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

• Patrick Fève & Alain Guay, 2010, "Identification of Technology Shocks in Structural Vars," Economic Journal, Royal Economic Society, volume 120, issue 549, pages 1284-1318, December.
• Chua, Choong Tze & Lai, Sandy & Lewis, Karen K., 2010, "Are the Gains from Foreign Diversification Diminishing? Assessing the Impact with Cross-Listed Stocks," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 10-1, Feb.
• Viktor Winschel & Markus Kr‰tzig, 2010, "Solving, Estimating, and Selecting Nonlinear Dynamic Models Without the Curse of Dimensionality," Econometrica, Econometric Society, volume 78, issue 2, pages 803-821, March.
• Byrne, Joseph P. & Kaneez, Fatima & Kontonikas, Alexandros, 2010, "IInflation and Globalisation: A Dynamic Factor Model with Stochastic Volatility," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2010-05.
• Chan, Joshua C C & Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney W, 2010, "Time Varying Dimension Models," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2012-33, May.
• Vicente Esteve & Manuel Navarro-Ibáñez & Maria A. Prats, 2010, "The Spanish term structure of interest rates revisited: cointegration with multiple structural breaks, 1974-2010," Working Papers, Department of Applied Economics II, Universidad de Valencia, number 1001, Jun.
• Billio, Monica & Caporin, Massimiliano, 2010, "Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion," Computational Statistics & Data Analysis, Elsevier, volume 54, issue 11, pages 2443-2458, November.
• Griffin, J.E. & Steel, M.F.J., 2010, "Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes," Computational Statistics & Data Analysis, Elsevier, volume 54, issue 11, pages 2594-2608, November.
• Kapetanios, George & Marcellino, Massimiliano, 2010, "Factor-GMM estimation with large sets of possibly weak instruments," Computational Statistics & Data Analysis, Elsevier, volume 54, issue 11, pages 2655-2675, November.
• Rossi, E. & Spazzini, F., 2010, "Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis," Computational Statistics & Data Analysis, Elsevier, volume 54, issue 11, pages 2786-2800, November.
• Bouezmarni, Taoufik & Rombouts, Jeroen V.K., 2010, "Nonparametric density estimation for positive time series," Computational Statistics & Data Analysis, Elsevier, volume 54, issue 2, pages 245-261, February.
• Lanne, Markku & Lütkepohl, Helmut & Maciejowska, Katarzyna, 2010, "Structural vector autoregressions with Markov switching," Journal of Economic Dynamics and Control, Elsevier, volume 34, issue 2, pages 121-131, February.
• Meyer-Gohde, Alexander, 2010, "Linear rational-expectations models with lagged expectations: A synthetic method," Journal of Economic Dynamics and Control, Elsevier, volume 34, issue 5, pages 984-1002, May.
• Diks, Cees & Panchenko, Valentyn & van Dijk, Dick, 2010, "Out-of-sample comparison of copula specifications in multivariate density forecasts," Journal of Economic Dynamics and Control, Elsevier, volume 34, issue 9, pages 1596-1609, September.
• Mark J. Holmes, 2010, "Nonlinearities, co-trending and budget balance sustainability," Economic Analysis and Policy, Elsevier, volume 40, issue 3, pages 369-376, December.
• Gupta, Rangan & Jurgilas, Marius & Kabundi, Alain, 2010, "The effect of monetary policy on real house price growth in South Africa: A factor-augmented vector autoregression (FAVAR) approach," Economic Modelling, Elsevier, volume 27, issue 1, pages 315-323, January.
• Hasanov, Mübariz & Araç, Aysen & Telatar, Funda, 2010, "Nonlinearity and structural stability in the Phillips curve: Evidence from Turkey," Economic Modelling, Elsevier, volume 27, issue 5, pages 1103-1115, September.
• Le, Vo Phuong Mai & Minford, Patrick & Wickens, Michael, 2010, "The 'Puzzles' methodology: En route to Indirect Inference?," Economic Modelling, Elsevier, volume 27, issue 6, pages 1417-1428, November.
• Rumler, Fabio & Valderrama, Maria Teresa, 2010, "Comparing the New Keynesian Phillips Curve with time series models to forecast inflation," The North American Journal of Economics and Finance, Elsevier, volume 21, issue 2, pages 126-144, August.
• Baqaee, David, 2010, "Using wavelets to measure core inflation: The case of New Zealand," The North American Journal of Economics and Finance, Elsevier, volume 21, issue 3, pages 241-255, December.
• Dreger, Christian, 2010, "Does the nominal exchange rate regime affect the real interest parity condition?," The North American Journal of Economics and Finance, Elsevier, volume 21, issue 3, pages 274-285, December.
• Le Pen, Yannick & Sévi, Benoît, 2010, "On the non-convergence of energy intensities: Evidence from a pair-wise econometric approach," Ecological Economics, Elsevier, volume 69, issue 3, pages 641-650, January.
• Karamé, F., 2010, "Impulse-response functions in Markov-switching structural vector autoregressions: A step further," Economics Letters, Elsevier, volume 106, issue 3, pages 162-165, March.
• Dufour, Jean-Marie & Taamouti, Abderrahim, 2010, "Short and long run causality measures: Theory and inference," Journal of Econometrics, Elsevier, volume 154, issue 1, pages 42-58, January.
• Nielsen, Morten Ørregaard, 2010, "Nonparametric cointegration analysis of fractional systems with unknown integration orders," Journal of Econometrics, Elsevier, volume 155, issue 2, pages 170-187, April.
• Jacobs, Jan P.A.M. & Wallis, Kenneth F., 2010, "Cointegration, long-run structural modelling and weak exogeneity: Two models of the UK economy," Journal of Econometrics, Elsevier, volume 158, issue 1, pages 108-116, September.
• Fanelli, Luca & Paruolo, Paolo, 2010, "Speed of adjustment in cointegrated systems," Journal of Econometrics, Elsevier, volume 158, issue 1, pages 130-141, September.
• Lasak, Katarzyna, 2010, "Likelihood based testing for no fractional cointegration," Journal of Econometrics, Elsevier, volume 158, issue 1, pages 67-77, September.
• Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010, "Testing for co-integration in vector autoregressions with non-stationary volatility," Journal of Econometrics, Elsevier, volume 158, issue 1, pages 7-24, September.
• Figuerola-Ferretti, Isabel & Gonzalo, Jesús, 2010, "Modelling and measuring price discovery in commodity markets," Journal of Econometrics, Elsevier, volume 158, issue 1, pages 95-107, September.
• Johansen, Søren, 2010, "Some identification problems in the cointegrated vector autoregressive model," Journal of Econometrics, Elsevier, volume 158, issue 2, pages 262-273, October.
• Blazsek, Szabolcs & Escribano, Alvaro, 2010, "Knowledge spillovers in US patents: A dynamic patent intensity model with secret common innovation factors," Journal of Econometrics, Elsevier, volume 159, issue 1, pages 14-32, November.
• Chen, Ying & Härdle, Wolfgang & Spokoiny, Vladimir, 2010, "GHICA -- Risk analysis with GH distributions and independent components," Journal of Empirical Finance, Elsevier, volume 17, issue 2, pages 255-269, March.
• Marvão Pereira, Alfredo & Marvão Pereira, Rui Manuel, 2010, "Is fuel-switching a no-regrets environmental policy? VAR evidence on carbon dioxide emissions, energy consumption and economic performance in Portugal," Energy Economics, Elsevier, volume 32, issue 1, pages 227-242, January.
• Costantini, Valeria & Martini, Chiara, 2010, "The causality between energy consumption and economic growth: A multi-sectoral analysis using non-stationary cointegrated panel data," Energy Economics, Elsevier, volume 32, issue 3, pages 591-603, May.
• Korhonen, Iikka & Ledyaeva, Svetlana, 2010, "Trade linkages and macroeconomic effects of the price of oil," Energy Economics, Elsevier, volume 32, issue 4, pages 848-856, July.
• Haldrup, Niels & Nielsen, Frank S. & Nielsen, Morten Ørregaard, 2010, "A vector autoregressive model for electricity prices subject to long memory and regime switching," Energy Economics, Elsevier, volume 32, issue 5, pages 1044-1058, September.
• Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2010, "Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets," Energy Economics, Elsevier, volume 32, issue 6, pages 1445-1455, November.

2009

• Markus Eberhardt & Francis Teal, 2009, "Econometrics for Grumblers: A New Look at the Literature on Cross-Country Growth Empirics," CSAE Working Paper Series, Centre for the Study of African Economies, University of Oxford, number 2009-07.
• Sucarrat, Genaro & Escribano, Álvaro, 2009, "Automated financial multi-path GETS modelling," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we093620, Jul.
• Amira, Khaled & Taamouti, Abderrahim & Tsafack, Georges, 2009, "What Drives International Equity Correlations? Volatility or Market Direction?," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we094122, Jun.
• Blazsek, Szabolcs & Escribano, Álvaro, 2009, "Knowledge spillovers in U.S. patents: a dynamic patent intensity model with secret common innovation factors," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we098951, Dec.
• Monteiro, André A., 2009, "The econometrics of randomly spaced financial data: a survey," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws097924, Dec.
• Vincent BODART & Philippe LEDENT & Fatemeh SHADMAN-METHA, 2009, "An Employment Equation for Belgium," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2009016, Jun.
• Yanbin Chen & Zhen Huo, 2009, "A Conjecture of Chinese Monetary Policy Rule: Evidence from Survey Data, Markov Regime Switching, and Drifting Coefficients," Annals of Economics and Finance, Society for AEF, volume 10, issue 1, pages 111-153, May.
• Joao Tovar Jalles, 2009, "Do Oil Prices Matter? The Case of a Small Open Economy," Annals of Economics and Finance, Society for AEF, volume 10, issue 1, pages 65-87, May.
• Trenkler, Carsten, 2009, "Bootstrapping Systems Cointegration Tests With A Prior Adjustment For Deterministic Terms," Econometric Theory, Cambridge University Press, volume 25, issue 1, pages 243-269, February.
• Kristensen, Dennis, 2009, "Uniform Convergence Rates Of Kernel Estimators With Heterogeneous Dependent Data," Econometric Theory, Cambridge University Press, volume 25, issue 5, pages 1433-1445, October.
• Davidson, James & Hashimzade, Nigar, 2009, "Representation And Weak Convergence Of Stochastic Integrals With Fractional Integrator Processes," Econometric Theory, Cambridge University Press, volume 25, issue 6, pages 1589-1624, December.
• Harri, Ardian & Nalley, Lanier & Hudson, Darren, 2009, "The Relationship between Oil, Exchange Rates, and Commodity Prices," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 41, issue 2, pages 501-510, August.
• Gil-Alana, Luis Alberiko & Moreno, Antonio, 2009, "Technology Shocks And Hours Worked: A Fractional Integration Perspective," Macroeconomic Dynamics, Cambridge University Press, volume 13, issue 5, pages 580-604, November.
• Barnett, William A. & Diewert, W. Erwin & Zellner, Arnold, 2009, "Introduction To Measurement With Theory," Macroeconomic Dynamics, Cambridge University Press, volume 13, issue S2, pages 151-168, September.
• Xu Cheng & Peter C. B. Phillips, 2009, "Cointegrating Rank Selection in Models with Time-Varying Variance," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1688, Jan.
• Ioannis Kasparis & Peter C.B. Phillips, 2009, "Dynamic Misspecification in Nonparametric Cointegrating Regression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1700, Jun.
• Alfredo M. Pereira & Jorge M. Andraz, 2009, "Social Security And Economic Performance In Portugal: After All That Has Been Said And Done How Much Has Actually Changed?," Working Papers, Economics Department, William & Mary, number 81, Jan.
• Alfredo M. Pereira & Rui Manuel Marvão Pereira, 2009, "Is Fuel-Switching a No-Regrets Environmental Policy? VAR Evidence on Carbon Dioxide Emissions, Energy Consumption and Economic Performance in Portugal," Working Papers, Economics Department, William & Mary, number 87, Aug.
• Betty C. Daniel & Christos Shiamptanis, 2009, "Fiscal Policy in the European Monetary Union," Working Papers, Central Bank of Cyprus, number 2009-1, Jul.
• Kai Carstensen & Oliver Hülsewig & Timo Wollmershäuser, 2009, "Monetary Policy Transmission and House Prices: European Cross Country Evidence," Working Paper / FINESS, DIW Berlin, German Institute for Economic Research, number 7.4.
• Christian Dreger & Jürgen Wolters, 2009, "Liquidity and Asset Prices: How Strong Are the Linkages?," Working Paper / FINESS, DIW Berlin, German Institute for Economic Research, number 7.4A.
• Christian Dreger & Jürgen Wolters, 2009, "Geldpolitik und Vermögensmärkte," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, volume 78, issue 1, pages 56-65, DOI: 10.3790/vjh.78.1.56.
• Konstantin A. Kholodilin & Stefan Kooths, 2009, "Konjunkturelle Frühindikatoren in der Krise: weiche Faktoren stärker als harte," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, volume 76, issue 21, pages 348-354.
• Christian Dreger & Jürgen Wolters, 2009, "Liquidity and Asset Prices: How Strong Are the Linkages?," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 860.
• Ansgar Belke & Ingo G. Bordon & Torben W. Hendricks, 2009, "Global Liquidity and Commodity Prices: A Cointegrated VAR Approach for OECD Countries," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 898.
• Guglielmo Maria Caporale & Burcu Erdogan & Vladimir Kuzin, 2009, "Testing for Convergence in Stock Markets: A Non-linear Factor Approach," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 932.
• Georg Erber & Ulrich Fritsche, 2009, "Productivity Growth in Germany: No Sustainable Economic Recovery in Sight," Weekly Report, DIW Berlin, German Institute for Economic Research, volume 5, issue 3, pages 19-25.
• Khaled Guesmi, 2009, "Évaluation de la prime de risque de change dans un contexte régional : une analyse multi-variée du MEDAFI," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2009-45.
• Salem Boubakri, 2009, "Une mesure financière de l’importance de la prime de risque de change dans la prime de risque boursière," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2009-5.
• Alastair Hall & Atsushi & James M Nason & Barbara Rossi, 2009, "Information Criteria For Impulse Response Function Matching Estimation Of Dsge Models," Working Papers, Duke University, Department of Economics, number 09-09.
• Perera, N. & Paudel, R.C., 2009, "Financial Development and Economic Growth in Sri Lanka," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 9, issue 1.
• Le Viet, H. & Pfau, W.D., 2009, "VAR Analysis of the Monetary Transmission Mechanism in Vietnam," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 9, issue 1.
• Kiani, K.M., 2009, "Neural Networks to Detect Nonlinearities in Time Series: Analysis of Business Cycle in France and the United Kingdom," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 9, issue 1.
• Dierk HERZER & Rainer KLUMP, 2009, "Poverty, Government Transfers, And The Business Cycle: Evidence For The United States," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 9, issue 2.
• OROS, Cornel & ROMOCEA-TURCU, Camelia, 2009, "The Monetary Transmission Mechanisms In The Ceecs: A Structural Var Approach," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 9, issue 2.
• Saroja Selvanathan & E.A. Selvanathan & Brinda Viswanathan, 2009, "Causality between Foreign Direct Investment and Tourism : Empirical Evidence from India," Finance Working Papers, East Asian Bureau of Economic Research, number 22944, Jan.
• Hwee Kwan Chow & Keen Meng Choy, 2009, "Analyzing and Forecasting Business Cycles in a Small Open Economy : A Dynamic Factor Model for Singapore," Macroeconomics Working Papers, East Asian Bureau of Economic Research, number 22074, Jan.
• Jun Yu, 2009, "Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models," Microeconomics Working Papers, East Asian Bureau of Economic Research, number 23045, Jan.
• Jun Yu, 2009, "Econometric Analysis of Continuous Time Models : A Survey of Peter Phillips’ Work and Some New Results," Microeconomics Working Papers, East Asian Bureau of Economic Research, number 23046, Jan.
• Kalina Dimitrova, 2009, "Директен И Индиректен Подход За Прогнозиране На Инфлацията В България," Working paper series, Agency for Economic Analysis and Forecasting, number 12009bg.
• Antonello D'Agostino & Luca Gambetti & Domenico Giannone, 2009, "Macroeconomic Forecasting and Structural Change," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2009_020.
• Kok, Christoffer & Rossi, Carlotta & Marqués-Ibáñez, David, 2009, "Modelling loans to non-financial corporations in the euro area," Working Paper Series, European Central Bank, number 989, Jan.
• Afonso, António & Sousa, Ricardo M., 2009, "Fiscal policy, housing and stock prices," Working Paper Series, European Central Bank, number 990, Jan.
• Afonso, António & Sousa, Ricardo M., 2009, "The macroeconomic effects of fiscal policy," Working Paper Series, European Central Bank, number 991, Jan.
• Tomoaki Nakatani & Timo Terasvirta, 2009, "Testing for volatility interactions in the Constant Conditional Correlation GARCH model," Econometrics Journal, Royal Economic Society, volume 12, issue 1, pages 147-163, March.
• Matei Demetrescu & Helmut Lütkepohl & Pentti Saikkonen, 2009, "Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term," Econometrics Journal, Royal Economic Society, volume 12, issue 3, pages 414-435, November.
• Xu Cheng & P eter C. B. Phillips, 2009, "Semiparametric cointegrating rank selection," Econometrics Journal, Royal Economic Society, volume 12, issue s1, pages 83-104, January.
• Melchor Fernandez & Victor Montuenga & Roberto Bande, 2009, "Las tasas de paro regionales españolas: convergencia o polarización," Documentos de trabajo - Analise Economica, IDEGA - Instituto Universitario de Estudios e Desenvolvemento de Galicia, number 0040.
• Jochmann, Markus & Koop, Gary & Leon-Gonzalez & Strachan, Rodney W., 2009, "Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2009-44.
• JOHANSSON, Anders C., 2009, "Is U.S. money causing China's output?," China Economic Review, Elsevier, volume 20, issue 4, pages 732-741, December.
• Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2009, "Asymmetric multivariate normal mixture GARCH," Computational Statistics & Data Analysis, Elsevier, volume 53, issue 6, pages 2129-2154, April.
• Giannellis, Nikolaos & Papadopoulos, Athanasios P., 2009, "Testing for efficiency in selected developing foreign exchange markets: An equilibrium-based approach," Economic Modelling, Elsevier, volume 26, issue 1, pages 155-166, January.
• Basher, Syed A. & Westerlund, Joakim, 2009, "Panel cointegration and the monetary exchange rate model," Economic Modelling, Elsevier, volume 26, issue 2, pages 506-513, March.
• de Wet, Albertus H. & van Eyden, Reneé & Gupta, Rangan, 2009, "Linking global economic dynamics to a South African-specific credit risk correlation model," Economic Modelling, Elsevier, volume 26, issue 5, pages 1000-1011, September.
• de Silva, Ashton & Hyndman, Rob J. & Snyder, Ralph, 2009, "A multivariate innovations state space Beveridge-Nelson decomposition," Economic Modelling, Elsevier, volume 26, issue 5, pages 1067-1074, September.
• Dungey, Mardi & Fry, Renée, 2009, "The identification of fiscal and monetary policy in a structural VAR," Economic Modelling, Elsevier, volume 26, issue 6, pages 1147-1160, November.
• Cuestas, Juan C. & Gil-Alana, Luís A., 2009, "Further evidence on the PPP analysis of the Australian dollar: Non-linearities, fractional integration and structural changes," Economic Modelling, Elsevier, volume 26, issue 6, pages 1184-1192, November.
• Cuesta, Rafael A. & Lovell, C.A. Knox & Zofío, José L., 2009, "Environmental efficiency measurement with translog distance functions: A parametric approach," Ecological Economics, Elsevier, volume 68, issue 8-9, pages 2232-2242, June.
• Berger, Helge & Österholm, Pär, 2009, "Does money still matter for U.S. output?," Economics Letters, Elsevier, volume 102, issue 3, pages 143-146, March.
• Anatolyev, Stanislav & Kosenok, Grigory, 2009, "Tests in contingency tables as regression tests," Economics Letters, Elsevier, volume 105, issue 2, pages 189-192, November.
• Cubadda, Gianluca & Hecq, Alain & Palm, Franz C., 2009, "Studying co-movements in large multivariate data prior to multivariate modelling," Journal of Econometrics, Elsevier, volume 148, issue 1, pages 25-35, January.
• Lawford, Steve & Stamatogiannis, Michalis P., 2009, "The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators," Journal of Econometrics, Elsevier, volume 148, issue 2, pages 124-130, February.
• Wachter, Jessica A. & Warusawitharana, Missaka, 2009, "Predictable returns and asset allocation: Should a skeptical investor time the market?," Journal of Econometrics, Elsevier, volume 148, issue 2, pages 162-178, February.
• Phillips, Peter C.B., 2009, "Long memory and long run variation," Journal of Econometrics, Elsevier, volume 151, issue 2, pages 150-158, August.
• Mencía, Javier & Sentana, Enrique, 2009, "Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation," Journal of Econometrics, Elsevier, volume 153, issue 2, pages 105-121, December.
• Cipollini, A. & Kapetanios, G., 2009, "Forecasting financial crises and contagion in Asia using dynamic factor analysis," Journal of Empirical Finance, Elsevier, volume 16, issue 2, pages 188-200, March.
• Pesaran, M. Hashem & Schleicher, Christoph & Zaffaroni, Paolo, 2009, "Model averaging in risk management with an application to futures markets," Journal of Empirical Finance, Elsevier, volume 16, issue 2, pages 280-305, March.
• Hlouskova, Jaroslava & Schmidheiny, Kurt & Wagner, Martin, 2009, "Multistep predictions for multivariate GARCH models: Closed form solution and the value for portfolio management," Journal of Empirical Finance, Elsevier, volume 16, issue 2, pages 330-336, March.
• Møller, Stig Vinther, 2009, "Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns," Journal of Empirical Finance, Elsevier, volume 16, issue 4, pages 525-536, September.
• Frijns, Bart & Schotman, Peter, 2009, "Price discovery in tick time," Journal of Empirical Finance, Elsevier, volume 16, issue 5, pages 759-776, December.
• Miller, J. Isaac & Ratti, Ronald A., 2009, "Crude oil and stock markets: Stability, instability, and bubbles," Energy Economics, Elsevier, volume 31, issue 4, pages 559-568, July.
• Frank Schorfheide & Keith Sill & Maxym Kryshko, 2009, "DSGE Model-Based Forecasting of Non-modelled Variables," NBER Working Papers, National Bureau of Economic Research, Inc, number 14872, Apr.
• Jesús Fernández-Villaverde & Pablo A. Guerrón-Quintana & Juan Rubio-Ramírez & Martín Uribe, 2009, "Risk Matters: The Real Effects of Volatility Shocks," NBER Working Papers, National Bureau of Economic Research, Inc, number 14875, Apr.
• Hyungsik Roger Moon & Frank Schorfheide, 2009, "Bayesian and Frequentist Inference in Partially Identified Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 14882, Apr.
• Olivier J. Blanchard & Jean-Paul L'Huillier & Guido Lorenzoni, 2009, "News, Noise, and Fluctuations: An Empirical Exploration," NBER Working Papers, National Bureau of Economic Research, Inc, number 15015, May.
• Ulrich Müller & Mark W. Watson, 2009, "Low-Frequency Robust Cointegration Testing," NBER Working Papers, National Bureau of Economic Research, Inc, number 15292, Aug.
• Juan Carlos Cuestas & Barry Harrison, 2009, "Further evidence on the Real Interest Rate Parity hypothesis in Central and Eastern European Countries: unit roots and nonlinearities," NBS Discussion Papers in Economics, Economics, Nottingham Business School, Nottingham Trent University, number 2009/1, Jan.
• Juan Carlos Cuestas & Estefanía Mourelle, 2009, "Inflation persistence and asymmetries: evidence for African countries," NBS Discussion Papers in Economics, Economics, Nottingham Business School, Nottingham Trent University, number 2009/2, Feb.
• Juan Carlos Cuestas & Luís A. Gil-Alana, 2009, "Further evidence on the PPP analysis of the Australian dollar: non-linearities, fractional integration and structural changes," NBS Discussion Papers in Economics, Economics, Nottingham Business School, Nottingham Trent University, number 2009/3, Feb.
• Juan Carlos Cuestas & Javier Ordóñez, 2009, "Unemployment and common smooth transition trends in Central and Eastern European Countries," NBS Discussion Papers in Economics, Economics, Nottingham Business School, Nottingham Trent University, number 2009/5, Jul.
• Juan Carlos Cuestas & Luis A. Gil-Alana, 2009, "Unemployment hysteresis, structural changes, non-linearities and fractional integration in Central and Eastern Europe," NBS Discussion Papers in Economics, Economics, Nottingham Business School, Nottingham Trent University, number 2009/6, Nov.
• Sosunov, K. & Ushakov, N., 2009, "Determination of the Real Exchange Rate of the Ruble and Assessment of Long-Run Policy of Real Exchange Rate Targeting," Journal of the New Economic Association, New Economic Association, issue 3-4, pages 97-121.
• Rangan Gupta & Stephen M. Miller, 2009, ""Ripple Effects” and Forecasting Home Prices in Los Angeles, Las Vegas, and Phoenix," Working Papers, University of Nevada, Las Vegas , Department of Economics, number 0902, Jan.
• WenShwo Fang & Stephen M. Miller & ChunShen Lee, 2009, "The Great Moderation Flattens Fat Tails: Disappearing Leptokurtosis," Working Papers, University of Nevada, Las Vegas , Department of Economics, number 0903, Jan.
• WenShwo Fang & Stephen M. Miller, 2009, "Modeling the Volatility of Real GDP Growth: The Case of Japan Revisited," Working Papers, University of Nevada, Las Vegas , Department of Economics, number 0904, Jan.
• Rangan Gupta & Stephen M. Miller, 2009, "The Time-Series Properties of House Prices: A Case Study of the Southern California Market," Working Papers, University of Nevada, Las Vegas , Department of Economics, number 0912, 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 Nevada, Las Vegas , Department of Economics, number 0916, May.
• Rangan Gupta & Marius Jurgilas & Alan Kabundi & Stephen M. Miller, 2009, "Monetary Policy and Housing Sector Dynamics in a Large-Scale Bayesian Vector Autoregressive Mode," Working Papers, University of Nevada, Las Vegas , Department of Economics, number 0919, Jun.
• Dimitrios Sideris, 2009, "Do the new EU member states form an Optimum Currency Area with the eurozone? Evidence from six Central and Eastern European Countries," SEEMHN papers, National Bank of Serbia, number 15, Mar.
• Dimitrios Sideris, 2009, "Do the new EU member states form an Optimum Currency Area with the eurozone? Evidence from six Central and Eastern European Countries," SEEMHN papers, National Bank of Serbia, number 16, Mar.
• Dimitrios Sideris, 2009, "Do the new EU member states form an Optimum Currency Area with the eurozone? Evidence from six Central and Eastern European Countries," SEEMHN papers, National Bank of Serbia, number 17, Mar.
• H. Erkel-Rousse & C. Minodier, 2009, "Do Business Tendency Surveys in Industry and Services Help in Forecasting GDP Growth? A Real-Time Analysis on French Data," Documents de Travail de l'Insee - INSEE Working Papers, Institut National de la Statistique et des Etudes Economiques, number g2009-03.
• Dr. James Mitchell, 2009, "Macro Modelling with Many Models," National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research, number 337, Aug.
• Dr. James Mitchell, 2009, "Measuring Output Gap Uncertainty," National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research, number 342, Oct.
• Dr Silvia Lui & Dr Martin Weale & Dr. James Mitchell, 2009, "The utility of expectational data: Firm-level evidence using matched qualitative-quantitative UK surveys," National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research, number 343, Oct.
• Gunnar Bårdsen & Helmut Lütkepohl, 2009, "Forecasting Levels of log Variables in Vector Autoregressions," Working Paper Series, Department of Economics, Norwegian University of Science and Technology, number 10409, Jun.
• Nathaniel Frank, 2009, "Linkages between asset classes during the financial crisis, accounting for market microstructure noise and non-synchronous trading," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2009-W04, Mar.
• Cavit Pakel & Neil Shephard & Kevin Sheppard, 2009, "Nuisance parameters, composite likelihoods and a panel of GARCH models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2009-W12, Oct.
• David Baqaee, 2009, "Using wavelets to measure core inflation: the case in New Zealand," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2009/05, May.
• Ashley Dunstan & Troy Matheson & Hamish Pepper, 2009, "Analysing wage and price dynamics in New Zealand," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2009/06, Jun.
• Anthony Garratt & James Mitchell & Shaun P. Vahey, 2009, "Measuring output gap uncertainty," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2009/15, Dec.
• Luiz de Mello & Matteo Mogliani, 2009, "Current Account Sustainability in Brazil: A Non-Linear Approach," OECD Economics Department Working Papers, OECD Publishing, number 703, Jul, DOI: 10.1787/223518424256.
• Hwee Kwan Chow & Keen Meng Choy, 2009, "Analyzing and forecasting business cycles in a small open economy: A dynamic factor model for Singapore," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, volume 2009, issue 1, pages 19-41, DOI: 10.1787/jbcma-v2009-art3-en.
• Agnieszka Stazka-Gawrysiak, 2009, "The Shock-Absorbing Capacity of the Flexible Exchange Rate in Poland," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 54-70.
• Jesús Crespo Cuaresma & Martin Feldkircher & Tomáš Slacík & Julia Wörz, 2009, "Simple but Effective: The OeNB’s Forecasting Model for Selected CESEE Countries," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 84-95.
• Dumitriu Ramona & Stefanescu Razvan, 2009, "Analysis Of The Romanian Current Account Sustainability," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 163-168, May.
• Alexandru Adriana Anamaria & Dobre Ion & Ghinararu Catalin, 2009, "Estimating The Size Of Romanian Shadow Economy Using The Currency Demand Approach," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 2, issue 1, pages 623-631, May.
• Mester Ioana Teodora, 2009, "VEC MODEL OF DEVELOPING COUNTRY INFLATIONARY DYNAMICS a€“ AN EMPIRICAL STUDY a€“ THE CASE OF ROMANIA," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 2, issue 1, pages 677-682, May.
• Matthew T. Holt & Joseph V. Balagtas, 2009, "Estimating Structural Change with Smooth Transition Regressions: An Application to Meat Demand," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, volume 91, issue 5, pages 1424-1431.
• Jean-Marie Dufour & René Garcia & Abderrahim Taamouti, 2009, "Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility," Journal of Financial Econometrics, Oxford University Press, volume 10, issue 1, pages 124-163, 2012 10 1.
• Annastiina Silvennoinen & Timo Teräsvirta, 2009, "Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model," Journal of Financial Econometrics, Oxford University Press, volume 7, issue 4, pages 373-411, Fall.
• Simon A. Broda & Marc S. Paolella, 2009, "CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation," Journal of Financial Econometrics, Oxford University Press, volume 7, issue 4, pages 412-436, Fall.
• Lorán Chollete & Andréas Heinen & Alfonso Valdesogo, 2009, "Modeling International Financial Returns with a Multivariate Regime-switching Copula," Journal of Financial Econometrics, Oxford University Press, volume 7, issue 4, pages 437-480, Fall.
• J. James ReadeUlrich Volz, 2009, "Leader of the Pack? German Monetary Dominance in Europe Prior to EMU," Economics Series Working Papers, University of Oxford, Department of Economics, number 419, Jan.
• J. James Reade & Ulrich Volz, 2009, "Too Much to Lose, or More to Gain? Should Sweden Join the Euro?," Economics Series Working Papers, University of Oxford, Department of Economics, number 442, Aug.
• Neil Shephard & Kevin Sheppard, 2009, "Nuisance parameters, composite likelihoods and a panel of GARCH models," Economics Series Working Papers, University of Oxford, Department of Economics, number 458, Oct.
• Neil Shephard & Thomas Flury, 2009, "Learning and filtering via simulation: smoothly jittered particle filters," Economics Series Working Papers, University of Oxford, Department of Economics, number 469, Dec.
• Massimiliano Caporin & Paolo Paruolo, 2009, "Structured Multivariate Volatility Models," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0091, Feb.
• Efrem Castelnuovo, 2009, "Estimating a NKBC Model for the U.S. Economy with Multiple Filters," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0102, Nov.
• Todd H. Kuethe & Valerien Pede, 2009, "Regional Housing Price Cycles: A Spatio-Temporal Analysis Using Us State Level," Working Papers, Purdue University, College of Agriculture, Department of Agricultural Economics, number 09-04.
• Tommaso Proietti, 2009, "Structural Time Series Models for Business Cycle Analysis," Palgrave Macmillan Books, Palgrave Macmillan, chapter 9, in: Terence C. Mills & Kerry Patterson, "Palgrave Handbook of Econometrics", DOI: 10.1057/9780230244405_9.
• Waleerat Suphannachart & Peter Warr, 2009, "Research and Productivity in Thai Agriculture," Departmental Working Papers, The Australian National University, Arndt-Corden Department of Economics, number 2009-11.
• Carluccio Bianchi & Dean Fantazzini & Maria Elena De Giuli & Mario Maggi, 2009, "Small Sample Properties of Copula-GARCH Modelling: A Monte Carlo Study," Quaderni di Dipartimento, University of Pavia, Department of Economics and Quantitative Methods, number 093, Feb.
• Carluccio Bianchi & Alessandro Carta & Dean Fantazzini & Maria Elena De Giuli & Mario A. Maggi, 2009, "A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting," Quaderni di Dipartimento, University of Pavia, Department of Economics and Quantitative Methods, number 105, Nov.
• Thomas Gries & Tim Krieger & Daniel Meierrieks, 2009, "Causal Linkages Between Domestic Terrorism and Economic Growth," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 20, Feb.
• Leonardo Melosi, 2009, "A Likelihood Analysis of Models with Information Frictions," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 09-009, Feb.
• Jesus Fernandez-Villaverde & Pablo Guerron-Quintana & Juan F. Rubio-Ramírez & Martin Uribe, 2009, "Risk Matters: The Real Effects of Volatility Shocks," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 09-013, Apr.
• Josef T. Yap, 2009, "Evaluating sterilized intervention under an inflation-targeting framework: the case of the Philippines," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, volume 46, issue 2, pages 261-282, December.
• Jarita Duasa & Salina H. Kassim, 2009, "Foreign Portfolio Investment and Economic Growth in Malaysia," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 48, issue 2, pages 109-123.
• Somia Iram & Muhammad Nishat, 2009, "Sector Level Analysis of FDI-Growth Nexus: A Case Study of Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 48, issue 4, pages 875-882.
• Maria M. De Mello, 2009, "Cointegration And The Forecast Accuracy Of Var Models," CEF.UP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 0902, Oct.
• Christian Calmès & Raymond Théoret, 2009, "Off-Balance-Sheet Activities and the Shadow Banking System: An Application of the Hausman Test with Higher Moments Instruments," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp042009, Oct.
• Hurvich, Clifford & Wang, Yi, 2009, "A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects," MPRA Paper, University Library of Munich, Germany, number 12575, Jan.
• Cassette, Aurélie & Farvaque, Etienne, 2009, "Australian and American tariffs policies: do they rock or tango?," MPRA Paper, University Library of Munich, Germany, number 13507, Feb.
• Cassette, Aurélie & Farvaque, Etienne, 2009, "Australian and American tariffs policies: do they rock or tango?," MPRA Paper, University Library of Munich, Germany, number 13627, Feb, revised 25 Feb 2009.
• Onatski, Alexei & Uhlig, Harald, 2009, "Unit Roots in White Noise," MPRA Paper, University Library of Munich, Germany, number 14057, Mar.
• Mirdala, Rajmund, 2009, "Interest rate transmission mechanism of the monetary policy in the selected EMU candidate countries (SVAR approach)," MPRA Paper, University Library of Munich, Germany, number 14072, Feb.
• Das, Rituparna, 2009, "Endogenous Money, Output and Prices in India," MPRA Paper, University Library of Munich, Germany, number 14252, Mar.
• Liu, L. & Ni, Y.J, 2009, "Foreign Exchange Market Pressure and Monetary Policy: An Empirical Study Based on China’s Data," MPRA Paper, University Library of Munich, Germany, number 14491, Jan.
• Duasa, Jarita, 2009, "Asymmetric cointegration relationship between real exchange rate and trade variables: The case of Malaysia," MPRA Paper, University Library of Munich, Germany, number 14535, Mar.
• Ferroni, Filippo, 2009, "Trend agnostic one step estimation of DSGE models," MPRA Paper, University Library of Munich, Germany, number 14550, Apr.
• Dimitris, Chrsitopoulos & Miguel, Leon-Ledesma, 2009, "International Output Convergence, Breaks, and Asymmetric Adjustment," MPRA Paper, University Library of Munich, Germany, number 14566, Feb.
• Barnett, William A. & Diewert, W. Erwin & Zellner, Arnold, 2009, "Introduction to Measurement with Theory," MPRA Paper, University Library of Munich, Germany, number 14868, Apr.
• Ono, Masanori, 2009, "Invoice currencies, import prices, and inflation," MPRA Paper, University Library of Munich, Germany, number 14935, Mar.
• Herzer, Dierk & Kemper, Niels & Zamparelli, Luca, 2009, "Balanced growth and structural breaks: Evidence for Germany," MPRA Paper, University Library of Munich, Germany, number 14944, Mar.
• Karimi, Mohammad Sharif & Yusop, Zulkornain, 2009, "FDI and Economic Growth in Malaysia," MPRA Paper, University Library of Munich, Germany, number 14999, Mar.