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

• 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.
• Sarferaz, Samad & Uebele, Martin, 2009, "Tracking down the business cycle: A dynamic factor model for Germany 1820-1913," Explorations in Economic History, Elsevier, volume 46, issue 3, pages 368-387, July.
• Gärtner, Dennis L. & Halbheer, Daniel, 2009, "Are there waves in merger activity after all?," International Journal of Industrial Organization, Elsevier, volume 27, issue 6, pages 708-718, November.
• Sheremet, Oleg & Lucas, André, 2009, "Global loss diversification in the insurance sector," Insurance: Mathematics and Economics, Elsevier, volume 44, issue 3, pages 415-425, June.
• Flavin, Thomas J. & Panopoulou, Ekaterini, 2009, "On the robustness of international portfolio diversification benefits to regime-switching volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 19, issue 1, pages 140-156, February.
• Hillebrand, Eric & Schnabl, Gunther & Ulu, Yasemin, 2009, "Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 19, issue 3, pages 490-505, July.
• Ahoniemi, Katja & Lanne, Markku, 2009, "Joint modeling of call and put implied volatility," International Journal of Forecasting, Elsevier, volume 25, issue 2, pages 239-258.
• Pesaran, M. Hashem & Schuermann, Til & Smith, L. Vanessa, 2009, "Forecasting economic and financial variables with global VARs," International Journal of Forecasting, Elsevier, volume 25, issue 4, pages 642-675, October.
• Fang, WenShwo & Miller, Stephen M., 2009, "Modeling the volatility of real GDP growth: The case of Japan revisited," Japan and the World Economy, Elsevier, volume 21, issue 3, pages 312-324, August.
• Darvas, Zsolt, 2009, "Leveraged carry trade portfolios," Journal of Banking & Finance, Elsevier, volume 33, issue 5, pages 944-957, May.
• Fang, WenShwo & Lai, YiHao & Miller, Stephen M., 2009, "Does exchange rate risk affect exports asymmetrically? Asian evidence," Journal of International Money and Finance, Elsevier, volume 28, issue 2, pages 215-239, March.
• Hofmann, Boris, 2009, "Do monetary indicators lead euro area inflation?," Journal of International Money and Finance, Elsevier, volume 28, issue 7, pages 1165-1181, November.
• Weber, Enzo, 2009, "Common and uncommon sources of growth in Asia Pacific," Journal of the Japanese and International Economies, Elsevier, volume 23, issue 1, pages 20-36, March.
• Kyrtsou, Catherine & Vorlow, Costas, 2009, "Modelling non-linear comovements between time series," Journal of Macroeconomics, Elsevier, volume 31, issue 1, pages 200-211, March.
• Galvao, Antonio F. & Montes-Rojas, Gabriel & Olmo, Jose, 2009, "Quantile Threshold Effects in the Dynamics of the Dollar/Pound Exchange Rate," The Journal of Economic Asymmetries, Elsevier, volume 6, issue 2, pages 69-82, DOI: 10.1016/j.jeca.2009.02.007.
• Flavin, Thomas J. & Sygelaki, Eirini, 2009, "Financial vs. Non-financial Stocks: Time-varying Correlations and Risks," The Journal of Economic Asymmetries, Elsevier, volume 6, issue 3, pages 71-92, DOI: 10.1016/S1703-4949(16)30052-4.
• Boschi, Melisso & Pieroni, Luca, 2009, "Aluminium market and the macroeconomy," Journal of Policy Modeling, Elsevier, volume 31, issue 2, pages 189-207.
• Liu, Shuangzhe & Neudecker, Heinz, 2009, "On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 79, issue 8, pages 2556-2565, DOI: 10.1016/j.matcom.2008.12.008.
• Billio, Monica & Caporin, Massimiliano, 2009, "A generalized Dynamic Conditional Correlation model for portfolio risk evaluation," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 79, issue 8, pages 2566-2578, DOI: 10.1016/j.matcom.2008.12.011.
• Zhu, Jie, 2009, "Testing for expected return and market price of risk in Chinese A and B share markets: A geometric Brownian motion and multivariate GARCH model approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 79, issue 8, pages 2633-2653, DOI: 10.1016/j.matcom.2008.12.005.
• Chen, Cathy W.S. & Gerlach, Richard & Cheng, Nick Y.P. & Yang, Y.L., 2009, "The impact of structural breaks on the integration of the ASEAN-5 stock markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 79, issue 8, pages 2654-2664, DOI: 10.1016/j.matcom.2008.12.012.
• Oxley, Les & Reale, Marco & Wilson, Granville Tunnicliffe, 2009, "Constructing structural VAR models with conditional independence graphs," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 79, issue 9, pages 2910-2916, DOI: 10.1016/j.matcom.2008.11.013.
• Sakata, Kei & McKenzie, C.R., 2009, "The impact of divorce precedents on the Japanese divorce rate," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 79, issue 9, pages 2917-2926, DOI: 10.1016/j.matcom.2008.10.002.
• Macias, Jose Brambila & Cazzavillan, Guido, 2009, "The dynamics of parallel economies. Measuring the informal sector in Mexico," Research in Economics, Elsevier, volume 63, issue 3, pages 189-199, September.
• Taboga, Marco, 2009, "Macro-finance VARs and bond risk premia: A caveat," Review of Financial Economics, Elsevier, volume 18, issue 4, pages 163-171, October.
• Gries, Thomas & Kraft, Manfred & Meierrieks, Daniel, 2009, "Linkages Between Financial Deepening, Trade Openness, and Economic Development: Causality Evidence from Sub-Saharan Africa," World Development, Elsevier, volume 37, issue 12, pages 1849-1860, December.
• Nektarios Aslanides & Mardi Dungey & Christos S. Savva, 2009, "Modelling change in financial market integration," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2009-07, Jan.
• Renee A. Fry & Vance L. Martin & Nicholas Voukelatos, 2009, "Overvaluation in Australian housing and equity markets: Wealth effects or monetary policy?," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2009-10, Mar.
• Mardi Dungey & Denise Osborn, 2009, "Modelling International Linkages for Large Open Economies: US and Euro Area," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2009-24, Sep.
• Martina Basarac, 2009, "Procjena Phillipsove krivulje na primjeru Republike Hrvatske: Parcijalni VEC model," Ekonomija Economics, Rifin d.o.o., volume 16, issue 1, pages 49-73.
• Patton, Andrew J. & Verardo, Michela, 2009, "Does beta move with news? Systematic risk and firm-specific information flows," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24421, Mar.
• Lenno Uusküla, 2009, "Liquidity and Productivity Shocks: a Look at Sectoral Firm Creation," Chapters, Edward Elgar Publishing, chapter 5, in: David G. Mayes, "Microfoundations of Economic Success".
• Chang, C-L. & McAleer, M.J. & Tansuchat, R., 2009, "Modelling conditional correlations for risk diversification in crude oil markets," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-11, Jun.
• Chang, C-L. & McAleer, M.J. & Tansuchat, R., 2009, "Forecasting volatility and spillovers in crude oil spot, forward and future markets," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-12, Jun.
• Khamkaew, T. & Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2009, "Modelling conditional correlations in the volatility of Asian rubber spot and futures returns," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-34, Nov.
• Chang, C-L. & Khamkaew, T. & McAleer, M.J. & Tansuchat, R., 2009, "Interdependence of international tourism demand and volatility in leading ASEAN destinations," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-36, Nov.
• Hammoudeh, S.M. & Yuan, Y. & McAleer, M.J. & Thompson, M.A., 2009, "Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-38, Nov.
• Asai, M. & Caporin, M., 2009, "Block Structure Multivariate Stochastic Volatility Models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2009-51, Dec.
• Markwat, T.D. & Kole, H.J.W.G. & van Dijk, D.J.C., 2009, "Time Variation in Asset Return Dependence: Strength or Structure?," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2009-052-F&A, Oct.
• Felipe de Jesús Fonseca Hernández, 2009, "El impacto de la inversión pública sobre la inversión privada en México, 1980-2007," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, volume 24, issue 2, pages 187-224.
• Ashima Goyal, 2009, "Through a Glass Darkly: Deciphering the Impact of Oil Price Shocks," Working Papers, eSocialSciences, number id:1826.
• Markku Lanne & Helmut Luetkepohl & Katarzyna Maciejowska, 2009, "Structural Vector Autoregressions with Markov Switching," Economics Working Papers, European University Institute, number ECO2009/06.
• Helmut Luetkepohl, 2009, "Forecasting Aggregated Time Series Variables: A Survey," Economics Working Papers, European University Institute, number ECO2009/17.
• Gunnar Bardsen & Helmut Luetkepohl, 2009, "Forecasting Levels of log Variables in Vector Autoregressions," Economics Working Papers, European University Institute, number ECO2009/24.
• Alexander Kriwoluzky, 2009, "Pre-announcement and Timing - The Effects of a Government Expenditure Shock," Economics Working Papers, European University Institute, number ECO2009/40.
• Helmut Herwartz & Helmut Luetkepohl, 2009, "Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity," Economics Working Papers, European University Institute, number ECO2009/42.
• Nathaniel Frank & Heiko Hesse, 2009, "Financial Spillovers to Emerging Markets during the Global Financial Crisis," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 59, issue 6, pages 507-521, December.
• Andrea Bastianin, 2009, "Modelling Asymmetric Dependence Using Copula Functions: An application to Value-at-Risk in the Energy Sector," Working Papers, Fondazione Eni Enrico Mattei, number 2009.24, Apr.
• Cyril Caillault, Dominique Guégan, 2009, "Forecasting VaR and Expected Shortfall Using Dynamical Systems: A Risk Management Strategy," Frontiers in Finance and Economics, SKEMA Business School, volume 6, issue 1, pages 26-50, April.
• Edward E. Ghartey, 2009, "The Mid 1990s Peso Crisis in Mexico: An Application of the Girton-Roper Model," Frontiers in Finance and Economics, SKEMA Business School, volume 6, issue 1, pages 73-92, April.
• Pereira, Pedro L. Valls, 2009, "Testing the hypothesis of contagion using multivariate volatility models," Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil), number 174, Jan.
• Pereira, Pedro L. Valls, 2009, "Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change," Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil), number 175, Jan.
• Athanasopoulos, George & Guillen, Osmani Teixeira Carvalho & Issler, João Victor, 2009, "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 688, Feb.
• Issler, João Victor & Notini, Hilton Hostalácio & Rodrigues, Claudia Oliveira da Fontoura, 2009, "Constructing coincident and leading indices of economic activity for the brazilian economy," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 694, Jun.
• Todd Prono, 2009, "Market proxies, correlation, and relative mean-variance efficiency: still living with the roll critique," Supervisory Research and Analysis Working Papers, Federal Reserve Bank of Boston, number QAU09-3.
• Lutz Kilian & Robert J. Vigfusson, 2009, "Pitfalls in estimating asymmetric effects of energy price shocks," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 970.
• Michael T. Owyang & Sarah Zubairy, 2009, "Who benefits from increased government spending? a state-level analysis," Working Papers, Federal Reserve Bank of St. Louis, number 2009-006, DOI: 10.20955/wp.2009.006.
• James D. Hamilton & Michael T. Owyang, 2009, "The propagation of regional recessions," Working Papers, Federal Reserve Bank of St. Louis, number 2009-013, DOI: 10.20955/wp.2009.013.
• Neville Francis & Michael T. Owyang & Tatevik Sekhposyan, 2009, "The local effects of monetary policy," Working Papers, Federal Reserve Bank of St. Louis, number 2009-048, DOI: 10.20955/wp.2009.048.
• Christopher J. Neely & David E. Rapach, 2009, "Common fluctuations in OECD budget balances," Working Papers, Federal Reserve Bank of St. Louis, number 2009-055, DOI: 10.20955/wp.2009.055.
• Michael J. Fleming & Bruce Mizrach & Giang Nguyen, 2009, "The microstructure of a U.S. Treasury ECN: the BrokerTec platform," Staff Reports, Federal Reserve Bank of New York, number 381, Jul.
• Pablo Guerrón-Quintana & Atsushi Inoue & Lutz Kilian, 2009, "Frequentist inference in weakly identified DSGE models," Working Papers, Federal Reserve Bank of Philadelphia, number 09-13.
• Andres Fernandez & Norman R. Swanson, 2009, "Real-time datasets really do make a difference: definitional change, data release, and forecasting," Working Papers, Federal Reserve Bank of Philadelphia, number 09-28.
• Michela Verardo & Andrew Patton, 2009, "Does Beta Move with News? Systematic Risk and Firm-Specific Information Flows," FMG Discussion Papers, Financial Markets Group, number dp630, Mar.
• Fonseca Hernández, Felipe de Jesús, 2009, "El impacto de las inversiones públicas sobre la inversión privada en México, 1925-2006," Finanzas Públicas, Centro de Estudios de las Finanzas Públicas, H. Cámara de Diputados, volume 1, issue 1, pages 49-78.
• Drobyshevsky Sergey & Pavel Trunin & Kamenskih M., 2009, "Analysis of the Rules of Monetary and Credit Policy of Russia in 1999�2007," Research Paper Series, Gaidar Institute for Economic Policy, issue 127P.

2008

• Siklos, Pierre L., 2008, "The Fed's reaction to the stock market during the great depression: Fact or artefact?," Explorations in Economic History, Elsevier, volume 45, issue 2, pages 164-184, April.
• Christiansen, Charlotte, 2008, "Level-ARCH short rate models with regime switching: Bivariate modeling of US and European short rates," International Review of Financial Analysis, Elsevier, volume 17, issue 5, pages 925-948, December.
• Nakatani, Tomoaki & Teräsvirta, Timo, 2008, "Positivity constraints on the conditional variances in the family of conditional correlation GARCH models," Finance Research Letters, Elsevier, volume 5, issue 2, pages 88-95, June.
• Pierdzioch, Christian & Schertler, Andrea, 2008, "Investing in European stock markets for high-technology firms," Global Finance Journal, Elsevier, volume 18, issue 3, pages 400-415.
• Lien, Donald & Yang, Li, 2008, "Hedging with Chinese metal futures," Global Finance Journal, Elsevier, volume 19, issue 2, pages 123-138.
• Scholl, Almuth & Uhlig, Harald, 2008, "New evidence on the puzzles: Results from agnostic identification on monetary policy and exchange rates," Journal of International Economics, Elsevier, volume 76, issue 1, pages 1-13, September.
• Zhang, J. & Guégan, D., 2008, "Pricing bivariate option under GARCH processes with time-varying copula," Insurance: Mathematics and Economics, Elsevier, volume 42, issue 3, pages 1095-1103, June.
• Morana, Claudio & Beltratti, Andrea, 2008, "Comovements in international stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 18, issue 1, pages 31-45, February.
• Marcucci, Juri & Quagliariello, Mario, 2008, "Is bank portfolio riskiness procyclical: Evidence from Italy using a vector autoregression," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 18, issue 1, pages 46-63, February.
• Sideris, Dimitrios A., 2008, "Foreign exchange intervention and equilibrium real exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 18, issue 4, pages 344-357, October.
• Angelidis, Timotheos & Degiannakis, Stavros, 2008, "Volatility forecasting: Intra-day versus inter-day models," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 18, issue 5, pages 449-465, December.
• Bhattacharya, Prasad S. & Thomakos, Dimitrios D., 2008, "Forecasting industry-level CPI and PPI inflation: Does exchange rate pass-through matter?," International Journal of Forecasting, Elsevier, volume 24, issue 1, pages 134-150.
• Hyndman, Rob J. & Booth, Heather, 2008, "Stochastic population forecasts using functional data models for mortality, fertility and migration," International Journal of Forecasting, Elsevier, volume 24, issue 3, pages 323-342.
• Dordonnat, V. & Koopman, S.J. & Ooms, M. & Dessertaine, A. & Collet, J., 2008, "An hourly periodic state space model for modelling French national electricity load," International Journal of Forecasting, Elsevier, volume 24, issue 4, pages 566-587.
• Paolella, Marc S. & Taschini, Luca, 2008, "An econometric analysis of emission allowance prices," Journal of Banking & Finance, Elsevier, volume 32, issue 10, pages 2022-2032, October.
• Korenok, Oleg, 2008, "Empirical comparison of sticky price and sticky information models," Journal of Macroeconomics, Elsevier, volume 30, issue 3, pages 906-927, September.
• Russell, Bill & Banerjee, Anindya, 2008, "The long-run Phillips curve and non-stationary inflation," Journal of Macroeconomics, Elsevier, volume 30, issue 4, pages 1792-1815, December.
• da Veiga, Bernardo & Chan, Felix & McAleer, Michael, 2008, "Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 78, issue 2, pages 155-171, DOI: 10.1016/j.matcom.2008.01.031.
• Hoti, Suhejla & McAleer, Michael & Pauwels, Laurent L., 2008, "Multivariate volatility in environmental finance," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 78, issue 2, pages 189-199, DOI: 10.1016/j.matcom.2008.01.038.
• Del Negro, Marco & Schorfheide, Frank, 2008, "Forming priors for DSGE models (and how it affects the assessment of nominal rigidities)," Journal of Monetary Economics, Elsevier, volume 55, issue 7, pages 1191-1208, October.
• Chari, V.V. & Kehoe, Patrick J. & McGrattan, Ellen R., 2008, "Are structural VARs with long-run restrictions useful in developing business cycle theory?," Journal of Monetary Economics, Elsevier, volume 55, issue 8, pages 1337-1352, November.
• Viv Hall & John McDermott, 2008, "An Unobserved Components Common Cycle For Australia? Implications For A Common Currency," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2008-11, Apr.
• Melisso Boschi & Alessandro Girardi, 2008, "The Contribution Of Domestic, Regional And International Factors To Latin America'S Business Cycle," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2008-33, Oct.
• Renee Fry & Adrian Pagan, 2010, "Sign Restrictions in Structural Vector Autoregressions: A Critical Review," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2010-22, Jul.
• Robinson, Peter, 2008, "Inference on nonparametrically trending time series with fractional errors," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 25471, Oct.
• María-Dolores, Ramón & Vázquez Pérez, Jesús, 2008, "Term Structure and the Estimated Monetary Policy Rule in the Eurozone," DFAEII Working Papers, University of the Basque Country - Department of Foundations of Economic Analysis II, number 1988-088X.
• Vázquez Pérez, Jesús, 2008, "The Comovement between Monetary and Fiscal Policy Instruments during the Post-War Period in the U.S," DFAEII Working Papers, University of the Basque Country - Department of Foundations of Economic Analysis II, number 1988-088X, Apr.
• Constantinos Alexiou & Persefoni Tsaliki & Lefteris Tsoulfidis, 2008, "The Greek Hyperinflation Revisited," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 11, issue 1, pages 19-34, Summer.
• Carmen López-Pueyo & Sara Barcenilla Visús & María Jesús Mancebón Torrubia & Jaime Sanaú Villarroya, 2008, "La productividad total de los factores en los países desarrollados. Componentes y factores determinantes," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, volume 68, issue 02, pages 370-403.
• Garcés Díaz, Daniel Guillermo, 2008, "Efectos de los cambios de la política monetaria en las dinámicas del tipo de cambio, el dinero y los precios en México (1945-2000)," El Trimestre Económico, Fondo de Cultura Económica, volume 75, issue 299, pages 683-713, julio-sep, DOI: http://dx.doi.org/10.20430/ete.v75i.
• Edna Fragoso Pastrana & Jorge Herrera Hernández & Ramón A. Castillo Ponce, 2008, "Sincronización del empleo manufacturero en México y Estados Unidos," Economía Mexicana NUEVA ÉPOCA, CIDE, División de Economía, volume 0, issue 1, pages 5-47, January-J.
• Xavier de Luna & Per Johansson, 2008, "Graphical diagnostics of endogeneity," Advances in Econometrics, Emerald Group Publishing Limited, "Modelling and Evaluating Treatment Effects in Econometrics", DOI: 10.1016/S0731-9053(07)00006-0.
• Dimitris Korobilis, 2008, "Forecasting in vector autoregressions with many predictors," Advances in Econometrics, Emerald Group Publishing Limited, "Bayesian Econometrics", DOI: 10.1016/S0731-9053(08)23012-4.
• Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2008, "Bayesian inference in a cointegrating panel data model," Advances in Econometrics, Emerald Group Publishing Limited, "Bayesian Econometrics", DOI: 10.1016/S0731-9053(08)23013-6.
• Michael K. Andersson & Sune Karlsson, 2008, "Bayesian forecast combination for VAR models," Advances in Econometrics, Emerald Group Publishing Limited, "Bayesian Econometrics", DOI: 10.1016/S0731-9053(08)23015-X.
• Franses, Ph.H.B.F. & Segers, R., 2008, "Seasonality in revisions of macroeconomic data," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2008-09, Apr.
• Lieven Baele & Koen Inghelbrecht, 2008, "Time-varying integration, the euro and international diversification strategy," European Economy - Economic Papers 2008 - 2015, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission, number 333, Jul.
• Anindya Banerjee & Massimiliano Marcellino, 2008, "Factor-augmented Error Correction Models," Economics Working Papers, European University Institute, number ECO2008/15.
• Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2008, "Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change," Economics Working Papers, European University Institute, number ECO2008/17.
• Markku Lanne & Helmut Luetkepohl, 2008, "A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks," Economics Working Papers, European University Institute, number ECO2008/23.
• Matei Demetrescu & Helmut Luetkepohl & Pentti Saikkonen, 2008, "Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term," Economics Working Papers, European University Institute, number ECO2008/24.
• Markku Lanne & Helmut Luetkepohl, 2008, "Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis," Economics Working Papers, European University Institute, number ECO2008/29.
• Òscar Jordà & Massimiliano Marcellino, 2008, "Path Forecast Evaluation," Economics Working Papers, European University Institute, number ECO2008/34.
• António Caleiro, 2008, "Uma Análise de Causalidade entre o número de Casamentos e de Nascimentos em Portugal," Economics Working Papers, University of Évora, Department of Economics (Portugal), number 03_2008.
• Alfredo Marvão Pereira & Rui Manuel Marvão Pereira, 2008, "Is Fuel-Switching a No-Regrets Environmental Policy? VAR Evidence on Carbon Dioxide Emissions, Energy Consumption and Economic Performance in Portugal," Economics Working Papers, University of Évora, Department of Economics (Portugal), number 05_2008.
• James Davidson & Nigar Hashimzade, 2008, "Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes," Discussion Papers, University of Exeter, Department of Economics, number 0807.
• Konstantins Benkovskis, 2008, "The Role of Inflation Expectations in the New EU Member States: Consumer Survey Based Results," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 58, issue 07-08, pages 298-317, Oktober.
• Vít Bubák, 2008, "Value-at-Risk on Central and Eastern European Stock Markets: An Empirical Investigation Using GARCH Models," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2008/18, Sep, revised Sep 2008.
• Michal Franta & Branislav Saxa & Katerina Smidkova, 2008, "Inflation Persistence: Is It Similar in the New EU Member States and the Euro Area Members?," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2008/25, Oct, revised Oct 2008.
• Matthieu Lemoine & Gian Luigi Mazzi & Paola Monperrus-Veroni & Frédéric Reynes, 2008, "Real time estimation of potential output and output gap for the euro-area: comparing production function with unobserved components and SVAR approaches," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2008-34.
• Martin Menner & Hugo Rodríguez Mendizábal, 2008, "On the Identification of Monetary (and Other) Shocks," Finnish Economic Papers, Finnish Economic Association, volume 21, issue 1, pages 39-56, Spring.
• Todd Prono, 2008, "GARCH-based identification and estimation of triangular systems," Supervisory Research and Analysis Working Papers, Federal Reserve Bank of Boston, number QAU08-4.
• Lutz Kilian & Clara Vega, 2008, "Do energy prices respond to U.S. macroeconomic news? a test of the hypothesis of predetermined energy prices," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 957.
• Betty C. Daniel & Christos Shiamptanis, 2008, "Fiscal policy in the European Monetary Union," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 961.
• M. Hashem Pesaran & Til Schuermann & L. Vanessa Smith, 2008, "Forecasting economic and financial variables with global VARs," Staff Reports, Federal Reserve Bank of New York, number 317.
• Marco Del Negro & Frank Schorfheide, 2008, "Forming priors for DSGE models (and how it affects the assessment of nominal rigidities)," Staff Reports, Federal Reserve Bank of New York, number 320, Mar.
• Marco Del Negro & Frank Schorfheide, 2008, "Monetary policy analysis with potentially misspecified models," Staff Reports, Federal Reserve Bank of New York, number 321.
• Maxym Kryshko & Frank Schorfheide & Keith Sill, 2008, "DSGE model-based forecasting of non-modelled variables," Working Papers, Federal Reserve Bank of Philadelphia, number 08-17.
• Valentina Corradi & Andres Fernandez & Norman R. Swanson, 2008, "Information in the revision process of real-time datasets," Working Papers, Federal Reserve Bank of Philadelphia, number 08-27.
• Andrew T. Foerster & Pierre-Daniel G. Sarte & Mark W. Watson, 2008, "Sectoral vs. aggregate shocks : a structural factor analysis of industrial production," Working Paper, Federal Reserve Bank of Richmond, number 08-07.
• Sergey Drobyshevsky & Pavel Trunin & M. Kamenskikh, 2008, "Analysis of Transmission Mechanisms of Money and Credit Policy in Russia's Economy," Research Paper Series, Gaidar Institute for Economic Policy, issue 116P.
• Alessio Moneta, 2008, "Graphical causal models and VARs: an empirical assessment of the real business cycles hypothesis," Empirical Economics, Springer, volume 35, issue 2, pages 275-300, September, DOI: 10.1007/s00181-007-0159-9.
• Claudio Morana, 2008, "International stock markets comovements: the role of economic and financial integration," Empirical Economics, Springer, volume 35, issue 2, pages 333-359, September, DOI: 10.1007/s00181-007-0161-2.
• Hilde Bjørnland & Leif Brubakk & Anne Jore, 2008, "Forecasting inflation with an uncertain output gap," Empirical Economics, Springer, volume 35, issue 3, pages 413-436, November, DOI: 10.1007/s00181-007-0165-y.
• Lorenzo Cappiello & Nikolaos Panigirtzoglou, 2008, "Estimates of foreign exchange risk premia: a pricing kernel approach," Empirical Economics, Springer, volume 35, issue 3, pages 475-495, November, DOI: 10.1007/s00181-007-0173-y.
• Ayla Ogus & Niloufer Sohrabji, 2008, "On the optimality and sustainability of Turkey’s current account," Empirical Economics, Springer, volume 35, issue 3, pages 543-568, November, DOI: 10.1007/s00181-007-0178-6.
• Nikiforos Laopodis, 2008, "Noise trading and autocorrelation interactions in the foreign exchange market: Evidence from developed and emerging economies," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 32, issue 3, pages 271-293, July, DOI: 10.1007/s12197-007-9018-y.
• Fabio Bagliano & Claudio Morana, 2008, "Factor vector autoregressive estimation: a new approach," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 3, issue 1, pages 15-23, June, DOI: 10.1007/s11403-008-0028-4.
• Rustam Ibragimov, 2008, "A tale of two tails: peakedness properties in inheritance models of evolutionary theory," Journal of Evolutionary Economics, Springer, volume 18, issue 5, pages 597-613, October, DOI: 10.1007/s00191-006-0041-5.
• Syed Basher & S. Fachin, 2008, "The long-term decline of internal migration in Canada: the case of Ontario," Letters in Spatial and Resource Sciences, Springer, volume 1, issue 2, pages 171-181, December, DOI: 10.1007/s12076-008-0016-2.
• Alfredo Pereira & Maria Pinho, 2008, "Public investment and budgetary consolidation in Portugal," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, volume 7, issue 3, pages 183-203, December, DOI: 10.1007/s10258-008-0032-6.
• Claude Diebolt & Cédric Doliger, 2008, "New international evidence on the cyclical behaviour of output: Kuznets swings reconsidered," Quality & Quantity: International Journal of Methodology, Springer, volume 42, issue 6, pages 719-737, December, DOI: 10.1007/s11135-006-9064-0.
• Trino-Manuel Ñíguez, 2008, "Volatility and VaR forecasting in the Madrid Stock Exchange," Spanish Economic Review, Springer;Spanish Economic Association, volume 10, issue 3, pages 169-196, September, DOI: 10.1007/s10108-007-9030-6.
• Ramón María-Dolores & Jesús Vázquez, 2008, "Term structure and the estimated monetary policy rule in the Eurozone," Spanish Economic Review, Springer;Spanish Economic Association, volume 10, issue 4, pages 251-277, December, DOI: 10.1007/s10108-008-9042-x.
• Tommaso Proietti, 2008, "Estimation of Common Factors Under Cross-Sectional and Temporal Aggregation Constraints: Nowcasting Monthly GDP and Its Main Components," Springer Books, Springer, in: Paula Brito, "Compstat 2008", DOI: 10.1007/978-3-7908-2084-3_44.
• Anthony D. Hall & Nikolaus Hautsch, 2008, "Order aggressiveness and order book dynamics," Studies in Empirical Economics, Springer, in: Luc Bauwens & Winfried Pohlmeier & David Veredas, "High Frequency Financial Econometrics", DOI: 10.1007/978-3-7908-1992-2_7.
• Håvard Hungnes, 2008, "A Demand System for Input Factors when there are Technological Changes in Production," Discussion Papers, Statistics Norway, Research Department, number 556, Sep.
• Roger Hammersland, 2008, "Classical identification: A viable road for data to inform structural modeling," Discussion Papers, Statistics Norway, Research Department, number 562, Oct.
• Roger Hammersland & Dag Henning Jacobsen, 2008, "The Financial Accelerator: Evidence using a procedure of Structural Model Design," Discussion Papers, Statistics Norway, Research Department, number 569, Dec.
• Juraj Zeman & Pavol Jurca, 2008, "Macro Stress Testing of the Slovak Banking Sector," Working and Discussion Papers, Research Department, National Bank of Slovakia, number WP 1/2008, Jan.
• Adrian R. Pagan & M. Hashem Pesaran, 2008, "Econometric Analysis of Structural Systems with Permanent and Transitory Shocks," Discussion Papers, School of Economics, The University of New South Wales, number 2008-04, Mar.
• Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008, "Out-of-sample comparison of copula specifications in multivariate density forecasts," Discussion Papers, School of Economics, The University of New South Wales, number 2008-23, Oct.
• Carlo Altavilla, 2008, "The (UN-) stable relationship between the exchange rate and its fundamentals," Applied Economics Letters, Taylor & Francis Journals, volume 15, issue 7, pages 539-544, DOI: 10.1080/13504850600706610.
• Marcelo Resende, 2008, "Mergers and acquisitions waves in the UK: a Markov-switching approach," Applied Financial Economics, Taylor & Francis Journals, volume 18, issue 13, pages 1067-1074, DOI: 10.1080/09603100701408155.
• Alvaro Aguiar & Manuel Martins, 2008, "Testing for asymmetries in the preferences of the euro-area monetary policymaker," Applied Economics, Taylor & Francis Journals, volume 40, issue 13, pages 1651-1667, DOI: 10.1080/00036840600870999.
• Petter Vegard Hansen & Lars Lindholt, 2008, "The market power of OPEC 1973-2001," Applied Economics, Taylor & Francis Journals, volume 40, issue 22, pages 2939-2959, DOI: 10.1080/00036840600972480.
• Stavros Degiannakis & Alexandra Livada & Epaminondas Panas, 2008, "Rolling-sampled parameters of ARCH and Levy-stable models," Applied Economics, Taylor & Francis Journals, volume 40, issue 23, pages 3051-3067, DOI: 10.1080/00036840600994039.
• Oya Erdogdu, 2008, "Political Decisions, Defense And Growth," Defence and Peace Economics, Taylor & Francis Journals, volume 19, issue 1, pages 27-35, DOI: 10.1080/10242690701453701.
• Afonso Goncalves da Silva & Peter Robinson, 2008, "Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory," Econometric Reviews, Taylor & Francis Journals, volume 27, issue 1-3, pages 268-297, DOI: 10.1080/07474930701873382.
• Sascha Mergner & Jan Bulla, 2008, "Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques," The European Journal of Finance, Taylor & Francis Journals, volume 14, issue 8, pages 771-802, DOI: 10.1080/13518470802173396.
• Jerome Creel & Gwenaelle Poilon, 2008, "Is public capital productive in Europe?," International Review of Applied Economics, Taylor & Francis Journals, volume 22, issue 6, pages 673-691, DOI: 10.1080/02692170802407577.
• Stavros Degiannakis, 2008, "ARFIMAX and ARFIMAX-TARCH realized volatility modeling," Journal of Applied Statistics, Taylor & Francis Journals, volume 35, issue 10, pages 1169-1180, DOI: 10.1080/02664760802271017.
• Jesus Gonzalo & Tae-Hwy Lee & Weiping Yang, 2008, "Permanent and transitory components of GDP and stock prices: further analysis," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, volume 1, issue 1, pages 105-120, DOI: 10.1080/17520840701864955.
• Tolga Caskurlu & Mustafa C. Pinar & Aslihan Salih & Ferhan Salman, 2008, "Can Central Bank Interventions Affect the Exchange Rate Volatility? Multivariate GARCH Approach Using Constrained Nonlinear Programming," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 0806.
• Thomas J. Flavin & Ekaterini Panopoulou & Deren Unalmis, 2008, "On the Stability of Domestic Financial Market Linkages in the Presence of time-varying Volatility," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 0810.
• Andreou Elena & Pelloni Alessandra & Sensier Marianne, 2008, "Is volatility good for growth? Evidence from the G7," wp.comunite, Department of Communication, University of Teramo, number 0041, Apr.
• V. Dordonnat & S.J. Koopman & M. Ooms & A. Dessertaine & J. Collet, 2008, "An Hourly Periodic State Space Model for Modelling French National Electricity Load," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-008/4, Jan.
• André A. Monteiro, 2008, "Parameter Driven Multi-state Duration Models: Simulated vs. Approximate Maximum Likelihood Estimation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-021/2, Feb.
• Marc K. Francke & Siem Jan Koopman & Aart de Vos, 2008, "Likelihood Functions for State Space Models with Diffuse Initial Conditions," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-040/4, Apr.
• Drew Creal & Siem Jan Koopman & Eric Zivot, 2008, "The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-069/4, Jul.
• Nalan Basturk & Richard Paap & Dick van Dijk, 2008, "Structural Differences in Economic Growth," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-085/4, Sep.
• Oleg Sheremet & André Lucas, 2008, "Global Loss Diversification in the Insurance Sector," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-086/2, Sep.
• Rodney W. Strachan & Herman K. van Dijk, 2008, "Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-096/4, Oct.
• Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008, "Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-105/4, Nov.
• Drew Creal & Siem Jan Koopman & André Lucas, 2008, "A General Framework for Observation Driven Time-Varying Parameter Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-108/4, Nov.
• Siem Jan Koopman & Soon Yip Wong, 2008, "Spline Smoothing over Difficult Regions," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-114/4, Nov.
• Alonso Gomez & John M Maheu & Alex Maynard, 2008, "Improving Forecasts of Inflation using the Term Structure of Interest Rates," Working Papers, University of Toronto, Department of Economics, number tecipa-319, May.
• John M Maheu & Thomas H McCurdy, 2008, "Do high-frequency measures of volatility improve forecasts of return distributions?," Working Papers, University of Toronto, Department of Economics, number tecipa-324, Aug.
• Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2008, "Explaining The Great Moderation: It Is Not The Shocks," Journal of the European Economic Association, MIT Press, volume 6, issue 2-3, pages 621-633, 04-05.
• Lutz Kilian, 2008, "Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy?," The Review of Economics and Statistics, MIT Press, volume 90, issue 2, pages 216-240, May.
• Fabio C. Bagliano & Claudio Morana, 2008, "Permanent and Transitory Dynamics in House Prices and Consumption: Cross-Country Evidence," Working papers, Former Department of Economics and Public Finance "G. Prato", University of Torino, number 02, Dec.
• Daniel Burren, 2008, "The Role of Sectoral Shifts in the Great Moderation," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp0801, Jan.
• Gregor B urle, 2008, "Priors from DSGE Models for Dynamic Factor Analysis," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp0803, Aug.
• Roberto Casarin & Domenico sartore, 2008, "Matrix-State Particle Filter for Wishart Stochastic Volatility Processes," Working Papers, University of Brescia, Department of Economics, number 0816.
• Giorgio Canarella & WenShwo Fang & Stephen M. Miller & Stephen K. Pollard, 2008, "Is the Great Moderation Ending? UK and US Evidence," Working papers, University of Connecticut, Department of Economics, number 2008-24, Aug.
• WenShwo Fang & Stephen M. Miller, 2008, "Modeling the Volatility of Real GDP Growth: The Case of Japan Revisited," Working papers, University of Connecticut, Department of Economics, number 2008-47, Dec.
• WenShwo Fang & Stephen M. Miller & ChunShen Lee, 2008, "The Great Moderation Flattens Fat Tails: Disappearing Leptokurtosis," Working papers, University of Connecticut, Department of Economics, number 2008-48, Dec.
• Felipe Morandé Lavín & Mauricio Tejada, 2008, "Sources of Uncertainty for Conducting Monetary Policy in Chile," Working Papers, University of Chile, Department of Economics, number wp285, May.