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

• Alessio Moneta, 2008, "Graphical causal models and VARs: an empirical assessment of the real business cycles hypothesis," Empirical Economics, Springer, volume 35, issue 2, pages 275-300, September, DOI: 10.1007/s00181-007-0159-9.
• Claudio Morana, 2008, "International stock markets comovements: the role of economic and financial integration," Empirical Economics, Springer, volume 35, issue 2, pages 333-359, September, DOI: 10.1007/s00181-007-0161-2.
• Hilde Bjørnland & Leif Brubakk & Anne Jore, 2008, "Forecasting inflation with an uncertain output gap," Empirical Economics, Springer, volume 35, issue 3, pages 413-436, November, DOI: 10.1007/s00181-007-0165-y.
• Lorenzo Cappiello & Nikolaos Panigirtzoglou, 2008, "Estimates of foreign exchange risk premia: a pricing kernel approach," Empirical Economics, Springer, volume 35, issue 3, pages 475-495, November, DOI: 10.1007/s00181-007-0173-y.
• Ayla Ogus & Niloufer Sohrabji, 2008, "On the optimality and sustainability of Turkey’s current account," Empirical Economics, Springer, volume 35, issue 3, pages 543-568, November, DOI: 10.1007/s00181-007-0178-6.
• Nikiforos Laopodis, 2008, "Noise trading and autocorrelation interactions in the foreign exchange market: Evidence from developed and emerging economies," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 32, issue 3, pages 271-293, July, DOI: 10.1007/s12197-007-9018-y.
• Fabio Bagliano & Claudio Morana, 2008, "Factor vector autoregressive estimation: a new approach," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 3, issue 1, pages 15-23, June, DOI: 10.1007/s11403-008-0028-4.
• Rustam Ibragimov, 2008, "A tale of two tails: peakedness properties in inheritance models of evolutionary theory," Journal of Evolutionary Economics, Springer, volume 18, issue 5, pages 597-613, October, DOI: 10.1007/s00191-006-0041-5.
• Syed Basher & S. Fachin, 2008, "The long-term decline of internal migration in Canada: the case of Ontario," Letters in Spatial and Resource Sciences, Springer, volume 1, issue 2, pages 171-181, December, DOI: 10.1007/s12076-008-0016-2.
• Alfredo Pereira & Maria Pinho, 2008, "Public investment and budgetary consolidation in Portugal," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, volume 7, issue 3, pages 183-203, December, DOI: 10.1007/s10258-008-0032-6.
• Claude Diebolt & Cédric Doliger, 2008, "New international evidence on the cyclical behaviour of output: Kuznets swings reconsidered," Quality & Quantity: International Journal of Methodology, Springer, volume 42, issue 6, pages 719-737, December, DOI: 10.1007/s11135-006-9064-0.
• Trino-Manuel Ñíguez, 2008, "Volatility and VaR forecasting in the Madrid Stock Exchange," Spanish Economic Review, Springer;Spanish Economic Association, volume 10, issue 3, pages 169-196, September, DOI: 10.1007/s10108-007-9030-6.
• Ramón María-Dolores & Jesús Vázquez, 2008, "Term structure and the estimated monetary policy rule in the Eurozone," Spanish Economic Review, Springer;Spanish Economic Association, volume 10, issue 4, pages 251-277, December, DOI: 10.1007/s10108-008-9042-x.
• Tommaso Proietti, 2008, "Estimation of Common Factors Under Cross-Sectional and Temporal Aggregation Constraints: Nowcasting Monthly GDP and Its Main Components," Springer Books, Springer, in: Paula Brito, "Compstat 2008", DOI: 10.1007/978-3-7908-2084-3_44.
• Anthony D. Hall & Nikolaus Hautsch, 2008, "Order aggressiveness and order book dynamics," Studies in Empirical Economics, Springer, in: Luc Bauwens & Winfried Pohlmeier & David Veredas, "High Frequency Financial Econometrics", DOI: 10.1007/978-3-7908-1992-2_7.
• Håvard Hungnes, 2008, "A Demand System for Input Factors when there are Technological Changes in Production," Discussion Papers, Statistics Norway, Research Department, number 556, Sep.
• Roger Hammersland, 2008, "Classical identification: A viable road for data to inform structural modeling," Discussion Papers, Statistics Norway, Research Department, number 562, Oct.
• Roger Hammersland & Dag Henning Jacobsen, 2008, "The Financial Accelerator: Evidence using a procedure of Structural Model Design," Discussion Papers, Statistics Norway, Research Department, number 569, Dec.
• Juraj Zeman & Pavol Jurca, 2008, "Macro Stress Testing of the Slovak Banking Sector," Working and Discussion Papers, Research Department, National Bank of Slovakia, number WP 1/2008, Jan.
• Adrian R. Pagan & M. Hashem Pesaran, 2008, "Econometric Analysis of Structural Systems with Permanent and Transitory Shocks," Discussion Papers, School of Economics, The University of New South Wales, number 2008-04, Mar.
• Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008, "Out-of-sample comparison of copula specifications in multivariate density forecasts," Discussion Papers, School of Economics, The University of New South Wales, number 2008-23, Oct.
• Carlo Altavilla, 2008, "The (UN-) stable relationship between the exchange rate and its fundamentals," Applied Economics Letters, Taylor & Francis Journals, volume 15, issue 7, pages 539-544, DOI: 10.1080/13504850600706610.
• Marcelo Resende, 2008, "Mergers and acquisitions waves in the UK: a Markov-switching approach," Applied Financial Economics, Taylor & Francis Journals, volume 18, issue 13, pages 1067-1074, DOI: 10.1080/09603100701408155.
• Alvaro Aguiar & Manuel Martins, 2008, "Testing for asymmetries in the preferences of the euro-area monetary policymaker," Applied Economics, Taylor & Francis Journals, volume 40, issue 13, pages 1651-1667, DOI: 10.1080/00036840600870999.
• Petter Vegard Hansen & Lars Lindholt, 2008, "The market power of OPEC 1973-2001," Applied Economics, Taylor & Francis Journals, volume 40, issue 22, pages 2939-2959, DOI: 10.1080/00036840600972480.
• Stavros Degiannakis & Alexandra Livada & Epaminondas Panas, 2008, "Rolling-sampled parameters of ARCH and Levy-stable models," Applied Economics, Taylor & Francis Journals, volume 40, issue 23, pages 3051-3067, DOI: 10.1080/00036840600994039.
• Oya Erdogdu, 2008, "Political Decisions, Defense And Growth," Defence and Peace Economics, Taylor & Francis Journals, volume 19, issue 1, pages 27-35, DOI: 10.1080/10242690701453701.
• Afonso Goncalves da Silva & Peter Robinson, 2008, "Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory," Econometric Reviews, Taylor & Francis Journals, volume 27, issue 1-3, pages 268-297, DOI: 10.1080/07474930701873382.
• Sascha Mergner & Jan Bulla, 2008, "Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques," The European Journal of Finance, Taylor & Francis Journals, volume 14, issue 8, pages 771-802, DOI: 10.1080/13518470802173396.
• Jerome Creel & Gwenaelle Poilon, 2008, "Is public capital productive in Europe?," International Review of Applied Economics, Taylor & Francis Journals, volume 22, issue 6, pages 673-691, DOI: 10.1080/02692170802407577.
• Stavros Degiannakis, 2008, "ARFIMAX and ARFIMAX-TARCH realized volatility modeling," Journal of Applied Statistics, Taylor & Francis Journals, volume 35, issue 10, pages 1169-1180, DOI: 10.1080/02664760802271017.
• Jesus Gonzalo & Tae-Hwy Lee & Weiping Yang, 2008, "Permanent and transitory components of GDP and stock prices: further analysis," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, volume 1, issue 1, pages 105-120, DOI: 10.1080/17520840701864955.
• Tolga Caskurlu & Mustafa C. Pinar & Aslihan Salih & Ferhan Salman, 2008, "Can Central Bank Interventions Affect the Exchange Rate Volatility? Multivariate GARCH Approach Using Constrained Nonlinear Programming," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 0806.
• Thomas J. Flavin & Ekaterini Panopoulou & Deren Unalmis, 2008, "On the Stability of Domestic Financial Market Linkages in the Presence of time-varying Volatility," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 0810.
• Andreou Elena & Pelloni Alessandra & Sensier Marianne, 2008, "Is volatility good for growth? Evidence from the G7," wp.comunite, Department of Communication, University of Teramo, number 0041, Apr.
• V. Dordonnat & S.J. Koopman & M. Ooms & A. Dessertaine & J. Collet, 2008, "An Hourly Periodic State Space Model for Modelling French National Electricity Load," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-008/4, Jan.
• André A. Monteiro, 2008, "Parameter Driven Multi-state Duration Models: Simulated vs. Approximate Maximum Likelihood Estimation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-021/2, Feb.
• Marc K. Francke & Siem Jan Koopman & Aart de Vos, 2008, "Likelihood Functions for State Space Models with Diffuse Initial Conditions," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-040/4, Apr.
• Drew Creal & Siem Jan Koopman & Eric Zivot, 2008, "The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-069/4, Jul.
• Nalan Basturk & Richard Paap & Dick van Dijk, 2008, "Structural Differences in Economic Growth," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-085/4, Sep.
• Oleg Sheremet & André Lucas, 2008, "Global Loss Diversification in the Insurance Sector," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-086/2, Sep.
• Rodney W. Strachan & Herman K. van Dijk, 2008, "Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-096/4, Oct.
• Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008, "Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-105/4, Nov.
• Drew Creal & Siem Jan Koopman & André Lucas, 2008, "A General Framework for Observation Driven Time-Varying Parameter Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-108/4, Nov.
• Siem Jan Koopman & Soon Yip Wong, 2008, "Spline Smoothing over Difficult Regions," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 08-114/4, Nov.
• Alonso Gomez & John M Maheu & Alex Maynard, 2008, "Improving Forecasts of Inflation using the Term Structure of Interest Rates," Working Papers, University of Toronto, Department of Economics, number tecipa-319, May.
• John M Maheu & Thomas H McCurdy, 2008, "Do high-frequency measures of volatility improve forecasts of return distributions?," Working Papers, University of Toronto, Department of Economics, number tecipa-324, Aug.
• Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2008, "Explaining The Great Moderation: It Is Not The Shocks," Journal of the European Economic Association, MIT Press, volume 6, issue 2-3, pages 621-633, 04-05.
• Lutz Kilian, 2008, "Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy?," The Review of Economics and Statistics, MIT Press, volume 90, issue 2, pages 216-240, May.
• Fabio C. Bagliano & Claudio Morana, 2008, "Permanent and Transitory Dynamics in House Prices and Consumption: Cross-Country Evidence," Working papers, Former Department of Economics and Public Finance "G. Prato", University of Torino, number 02, Dec.
• Daniel Burren, 2008, "The Role of Sectoral Shifts in the Great Moderation," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp0801, Jan.
• Gregor B urle, 2008, "Priors from DSGE Models for Dynamic Factor Analysis," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp0803, Aug.
• Roberto Casarin & Domenico sartore, 2008, "Matrix-State Particle Filter for Wishart Stochastic Volatility Processes," Working Papers, University of Brescia, Department of Economics, number 0816.
• Giorgio Canarella & WenShwo Fang & Stephen M. Miller & Stephen K. Pollard, 2008, "Is the Great Moderation Ending? UK and US Evidence," Working papers, University of Connecticut, Department of Economics, number 2008-24, Aug.
• WenShwo Fang & Stephen M. Miller, 2008, "Modeling the Volatility of Real GDP Growth: The Case of Japan Revisited," Working papers, University of Connecticut, Department of Economics, number 2008-47, Dec.
• WenShwo Fang & Stephen M. Miller & ChunShen Lee, 2008, "The Great Moderation Flattens Fat Tails: Disappearing Leptokurtosis," Working papers, University of Connecticut, Department of Economics, number 2008-48, Dec.
• Felipe Morandé Lavín & Mauricio Tejada, 2008, "Sources of Uncertainty for Conducting Monetary Policy in Chile," Working Papers, University of Chile, Department of Economics, number wp285, May.
• 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.
• Figuerola-Ferretti, Isabel & Gonzalo, Jesús, 2008, "Modelling and Measuring Price Discovery in Commodity Markets," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number 15951.
• Dufour, Jean-Marie & Taamouti, Abderrahim, 2008, "Short and long run causality measures: theory and inference," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we083720, Jul.
• Dufour, Jean-Marie & García, René & Taamouti, Abderrahim, 2008, "Measuring causality between volatility and returns with high-frequency data," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we084422, Sep.
• 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.
• Jean Boivin & Marc Giannoni, 2008, "Global Forces and Monetary Policy Effectiveness," NBER Working Papers, National Bureau of Economic Research, Inc, number 13736, Jan.
• Marco Del Negro & Frank Schorfheide, 2008, "Forming Priors for DSGE Models (and How it Affects the Assessment of Nominal Rigidities)," NBER Working Papers, National Bureau of Economic Research, Inc, number 13741, Jan.
• Timothy Cogley & Giorgio E. Primiceri & Thomas J. Sargent, 2008, "Inflation-Gap Persistence in the U.S," NBER Working Papers, National Bureau of Economic Research, Inc, number 13749, Jan.
• M. Ayhan Kose & Christopher Otrok & Eswar S. Prasad, 2008, "Global Business Cycles: Convergence or Decoupling?," NBER Working Papers, National Bureau of Economic Research, Inc, number 14292, Oct.
• Andrew T. Foerster & Pierre-Daniel G. Sarte & Mark W. Watson, 2008, "Sectoral vs. Aggregate Shocks: A Structural Factor Analysis of Industrial Production," NBER Working Papers, National Bureau of Economic Research, Inc, number 14389, Oct.
• Anthony W. Lynch & Jessica A. Wachter, 2008, "Using Samples of Unequal Length in Generalized Method of Moments Estimation," NBER Working Papers, National Bureau of Economic Research, Inc, number 14411, Oct.
• V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2008, "Are Structural VARs with Long-Run Restrictions Useful in Developing Business Cycle Theory?," NBER Working Papers, National Bureau of Economic Research, Inc, number 14430, Oct.
• Andrew Mountford & Harald Uhlig, 2008, "What are the Effects of Fiscal Policy Shocks?," NBER Working Papers, National Bureau of Economic Research, Inc, number 14551, Dec.
• Kirstin Hubrich & Kenneth D. West, 2008, "Forecast Evaluation of Small Nested Model Sets," NBER Working Papers, National Bureau of Economic Research, Inc, number 14601, Dec.
• Juan Carlos Cuestas & Paulo Jose Regis, 2008, "Testing for PPP in Australia: evidence from unit root tests against nonlinear trend stationarity alternatives," NBS Discussion Papers in Economics, Economics, Nottingham Business School, Nottingham Trent University, number 2008/3, Feb.
• Juan Carlos Cuestas & Estefania Mourelle, 2008, "Nonlinearities in real exchange rate determination: do African exchange rates follow a radom walk?," NBS Discussion Papers in Economics, Economics, Nottingham Business School, Nottingham Trent University, number 2008/8, Jul.
• Gary Koop & Roberto Leon Gonzalez & Rodney W. Strachan, 2008, "Bayesian Inference in the Time Varying Cointegration Model," GRIPS Discussion Papers, National Graduate Institute for Policy Studies, number 08-01, May.
• Ricardo M. Sousa & António Afonso, 2008, "Fiscal Policy, Housing and Stock Prices," NIPE Working Papers, NIPE - Universidade do Minho, number 21/2008.