Research classified by Journal of Economic Literature (JEL) codes

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Top JEL
/ C: Mathematical and Quantitative Methods
/ / C3: Multiple or Simultaneous Equation Models; Multiple Variables
/ / / C32: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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This JEL code is mentioned in the following RePEc Biblio entries:

1. Estimated DSGE Models
2. Forecasting with DSGE Models
3. Nowcasting
4. Sign Restrictions
5. Bayesian Vector autoregressions (BVARs)
6. Dynamic Factor Models

2009

• Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009, "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working papers, University of Connecticut, Department of Economics, number 2009-42, Dec.
• Ioannis Kasparis & Peter C. B. Phillips, 2009, "Dynamic Misspecification in Nonparametric Cointegrating Regression," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics, number 2-2009, May.
• Michael Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2009, "Multivariate Contemporaneous Threshold Autoregressive Models," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2009-03, Mar.
• Dimitris Christopoulos & Miguel A. León-Ledesma, 2009, "On causal Relationships Between Exchange Rates and Fundamentals: Better Than You Think," Studies in Economics, School of Economics, University of Kent, number 0909, Jul.
• Dimitris Christopoulos & Miguel León-Ledesma, 2009, "Efficiency and frontier technology in the aftermath of recessions: international evidence," Studies in Economics, School of Economics, University of Kent, number 0922, Nov.
• Magali Jaoul-Grammare, 2009, "La substituabilité des filières universitaires dans les choix d’études : une analyse en termes de prestige social," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2009-13.
• Shawn Ni & Antonello Loddo & Dongchu Sun, 2009, "Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search," Working Papers, Department of Economics, University of Missouri, number 0911, Oct.
• Luis A. Gil-Alana & Antonio Moreno, 2009, "Fractional Integration and Structural Breaks in U.S. Macro Dynamics," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 02/09, Jan.
• Luis A. Gil-Alana & Antonio Moreno & Seonghoon Cho, 2009, "The Deaton paradox in a long memory context with structural breaks," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 03/09, Apr.
• Miguel Casares & Antonio Moreno & Jesús Vázquez, 2009, "Wage Stickiness and Unemployment Fluctuations: An Alternative Approach," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 04/09, Aug.
• Luis A. Gil-Alana & Juan C. Cuesta, 2009, "Further evidence on the PPP analysis of the Australian dollar. Non-linearities, fractional integration and structural change," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 07/09, Nov.
• Nadia Ayari & Szabolcs Blazsek & Pedro Mendi, 2009, "Renewable Energy Innovations in Europe: A Dynamic Panel Data Approach," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 11/09, Nov.
• Joao Tovar Jalles, 2009, "Structural time series models and the Kalman filter: a concise review," Nova SBE Working Paper Series, Universidade Nova de Lisboa, Nova School of Business and Economics, number wp541.
• Muhammad Zikri, 2009, "An Econometric Model for Deforestation in Indonesia," Working Papers in Economics and Development Studies (WoPEDS), Department of Economics, Padjadjaran University, number 200903, Jul, revised Jul 2009.
• Valadkhani, Abbas & O'Brien, Martin & Karunanayake, Indika, 2009, "Modelling Australian Stock Market Volatility: A Multivariate GARCH Approach," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia, number wp09-11.
• Fabio Canova & Filippo Ferroni, 2009, "Multiple filtering devices for the estimation of cyclical DSGE models," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1135, Jan, revised Sep 2010.
• Jarita DUASA & Salina H. KASSIM, 2009, "Herd Behavior In Malaysian Capital Market: An Empirical Analysis," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, volume 4, issue 1(7)_ Spr.
• Rajmund MIRDALA, 2009, "Exchange Rate Pass-Through To Domestic Prices In The Central European Countries," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, volume 4, issue 3(9)_Fall.
• Katja Ignatieva & Eckhard Platen, 2009, "Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 265, Dec.
• Noel Roy & Ragnar Arnason & William E. Schrank, 2009, "The Identification of Economic Base Industries, with an Application to the Newfoundland Fishing Industry," Land Economics, University of Wisconsin Press, volume 85, issue 4, pages 675-691.
• Maria Grazia Zoia, 2009, "Classical versus VAR econometrics: the Janus head effect in economic dynamic modelling," Rivista Internazionale di Scienze Sociali, Vita e Pensiero, Pubblicazioni dell'Universita' Cattolica del Sacro Cuore, volume 117, issue 1, pages 113-124.
• Klaus Prettner & Robert M. Kunst, 2009, "The Dynamic Interrelations between Unequal Neighbors: An Austro-German Case Study," Vienna Economics Papers, University of Vienna, Department of Economics, number vie0913, Aug.
• Chetan Dave & Scott J. Dressler & Lei Zhang, 2009, "The Bank Lending Channel: a FAVAR Analysis," Villanova School of Business Department of Economics and Statistics Working Paper Series, Villanova School of Business Department of Economics and Statistics, number 4, Apr.
• Ozlem Tasseven, 2009, "Seasonal Co-integration – An Extension of the Johansen and Schaumburg Approach with an Exclusion Test," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 56, issue 1, pages 39-53.
• Cem Saatçioğlu & Levent Korap, 2009, "Search for Co-Integratıon Between Money, Prıces and Income: Low Frequency Evıdence From the Turkısh Economy," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 56, issue 1, pages 55-72.
• Rajmund Mirdala, 2009, "Interest Rate Transmission Mechanism of Monetary Policy in the Selected EMU Candidate Countries," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 56, issue 3, pages 359-377.
• Creal, D., 2009, "A survey of sequential Monte Carlo methods for economics and finance," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0018.
• Go, Delfin S. & Kearney, Marna & Korman, Vijdan & Robinson, Sherman & Thierfelder, Karen, 2009, "Wage subsidy and labor market flexibility in south Africa," Policy Research Working Paper Series, The World Bank, number 4871, Mar.
• Borek Vasicek, 2009, "Inflation dynamics and the New Keynesian Phillips curve in EU-4," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp971, Oct.
• Ralf Fendel & Eliza M. Lis & Jan-Christoph Rülke, 2009, "Do Euro Area Forecasters (Still) Have Faith in Macroeconomic Building Blocks? – Expectation Formation when Economics is in Crisis," WHU Working Paper Series - Economics Group, WHU - Otto Beisheim School of Management, number 09-03, Oct.
• Shanaka Herath, 2009, "The Size of the Government and Economic Growth: An Empirical Study of Sri Lanka," SRE-Disc, Institute for Multilevel Governance and Development, Department of Socioeconomics, Vienna University of Economics and Business, number sre-disc-2009_08.
• Herath, Shanaka, 2009, "The Size of the Government and Economic Growth. An Empirical Study of Sri Lanka," SRE-Discussion Papers, WU Vienna University of Economics and Business, number 2009/08.
• Herath, Shanaka, 2009, "The Size of the Government and Economic Growth: An Empirical Study of Sri Lanka," SRE-Discussion Papers, WU Vienna University of Economics and Business, number 2009/08.
• Jason Allen & Robert Amano & David P. Byrne & Allan W. Gregory, 2009, "Canadian city housing prices and urban market segmentation," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, volume 42, issue 3, pages 1132-1149, August, DOI: 10.1111/j.1540-5982.2009.01541.x.
• Patrick Fève & Alain Guay, 2009, "The Response of Hours to a Technology Shock: A Two‐Step Structural VAR Approach," Journal of Money, Credit and Banking, Blackwell Publishing, volume 41, issue 5, pages 987-1013, August, DOI: 10.1111/j.1538-4616.2009.00241.x.
• Emmanuel De Veirman, 2009, "What Makes the Output–Inflation Trade‐Off Change? The Absence of Accelerating Deflation in Japan," Journal of Money, Credit and Banking, Blackwell Publishing, volume 41, issue 6, pages 1117-1140, September, DOI: 10.1111/j.1538-4616.2009.00249.x.
• Stephane Dees & M. Hashem Pesaran & L. Vanessa Smith & Ron P. Smith, 2009, "Identification of New Keynesian Phillips Curves from a Global Perspective," Journal of Money, Credit and Banking, Blackwell Publishing, volume 41, issue 7, pages 1481-1502, October, DOI: 10.1111/j.1538-4616.2009.00264.x.
• Marco Taboga, 2009, "Macro‐finance VARs and bond risk premia: A caveat," Review of Financial Economics, John Wiley & Sons, volume 18, issue 4, pages 163-171, October, DOI: 10.1016/j.rfe.2009.06.002.
• Joanna Beza-Bojanowska, 2009, "Behavioral and Permanent Zloty/Euro Equilibrium," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 31, Feb.
• Justyna Wróblewska, 2009, "Bayesian Model Selection in the Analysis of Cointegration," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 32, Mar.
• Piotr Orlowski, 2009, "Verification of selected market microstructure hypotheses for a Warsaw Stock Exchange traded stock," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 38, Jun.
• Mohd Tahir Ismail & Zaidi Bin Isa, 2009, "Modeling The Interactions Of Stock Price And Exchange Rate In Malaysia," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 54, issue 04, pages 605-619, DOI: 10.1142/S0217590809003471.
• Atilim Seymen, 2009, "Business Cycle Dynamics in the Euro Area: A Factor-SVAR Approach," FIW Working Paper series, FIW, number 038, Dec.
• K. Batu Tunay, 2009, "Uzay-Zaman Ardışık Bağlanım Hareketli Ortalama (UZABHO) Modelleri ve Tahmin Süreci: Türkiye’de Bölgesel Banka Mevduatları Üzerine Bir Uygulama," Working Papers, Yildiz Technical University, Department of Economics, number 0027, Dec, revised Dec 2009.
• K. Batu Tunay, 2009, "Türkiye’de Enflasyon ve Nispi Fiyat Değişkenliği İlişkisi: VABHO Modelleriyle Bir Uzun Dönem Analizi," Working Papers, Yildiz Technical University, Department of Economics, number 0028, Dec, revised Dec 2009.
• Juselius, Mikael & Kim, Moshe & Ringbom, Staffan, 2009, "Do markup dynamics reflect fundamentals or changes in conduct?," Bank of Finland Research Discussion Papers, Bank of Finland, number 12/2009.
• Lanne, Markku & Saikkonen, Pentti, 2009, "Noncausal vector autoregression," Bank of Finland Research Discussion Papers, Bank of Finland, number 18/2009.
• Blaes, Barno, 2009, "Money and monetary policy transmission in the euro area: evidence from FAVAR- and VAR approaches," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2009,18.
• Knüppel, Malte, 2009, "Efficient estimation of forecast uncertainty based on recent forecast errors," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2009,28.
• Blank, Sven & Dovern, Jonas, 2009, "What macroeconomic shocks affect the German banking system? Analysis in an integrated micro-macro model," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2009,15.
• Beltran-Lopez, Héléna & Giot, Pierre & Grammig, Joachim G., 2009, "Commonalities in the order book," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 09-05.
• Trapp, Monika, 2009, "Trading the bond-CDS basis: The role of credit risk and liquidity," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 09-16.
• Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2009, "Modelling and forecasting liquidity supply using semiparametric factor dynamics," CFS Working Paper Series, Center for Financial Studies (CFS), number 2009/18.
• Hautsch, Nikolaus & Huang, Ruihong, 2009, "The market impact of a limit order," CFS Working Paper Series, Center for Financial Studies (CFS), number 2009/23.
• Wieland, Volker, 2009, "Fiscal stimulus and the promise of future spending cuts: A comment," CFS Working Paper Series, Center for Financial Studies (CFS), number 2009/26.
• Groß-Klußmann, Axel & Hautsch, Nikolaus, 2009, "Quantifying high-frequency market reactions to real-time news sentiment announcements," CFS Working Paper Series, Center for Financial Studies (CFS), number 2009/31.
• Eschenhof, Sabine, 2009, "Standard Taylor rules revisited: A cross country study for European countries," Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics, number 196.
• Challet, Damien & Solomon, Sorin & Yaari, Gur, 2009, "The Universal Shape of Economic Recession and Recovery after a Shock," Economics Discussion Papers, Kiel Institute for the World Economy, number 2009-6.
• Challet, Damien & Solomon, Sorin & Yaari, Gur, 2009, "The universal shape of economic recession and recovery after a shock," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 3, pages 1-24, DOI: 10.5018/economics-ejournal.ja.2009-.
• Ordóñez, Javier & Jusélius, Katarina, 2009, "Balassa-Samuelson and Wage, Price and Unemployment Dynamics in the Spanish Transition to EMU Membership," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 3, pages 1-30, DOI: 10.5018/economics-ejournal.ja.2009-.
• Tamborini, Roberto, 2009, "The "Credit-Cost Channel" of Monetary Policy. A Theoretical Assessment," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 3, pages 1-23, DOI: 10.5018/economics-ejournal.ja.2009-.
• Schreiber, Sven, 2009, "Explaining shifts in the unemployment rate with productivity slowdowns and accelerations: a co-breaking approach," Kiel Working Papers, Kiel Institute for the World Economy, number 1505.
• Aßmann, Christian & Boysen-Hogrefe, Jens, 2009, "Determinants of government bond spreads in the Euro Area: in good times as in bad," Kiel Working Papers, Kiel Institute for the World Economy, number 1548.
• Aumann, Bernd & Scheufele, Rolf, 2009, "Is East Germany Catching Up? A Time Series Perspective," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 14/2009.
• Schlüter, Stephan, 2009, "A two-factor model for electricity prices with dynamic volatility," FAU Discussion Papers in Economics, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics, number 04/2009.
• Belke, Ansgar & Bordon, Ingo G. & Hendricks, Torben W., 2009, "Global Liquidity and Commodity Prices – A Cointegrated VAR Approach for OECD Countries," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 102.
• Amendola, Alessandra & Storti, Giuseppe, 2009, "Combination of multivariate volatility forecasts," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-007.
• Hanewald, Katja, 2009, "Lee-Carter and the macroeconomy," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-008.
• Örsal, Deniz Dilan Karaman & Droge, Bernd, 2009, "On the existence of the moments of the asymptotic trace statistic," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-012.
• Grith, Maria & Härdle, Wolfgang Karl & Park, Juhyun, 2009, "Shape invariant modelling pricing kernels and risk aversion," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-041.
• Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2009, "Modelling and forecasting liquidity supply using semiparametric factor dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-044.
• Hautsch, Nikolaus & Huang, Ruihong, 2009, "The market impact of a limit order," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-051.
• Groß-Klußmann, Axel & Hautsch, Nikolaus, 2009, "Quantifying high-frequency market reactions to real-time news sentiment announcements," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-063.
• Mell, Thomas & Wartenburger, Isabell & Marschner, Alexander & Villringer, Arno & Reischies, Friedel M. & Heekeren, Hauke R., 2009, "Altered Function of Ventral Striatum during Reward-Based Decision Making in Old Age," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-064.
• Schmitz, Jochen & von Ledebur, Ernst-Oliver, 2009, "Maispreisverhalten - Maispreistransmission während des Preisbooms an den Terminmärkten," Arbeitsberichte aus der vTI-Agrarökonomie, Johann Heinrich von Thünen Institute, Federal Research Institute for Rural Areas, Forestry and Fisheries, number 02/2009.
• Seymen, Atilim & Kappler, Marcus, 2009, "The role of structural common and country-specific shocks in the business cycle dynamics of the G7 countries," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 09-015.
• Julia Casutt & Ulrich Woitek, 2009, "Grain prices and mortality in Vienna, 1648-1754," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 461, Dec.
• Miller, J. Isaac & Ratti, Ronald A., 2009, "Crude oil and stock markets: Stability, instability, and bubbles," Energy Economics, Elsevier, volume 31, issue 4, pages 559-568, July.
• 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, Feb.
• 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.
• Walid Ben Omrane & Christian M. Hafner, 2009, "Information Spillover, Volatility and the Currency Markets," International Econometric Review (IER), Economic Research Association, volume 1, issue 1, pages 50-62, April.
• 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.
• Morten Ørregaard Nielsen, 2009, "Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-02, Jan.
• Theis Lange, 2009, "First and second order non-linear cointegration models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-04, Feb.
• Dennis Kristensen & Andrew Ang, 2009, "Testing Conditional Factor Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-09, Mar.
• Ingmar Nolte & Valeri Voev, 2009, "Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-16, Apr.
• Søren Johansen & Anders Rygh Swensen, 2009, "On a numerical and graphical technique for evaluating some models involving rational expectations," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-19, May.
• Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2009, "Co-integration Rank Testing under Conditional Heteroskedasticity," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-22, May.
• Dominique Guégan, 2009, "A Meta-Distribution for Non-Stationary Samples," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-24, Jun.
• Takamitsu Kurita & Heino Bohn Nielsen & Anders Rahbek, 2009, "An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-28, Jul.
• Eduardo Rossi & Paolo Santucci de Magistris, 2009, "Long Memory and Tail dependence in Trading Volume and Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-30, Jul.
• Eduardo Rossi & Paolo Santucci de Magistris, 2009, "A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-31, Jul.
• Frank S. Nielsen, 2009, "Local Whittle estimation of multivariate fractionally integrated processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-38, Sep.
• Borus Jungbacker & Siem Jan Koopman & Michel van der Wel, 2009, "Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-39, Sep.
• Valeri Voev, 2009, "On the Economic Evaluation of Volatility Forecasts," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-56, Nov.
• Luca Benati & Paolo Surico, 2009, "VAR Analysis and the Great Moderation," American Economic Review, American Economic Association, volume 99, issue 4, pages 1636-1652, September, DOI: 10.1257/aer.99.4.1636.
• Tapas Mishra & Claude Diebolt & Mamata Parhi & Asit Ranjan Mohanty, 2009, "A Bayesian Analysis of Total Factor Productivity Persistence," Working Papers, Association Française de Cliométrie (AFC), number 09-10.
• Serra, Teresa & Zilberman, David, 2009, "Price volatility in ethanol markets," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin, Agricultural and Applied Economics Association, number 49188, DOI: 10.22004/ag.econ.49188.
• Bastianin, Andrea, 2009, "Modelling Asymmetric Dependence Using Copula Functions: An Application to Value-at-Risk in the Energy Sector," Sustainable Development Papers, Fondazione Eni Enrico Mattei (FEEM), number 50452, DOI: 10.22004/ag.econ.50452.
• Serra, Teresa & Zilberman, David, 2009, "Price volatility in ethanol markets," 2009 Conference, August 16-22, 2009, Beijing, China, International Association of Agricultural Economists, number 49940, DOI: 10.22004/ag.econ.49940.
• Hassouneh, Islam & Serra, Teresa & Gil, Jose Maria, 2009, "Price transmission in the Spanish bovine sector: the BSE effect," 2009 Conference, August 16-22, 2009, Beijing, China, International Association of Agricultural Economists, number 50121, DOI: 10.22004/ag.econ.50121.
• Asad Falsafi Zadeh, Neda & Sabouhi Sabouni, Mahmood, 2009, "Determination of Optimal Environmental Flow Acquisition in Kor Basin, Doroudzan Dam," 2009 Conference, August 16-22, 2009, Beijing, China, International Association of Agricultural Economists, number 50258, DOI: 10.22004/ag.econ.50258.
• Jaleta, Moti & Gebremedhin, Berhanu, 2009, "Price Cointegration Analyses of Food Crop Markets: The case of Wheat and Teff Commodities in Northern Ethiopia," 2009 Conference, August 16-22, 2009, Beijing, China, International Association of Agricultural Economists, number 51049, DOI: 10.22004/ag.econ.51049.
• Araujo-Enciso, Sergio Rene, 2009, "Evidence of non-linear price transmission between maize markets in Mexico and the US," 2009 Conference, August 16-22, 2009, Beijing, China, International Association of Agricultural Economists, number 51366, DOI: 10.22004/ag.econ.51366.
• Vermeulen, Hester & Ndibongo Traub, Lulama & Meyer, Ferdinand H., 2009, "Impact Analysis Of Food Policy Response On Household Food Security: The Case Of South Africa’S Maize Subsector," 2009 Conference, August 16-22, 2009, Beijing, China, International Association of Agricultural Economists, number 51396, DOI: 10.22004/ag.econ.51396.
• Ihle, Rico & Amikuzuno, Joseph, 2009, "The Integration of Tomato Markets in Ghana with and without Direct Trade Flows," 2009 Conference, August 16-22, 2009, Beijing, China, International Association of Agricultural Economists, number 51402, DOI: 10.22004/ag.econ.51402.
• Radwan, Amr & Gil, Jose Maria & Ben Kaabia, Monia & Serra, Teresa, 2009, "Food Safety Information And Meat Demand In Spain," 2009 Conference, August 16-22, 2009, Beijing, China, International Association of Agricultural Economists, number 51540, DOI: 10.22004/ag.econ.51540.
• Subramaniam, Vijay & Reed, Michael R., 2009, "Agricultural Inter-Sectoral Linkages and Its Contribution to Economic Growth in the Transition Countries," 2009 Conference, August 16-22, 2009, Beijing, China, International Association of Agricultural Economists, number 51586, DOI: 10.22004/ag.econ.51586.
• Harri, Ardian & Nalley, Lawton Lanier & Hudson, Darren, undated, "The Relationship between Oil, Exchange Rates, and Commodity Prices," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 41, issue 2, DOI: 10.22004/ag.econ.53095.
• Haldrup, Niels & Nielsen, Frank S. & Orregaard Nielsen, Morten, 2009, "A vector autoregressive model for electricity prices subject to long memory and regime switching," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273697, Aug, DOI: 10.22004/ag.econ.273697.
• Mattos, Leonardo Bornacki de & Lima, Joao Eustaquio de & Lirio, Viviani Silva, undated, "Integração espacial de mercados na presença de custos de transação: um estudo para o mercado de boi gordo em Minas Gerais e São Paulo," Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR), Sociedade Brasileira de Economia e Sociologia Rural, volume 47, issue 01, pages 1-26, DOI: 10.22004/ag.econ.60821.
• Ioan TRENCA & Annamaria BENYOVSZKI, 2009, "Using credit scoring method for probability of non-financial companies default estimation at industry level," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 9, pages 45-58, May.
• Assist. Ph.D Kulcsár Erika & Economist Süto Gábor, 2009, "Unemployment Issues In Baraolt Region," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 13, pages 130-135, NOVEMBER.
• Bogdan Dima & Oana LobonÅ£ & Cristina Nicolescu, 2009, "The Fiscal Revenues And Public Expenditures: Is Their Evolution Sustenable? The Romanian Case," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 1, issue 11, pages 1-42.
• Wilson Luiz Rotatori Correa, 2009, "Dynamic Structural Models and the High Ination Period in Brazil: Modelling the Monetary System," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 10, issue 1, pages 69-100.
• Emerson Fernandes Marçal & Marislei Nishijima & Wagner Oliveira Monteiro, 2009, "Saldos Comerciais e Taxa de Câmbio Real: Uma Nova Análise do Caso Brasileiro," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 10, issue 2, pages 333-356.
• Soraia Santos da Silva & Divanildo Triches & Ronald Otto Hillbrecht, 2009, "Investigação da Mobilidade de Capitais da Paridade Coberta de Juros com Modelos de Parâmetros Fixos e Variáveis," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 10, issue 3, pages 501-531.
• Stathis Klonaris & Garyfallos Arabatzis, 2009, "Empirical Demand Analysis For Long - Length Roundwood (Sawlogs) In Greece," Working Papers, Agricultural University of Athens, Department Of Agricultural Economics, number 2009-03.
• Stathis Klonaris, 2009, "An Error Correction Inverse Almost Ideal Demand System: Wholesale Demand for Fish Grades in Greece," Working Papers, Agricultural University of Athens, Department Of Agricultural Economics, number 2009-07.
• Conrad, Christian & Weber, Enzo, 2013, "Measuring Persistence in Volatility Spillovers," Working Papers, University of Heidelberg, Department of Economics, number 0543, Apr.
• Plamen Petkov, 2009, "Cointegration Analysis of the Aggregate Production Function through Autoregressive Distributive Lags Models (ARDL)," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 3-35.
• Vladimir Tsenkov, 2009, "Financial Markets Modelling," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 5, pages 87-96.
• Weber, Enzo, 2009, "Financial Contagion, Vulnerability and Information Flow: Empirical Identification," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics, number 431, Jul.
• Weber, Enzo, 2009, "A Simultaneous Unobserved Components Analysis of US Output and the Great Moderation," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics, number 432, Jul.
• Weber, Enzo, 2009, "Structural Conditional Correlation," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics, number 434, Jan.
• Trenkler, Carsten & Weber, Enzo, 2009, "Codependence and Cointegration," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics, number 437, Oct.
• Carlos Enrique Carrasco Gutierrez & Fábio Augusto Reis Gomes, 2009, "Evidence on Common Features and Business Cycle Synchronization in Mercosur," Fucape Working Papers, Fucape Business School, number 15, May.
• Carlos Enrique Carrasco Gutierrez & Reinaldo Castro Souza & Osmani Teixeira de Carvalho Guillén, 2009, "Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features," Fucape Working Papers, Fucape Business School, number 16, Aug.
• Jean-Philippe Cayen & Marc-André Gosselin & Sharon Kozicki, 2009, "Estimating DSGE-Model-Consistent Trends for Use in Forecasting," Staff Working Papers, Bank of Canada, number 09-35, DOI: 10.34989/swp-2009-35.
• Guillermo Escudé, 2009, "ARGEMmy: An Intermediate DSGE Model Calibrated/Estimated for Argentina: Two Policy Rules are Often Better than One," BCRA Working Paper Series, Central Bank of Argentina, Economic Research Department, number 200942, May.
• Javier Mencía & Enrique Sentana, 2009, "Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation," Working Papers, Banco de España, number 0909, Jun.
• Javier Mencía, 2009, "Assessing the risk-return trade-off in loans portfolios," Working Papers, Banco de España, number 0911, Jun.
• Jesús Vázquez & Ramón María-Dolores & Juan-Miguel Londoño, 2009, "On the informational role of term structure in the U.S. monetary policy rule," Working Papers, Banco de España, number 0919, Sep.
• Gonzalo Fernández-de-Córdoba & Javier J. Pérez & José L. Torres, 2009, "Public and private sector wages interactions in a general equilibrium model," Working Papers, Banco de España, number 0924, Oct.
• Javier Mencía & Enrique Sentana, 2009, "Distributional tests in multivariate dynamic models with Normal and Student t innovations," Working Papers, Banco de España, number 0929, Dec.
• Javier J. Pérez & A. Jesús Sánchez, 2009, "Is there a signalling role for public wages? Evidence for the euro area based on macro data," Working Papers, Banco de España, number 0934, Dec.
• Francesco Lippi & Andrea Nobili, 2009, "Oil and the macroeconomy: a quantitative structural analysis," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 704, Mar.
• Valter Di Giacinto & Giacinto Micucci & Pasqualino Montanaro, 2009, "Dynamic macroeconomic effects of public capital: evidence from regional Italian data," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 733, Nov.
• Rangel José Gonzalo & Engle Robert F., 2009, "The Factor-Spline-GARCH Model for High and Low Frequency Correlations," Working Papers, Banco de México, number 2009-03, Feb.
• Sidaoui José Julián & Capistrán Carlos & Chiquiar Daniel & Ramos Francia Manuel, 2009, "A Note on the Predictive Content of PPI over CPI Inflation: The Case of Mexico," Working Papers, Banco de México, number 2009-14, Nov.
• Engle Robert F. & Rangel José Gonzalo, 2009, "High and Low Frequency Correlations in Global Equity Markets," Working Papers, Banco de México, number 2009-17, Dec.
• Irena Janković, 2009, "Pricing Of Foreign Currency Options In The Serbian Market," Economic Annals, Faculty of Economics and Business, University of Belgrade, volume 54, issue 180, pages 91-115, January –.
• Park, Byeong U. & Mammen, Enno & Härdle, Wolfgang & Borak, Szymon, 2009, "Time Series Modelling With Semiparametric Factor Dynamics," Journal of the American Statistical Association, American Statistical Association, volume 104, issue 485, pages 284-298.
• Corradi, Valentina & Fernandez, Andres & Swanson, Norman R., 2009, "Information in the Revision Process of Real-Time Datasets," Journal of Business & Economic Statistics, American Statistical Association, volume 27, issue 4, pages 455-467.