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

2010

• Marc K. Francke & Siem Jan Koopman & Aart F. De Vos, 2010, "Likelihood functions for state space models with diffuse initial conditions," Journal of Time Series Analysis, Wiley Blackwell, volume 31, issue 6, pages 407-414, November, DOI: 10.1111/j.1467-9892.2010.00673.x.
• Sylvia Kaufmann & Maria Teresa Valderrama, 2010, "The Role Of Credit Aggregates And Asset Prices In The Transmission Mechanism: A Comparison Between The Euro Area And The Usa," Manchester School, University of Manchester, volume 78, issue 4, pages 345-377, July, DOI: 10.1111/j.1467-9957.2009.02139.x.
• Pierre L. Siklos & Yang Zhang, 2010, "Identifying The Shocks Driving Inflation In China," Pacific Economic Review, Wiley Blackwell, volume 15, issue 2, pages 204-223, May, DOI: 10.1111/j.1468-0106.2010.00498.x.
• Thomas J. Flavin & Ekaterini Panopoulou, 2010, "Detecting Shift And Pure Contagion In East Asian Equity Markets: A Unified Approach," Pacific Economic Review, Wiley Blackwell, volume 15, issue 3, pages 401-421, August, DOI: 10.1111/j.1468-0106.2010.00510.x.
• Rosmy Jean Louis & Mohamed Osman & Faruk Balli, 2010, "Is the US Dollar a Suitable Anchor for the Newly Proposed GCC Currency?," The World Economy, Wiley Blackwell, volume 33, issue 12, pages 1898-1922, December.
• Michiel de Pooter & Francesco Ravazzolo & Dick van Dijk, 2010, "Term structure forecasting using macro factors and forecast combination," Working Paper, Norges Bank, number 2010/01, Mar.
• Francesco Ravazzolo & Shaun P. Vahey, 2010, "Forecast densities for economic aggregates from disaggregate ensembles," Working Paper, Norges Bank, number 2010/02, Mar.
• Hilde Bjørnland & Karsten Gerdrup & Christie Smith & Anne Sofie Jore & Leif Anders Thorsrud, 2010, "Weights and pools for a Norwegian density combination," Working Paper, Norges Bank, number 2010/06, May.
• Geir E. Alstad, 2010, "The long-run exchange rate for NOK: a BEER approach," Working Paper, Norges Bank, number 2010/19, 19.
• Davide Debortoli & Junior Maih & Ricardo Nunes, 2010, "Loose commitment in medium-scale macroeconomic models: Theory and an application," Working Paper, Norges Bank, number 2010/25, Dec.
• Hilde C. Bjørnland & J rn I. Halvorsen, 2010, "How does monetary policy respond to exchange rate movements? New international evidence," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 1/2010, Nov.
• Halbert White & Karim Chalak & Xun Lu, 2010, "Linking Granger Causality and the Pearl Causal Model with Settable Systems," Boston College Working Papers in Economics, Boston College Department of Economics, number 744, Aug.
• Haroon Mumtaz & Laura Sunder-Plassmann, 2010, "Time-varying dynamics of the real exchange rate. A structural VAR analysis," Bank of England working papers, Bank of England, number 382, Mar.
• Zacharias Bragoudakis & Stelios Panagiotou, 2010, "Determinants of the receipts from shipping services: the case of Greece," Economic Bulletin, Bank of Greece, issue 34, pages 41-55, September.
• Luca Fanelli, 2010, "Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models," Quaderni di Dipartimento, Department of Statistics, University of Bologna, number 4.
• Miller J. Isaac, 2010, "A Nonlinear IV Likelihood-Based Rank Test for Multivariate Time Series and Long Panels," Journal of Time Series Econometrics, De Gruyter, volume 2, issue 1, pages 1-38, September, DOI: 10.2202/1941-1928.1057.
• João Frois Caldeira & Marcelo Savino Portugal, 2010, "Long-Short Market Neutral and Index Tracking Strategies Based on Cointegrated Portfolios," Brazilian Review of Finance, Brazilian Society of Finance, volume 8, issue 4, pages 469-504.
• Alain Guay & Jean-Francois Lamarche, 2010, "Structural change tests for GEL criteria," Working Papers, Brock University, Department of Economics, number 1002, Feb.
• Dominique Guégan, 2010, "Effect of Noise Filtering on Predictions :on the Routes of Chaos," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, volume 53, issue 2, pages 255-272.
• Yannick Le Pen & Benoît Sévi, 2010, "Impact d'un choc sur les corrélations de trois indices boursiers. La faillite de Lehman Brothers," Revue économique, Presses de Sciences-Po, volume 61, issue 3, pages 407-419.
• Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010, "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/03, Jan.
• Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010, "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/04, Jan.
• Massimiliano Caporin & Michael McAleer, 2010, "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/06, Jan.
• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010, "Analyzing and Forecasting Volatility Spillovers, Asymmetries and Hedging in Major Oil Markets," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/19, Apr.
• Manabu Asai & Massimiliano Caporin & Michael McAleer, 2010, "Block Structure Multivariate Stochastic Volatility Models," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/24, May.
• Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat, 2010, "Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/27, May.
• Michael McAleer & Massimiliano Caporin, 2010, "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/32, Apr.
• Massimiliano Caporin & Michael McAleer, 2010, "Ranking Multivariate GARCH Models by Problem Dimension," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/34, May.
• Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat, 2010, "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/38, Jan.
• Michael McAleer & Les Oxley, 2010, "Ten Things We Should Know About Time Series," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/42, Jun.
• David Grreasley, 2010, "Cliometrics and Time Series Econometrics: Some Theory and Applications," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/56, Sep.
• Massimiliano Caporin & Michael McAleer, 2010, "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 10/73, Nov.
• Alassane DRABO, 2010, "Interrelationships between Health, Environment Quality and Economic Activity: What Consequences for Economic Convergence," Working Papers, CERDI, number 201005, Jan.
• Bonsoo Koo & Oliver Linton, 2010, "Semiparametric Estimation of Locally Stationary Diffusion Models," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 551, Aug.
• Gabriella Deborah Legrenzi & Costas Milas, 2010, "Spend-and-Tax Adjustments and the Sustainability of the Government's Intertemporal Budget Constraint," CESifo Working Paper Series, CESifo, number 2926.
• Guglielmo Maria Caporale & Alessandro Girardi, 2010, "Price Formation on the EuroMTS Platform," CESifo Working Paper Series, CESifo, number 2938.
• Guglielmo Maria Caporale & Nicola Spagnolo, 2010, "Stock Market Integration between three CEECs, Russia and the UK," CESifo Working Paper Series, CESifo, number 2978.
• Guglielmo Maria Caporale & Davide Ciferri & Alessandro Girardi, 2010, "Time-Varying Spot and Futures Oil Price Dynamics," CESifo Working Paper Series, CESifo, number 3015.
• Helmut Lütkepohl, 2010, "Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights," CESifo Working Paper Series, CESifo, number 3031.
• Stephane Dees & M. Hashem Pesaran & L. Vanessa Smith & Ron P. Smith, 2010, "Supply, Demand and Monetary Policy Shocks in a Multi-Country New Keynesian Model," CESifo Working Paper Series, CESifo, number 3081.
• John Beirne & Guglielmo Maria Caporale & Nicola Spagnolo, 2010, "Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach," CESifo Working Paper Series, CESifo, number 3115.
• Kai Carstensen & Klaus Wohlrabe & Christina Ziegler, 2010, "Predictive Ability of Business Cycle Indicators under Test: A Case Study for the Euro Area Industrial Production," CESifo Working Paper Series, CESifo, number 3158.
• Klaus Abberger & Wolfgang Nierhaus, 2010, "The Ifo Business Cycle Clock: Circular Correlation with the Real GDP," CESifo Working Paper Series, CESifo, number 3179.
• Guglielmo Maria Caporale & Alessandro Girardi & Paolo Paesani, 2010, "Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market," CESifo Working Paper Series, CESifo, number 3281.
• Boris Hofmann & Gert Peersman & Roland Straub, 2010, "Time Variation in U.S. Wage Dynamics," CESifo Working Paper Series, CESifo, number 3291.
• Marc S. PAOLELLA, 2010, "ALRIGHT: Asymmetric LaRge-Scale(I)GARCH with Hetero-Tails," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 10-27, Jun, revised Jun 2010.
• Leo Michelis & Cathy Ning, 2010, "The dependence structure between the Canadian stock market and the USD/CAD exchange rate: a copula approach," Canadian Journal of Economics, Canadian Economics Association, volume 43, issue 3, pages 1016-1039, August, DOI: 10.1111/j.1540-5982.2010.01604.x.
• Katerina Arnostova & David Havrlant & Lubos Ruzicka & Peter Toth, 2010, "Short-Term Forecasting of Czech Quarterly GDP Using Monthly Indicators," Working Papers, Czech National Bank, Research and Statistics Department, number 2010/12, Dec.
• Sergio Mayordomo & Juan Ignacio Peña & Juan Romo, 2010, "The Effects of Liquidity on the Price Discovery Process in Credit Derivatives Markets in Times of Financial Distress," CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department, number CNMV Working Papers no. 4.
• Fredy Vásquez Bedoya & Sergio Iván Restrepo Ochoa & John Fernando Lopera Sierra, 2010, "Una revisión crítica de las técnicas de filtrado para la teoría de los ciclos económicos reales," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Jorge Luis Hurtado Guar�n & Luis Fernando Melo Velandia, 2010, "Una metodolg�a multivariada de desagregaci�n temporal," Borradores de Economia, Banco de la Republica, number 6709, Feb.
• Hernando Vargas Herrera & Carlos Varela & Yanneth R. Betancourt & Norberto Rodr�guez, 2010, "Effects of Reserve Requirements in an Inflation Targeting Regime: The Case of Colombia," Borradores de Economia, Banco de la Republica, number 6710, Feb.
• Luz Adriana Fl�rez, 2010, "Monetary Policy and Commodity Prices: an endogenous analysis using an SVAR approach," Borradores de Economia, Banco de la Republica, number 7183, Jun.
• Andr�s Gonz�lez & Omar mendoza & Hern�n Rinc�n & Norberto Rodr�guez, 2010, "Ciclo econ�mico y efecto inflacionario de la depreciaci�n de la moneda," Borradores de Economia, Banco de la Republica, number 7194, Jun.
• Ana Mar�a Iregui B. & Ligia Alba Melo B. & Mar�a Teresa Ram�rez G., 2010, "Downward Wage Rigidities and Other Firms� Responses to an Economic Slowdown: Evidence from a Survey of Colombian Firms," Borradores de Economia, Banco de la Republica, number 7195, Jul.
• Luis Fernando Melo Velandia & Joan Camilo Granados Castro, 2010, "Regulaci�n y Valor en Riesgo," Borradores de Economia, Banco de la Republica, number 7272, Jul.
• Eliana Gonz�lez & Luis F. Melo & Luis E. Rojas & Brayan Rojas, 2010, "Estimations of the natural rate of interest in Colombia," Borradores de Economia, Banco de la Republica, number 7667, Nov.
• Clara Lia Machado & Carlos Le�n & Miguel Sarmiento & Orlando Chipatecua, 2010, "Riesgo Sist�mico y Estabilidad del Sistema de Pagos de Alto Valor en Colombia: An�lisis bajo Topolog�a de Redes y Simulaci�n de Pagos," Borradores de Economia, Banco de la Republica, number 7669, Nov.
• Ana Mar�a Iregui B. & Ligia Alba Melo B. & Mar�a Teresa Ram�rez, 2010, "Wage differentials across economic sectors in the Colombian formal labour market: evidence from a survey of firms," Borradores de Economia, Banco de la Republica, number 7736, Dec.
• Marcelo Sánchez, 2010, "What Drives Business Cycles and International Trade in Emerging Market Economies?," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 28, issue 61, pages 198-271, DOI: 10.32468/Espe.6106.
• Alejandro Torres & Remberto Rhenals G & Wilman G�mez M, 2010, "Crisis financieras y efectividad de la política de prestamista de última instancia: un modelo de equilibrio general dinámico para el caso colombiano," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 28, issue 61, pages 272-306, DOI: 10.32468/Espe.6107.
• Diego Alonso Agudelo Rueda, 2010, "Liquidez en los mercados accionarios colombianos. Cuánto hemos avanzado en los últimos 10 anos?," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 10654, Aug.
• Carlo José Pena, 2010, "Shocks exógenos, dinámica macroeconómica e inversión privada. Venezuela, 1968-2009," Perfil de Coyuntura Económica, Universidad de Antioquia, CIE.
• Jaime Andrés Collazos & Pedro Luis Rosero, 2010, "¿Posee el Valle del Cauca una economía transformadora de importaciones orientadas a la Exportación?," Documentos de Políticas Públicas, Universidad Icesi, number 6880, Apr.
• Juan Esteban Carranza & Ximena Duenas Herrera & Carlos Giovanni González, 2010, "Lo dicen los datos: La violencia homicida en Colombia es un resultado del ciclo económico," Documentos de Políticas Públicas, Universidad Icesi, number 7043, Jun.
• Pedro Pablo Sanabria & Natalia Solano & Juan Sebastián Corrales M, 2010, "Seguimiento a las Finanzas Públicas de Cali 2007-2008," Documentos de Políticas Públicas, Universidad Icesi, number 7044, Jun.
• Danny Garcia Callejas, 2010, "Corruption, Economic Freedom and Political Freedom in South America: In Pursuit of the missing Link," Borradores Departamento de Economía, Universidad de Antioquia, CIE, number 7336, Aug.
• Robinson Castro Ávila & Andrés Mauricio Castano Zuluaga & Jorge Leonardo Castillo Loaiza & Vanessa Bello Rosales, 2010, "Determinantes De Las Importaciones Y Su Efecto En La Variacion Del Ipc En Colombia En El Periodo 1999-2008," Revista Jornadas de Investigación, Universidad de Cartagena.
• Martha Misas A & Juan Jos� Echavarr�a S & Enrique L�pez E, 2010, "Intervenciones cambiarias y política monetaria en Colombia. Un análisis de var estructural," Vniversitas Económica, Universidad Javeriana - Bogotá, volume 0, issue 0, pages 1-37.
• Henry Laverde, 2010, "Efectividad de la política fiscal sobre la producción y la inequidad en Colombia: 1990-2006," Revista Equidad y Desarrollo, Universidad de la Salle, DOI: 10.19052/ed.207.
• Héctor Horacio Murcia Cabra & Iv�n Mauricio Corredor Avellaneda, 2010, "Componentes económicos y administrativos de un modelo agroempresarial sostenible," Revista Equidad y Desarrollo, Universidad de la Salle, DOI: 10.19052/ed.206.
• LAURENT, Sébastien & ROMBOUTS, Jeroen V. K. & VIOLANTE, Francesco, 2010, "On the forecasting accuracy of multivariate GARCH models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2010025, May.
• SBRANA, Giacomo & SILVESTRINI, Andrea, 2010, "Aggregation of exponential smoothing processes with an application to portfolio risk evaluation," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2010039, Jul.
• Minford, Patrick & Wickens, Michael R. & Le, Vo Phuong Mai, 2010, "Some Problems in the Testing of DSGE Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7621, Jan.
• Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2010, "Forecasting with Factor-augmented Error Correction Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7677, Feb.
• Forni, Mario & Gambetti, Luca, 2010, "Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7692, Feb.
• Marcellino, Massimiliano & Kapetanios, George, 2010, "Factor-GMM Estimation with Large Sets of Possibly Weak Instruments," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7726, Mar.
• Garratt, Anthony & Vahey, Shaun & Mitchell, James, 2010, "Measuring Output Gap Uncertainty," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7742, Mar.
• Marcellino, Massimiliano & Knüppel, Malte & Jordà , Ã’scar, 2010, "Empirical Simultaneous Confidence Regions for Path-Forecasts," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7797, Apr.
• Forni, Mario & Gambetti, Luca, 2010, "Fiscal Foresight and the Effects of Goverment Spending," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7840, May.
• Muellbauer, John & Aron, Janine, 2010, "Does aggregating forecasts by CPI component improve inflation forecast accuracy in South Africa?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7895, Jun.
• Taylor, Alan M. & Jordà , Ã’scar & Chong, Yanping, 2010, "The Harrod-Balassa-Samuelson Hypothesis: Real Exchange Rates and their Long-Run Equilibrium," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7902, Jun.
• Altug, Sumru & Bildirici, Melike, 2010, "Business Cycles around the Globe: A Regime-switching Approach," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7968, Aug.
• Wright, Jonathan & Gürkaynak, Refet, 2010, "Macroeconomics and the Term Structure," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8018, Sep.
• Chang, Yongsung & Schorfheide, Frank, 2010, "Labor-Market Heterogeneity, Aggregation, and the Lucas Critique," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8039, Oct.
• Muellbauer, John & Sinclair, Peter & Aron, Janine & Farrell, Greg, 2010, "Exchange Rate Pass-through and Monetary Policy in South Africa," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8153, Dec.
• Martin Uebele, 2010, "Demand Matters: German Wheat Market Integration 1806-1855 in a European Context," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 1110, Feb.
• Nuno Cassola & Claudio Morana, 2010, "The 2007-? financial crisis: a money market perspective," CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy), number 102, Nov.
• Nikolaos Giannellis & Athanasios Papadopoulos, 2010, "What Causes Exchange Rate Volatility? Evidence from Selected EMU Members and Candidates for EMU Membership Countries," Working Papers, University of Crete, Department of Economics, number 1004, Jan.
• Bjørnland, Hilde C. & Jacobsen, Dag Henning, 2010, "The role of house prices in the monetary policy transmission mechanism in small open economies," Journal of Financial Stability, Elsevier, volume 6, issue 4, pages 218-229, December.
• Bouakez, Hafedh & Normandin, Michel, 2010, "Fluctuations in the foreign exchange market: How important are monetary policy shocks?," Journal of International Economics, Elsevier, volume 81, issue 1, pages 139-153, May.
• Schorfheide, Frank & Sill, Keith & Kryshko, Maxym, 2010, "DSGE model-based forecasting of non-modelled variables," International Journal of Forecasting, Elsevier, volume 26, issue 2, pages 348-373, April.
• Dovern, Jonas & Meier, Carsten-Patrick & Vilsmeier, Johannes, 2010, "How resilient is the German banking system to macroeconomic shocks?," Journal of Banking & Finance, Elsevier, volume 34, issue 8, pages 1839-1848, August.
• Cassola, Nuno & Morana, Claudio, 2010, "Comovements in volatility in the euro money market," Journal of International Money and Finance, Elsevier, volume 29, issue 3, pages 525-539, April.
• Bredin, Don & Hyde, Stuart & Reilly, Gerard O., 2010, "Monetary policy surprises and international bond markets," Journal of International Money and Finance, Elsevier, volume 29, issue 6, pages 988-1002, October.
• Serwa, Dobromil, 2010, "Larger crises cost more: Impact of banking sector instability on output growth," Journal of International Money and Finance, Elsevier, volume 29, issue 8, pages 1463-1481, December.
• Boileau, Martin & Normandin, Michel & Powo Fosso, Bruno, 2010, "Global versus country-specific shocks and international business cycles," Journal of Macroeconomics, Elsevier, volume 32, issue 1, pages 1-16, March.
• Kurita, Takamitsu, 2010, "Effects of a signal-to-noise ratio on finite sample inference for cointegrating vectors," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 80, issue 10, pages 2033-2039, DOI: 10.1016/j.matcom.2010.03.008.
• Iskrev, Nikolay, 2010, "Local identification in DSGE models," Journal of Monetary Economics, Elsevier, volume 57, issue 2, pages 189-202, March.
• Forni, Mario & Gambetti, Luca, 2010, "The dynamic effects of monetary policy: A structural factor model approach," Journal of Monetary Economics, Elsevier, volume 57, issue 2, pages 203-216, March.
• Johansson, Anders C., 2010, "Asian sovereign debt and country risk," Pacific-Basin Finance Journal, Elsevier, volume 18, issue 4, pages 335-350, September.
• Hammoudeh, Shawkat M. & Yuan, Yuan & McAleer, Michael & Thompson, Mark A., 2010, "Precious metals-exchange rate volatility transmissions and hedging strategies," International Review of Economics & Finance, Elsevier, volume 19, issue 4, pages 633-647, October.
• Alagidede, Paul & Panagiotidis, Theodore, 2010, "Can common stocks provide a hedge against inflation? Evidence from African countries," Review of Financial Economics, Elsevier, volume 19, issue 3, pages 91-100, August.
• Boppana Nagarjuna & Varadi Vijay Kumar, 2010, "Heat waves or Meteor showers: Empirical evidence from the stock markets," Journal of Economics and Econometrics, Economics and Econometrics Society, volume 53, issue 2, pages 57-74.
• Francesco Ravazzolo & Shaun P. Vahey, 2010, "Forecast Densities for Economic Aggregates from Disaggregate Ensembles," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2010-10, Apr.
• Anthony Garratt & James Mitchell & Shaun P. Vahey & Elizabeth C. Wakerly, 2010, "Real-time Inflation Forecast Densities from Ensemble Phillips Curves," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2010-34, Dec.
• Tsyplakov Alexander, 2010, "The links between inflation and inflation uncertainty at the longer horizon," EERC Working Paper Series, EERC Research Network, Russia and CIS, number 10/09e, Nov.
• Elisa Yamazaki Tanabe & José Carlos Ramírez Sánchez, 2010, "Evaluación del impacto del mercado de derivados en los canales de transmisión de la política monetaria en México: Metodologías VAR y M-GARCH," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 4, issue 2, pages 47-78.
• Ferreira García, María Eva & Gil Bazo, Javier & Orbe Mandaluniz, Susan, 2010, "Conditional beta pricing models: A nonparametric approach," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística), number 1134-8984.
• Vázquez Pérez, Jesús & María-Dolores, Ramón & Londoño Yarce, Juan Miguel, 2010, "On the Informational Role of Term Structure in the U.S. Monetary Policy Rule," DFAEII Working Papers, University of the Basque Country - Department of Foundations of Economic Analysis II, number 1988-088X, Jan.
• Francesco Lippi & Andrea Nobili, 2010, "Oil and the Macroeconomy: A Quantitative Structural Analysis," EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF), number 1009, revised Apr 2010.
• Fabrício de Assis C. Vieira & Márcio Holland, 2010, "Economic growth and foreign liquidity in Brazil after 1970," Brazilian Journal of Political Economy, FGV EAESP, volume 30, issue 2, pages 233-253, April.
• Fabrício de Assis C. Vieira & Márcio Holland, 2010, "Economic growth and foreign liquidity in Brazil after 1970," Brazilian Journal of Political Economy, FGV EAESP, volume 30, issue 2, pages 233-253, April.
• Nilanjan Banik & John Gilbert, 2010, "Regional Integration and Trade Costs in South Asia," Chapters, Edward Elgar Publishing, chapter 4, in: Douglas H. Brooks & Susan F. Stone, "Trade Facilitation and Regional Cooperation in Asia".
• Bentancor, Andrea & Pincheira, Pablo, 2010, "Predicción de errores de proyección de inflación en Chile," El Trimestre Económico, Fondo de Cultura Económica, volume 77, issue 305, pages 129-154, enero-mar, DOI: http://dx.doi.org/10.20430/ete.v77i.
• Rangan Gupta & Alain Kabundi, 2010, "The effect of monetary policy on house price inflation," Journal of Economic Studies, Emerald Group Publishing Limited, volume 37, issue 6, pages 616-626, November, DOI: 10.1108/01443581011086657.
• Abu N.M. Wahid & Mohammad Salahuddin & Abdullah M. Noman, 2010, "Savings and investment in South Asia," Journal of Economic Studies, Emerald Group Publishing Limited, volume 37, issue 6, pages 658-666, November, DOI: 10.1108/01443581011086684.
• Sven Blank & Jonas Dovern, 2010, "What macroeconomic shocks affect the German banking system?," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 2, issue 2, pages 126-148, June, DOI: 10.1108/17576381011070193.
• Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2010, "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2010-10, Feb.
• Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2010, "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2010-12, Feb.
• Caporin, M. & McAleer, M.J., 2010, "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2010-13, Feb.
• Chang, C-L. & McAleer, M.J. & Tansuchat, R., 2010, "Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2010-14, Mar.
• Caporin, M. & McAleer, M.J., 2010, "Ranking multivariate GARCH models by problem dimension," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2010-34, May.
• Caporin, M. & McAleer, M.J., 2010, "Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2010-36, May.
• McAleer, M.J. & Oxley, L., 2010, "Ten Things We Should Know About Time Series," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2010-49, Jul.
• Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen Miller, 2010, "Forecasting Nevada Gross Gaming Revenue and Taxable Sales Using Coincident and Leading Employment Indexes," Working Papers, Eastern Mediterranean University, Department of Economics, number 15-01.
• Hadi Salehi Esfahani & Kamiar Mohaddes & M. Hashem Pesaran, 2010, "Oil Exports and the Iranian Economy," Working Papers, Economic Research Forum, number 534, Jan, revised 07 Jan 2010.
• Adamopoulos Antonios, 2010, "Credit Market Development and Economic Growth: An Empirical Analysis for Ireland," European Research Studies Journal, European Research Studies Journal, volume 0, issue 4, pages 3-18.
• Sudipto Mundle & N.R. Bhanumurthy & Surajit Das, 2010, "Fiscal Consolidation with High Growth A Policy Simulation Model for India," Working Papers, eSocialSciences, number id:2825, Sep.
• Orlando Reyes. & Roberto Escalante. & Anna Matas., 2010, "La demanda de gasolinas en México: Efectos y alternativas ante el cambio climático," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, volume 32, issue 1, pages 83-111, Enero-Jun, DOI: 10.24275/ETYPUAM/NE/322010/Reyes.
• Rossella Calvi, 2010, "Assessing financial integration: a comparison between Europe and East Asia," European Economy - Economic Papers 2008 - 2015, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission, number 423, Sep.
• Katarzyna Maciejowska, 2010, "Estimation methods comparison of SVAR model with the mixture of two normal distributions - Monte Carlo analysis," Economics Working Papers, European University Institute, number ECO2010/27.
• Alexander Alexeev, 2010, "Investigation of Cointegration of Oil Prices and Russian Market Indices," EUSP Department of Economics Working Paper Series, European University at St. Petersburg, Department of Economics, number 2010/03, Sep, revised 04 Oct 2010.
• Olga Podkorytova & Tatyana Chigvintseva, 2010, "Oil Price Influence on Russian Macroeconomic Indicators," EUSP Department of Economics Working Paper Series, European University at St. Petersburg, Department of Economics, number 2010/04, Oct, revised 26 Oct 2010.
• Frédéric Karamé, 2010, "Impulse-Response Functions in Markov-Switching Structural Vector AutoRegressions: a Step Further," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne, number 10-03.
• Frédéric Karamé & Alexandra Olmedo, 2010, "Asymmetric Properties of Impulse Response Functions in Markov-Switching Structural Vector AutoRegressions," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne, number 10-04.
• Francesca Finotto & Roberto Monaco & Giorgia Servente, 2010, "Un modello per la valutazione di energia biologica in un sistema ambientale," SCIENZE REGIONALI, FrancoAngeli Editore, volume 2010, issue 3, pages 61-84.
• Carlo Migliardo, 2010, "Monetary Policy Transmission in Italy: A BVAR Analysis with Sign Restriction," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, volume 4, issue 2, pages 139-167, June.
• Vít Bubák, 2010, "Forecasting the Quantiles of Daily Equity Returns Using Realized Volatility: Evidence from the Czech Stock Market," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, volume 4, issue 3, pages 295-314, November.
• Michal Franta & Branislav Saxa & Kateøina Šmídková, 2010, "The Role of Inflation Persistence in the Inflation Process in the New EU Member States," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 60, issue 6, pages 480-500, December.
• Elena Fedorova & Kashif Saleem, 2010, "Volatility Spillovers between Stock and Currency Markets: Evidence from Emerging Eastern Europe," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 60, issue 6, pages 519-533, December.
• Tomas Cipra, 2010, "Securitization of Longevity and Mortality Risk," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 60, issue 6, pages 545-560, December.
• Michael Princ, 2010, "Relationship between Czech and European developed stock markets: DCC MVGARCH analysis," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2010/09, May, revised May 2010.
• Jesús Crespo Cuaresma & Adam Gersl & Tomáš Slačík, 2010, "Global Financial Crisis and the Puzzling Exchange Rate Path in CEE Countries," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2010/24, Sep, revised Sep 2010.
• Emerson Fernandes Marçal & Fernando Barbi, 2010, "“Quo Vadis Real? Estimating the Brazilian Real Exchange Rate Misalignment in Vector Error Correction Model with Structural Change”," Working Papers, Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto, number 10-2010.
• Min Gong & Wenpu Li, 2010, "Assessing the Role of Aggregate Demand and Supply Shocks in China’s Macroeconomic Fluctuation," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 5, issue 3, pages 464-488, September.
• Amor Divino, José Ângelo Costa do & Andrade, Joaquim Pinto de & Teles, Vladimir Kuhl, 2010, "On the purchasing power parity for Latin-American countries," Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil), number 227, Jun.
• Athanasopoulos, George & Guillen, Osmani Teixeira Carvalho & Issler, João Victor & Vahid, Farshid, 2010, "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 704, Mar.
• Athanasopoulos, George & Guillen, Osmani Teixeira Carvalho & Issler, João Victor & Vahid, Farshid, 2010, "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 707, Sep.
• Michiel De Pooter & Francesco Ravazzolo & Dick van Dijk, 2010, "Term structure forecasting using macro factors and forecast combination," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 993.
• Marco Del Negro & Stefano Eusepi, 2010, "Fitting observed inflation expectations," Staff Reports, Federal Reserve Bank of New York, number 476, Nov.
• Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas, 2010, "Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number wp2010_06, Jul.
• Wajih Khallouli & Modibo René Sandretto, 2010, "Testing for “contagion” of the subprime crisis on the Middle East and North African stock markets : A Markov Switching EGARCH approach," Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Etienne (GATE Lyon St-Etienne), Université de Lyon, number 1022.
• Valter Di Giacinto & Giacinto Micucci & Pasqualino Montanaro, 2010, "Dynamic Macroeconomic Effects of Public Capital: Evidence from Regional Italian Data," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, volume 69, issue 1, pages 29-66, April.
• Joseph P. Byrne & Fatima Kaneez & Alexandros Kontonikas, 2010, "Inflation and Globalisation: A Dynamic Factor Model with Stochastic Volatility," Working Papers, Business School - Economics, University of Glasgow, number 2010_09, Jan.
• Rico Ihle & Joseph Amikuzuno, 2010, "Assessing Seasonal Asymmetric Price Transmission in Ghanaian Tomato Markets With the Johansen Estimation Method," Courant Research Centre: Poverty, Equity and Growth - Discussion Papers, Courant Research Centre PEG, number 53, Dec.
• Rico Ihle & Stephan von Cramon-Taubadel, 2010, "Price Dynamics in Tanzanian Maize Markets: Insights from a Semiparametric Cointegration Model," Courant Research Centre: Poverty, Equity and Growth - Discussion Papers, Courant Research Centre PEG, number 54, Dec.
• Dietmar Bauer & Alex Maynard, 2010, "Persistence-robust Granger causality testing," Working Papers, University of Guelph, Department of Economics and Finance, number 1011, Jun.
• Tara Sinclair & Yeuqing Jia, 2010, "Permanent and Transitory Macroeconomic Relationships between China and the Developed World," Working Papers, The George Washington University, Institute for International Economic Policy, number 2010-08, Oct.
• Carl Bonham & Calla Wiemer, 2010, "Chinese Saving Dynamics: The Impact of GDP Growth and Dependent Share," Working Papers, University of Hawaii Economic Research Organization, University of Hawaii at Manoa, number 2010-11R, Jul, revised 11 Jan 2012.
• Peter Fuleky & Carl Bonham, 2010, "Forecasting Based on Common Trends in Mixed Frequency Samples," Working Papers, University of Hawaii Economic Research Organization, University of Hawaii at Manoa, number 2010-17R1, Dec, revised Jul 2013.
• Carl Bonham & Call Wiemer, 2010, "Chinese Saving Dynamics: The Impact of GDP Growth and the Dependent Share," Working Papers, University of Hawaii at Manoa, Department of Economics, number 201019, Jul.
• Vit Bubak, 2010, "Forecasting the Quantiles of Daily Equity Returns Using Realized Volatility: Evidence from the Czech Stock Market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00650666.
• Hayette Gatfaoui, 2010, "Investigating the Dependence Structure between Credit Default Swap Spreads and the U.S. Financial Market," Post-Print, HAL, number hal-00565525, Nov, DOI: 10.1007/s10436-009-0139-5.
• Vit Bubak, 2010, "Forecasting the Quantiles of Daily Equity Returns Using Realized Volatility: Evidence from the Czech Stock Market," Post-Print, HAL, number hal-00650666.
• Szabolcs Blazsek & Alvaro Escribano, 2010, "Knowledge spillovers in U.S. patents: A dynamic patent intensity model with secret common innovation factors," Post-Print, HAL, number hal-00732533, Sep, DOI: 10.1016/j.jeconom.2010.04.004.
• Cees Diks & Valentyn Panchenko & Dick van Dijk, 2010, "Out-of-sample comparison of copula specifications in multivariate density forecasts," Post-Print, HAL, number hal-00732675, Sep, DOI: 10.1016/j.jedc.2010.06.021.
• Serge Rey, 2010, "La vulnérabilité des pays Méditerranéens aux chocs des prix des matières premières," Post-Print, HAL, number hal-01879880.
• Frédéric Karamé, 2010, "Impulse–response functions in Markov-switching structural vector autoregressions: A step further," Post-Print, HAL, number hal-02297082, Mar, DOI: 10.1016/j.econlet.2009.11.009.
• Jean-Sébastien Pentecôte, 2010, "Long-run identifying restrictions on VARs within the AS-AD framework," Post-Print, HAL, number halshs-00554867, Nov.
• Wajih Khallouli & René Sandretto, 2010, "Testing for "contagion" of the subprime crisis on the Middle East and North African stock markets: A Markov Switching EGARCH approach," Post-Print, HAL, number halshs-00589830, Nov.
• Sylvain Prado, 2010, "A Family Hitch: Econometrics of the New and the Used Car Markets," Working Papers, HAL, number hal-04140927.
• Yusho Kagraoka & Zakaria Moussa, 2010, "Quantitative Easing, Credibility and the Time-Varying Dynamics of the Term Structure of Interest rate in Japan," Working Papers, HAL, number halshs-00543010, Dec.
• Serge Rey, 2010, "La vulnerabilite des pays mediterraneens aux chocs des prix des matieres premieres," Working papers of CATT, HAL, number hal-01880357, Nov.
• Raabe, Katharina, 2010, "Factors Explaining Crop Price Developments - Time-Series Evidence for Developing and Developed Countries," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-451, Jul.
• Hacker, Scott & Kim, Hyunjoo & Månsson, Kristofer, 2010, "An Investigation of the Causal Relations between Exchange Rates and Interest Rate Differentials Using Wavelets," Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies, number 215, Feb.
• Hacker, R. Scott & Hatemi-J, Abdulnasser, 2010, "A Bootstrap Test for Causality with Endogenous Lag Length Choice - theory and application in finance," Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies, number 223, Apr.
• Johansson, Anders C., 2010, "Stock and Bond Relationships in Asia," Working Paper Series, Stockholm School of Economics, China Economic Research Center, number 2010-14, Apr.
• Johansson, Anders C., 2010, "China’s Growing Influence in Southeast Asia - Monetary Policy and Equity Markets," Working Paper Series, Stockholm School of Economics, China Economic Research Center, number 2010-16, May.
• Månsson, Kristofer & Shukur, Ghazi & Sjölander, Pär, 2010, "A New Ridge Regression Causality Test in the Presence of Multicollinearity," HUI Working Papers, HUI Research, number 37, Feb.
• Hellström, Jörgen & Soultanaeva, Albina, 2010, "The Impact of Stock Market Jumps on Time-Varying Return Correlations: Empirical Evidence from the Baltic Countries," Umeå Economic Studies, Umeå University, Department of Economics, number 816, Dec.
• Soultanaeva, Albina, 2010, "Financial Intermediation and Economic Growth: Evidence from the Baltic countries," Umeå Economic Studies, Umeå University, Department of Economics, number 817, Dec.
• Eiji Kurozumi & Purevdorj Tuvaandorj, 2010, "Model Selection Criteria in Multivariate Models with Multiple Structural Changes," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd10-144, Jun.
• Shinya Tanaka & Eiji Kurozumi, 2010, "Investigating Finite Sample Properties of Estimators for Approximate Factor Models When N Is Small," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd10-156, Dec.