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

2011

• Hrushikesh MALLICK, 2011, "Monetary Policy, Construction Sector Output and Housing Prices in India: An Emerging Economy Perspective," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 11, issue 1.
• Roxana Halbleib & Valerie Voev, 2011, "Forecasting Covariance Matrices: A Mixed Frequency Approach," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2011-002, Jan.
• Matteo Luciani, 2011, "Forecasting with Approximate Dynamic Factor Models: the Role of Non-Pervasive Shocks," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2011‐022, Jul.
• Gómez-Salvador, Ramón & Westermann, Thomas & Lojschová, Adriana, 2011, "Household sector borrowing in the euro area - a micro data perspective," Occasional Paper Series, European Central Bank, number 125, Apr.
• Beck, Thorsten & Brown, Martin, 2011, "Which households use banks? Evidence from the transition economies," Working Paper Series, European Central Bank, number 1295, Feb.
• Fabio Canova & Filippo Ferroni, 2011, "Multiple filtering devices for the estimation of cyclical DSGE models," Quantitative Economics, Econometric Society, volume 2, issue 1, pages 73-98, March.
• Andreas Georgantopoulos & Anastasios Tsamis, 2011, "Investigating Seasonal Patterns in Developing Countries: The Case of FYROM Stock Market," International Journal of Economics and Financial Issues, Econjournals, volume 1, issue 4, pages 211-219.
• Sakiru Adebola Solarin, 2011, "Electricity Consumption and Economic Growth: Trivariate investigation in Botswana with Capital Formation," International Journal of Energy Economics and Policy, Econjournals, volume 1, issue 2, pages 32-46, September.
• Janesh Sami, 2011, "Multivariate Cointegration and Causality between Exports, Electricity Consumption and Real Income per Capita: Recent Evidence from Japan," International Journal of Energy Economics and Policy, Econjournals, volume 1, issue 3, pages 59-68, November.
• Evan Lau & Xiao-Hui Chye & Chee-Keong Choong, 2011, "Energy-Growth Causality: Asian Countries Revisited," International Journal of Energy Economics and Policy, Econjournals, volume 1, issue 4, pages 140-149.
• Chen, Xiaoshan & MacDonald, Ronald, 2011, "Realised and Optimal Monetary Policy Rules in an Estimated Markov-Switching DSGE Model of the United Kingdom," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2011-21.
• Chan, Joshua C.C. & Koop, Gary, 2011, "Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2011-22.
• Jochmann, Markus & Koop, Gary, 2011, "Regime-Switching Cointegration," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2011-36.
• Koop, Gary, 2011, "Forecasting with Medium and Large Bayesian VARs," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2011-38.
• Jochmann, Markus & Koop, Gary, 2011, "Regime-Switching Cointegration," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2011-60.
• Juan Carlos Cuestas & Karsten Staehr, 2011, "Fiscal shocks and budget balance persistence in the EU countries from Central and Eastern Europe," Bank of Estonia Working Papers, Bank of Estonia, number wp2011-08, Jul, revised 13 Jul 2011.
• Vicente Esteve & Cecilio Tamarit, 2011, "Cointegration with multiple structural breaks: an application to the Spanish environmental Kuznets curve, 1857-2007," Working Papers, Department of Applied Economics II, Universidad de Valencia, number 1114, Jun.
• Gaetano D’Adamo, 2011, "Wage spillovers across sectors in Eastern Europe," Working Papers, Department of Applied Economics II, Universidad de Valencia, number 1122, Sep.
• Singh, B. Karan & Kanakaraj, A. & Sridevi, T.O., 2011, "Revisiting the empirical existence of the Phillips curve for India," Journal of Asian Economics, Elsevier, volume 22, issue 3, pages 247-258, June.
• Granville, Brigitte & Mallick, Sushanta & Zeng, Ning, 2011, "Chinese exchange rate and price effects on G3 import prices," Journal of Asian Economics, Elsevier, volume 22, issue 6, pages 427-440, DOI: 10.1016/j.asieco.2011.07.002.
• Takagi, Shinji & Pham, Thi Hoang Anh, 2011, "Responding to the global financial crisis: Vietnamese exchange rate policy, 2008–2009," Journal of Asian Economics, Elsevier, volume 22, issue 6, pages 507-517, DOI: 10.1016/j.asieco.2011.05.006.
• Kascha, Christian & Trenkler, Carsten, 2011, "Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order," Computational Statistics & Data Analysis, Elsevier, volume 55, issue 2, pages 1008-1017, February.
• Hyndman, Rob J. & Ahmed, Roman A. & Athanasopoulos, George & Shang, Han Lin, 2011, "Optimal combination forecasts for hierarchical time series," Computational Statistics & Data Analysis, Elsevier, volume 55, issue 9, pages 2579-2589, September.
• Wolden Bache, Ida & Sofie Jore, Anne & Mitchell, James & Vahey, Shaun P., 2011, "Combining VAR and DSGE forecast densities," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 10, pages 1659-1670, October.
• Ascari, Guido & Castelnuovo, Efrem & Rossi, Lorenza, 2011, "Calvo vs. Rotemberg in a trend inflation world: An empirical investigation," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 11, pages 1852-1867, DOI: 10.1016/j.jedc.2011.06.002.
• Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael, 2011, "How much nominal rigidity is there in the US economy? Testing a new Keynesian DSGE model using indirect inference," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 12, pages 2078-2104, DOI: 10.1016/j.jedc.2011.08.009.
• Del Negro, Marco & Eusepi, Stefano, 2011, "Fitting observed inflation expectations," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 12, pages 2105-2131, DOI: 10.1016/j.jedc.2011.04.005.
• AFM Kamrul Hassan & Ruhul Salim, 2011, "Purchasing Power Parity (PPP) of Australian Dollar: Do Test Procedures Matter?," Economic Analysis and Policy, Elsevier, volume 41, issue 1, pages 71-81, March.
• A.F.M. Kamrul Hassan & Ruhul A. Salim, 2011, "Is there any Link Between Commodity Price and Monetary Policy? Evidence from Australia," Economic Analysis and Policy, Elsevier, volume 41, issue 3, pages 205-216, December.
• Leu, Shawn Chen-Yu, 2011, "A New Keynesian SVAR model of the Australian economy," Economic Modelling, Elsevier, volume 28, issue 1-2, pages 157-168, January.
• Yilmazkuday, Hakan, 2011, "Monetary policy and credit cards: Evidence from a small open economy," Economic Modelling, Elsevier, volume 28, issue 1-2, pages 201-210, January.
• Reade, J. James & Volz, Ulrich, 2011, "Leader of the pack? German monetary dominance in Europe prior to EMU," Economic Modelling, Elsevier, volume 28, issue 1-2, pages 239-250, January.
• Akanbi, Olusegun A. & Du Toit, Charlotte B., 2011, "Macro-econometric modelling for the Nigerian economy: A growth-poverty gap analysis," Economic Modelling, Elsevier, volume 28, issue 1-2, pages 335-350, January.
• Tsintzos, Panagiotis & Dergiades, Theologos, 2011, "Uncertainty in the public debt market and stochastic long-run growth," Economic Modelling, Elsevier, volume 28, issue 1-2, pages 67-73, January.
• Leu, Shawn Chen-Yu & Sheen, Jeffrey, 2011, "A small New Keynesian state space model of the Australian economy," Economic Modelling, Elsevier, volume 28, issue 1-2, pages 672-684, January.
• Leu, Shawn Chen-Yu, 2011, "A New Keynesian SVAR model of the Australian economy," Economic Modelling, Elsevier, volume 28, issue 1, pages 157-168, DOI: 10.1016/j.econmod.2010.09.015.
• Yilmazkuday, Hakan, 2011, "Monetary policy and credit cards: Evidence from a small open economy," Economic Modelling, Elsevier, volume 28, issue 1, pages 201-210, DOI: 10.1016/j.econmod.2010.09.010.
• Reade, J. James & Volz, Ulrich, 2011, "Leader of the pack? German monetary dominance in Europe prior to EMU," Economic Modelling, Elsevier, volume 28, issue 1, pages 239-250, DOI: 10.1016/j.econmod.2010.09.006.
• Akanbi, Olusegun A. & Du Toit, Charlotte B., 2011, "Macro-econometric modelling for the Nigerian economy: A growth–poverty gap analysis," Economic Modelling, Elsevier, volume 28, issue 1, pages 335-350, DOI: 10.1016/j.econmod.2010.08.015.
• Tsintzos, Panagiotis & Dergiades, Theologos, 2011, "Uncertainty in the public debt market and stochastic long-run growth," Economic Modelling, Elsevier, volume 28, issue 1, pages 67-73, DOI: 10.1016/j.econmod.2010.09.023.
• Leu, Shawn Chen-Yu & Sheen, Jeffrey, 2011, "A small New Keynesian state space model of the Australian economy," Economic Modelling, Elsevier, volume 28, issue 1, pages 672-684, DOI: 10.1016/j.econmod.2010.05.017.
• Boschi, Melisso & Girardi, Alessandro, 2011, "The contribution of domestic, regional and international factors to Latin America's business cycle," Economic Modelling, Elsevier, volume 28, issue 3, pages 1235-1246, May.
• Angelini, Elena & Marcellino, Massimiliano, 2011, "Econometric analyses with backdated data: Unified Germany and the euro area," Economic Modelling, Elsevier, volume 28, issue 3, pages 1405-1414, May.
• Cubadda, Gianluca & Triacca, Umberto, 2011, "An alternative solution to the Autoregressivity Paradox in time series analysis," Economic Modelling, Elsevier, volume 28, issue 3, pages 1451-1454, May.
• Weber, Enzo, 2011, "What happened to the transatlantic capital market relations?," Economic Modelling, Elsevier, volume 28, issue 3, pages 877-884, May.
• Gupta, Rangan & Kabundi, Alain & Miller, Stephen M., 2011, "Forecasting the US real house price index: Structural and non-structural models with and without fundamentals," Economic Modelling, Elsevier, volume 28, issue 4, pages 2013-2021, July.
• Chevallier, Julien, 2011, "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economic Modelling, Elsevier, volume 28, issue 6, pages 2634-2656, DOI: 10.1016/j.econmod.2011.08.003.
• Mundle, Sudipto & Bhanumurthy, N.R. & Das, Surajit, 2011, "Fiscal consolidation with high growth: A policy simulation model for India," Economic Modelling, Elsevier, volume 28, issue 6, pages 2657-2668, DOI: 10.1016/j.econmod.2011.08.001.
• Jean Louis, Rosmy & Brown, Ryan & Balli, Faruk, 2011, "On the feasibility of monetary union: Does it make sense to look for shocks symmetry across countries when none of the countries constitutes an optimum currency area?," Economic Modelling, Elsevier, volume 28, issue 6, pages 2701-2718, DOI: 10.1016/j.econmod.2011.08.005.
• Bjørnland, Hilde C. & Gerdrup, Karsten & Jore, Anne Sofie & Smith, Christie & Thorsrud, Leif Anders, 2011, "Weights and pools for a Norwegian density combination," The North American Journal of Economics and Finance, Elsevier, volume 22, issue 1, pages 61-76, January.
• Garratt, Anthony & Mitchell, James & Vahey, Shaun P. & Wakerly, Elizabeth C., 2011, "Real-time inflation forecast densities from ensemble Phillips curves," The North American Journal of Economics and Finance, Elsevier, volume 22, issue 1, pages 77-87, January.
• Yuan, Chunming, 2011, "The exchange rate and macroeconomic determinants: Time-varying transitional dynamics," The North American Journal of Economics and Finance, Elsevier, volume 22, issue 2, pages 197-220, August.
• Pataracchia, Beatrice, 2011, "The spectral representation of Markov switching ARMA models," Economics Letters, Elsevier, volume 112, issue 1, pages 11-15, July.
• Busch, Thomas & Christensen, Bent Jesper & Nielsen, Morten Ørregaard, 2011, "The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets," Journal of Econometrics, Elsevier, volume 160, issue 1, pages 48-57, January.
• Maheu, John M. & McCurdy, Thomas H., 2011, "Do high-frequency measures of volatility improve forecasts of return distributions?," Journal of Econometrics, Elsevier, volume 160, issue 1, pages 69-76, January.
• Dueker, Michael J. & Psaradakis, Zacharias & Sola, Martin & Spagnolo, Fabio, 2011, "Multivariate contemporaneous-threshold autoregressive models," Journal of Econometrics, Elsevier, volume 160, issue 2, pages 311-325, February.
• Barnett, William A. & Erwin Diewert, W. & Zellner, Arnold, 2011, "Introduction to measurement with theory," Journal of Econometrics, Elsevier, volume 161, issue 1, pages 1-5, March.
• Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011, "Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Journal of Econometrics, Elsevier, volume 162, issue 2, pages 149-169, June.
• Athanasopoulos, George & de Carvalho Guillén, Osmani Teixeira & Issler, João Victor & Vahid, Farshid, 2011, "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," Journal of Econometrics, Elsevier, volume 164, issue 1, pages 116-129, September.
• Pesaran, M. Hashem & Pick, Andreas & Timmermann, Allan, 2011, "Variable selection, estimation and inference for multi-period forecasting problems," Journal of Econometrics, Elsevier, volume 164, issue 1, pages 173-187, September.
• Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2011, "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Journal of Econometrics, Elsevier, volume 164, issue 1, pages 188-205, September.
• Kurozumi, Eiji & Tuvaandorj, Purevdorj, 2011, "Model selection criteria in multivariate models with multiple structural changes," Journal of Econometrics, Elsevier, volume 164, issue 2, pages 218-238, October.
• Nishiyama, Yoshihiko & Hitomi, Kohtaro & Kawasaki, Yoshinori & Jeong, Kiho, 2011, "A consistent nonparametric test for nonlinear causality—Specification in time series regression," Journal of Econometrics, Elsevier, volume 165, issue 1, pages 112-127, DOI: 10.1016/j.jeconom.2011.05.010.
• Swensen, Anders Rygh, 2011, "A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables," Journal of Econometrics, Elsevier, volume 165, issue 2, pages 152-162, DOI: 10.1016/j.jeconom.2011.07.002.
• Chiang, Min-Hsien & Wang, Li-Min, 2011, "Volatility contagion: A range-based volatility approach," Journal of Econometrics, Elsevier, volume 165, issue 2, pages 175-189, DOI: 10.1016/j.jeconom.2011.07.004.
• Malik, Sheheryar & Pitt, Michael K., 2011, "Particle filters for continuous likelihood evaluation and maximisation," Journal of Econometrics, Elsevier, volume 165, issue 2, pages 190-209, DOI: 10.1016/j.jeconom.2011.07.006.
• Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney W., 2011, "Bayesian inference in a time varying cointegration model," Journal of Econometrics, Elsevier, volume 165, issue 2, pages 210-220, DOI: 10.1016/j.jeconom.2011.07.007.
• Weber, Enzo, 2011, "Foreign and domestic growth drivers in Eastern Europe," Economic Systems, Elsevier, volume 35, issue 4, pages 512-522, DOI: 10.1016/j.ecosys.2011.02.001.
• Jayasuriya, Shamila A., 2011, "Stock market correlations between China and its emerging market neighbors," Emerging Markets Review, Elsevier, volume 12, issue 4, pages 418-431, DOI: 10.1016/j.ememar.2011.06.005.
• Boubakri, Salem & Guillaumin, Cyriac, 2011, "Financial integration and currency risk premium in CEECs: Evidence from the ICAPM," Emerging Markets Review, Elsevier, volume 12, issue 4, pages 460-484, DOI: 10.1016/j.ememar.2011.08.001.
• Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2011, "Crude oil hedging strategies using dynamic multivariate GARCH," Energy Economics, Elsevier, volume 33, issue 5, pages 912-923, September.
• Kirat, Djamel & Ahamada, Ibrahim, 2011, "The impact of the European Union emission trading scheme on the electricity-generation sector," Energy Economics, Elsevier, volume 33, issue 5, pages 995-1003, September.
• Gómez-Loscos, Ana & Montañés, Antonio & Gadea, M. Dolores, 2011, "The impact of oil shocks on the Spanish economy," Energy Economics, Elsevier, volume 33, issue 6, pages 1070-1081, DOI: 10.1016/j.eneco.2011.05.016.
• Serinaldi, Francesco, 2011, "Distributional modeling and short-term forecasting of electricity prices by Generalized Additive Models for Location, Scale and Shape," Energy Economics, Elsevier, volume 33, issue 6, pages 1216-1226, DOI: 10.1016/j.eneco.2011.05.001.
• Kim, Jae Ho & Powell, Warren B., 2011, "An hour-ahead prediction model for heavy-tailed spot prices," Energy Economics, Elsevier, volume 33, issue 6, pages 1252-1266, DOI: 10.1016/j.eneco.2011.06.007.
• Chevallier, Julien, 2011, "Nonparametric modeling of carbon prices," Energy Economics, Elsevier, volume 33, issue 6, pages 1267-1282, DOI: 10.1016/j.eneco.2011.03.003.
• Chevallier, Julien, 2011, "A model of carbon price interactions with macroeconomic and energy dynamics," Energy Economics, Elsevier, volume 33, issue 6, pages 1295-1312, DOI: 10.1016/j.eneco.2011.07.012.
• Gurgul, Henryk & Lach, lukasz, 2011, "The role of coal consumption in the economic growth of the Polish economy in transition," Energy Policy, Elsevier, volume 39, issue 4, pages 2088-2099, April.
• Fan, Shu & Hyndman, Rob J., 2011, "The price elasticity of electricity demand in South Australia," Energy Policy, Elsevier, volume 39, issue 6, pages 3709-3719, June.
• Filis, George & Degiannakis, Stavros & Floros, Christos, 2011, "Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries," International Review of Financial Analysis, Elsevier, volume 20, issue 3, pages 152-164, June.
• Bårdsen, Gunnar & Lütkepohl, Helmut, 2011, "Forecasting levels of log variables in vector autoregressions," International Journal of Forecasting, Elsevier, volume 27, issue 4, pages 1108-1115, October.
• Hong, Gwangheon & Lee, Bong Soo, 2011, "The trading behavior and price impact of foreign, institutional, individual investors and government: Evidence from Korean equity market," Japan and the World Economy, Elsevier, volume 23, issue 4, pages 273-287, DOI: 10.1016/j.japwor.2011.10.002.
• Hautsch, Nikolaus & Hess, Dieter & Veredas, David, 2011, "The impact of macroeconomic news on quote adjustments, noise, and informational volatility," Journal of Banking & Finance, Elsevier, volume 35, issue 10, pages 2733-2746, October.
• Bach, Christian & Møller, Stig V., 2011, "Habit-based asset pricing with limited participation consumption," Journal of Banking & Finance, Elsevier, volume 35, issue 11, pages 2891-2901, November.
• Ferreira, Eva & Gil-Bazo, Javier & Orbe, Susan, 2011, "Conditional beta pricing models: A nonparametric approach," Journal of Banking & Finance, Elsevier, volume 35, issue 12, pages 3362-3382, DOI: 10.1016/j.jbankfin.2011.05.016.
• Garcia, René & Tsafack, Georges, 2011, "Dependence structure and extreme comovements in international equity and bond markets," Journal of Banking & Finance, Elsevier, volume 35, issue 8, pages 1954-1970, August.
• Cuestas, Juan C. & Gil-Alana, Luis A. & Staehr, Karsten, 2011, "A further investigation of unemployment persistence in European transition economies," Journal of Comparative Economics, Elsevier, volume 39, issue 4, pages 514-532, DOI: 10.1016/j.jce.2011.09.002.
• Kurita, Takamitsu, 2011, "An empirical model for Japan’s business fixed investment," Journal of Economics and Business, Elsevier, volume 63, issue 2, pages 107-120, DOI: 10.1016/j.jeconbus.2010.11.004.
• Vansteenkiste, Isabel & Hiebert, Paul, 2011, "Do house price developments spillover across euro area countries? Evidence from a global VAR," Journal of Housing Economics, Elsevier, volume 20, issue 4, pages 299-314, DOI: 10.1016/j.jhe.2011.08.003.
• Giannellis, Nikolaos & Papadopoulos, Athanasios P., 2011, "What causes exchange rate volatility? Evidence from selected EMU members and candidates for EMU membership countries," Journal of International Money and Finance, Elsevier, volume 30, issue 1, pages 39-61, February.
• Amira, Khaled & Taamouti, Abderrahim & Tsafack, Georges, 2011, "What drives international equity correlations? Volatility or market direction?," Journal of International Money and Finance, Elsevier, volume 30, issue 6, pages 1234-1263, October.
• Jääskelä, Jarkko P. & Jennings, David, 2011, "Monetary policy and the exchange rate: Evaluation of VAR models," Journal of International Money and Finance, Elsevier, volume 30, issue 7, pages 1358-1374, DOI: 10.1016/j.jimonfin.2011.06.014.
• Neely, Christopher J. & Rapach, David E., 2011, "International comovements in inflation rates and country characteristics," Journal of International Money and Finance, Elsevier, volume 30, issue 7, pages 1471-1490, DOI: 10.1016/j.jimonfin.2011.07.009.
• Avouyi-Dovi, Sanvi & Sahuc, Jean-Guillaume, 2011, "On the welfare costs of misspecified monetary policy objectives," Journal of Macroeconomics, Elsevier, volume 33, issue 2, pages 151-161, June.
• Phillips, Kerk L. & Spencer, David E., 2011, "Bootstrapping structural VARs: Avoiding a potential bias in confidence intervals for impulse response functions," Journal of Macroeconomics, Elsevier, volume 33, issue 4, pages 582-594, DOI: 10.1016/j.jmacro.2011.02.007.
• Tsong, Ching-Chuan & Lee, Cheng-Feng, 2011, "Asymmetric inflation dynamics: Evidence from quantile regression analysis," Journal of Macroeconomics, Elsevier, volume 33, issue 4, pages 668-680, DOI: 10.1016/j.jmacro.2011.08.003.
• Boubacar Mainassara, Y. & Francq, C., 2011, "Estimating structural VARMA models with uncorrelated but non-independent error terms," Journal of Multivariate Analysis, Elsevier, volume 102, issue 3, pages 496-505, March.
• Aruga, Kentaka & Managi, Shunsuke, 2011, "Testing the international linkage in the platinum-group metal futures markets," Resources Policy, Elsevier, volume 36, issue 4, pages 339-345, DOI: 10.1016/j.resourpol.2011.09.003.
• Chang, Chia-Lin & Khamkaew, Thanchanok & McAleer, Michael & Tansuchat, Roengchai, 2011, "Modelling conditional correlations in the volatility of Asian rubber spot and futures returns," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 81, issue 7, pages 1482-1490, DOI: 10.1016/j.matcom.2010.07.004.
• Kurita, Takamitsu, 2011, "Long-run exclusion and the determination of cointegrating rank: Monte Carlo evidence," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 81, issue 9, pages 1733-1740, DOI: 10.1016/j.matcom.2011.01.007.
• Canova, Fabio & Paustian, Matthias, 2011, "Business cycle measurement with some theory," Journal of Monetary Economics, Elsevier, volume 58, issue 4, pages 345-361, DOI: 10.1016/j.jmoneco.2011.07.005.
• Cesaroni, Tatiana & Maccini, Louis & Malgarini, Marco, 2011, "Business cycle stylized facts and inventory behaviour: New evidence for the Euro area," International Journal of Production Economics, Elsevier, volume 133, issue 1, pages 12-24, September.
• Khan, Salman & Batteau, Pierre, 2011, "Should the government directly intervene in stock market during a crisis?," The Quarterly Review of Economics and Finance, Elsevier, volume 51, issue 4, pages 350-359, DOI: 10.1016/j.qref.2011.07.003.
• Lee, King Fuei, 2011, "Demographics, dividend clienteles and the dividend premium," The Quarterly Review of Economics and Finance, Elsevier, volume 51, issue 4, pages 368-375, DOI: 10.1016/j.qref.2011.08.004.
• Aruga, Kentaka & Managi, Shunsuke, 2011, "Price linkages in the copper futures, primary, and scrap markets," Resources, Conservation & Recycling, Elsevier, volume 56, issue 1, pages 43-47, DOI: 10.1016/j.resconrec.2011.08.010.
• Gluschenko, Konstantin, 2011, "Price convergence and market integration in Russia," Regional Science and Urban Economics, Elsevier, volume 41, issue 2, pages 160-172, March.
• Yuan, Chunming, 2011, "Forecasting exchange rates: The multi-state Markov-switching model with smoothing," International Review of Economics & Finance, Elsevier, volume 20, issue 2, pages 342-362, April.
• Marga Peeters, 2011, "Modelling unemployment in the presence of excess labour supply," Journal of Economics and Econometrics, Economics and Econometrics Society, volume 54, issue 2, pages 58-92.
• Emmanuel De Veirman & Ashley Dunstan, 2011, "Time-Varying Returns, Intertemporal Substitution and Cyclical Variation in Consumption," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2011-14, Jun.
• Jan P.A.M. Jacobs & Pieter W. Otter & Ard H.J. den Reijer, 2011, "Information, data dimension and factor structure," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2011-15, Jun.
• Anthony Garratt & James Mitchell & Shaun P. Vahey, 2011, "Measuring Output Gap Nowcast Uncertainty," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2011-16, Jun.
• Mardi Dungey & M.Tugrul Vehbi, 2011, "A SVECM Model of the UK Economy and The Term Premium," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2011-26, Aug.
• Mardi Dungey & Gerald P. Dwyer & Thomas Flavin, 2011, "Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2011-30, Sep.
• David I. Stern, 2011, "From Correlation to Granger Causality," Crawford School Research Papers, Crawford School of Public Policy, The Australian National University, number 1113, Sep.
• Miksjuk Alexei, 2011, "Study the relation between monetary and exchange rate policy: The case of Belarus," EERC Working Paper Series, EERC Research Network, Russia and CIS, number 11/16e, Nov.
• Marinko Škare & Saša Stjepanovi?, 2011, "Makroekonomski model Republike Hrvatske ( SSEM1) i mogu?i pravci izlaska iz krize," Ekonomija Economics, Rifin d.o.o., volume 18, issue 2, pages 343-364.
• M. Beatriz Mota Aragón & Faviola Hernández Jiménez, 2011, "Un modelo para evaluar el VPN mediante modelos autoregresivos," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 6, issue 2, pages 66-87.
• Jarocinski, Marek & Marcet, Albert, 2011, "Autoregressions in small samples, priors about observables and initial conditions," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 121711, Jul.
• Gil Montant, 2011, "Market power inside the Belgian coal industry, 1901-45: a new empirical industrial organisation approach," Working Papers, Economic History Society, number 11030, Apr.
• Fernández Macho, Francisco Javier, 2011, "Wavelet multiple correlation and cross-correlation: A multiscale analysis of euro zone stock markets," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística), number 1134-8984, Jun.
• Juan Carlos Cuestas & Javier Ordonez, 2011, "Unemployment and common smooth transition trends in Central and Eastern European Countries," Economic Issues Journal Articles, Economic Issues, volume 16, issue 2, pages 39-52, September.
• Boriss Siliverstovs & Sule Akkoyunlu, 2011, "Does the Law of One Price Hold in a High-Inflation Environment? A Tale of Two Cities in Turkey," EcoMod2011, EcoMod, number 3139, Jul.
• Sergio Ricardo de Brito Gadelha, 2011, "Countercyclical fiscal policy, international financial crisis and economic growth in Brazil," Brazilian Journal of Political Economy, Center of Political Economy, volume 31, issue 5, pages 794-812.
• Noriega, Antonio E. & Ramos-Francia, Manuel & Rodríguez-Pérez, Cid Alonso, 2011, "Demanda por dinero en México (1986-2010)," El Trimestre Económico, Fondo de Cultura Económica, volume 78, issue 312, pages 699-749, octubre-d, DOI: http://dx.doi.org/10.20430/ete.v78i.
• Luis N. Lanteri, 2011, "External Shocks and Sources of Macroeconomic Fluctuation: A SVEC Model based proposal for Argentina’s Economy," Economía Mexicana NUEVA ÉPOCA, CIDE, División de Economía, volume 0, issue 1, pages 113-144, January-J.
• Jorge Eduardo Mendoza Cota, 2011, "The Impact of the US Automobile Crisis on Mexico’s Car and Truck Subsector," Economía Mexicana NUEVA ÉPOCA, CIDE, División de Economía, volume 0, issue 2, pages 281-309, July-Dece.
• Yu‐Shan Wang & Chung‐Gee Lin & Shih‐Chieh Shih, 2011, "The dynamic relationship between agricultural futures and agriculture index in China," China Agricultural Economic Review, Emerald Group Publishing Limited, volume 3, issue 3, pages 369-382, September, DOI: 10.1108/17561371111165798.
• Ignacio Lozano & Karen Rodríguez, 2011, "Assessing the macroeconomic effects of fiscal policy in Colombia," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 3, issue 3, pages 206-228, August, DOI: 10.1108/17576381111152209.
• Caporin, M. & McAleer, M.J., 2011, "Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2011-18, May.
• Emmanouil Mavrakis, 2011, "Abnormal Returns on CEFs and in Pre-and-Post-Credit-Crunch Periods," European Research Studies Journal, European Research Studies Journal, volume 0, issue 4, pages 55-70.
• Nasir Hamid Rao & Syed Kalim Hyder Bukhari, 2011, "Asymmetric Shocks and Co-movement of Price Indices," Working Papers, eSocialSciences, number id:3569, Feb.
• Matteo Barigozzi & Antonio M. Conti & Matteo Luciani, 2011, "Measuring Euro Area Monetary Policy Transmission in a Structural Dynamic Factor Model," European Economy - Economic Papers 2008 - 2015, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission, number 441, Mar.
• Helmut Herwartz & Helmut Luetkepohl, 2011, "Structural Vector Autoregressions with Markov Switching: Combining Conventional with Statistical Identification of Shocks," Economics Working Papers, European University Institute, number ECO2011/11.
• Ralf Brueggemann & Helmut Luetkepohl, 2011, "Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights," Economics Working Papers, European University Institute, number ECO2011/17.
• Stelios Bekiros & Massimiliano Marcellino, 2011, "The Multiscale Causal Dynamics of Foreign Exchange Markets," Economics Working Papers, European University Institute, number ECO2011/23.
• Helmut Luetkepohl, 2011, "Vector Autoregressive Models," Economics Working Papers, European University Institute, number ECO2011/30.
• Yuri Balagula & Yulia Abakumova, 2011, "Long Memory in the Oil Market: A Spectral Approach," EUSP Department of Economics Working Paper Series, European University at St. Petersburg, Department of Economics, number 2011/01, Jan, revised 13 Jan 2011.
• Sergey Ivashchenko, 2011, "DSGE Model Estimation on Base of Second Order Approximation," EUSP Department of Economics Working Paper Series, European University at St. Petersburg, Department of Economics, number 2011/07, Sep.
• Luciana Crosilla & Marco Malgarini, 2011, "Behavioural models for manufacturing firms: analysing survey data," ECONOMIA E POLITICA INDUSTRIALE, FrancoAngeli Editore, volume 2011, issue 4, pages 139-163.
• Katarína Danišková & Jarko Fidrmuc, 2011, "Inflation Convergence and the New Keynesian Phillips Curve in the Czech Republic," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, volume 5, issue 2, pages 099-115, August.
• Renatas Kizys & Christian Pierdzioch, 2011, "The Financial Crisis and the Stock Markets of the CEE Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 61, issue 2, pages 153-172, June.
• Numan Ülkü, 2011, "Modeling Comovement among Emerging Stock Markets: The Case of Budapest and Istanbul," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 61, issue 3, pages 277-304, July.
• Katerina Arnostova & David Havrlant & Luboš Rùžièka & Peter Tóth, 2011, "Short-Term Forecasting of Czech Quarterly GDP Using Monthly Indicators," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 61, issue 6, pages 566-583, December.
• Robert Flasza & Milan Rippel & Jan Šolc, 2011, "Modelling Long-Term Electricity Contracts at EEX," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2011/08, Mar, revised Mar 2011.
• Teles, Vladimir Kuhl & Ribeiro, Alessandra Cocarelli Alves, 2011, "A taxa natural de juros no Brasil," Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil), number 276, Apr.
• Athanasopoulos, George & Guillen, Osmani Teixeira Carvalho & Issler, João Victor & Vahid, Farshid, 2011, "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 713, Jan.
• Issler, João Victor & Notini, Hilton Hostalácio & Rodrigues, Claudia Oliveira da Fontoura, 2011, "Constructing coincident and leading indices of economic activity for the brazilian economy," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 714, Mar.
• Mardi Dungey & Gerald P. Dwyer & Thomas Flavin, 2011, "Systematic and liquidity risk in subprime-mortgage backed securities," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2011-15.
• Niko Dotz & Christoph Fischer, 2011, "What can EMU countries' sovereign bond spreads tell us about market perceptions of default probabilities during the recent financial crisis?," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 69.
• Celso Brunetti & David Reiffen, 2011, "Commodity index trading and hedging costs," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2011-57.
• Davide Debortoli & Junior Maih & Ricardo Nunes, 2011, "Loose commitment in medium-scale macroeconomic models: theory and applications," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1034.
• Luciana Juvenal & Ivan Petrella, 2011, "Speculation in the oil market," Working Papers, Federal Reserve Bank of St. Louis, number 2011-027, DOI: 10.20955/wp.2011.027.
• Eleonara Granziera & Mihye Lee & Hyungsik Roger Moon & Frank Schorfheide, 2011, "Inference for VARs identified with sign restrictions," Working Papers, Federal Reserve Bank of Philadelphia, number 11-20.
• Edward P. Herbst & Frank Schorfheide, 2011, "Evaluating DSGE model forecasts of comovements," Working Papers, Federal Reserve Bank of Philadelphia, number 11-5.
• Frank Schorfheide, 2011, "Estimation and evaluation of DSGE models: progress and challenges," Working Papers, Federal Reserve Bank of Philadelphia, number 11-7.
• Hernandez, Manuel A. & Ibarra, Raul & Trupkin, Danilo R., 2011, "How far do shocks move across borders?: Examining volatility transmission in major agricultural futures markets," IFPRI discussion papers, International Food Policy Research Institute (IFPRI), number 1109.
• Klaus Abberger & Wolfgang Nierhaus, 2011, "Die ifo Konjunkturuhr: Zirkulare Korrelation mit dem realen Bruttoinlandsprodukt," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, volume 5, issue 3, pages 179-201, December, DOI: 10.1007/s11943-011-0106-2.
• Steven Clark & T. Coggin, 2011, "Are U.S. stock prices mean reverting? Some new tests using fractional integration models with overlapping data and structural breaks," Empirical Economics, Springer, volume 40, issue 2, pages 373-391, April, DOI: 10.1007/s00181-010-0338-y.
• Niels Kemper & Dierk Herzer & Luca Zamparelli, 2011, "Balanced growth and structural breaks: evidence for Germany," Empirical Economics, Springer, volume 40, issue 2, pages 409-424, April, DOI: 10.1007/s00181-010-0361-z.
• Antonio Ribba, 2011, "On some neglected implications of the Fisher effect," Empirical Economics, Springer, volume 40, issue 2, pages 451-470, April, DOI: 10.1007/s00181-010-0348-9.
• Håvard Hungnes, 2011, "A demand system for input factors when there are technological changes in production," Empirical Economics, Springer, volume 40, issue 3, pages 581-600, May, DOI: 10.1007/s00181-010-0346-y.
• Dandan Liu & Dennis Jansen, 2011, "Does a factor Phillips curve help? An evaluation of the predictive power for U.S. inflation," Empirical Economics, Springer, volume 40, issue 3, pages 807-826, May, DOI: 10.1007/s00181-010-0352-0.
• Ulrich Fritsche & Vladimir Kuzin, 2011, "Analysing convergence in Europe using the non-linear single factor model," Empirical Economics, Springer, volume 41, issue 2, pages 343-369, October, DOI: 10.1007/s00181-010-0385-4.
• Javier Pérez & A. Sánchez, 2011, "Is there a signalling role for public wages? Evidence for the euro area based on macro data," Empirical Economics, Springer, volume 41, issue 2, pages 421-445, October, DOI: 10.1007/s00181-010-0380-9.
• Bernardina Algieri, 2011, "Modelling export equations using an unobserved component model: the case of the Euro Area and its competitors," Empirical Economics, Springer, volume 41, issue 3, pages 593-637, December, DOI: 10.1007/s00181-010-0399-y.
• Vasco Gabriel & Luis Martins, 2011, "Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship," Empirical Economics, Springer, volume 41, issue 3, pages 639-662, December, DOI: 10.1007/s00181-010-0401-8.
• Tatiana Cesaroni, 2011, "The cyclical behavior of the Italian business survey data," Empirical Economics, Springer, volume 41, issue 3, pages 747-768, December, DOI: 10.1007/s00181-010-0390-7.
• Biru Paul & Md. Uddin & Abdullah Noman, 2011, "Remittances and output in Bangladesh: an ARDL bounds testing approach to cointegration," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), volume 58, issue 2, pages 229-242, June, DOI: 10.1007/s12232-011-0120-2.
• Petra Fleischer & Ross Maller & Gernot Müller, 2011, "A Bayesian analysis of market information linkages among NAFTA countries using a multivariate stochastic volatility model," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 35, issue 2, pages 123-148, April, DOI: 10.1007/s12197-009-9086-2.
• Hui Fang, 2011, "Peer review and over-competitive research funding fostering mainstream opinion to monopoly," Scientometrics, Springer;Akadémiai Kiadó, volume 87, issue 2, pages 293-301, May, DOI: 10.1007/s11192-010-0323-4.
• Gbaguidi DAVID, 2011, "Expectations Impact On The Effectiveness Of The Inflation-Real Activity Trade-Off," Theoretical and Practical Research in the Economic Fields, ASERS Publishing, volume 2, issue 2, pages 141-181.
• Gary Koop & Joshua Chan, 2011, "Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables," Working Papers, University of Strathclyde Business School, Department of Economics, number 1111, Apr.
• Joshua Chan & Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2011, "Time Varying Dimension Models," Working Papers, University of Strathclyde Business School, Department of Economics, number 1116, Apr.
• Gary Koop, 2011, "Forecasting with Medium and Large Bayesian VARs," Working Papers, University of Strathclyde Business School, Department of Economics, number 1117, Apr.
• Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2011, "Bayesian Inference in the Time Varying Cointegration Model," Working Papers, University of Strathclyde Business School, Department of Economics, number 1121, Apr.
• Markus Jochmann & Gary Koop, 2011, "Regime-Switching Cointegration," Working Papers, University of Strathclyde Business School, Department of Economics, number 1125, May.
• Michele Campolieti & Deborah Gefang & Gary Koop, 2011, "Time Variation in the Dynamics of Worker Flows: Evidence from the US and Canada," Working Papers, University of Strathclyde Business School, Department of Economics, number 1138, Sep.
• Willem H. Boshoff, 2011, "Limits and Uses of Price Tests for Market Definition," Working Papers, Stellenbosch University, Department of Economics, number 01/2011, revised 2013.
• Guglielmo Maria Caporale & Alessandro Girardi, 2011, "Price formation on the EuroMTS platform," Applied Economics Letters, Taylor & Francis Journals, volume 18, issue 3, pages 229-233, DOI: 10.1080/13504850903559567.
• Dick van Dijk & Haris Munandar & Christian Hafner, 2011, "The euro introduction and noneuro currencies," Applied Financial Economics, Taylor & Francis Journals, volume 21, issue 1-2, pages 95-116, DOI: 10.1080/09603107.2011.523197.
• Carluccio Bianchi & Maria Elena De Giuli & Dean Fantazzini & Mario Maggi, 2011, "Small sample properties of copula-GARCH modelling: a Monte Carlo study," Applied Financial Economics, Taylor & Francis Journals, volume 21, issue 21, pages 1587-1597, DOI: 10.1080/09603107.2011.587770.
• Dimitrios Sideris, 2011, "Optimum currency areas, structural changes and the endogeneity of the OCA criteria: evidence from six new EU member states," Applied Financial Economics, Taylor & Francis Journals, volume 21, issue 4, pages 195-206, DOI: 10.1080/09603107.2010.528360.
• Klaus Mohn & Bård Misund, 2011, "Shifting sentiments in firm investment: an application to the oil industry," Applied Financial Economics, Taylor & Francis Journals, volume 21, issue 7, pages 469-479, DOI: 10.1080/09603107.2010.534060.
• Matthew Hanson & Martin Schmidt, 2011, "The impact of Coalition offensive operations on the Iraqi insurgency," Applied Economics, Taylor & Francis Journals, volume 43, issue 18, pages 2251-2265, DOI: 10.1080/00036840903153804.
• Martin Schneider & Gerhard Fenz, 2011, "Transmission of business cycle shocks between the US and the euro area," Applied Economics, Taylor & Francis Journals, volume 43, issue 21, pages 2777-2793, DOI: 10.1080/00036840903373311.
• Juan Carlos Cuestas & Estefania Mourelle, 2011, "Nonlinearities in real exchange rate determination: do African exchange rates follow a random walk?," Applied Economics, Taylor & Francis Journals, volume 43, issue 2, pages 243-258, DOI: 10.1080/00036840802467065.
• Thomas Gries & Manfred Kraft & Daniel Meierrieks, 2011, "Financial deepening, trade openness and economic growth in Latin America and the Caribbean," Applied Economics, Taylor & Francis Journals, volume 43, issue 30, pages 4729-4739, DOI: 10.1080/00036846.2010.498352.
• Thomas Gries & Tim Krieger & Daniel Meierrieks, 2011, "Causal Linkages Between Domestic Terrorism and Economic Growth," Defence and Peace Economics, Taylor & Francis Journals, volume 22, issue 5, pages 493-508, June, DOI: 10.1080/10242694.2010.532943.