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

2009

• Rangan Gupta & Alain Kabundi & Emmanuel Ziramba, 2009, "The Effect Of Defense Spending On Us Output: A Factor Augmented Vector Autoregression (Favar) Approach," Working Papers, University of Pretoria, Department of Economics, number 200911, Mar.
• Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009, "Using Large Data Sets to Forecast Housing Prices: A Case Study of Twenty US States," Working Papers, University of Pretoria, Department of Economics, number 200912, May.
• Rangan Gupta & Marius Jurgilas & Alain Kabundi & Stephen M. Miller, 2009, "Monetary Policy and Housing Sector Dynamics in a Large-Scale Bayesian Vector Autoregressive Model," Working Papers, University of Pretoria, Department of Economics, number 200913, Jun.
• Rangan Gupta & Alain Kabundi & Mampho P. Modise, 2009, "Has the SARB Become More Effective Post Inflation Targeting?," Working Papers, University of Pretoria, Department of Economics, number 200925, Nov.
• Rangan Gupta & Christian K. Tipoy & Sonali Das, 2009, "Could We Have Predicted the Recent Downturn in Home Sales of the Four US Census Regions?," Working Papers, University of Pretoria, Department of Economics, number 200926, Dec.
• Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009, "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working Papers, University of Pretoria, Department of Economics, number 200927, Dec.
• Jiří Škop & Jan Vejmělek, 2009, "Od parity kupní síly k natrexu - případ české koruny
  [From PPP to Natrex - the Case of Czech Crown]," Politická ekonomie, Prague University of Economics and Business, volume 2009, issue 3, pages 323-343, DOI: 10.18267/j.polek.687.
• Markéta Arltová & Jitka Langhamrová, 2009, "Analýza vztahů časových řad porodnosti a sňatečnosti v české republice v letech 1960-2007
  [Analysis of the relations of time series of the birth rate and marriage rate in the czech republic in the years 1960-2007]," Politická ekonomie, Prague University of Economics and Business, volume 2009, issue 4, pages 495-508, DOI: 10.18267/j.polek.695.
• Joanna Bęza-Bojanowska, 2009, "Behavioral and Permanent Zloty/Euro Equilibrium," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 1, issue 1, pages 35-55, March.
• Justyna Wróblewska, 2009, "Bayesian Model Selection in the Analysis of Cointegration," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 1, issue 1, pages 57-69, March.
• Jacek Osiewalski & Anna Pajor, 2009, "Bayesian Analysis for Hybrid MSF-SBEKK Models of Multivariate Volatility," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 1, issue 2, pages 179-202, November.
• Andrzej Torój, 2009, "Solving Forward-Looking Models of Cross-Country Adjustment within the Euro Area," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 1, issue 3, pages 211-241, November.
• Radosław Cholewiński, 2009, "Real-Time Market Abuse Detection with a Stochastic Parameter Model," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 1, issue 3, pages 261-284, November.
• Nikolay Iskrev, 2009, "Local Identification in DSGE Models," Working Papers, Banco de Portugal, Economics and Research Department, number w200907.
• António Rua & Maximiano Pinheiro, 2009, "Dynamic factor models with jagged edge panel data: Taking on board the dynamics of the idiosyncratic components," Working Papers, Banco de Portugal, Economics and Research Department, number w200913.
• Rita Duarte, 2009, "The dynamic effects of shocks to wages and prices in the United States and the Euro Area," Working Papers, Banco de Portugal, Economics and Research Department, number w200915.
• Frank S. Nielsen & Morten Ø. Nielsen & Niels Haldrup, 2009, "A Vector Autoregressive Model For Electricity Prices Subject To Long Memory And Regime Switching," Working Paper, Economics Department, Queen's University, number 1211, Aug.
• Rokon Bhuiyan, 2009, "Identifying a Forward-Looking Monetary Policy in an Open Economy," Working Paper, Economics Department, Queen's University, number 1214, Sep.
• Alastair Cunningham & Jana Eklund & Chris Jeffery & George Kapetanios & Vincent Labhard, 2009, "A State Space Approach to Extracting the Signal from Uncertain Data," Working Papers, Queen Mary University of London, School of Economics and Finance, number 637, Feb.
• Alain Guay & Emmanuel Guerre & Štěpána Lazarová, 2009, "Adaptive Rate-optimal Detection of Small Autocorrelation Coefficients," Working Papers, Queen Mary University of London, School of Economics and Finance, number 645, Jun.
• Maria de Lourdes Rodriguez Espinosa & Ramon A. Castillo Ponce, 2009, "Empleo, productividad y salarios en Mexico: Un analisis de corto y de largo plazo para el sector manufacturero," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., volume 5, issue 2, pages 7-21, Enero-Jun.
• Ruijun Bu & Ludovic Giet & Kaddour Hadri & Michel Lubrano, 2009, "Modelling Multivariate Interest Rates using Time-Varying Copulas and Reducible Non-Linear Stochastic Differential," Economics Working Papers, Queen's Management School, Queen's University Belfast, number 09-02.
• Salas, Jorge, 2009, "¿Qué explica las fluctuaciones de la inflación en el Perú en el periodo 2002-2008? Evidencia de un análisis VAR estructural," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 16, pages 9-36.
• Humala, Alberto & Rodríguez, Gabriel, 2009, "Foreign Exchange Intervention and Exchange Rate Volatility in Peru," Working Papers, Banco Central de Reserva del Perú, number 2009-008, Mar.
• Humala, Alberto & Rodríguez, Gabriel, 2009, "Estimation of a Time Varying Natural Interest Rate for Peru," Working Papers, Banco Central de Reserva del Perú, number 2009-009, Mar.
• Rodríguez, Gabriel, 2009, "Estimating Output Gap, Core Inflation, and the NAIRU for Peru," Working Papers, Banco Central de Reserva del Perú, number 2009-011, Apr.
• Martial Dupaigne & Patrick Feve, 2009, "Technology shocks around the world," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 12, issue 4, pages 592-607, October, DOI: 10.1016/j.red.2008.12.002.
• Leonardo Melosi, 2009, "A Likelihood Analysis of Models with Information Frictions," 2009 Meeting Papers, Society for Economic Dynamics, number 1034.
• Pablo A. Guerron-Quintana & Martin Uribe & Juan Rubio-Ramirez & Jesús Fernández-Villaverde, 2009, "Risk Matters: The Real E¤ects of Volatility Shocks," 2009 Meeting Papers, Society for Economic Dynamics, number 237.
• Lutz Kilian, 2009, "Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks," 2009 Meeting Papers, Society for Economic Dynamics, number 473.
• Jean-Paul L'Huillier & Guido Lorenzoni & Olivier J. Blanchard, 2009, "News, Noise and Fluctuations: An Empirical Exploration," 2009 Meeting Papers, Society for Economic Dynamics, number 99.
• Cristiana Tudor, 2009, "Understanding the Roots of the US Subprime Crisis and its Subsequent Effects," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 12, issue 31, pages 115-143, (1).
• Tomislav Gelo, 2009, "Causality between economic growth and energy consumption in Croatia," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, volume 27, issue 2, pages 327-348.
• Dimitris Korobilis, 2009, "Assessing the Transmission of Monetary Policy Shocks Using Dynamic Factor Models," Working Paper series, Rimini Centre for Economic Analysis, number 35_09, Jan.
• Massimiliano Castellani & Maurizio Mussoni & Pierpaolo Pattitoni, 2009, "Air Passengers and Tourism Flows: Evidence from Sicily and Sardinia," Working Paper series, Rimini Centre for Economic Analysis, number 37_09, Jan, revised Feb 2010.
• Markus Jochmann & Gary Koop & Roberto Leon-Gonzalez & Rodney W. Strachan, 2009, "Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy," Working Paper series, Rimini Centre for Economic Analysis, number 44_09, Jan.
• Wing Hong Chan & Denise Young, 2009, "A New Look at Copper Markets: A Regime-Switching Jump Model," Working Papers, University of Alberta, Department of Economics, number 2009-13, Mar.
• Dean Fantazzini, 2009, "Credit Risk Management (Cont.)," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 13, issue 1, pages 105-138.
• Dean Fantazzini, 2009, "Econometric Analysis of Financial Data in Risk Management," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 14, issue 2, pages 100-127.
• Taiki Lee & Byoung Hark Yoo, 2009, "Decomposition of Domestic and International Linkages of the Korean Financial Markets," East Asian Economic Review, Korea Institute for International Economic Policy, volume 13, issue 2, pages 145-172, DOI: 10.11644/KIEP.JEAI.2009.13.2.204.
• Mansur Masih & Lurion De Mello, 2009, "Do Stock Prices Play a Significant Role in Formulating Monetary Policy? A Case Study," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 62, issue 2, pages 203-232.
• Baidyanath N. Ghosh & Eric A.L. Li, 2009, "Macroeconomic Vulnerability and Investment Risks in the Middle East and North Africa Region," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 62, issue 1, pages 1-39.
• Panos Fousekis, 2009, "Are Food Prices in the EU Converging? Empirical Evidence from the Log t Test," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 62, issue 4, pages 407-423.
• T.K. Jayaraman & Chee-Keong Choong, 2009, "A Single Currency for Pacific Island Countries: a Revisit," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 24, pages 321-342.
• Amalia Di Iorio, 2009, "Testing the Integration of the US and Chinese Stock Markets in a Fama-French Framework," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 24, pages 435-454.
• Guglielmo Maria Caporale & Alaa M. Soliman, 2009, "The Asymmetric Effects of a Common Monetary Policy in Europe," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 24, pages 455-475.
• Sarat Dhal, 2009, "Global Crisis and the Integration of India’s Stock Market," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 24, pages 778-805.
• Claudio Morana, 2009, "Medium-term macroeconomic determinants of exchange rate volatility," Journal of Financial Transformation, Capco Institute, volume 25, pages 55-64.
• Dean Fantazzini & Maria Elena DeGiuli & Silvia Figini & Paolo Giudici, 2009, "Enhanced credit default models for heterogeneous SME segments," Journal of Financial Transformation, Capco Institute, volume 25, pages 31-39.
• Andrzej Torój, 2009, "Solving forward-looking models of cross-country adjustment within the euro area," MF Working Papers, Ministry of Finance in Poland, number 2, Sep.
• Alexandrina Ioana Scorbureanu, 2009, "Least Deviance Estimation Bootstrap Techniques Applied To Aggregated Production Elasticity Coefficients. Empirical Evidence From The Palestinian Industry," Annals of Spiru Haret University, Economic Series, Universitatea Spiru Haret, volume 1, issue 1, pages 31-46.
• Pop Silaghi, Monica Ioana, 2009, "Exports-Economic Growth Causality: Evidence from CEE Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 6, issue 2, pages 105-117, June.
• Upender, M. & Sujan, M., 2009, "Differential Elasticity of Substitution in the Indian Industries," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 6, issue 3, pages 47-55, September.
• Dobrescu, Emilian, 2009, "Measuring the Interaction of Structural Changes with Inflation," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 6, issue 5, pages 5-99.
• Wei,Xiaoqiao, 2009, "Regression-based Forecast Combination Methods," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 5-18, December.
• Cozmanca,Bogdan-Octavian & Manea, Florentina, 2009, "Exchange rate pass-through into Romanian price indices. A VAR approach," Working Papers of Macroeconomic Modelling Seminar, Institute for Economic Forecasting, number 092102, Nov.
• Cozmanca,Bogdan-Octavian & Manea, Florentina, 2009, "Asymmetries in the exchange rate pass-through into Romanian price indices," Working Papers of Macroeconomic Modelling Seminar, Institute for Economic Forecasting, number 092201, Nov.
• Matteo Falagiarda, 2009, "Are East African Countries Ready for a Common Currency? A Structural Vector Autoregression Analysis," Rivista di Politica Economica, SIPI Spa, volume 99, issue 4, pages 153-204, OCTOBER-D.
• Paolo Bonomolo, 2009, "Traditional and New Keynesian Dynamic Models for Potential Output and Inflation Rate," Rivista di Politica Economica, SIPI Spa, volume 99, issue 4, pages 65-88, OCTOBER-D.
• Ferdinando Ofria, 2009, "L'approccio Kaldor-Verdoorn: una verifica empirica per il Centro-Nord e il Mezzogiorno d'Italia (anni 1951-2006)," Rivista di Politica Economica, SIPI Spa, issue 1, pages 179-207, January-M.
• Emanuele Bacchiocchi, 2009, "Modelling Italian Inflation, 1970-2006," Rivista di Politica Economica, SIPI Spa, issue 1, pages 65-110, January-M.
• Igor Masten & Massimiliano Marcellino & Anindya Banerjeey, 2009, "Forecasting with Factor-augmented Error Correction Models," RSCAS Working Papers, European University Institute, number 2009/32, Jun.
• Valeria Costantini & Chiara Martini, 2009, "The causality between energy consumption and economic growth: A multi-sectoral analysis using non-stationary cointegrated panel data," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0102.
• Gianluca Cubadda & Alain Hecq, 2009, "Testing for Common Autocorrelation in Data Rich Environments," CEIS Research Paper, Tor Vergata University, CEIS, number 153, Dec, revised 04 Dec 2009.
• G. Everaert, 2009, "Using Backward Means to Eliminate Individual Effects from Dynamic Panels," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 09/553, Jan.
• George Filis, 2009, "An Analysis between Implied and Realised Volatility in the Greek Derivative Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 8, issue 3, pages 251-263, September, DOI: 10.1177/097265270900800301.
• Young Hoon Lee, 2009, "The Impact of Postseason Restructuring on the Competitive Balance and Fan Demand in Major League Baseball," Journal of Sports Economics, , volume 10, issue 3, pages 219-235, June, DOI: 10.1177/1527002508325785.
• S.P. Jayasooriya, 2009, "A Dynamic Equilibrium between Inflation and Minimum Wages in Sri Lanka," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, volume 3, issue 2, pages 113-132, April, DOI: 10.1177/097380100900300202.
• Sushil Kumar Haldar, 2009, "Economic Growth in India Revisited," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, volume 10, issue 1, pages 105-126, January, DOI: 10.1177/139156140901000105.
• Ramesh Chandra Paudel & Kankesu Jayanthakumaran, 2009, "Financial Liberalization and Performance in Sri Lanka," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, volume 10, issue 1, pages 127-156, January, DOI: 10.1177/139156140901000106.
• Vo Phuong Mai Le & Patrick Minford & Michael Wickens, 2009, "The ‘Puzzles’ Methodology: En Route to Indirect Inference?," CDMA Conference Paper Series, Centre for Dynamic Macroeconomic Analysis, number 0903, Sep.
• Gutierrez, Carlos Enrique Carrasco & Gomes, Fábio Augusto Reis, 2009, "Evidence on Common Features and Business Cycle Synchronization in Mercosur," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, volume 29, issue 1, May.
• Gutierrez, Carlos Enrique Carrasco & Souza, Reinaldo Castro & Guillén, Osmani Teixeira de Carvalho, 2009, "Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, volume 29, issue 1, May.
• Cavit Pakel & Neil Shephard & Kevin Sheppard, 2009, "Nuisance parameters, composite likelihoods and a panel of GARCH models," OFRC Working Papers Series, Oxford Financial Research Centre, number 2009fe03.
• Christian Müller-Kademann, 2009, "Biased Estimation in a Simple Extension of a Standard Error Correction Model," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 145, issue I, pages 37-60, March.
• Young Hoon Lee, 2009, "The Impact of Postseason Restructuring on the Competitive Balance and Fan Demand in Major League Baseball," Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy), number 0901, revised 2009.
• Hwee Kwan Chow & Keen Meng Choy, 2009, "Analyzing and Forecasting Business Cycles in a Small Open Economy: A Dynamic Factor Model for Singapore," Working Papers, Singapore Management University, School of Economics, number 05-2009, Feb.
• Jun Yu, 2009, "Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models," Working Papers, Singapore Management University, School of Economics, number 16-2009, Nov.
• Jun YU, 2009, "Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results," Working Papers, Singapore Management University, School of Economics, number 21-2009, Nov.
• Peter C.B.Phillips & Ioannis Kasparis, 2009, "Dynamic Misspecification in Nonparametric Cointegrating Regression," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-01-2009, Jan.
• Jun Yu, 2009, "Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-04-2009, Apr.
• Peter C.B.Phillips & Tassos Magdalinos, 2009, "Econometric Inference in the Vicinity of Unity," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-06-2009, Apr.
• Katrin Assenmacher & M. Hashem Pesaran, 2009, "A VECX* model of the Swiss economy," Economic Studies, Swiss National Bank, number 2009-06.
• Carlos Lenz & Marcel R. Savioz, 2009, "Monetary determinants of the Swiss franc," Working Papers, Swiss National Bank, number 2009-16.
• Enzo Giacomini & Wolfgang Härdle & Volker Krätschmer, 2009, "Dynamic semiparametric factor models in risk neutral density estimation," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 93, issue 4, pages 387-402, December, DOI: 10.1007/s10182-009-0115-4.
• Ertugrul Deliktas & A. Önder & Metin Karadag, 2009, "The spillover effects of public capital on the Turkish private manufacturing industries in the geographical regions," The Annals of Regional Science, Springer;Western Regional Science Association, volume 43, issue 2, pages 365-378, June, DOI: 10.1007/s00168-008-0220-4.
• Miguel Jerez & José Casals & Sonia Sotoca, 2009, "Likelihood stabilization for ill-conditioned vector GARCH models," Computational Statistics, Springer, volume 24, issue 1, pages 15-35, February, DOI: 10.1007/s00180-007-0104-6.
• Claudio Morana, 2009, "An omnibus noise filter," Computational Statistics, Springer, volume 24, issue 3, pages 459-479, August, DOI: 10.1007/s00180-008-0139-3.
• Jesús Vázquez, 2009, "Does the term spread play a role in the fed funds rate reaction function? An empirical investigation," Empirical Economics, Springer, volume 36, issue 1, pages 175-199, February, DOI: 10.1007/s00181-008-0191-4.
• László Kónya, 2009, "The sustainability of the current account in the Czech Republic, Hungary and Slovenia," Empirical Economics, Springer, volume 36, issue 2, pages 367-384, May, DOI: 10.1007/s00181-008-0199-9.
• Pierpaolo Pierani & Silvia Tiezzi, 2009, "Addiction and interaction between alcohol and tobacco consumption," Empirical Economics, Springer, volume 37, issue 1, pages 1-23, September, DOI: 10.1007/s00181-008-0220-3.
• Hong Li & Vince Daly, 2009, "Testing the balanced growth hypothesis: evidence from China," Empirical Economics, Springer, volume 37, issue 1, pages 185-200, September, DOI: 10.1007/s00181-008-0229-7.
• Tatsuyoshi Miyakoshi & Masakatsu Okubo & Junji Shimada, 2009, "Dynamic welfare costs of the 1997 Asian crisis," Empirical Economics, Springer, volume 37, issue 1, pages 73-92, September, DOI: 10.1007/s00181-008-0223-0.
• Josep Carrion-i-Silvestre & Vicente German-Soto, 2009, "Panel data stochastic convergence analysis of the Mexican regions," Empirical Economics, Springer, volume 37, issue 2, pages 303-327, October, DOI: 10.1007/s00181-008-0234-x.
• Christian Aßmann & Jens Hogrefe & Roman Liesenfeld, 2009, "The decline in German output volatility: a Bayesian analysis," Empirical Economics, Springer, volume 37, issue 3, pages 653-679, December, DOI: 10.1007/s00181-008-0251-9.
• Neil Shephard & Torben G. Andersen, 2009, "Stochastic Volatility: Origins and Overview," Springer Books, Springer, chapter 10, in: Thomas Mikosch & Jens-Peter Kreiß & Richard A. Davis & Torben Gustav Andersen, "Handbook of Financial Time Series", DOI: 10.1007/978-3-540-71297-8_10.
• Peter C. B. Phillips & Jun Yu, 2009, "Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance," Springer Books, Springer, chapter 22, in: Thomas Mikosch & Jens-Peter Kreiß & Richard A. Davis & Torben Gustav Andersen, "Handbook of Financial Time Series", DOI: 10.1007/978-3-540-71297-8_22.
• Luc Bauwens & Nikolaus Hautsch, 2009, "Modelling Financial High Frequency Data Using Point Processes," Springer Books, Springer, chapter 41, in: Thomas Mikosch & Jens-Peter Kreiß & Richard A. Davis & Torben Gustav Andersen, "Handbook of Financial Time Series", DOI: 10.1007/978-3-540-71297-8_41.
• Annastiina Silvennoinen & Timo Teräsvirta, 2009, "Multivariate GARCH Models," Springer Books, Springer, chapter 9, in: Thomas Mikosch & Jens-Peter Kreiß & Richard A. Davis & Torben Gustav Andersen, "Handbook of Financial Time Series", DOI: 10.1007/978-3-540-71297-8_9.
• António Duarte, 2009, "The Portuguese Disinflation Process: Analysis of Some Costs and Benefits," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), volume 16, issue 1, pages 157-173, May, DOI: 10.1007/s11300-009-0054-5.
• Dimitris Korompilis, 2009, "Assessing the Transmission of Monetary Policy Shocks Using Dynamic Factor Models," Working Papers, University of Strathclyde Business School, Department of Economics, number 0914, May.
• Markus Jochmann & Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2009, "Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy," Working Papers, University of Strathclyde Business School, Department of Economics, number 0919, Oct.
• Judita Jurasekova Kucserova, 2009, "Effects of Monetary Policy Shocks in Slovakia," Working and Discussion Papers, Research Department, National Bank of Slovakia, number DP 1/2009, Jul.
• Morley, James & Singh, Aarti, 2009, "Inventory Mistakes and the Great Moderation," Working Papers, University of Sydney, School of Economics, number 2009-04, Nov, revised Feb 2015.
• Leon du Toit, 2009, "Economic Crises, Stabilisation Policy and Output in Emerging Market Economies," Working Papers, Stellenbosch University, Department of Economics, number 20/2009.
• Juan Carlos Cuestas, 2009, "Purchasing power parity in Central and Eastern European countries: an analysis of unit roots and nonlinearities," Applied Economics Letters, Taylor & Francis Journals, volume 16, issue 1, pages 87-94, DOI: 10.1080/13504850802112252.
• Gang Liu & Terje Skjerpen & Kjetil Telle, 2009, "Unit roots, polynomial transformations and the environmental Kuznets curve," Applied Economics Letters, Taylor & Francis Journals, volume 16, issue 3, pages 285-288, DOI: 10.1080/13504850601018478.
• Ekaterini Panopoulou & Theologos Pantelidis, 2009, "Integration at a cost: evidence from volatility impulse response functions," Applied Financial Economics, Taylor & Francis Journals, volume 19, issue 11, pages 917-933, DOI: 10.1080/09603100802112300.
• Harm Bandholz & Jorg Clostermann & Franz Seitz, 2009, "Explaining the US bond yield conundrum," Applied Financial Economics, Taylor & Francis Journals, volume 19, issue 7, pages 539-550, DOI: 10.1080/09603100801964370.
• Victor Pontines & Reza Siregar, 2009, "Tranquil and crisis windows, heteroscedasticity, and contagion measurement: MS-VAR application of the DCC procedure," Applied Financial Economics, Taylor & Francis Journals, volume 19, issue 9, pages 745-752, DOI: 10.1080/09603100802167239.
• J. M. Gil & M. BenKaabia & H. E. Chebbi, 2009, "Macroeconomics and agriculture in Tunisia," Applied Economics, Taylor & Francis Journals, volume 41, issue 1, pages 105-124, DOI: 10.1080/00036840701604420.
• David Matesanz & Guadalupe Fugarolas, 2009, "Exchange rate policy and trade balance: a cointegration analysis of the Argentine experience since 1962," Applied Economics, Taylor & Francis Journals, volume 41, issue 20, pages 2571-2582, DOI: 10.1080/00036840701222660.
• O. de Bandt & C. Bruneau & W. El Amri, 2009, "Convergence in household credit demand across euro area countries: evidence from panel data," Applied Economics, Taylor & Francis Journals, volume 41, issue 27, pages 3447-3462, DOI: 10.1080/00036840701493774.
• Koi Nyen Wong & Tuck Cheong Tang, 2009, "Exchange rate variability and the export demand for Malaysia's semiconductors: an empirical study," Applied Economics, Taylor & Francis Journals, volume 43, issue 6, pages 695-706, DOI: 10.1080/00036840802599917.
• Changli He & Timo Terasvirta & Andres Gonzalez, 2009, "Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change," Econometric Reviews, Taylor & Francis Journals, volume 28, issue 1-3, pages 225-245, DOI: 10.1080/07474930802388041.
• Kenneth West & Ka-fu Wong & Stanislav Anatolyev, 2009, "Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments," Econometric Reviews, Taylor & Francis Journals, volume 28, issue 5, pages 441-467, DOI: 10.1080/07474930802467241.
• Gonzalo Camba-Mendez & George Kapetanios, 2009, "Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling," Econometric Reviews, Taylor & Francis Journals, volume 28, issue 6, pages 581-611, DOI: 10.1080/07474930802473785.
• Youngki Shin, 2009, "Length-bias Correction in Transformation Models with Supplementary Data," Econometric Reviews, Taylor & Francis Journals, volume 28, issue 6, pages 658-681, DOI: 10.1080/07474930903039246.
• Alastair Cunningham & Jana Eklund & Chris Jeffery & George Kapetanios & Vincent Labhard, 2009, "A State Space Approach to Extracting the Signal From Uncertain Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 2, pages 173-180, March, DOI: 10.1198/jbes.2009.08171.
• Anders Johansson, 2009, "An analysis of dynamic risk in the Greater China equity markets," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, volume 7, issue 3, pages 299-320, DOI: 10.1080/14765280903073165.
• Jesus Otero & Manuel Ramirez, 2009, "Modelling the monetary policy reaction function of the Colombian Central Bank," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, volume 2, issue 1, pages 3-11, DOI: 10.1080/17520840902726193.
• Helena Chulia & Francisco Climent & Pilar Soriano & Hipolit Torro, 2009, "Volatility transmission patterns and terrorist attacks," Quantitative Finance, Taylor & Francis Journals, volume 9, issue 5, pages 607-619, DOI: 10.1080/14697680802637882.
• Belem I. Vasquez Galan & Olajide S. Oladipo, 2009, "Have Liberalisation and NAFTA Had a Positive Impact on Mexico's Output Growth?," Journal of Applied Economics, Taylor & Francis Journals, volume 12, issue 1, pages 159-180, May, DOI: 10.1016/S1514-0326(09)60010-6.
• Jose Angelo Divino & Vladimir Kuhl Teles & Joaquim Pinto de Andrade, 2009, "On the Purchasing Power Parity for Latin-American Countries," Journal of Applied Economics, Taylor & Francis Journals, volume 12, issue 1, pages 33-54, May, DOI: 10.1016/S1514-0326(09)60004-0.
• Juncal Cunado & Luis A. Gil-Alana & Fernando Perez de Gracia, 2009, "New Evidence on Long-Run Monetary Neutrality," Journal of Applied Economics, Taylor & Francis Journals, volume 12, issue 2, pages 229-248, November, DOI: 10.1016/S1514-0326(09)60014-3.
• R Gupta & K Komen, 2009, "Time Aggregation and the Contradictions with Causal Relationships: Can Economic Theory Come to the Rescue?," Studies in Economics and Econometrics, Taylor & Francis Journals, volume 33, issue 1, pages 16-27, April, DOI: 10.1080/10800379.2009.12106460.
• R Gupta & J Uwilingiye, 2009, "Time Aggregation, Long-Run Money Demand and the Welfare Cost of Inflation," Studies in Economics and Econometrics, Taylor & Francis Journals, volume 33, issue 3, pages 95-109, December, DOI: 10.1080/10800379.2009.12106474.
• Eric J. Bartelsman & Zoltan Wolf, 2009, "Forecasting Aggregate Productivity using Information from Firm-Level Data," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 09-043/3, May.
• Massimiliano Caporin & Michael McAleer, 2009, "Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-638, Aug.
• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009, "Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-640, Aug.
• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009, "Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-641, Aug.
• Tanchanok Khamkaew & Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2009, "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-675, Oct.
• Shawkat Hammoudeh & Yuan Yuan & Michael McAleer & Mark A. Thompson, 2009, "Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-684, Oct.
• Chia-Ling Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat, 2009, "Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-687, Nov.
• Manabu Asai & Massimiliano Caporin & Michael McAleer, 2009, "Block Structure Multivariate Stochastic Volatility Models," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-699, Dec.
• Xin Jin & John M Maheu, 2009, "Modelling Realized Covariances," Working Papers, University of Toronto, Department of Economics, number tecipa-382, Nov.
• Fève, Patrick & Matheron, Julien & Sahuc, Jean-Guillaume, 2009, "Minimum Distance Estimation and Testing of DSGE Models from Structural VARs," TSE Working Papers, Toulouse School of Economics (TSE), number 09-138, Dec.
• Dupaigne, Martial & Fève, Patrick, 2009, "Hours Worked and Permanent Technology Shocks in Open Economies," TSE Working Papers, Toulouse School of Economics (TSE), number 09-114, Nov.
• Fève, Patrick & Guay, Alain, 2009, "Identification of Technology Shocks in Structural VARs," TSE Working Papers, Toulouse School of Economics (TSE), number 09-028, Mar.
• Borek Vasícek, 2009, "Inflation dynamics and the New Keynesian Phillips curve in EU-4," Working Papers, Department of Applied Economics at Universitat Autonoma of Barcelona, number wpdea0912, Dec.
• Diewert, Erwin, 2009, "User Costs versus Waiting Services and Depreciation in a Model of Production," Economics working papers, Vancouver School of Economics, number erwin_diewert-2009-57, Oct, revised 27 Oct 2009.
• Massimiliano Caporin & Michael McAleer, 2009, "Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2009-04.
• Massimiliano Caporin & Michael McAleer, 2009, "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2009-11.
• Rangan Gupta & Stephen M. Miller, 2009, ""Ripple Effects" and Forecasting Home Prices in Los Angeles, Las Vegas, and Phoenix," Working papers, University of Connecticut, Department of Economics, number 2009-05, Jan, revised Jun 2009.
• Rangan Gupta & Stephen M. Miller, 2009, "The Time-Series Properties on Housing Prices: A Case Study of the Southern California Market," Working papers, University of Connecticut, Department of Economics, number 2009-10, Mar, revised Dec 2009.
• Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009, "Using Large Data Sets to Forecast Housing Prices: A Case Study of Twenty US States," Working papers, University of Connecticut, Department of Economics, number 2009-13.
• Rangan Gupta & Marius Jurgilas & Alain Kabundi & Stephen M. Miller, 2009, "Monetary Policy and Housing Sector Dynamics in a Large-Scale Bayesian Vector Autoregressive Model," Working papers, University of Connecticut, Department of Economics, number 2009-19, Jun.
• Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009, "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working papers, University of Connecticut, Department of Economics, number 2009-42, Dec.
• Ioannis Kasparis & Peter C. B. Phillips, 2009, "Dynamic Misspecification in Nonparametric Cointegrating Regression," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics, number 2-2009, May.
• Michael Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2009, "Multivariate Contemporaneous Threshold Autoregressive Models," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2009-03, Mar.
• Dimitris Christopoulos & Miguel A. León-Ledesma, 2009, "On causal Relationships Between Exchange Rates and Fundamentals: Better Than You Think," Studies in Economics, School of Economics, University of Kent, number 0909, Jul.
• Dimitris Christopoulos & Miguel León-Ledesma, 2009, "Efficiency and frontier technology in the aftermath of recessions: international evidence," Studies in Economics, School of Economics, University of Kent, number 0922, Nov.
• Magali Jaoul-Grammare, 2009, "La substituabilité des filières universitaires dans les choix d’études : une analyse en termes de prestige social," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2009-13.
• Shawn Ni & Antonello Loddo & Dongchu Sun, 2009, "Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search," Working Papers, Department of Economics, University of Missouri, number 0911, Oct.
• Luis A. Gil-Alana & Antonio Moreno, 2009, "Fractional Integration and Structural Breaks in U.S. Macro Dynamics," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 02/09, Jan.
• Luis A. Gil-Alana & Antonio Moreno & Seonghoon Cho, 2009, "The Deaton paradox in a long memory context with structural breaks," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 03/09, Apr.
• Miguel Casares & Antonio Moreno & Jesús Vázquez, 2009, "Wage Stickiness and Unemployment Fluctuations: An Alternative Approach," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 04/09, Aug.
• Luis A. Gil-Alana & Juan C. Cuesta, 2009, "Further evidence on the PPP analysis of the Australian dollar. Non-linearities, fractional integration and structural change," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 07/09, Nov.
• Nadia Ayari & Szabolcs Blazsek & Pedro Mendi, 2009, "Renewable Energy Innovations in Europe: A Dynamic Panel Data Approach," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 11/09, Nov.
• Joao Tovar Jalles, 2009, "Structural time series models and the Kalman filter: a concise review," Nova SBE Working Paper Series, Universidade Nova de Lisboa, Nova School of Business and Economics, number wp541.
• Muhammad Zikri, 2009, "An Econometric Model for Deforestation in Indonesia," Working Papers in Economics and Development Studies (WoPEDS), Department of Economics, Padjadjaran University, number 200903, Jul, revised Jul 2009.
• Valadkhani, Abbas & O'Brien, Martin & Karunanayake, Indika, 2009, "Modelling Australian Stock Market Volatility: A Multivariate GARCH Approach," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia, number wp09-11.
• Fabio Canova & Filippo Ferroni, 2009, "Multiple filtering devices for the estimation of cyclical DSGE models," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1135, Jan, revised Sep 2010.
• Jarita DUASA & Salina H. KASSIM, 2009, "Herd Behavior In Malaysian Capital Market: An Empirical Analysis," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, volume 4, issue 1(7)_ Spr.
• Rajmund MIRDALA, 2009, "Exchange Rate Pass-Through To Domestic Prices In The Central European Countries," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, volume 4, issue 3(9)_Fall.
• Katja Ignatieva & Eckhard Platen, 2009, "Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 265, Dec.
• Noel Roy & Ragnar Arnason & William E. Schrank, 2009, "The Identification of Economic Base Industries, with an Application to the Newfoundland Fishing Industry," Land Economics, University of Wisconsin Press, volume 85, issue 4, pages 675-691.
• Maria Grazia Zoia, 2009, "Classical versus VAR econometrics: the Janus head effect in economic dynamic modelling," Rivista Internazionale di Scienze Sociali, Vita e Pensiero, Pubblicazioni dell'Universita' Cattolica del Sacro Cuore, volume 117, issue 1, pages 113-124.
• Klaus Prettner & Robert M. Kunst, 2009, "The Dynamic Interrelations between Unequal Neighbors: An Austro-German Case Study," Vienna Economics Papers, University of Vienna, Department of Economics, number vie0913, Aug.
• Chetan Dave & Scott J. Dressler & Lei Zhang, 2009, "The Bank Lending Channel: a FAVAR Analysis," Villanova School of Business Department of Economics and Statistics Working Paper Series, Villanova School of Business Department of Economics and Statistics, number 4, Apr.
• Ozlem Tasseven, 2009, "Seasonal Co-integration – An Extension of the Johansen and Schaumburg Approach with an Exclusion Test," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 56, issue 1, pages 39-53.
• Cem Saatçioğlu & Levent Korap, 2009, "Search for Co-Integratıon Between Money, Prıces and Income: Low Frequency Evıdence From the Turkısh Economy," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 56, issue 1, pages 55-72.
• Rajmund Mirdala, 2009, "Interest Rate Transmission Mechanism of Monetary Policy in the Selected EMU Candidate Countries," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 56, issue 3, pages 359-377.
• Creal, D., 2009, "A survey of sequential Monte Carlo methods for economics and finance," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0018.
• Go, Delfin S. & Kearney, Marna & Korman, Vijdan & Robinson, Sherman & Thierfelder, Karen, 2009, "Wage subsidy and labor market flexibility in south Africa," Policy Research Working Paper Series, The World Bank, number 4871, Mar.
• Borek Vasicek, 2009, "Inflation dynamics and the New Keynesian Phillips curve in EU-4," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp971, Oct.
• Ralf Fendel & Eliza M. Lis & Jan-Christoph Rülke, 2009, "Do Euro Area Forecasters (Still) Have Faith in Macroeconomic Building Blocks? – Expectation Formation when Economics is in Crisis," WHU Working Paper Series - Economics Group, WHU - Otto Beisheim School of Management, number 09-03, Oct.
• Shanaka Herath, 2009, "The Size of the Government and Economic Growth: An Empirical Study of Sri Lanka," SRE-Disc, Institute for Multilevel Governance and Development, Department of Socioeconomics, Vienna University of Economics and Business, number sre-disc-2009_08.
• Herath, Shanaka, 2009, "The Size of the Government and Economic Growth. An Empirical Study of Sri Lanka," SRE-Discussion Papers, WU Vienna University of Economics and Business, number 2009/08.
• Herath, Shanaka, 2009, "The Size of the Government and Economic Growth: An Empirical Study of Sri Lanka," SRE-Discussion Papers, WU Vienna University of Economics and Business, number 2009/08.