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

• Esfahani, H.S. & Mohaddes, K. & Pesaran, M.H., 2009, "Oil Exports and the Iranian Economy," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0944, Oct.
• D'Agostino, Antonello & Gambetti, Luca & Giannone, Domenico & Giannone, Domenico, 2009, "Macroeconomic Forecasting and Structural Change," Research Technical Papers, Central Bank of Ireland, number 8/RT/09, Oct.
• Ajimuda Olumide, 2009, "Price Volatility, Expectations and Monetary Policy in Nigeria," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, volume 1, pages 109-140, May.
• Le, Vo Phuong Mai & Minford, Patrick & Wickens, Michael, 2009, "The 'Puzzles' methodology: en route to Indirect Inference?," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2009/22, Nov.
• Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael, 2009, "Two Orthogonal Continents: Testing a Two-country DSGE Model of the US and EU Using Indirect Inference," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2009/3, Mar, revised Dec 2009.
• Le, Vo Phuong Mai & Minford, Patrick & Wickens, Michael, 2009, "Some problems in the testing of DSGE models," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2009/31, Dec.
• Germán Coloma, 2009, "Una metodología unificada para el cálculo de elasticidades críticas, la definición de mercados y la simulación de fusiones horizontales," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 394, Apr.
• Belem I. Vasquez Galan & Olajide S. Oladipo, 2009, "Have liberalisation and NAFTA had a positive impact on Mexico´s output growth?," Journal of Applied Economics, Universidad del CEMA, volume 12, pages 159-180, May.
• Jose Angelo Divino & Vladimir Kuhl Teles & Joaquim Pinto de Andrade, 2009, "On the purchasing power parity for Latin-American countries," Journal of Applied Economics, Universidad del CEMA, volume 12, pages 33-54, May.
• Juncal Cuñado & Luis Gil-Alana & Fernando Pérez de Gracia, 2009, "New evidence on long-run monetary neutrality," Journal of Applied Economics, Universidad del CEMA, volume 12, pages 229-248, November.
• Stephane Dees & M. Hashem Pesaran & L. Vanessa Smith & Ron P. Smith, 2008, "Identification of New Keynesian Phillips Curves from a Global Perspective," CESifo Working Paper Series, CESifo, number 2219.
• M. Hashem Pesaran & Christoph Schleicher & Paolo Zaffaroni, 2008, "Model Averaging in Risk Management with an Application to Futures Markets," CESifo Working Paper Series, CESifo, number 2231.
• Marc Gronwald, 2009, "Investigating the U.S. Oil-Macroeconomy Nexus using Rolling Impulse Responses," CESifo Working Paper Series, CESifo, number 2702.
• Kai Carstensen & Oliver Hülsewig & Timo Wollmershäuser, 2009, "Price Dispersion in the Euro Area: The Case of a Symmetric Oil Price Shock," CESifo Working Paper Series, CESifo, number 2718.
• Kai Carstensen & Oliver Hülsewig & Timo Wollmershäuser, 2009, "Monetary Policy Transmission and House Prices: European Cross-country Evidence," CESifo Working Paper Series, CESifo, number 2750.
• Hadi Salehi Esfahani & Kamiar Mohaddes & M. Hashem Pesaran, 2009, "Oil Exports and the Iranian Economy," CESifo Working Paper Series, CESifo, number 2843.
• Guglielmo Maria Caporale & Burcu Erdogan & Vladimir Kuzin, 2009, "Testing for Convergence in Stock Markets: A Non-Linear Factor Approach," CESifo Working Paper Series, CESifo, number 2845.
• M. Hashem Pesaran & Paolo Zaffaroni, 2009, "Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios," CESifo Working Paper Series, CESifo, number 2857.
• Gerit Vogt, 2009, "Konjunkturprognose in Deutschland. Ein Beitrag zur Prognose der gesamtwirtschaftlichen Entwicklung auf Bundes- und Länderebene," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 36, April.
• Michael Reinhard & Hans Schedl & Achim Buchwald & Ralph Henger, 2007, "Positionierung der deutschen Industrie im globalen Konsolidierungsprozess : im Auftrag des Bundesministeriums für Wirtschaft und Technologie," ifo Forschungsberichte, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 36.
• Steffen Henzel & Johannes Mayr, 2009, "The Virtues of VAR Forecast Pooling – A DSGE Model Based Monte Carlo Study," ifo Working Paper Series, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 65.
• Christina Ziegler, 2009, "Testing Predicitive Ability of Business Cycle Indicators for the Euro Area," ifo Working Paper Series, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 69.
• Marc Gronwald & Johannes Mayr & Sultan Orazbayev, 2009, "Estimating the effects of oil price shocks on the Kazakh economy," ifo Working Paper Series, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 81.
• Karrar Hussain, 2009, "Causal Ordering Between Inflation and Productivity of Labor and Capital: An Empirical Approach for Pakistan," CID Working Papers, Center for International Development at Harvard University, number 39, Oct.
• Karrar Hussain, 2009, "Monetary Policy Channels of Pakistan and Their Impact on Real GDP and Inflation," CID Working Papers, Center for International Development at Harvard University, number 41, Oct.
• Jinzhao Chen, 2009, "Beyond Cheap Talks: Assessing the Undervaluation of the Chinese Currency Between 1994 and 2007," Economie Internationale, CEPII research center, issue 119, pages 47-82.
• Jean-François HOARAU & Claude Lopez & Michel PAUL, 2009, "Short Note on the Unemployment Rate of the French Overseas Regions," University of Cincinnati, Economics Working Papers Series, University of Cincinnati, Department of Economics, number 2009-3.
• René Garcia & Georges Tsafack, 2009, "Dependence Structure and Extreme Comovements in International Equity and Bond Markets," CIRANO Working Papers, CIRANO, number 2009s-21, May.
• Jason Allen & Robert Amano & David P. Byrne & Allan W. Gregory, 2009, "Canadian city housing prices and urban market segmentation," Canadian Journal of Economics, Canadian Economics Association, volume 42, issue 3, pages 1132-1149, August, DOI: 10.1111/j.1540-5982.2009.01541.x.
• Jorge Caiado & Nuno Crato, 2009, "Identifying common dynamic features in stock returns," CEMAPRE Working Papers, Centre for Applied Mathematics and Economics (CEMAPRE), School of Economics and Management (ISEG), Technical University of Lisbon, number 0902, May.
• Gabriele Fiorentini & Enrique Sentana, 2009, "Dynamic Specification Tests for Static Factor Models," Working Papers, CEMFI, number wp2009_0912, Dec.
• C. Detotto & M. Pulina, 2009, "Does more crime mean fewer jobs? An ARDL model," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 200905.
• E. Otranto, 2009, "Improving the Forecasting of Dynamic Conditional Correlation: a Volatility Dependent Approach," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 200917.
• Constanza Mart√≠nez & Diana Mesa T√©llez, 2009, "Ciclos de la producci√≥n industrial en Colombia: extracci√≥n del ciclo del sector y de sus ramas de actividad," Documentos de Trabajo, Universidad del Rosario, number 6121, Nov.
• Francisco Pérez T, 2009, "Impacto de la crisis del sector rural en el mercado laboral urbano y nacional: un análisis de vectores auto-regresivos," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Andrés Eduardo Salamanca Lugo & Viviana del Pilar Monroy Mejía, 2009, "Deuda externa pública e inversión en Colombia 1994-2007: evidencia de un modelo no-lineal TAR," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Ignacio Lozano Espitia & Karen Rodr�guez, 2009, "Assessing the Macroeconomic Effects of Fiscal," Borradores de Economia, Banco de la Republica, number 5386, Mar.
• Juan Jos� Echavarr�a & Enrique L�pez E. & Martha Misas A., 2009, "Intervenciones cambiarias y pol�tica monetaria en Colombia. Un an�lisis de VAR estructural," Borradores de Economia, Banco de la Republica, number 6127, Nov.
• Diego Alonso Agudelo Rueda & A. Marcela �lvarez L. & Yesica T. Osorno M., 2009, "Reacción de los mercados accionarios latinoamericanos a los anuncios macroeconómicos," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 10655, Jun.
• Andres Mauricio Vargas P. & Camilo Rivera P�rez, 2009, "Controles a la entrada de capitales y volatilidad de la tasa de cambio: ¿dano colateral? la experiencia colombiana," Documentos de Trabajo UEC, Universidad Externado de Colombia, number 5667, Jun.
• Andrés Álvarez & Diana Guevara & Juan Pablo Garc�a & Edwin L�pez, 2009, "Price-takers VS. Great Numbers: Rethinking the Edgeworth-Walras Convergence on Perfect Competition Perfect Competition a la Debreu–Scarf," Documentos de Trabajo, Escuela de Economía, Universidad Nacional de Colombia, FCE, CID, number 5216, Jan.
• Liliana Chicaíza & Oscar Gamboa & Mario Garc�a, 2009, "Instructivo para la incorporación de la evaluación económica en guías de práctica clínica," Documentos de Trabajo, Escuela de Economía, Universidad Nacional de Colombia, FCE, CID, number 6158, Mar.
• Jorge Iván Rodríguez Bernate & �lvaro Mart�n Moreno Rivas, 2009, "Fragilidad financiera de las firmas en Colombia, 2000-2006: un análisis discriminante de un modelo," Documentos de Trabajo, Escuela de Economía, Universidad Nacional de Colombia, FCE, CID, number 6159, Feb.
• Andrés Mauricio Vargas P. & Camilo Riviera P., 2009, "Controles a la entrada de capitales y volatilidad de la tasa de cambio: la experiencia colombiana," Coyuntura Económica, Fedesarrollo.
• Manfred Grautoff & Fernando Chavarro Miranda, 2009, "Análisis del gasto militar desde la perspectiva de la economía de la defensa: El caso colombiano 1950-2006," Revista Ecos de Economía, Universidad EAFIT.
• Anna Staszewska-Bystrova, 2009, "Bootstrap Confidence Bands for Forecast Paths," Working Papers, COMISEF, number 024, Dec.
• LAURENT, Sebastien & ROMBOUTS, Jeroen V.K. & VIOLANTE, FRANCESCO, 2009, "Consistent ranking of multivariate volatility models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2009002, Jan.
• SBRANA, Giacomo & SILVESTRINI, Andrea, 2009, "What do we know about comparing aggregate and disaggregate forecasts?," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2009020, Mar.
• SANIN, Maria Eugenia & VIOLANTE, Francesco, 2009, "Understanding volatility dynamics in the EU-ETS market: lessons from the future," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2009024, Apr.
• HEINEN, Andréas & VALDESOGO, Alfonso, 2009, "Asymmetric CAPM dependence for large dimensions: the Canonical Vine Autoregressive Model," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2009069, Nov.
• BELTRAN-LOPEZ, Héléna & GIOT, Pierre & GRAMMIG, Joachim, 2009, "Commonalities in the order book," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2195, Jan, DOI: 10.1007/s11408-009-0109-y.
• Corsetti, Giancarlo & Konstantinou, Panagiotis, 2009, "What Drives US Foreign Borrowing? Evidence on External Adjustment to Transitory and Permanent Shocks," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7134, Jan.
• Wickens, Michael R. & Smith, Peter N & Sorensen, Steffen, 2009, "The Equity Premium and the Business Cycle: the Role of Demand and Supply Shocks," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7227, Mar.
• Uribe, Martín & Rubio-Ramírez, Juan Francisco & Fernández-Villaverde, Jesús & Guerron-Quintana, Pablo A., 2009, "Risk Matters: The Real Effects of Volatility Shocks," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7264, Apr.
• Kilian, Lutz & Kim, Yun Jung, 2009, "Do Local Projections Solve the Bias Problem in Impulse Response Inference?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7266, Apr.
• Kilian, Lutz & Vigfusson, Robert J., 2009, "Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7284, Apr.
• Minford, Patrick & Wickens, Michael R. & Meenagh, David & Le, Vo Phuong Mai, 2009, "Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and EU Using Indirect Inference," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7385, Jul.
• Ravn, Morten & Mertens, Karel, 2009, "Measuring the Impact of Fiscal Policy in the Face of Anticipation: A Structural VAR Approach," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7423, Aug.
• Kilian, Lutz & Inoue, Atsushi & Guerron-Quintana, Pablo A., 2009, "Frequentist Inference in Weakly Identified DSGE Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7447, Sep.
• Minford, Patrick & Wickens, Michael R. & Le, Vo Phuong Mai, 2009, "How much nominal rigidity is there in the US Economy? Testing a New Keynesian DSGE model using indirect inference," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7537, Nov.
• Minford, Patrick & Wickens, Michael R. & Le, Vo Phuong Mai, 2009, "The 'Puzzles' Methodology: en route to Indirect Inference?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7539, Nov.
• Giannone, Domenico & D’Agostino, Antonello & Gambetti, Luca, 2009, "Macroeconomic Forecasting and Structural Change," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7542, Nov.
• Martin Uebele, 2009, "International and National Wheat Market Integration in the 19th Century: A Comovement Analysis," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 0409, Jun.
• Martin T. Bohl & Christian A. Salm & Bernd Wilfling, 2009, "Do Individual Index Futures Investors Destabilize the Underlying Spot Market?," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 0609, Oct.
• Marie Lambert & George Hübner & Marie Lambert, 2009, "Directional and non-directional risk exposures in Hedge Fund returns," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 09-06.
• 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.
• 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.
• 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.

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.
• Katrin Assenmacher-Wesche, 2008, "Modeling Monetary Transmission in Switzerland with a Structural Cointegrated VAR Model," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 144, issue II, pages 197-246, June.
• Katrin Assenmacher & M. Hashem Pesaran, 2008, "Forecasting the Swiss Economy Using VECX* Models: An Exercise in Forecast Combination Across Models and Observation Windows," Working Papers, Swiss National Bank, number 2008-03.
• Serkan ERKAM, 2008, "Enflasyon ve Enflasyon Belirsizliği: Türkiye Örneği," Sosyoekonomi Journal, Sosyoekonomi Society, issue 2008-1.
• Boris Krey & Philippe K. Widmer & Peter Zweifel, 2008, "Efficient provision of electricity for the United States and Switzerland," SOI - Working Papers, Socioeconomic Institute - University of Zurich, number 0812, Oct, revised Dec 2011.
• Boris Krey, 2008, "Scope of Electricity Efficiency Improvement in Switzerland until 2035," SOI - Working Papers, Socioeconomic Institute - University of Zurich, number 0813, Oct.