Housing Cycles and Macroeconomic Fluctuations: A Global Perspective," IDB Publications (Working Papers), Inter-American Development Bank, number 4085, Oct, DOI: http://dx.doi.org/10.18235/0011417.
• Ambrogio Cesa-Bianchi, 2012, "Housing Cycles and Macroeconomic Fluctuations: A Global Perspective," Research Department Publications, Inter-American Development Bank, Research Department, number 4810, Oct.
• Fève, Patrick & Jidoud, Ahmat, 2012, "Identifying News Shocks from SVARs," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 706, Mar.
• Fève, Patrick & Jidoud, Ahmat, 2012, "News Shocks, Information Flows and SVARs," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 705, Mar.
• Fève, Patrick & Matheron, Julien & Sahuc, Jean-Guillaume, 2012, "A Pitfall with DSGE-Based, Estimated, Government Spending Multipliers," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 708, Apr.
• Chaudourne, Jeremy & Fève, Patrick & Guay, Alain, 2012, "Understanding the Effect of Technology Shocks in SVARs with Long-Run Restrictions," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 738, Aug.
• Joachim Wilde, 2012, "Effects of simultaneity on testing Granger-causality – a cautionary note about statistical problems and economic misinterpretations," IEER Working Papers, Institute of Empirical Economic Research, Osnabrueck University, number 93, Oct.
• Sergio V. Barone & Ricardo Descalzi & Alberto M. Díaz Cafferata, 2012, "Trade variables and Current Account “reversals”: Does the choice of definition matter? An application to Latin American countries," Revista de Economía y Estadística, Universidad Nacional de Córdoba, Facultad de Ciencias Económicas, Instituto de Economía y Finanzas, volume 50, issue 1, pages 123-141, Diciembre, DOI: 10.55444/2451.7321.2012.v50.n1.1025.
• Juan Benítez & Gabriela Mordecki, 2012, "Fundamentals of Equilibrium Real Exchange Rate," Revista de Economía y Estadística, Universidad Nacional de Córdoba, Facultad de Ciencias Económicas, Instituto de Economía y Finanzas, volume 50, issue 1, pages 59-92, Diciembre, DOI: 10.55444/2451.7321.2012.v50.n1.1025.
• María Sylvina Porras & Eliana Melognio, 2012, "Elasticidad de la demanda de trabajo en Uruguay," Revista de Economía y Estadística, Universidad Nacional de Córdoba, Facultad de Ciencias Económicas, Instituto de Economía y Finanzas, volume 50, issue 1, pages 93-121, Diciembre, DOI: 10.55444/2451.7321.2012.v50.n1.1025.
• Alain Durré & Philippe Ledent, 2012, "The Two-tier foreign exchange market and the conduct of monetary policy: The Belgian case during Bretton-Woods era," Working Papers, IESEG School of Management, number 2012-ECO-10, Jun.
• Xiaohong Chen & . . & Yixiao Sun, 2012, "Sieve inference on semi-nonparametric time series models," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP06/12, Feb.
• Xiaohong Chen & Jinyong Hahn, 2012, "Asymptotic efficiency of semiparametric two-step GMM," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP31/12, Oct.
• Costantini, Mauro & Gunter, Ulrich & Kunst, Robert M., 2012, "Forecast Combination Based on Multiple Encompassing Tests in a Macroeconomic DSGE-VAR System," Economics Series, Institute for Advanced Studies, number 292, Oct.
• Salih BARIŞIK & Rüştü YAYAR, 2012, "Sanayi üretim endeksini etkileyen faktörlerin ekonometrik analizi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 27, issue 316, pages 53-70.
• Hakan KARA & Fethi ÖĞÜNÇ, 2012, "Döviz kuru ve ithalat fiyatlarının yurt içi fiyatlara etkisi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 27, issue 317, pages 09-28.
• Levent KORAP & Metin YILDIRIM, 2012, "Testing the Lucas Critique for the Turkish Money Demand Function," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 27, issue 318, pages 57-82.
• Gianluigi Ferrucci & Rebeca Jiménez-Rodríguez & Luca Onorantea, 2012, "Food Price Pass-Through in the Euro Area: Non-Linearities and the Role of the Common Agricultural Policy," International Journal of Central Banking, International Journal of Central Banking, volume 8, issue 1, pages 179-218, March.
• Carlos Garcia & Andrés Sagner, 2012, "Exceso de Toma de Riesgo Crediticio en Chile," ILADES-UAH Working Papers, Universidad Alberto Hurtado/School of Economics and Business, number inv280, Mar.
• Mr. Fei Han & Mr. Selim A Elekdag, 2012, "What Drives Credit Growth in Emerging Asia?," IMF Working Papers, International Monetary Fund, number 2012/043, Feb.
• Fuad Hasanov & Reda Cherif, 2012, "Public Debt Dynamics: The Effects of Austerity, Inflation, and Growth Shocks," IMF Working Papers, International Monetary Fund, number 2012/230, Sep.
• Mr. Paul Cashin & Mr. Kamiar Mohaddes & Mr. Mehdi Raissi & Maziar Raissi, 2012, "The Differential Effects of Oil Demand and Supply Shocks on the Global Economy," IMF Working Papers, International Monetary Fund, number 2012/253, Oct.
• Mr. Paul Cashin & Mr. Kamiar Mohaddes & Mr. Mehdi Raissi, 2012, "The Global Impact of the Systemic Economies and MENA Business Cycles," IMF Working Papers, International Monetary Fund, number 2012/255, Oct.
• Ignacio Perrotini Hernández & Domingo Rodríguez Benavides, 2012, "Inflación, Incertidumbre Inflacionaria y Crecimiento Económico en México: 1929-2009," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 7, issue 1, pages 1-26, Enero-Jun.
• Ashima Goyal & Shruti Tripathi, 2012, "Regulations and price discovery: oil spot and futures markets," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2012-016, Mar.
• Rodrigo Cajamarca & Hermann Mena, 2012, "Modelación de series económicas mediante métodos automáticos de regresión difusa," Analítika, Analítika - Revista de Análisis Estadístico/Journal of Statistical Analysis, volume 3, issue 1, pages 23-42, Junio.
• Juan Carlos Escanciano & Pei Pei, 2012, "Pitfalls in Backtesting Historical Simulation VaR Models," CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, number 2012-003, Feb.
• Villalba-Padilla, Fátima Irina & Flores-Ortega, Miguel, 2012, "Capacidad de predicción de los modelos GARCH simétricos aplicados a variables financieras de México 2001-2011," eseconomía, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 0, issue 34, pages 81-124, segundo t.
• Alcántara-Lizárraga, José Ángel. & de la Cruz-Gallegos, José Luis., 2012, "Un acercamiento empírico al financiamiento del desarrollo : el caso mexicano," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 0, issue 15, pages 77-100, segundo s.
• Matteo Fragetta & Emanuel Gasteiger, 2012, "Fiscal Foresight, Limited Information and the Effects of Government Spending Shocks," Working Papers Series 2, ISCTE-IUL, Business Research Unit (BRU-IUL), number 12-02, Jun.
• António Afonso & João Tovar Jalles, 2012, "Revisiting fiscal sustainability: panel cointegration and structural breaks in OECD countries," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2012/29, Sep.
• Matteo Luciani & Libero Monteforte, 2012, "Uncertainty and Heterogeneity in factor models forecasting," Working Papers, Department of the Treasury, Ministry of the Economy and of Finance, number 16, May.
• Raffaella Basile & Bruno Chiarini & Elisabetta Marzano, 2012, "Can we rely upon fiscal policy estimates in countries with unreported production of 15 per cent (or more) of GDP?," Working Papers, Department of the Treasury, Ministry of the Economy and of Finance, number 1, Mar.
• Raffaella Basile & Bruno Chiarini & Elisabetta Marzano, 2012, "Can we rely upon fiscal policy estimates in countries with unreported production of 15 per cent (or more) of GDP?," Working Papers, Department of the Treasury, Ministry of the Economy and of Finance, number 12, Mar.
• Matteo Luciani & Libero Monteforte, 2012, "Uncertainty and Heterogeneity in factor models forecasting," Working Papers, Department of the Treasury, Ministry of the Economy and of Finance, number 5, May.
• M. Angeles Carnero Fernández & M. Hakan Eratalay, 2012, "Estimating VAR-MGARCH models in multiple steps," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2012-10, Mar.
• Bailey, Natalia & Kapetanios, George & Pesaran, M. Hashem, 2012, "Exponent of Cross-sectional Dependence: Estimation and Inference," IZA Discussion Papers, IZA Network @ LISER, number 6318, Jan.
• Esfahani, Hadi Salehi & Mohaddes, Kamiar & Pesaran, M. Hashem, 2012, "An Empirical Growth Model for Major Oil Exporters," IZA Discussion Papers, IZA Network @ LISER, number 6468, Apr.
• Jahn, Elke J. & Weber, Enzo, 2012, "Identifying the Substitution Effect of Temporary Agency Employment," IZA Discussion Papers, IZA Network @ LISER, number 6471, Apr.
• Juessen, Falko & Linnemann, Ludger, 2012, "Identifying Regional Labor Demand Shocks Using Sign Restrictions," IZA Discussion Papers, IZA Network @ LISER, number 6767, Jul.
• Nurul Bariyah & Evan Lau & Shazali Abu Mansor, 2012, "Long Run Sustainability of Sarawak - West Kalimantan Cross-Border Trade Flows," Journal of Developing Areas, Tennessee State University, College of Business, volume 46, issue 1, pages 165-181, January-J.
• Susan M. Onuonga, 2012, "The Relationship Between Commercial Energy Consumption and Gross Domestic Income in Kenya," Journal of Developing Areas, Tennessee State University, College of Business, volume 46, issue 1, pages 305-314, January-J.
• Shaista Alam, 2012, "A Reassessment of Pakistan's Aggregate Import Demand Function: An Application of Ardl Approach," Journal of Developing Areas, Tennessee State University, College of Business, volume 46, issue 1, pages 371-388, January-J.
• Kuan-Min Wang & Yuan-Ming Lee & Chien-Chiang Lee, 2012, "Do Asymmetric Causal Relationships Exist between Macroeconomic Variables and Housing Returns in Taiwan?," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, volume 8, issue 1, pages 25-57, January.
• Shyh-Wei Chen & Cheng-Hong Chang, 2012, "Fiscal Sustainability in European Countries: A Preliminary Analysis," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, volume 8, issue 2, pages 191-220, July.
• Alfredo M. Pereira & Jorge M. Andraz, 2012, "On The Economic Effects Of Investment In Railroad Infrastructures In Portugal," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, volume 37, issue 2, pages 79-107, June.
• Oana Ancuta Stangaciu, 2012, "The Mobility Of The Processes Of Regional Intra-Industry Specialization In Romania," CES Working Papers, Centre for European Studies, Alexandru Ioan Cuza University, volume 4, issue 2, pages 241-255, June.
• Iulian Popescu, 2012, "Effects Of Monetary Policy In Romania - A Var Approach," CES Working Papers, Centre for European Studies, Alexandru Ioan Cuza University, volume 4, issue 3a, pages 605-624, September.
• Vujić Sunčica & Koopman Siem Jan & Commandeur J.F., 2012, "Economic Trends and Cycles in Crime: A Study for England and Wales," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 232, issue 6, pages 652-677, December, DOI: 10.1515/jbnst-2012-0607.
• John W. Keating, 2012, "Interpreting Permanent Shocks to Output When Aggregate Demand May Not be Neutral in the Long Run," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 201205, Feb.
• William Barnett & Yijun He, 2012, "Center Manifold, Stability, and Bifurcations in Continuous Time Macroeconometric Systems," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 201227, Sep, revised Sep 2012.
• William Barnett & Yijun He, 2012, "Stabilization Policy as Bifurcation Selection: Would Keynesian Policy Work if the World Really Were Keynesian?," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 201228, Sep, revised Sep 2012.
• Yue Peng & Wing Ng, 2012, "Analysing financial contagion and asymmetric market dependence with volatility indices via copulas," Annals of Finance, Springer, volume 8, issue 1, pages 49-74, February, DOI: 10.1007/s10436-011-0181-y.
• José Figueroa-López, 2012, "Statistical estimation of Lévy-type stochastic volatility models," Annals of Finance, Springer, volume 8, issue 2, pages 309-335, May, DOI: 10.1007/s10436-010-0150-x.
• Göran Kauermann & Timo Teuber & Peter Flaschel, 2012, "Exploring US Business Cycles with Bivariate Loops Using Penalized Spline Regression," Computational Economics, Springer;Society for Computational Economics, volume 39, issue 4, pages 409-427, April, DOI: 10.1007/s10614-011-9262-2.
• Michał Majsterek & Aleksander Welfe, 2012, "Price-wage nexus and the role of a tax system," Economic Change and Restructuring, Springer, volume 45, issue 1, pages 121-133, February, DOI: 10.1007/s10644-011-9112-1.
• Loesse Esso, 2012, "Re-examining the saving-investment nexus: threshold cointegration and causality evidence from the ECOWAS," Economic Change and Restructuring, Springer, volume 45, issue 3, pages 193-220, August, DOI: 10.1007/s10644-011-9115-y.
• Christian Aßmann & Jens Boysen-Hogrefe, 2012, "Determinants of government bond spreads in the euro area: in good times as in bad," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 39, issue 3, pages 341-356, August, DOI: 10.1007/s10663-011-9171-6.
• Neil Ericsson & Erica Reisman, 2012, "Evaluating a Global Vector Autoregression for Forecasting," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 18, issue 3, pages 247-258, August, DOI: 10.1007/s11294-012-9357-0.
• José Kimou, 2012, "Economic conditions, enforcement, and criminal activities in the district of Abidjan," International Tax and Public Finance, Springer;International Institute of Public Finance, volume 19, issue 6, pages 913-941, December, DOI: 10.1007/s10797-010-9145-9.
• Rangan Gupta & Stephen Miller, 2012, "The Time-Series Properties of House Prices: A Case Study of the Southern California Market," The Journal of Real Estate Finance and Economics, Springer, volume 44, issue 3, pages 339-361, April, DOI: 10.1007/s11146-010-9234-7.
• Jian Yang & Yinggang Zhou & Wai Leung, 2012, "Asymmetric Correlation and Volatility Dynamics among Stock, Bond, and Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, volume 45, issue 2, pages 491-521, August, DOI: 10.1007/s11146-010-9265-0.
• Gonzalo Fernández-de-Córdoba & Javier Pérez & José Torres, 2012, "Public and private sector wages interactions in a general equilibrium model," Public Choice, Springer, volume 150, issue 1, pages 309-326, January, DOI: 10.1007/s11127-010-9705-7.
• Roland Füss & Denis Schweizer, 2012, "Short and long-term interactions between venture capital returns and the macroeconomy: evidence for the United States," Review of Quantitative Finance and Accounting, Springer, volume 38, issue 3, pages 391-410, April, DOI: 10.1007/s11156-011-0233-4.
• Zlatina Balabanova & Ralf Brüggemann, 2012, "External Information and Monetary Policy Transmission in New EU Member States: Results from FAVAR Models," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2012-05, Mar.
• Roxana Halbleib & Valeri Voev, 2012, "Forecasting Covariance Matrices: A Mixed Frequency Approach," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2012-30, Oct.
• Cem Cakmakli & Richard Paap & Dick van Dijk, 2012, "Measuring and Predicting Heterogeneous Recessions," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1206, Feb.
• Sumru Altug & Fabio Canova, 2012, "Do Institutions and Culture Matter for Business Cycles?," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1217, Jun.
• Pellényi, Gábor, 2012, "A monetáris politika hatása a magyar gazdaságra. Elemzés strukturális, dinamikus faktormodellel
  [The sectoral effects of monetary policy in Hungary: a structural factor]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 3, pages 263-284.
• Katarina Juselius, 2012, "Haavelmo's Probability Approach and the Cointegrated VAR," Discussion Papers, University of Copenhagen. Department of Economics, number 12-01, Mar.
• Anders Rahbek & Heino Bohn Nielsen, 2012, "Unit root vector autoregression with volatility induced stationarity," Discussion Papers, University of Copenhagen. Department of Economics, number 12-02, Jun.
• Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2012, "Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models," Discussion Papers, University of Copenhagen. Department of Economics, number 12-11, Aug.
• Rasmus Søndergaard Pedersen & Anders Rahbek, 2012, "Multivariate Variance Targeting in the BEKK-GARCH Model," Discussion Papers, University of Copenhagen. Department of Economics, number 12-23, Nov.
• Michael McAleer & Manabu Asai & Massimiliano Caporin, 2012, "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," KIER Working Papers, Kyoto University, Institute of Economic Research, number 812, Apr.
• Michael McAleer & Massimiliano Caporin, 2012, "Robust Ranking of Multivariate GARCH Models by Problem Dimension," KIER Working Papers, Kyoto University, Institute of Economic Research, number 815, Apr.
• David E Allen & Michael McAleer & Robert J Powell & Abhay Kumar Singh, 2012, "Volatility spillovers from the US to Australia and China across the GFC," KIER Working Papers, Kyoto University, Institute of Economic Research, number 838, Dec.
• Ricardo Bebczuk & Maria Lorena Garegnani, 2012, "Real State as Housing and as Financial Investment: A First Assessment for Argentina," Department of Economics, Working Papers, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, number 095, Nov.
• Werner Kristjanpoller & Víctor Caballero, 2012, "Volume and Skewness Analysis in the Major Latin American Stock Markets," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 76, pages 119-141, DOI: 10.17533/udea.le.n76a12813.
• Nicholas Apergis & Emmanuel Mamatzakis, 2012, "What Are the Driving Factors behind the Rise of Spreads and CDSs of Euro-area Sovereign Bonds? A FAVAR Model for Greece and Ireland," Economics Working Paper Archive, Levy Economics Institute, number wp_720, May.
• Lekha S. Chakraborty, 2012, "Interest Rate Determination in India: Empirical Evidence on Fiscal Deficit--Interest Rate Linkages and Financial Crowding Out," Economics Working Paper Archive, Levy Economics Institute, number wp_744, Dec.
• Jian Wu & Zhengjun Zhang & Yong Zhao, 2012, "Study of the Tail Dependence Structure in Global Financial Markets Using Extreme Value Theory," Journal of Reviews on Global Economics, Lifescience Global, volume 1, pages 62-81.
• Ginters Buss, 2012, "A New Real-Time Indicator for the Euro Area GDP," Working Papers, Latvijas Banka, number 2012/02, Jul.
• Ginters Buss, 2012, "Forecasting and Signal Extraction with Regularised Multivariate Direct Filter Approach," Working Papers, Latvijas Banka, number 2012/06, Dec.
• Michele Berardi & Jaqueson K. Galimberti, 2012, "A note on exact correspondences between adaptive learning algorithms and the Kalman filter," Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester, number 170.
• Otilia Boldea & Alastair R. Hall, 2012, "Estimation and Inference in Unstable Nonlinear Least Squares Models," Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester, number 174.
• Gurgul, Henryk & Lach, Łukasz, 2012, "The electricity consumption versus economic growth of the Polish economy," Energy Economics, Elsevier, volume 34, issue 2, pages 500-510, DOI: 10.1016/j.eneco.2011.10.017.
• Rahman, Sajjadur & Serletis, Apostolos, 2012, "Oil price uncertainty and the Canadian economy: Evidence from a VARMA, GARCH-in-Mean, asymmetric BEKK model," Energy Economics, Elsevier, volume 34, issue 2, pages 603-610, DOI: 10.1016/j.eneco.2011.08.014.
• Hou, Aijun & Suardi, Sandy, 2012, "A nonparametric GARCH model of crude oil price return volatility," Energy Economics, Elsevier, volume 34, issue 2, pages 618-626, DOI: 10.1016/j.eneco.2011.08.004.
• Boutabba, Mohamed Amine & Beaumais, Olivier & Lardic, Sandrine, 2012, "Permit price dynamics in the U.S. SO2 trading program: A cointegration approach," Energy Economics, Elsevier, volume 34, issue 3, pages 714-722, DOI: 10.1016/j.eneco.2011.04.004.
• Salim, Ruhul A. & Rafiq, Shuddhasattwa, 2012, "Why do some emerging economies proactively accelerate the adoption of renewable energy?," Energy Economics, Elsevier, volume 34, issue 4, pages 1051-1057, DOI: 10.1016/j.eneco.2011.08.015.
• Aggarwal, Raj & Akhigbe, Aigbe & Mohanty, Sunil K., 2012, "Oil price shocks and transportation firm asset prices," Energy Economics, Elsevier, volume 34, issue 5, pages 1370-1379, DOI: 10.1016/j.eneco.2012.05.001.
• Caporin, Massimiliano & Preś, Juliusz & Torro, Hipolit, 2012, "Model based Monte Carlo pricing of energy and temperature Quanto options," Energy Economics, Elsevier, volume 34, issue 5, pages 1700-1712, DOI: 10.1016/j.eneco.2012.02.008.
• Chevallier, Julien & Sévi, Benoît, 2012, "On the volatility–volume relationship in energy futures markets using intraday data," Energy Economics, Elsevier, volume 34, issue 6, pages 1896-1909, DOI: 10.1016/j.eneco.2012.08.024.
• Qiu, Cheng & Colson, Gregory & Escalante, Cesar & Wetzstein, Michael, 2012, "Considering macroeconomic indicators in the food before fuel nexus," Energy Economics, Elsevier, volume 34, issue 6, pages 2021-2028, DOI: 10.1016/j.eneco.2012.08.018.
• Furió, Dolores & Chuliá, Helena, 2012, "Price and volatility dynamics between electricity and fuel costs: Some evidence for Spain," Energy Economics, Elsevier, volume 34, issue 6, pages 2058-2065, DOI: 10.1016/j.eneco.2012.02.014.
• Jin, Xiaoye & Xiaowen Lin, Sharon & Tamvakis, Michael, 2012, "Volatility transmission and volatility impulse response functions in crude oil markets," Energy Economics, Elsevier, volume 34, issue 6, pages 2125-2134, DOI: 10.1016/j.eneco.2012.03.003.
• Wang, Yudong & Wu, Chongfeng, 2012, "Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models?," Energy Economics, Elsevier, volume 34, issue 6, pages 2167-2181, DOI: 10.1016/j.eneco.2012.03.010.
• Shahiduzzaman, Md & Alam, Khorshed, 2012, "Cointegration and causal relationships between energy consumption and output: Assessing the evidence from Australia," Energy Economics, Elsevier, volume 34, issue 6, pages 2182-2188, DOI: 10.1016/j.eneco.2012.03.006.
• Gianfreda, Angelica & Grossi, Luigi, 2012, "Forecasting Italian electricity zonal prices with exogenous variables," Energy Economics, Elsevier, volume 34, issue 6, pages 2228-2239, DOI: 10.1016/j.eneco.2012.06.024.
• Vaona, Andrea, 2012, "Granger non-causality tests between (non)renewable energy consumption and output in Italy since 1861: The (ir)relevance of structural breaks," Energy Policy, Elsevier, volume 45, issue C, pages 226-236, DOI: 10.1016/j.enpol.2012.02.023.
• Piaggio, Matías & Padilla, Emilio, 2012, "CO2 emissions and economic activity: Heterogeneity across countries and non-stationary series," Energy Policy, Elsevier, volume 46, issue C, pages 370-381, DOI: 10.1016/j.enpol.2012.03.074.
• Dagher, Leila & Yacoubian, Talar, 2012, "The causal relationship between energy consumption and economic growth in Lebanon," Energy Policy, Elsevier, volume 50, issue C, pages 795-801, DOI: 10.1016/j.enpol.2012.08.034.
• Gupta, Rakesh & Guidi, Francesco, 2012, "Cointegration relationship and time varying co-movements among Indian and Asian developed stock markets," International Review of Financial Analysis, Elsevier, volume 21, issue C, pages 10-22, DOI: 10.1016/j.irfa.2011.09.001.
• Schreiber, Irene & Müller, Gernot & Klüppelberg, Claudia & Wagner, Niklas, 2012, "Equities, credits and volatilities: A multivariate analysis of the European market during the subprime crisis," International Review of Financial Analysis, Elsevier, volume 24, issue C, pages 57-65, DOI: 10.1016/j.irfa.2012.07.006.
• Yan, Meilan & Hall, Maximilian J.B. & Turner, Paul, 2012, "A cost–benefit analysis of Basel III: Some evidence from the UK," International Review of Financial Analysis, Elsevier, volume 25, issue C, pages 73-82, DOI: 10.1016/j.irfa.2012.06.009.
• Fang, Yan & Ielpo, Florian & Sévi, Benoît, 2012, "Empirical bias in intraday volatility measures," Finance Research Letters, Elsevier, volume 9, issue 4, pages 231-237, DOI: 10.1016/j.frl.2012.08.001.
• Chuang, Wen-I & Liu, Hsiang-Hsi & Susmel, Rauli, 2012, "The bivariate GARCH approach to investigating the relation between stock returns, trading volume, and return volatility," Global Finance Journal, Elsevier, volume 23, issue 1, pages 1-15, DOI: 10.1016/j.gfj.2012.01.001.
• Vivian, Andrew & Wohar, Mark E., 2012, "Commodity volatility breaks," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 2, pages 395-422, DOI: 10.1016/j.intfin.2011.12.003.
• Cheng, Su-Yin, 2012, "Substitution or complementary effects between banking and stock markets: Evidence from financial openness in Taiwan," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 3, pages 508-520, DOI: 10.1016/j.intfin.2012.01.007.
• Ji, Philip Inyeob, 2012, "Time-varying financial stress linkages: Evidence from the LIBOR-OIS spreads," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 4, pages 647-657, DOI: 10.1016/j.intfin.2012.04.001.
• Karoglou, Michail & Morley, Bruce, 2012, "Purchasing power parity and structural instability in the US/UK exchange rate," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 4, pages 958-972, DOI: 10.1016/j.intfin.2012.05.001.
• Antonakakis, Nikolaos, 2012, "Exchange return co-movements and volatility spillovers before and after the introduction of euro," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 5, pages 1091-1109, DOI: 10.1016/j.intfin.2012.05.009.
• Rülke, Jan-Christoph, 2012, "Do professional forecasters apply the Phillips curve and Okun's law? Evidence from six Asian-Pacific countries," Japan and the World Economy, Elsevier, volume 24, issue 4, pages 317-324, DOI: 10.1016/j.japwor.2012.05.002.
• Dark, Jonathan, 2012, "Will tighter futures price limits decrease hedge effectiveness?," Journal of Banking & Finance, Elsevier, volume 36, issue 10, pages 2717-2728, DOI: 10.1016/j.jbankfin.2011.07.020.
• Li, Junye, 2012, "Option-implied volatility factors and the cross-section of market risk premia," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 249-260, DOI: 10.1016/j.jbankfin.2011.07.005.
• Engsted, Tom & Pedersen, Thomas Q. & Tanggaard, Carsten, 2012, "Pitfalls in VAR based return decompositions: A clarification," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1255-1265, DOI: 10.1016/j.jbankfin.2011.11.004.
• Dungey, Mardi & Hvozdyk, Lyudmyla, 2012, "Cojumping: Evidence from the US Treasury bond and futures markets," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1563-1575, DOI: 10.1016/j.jbankfin.2012.01.005.
• Mencía, Javier, 2012, "Assessing the risk-return trade-off in loan portfolios," Journal of Banking & Finance, Elsevier, volume 36, issue 6, pages 1665-1677, DOI: 10.1016/j.jbankfin.2012.01.007.
• Vlastakis, Nikolaos & Markellos, Raphael N., 2012, "Information demand and stock market volatility," Journal of Banking & Finance, Elsevier, volume 36, issue 6, pages 1808-1821, DOI: 10.1016/j.jbankfin.2012.02.007.
• Escanciano, Juan Carlos & Pei, Pei, 2012, "Pitfalls in backtesting Historical Simulation VaR models," Journal of Banking & Finance, Elsevier, volume 36, issue 8, pages 2233-2244, DOI: 10.1016/j.jbankfin.2012.04.004.
• Ang, Andrew & Kristensen, Dennis, 2012, "Testing conditional factor models," Journal of Financial Economics, Elsevier, volume 106, issue 1, pages 132-156, DOI: 10.1016/j.jfineco.2012.04.008.
• Beirne, John, 2012, "The EONIA spread before and during the crisis of 2007–2009: The role of liquidity and credit risk," Journal of International Money and Finance, Elsevier, volume 31, issue 3, pages 534-551, DOI: 10.1016/j.jimonfin.2011.10.005.
• Berger, Tino & Kempa, Bernd, 2012, "Taylor rules and the Canadian–US equilibrium exchange rate," Journal of International Money and Finance, Elsevier, volume 31, issue 5, pages 1060-1075, DOI: 10.1016/j.jimonfin.2011.12.010.
• Olson, Eric & Miller, Scott & Wohar, Mark E., 2012, "“Black Swans” before the “Black Swan” evidence from international LIBOR–OIS spreads," Journal of International Money and Finance, Elsevier, volume 31, issue 6, pages 1339-1357, DOI: 10.1016/j.jimonfin.2012.02.004.
• Lopez, Claude & Papell, David H., 2012, "Convergence of Euro area inflation rates," Journal of International Money and Finance, Elsevier, volume 31, issue 6, pages 1440-1458, DOI: 10.1016/j.jimonfin.2012.02.010.
• Bodart, V. & Candelon, B. & Carpantier, J.-F., 2012, "Real exchanges rates in commodity producing countries: A reappraisal," Journal of International Money and Finance, Elsevier, volume 31, issue 6, pages 1482-1502, DOI: 10.1016/j.jimonfin.2012.02.012.
• Kim, Hyeongwoo, 2012, "VECM estimations of the PPP reversion rate revisited: The conventional role of relative price adjustment restored," Journal of Macroeconomics, Elsevier, volume 34, issue 1, pages 223-238, DOI: 10.1016/j.jmacro.2011.10.004.
• Olson, Eric & Enders, Walter & Wohar, Mark E., 2012, "An empirical investigation of the Taylor curve," Journal of Macroeconomics, Elsevier, volume 34, issue 2, pages 380-390, DOI: 10.1016/j.jmacro.2011.12.005.
• Delatte, Anne-Laure & López-Villavicencio, Antonia, 2012, "Asymmetric exchange rate pass-through: Evidence from major countries," Journal of Macroeconomics, Elsevier, volume 34, issue 3, pages 833-844, DOI: 10.1016/j.jmacro.2012.03.003.
• Fisher, Lance A. & Huh, Hyeon-seung & Otto, Glenn, 2012, "Structural cointegrated models of US consumption and wealth," Journal of Macroeconomics, Elsevier, volume 34, issue 4, pages 1111-1124, DOI: 10.1016/j.jmacro.2012.08.005.
• Féve, Patrick & Jidoud, Ahmat, 2012, "Identifying News Shocks from SVARs," Journal of Macroeconomics, Elsevier, volume 34, issue 4, pages 919-932, DOI: 10.1016/j.jmacro.2012.07.002.
• Jacobs, Jan P.A.M. & Otter, Pieter W. & den Reijer, Ard H.J., 2012, "Information, data dimension and factor structure," Journal of Multivariate Analysis, Elsevier, volume 106, issue C, pages 80-91, DOI: 10.1016/j.jmva.2011.11.003.
• DeJuan, Joseph & Persson, Joakim & Tomljanovich, Marc, 2012, "Regional Income Convergence in Sweden, 1911-2003: A Time Series Analysis," The Journal of Economic Asymmetries, Elsevier, volume 9, issue 1, pages 67-87, DOI: 10.1016/j.jeca.2012.01.004.
• Apergis, Nicholas & Zestos, George K. & Shaltayev, Dmitriy S., 2012, "Do market fundamentals determine the Dollar–Euro exchange rate?," Journal of Policy Modeling, Elsevier, volume 34, issue 1, pages 1-15, DOI: 10.1016/j.jpolmod.2011.10.003.
• Travaglini, Giuseppe, 2012, "Trade-off between labor productivity and capital accumulation in Italian energy sector," Journal of Policy Modeling, Elsevier, volume 34, issue 1, pages 35-48, DOI: 10.1016/j.jpolmod.2011.07.013.
• Kalou, Sofia & Paleologou, Suzanna-Maria, 2012, "The twin deficits hypothesis: Revisiting an EMU country," Journal of Policy Modeling, Elsevier, volume 34, issue 2, pages 230-241, DOI: 10.1016/j.jpolmod.2011.06.002.
• Magazzino, Cosimo, 2012, "Wagner versus Keynes: Public spending and national income in Italy," Journal of Policy Modeling, Elsevier, volume 34, issue 6, pages 890-905, DOI: 10.1016/j.jpolmod.2012.05.012.
• Hofmann, Boris & Peersman, Gert & Straub, Roland, 2012, "Time variation in U.S. wage dynamics," Journal of Monetary Economics, Elsevier, volume 59, issue 8, pages 769-783, DOI: 10.1016/j.jmoneco.2012.10.009.
• Charfeddine, Lanouar & Guégan, Dominique, 2012, "Breaks or long memory behavior: An empirical investigation," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 391, issue 22, pages 5712-5726, DOI: 10.1016/j.physa.2012.06.036.
• Fernández-Macho, Javier, 2012, "Wavelet multiple correlation and cross-correlation: A multiscale analysis of Eurozone stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 391, issue 4, pages 1097-1104, DOI: 10.1016/j.physa.2011.11.002.
• Wang, Zijun, 2012, "The causal structure of bond yields," The Quarterly Review of Economics and Finance, Elsevier, volume 52, issue 1, pages 93-102, DOI: 10.1016/j.qref.2012.01.002.
• Caporale, Guglielmo Maria & Girardi, Alessandro & Paesani, Paolo, 2012, "Quoted spreads and trade imbalance dynamics in the European Treasury bond market," The Quarterly Review of Economics and Finance, Elsevier, volume 52, issue 2, pages 173-182, DOI: 10.1016/j.qref.2012.03.001.
• Li, Hong, 2012, "The impact of China's stock market reforms on its international stock market linkages," The Quarterly Review of Economics and Finance, Elsevier, volume 52, issue 4, pages 358-368, DOI: 10.1016/j.qref.2012.10.003.
• Kao, Erin H. & Fung, Hung-Gay, 2012, "Intraday trading activities and volatility in round-the-clock futures markets," International Review of Economics & Finance, Elsevier, volume 21, issue 1, pages 195-209, DOI: 10.1016/j.iref.2011.06.003.
• Vázquez, Jesús & María-Dolores, Ramón & Londoño, Juan M., 2012, "The Effect of Data Revisions on the Basic New Keynesian Model," International Review of Economics & Finance, Elsevier, volume 24, issue C, pages 235-249, DOI: 10.1016/j.iref.2012.03.005.
• Hatemi-J, Abdulnasser, 2012, "Is the UAE stock market integrated with the USA stock market? New evidence from asymmetric causality testing," Research in International Business and Finance, Elsevier, volume 26, issue 2, pages 273-280, DOI: 10.1016/j.ribaf.2012.01.002.
• Baltagi, Badi H. & Liu, Long, 2012, "The Hausman–Taylor panel data model with serial correlation," Statistics & Probability Letters, Elsevier, volume 82, issue 7, pages 1401-1406, DOI: 10.1016/j.spl.2012.03.016.
• Azomahou, Théophile T. & Diene, Mbaye, 2012, "Polarization patterns in economic development and innovation," Structural Change and Economic Dynamics, Elsevier, volume 23, issue 4, pages 421-436, DOI: 10.1016/j.strueco.2012.08.001.
• Rodney W. Strachan & Herman K. van Dijk, 2012, "Evidence on a DSGE Business Cycle model subject to Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-03, Feb.
• Pablo A Guerron-Quintana & James M Nason, 2012, "Bayesian Estimation of DSGE Models," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-10, Feb.
• Joshua C C Chan & Eric Eisenstat, 2012, "Marginal Likelihood Estimation with the Cross-Entropy Method," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-18, May.
• Yin Liao, 2012, "Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-26, Jun.
• Zedginidze Zviad, 2012, "Linking Macroeconomic Dynamics to Georgian Credit Portfolio Risk," EERC Working Paper Series, EERC Research Network, Russia and CIS, number 12/07e, Apr.
• Cesa-Bianchi, Ambrogio & Pesaran, M. Hashem & Rebucci, Alessandro & Xu, Tengteng, 2012, "China's emergence in the world economy and business cycles in Latin America," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 123050, Apr.
• Barigozzi, Matteo & Conti, Antonio & Luciani, Matteo, 2012, "Do Euro area countries respond asymmetrically to the common monetary policy?," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 43344, Jan.
• António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2012, "Exchange Rate Mean Reversion within a Target Zone: Evidence from a Country on the Periphery of the ERM," EcoMod2012, EcoMod, number 3720, Jul.
• Seong-Min Yoon & Sang Hoon Kang, 2012, "Modelling and forecasting the volatility of petroleum futures prices," EcoMod2012, EcoMod, number 3944, Jul.
• Jacek Kotłowski & Michał Brzoza-Brzezina, 2012, "Measuring the Natural Yield Curve," EcoMod2012, EcoMod, number 4197, Jul.
• Catherine Prettner & Klaus Prettner, 2012, "After Two Decades of Integration: How Interdependent are Eastern European Economies and the Euro Area?," EcoMod2012, EcoMod, number 4421, Jul.
• Pincheira, Pablo & García, Álvaro, 2012, "En busca de un buen marco de referencia predictivo para la inflación en Chile," El Trimestre Económico, Fondo de Cultura Económica, volume 79, issue 313, pages 85-123, enero-mar, DOI: http://dx.doi.org/10.20430/ete.v79i.
• Flores, Yarela & Watts, David, 2012, "Competencia en el sector bancario chileno. Una aproximación dinámica," El Trimestre Económico, Fondo de Cultura Económica, volume 79, issue 316, pages 865-903, octubre-d, DOI: http://dx.doi.org/10.20430/ete.v79i.
• Rodolfo Cermeño & Nahieli Vasquez Feregrino, 2012, "Volatilidad de la inflación y crecimiento del producto: el caso de México," Working Papers, CIDE, División de Economía, number DTE 537, Oct.
• Rodolfo Cermeño Bazán & María Roa García & Claudio González Vega, 2012, "Financial Development and Growth Volatility: Time Series Evidence for Mexico and The United States," Working Papers, CIDE, División de Economía, number DTE 544, Oct.
• Francesco Bravo & Juan Carlos Escanciano & Taisuke Otsu, 2012, "A Simple Test for Identification in GMM under Conditional Moment Restrictions," Advances in Econometrics, Emerald Group Publishing Limited, "Essays in Honor of Jerry Hausman", DOI: 10.1108/S0731-9053(2012)0000029020.
• Tae-Hwy Lee & Weiping Yang, 2012, "Money–Income Granger-Causality in Quantiles," Advances in Econometrics, Emerald Group Publishing Limited, "30th Anniversary Edition", DOI: 10.1108/S0731-9053(2012)0000030017.
• Qiang Chen & Daolun Chen & YuTing Gong, 2012, "An empirical analysis of dynamic relationship between stock market and bond market based on information shocks," China Finance Review International, Emerald Group Publishing Limited, volume 2, issue 3, pages 265-285, June, DOI: 10.1108/20441391211231042.
• Aviral Kumar Tiwari, 2012, "Causality between wholesale price and consumer price indices in India," Indian Growth and Development Review, Emerald Group Publishing Limited, volume 5, issue 2, pages 151-172, September, DOI: 10.1108/17538251211268071.