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

• Sei‐Wan Kim & Bong‐Soo Lee, 2008, "Stock Returns, Asymmetric Volatility, Risk Aversion, And Business Cycle: Some New Evidence," Economic Inquiry, Western Economic Association International, volume 46, issue 2, pages 131-148, April, DOI: 10.1111/j.1465-7295.2007.00066.x.
• Lance Bachmeier & Qi Li & Dandan Liu, 2008, "Should Oil Prices Receive So Much Attention? An Evaluation Of The Predictive Power Of Oil Prices For The U.S. Economy," Economic Inquiry, Western Economic Association International, volume 46, issue 4, pages 528-539, October, DOI: 10.1111/j.1465-7295.2007.00095.x.
• Don Bredin & John Cotter, 2008, "Volatility And Irish Exports," Economic Inquiry, Western Economic Association International, volume 46, issue 4, pages 540-560, October, DOI: 10.1111/j.1465-7295.2007.00101.x.
• David Shepherd & Robert Dixon, 2008, "The Cyclical Dynamics and Volatility of Australian Output and Employment," The Economic Record, The Economic Society of Australia, volume 84, issue 264, pages 34-49, March, DOI: 10.1111/j.1475-4932.2008.00445.x.
• Kiyotaka Nakashima, 2008, "Ideal And Real Japanese Monetary Policy: A Comparative Analysis Of Actual And Optimal Policy Measures," The Japanese Economic Review, Japanese Economic Association, volume 59, issue 3, pages 345-369, September, DOI: 10.1111/j.1468-5876.2008.00415.x.
• Andrea Silvestrini & David Veredas, 2008, "Temporal Aggregation Of Univariate And Multivariate Time Series Models: A Survey," Journal of Economic Surveys, Wiley Blackwell, volume 22, issue 3, pages 458-497, July, DOI: 10.1111/j.1467-6419.2007.00538.x.
• Frits Bijleveld & Jacques Commandeur & Phillip Gould & Siem Jan Koopman, 2008, "Model‐based measurement of latent risk in time series with applications," Journal of the Royal Statistical Society Series A, Royal Statistical Society, volume 171, issue 1, pages 265-277, January, DOI: 10.1111/j.1467-985X.2007.00496.x.
• Carsten Trenkler & Pentti Saikkonen & Helmut Lütkepohl, 2008, "Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break," Journal of Time Series Analysis, Wiley Blackwell, volume 29, issue 2, pages 331-358, March, DOI: 10.1111/j.1467-9892.2007.00558.x.
• George Athanasopoulos & Farshid Vahid, 2008, "A complete VARMA modelling methodology based on scalar components," Journal of Time Series Analysis, Wiley Blackwell, volume 29, issue 3, pages 533-554, May, DOI: 10.1111/j.1467-9892.2007.00568.x.
• Luca Fanelli, 2008, "Testing the New Keynesian Phillips Curve Through Vector Autoregressive Models: Results from the Euro Area," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 70, issue 1, pages 53-66, February, DOI: 10.1111/j.1468-0084.2007.00490.x.
• Selva Demiralp & Kevin D. Hoover & Stephen J. Perez, 2008, "A Bootstrap Method for Identifying and Evaluating a Structural Vector Autoregression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 70, issue 4, pages 509-533, August, DOI: 10.1111/j.1468-0084.2007.00496.x.
• Joakim Westerlund & David L. Edgerton, 2008, "A Simple Test for Cointegration in Dependent Panels with Structural Breaks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 70, issue 5, pages 665-704, October, DOI: 10.1111/j.1468-0084.2008.00513.x.
• Hilde C. Bjørnland, 2008, "Monetary Policy and Exchange Rate Interactions in a Small Open Economy," Scandinavian Journal of Economics, Wiley Blackwell, volume 110, issue 1, pages 197-221, March, DOI: 10.1111/j.1467-9442.2008.00532.x.
• WenShwo Fang & Stephen M. Miller & ChunShen Lee, 2008, "Cross‐Country Evidence On Output Growth Volatility: Nonstationary Variance And Garch Models," Scottish Journal of Political Economy, Scottish Economic Society, volume 55, issue 4, pages 509-541, September, DOI: 10.1111/j.1467-9485.2008.00464.x.
• Siem Jan Koopman & Marius Ooms & André Lucas & Kees van Montfort & Victor Van Der Geest, 2008, "Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 62, issue 1, pages 104-130, February, DOI: 10.1111/j.1467-9574.2007.00375.x.
• Ida Wolden Bache, 2008, "Assessing estimates of the exchange rate pass-through," Working Paper, Norges Bank, number 2007/12, Jan.
• Ida Wolden Bache & Bjørn E. Naug, 2008, "Estimating New Keynesian import price models," Working Paper, Norges Bank, number 2007/15, Jan.
• Anne-Sofie Jore & James Mitchell & Shaun P. Vahey, 2008, "Combining forecast densities from VARs with uncertain instabilities," Working Paper, Norges Bank, number 2008/01, Jan.
• Hilde C. Bjørnland & Jørn I. Halvorsen, 2008, "How does monetary policy respond to exchange rate movements? New international evidence," Working Paper, Norges Bank, number 2008/15, Oct.
• Hilde C. Bjørnland, 2008, "Oil Price Shocks and Stock Market Booms in an Oil Exporting Country," Working Paper, Norges Bank, number 2008/16, Oct.
• Hilde C. Bjørnland & Dag Henning Jacobsen, 2008, "The role of house prices in the monetary policy transmission mechanism in the U.S," Working Paper, Norges Bank, number 2008/24, Dec.
• Iryna Kaminska, 2008, "A no-arbitrage structural vector autoregressive model of the UK yield curve," Bank of England working papers, Bank of England, number 357, Dec.
• Michael Joyce & Iryna Kaminska & Peter Lildholdt, 2008, "Understanding the real rate conundrum: an application of no-arbitrage finance models to the UK real yield curve," Bank of England working papers, Bank of England, number 358, Dec.
• Dimitrios Sideris, 2008, "Real Exchange Rates over a Century: The Case of the Drachma/Sterling Rate, 1833-1939," Working Papers, Bank of Greece, number 66, Jan.
• Else Monteiro Nogueira & Wagner Moura Lamounier, 2008, ""Contagion" between the emerging and developed capital markets: empirical evidence and reflections on the international portfolio diversification," Brazilian Review of Finance, Brazilian Society of Finance, volume 6, issue 2, pages 267-286.
• Marilyne Huchet-Bourdon & Jean-Sébastien Pentecôte, 2008, "Élargissement de la zone euro et mesure des asymétries. Un bilan empirique," Revue économique, Presses de Sciences-Po, volume 59, issue 2, pages 341-358.
• Dees, S. & Pesaran, M.H. & Smith, L.V. & Smith, R.P., 2008, "Identification of New Keynesian Phillips Curves from a Global Perspective," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0803, Jan.
• Pesaran, M.H. & Schuermann, T. & Smit, L.V., 2008, "Forecasting Economic and Financial Variables with Global VARs," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0807, Jan.
• Pesaran, M.H. & Schleicher, C. & Zaffaroni, P., 2008, "Model Averaging in Risk Management with an Application to Futures Markets," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0808, Jan.
• Assenmacher-Wesche, K. & Pesaran, M.H., 2008, "A VECX* Model of the Swiss Economy," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0809, Feb.
• Pesaran, M.H. & Zaffaroni, P., 2008, "Optimal Asset Allocation with Factor Models for Large Portfolios," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0813, Mar.
• Addison-Smyth, Diarmaid & McQuinn, Kieran & O' Reilly, Gerard, 2008, "Estimating the Structural Demand for Irish Housing," Research Technical Papers, Central Bank of Ireland, number 1/RT/08, Mar.
• Les Oxley & Marco Reale & Granville Tunnicliffe Wilson, 2008, "Constructing Structural VAR Models with Conditional Independence Graphs," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 08/19, Nov.
• Oscar Jorda & Massimiliano Marcellino, 2008, "Path Forecast Evaluation," Working Papers, University of California, Davis, Department of Economics, number 131, Jul.
• Meenagh, David & Minford, Patrick & Wickens, Michael, 2008, "Testing a DSGE model of the EU using indirect inference," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2008/11, May, revised Dec 2008.
• Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael, 2008, "How much nominal rigidity is there in the US economy? Testing a New Keynesian DSGE Model using indirect inference," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2008/32, Dec, revised Jul 2011.
• Ana Lamo & Javier J. Pérez & Ludger Schuknecht, 2008, "Public and private sector wages:comovement and casuality," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2008/14.
• Luigi Landolfo, 2008, "Assessing the sustainability of fiscal policies: Empirical evidence from the Euro Area and the United States," Journal of Applied Economics, Universidad del CEMA, volume 11, pages 305-326, November.
• Michael Ehrmann, 2004, "Firm Size and Monetary Policy Transmission – Evidence from German Business Survey Data," CESifo Working Paper Series, CESifo, number 1201.
• Thomas A. Knetsch, 2004, "Evaluating the German Inventory Cycle – Using Data from the Ifo Business Survey," CESifo Working Paper Series, CESifo, number 1202.
• M. Hashem Pesaran, 2004, "A Pair-Wise Approach to Testing for Output and Growth Convergence," CESifo Working Paper Series, CESifo, number 1308.
• M. Hashem Pesaran & Paolo Zaffaroni, 2004, "Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management," CESifo Working Paper Series, CESifo, number 1358.
• Stephane Dees & Filippo di Mauro & M. Hashem Pesaran & L. Vanessa Smith, 2005, "Exploring the International Linkages of the Euro Area: a Global VAR Analysis," CESifo Working Paper Series, CESifo, number 1425.
• M. Hashem Pesaran & L. Vanessa Smith & Ron P. Smith, 2005, "What if the UK had Joined the Euro in 1999? An Empirical Evaluation Using a Global VAR," CESifo Working Paper Series, CESifo, number 1477.
• M. Hashem Pesaran & Ron P. Smith, 2006, "Macroeconometric Modelling with a Global Perspective," CESifo Working Paper Series, CESifo, number 1659.
• Yin-Wong Cheung, 2006, "An Empirical Model of Daily Highs and Lows," CESifo Working Paper Series, CESifo, number 1695.
• Stephane Dees & Sean Holly & M. Hashem Pesaran & L. Vanessa Smith, 2007, "Long Run Macroeconomic Relations in the Global Economy," CESifo Working Paper Series, CESifo, number 1904.
• Adrian Pagan & M. Hashem Pesaran, 2007, "On Econometric Analysis of Structural Systems with Permanent and Transitory Shocks and Exogenous Variables," CESifo Working Paper Series, CESifo, number 1924.
• Katrin Assenmacher-Wesche & M. Hashem Pesaran, 2007, "Assessing Forecast Uncertainties in a VECX Model for Switzerland: An Exercise in Forecast Combination across Models and Observation Windows," CESifo Working Paper Series, CESifo, number 2116.
• M. Hashem Pesaran & Til Schuermann & L. Vanessa Smith, 2008, "Forecasting Economic and Financial Variables with Global VARs," CESifo Working Paper Series, CESifo, number 2263.
• Katrin Assenmacher-Wesche & M. Hashem Pesaran, 2008, "A VECX Model of the Swiss Economy," CESifo Working Paper Series, CESifo, number 2281.
• M. Hashem Pesaran & Paolo Zaffaroni, 2008, "Optimal Asset Allocation with Factor Models for Large Portfolios," CESifo Working Paper Series, CESifo, number 2326.
• Guglielmo Maria Caporale & Davide Ciferri & Alessandro Girardi, 2008, "Are the Baltic Countries Ready to Adopt the Euro? A Generalised Purchasing Power Parity Approach," CESifo Working Paper Series, CESifo, number 2359.
• Yan-Leung Cheung & Yin-Wong Cheung & Alan T.K. Wan, 2008, "A High-Low Model of Daily Stock Price Ranges," CESifo Working Paper Series, CESifo, number 2387.
• Markku Lanne & Helmut Lütkepohl, 2008, "Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis," CESifo Working Paper Series, CESifo, number 2407.
• Steffen Henzel, 2008, "Learning Trend Inflation – Can Signal Extraction Explain Survey Forecasts?," ifo Working Paper Series, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 55.
• Felipe Morandé & Mauricio Tejada, 2008, "Sources of Uncertainty for Conducting Monetary Policy in Chile," Working Papers Central Bank of Chile, Central Bank of Chile, number 492, Oct.
• Patricio Jaramillo, 2008, "Estimación de Var Bayesianos para la Economía Chilena," Working Papers Central Bank of Chile, Central Bank of Chile, number 508, Dec.
• Alberto Ortiz & Federico Sturzenegger & Ashoka Mody, 2008, "Estimating SARB's Policy Reaction Rule," CID Working Papers, Center for International Development at Harvard University, number 165, May.
• Virginie Coudert & Mathieu Gex, 2008, "Contagion in the Credit Default Swap Market: the case of the GM and Ford Crisis in 2005," Working Papers, CEPII research center, number 2008-14, Sep.
• Z. Yejim Giirbiiz & Thomas Jobert & Ruhi Tuncer, 2008, "The Turkish Experience in Inflation Targeting: Uncertainties and the Efficiency of Monetary Policy," Economie Internationale, CEPII research center, issue 116, pages 127-146.
• Claude Lopez & David H. Papell, 2008, "Testing for Group-Wise Convergence with an Application to Euro Area Inflation," University of Cincinnati, Economics Working Papers Series, University of Cincinnati, Department of Economics, number 2010-03, revised 2010.
• Javier Mencía & Enrique Sentana, 2008, "Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations," Working Papers, CEMFI, number wp2008_0804, Apr.
• Javier Mencía & Enrique Sentana, 2008, "Multivariate Location-Scale Mixtures of Normals and Mean-Variance-skewness Portfolio Allocation," Working Papers, CEMFI, number wp2008_0805, Apr.
• José Luis Torres T., 2008, "La Estimación de la brecha del producto en Colombia," Investigación Conjunta-Joint Research, Centro de Estudios Monetarios Latinoamericanos, CEMLA, chapter 4, in: Centro de Estudios Monetarios Latinoamericanos (CEMLA), "Estimación y Uso de Variables no Observables en la Región".
• Juan José Echavarría Soto & Enrique López Enciso & Martha Misas Arango & Juana Téllez Corredor & Juan Carlos Parra Álvarez, 2008, "La tasa de interés natural en Colombia," Investigación Conjunta-Joint Research, Centro de Estudios Monetarios Latinoamericanos, CEMLA, chapter 7, in: Centro de Estudios Monetarios Latinoamericanos (CEMLA), "Estimación y Uso de Variables no Observables en la Región".
• JdD Tena & E. Otranto, 2008, "A Realistic Model for Official Interest Rates," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 200802.
• Jes√∫s Otero & Manuel Ram√≠rez G√≥mez, 2008, "Modeling the monetary policy reaction function of the colombian central bank," Documentos de Trabajo, Universidad del Rosario, number 4650, Apr.
• Marta Casas Monsegny & Edilberto Cepeda, 2008, "Modelos ARCH, GARCH y EGARCH: aplicaciones a series financieras," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Oscar Becerra & Luis Fernando Melo, 2008, "Medidas De Riesgo Financiero Usando C�Pulas: Teor�A Y Aplicaciones," Borradores de Economia, Banco de la Republica, number 4523, Feb.
• Dairo Estrada & Javier Guti�rrez Rueda, 2008, "Supervisi�N Y Regulaci�N Del Sistema Financiero:Modelos Implicaciones Y Alcances," Borradores de Economia, Banco de la Republica, number 4543, Feb.
• Jorge Anfdr�s Tamayo, 2008, "La tasa natural de desempleo en Colombia y sus determinantes," Borradores de Economia, Banco de la Republica, number 4545, Feb.
• Enrique Montes & Aaron Garavito & Carolina Pulido & Monica Hern�ndez, 2008, "El mercado venezolano en las exportaciones colombianas:Dependencia de los exportadores en 2006," Borradores de Economia, Banco de la Republica, number 4548, Mar.
• Juan Carlos Parra Alvarez, 2008, "Hechos Estilizados de la Econom�a Colombiana:Fundamentos Emp�ricos para la Construcci�n y Evaluaci�n de un Modelo DSGE," Borradores de Economia, Banco de la Republica, number 4602, Apr.
• Oscar Becerra & Luis Fernando Melo, 2008, "Transmisi�n de tasas de inter�s bajo el esquema de metas de inflaci�n: evidencia para Colombia," Borradores de Economia, Banco de la Republica, number 4731, Jun.
• Alejandro Reveiz & Carlos Eduardo Le�n, 2008, "Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space," Borradores de Economia, Banco de la Republica, number 4732, Jun.
• Luis Eduardo Arango & Fernando Arias & Luz Adriana Fl�rez, 2008, "Trends, Fluctuations, and Determinants of Commodity Prices," Borradores de Economia, Banco de la Republica, number 4734, Jun.
• Daniel Mej�a & Mar�a Teresa Ram�rez & Jorge Tamayo, 2008, "The Demographic Transition in Colombia: Theory and Evidence," Borradores de Economia, Banco de la Republica, number 5128, Nov.
• Andr�s Salamanca & Viviana Monroy, 2008, "DEUDA EXTERNA P�BLICA E INVERSI�N EN COLOMBIA 1994-2007: Evidencia de un Modelo No-Lineal TAR," Borradores de Economia, Banco de la Republica, number 5213, Dec.
• Mauricio Avella G�mez, 2008, "Perspectivas de crecimiento del gasto p�blico en Colombia, 1925-2003 �Una visi�n descriptiva � la Wagner, o � la Peacock y Wiseman?," Borradores de Economia, Banco de la Republica, number 5214, Dec.
• Juan José Echavarría Soto & Enrique L�pez Enciso & Martha Misas Arango, 2008, "La tasa de cambio real de equilibrio en Colombia y su desalineamiento: estimación a través de un modelo SVEC," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 26, issue 57, pages 282-319, DOI: 10.32468/Espe.5706.
• Carlos J. Pena P., 2008, "Choques petroleros, incertidumbre e inversión privada. Venezuela, 1968-2007," Perfil de Coyuntura Económica, Universidad de Antioquia, CIE.
• Mauricio López & Carlos Castaneda, 2008, "Sostenibilidad de la deuda pública y crecimiento económico: el caso reciente de la economía colombiana," Perfil de Coyuntura Económica, Universidad de Antioquia, CIE.
• Francisco Pérez T, 2008, "Impacto de la crisis del sector rural en el mercado laboral urbano y nacional un análisis de vectores autoregresivos," Documentos de Trabajo, Escuela de Economía, Universidad Nacional de Colombia, FCE, CID, number 4686, May.
• Mario García Molina & Jeanne Kelly Ru�z Tavera, 2008, "Ley de Thirlwall y modelo de brechas: un modelo unificado," Documentos de Trabajo, Escuela de Economía, Universidad Nacional de Colombia, FCE, CID, number 4835, Jul.
• Ingrid Acevedo Bohórquez & Ermilson Velásquez Ceballos, 2008, "Algunos conceptos de la econometría espacial y el análisis exploratorio de datos espaciales," Revista Ecos de Economía, Universidad EAFIT.
• Jésus Botero Garcia, 2008, "Evaluando impactos externos mediante un modelo de equilibrio general computable con competencia imperfecta: El caso colombiano," Revista Ecos de Economía, Universidad EAFIT.
• CHOLLETE, Loran & HEINEN, Andréas & VALDESOGO, Alfonso, 2008, "Modeling international financial returns with a multivariate regime switching copula," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2008013, Mar.
• Adam Elbourne & Debby Lanser & Bert Smid & Martin Vromans, 2008, "Macroeconomic resilience in a DSGE model," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis, number 96, Jan.
• Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2008, "Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6706, Feb.
• Banerjee, Anindya & Marcellino, Massimiliano, 2008, "Factor-augmented Error Correction Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6707, Feb.
• Lippi, Francesco & Nobili, Andrea, 2008, "Oil and the Macroeconomy: A Structural VAR Analysis with Sign Restrictions," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6830, May.
• Minford, Patrick & Wickens, Michael R. & Meenagh, David, 2008, "Testing a DSGE Model of the EU Using Indirect Inference," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6838, Jun.
• Minford, Patrick & Meenagh, David & Theodoridis, Konstantinos, 2008, "Testing a Model of the UK by the Method of Indirect Inference," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 6849, Jun.
• Marcellino, Massimiliano & Jordà , Ã’scar, 2008, "Path Forecast Evaluation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7009, Oct.
• Kilian, Lutz & Vega, Clara, 2008, "Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7015, Oct.
• Forni, Mario & Gambetti, Luca, 2008, "The Dynamic Effects of Monetary Policy: A Structural Factor Model Approach," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 7098, Dec.
• Nikolaos Giannellis & Athanasios Papadopoulos & Angelos Kanas, 2008, "Asymmetric Volatility Spillovers Î’etween Stock Market and Real Activity: Evidence from UK and US," Working Papers, University of Crete, Department of Economics, number 0807, Jun.
• Maria Nikoloudaki & Dikaios Tserkezos, 2008, "Temporal Aggregation Effects in Choosing the Optimal Lag Order in Stable ARMA Models: Some Monte Carlo Results," Working Papers, University of Crete, Department of Economics, number 0822, Jan.
• Janine Aron & John Muellbauer, 2008, "Multi-sector inflation forecasting - quarterly models for South Africa," CSAE Working Paper Series, Centre for the Study of African Economies, University of Oxford, number 2008-27.
• 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.
• Tamborini, Roberto, 2008, "The "Credit-Cost Channel" of Monetary Policy. A Theoretical Assessment," Economics Discussion Papers, Kiel Institute for the World Economy, number 2008-33.
• Chen, Pu & Schneider, Elena & Frohn, Joachim, 2008, "A Long-Run Structural Macroeconometric Model for Germany: An Empirical Note," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 2, pages 1-12, DOI: 10.5018/economics-ejournal.ja.2008-.
• Nielsen, Bent, 2008, "On the Explosive Nature of Hyper-Inflation Data," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 2, pages 1-29, DOI: 10.5018/economics-ejournal.ja.2008-.
• Juselius, Mikael, 2008, "Testing the New Keynesian Model on U.S. and Euro Area Data," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 2, pages 1-26, DOI: 10.5018/economics-ejournal.ja.2008-.
• Giese, Julia V., 2008, "Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 2, pages 1-20, DOI: 10.5018/economics-ejournal.ja.2008-.
• Fanelli, Luca, 2008, "Evaluating New Keynesian Phillips Curve under VAR-Based Learning," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 2, pages 1-24, DOI: 10.5018/economics-ejournal.ja.2008-.
• Møller, Niels Framroze, 2008, "Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 2, pages 1-29, DOI: 10.5018/economics-ejournal.ja.2008-.
• Dovern, Jonas & Ziegler, Christina, 2008, "Predicting growth rates and recessions: assessing US leading indicators under real-time conditions," Kiel Working Papers, Kiel Institute for the World Economy, number 1397.
• Dovern, Jonas & Meier, Carsten-Patrick & Vilsmeier, Johannes, 2008, "How resilient is the German banking system to macroeconomic shocks?," Kiel Working Papers, Kiel Institute for the World Economy, number 1419.
• Holtemöller, Oliver & Schmidt, Torsten, 2008, "Identifying Sources of Business Cycle Fluctuations in Germany 1975–1998," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 68.
• Härdle, Wolfgang Karl & Mungo, Julius, 2008, "Value-at-risk and expected shortfall when there is long range dependence," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-006.
• Weber, Enzo, 2008, "Structural constant conditional correlation," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-015.
• Blaskowitz, Oliver J. & Herwartz, Helmut, 2008, "Adaptive forecasting of the EURIBOR swap term structure," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-017.
• Winschel, Viktor & Krätzig, Markus, 2008, "Solving, estimating and selecting nonlinear dynamic models without the curse of dimensionality," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-018.
• Hanewald, Katja, 2008, "Beyond the business cycle: Factors driving aggregate mortality rates," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-031.
• Winschel, Viktor & Krätzig, Markus, 2008, "JBendge: An object-oriented system for solving, estimating and selecting nonlinear dynamic models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-034.
• Giacomini, Enzo & Härdle, Wolfgang Karl & Krätschmer, Volker, 2008, "Dynamic semiparametric factor models in risk neutral density estimation," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-038.
• Hautsch, Nikolaus & Jeleskovic, Vahidin, 2008, "Modelling high-frequency volatility and liquidity using multiplicative error models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-047.
• Weber, Enzo, 2008, "Macro wine in financial skins: The Oil-FX interdependence," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-048.
• Weber, Enzo, 2008, "Simultaneous stochastic volatility transmission across American equity markets," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-049.
• Reichmuth, Wolfgang H. & Sarferaz, Samad, 2008, "Bayesian demographic modeling and forecasting: An application to U.S. mortality," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-052.
• Reichmuth, Wolfgang H. & Sarferaz, Samad, 2008, "Modeling and forecasting age-specific mortality: A Bayesian approach," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-052a.
• Reichmuth, Wolfgang H. & Sarferaz, Samad, 2008, "The influence of the business cycle on mortality," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-059.
• Blaskowitz, Oliver J. & Herwartz, Helmut, 2008, "A note on the model selection risk for ANOVA based adaptive forecasting of the EURIBOR swap term structure," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-064.
• Weber, Enzo, 2008, "Structural dynamic conditional correlation," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-069.
• Weber, Enzo & Zhang, Yanqun, 2008, "Common influences, spillover and integration in Chinese stock markets," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-072.
• Blaskowitz, Oliver J. & Herwartz, Helmut, 2008, "Testing directional forecast value in the presence of serial correlation," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-073.
• Seymen, Atilim, 2008, "A Comparative Study on the Role of Stochastic Trends in U.S. Macroeconomic Fluctuations, 1954-1988," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 08-007.
• Seymen, Atilim, 2008, "A Critical Note on the Forecast Error Variance Decomposition," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 08-065.
• Jean-Pierre Allégret & Alain Sand-Zantman, 2008, "Does a Monetary Union protect again foreign shocks? An assessment of Latin American integration using a Bayesian VAR," Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Etienne (GATE Lyon St-Etienne), Université de Lyon, number 0809.
• Mustapha Sadni Jallab & Monnet Benoît Patrick Gbakou & René Sandretto, 2008, "Foreign Direct Investment, Macroeconomic Instability And Economic Growth in MENA Countries," Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Etienne (GATE Lyon St-Etienne), Université de Lyon, number 0817.
• Sabrina Teyssier, 2008, "Les Modes de Rémunération comme Mécanismes Sélectifs de la Main d’oeuvre : Fondements Théoriques et Estimations Empiriques," Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Etienne (GATE Lyon St-Etienne), Université de Lyon, number 0818.
• Jean-François Goux, 2008, "Thick breaks and trend stationarity : the case of euro-dollar exchange rate," Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Etienne (GATE Lyon St-Etienne), Université de Lyon, number 0826.
• Matteo Modena, 2008, "An Empirical Analysis of the Curvature Factor of the Term Structure of Interest Rates," Working Papers, Business School - Economics, University of Glasgow, number 2008_35, Sep.
• Alberto Ortiz & Federico Sturzenegger & Ashoka Mody, 2008, "Estimating SARB's Policy Reaction Rule," Growth Lab Working Papers, Harvard's Growth Lab, number 14c, May.
• António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2008, "Exchange Rate and Interest Rate Volatility in a Target Zone: The Portuguese Case," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2008-03.
• Tara Sinclair & Sinchan Mitra, 2008, "Output Fluctuations in the G-7: An Unobserved Components Approach," Working Papers, The George Washington University, Institute for International Economic Policy, number 2008-04, May.
• Dominique Guegan, 2008, "Effect of noise filtering on predictions : on the routes of chaos," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00235448, Jan.
• Jing Zhang & Dominique Guegan, 2008, "Pricing bivariate option under GARCH processes with time-varying copula," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00259242, Feb.
• Dominique Guegan, 2008, "Non-stationarity and meta-distribution," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00270708, Mar.
• Christophe Chorro & Dominique Guegan & Florian Ielpo, 2008, "Option Pricing under GARCH models with Generalized Hyperbolic innovations (I) : Methodology," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00281585, May.
• Jing Zhang & Dominique Guegan, 2008, "Pricing bivariate option under GARCH processes with time-varying copula," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00286054, Jun, DOI: 10.1016/j.insmatheco.2008.02.003.
• Claude Diebolt & Cédric Doliger, 2008, "New international evidence on the cyclical behaviour of output : Kuznets swings reconsidered," Post-Print, HAL, number hal-00278967, Dec, DOI: 10.1007/s11135-006-9064-0.
• R. Beaupain & A. Durre, 2008, "The interday and intraday patterns of the overnight market: Evidence from an electronic platform," Post-Print, HAL, number hal-00393019.
• Jean-Pierre Allegret & Alain Sand-Zantman, 2008, "Does a Monetary Union protect again foreign shocks? An assessment of Latin American integration using a Bayesian VAR," Post-Print, HAL, number halshs-00269122.
• Monnet Benoît Patrick Gbakou & Mustapha Sadni Jallab & René Sandretto, 2008, "Foreign Direct Investment, Macroeconomic Instability And Economic Growth in MENA Countries," Post-Print, HAL, number halshs-00303694.
• Sabrina Teyssier, 2008, "Les Modes de Rémunération comme MécanismesSélectifs de la Main d'oeuvre : Fondements Théoriques et Estimations Empiriques," Post-Print, HAL, number halshs-00303703.
• Marilyne Huchet & Jean-Sébastien Pentecôte, 2008, "Élargissement de la zone euro et mesure des asymétries, Un bilan empirique," Post-Print, HAL, number halshs-00350385.
• Jean-Pierre Allegret & Alain Sand-Zantman, 2008, "Monetary Integration Issues in Latin America: a multivariate assessment," Post-Print, HAL, number halshs-00353356.
• Mohamed Boutahar & Gilles Dufrénot & Anne Peguin-Feissolle, 2008, "A simple fractionally integrated model with a time-varying long memory parameter dt," Post-Print, HAL, number halshs-00390136, DOI: 10.1007/s10614-007-9115-1.
• Gian Luigi Mazzi & Frédéric Reynès & Matthieu Lemoine & Paola Veroni, 2008, "Real Time Estimation of Potential Output and Output Gap for the Euro-Area : Comparing Production Function with Unobserved Components and SVAR Approaches," Sciences Po Economics Publications (main), HAL, number hal-01027422, Nov.
• Gian Luigi Mazzi & Frédéric Reynès & Matthieu Lemoine & Paola Veroni, 2008, "Real Time Estimation of Potential Output and Output Gap for the Euro-Area : Comparing Production Function with Unobserved Components and SVAR Approaches," Working Papers, HAL, number hal-01027422, Nov.
• Mohamed Boutahar & Gilles Dufrénot & Anne Peguin-Feissolle, 2008, "A SIMPLE FRACTIONALLY INTEGRATED MODEL WITH A TIME-VARYING LONG MEMORY PARAMETER Dt - [Document de travail n°2008 - 10]," Working Papers, HAL, number halshs-00275254, May.
• Zsolt Darvas, 2008, "Leveraged Carry Trade Portfolios," CERS-IE WORKING PAPERS, Institute of Economics, Centre for Economic and Regional Studies, number 0822, Oct.
• Daniel G. Swaine, 2008, "Estimating the Speed of Convergence in the Neoclassical Growth Model: An MLE Estimation of Structural Parameters Using the Stochastic Neoclassical Growth Model, Time-Series Data, and the Kalman Filter," Working Papers, College of the Holy Cross, Department of Economics, number 0810, Sep.
• Jonas Dovern & Ulrich Fritsche, 2008, "Estimating fundamental cross-section dispersion from fixed event forecasts," Macroeconomics and Finance Series, University of Hamburg, Department of Socioeconomics, number 200801, May.
• Ulrich Fritsche & Vladimir Kuzin, 2008, "Analysing Convergence in Europe Using a Non-linear Single Factor Model," Macroeconomics and Finance Series, University of Hamburg, Department of Socioeconomics, number 200802, Jun.
• Lena Vogel, 2008, "The Relationship between the Hybrid New Keynesian Phillips Curve and the NAIRU over Time," Macroeconomics and Finance Series, University of Hamburg, Department of Socioeconomics, number 200803, Oct.
• Møller, Stig Vinther, 2008, "Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number F-2008-04, Mar.
• Ahlgren, Niklas & Sjö, Bo & Zhang, Jianhua, 2008, "Panel Cointegration of Chinese A and B Shares," Working Papers in Economics, University of Gothenburg, Department of Economics, number 300, Apr.
• Chollete, Lorán & Heinen, Andréas & Valdesogo, Alfonso, 2008, "Modeling International Financial Returns with a Multivariate Regime Switching Copula," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2008/3, Mar.
• Andersson, Jonas & Karlis, Dimitris, 2008, "Treating missing values in INAR(1) models," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2008/14, Aug.
• Åsberg Sommar, Per & Shahnazarian, Hovick, 2008, "Macroeconomic Impact on Expected Default Frequency," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 219, Jan.
• Mohn, Klaus & Misund, Bård, 2008, "Shifting sentiments in Firm Investment: An Application to the Oil Industry," UiS Working Papers in Economics and Finance, University of Stavanger, number 2009/12, Apr.
• Lönnbark, Carl, 2008, "A Corrected Value-at-Risk Predictor," Umeå Economic Studies, Umeå University, Department of Economics, number 734, Mar.
• Soultanaeva, Albina, 2008, "Impact of Political News on the Baltic State Stock Markets," Umeå Economic Studies, Umeå University, Department of Economics, number 735, Mar.
• Dong He & Laurent Pauwels, 2008, "What Prompts the People's Bank of China to Change its Monetary Policy Stance? Evidence from a Discrete Choice Model," Working Papers, Hong Kong Monetary Authority, number 0806, Jun.
• Tom Pak-wing Fong & Chun-shan Wong, 2008, "Stress Testing Banks' Credit Risk Using Mixture Vector Autoregressive Models," Working Papers, Hong Kong Monetary Authority, number 0813, Oct.
• Ai-ru (Meg) Cheng & Yin-Wong Cheung, 2008, "Return, Trading Volume, and Market Depth in Currency Futures Markets," Working Papers, Hong Kong Institute for Monetary Research, number 202008, Oct.
• Maroje Lang & Davor Kunovac & Silvio Basač & Željka Štaudinger, 2008, "Modelling of Currency outside Banks in Croatia," Working Papers, The Croatian National Bank, Croatia, number 17, Feb.
• Ibragimov, Rustam, 2008, "A Tale of Two Tails: Peakedness Properties in Inheritance Models of Evolutionary Theory," Scholarly Articles, Harvard University Department of Economics, number 2624003.
• Ibragimov, Rustam & Phillips, Peter C.B., 2008, "Regression asymptotics using martingale convergence methods," Scholarly Articles, Harvard University Department of Economics, number 2624459.