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

2008

• Katsuyuki Shibayama, 2008, "On the Periodicity of Inventories," Studies in Economics, School of Economics, University of Kent, number 0806, May.
• José U. Mora, 2008, "Relative importance of foreign and domestic shocks in the Venezuelan economy," Economía, Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela, volume 33, issue 25, pages 61-86, january-j.
• Andrea Silvestrini & David Veredas, 2008, "Temporal aggregation of univariate and multivariate time series models: a survey," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/136205, Jul.
• Matí­as Piaggio, 2008, "Relación entre la contaminación atmosférica y la calidad del aire con el crecimiento económico y otros determinantes : Uruguay a lo largo del Siglo XX," Documentos de Trabajo (working papers), Instituto de Economía - IECON, number 08-01, Jan.
• Chunming Yuan, 2008, "The Exchange Rate and Macroeconomic Determinants: Time-Varying Transitional Dynamics," UMBC Economics Department Working Papers, UMBC Department of Economics, number 09-114, May, revised 01 Nov 2009.
• Chunming Yuan, 2008, "Forecasting Exchange Rates: The Multi-State Markov-Switching Model with Smoothing," UMBC Economics Department Working Papers, UMBC Department of Economics, number 09-115, May, revised 01 Nov 2009.
• J. Isaac Miller & Ronald Ratti, 2008, "Crude Oil and Stock Markets: Stability, Instability, and Bubbles," Working Papers, Department of Economics, University of Missouri, number 0810, Aug, revised 20 Jan 2009.
• Tolentino, Paz Estrella, 2008, "The determinants of the outward foreign direct investment of China and India: Whither the home country?," MERIT Working Papers, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT), number 2008-049.
• Aslanidis, Nektarios & Savva, Christos S., 2008, "Stock market integration between new EU member states and the Euro-zone," Working Papers, Universitat Rovira i Virgili, Department of Economics, number 2072/13263.
• Aslanidis, Nektarios & Dungey, Mardi & Savva, Christos S., 2008, "Progress Towards to Equity Market Integration in Eastern Europe," Working Papers, Universitat Rovira i Virgili, Department of Economics, number 2072/13265.
• Aslanidis, Nektarios & Osborn, Denise R. & Sensier, Marianne, 2008, "Co-movements between US and UK stock prices: the roles of macroeconomic information and time-series varying conditional correlations," Working Papers, Universitat Rovira i Virgili, Department of Economics, number 2072/8950.
• Davide La Vecchia & Fabio Trojani, 2008, "Infinitesimal Robustness for Diffusions," University of St. Gallen Department of Economics working paper series 2008, Department of Economics, University of St. Gallen, number 2008-09, Apr.
• Beatrice Pataracchia, 2008, "The Spectral Representation of Markov-Switching Arma Models," Department of Economics University of Siena, Department of Economics, University of Siena, number 528, Mar.
• D. Aristei & Luca Pieroni, 2008, "Cointegration Rank Test and Long Run Specification: A Note on the Robustness of Structural Demand Systems," Working Papers, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol, number 0809, Nov.
• Jos� Brambila Macias & Guido Cazzavillan, 2008, "The Dynamics of Parallel Economies. Measuring the Informal Sector in M�xico," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2008_42.
• Jean-Pierre Allegret & Alain Sand-Zantman, 2008, "Monetary Integration Issues in Latin America: A Multivariate Assessment," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 55, issue 3, pages 279-308.
• Stavarek Daniel, 2008, "Exchange Market Pressure in Central European Countries from the Eurozone Membership Perspective," South East European Journal of Economics and Business, Sciendo, volume 3, issue 2, pages 7-18, November, DOI: 10.2478/v10033-008-0010-z.
• Dingan Feng & Peter X.-K. Song & Tony S. Wirjanto, 2008, "Time-Deformation Modeling Of Stock Returns Directed By Duration Processes," Working Papers, University of Waterloo, Department of Economics, number 08010, Dec.
• Anthony Garratt & Gary Koop & Shaun P. Vahey, 2008, "Forecasting Substantial Data Revisions in the Presence of Model Uncertainty," Economic Journal, Royal Economic Society, volume 118, issue 530, pages 1128-1144, July, DOI: 10.1111/j.1468-0297.2008.02163.x.
• Markku Lanne & Helmut Lütkepohl, 2008, "Identifying Monetary Policy Shocks via Changes in Volatility," Journal of Money, Credit and Banking, Blackwell Publishing, volume 40, issue 6, pages 1131-1149, September, DOI: 10.1111/j.1538-4616.2008.00151.x.
• Wen‐Shwo Fang & Stephen M. Miller, 2008, "The Great Moderation and the Relationship between Output Growth and Its Volatility," Southern Economic Journal, John Wiley & Sons, volume 74, issue 3, pages 819-838, January, DOI: 10.1002/j.2325-8012.2008.tb00866.x.
• Nedeljkovic, Milan, 2008, "Testing for Smooth Transition Nonlinearity in Adjustments of Cointegrating Systems," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 876.
• Dobromil Serwa, 2008, "Larger crises cost more: impact of banking sector instability on output growth," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 25, Mar.
• Andrzej Toroj, 2008, "Estimation of weights for the Monetary Conditions Index in Poland," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 27, Jun.
• Sara Barcenilla Vis�s & Carmen L�pez Pueyo & Jaime Sana�, 2008, "Teor�a de crecimiento semi-end�geno vs Teor�a de crecimiento completamente end�geno: una valoraci�n sectorial," Documentos de Trabajo, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza, number dt2008-07, Jul.
• Saleem, Kashif, 2008, "International linkage of the Russian market and the Russian financial crisis: a multivariate GARCH analysis," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 8/2008.
• Kose, M. Ayhan & Otrok, Christopher M. & Prasad, Eswar S., 2008, "Global business cycles: convergence or decoupling?," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2008,17.
• Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2008, "Asymmetric multivariate normal mixture GARCH," CFS Working Paper Series, Center for Financial Studies (CFS), number 2008/07.
• Haas, Markus & Mittnik, Stefan, 2008, "Multivariate regimeswitching GARCH with an application to international stock markets," CFS Working Paper Series, Center for Financial Studies (CFS), number 2008/08.
• Gaul, Jürgen & Theissen, Erik, 2008, "A partially linear approach to modelling the dynamics of spot and futures prices," CFS Working Paper Series, Center for Financial Studies (CFS), number 2008/12.
• Chiriac, Roxana & Voev, Valeri, 2008, "Modelling and forecasting multivariate realized volatility," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 08/06.
• Berger, Helge & Österholm, Pär, 2008, "Does money still matter for U.S. output?," Discussion Papers, Free University Berlin, School of Business & Economics, number 2008/7.
• Nielsen, Bent, 2008, "On the Explosive Nature of Hyper-Inflation Data," Economics Discussion Papers, Kiel Institute for the World Economy, number 2008-9.
• Giese, Julia V., 2008, "Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model," Economics Discussion Papers, Kiel Institute for the World Economy, number 2008-13.
• Fanelli, Luca, 2008, "Evaluating the New Keynesian Phillips Curve under VAR-Based Learning," Economics Discussion Papers, Kiel Institute for the World Economy, number 2008-15.
• Jusélius, Katarina & Ordóñez, Javier, 2008, "Wage, Price and Unemployment Dynamics in the Spanish Transition to EMU Membership," Economics Discussion Papers, Kiel Institute for the World Economy, number 2008-20.
• Møller, Niels Framroze, 2008, "Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model," Economics Discussion Papers, Kiel Institute for the World Economy, number 2008-21.
• Juselius, Mikael, 2008, "Testing the New Keynesian Model on U.S. and Euro Area Data," Economics Discussion Papers, Kiel Institute for the World Economy, number 2008-23.
• Olimov, Ulugbek & Sirajiddinov, Nishanbay, 2008, "The Effects of the Real Exchange Rate Volatility and Misalignments on Foreign Trade Flows in Uzbekistan," Economics Discussion Papers, Kiel Institute for the World Economy, number 2008-29.
• Alonso Fernández, Andrés Modesto & García-Martos, Carolina & Rodríguez, Julio & Sánchez, María Jesús, 2008, "Seasonal dynamic factor analysis and bootstrap inference : application to electricity market forecasting," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws081406, Mar.
• Alonso Fernández, Andrés Modesto & Peña, Daniel & Rodríguez, Julio, 2008, "A methodology for population projections: an application to Spain," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws084512, Sep.
• Loran , CHOLLETTE & Andreas , HEINEN & Alfonso , VALDESOGO, 2008, "Modelling international financial returns with a multivariate regime switching copula," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques, number 2008011, Apr.
• Nikolas A. Müller-Plantenberg, 2008, "Current Account Reversals Triggered by Large Exchange Rate Movements," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 31, issue 86, pages 059-082, Mayo-Agos.
• Bauer, Dietmar, 2008, "Using Subspace Methods For Estimating Arma Models For Multivariate Time Series With Conditionally Heteroskedastic Innovations," Econometric Theory, Cambridge University Press, volume 24, issue 4, pages 1063-1092, August.
• Ibragimov, Rustam & Phillips, Peter C.B., 2008, "Regression Asymptotics Using Martingale Convergence Methods," Econometric Theory, Cambridge University Press, volume 24, issue 4, pages 888-947, August.
• Zheng, Yuqing & Kaiser, Harry M., 2008, "Estimating Asymmetric Advertising Response: An Application to U.S. Nonalcoholic Beverage Demand," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 40, issue 3, pages 837-849, December.
• Assenmacher-Wesche, Katrin & Pesaran, M. Hashem, 2008, "Forecasting the Swiss economy using VECX models: An exercise in forecast combination across models and observation windows," National Institute Economic Review, National Institute of Economic and Social Research, volume 203, issue , pages 91-108, January.
• Peter C.B. Phillips, 2008, "Long Memory and Long Run Variation," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1656, May.
• Xu Cheng & Peter C.B. Phillips, 2008, "Semiparametric Cointegrating Rank Selection," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1658, May.
• Alfredo M. Pereira & Jorge M. Andraz, 2008, "On the Regional Incidence of Public Investment in Highways in the USA," Working Papers, Economics Department, William & Mary, number 70, Jan, revised 15 Sep 2010.
• Alfredo M. Pereira & Rui Manuel Marvão Pereira, 2008, "On the Potential Economic Costs of Cutting Carbon Dioxide Emissions in Portugal," Working Papers, Economics Department, William & Mary, number 79, Oct, revised 15 Sep 2010.
• Christian Dreger, 2008, "Does the Nominal Exchange Rate Regime Affect the Real Interest Parity Condition?," Working Paper / FINESS, DIW Berlin, German Institute for Economic Research, number 1.1c.
• Georg Erber & Ulrich Fritsche, 2008, "Produktivitätswachstum in Deutschland: kein nachhaltiger Aufschwung in Sicht," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, volume 75, issue 36, pages 512-519.
• Jonas Dovern & Ulrich Fritsche, 2008, "Estimating Fundamental Cross-Section Dispersion from Fixed Event Forecasts," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 787.
• Christian Dreger, 2008, "Does the Nominal Exchange Rate Regime Affect the Real Interest Parity Condition?," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 819.
• Sushil Mohan & Bill Russell, 2008, "Modelling Thirty Five Years Of Coffee Prices In Brazil, Guatemala And India," Dundee Discussion Papers in Economics, Economic Studies, University of Dundee, number 221, Dec.
• Catherine Kyrtsou & Costas Vorlow, 2008, "Modelling non-linear comovements between time series," Department of Economics Working Papers, Durham University, Department of Economics, number 2008_01, Jan.
• KONYA, Laszlo & SINGH, Jai Pal, 2008, "Are Indian Exports And Imports Cointegrated?," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 8, issue 2, pages 177-186.
• Shigeyuki HAMORI, 2008, "Trade Balances and the Terms of Trade in G-7 Countries: Penal Cointegration Approach," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 8, issue 2, pages 13-22.
• Aka, Bédia F. & Dumont, J.C., 2008, "HEALTH, EDUCATION AND ECONOMIC GROWTH: TESTING FOR LONG-RUN RELATIONSHIPS AND CAUSAL LINKS in the United States," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 8, issue 2, pages 101-110.
• Ramon A. CASTILLO PONCE & Ramon de Jesus RAMIREZ ACOSTA, 2008, "Economic Integration In North America," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 8, issue 2, pages 111-122.
• Bildirici, Melike & Alp, Aykaç, 2008, "The Relationship Between Wages and Productivity: TAR Unit Root and TAR Cointegration Approach," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 5, issue 1, pages 93-110.
• LEE, Jae-Hyung & RHEE, Young-Hoon, 2008, "Competition And Growth: A Time Series Analysis For South Korea," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 5, issue 2.
• Jamal HUSEIN, 2008, "Traditional Export Demand Relation: A Cointegration and Parameter Constancy Analysis," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 5, issue 2.
• Subir Sen, 2008, "An Analysis of Life Insurance Demand Determinants for Selected Asian Economies and India," Finance Working Papers, East Asian Bureau of Economic Research, number 22512, Jan.
• D. M. Nachane & Amlendu Kumar Dubey, 2008, "The Vanishing Role of Money in the Macroeconomy - An Empirical Investigation Based On Spectral and Wavelet Analysis," Macroeconomics Working Papers, East Asian Bureau of Economic Research, number 22369, Jan.
• Philippe Lambert & Sébastien Laurent, 2008, "Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2008_009.
• Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2008, "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2008_034.
• Cecilia Frale & David Veredas, 2008, "A Monthly Volatility Index for the US Economy," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2008-008, Mar.
• De Santis, Roberto A. & Cappiello, Lorenzo & Baltzer, Markus & Manganelli, Simone, 2008, "Measuring financial integration in new EU Member States," Occasional Paper Series, European Central Bank, number 81, Mar.
• Camba-Méndez, Gonzalo & Kapetanios, George, 2008, "Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling," Working Paper Series, European Central Bank, number 850, Jan.
• Afonso, António & St. Aubyn, Miguel, 2008, "Macroeconomic rates of return of public and private investment: crowding-in and crowding-out effects," Working Paper Series, European Central Bank, number 864, Feb.
• Giannone, Domenico & Lenza, Michele & Reichlin, Lucrezia, 2008, "Explaining the Great Moderation: it is not the shocks," Working Paper Series, European Central Bank, number 865, Feb.
• Benati, Luca & Surico, Paolo, 2008, "VAR analysis and the Great Moderation," Working Paper Series, European Central Bank, number 866, Feb.
• Hofmann, Boris, 2008, "Do monetary indicators lead euro area inflation?," Working Paper Series, European Central Bank, number 867, Feb.
• Caldara, Dario & Kamps, Christophe, 2008, "What are the effects of fiscal policy shocks? A VAR-based comparative analysis," Working Paper Series, European Central Bank, number 877, Mar.
• Dées, Stéphane & Burgert, Matthias, 2008, "Forecasting world trade: direct versus "bottom-up" approaches," Working Paper Series, European Central Bank, number 882, Mar.
• Dées, Stéphane & Pesaran, Hashem & Smith, Vanessa & Smith, Ron P., 2008, "Identification of new Keynesian Phillips Curves from a global perspective," Working Paper Series, European Central Bank, number 892, Apr.
• Cappiello, Lorenzo & Maddaloni, Angela & Lo Duca, Marco, 2008, "Country and industry equity risk premia in the euro area: an intertemporal approach," Working Paper Series, European Central Bank, number 913, Jun.
• Alessi, Lucia & Barigozzi, Matteo & Capasso, Marco, 2008, "A review of nonfundamentalness and identification in structural VAR models," Working Paper Series, European Central Bank, number 922, Jul.
• Warne, Anders & Coenen, Günter & Christoffel, Kai, 2008, "The new area-wide model of the euro area: a micro-founded open-economy model for forecasting and policy analysis," Working Paper Series, European Central Bank, number 944, Oct.
• Robalo Marques, Carlos, 2008, "Wage and price dynamics in Portugal," Working Paper Series, European Central Bank, number 945, Oct.
• Manganelli, Simone & White, Halbert & Kim, Tae-Hwan, 2008, "Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR," Working Paper Series, European Central Bank, number 957, Nov.
• Lamo, Ana & Schuknecht, Ludger & Pérez, Javier J., 2008, "Public and private sector wages: co-movement and causality," Working Paper Series, European Central Bank, number 963, Nov.
• Jarociński, Marek, 2008, "Responses to monetary policy shocks in the east and the west of Europe: a comparison," Working Paper Series, European Central Bank, number 970, Nov.
• Cassola, Nuno & Morana, Claudio, 2008, "Modelling short-term interest rate spreads in the euro money market," Working Paper Series, European Central Bank, number 982, Dec.
• Durré, Alain & Beaupain, Renaud, 2008, "The interday and intraday patterns of the overnight market: evidence from an electronic platform," Working Paper Series, European Central Bank, number 988, Dec.
• Anthony Garratt & Gary Koop & ShaunP. Vahey, 2008, "Forecasting Substantial Data Revisions in the Presence of Model Uncertainty," Economic Journal, Royal Economic Society, volume 118, issue 530, pages 1128-1144, July.
• Tor Jacobson & Johan Lyhagen & Rolf Larsson & Marianne Nessén, 2008, "Inflation, exchange rates and PPP in a multivariate panel cointegration model," Econometrics Journal, Royal Economic Society, volume 11, issue 1, pages 58-79, March.
• G. Kapetanios, 2008, "A bootstrap procedure for panel data sets with many cross-sectional units," Econometrics Journal, Royal Economic Society, volume 11, issue 2, pages 377-395, July.
• Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney W., 2008, "Bayesian Inference in the Time Varying Cointegration Model," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2008-60.
• Lenno Uuskula, 2008, "Liquidity and productivity shocks: A look at sectoral firm creation," Bank of Estonia Working Papers, Bank of Estonia, number 2008-05, Oct, revised 30 Oct 2008.
• Lenno Uuskula, 2008, "Limited participation or sticky prices? New evidence from firm entry and failures," Bank of Estonia Working Papers, Bank of Estonia, number 2008-07, Dec, revised 02 Dec 2008.
• Christian Schulz, 2008, "Forecasting economic activity for Estonia : The application of dynamic principal component analyses," Bank of Estonia Working Papers, Bank of Estonia, number 2008-02, Oct, revised 30 Oct 2008.
• Koustas, Zisimos & Lamarche, Jean-François & Serletis, Apostolos, 2008, "Threshold random walks in the US stock market," Chaos, Solitons & Fractals, Elsevier, volume 37, issue 1, pages 43-48, DOI: 10.1016/j.chaos.2006.11.024.
• Gallo, Giampiero M. & Otranto, Edoardo, 2008, "Volatility spillovers, interdependence and comovements: A Markov Switching approach," Computational Statistics & Data Analysis, Elsevier, volume 52, issue 6, pages 3011-3026, February.
• Givens, Gregory E. & Salemi, Michael K., 2008, "Generalized method of moments and inverse control," Journal of Economic Dynamics and Control, Elsevier, volume 32, issue 10, pages 3113-3147, October.
• Pagan, A.R. & Pesaran, M. Hashem, 2008, "Econometric analysis of structural systems with permanent and transitory shocks," Journal of Economic Dynamics and Control, Elsevier, volume 32, issue 10, pages 3376-3395, October.
• Hautsch, Nikolaus, 2008, "Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model," Journal of Economic Dynamics and Control, Elsevier, volume 32, issue 12, pages 3978-4015, December.
• Hoevenaars, Roy P.M.M. & Molenaar, Roderick D.J. & Schotman, Peter C. & Steenkamp, Tom B.M., 2008, "Strategic asset allocation with liabilities: Beyond stocks and bonds," Journal of Economic Dynamics and Control, Elsevier, volume 32, issue 9, pages 2939-2970, September.
• Westerlund, Joakim & Basher, Syed A., 2008, "Mixed signals among tests for panel cointegration," Economic Modelling, Elsevier, volume 25, issue 1, pages 128-136, January.
• Noriega, Antonio E. & Soria, Luis M. & Velázquez, Ramón, 2008, "International evidence on stochastic and deterministic monetary neutrality," Economic Modelling, Elsevier, volume 25, issue 6, pages 1261-1275, November.
• Cipollini, A. & Kapetanios, G., 2008, "A stochastic variance factor model for large datasets and an application to S&P data," Economics Letters, Elsevier, volume 100, issue 1, pages 130-134, July.
• Carriero, Andrea, 2008, "A simple test of the New Keynesian Phillips Curve," Economics Letters, Elsevier, volume 100, issue 2, pages 241-244, August.
• Atella, Vincenzo & Centoni, Marco & Cubadda, Gianluca, 2008, "Technology shocks, structural breaks and the effects on the business cycle," Economics Letters, Elsevier, volume 100, issue 3, pages 392-395, September.
• Ahmad, Yamin S., 2008, "The effects of small sample bias in Threshold Autoregressive models," Economics Letters, Elsevier, volume 101, issue 1, pages 6-8, October.
• Issler, Joao Victor & de Mello Franco-Neto, Afonso Arinos & de Carvalho Guillen, Osmani Teixeira, 2008, "The welfare cost of macroeconomic uncertainty in the post-war period," Economics Letters, Elsevier, volume 98, issue 2, pages 167-175, February.
• Lütkepohl, Helmut, 2008, "Problems related to over-identifying restrictions for structural vector error correction models," Economics Letters, Elsevier, volume 99, issue 3, pages 512-515, June.
• Cubadda, Gianluca & Hecq, Alain & Palm, Franz C., 2008, "Macro-panels and reality," Economics Letters, Elsevier, volume 99, issue 3, pages 537-540, June.
• Bollerslev, Tim & Law, Tzuo Hann & Tauchen, George, 2008, "Risk, jumps, and diversification," Journal of Econometrics, Elsevier, volume 144, issue 1, pages 234-256, May.
• Kristensen, Dennis, 2008, "Estimation of partial differential equations with applications in finance," Journal of Econometrics, Elsevier, volume 144, issue 2, pages 392-408, June.
• Sentana, Enrique & Calzolari, Giorgio & Fiorentini, Gabriele, 2008, "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Journal of Econometrics, Elsevier, volume 146, issue 1, pages 10-25, September.
• Moench, Emanuel, 2008, "Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach," Journal of Econometrics, Elsevier, volume 146, issue 1, pages 26-43, September.
• Flavin, Thomas J. & Panopoulou, Ekaterini & Unalmis, Deren, 2008, "On the stability of domestic financial market linkages in the presence of time-varying volatility," Emerging Markets Review, Elsevier, volume 9, issue 4, pages 280-301, December.
• Amilon, Henrik, 2008, "Estimation of an adaptive stock market model with heterogeneous agents," Journal of Empirical Finance, Elsevier, volume 15, issue 2, pages 342-362, March.
• Clements, Michael P. & Galvão, Ana Beatriz & Kim, Jae H., 2008, "Quantile forecasts of daily exchange rate returns from forecasts of realized volatility," Journal of Empirical Finance, Elsevier, volume 15, issue 4, pages 729-750, September.
• Jalal, Amine & Rockinger, Michael, 2008, "Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data," Journal of Empirical Finance, Elsevier, volume 15, issue 5, pages 868-877, December.
• Ricardo M. Sousa & António Afonso, 2008, "Fiscal Policy, Housing and Stock Prices," NIPE Working Papers, NIPE - Universidade do Minho, number 21/2008.
• Ricardo M. Sousa & António Afonso, 2008, "The Macroeconomic Effects of Fiscal Policy," NIPE Working Papers, NIPE - Universidade do Minho, number 22/2008.
• Giorgio Canarella & WenShwo Fang & Stephen M. Miller & Stephen K. Pollard, 2008, "Is the Great Moderation Ending? UK and US Evidence," Working Papers, University of Nevada, Las Vegas , Department of Economics, number 0801, Nov.
• Hon-Chung Hui, 2008, "Transmission Channels Linking Real Estate Shocks with Macroeconomic Performance: Evidence from Malaysia," NUBS Malaysia Campus Research Paper Series, Nottingham University Business School Malaysia Campus, number 2008-09, Jun.
• Dr. James Mitchell, 2008, "Combining Forecast Densities from VARs with Uncertain Instabilities," National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research, number 303, Jan.
• Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard, 2008, "Measuring downside risk-realised semivariance," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2008-W02, 01.
• Søren Johansen & Bent Nielsen, 2008, "An analysis of the indicator saturation estimator as a robust regression estimator," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2008-W03, 01.
• Neil Shephard & Torben Andersen, 2008, "Stochastic Volatility: Origins and Overview," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2008-W04, May.
• Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008, "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2008-W10, Jan.
• Betty Daniel & Christos Shiamptanis, 2008, "Fiscal Policy in the European Monetary Union," Discussion Papers, University at Albany, SUNY, Department of Economics, number 08-11.
• Özer Karagedikli & Rishab Sethi & Christie Smith & Aaron Drew, 2008, "Changes in the transmission mechanism of monetary policy in New Zealand," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2008/03, Feb.
• Emmanuel De Veirman & Ashley Dunstan, 2008, "How do Housing Wealth, Financial Wealth and Consumption Interact? Evidence from New Zealand," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2008/05, Feb.
• David Hargreaves, 2008, "The tax system and housing demand in New Zealand," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2008/06, Feb.
• Friedrich Fritzer & Lukas Reiss, 2008, "An Analysis of Credit to the Household Sector in Austria," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 16, pages 122-134.
• Gerhard Fenz & Martin Schneider, 2008, "Transmission of business cycle shocks between the US and the euro area," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 145, Jul.
• Fabio Rumler & Maria Teresa Valderrama, 2008, "Comparing the New Keynesian Phillips Curve with Time Series Models to Forecast Inflation," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 148, Sep.
• Peter C. Schotman & Rolf Tschernig & Jan Budek, 2008, "Long Memory and the Term Structure of Risk," Journal of Financial Econometrics, Oxford University Press, volume 6, issue 4, pages 459-495, Fall.
• Neil Shephard & Ole E. Barndorff-Nielsen, 2008, "Modelling and measuring volatility," Economics Series Working Papers, University of Oxford, Department of Economics, number 2008--FE-31, Nov.
• Neil Shephard & Silja Kinnebrock & Ole E. Barndorff-Neilsen, 2008, "Measuring downside risk - realised semivariance," Economics Series Working Papers, University of Oxford, Department of Economics, number 382, Jan.
• Neil Shephard & Torben G. Andersen, 2008, "Stochastic Volatility: Origins and Overview," Economics Series Working Papers, University of Oxford, Department of Economics, number 389, Mar.
• Neil Shephard & Ole E. Barndorff-Nielsen & Peter Reinhard Hansen, 2008, "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Economics Series Working Papers, University of Oxford, Department of Economics, number 397, Jul.
• Neil Shephard & Kevin Sheppard & Robert F. Engle, 2008, "Fitting vast dimensional time-varying covariance models," Economics Series Working Papers, University of Oxford, Department of Economics, number 403, Sep.
• Neil Shephard & Ole E. Barndorff-Nielsen & University of Aarhus, 2001, "Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models," Economics Series Working Papers, University of Oxford, Department of Economics, number 71, Jul.
• Massimiliano Caporin & Michael McAleer, 2008, "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0064.
• S. Sanfelici & M. E. Mancino, 2008, "Covariance estimation via Fourier method in the presence of asynchronous trading and microstructure noise," Economics Department Working Papers, Department of Economics, Parma University (Italy), number 2008-ME01.
• Thomas Gries & Manfred Kraft & Daniel Meierrieks, 2008, "Linkages between Financial Deepening,Trade Openness and Economic Development: Causality Evidence from Sub-Saharan Africa," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 15, Apr.
• Thomas Gries & Manfred Kraft & Daniel Meierrieks, 2008, "Financial Deepening, Trade Openness and Economic Growth in Latin America and the Caribbean," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 17, Aug.
• Melisso Boschi & Luca Pieroni, 2008, "Aluminium market and the macroeconomy," Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia, number 42/2008, Jan.
• Akhand Akhtar Hossain, 2008, "Rural Labour Market Developments, Agricultural Productivity, and Real Wages in Bangladesh, 1950–2006," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 47, issue 1, pages 89-114.
• Marçal, Emerson F. & Valls Pereira, Pedro L., 2008, "Testando A Hipótese De Contágio A Partir De Modelos Multivariados De Volatilidade
  [Testing the contagion hypotheses using multivariate volatility models]," MPRA Paper, University Library of Munich, Germany, number 10356, Sep.
• Basher, Syed A. & Westerlund, Joakim, 2008, "Panel Cointegration and the Monetary Exchange Rate Model," MPRA Paper, University Library of Munich, Germany, number 10453, Sep.
• de Silva, Ashton, 2008, "Forecasting macroeconomic variables using a structural state space model," MPRA Paper, University Library of Munich, Germany, number 11060, Sep.
• Griffin, Jim & Steel, Mark F.J., 2008, "Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes," MPRA Paper, University Library of Munich, Germany, number 11071, Oct.
• Sek, Siok Kun & Kapsalyamova, Zhanna, 2008, "Exchange rate pass-through and volatility: Impacts on domestic prices in four Asian countries," MPRA Paper, University Library of Munich, Germany, number 11130, Aug, revised 26 Oct 2008.
• Hooy, Chee Wooi & Chan, Tze-Haw, 2008, "The Impact of Yuan/Ringgit on Bilateral Trade Balance of China and Malaysia," MPRA Paper, University Library of Munich, Germany, number 11306, Oct.
• Lucchetti, Riccardo & Palomba, Giulio, 2008, "Nonlinear Adjustment in US Bond Yields: an Empirical Analysis with Conditional Heteroskedasticity," MPRA Paper, University Library of Munich, Germany, number 11571.
• Taboga, Marco, 2008, "Macro-finance VARs and bond risk premia: a caveat," MPRA Paper, University Library of Munich, Germany, number 11585, Nov.
• Memon, Manzoor Hussain & Baig, Waqar Saleem & Ali, Muhammad, 2008, "Causal Relationship Between Exports and Agricultural GDP in Pakistan," MPRA Paper, University Library of Munich, Germany, number 11845, Oct.
• Silva Lopes, Artur C. B. da & Monteiro, Olga Susana, 2008, "Short and long run tests of the expectations hypothesis: the Portuguese case," MPRA Paper, University Library of Munich, Germany, number 12001, Sep.
• Stavarek, Daniel, 2008, "Exchange Market Pressure in Central European Countries from the Eurozone Membership Perspective," MPRA Paper, University Library of Munich, Germany, number 12079, Nov.
• Rossi, Eduardo & Spazzini, Filippo, 2008, "Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis," MPRA Paper, University Library of Munich, Germany, number 12260.
• Sergio, Brasini & Marzia, Freo & Giorgio, Tassinari, 2008, "An analysis of the role of liking on the memorial response to advertising," MPRA Paper, University Library of Munich, Germany, number 12342, Dec.
• Bukowski, Maciej & Koloch, Grzegorz & Lewandowski, Piotr, 2008, "Shocks and rigidities as determinants of CEE labor markets' performance. A panel SVECM approach," MPRA Paper, University Library of Munich, Germany, number 12429, Dec.
• Duasa, Jarita & Kassim, Salina, 2008, "Hot money and economic performance: An empirical analysis," MPRA Paper, University Library of Munich, Germany, number 12470, Dec.
• Rubaszek, Michał, 2008, "Economic convergence and the fundamental equilibrium exchange rate in Poland," MPRA Paper, University Library of Munich, Germany, number 12910, Oct.
• Lemoine, Matthieu & Mazzi, Gian Luigi & Monperrus-Veroni, Paola & Reynes, Frédéric, 2008, "Real time estimation of potential output and output gap for theeuro-area: comparing production function with unobserved componentsand SVAR approaches," MPRA Paper, University Library of Munich, Germany, number 13128, Nov, revised Nov 2008.
• Duasa, Jarita & Kassim, Salina, 2008, "Herd behaviour in Malaysian capital market: An empirical analysis," MPRA Paper, University Library of Munich, Germany, number 13303.
• Jahan-Parvar, Mohammad R. & Mohammadi, Hassan, 2008, "Oil Prices and Real Exchange Rates in Oil-Exporting Countries: A Bounds Testing Approach," MPRA Paper, University Library of Munich, Germany, number 13435, Dec.
• Shamiri, Ahmed & Shaari, Abu Hassan & Isa, Zaidi, 2008, "Comparing the accuracy of density forecasts from competing GARCH models," MPRA Paper, University Library of Munich, Germany, number 13662.
• Eo, Yunjong, 2008, "Bayesian Analysis of DSGE Models with Regime Switching," MPRA Paper, University Library of Munich, Germany, number 13910, Aug, revised 11 Feb 2009.
• Klein, A. & Urbig, D. & Kirn, S., 2008, "Who Drives the Market? Estimating a Heterogeneous Agent-based Financial Market Model Using a Neural Network Approach," MPRA Paper, University Library of Munich, Germany, number 14433, Jun.
• Sanogo, Issa, 2008, "SPATIAL integration of the rice market: emprirical evidence from mid-west and far-west Nepal and the Nepalese-Indian border," MPRA Paper, University Library of Munich, Germany, number 14488.
• Mendonca, Gui Pedro, 2008, "Structural Breaks, Regime Change and Asymmetric Adjustment: A Short and Long Run Global Approach to the Output/Unemployment Dynamics," MPRA Paper, University Library of Munich, Germany, number 14648, Nov.
• Chauvet, Marcelle & Senyuz, Zeynep, 2008, "A Joint Dynamic Bi-Factor Model of the Yield Curve and the Economy as a Predictor of Business Cycles," MPRA Paper, University Library of Munich, Germany, number 15076, Dec, revised Apr 2009.
• Marçal, Emerson F. & Valls Pereira, Pedro L., 2008, "Testing the Hypothesis of Contagion using Multivariate Volatility Models," MPRA Paper, University Library of Munich, Germany, number 15623, Aug.
• Samreth, Sovannroeun, 2008, "Estimating Money Demand Function in Cambodia: ARDL Approach," MPRA Paper, University Library of Munich, Germany, number 16274, revised Jun 2009.
• Cesaroni, Tatiana, 2008, "Estimating potential output using business survey data in a SVAR framework," MPRA Paper, University Library of Munich, Germany, number 16324, Feb.
• Gachet, Ivan & Maldonado, Diego & Pérez, Wilson, 2008, "Determinantes de la Inflación en una Economía Dolarizada: El Caso Ecuatoriano
  [Determinants of Inflation in a Dollarized Economy: The Case of Ecuador]," MPRA Paper, University Library of Munich, Germany, number 17101, Feb.
• Idrovo Aguirre, Byron & Caro S., Juan Carlos, 2008, "Indicadores de Actividad para la Inversión en Infraestructura y Vivienda
  [Economic indicators of Investment in Infrastructure and House]," MPRA Paper, University Library of Munich, Germany, number 19368, Nov, revised 15 Jan 2009.
• Levent, Korap, 2008, "Modeling base money demand and inflation for the Turkish economy," MPRA Paper, University Library of Munich, Germany, number 19617.
• Levent, Korap, 2008, "Modeling Turkish M2 broad money demand: a portfolio-based approach using implications for monetary policy," MPRA Paper, University Library of Munich, Germany, number 19703.
• Levent, Korap, 2008, "Testing international parity hypothesis in a multivariate identified co-integrating system: the Turkish evidence," MPRA Paper, University Library of Munich, Germany, number 20020.