Research classified by Journal of Economic Literature (JEL) codes

---

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

---

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

• Mohammad S. Hasan, 2010, "Modeling the dynamics of money income from a vector correction model," Journal of Developing Areas, Tennessee State University, College of Business, volume 43, issue 2, pages 233-253, January-M.
• Zarinah Hamid, 2010, "Concentration of exports and patterns of trade:a time-series evidence of Malaysia," Journal of Developing Areas, Tennessee State University, College of Business, volume 43, issue 2, pages 255-270, January-M.
• Ilhan Ozturk & Ali Acaravci, 2010, "Testing the export-led growth hypothesis:empirical evidence from Turkey," Journal of Developing Areas, Tennessee State University, College of Business, volume 44, issue 1, pages 245-254, September.
• Chien-Chiang Lee & Tsangyao Chang & Chi-Chuan Lee & Hsin-Yi Lin, 2010, "The Non-Linear Dynamic Relationship between Exchange Rates and Macroeconomic Fundamentals in G-7 Countries," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, volume 6, issue 2, pages 203-228, July.
• Loesse Jacques Esso, 2010, "Re-Examining The Finance-Growth Nexus: Structural Break, Threshold Cointegration And Causality Evidence From The Ecowas," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, volume 35, issue 3, pages 57-79, September.
• Arvid Raknerud & Terje Skjerpen & Anders Rygh Swensen, 2010, "Forecasting key macroeconomic variables from a large number of predictors: a state space approach," Journal of Forecasting, John Wiley & Sons, Ltd., volume 29, issue 4, pages 367-387, DOI: 10.1002/for.1131.
• Vikas Chitre, 2010, "Capacity Output and Cycles in Non-agricultural Output of the Indian Economy," Journal of Quantitative Economics, The Indian Econometric Society, volume 8, issue 1, pages 1-41, January.
• Anuradha Patnaik, 2010, "Study of Inflation in India: A Cointegrated Vector Autoregression Approach," Journal of Quantitative Economics, The Indian Econometric Society, volume 8, issue 1, pages 118-129, January.
• Prashant Joshi, 2010, "Modeling Volatility in Emerging Stock Markets Of India And China," Journal of Quantitative Economics, The Indian Econometric Society, volume 8, issue 1, pages 86-94, January.
• Alessio Moneta & Doris Entner & Patrik Hoyer & Alex Coad, 2010, "Causal Inference by Independent Component Analysis with Applications to Micro- and Macroeconomic Data," Jena Economics Research Papers, Friedrich-Schiller-University Jena, number 2010-031, May.
• Hayette Gatfaoui, 2010, "Investigating the dependence structure between credit default swap spreads and the U.S. financial market," Annals of Finance, Springer, volume 6, issue 4, pages 511-535, October, DOI: 10.1007/s10436-009-0139-5.
• Katja Ignatieva & Eckhard Platen, 2010, "Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 17, issue 3, pages 261-302, September, DOI: 10.1007/s10690-010-9116-2.
• Nicholas Apergis & Ekaterini Panopoulou & Chris Tsoumas, 2010, "Old Wine in a New Bottle: Growth Convergence Dynamics in the EU," Atlantic Economic Journal, Springer;International Atlantic Economic Society, volume 38, issue 2, pages 169-181, June, DOI: 10.1007/s11293-010-9219-1.
• Todd Potts & David Yerger, 2010, "Variations Across Canadian Regions in the Sensitivity to U.S. Monetary Policy," Atlantic Economic Journal, Springer;International Atlantic Economic Society, volume 38, issue 4, pages 443-454, December, DOI: 10.1007/s11293-010-9248-9.
• Rangan Gupta & Alain Kabundi & Mampho Modise, 2010, "Has the SARB become more effective post inflation targeting?," Economic Change and Restructuring, Springer, volume 43, issue 3, pages 187-204, August, DOI: 10.1007/s10644-009-9083-7.
• Nicolas Vaillant & François-Charles Wolff, 2010, "Does punishment of minor sexual offences deter rapes? Longitudinal evidence from France," European Journal of Law and Economics, Springer, volume 30, issue 1, pages 59-71, August, DOI: 10.1007/s10657-009-9125-7.
• Yaya Sissoko & David Yerger, 2010, "West Africa’s Evolving Competitive Exposure in U.S. Import Markets," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 16, issue 1, pages 11-23, February, DOI: 10.1007/s11294-009-9248-1.
• Valter Giacinto, 2010, "On vector autoregressive modeling in space and time," Journal of Geographical Systems, Springer, volume 12, issue 2, pages 125-154, June, DOI: 10.1007/s10109-010-0116-6.
• Vo Le & David Meenagh & Patrick Minford & Michael Wickens, 2010, "Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and the EU Using Indirect Inference," Open Economies Review, Springer, volume 21, issue 1, pages 23-44, February, DOI: 10.1007/s11079-009-9141-9.
• Martial Dupaigne & Patrick Fève, 2010, "Hours Worked and Permanent Technology Shocks in Open Economies," Open Economies Review, Springer, volume 21, issue 1, pages 69-86, February, DOI: 10.1007/s11079-009-9159-z.
• Manolis Syllignakis & Georgios Kouretas, 2010, "German, US and Central and Eastern European Stock Market Integration," Open Economies Review, Springer, volume 21, issue 4, pages 607-628, September, DOI: 10.1007/s11079-009-9109-9.
• Juan Jiménez-Martin & M. Robles-Fernandez, 2010, "PPP: Delusion or Reality? Evidence from a Nonlinear Analysis," Open Economies Review, Springer, volume 21, issue 5, pages 679-704, November, DOI: 10.1007/s11079-009-9113-0.
• Chia-Ying Chan & Ling-Chu Lee & Ming-Chun Wang, 2010, "Employee stock options pricing and the implication of restricted exercise price: evidence from Taiwan," Review of Quantitative Finance and Accounting, Springer, volume 34, issue 2, pages 247-271, February, DOI: 10.1007/s11156-010-0166-3.
• Sang Hoon Kang & Seong-Min Yoon, 2010, "Sudden Changes and Persistence in Volatility of Korean Equity Sector Returns," Korean Economic Review, Korean Economic Association, volume 26, pages 431-451.
• Sumru Altug & Melike Bildirici, 2010, "Business Cycles around the Globe: A Regime Switching Approach," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1009, Mar.
• Paul Alagidede & Theodore Panagiotidis, 2010, "Can Common Stocks Provide A Hedge Against Inflation? Evidence from African Countries," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1022, Jul.
• Sule Akkoyunlu & Boriss Siliverstovs, 2010, "Does the Law of One Price Hold in a High-Inflation Environment?," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 10-248, Jan, DOI: 10.3929/ethz-a-005975777.
• Ábel, István & Kóbor, Ádám, 2010, "A monetáris restrikció hatása strukturális VAR keretben
  [The effect of monetary restriction in a vector auto-regression framework]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 5, pages 412-430.
• Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2010, "Bootstrap Sequential Determination of the Co-integration Rank in VAR Models," Discussion Papers, University of Copenhagen. Department of Economics, number 10-07, Feb.
• Søren Johansen & Morten Ørregaard Nielsen, 2010, "Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model," Discussion Papers, University of Copenhagen. Department of Economics, number 10-15, May.
• Dennis Kristensen & Anders Rahbek, 2010, "Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models," Discussion Papers, University of Copenhagen. Department of Economics, number 10-25, Oct.
• Søren Johansen, 2010, "The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration with an Application to Annual Mean Temperature and Sea Level," Discussion Papers, University of Copenhagen. Department of Economics, number 10-27, Oct.
• Søren Johansen, 2010, "An Extension of Cointegration to Fractional Autoregressive Processes," Discussion Papers, University of Copenhagen. Department of Economics, number 10-28, Oct.
• Søren Johansen & Katarina Juselius, 2010, "An Invariance Property of the Common Trends under Linear Transformations of the Data," Discussion Papers, University of Copenhagen. Department of Economics, number 10-30, Oct.
• Michael McAleer & Les Oxley, 2010, "Ten Things We Should Know About Time Series," KIER Working Papers, Kyoto University, Institute of Economic Research, number 710, Aug.
• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010, "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," KIER Working Papers, Kyoto University, Institute of Economic Research, number 715, Aug.
• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010, "Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets," KIER Working Papers, Kyoto University, Institute of Economic Research, number 717, Aug.
• Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat, 2010, "Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations," KIER Working Papers, Kyoto University, Institute of Economic Research, number 719, Aug.
• Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat, 2010, "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," KIER Working Papers, Kyoto University, Institute of Economic Research, number 723, Sep.
• Massimiliano Caporin & Michael McAleer, 2010, "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," KIER Working Papers, Kyoto University, Institute of Economic Research, number 738, Nov.
• Massimiliano Caporin & Michael McAleer, 2010, "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," KIER Working Papers, Kyoto University, Institute of Economic Research, number 741, Nov.
• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010, "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," KIER Working Papers, Kyoto University, Institute of Economic Research, number 743, Nov.
• Stephen Hall & Kavita Sirichand, 2010, "Decision-Based Forecast Evaluation of UK Interest Rate Predictability," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 10/09, Mar.
• Stephen Hall & Kavita Sirichand, 2010, "Economic Value of Stock and Interest Rate Predictability in the UK," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 10/13, Apr.
• Greg Hannsgen, 2010, "Infinite-variance, Alpha-stable Shocks in Monetary SVAR," Economics Working Paper Archive, Levy Economics Institute, number wp_596, May.
• Paolo Casadio & Antonio Paradiso, 2010, "The Household Sector Financial Balance, Financing Gap, Financial Markets, and Economic Cycles in the US Economy: A Structural VAR Analysis," Economics Working Paper Archive, Levy Economics Institute, number wp_632, Nov.
• Nadia Saleem, 2010, "Adopting Inflation Targeting in Pakistan: An Empirical Analysis," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, volume 15, issue 2, pages 51-76, Jul-Dec.
• Carstensen, Kai & Wohlrabe, Klaus & Ziegler, Christina, 2010, "Predictive Ability of Business Cycle Indicators under Test: A Case Study for the Euro Area Industrial Production," Discussion Papers in Economics, University of Munich, Department of Economics, number 11442, Mar.
• Atsushi Masuda & Hitoshi Oshige, 2010, "Indonesian Economy: Contagion of World Financial Crisis and Policy Response," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, volume 58, pages 1-36, April.
• Hafedh Bouakez & Foued Chihi & Michel Normandin, 2010, "Measuring the Effects of Fiscal Policy," Cahiers de recherche, CIRPEE, number 1016.
• Sébastien Laurent & Jeroen V.K. Rombouts & Francesco Violante, 2010, "On the Forecasting Accuracy of Multivariate GARCH Models," Cahiers de recherche, CIRPEE, number 1021.
• Hafedh Bouakez & Badye Omar Essid & Michel Normandin, 2010, "Stock Returns and Monetary Policy: Are There Any Ties ?," Cahiers de recherche, CIRPEE, number 1026.
• Kyriakos C. Neanidis & Christos S. Savva, 2010, "Macroeconomic Uncertainty, Inflation and Growth: Regime-Dependent Effects in the G7," Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester, number 145.
• Ralf Becker & Adam Clements & Robert O'Neill, 2010, "A Kernel Technique for Forecasting the Variance-Covariance Matrix," Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester, number 151.
• Martin Mandler, 2010, "Regime-dependent effects of monetary policy shocks. Evidence from threshold vector autoregressions," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 201008.
• Martin Mandler, 2010, "Macroeconomic dynamics and inflation regimes in the U.S. Results from threshold vector autoregressions," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 201012.
• Gougerdchian, Ahmad & Tayebi, Seied Komeil & Sadeghi Amroabadi, Behrouz, 2010, "The Effect of Interbank Financial Relation Development On Profitability and Credit Allocation in Iran," Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 2, issue 5, pages 77-102, December.
• Paul Alagidede & Theodore Panagiotidis & Xu Zhang, 2010, "Causal Relationship between Stock Prices and Exchange Rates," Discussion Paper Series, Department of Economics, University of Macedonia, number 2010_01, Jan, revised Jan 2010.
• Paul Alagidede & Theodore Panagiotidis, 2010, "Can Common Stocks Provide A Hedge Against Inflation? Evidence from African Countries," Discussion Paper Series, Department of Economics, University of Macedonia, number 2010_06, Apr, revised Apr 2010.
• Maria Grydaki & Stilianos Fountas, 2010, "What Explains Output Volatility? Evidence from the G3," Discussion Paper Series, Department of Economics, University of Macedonia, number 2010_09, Jul, revised Jul 2010.
• Panagiotis Tsintzos & Theologos Dergiades, 2010, "Uncertainty in the Public Debt Market and Stochastic Long-Run Growth," Discussion Paper Series, Department of Economics, University of Macedonia, number 2010_19, Mar, revised Apr 2010.
• Lucia BALDI & Massimo PERI & Daniela VANDONE, 2010, "Is wine a financial parachute?," Departmental Working Papers, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano, number 2010-001, Jan.
• Lucia BALDI & Massimo PERI & Daniela VANDONE, 2010, "Is wine a financial parachute?," Departmental Working Papers, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano, number 2010-01, Jan.
• Zoltán M. Jakab & Éva Kaponya, 2010, "A Structural Vector Autoregressive (SVAR) model for the Hungarian labour market," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2010/11.
• Minford, Patrick & Wickens, Michael R. & Le, Vo Phuong Mai, 2010, "Some Problems in the Testing of DSGE Models," CEPR Discussion Papers, Centre for Economic Policy Research, number 7621, Jan.
• Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2010, "Forecasting with Factor-augmented Error Correction Models," CEPR Discussion Papers, Centre for Economic Policy Research, number 7677, Feb.
• Forni, Mario & Gambetti, Luca, 2010, "Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model," CEPR Discussion Papers, Centre for Economic Policy Research, number 7692, Feb.
• Marcellino, Massimiliano & Kapetanios, George, 2010, "Factor-GMM Estimation with Large Sets of Possibly Weak Instruments," CEPR Discussion Papers, Centre for Economic Policy Research, number 7726, Mar.
• Garratt, Anthony & Vahey, Shaun & Mitchell, James, 2010, "Measuring Output Gap Uncertainty," CEPR Discussion Papers, Centre for Economic Policy Research, number 7742, Mar.
• Marcellino, Massimiliano & Knüppel, Malte & Jordà , Ã’scar, 2010, "Empirical Simultaneous Confidence Regions for Path-Forecasts," CEPR Discussion Papers, Centre for Economic Policy Research, number 7797, Apr.
• Forni, Mario & Gambetti, Luca, 2010, "Fiscal Foresight and the Effects of Goverment Spending," CEPR Discussion Papers, Centre for Economic Policy Research, number 7840, May.
• Muellbauer, John & Aron, Janine, 2010, "Does aggregating forecasts by CPI component improve inflation forecast accuracy in South Africa?," CEPR Discussion Papers, Centre for Economic Policy Research, 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, Centre for Economic Policy Research, number 7902, Jun.
• Altug, Sumru & Bildirici, Melike, 2010, "Business Cycles around the Globe: A Regime-switching Approach," CEPR Discussion Papers, Centre for Economic Policy Research, number 7968, Aug.
• Wright, Jonathan & Gürkaynak, Refet, 2010, "Macroeconomics and the Term Structure," CEPR Discussion Papers, Centre for Economic Policy Research, number 8018, Sep.
• Chang, Yongsung & Schorfheide, Frank, 2010, "Labor-Market Heterogeneity, Aggregation, and the Lucas Critique," CEPR Discussion Papers, Centre for Economic Policy Research, 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, Centre for Economic Policy Research, 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.
• Shoro Armstrong, 2010, "Interaction Between Trade, Conflict And Cooperation: The Case Of Japan And China," Asia Pacific Economic Papers, Australia-Japan Research Centre, Crawford School of Public Policy, The Australian National University, number 386.
• Rodríguez-Moreno, María & Peña, Juan Ignacio, 2010, "Systemic risk measures: the simpler the better," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number 9291, Sep.
• Sucarrat, Genaro & Escribano, Álvaro, 2010, "The power log-GARCH model," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we1013, Jun.
• Kuan-Min Wang, 2010, "Expected and Unexpected Impulses of Monetary Policy on the Interest Pass-Through Mechanism in Asian Countries," Annals of Economics and Finance, Society for AEF, volume 11, issue 1, pages 95-137, May.
• Conrad, Christian & Karanasos, Menelaos, 2010, "Negative Volatility Spillovers In The Unrestricted Eccc-Garch Model," Econometric Theory, Cambridge University Press, volume 26, issue 3, pages 838-862, June.
• Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010, "Cointegration Rank Testing Under Conditional Heteroskedasticity," Econometric Theory, Cambridge University Press, volume 26, issue 6, pages 1719-1760, December.
• Muhammad, Andrew & Zheng, Hualu, 2010, "Dynamic Effects of Grain and Energy Prices on the Catfish Feed and Farm Sectors," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 42, issue 4, pages 719-730, November.
• Alfredo Marvão Pereira & Jorge M. Andraz, 2010, "On The Economic Effects Of Investment In Railroad Infrastructures In Portugal," Working Papers, Economics Department, William & Mary, number 96, Sep, revised 03 Apr 2012.
• Burcu Erdogan, 2010, "Kreditklemme in Deutschland: Mythos oder Realität?," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, volume 79, issue 4, pages 27-37, DOI: 10.3790/vjh.79.4.27.
• John Beirne & Guglielmo Maria Caporale & Nicola Spagnolo, 2010, "Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1029.
• Fakhri Hasanov, 2010, "The Impact of Real Oil Price on Real Effective Exchange Rate: The Case of Azerbaijan," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1041.
• Guglielmo Maria Caporale & Alessandro Girardi & Paolo Paesani, 2010, "Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1080.
• Ansgar Belke & Ingo G. Bordon & Torben W. Hendricks, 2010, "Monetary Policy, Global Liquidity and Commodity Price Dynamics," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 971.
• Guglielmo Maria Caporale & Alessandro Girardi, 2010, "Price Formation on the EuroMTS Platform," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 977.
• Ansgar Belke & Robert Czudaj, 2010, "Is Euro Area Money Demand (Still) Stable?: Cointegrated VAR versus Single Equation Techniques," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 982.
• Guglielmo Maria Caporale & Davide Ciferri & Allessandro Girardi, 2010, "Time-Varying Spot and Futures Oil Price Dynamics," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 988.
• Sylvain Prado, 2010, "A Family Hitch : Econometrics of the New and the Used Car Markets," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2010-4.
• Matteo Luciani, 2010, "Monetary Policy, the Housing Market, and the 2008 Recession: A Structural Factor Analysis," Working Papers, Doctoral School of Economics, Sapienza University of Rome, number 7, revised 2010.
• Kevin D Hoover & Selva Demiralp & Stephen J Perez, 2010, "Empirical Identification of the Vector Autoregression: The Causes and Effects of U.S. M2," Working Papers, Duke University, Department of Economics, number 10-03.
• Alastair Hall & Atsushi Inoue & James M. Nason & Barbara Rossi, 2010, "Information Criteria for Impulse Response Function Matching Estimation of DSGE Models," Working Papers, Duke University, Department of Economics, number 10-28.
• Francesco Bianchi, 2010, "Rare Events, Financial Crises, and the Cross-Section of Asset Returns," Working Papers, Duke University, Department of Economics, number 10-40.
• Gabriel RODRIGUEZ, 2010, "Estimating Output Gap, Core Inflation, And The Nairu For Peru, 1979-2007," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 10, issue 1.
• KETENCI, Natalya, 2010, "Cointegration Analysis Of Tourism Demand For Turkey," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 10, issue 1.
• Bildirici, M.E. & Alp, E.A. & Bakirtas, T., 2010, "OIL PRICES AND CURRENT ACCOUNT DEFICITS: Analysis OF CAUSALITY in the USA," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 10, issue 1.
• SHUBITA, Moade Fawzi & AL-SHARKAS, Adel A., 2010, "A Study Of Size Effect And Macroeconomics Factors In New York Stock Exchange Stock Returns," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 10, issue 2.
• Husein, J, 2010, "Export-Led Growth Hypothesis In The Mena Region: A Multivariate Cointegration, Causality And Stability Analysis," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 10, issue 2.
• Abdul Rashid & Fazal Husain, 2010, "Capital Inflows, Inflation and Exchange Rate Volatility : An Investigation for Linear and Nonlinear Causal Linkages," Macroeconomics Working Papers, East Asian Bureau of Economic Research, number 22832, Jan.
• Sudipto Mundle & N.R. Bhanumurthy & Surajit Das, 2010, "Fiscal Consolidation with High Growth : A Policy Simulation Model for India," Macroeconomics Working Papers, East Asian Bureau of Economic Research, number 23070, Jan.
• Shiro Armstrong, 2010, "Interaction between trade, conflict and cooperation : the case of Japan and China," Trade Working Papers, East Asian Bureau of Economic Research, number 22766, Jan.
• Nikolaus Hautsch & Dieter Hess & David Veredas, 2010, "The impact of macroeconomic news on quote adjustments, noise and informational volatility," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2010-004, Jan.
• Yves Dominicy & David Veredas, 2010, "The method of simulated quantiles," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2010-008, Feb.
• Matteo Barigozzi & Antonio Conti, 2010, "On the Sources of Euro Area Money Demand Stability. A Time-Varying Cointegration Analysis," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2010-022.
• Roxana Halbleib & Valerie Voev, 2010, "Forecasting Multivariate Volatility Using the VARFIMA Model on Realized Covariance Cholesky Factors," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2010-041, Dec.
• Roxana Halbleib, 2010, "A Note on Estimating Wishart Autoagressive Model," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2010-043, Dec.
• di Mauro, Filippo & Forster, Katrin & Lima, Ana, 2010, "The global downturn and its impact on euro area exports and competitiveness," Occasional Paper Series, European Central Bank, number 119, Oct.
• Schuknecht, Ludger & Rother, Philipp & Stark, Jürgen, 2010, "The benefits of fiscal consolidation in uncharted waters," Occasional Paper Series, European Central Bank, number 121, Nov.
• Caporale, Guglielmo Maria & Onorante, Luca & Paesani, Paolo, 2010, "Inflation and inflation uncertainty in the euro area," Working Paper Series, European Central Bank, number 1229, Jul.
• Karel Mertens & MortenO. Ravn, 2010, "Measuring the Impact of Fiscal Policy in the Face of Anticipation: A Structural VAR Approach," Economic Journal, Royal Economic Society, volume 120, issue 544, pages 393-413, May.
• 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

• Corsetti, Giancarlo & Konstantinou, Panagiotis, 2009, "What Drives US Foreign Borrowing? Evidence on External Adjustment to Transitory and Permanent Shocks," CEPR Discussion Papers, Centre for Economic Policy Research, number 7134, Jan.
• Wickens, Michael R. & Smith, Peter N & Sorensen, Steffen, 2009, "The Equity Premium and the Business Cycle: the Role of Demand and Supply Shocks," CEPR Discussion Papers, Centre for Economic Policy Research, number 7227, Mar.
• Uribe, Martín & Rubio-Ramírez, Juan Francisco & Fernández-Villaverde, Jesús & Guerron-Quintana, Pablo A., 2009, "Risk Matters: The Real Effects of Volatility Shocks," CEPR Discussion Papers, Centre for Economic Policy Research, number 7264, Apr.
• Kilian, Lutz & Kim, Yun Jung, 2009, "Do Local Projections Solve the Bias Problem in Impulse Response Inference?," CEPR Discussion Papers, Centre for Economic Policy Research, number 7266, Apr.
• Kilian, Lutz & Vigfusson, Robert J., 2009, "Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks," CEPR Discussion Papers, Centre for Economic Policy Research, number 7284, Apr.
• Minford, Patrick & Wickens, Michael R. & Meenagh, David & Le, Vo Phuong Mai, 2009, "Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and EU Using Indirect Inference," CEPR Discussion Papers, Centre for Economic Policy Research, number 7385, Jul.
• Ravn, Morten & Mertens, Karel, 2009, "Measuring the Impact of Fiscal Policy in the Face of Anticipation: A Structural VAR Approach," CEPR Discussion Papers, Centre for Economic Policy Research, number 7423, Aug.
• Kilian, Lutz & Inoue, Atsushi & Guerron-Quintana, Pablo A., 2009, "Frequentist Inference in Weakly Identified DSGE Models," CEPR Discussion Papers, Centre for Economic Policy Research, number 7447, Sep.
• Minford, Patrick & Wickens, Michael R. & Le, Vo Phuong Mai, 2009, "How much nominal rigidity is there in the US Economy? Testing a New Keynesian DSGE model using indirect inference," CEPR Discussion Papers, Centre for Economic Policy Research, number 7537, Nov.
• Minford, Patrick & Wickens, Michael R. & Le, Vo Phuong Mai, 2009, "The 'Puzzles' Methodology: en route to Indirect Inference?," CEPR Discussion Papers, Centre for Economic Policy Research, number 7539, Nov.
• Giannone, Domenico & D’Agostino, Antonello & Gambetti, Luca, 2009, "Macroeconomic Forecasting and Structural Change," CEPR Discussion Papers, Centre for Economic Policy Research, number 7542, Nov.
• Martin Uebele, 2009, "International and National Wheat Market Integration in the 19th Century: A Comovement Analysis," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 0409, Jun.
• Martin T. Bohl & Christian A. Salm & Bernd Wilfling, 2009, "Do Individual Index Futures Investors Destabilize the Underlying Spot Market?," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 0609, Oct.
• Marie Lambert & George Hübner & Marie Lambert, 2009, "Directional and non-directional risk exposures in Hedge Fund returns," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 09-06.
• 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.