Research classified by
Journal of
Economic Literature (JEL) codes
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
This JEL code is mentioned in the follow RePEc Biblio entries:- > Econometrics > Time Series Models > VAR Models > Sign Restrictions
- > Econometrics > Time Series Models > VAR Models > Bayesian Vector autoregressions (BVARs)
- > Econometrics > Forecasting > Nowcasting
- > Econometrics > Time Series Models > Dynamic Factor Models
This topic is covered by the following reading lists:- SOEP based publications
Most recent items first, undated at the end.
2016 The Effect of Gold Market Speculation on REIT Returns in South Africa: A Behavioral Perspective
by Kola Akinsomi & Mehmet Balcilar & Rıza Demirer & Rangan Gupta
2016 LPPLS Bubble Indicators over Two Centuries of the S&P 500 Index
by Qunzhi Zhang & Didier Sornette & Mehmet Balcilar & Rangan Gupta & Zeynel A. Ozdemir & Hakan Yetkiner
2016 Effect of Social Infrastructure Investment on Economic Growth and Inequality in South Africa: A SEM Approach
by Itumeleng More & Goodness C. Aye
2016 Do expectations matter? Reassessing the effect of government spending on key macroeconomic variables in Germany
by Gründler, Klaus & Sauerhammer, Sarah
2016 Negative price spikes at power markets: The role of energy policy
by Gerster, Andreas
2016 On the exposure of the BRIC countries to global economic shocks
by Belke, Ansgar & Dreger, Christian & Dubova, Irina
2016 Equilibrium real interest rates and secular stagnation: An empirical analysis for euro area member countries
by Belke, Ansgar & Klose, Jens
2016 House prices and interest rates: Bayesian evidence from Germany
by Hanck, Christoph & Prüser, Jan
2016 Did quantitative easing affect interest rates outside the US? New evidence based on interest tate differentials
by Belke, Ansgar & Gros, Daniel & Osowski, Thomas
2016 Time-varying Volatility, Financial Intermediation and Monetary Policy
by Eickmeier, Sandra & Metiu, Norbert & Prieto, Esteban
2016 Macroeconomic trade effects of vehicle currencies: Evidence from 19th century China
by El-Shagi, Makram & Zhang, Lin
2016 Automatic identification of general vector error correction models
by Arbués, Ignacio & Ledo, Ramiro & Matilla-García, Mariano
2016 The role of economic policy uncertainty in predicting U.S. recessions: A mixed-frequency Markov-switching vector autoregressive approach
by Balcilar, Mehmet & Gupta, Rangan & Segnon, Mawuli
2016 International housing markets, unconventional monetary policy and the zero lower bound
by Huber, Florian & Punzi, Maria Teresa
2016 Dynamics of the European sovereign bonds and the identification of crisis periods
by Chen, Zhenxi & Reitz, Stefan
2016 Below the zero lower bound: A shadow-rate term structure model for the euro area
by Lemke, Wolfgang & Vladu, Andreea L.
2016 Continuous Time ARMA Processes: Discrete Time Representation and Likelihood Evaluation
by Michael Thornton & Marcus Chambers
2016 The International Impact of Financial Shocks: A Global VAR and Connectedness Measures Approach
by Donal Smith
2016 To combine or not to combine? Recent trends in electricity price forecasting
by Jakub Nowotarski & Rafal Weron
2016 Exchange Rate Pass-Through in the Euro Area
by Rajmund Mirdala
2016 What if all countries were actually in the same boat? A comparison of countries’ vulnerability based on Markov Switching Models
by Brendan Vannier
2016 Unconventional US Monetary Policy: New Tools, Same Channels?
by Martin Feldkircher & Florian Huber
2016 International Housing Markets, Unconventional Monetary Policy and the Zero Lower Bound
by Florian Huber & Maria Teresa Punzi
2016 Bayesian nonparametric sparse seemingly unrelated regression model (SUR)
by Monica Billio & Roberto Casarin & Luca Rossini
2016 Estimating the effects of global uncertainty in open economies
by Silvia Delrio
2016 Reversing Momentum: The Optimal Dynamic Momentum Strategy
by Kai Li & Jun Liu
2016 The linear systems approach to linear rational expectations models
by Majid M. Al-Sadoon
2016 Parameter Bias in an Estimated DSGE Model:Does Nonlinearity Matter?
by Yasuo Hirose & Takeki Sunakawa
2016 Parallelization experience with four canonical econometric models using ParMitISEM
by Baştürk N. & Grassi S. & Hoogerheide L. & Dijk H.K. van
2016 Testing for news and noise in non-stationary time series subject to multiple historical revisions
by Hecq A.W. & Jacobs J.P.A.M. & Stamatogiannis M.
2016 In search of the Euro area fiscal stance
by Alice Albonico & Alessia Paccagnini & Patrizio Tirelli
2016 Dealing with Financial Instability under a DSGE modeling approach with Banking Intermediation: a predictability analysis versus TVP-VARs
by Stelios D. Bekiros & Roberta Cardani & Alessia Paccagnini & Stefania Villa
2016 Great Recession, Slow Recovery and Muted Fiscal Policies in the US
by Alice Albonico & Alessia Paccagnini & Patrizio Tirelli
2016 Volatility spillovers for spot, futures, and ETF prices in energy and agriculture
by Chia-Lin Chang & Michael McAleer & Chia-Ping Liu
2016 Modelling volatility spillovers for bio-ethanol, sugarcane and corn
by Chia-Lin Chang & Michael McAleer & Yu-Ann Wang
2016 How are VIX and Stock Index ETF Related?
by Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer
2016 Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?
by Massimiliano Caporin & Chia-Lin Chang & Michael McAleer
2016 Testing for Deterministic Seasonality in Mixed-Frequency VARs
by Tomás del Barrio Castro & Alain Hecq
2016 A Topological View on the Identification of Structural Vector Autoregressions
by Klaus Neusser
2016 On the link between current account and oil price fluctuation in diversified economies: The case of Canada
by Blaise Gnimassoun & Marc Joets & Tovonony Razafindrabe
2016 Sentiments in SVARs
by Fève, Patrick & Guay, Alain
2016 Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers
by Manabu Asai & Chia-Lin Chang & Michael McAleer
2016 Forecasting using Random Subspace Methods
by Tom Boot & Didier Nibbering
2016 Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes
by Manabu Asai & Michael McAleer
2016 Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns
by Andre Lucas & Anne Opschoor
2016 Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads
by Rutger-Jan Lange & Andre Lucas & Arjen H. Siegmann
2016 Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model
by Peter Reinhard Hansen & Pawel Janus & Siem Jan Koopman
2016 Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture
by Chia-Lin Chang & Chia-Ping Liu & Michael McAleer
2016 Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area
by Gabriele Galati & Irma Hindrayanto & Siem Jan Koopman & Marente Vlekke
2016 Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn
by Chia-Lin Chang & Michael McAleer & Yu-Ann Wang
2016 How are VIX and Stock Index ETF related?
by Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer
2016 Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?
by Massimiliano Caporin & Chia-Lin Chang & Michael McAleer
2016 Parallelization Experience with Four Canonical Econometric Models using ParMitISEM
by Nalan Basturk & Stefano Grassi & Lennart Hoogerheide & Herman K. van Dijk
2016 Cross-Border Capital Flows in Emerging Markets : Demand-Pull or Supply-Push?
by Kurmas Akdogan & Neslihan Kaya Eksi & Ozan Eksi
2016 A Hedonic House Price Index for Turkey
by Timur Hulagu & Erdi Kizilkaya & Ali Gencay Ozbekler & Pinar Tunar
2016 Nowcasting UK GDP during the depression
by Smith Paul
2016 Fractionality and co-fractionality between Government Bond yields
by Håvard Hungnes
2016 Macroeconomic Regimes, Technological Shocks and Employment Dynamics
by Tommaso Ferraresi & Andrea Roventini & Willi Semmler
2016 Credit cycles and real activity - the Swiss case
by Gregor Bäurle & Rolf Scheufele
2016 Forecasting with Large Unbalanced Datasets: The Mixed-Frequency Three-Pass Regression Filter
by Christian Hepenstrick & Massimiliano Marcellino
2016 Housing market volatility connectedness among G7 countries
by Hahn Shik Lee & Woo Suk Lee
2016 Effects of macroeconomic policy shock on the labour market dynamics in Australia
by Mukti Nath Subedi
2016 The contribution of education to economic growth: Evidence from Nepal
by Gangadhar Dahal
2016 Oil Price shocks and theirs consequences on Sudan’s GDP growth and unemployment rates
by Elsiddig Rahma & Noel Perera & Kian Tan
2016 How are Africa's emerging stock markets related to advanced markets? Evidence from copulas
by Jones Odei Mensah & Paul Alagidede
2016 The impact of monetary policy on household consumption in South Africa. Evidence from Vector Autoregressive Techniques
by Emmanuel Owusu-Sekyere
2016 On the Causal Links between the Stock Market and the Economy of Hong Kong
by Sin-Yu Ho and Bernard Njindan Iyke
2016 A Vector Heterogeneous Autoregressive Index Model for Realized Volatily Measures
by Gianluca Cubadda & Barbara Guardabascio & Alain Hecq
2016 A Data–Cleaning Augmented Kalman Filter for Robust Estimation of State Space Models
by Martyna Marczak & Tommaso Proietti & Stefano Grassi
2016 Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship
by Shuping Shi & Stan Hurn & Peter C B Phillips
2016 The State Level Impact of Uncertainty Shocks
by Haroon Mumtaz & Laura Sunder-Plassmann & Angeliki Theophilopoulou
2016 Bayesian Vector Autoregressions with Non-Gaussian Shocks
by Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter
2016 VAR Models with Non-Gaussian Shocks
by Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter
2016 Identifying Regression Parameters When Variables are Measured with Error
by Alicia Rambaldi & T. H. Y. Tran & Antonio Peyrache
2016 The cointegrated vector autoregressive model with general deterministic terms
by Søren Johansen & Morten Ørregaard Nielsen
2016 Interest rate pass-through: a nonlinear vector error-correction approach
by Michal Popiel
2016 Economic significance of commodity return forecasts from the fractionally cointegrated VAR model
by Sepideh Dolatabadi & Paresh Kumar Narayan & Morten Ørregaard Nielsen & Ke Xu
2016 A Matlab program and user's guide for the fractionally cointegrated VAR model
by Morten Ørregaard Nielsen & Michał Ksawery Popiel
2016 Simplified Spectral Analysis and Linear Filters for Analysis of Economic Time Series
by Supachoke Thawornkaiwong
2016 Differences of Opinion and Stock Market Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach
by Mehmet Balcilar & Riza Demirer & Rangan Gupta & Mark E. Wohar
2016 Forecasting US GNP Growth: The Role of Uncertainty
by Mawuli Segnon & Rangan Gupta & Stelios Bekiros & Mark E. Wohar
2016 Analysis of Herding in REITs of an Emerging Market: The Case of Turkey
by Omokolade Akinsomi & Yener Coskun & Rangan Gupta
2016 Economic Policy Uncertainty and Stock Market Returns in Pacific-Rim Countries: Evidence based on a Bayesian Panel VAR Model
by Christina Christou & Juncal Cunado & Rangan Gupta & Christis Hassapis
2016 Impact of US Uncertainties on Emerging and Mature Markets: Evidence from a Quantile-Vector Autoregressive Approach
by Helena Chuliá & Rangan Gupta & Jorge M. Uribe & Mark E. Wohar
2016 Time-Varying Persistence of Inflation: Evidence from a Wavelet-Based Approach
by Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller
2016 The Links between Crude Oil Prices and GCC Stock Markets: Evidence from Time-Varying Granger Causality Tests
by Mehmet Balcilar & İsmail H. Genç & Rangan Gupta
2016 Effectiveness of Monetary Policy in the Euro Area: The Role of US Economic Policy Uncertainty
by Mehmet Balcilar & Riza Demirer & Rangan Gupta & Reneé van Eyden
2016 The Relationship between Commodity Markets and Commodity Mutual Funds: A Wavelet-Based Analysis
by Nikolaos Antonakakis & Tsangyao Chang & Juncal Cunado & Rangan Gupta
2016 Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations
by Mehmet Balcilar & Riza Demirer & Rangan Gupta
2016 Time-Varying Correlations between Inflation and Stock Prices in the United States over the Last Two Centuries
by Nikolaos Antonakakis & Rangan Gupta & Aviral K. Tiwari
2016 Modeling Business Cycle Fluctuations through Markov Switching VAR:An Application to Iran
by Moradi, Alireza
2016 Analysis of the relationship between Oil price, Exchange rate and Stock market in Nigeria
by Raheem, Aremu Idowu & Ayodeji, Musa Adebiyi
2016 Financial Market Dynamics: Superdiffusive or not?
by Devi, Sandhya
2016 Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility
by Escribano, Alvaro & Sucarrat, Genaro
2016 On Perishability and Vertical Price Transmission: empirical evidences from Italy
by Santeramo, Fabio Gaetano & von Cramon-Taubadel, Stephan
2016 The Economics of State Fragmentation: Assessing the Economic Impact of Secession - Addendum
by Reynaerts, Jo & Vanschoonbeek, Jakob
2016 Everything you always wanted to know about bitcoin modelling but were afraid to ask
by Fantazzini, Dean & Nigmatullin, Erik & Sukhanovskaya, Vera & Ivliev, Sergey
2016 Testing for Non-Fundamentalness
by Hamidi Sahneh, Mehdi
2016 Does Export Product Quality Matter for CO2 Emissions? Evidence from China
by Gozgor, Giray & Can, Muhlis
2016 Do Combination Forecasts Outperform the Historical Average? Economic and Statistical Evidence
by Thomadakis, Apostolos
2016 Real Output and Oil Price Uncertainty: Evidence from an Oil Producing Country
by Njindan Iyke, Bernard
2016 Foreign exchange risk premia: from traditional to state-space analyses
by Nakmai, Siwat
2016 Экономическая Точка Бифуркации Для Украинского Олигархического Государства В Контексте Модели Стационарного Бандита
by Konchyn, Vadym & Horban, Yuliia
2016 Do data revisions matter for DSGE estimation?
by Givens, Gregory
2016 Dynamic Relationships among CO2 Emissions, Energy Consumption, Economic Growth, and Economic Complexity in France
by Can, Muhlis & Gozgor, Giray
2016 Are Monetary Policy Disturbances Important in Ghana? Some Evidence from Agnostic Identification
by Njindan Iyke, Bernard
2016 How to decode Unemployment Persistence: An econometric framework for identifying and comparing the sources of persistence
by Møller, Niels Framroze
2016 Export Product Diversification and the Environmental Kuznets Curve: Evidence from Turkey
by Gozgor, Giray & Can, Muhlis
2016 Does military spending nonlinearly affect economic growth in South Africa?
by Phiri, Andrew
2016 Combustible renewables and waste consumption, agriculture, CO2 emissions and economic growth in Brazil
by Ben Jebli, Mehdi & Ben Youssef, Slim
2016 The Economics of State Fragmentation - Assessing the Economic Impact of Secession
by Reynaerts, Jo & Vanschoonbeek, Jakob
2016 Causality between Bank’s major activities and Economic Growth: Evidences from Pakistan
by Mushtaq, Saba
2016 Models of Financial Return With Time-Varying Zero Probability
by Sucarrat, Genaro & Grønneberg, Steffen
2016 The universal banking feedback effet : U.S. and Canada evidence
by Christian Calmès & Raymond Théoret
2016 Policy of energy poverty alleviation and quality of life in Poland
by Michal Litwinski
2016 Evaluating Multi-Step System Forecasts with Relatively Few Forecast-Error Observations
by David Hendry & Andrew B. Martinez
2016 The effect of locally hired teachers on school outcomes (the Dose response function estimation evidence from Kenya)
by Ayako Wakano
2016 Unconventional US Monetary Policy: New Tools Same Channels?
by Martin Feldkircher & Florian Huber
2016 Term Structure of Uncertainty in the Macroeconomy
by Jaroslav Borovička & Lars Peter Hansen
2016 Returns to Education: The Causal Effects of Education on Earnings, Health and Smoking
by James J. Heckman & John Eric Humphries & Gregory Veramendi
2016 Macroeconomic Regimes and Regime Shifts
by James D. Hamilton
2016 Solution and Estimation Methods for DSGE Models
by Jesús Fernández-Villaverde & Juan F. Rubio Ramírez & Frank Schorfheide
2016 Persistent Liquidity
by Giulia Ghiani & Max Gillman & Michal Kejak
2016 Grouped functional time series forecasting: An application to age-specific mortality rates
by Han Lin Shang & Rob J Hyndman
2016 CEstimation of Structural Breaks in Large Panels with Cross-Sectional Dependence
by Jiti Gao & Guangming Pan & Yanrong Yang
2016 CLT for Largest Eigenvalues and Unit Root Tests for High-Dimensional Nonstationary Time Series
by Bo Zhang & Guangming Pan & Jiti Gao
2016 VAR Information and the Empirical Validation of DSGE Models
by Mario Forni & Luca Gambetti & Luca Sala
2016 The impact of credit supply shocks and a new FCI based on a FAVAR approach
by Zsuzsanna Hosszú
2016 Dalle motivazioni alla soddisfazione: come i turisti russi giudicano l'Italia
by Giovanni, Tonini
2016 PIIGS in the Euro Area. An Empirical DSGE Model
by Alice, Albonico & Alessia, Paccagnini & Patrizio, Tirelli
2016 Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area
by Claudio, Morana
2016 In search of the Euro Area Fiscal Stance
by Alice, Albonico & Alessia, Paccagnini & Patrizio, Tirelli
2016 Are Banking Shocks Contagious? Evidence from the Eurozone
by Thomas Flavin & Dolores Lagoa-Varela
2016 Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions
by Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker
2016 Loan supply shocks in Macedonia: a Bayesian SVAR approach with sign restrictions
by Rilind Kabashi & Katerina Suleva
2016 Assessment of the Impact of Fiscal Policy on the Current Account – the Twin Deficit Hypothesis in the Case of Macedonian Economy
by Vesna Stojcevska & Mite Miteski
2016 A Term Structure of Interest Rates Model with Zero Lower Bound and the European Central Bank's Non-standard Monetary Policy Measures
by Viktors Ajevskis
2016 Monetary policy transmission: the case of Lithuania
by Julius Stakenas & Rasa Stasiukynaite
2016 Modeling changes in U.S. monetary policy
by Anh Nguyen & Efthymios Pavlidis & David Alan Peel
2016 The impact of monetary strategies on inflation persistence
by Evzen Kocenda & Balazs Varga
2016 The cointegrated vector autoregressive model with general deterministic terms
by Søren Johansen & Morten Ørregaard Nielsen
2016 From bond yield to macroeconomic instability: The effect of negative interest rates
by Maria Cristina Recchioni & Gabriele Tedeschi
2016 Co-movements between Public and Private Wages in the EU: Which Factors Play a Role?
by Marzinotto, Benedicta & Turrini, Alessandro
2016 Returns to Education: The Causal Effects of Education on Earnings, Health and Smoking
by Heckman, James J. & Humphries, John Eric & Veramendi, Gregory
2016 Education, Cognitive Ability and Cause-Specific Mortality: A Structural Approach
by Bijwaard, Govert & Myrskylä, Mikko & Tynelius, Per & Rasmussen, Finn
2016 On the Boundaries of the Shadow Economy: An Empirical Investigation
by Manes, Eran & Schneider, Friedrich & Tchetchik, Anat
2016 Time-varying Volatility, Financial Intermediation and Monetary Policy
by S. Eickmeier & N. Metiu & Esteban Prieto
2016 Economic Growth and Public and Private Investment Returns
by António Afonso & Miguel St. Aubyn
2016 Assessing Causality and Delay within a Frequency Band
by Jörg Breitung & Sven Schreiber
2016 The Intraday Market Liquidity of Japanese Government Bond Futures
by Naoshi Tsuchida & Toshiaki Watanabe & Toshinao Yoshiba
2016 Designing a Simple Loss Function for the Fed: Does the Dual Mandate Make Sense?
by Davide Debortoli & Jinill Kim & Jesper Linde & Ricardo Nunes
2016 Identifying macroeconomic effects of refugee migration to Germany
by Weber, Enzo & Weigand, Roland
2016 Forecasting Limit Order Book Liquidity Supply-Demand Curves with Functional AutoRegressive Dynamics
by Ying Chen & Wolfgang K. Härdle & Wee Song Chua
2016 Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions
by Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker &
2016 Uncertainty and Employment Dynamics in the Euro Area and the US
by Aleksei Netsunajev & Katharina Glass & &
2016 Returns to Education: The Causal Effects of Education on Earnings, Health and Smoking
by James J. Heckman & John Eric Humphries & Gregory Veramendi
2016 Impulse Response Matching Estimators for DSGE Models
by GUERRON-QUINTANA, Pablo & INOUE, Atsushi & KILIAN, Lutz
2016 Estimation and filtering of nonlinear MS-DSGE models
by Sergey Ivashchenko
2016 Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets
by Green, Rikard & Larsson, Karl & Lunina, Veronika & Nilsson, Birger
2016 Animal Spirits, the Stock Market, and the Unemployment Rate: Some Evidence for German Data
by Ulrich Fritsche & Christian Pierdzioch
2016 Persistence in Convergence: Some further results
by Thanasis Stengos & Ege Yazgan & Huran Ozkan
2016 Detecting Convergence Clubs
by Fuat C. Beylunioglu & Thanasis Stengos & Ege Yazgan
2016 Bayesian Compressed Vector Autoregressions
by Gary Koop & Dimitris Korobilis & Davide Pettenuzzo
2016 The impact of unconventional monetary policy on the sovereign bank nexus within and across EU countries. A time-varying conditional correlation analysis
by Giulio Cifarelli & Giovanna Paladino
2016 Copula--based Specification of vector MEMs
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo
2016 Term structures of inflation expectations and real interest rates
by Aruoba, S. Boragan
2016 A narrative approach to a fiscal DSGE model
by Drautzburg, Thorsten
2016 Forecasting Economic Activity with Mixed Frequency Bayesian VARs
by Brave, Scott & Butters, R. Andrew & Justiniano, Alejandro
2016 Oil Price Elasticities and Oil Price Fluctuations
by Caldara, Dario & Cavallo, Michele & Iacoviello, Matteo
2016 Measuring the Natural Rate of Interest : International Trends and Determinants
by Holston, Kathryn & Laubach, Thomas & Williams, John C.
2016 A New Approach to Identifying the Real Effects of Uncertainty Shocks
by Shin, Minchul & Zhong, Molin
2016 A Time Series Model of Interest Rates With the Effective Lower Bound
by Johannsen, Benjamin K. & Mertens, Elmar
2016 Oil prices and the global economy: is it different this time around?
by Mohaddes, Kamiar & Pesaran, M. Hashem
2016 China’s slowdown and global financial market volatility: is world growth losing out?
by Cashin, Paul & Mohaddes, Kamiar & Raissi, Mehdi
2016 The U.S. oil supply revolution and the global economy
by Mohaddes, Kamiar & Raissi, Mehdi
2016 Proxy SVARs: Asymptotic Theory, Bootstrap Inference, and the Effects of Income Tax Changes in the United States
by Lunsford, Kurt Graden & Jentsch, Carsen
2016 Monetary Policy, Residential Investment, and Search Frictions: An Empirical and Theoretical Synthesis
by Lunsford, Kurt Graden
2016 Forecasts of inflation and interest rates in no-arbitrage affine models
by Gospodinov, Nikolay & Wei, Bin
2016 Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area
by Claudio Morana
2016 Understanding Dynamic Conditional Correlations between Commodities Futures Markets
by Niaz Bashiri Behmiri & Matteo Manera & Marcella Nicolini
2016 Macroeconomic regimes, technological shocks and employment dynamics
by Tommaso Ferraresi & Andrea Roventini & Willi Semmler
2016 Does speculation in the oil market drive investor herding in net exporting nations?
by Mehmet Balcilar & Riza Demirer & Talat Ulussever
2016 Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture
by Chang, C-L. & Liu, C-P. & McAleer, M.J.
2016 Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn
by Chang, C-L. & McAleer, M.J. & Wang, Y-A.
2016 How are VIX and Stock Index ETF Related?
by Chang, C-L. & Hsieh, T-L. & McAleer, M.J.
2016 Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?
by Caporin, M. & Chang, C-L. & McAleer, M.J.
2016 China’s slowdown and global financial market volatility: Is world growth losing out?
by Paul Cashin & Kamiar Mohaddes & Mehdi Raissi
2016 Oil prices and the global economy: Is it different this time around?
by Kamiar Mohaddes & M. Hashem Pesaran
2016 The US oil supply revolution and the global economy
by Kamiar Mohaddes & Mehdi Raissi
2016 Time-varying volatility, financial intermediation and monetary policy
by Sandra Eickmeier & Norbert Metiu & Esteban Prieto
2016 Commodity prices and fiscal policy design: Procyclical despite a rule
by Hilde C. Bjornland & Leif Anders Thorsrud
2016 Has foreign growth contributed to stagnation and inequality in Japan?
by Kazuki Tomioka & Rod Tyers
2016 Increasing Trends in the Excess Comovement of Commodity Prices
by Kazuhiko Ohashi & Tatsuyoshi Okimoto
2016 Identifying Shocks in Structural VAR models via heteroskedasticity: a Bayesian approach
by Dmitry Kulikov & Aleksei Netšunajev
2016 Measuring financial cycles with a model-based filter: Empirical evidence for the United States and the euro area
by Gabriele Galati & Irma Hindrayanto & Siem Jan Koopman & Marente Vlekke
2016 Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets
by Christoph Große Steffen & Maximilian Podstawski
2016 On the Exposure of the BRIC Countries to Global Economic Shocks
by Ansgar Belke & Christian Dreger & Irina Dubova
2016 Equity Fund Flows and Stock Market Returns in the US Before and After the Global Financial Crisis: A VAR-GARCH-In-Mean Analysis
by Vassilios Babalos & Guglielmo Maria Caporale & Nicola Spagnolo
2016 Crimea and Punishment: The Impact of Sanctions on Russian and European Economies
by Konstantin A. Kholodilin & Aleksei Netsunajev
2016 Calculating Joint Confidence Bands for Impulse Response Functions Using Highest Density Regions
by Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker
2016 Assessing Identifying Restrictions in SVAR Models
by Michele Piffer
2016 Exchange Rates and Macro News in Emerging Markets
by Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo
2016 The Bank Lending Channel in a Dual Banking System: Evidence from Malaysia
by Guglielmo Maria Caporale & Abdurrahman Nazif Catik & Mohamad Husam Helmi & Faek Menla Ali & Mohammad Tajik
2016 The State Dependent Impact of Bank Exposure on Sovereign Risk
by Maximilian Podstawski & Anton Velinov
2016 Identifying Uncertainty Shocks Using the Price of Gold
by Michele Piffer & Maximilian Podstawski
2016 Macro News and Exchange Rates in the BRICS
by Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo
2016 Islamic Banking, Credit and Economic Growth: Some Empirical Evidence
by Guglielmo Maria Caporale & Mohamad Husam Helmi
2016 Identifying Priorities in Infrastructure Investment in Portugal
by Alfredo Marvão Pereira & Rui M. Pereira
2016 Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model
by Xiaohong Chen & Oliver Linton & Stefan Schneeberger & Yanping Yi
2016 Methods for Nonparametric and Semiparametric Regressions with Endogeneity: a Gentle Guide
by Xiaohong Chen & Yin Jia Qiu
2016 Measuring and Explaining Cross-Country Immigration Policies
by Glenn Rayp & Ilse Ruyssen & Samuel Standaert
2016 Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility
by Sucarrat, Genaro & Escribano, Álvaro
2016 Committing to Fiscal Policy: The Influence of the U.S. President on Consumer Confidence and Output
by Philipp Adämmer & T. Philipp Dybowski
2016 A new measure to quantify the effects of U.S. tax policy news
by J. Nikolaj Dybowski & T. Philipp Dybowski
2016 Are small scale VARs useful for business cycle analysis? Revisiting Non-Fundamentalness
by Canova, Fabio & Hamidi Sahneh, Mehdi
2016 Credit Supply Shocks in the Netherlands
by Adam Elbourne & Fabio Duchi
2016 Efectos de los cambios de la tasa de interés de Estados Unidos sobre Colombia, Perú y Chile
by Carlos Fernando Daza Moreno & Jorge Mario Uribe
2016 Productividad total de los factores: Una aplicación VEC nacional y sectorial al caso colombiano (1965-2013)
by Cristina Navarro Pérez & Carlos Arturo Cáceres
2016 Iterated Multi-Step Forecasting with Model Coefficients Changing Across Iterations
by Michal Franta
2016 Testing for News and Noise in Non-Stationary Time Series Subject to Multiple Historical Revisions
by Alain Hecq & Jan P. A. M. Jacobs & Michalis P. Stamatogiannis
2016 Prévision de l’activité économique au Québec
by Maxime Leroux & Rachidi Kotchoni & Dalibor Stevanovic
2016 Do Uncertainty Shocks Always Matter for Business Cycles?
by Stéphane Lhuissier & Fabien Tripier
2016 The Macroeconomic Shock with the Highest Price of Risk
by Gabor Pinter
2016 VAR Models with Non-Gaussian Shocks
by Ching-Wai Chiu & Haroon Mumtaz & Gabor Pinter
2016 Oil Prices and the Global Economy: Is it Different this Time Around?
by Kamiar Mohaddes & M. Hashem Pesaran
2016 Equity Fund Flows and Stock Market Returns in the US before and after the Global Financial Crisis: A VAR-GARCH-in-mean Analysis
by Vassilios Babalos & Guglielmo Maria Caporale & Nicola Spagnolo
2016 Real-Time State Space Method for Computing Smoothed Estimates of Future Revisions of U.S. Monthly Chained CPI
by Peter A. Zadrozny
2016 Extended Yule-Walker Identification of Varma Models with Single- or Mixed-Frequency Data
by Peter A. Zadrozny
2016 Exchange Rates and Macro News in Emerging Markets
by Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo
2016 The Bank Lending Channel in a Dual Banking System: Evidence from Malaysia
by Guglielmo Maria Caporale & Abdurrahman Nazif Catik & Mohamad Husam Helmi & Faek Menla Ali & Mohammad Tajik
2016 Macro News and Exchange Rates in the BRICS
by Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo
2016 Joint Confidence Sets for Structural Impulse Responses
by Atsushi Inoue & Lutz Kilian
2016 Impulse Response Matching Estimators for DSGE Models
by Pablo Guerron-Quintana & Atsushi Inoue & Lutz Kilian
2016 Modelling the Egyptian Shadow Economy: A Currency Demand and A MIMIC Model Approach
by Mai Hassan & Friedrich Schneider
2016 Islamic Banking, Credit and Economic Growth: Some Empirical Evidence
by Guglielmo Maria Caporale & Mohamad Husam Helmi
2016 Comparing different data descriptors in Indirect Inference tests on DSGE models
by Minford, Patrick & Wickens, Michael & Xu, Yongdeng
2016 Contagion in International Stock and Currency Markets During Recent Crisis Episodes
by Pami Dua & Divya Tuteja
2016 A Time Series Paradox: Unit Root Tests Perform Poorly When Data Are Cointegrated
by W. Robert Reed & Aaron Smith
2016 Univariate Unit Root Tests Perform Poorly When Data Are Cointegrated
by W. Robert Reed
2016 Oil Prices and the Global Economy: Is It Different This Time Around?
by Kamiar Mohaddes & M. Hashem Pesaran
2016 China’s Slowdown and Global Financial Market Volatility: Is World Growth Losing Out?
by Paul Cashin & Kamiar Mohaddes & Mehdi Raissi
2016 The U.S. Oil Supply Revolution and the Global Economy
by Kamiar Mohaddes & Mehdi Raissi
2016 Bayesian Compressed Vector Autoregressions
by Davide Pettenuzzo & Gary Koop & Dimitris Korobilis
2016 Bayesian Compressed Vector Autoregressions
by Davide Pettenuzzo & Gary Koop & Dimitris Korobilis
2016 Generalized State-Dependent Models: A Multivariate Approach
by S. Heravi & J. Easaw & R. Golinelli
2016 A New Index of Uncertainty Based on Internet Searches: A Friend or Foe of Other Indicators?
by M. E. Bontempi & R. Golinelli & M. Squadrani
2016 Macroeconomic forecasting and structural changes in steady states
by Dimitrios P. Louzis
2016 The diffusion and dynamics of producer prices, deflationary pressure across Asian countries, and the role of China
by Chen, Hongyi & Funke, Michael & Tsang, Andrew
2016 Financial market volatility, macroeconomic fundamentals and investor sentiment
by Chiu, Ching-Wai (Jeremy) & Harris, Richard & Stoja, Evarist & Chin, Michael
2016 Tracking the slowdown in long-run GDP growth
by Antolin-Diaz, Juan & Drechsel, Thomas & Petrella, Ivan
2016 Output gaps, inflation and financial cycles in the United Kingdom
by Melolinna, Marko & Tóth, Máté
2016 Detecting imbalances in house prices: What goes up must come down?
by André K. Anundsen
2016 The Linear Systems Approach to Linear Rational Expectations Models
by Majid M. Al-Sadoon
2016 Testing Subspace Granger Causality
by Majid M. Al-Sadoon
2016 In Search of the Transmission Mechanism of Fiscal Policy in the Euro Area
by P. Fève & J.-G. Sahuc
2016 Carry trades and exchange rate volatility: a TVAR approach
by Alessio Anzuini & Francesca Brusa
2016 Spillovers of the ECB's non-standard monetary policy into CESEE economies
by Alessio Ciarlone & Andrea Colabella
2016 Determinants of the movements in the euro-dollar exchange rate during the sovereign debt crisis
by Alessio Anzuini & Martina Cecioni & Stefano Neri
2016 What Are the Macroeconomic Effects of High-Frequency Uncertainty Shocks
by Laurent Ferrara & Pierre Guérin
2016 Los efectos de la flexibilidad salarial sobre el crecimiento y el empleo
by Rafael Domenech & Juan Ramon Garcia & Camilo Ulloa
2016 The Financial Stability Dark Side of Monetary Policy
by Piergiorgio Alessandri & Antonio M. Conti & Fabrizio Venditti
2016 Asymmetric Exchange Rate Pass-through: Evidence from Nonlinear SVARs
by Fernando J. Pérez Forero & Marco Vega
2016 Measures of variance for smoothed disturbances in linear state-space models: a clarification
by Allin Cottrell & Riccardo (Jack) Lucchetti & Matteo Pelagatti
2016 Public debt and economic growth: An empirical evaluation
by MarÃa del Carmen Ramos-Herrera & Simón Sosvilla-Rivero
2016 Improving on daily measures of price discovery
by Gustavo Fruet Dias & Marcelo Fernandes & Cristina M. Scherrer
2016 The cointegrated vector autoregressive model with general deterministic terms
by Søren Johansen & Morten Ørregaard Nielsen
2016 Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions
by Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg
2016 Volatility Discovery
by Gustavo Fruet Dias & Cristina M. Scherrer & Fotis Papailias
2016 Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression
by Markku Lanne & Jani Luoto
2016 Dynamic Global Currency Hedging
by Bent Jesper Christensen & Rasmus T. Varneskov
2016 System Estimation of Panel Data Models under Long-Range Dependence
by Yunus Emre Ergemen
2016 Fixed-b Inference in the Presence of Time-Varying Volatility
by Matei Demetrescu & Christoph Hanck & Robinson Kruse
2016 Pass-through of crude oil prices at different stages in Turkey
by Fatih Akcelik & Fethi Ogunc
2016 Military expenditures and economic growth: allowing structural breaks in time series analysis in the case of India and Pakistan
by Abdul Jalil & Hafiz Khuram Nadeem Abbasi & Nazia Bibi
2016 The influence of negative response style on survey-based household inflation expectations
by Piotr Białowolski
2016 Impact of Payment Technology on Seasonality of Currency in Circulation: Evidence from the USA and India
by Kaushik Bhattacharya & Sunny Kumar Singh
2016 The day-of-the-week effect is weak: Evidence from the European real estate sector
by Georgios Bampinas & Stilianos Fountas & Theodore Panagiotidis
2016 Is the United States in the middle of a healthcare bubble?
by Wen-Yi Chen & Yia-Wun Liang & Yu-Hui Lin
2016 On the volatility transmission between oil and stock markets: a comparison of emerging importers and exporters
by Elie Bouri & Riza Demirer
2016 Empirical identification of factor models
by Piyachart Phiromswad & Takeshi Yagihashi
2016 Linear and nonlinear comovement in Southeast Asian local currency bond markets: a stepwise multiple testing approach
by Takashi Matsuki
2016 The role of house price in the US business cycle
by Jan R. Kim & Keunsuk Chung
2016 Crude oil and world stock markets: volatility spillovers, dynamic correlations, and hedging
by Yudong Wang & Li Liu
2016 Tourism and growth in Lebanon: new evidence from bootstrap simulation and rolling causality approaches
by Chor Foon Tang & Salah Abosedra
2016 The effects of domestic and international news and volatility on integration of Chinese stock markets with international stock markets
by Mehmet Fatih Öztek & Nadir Öcal
2016 Effects of US policy uncertainty on Swedish GDP growth
by Pär Stockhammar & Pär Österholm
2016 Fiscal and monetary policy effects in three South Eastern European economies
by Goran Petrevski & Jane Bogoev & Dragan Tevdovski
2016 Business cycles, international trade and capital flows: evidence from Latin America
by Guglielmo Maria Caporale & Alessandro Girardi
2016 Domestic and international information linkages between NSE Nifty spot and futures markets: an empirical study for India
by Sanjay Sehgal & Mala Dutt
2016 External Factors in Debt Sustainability Analysis: An Application to Latin America?
by Gustavo Adler & Sebastian Sosa
2016 The contribution of education to economic growth: Evidence from Nepal
by A. Z. Nowak & Gangadhar Dahal
2016 Effects of macroeconomic policy shock on the labour market dynamics in Australia
by Mukti Nath Subedi
2016 On the relationship between sovereign bonds and credit default swaps in Portugal
by Jorge M. Andraz & Cristina M. Viegas & Nélia M. Norte
2016 Impact of Openness and Economic Freedom on Economic Growth in the Transition Economies of the European Union
by Yilmaz Bayar
2016 Do Bangladesh and Sri Lanka Enjoy Export-Led Growth? A Comparison of Two Small South Asian Economies
by Muhammad Shafiullah & Ravinthirakumaran Navaratnam
2016 An Analysis of Real Oil Prices and Real Exchange Rates in Five African Countries
by Abubakar Lawan Ngoma & Normaz Wana Ismail & Zulkornain Yusop
2016 Employment Dynamics by Gender in Pennsylvania since the Great Recession
by Yaya Sissoko & Brian W. Sloboda
2016 A Panel Regression Analysis Of Human Capital Relevance In Selected Scandinavian And Se European Countries
by Kokotovic, Filip
2016 Granger Causality between Inflation and Inflation Uncertainty in Iran: A MSVAR Approach
by Farzinvash , Asadollah & Elaahi , Naaser & Kiaalhosseini , Seyed Ziaoddin & Haashemi Dizaj , Abdorrahim
2016 Examining the Persistence of Real Exchange Rate Misalignment in Iran
by Tehranchian, Amir Mansoor & Balounejad Nouri, Roozbeh
2016 Clubs de convergencia regional en México: un análisis a través de un modelo no lineal de un solo factor
by Rodríguez Benavides, Domingo & López Herrera, Francisco & Mendoza González, Miguel Ángel
2016 Causality between Oil Price and South Africa's Food Price: Time Varying Approach - Relazione di causalità tra prezzo del petrolio e pr ezzo dei prodotti alimentari in Sud Africa: un approccio time varying
by AYE, GOODNESS C.
2016 The Nonparametric Relationship between Oil and South African Agricultural Prices - La relazione nonparametrica tra il prezzo del petrolio e i prezzi dei prodotti agricoli in Sud Africa
by Ajmi, Ahdi N. & Gupta, Rangan & Kruger, Monique & Schoeman, Nicola & Walters, Leoné
2016 Can debt ceiling and government shutdown predict us real stock returns? A bootstrap rolling window approach. - Gli effetti sui rendimenti azionari reali negli USA del tetto del debito pubblico e del blocco della spesa
by AYE, GOODNESS C. & BALCILAR, MEHMET & EL MONTASSER, GHASSEN & GUPTA, RANGAN & MANJEZ, NANGAMSO C.
2016 Economic Determinants of Consumer Inflation in Turkey: ARDL Analysis
by Sürekçi Yamaçlı, Dilek & Saatçi, Mustafa
2016 Bank Failure Prediction Model for Zimbabwe
by Victor Gumbo & Simba Zoromedza
2016 The Wage-Price Setting Behavior: Comparing The Evidence from EU28 and EMU
by Adriatik Hoxha
2016 Relationships between Trading Volume, Stock Returns and Volatility: Evidence from the French Stock Market
by Anthony Miloudi & Mondher Bouattour & Ramzi Benkraiem
2016 Changing Dynamic Relationships between Stock and Bond Markets in Crises: Evidence of a Flight to Quality
by Wafa Kammoun Masmoudi
2016 Forecasting the Polish Inflation Using Bayesian VAR Models with Seasonality
by Damian Stelmasiak & Grzegorz Szafrański
2016 Priepustnosť menových kurzov nových členských krajín Európskej unie
by Rajmund Mirdala & Júlia Ďurčová
2016 Effect of Foreign Trade on Real Wages: Case of Turkey
by Hacer Simay Karaalp-Orhan & Orhan Sevcan Günes
2016 Prediction of Emission Allowances Spot Prices Volatility with the Use of GARCH Models
by Daniela Spiesova
2016 The influence of sovereign bond yields on bank lending rates: the pass-through in Europe
by Markus Eller & Thomas Reininger
2016 Weathering global shocks and macrofinancial vulnerabilities in emerging Europe: Comparing Turkey and Poland
by Markus Eller & Florian Huber & Helene Schuberth
2016 The Impact of Macroeconomic Uncertainty on Activity in the Euro Area
by Gieseck Arne & Largent Yannis
2016 The Oil Price and Exchange Rate Relationship Revisited: A time-varying VAR parameter approach
by Vincent Brémond & Emmanuel Hache & Tovonony Razafindrabe
2016 Pair-Wise Approach to Test the Regional Convergence Hypothesis in Mexico
by Domingo Rodríguez-Benavides & José Carlos Trejo García & Miguel Ángel Mendoza González
2016 Causality between Monetary Expansion and the Price Level in India since 1950s – A Re-Examination
by Ritwik Mazumder & Sanjib Debnath
2016 Indirect impacts of oil prices on economic growth in Colombia
by Sergio González & Edwin Hernández
2016 Financial Stress Indicator Variables and Monetary Policy in South Africa
by Leroi RAPUTSOANE
2016 Disaggregated Credit Extension and Financial Distress in South Africa
by Leroi RAPUTSOANE
2016 Population Growth and Economic Growth Performance in Nigeria (1981 – 2014)
by Ettah Bassey ESSIEN
2016 Modelling the Egyptian Shadow Economy: A MIMIC model and A Currency Demand approach
by Mai HASSAN & Friedrich SCHNEIDER
2016 A limitáras ajánlatok szerkezete és dinamikája a Budapesti Értéktőzsdén. Az OTP- és a Mol-részvények esete
by Havran, Dániel & Váradi, Kata
2016 Az olajár gyengülő makrogazdasági hatásai. Két versengő elmélet szintézise
by Uliha, Gábor
2016 The day the index rose 11 %: a clinical study on price discovery reversal
by Christoph Schmidhammer & Sebastian Lobe & Klaus Röder
2016 Real Exchange Rate Forecasting and PPP: This Time the Random Walk Loses
by Michele Ca’ Zorzi & Jakub Muck & Michal Rubaszek
2016 Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test
by Mehmet Balcilar & Rangan Gupta & Clement Kyei & Mark E. Wohar
2016 The Spillover Effect of Euro Area on Central and Southeastern European Economies: A Global VAR Approach
by Jan Hájek & Roman Horváth
2016 Are the Responses of the U.S. Economy Asymmetric to Positive and Negative Money Supply Shocks?
by Apostolos Serletis & Khandokar Istiak
2016 Testing Macro Models by Indirect Inference: A Survey for Users
by Vo Phuong Mai Le & David Meenagh & Patrick Minford & Michael Wickens & Yongdeng Xu
2016 Evolution of the Monetary Transmission Mechanism in the US: the Role of Asset Returns
by Beatrice D. Simo-Kengne & Stephen M. Miller & Rangan Gupta & Mehmet Balcilar
2016 Stationarity and Long Range Dependence of Carbon Dioxide Emissions: Evidence for Disaggregated Data
by Carlos Pestana Barros & Luis A. Gil-Alana & Fernando Perez de Gracia
2016 Persistency of Turkish export shocks: a quantile autoregression (QAR) approach
by M. Hakan Berument & N. Nergiz Dincer & Pinar Yasar
2016 “New” monetary policy instruments and exchange rate volatility
by Cüneyt Akar & Serkan Çiçek
2016 Dynamic Comovements Between Housing and Oil Markets in the US over 1859 to 2013: a Note
by Nikolaos Antonakakis & Rangan Gupta & John W. Muteba Mwamba
2016 Commodity Spread Option with Cointegration
by Katsushi Nakajima & Kazuhiko Ohashi
2016 Monetary, Real Shocks And Exchange Rate Variations In India
by BISWAJIT MAITRA
2016 Exchange rate volatility and manufacturing trade: Evidence from Africa
by V Polodoo & B Seetanah & R. V Sannassee
2016 Exchange rate volatility and manufacturing trade: Evidence from Africa
by V Polodoo & B Seetanah & Sannassee R. V
2016 Energy Use, Gross Domestic Production, and CO2 Emissions in Pakistan
by Zeeshan Arshad & Jazba Akbar & Amina Shareef & Yasmeen Samia
2016 Loan Supply Shocks in Macedonia: A Bayesian SVAR Approach with Sign Restrictions
by Rilind Kabashi & Katerina Suleva
2016 Testing For Linearity In Regressions With I(1) Processes
by ARAI, YOICHI
2016 Dinero e inflación en Bolivia en los albores del siglo XXI
by Luis fernando Escobar Caba
2016 Rol de la política cambiaria en el sector externo:la condición Marshall-Lerner en Bolivia
by Roger Alejandro Banegas-Rivero
2016 Credit Spreads and the Links between the Financial and Real Sectors in a Small Open Economy: The Case of the Czech Republic
by Tomas Konecny & Oxana Babecka-Kucharcukova
2016 Estrategias dinámicas de cobertura cruzada eficiente para el mercado del petróleo mexicano: Evidencia de dos modelos GARCH multivariados con término de corrección de error
by Raúl De Jesús Gutiérrez.
2016 Macroeconomic effects of household debt: an empirical analysis
by Yun K. Kim
2016 Urban population and economic growth: South Asia perspective
by Sandip Sarker & Arifuzzaman Khan & Mehdad Mamur Mannan
2016 Modelling the joint dynamics of oil prices and investor fear gauge
by Ji, Qiang & Fan, Ying
2016 Spikes and crashes in the oil market
by Aboura, Sofiane & Chevallier, Julien
2016 Socially responsible investing and Islamic funds: New perspectives for portfolio allocation
by Charfeddine, Lanouar & Najah, Ahlem & Teulon, Frédéric
2016 Return and volatility interdependences in up and down markets across developed and emerging countries
by Kundu, Srikanta & Sarkar, Nityananda
2016 Global financial crisis and emerging stock market contagion: A volatility impulse response function approach
by Jin, Xiaoye & An, Ximeng
2016 Can stochastic discount factor models explain the cross-section of equity returns?
by Abhakorn, Pongrapeeporn & Smith, Peter N. & Wickens, Michael R.
2016 The overconfident trading behavior of individual versus institutional investors
by Liu, Hsiang-Hsi & Chuang, Wen-I & Huang, Jih-Jeng & Chen, Yu-Hao
2016 Time-varying mark-up and the ECB monetary policy transmission in a highly non linear framework
by Cifarelli, Giulio & Paladino, Giovanna
2016 Is the refining margin stationary?
by Población, Javier & Serna, Gregorio
2016 Does the value of US dollar matter with the price of oil and gold? A dynamic analysis from time–frequency space
by Lin, Fu-Lai & Chen, Yu-Fen & Yang, Sheng-Yung
2016 Linkages between financial sector CDS spreads and macroeconomic influence in a nonlinear setting
by Lahiani, Amine & Hammoudeh, Shawkat & Gupta, Rangan
2016 Stock and currency market linkages: New evidence from realized spillovers in higher moments
by Do, Hung Xuan & Brooks, Robert & Treepongkaruna, Sirimon & Wu, Eliza
2016 The dynamics of electricity demand in Pakistan: A panel cointegration analysis
by Khan, Muhammad Arshad & Abbas, Faisal
2016 Macroeconomic effects of a decline in housing prices in Sweden
by Gustafsson, Peter & Stockhammar, Pär & Österholm, Pär
2016 Multivariate trend function testing with mixed stationary and integrated disturbances
by Xu, Ke-Li
2016 An evaluation of ECB policy in the Euro's big four
by Olson, Eric & Wohar, Mark E.
2016 Excess liquidity and the money market in the euro area
by Beaupain, Renaud & Durré, Alain
2016 Common trends in global volatility
by Clements, A.E. & Hurn, A.S. & Volkov, V.V.
2016 Macroeconomic consequences of the real-financial nexus: Imbalances and spillovers between China and the U.S
by Pang, Ke & Siklos, Pierre L.
2016 State-dependent exchange rate pass-through behavior
by Donayre, Luiggi & Panovska, Irina
2016 The macroeconomic effects of oil price shocks: Evidence from a statistical identification approach
by Herwartz, Helmut & Plödt, Martin
2016 Systemic risk and the macroeconomy: An empirical evaluation
by Giglio, Stefano & Kelly, Bryan & Pruitt, Seth
2016 Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳s Securities Markets Programme
by Eser, Fabian & Schwaab, Bernd
2016 Asymmetric cost pass-through? Empirical evidence on the role of market power, search and menu costs
by Loy, Jens-Peter & Weiss, Christoph R. & Glauben, Thomas
2016 Explosive bubbles in house prices? Evidence from the OECD countries
by Engsted, Tom & Hviid, Simon J. & Pedersen, Thomas Q.
2016 The interactive relationship between the US economic policy uncertainty and BRIC stock markets
by Dakhlaoui, Imen & Aloui, Chaker
2016 Government spending shocks in open economy VARs
by Forni, Mario & Gambetti, Luca
2016 Islamic finance and economic growth: The Malaysian experience
by Kassim, Salina
2016 Intra-day realized volatility for European and USA stock indices
by Degiannakis, Stavros & Floros, Christos
2016 Do speculative traders anticipate or follow USD/EUR exchange rate movements? New evidence on the efficiency of the EUR currency futures market
by Hossfeld, Oliver & Röthig, Andreas
2016 A test of the adaptive market hypothesis using a time-varying AR model in Japan
by Noda, Akihiko
2016 Interest parity, cointegration, and the term structure: Testing in an integrated framework
by Georgoutsos, Dimitris A. & Kouretas, Georgios P.
2016 Oil market modelling: A comparative analysis of fundamental and latent factor approaches
by Cummins, Mark & Dowling, Michael & Kearney, Fearghal
2016 Macro news and stock returns in the Euro area: A VAR-GARCH-in-mean analysis
by Caporale, Guglielmo Maria & Spagnolo, Fabio & Spagnolo, Nicola
2016 Dynamic interdependencies among the housing market, stock market, policy uncertainty and the macroeconomy in the United Kingdom
by Antonakakis, Nikolaos & Floros, Christos
2016 Impact of speculation and economic uncertainty on commodity markets
by Andreasson, Pierre & Bekiros, Stelios & Nguyen, Duc Khuong & Uddin, Gazi Salah
2016 Contemporaneous interactions among fuel, biofuel and agricultural commodities
by Fernandez-Perez, Adrian & Frijns, Bart & Tourani-Rad, Alireza
2016 Marcellus Shale and structural breaks in oil and gas markets: The case of Pennsylvania
by Potts, Todd B. & Yerger, David B.
2016 Impacts of OPEC's political risk on the international crude oil prices: An empirical analysis based on the SVAR models
by Chen, Hao & Liao, Hua & Tang, Bao-Jun & Wei, Yi-Ming
2016 Co-movement of major energy, agricultural, and food commodity price returns: A time-series assessment
by Nicola, Francesca de & De Pace, Pierangelo & Hernandez, Manuel A.
2016 Fossil fuel price uncertainty and feedstock edible oil prices: Evidence from MGARCH-M and VIRF analysis
by Hasanov, Akram Shavkatovich & Do, Hung Xuan & Shaiban, Mohammed Sharaf
2016 An empirical analysis of the relationship between oil prices and the Chinese macro-economy
by Wei, Yanfeng & Guo, Xiaoying
2016 Estimating and forecasting the real prices of crude oil: A data rich model using a dynamic model averaging (DMA) approach
by Naser, Hanan
2016 The relationships between petroleum and stock returns: An asymmetric dynamic equi-correlation approach
by Pan, Zhiyuan & Wang, Yudong & Liu, Li
2016 Does the S&P500 index lead the crude oil dynamics? A complexity-based approach
by Kyrtsou, Catherine & Mikropoulou, Christina & Papana, Angeliki
2016 Crude oil prices and sectoral stock returns in Jordan around the Arab uprisings of 2010
by Bouri, Elie & Awartani, Basel & Maghyereh, Aktham
2016 Estimating dynamics of US demand for major fossil fuels
by Miljkovic, Dragan & Dalbec, Nathan & Zhang, Lei
2016 Another perspective on gasoline price responses to crude oil price changes
by Rahman, Sajjadur
2016 Volatility and a century of energy markets dynamics
by Serletis, Apostolos & Xu, Libo
2016 Asymmetric fuel price responses under heterogeneity
by Balaguer, Jacint & Ripollés, Jordi
2016 Volatility linkages between energy and agricultural commodity prices
by López Cabrera, Brenda & Schulz, Franziska
2016 Risk spillovers across the energy and carbon markets and hedging strategies for carbon risk
by Balcılar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat & Nguyen, Duc Khuong
2016 Linking the gas and oil markets with the stock market: Investigating the U.S. relationship
by Gatfaoui, Hayette
2016 Modelling futures price volatility in energy markets: Is there a role for financial speculation?
by Manera, Matteo & Nicolini, Marcella & Vignati, Ilaria
2016 The exact discretisation of CARMA models with applications in finance
by Thornton, Michael A. & Chambers, Marcus J.
2016 A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets
by Dolatabadi, Sepideh & Nielsen, Morten Ørregaard & Xu, Ke
2016 Testing against changing correlation
by Harvey, Andrew & Thiele, Stephen
2016 Dynamic conditional correlation multiplicative error processes
by Bodnar, Taras & Hautsch, Nikolaus
2016 Testing financial markets convergence in Central and Eastern Europe: A non-linear single factor model
by Niţoi, Mihai & Pochea, Maria Miruna
2016 Generalized Yule–Walker estimation for spatio-temporal models with unknown diagonal coefficients
by Dou, Baojun & Parrella, Maria Lucia & Yao, Qiwei
2016 Semiparametric dynamic portfolio choice with multiple conditioning variables
by Chen, Jia & Li, Degui & Linton, Oliver & Lu, Zudi
2016 Extended Yule–Walker identification of VARMA models with single- or mixed-frequency data
by Zadrozny, Peter A.
2016 Testing for Granger causality in large mixed-frequency VARs
by Götz, Thomas B. & Hecq, Alain & Smeekes, Stephan
2016 Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
by Blasques, F. & Koopman, S.J. & Mallee, M. & Zhang, Z.
2016 The estimation of continuous time models with mixed frequency data
by Chambers, Marcus J.
2016 High-dimensional copula-based distributions with mixed frequency data
by Oh, Dong Hwan & Patton, Andrew J.
2016 Monetary, fiscal and oil shocks: Evidence based on mixed frequency structural FAVARs
by Marcellino, Massimiliano & Sivec, Vasja
2016 A MIDAS approach to modeling first and second moment dynamics
by Pettenuzzo, Davide & Timmermann, Allan & Valkanov, Rossen
2016 Goodness-of-fit test for specification of semiparametric copula dependence models
by Zhang, Shulin & Okhrin, Ostap & Zhou, Qian M. & Song, Peter X.-K.
2016 A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
by Ikeda, Shin S.
2016 Gaussian mixture vector autoregression
by Kalliovirta, Leena & Meitz, Mika & Saikkonen, Pentti
2016 Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
by Harris, David & Leybourne, Stephen J. & Taylor, A.M. Robert
2016 Joint confidence sets for structural impulse responses
by Inoue, Atsushi & Kilian, Lutz
2016 Striated Metropolis–Hastings sampler for high-dimensional models
by Waggoner, Daniel F. & Wu, Hongwei & Zha, Tao
2016 Large Bayesian VARMAs
by Chan, Joshua C.C. & Eisenstat, Eric & Koop, Gary
2016 Inference on co-integration parameters in heteroskedastic vector autoregressions
by Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert
2016 Root-T consistent density estimation in GARCH models
by Delaigle, Aurore & Meister, Alexander & Rombouts, Jeroen
2016 Nonstationarity in time series of state densities
by Chang, Yoosoon & Kim, Chang Sik & Park, Joon Y.
2016 Real-time nowcasting of nominal GDP with structural breaks
by Barnett, William A. & Chauvet, Marcelle & Leiva-Leon, Danilo
2016 Dynamic treatment effects
by Heckman, James J. & Humphries, John Eric & Veramendi, Gregory
2016 Inference in VARs with conditional heteroskedasticity of unknown form
by Brüggemann, Ralf & Jentsch, Carsten & Trenkler, Carsten
2016 Long memory affine term structure models
by Goliński, Adam & Zaffaroni, Paolo
2016 Patent propensity, R&D and market competition: Dynamic spillovers of innovation leaders and followers
by Blazsek, Szabolcs & Escribano, Alvaro
2016 Methods for measuring expectations and uncertainty in Markov-switching models
by Bianchi, Francesco
2016 Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank
by Hallin, Marc & van den Akker, Ramon & Werker, Bas J.M.
2016 A unit root test against globally stationary ESTAR models when local condition is non-stationary
by Hu, Junjuan & Chen, Zhenlong
2016 A note on the Cogley–Nason–Sims approach
by Hussain, Syed M. & Liu, Lin
2016 Detecting unemployment hysteresis: A simultaneous unobserved components model with Markov switching
by Klinger, Sabine & Weber, Enzo
2016 A topological view on the identification of structural vector autoregressions
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2016 Mean lag in general error correction models
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2016 The Effect of Credit and Market Risk on Bank Performance: Evidence from Turkey
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2016 Diferencias salariales por género en el departamento de Santander - Colombia
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2016 Foreign Direct Investments And Their Non-Traditional Quality Factors. A Var Analysis In Romania And Bulgaria
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2015 Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test
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2015 Predicting South African Equity Premium using Domestic and Global Economic Policy Uncertainty Indices: Evidence from a Bayesian Graphical Model
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2015 Does Uncertainty Move the Gold Price? New Evidence from a Nonparametric Causality-in-Quantiles Test
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2015 Forecasting Oil and Stock Returns with a Qual VAR using over 150 Years of Data
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2015 The Role of Domestic and Global Economic Policy Uncertainties in Predicting Stock Returns and their Volatility for Hong Kong, Malaysia and South Korea: Evidence from a Nonparametric Causality-in-Quantiles Approach
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2015 Forecasting Key US Macroeconomic Variables with a Factor-Augmented Qual VAR
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2015 The Impact of Economic Policy Uncertainty on US Real Housing Returns and their Volatility: A Nonparametric Approach
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2015 Dynamic Comovements between Housing and Oil Markets in the US over 1859 to 2013: A Note
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2015 Predictability of Sustainable Investments and the Role of Uncertainty: Evidence from a Non-Parametric Causality-in-Quantiles Test
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2015 Predicting Stock Returns and Volatility with Investor Sentiment Indices: A Reconsideration using a Nonparametric Causality-in-Quantiles Test
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2015 Persistence, Mean-Reversion and Non-Linearities in Infant Mortality Rates
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2015 South African Stock Returns Predictability using Domestic and Global Economic Policy Uncertainty: Evidence from a Nonparametric Causality-in-Quantiles Approach
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2015 Are Health Care Expenditures and Personal Disposable Income Characterised by Asymmetric Behaviour? Evidence from US State-Level Data
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2015 Predicting Global Temperature Anomaly: A Definitive Investigation Using an Ensemble of Twelve Competing Forecasting Models
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2015 The Role of Economic Policy Uncertainty in Predicting U.S. Recessions: A Mixed-Frequency Markov-Switching Vector Autoregressive Approach
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2015 Forecasting Inflation in an Inflation Targeting Economy: Structural Versus Non-Structural Models
by Rangan Gupta
2015 Forecasting Core Inflation: The Case of South Africa
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2015 A Nonlinear Approach for Predicting Stock Returns and Volatility with the Use of Investor Sentiment Indices
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2015 The Relationship between Healthcare expenditures and Disposable Personal Income in the US States: A Fractional Integration and Cointegration Analysis
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2015 The Role of Oil Prices in the Forecasts of South African Interest Rates: A Bayesian Approach
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2015 International Stock Return Predictability: Is the Role of U.S. Time-Varying?
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2015 The Role of News-Based Uncertainty Indices in Predicting Oil Markets: A Hybrid Nonparametric Quantile Causality Method
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2015 Dynamic Spillovers in the United States: Stock Market, Housing, Uncertainty and the Macroeconomy
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2015 Seasonality and Fractional Integration in the Sea Level Rise and Surface Temperature Data along the Barrier Coast of Nigeria
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2015 The Time-Series Linkages between US Fiscal Policy and Asset Prices
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2015 Oil Price Forecastability and Economic Uncertainty
by Stelios Bekiros & Rangan Gupta & Alessia Paccagnini
2015 Comparing the Forecasting Ability of Financial Conditions Indices: The Case of South Africa
by Mehmet Balcilar & Rangan Gupta & Renee van Eyden & Kirsten Thompson & Anandamayee Majumdar
2015 The Macroeconomic Effects of Uncertainty Shocks in India
by Lumengo Bonga-Bonga & Rangan Gupta & Charl Jooste
2015 Causality and Contagion in EMU Sovereign Bonds Revisited: Novel Evidence from Nonlinear Causality Tests
by Vassilios Babalos & Clement Kyei & Evangelos I. Poutos
2015 Dynamic Co-movements between Economic Policy Uncertainty and Housing Market Returns
by Nikolaos Antonakakis & Rangan Gupta & Christophe Andre
2015 On Economic Uncertainty, Stock Market Predictability and Nonlinear Spillover Effects
by Stelios Bekiros & Rangan Gupta & Clement Kyei
2015 Predicting Stock Returns and Volatility Using Consumption-Aggregate Wealth Ratios: A Nonlinear Approach
by Stelios Bekiros & Rangan Gupta
2015 The Feldstein-Horioka Puzzle in South Africa: A Fractional Cointegration Approach
by Luis A Gil-Alana & Christophe André & Rangan Gupta & Tsangyao Chang & Omid Ranjbar
2015 Time-Varying Causality between Oil and Commodity Prices in the Presence of Structural Breaks and Nonlinearity - Causalità time-varying tra petrolio e prezzi delle materie prime in presenza di break strutturali e di non-linearità
by Gupta, Rangan & Kean, Gbeada Josiane Seu Epse & Tsebe, Mpho Asnath & Tsoanamatsie, Nthabiseng & Sato, João Ricardo
2015 Does the Price of Oil Help Predict Inflation in South Africa? Historical Evidence Using a Frequency Domain Approach. - Il prezzo del petrolio predice l’inflazione in Sud Africa? Evidenza storica attraverso l’utilizzo di un approccio basato sulla frequenza
by Gupta, Rangan & Kanda, Patrick T.
2015 Causal Link between Oil Price and Uncertainty in India - Relazione di causalità tra prezzo del petrolio e incertezza in India
by El Montasser, Ghassen & Aggad, Kenza & Clark, Louise & Gupta, Rangan & Kemp, Shannon
2015 The Macroeconomic Effects of Uncertainty Shocks in India - Gli effetti macroeconomici degli shock di incertezza in India
by Bonga-Bonga, Lumengo & Gupta, Rangan & Jooste, Charl
2015 An Analysis of Regional Export Patterns: The Case of Calabria in Southern Italy - Un’analisi dei modelli di esportazione regionale: il caso della Calabria
by Algieri, Bernardina
2015 Country Risk: A Theoretical and Empirical Analysis with Special Reference to Northern African Economies - Il rischio paese: un’analisi teorica e empirica con particolare riferimento ai paesi del Nord Africa
by Chopra, Parvesh K.
2015 The Relationship of GDP, Unemployment Rate and Employment: In-depth Analysis of Okun’s Law for Russia
by E. Vakulenko & E. Gurvich.
2015 Assessing the Monetary Policy Stance in Turkey Using the Natural Interest Rate
by Vuslat US
2015 Tek Değişkenli Filtrelerle Türkiye İçin Kredi Açığı Tahmini ve Kestirimi
by K. Batu TUNAY
2015 An asymmetric analysis of the Fuel price transmission mechanism in Turkey
by A. Nazif ÇATIK
2015 El papel de las posiciones netas de los especuladores en el proceso de formación de precios en un régimen de flotación. Evidencia de un modelo SVAR cointegrado para México
by Sánchez, Armando & Arenas, Guillermo & Villarespe, Verónica
2015 Market integration of wheat in Pakistan
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2015 Banks Net Interest Margin and the Level of Interest Rates
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2015 Estimating nonlinear effects of fiscal policy using quantile regression methods
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2015 A Shadow-Rate Term Structure Model for the Euro Area
by Lemke, Wolfgang & Vladu, Andreea
2015 Tests Of Non-Causality In A Frequency Band
by Schreiber, Sven & Breitung, Jörg
2015 Tracing the Role of Foresight on the Effects of U.S. Tax Policy: Evidence from a Time-Varying SVAR
by Dybowski, T. Philipp
2015 The interest rate pass-through in the euro area during the sovereign debt crisis
by von Borstel, Julia & Eickmeier, Sandra & Krippner, Leo
2015 Credit cycles and real activity - the Swiss case
by Scheufele, Rolf & Bäurle, Gregor
2015 Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility
by Hanck, Christoph & Demetrescu, Matei & Kruse, Robinson
2015 Theory for a Multivariate Markov--switching GARCH Model with an Application to Stock Markets
by Haas, Markus & Liu, Ji-Chun
2015 Fiscal Policy, Interest Rates, and Output: Equilibrium-Correction Dynamics in the US Economy
by Krolzig, Hans-Martin & Sserwanja, Isaac
2015 Cooperation and Trustworthiness in Repeated Interaction
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2015 Global Food Prices and Business Cycle Dynamics in an Emerging Market Economy
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2015 Euro money market trading during times of crisis
by Fecht, Falko & Reitz, Stefan
2015 Testing for unit roots with cointegrated data
by Reed, W. Robert
2015 A data-cleaning augmented Kalman filter for robust estimation of state space models
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2015 Bidirectional relationship between investor sentiment and excess returns: New evidence from the wavelet perspective
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2015 EuroMInd-D: A density estimate of monthly gross domestic product for the euro area
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2015 Cash holdings in Germany and the demand for "German" banknotes: What role for cashless payments?
by Bartzsch, Nikolaus & Seitz, Franz
2015 The output effects of commodity price volatility: Evidence from exporting countries
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2015 Time-scale analysis of sovereign bonds market co-movement in the EU
by Smolik, Filip & Vacha, Lukas
2015 Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data
by Avdulaj, Krenar & Barunik, Jozef
2015 The Swiss business cycle and the lead of small neighbor Liechtenstein
by Brunhart, Andreas
2015 Extended Yule-Walker identification of Varma models with single- or mixed frequency data
by Zadrozny, Peter A.
2015 Financial shocks and the real economy in a nonlinear world: From theory to estimation
by Silvestrini, Andrea & Zaghini, Andrea
2015 Testing for Granger causality in large mixed-frequency VARs
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2015 Do speculative traders anticipate or follow USD/EUR exchange rate movements? New evidence on the efficiency of the EUR currency futures market
by Hossfeld, Oliver & Röthig, Andreas
2015 The synchronization of European credit cycles
by Meller, Barbara & Metiu, Norbert
2015 Financial frictions and global spillovers
by Metiu, Norbert & Hilberg, Björn & Grill, Michael
2015 The size and determinants of fiscal multipliers in Western Balkans: comparing Croatia, Slovenia and Serbia
by Milan Deskar Škrbić & Hrvoje Šimović
2015 Djelovanje neizvjesnosti na bankarsko tržište u Republici Hrvatskoj
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2015 Comparing predictive accuracy in small samples
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2015 Autocorrelation robust inference using the Daniell kernel with fixed bandwidth
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2015 Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables
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2015 Housing Price in Urban China as Determined by Demand and Supply
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2015 Electric load forecasting with recency effect: A big data approach
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2015 A hybrid model for GEFCom2014 probabilistic electricity price forecasting
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2015 Improving short term load forecast accuracy via combining sister forecasts
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2015 Short- and mid-term forecasting of baseload electricity prices in the UK: The impact of intra-day price relationships and market fundamentals
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2015 Sister models for load forecast combination
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2015 Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts
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2015 Sources of Real Exchange Rate Fluctuations in New EU Member Countries
by Rajmund Mirdala
2015 Switching to Exchange Rate Flexibility? The Case of Central and Eastern European Inflation Targeters
by Andrej Drygalla
2015 An analysis of Okun?s law for the Spanish provinces
by Celia Melguizo
2015 Bivariate GARCH models for single asset returns
by Tomasz Skoczylas
2015 Bond Supply and Excess Bond Returns in Zero-Lower Bound and Normal Environments: Evidence from Japan
by Junko Koeda
2015 On Candlestick-based Trading Rules Profitability Analysis via Parametric Bootstraps and Multivariate Pair-Copula based Models
by Andreea Röthig & Andreas Röthig & Carl Chiarella
2015 Multivariate Dynamic Copula Models: Parameter Estimation and Forecast Evaluation
by Aepli, Matthias D. & Frauendorfer, Karl & Fuess, Roland & Paraschiv, Florentina
2015 Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models
by Fengler, Matthias R. & Herwartz, Helmut
2015 Testing subspace Granger causality
by Majid M. Al-Sadoon
2015 The econometric estimation of the effect of ruble exchange rate dynamics on economic activity
by Badasen Polina & Kartaev Philipp & Khazanov Alexey
2015 A Vector Heterogeneous Autoregressive Index model for realized volatility measures
by Cubadda G. & Guardabascio B. & Hecq A.W.
2015 Long memory through marginalization of large systems and hidden cross-section dependence
by Chevillon G. & Hecq A.W. & Laurent S.F.J.A.
2015 An examination of the relationship between biodiesel and soybean oil prices using an asset pricing model
by Miguel Carriquiry
2015 The long-run relationship between CO2 emissions and economic activity in a small open economy: Uruguay 1882 - 2010
by Matias Piaggio & Emilio Padilla & Carolina Roman
2015 Did Gender-Bias Matter in the Quantity- Quality Trade-off in the 19th Century France ?
by Claude Diebolt & Tapas Mishra & Faustine Perrin
2015 Trend Dominance in Macroeconomic Fluctuations
by Katsuyuki Shibayama
2015 Forecasting with Instabilities: an Application to DSGE Models with Financial Frictions
by Roberta Cardani & Alessia Paccagnini & Stefania Villa
2015 DSGE model-based forecasting of modelled and nonmodelled inflation variables in South Africa
by Rangan Gupta & Patrick T. Kanda & Mampho P. Modise & Alessia Paccagnini
2015 Oil price forecastability and economic uncertainty
by Stelios D. Bekiros & Rangan Gupta & Alessia Paccagnini
2015 Market Integration Dynamics and Asymptotic Price Convergence in Distribution
by Alfredo Garcia Hiernaux & David Esteban Guerrero Burbano & Michael McAleer
2015 Multivariate Volatility Impulse Response Analysis of GFC News Events
by David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh
2015 Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice
by Chia-Lin Chang & Yiying Li & Michael McAleer
2015 The Impact of Jumps and Leverage in Forecasting Co-Volatility
by Manabu Asai & Michael McAleer
2015 Business cycles and monetary regimes in the U.S. (1960 – 2014): A plea for monetary stability
by Cendejas Bueno, José Luis & Castañeda, Juan Enrique & Muñoz, Félix
2015 A contribution to the analysis of historical economic fluctuations (1870-2010): filtering, spurious cycles and unobserved component modelling
by Cendejas Bueno, José Luis & Muñoz, Félix & Fernández-de-Pinedo, Nadia
2015 The long-run relationshiop between C02 emissions and economic activity in a small open economy: Uruguay 1882-2010
by Matias Piaggio & Emilio Padilla & Carolina Roman
2015 The effects of government spending endogeneity on estimated multipliers in the US
by Moura, Alban
2015 Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models
by Hallin, M. & Werker, B.J.M. & van den Akker, R.
2015 Forecasting Value-at-Risk under Temporal and Portfolio Aggregation
by Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk
2015 Generalized Autoregressive Method of Moments
by Drew Creal & Siem Jan Koopman & André Lucas & Marcin Zamojski
2015 The Fundamental Equation in Tourism Finance
by Michael McAleer
2015 Multivariate Volatility Impulse Response Analysis of GFC News Events
by David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh
2015 Specification Testing in Hawkes Models
by Francine Gresnigt & Erik Kole & Philip Hans Franses
2015 Why do Pit-Hours outlive the Pit?
by Sait R. Ozturk & Michel van der Wel & Dick van Dijk
2015 Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice
by Chia-Lin Chang & Yiying Li & Michael McAleer
2015 Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model
by Siem Jan Koopman & Rutger Lit & Andre Lucas
2015 Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation
by Laurent Callot & Johannes Tang Kristensen
2015 Cyclicality in Losses on Bank Loans
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2015 Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions
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2015 Frontiers in Time Series and Financial Econometrics: An Overview
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2015 The Impact of Jumps and Leverage in Forecasting Co-Volatility
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2015 Mixed Density based Copula Likelihood
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2015 The Dynamic Relationship Between Stock, Bond and Foreign Exchange Markets
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2015 Interest Rate Surprises and Transmission Mechanism in Turkey: Evidence from Impulse Response Analysis
by K. Azim Ozdemir
2015 The macroeconomic effects of oil price shocks on ASEAN-5 economies
by Raghavan, Mala
2015 Changes in the Factor Structure of the U.S. Economy: Permanent Breaks or Business Cycle Regimes?
by Luke Hartigan
2015 The Changing Transmission Mechanism of U.S. Monetary Policy
by Norhana Endut & James Morley & Pao-Lin Tien
2015 Inventory Shocks and the Great Moderation
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2015 Inventory Shocks and the Great Moderation
by James Morley & Aarti Singh
2015 On a Bootstrap Test for Forecast Evaluations
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2015 Testing for normality with applications
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2015 Can consumer confidence provide independent information on consumption spending?
by Antonello D Agostino & Caterina Mendicino & Caterina Mendicino
2015 Modelling and forecasting rig rates on the Norwegian Continental Shelf
by Terje Skjerpen & Halvor Briseid Storrøsten & Knut Einar Rosendahl & Petter Osmundsen
2015 Real exchange rate persistence: The case of the Swiss franc-US dollar rate
by Katarina Juselius & Katrin Assenmacher-Wesche
2015 Fiscal Policy and Economic Growth - the Crisis Aftermath
by Ivan Todorov
2015 Exchange Rate Changes and Stock Returns in China: A Markov Switching SVAR Approach
by Juan Carlos Cuestas & Bo Tang
2015 Uncovered Interest Parity in Central and Eastern Europe: Sample, Expectations and Structural Breaks
by Juan Carlos Cuestas & Fabio Filipozzi & Karsten Staehr
2015 Towards Adopting Inflation Targeting in Emerging Markets: The (A)symmetric Transmission Mechanism in Jordan
by Noura Abu Asab & Juan Carlos Cuestas
2015 The Great Leveraging in the GIIPS Countries: Domestic Credit and Net Foreign Liabilities
by Juan Carlos Cuestas & Karsten Staehr
2015 New insights on the long-term relationship between sovereign bonds debt and credit default swaps in Portugal
by Jorge Andraz & Nélia Norte & Cristina Oliveira
2015 Volatilities of Investment in Human Capital on Iran’s Economic Growth: A Bound Testing approach and GARCH Mod
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2015 The Interaction Between Insurance Sector And Economic Growth: Turkish Case
by Hakki Ciftci & Erhan Iscan & Duygu Serin
2015 Portfolio Optimization of Global REITs Returns: High-Dimensional Copula-Based Approach
by ROENGCHAI TANSUCHAT
2015 A Comparative Study of Stock Price Forecasting using nonlinear models
by Lawrence Xaba & Ntebogang Moroke & Johnson Arkaah & Charlemagne Pooe
2015 Vector Autoregression Approach To The Relations Among Current Account, Real Exchange Rate And Growth In Turkey
by İbrahim Bakırtaş & Süleyman Koç
2015 Trade Linkages and Business Cycle Co-movement: An Empirical Analysis of Africa and its Main Trading Partners using Global VAR
by Emilie Chanceline Kinfack and Lumengo Bonga-Bonga
2015 Assessment of Monetary Union in SADC: Evidence from Cointegration and Panel Unit Root Tests
by Mulatu F Zerihun, Marthinus C Breitenbach and Francis Kemegue
2015 Financial Shocks And The Real Economy In A Nonlinear World: From Theory To Estimation
by Andrea Silvestrini & Andrea Zaghini
2015 Testing for time variation in an unobserved components model for the U.S. economy
by Tino Berger & Gerdie Everaert & Hauke Vierke
2015 Private Debt Overhang And The Government Spending Multiplier: Evidence For The United States
by Marco Bernardini & Gert Peersman
2015 Common Feature Analysis of Economic Time Series: An Overview and Recent Developments
by Marco Centoni & Gianluca Cubadda
2015 EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area
by Tommaso Proietti & Martyna Marczak & Gianluigi Mazzi
2015 Using Google Trend Data To Predict The Italian Unemployment Rate
by Alessia Naccarato & Andrea Pierini & Stefano Falorsi
2015 Foundations of the WVU Econometric Input-Output Model
by Randall Jackson & Juan Tomas Sayago-Gomez
2015 Analiza Datelor Statistice Prin Serii Fourier
by MATEESCU, GEORGE DANIEL
2015 Credit Channel of Monetary Policy Transmission in Russia
by Leontieva, E.A. & Perevyshin, Y.N.
2015 Oil Price Fluctuations and Oil Consuming Sectors: An Empirical Analysis of Japan
by Taghizadeh-Hesary, Farhad & Rasolinezhad, Ehsan & Kobayashi, Yoshikazu
2015 Nowcasting Indonesia
by Luciani, Matteo & Pundit, Madhavi & Ramayandi, Arief & Veronese , Giovanni
2015 Interrelation between Growth and Inequality
by Kang, Jong Woo
2015 Transmisión de Choques de Política Monetaria de Estados Unidos sobre América Latina: Un Enfoque GVAR
by Flores, Jairo
2015 Evaluando las Dinámicas de Precios en el Sector Inmobiliario: Evidencia para Perú
by Vílchez, Diego
2015 Asymmetric exchange rate pass-through: Evidence from Peru
by Pérez, Fernando & Vega, Marco
2015 Modelling the Australian Dollar
by Jonathan Hambur & Lynne Cockerell & Christopher Potter & Penelope Smith & Michelle Wright
2015 The Social Costs of Currency Counterfeiting
by Nathan Viles & Alexandra Rush & Thomas Rohling
2015 Testing constancy of unconditional variance in volatility models by misspecification and specification tests
by Annastiina Silvennoinen & Timo Terasvirta
2015 Change Detection and the Casual Impact of the Yield Curve
by Stan Hurn & Peter C B Phillips & Shuping Shi
2015 Effects of Monetary Policy Shocks on UK Regional Activity: A Constrained MFVAR Approach
by Zeyyad Mandalinci
2015 Global Economic Divergence and Portfolio Capital Flows to Emerging Markets
by Zeyyad Mandalinci & Haroon Mumtaz
2015 Common and Country Specific Economic Uncertainty
by Haroon Mumtaz & Konstantinos Theodoridis
2015 What do VARs Tell Us about the Impact of a Credit Supply Shock?
by Haroon Mumtaz & Gabor Pinter & Konstantinos Theodoridis
2015 Forecasting with VAR Models: Fat Tails and Stochastic Volatility
by Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter
2015 A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets
by Sepideh Dolatabadi & Morten Ørregaard Nielsen & Ke Xu
2015 Macroeconomic Forecasting Starting from Survey Nowcasts
by João Valle e Azevedo & Inês Gonçalves
2015 Causal Effects of the United States and Japan on Pacific-Rim Stock Markets: Nonparametric Quantile Causality Approach
by Mehmet Balcilar & Rangan Gupta & Duc K. Nguyen & Mark E. Wohar
2015 The Predictability of cay and cayMS for Stock and Housing Returns: A Nonparametric Causality in Quantile Test
by Mehmet Balcilar & Rangan Gupta & Ricardo M. Sousa & Mark E. Wohar
2015 The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk
by Giovanni Bonaccolto & Massimiliano Caporin & Rangan Gupta
2015 Assessment of Monetary Union in SADC: Evidence from Cointegration and Panel Unit Root Tests
by Mulatu F. Zehirun & Marthinus C. Breitenbach & Francis M. Kemegue
2015 Impact of China’s slowdown on the Global Economy: Modified GVAR Approach
by Dinda, Soumyananda
2015 Analysing correlation between the MSE index and global stock markets
by Ellul, Reuben
2015 Changes in the relationship between short-term interest rate, inflation and growth: Evidence from the UK, 1820-2014
by Bataa, Erdenebat & Wohar, Mark & Vivian, Andrew
2015 Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models
by Fengler, Matthias R. & Herwartz, Helmut
2015 Investments and uncertainty revisited: The case of the US economy
by Degiannakis, Stavros & Filis, George & Palaiodimos, George
2015 Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries
by Boldanov, Rustam & Degiannakis, Stavros & Filis, George
2015 Improving Markov switching models using realized variance
by Liu, Jia & Maheu, John M
2015 Determinants of Equilibrium Real Exchange Rate and its Misalignment in Kenya: A Behavioral Equilibrium Exchange Rate Approach
by Kiptui, Moses C. & Ndirangu, Lydia
2015 The regional pricing of risk: An empirical investigation of the MENA equity determinants
by Guesmi, Khaled & Kablan, Sandrine & Belgacem, Aymen
2015 Financial integration and Japanese stock market
by Guesmi, Khaled & Kablan, Sandrine
2015 The Impact of Non-oil Export on Domestic Investment in Nigeria
by Omojolaibi, Joseph & Mesagan, Ekundayo & Olaifa, Adeyemi
2015 Energy Demand, Substitution and a Potential for Electrification: An econometric analysis of eight Danish subsectors
by Møller, Niels Framroze
2015 Assessing the Effects of Housing Market Shocks on Output: The Case of South Africa
by Njindan Iyke, Bernard
2015 Decomposing Euro Area Sovereign Debt Yields into Inflation Expectations and Expected Real Interest Rates
by Mirdala, Rajmund
2015 Real Exchange Rates, Current Accounts and Competitiveness Issues in the Euro Area
by Mirdala, Rajmund
2015 Exchange Rate Pass-Through in the Euro Area
by Mirdala, Rajmund
2015 VARsignR: Estimating VARs using sign restrictions in R
by Danne, Christian
2015 Dynamic Connectedness of UK Regional Property Prices
by Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Floros, Christos
2015 The Timing and Responsiveness of Fiscal Policy over the Business Cycle in Germany
by Koester, Gerrit B. & Priesmeier, Christoph
2015 Role of Construction Sector in Economic Growth: New Evidence from Turkey
by Erol, Isil & Unal, Umut
2015 Chinese Divisia monetary index and GDP nowcasting
by Barnett, William A. & Tang, Biyan
2015 Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.
2015 Alternative measures of credit extension for countercyclical buffer decisions in South Africa
by Raputsoane, Leroi
2015 Tourism and economic growth revisited: Empirical evidence from a Panel VAR approach
by Antonakakis, Nikos & Dragouni, Mina & Eeckels, Bruno & Filis, George
2015 Tests for sphericity in multivariate garch models
by Francq, Christian & Jiménez Gamero, Maria Dolores & Meintanis, Simos
2015 Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns
by Francq, Christian & Sucarrat, Genaro
2015 Forecasting German Car Sales Using Google Data and Multivariate Models
by Fantazzini, Dean & Toktamysova, Zhamal
2015 L’impact de l’Enseignement Supérieur sur la Croissance Economique L'Impact de l'Enseignement Supérieur sur la Croissance Economique Cas de la Tunisie, le Maroc et la Corée du Sud
by Sbaouelgi, Jihène
2015 Are determinants of portfolio flows always the same? - South African results from a time varying parameter VAR model
by Kavli, Haakon & Viegi, Nicola
2015 Interdependence of Industrial Production Index and capital market in Croatia: VAR model
by Tomić, Bojan & Sesar, Andrijana
2015 An SVAR Approach to Evaluation of Monetary Policy in India: Solution to the Exchange Rate Puzzles in an Open Economy
by Barnett, William A. & Bhadury, Soumya & Ghosh, Taniya
2015 Inequality Constrained State Space Models
by Qian, Hang
2015 The multivariate Beveridge--Nelson decomposition with I(1) and I(2) series
by Murasawa, Yasutomo
2015 Non-Linearities in the relation between oil price, gold price and stock market returns in Iran: a multivariate regime-switching approach
by Mamipour, Siab & Vaezi Jezeie, Fereshteh
2015 Evaluating the effectiveness of Common-Factor Portfolios
by Carrasco Gutierrez, Carlos Enrique & Issler, João Victor
2015 Testing the Optimality of Consumption Decisions of the Representative Household: Evidence from Brazil
by Gesteira, Marcos & Carrasco Gutierrez, Carlos Enrique
2015 Real Time Monitoring of Carbon Monoxide Using Value-at-Risk Measure and Control Charting
by Bersimis, Sotirios & Degiannakis, Stavros & Georgakellos, Dimitrios
2015 Long-Run Equilibrium Shift and Short-Run Dynamics of U.S. Home Price Tiers during the Housing Bubble
by Damianov, Damian S & Escobari, Diego
2015 Return, shock and volatility co-movements between the bond markets of Turkey and developed countries
by Bayraci, Selcuk
2015 Causality and cointegration between export, import and economic growth: evidence from Morocco
by El Alaoui, Aicha
2015 Robustness in Foreign Exchange Rate Forecasting Models: Economics-based Modelling After the Financial Crisis
by Medel, Carlos & Camilleri, Gilmour & Hsu, Hsiang-Ling & Kania, Stefan & Touloumtzoglou, Miltiadis
2015 Are the shocks obtained from SVAR fundamental?
by Hamidi Sahneh, Mehdi
2015 The demand for euro banknotes in Germany: Structural modelling and forecasting
by Bartzsch, Nikolaus & Seitz, Franz & Setzer, Ralph
2015 The wage inflation-unemployment curve at the macroeconomic level
by Saglio, Sophie & lopez-villavicencio, antonia
2015 Does Financial Development Induce Economic Growth in UAE? The Role of Foreign Direct Investment and Capitalization
by SBIA, Rashid & Al Rousan, Sahel
2015 Volatility forecasting using global stochastic financial trends extracted from non-synchronous data
by Grigoryeva, Lyudmila & Ortega, Juan-Pablo & Peresetsky, Anatoly
2015 Re-visting the electricity-growth nexus in South Africa
by Phiri, Andrew & Bothwell, Nyoni
2015 Prior selection for panel vector autoregressions
by Korobilis, Dimitris
2015 Fiscal discretion, growth and output volatility in new EU member countries
by Stanova, Nadja
2015 Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty
by Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris
2015 Ölkə iqtisadiyyatı üzrə göstəricilərin modelləşdirilməsi və proqnozlaşdırılması: problemlər və praktiki çətinliklər
by Mehdiyev, Mehdi & Ahmadov, Vugar & Huseynov, Salman & Mammadov, Fuad
2015 Medical Tourism and Its Implication on Malaysia's Economic Growth
by Tang, Chor Foon
2015 Effects of fiscal shocks in new EU members estimated from a SVARX model with debt feedback
by Stanova, Nadja
2015 Predictability of the daily high and low of the S&P 500 index
by Jones, Clive
2015 Dynamic Co-movements between Economic Policy Uncertainty and Housing Market Returns
by Antonakakis, Nikolaos & Gupta, Rangan & Andre, Christophe
2015 Modeling the Impact of Policy Environment on Inflows of Worker’s Remittances in Pakistan: A Multivariate Analysis
by Jawad, Muhammad & Qayyum, Abdul
2015 Exchange Rate Determination and Out of Sample Forecasting: Cointegration Analysis
by Hina, Hafsa & Qayyum, Abdul
2015 Rice Price, Job Misery, Hunger Incidence: Need to Track Few More Statistical Indicators for the Poor
by Mapa, Dennis S. & Castillo, Kristelle & Francisco, Krizia
2015 Sources of Exchange Rate Fluctuations in Kenya: The Relative Importance of Real and Nominal Shocks
by Kiptui, Moses
2015 A ranking of VAR and structural models in forecasting
by Bentour, El Mostafa
2015 Price Discovery in the Dual-Platform US Treasury Market
by Sun, Zhuowei & Dunne, Peter G. & Li, Youwei
2015 Semi-strong informational efficiency in the Polish foreign exchange market
by Luksz Goczek
2015 Analiza powiazan pomiedzy rynkami kapitalowymi wybranych krajow grupy wyszehradzkiej
by Adam P. Balcerzak & Marcin Faldzinski & Michal Bernard Pietrzak & Tomas Meluzin & Marek Zineker
2015 News on State-Dependent Fiscal Multipliers: The role of Confidence
by Juan Manuel Figueres
2015 Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound
by Efrem Castelnuovo & Giovanni Caggiano & Giovanni Pellegrino
2015 The Long-Run Oil-Natural Gas Price Relationship And The Shale Gas Revolution
by Massimiliano Caporin & Fulvio Fontini
2015 Dynamic Principal Components: a New Class of Multivariate GARCH Models
by Gian Piero Aielli & Massimiliano Caporin
2015 Uncertainty And Monetary Policy In The US: A Journey Into Non-Linear Territory
by Giovanni Pellegrino
2015 News Shocks and Labor Market Dynamics in Matching Models
by Francesco Zanetti & Konstantinos Theodoridis
2015 is New Zealand's economy vulnerable to world oil market shocks?
by Mohammad Jaforullah & Alan King
2015 International tourism and economic growth in New Zealand
by Mohammad Jaforullah
2015 Physical versus economic depletion of a nonrenewable natural resource
by Rodríguez, Xosé A. & Arias, Carlos & Rodríguez-González, Ana
2015 Do inflation expectations propagate the inflationary impact of real oil price shocks?: Evidence from the Michigan survey
by Benjamin Wong
2015 Exchange Rate Dynamics and Monetary Unions in Africa: A Fractional Integration and Cointegration Analysis
by Luis Alberiko Gil-Alaña & Borja Balprad & Guglielmo Maria Caporale & Hector Carcel
2015 Spillovers between food and energy prices and structural breaks
by Guglielmo Maria Caporale & Alanoud Al-Maadid & Fabio Spagnolo & Nicola Spagnolo
2015 Targeting Debt and Deficits in India: A Structural Macroeconometric Approach
by Bhanumurthy, N.R. & Bose, Sukanya & Adhikari, Parma Devi
2015 Low-Frequency Econometrics
by Ulrich K. Müller & Mark W. Watson
2015 Leveraged Bubbles
by Òscar Jordà & Moritz Schularick & Alan M. Taylor
2015 The Pass-Through of RIN Prices to Wholesale and Retail Fuels under the Renewable Fuel Standard
by Christopher R. Knittel & Ben S. Meiselman & James H. Stock
2015 Rare Events, Financial Crises, and the Cross-Section of Asset Returns
by Francesco Bianchi
2015 Systemic Risk and the Macroeconomy: An Empirical Evaluation
by Stefano Giglio & Bryan T. Kelly & Seth Pruitt
2015 Central Bank Credibility: An Historical and Quantitative Exploration
by Michael D. Bordo & Pierre L. Siklos
2015 Whose inflation is it anyway? The inflation spillovers between the euro area and small open economies
by Aleksandra Hałka & Karol Szafranek
2015 Financialisation of the commodity markets. Conclusions from the VARX DCC GARCH
by Karol Szafranek
2015 On the integration of China's main stock exchange with the international financial market
by Zhenxi Chen & Jan F. Kiviet & Weihong Huang
2015 Forecasting hierarchical and grouped time series through trace minimization
by Shanika L Wickramasuriya & George Athanasopoulos & Rob J Hyndman
2015 A Simple Probabilistic Approach of the Yard-Sale Model
by Christophe Chorro
2015 The impact of randomness on the distribution of wealth: Some economic aspects of the Wright-Fisher diffusion process
by Nicolas Bouleau & Christophe Chorro
2015 The impact of randomness on the distribution of wealth: Some economic aspects of the Wright-Fisher diffusion process
by Nicolas Bouleau & Christophe Chorro
2015 Dating Business Cycle Turning Points for the French Economy: a MS-DFM approach
by Catherine Doz & Anna Petronevich
2015 Financial connectedness among European volatility risk premia
by Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli
2015 Economic Shocks and their Effects on Unemployment in the Euro Area Periphery under the EMU
by Pietro Dallari & Antonio Ribba
2015 What Drives US Inflation and Unemployment in the Long Run?
by Antonio Ribba
2015 La spesa pubblica in Italia: una crescita senza limiti?
by Barbara Pistoresi & Alberto Rinaldi & Francesco Salsano
2015 What Drives US Inflation and Unemployment in the Long Run?
by Antonio Ribba
2015 Economic Shocks and their Effects on Unemployment in the Euro Area Periphery under the EMU
by Pietro Dallari & Antonio Ribba
2015 On the identification of multivariate correlated unobserved components models
by Trenkler, Carsten & Weber, Enzo
2015 Forecasting VARs, model selection, and shrinkage
by Kascha, Christian & Trenkler, Carsten
2015 Exchange rate pass - through after the crisis: the Hungarian experience
by Mihály Hajnal & György Molnár & Judit Várhegyi
2015 Estimating Fiscal Multipliers:News From a Nonlinear World
by Giovanni Caggiano & Efrem Castelnuovo & Valentina Colombo & Gabriela Nodari
2015 Uncertainty Shocks and Unemployment Dynamics in U.S. Recessions
by Giovanni Caggiano & Efrem Castelnuovo & Nicolas Groshenny
2015 Granger-causal analysis of GARCH models: a Bayesian approach "Abstract: A multivariate GARCH model is used to investigate Granger causality in the conditional variance of time series. Parametric restrictions for the hypothesis of noncausality in conditional variances between two groups of variables, when there are other variables in the system as well, are derived. These novel conditions are convenient for the analysis of potentially large systems of economic variables. To evaluate hypotheses of noncausality, a Bayesian testing procedure is proposed. It avoids the singularity problem that may appear in theWald test and it relaxes the assumption of the existence of higher-order moments of the residuals required in classical tests. "
by Tomasz Wozniak
2015 Egyptian and Syrian commodity markets after the dissolution of the Ottoman Empire: a Bayesian structural VECM analysis
by Laura Panza & Tomasz Wozniak
2015 Egyptian and Syrian commodity markets after the dissolution of the Ottoman Empire: a Bayesian structural VECM analysis
by Laura Panza & Tomasz Wozniak
2015 Granger Causality and Regime Inference in Bayesian Markov-Switching VARs
by Matthieu Droumagueta & Anders Warneb & Tomasz Wozniakc
2015 Granger Causality and Regime Inference in Bayesian Markov-Switching VARs
by Matthieu Droumaguet & Anders Warne & Tomasz Wozniak
2015 Forecasting the Oil-Gasoline Price Relationship: Should We Care about the Rockets and the Feathers?
by Andrea BASTIANIN & Marzio GALEOTTI & Matteo MANERA
2015 The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries
by Andrea BASTIANIN & Francesca CONTI & Matteo MANERA
2015 Structure-Based SVAR Identification
by Emanuele BACCHIOCCHI & Riccardo "Jack" LUCCHETTI
2015 How Does Stock Market Volatility React to Oil Shocks?
by Andrea BASTIANIN & Matteo MANERA
2015 Modelli di previsione per l'aggiornamento di serie mensili del turismo russo in Italia
by Giovanni, Tonini
2015 Trend e stagionalità delle presenze turistiche russe in Italia
by Giovanni, Tonini
2015 Oil Price Forecastability and Economic Uncertainty
by Stelios Bekiros & Rangan Gupta & Alessia Paccagnini
2015 Forecasting in a DSGE Model with Banking Intermediation: Evidence from the US
by Roberta Cardani & Alessia Paccagnini & Stefania Villa
2015 Transmission of External Shocks in Assessing Debt Sustainability, the Case of Macedonia
by Danica Unevska-Andonova & Dijana Janevska-Stefanova
2015 Technological Progress, Investment Frictions and Business Cycle: New Insights from a Neoclassical Growth Model
by Michael Donadelli & Vahid Mojtahed & Antonio Paradiso
2015 The Predictive Content of Business Survey Indicators: evidence from SIGE
by Tiziana Cesaroni & Stefano Iezzi
2015 Suite of Latvia's GDP forecasting models
by Andrejs Bessonovs
2015 The Swiss Business Cycle and the Lead of Small Neighbor Liechtenstein
by Andreas Brunhart
2015 Global Perspective on Structural Labour Market Reforms in Europe
by Povilas Lastauskas & Julius Stakenas
2015 Backtesting Value-at-Risk: A Generalized Markov Framework
by Thor Pajhede
2015 Inference and testing on the boundary in extended constant conditional correlation GARCH models
by Rasmus Søndergaard Pedersen
2015 Data Revisions And The Statistical Relation Of Global Mean Sea-Level And Temperature
by Eric Hillebrand & Søren Johansen & Torben Schmith
2015 Nonstationary ARCH and GARCH with t-Distributed Innovations
by Rasmus Søndergaard Pedersen & Anders Rahbek
2015 Post-Malthusian Dynamics in Pre-Industrial Scandinavia
by Marc Klemp & Niels Framroze Møller
2015 Dynamics of Sectoral Business Cycle Comovement
by Anna Pauliina Sandqvist
2015 Macro and micro level impulse responses: A survey experimental identification procedure
by Dirk Drechsel & Heiner Mikosch & Samad Sarferaz & Matthias Bannert
2015 Housing Cycles in Switzerland – A Time-Varying Approach
by Dirk Drechsel
2015 Exchange Rate, Marginal q and Investment Behavior of Small and Medium-Sized Enterprises in Japan: Time Series Evidences of Manufacturing Industries
by Masafumi Kozuka
2015 How Connected is the Global Sovereign Credit Risk Network?
by Gorkem Bostanci & Kamil Yilmaz
2015 Estimating Global Bank Network Connectedness
by Mert Demirer & Francis X. Diebold & Laura Liu & Kamil Yilmaz
2015 Point and Density Forecasts Using an Unrestricted Mixed-Frequency VAR Model
by Fady Barsoum
2015 Economic Policy Uncertainty and Economic Activity: A Focus on Infrequent Structural Shifts
by Paraskevi Salamaliki
2015 Chinese Divisia Monetary Index and GDP Nowcasting
by William Barnett & Biyan Tang
2015 An SVAR Approach to Evaluation of Monetary Policy in India: Solution to the Exchange Rate Puzzles in an Open Economy
by William Barnett & Soumya Suvra Bhadury & Taniya Ghosh
2015 Global Food Prices and Business Cycle Dynamics in an Emerging Market Economy
by Oliver Holtemöller & S. Mallick
2015 Forecast Accuracy of Small and Large Scale Dynamic Factor Models in Developing Economies
by Germán López Espinosa
2015 Nonlinearity and cross-country dependence of income inequality
by Leena Kalliovirta & Tuomas Malinen
2015 Government expenditure in India: Composition, cyclicality and multipliers
by Ashima Goyal & Bhavyaa Sharma
2015 Reassessing exchange rate overshooting in a monetary framework
by Soumya Suvra Bhadury & Taniya Ghosh
2015 A SVAR approach to evaluation of monetary policy in India
by William A. Barnett & Soumya Suvra Bhadury & Taniya Ghosh
2015 Forward Guidance and Asset Prices
by Yıldız Akkaya & Refet S. Gürkaynak & Burçin Kısacıkoğlu & Jonathan H. Wright
2015 An investigation into multivariate variance ratio statistics and their application to stock market predictability
by Seok Young Hong & Oliver Linton & Hui Jun Zhang
2015 Estimation of stochastic volatility models by nonparametric filtering
by Shin Kanaya & Dennis Kristensen
2015 Semiparametric dynamic portfolio choice with multiple conditioning variables
by Jia Chen & Degui Li & Oliver Linton & Zudi Lu
2015 Measuring the Connectedness of the Global Economy
by Matthew Greenwood-Nimmo & Viet Hoang Nguyen
2015 Long-term unemployment and labor force participation : a decomposition of unemployment to test for the discouragement and added worker hypotheses
by Fuchs, Johann & Weber, Enzo
2015 Detecting unemployment hysteresis : a simultaneous unobserved components model with Markov switching
by Klinger, Sabine & Weber, Enzo
2015 Factor structural time series models for official statistics with an application to hours worked in Germany
by Weigand, Roland & Wanger, Susanne & Zapf, Ines
2015 On the Long-run Neutrality of Demand Shocks
by Wenjuan Chen & Aleksei Netsunajev & &
2015 Testing for Identification in SVAR-GARCH Models
by Helmut Luetkepohl & George Milunovich & &
2015 Change point and trend analyses of annual expectile curves of tropical storms
by P. Burdejova & W.K. Härdle & Kokoszka & Q.Xiong
2015 Is There an Asymmetric Impact of Housing on Output?
by Tsung-Hsien Michael Lee & Wenjuan Chen & &
2015 Measuring Connectedness of Euro Area Sovereign Risk
by Rebekka Gätjen & Melanie Schienle & &
2015 Structural Vector Autoregressions with Heteroskedasticy
by Helmut Lütkepohl & Aleksei Netšunajev & &
2015 Generalized Exogenous Processes in DSGE: A Bayesian Approach
by Alexander Meyer-Gohde & Daniel Neuhoff & &
2015 Estimation of NAIRU with Inflation Expectation Data
by Wei Cui & Wolfgang K. Härdle & Weining Wang &
2015 Stochastic Population Analysis: A Functional Data Approach
by Lei Fang & Wolfgang K. Härdle & &
2015 Term-Structure Modelling at the Zero Lower Bound: Implications for Estimating the Term Premium
by Tsz-Kin Chung & Cho-Hoi Hui & Ka-Fai Li
2015 Japanese Fiscal Policy under the Zero Lower Bound of Nominal Interest Rates: Time-Varying Parameters Vector Autoregression
by Morita, Hiroshi
2015 Mozambican Monetary Policy and the Yield Curve of Treasury Bills - An Empirical Study
by Machava, Agostinho & Brännäs, Kurt
2015 Modeling financial sector joint tail risk in the euro area
by Lucas, André & Schwaab, Bernd & Zhang, Xin
2015 Did US consumers `save for a rainy day' before the Great Recession?
by Anundsen, Andre K. & Nymoen, Ragnar
2015 Macroeconomic Effects of a Decline in Housing Prices in Sweden
by Gustafsson, Peter & Stockhammar, Pär & Österholm, Pär
2015 Did Gender-Bias Matter in the Quantity-Quality Trade-off in 19th Century France?
by Diebolt, Claude & Mishra, Tapas & Perrin, Faustine
2015 Filling the gap: open economy considerations for more reliable potential output estimates
by Zsolt Darvas & Andras Simon
2015 Price Impact and the Recovery of the Limit Order Book: Why Should We Care About Informed Liquidity Providers?
by Daniel Havran & Kata Varadi
2015 A Multivariate Test Against Spurious Long Memory
by Sibbertsen, Philipp & Leschinski, Christian & Holzhausen, Marie
2015 A State-Level Analysis of Okun's Law
by Amy Guisinger & Ruben Hernandez-Murillo & Michael Owyang & Tara Sinclair
2015 Uncertainty and Monetary Policy in the CAEMC zone
by NGNIADO NOGNOU Edwige
2015 Stock market interdependence between Australia and its trading partners: does trade intensity matter?
by Sudharshan Reddy Paramati & Rakesh Gupta & Eduardo Roca
2015 Is There a Trade-off between Exchange Rate and Interest Rate Volatility? Evidence from an M-GARCH Model
by António Portugal Duarte & João Sousa Andrade & Adelaide Duarte
2015 Correlated Defaults of UK Banks: Dynamics and Asymmetries
by Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao
2015 Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula
by Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao
2015 Co-Movement, Spillovers and Excess Returns in Global Bond Markets?
by Joseph P. Byrne & Shuo Cao & Dimitris Korobilis
2015 Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty
by Joseph P. Byrne & Shuo Cao. & Dimitris Korobilis.
2015 The Macroeconomic Pass-through Effects of Monetary Policy through Sign Restrictions Approach: In the Case of Albania
by Gerti Shijaku
2015 A State-Level Analysis of Okun's Law
by Guisinger, Amy Y. & Hernandez-Murillo, Ruben & Owyang, Michael T. & Sinclair, Tara M.
2015 Tests of Equal Accuracy for Nested Models with Estimated Factors
by Goncalves, Silvia & McCracken, Michael W. & Perron, Benoit
2015 Financial Stress and Equilibrium Dynamics in Money Markets
by Yoldas, Emre & Senyuz, Zeynep
2015 Forecasting with Sufficient Dimension Reductions
by Barbarino, Alessandro & Bura, Efstathia
2015 Nowcasting Business Cycles: a Bayesian Approach to Dynamic Heterogeneous Factor Models
by D'Agostino, Antonello & Giannone, Domenico & Lenza, Michele & Modugno, Michele
2015 Modelling Dependence in High Dimensions with Factor Copulas
by Oh, Dong Hwan & Patton, Andrew J.
2015 High-Dimensional Copula-Based Distributions with Mixed Frequency Data
by Oh, Dong Hwan & Patton, Andrew J.
2015 Estimating (Markov-Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach
by Bognanni, Mark & Herbst, Edward
2015 Leveraged bubbles
by Jorda, Oscar & Schularick, Moritz & Taylor, Alan M.
2015 Country-specific oil supply shocks and the global economy: a counterfactual analysis
by Mohaddes, Kamiar & Pesaran, M. Hashem
2015 Fair weather or foul? the macroeconomic effects of El Niño
by Cashin, Paul & Mohaddes, Kamiar & Raissi, Mehdi
2015 Real exchange rate forecasting and ppp: this time the random walk loses
by Ca'Zorzi, Michele & Muck, Jakub & Rubaszek, Michal
2015 Persistence Dependence in Empirical Relations: The Velocity of Money
by Ashley, Richard & Verbrugge, Randal
2015 Identifying Structural VARs with a Proxy Variable and a Test for a Weak Proxy
by Lunsford, Kurt Graden
2015 Clustered Housing Cycles
by Hernandez-Murillo, Ruben & Owyang, Michael T. & Rubio, Margarita
2015 A State-Level Analysis of Okun’s Law
by Guisinger, Amy Y. & Hernandez-Murillo, Ruben & Owyang, Michael T. & Sinclair, Tara M.
2015 A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations
by Chan, Joshua C C & Clark, Todd E. & Koop, Gary
2015 Designing a simple loss function for the Fed: does the dual mandate make sense?
by Debortoli, Davide & Kim, Jinill & Linde, Jesper & Nunes, Ricardo
2015 Multivariate return decomposition: theory and implications
by Anatolyev, Stanislav & Gospodinov, Nikolay
2015 Foreign exchange predictability during the financial crisis: implications for carry trade profitability
by Anatolyev, Stanislav & Gospodinov, Nikolay & Jamali, Ibrahim & Liu, Xiaochun
2015 The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries
by Andrea Bastianin & Francesca Conti & Matteo Manera
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2015 Ricardocu Maliye Politikası ve Fiyat Düzeyinin Mali Teorisi: Türkiye Örneği (1975-2014)
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2015 How Important Are Nominal Shocks For Real Exchange Rate Fluctuations? Evidence From Inflation Targeting Emerging Market Economies
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2015 Crude Oil Price Pass-Through to Domestic Prices in Turkey: Asymmetric Nonlinear ARDL Approach
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2015 Crude Oil Price Pass-Through to Domestic Prices in Turkey: Asymmetric Nonlinear ARDL Approach
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2015 Comparing Indirect Inference and Likelihood testing: asymptotic and small sample results
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2015 Airport Prices in a Two-Sided Market Setting: Major US Airports
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2015 Estimación de una función de consumo para la economía cubana en el período 1975- 2012
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2015 Fast Ml Estimation Of Dynamic Bifactor Models: An Application To European Inflation
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2015 Factor augmented autoregressive distributed lag models with macroeconomic applications
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2015 Oil currencies in the face of oil shocks: What can be learned from time-varying specifications?
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2015 Does the volatility of commodity prices reflect macroeconomic uncertainty?
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2015 Debt Stabilization and Debt Mutualization in a Monetary Union with Endogenous Risk Premia
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2015 Macro News and Commodity Returns
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2015 Linkages between the US and European Stock Markets: A Fractional Cointegration Approach
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2015 Leveraged Bubbles
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2015 On the Cyclicity of Regional House Prices: New Evidence for U.S. Metropolitan Statistical Areas
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2015 The Relationship between Healthcare Expenditure and Disposable Personal Income in the US States: A Fractional Integration and Cointegration Analysis
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2015 Country-Specific Oil Supply Shocks and the Global Economy: A Counterfactual Analysis
by Kamiar Mohaddes & M. Hashem Pesaran
2015 Did US Consumers 'Save for a Rainy Day' Before the Great Recession?
by André Kallåk Anundsen & Ragnar Nymoen
2015 Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility Models
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2015 Private Debt Overhang and the Government Spending Multiplier: Evidence for the United States
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2015 Spillovers between Food and Energy Prices and Structural Breaks
by Alanoud Al-Maadid & Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo
2015 Testing macro models by indirect inference: a survey for users
by Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael & Xu, Yongdeng
2015 Comparing Indirect Inference and Likelihood testing: asymptotic and small sample results
by Meenagh, David & Minford, Patrick & Wickens, Michael & Xu, Yongdeng
2015 Small sample performance of indirect inference on DSGE models
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2015 Testing For Unit Roots With Cointegrated Data
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2015 An investigation into Multivariate Variance Ratio Statistics and their application to Stock Market Predictability
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2015 Country-Specific Oil Supply Shocks and the Global Economy: A Counterfactual Analysis
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2015 A Composite Likelihood Framework for Analyzing Singular DSGE Models
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2015 Steady-state priors and Bayesian variable selection in VAR forecasting
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2015 Unconventional monetary policies and the macroeconomy: the impact of the United Kingdom's QE2 and Funding for Lending Scheme
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2015 Global liquidity, house prices and the macroeconomy: evidence from advanced and emerging economies
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2015 The Evolution of US Monetary Policy: 2000-2007
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2015 Delayed Overshooting Puzzle in Structural Vector Autoregression Models
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2015 Towards Recoupling? Assessing the Global Impact of a Chinese Hard Landing through Trade and Commodity Price Channels
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2015 On the Size of the Government Spending Multiplier in the Euro Area
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2015 Exchange Rate, Imports of Intermediate and Capital Goods and GDP Growth in Belarus
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2015 The Use of Monetary Aggregates as Indicators of the Future Evolution of Consumer Prices: Monetary Growth and Inflation Target
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2015 Money demand estimations in Mexico and of its stability 1986-2010, as well as some examples of its uses
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2015 The time varying effect of oil price shocks on euro-area exports
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2015 Understanding policy rates at the zero lower bound: insights from a Bayesian shadow rate model
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2015 Short term inflation forecasting: the M.E.T.A. approach
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2015 The macroeconomic effects of the sovereign debt crisis in the euro area
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2015 Financial shocks and the real economy in a nonlinear world: a survey of the theoretical and empirical literature
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2015 Fast ML estimation of dynamic bifactor models: an application to European inflation
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2015 The interest rate sensitivity of Luxembourg bond funds: results from a time-varying model
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2015 Digitization and Productivity: Measuring Cycles of Technological Progress
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2015 News Shocks and Labor Market Dynamics in Matching Models
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2015 Spillover Effects of the U.S. Financial Crisis on Financial Markets in Emerging Asian Countries
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2015 Uniform Convergence Rates of Kernel-Based Nonparametric Estimators for Continuous Time Diffusion Processes: A Damping Function Approach
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2015 Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints
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2015 Nonlinear dynamic interrelationships between real activity and stock returns
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2015 Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation
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2015 Nonstationary ARCH and GARCH with t-distributed Innovations
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2015 Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination
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2015 Space-time modeling of electricity spot prices
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2015 Identification and estimation of non-Gaussian structural vector autoregressions
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2015 Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets
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2015 Dynamic Factor Models for the Volatility Surface
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2015 EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area
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2015 Understanding volatility dynamics in the EU-ETS market
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2015 Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions
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2015 Explosive bubbles in house prices? Evidence from the OECD countries
by Tom Engsted & Simon J. Hviid & Thomas Q. Pedersen
2015 Sustainability of biojet-fuel in Malaysia
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2015 Non-Negativity, Zero Lower Bound and Affine Interest Rate Models
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2015 Exchange Rate and Oil Price Interactions in Transition Economies: Czech Republic, Hungary and Poland
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2015 Stock Returns, Inflation, and Real Activity in Developing Countries: A Markov-Switching Approach
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2015 A Copula-Garch Model For A Proxy Portfolio For Bet-Fi Index
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2015 European Equity Market Return, Volatility And Liquidity Spillover Dynamics During The Eurozone Debt Crisis
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2015 Entrepreneurial Impulse, Investment Behavior, and Economic Fluctuations–A VAR Analysis with Indian Data
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2015 Enflasyon Rejimleri ve Uretici Enflasyonundan Tuketici Enflasyonuna Geciskenlik
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2015 Farkli Belirsizlik Duzeylerinde Faiz Oraninin Makroekonomik Degiskenlere Etkileri : Turkiye Uzerine Etkilesimli Vektor Otoregresif Modeli Uygulamasi
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2015 Alternative Measures of Credit Extension for Countercyclical Buffer Decisions in South Africa
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2015 A global perspective on inflation and propagation channels
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2015 Explaining the Relationship between Public Expenditure and Economic Growth in Kenya using Vector Error Correction Model (VECM)
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2015 Linkage between US monetary policy and emerging economies: the case of Korea’s financial market and monetary policy
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2015 Do Bayesian Vector Autoregressive models improve density forecasting accuracy? The case of the Czech Republic and Romania
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2015 The Effects of Fiscal Policy on Emerging Economies. A TVP- VAR Approach
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2015 Transmission Mechanism of Exchange Rate Pass-through in India
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2015 Impact Of Structural Shifts on Variance Persistence in Asymmetric Garch Models: Evidence From Emerging Asian and European Markets
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2015 The Role of Monetary and Fiscal Policies in Ensuring Macroeconomic Stability in Romania
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2015 The effect of the transfer dynamics of the ruble exchange rate in prices in Russian industries
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2015 The exposure of technology and knowledge intense sectors to the business cycle
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2015 Asymmetric Interaction between Stock Price Index and Exchange Rates: Empirical Evidence for Romania
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2015 Sovereign Financial Asset Market Linkages across Europe During the Euro Zone Debt Crisis
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2015 Eastern Europe In The World Economy : A Global Var Analysis
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2015 The Impact Of Education And Health On Economic Growth: Evidence From Romania (1980-2011)
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2015 Empirical Assessment Of Stabilization Effects Of Fiscal Policy In Croatia
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2015 Threshold Effects of External Debt on Economic Growth of Iran: Smooth Transition Regression (STR) Model
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2015 The Effect of Money Supply on the Inflation the Period between 1980-2013 in Turkey Economy
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2015 The Economic Determinants of Foreign Direct Investment: A Time Series Analysis on the Turkish Economy
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2015 Inflation, output growth and their uncertainties in South Africa: Empirical evidence from an asymmetric multivariate GARCH-M model
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2015 Modeling FDI Flows from the USA to Canada:Two Main International Financial Variables Affect the Long-Run Economic Growth
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2015 An Assessment of the Real Exchange Rate Misalignment in Egypt: A Structural VAR Approach
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2015 On the Dynamic Dependence between US and other Developed Stock Markets: An Extreme-value Time-varying Copula Approach
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2015 International CAPM and Oil Price: Evidence from Selected OPEC Countries
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2015 Common Trends and Common Cycles – Bayesian Approach
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2015 Rakouská teorie hospodářského cyklu: VAR analýza pro USA v letech 1978-2013
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2015 The Euro Crisis and Contagion among Central and Eastern European Currencies: Recommendations for Avoiding Lending in a Safe Haven Currency such as CHF
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2015 Econometric Model of the Czech Life Insurance Market
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2015 Causality Relationship between Financial Intermediation by Banks and Economic Growth: Evidence from Serbia
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2015 Integrational Models and Forms of Inter-State Public-Private Partnership: Aspects of Financial Convergence
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2015 Forecasting inflation in Montenegro using univariate time series models
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2015 The Swedish business cycle, 1969-2013
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2015 The long-term causality. A comparative study for some EU countries
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2015 Modelling loans and deposits during electoral years in Romania
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2015 Ligações e transmissão de volatilidade intradiária entre mercados bolsistas europeus no âmbito da crise financeira global [Connections and transmission of intraday volatility among European stock markets within the global financial crisis]
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2015 Evaluation of Credit Channel in Russia
by Perevyshina, E. & Perevyshin, Y.
2015 Estimating Pair-Copula Constructions Using Empirical Tail Dependence Functions: an Application to Russian Stock Market
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2015 The Analysis of Money Supply Endogeneity in Russia
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2015 Log-volatility enhanced GARCH models for single asset returns
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2015 Poverty and Economic Growth in Swaziland: An Empirical Investigation
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2015 Modelling Stock Market Volatility: Evidence from India
by Karunanithy Banumathy & Ramachandran Azhagaiah
2015 FDI, private investment and public investment in Nigeria: An unravelled dynamic relation
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2015 Cruising through the millennium - 2003-13 changes in American Daily life
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2015 Temporal disaggregation: an alternative multivariate methodology
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2015 Alternative Measures of Credit Extension for Countercyclical Buffer Decisions in South Africa
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2015 Ein Modell zur Prognose der schweizerischen Gesundheitsausgaben
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2015 Währungsunionen, Wechselkursregime und deren Effekte auf bilateralen Handel: drei empirische Ergebnisse
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2015 Does the Forward Discount Represent a Long Memory Process or Short Memory Process with Multiple Changes in the Mean?
by Aidil Rizal Shahrin
2015 How Large are the Effects of Simultaneity on Testing Granger Causality?
by Joachim Wilde
2015 Impact of defence spending on economic growth in Africa: The Nigerian case
by Joseph Boniface Ajefu*
2015 Causality between trade and economic growth in a least developed economy: Evidence from Nepal
by Umesh Bastola* & Pratikshya Sapkota
2015 An autoregressive distributed lag (ARDL) analysis of the nexus between savings and investment in the three Asian economies
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2015 Causality between exports and economic growth in South Africa: evidence from linear and nonlinear tests
by Ahdi N. Ajmi & Goodness C. Aye & Mehmet Balcilar & Rangan Gupta
2015 apital flows and the openness-growth nexus: Toda-Yamamoto causality modeling
by Mohammad I. Elian & Adil H. Suliman
2015 Sustainability of the current account in Bangladesh: an Intertemporal and cointegration analysis
by Md Abdul Wadud & S. M. Atiar Rahman & Mohd. Mozammel Hossain Chowdhury
2015 The relationship between economic growth and remittances in the presence of cross-sectional dependence
by Mohammad Salahuddin & Jeff Gow
2015 Macroeconomic determinants of foreign direct investment: evidence from India
by Pami Dua & Reetika Garg
2015 Stock Market Development and Economic Performance: The Case of Mexico
by Ramon A. Castillo-Ponce & María de Lourdes Rodríguez-Espinosa & Edgar David Gaytan-Alfaro
2015 Electricity Consumption and Economic Growth Causality Revisited: Evidence from Turkey
by Muhammad Shahbaz & Ilhan Ozturk & Amjad Ali
2015 Tourism Activity And Climate Change In Mexico, 1980-2012,Actividad Turistica Y Cambio Climatico En Mexico, 1980-2012
by Luis Ramon Moreno Moreno & Virginia Guadalupe Lopez Torres & Ma. Enselmina Marin Vargas
2015 Determinants Of Silver Futures Price Volatility: Evidence From The Thailand Futures Exchange
by Woradee Jongadsayakul
2015 Information Transmission Effects between A and H Dual Listing Shares
by Ai-Chi Hsu & Show-Yen Lai & Lien-Hui Chao
2015 Common Fluctuations in OECD Budget Balances
by Neely, Christopher J. & Rapach, David E.
2015 A Measure of Price Pressures
by Jackson, Laura E. & Kliesen, Kevin L. & Owyang, Michael T.
2015 Oil and Macroeconomic Uncertianty
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2015 Central and Eastern European Stock Exchanges under Stress: A Range-Based Volatility Spillover Framework
by Sercan Demiralay & Selcuk Bayraci
2015 Monetary Policy and Exchange Rate Dynamics: The Exchange Rate as a Shock Absorber
by Volha Audzei & Frantisek Brazdik
2015 Propagation of Shocks to Food and Energy Prices: A Cross-Country Analysis
by Michael Pedersen
2015 Global Credit Supply and External Exposure in Turkey
by Amira Karimova & Ahmet Caliskan & Jamshid Karimov
2015 Contesto regionale, struttura economica e impatto delle politiche regionali: il caso degli alberghi in Trentino
by Roberto Gabriele & Enrico Tundis
2015 Macroeconomic Variables and Real Estate in Italy and in the usa
by Benedetto Manganelli & Francesco Tajani
2015 Impact of Monetary Policy and Fiscal Policy on Indonesian Stock Market
by Rossanto Dwi HANDOYO & Mansor JUSOH & Mohd. Azlan SHAH ZAIDI
2015 Analysis Models for Territorial Variation of Demographic Phenomena. The Case of Romania
by Mariana NICOLAE-BALAN & Raluca Ioana IORGULESCU
2015 La capacidad innovadora de la economía mexicana
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2015 Forecasting Turkish Industrial Production Growth With Static Factor Models
by Mahmut Günay
2015 Can fiscal austerity be expansionary in present-day Europe? The lessons from Sweden
by Lennart Erixon
2015 Causes of the decline of economic growth in Italy with special reference to the post-euro period: a balance-of-payments approach
by Elias Soukiazis & Pedro André Cerqueira & Micaela Antunes
2015 Export-led growth vs growth-led exports: what matters for the Brazilian growth experience after trade liberalization?
by Ricardo Azevedo Araujo & JoanÃlio Rodolpho Teixeira & Cristiane Soares
2015 Unconventional Confidence Bands in the Literature on the Government Spending Multiplier
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2015 Testing the Null of Stationarity in the Presence of Structural Breaks for Multiple Time Series
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2015 Economic Contribution and Productivity of ATM
by Victor Rivas
2015 Volatility returns with vengeance: Financial markets vs. commodities
by Aboura, Sofiane & Chevallier, Julien
2015 An inverted U-shaped crude oil price return-implied volatility relationship
by Agbeyegbe, Terence D.
2015 The time-varying causality between spot and futures crude oil prices: A regime switching approach
by Balcilar, Mehmet & Gungor, Hasan & Hammoudeh, Shawkat
2015 Forecasting Value-at-Risk using block structure multivariate stochastic volatility models
by Asai, Manabu & Caporin, Massimiliano & McAleer, Michael
2015 ALRIGHT: Asymmetric LaRge-scale (I)GARCH with Hetero-Tails
by Paolella, Marc S. & Polak, Paweł
2015 Frequency domain causality analysis of stock market and economic activity in India
by Tiwari, Aviral Kumar & Mutascu, Mihai Ioan & Albulescu, Claudiu Tiberiu & Kyophilavong, Phouphet
2015 Spillover effects of the U.S. financial crisis on financial markets in emerging Asian countries
by Kim, Bong-Han & Kim, Hyeongwoo & Lee, Bong-Soo
2015 Common macroeconomic shocks and business cycle fluctuations in Euro area countries
by Cavallo, Antonella & Ribba, Antonio
2015 An alternative view of the US price–dividend ratio dynamics
by Londono, Juan M. & Regúlez, Marta & Vázquez, Jesús
2015 The response of stock market volatility to futures-based measures of monetary policy shocks
by Gospodinov, Nikolay & Jamali, Ibrahim
2015 Granger causality between debt and growth: Evidence from OECD countries
by Puente-Ajovín, Miguel & Sanso-Navarro, Marcos
2015 How interdependent are Eastern European economies and the Euro area?
by Keppel, Catherine & Prettner, Klaus
2015 Business cycle and financial cycle spillovers in the G7 countries
by Antonakakis, Nikolaos & Breitenlechner, Max & Scharler, Johann
2015 Signalling the Dotcom bubble: A multiple changes in persistence approach
by Leone, Vitor & de Medeiros, Otavio Ribeiro
2015 Global risk exposures and industry diversification with Shariah-compliant equity sectors
by Balcılar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat
2015 Information transmission between stock markets in Hong Kong, Europe and the US: New evidence on time- and state-dependence
by Maderitsch, R.
2015 Discovering the signs of Dutch disease in Russia
by Mironov, Valeriy V. & Petronevich, Anna V.
2015 Physical versus economic depletion of a nonrenewable natural resource
by Rodríguez, Xosé A. & Arias, Carlos & Rodríguez-González, Ana
2015 Dynamic relationships between spot and futures prices. The case of energy and gold commodities
by Nicolau, Mihaela & Palomba, Giulio
2015 Financial shocks and the real economy in a nonlinear world: From theory to estimation
by Silvestrini, Andrea & Zaghini, Andrea
2015 Economic growth and remittances in Tunisia: Bi-directional causal links
by Jouini, Jamel
2015 Do refugee-immigrants affect international trade? Evidence from the world's largest refugee case
by Ghosh, Sucharita & Enami, Ali
2015 Trend-cycle decomposition allowing for multiple smooth structural changes in the trend of US real GDP
by Enders, Walter & Li, Jing
2015 State-dependent effects of fiscal policy in Japan: Do rule-of-thumb households increase the effects of fiscal policy?
by Morita, Hiroshi
2015 Estimating a DSGE model for Japan in a data-rich environment
by Iiboshi, Hirokuni & Matsumae, Tatsuyoshi & Namba, Ryoichi & Nishiyama, Shin-Ichi
2015 Emerging market local currency bond yields and foreign holdings – A fortune or misfortune?
by Ebeke, Christian & Lu, Yinqiu
2015 Noisy news and exchange rates: A SVAR approach
by Redl, Chris
2015 The macroeconomic impact of financial fragmentation in the euro area: Which role for credit supply?
by Bijsterbosch, Martin & Falagiarda, Matteo
2015 Intra-daily volatility spillovers in international stock markets
by Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman
2015 On the distribution of exchange rate regime treatment effects on international trade
by Dorn, Sabrina & Egger, Peter
2015 Predicting returns and rent growth in the housing market using the rent-price ratio: Evidence from the OECD countries
by Engsted, Tom & Pedersen, Thomas Q.
2015 Valuation effects and long-run real exchange rate dynamics
by Mileva, Mariya
2015 Real exchanges rates, commodity prices and structural factors in developing countries
by Bodart, Vincent & Candelon, Bertrand & Carpantier, Jean-Francois
2015 How past market movements affect correlation and volatility
by Becker, Christoph & Schmidt, Wolfgang M.
2015 Assessing the anchoring of inflation expectations
by Strohsal, Till & Winkelmann, Lars
2015 Oil inflows and housing market fluctuations in an oil-exporting country: Evidence from Iran
by Khiabani, Nasser
2015 Modeling financial contagion using mutually exciting jump processes
by Aït-Sahalia, Yacine & Cacho-Diaz, Julio & Laeven, Roger J.A.
2015 Does ambiguity matter? Estimating asset pricing models with a multiple-priors recursive utility
by Jeong, Daehee & Kim, Hwagyun & Park, Joon Y.
2015 Procyclicality of credit rating systems: How to manage it
by Cesaroni, Tatiana
2015 Do stock prices reflect their fundamentals? New evidence in the aftermath of the financial crisis
by Velinov, Anton & Chen, Wenjuan
2015 A global macro model for emerging Europe
by Feldkircher, Martin
2015 Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH
by Dark, Jonathan
2015 Detecting contagion in a multivariate time series system: An application to sovereign bond markets in Europe
by Blatt, Dominik & Candelon, Bertrand & Manner, Hans
2015 Time-varying international stock market interaction and the identification of volatility signals
by Strohsal, Till & Weber, Enzo
2015 Do fewer guns lead to less crime? Evidence from Australia
by Taylor, Benjamin & Li, Jing
2015 Testing the mixture of distributions hypothesis on target stocks
by Carroll, Rachael & Kearney, Colm
2015 A cross-volatility index for hedging the country risk
by Aboura, Sofiane & Chevallier, Julien
2015 Modelling longevity bonds: Analysing the Swiss Re Kortis bond
by Hunt, Andrew & Blake, David
2015 Country characteristics and the effects of government consumption shocks on the current account and real exchange rate
by Kim, Soyoung
2015 Price discovery in the dual-platform US Treasury market
by Sun, Zhuowei & Dunne, Peter G. & Li, Youwei
2015 Realized spill-over effects between stock and foreign exchange market: Evidence from regional analysis
by Do, Hung Xuan & Brooks, Robert & Treepongkaruna, Sirimon
2015 US stock market regimes and oil price shocks
by Angelidis, Timotheos & Degiannakis, Stavros & Filis, George
2015 Assessing the link between price and financial stability
by Blot, Christophe & Creel, Jérôme & Hubert, Paul & Labondance, Fabien & Saraceno, Francesco
2015 Granger causality and systemic risk
by Balboa, Marina & López-Espinosa, Germán & Rubia, Antonio
2015 Cointegration of the prices of gold and silver: RALS-based evidence
by Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian
2015 Asymptotic expansion of European options with mean-reverting stochastic volatility dynamics
by Hu, Jun & Kanniainen, Juho
2015 Volatility spillovers in the European bank CDS market
by Alemany, Aida & Ballester, Laura & González-Urteaga, Ana
2015 Effects of macroeconomic uncertainty on the stock and bond markets
by Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun
2015 Cross-market volatility index with Factor-DCC
by Aboura, Sofiane & Chevallier, Julien
2015 Dynamic spillovers between commodity and currency markets
by Antonakakis, Nikolaos & Kizys, Renatas
2015 Are gold and silver a hedge against inflation? A two century perspective
by Bampinas, Georgios & Panagiotidis, Theodore
2015 Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis
by Syriopoulos, Theodore & Makram, Beljid & Boubaker, Adel
2015 The elusive nature of motives to trade: Evidence from international stock markets
by Gębka, Bartosz & Serwa, Dobromił
2015 Monetary policy, exchange rates and stock prices in the Middle East region
by Abouwafia, Hashem E. & Chambers, Marcus J.
2015 Output growth in German manufacturing, 1907–1936. A reinterpretation of time-series evidence
by Veenstra, Joost
2015 Understanding volatility dynamics in the EU-ETS market
by Eugenia Sanin, María & Violante, Francesco & Mansanet-Bataller, María
2015 Oil prices and financial stress: A volatility spillover analysis
by Nazlioglu, Saban & Soytas, Ugur & Gupta, Rangan
2015 Retail and wholesale gasoline price adjustments in response to oil price changes
by Bumpass, Donald & Ginn, Vance & Tuttle, M.H.
2015 Policy induced price volatility transmission: Linking the U.S. crude oil, corn and plastics markets
by Jiang, Jingze & Marsh, Thomas L. & Tozer, Peter R.
2015 Interactions between oil and financial markets — Do conditions of financial stress matter?
by Wan, Jer-Yuh & Kao, Chung-Wei
2015 Pricing of forwards and other derivatives in cointegrated commodity markets
by Benth, Fred Espen & Koekebakker, Steen
2015 Oil volatility shocks and the stock markets of oil-importing MENA economies: A tale from the financial crisis
by Bouri, Elie
2015 Dynamic steam coal market integration: Evidence from rolling cointegration analysis
by Papież, Monika & Śmiech, Sławomir
2015 Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data
by Avdulaj, Krenar & Barunik, Jozef
2015 Linear and nonlinear Granger causality investigation between carbon market and crude oil market: A multi-scale approach
by Yu, Lean & Li, Jingjing & Tang, Ling & Wang, Shuai
2015 Electricity consumption and economic growth in Nigeria: A revisit of the energy-growth debate
by Iyke, Bernard Njindan
2015 Nonlinear causality between crude oil price and exchange rate: A comparative study of China and India
by Prasad Bal, Debi & Narayan Rath, Badri
2015 Do oil spot and futures prices move together?
by Chang, Chun-Ping & Lee, Chien-Chiang
2015 Forecasting day-ahead electricity prices: Utilizing hourly prices
by Raviv, Eran & Bouwman, Kees E. & van Dijk, Dick
2015 A multi-factor model with time-varying and seasonal risk premiums for the natural gas market
by Shao, Chengwu & Bhar, Ramaprasad & Colwell, David B.
2015 A regime switching approach for hedging tanker shipping freight rates
by Alizadeh, Amir H. & Huang, Chih-Yueh & van Dellen, Stefan
2015 Regime switching model of US crude oil and stock market prices: 1859 to 2013
by Balcilar, Mehmet & Gupta, Rangan & Miller, Stephen M.
2015 Investigating dynamic conditional correlation between crude oil and fuels in non-linear framework: The financial and economic role of structural breaks
by Block, Alexander Souza & Righi, Marcelo Brutti & Schlender, Sérgio Guilherme & Coronel, Daniel Arruda
2015 Inventory announcements, jump dynamics, volatility and trading volume in U.S. energy futures markets
by Bjursell, Johan & Gentle, James E. & Wang, George H.K.
2015 Resource externalities and the persistence of heterogeneous pricing behavior in an energy commodity market
by Bunn, Derek & Koc, Veli & Sapio, Alessandro
2015 Energy savings potential in China's industrial sector: From the perspectives of factor price distortion and allocative inefficiency
by Ouyang, Xiaoling & Sun, Chuanwang
2015 Efficient modeling and forecasting of electricity spot prices
by Ziel, Florian & Steinert, Rick & Husmann, Sven
2015 Volatility co-movements: A time-scale decomposition analysis
by Cipollini, Andrea & Cascio, Iolanda Lo & Muzzioli, Silvia
2015 Macroeconomic news announcements and price discovery: Evidence from Canadian–U.S. cross-listed firms
by Frijns, Bart & Indriawan, Ivan & Tourani-Rad, Alireza
2015 Volatility transmission in global financial markets
by Clements, A.E. & Hurn, A.S. & Volkov, V.V.
2015 Disentangling contagion among sovereign CDS spreads during the European debt crisis
by Broto, Carmen & Pérez-Quirós, Gabriel
2015 Testing for structural breaks in correlations: Does it improve Value-at-Risk forecasting?
by Berens, Tobias & Weiß, Gregor N.F. & Wied, Dominik
2015 Dynamic copula models and high frequency data
by De Lira Salvatierra, Irving & Patton, Andrew J.
2015 Causality between inflation and inflation uncertainty in South Africa: Evidence from a Markov-switching vector autoregressive model
by Nasr, Adnen Ben & Balcilar, Mehmet & Ajmi, Ahdi N. & Aye, Goodness C. & Gupta, Rangan & van Eyden, Reneé
2015 Regional and global spillovers and diversification opportunities in the GCC equity sectors
by Balcılar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat
2015 Are Sharia stocks, gold and U.S. Treasury hedges and/or safe havens for the oil-based GCC markets?
by Mensi, Walid & Hammoudeh, Shawkat & Reboredo, Juan C. & Nguyen, Duc Khuong
2015 The heterogeneous Great Moderation
by Pancrazi, Roberto
2015 The dynamic relationship between stock, bond and foreign exchange markets
by Kal, Süleyman Hilmi & Arslaner, Ferhat & Arslaner, Nuran
2015 Assessing optimal credit growth for an emerging banking system
by Jakubik, Petr & Moinescu, Bogdan
2015 Similarity of emerging market returns under changing market conditions: Markets in the ASEAN-4, Latin America, Middle East, and BRICs
by Lyócsa, Štefan & Baumöhl, Eduard
2015 A nonlinear investigation of the twin deficits hypothesis over the business cycle: Evidence from Turkey
by Çatık, Abdurrahman Nazif & Gök, Barış & Akseki, Utku
2015 Statistical inference for panel dynamic simultaneous equations models
by Hsiao, Cheng & Zhou, Qiankun
2015 Testing for independence between functional time series
by Horváth, Lajos & Rice, Gregory
2015 High dimensional dynamic stochastic copula models
by Creal, Drew D. & Tsay, Ruey S.
2015 High dimensional stochastic regression with latent factors, endogeneity and nonlinearity
by Chang, Jinyuan & Guo, Bin & Yao, Qiwei
2015 Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
by Asai, Manabu & McAleer, Michael
2015 Frontiers in Time Series and Financial Econometrics: An overview
by Ling, Shiqing & McAleer, Michael & Tong, Howell
2015 Sieve semiparametric two-step GMM under weak dependence
by Chen, Xiaohong & Liao, Zhipeng
2015 Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions
by Chen, Xiaohong & Christensen, Timothy M.
2015 Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
by Asai, Manabu & McAleer, Michael
2015 Market-based estimation of stochastic volatility models
by Aït-Sahalia, Yacine & Amengual, Dante & Manresa, Elena
2015 A Quadratic Kalman Filter
by Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume
2015 Instrumental variable and variable addition based inference in predictive regressions
by Breitung, Jörg & Demetrescu, Matei
2015 VAR for VaR: Measuring tail dependence using multivariate regression quantiles
by White, Halbert & Kim, Tae-Hwan & Manganelli, Simone
2015 Nonparametric tests for constant tail dependence with an application to energy and finance
by Bücher, Axel & Jäschke, Stefan & Wied, Dominik
2015 Oracle inequalities for high dimensional vector autoregressions
by Kock, Anders Bredahl & Callot, Laurent
2015 Regression-based analysis of cointegration systems
by Gomez-Biscarri, Javier & Hualde, Javier
2015 Nonparametric predictive regression
by Kasparis, Ioannis & Andreou, Elena & Phillips, Peter C.B.
2015 Residual-based rank specification tests for AR–GARCH type models
by Andreou, Elena & Werker, Bas J.M.
2015 Estimation of affine term structure models with spanned or unspanned stochastic volatility
by Creal, Drew D. & Wu, Jing Cynthia
2015 A residual-based ADF test for stationary cointegration in I(2) settings
by Gomez-Biscarri, Javier & Hualde, Javier
2015 Improved likelihood ratio tests for cointegration rank in the VAR model
by Boswijk, H. Peter & Jansson, Michael & Nielsen, Morten Ørregaard
2015 The multivariate Beveridge–Nelson decomposition with I(1) and I(2) series
by Murasawa, Yasutomo
2015 The German unemployment since the Hartz reforms: Permanent or transitory fall?
by Stephan, Gaëtan & Lecumberry, Julien
2015 Cointegration rank tests based on vector autoregressive approximations under alternative hypotheses
by Odaki, Mitsuhiro
2015 Estimating the causal relationship between foreclosures and unemployment during the great recession
by Rana, Ghulam Awais & Shea, Paul
2015 International economic policy uncertainty and stock prices: Wavelet approach
by Ko, Jun-Hyung & Lee, Chang-Min
2015 Copula-MGARCH with continuous covariance decomposition
by Herwartz, Helmut & Raters, Fabian H.C.
2015 Does money matter in the euro area? Evidence from a new Divisia index
by Darvas, Zsolt
2015 Effects of the Bank of Japan’s current quantitative and qualitative easing
by Matsuki, Takashi & Sugimoto, Kimiko & Satoma, Katsuhiko
2015 Oil price forecastability and economic uncertainty
by Bekiros, Stelios & Gupta, Rangan & Paccagnini, Alessia
2015 Predicting stock returns and volatility using consumption-aggregate wealth ratios: A nonlinear approach
by Bekiros, Stelios & Gupta, Rangan
2015 Pitfalls of estimating the marginal likelihood using the modified harmonic mean
by Chan, Joshua C.C. & Grant, Angelia L.
2015 Co-movements in commodity prices: Global, sectoral and commodity-specific factors
by Yin, Libo & Han, Liyan
2015 Residual-based test for fractional cointegration
by Wang, Bin & Wang, Man & Chan, Ngai Hang
2015 Temporal causality between house prices and output in the US: A bootstrap rolling-window approach
by Nyakabawo, Wendy & Miller, Stephen M. & Balcilar, Mehmet & Das, Sonali & Gupta, Rangan
2015 Macroeconomic idiosyncrasies and European monetary unification: A sceptical long run view
by Binet, Marie-Estelle & Pentecôte, Jean-Sébastien
2015 Semiparametric generalized long-memory modeling of some mena stock market returns: A wavelet approach
by Boubaker, Heni & Sghaier, Nadia
2015 Disaggregation methods based on MIDAS regression
by Guay, Alain & Maurin, Alain
2015 Does real interest rate parity really hold? New evidence from G7 countries
by Chang, Ming-Jen & Su, Che-Yi
2015 Can public expenditure stabilize output? Multipliers and policy interdependence in Queensland and Australia
by Carmignani, Fabrizio
2015 Resiliency of the limit order book
by Lo, Danny K. & Hall, Anthony D.
2015 Solving generalized multivariate linear rational expectations models
by Tan, Fei & Walker, Todd B.
2015 The time varying effect of oil price shocks on euro-area exports
by Riggi, Marianna & Venditti, Fabrizio
2015 Costly arbitrage through pairs trading
by Lei, Yaoting & Xu, Jing
2015 How well does the weighted price contribution measure price discovery?
by Wang, Jianxin & Yang, Minxian
2015 What does financial volatility tell us about macroeconomic fluctuations?
by Chauvet, Marcelle & Senyuz, Zeynep & Yoldas, Emre
2015 Factor adjustment costs: A structural investigation
by Mumtaz, Haroon & Zanetti, Francesco
2015 Oil price uncertainty and sectoral stock returns in China: A time-varying approach
by Caporale, Guglielmo Maria & Menla Ali, Faek & Spagnolo, Nicola
2015 Real exchange rate and economic growth in China: A cointegrated VAR approach
by Tang, Bo
2015 Hong Kong's growth synchronization with China and the US: A trend and cycle analysis
by He, Dong & Liao, Wei & Wu, Tommy
2015 The influences of international output shocks from the US and China on ASEAN economies
by Dungey, Mardi & Vehbi, Tugrul
2015 Volatility transmission and volatility impulse response functions among the Greater China stock markets
by Jin, Xiaoye
2015 Measuring monetary policy with empirically grounded restrictions: An application to Thailand
by Phiromswad, Piyachart
2015 What drives credit growth in emerging Asia?
by Elekdag, Selim & Han, Fei
2015 Determinants of inflation in India
by Mohanty, Deepak & John, Joice
2015 Türkiye’de Planlý Kalkýnma Döneminde Ýktisadi Büyüme ile Nüfus Artýþý Ýliþkisinin Ekonometrik Analizi
by Hakan BEKTAÞ & Emir KAYACAN & Ömür URAS
2015 The Asymmetric Impact of Oil Price Shocks on Kazakhstan Macroeconomic Dynamics: A Structural Vector Autoregression Approach
by Nezir Kose & Sabit Baimaganbetov
2015 The Electricity Consumption, Real Income, Trade Openness and Foreign Direct Investment: The Empirical Evidence from Turkey
by Ali Acaravci & Sinan Erdogan & Guray Akalin
2015 Relationship between Energy Consumption and Real Gross Domestic Production in Turkey: A Co-integration Analysis with Structural Breaks
by A. Öznur Ümit & Elif Bulut
2015 Causal Interaction among Electricity Consumption, Financial Development, Exports and Economic Growth in Jordan: Dynamic Simultaneous Equation Models
by Ali Matar & Hussain Ali Bekhet
2015 The Effect of Stock, Government Policy, and Monopoly on Asymmetric Price Transmission in Thailand
by Phaisan Pattanakooha & Pongsa Pornchaiwisetgul
2015 Empirical Analysis of Agricultural Commodity Prices, Crude Oil Prices and US Dollar Exchange Rates using Panel Data Econometric Methods
by Anthony N. Rezitis
2015 Determinants of Nuclear Energy Consumption in South Asia: Economic and Energy Security Issues
by Khalid Zaman
2015 Examining the Feedback Response of Residential Electricity Consumption towards Changes in its Determinants: Evidence from Malaysia
by Lee Lian Ivy-Yap & Hussain Ali Bekhet
2015 Volatility Transmission in Oil Futures Markets and Carbon Emissions Futures
by Tanattrin Bunnag
2015 Short- and Long-Run Analysis of Factors Affecting Electricity Consumption in Sub-Saharan Africa
by Nyakundi M. Michieka
2015 Dynamic Interactions between Carbon and Energy Prices in the U.S. Regional Greenhouse Gas Initiative
by Man-Keun Kim & Kangil Lee
2015 Testing the Environmental Kuznets Curve Hypothesis in Portugal
by Muhammad Shahbaz & Smile Dube & Ilhan Ozturk & Abdul Jalil
2015 The Impact of Economic and Financial Variables on Cash Conversion Cycle of Energy, Oil and Gas Sectors Listed in Muscat Security Market
by Faris Nasif AL-Shubiri
2015 Hedging Petroleum Futures with Multivariate GARCH Models
by Tanattrin Bunnag
2015 Causal Relationship among Foreign Reserves, Exchange Rate and Foreign Direct Investment: Evidence from Nigeria
by Augustine C. Osigwe & Maria Chinecherem Uzonwann
2015 Price-Money Relationship after Infl ation Targeting: Co-integration Test with Structural Breaks for Turkey and Brazil
by Cuneyt Dumrul & Yasemin Dumrul
2015 An Empirical Study of the Relationship between Money Market Interest Rates and Stock Market Performance: Evidence from Zimbabwe (2009-2013)
by Trust Kganyago & Victor Gumbo
2015 Causal Relationship Between Financial Development And Economic Growth In South Africa
by Edward E GHARTEY
2015 Local Constant Kernel Estimation of a Partially Linear Varying Coefficient Cointegration Model
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2015 Density forecasts based on disaggregate data: nowcasting Polish inflation
by Blazej Mazur
2015 Impactos indirectos de los precios del petróleo en el crecimiento económico colombiano
by González, Sergio & Hernández, Edwin
2015 Efectos de la enfermedad holandesa ('Dutch disease'). Alguna evidencia para Argentina
by Luis N. Lanteri
2015 Revisión de algunas estimaciones recientes del traspaso del tipo de cambio a los precios en México
by Juan Hernández
2015 Impactos de la política monetaria y canales de transmisión en países de América Latina con esquema de inflación objetivo
by Jorge David Quintero Otero
2015 Expectativas empresariales: consecuencias en el crecimiento en Uruguay
by Bibiana Lanzilotta Mernies
2015 Predicción de la volatilidad en el mercado del petróleo mexicano ante la presencia de efectos asimétricos
by Raúl De Jesús Gutiérrez & Reyna Vergara González & Miguel A. Díaz Carreño
2015 Incidencias de los sectores financiero, fiscal y externo en la actividad económica colombiana: una aproximación VAR Bayesiana
by Oscar Andrés Espinosa & Paola Andrea Vaca
2015 Measuring international business cycles by saving for a rainy day
by Mario J. Crucini & Mototsugu Shintani
2015 Der Einfluss des Wechselkurses auf den deutschen Export – Simulationen mit Fehlerkorrekturmodellen
by Christian Grimme & Claire Thürwächter
2015 Causality between US economic policy and equity market uncertainties: Evidence from linear and nonlinear tests
by Ahdi Noomen Ajmi & Goodness C. Aye & Mehmet Balcilar & Ghassen El Montasser & Rangan Gupta
2015 Regional inflation dynamics and inflation targeting. The case of Peru
by Diego Winkelried & José Enrique Gutierrez
2015 Small sample properties of Bayesian estimators of labor income processes
by Taisuke Nakata & Christopher Tonetti
2015 Disinflation and monetary independence in Romania
by Lukasz Goczek
2015 Revisión de algunas estimaciones recientes del traspaso del tipo de cambio a los precios en México
by Juan Hernández
2015 Impactos de la política monetaria y canales de transmisión en países de América Latina con esquema de inflación objetivo
by Jorge David Quintero Otero
2015 Modelling the demand and supply of loans in Bulgaria
by Petar Peshev
2015 Impact of Secondary and Tertiary Education on Economic Growth: a Co-integration Model for Bulgaria
by Mariya Neycheva
2015 Crisis Influences between Developed and Developing Capital Markets – The Case of Central and Eastern European Countries
by Vladimir Tsenkov
2015 Estimating Size And Structure Of Yough Romanian Migrants Based On The Gravity Models
by Univ. Prof. Ph. D. Mariana BALAN & PhD. Rodica PERCIUN
2015 Herd behaviour in Southeast Asian stock markets — An empirical investigation
by Nha D. Bui & Loan T. B. Nguyen & Nhung T. T. Nguyen
2015 A Method For Systemic Risk Estimation Based On Cds Indices
by Gabriel GAIDUCHEVICI
2015 BARS curve in Romanian economy
by Emilian Dobrescu
2015 ASEAN Long-Run Tourism Elasticity Demand in Thailand
by Akarapong Untong
2015(XXV) The relationship between the education system and the inflows of FDI for the Central and East European EU new member states
by Vasile Alecsandru STRAT
2014 Особенности И Проблемы Моделирования Переключающегося Воспроизводства
by Маевский Владимир Иванович & Малков Сергей Юрьевич & Рубинштейн А.А.
2014 Causality between Oil and South Africa’s Food Price: Time Varying Approach
by Goodness C. Aye
2014 Oil Price Uncertainty and Savings in South Africa
by Diksha Dave & Goodness C. Aye
2014 Does Oil Price Uncertainty Matter for Stock Returns in South Africa?
by Goodness C. Aye
2014 The Causal Relationship between Energy Consumption and Economic Growth in South Africa: New Evidence from Asymmetric Causality in Frequency Domain
by Omid Ranjbar & Tsangyao Chang & Elmarie Nel & Rangan Gupta
2014 Forecasting Home Sales in the Four Census Regions and the Aggregate US Economy Using Singular Spectrum Analysis
by Hossein Hassani & Zara Ghodsi & Rangan Gupta & Mawuli K. Segnon
2014 Oil Price Shocks and China’s Economy: Reactions of the Monetary Policy to Oil Price Shocks
by Won Joong Kim & Shawkat Hammoudeh & Jun Seog Hyun & Rangan Gupta
2014 The impact of oil price on South African GDP growth: A Bayesian Markov Switching-VAR analysis
by Mehmet Balcilar & Reneé van Eyden & Josine Uwilingiye & Rangan Gupta
2014 Time-Varying Causality between Oil and Commodity Prices in the Presence of Structural Breaks and Nonlinearity
by Rangan Gupta & Gbeada Josiane Seu Epse Kean & Mpho Asnath Tsebe & Nthabiseng Tsoanamatsie & João Ricardo Sato
2014 Causal Link between Oil Price and Uncertainty in India
by Ghassen El Montasser & Kenza Aggad & Louise Clark & Rangan Gupta & Shannon Kemp
2014 The Nonparametric Relationship between Oil and South African Agricultural Prices
by Ahdi N. Ajmi & Rangan Gupta & Monique Kruger & Nicola Schoeman & Leoné Walters
2014 Linkages between Financial Sector CDS Spreads and Macroeconomic Influence in a Nonlinear Setting
by Amine Lahiani & Shawkat Hammoudeh & Rangan Gupta
2014 Real Estate Returns Predictability Revisited: Novel Evidence from the US REITs Market
by Kola Akinsomi & Goodness C. Aye & Vassilios Babalos & Fotini Economou & Rangan Gupta
2014 Causality between Inflation and Inflation Uncertainty in South Africa: Evidence from a Markov-Switching Vector Autoregressive Model
by Adnen Ben Nasr & Mehmet Balcilar & Ahdi N. Ajmi & Goodness C. Aye & Rangan Gupta & Reneé van Eyden
2014 Revisiting Herding Behavior in REITs: A Regime-Switching Approach
by Vassilios Babalos & Mehmet Balcilar & Rangan Gupta
2014 Relationship between Happiness and Smoking: A Bootstrap Panel Causality Test
by Tsangyao Chang & Hsiao-Ping Chu & Frederick W. Deale & Rangan Gupta
2014 Real Estate Markets and Uncertainty Shocks: A Variance Causality Approach
by Ahdi N. Ajmi & Vassilios Babalos & Fotini Economou & Rangan Gupta
2014 The Relationship between Population Growth and Economic Growth Over 1870-2013: Evidence from a Bootstrapped Panel-Granger Causality Test
by Tsangyao Chang & Hsiao-Ping Chu & Frederick W. Deale & Rangan Gupta & Stephen M. Miller
2014 Dynamic Relationship between Oil Price and Inflation in South Africa
by Mehmet Balcilar & Josine Uwilingiye & Rangan Gupta
2014 Regime Switching Model of US Crude Oil and Stock Market Prices: 1859 to 2013
by Mehmet Balcilar & Rangan Gupta & Stephen M. Miller
2014 Does Sunspot Numbers Cause Global Temperatures? A Reconsideration Using a Non-Parametric Causality Test
by Hossein Hassani & Rangan Gupta & Xu Huang & Mansi Ghodsi
2014 Can Debt Ceiling and Government Shutdown Predict US Real Stock Returns? A Boot-strap Rolling-Window Approach
by Goodness C. Aye & Mehmet Balcilar & Ghassen El Montasser & Rangan Gupta & Nangamso C. Manjezi
2014 A Reinvestigation of the Oil Price and Consumer Price Nexus in South Africa: An Asymmetric Causality Approach
by Ahdi N. Ajmi & Vassilios Babalos & Rangan Gupta & Roulof Hefer
2014 A Time-Varying Approach of the US Welfare Cost of Inflation
by Stephen M. Miller & Luis F. Martins & Rangan Gupta
2014 Forecasting the U.S. Real House Price Index
by Vasilios Plakandaras & Rangan Gupta & Periklis Gogas & Theophilos Papadimitriou
2014 Forecasting South African Inflation Using Non-Linear Models: A Weighted Loss-Based Evaluation
by Patrick T. kanda & Mehmet Balcilar & Pejman Bahramian & Rangan Gupta
2014 Testing the Asymmetric Effects of Financial Conditions in South Africa: A Nonlinear Vector Autoregression Approach
by Mehmet Balcilar & Kirsten Thompson & Rangan Gupta & Renee van Eyden
2014 Causal relationship between asset prices and output in the US: Evidence from state-level panel Granger causality test
by Furkan Emirmahmutoglu & Mehmet Balcilar & Nicholas Apergis & Beatrice D. Simo-Kengne & Tsangyao Chang & Rangan Gupta
2014 Volatility Spillover between Energy and Financial Markets
by Saban Nazlioglu & Ugur Soytas & Rangan Gupta
2014 Does the Price of Oil Help Predict Inflation in South Africa? Historical Evidence Using a Frequency Domain Approach
by Rangan Gupta & Patrick T. Kanda
2014 Income Distribution in Urban China: An Overlooked Data Inconsistency Issue
by Jin, Hailong & Qian, Hang & Wang, Tong & Choi, E Kwan
2014 Stress testing and financial risks
by Koliai, Lyes
2014 The Performance of the Banking Sector in the UAE - La performance del settore bancario negli Emirati Arabi Uniti
by Al-Shayeb, Abdulrahman & Hatemi-J, Abdulnasser
2014 Modelling the Dynamics of Sovereign Risk Premium [Modelarea dinamicii primei de risc suveran]
by Fudulache Adina Elena
2014 Perspectives of the Macroeconomic Reproduction Theory
by V. Mayevsky & S. Malkov.
2014 Exchange Rate Pass-through in Russia
by Y. Ponomarev & P. Trunin & A. Ulyukayev.
2014 On the causal link between money and output growth: Evidence from Turkey
by Özge KANDEMİR KOCAASLAN
2014 Exchange Rate and Stock Price Relationship: A Wavelet Analysis for India
by Dar, Arif Billah & Bhanja, Niyati & Tiwari, Aviral Kumar
2014 Volatility Spillover between Oil and Stock Market Returns
by Anand, B. & Paul, Sunil & Ramachandran, M.
2014 Comparing several methods to compute joint prediction regions for path forecasts generated by vector autoregressions
by Stefan Bruder
2014 The generalized Roy model and the cost-benefit analysis of social programs
by Eisenhauer, Philipp & Heckman, James J. & Vytlacil, Edward
2014 Fraktionale Kointegrationsbeziehungen zwischen Euribor-Zinssätzen
by Dechert, Andreas
2014 Confidence Bands for Impulse Responses: Bonferroni versus Wald
by Winker, Peter & Helmut, Lütkepohl & Staszewska-Bystrova, Anna
2014 The estimation uncertainty of permanent-transitory decompositions in co-integrated systems
by Schreiber, Sven
2014 Decomposing Beveridge curve dynamics by correlated unobserved components: The impact of labour market reforms in Germany
by Klinger, Sabine & Weber, Enzo
2014 Detecting financial contagion in a multivariate system
by Manner, Hans & Blatt, Dominik & Candelon, Bertrand
2014 News Media, Common Information, and Sectoral Comovement
by Buchen, Teresa
2014 Monitoring Stationarity and Cointegration
by Wagner, Martin & Wied, Dominik
2014 Sign restrictions and statistical identification under volatility breaks -- Simulation based evidence and an empirical application to monetary policy analysis
by Herwartz, Helmut & Plödt, Martin
2014 Uncertainty and the Great Recession
by Born, Benjamin & Breuer, Sebastian & Elstner, Steffen
2014 Does austerity pay off?
by Born, Benjamin & Müller, Gernot J. & Pfeifer, Johannes
2014 Gold Price Forecasts in a Dynamic Model Averaging Framework – Have the Determinants Changed Over Time?
by Baur, Dirk G. & Beckmann, Joscha & Czudaj, Robert
2014 Phillips curve shocks and real exchange rate fluctuations: SVAR evidence
by Gehrke, Britta & Yao, Fang
2014 The aggregate effects of long run sectoral reallocation
by Reicher, Claire
2014 Testing for near I(2) trends when the signal to noise ratio is small
by Juselius, Katarina
2014 The housing wealth effect on consumption reconsidered
by Lindner, Fabian
2014 Modeling dynamics of metal price series via state space approach with two common factors
by Golosnoy, Vasyl & Rossen, Anja
2014 Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte
by Krasnosselski, Nikolai & Cremers, Heinz & Sanddorf, Walter
2014 Exchange Rate Pass-through in Russia
by Ponomarev, Yuri & Trunin, Pavel V. & Uljukaev, Aleksej V.
2014 Impulse response matching estimators for DSGE models
by Guerron-Quintana, Pablo & Inoue, Atsushi & Kilian, Lutz
2014 Marginalized predictive likelihood comparisons of linear Gaussian state-space models with applications to DSGE, DSGEVAR, and VAR models
by Warne, Anders & Coenen, Günter & Christoffel, Kai
2014 Estimating the spot covariation of asset prices: Statistical theory and empirical evidence
by Bibinger, Markus & Hautsch, Nikolaus & Malec, Peter & Reiss, Markus
2014 Efficient iterative maximum likelihood estimation of high-parameterized time series models
by Hautsch, Nikolaus & Okhrin, Ostap & Ristig, Alexander
2014 Structural analysis with independent innovations
by Herwartz, Helmut
2014 How interdependent are Eastern European economies and the Euro area?
by Prettner, Catherine & Prettner, Klaus
2014 Identification of prior information via moment-matching
by Sacht, Stephen
2014 Forecast-error-based estimation of forecast uncertainty when the horizon is increased
by Knüppel, Malte
2014 Carry funding and safe haven currencies: A threshold regression approach
by Hossfeld, Oliver & MacDonald, Ronald
2014 The multivariate option iPoD framework: assessing systemic financial risk
by Matros, Philipp & Vilsmeier, Johannes
2014 Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts
by Tao Hong & Katarzyna Maciejowska & Jakub Nowotarski & Rafal Weron
2014 Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging
by Katarzyna Maciejowska & Jakub Nowotarski & Rafal Weron
2014 Fundamental and speculative shocks, what drives electricity prices?
by Katarzyna Maciejowska
2014 Measuring the Impact of Exchange Rate Movements on Domestic Prices: A Cointegrated VAR Analysis
by Nidhaleddine Ben Cheikh & Waël Louhichi
2014 Density Forecasting using Bayesian Global Vector Autoregressions with Common Stochastic Volatility
by Florian Huber
2014 Dynamic Spillovers of Oil Price Shocks and Policy Uncertainty
by Nikolaos Antonakakis & Ioannis Chatziantoniou & George Filis
2014 The effect of Credit Conditions on the Dutch Housing Market
by Marc Francke & Alex van de Minne & Johan Verbruggen
2014 Forecasting with Bayesian Global Vector Autoregressions
by Florian Huber & Jesus Crespo-Cuaresma & Martin Feldkircher
2014 How smooth is the stock market integration of CEE-3?
by Eduard Baumöhl & Štefan Lyócsa
2014 Exchange Rate Pass-Through to Domestic Prices under Different Exchange Rate Regimes
by Rajmund Mirdala
2014 Embedding Liquidity Information in Estimating Potential Output
by Stefano Scalone
2014 Growth-cycle phases in China�s provinces: A panel Markov-switching approach
by Roberto Casarin & Komla Mawulom Agudze & Monica Billio & Eric Girardin
2014 Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets
by Roberto Casarin & Monica Billio & Anthony Osuntuyi
2014 Temporal Aggregation of Random Walk Processes and Implications for Asset Prices
by Yamin Ahmad & Ivan Paya
2014 The Stock Market, the Real Economy and Contagion
by Dirk G Baur & Isaac Miyakawa
2014 Capital Account Liberalization and Dynamic Price Discovery: Evidence from Chinese Cross-Listed Stocks
by Marc K Chan & Simon Kwok
2014 Modeling Intraday Stochastic Volatility and Conditional Duration Contemporaneously with Regime Shifts
by Trojan, Sebastian
2014 Multivariate Stochastic Volatility with Dynamic Cross Leverage
by Trojan, Sebastian
2014 A variance spillover analysis without covariances: what do we miss?
by Fengler, Matthias R. & Gisler, Katja I. M.
2014 A residual-based ADF test for stationary cointegration in I (2) settings
by Javier Gómez Biscarri & Javier Hualde
2014 Is regularization necessary? A Wald-type test under non-regular conditions
by Duplinskiy A.
2014 A multivariate invariance principle for modified wild bootstrap methods with an application to unit root testing
by Smeekes S. & Urbain J.R.Y.J.
2014 On the Size Distortion from Linearly Interpolating Low-frequency Series for Cointegration Tests
by Eric Ghysels & J. Isaac Miller
2014 Determinants of Argentinean tourism demand in Uruguay
by Gabriela Mordecki
2014 Prestige social des professions et substituabilité des filières universitaires
by Magali Jaoul-Grammare
2014 Regime Switching Model of US Crude Oil and Stock Market Prices: 1859 to 2013
by Mehmet Balcilar & Rangan Gupta & Stephen M. Miller
2014 A Time-Varying Approach of the US Welfare Cost of Inflation
by Stephen M. Miller & Luis F. Martins & Rangan Gupta
2014 Forecasting US Real Private Residential Fixed Investment Using a Large Number of Predictors
by Goodness C. Aye & Rangan Gupta & Stephen M. Miller & Mehmet Balcilar
2014 Money-Income Granger-Causality in Quantiles
by Tae-Hwy Lee & Weiping Yang
2014 What Makes a Commodity Currency?
by Dongwon Lee & Yu-chin Chen
2014 Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model
by Stelios D. Bekiros & Alessia Paccagnini
2014 Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
by Michael McAleer
2014 Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
by Manabu Asai & Michael McAleer
2014 In search of the transmission mechanism of fiscal policy in the Euro area
by Fève, Patrick & Sahuc, Jean-Guillaume
2014 Shocks to Bank Lending, Risk-Taking, Securitization, and Their Role for U.S. Business Cycle Fluctuations
by Peersman, G. & Wagner, W.B.
2014 Combined Density Nowcasting in an Uncertain Economic Environment
by Knut Are Aastveit & Francesco Ravazzolo & Herman K. van Dijk
2014 Vector Autoregressions with parsimoniously Time Varying Parameters and an Application to Monetary Policy
by Laurent Callot & Johannes Tang Kristensen
2014 Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models
by István Barra & Lennart Hoogerheide & Siem Jan Koopman & André Lucas
2014 Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components
by Irma Hindrayanto & Siem Jan Koopman & Jasper de Winter
2014 Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models
by Francisco Blasques & Siem Jan Koopman & Andre Lucas & Julia Schaumburg
2014 Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models
by Francisco Blasques & Siem Jan Koopman & Max Mallee
2014 Optimal Formulations for Nonlinear Autoregressive Processes
by Francisco Blasques & Siem Jan Koopman & André Lucas
2014 Crime, Employment and Social Welfare: an Individual-level Study on Disadvantaged Males
by Geert Mesters & Victor van der Geest & Catrien Bijleveld
2014 New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels
by Pawel Janus & André Lucas & Anne Opschoor & Dick J.C. van Dijk
2014 Time Varying Transition Probabilities for Markov Regime Switching Models
by Marco Bazzi & Francisco Blasques & Siem Jan Koopman & Andre Lucas
2014 A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area
by Geert Mesters & Bernd Schwaab & Siem Jan Koopman
2014 Empirical Bayes Methods for Dynamic Factor Models
by Siem Jan Koopman & Geert Mesters
2014 On an Estimation Method for an Alternative Fractionally Cointegrated Model
by Federico Carlini & Katarzyna Lasak
2014 Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices
by Lukasz Gatarek & Lennart Hoogerheide & Herman K. van Dijk
2014 Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
by Manabu Asai & Michael McAleer
2014 The Dynamic Skellam Model with Applications
by Siem Jan Koopman & Rutger Lit & André Lucas
2014 Intraday Price Discovery in Fragmented Markets
by Sait Ozturk & Michel van der Wel
2014 Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
by Michael McAleer
2014 Fractional Cointegration Rank Estimation
by Katarzyna Lasak & Carlos Velasco
2014 The Responses of the Prime Rate to a Change in Policies of the Federal Reserve
by Joseph Friedman & Yochanan Shachmurove
2014 Estimating Nairu for the Turkish Economy Using Extended Kalman Filter Approach
by Vuslat Us
2014 VAR(MA), what is it good for? more bad news for reduced-form estimation and inference
by Yao, Wenying & Kam, Timothy & Vahid, Farshid
2014 Forecasting with EC-VARMA models
by Athanasopouolos, George & Poskitt, Don & Vahid, Farshid & Yao, Wenying
2014 Canadian monetary policy analysis using a structural VARMA model
by Raghavan, Mala & Athanasopoulos, George & Silvapulle, Param
2014 Should ASEAN-5 Monetary Policymakers Act Pre-emptively Against Stock Market Bubbles?
by Raghavan, Mala & Dungey, Mardi
2014 Estimating the expected duration of the zero lower bound in DSGE models with forward guidance
by Mariano Kulish & James Morley & Tim Robinson
2014 The Risk Return Relationship: Evidence from Index Return and Realised Variance Series
by Minxian Yang
2014 State-Dependent Effects of Fiscal Policy
by Steven Fazzari & James Morley & Irina Panovska
2014 Finding Yeti: More robust estimates of output gap in Slovakia
by Ludovit Odor & Judita Jurasekova Kucserova
2014 Large Bayesian VARMAs
by Joshua C C Chan & Eric Eisenstat & Gary Koop
2014 Assessing the link between Price and Financial Stability
by Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance & Francesco Saraceno
2014 Personal Income Inequality and Aggregate Demand
by Laura Carvalho & Armon Rezai
2014 Exchange rate and price dynamics in a small open economy - the role of the zero lower bound and monetary policy regimes
by Gregor Bäurle & Daniel Kaufmann
2014 Carry Trade Activities: A Multivariate Threshold Model Analysis
by Matthias Gubler
2014 Quasi-Bayesian Model Selection
by Atsushi Inoue & Mototsugu Shintania
2014 Joint Confidence Sets for Structural Impulse Responses
by Atsushi Inoue & Lutz Kilian
2014 Bayesian Analysis of Bubbles in Asset Prices
by Andras Fulop & Jun Yu
2014 On the relevance of weaker instruments
by Bertille Antoine & Eric Renault
2014 Co-integrated Commodity Forward Pricing Model
by Munoz Lucie & Boudet Florian & Galano Victoria & Gmira Douaa & Reina Alizée
2014 The Effect of International Trade on Manufacturing Industry Wages: The Case of Turkey
by Hacer Simay Karaalp & Sevcan Güneş
2014 Inverting a matrix function around a singularity via local rank factorization
by Massimo Franchi & Paolo Paruolo
2014 Credit Procyclicality and Financial Regulation in South Africa
by James Bernstein, Leroi Raputsoane and Eric Schaling
2014 Financial Stress Indicator Variables and Monetary Policy in South Africa
by Leroi Raputsoane
2014 Disaggregated Credit Extension and Financial Distress in South Africa
by Leroi Raputsoane
2014 The reliability of South African real-time output gap estimates
by Jessica Kramer and Greg Farrell
2014 Nonlinear Econometric Approaches in Testing PPP of SADC Economies towards Monetary Union
by Mulatu F. Zerihun, Marthinus C. Breitenbach and Francis Kemegue
2014 Gold Price Forecasts in a Dynamic Model Averaging Framework – Have the Determinants Changed Over Time?
by Dirk G. Baur & Joscha Beckmann & Robert Czudaj
2014 Effectiveness and Transmission of the ECB’s Balance Sheet Policies
by JEF BOECKX & MAARTEN DOSSCHE & GERT PEERSMAN
2014 The dynamics of European financial market integration
by G. EVERAERT & L. POZZI
2014 Shocks to Bank Lending, Risk-Taking, Securitization, and their Role for U.S. Business Cycle Fluctuations
by G. PEERSMAN & W. WAGNER
2014 The Gravitation of Market Prices as a Stochastic Process
by Saverio M. Fratini & Alessia Naccarato
2014 Extinderi ale regresiei cu puncte multiple
by Mateescu, George Daniel
2014 Expectations and Systemic Risk in EMU Government Bond Spreads
by Canofari, Paolo & Marini, Giancarlo & Piersanti, Giovanni
2014 Forecasting the U.S. Real House Price Index
by Plakandaras, Vasilios & Gupta, Rangan & Papadimitriou, Theophilos & Gogas, Periklis
2014 Gender and the Business Cycle: A Stocks and Flows Analysis of US and UK Labour Market States
by Giovanni Razzu & Carl Singleton
2014 Inferring inflation expectations from fixed-event forecasts
by Winkelried, Diego
2014 Exchange Rate Movements and the Australian Economy
by Josef Manalo & Dilhan Perera & Daniel Rees
2014 Forecasting day-ahead electricity load using a multiple equation time series approach
by Adam Clements & Stan Hurn & Zili Li
2014 Reducible Diffusions with Time-Varying Transformations with Application to Short-Term Interest Rates
by Ruijun Bu & Jie Cheng & Kaddour Hadri
2014 The Changing Transmission of Uncertainty shocks in the US: An Empirical Analysis
by Haroon Mumtaz & Konstantinos Theodoridis
2014 Financial Regimes and Uncertainty Shocks
by Piergiorgio Alessandri & Haroon Mumtaz
2014 What do VARs Tell Us about the Impact of a Credit Supply Shock? An Empirical Analysis
by Haroon Mumtaz & Gabor Pinter & Konstantinos Theodoridis
2014 Fat-tails in VAR Models
by Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter
2014 DSGE Priors for BVAR Models
by Thomai Filippeli & Konstantinos Theodoridis
2014 UQICD v2 User Guide
by D.S. Prasada Rao & Alicia N. Rambaldi & K. Renuka Ganegodage & L. T. Huynh & Howard E. Doran
2014 A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
by Sepideh Dolatabadi & Morten Ørregaard Nielsen & Ke Xu
2014 A fractionally cointegrated VAR analysis of economic voting and political support
by Maggie E.C. Jones & Morten Ørregaard Nielsen & Michal Ksawery Popiel
2014 FCVARmodel.m: A Matlab software package for estimation and testing in the fractionally cointegrated VAR model
by Morten Ørregaard Nielsen & Lealand Morin
2014 Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach
by Arreola Hernandez, Jose & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Al Janabi, Mazin A. M. & Reboredo, Juan Carlos
2014 Business Cycle Synchronisation in EMU: Can Fiscal Policy Bring Member-Countries Closer?
by Degiannakis, Stavros & Duffy, David & Filis, George & Livada, Alexandra
2014 Real Exchange Rate and Economic Growth in China: A Cointegrated VAR Approach
by Tang, Bo
2014 On the cointegration and causality between Oil market, Nuclear Energy Consumption, and Economic Growth: Evidence from Developed Countries
by Naser, Hanan
2014 Intra-Day Realized Volatility for European and USA Stock Indices
by Degiannakis, Stavros & Floros, Christos
2014 Beating a Random Walk: “Hard Times” for Forecasting Inflation in Post-Oil Boom Years?
by Huseynov, Salman & Ahmadov, Vugar & Adigozalov, Shaig
2014 International spillovers from U.S. fiscal policy shocks
by Nicar, Stephen
2014 Exchange rate Pass-Through to domestic prices in Tunisia: a short and long run analysis
by Helali, Kamel & Kalai, Maha & Boujelben, Thouraya
2014 Análise VAR dos índices bolsistas SP500, FTSE100, PSI20, HSI e IBOVESPA
by Fuinhas, José Alberto & Marques, António Cardoso & Nogueira, David Coito
2014 Interest Rates and Structural Shocks in European Transition Economies
by Mirdala, Rajmund
2014 Information Arrival and Volatility: Evidence from the Saudi Arabia Stock Exchange (Tadawul)
by Ezzat, Hassan & Kirkulak, Berna
2014 Income Inequality and FDI: Evidence with Turkish Data
by Ucal, Meltem & Bilgin, Mehmet Hüseyin & Haug, Alfred A.
2014 Estimation and inference of FAVAR models
by Bai, Jushan & Li, Kunpeng & Lu, Lina
2014 On the Selection of Common Factors for Macroeconomic Forecasting
by Giovannelli, Alessandro & Proietti, Tommaso
2014 Causal linkages between electricity consumption and GDP in Thailand: evidence from the bounds test
by Jiranyakul, Komain
2014 Monetary Policy and Bank Hetrogeneity: Effectiveness of Bank Lending Channel in Pakistan
by Rahooja, Sabbah & Ali, Asif & Ahmed, Jameel & Hussain, Fayyaz & Rifat, Rizwana
2014 Computer Simulates the Effect of Internal Restriction on Residuals in Linear Regression Model with First-order Autoregressive Procedures
by Lee, Mei-Yu
2014 Economic Growth, Financial and Trade Globalization in the Philippines: A Vector Autoregressive Analysis
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2014 The Long-run Relationship among World Oil Price, Exchange Rate and Inflation in the Philippines
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2014 Public Health Expenditures, Income and Health Outcomes in the Philippines
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2014 Bayesian Semiparametric Modeling of Realized Covariance Matrices
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2014 The dynamic interaction between combustible renewables and waste consumption and international tourism: The case of Tunisia
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2014 Spillovers between oil and stock markets at times of geopolitical unrest and economic turbulence
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2014 Links Between Commodity Futures And Stock Market: Diversification Benefits, Financialization And Financial Crises
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2014 L’impact de la politique monétaire unique sur l’économie de la zone CEMAC: une approche par la modélisation VAR structurelle et bayésienne
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2014 The determinants of CO2 emissions: empirical evidence from Italy
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2014 Causality and Cointegration between Economic Growth and Energy Consumption: Econometric Evidence from Jordan
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2014 Fiscal and Monetary Policy Interactions in New Zealand
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2014 The Dynamic Causal Relationship between Government Revenue and Government Expenditure Nexus in Ghana
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2014 Fractional Integration of the Price-Dividend Ratio in a Present-Value Model
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2014 Asymmetric Cointegration: Barley and Crude Oil Price in United States
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2014 Examining the Success of the Central Banks in Inflation Targeting Countries: The Dynamics of Inflation Gap and the Institutional Characteristics
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2014 Finite Sample Properties of Tests Based on Prewhitened Nonparametric Covariance Estimators
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2014 Investigating impact of volatility persistence, market asymmetry and information inflow on volatility of stock indices using bivariate GJR-GARCH
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2014 Macro Stress-Testing Credit Risk in Romanian Banking System
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2014 Multi-jumps
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2014 Electricity Consumption, Inflation, and Economic Growth in Nigeria: A Dynamic Causality Test
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2014 Non-linear effects of the U.S. Monetary Policy in the Long Run
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2014 Testing Price Pressure, Information, Feedback Trading, and Smoothing Effects for Energy Exchange Traded Funds
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2014 On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets
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2014 Dynamic State-Space Models
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2014 A dynamic analysis of causality between prices of corn, crude oil and ethanol
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2014 The electricity-growth nexus in South Africa: Evidence from asymmetric co-integration and co-feature analysis
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2014 Consumption, labor income uncertainty, and economic news coverage
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2014 Overseas Filipino Workers Remittances, Inequality and Quality of Life in the Philippines
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2014 The Effects of Oil Prices On Inflation and Growth: Time Series Analysis In Turkish Economy For 1988:01-2013:04 Period
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2014 Do Radioactive Spills from the Fukushima Disaster Have any Influence on Seafood Market in Japan?
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2014 How ICT Investment Influences Energy Demand in South Korea and Japan?
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2014 Editorial for the Special Issue on 'Computational Methods for Russian Economic and Financial Modelling'
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2014 Modeling Covariance Breakdowns in Multivariate GARCH
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2014 The seasonal KPSS Test: some extensions and further results
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2014 Estimating multivariate GARCH and stochastic correlation models equation by equation
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2014 Dynamic Spillover Effects in Futures Markets
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2014 Real-Time Nowcasting Nominal GDP Under Structural Break
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2014 Expectation-Driven Cycles: Time-varying Effects
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2014 Rank and order conditions for identification in simultaneous system of cointegrating equations with integrated variables of order two
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2014 A Method for Experimental Events that Break Cointegration: Counterfactual Simulation
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2014 Asymmetric co-integration and causality effects between financial development and economic growth in South Africa
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2014 Export-Led Growth in Tunisia: A wavelet filtering based analysis
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2014 Mergers and acquisitions transactions strategies in diffusion - type financial systems in highly volatile global capital markets with nonlinearities
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2014 Oil usage, gas consumption and economic growth: Evidence from Poland
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2014 A Vector Error Correction Model for the Relationship between Public Debt and Inflation in Germany
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2014 Uncertainty and Monetary Policy in Good and Bad Times
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2014 Gimme a break! Identification and estimation of the macroeconomic effects of monetary policy shocks in the U.S
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2014 Estimating fiscal multipliers: evidence from a nonlinear world
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2014 Labor Market Dynamics: a Time-varying Analysis
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2014 Factor High-Frequency Based Volatility (HEAVY) Models
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2014 News and Labor Market Dynamics in the Data and in Matching Models
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2014 : Income Inequality and FDI: Evidence with Turkish Data
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2014 Forecasting with Bayesian Global Vector Autoregressive Models: A Comparison of Priors
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2014 Dynamic Analysis of the German Day-Ahead Electricity Spot Market
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2014 Impact of Bank Credit on Economic Growth in Nepal
by Neelam Timsina
2014 Evolution of the Monetary Transmission Mechanism in the US: The Role of Asset Returns
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2014 Time-Varying Effects of Housing and Stock Prices on U.S. Consumption
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2014 Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information
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2014 Jumps in Bond Yields at Known Times
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2014 Central Bank Credibility, Reputation and Inflation Targeting in Historical Perspective
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2014 Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
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2014 Pricing sovereign credit risk of an emerging market
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2014 Market perception of sovereign credit risk in the euro area during the financial crisis
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2014 Money, Banking and Interest Rates: Monetary Policy Regimes with Markov-Switching VECM Evidence
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2014 Money, Banking and Interest Rates: Monetary Policy Regimes with Markov-Switching VECM Evidence
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2014 Estimation for Single-index and Partially Linear Single-index Nonstationary Time Series Models
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2014 High Dimensional Correlation Matrices: CLT and Its Applications
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2014 Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations
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2014 Fast computation of reconciled forecasts for hierarchical and grouped time series
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2014 The kiss of information theory that captures systemic risk
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2014 Detection and quantification of causal dependencies in multivariate time series: a novel information theoretic approach to understanding systemic risk
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2014 An Emerging Market Financial Conditions Index: A VAR Approach
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2014 Are autographs integrating the global art market? The case of hedonic prices for French autographs (1960-2005)
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2014 Are Bad Times Good News for the Securities and Exchange Commission?
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2014 Volatility risk premia and financial connectedness
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2014 Common Macroeconomic Shocks and Business Cycle Fluctuations in Euro Area Countries
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2014 Noise Bubbles
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2014 Inference in VARs with Conditional Heteroskedasticity of Unknown Form
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2014 Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes
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2014 Does money matter in the euro area? Evidence from a new Divisia index
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2014 Estimating a DSGE model with Limited Asset Market Participation for the Euro Area
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2014 Forecasting the oil-gasoline price relationship: should we care about the Rockets and the Feathers?
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2014 The effects of global monetary policy and Greek debt crisis on the dynamic conditional correlations of currency markets
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2014 Identifying safe haven assets for equity investors through an analysis of the stability of shock transmission
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2014 Volatility Spillover between Oil and Stock Market Returns
by B. Anand & Sunil Paul & M. Ramachandran
2014 Asymmetric Price Adjustment - Evidence For India
by Sartaj Rasool Rather & S. Raja Sethu Durai & M. Ramachandran
2014 International Transmission of Credit Shocks: Evidence from Global Vector Autoregression Model
by Ludmila Fadejeva & Martin Feldkircher & Thomas Reininger
2014 Forecasting Natural Population Change: the Case of Latvia
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2014 Asymmetric volatility spillovers between UK regional worker flows and vacancies
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2014 Real exchange rate persistence: the case of the Swiss franc-US dollar rate
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2014 Times Series: Cointegration
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2014 Targeting estimation of CCC-Garch models with infinite fourth moments
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2014 Identification of Financial Factors in Economic Fluctuations
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2014 Malthus and the Industrial Revolution: Evidence from a Time-Varying VAR
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2014 Service Expenditure and Intertemporal Elasticity of Substitution in Japan
by Masafumi Kozuka
2014 Marginal q and Firms' Capital Investments: Evidence from Time Series Data of Japanese Manufacturing Industries
by Masafumi Kozuka
2014 Inflation Targeting and Inflation Expectations: Evidence for Brazil and Turkey
by Sumru Altug & Cem Cakmakli
2014 The Stock Return - Trading Volume Relationship in European Countries: Evidence from Asymmetric Impulse Responses
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2014 Inference in VARs with Conditional Heteroskedasticity of Unknown Form
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2014 Asymmetric Effects of Uncertainty over the Business Cycle: A Quantile Structural Vector Autoregressive Approach
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2014 The aggregate effects of long run sectoral reallocation
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2014 The International Dimension of Confidence Shocks
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2014 Dealing with an error correction model when trade balances are trend-stationary
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2014 Dependence Measures in Bivariate Gamma Frailty Models
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2014 How ICT Investment and Energy Use Influence the Productivity of Korean Industries
by Khayyat, Nabaz T. & Lee, Jongsu & Heshmati, Almas
2014 Education, Health and Wages
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2014 Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps
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2014 Forecasting the density of oil futures
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2014 Policy-oriented macroeconomic forecasting with hybrid DGSE and time-varying parameter VAR models
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2014 Equity Risk Premium and Regional Integration
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2014 The Evolution of Risk Premium as a Measure for Intra-regional Equity Market Integration
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2014 A fear index to predict oil futures returns
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2014 Cointegration of Baltic Stock Markets in the Financial Tsunami: Empirical Evidence
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2014 Integration versus segmentation in Middle East North Africa equity market: Time variations and currency risk
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2014 Understanding return and volatility spillovers among major agricultural commodities
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2014 L’intégration intra-régionale des marchés boursiers de l’Europe du sudest : une analyse multivariée
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2014 The determinants of regional stock market integration in Middle East: A Conditional ICAPM Approach
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2014 Forecasting the US Economy with a Factor-Augmented Vector Autoregressive DSGE model
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2014 A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies
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2014 How Strongly are Business Cycles and Financial Cycles Linked in the G7 Countries?
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2014 The Zero Lower Bound and Parameter Bias in an Estimated DSGE Model
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2014 In search of the transmission mechanism of fiscal policy in the Euro area
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2014 Commodity Price Booms and Breaks: Detection, Magnitude and Implications for Developing Countries
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2014 A Bayesian Approach to Modelling Bivariate Time-Varying Cointegration and Cointegrating Rank
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2014 Estimating Fiscal Multipliers: News from a Nonlinear World
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2014 Quantifying Informational Linkages in a Global Model of Currency Spot Markets
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2014 Uncertainty Shocks and Unemployment Dynamics in U.S. Recessions
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2014 On GDP-employment decoupling in Germany
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2014 Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence
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2014 Structural Vector Autoregressions with Smooth Transition in Variances - The Interaction Between U.S. Monetary Policy and the Stock Market
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2014 Nonparametric Test for a Constant Beta over a Fixed Time Interval
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2014 Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models
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2014 Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity
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2014 Confidence Bands for Impulse Responses: Bonferroni versus Wald
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2014 Functional stable limit theorems for efficient spectral covolatility estimators
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2014 Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey
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2014 Short-Term Forecasting of GDP under Structural Changes
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2014 Adaptations of Conventional Spatial Econometric Models to Count Data
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2014 Serially Correlated Measurement Errors in Time Series Regression: The Potential of Instrumental Variable Estimators
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2014 Effects of US Policy Uncertainty on Swedish GDP Growth
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2014 The Euro Crisis and Swedish GDP Growth — A Study of Spillovers
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2014 Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification
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2014 Are Bad Times Good News for the Securities and Exchange Commission?
by Lohse, Tim & Thomann, Christian
2014 How ICT Investment and Energy Use Influence the Productivity of Korean Industries?
by Khayyat, Nabaz T. & Lee, Jongsu & Heshmati, Almas
2014 Does money matter in the euro area? Evidence from a new Divisia index
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2014 Does Government Expenditure Multiply Output and Employment in Australia?
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2014 BRICs and PIGS in the presence of Uncle Sam and big brothers: Who drive who? Evidence based on asymmetric causality tests
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2014 Crowding-in and Crowding-out Effects of Public Investments in the Portuguese Economy
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2014 Is the Slovak Economy Doing Well? A Twin Deficit Growth Approach
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2014 Data-based priors for vector autoregressions with drifting coefficients
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2014 Business Cycles in Oil Exporting Countries: A Declining Role for Oil?
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2014 An Examination of the Convergence in the Output of South American Countries: The Influence of the Region’s Integration Projects
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2014 Exchange Rate Pass-through in Russia
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2014 One size does not fit all. A non-linear analysis of European monetary transmission
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2014 The Individually Accepted Loss
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2014 Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures
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2014 Gaussian Mixture Approximations of Impulse Responses and the Nonlinear Effects of Monetary Shocks
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2014 Indeterminacy and Learning: An Analysis of Monetary Policy in the Great Inflation
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2014 Analyzing data revisions with a dynamic stochastic general equilibrium model
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2014 The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited
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2014 Evaluating Conditional Forecasts from Vector Autoregressions
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2014 Financial stress regimes and the macroeconomy
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2014 Jumps in Bond Yields at Known Times
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2014 Theory and practice of GVAR modeling
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2014 Frequency Dependence in a Real-Time Monetary Policy Rule
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2014 Estimating (Markov-Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach
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2014 Evaluating Conditional Forecasts from Vector Autoregressions
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2014 The Dynamic Striated Metropolis-Hastings Sampler for High-Dimensional Models
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2014 The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks
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2014 Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis
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2014 Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications
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2014 Forecasting the Oil-gasoline Price Relationship: Should We Care about the Rockets and the Feathers?
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2014 Assessing the link between price and financial stability
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2014 Fiscal Policy Shocks and the Dynamics of Asset Prices: The South African Experience
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2014 Housing and the Business Cycle in South Africa
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2014 Forecasting Aggregate Retail Sales: The Case of South Africa
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2014 Forecasting South African Inflation Using Non-Linear Models: A Weighted Loss-Based Evaluation
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2014 Testing the Asymmetric Effects of Financial Conditions in South Africa: A Nonlinear Vector Autoregression Approach
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2014 Revisiting Herding Behavior in REITs: A RegimeSwitching Approach
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2014 The impact of oil price on South African GDP growth: A Bayesian Markov Switching-VAR analysis
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2014 Testing the Asymmetric Effects of Financial Conditions in South Africa: A Nonlinear Vector Autoregression Approach
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2014 Risk Spillovers across the Energy and Carbon Markets and Hedging Strategies for Carbon Risk
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2014 Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
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2014 An Alternative View of the US Price-Dividend Ratio Dynamics
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2014 A procedure for combining zero and sign restrictions in a VAR-identification scheme
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2014 Structural VARs, Deterministic and Stochastic Trends: Does Detrending Matter?
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2014 Inflation Expectations and How it Explains the Inflationary Impact of Oil Price Shocks: Evidence from the Michigan Survey
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2014 Asymmetric Increasing Trends in Dependence in International Equity Markets
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2014 Modelling Inflation Volatility
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2014 Indeterminacy and Learning: An Analysis of Monetary Policy in the Great Inflation
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2014 Fast Computation of the Deviance Information Criterion for Latent Variable Models
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2014 Currency hedge – walking on the edge?
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2014 The great (De)leveraging in the GIIPS countries. Domestic credit and net foreign liabilities 1998–2013
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2014 Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks
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2014 On the Capacity Functional of Excursion Sets of Gaussian Random Fields on R²
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2014 Financial integration, financial turmoil and risk premia in emerging markets
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2014 Cross-Market Spillovers with ‘Volatility Surprise’
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2014 Oil price shocks and global imbalances: Lessons from a model with trade and financial interdependencies
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2014 Looking at the other side of carry trades: Are there any safe haven currencies?
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2014 The effect of credit conditions on the Dutch housing market
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2014 Cyclical changes in firm volatility
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2014 Macro News and Bond Yield Spreads in the Euro Area
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2014 Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Mean Analysis
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2014 Long Memory in UK Real GDP, 1851-2013: An ARFIMA-FIGARCH Analysis
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2014 Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach
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2014 Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market
by Helmut Lütkepohl & Aleksei Netsunajev
2014 Are There Bubbles in Stock Prices?: Testing for Fundamental Shocks
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2014 Elasticities of Supply for the US Natural Gas Market
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2014 Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity
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2014 Confidence Bands for Impulse Responses: Bonferroni versus Wald
by Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker
2014 Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey
by Helmut Lütkepohl
2014 On The Long-Term Macroeconomic Effects Of Social Spending In The United States
by Alfredo Marvão Pereira & Jorge M. Andraz
2014 On The Long-Term Macroeconomic Effects Of Social Security Spending:Evidence For 12 Eu Countries
by Alfredo Marvão Pereira & Jorge M. Andraz
2014 Optimal Uniform Convergence Rates and Asymptotic Normality for Series Estimators under Weak Dependence and Weak Conditions
by Xiaohong Chen & Timothy M. Christensen
2014 Propensity to patent, R&D and market competition : dynamic spillovers of innovation leaders and followers
by Blazsek, Szabolcs & Escribano, Álvaro
2014 Heteroskedasticity-and-Autocorrelation-Consistent Bootstrapping
by Russel Davidson & Andrea Monticini
2014 Asymmetric Increasing Trends in Dependence in International Equity Markets
by Tatsuyoshi Okimoto
2014 Potential growth in France and the euro area: an overview of the estimation methods
by M. LEQUIEN & A. MONTAUT
2014 Spot Market Volatility and Futures Trading: The Pitfalls of Using a Dummy Variable Approach
by Martin T. Bohl & Jeanne Diesteldorf & Christian A. Salm & Bernd Wilfling
2014 Time-varying equilibrium rates in small open economies: Evidence for Canada
by Tino Berger & Bernd Kempa
2014 Joint Confidence Sets for Structural Impulse Responses
by Inoue, Atsushi & Kilian, Lutz
2014 Structural FECM: Cointegration in large-scale structural FAVAR models
by Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor
2014 No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates
by Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano
2014 Speculation in the Oil Market
by Juvenal, Luciana & Petrella, Ivan
2014 Impulse Response Matching Estimators for DSGE Models
by Guerron-Quintana, Pablo A. & Inoue, Atsushi & Kilian, Lutz
2014 Following the Trend: Tracking GDP when Long-Run Growth is Uncertain
by Antolin-Diaz, Juan & Drechsel, Thomas & Petrella, Ivan
2014 A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics
by Pettenuzzo, Davide & Timmermann, Allan G & Valkanov, Rossen
2014 Identifying the Sources of Model Misspecification
by Inoue, Atsushi & Kuo, Chun-Hung & Rossi, Barbara
2014 Government Spending Shocks in Open Economy VARs
by Forni, Mario & Gambetti, Luca
2014 Has the Euro-Mediterranean partnership affected Mediterranean business cycles?
by Canova, Fabio & Schlaepfer, Alan
2014 Choosing the variables to estimate singular DSGE models: Comment
by Nikolay, Iskrev
2014 Estimating nonlinear DSGE models with moments based methods
by Sergey, Ivashchenko
2014 Follow the leader? Public and private wages in the Netherlands
by Annette Zeilstra & Adam Elbourne
2014 Specification, estimation and evaluation of vector smooth transition autoregressive models with applications
by Terasvirta, Timo & Yang, Yukai
2014 Linearity and misspecification tests for vector smooth transition regression models
by Terasvirta, Timo & Yang, Yukai
2014 Forecasting comparison of long term component dynamic models for realized covariance matrices
by BAUWENS, Luc & BRAIONE, Manuela & STORTI, Giuseppe
2014 Testing constancy of the error covariance matrix in vector models against parametric alternatives using a spectral decomposition
by YANG, Yukai
2014 Estimation and empirical performance of non-scalar dynamic conditional correlation models
by BAUWENS, Luc & GRIGORYEVA, Lyudmila & ORTEGA, Juan-Pablo
2014 Causas del desempleo en Colombia en el siglo XXI: Evidencia a partir de un modelo var-x cointegrado
by Oscar Andrés Espinosa Acuña & Paola Andrea Vaca González
2014 Exchange Rates Contagion in Latin America
by Rubén Albeiro Loaiza Maya & José Eduardo Gómez-González & Luis Fernando Melo Velandia
2014 La Estructura a Plazos del Riesgo Interbancario
by Guillermo Andrés Cangrejo Jiménez
2014 The Impact of Financial Variables on Czech Macroeconomic Developments: An Empirical Investigation
by Tomas Adam & Miroslav Plasil
2014 A Spectral Em Algorithm For Dynamic Factor Models
by Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana
2014 Looking at the Other Side of Carry Trades: Are there any Safe Haven Currencies?
by Virginie Coudert & Cyriac Guillaumin & Hélene Raymond
2014 Oil price shocks and global imbalances: Lessons from a model with trade and financial interdependencies
by Jean-Pierre Allegret & Valérie Mignon & Audrey Sallenave
2014 Tracking the Slowdown in Long-Run GDP Growth
by Juan Antolin-Diaz & Thomas Drechsel & Ivan Petrella
2014 A procedure for combining zero and sign restrictions in a VAR-identification scheme
by Alex Haberis & Andrej Sokol
2014 On the Long-Term Macroeconomic Effects of Social Security Spending: Evidence for 12 EU Countries
by Alfredo M. Pereira & Jorge M. Andraz
2014 Carry Funding and Safe Haven Currencies: A Threshold Regression Approach
by Oliver Hossfeld & Ronald MacDonald
2014 Urbanization and Growth: Why Did the Splendor of the Italian Cities in the Sixteenth Century not Lead to Transition?
by Bruno Chiarini & Elisabetta Marzano
2014 Macro News and Bond Yield Spreads in the Euro Area
by Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo
2014 Dimensions of Macroeconomic Uncertainty: A Common Factor Analysis
by Steffen Henzel & Malte Rengel
2014 Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Means Analysis
by Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo
2014 Effectiveness and Transmission of the ECB's Balance Sheet Policies
by Jef Boeckx & Maarten Dossche & Gert Peersman
2014 Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach
by Guglielmo Maria Caporale & Faek Menla Ali & Nicola Spagnolo
2014 Theory and Practice of GVAR Modeling
by Alexander Chudik & M. Hashem Pesaran
2014 Shocks to Bank Lending, Risk-Taking, Securitization, and their Role for U.S. Business Cycle Fluctuations
by Gert Peersman & Wolf Wagner
2014 Youth Unemployment in Europe: Persistence and Macroeconomic Determinants
by Guglielmo Maria Caporale & Luis A. Gil-Alana
2014 Malthus and the Industrial Revolution: Evidence from a Time-Varying VAR
by Alexander Rathke & Samad Sarferaz
2014 Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity
by Helmut Luetkepohl & Anton Velinov
2014 Confidence Bands for Impulse Responses: Bonferroni versus Wald
by Helmut Luetkepohl & Anna Staszewska-Bystrova & Peter Winker
2014 Testing Unemployment Theories: A Multivariate Long Memory Approach
by Guglielmo Maria Caporale & Luis A. Gil-Alana & Yuliya Lovcha
2014 Chocolate price fluctuations may cause depression: an analysis of price pass-through in the cocoa chain
by Catherine ARAUJO BONJEAN & Jean-François BRUN
2014 Unit Root Tests, Size Distortions, and Cointegrated Data
by W. Robert Reed
2014 Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
by Manabu Asai & Michael McAleer
2014 Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
by Michael McAleer
2014 Finding Yeti: More robust estimates of output gap in Slovakia
by Ludovit Odor & Judita Jurasekova Kucserova
2014 Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence
by Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss
2014 Multivariate Variance Ratio Statistics
by Seok Young Hong & Oliver Linton & Hui Jun Zhang
2014 Assessing Interbank Connectedness Using Transmission Decomposition Techniques: an Application to Eurozone SIFIs
by Cherry Muijsson
2014 Fair Weather or Foul? The Macroeconomic Effects of El Niño
by Paul Cashin & Kamiar Mohaddes & Mehdi Raissi
2014 Theory and Practice of GVAR Modeling
by Alexander Chudik & M. Hashem Pesaran
2014 Long Run Dynamics of World Food, Crude Oil Prices and Macroeconomic Variables: A Cointegration VAR Analysis
by José M. Fernández
2014 A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics
by Davide Pettenuzzo & Rossen Valkanov & Allan Timmermann
2014 Inflation Dynamics and Business Cycles
by Suleyman Hilmi Kal & Nuran Arslaner & Ferhat Arslaner
2014 The determinants of vat revenue efficiency: recent evidence from Greece
by Athanasios O. Tagkalakis
2014 Financing exports of goods: a constraint on Greek economic growth
by Ioanna C. Bardakas
2014 Assessing the variability of indirect tax elasticity in Greece
by Athanasios O. Tagkalakis
2014 A large Bayesian vector autoregression model for Russia
by Deryugina, Elena & Ponomarenko, Alexey
2014 What is the role of Emerging Asia in global oil prices?
by Melolinna, Marko
2014 Bank capital, adjustment and ownership: Evidence from China
by Molyneux, Philip & Liu, Hong & Jiang, Chunxia
2014 The credibility of Hong Kong’s currency board system: Looking through the prism of MS-VAR models with time-varying transition probabilities
by Blagov, Boris & Funke, Michael
2014 Optimal contracts, aggregate risk and the financial accelerator
by Fuerst, Timothy & Carlstrom, Charles & Paustian, Matthias
2014 News and labour market dynamics in the data and in matching models
by Theodoridis, Konstantinos & Zanetti, Francesco
2014 Boom or gloom? Examining the Dutch disease in two-speed economies
by Hilde C. Bjørnland & Leif Anders Thorsrud
2014 Combined Density Nowcasting in an uncertain economic environment
by Knut Are Aastveit & Francesco Ravazzolo & Herman K. van Dijk
2014 Boom or gloom? Examining the Dutch disease in two-speed economies
by Hilde C. Bjørnland & Leif Anders Thorsrud
2014 Identification of financial factors in economic fluctuations
by Francesco Furlanetto & Francesco Ravazzolo & Samad Sarferaz
2014 Forecasting recessions in real time
by Knut Are Aastveit & Anne Sofie Jore & Francesco Ravazzolo
2014 Mixed frequency structural VARs
by Claudia Foroni & Massimiliano Marcellino
2014 Regression-based analysis of cointegration systems
by Javier Gómez Biscarri & Javier Hualde
2014 A Residual-Based ADF Test for Stationary Cointegration in I (2) Settings
by Javier Gómez Biscarri & Javier Hualde
2014 Contrasting Bayesian and Frequentist Approaches to Autoregressions: the Role of the Initial Condition
by Marek Jarocinski & Albert Marcet
2014 A Quadratic Kalman Filter
by Monfort, A. & Renne, J.-P. & Roussellet, G.
2014 A stylized applied energy-economy model for France
by Henriet, F. & Maggiar, N. & Schubert, K.
2014 Forecasting the Oil-Gasoline Price Relationship: Should We Care About the Rockets and the Feathers?
by Andrea Bastianin & Marzio Galeotti & Matteo Manera
2014 The Impact of U.S. Monetary Policy Normalization on Capital Flows to Emerging-Market Economies
by Tatjana Dahlhaus & Garima Vasishtha
2014 International Transmission Channels of U.S. Quantitative Easing: Evidence from Canada
by Tatjana Dahlhaus & Kristina Hess & Abeer Reza
2014 Real-Time Nowcasting of Nominal GDP Under Structural Breaks
by William A. Barnett & Marcelle Chauvet & Danilo Leiva-Leon
2014 A New Approach to Infer Changes in the Synchronization of Business Cycle Phases
by Danilo Leiva-Leon
2014 Monetary Policy Transmission during Financial Crises: An Empirical Analysis
by Tatjana Dahlhaus
2014 Monetary policy in the North, effects in the South
by Gonzalo De Cadenas Santiago & Alicia Garcia-Herrero & Alvaro Ortiz Vidal-Abarca
2014 Technology, Employment, and the Oil-Countries Business Cycle
by Rodolfo Mendez-Marcano
2014 Financial regimes and uncertainty shocks
by Piergiorgio Alessandri & Haroon Mumtaz
2014 Decomposing Beveridge curve dynamics by correlated unobserved components
by Klinger, Sabine & Weber, Enzo
2014 Capturing the Interaction of Trend, Cycle, Expectations and Risk Premia in the US Term Structure
by Soloschenko, Max & Weber, Enzo
2014 Matrix Box-Cox Models for Multivariate Realized Volatility
by Weigand, Roland
2014 Long- versus medium-run identification in fractionally integrated VAR models
by Tschernig, Rolf & Weber, Enzo & Weigand, Roland
2014 Matrix Box-Cox Models for Multivariate Realized Volatility
by Roland Weigand
2014 Shift-Volatility Transmission in East Asian Equity Markets
by Marcel Aloy & Gilles de Truchis & Gilles Dufrénot & Benjamin Keddad
2014 Dollarization and the relationship between EMBI and fundamentals Latin American countries
by María Lorena Mari del Cristo & Marta Gómez-Puig
2014 The Short-Run Pricing Behavior of Closed-End Funds: Bond vs. Equity Funds
by Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana Stern
2014 Cross listing: price discovery dynamics and exchange rate effects
by Cristina M. Scherrer
2014 On the identification of fractionally cointegrated VAR models with the F(d) condition
by Paolo Santucci de Magistris & Federico Carlini
2014 Vector Autoregressions with Parsimoniously Time Varying Parameters and an Application to Monetary Policy
by Laurent Callot & Johannes Tang Kristensen
2014 Times Series: Cointegration
by Søren Johansen
2014 Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models
by Morten Ørregaard Nielsen
2014 A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
by Sepideh Dolatabadi & Morten Ørregaard Nielsen & Ke Xu
2014 A fractionally cointegrated VAR analysis of economic voting and political support
by Maggie E. C. Jones & Morten Ørregaard Nielsen & Michael Ksawery Popiel
2014 Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models
by Markku Lanne & Henri Nyberg
2014 On an Estimation Method for an Alternative Fractionally Cointegrated Model
by Federico Carlini & Katarzyna Lasak
2014 Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification
by Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou
2014 Testing Constancy of the Error Covariance Matrix in Vector Models against Parametric Alternatives using a Spectral Decomposition
by Yukai Yang
2014 Noncausal Bayesian Vector Autoregression
by Markku Lanne & Jani Luoto
2014 Bagging Weak Predictors
by Manuel Lukas & Eric Hillebrand
2014 Testing for near I(2) trends when the signal-to-noise ratio is small
by Juselius, Katarina
2014 Stock Market Development, Bank Concentration, Ownership Structure, and Bank Performance: Evidence from Turkey
by Ayaydin, Hasan & Karaaslan, İbrahim
2014 External Debt and Economic Growth in Tunisia
by Samir Abdelhafidh
2014 Tax Smoothing Hypothesis: A Turkish Case
by Taner Turan & Mesut Karakas & Halit Yanikkaya
2014 International Portfolio Diversification: United States and South Asian Equity Markets
by Rizwan Mushtaq & Syed Zulfiqar Ali Shah
2014 Unravelling the magnitude of Sub-Saharan Africa cotton quality in sector reform outcomes
by Lorenza Alexandra Lorenzetti
2014 Timber Restrictions, Financial Crisis, and Price Transmission in North American Softwood Lumber Markets
by Changyou Sun & Zhuo Ning
2014 Estimating NAIRU for Turkey Using Extended Kalman Filter Approach
by Vuslat Us
2014 A Quest for Leading Indicators of the Turkish Unemployment Rate
by Burcu Gurcihan Yunculer & Gonul Sengul & Arzu Yavuz
2014 Do Inflation Expectations Converge Toward Inflation Target or Actual Inflation? Evidence from Expectation Gap Persistence
by Serkan Cicek & Cuneyt Akar
2014 Evaluation Of An Environmental Health Awareness Program In The Gaza Strip, Palestine
by Amal Khalil SARSOUR & Abdelnaser OMRAN & Yahia ABID & Guy ROBINSON
2014 International Tourism And Economic Growth In Thailand. Cointegration And The Granger Causality
by Anothai HARASARN & Surachai CHANCHARAT
2014 Ex-Post and Ex-Ante Forecasts of Spot Prices in Bulk Shipping in a Period of Economic Crisis using Simultaneous Equation Models
by Nikolaos D. Geomelos & Evangelos Xideas
2014 Household Money Holdings in the Euro Area: An Explorative Investigation
by Franz Seitz & Julian von Landesberger
2014 Volatility Transmission Between Stock and Foreign Exchange Markets: Evidence from Nigeria
by Emenike Kalu O.
2014 Aplicación de Análisis Multifractal de Exponentes de Hölder en Mercados Financieros Mexicanos: índice accionario IPC y tipo de cambio USD/MXN / A Multifractal Analysis Application of Hölder Exponents in Mexican Financial Markets: Mexican Stock Index and Foreign Exchange USD/MXN
by Rendón De la Torre, Stephanie
2014 Interrelaciones y causalidad entre los principales mercados de capitales en América Latina: un enfoque de Series de Tiempo / Interrelations and causality among the main capital markets in Latin America: a Time Series approach
by Gurrola Ríos, César & Santillán Salgado, Roberto & Jiménez Preciado, Ana Lorena
2014 Dilemma of the Silver Standard Economies: The Case of China
by Tai-kuang Ho
2014 Output Growth and its Volatility: The Gold Standard through the Great Moderation
by WenShwo Fang & Stephen M. Miller
2014 Applicability of Openness-led Growth Hypothesis in Sri Lanka
by Navaratnam Ravinthirakumaran
2014 The Impact of the Sovereign Debt Crisis on Bank Lending Rates in the Euro Area
by Stefano Neri
2014 Attempting to Quantify the Accuracy of Complex Macroeconomic Forecasts
by Emilian Dobrescu
2014 Investigating the Impact of Unemployment Rate on the Romanian Shadow Economy. A Complex Approach Based on ARDL and SVAR Analysis
by Adriana Anamaria Davidescu (Alexandru)
2014 Nonlinearity, Volatility and Fractional Integration in Daily Oil Prices: Smooth Transition Autoregressive ST-FI(AP)GARCH Models
by Melike Bildirici & Özgür Ömer Ersin
2014 The Twin Deficits in Selected Central and Eastern European Economies: Bounds Testing Approach with Causality Analysis
by Tosun, M. Umur & Iyidogan, Pelin Varol & Telatar, Erdinç
2014 A Dynamic Weighted Distancedbased Fuzzy Time Series Neural Network with Bootstrap Model for Option Price Forecasting
by Chih-Chung Yang & Yungho Leu & Chien-Pang Lee
2014 Unemployment, Gender and Labor Force Participation in Spain: Future Trends in Labor Market
by Congregado, Emilio & Carmona, Monica & Golpe, Antonio A. & Van Stel, André
2014 International Equity Diversification Between the United States and Brics Countries
by Zhong, Ming & Chang,Tsangyao & Tzeng, Han-Wen
2014 Convergence in the Core Euro Zone under the Global Financial Crisis
by Lee, Kang-Soek & Mercurelli, Franceline
2014 Adequacy of Lagrange Multiplier Test
by Lee , Mei-Yu
2014 Alternative Methods Of Estimating Output Gap For Turkey
by Saraçoğlu, Bedriye & Yiğit, Özlem & Koçak, Necmettin Alpay
2014 An Empirical Analysis of the Relations among Consumer Expenditures, Consumption Credits and Consumer Confidence in Turkish Economy
by Arısoy, İbrahim & Aytun, Cengiz
2014 The copula based on multivariate t-distribution with vector of degrees of freedom
by Balaev, Alexey
2014 Real estate boom and export performance bust in Croatia
by Marina Tkalec & Maruska Vizek
2014 Islamic Banking and Economic Growth — A cointegration Approach
by Mosab I. Tabash & Raj S. Dhankar
2014 Autocovariance and Linear Transformations of Markov Switching VARMA Processes
by Maddalena Cavicchioli
2014 Cyclical Processes in the Polish Economy
by Marta Skrzypczyńska
2014 Measuring Forecast Uncertainty of Corporate Bond Spreads by Bonferroni-Type Prediction Bands
by Anna Staszewska-Bystrova & Peter Winker
2014 Srovnání měnových transmisních mechanismů České republiky a Polska pomocí funkcí odezvy
by Sára Bíza Bisová & Roman Hušek
2014 Determinanty integrácie akciových trhov krajín V4
by Eduard Baumöhl
2014 Sustainability of current account deficit with high oil prices: Evidence from Turkey
by Erkan Özata
2014 Inflation dynamics in the Czech Republic: Estimation of the New Keynesian Phillips curve
by Daniela Milučká
2014 Exchange Rate Exposure and its Determinants: Evidence on Hungarian Firms
by Lucie TOMANOVÁ
2014 Additive Decomposition and Boundary Conditions in Wavelet-Based Forecasting Approaches
by Milan Bašta
2014 Macroeconomic Modelling of a Firm´s Default
by Michal Řičař
2014 Simulating Bivariate Stationary Processes with Scale-Specific Characteristics
by Milan Bašta
2014 Linkages between the Financial and Real Sectors across Interest Rate Regimes: The Case of the Czech Republic
by Tomas Konecny
2014 The Impact Of The Financial Crisis On Long Memory: Evidence From European Banking Indices
by Pece Andreea Maria & Mihut Ioana Sorina & Oros Olivera Ecaterina
2014 Bank Credit and Economic Growth in Nepal: An Empirical Analysis
by Neelam Timsina
2014 Is illiquidity risk priced? The case of the Polish medium-size emerging stock market
by Joanna Olbryœ
2014 A factor-augmented model of markup on mortgage loans in Poland
by Victor Bystrov
2014 Relación de causalidad entre el índice de precios del productor y el índice de precios del consumidor incorporando cambios estructurales. El caso de México
by Gómez Aguirre Mario & Lenin Navarro Chávez José César
2014 The Dynamic Causal Relationship between Electricity Consumption and Economic Growth in Ghana: A Trivariate Causality Model
by Bernard N. Iyke & Nicholas M. Odhiambo
2014 Transmisión entre mercados bursátiles y crisis financiera: El caso de España/Transmission between Stock Markets and Financial Crisis: The Case of Spain
by RICO BELDA, PAZ
2014 Financial crises and volatility spillovers among emerging European equity markets
by Ugur Ergun & Zehra Mahmutović
2014 Value-at-Risk and Expected Stock Returns: Evidence from Pakistan
by Javed Iqbal & Sara Azher
2014 The Democracy and Economic Growth Nexus: Empirical Evidence from Côte d’Ivoire
by Wadjamsse B. Djezou
2014 On the Stability of Nigeria’s Import Demand: Do Endogenous Structural Breaks Matter?
by Mohammed Isa Shuaibu & Basiru Oyeniran Fatai
2014 Stock Market Development, Bank Concentration, Ownership Structure, and Bank Performance: Evidence from Turkey
by Hasan AYAYDIN & Ýbrahim KARAASLAN
2014 Pénzintézeti mérlegadatok monetáris politikai újraértelmezése. A brókerkereskedő szervezetek reálgazdasági és likviditási jelentősége
by Ács, Attila
2014 External Vulnerabilities And Economic Integration: Is The Union Of South American Nations A Promising Project?
by ANDREA BONILLA BOLANOS
2014 Electricity consumption, exports, and economic growth in the democratic republic of Congo: an Ardl-bounds testing approach
by Nicholas M. Odhiambo
2014 A study of the relation between inflation and exchange rates in the Fiji islands: a cointegration and vector error correction approach
by Muthucattu Thomas Paul & Yih Pin Tang & Markand Bhatt
2014 Do fdi and public investment crowd in or crowd out private domestic investment in India
by Badri Narayan Rath & Debi Prasad Bal
2014 Foreign direct investment, financial development, and economic growth: a cointegration model
by Adil H. Suliman & Mohammad I. Elian
2014 The power of fiscal multipliers in Croatia
by Ana Grdovic Gnip
2014 The Venezuelan Financial System. What Compromises its Performance?
by Ana Maria A. Chirinos L. & Carolina Pagliacci
2014 Convergence and Long-Run Uncertainty
by Pablo M. Pincheira
2014 Nowcasting Norway
by Matteo Luciani & Lorenzo Ricci
2014 Structural Real Exchange Rate and Unemployment Interdependencies in Argentina
by Eric J. Pentecost & Fernando Zarzosa Valdivia
2014 Oil Price Fluctuations and Trade Balance of Turkey
by Suleyman ACIKALIN & Erginbay UGURLU
2014 Forecasting Volatility: Evidence from the Bucharest Stock Exchange
by Erginbay UGURLU
2014 Operational Risk Analysis Of Industrial Small And Medium Enterprises
by Jorge A. Restrepo & Jairo Angel DÃaz & Juan Esteban Ocampo
2014 Survey the Dynamic of Inflation in Iran Since 1990
by Mohammad Mirbagherijam
2014 Factor-based prediction of industry-wide bank stress
by Grover, Sean P. & McCracken, Michael W.
2014 Risk-Return Convergence in CEE Stock Markets: Structural Breaks and Market Volatility
by Eduard Baumöhl & Štefan Lyócsa
2014 The Dynamics of Sovereign Credit Default Swaps and the Evolution of the Financial Crisis in Selected Central European Economies
by Agata Kliber
2014 Effectiveness of Portfolio Diversification and the Dynamic Relationship between Stock and Currency Markets in the Emerging Eastern European and Russian Markets
by Yen-Hsien Lee & Hao Fang & Wei-Fan SU
2014 Crescita nei consumi di IV gamma. Un’applicazione del modello AIDS alla domanda italiana di ortofrutta
by Antonio Baselice & Antonio Stasi & Francesco Diotallevi & Andrea Marchini & Gianluca Nardone
2014 The Effect of Nonzero Autocorrelation Coefficients on the Distributions of Durbin-Watson Test Estimator: Three Autoregressive Models
by Mei-Yu LEE
2014 Desarrollo financiero, crecimiento y volatilidad: una breve revisión de la literatura reciente
by Rodolfo Cermeño & María José Roa
2014 Desdolarización financiera en Bolivia
by Marco Antonio del Río Rivera & Casto Martín Montero Kuscevic
2014 Doviz Piyasasinin Etkinligi: Turkiye icin Bir Analiz
by Burcu BERKE & Burcu OZCAN & Hatice Isin DIZDARLAR
2014 Turkiye’nin Ihracat Performansi: Ihracat Hacminin Temel Belirleyicilerinin Incelenmesi (1995-2012)
by Mehmet BALCILAR & Harun BAL & Nese ALGAN & Mehmet DEMIRAL
2014 Turkiye’de Cari Islemler Aciginin Surdurulebilirligi
by Senay ACIKGOZ & Anil AKCAGLAYAN
2014 The timing ability and global performance of Tunisian mutual fund managers: A multivariate GARCH approach
by Oueslati, Abdelmonem & Hammami, Yacine & Jilani, Faouzi
2014 Cross-market spillovers with ‘volatility surprise’
by Aboura, Sofiane & Chevallier, Julien
2014 The growth and inequality nexus: The case of China
by Chan, Kenneth S. & Zhou, Xianbo & Pan, Zhewen
2014 Internet, noise trading and commodity futures prices
by Peri, Massimo & Vandone, Daniela & Baldi, Lucia
2014 Determining what drives stock returns: Proper inference is crucial: Evidence from the UK
by Ma, Jun & Wohar, Mark E.
2014 Untangling the causal relationship between government budget and current account deficits in OECD countries: Evidence from bootstrap panel Granger causality
by Xie, Zixiong & Chen, Shyh-Wei
2014 If the United States sneezes, does the world need “pain-killers”?
by Herrerias, M.J. & Ordóñez, J.
2014 Patterns of volatility transmissions within regime switching across GCC and global markets
by Khalifa, Ahmed A.A. & Hammoudeh, Shawkat & Otranto, Edoardo
2014 A time-varying perspective on the CAPM and downside betas
by Tsai, Hsiu-Jung & Chen, Ming-Chi & Yang, Chih-Yuan
2014 The impact of oil price shocks on the large emerging countries' stock prices: Evidence from China, India and Russia
by Fang, Chung-Rou & You, Shih-Yi
2014 An investigation of the causal relations between exchange rates and interest rate differentials using wavelets
by Hacker, R. Scott & Karlsson, Hyunjoo Kim & Månsson, Kristofer
2014 Unemployment in Greece: Evidence from Greek regions using panel unit root tests
by Bakas, Dimitrios & Papapetrou, Evangelia
2014 Impact of uncertainty on high frequency response of the U.S. stock markets to the Fed's policy surprises
by Marfatia, Hardik A.
2014 Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors
by Hammoudeh, Shawkat & Mensi, Walid & Reboredo, Juan Carlos & Nguyen, Duc Khuong
2014 Risk contributions of trading and non-trading hours: Evidence from Chinese commodity futures markets
by Liu, Qingfu & An, Yunbi
2014 An empirical examination of the lead–lag relationship between spot and futures markets: Evidence from Thailand
by Judge, Amrit & Reancharoen, Tipprapa
2014 Characterizing information flows among spot, deliverable forward and non-deliverable forward exchange rate markets: A cross-country comparison
by Wang, Kai-Li & Fawson, Christopher & Chen, Mei-Ling & Wu, An-Chi
2014 Asymmetric Information and Volatility Forecasting in Commodity Futures Markets
by Liu, Qingfu & Wong, Ieokhou & An, Yunbi & Zhang, Jinqing
2014 Does the Internet increase labor productivity? Evidence from a cross-country dynamic panel
by Najarzadeh, Reza & Rahimzadeh, Farzad & Reed, Michael
2014 Euro area inflation as a predictor of national inflation rates
by Cavallo, Antonella & Ribba, Antonio
2014 Housing and the business cycle in South Africa
by Aye, Goodness C. & Balcilar, Mehmet & Bosch, Adél & Gupta, Rangan
2014 Interest rate pass-through in the Euro area during the financial crisis: A multivariate regime-switching approach
by Aristei, David & Gallo, Manuela
2014 Are Italian consumer confidence adjustments asymmetric? A macroeconomic and psychological motives approach
by Paradiso, Antonio & Kumar, Saten & Margani, Patrizia
2014 Housing market volatility in the OECD area: Evidence from VAR based return decompositions
by Engsted, Tom & Pedersen, Thomas Q.
2014 Effects of Eurobonds: A stochastic sovereign debt sustainability analysis for Portugal, Ireland and Greece
by Tielens, J. & van Aarle, B. & Van Hove, J.
2014 Non-linear adjustments to intranational PPP
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2014 An estimated New-Keynesian model with unemployment as excess supply of labor
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2014 Time-varying equilibrium rates in small open economies: Evidence for Canada
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2014 What explains the recent fluctuations in Japan’s output? A structural factor analysis of Japan’s industrial production
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2014 Bank bailouts and bank-sovereign risk contagion channels
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2014 System-wide tail comovements: A bootstrap test for cojump identification on the S&P 500, US bonds and currencies
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2014 A unified approach to investigate pure and wake-up-call contagion: Evidence from the Eurozone's first financial crisis
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2014 Transmission of government default risk in the eurozone
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2014 Macroeconomic fundamentals and the exchange rate dynamics: A no-arbitrage macro-finance approach
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2014 Inflation targeting, credibility, and non-linear Taylor rules
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2014 Fiscal policy and external adjustment: New evidence
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2014 Monetary policy regimes: Implications for the yield curve and bond pricing
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2014 Do different factors explain male and female self-employment rates?
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2014 Credit spread changes within switching regimes
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2014 Financial fragility in the Great Moderation
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2014 Does global liquidity drive commodity prices?
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2014 The role of correlation dynamics in sector allocation
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2014 Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence?
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2014 Asymmetric increasing trends in dependence in international equity markets
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2014 Derivatives holdings and systemic risk in the U.S. banking sector
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2014 Risky adjustments or adjustments to risks: Decomposing bank leverage
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2014 Bank systemic risk and macroeconomic shocks: Canadian and U.S. evidence
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2014 The rise and fall of technical trading rule success
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2014 Modeling the joint dynamics of risk-neutral stock index and bond yield volatilities
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2014 Oil price shocks and stock market returns: New evidence from the United States and China
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2014 Volatility links between the home and the host market for U.K. dual-listed stocks on U.S. markets
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2014 Identifying safe haven assets for equity investors through an analysis of the stability of shock transmission
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2014 Financial stress spillovers in advanced economies
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2014 Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises
by Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia
2014 The dynamic relationship between exchange rates and macroeconomic fundamentals: Evidence from Pacific Rim countries
by Chang, Ming-Jen & Su, Che-Yi
2014 How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests
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2014 Integration versus segmentation in Middle East North Africa Equity Market: Time variations and currency risk
by Guesmi, Khaled & Moisseron, Jean-Yves & Teulon, Frédéric
2014 Conditional least squares and copulae in claims reserving for a single line of business
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2014 Vertical price transmission in timber and lumber markets
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2014 Commodity index trading and hedging costs
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2014 The intertemporal risk-return relation: A bivariate model approach
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2014 Unconventional monetary policies and the corporate bond market
by Guidolin, Massimo & Orlov, Alexei G. & Pedio, Manuela
2014 The evolution of risk premium as a measure for intra-regional equity market integration
by Guesmi, Khaled & Teulon, Frederic & Muzaffar, Ahmed Taneem
2014 The effects of sovereign rating drifts on financial return distributions: Evidence from the European Union
by Do, Hung Xuan & Brooks, Robert & Treepongkaruna, Sirimon & Wu, Eliza
2014 Modeling and forecasting the additive bias corrected extreme value volatility estimator
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2014 On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007–2010
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2014 A note on cointegration of international stock market indices
by Dimpfl, Thomas
2014 Forecasting the oil–gasoline price relationship: Do asymmetries help?
by Bastianin, Andrea & Galeotti, Marzio & Manera, Matteo
2014 Understanding recent oil price dynamics: A novel empirical approach
by D'Ecclesia, Rita L. & Magrini, Emiliano & Montalbano, Pierluigi & Triulzi, Umberto
2014 Hedging crude oil using refined product: A regime switching asymmetric DCC approach
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2014 Macro determinants of volatility and volatility spillover in energy markets
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2014 Accounting for asymmetric price responses and underlying energy demand trends in OECD industrial energy demand
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2014 Are the macroeconomic effects of oil price shock symmetric?: A Factor-Augmented Vector Autoregressive approach
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2014 Bounds testing approach to analysis of the environment Kuznets curve hypothesis
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2014 On the relationship between the prices of oil and the precious metals: Revisiting with a multivariate regime-switching decision tree
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2014 Dynamic spillovers of oil price shocks and economic policy uncertainty
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2014 Asymmetries in the dynamic interrelationship between energy consumption and economic growth: Evidence from Turkey
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2014 Energy consumption and economic growth in the next 11 countries: The bootstrapped autoregressive metric causality approach
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2014 The differential effects of oil demand and supply shocks on the global economy
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2014 How do oil producers respond to oil demand shocks?
by Güntner, Jochen H.F.
2014 The switching relationship between natural gas and crude oil prices
by Brigida, Matthew
2014 Oil price uncertainty and manufacturing production
by Aye, Goodness C. & Dadam, Vincent & Gupta, Rangan & Mamba, Bonginkosi
2014 The relationship between energy and equity markets: Evidence from volatility impulse response functions
by Olson, Eric & J. Vivian, Andrew & Wohar, Mark E.
2014 Energy markets volatility modelling using GARCH
by Efimova, Olga & Serletis, Apostolos
2014 Symmetric transmission of prices in the retail gasoline market in Brazil
by da Silva, André Suriane & Vasconcelos, Cláudio Roberto Fóffano & Vasconcelos, Silvinha Pinto & de Mattos, Rogério Silva
2014 How do the stock prices of new energy and fossil fuel companies correlate? Evidence from China
by Wen, Xiaoqian & Guo, Yanfeng & Wei, Yu & Huang, Dengshi
2014 Oil price risk exposure: The case of the U.S. Travel and Leisure Industry
by Mohanty, Sunil & Nandha, Mohan & Habis, Essam & Juhabi, Eid
2014 On the macroeconomic determinants of long-term volatilities and correlations in U.S. stock and crude oil markets
by Conrad, Christian & Loch, Karin & Rittler, Daniel
2014 Long memory dynamics for multivariate dependence under heavy tails
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2014 Unit root vector autoregression with volatility induced stationarity
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2014 Foreign shocks and international cost of equity destabilization. Evidence from the MENA region
by Guyot, Alexis & Lagoarde-Segot, Thomas & Neaime, Simon
2014 A new index of financial conditions
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2014 Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks
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2014 Identification robust inference in cointegrating regressions
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2014 Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
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2014 Modeling multivariate extreme events using self-exciting point processes
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2014 Pre and post break parameter inference
by Elliott, Graham & Müller, Ulrich K.
2014 Adaptive dynamic Nelson–Siegel term structure model with applications
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2014 Beta-product dependent Pitman–Yor processes for Bayesian inference
by Bassetti, Federico & Casarin, Roberto & Leisen, Fabrizio
2014 Testing stationarity of functional time series
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2014 Multivariate rotated ARCH models
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2014 Let’s fix it: Fixed-b asymptotics versus small-b asymptotics in heteroskedasticity and autocorrelation robust inference
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2014 Sieve inference on possibly misspecified semi-nonparametric time series models
by Chen, Xiaohong & Liao, Zhipeng & Sun, Yixiao
2014 Geometric and long run aspects of Granger causality
by Al-Sadoon, Majid M.
2014 An asymptotic invariance property of the common trends under linear transformations of the data
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2014 Estimation of long-run parameters in unbalanced cointegration
by Hualde, Javier
2014 Integrated modified OLS estimation and fixed-b inference for cointegrating regressions
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2014 Forecasting with a parsimonious subset VAR model
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2014 Measuring stress in money markets: A dynamic factor approach
by Carpenter, Seth & Demiralp, Selva & Schlusche, Bernd & Senyuz, Zeynep
2014 On testing for nonlinearity in multivariate time series
by Psaradakis, Zacharias & Vávra, Marián
2014 Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility
by Kim, Dukpa
2014 Some exact and inexact linear rational expectation models in vector autoregressive models
by Swensen, Anders Rygh
2014 On the Fisher information matrix of a vector ARMA process
by Bao, Yong & Hua, Ying
2014 Long- versus medium-run identification in fractionally integrated VAR models
by Tschernig, Rolf & Weber, Enzo & Weigand, Roland
2014 Nowcasting causality in mixed frequency vector autoregressive models
by Götz, Thomas B. & Hecq, Alain
2014 Frontier stock market integration and the global financial crisis
by Chen, Mei-Ping & Chen, Pei-Fen & Lee, Chien-Chiang
2014 What drives herding in oil-rich, developing stock markets? Relative roles of own volatility and global factors
by Balcilar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat
2014 Country and industry convergence of equity markets: International evidence from club convergence and clustering
by Apergis, Nicholas & Christou, Christina & Miller, Stephen M.
2014 Globalisation and monetary policy—A FAVAR analysis for the G7 and the eurozone
by Belke, Ansgar & Rees, Andreas
2014 How important can bank lending shocks be for economic fluctuations?
by Halvorsen, Jørn I. & Jacobsen, Dag Henning
2014 Monetary policy, global liquidity and commodity price dynamics
by Belke, Ansgar H. & Bordon, Ingo G. & Hendricks, Torben W.
2014 Wage leadership models: A country-by-country analysis of the EMU
by Camarero, Mariam & D'Adamo, Gaetano & Tamarit, Cecilio
2014 Energy price transmissions during extreme movements
by Joëts, Marc
2014 Explaining Italy's economic growth: A balance-of-payments approach with internal and external imbalances and non-neutral relative prices
by Soukiazis, Elias & Cerqueira, Pedro André & Antunes, Micaela
2014 The impact of financial development, income, energy and trade on carbon emissions: Evidence from the Indian economy
by Boutabba, Mohamed Amine
2014 Cross-market index with Factor-DCC
by Aboura, Sofiane & Chevallier, Julien
2014 Euro introduction: Has there been a structural change? Study on 10 European Union countries
by Legrand, Romain
2014 Evidence of public capital spillovers and endogenous growth in Taiwan
by Wang, Yi-Chia
2014 Does fine wine price contain useful information to forecast GDP? Evidence from major developed countries
by Qiao, Zhuo & Chu, Patrick Kuok-Kun
2014 Forecasting with a state space time-varying parameter VAR model: Evidence from the Euro area
by Bekiros, Stelios
2014 Persistence and cycles in US hours worked
by Caporale, Guglielmo Maria & Gil-Alana, Luis A.
2014 Volatility and dynamic conditional correlations of worldwide emerging and frontier markets
by Baumöhl, Eduard & Lyócsa, Štefan
2014 Stock market integration and risk premium: Empirical evidence for emerging economies of South Asia
by Abid, Ilyes & Kaabia, Olfa & Guesmi, Khaled
2014 Forecasting exchange rates using panel model and model averaging
by Garratt, Anthony & Mise, Emi
2014 Testing for fiscal sustainability: New evidence from the G-7 and some European countries
by Chen, Shyh-Wei
2014 Volatility transmission in agricultural futures markets
by Beckmann, Joscha & Czudaj, Robert
2014 Asymmetric generalized impulse responses with an application in finance
by Hatemi-J, Abdulnasser
2014 Comparing the accuracy of multivariate density forecasts in selected regions of the copula support
by Diks, Cees & Panchenko, Valentyn & Sokolinskiy, Oleg & van Dijk, Dick
2014 R&D and aggregate fluctuations
by Artuç, Erhan & Pourpourides, Panayiotis M.
2014 Measuring the effects of fiscal policy
by Bouakez, Hafedh & Chihi, Foued & Normandin, Michel
2014 Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors
by Lee, Yongwoong & Poon, Ser-Huang
2014 Understanding the effect of technology shocks in SVARs with long-run restrictions
by Chaudourne, Jeremy & Fève, Patrick & Guay, Alain
2014 On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century and beyond
by Guillén, Osmani Teixeira de Carvalho & Issler, João Victor & Franco-Neto, Afonso Arinos de Mello
2014 Income distribution in urban China: An overlooked data inconsistency issue
by Jin, Hailong & Qian, Hang & Wang, Tong & Choi, E. Kwan
2014 Economic consequences of war: Evidence from Sri Lanka
by Ganegodage, K. Renuka & Rambaldi, Alicia N.
2014 Low-income countries’ linkages to BRICS: Are there growth spillovers?
by Samake, Issouf & Yang, Yongzheng
2014 Expectations and industrial output in Uruguay: Sectoral interdependence and common trends
by Lanzilotta M., Bibiana
2014 Expectativas y producción industrial en el Uruguay: interdependencia sectorial y tendencias comunes
by Lanzilotta M., Bibiana
2014 Stock Market Development, Bank Concentration, Ownership Structure, and Bank Performance: Evidence from Turkey
by Hasan AYAYDIN & Ýbrahim KARAASLAN
2014 Investigating the Causal Relationship between Fossil Fuels Consumption and Economic Growth at Aggregate and Disaggregate Levels in Saudi Arabia
by Atef Saad Alshehry & Mounir Belloumi
2014 Petroleum’s Price Transmission and Imported Demand for Crude Oil in Thailand
by Papusson Chaiwat & Nantarat Tangvitoontham
2014 Volatility Transmissions between Oil Prices and Emerging Market Sectors: Implications for Portfolio Management and Hedging Strategies
by Sercan Demiralay & Hatice Gaye Gencer
2014 Modeling Petroleum Product Demand in Nigeria Using Structural Time Series Model (STSM) Approach
by Aliyu Barde Abdullahi
2014 Does WTI Oil Price Returns Volatility Spillover to the Exchange Rate and Stock Index in the US?
by Ching-Chun Wei & Chung-Hsuan Chen
2014 Were Oil Price Markets the Source of Credit Crisis in European Countries? Evidence Using a VAR-MGARCH-DCC Model
by Nadhem Selmi & Nejib Hachicha
2014 Empirical Research on the Relationship between China Export and New Energy Consumption
by Lili Li
2014 The Nexus between Energy Consumption and Financial Development with Asymmetric Causality Test: New Evidence from Newly Industrialized Countries
by Feyyaz ZEREN & Mustafa KOC
2014 Modelling the Macroeconomic Determinants of Workers’ Remittances: The Case of Jordan
by Ghazi Al-Assaf & Abdullah M. Al-Malki
2014 Conditional Correlations and Volatility Links Among Gold, Oil and Istanbul Stock Exchange Sector Returns
by Hatice Gaye GENCER & Erdem KILIC
2014 Exchange Rate Policy in Morocco and Persistence of Real Exchange Rate Misalignments
by Mohamed BOUZAHZAH & Radouane BACHAR
2014 Search for Predictors of Inflation Using VAR and BVAR: The Case of Czech Republic
by Josef Stráský & Jaromír Baxa
2014 Kuznets versus kondratieff An essay in historical macroeconometrics
by Claude Diebolt
2014 Oil Prices, Production and Inflation in the Selected EU Countries: Threshold Cointegration Approach
by Andrzej Geise & Mariola Pilatowska
2014 La inflación en Panamá (2006-2012): Un estudio descriptivo y econométrico
by Eloy Fisher
2014 Analyzing the Exchange Rate Pass-through in Mexico: Evidence Post Inflation Targeting Implementation
by Sylvia Beatriz Guillermo Peón & Martín Alberto Rodríguez Brindis
2014 Foreign Debt Flows and the Credit Market: A Principal Agent Approach
by Esteban Gómez & Andrés Murcia & Nancy Zamudio
2014 A fractionally cointegrated VAR analysis of economic voting and political support
by Maggie E. C. Jones & Morten Ørregaard Nielsen & Micha Ksawery Popiel
2014 The determinants of regional stock market integration in middle east: A conditional ICAPM approach
by Khaled Guesmi & Frédéric Teulon
2014 On the structure of financial contagion: Econometric tests and Mercosur evidence
by Ariel M. Viale & David A. Bessler & James W. Kolari
2014 Stress Testing of the Montenegrin Banking System with Aggregated and Bank-Specific Data
by Sanja Vuković
2014 Brazilian Regulatory Interventions, Volatility and Contagion: A VIRF analysis
by Gabriel Godofredo Fiuza de Bragança & Marcelo de Sales Pessoa & Katia Rocha
2014 Inflation Dynamics and Business Cycles
by Suleyman Hilmi Kal & Nuran Arslaner & Ferhat Arslaner
2014 A Survey about Smooth Transition Panel Data Analysis
by Tolga Omay
2014 Euro area monetary policy transmission in Estonia
by Gertrud Errit & Lenno Uusküla
2014 Bidirectional linkage between inflation and inflation uncertainty – the case of Eastern European countries
by Dejan Živkov & Jovan Njegic & Marko Pecanac
2014 Paths Of Income Convergence Between Country Pairs Within Europe
by Mirjana Gligoric
2014 Analyzing the Exchange Rate Pass-through in Mexico: Evidence Post Inflation Targeting Implementation
by Sylvia Beatriz Guillermo Peón & Martín Alberto Rodríguez Brindis
2014 Foreign Debt Flows and the Credit Market: A Principal Agent Approach
by Esteban Gómez & Andrés Murcia & Nancy Zamundio
2014 The Impact of Foreign Bank Entry on SME Loans: An Investigation for Turkey
by Arzu SAHIN & Hatice DOGUKANLI
2014 The Empirical Analysis of Budget Revenues and Expenditures in Turkey
by Sevda AKAR
2014 Stock Market Indicators and Economic Activity. Some Evidence for Argentina
by Luis N. Lanteri
2014 Synchronization Of Economic Shocks In The Visegrad Group: An Empirical Assessment
by KRZYSZTOF BECK & JAKUB JANUS
2014 Dependencies between Labour Productivity, Export and FDI in the New EU Member Countries (cointegration analysis at sector and macroeconomic level)
by Grigor Stoevsky
2014 The Rise of the Housing-Wealth Effect: Counterfactual Impulse Response Analysis
by Ryan R. Brady & Derek Stimel & Steven Sumner
2014 Volatility of the Utilities Industry: Its Causal Relationship to Other Nine Industries
by Kuo-Hao Lee & Ahmed Elkassabgi & Wei-Jen Hsieh
2014 Relations between Volatility and Returns of Exchange Traded Funds of Emerging Markets and of USA
by Prakash L. Dheeriya & Fahimeh Rezayat & Burhan F. Yavas
2014 Copulas in Econometrics
by Yanqin Fan & Andrew J. Patton
2014 The effects of public debt management on macroeconomic equilibrium: An analysis of the Brazilian economy
by Cleomar Gomes da Silva & Manoel Carlos de Castro Pires & Fábio Henrique Bittes Terra
2014 The effects of fiscal policy in a small open transition economy: The case of Croatia
by Milan Deskar-Škrbić & Hrvoje Šimović & Tomislav Ćorić
2014 Evidence Of Segmentation Among African Equity Markets
by Zivanemoyo Chinzara & Tinashe Harry Dumile Kambadza
2014 Econometric Models in Romanian Tourism under the Impact of Sustainable Development
by Delia Popescu & Andreea Saseanu & Daniel Bulin & Grazia Calabro
2014 Determinants of the Gold Futures Price Volatility: The Case of Thailand Futures Exchange
by Woradee Jongadsayakul
2014 Cointegration of Capital Markets in ASEAN-5 Countries
by Channarong Chaiphat
2014 Weak Identification in Maximum Likelihood: A Question of Information
by Isaiah Andrews & Anna Mikusheva
2014-03 The Effects of Oil Prices On Inflation and Growth: Time Series Analysis In Turkish Economy For 1988:01-2013:04 Period
by KARGI, Bilal
2013 Are Investment and Saving Cointegrated? Evidence from Middle East and North African Countries
by Helmi H. Hamdi & Rashid Sbia
2013 Sensibilidad del Sector Fiscal a los Ciclos Económicos en Bolivia 1990-2012
by Aliaga Lordemann, Javier & Garrón Vedia, Ignacio
2013 Volatility Transmission between Islamic and Conventional Equity Markets: Evidence from Causality-in-Variance Test
by Saban Nazlioglu & Shawkat Hammoudeh & Rangan Gupta
2013 Does Sunspot Numbers Cause Global Temperatures? Evidence from a Frequency Domain Causality Test
by Rangan Gupta & Luis A. Gil-Alana & OlaOluwa S. Yaya
2013 Cross-Country Evidence On The Causal Relationship Between Policy Uncertainty And House Prices
by Ghassen El Montasser & Ahdi N. Ajmi & Tsangyao Chang & Beatrice D. Simo-Kengne & Christophe Andre & Rangan Gupta
2013 DSGE Model-Based Forecasting of Modeled and Non-Modeled Inflation Variables in South Africa
by Rangan Gupta & Patrick T. kanda & Mampho P. Modise & Alessia Paccagnini
2013 Causal relationship between nuclear energy consumption and economic growth in the G6 countries: Evidence from panel Granger causality tests
by Tsangyao Chang & Fabrice Gatwabuyege & Rangan Gupta & Roula Inglesi-Lotz & Nangamso C. Manjezi & Beatrice D. Simo-Kengne
2013 The causal relationship between renewable energy consumption and economic growth: Evidence from the G7 countries
by Tsangyao Chang & Rangan Gupta & Roula Inglesi-Lotz & Beatrice D. Simo-Kengne & Devon Smithers & Amy B. Trembling
2013 Panel Granger causality between oil consumption and GDP: Evidence from the BRICS countries
by Tsangyao Chang & Olorato Gadinabokao & Rangan Gupta & Roula Inglesi-Lotz & Pervan Kanniah & Beatrice D. Simo-Kengne
2013 The causal relationship between natural gas consumption and economic growth: Evidence from the G7 countries
by Tsangyao Chang & Rangan Gupta & Roula Inglesi-Lotz & Lilian S. Masabala & Beatrice D. Simo-Kengne & Jaco P. Weideman
2013 The causal relationship between coal consumption and economic growth in the BRICS countries: Evidence from panel Granger causality tests
by Tsangyao Chang & Frederick W. Deale & Rangan Gupta & Roulof Hefer & Roula Inglesi-Lotz & Beatrice D. Simo-Kengne
2013 Oil Price Uncertainty and Manufacturing Production in South Africa
by Goodness C. Aye & Vincent Dadam & Rangan Gupta & Bonginkosi Mamba
2013 Testing the Impact of Exchange Rate Uncertainty on Exports in South Africa
by Goodness C. Aye & Rangan Gupta & Prudence S. Moyo & Nehrunaman Pillay
2013 Time-Varying Linkages between Tourism Receipts and Economic Growth in South Africa
by Mehmet Balcilar & Renee van Eyden & Roula Inglesi-Lotz & Rangan Gupta
2013 Forecasting Real House Price of the U.S.: An Analysis Covering 1890 to 2012
by Goodness C. Aye & Rangan Gupta
2013 Causality between Economic Policy Uncertainty across Countries: Evidence from Linear and Nonlinear Tests
by Ahdi N. Ajmi & Rangan Gupta & Patrick T. Kanda
2013 Causality between US Economic Policy and Equity Market Uncertainties: Evidence from Linear and Nonlinear Tests
by Ahdi N. Ajmi & Goodness C. Aye & Mehmet Balcilar & Ghassen El Montasser & Rangan Gupta
2013 Time-Varying Causality between Research Output and Economic Growth in the US
by Roula Inglesi-Lotz & Mehmet Balcilar & Rangan Gupta
2013 Forecasting the US Real Private Residential Fixed Investment Using Large Number of Predictors
by Goodness C. Aye & Stephen M. Miller & Rangan Gupta & Mehmet Balcilar
2013 The Causal Relationship between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling-Window Approach
by Xiao-lin Li & Mehmet Balcilar & Rangan Gupta & Tsangyao Chang
2013 Military Expenditure, Economic Growth and Structural Instability: A Case Study of South Africa
by Goodness C. Aye & Mehmet Balcilar & John P. Dunne & Rangan Gupta & Renee van Eyden
2013 Evolution of Monetary Policy in the US: The Role of Asset Prices
by Beatrice D. Simo-Kengne & Stephen M. Miller & Rangan Gupta
2013 Revisiting the Causal Relationship between Energy Consumption and Economic Growth in South Africa: Evidence from a Bootstrap Rolling Window Approach
by Janneke Dlamini & Mehmet Balcilar & Rangan Gupta & Roula Inglesi-Lotz
2013 Causality between Exports and Economic Growth in South Africa: Evidence from Linear and Nonlinear Tests
by Ahdi N. Ajmi & Goodness C. Aye & Mehmet Balcilar & Rangan Gupta
2013 Identifying a financial conditions index for South Africa
by Kirsten Thompson & Renee van Eyden & Rangan Gupta
2013 Revisiting the Causality between Electricity Consumption and Economic Growth in South Africa: A Bootstrap Rolling-Window Approach
by Janneke Dlamini & Mehmet Balcilar & Rangan Gupta & Roula Inglesi-Lotz
2013 Temporal Causality between House Prices and Output in the U. S.: A Bootstrap Rolling-Window Approach
by Wendy Nyakabawo & Stephen M. Miller & Mehmet Balcilar & Sonali Das & Rangan Gupta
2013 Time-Varying Effects of Housing and Stock Prices on U.S. Consumption
by Beatrice D. Simo-Kengne & Stephen M. Miller & Rangan Gupta & Goodness C. Aye
2013 Housing and the Business Cycle in South Africa
by Goodness C. Aye & Mehmet Balcilar & Adel Bosch & Rangan Gupta
2013 Does the Source of Oil Price Shocks Matter for South African Stock Returns? A Structural VAR Approach
by Rangan Gupta & Mampho P. Modise
2013 Forecasting Aggregate Retail Sales: The Case of South Africa
by Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar
2013 House Price, Stock Price and Consumption in South Africa: A Structural VAR Approach
by Goodness C. Aye & Rangan Gupta & Alain Kaninda & Wendy Nyakabawo & Aarifah Razak
2013 Housing and the Great Depression
by Mehmet Balcilar & Rangan Gupta & Stephen M. Miller
2013 A Time-Varying Approach to Analysing Fiscal Policy and Asset Prices in South Africa
by Rangan Gupta & Charl Jooste & Kanyane Matlou
2013 Macro Shocks And House Prices In South Africa
by Beatrice D. Simo-Kengne & Rangan Gupta & Goodness C. Aye
2013 Previsioni delle spese del bilancio dello Stato attraverso i flussi di contabilità finanziaria
by Giuseppe Bianchi & Tatiana Cesaroni & Ottavio Ricchi
2013 Causal Relationship between Financial Development and Economic Growth:A Case Study - Relazione causale tra sviluppo finanziario e crescita economica: studio di un caso
by Francis, Brian M.
2013 An Empirical Investigation of the Potential Asymmetric Relationship between the Stock Market and the Exchange Rates in the UAE - Un esame empirico della potenziale relazione asimmetrica tra mercato azionario e tasso di cambio negli Emirati Arabi
by Al Shayeb, Abdulrahman & Hatemi-J , Abdulnasser
2013 A New Test of Exchange Rate Pass-through in a Small Open Economy: Evidence from Asymmetric ARDL Bounds Approach
by Serkan ÇİÇEK & Çiğdem BOZ
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2013 Time Varying NAIRU Estimates in Central Europe
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2013 DGSE Model-Based Forecasting of Modeled and Non-Modeled Inflation Variables in South Africa
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2013 Policy-oriented macroeconomic forecasting with hybrid DGSE and time-varying parameter VAR models
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2013 Output-Employment Relationship across Sectors:A Long- versus Short-Run Perspective
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2013 Financial Crises, Financialization of Commodity Markets and Correlation of Agricultural Commodity Index with Precious Metal Index and S&P500
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2013 Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions
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2013 Default and Liquidity Regimes in the Bond Market during the 2002-2012 Period
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2013 Fiscal Spillovers in the Euro Area
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2013 A new methodology for a quarterly measure of the Output Gap
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2013 Forecasting GDP at the regional level with many predictors
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2013 Der Klein(st)staat Liechtenstein und seine grossen Nachbarländer: Eine wachstums- und konjunkturanalytische Gegenüberstellung
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2013 Is the Relationship Between Prices and Exchange Rates Homogeneous?
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2013 Risk Modelling and Management: An Overview
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2013 A Fractionally Integrated Wishart Stochastic Volatility Model
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2013 Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
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2013 Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions
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by Maria Christidou & Theodore Panagiotidis & Abhijit Sharma
2013 Output-Employment Relationship across Sectors: A Long- versus Short-Run Perspective
by Afsin Sahin & Aysit Tansel & M. Hakan Berument
2013 Regionalization vs. Globalization
by Hideaki Hirata & M. Ayhan Kose & Christopher Otrok
2013 The Effects of Monetary Policy Shocks on a Panel of Stock Market Volatilities: A Factor-Augmented Bayesian VAR Approach
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2013 A note on the identification of dynamic economic models with generalized shock processes
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2013 How do oil producers respond to oil demand shocks?
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2013 The ARDL Test of Gender Kuznets Curve for G7 Countries
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2013 Do Business Visits Cause Productivity Growth?
by Tani, Massimiliano & Joyeux, Roselyne
2013 Structural Empirical Evaluation of Job Search Monitoring
by van den Berg, Gerard J. & van der Klaauw, Bas
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by Sahin, Afsin & Tansel, Aysit & Berument, Hakan
2013 Real Sector and Banking System: Real and Feedback Effects. A Non-Linear VAR Approach
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2013 The Housing Wealth Effect on Consumption Reconsidered
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2013 Parameter Estimation and Inference with Spatial Lags and Cointegration
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2013 Optimal uniform convergence rates for sieve nonparametric instrumental variables regression
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2013 Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve
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by Fève, Patrick & Sahuc, Jean-Guillaume
2013 A new look at the discouragement and the added worker hypotheses : applying a trend-cycle decomposition to unemployment
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2013 Interdependence of Stock Markets Before and After the Global Financial Crisis of 2007
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2013 Goodness-of-fit Test for Specification of Semiparametric Copula Dependence Models
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2013 Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency
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2013 Inference for Multi-Dimensional High-Frequency Data: Equivalence of Methods, Central Limit Theorems, and an Application to Conditional Independence Testing
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2013 Time Instability of the U.S. Monetary System: Multiple Break Tests and Reduced Rank TVP VAR
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2013 Regime Switches in Japanese Fiscal Policy: Markov-Switching VAR Approach
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2013 Monetary Transmission via the Central Bank Balance Sheet
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2013 Fuel Conservation Effect of Energy Subsidy Reform in Iran
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2013 Can fiscal austerity be expansionary in present Europe? The lessons from Sweden
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2013 Debt Dynamics and Monetary Policy: A Note
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2013 Conditional euro area sovereign default risk
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2013 Economic Regime Shifts and the US Subprime Bubble
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2013 How Flexible are the Inflation Targets? A Bayesian MCMC Estimator of the Long Memory Parameter in a State Space Model
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2013 Causality Between Energy and Output in the Long-Run
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2013 Rejection Probabilities for a Battery of Unit-Root Tests
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2013 Testing for Panel Unit Roots under General Cross-Sectional Dependence
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2013 A Macroeconometric Assessment of Minsky’s Financial Instability Hypothesis
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2013 Contagion Dynamics in EMU Government Bond Spreads
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2013 Testing for Cointegration in a Double-LSTR Framework
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2013 Forecasting with Mixed Frequency Samples: The Case of Common Trends
by Peter Fuleky & Carl S. Bonham
2013 Forecasting with Mixed Frequency Samples: The Case of Common Trends
by Peter Fuleky & Carl S. Bonham
2013 Forecasting with Mixed Frequency Samples: The Case of Common Trends
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2013 Statistical Versus Economic Output Gap Measures: Evidence from Mongolia
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2013 How Well Does "Core" Inflation Capture Permanent Price Changes?
by Michael D. Bradley & Dennis W. Jansen & Tara M. Sinclair
2013 Inflation Persistence: Revisited
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2013 The Effects of Internal and External Imbalances on Italy´s Economic Growth. A Balance of Payments Approach with Relative Prices No Neutral
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2013 A 14-Variable Mixed-Frequency VAR Model
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2013 Clustered housing cycles
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2013 A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains
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2013 Assessing the Link between Price and Financial Stability
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2013 A Fear Index to Predict Oil Futures Returns
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2013 Futures Price Volatility in Commodities Markets: The Role of Short Term vs Long Term Speculation
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2013 Multi-Level Analysis of Dynamic Portfolio Formations: Central European Countries
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2013 The impact of financial development, income, energy and trade on carbon emissions: Evidence from the Indian economy
by Mohamed Amine Boutabba
2013 Fuel Conservation Effect of Energy Subsidy Reform in Iran
by Hossein Mirshojaeian Hosseini & Shinji Kaneko
2013 Estimating Nonlinear DSGE Models with Moments Based Methods
by Sergey Ivashchenko
2013 The flow of credit in the UK economy and the availability of financing to the corporate sector
by Daniel Monteiro
2013 Systemic Risk and Home Bias in the Euro Area
by Niccolò Battistini & Marco Pagano & Saverio Simonelli
2013 Managing Economic Shocks and Macroeconomic Coordination in an Integrated Region: ASEAN Beyond 2015
by Ruperto MAJUCA
2013 Risk Modelling and Management: An Overview
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2013 Ten Things You Should Know About the Dynamic Conditional Correlation Representation
by Caporin, M. & McAleer, M.J.
2013 Política Monetaria Estadounidense y Tipo De Cambio Real en México, 1996-2012
by Rodolfo Cermeño & Mario Negrete García
2013 Estimating US fiscal and monetary interactions in a time varying VAR
by Eddie Gerba & Klemens Hauzenberger
2013 The identification of the sources of current account fluctuations in Ukraine
by Nikolaychuk Sergiy & Shapovalenko Nadiia
2013 The Outcome of Directed Lending in Belarus: Mitigating Recession or Dampening Long-Run Growth?
by Kruk Dzmitry & Haiduk Kiryl
2013 Is There Really Granger Causality Between Energy Use and Output?
by Stephan B. Bruns & Christian Gross & David I. Stern
2013 Boom or gloom? Examining the Dutch disease in a two-speed economy
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2013 What happens when the Kiwi flies? The sectoral effects of the exchange rate shocks
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2013 The Evolution of the U.S. Output-Inflation Tradeoff
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2013 Zero Lower Bound and Parameter Bias in an Estimated DSGE Model
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2013 Inflation Dynamics and The Role of Oil Shocks: How Different Were the 1970s?
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2013 Purchasing Power Parity and the Taylor Rule
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2013 Domestic Versus International Determinants Of European Business Cycles: A GVAR Approach
by Melisso Boschi & Massimiliano Marzo & Simone Salotti
2013 How Well Does "Core" Inflation Capture Permanent Price Changes?
by Michael D. Bradley & Dennis W. Jansen & Tara M. Sinclair
2013 Equity Returns and the Business Cycle: The Role of Supply and Demand Shocks
by Alfonso Mendoza Velázquez & Peter N. Smith
2013 What drives oil prices? Emerging versus developed economies
by Knut Are Aastveit & Hilde C. Bjoernland
2013 Quantifying Australia's "Three Speed" Boom
by Aaron Walker & Rod Tyers
2013 Regionalization vs. Globalization
by Hideaki Hirata & M. Ayhan Kose & Christopher Otrok
2013 The Effects of Fiscal Policy in New Zealand: Evidence from a VAR Model with Debt Constraints
by Oscar Parkyn & Tugrul Vehbi
2013 Causality Between Energy and Output in the Long-Run
by David I. Stern & Kerstin Enflo
2013 The Seasonal KPSS Test When Neglecting Seasonal Dummies: A Monte Carlo analysis
by Ghassen El Montasser & Talel Boufateh & Fakhri Issaoui
2013 From complements to substitutes: Structural breaks in the elasticity of substitution between paid-employment and self-employment in the US
by Emilio Congregado & Vicente Esteve & Antonio A. Golpe
2013 Wage leadership models: a country-by-country analysis of the EMU
by Gaetano D’Adamo & Mariam Camarero & Cecilio Tamarit
2013 Identifying monetary policy shocks via heteroskedasticity: a Bayesian approach
by Dmitry Kulikov & Aleksei Netšunajev
2013 Identifying monetary policy shocks via heteroskedasticity: a Bayesian approach
by Dmitry Kulikov & Aleksei Netšunajev
2013 Euro Area monetary policy transmission in Estonia
by Gertrud Errit & Lenno Uusküla
2013 Reaction to technology shocks in Markov-switching structural VARs: identification via heteroskedasticity
by Aleksei Netšunajev
2013 Nowcasting Norway
by Mattéo Luciani & Lorenzo Ricci
2013 Estimating the State Vector of Linearized DSGE Models without the Kalman Filter
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2013 Robust Cointegration Testing in the Presence of Weak Trends, with an Application to the Human Origin of Global Warming
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2013 Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads
by Dong Hwan Oh & Andrew J. Patton
2013 Dynamic Copula Models and High Frequency Data
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2013 Asymptotic Inference about Predictive Accuracy Using High Frequency Data
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2013 La Corse est-elle soluble dans le modèle méditerranéen ? Une analyse à partir d’une régression quantile sur données d’entreprises en panel entre 2004 et 2010. Is the Corsican economy a part of the Mediterranean world ? An analysis from a quantile regression on panel data over the period 2004-2010
by Nadine Levratto & Aziza Garsaa & Luc Tessier
2013 A new approach of contagion based on smooth transition conditional correlation GARCH models: An empirical application to the Greek crisis
by Henri Audigé
2013 A Generalized Dynamic Factor Model for Panel Data: Estimation with a Two-Cycle Conditional Expectation-Maximization Algorithm
by Nikolaos Zirogiannis & Yorghos Tripodis
2013 Can Stock Price Fundamentals Properly be Captured?: Using Markov Switching in Heteroskedasticity Models to Test Identification Schemes
by Anton Velinov
2013 Testing Unemployment Theories: A Multivariate Long Memory Approach
by Guglielmo Maria Caporale & Luis A. Gil-Alana & Yuliya Lovcha
2013 Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions
by Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker
2013 On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010
by Guglielmo Maria Caporale & John Hunter & Faek Menla Ali
2013 Chinese Renewable Energy Technology Exports: The Role of Policy, Innovation and Markets
by Jing Cao & Felix Groba
2013 A Small Macroeconometric Model for the Cyprus Economy
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2013 Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression
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2013 Optimal Sup-norm Rates, Adaptivity and Inference in Nonparametric Instrumental Variables Estimation
by Xiaohong Chen & Timothy Christensen
2013 Optimal Uniform Convergence Rates for Sieve Nonparametric Instrumental Variables Regression
by Xiaohong Chen & Timothy Christensen
2013 Estimating Smooth Structural Change in Cointegration Models
by Peter C.B. Phillips & Degui Li & Jiti Gao
2013 Purchasing power parity and the Taylor rule
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2013 Temporal Aggregation and Systematic Sampling Effects on Non Linear Granger Causality Tests between Trade Volume and Returns. Some Monte Carlo and Empirical Results from the Athens Stocks Exchange
by Dikaios Tserkezos
2013 Temporal Aggregation and the Ramsey�s (RESET) Test for Functional Form : results from Empirical and Monte Carlo experiment
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2013 A monthly estimation method of ILO unemployment: a state-space framework
by T. DEROYON & A. MONTAUT & P.-A. PIONNIER
2013 Structural Empirical Evaluation of Job Search Monitoring
by van den Berg, Gerard J & van der Klaauw, Bas
2013 Methods for Measuring Expectations and Uncertainty in Markov-Switching Models
by Bianchi, Francesco
2013 Generalized Method of Moments with Latent Variables
by Gallant, A. Ronald & Giacomini, Raffaella & Ragusa, Giuseppe
2013 Granger-Causal-Priority and Choice of Variables in Vector Autoregressions
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2013 Testing for Granger Causality with Mixed Frequency Data
by Ghysels, Eric & Hill, Jonathan B. & Motegi, Kaiji
2013 Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series
by Ghysels, Eric & Miller, J. Isaac
2013 Noisy News in Business cycles
by Forni, Mario & Gambetti, Luca & Lippi, Marco & Sala, Luca
2013 Residual-based Rank Specification Tests for AR-GARCH type models
by Andreou, Elena & Werker, Bas J M
2013 Nonparametric Predictive Regression
by Andreou, Elena & Kasparis, Ioannis & Phillips, Peter C. B.
2013 Noise Bubbles
by Forni, Mario & Gambetti, Luca & Lippi, Marco & Sala, Luca
2013 Dynamic Effects of Credit Shocks in a Data-Rich Environment
by Boivin, Jean & Giannoni, Marc & Stevanovic, Dalibor
2013 Time Variation in Macro-Financial Linkages
by Eickmeier, Sandra & Marcellino, Massimiliano & Prieto, Esteban
2013 Do Institutions and Culture Matter for Business Cycles?
by Altug, Sumru G. & Canova, Fabio
2013 The systemic risk of energy markets
by PIERRET, Diane
2013 Modeling the dependence of conditional correlations on volatility
by BAUWENS, Luc & otranto, EDOARDO
2013 ¿Existe relación alguna entre Déficit Fiscal eInflación? Antes y después de la independencia del Banco de la República en Colombia
by Oscar Andrés Espinosa Acuña & Paola Andrea Vaca González
2013 Interconexión eléctrica Colombia-Panamá: impacto sobre el precio spot en Panamá
by Jairo Andrés Correa & John J. García
2013 Combinación de brechas del producto colombiano
by Paulo Mauricio Sánchez Beltrán & Luis Fernando Melo Velandia
2013 Metodología de perfiles coincidentes para determinar indicadores líderes y contemporáneos, estudio de caso
by Wilmer Martínez
2013 The Interdependence between Credit and Real Business Cycles in Latin American Economies
by José Eduardo Gómez & Jair Ojeda Joya & Fernando Tenjo Galarza & Héctor Manuel Zárate Solano
2013 Extracting the sovereigns´ CDS market hierarchy: a correlation-filtering approach
by Carlos Eduardo Léon Rincón & Karen Juliet Leiton & Jhonatan Pérez Villalobos
2013 Forecasting Latin-American yield curves: An artificial neural network approach
by Daniel Vela
2013 Financial Clustering in Presence of Dominant Markets
by R. Gargano & E. Otranto
2013 Modeling the Dependence of Conditional Correlations on Volatility
by L. Bauwens & E. Otranto
2013 Evaluating the Links Between the Financial and Real Sectors in a Small Open Economy: The Case of the Czech Republic
by Tomas Konecny & Oxana Babecka Kucharcukova
2013 The Effect of Non-Linearity Between Credit Conditions and Economic Activity on Density Forecasts
by Michal Franta
2013 What We Know About Monetary Policy Transmission in the Czech Republic: Collection of Empirical Results
by Oxana Babecka Kucharcukova & Michal Franta & Dana Hajkova & Petr Kral & Ivana Kubicova & Anca Podpiera & Branislav Saxa
2013 Desarrollo financiero, crecimiento y volatidad: Revisión de la literatura reciente
by Rodolfo Cermeño & María José Roa
2013 Dynamic Specification Tests For Dynamic Factor Models
by Gabriele Fiorentini & Enrique Sentana
2013 Dynamic Effects of Credit Shocks in a Data-Rich Environment
by Jean Boivin & Marc P. Giannoni & Dalibor Stevanovic
2013 Internationalization versus Regionalisation in the Emerging Stock Markets
by Virgine Coudert & Karine Hervé & Pierre Mabille
2013 Forecasting gross value-added at the regional level: Are sectoral disaggregated predictions superior to direct ones?
by Robert Lehmann & Klaus Wohlrabe
2013 Dimensions of macroeconomic uncertainty: A common factor analysis
by Steffen Henzel & Malte Rengel
2013 On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010
by Guglielmo Maria Caporale & John Hunter & Faek Menla Ali
2013 Equity Risk Premium and Regional Integration
by Mohamed El Hedi Arouri & Frédéric Teulon & Christophe Rault
2013 Assessing the Macroeconomic Forecasting Performance of Boosting - Evidence for the United States, the Euro Area, and Germany
by Teresa Buchen & Klaus Wohlrabe
2013 Market Structure and the Cost of Capital
by Mohamed El Hedi Arouri & Christophe Rault & Robert Sova & Anamaria Sova
2013 The dynamics of trading duration, volume and price volatility – a vector MEM model
by Xu, Yongdeng
2013 Interdependence Of International Financial Market-- The Case Of India And U.S
by Pami Dua & Divya Tuteja
2013 Risk Modeling and Management: An Overview
by Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral
2013 Ten Things You Should Know About the Dynamic Conditional Correlation Representation
by Massimiliano Caporin & Michael McAleer
2013 Ten Things You Should Know About DCC
by Massimiliano Caporin & Michael McAleer
2013 Identifying Conventional and Unconventional Monetary Policy Shocks: A Latent Threshold Approach
by Takeshi Kimura & Jouchi Nakajima
2013 What explains the recent fluctuations in Japan's output? A structural factor analysis of Japan's industrial production
by Yusuke Kumano & Ichiro Muto & Akihiro Nakano
2013 Oil price shocks and volatility do predict stock market regimes
by Stavros Degiannakis & Timotheos Angelidis & George Filis
2013 Return dispersion, stock market liquidity and aggregate economic activity
by Stavros Degiannakis & Andreas Andrikopoulos & Timotheos Angelidis & Christos Floros
2013 Oil price shocks and stock market volatility: evidence from European data
by Stavros Degiannakis & George Filis & Renatas Kizys
2013 The asymmetric effect of income on import demand in Greece
by Ioanna C. Bardakas
2013 Assessing the exchange rate exposure of US multinationals
by Crowley, Patrick M. & Habibdoust, Amir
2013 Risk news shocks and the business cycle
by Pinter, Gabor & Theodoridis, Konstantinos & Yates, Tony
2013 Has weak lending and activity in the United Kingdom been driven by credit supply shocks?
by Barnett, Alina & Thomas, Ryland
2013 Boom or gloom? Examining the Dutch disease in a two-speed economy
by Hilde C. Bjørnland & Leif Anders Thorsrud
2013 Mixed frequency structural models: estimation, and policy analysis
by Claudia Foroni & Massimiliano Marcellino
2013 Nets: Network Estimation for Time Series
by Matteo Barigozzi & Christian Brownlees
2013 Online Appendix to "Priors about Observables in Vector Autoregressions"
by Marek Jarocinski & Albert Marcet
2013 Priors about Observables in Vector Autoregressions
by Marek Jarocinski & Albert Marcet
2013 Geometric and Long Run Aspects of Granger Causality
by Majid M. Al-Sadoon
2013 Dynamic Factor Models: A review of the Literature
by Barhoumi, K. & Darné, O. & Ferrara, L.
2013 The Outcome of Directed Lending in Belarus: Mitigating Recession or Dampening Long-Run Growth?
by Dzmitry Kruk & Kiryl Haiduk
2013 Uncertainty and heterogeneity in factor models forecasting
by Matteo Luciani & Libero Monteforte
2013 Forecasting aggregate demand: analytical comparison of top-down and bottom-up approaches in a multivariate exponential smoothing framework
by Giacomo Sbrana & Andrea Silvestrini
2013 Do euro area countries respond asymmetrically to the common monetary policy?
by Matteo Barigozzi & Antonio M. Conti & Matteo Luciani
2013 The impact of the sovereign debt crisis on bank lending rates in the euro area
by Stefano Neri
2013 Disentangling contagion among sovereign cds spreads during the european debt crisis
by Carmen Broto & Gabriel Perez-Quiros
2013 DSGE Models and the Lucas critique
by Samuel Hurtado
2013 Testing weak exogeneity in cointegrated panels
by Enrique Moral-Benito & Luis Serven
2013 Long- versus medium-run identification in fractionally integrated VAR models
by Tschernig, Rolf & Weber, Enzo & Weigand, Roland
2013 Measuring Persistence in Volatility Spillovers
by Conrad, Christian & Weber, Enzo
2013 Fractionally Integrated VAR Models with a Fractional Lag Operator and Deterministic Trends: Finite Sample Identification and Two-step Estimation
by Tschernig, Rolf & Weber, Enzo & Weigand, Roland
2013 The Multivariate Option iPoD Framework - Assessing Systemic Financial Risk
by Philipp Matros & Johannes Vilsmeier
2013 Regional fluctuations and national cohesion in the EU12: a pre-Maastricht assessment
by Francesca Marino
2013 Priors about Observables in Vector Autoregressions
by Marek Jarocinski & Albert Marcet
2013 Can you do the wrong thing and still be right? Hypothesis Testing in I(2) and near-I(2) cointegrated VARs
by Francesca DI IORIO & Stefano FACHIN & Riccardo LUCCHETTI
2013 Are Futures Prices Influenced by Spot;Prices or Vice-versa? An Analysis of Crude;Oil, Natural Gas and Gold Markets
by Mihaela NICOLAU & Giulio PALOMBA & Ilaria TRAINI
2013 Business Cycles Synchronization in East Asia: A Markov-Switching Approach
by Gilles Dufrénot & Benjamin Keddad
2013 Futures Trading and the Excess Comovement of Commodity Prices
by Yannick Le Pen & Benoît Sévi
2013 Fiscal dynamics in a dollarized, oil-exporting country: Ecuador
by María Lorena Marí Del Cristo & Marta Gómez-Puig
2013 Gibbs Samplers for VARMA and Its Extensions
by Joshua C.C. Chan & Eric Eisenstat
2013 On the identification of fractionally cointegrated VAR models with the F(d) condition
by Federico Carlini & Paolo Santucci de Magistris
2013 Analyzing Oil Futures with a Dynamic Nelson-Siegel Model
by Niels S. Hansen & Asger Lunde
2013 Thresholds and Smooth Transitions in Vector Autoregressive Models
by Kirstin Hubrich & Timo Teräsvirta
2013 Interest Rates with Long Memory: A Generalized Affine Term-Structure Model
by Daniela Osterrieder
2013 Fractional cointegration rank estimation
by Katarzyna Lasak & Carlos Velasco
2013 Housing market volatility in the OECD area: Evidence from VAR based return decompositions
by Tom Engsted & Thomas Q. Pedersen
2013 States, Banks and the Financing of the Economy: Monetary Policy and Regulatory Perspectives
by Morten Balling & Patricia Jackson & Ernest Gnan & Jean-Pierre Danthine & Jean-Charles Rochet & Lorenzo Bini Smaghi & Thorvald Grung Moe & Malgorzata Pawlowska & Jerzy Marzec & Andrew R. Gimber & Alex Cukierman & Edward J. Kane & D. Wilson Ervin & Stephen G. Cecchetti
2013 Dinámica inflacionaria, persistencia y formación de precios y salarios
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2013 Carbon Dioxide Emissions, Urbanization And Globalization: A Dynamic Panel Data
by Nuno Carlos Leitão & Muhammad Shahbaz
2013 Assessment Of The Elasticity Of Republic Of Bulgaria’s Foreign Trade In Energy Resources By Means Of The Almon Model
by Lyubomir Lyubenov
2013 Monetary Determinants of Deposit Euroization in European Post-Transition Countries
by Marina Tkalec
2013 Business Cycles Indicators And Short-Term Forecasts Of Polish Industry Production Index
by Pawel M. Kolba & Radoslaw Kotkowski
2013 Structural Breaks in the International Dynamics of Inflation
by Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk
2013 Couplage Ou Découplage Des Cycles Économiques Des Mena : Une Approche En Termes De Modèle A Facteurs Dynamiques
by Kamel GARFA
2013 The External Finance Premium and the Financial Accelerator: The Case of Turkey
by Birgül Cambazoğlu & Hacer Simay Karaalp
2013 Public Debt Stock Sustainability in Selected OECD Countries
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2013 Current Account Adjustments And Real Exchange Rates In European Transition Economies
by Rajmund MIRDALA
2013 Lessons Learned From Tax Versus Expenditure Based Fiscal Consolidation In The European Transition Economies
by Rajmund MIRDALA
2013 Fiscal Imbalances And Current Account Adjustments In The European Transition Economies
by Rajmund MIRDALA
2013 Causality Between Economic Growth, Energy Consumption And Green House Gas Emissions In Bangladesh: A Toda-Yamamoto Approach
by M. ZAKIR SAADULLAH KHAN
2013 Wealth Effects on Consumption in Switzerland
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2013 Determinants of Nigeria's Non-Oil Import Demand
by Ichoku Hyacinth Eme & Nteegah Alwell & Ikpe Marius
2013 Determinants of Economic Growth: Bounds Testing Approach
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2013 Oil Prices and Exchange Rates in Brazil, India and Turkey: Time and Frequency Domain Causality Analysis
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2013 Remittances, Financial Development and Economic Growth in Bangladesh
by Gazi Salah Uddin & Bo Sjö
2013 Output Relationships in South Asia: Are Bangladesh and India Different from Neighbours?
by Biru Paksha Paul
2013 Inflation in China Increasingly Driven by Domestic Factors
by Christian Dreger & Yanqun Zhang
2013 Nonlinear Behavior of the US Stock Price-Dividend: Evidence from Threshold Unit Root Tests
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2013 Updating the Romanian Economic Macromodel
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2013 Volatility Spillovers between Equity and Bond Markets: Evidence from G7 and BRICS
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2013 Does Housing Cost Affect Birth Rates in Taiwan? The ADL Test for Threshold Co-integration
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2013 Modelling the Sectoral Structure of the Final Output
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2013 Multiple Points Regression
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2013 Evolución de la política monetaria en México: un análisis VAR estructural, 2000-2011
by Galán Figueroa, Javier & Venegas-Martínez, Francisco
2013 La dinámica de los precios en México: 1993 - 2012
by Liquitaya Briceño, José D.
2013 Market risk of real estate: Using indirect data to understand direct risks
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2013 The twin deficits hypothesis and reverse causality: A short-run analysis of Peru
by Sobrino, César R
2013 Greece’s Stock Market Integration with Southeast Europe
by Guesmi, Khaled & Ftiti, Zied & Abid, Ilyes
2013 Granger causality between international forign aid, adult mortality and GDP: evidance from panel analysis for 96 countries
by Afridi , M. Asim & Amiri, Arshia
2013 Asymmetric Behavior of Unemployment Analysis with Regime Switching Models in Turkey
by Bayat, Tayfur & Kayhan, Selim & Kocyigit, Ali
2013 The Effect of Oil Prices on Unemployment: Evidence from Pakistan
by Ahmad, Fawad
2013 Pair copula constructions in portfolio optimization ploblem
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2013 Macroeconometric modeling of Russian and Armenian economies. II. Aggregated macroeconometric models of the national economies of Russia and Armenia
by Aivazian, Sergey & Brodsky , Boris & Sandoyan, Edward & Voskanyan, Mariam & Manukyan, David
2013 Macroeconometric modeling of the Russian and Armenian economy. I. Peculiarities of macroeconomic situation and theoretical description of dynamic models
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2013 Using news analytics data in GARCH models
by Sidorov, Sergei & Date, Paresh & Balash, Vladimir
2013 The determinants and stability of money demand in the Republic of Macedonia
by Jordan Kjosevski
2013 Natural Resources, Openness and Income Inequality in Iran
by Hamideh Mohtashami Borzadaran & Mehdi Behname & Sayed Mahdi Mostafavi
2013 Construyendo un índice coincidente de recesión: Una aplicación para la economía peruana
by Mendoza, Liu & Morales, Daniel
2013 Socios comerciales y crecimiento en América Latina: Un enfoque SVAR dinámico
by Winkelried, Diego & Saldarriaga, Miguel
2013 Generalized impulse response analysis: General or Extreme?
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2013 Declared and actual policy of the Russian Central Bank in 2000–2008: how large is the difference? (in Russian)
by Andrey Sinyakov
2013 Lies, Damned Lies, and Statistics? Examples From Finance and Economics
by Karim M. Abadir
2013 A Long-Run Relationship between Daily Prices on Two Markets: The Bayesian VAR(2)–MSF-SBEKK Model
by Krzysztof Osiewalski & Jacek Osiewalski
2013 Business Cycles Indicators And Short-Term Forecasts Of Polish Industry Production Index
by Pawel M. Kolba & Radoslaw Kotkowski
2013 Export-led growth in Tunisia: A wavelet filtering based analysis
by Hamrita Mohamed Essaied
2013 Elasticidades de demanda por electricidad e impactos macroecon_omicos del precio de la energía eléctrica en Colombia || Elasticity of Electricity Demand and Macroeconomics Impacts of Electricity Price in Colombia
by Espinosa Acuña, Óscar A. & Vaca González, Paola A. & Avila Forero, Raúl A.
2013 The Causality Relationship between the Dry Bulk Market and Worldwide Economic Growth
by Batrinca Ghiorghe & Cojanu Gianina
2013 Oil Prices, Excess Uncertainty and Trend Growth
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2013 Economic Spillovers from the Euro Area to the CESEE Region via the Financial Channel: A GVAR Approach
by Peter Backé & Martin Feldkircher & Tomáš Slacík
2013 The Dynamics of Deposit Euroization in European Post-Transition Countries: Evidence from Threshold VAR
by Marina Tkalec
2013 Dynamic factor models: A review of the literature
by Karim Barhoumi & Olivier Darné & Laurent Ferrara
2013 Time-Varying Parameters of Inflation Model in Nepal: State Space Modeling
by T.P.Koirala Ph.D.
2013 Remittanceand Trade Deficit Nexus in Nepal: A VECM Approach
by Guna Raj Bhatta
2013 Ciclo e indicadores antecedentes na indústria do Rio Grande do Sul [Cycles and background indicators in industry in the state of Rio Grande do Sul]
by Igor Alexandre Clemente de Morais
2013 Spillovers and contagion in the sovereign CDS market
by Michał Adam
2013 Structural Change in the Crude Oil Price Dynamic: Theoretical Study and Practical Implications
by Francisco Giron¨¦s & Fernando Guerra & Jorge Hern¨¢ndez & Javier Poblaci¨®n
2013 South Africa¡¯s Short and Long Term Interest Rates: A Threshold Cointegration Analysis
by Smile Dube & Yan Zhou
2013 Testing of Dependencies between Stock Returns and Trading Volume by High Frequency Data
by Piotr Gurgul & Robert Syrek
2013 Asset Markets Contagion During the Global Financial Crisis
by Dimitris Kenourgios & Dimitrios Dimitriou & Apostolos Christopoulos
2013 Further evidence on the determinants of regional stock market integration in Latin America
by Khaled Guesmi & Duc Khuong Nguyen & Frédéric Teulon
2013 An Application of Wagner’s Law in the Indian Economy: 1970-71 to 2010-11
by Rahul Ranjan & Abhishek K. Chintu
2013 Modified Scheffé’s Prediction Bands
by Anna Staszewska-Bystrova
2013 Multivariate Self-Exciting Threshold Autoregressive Modeling by Genetic Algorithms
by Roberto Baragona & Domenico Cucina
2013 Exchange Rate Pass Through in a Small Open Economy: A case study of West African Monetary Zone
by Rahman Olanrewaju Raji
2013 Carbon Emissions and Income Trajectory in Eight Heterogeneous Countries: The Role of Trade Openness, Energy Consumption and Population Dynamics
by OLUWOLE OWOYE & OLUGBENGA A. ONAFOWORA
2013 Financial Development And Economic Growth: A New Investigation
by HUIRAN PAN & CHUN WANG
2013 Trade liberalization and import-demand behavior in Bangladesh, 1974–2008
by Akhand Akhtar Hossain
2013 Housing price cycles and aggregate business cycles: stylised facts in the case of Malaysia
by Hon-Chung Hui
2013 Building the core of the Istat system of models for forecasting the Italian economy: MeMo-It
by Fabio Bacchini & Cristina Brandimarte & Piero Crivelli & Roberta De Santis & Marco Fioramanti & Alessandro Girardi & Roberto Golinelli & Cecilia Jona-Lasinio & Massimo Mancini & Carmine Pappalardo & Daniela Rossi & Marco Ventura & Claudio Vicarelli
2013 Un análisis de la política monetaria en México y sus efectos en variables reales, 1995-2011: un modelo VAR en un ambiente browniano
by Martínez-García, Miguel Ángel. & Venegas-Martínez, Francisco. & Trejo-García, José Carlos.
2013 The Relationship between Energy Consumption and GDP: Evidence from a Panel of 10 Latin American Countries
by Jacobo Campo & Viviana Sarmiento
2013 Financial Development, Domestic Savings and Poverty Reduction in Pakistan: Using Cointegration and Granger Causality Analysis
by Muhammad Shahbaz & Talat Afza & Muhammad Shahbaz Shabbir
2013 Demand for Indonesia, Singapore and Thailand Tourist to Malaysia:Seasonal Unit Root and Multivariate Analysis
by Nanthakumar Loganathan & Ang Shy Han & Mori Kogid
2013 Interactions between Economic Growth and Unemployment Condition in Asian Region
by Syh Han Ang & Nanthakumar Loganathan
2013 A Retrospective Analysis of the House Prices Macro-Relationship in the United States
by Ibrahim Ahamada & Jose Luis Diaz Sanchez
2013 The Impact of Monetary Policy Shocks on Commodity Prices
by A. Anzuini & M. J. Lombardi & P. Pagano
2013 Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound
by Christiane Baumeister & Luca Benati
2013 Are Investment and Savings Cointegrated? Evidence from Middle East and North African Countries
by Helmi Hamdi & Rashid Sbia
2013 Causality Relationship between Macroeconomic Variables and Stock Market Development: Evidence from Bahrain
by Hisham Handal Abdelbaki
2013 Which Chinese Markets to Diversify into?
by Leo H. Chan
2013 Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets
by Krenar AVDULAJ & Jozef BARUNIK
2013 The Relevant Markets for Meat Production and Processing in the Czech Republic: Analysis of the Price Movements
by Vladimír Hajko & Jaroslav Bil
2013 Tax Revenue and Main Macroeconomic Indicators in Turkey
by Harun Yuksel & Mehmet Orhan & Hakan Oztunc
2013 Potere della distribuzione moderna nelle filiere agroalimentari: il caso dell’olio d’oliva in Italia
by Roberto Furesi & Fabio A. Madau & Pietro Pulina
2013 Stock – Watson Eşbütünleşme Analizi Yardımıyla Altın Fiyatları Mekanizması Üzerine
by Gönül AKINCI & Merter AKINCI & Ömer YILMAZ
2013 Value-at-Risk-Estimation in the Mexican Stock Exchange Using Conditional Heteroscedasticity Models and Theory of Extreme Values
by Alejandro Iván Aguirre Salado & Humberto Vaquera Huerta & Martha Elva Ramírez Guzmán & José René Valdez Lazalde & Carlos Arturo Aguirre Salado
2013 Análisis de convergencia de las regiones de la zona euro (1990-2010)
by Laia Maynou & Marc Saez & Jordi Bacaria
2013 Turkiye Avrupa Birligi’ne Yakinsiyor Mu? Bir Zaman Serisi Analizi, 1950-2008
by Lutfu OZTURK
2013 Hodrick-Prescott Filter: An Extreme-Sport Testing
by Wulfrano Gómez & Leovardo Mata & Montserrat Reyna
2013 Mutual fund performance in Tunisia: A multivariate GARCH approach
by Hammami, Yacine & Jilani, Faouzi & Oueslati, Abdelmonem
2013 The autumn effect of gold
by Baur, Dirk G.
2013 Causality between trading volume and returns: Evidence from quantile regressions
by Gebka, Bartosz & Wohar, Mark E.
2013 Dynamics of the co-movement between stock and maritime markets
by Erdogan, Oral & Tata, Kenan & Karahasan, B. Can & Sengoz, M. Hakan
2013 The Spanish term structure of interest rates revisited: Cointegration with multiple structural breaks, 1974–2010
by Esteve, Vicente & Navarro-Ibáñez, Manuel & Prats, María A.
2013 Who benefits from increased government spending? A state-level analysis
by Owyang, Michael T. & Zubairy, Sarah
2013 Risk and return in the Tehran stock exchange
by Jahan-Parvar, Mohammad R. & Mohammadi, Hassan
2013 Oil exports and the Iranian economy
by Esfahani, Hadi Salehi & Mohaddes, Kamiar & Pesaran, M. Hashem
2013 Demographics and the long-horizon returns of dividend-yield strategies
by Lee, King Fuei
2013 New tips from TIPS: Identifying inflation expectations and the risk premia of break-even inflation
by Zeng, Zheng
2013 Simultaneous stochastic volatility transmission across American equity markets
by Weber, Enzo
2013 The benefit of modeling jumps in realized volatility for risk prediction: Evidence from Chinese mainland stocks
by Liao, Yin
2013 Fast clustering of GARCH processes via Gaussian mixture models
by Aielli, Gian Piero & Caporin, Massimiliano
2013 Are government wages interlinked with private sector wages?
by Lamo, Ana & Pérez, Javier J. & Schuknecht, Ludger
2013 Money and inflation: Consequences of the recent monetary policy
by El-Shagi, Makram & Giesen, Sebastian
2013 Potential financing sources of investment and economic growth in North African countries: A causality analysis
by Abdelhafidh, Samir
2013 Testing for rational bubbles in the US housing market
by Kivedal, Bjørnar Karlsen
2013 What do we learn from Blanchard and Quah decompositions of output if aggregate demand may not be long-run neutral?
by Keating, John W.
2013 Stock returns and monetary policy: Are there any ties?
by Bouakez, Hafedh & Essid, Badye & Normandin, Michel
2013 Do stock prices contain predictive power for the future economic activity? A Granger causality analysis in the frequency domain
by Croux, Christophe & Reusens, Peter
2013 Macroeconomic uncertainty, inflation and growth: Regime-dependent effects in the G7
by Neanidis, Kyriakos C. & Savva, Christos S.
2013 Quantile cointegration analysis of the Fisher hypothesis
by Tsong, Ching-Chuan & Lee, Cheng-Feng
2013 Fitting survey expectations and uncertainty about trend inflation
by Henzel, Steffen R.
2013 Fiscal spillovers in the Euro area
by Caporale, Guglielmo Maria & Girardi, Alessandro
2013 Inflation, output and uncertainty in the era of inflation targeting – A multi-economy view on causal linkages
by Hartmann, Matthias & Roestel, Jan
2013 Is the relationship between prices and exchange rates homogeneous?
by Hall, Stephen G. & Hondroyiannis, George & Kenjegaliev, Amangeldi & Swamy, P.A.V.B. & Tavlas, George S.
2013 Commodity price shocks and the business cycle: Structural evidence for the U.S
by Gubler, Matthias & Hertweck, Matthias S.
2013 Exchange rate shocks and trade: A multivariate GARCH-M approach
by Grier, Kevin B. & Smallwood, Aaron D.
2013 Housing cycles and macroeconomic fluctuations: A global perspective
by Cesa-Bianchi, Ambrogio
2013 Reassessing the link between the Japanese yen and emerging Asian currencies
by Kim, Bong-Han & Kim, Hyeongwoo & Min, Hong-Ghi
2013 The multiscale causal dynamics of foreign exchange markets
by Bekiros, Stelios & Marcellino, Massimiliano
2013 Inflation illusion and the US dividend yield: Some further evidence
by Acker, Daniella & Duck, Nigel W.
2013 Post-Keynesian money endogeneity evidence in G-7 economies
by Badarudin, Z.E. & Ariff, M. & Khalid, A.M.
2013 How smooth is price discovery? Evidence from cross-listed stock trading
by Chen, Haiqiang & Choi, Paul Moon Sub & Hong, Yongmiao
2013 The real effects of banking shocks: Evidence from OECD countries
by Levintal, Oren
2013 Risk and return: Long-run relations, fractional cointegration, and return predictability
by Bollerslev, Tim & Osterrieder, Daniela & Sizova, Natalia & Tauchen, George
2013 Have the GIPSI settled down? Breaks and multivariate stochastic volatility models for, and not against, the European financial integration
by Gębka, Bartosz & Karoglou, Michail
2013 Testing the expectations hypothesis of the term structure with permanent-transitory component models
by Casalin, Fabrizio
2013 Identifying the interaction between stock market returns and trading flows of investor types: Looking into the day using daily data
by Ülkü, Numan & Weber, Enzo
2013 Return sign forecasts based on conditional risk: Evidence from the UK stock market index
by Chevapatrakul, Thanaset
2013 Systemic risk measures: The simpler the better?
by Rodríguez-Moreno, María & Peña, Juan Ignacio
2013 A revisit to the dependence structure between the stock and foreign exchange markets: A dependence-switching copula approach
by Wang, Yi-Chiuan & Wu, Jyh-Lin & Lai, Yi-Hao
2013 Who moves first? An intensity-based measure for information flows across stock exchanges
by Kehrle, Kerstin & Peter, Franziska J.
2013 Aggregation of exponential smoothing processes with an application to portfolio risk evaluation
by Sbrana, Giacomo & Silvestrini, Andrea
2013 Real exchange rate adjustment in European transition countries
by Maican, Florin G. & Sweeney, Richard J.
2013 Measuring time-varying financial market integration: An unobserved components approach
by Berger, Tino & Pozzi, Lorenzo
2013 Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach
by Boubaker, Heni & Sghaier, Nadia
2013 Price discovery and trade fragmentation in a multi-market environment: Evidence from the MTS system
by Caporale, Guglielmo Maria & Girardi, Alessandro
2013 Forecasting EUR–USD implied volatility: The case of intraday data
by Dunis, Christian & Kellard, Neil M. & Snaith, Stuart
2013 The role of credit in the Great Moderation: A multivariate GARCH approach
by Grydaki, Maria & Bezemer, Dirk
2013 Stock market reaction to fed funds rate surprises: State dependence and the financial crisis
by Kontonikas, Alexandros & MacDonald, Ronald & Saggu, Aman
2013 Consumption, financial wealth and labor income in Korea
by Lee, Jiho
2013 Putting the “C” into crisis: Contagion, correlations and copulas on EMU bond markets
by Philippas, Dionisis & Siriopoulos, Costas
2013 Sovereign bond yield spillovers in the Euro zone during the financial and debt crisis
by Antonakakis, Nikolaos & Vergos, Konstantinos
2013 Re-examining the decline in the US saving rate: The impact of mortgage equity withdrawal
by Caporale, Guglielmo Maria & Costantini, Mauro & Paradiso, Antonio
2013 Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment
by Degiannakis, Stavros & Filis, George & Floros, Christos
2013 Quantitative easing, credibility and the time-varying dynamics of the term structure of interest rate in Japan
by Kagraoka, Yusho & Moussa, Zakaria
2013 The time-varying response of foreign stock markets to U.S. monetary policy surprises: Evidence from the Federal funds futures market
by Kishor, N. Kundan & Marfatia, Hardik A.
2013 Investor herds and regime-switching: Evidence from Gulf Arab stock markets
by Balcilar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat
2013 Causes of nonlinearities in low-order models of the real exchange rate
by Ahmad, Yamin & Lo, Ming Chien & Mykhaylova, Olena
2013 The contribution of economic fundamentals to movements in exchange rates
by Balke, Nathan S. & Ma, Jun & Wohar, Mark E.
2013 The realized forward term premium in the repo market
by Kopchak, Seth J.
2013 Equity risk premium and regional integration
by Arouri, Mohamed & Teulon, Frédéric & Rault, Christophe
2013 Continuous-time VIX dynamics: On the role of stochastic volatility of volatility
by Kaeck, Andreas & Alexander, Carol
2013 Financial crises, the decoupling–recoupling hypothesis, and the risk premium on the Greek stock index futures market
by Floros, Christos & Kizys, Renatas & Pierdzioch, Christian
2013 Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence
by Degiannakis, Stavros & Floros, Christos & Dent, Pamela
2013 Silver fetters? The rise and fall of the Chinese price level 1928–34
by Ho, Tai-kuang & Lai, Cheng-chung
2013 Virtual prices and the impact of house rationing in Belgium on consumer choices
by Fleissig, Adrian R. & Whitney, Gerald
2013 The impact of global oil price shocks on the Lebanese stock market
by Dagher, Leila & El Hariri, Sadika
2013 Does the source of oil price shocks matter for South African stock returns? A structural VAR approach
by Gupta, Rangan & Modise, Mampho P.
2013 What if energy time series are not independent? Implications for energy-GDP causality analysis
by Bruns, Stephan B. & Gross, Christian
2013 Is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters?
by Beckmann, Joscha & Czudaj, Robert
2013 The stochastic seasonal behavior of energy commodity convenience yields
by Mirantes, Andrés García & Población, Javier & Serna, Gregorio
2013 Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets
by Gardebroek, Cornelis & Hernandez, Manuel A.
2013 The causal nexus between oil prices and equity market in the U.S.: A regime switching model
by Balcilar, Mehmet & Ozdemir, Zeynel Abidin
2013 Causality between energy and output in the long-run
by Stern, David I. & Enflo, Kerstin
2013 Energy consumption and real GDP in G-7: Multi-horizon causality testing in the presence of capital stock
by Salamaliki, Paraskevi K. & Venetis, Ioannis A.
2013 Volatility spillover between oil and agricultural commodity markets
by Nazlioglu, Saban & Erdem, Cumhur & Soytas, Ugur
2013 Modeling and forecasting the volatility of petroleum futures prices
by Kang, Sang Hoon & Yoon, Seong-Min
2013 The long-run and causal analysis of energy, growth, openness and financial development on carbon emissions in Turkey
by Ozturk, Ilhan & Acaravci, Ali
2013 Oil price effects on personal consumption expenditures
by Wang, Yu Shan
2013 Modeling the relationship between European carbon permits and certified emission reductions
by Koop, Gary & Tole, Lise
2013 Long memory and tail dependence in trading volume and volatility
by Rossi, Eduardo & Santucci de Magistris, Paolo
2013 Term structure dynamics with macro-factors using high frequency data
by Kim, Hwagyun & Park, Hail
2013 Hedge fund contagion and risk-adjusted returns: A Markov-switching dynamic factor approach
by Akay, Ozgur (Ozzy) & Senyuz, Zeynep & Yoldas, Emre
2013 What do the Fama–French factors add to C-CAPM?
by Abhakorn, Pongrapeeporn & Smith, Peter N. & Wickens, Michael R.
2013 Stressing correlations and volatilities — A consistent modeling approach
by Becker, Christoph & Schmidt, Wolfgang M.
2013 The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts
by Varneskov, Rasmus & Voev, Valeri
2013 Duration, trading volume and the price impact of trades in an emerging futures market
by Bowe, Michael & Hyde, Stuart & McFarlane, Lavern
2013 On the political determinants of sovereign risk: Evidence from a Markov-switching vector autoregressive model for Argentina
by Sottile, Pedro
2013 Analyzing the effects of US monetary policy shocks in dollarized countries
by Willems, Tim
2013 International stock market integration: Central and South Eastern Europe compared
by Horvath, Roman & Petrovski, Dragan
2013 Least squares estimation in a simple random coefficient autoregressive model
by Johansen, Søren & Lange, Theis
2013 Sequential estimation of shape parameters in multivariate dynamic models
by Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique
2013 Inference on impulse response functions in structural VAR models
by Inoue, Atsushi & Kilian, Lutz
2013 Density approximations for multivariate affine jump-diffusion processes
by Filipović, Damir & Mayerhofer, Eberhard & Schneider, Paul
2013 Testing for structural stability in the whole sample
by Hidalgo, Javier & Seo, Myung Hwan
2013 Determining the MSE-optimal cross section to forecast
by Arbués, Ignacio
2013 Methods for computing marginal data densities from the Gibbs output
by Fuentes-Albero, Cristina & Melosi, Leonardo
2013 Low-frequency robust cointegration testing
by Müller, Ulrich K. & Watson, Mark W.
2013 On loss functions and ranking forecasting performances of multivariate volatility models
by Laurent, Sébastien & Rombouts, Jeroen V.K. & Violante, Francesco
2013 Stable mixture GARCH models
by Broda, Simon A. & Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C.
2013 The method of simulated quantiles
by Dominicy, Yves & Veredas, David
2013 Analysis of non-stationary dynamics in the financial system
by Guharay, Samar K. & Thakur, Gaurav S. & Goodman, Fred J. & Rosen, Scott L. & Houser, Daniel
2013 Testing slope homogeneity in large panels with serial correlation
by Blomquist, Johan & Westerlund, Joakim
2013 Spurious persistence in stochastic volatility
by Messow, Philip & Krämer, Walter
2013 Spectral density of Markov-switching VARMA models
by Cavicchioli, Maddalena
2013 Semiparametric selection of seasonal cointegrating ranks using information criteria
by Seong, Byeongchan
2013 A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors
by Atak, Alev & Kapetanios, George
2013 Dynamic co-movements of stock market returns, implied volatility and policy uncertainty
by Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Filis, George
2013 Identification in models of gasoline pricing
by Bachmeier, Lance
2013 Estimating the state vector of linearized DSGE models without the Kalman filter
by Kollmann, Robert
2013 The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics
by Allen, David & Ng, K.H. & Peiris, Shelton
2013 A check for finite order VAR representations of DSGE models
by Franchi, Massimo & Vidotto, Anna
2013 A simple test for the equality of integration orders
by Hualde, Javier
2013 Volatility and persistence of simulated DSGE real exchange rates
by Ahmad, Yamin & Lo, Ming Chien & Mykhaylova, Olena
2013 Generalized impulse response analysis in a fractionally integrated vector autoregressive model
by Do, Hung Xuan & Brooks, Robert Darren & Treepongkaruna, Sirimon
2013 A wavelet analysis of international risk-sharing
by Trezzi, Riccardo
2013 Partial unit root and linear spurious regression: A Monte Carlo simulation study
by Zhang, Lingxiang
2013 Bayesian forecasting with highly correlated predictors
by Korobilis, Dimitris
2013 A note on exact correspondences between adaptive learning algorithms and the Kalman filter
by Berardi, Michele & Galimberti, Jaqueson K.
2013 Identifying permanent and transitory risks in the Chinese property insurance market
by Guo, Feng & Huang, Ying Sophie
2013 Reexamining the time-varying volatility spillover effects: A Markov switching causality approach
by Zheng, Tingguo & Zuo, Haomiao
2013 The dynamic interactions among the stock, bond and insurance markets
by Lee, Chien-Chiang & Huang, Wei-Ling & Yin, Chun-Hao
2013 Dynamic relationships between industry returns and stock market returns
by Lee, Chien-Chiang & Chen, Mei-Ping & Chang, Chi-Hung
2013 Decomposing U.S. Stock Market Comovement into spillovers and common factors
by Weber, Enzo
2013 Equity and CDS sector indices: Dynamic models and risk hedging
by Caporin, Massimiliano
2013 Day-of-the-week effect on the VIX. A parsimonious representation
by Gonzalez-Perez, Maria T. & Guerrero, David E.
2013 Conditional correlations and volatility spillovers between crude oil and stock index returns
by Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai
2013 Gold as an inflation hedge in a time-varying coefficient framework
by Beckmann, Joscha & Czudaj, Robert
2013 The impact of the global business cycle on small open economies: A FAVAR approach for Canada
by Vasishtha, Garima & Maier, Philipp
2013 The mechanics of VAR forecast pooling—A DSGE model based Monte Carlo study
by Henzel, Steffen R. & Mayr, Johannes
2013 Policy reforms and asymmetric price transmission in the Zambian and Tanzanian coffee markets
by Mofya-Mukuka, Rhoda & Abdulai, Awudu
2013 Macroeconomic effects of fiscal policy changes: A case of South Africa
by Akanbi, Olusegun Ayodele
2013 Investor attention and stock market activity: Evidence from France
by Aouadi, Amal & Arouri, Mohamed & Teulon, Frédéric
2013 Price and volatility dynamics between securitized real estate spot and futures markets
by Shi, Jing & Xu, Tracy
2013 Can futures price be a powerful predictor? Frequency domain analysis on Chinese commodity market
by Yang, Linghubo & Zhang, Dongxiang
2013 Oil price uncertainty, monetary policy and the macroeconomy: The Canadian perspective
by Bashar, Omar H.M.N. & Wadud, I.K.M. Mokhtarul & Ali Ahmed, Huson Joher
2013 Tourism–growth nexus in Pakistan: Evidence from ARDL bounds tests
by Jalil, Abdul & Mahmood, Tahir & Idrees, Muhammad
2013 Balance-of-payments constrained growth model for the Turkish economy
by Gökçe, Atilla & Çankal, Erhan
2013 Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue
by de Truchis, Gilles
2013 On the stationarity of per capita carbon dioxide emissions over a century
by Christidou, Maria & Panagiotidis, Theodore & Sharma, Abhijit
2013 Exchange rate pass-through to inflation in China
by Jiang, Jiadan & Kim, David
2013 An asymmetric analysis of the relationship between oil prices and output: The case of Turkey
by Çatik, A. Nazif & Önder, Özlem
2013 Real convergence in Europe: A cluster analysis
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2013 Terrorism and tourism: A conjunction and ramification in Pakistan
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2012 Prior Selection for Vector Autoregressions
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2012 Long Memory in German Energy Price Indices
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2012 An Empirical Growth Model for Major Oil Exporters
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2012 An Empirical Growth Model for Major Oil Exporters
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2012 House prices and stock prices: Different roles in the U.S. monetary transmission mechanism
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2012 Monetary Transmission Mechanism and Time Variation in the Euro Area
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2012 Shocking Policy Coefficients
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2012 The Effects of Government Spending on the Distribution of Consumption
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2012 Fiscal Foresight, Forecast Revisions and the Effects of Government Spending in the Open Economy
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2012 Do Institutions and Culture Matter for Business Cycles?
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2012 Has the Euro-Mediterranean Partnership Affected Mediterranean Business Cycles?
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2012 A Pitfall with DSGE-Based, Estimated, Government Spending Multipliers
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2012 The changing role of expectations in US monetary policy: A new look using the Livingston Survey
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2012 How do anticipated changes to short-term market rates influence banks' retail interest rates? Evidence from the four major euro area economies
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2012 Do food commodity prices have asymmetric effects on Euro-Area inflation?
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2012 Modelling loans to non-financial corporations in the euro area
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2012 The impact of monetary policy shocks on commodity prices
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2012 A model for vast panels of volatilities
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2012 TailCoR
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2012 Macro-financial linkages: Evidence from country-specific VARs
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2012 The Effects of Oil Price Uncertainty on the Macroeconomy
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2012 The Role of Credit in International Business Cycles
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2012 China’s Emergence in the World Economy and Business Cycles in Latin America
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2012 Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound
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2012 Testing Non-linearity Using a Modified Q Test
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2012 Trend-Cycle Interactions and the Subprime Crisis: Analysis of US and Canadian Output
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2012 Codependent VAR Models and the Pseudo-Structural Form
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2012 Identifying the Shocks behind Business Cycle Asynchrony in Euroland
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2012 Identifying the Substitution Effect of Temporary Agency Employment
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2012 Measuring Option Implied Degree of Distress in the US Financial Sector Using the Entropy Principle
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2012 On the Macroeconomic Determinants of the Long-Term Oil-Stock Correlation
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2012 System Reduction and the Accuracy of Solutions of DSGE Models: A Note
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2012 Fiscal Foresight, Forecast Revisions and the Effects of Government Spending in the Open Economy
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2012 Shocking Policy Coefficients
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2012 Approximate Whittle Analysis of Fractional Cointegration and the Stock Market Synchronization Issue
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2012 Estimation and Testing for Fractional Cointegration
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2012 News, Noise, and Fluctuations: An Empirical Exploration
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2012 Fear and Closed-End Fund Discounts
by Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana Stern
2012 Spillover Effects of the U.S. Financial Crisis on Financial Markets in Emerging Asian Countries
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2012 Generalized Impulse Response Analysis: General or Extreme?
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2012 The Short-Run Pricing Behavior of Closed-End Funds: Bond vs. Equity Funds
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2012 Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries
by Tom Engsted & Thomas Q. Pedersen
2012 Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis
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2012 Multivariate Variance Targeting in the BEKK-GARCH Model
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2012 Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model
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2012 Oracle Efficient Estimation and Forecasting with the Adaptive LASSO and the Adaptive Group LASSO in Vector Autoregressions
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2012 Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models
by Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor
2012 The Volatility of Long-term Bond Returns: Persistent Interest Shocks and Time-varying Risk Premiums
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2012 Unit Root Vector Autoregression with volatility Induced Stationarity
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2012 Oracle Inequalities for High Dimensional Vector Autoregressions
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2012 Modelling conditional correlations of asset returns: A smooth transition approach
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2012 The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options
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2012 Conditionally-uniform Feasible Grid Search Algorithm
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2012 Socios comerciales y crecimiento en América Latina
by Diego Winkelried Quezada & Miguel Ángel Saldarriaga
2012 Latin American Growth Partners
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2012 Modelling trades-through in a limit order book using hawkes processes
by Toke, Ioane Muni & Pomponio, Fabrizio
2012 Impact of Macroeconomic Shocks on Real Output Fluctuations in Croatia
by Nataša Erjavec Boris Cota Saša Jakšić
2012 Forecast Intervals for Inflation in Romania
by Mihaela BRATU
2012 Capital Flows and Economic Growth across Spectral requencies: Evidence from Turkey
by Nuri Yildirim & Huseyin Tastan
2012 Sources Of Exchange Rate Volatility In The European Transition Economies. Effects Of Economic Crisis Revealed
by K. Rajmund MIRDALA
2012 A Behavioral Explanation For The Asymmetric Volatility Effect
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2012 Money demand and currency and asset substitucion in Venezuela: 1997-2008
by Alberto Gregorio Castellano Montiel
2012 Systematic Risk Assesment Using Ols Method - The Case Of The Capital Market Of Bosnia And Herzegovina
by Azra Zaimovic
2012 The Propagation of Regional Recessions
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2012 Multivariate Forecast Evaluation and Rationality Testing
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2012 A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models
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2012 The Role of Copulas in the Housing Crisis
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2012 Transmission Des Prix Et Asymétrie Sur Les Marchés De Produits Vivriers Au Bénin
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2012 The Interrelationship between Money Supply, Prices and Government Expenditures and Economic Growth: A Causality Analysis for the Case of Cyprus
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2012 Kuresel Kriz, Avrupa Borc Krizi ve Gelismekte Olan Piyasalarda Bulasicilik Etkisi (Global Crisis, European Debt Crisis and Contagion in Emerging Markets)
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2012 Gelismekte Olan Ulkelerin Kurlarindaki Ortak Hareketin Analizi
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2012 Turkiye'de Cekirdek Enflasyon : Ekonometrik Bir Yaklasim
by Ozlem Yigit & Atilla Gokce
2012 Interest Rates Determination And Crisis Puzzle (Empirical Evidence From The European Transition Economies)
by Rajmund MIRDALA
2012 More alike than different: the Spanish and Irish labour markets before and after the crisis
by Pablo Agnese & Pablo Salvador
2012 Purchasing Power Parity: Evidence From Four Cee Countries
by DIANA SADOVEANU & NICOLAE GHIBA
2012 Panelowy model SSANOVA wykorzystany do oceny wpływu efektów zróżnicowania sektorowego i regionalnego na prowadzoną restrukturyzację zatrudnienia w opiece zdrowotnej w Polsce w latach 1999-2009
by Danuta Rozpędowska-Matraszek
2012 Household Money Demand: The Euro Area Case
by Franz Seitz & Julian von Landesberger
2012 Volatility Forecasting with Asymmetric Normal Mixture Garch Model: Evidence from South Africa
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2012 Perspectives on risk measurement: a critical assessment of PC-GARCH against the main volatility forecasting models
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2012 Análsis de la Relación de Causalidad entre el Índice de Precios del Productor y del Consumidor en los Países Miembros del TLCAN
by Gómez Aguirre, Mario & Rodríguez, José Carlos
2012 Testing for “Contagion” of the Subprime Crisis on the Middle East and North African Stock Markets: A Markov Switching EGARCH Approach
by Khallouli, Wajih & Sandretto, René
2012 Stock Market Integration Between Three CEECs
by Maria Caporale, Guglielmo & Spagnolo, Nicola
2012 The role of the timeline in Granger causality test in the presence of daily data non-synchronism
by Grigoryev, Ruslan & Jaffry, Shabbar & Marchenko, German
2012 Investigation of the consequences of ignoring daily data non-synchronism in cross-market linkages: BRIC and developed countries
by Grigoryev, Ruslan & Jaffry, Shabbar & Marchenko, German
2012 Inflows and their Macroeconomic Impact in India a VAR Analysis
by Narayan Sethi
2012 Does Government Debt Promote Economic Growth? An Empirical Analysis with Structural Breaks for the Economy of China
by Stylianou Tasos
2012 Testing Purchasing Power Parity in Romania using standard unit root tests, with one structural break and cointegration analysis
by Nicolae Ghiba & Diana Sadoveanu
2012 Dinámica inflacionaria regional y el esquema de metas de inflación en el Perú
by Winkelried, Diego & Gutiérrez, José
2012 Traspaso del tipo de cambio y metas de inflación en el Perú
by Winkelried, Diego
2012 Bayesian Analysis of Weak Form Polynomial Reduced Rank Structures in VEC Models
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2012 Cointegration Analysis in the Case of I(2) – General Overview
by Michał Majsterek
2012 Missing observations in daily returns - Bayesian inference within the MSF-SBEKK model
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2012 Is There a Trade-off between Exchange Rate and Interest Rate Volatility? Evidence from an M-GARCH Model
by António Portugal Duarte & João Sousa Andrade & Adelaide Duarte
2012 Estimating Potential Output in Romania using Univariate Statistical Filters
by Dedu Vasile & Stoica Tiberiu
2012 Improving Customer Churn Models as one of Customer Relationship Management Business Solutions for the Telecommunication Industry
by Slãvescu Ecaterina Oana & Panait Iulian
2012 The Impact Of Investments, Exports, And Openness On Economic Growth. A Comparative Study On The East European Countries
by Simut Ramona
2012 Economic Potential Recovery '" A European Challenge In The Medium Term
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2012 Dynamics Of Development In Europe: Analysis Of Twenty Years Data On Gdp And Hdi
by Bucciarelli Edgardo & Alessi Michele & Persico Tony Ernesto
2012 Day-of-the-week effect in Consumer Confidence Index: The case of Turkey
by Sadullah Çelik & Hüseyin Kaya
2012 Selecting and Simulating Models for Management of Investment Portfolios Using Cybernetic Approach
by Angel Marchev & Angel Marchev Jr.
2012 Fatores de influência no preço do milho no Brasil [Factors that influence corn prices in Brazil]
by Carlos Eduardo Caldarelli & Mirian Rumenos Piedade Bacchi
2012 Study of the Tail Dependence Structure in Global Financial Markets Using Extreme Value Theory
by Jian Wu & Zhengjun Zhang & Yong Zhao
2012 Volume and Skewness Analysis in the Major Latin American Stock Markets
by Werner Kristjanpoller & Víctor Caballero
2012 A monetáris politika hatása a magyar gazdaságra. Elemzés strukturális, dinamikus faktormodellel
by Pellényi, Gábor
2012 Economic Trends and Cycles in Crime: A Study for England and Wales
by Suncica Vujic & Siem Jan Koopman & Jacques J. F. Commandeur
2012 Effects Of Monetary Policy In Romania - A Var Approach
by Iulian Popescu
2012 The Mobility Of The Processes Of Regional Intra-Industry Specialization In Romania
by Oana Ancuta Stangaciu
2012 On The Economic Effects Of Investment In Railroad Infrastructures In Portugal
by ALFREDO M. PEREIRA & JORGE M. ANDRAZ
2012 Fiscal Sustainability in European Countries: A Preliminary Analysis
by Shyh-Wei Chen & Cheng-Hong Chang
2012 Do Asymmetric Causal Relationships Exist between Macroeconomic Variables and Housing Returns in Taiwan?
by Kuan-Min Wang & Yuan-Ming Lee & Chien-Chiang Lee
2012 A Reassessment of Pakistan's Aggregate Import Demand Function: An Application of Ardl Approach
by Shaista Alam
2012 The Relationship Between Commercial Energy Consumption and Gross Domestic Income in Kenya
by Susan M. Onuonga
2012 Long Run Sustainability of Sarawak - West Kalimantan Cross-Border Trade Flows
by Nurul Bariyah & Evan Lau & Shazali Abu Mansor
2012 Un acercamiento empírico al financiamiento del desarrollo : el caso mexicano
by Alcántara-Lizárraga, José Ángel. & de la Cruz-Gallegos, José Luis.
2012 Capacidad de predicción de los modelos GARCH simétricos aplicados a variables financieras de México 2001-2011
by Villalba-Padilla, Fátima Irina & Flores-Ortega, Miguel
2012 Modelación de series económicas mediante métodos automáticos de regresión difusa
by Rodrigo Cajamarca & Hermann Mena
2012 Food Price Pass-Through in the Euro Area: Non-Linearities and the Role of the Common Agricultural Policy
by Gianluigi Ferrucci & Rebeca Jiménez-Rodríguez & Luca Onorantea
2012 Elasticidad de la demanda de trabajo en Uruguay
by María Sylvina Porras & Eliana Melognio
2012 Fundamentals of Equilibrium Real Exchange Rate
by Juan Benítez & Gabriela Mordecki
2012 Trade variables and Current Account “reversals”: Does the choice of definition matter? An application to Latin American countries
by Sergio V. Barone & Ricardo Descalzi & Alberto M. Díaz Cafferata
2012 The Asymmetric Long-Run Relationship Between Crude Oil And Gold Futures
by Yen-Hsien Lee & Ya-Ling Huang & Hao-Jang Yang
2012 Time-Varying Risk Premium in the Czech Capital Market: Did the Market Experience a Structural Shock in 2008–2009?
by Vit Posta
2012 Financial Development and Economic Growth in Poland in Transition: Causality Analysis
by Henryk Gurgul & £ukasz Lach
2012 Come misurare l’evoluzione congiunturale a livello locale: Una proposta metodologica
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2012 Obiettivi e impatti dell’efficienza energetica in Italia
by Giuseppe Travaglini
2012 Türkiye Ekonomisi İçin NAIRU Tahmini
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2012 An empirical analysis of dynamic relationship between stock market and bond market based on information shocks
by Qiang Chen & Daolun Chen & YuTing Gong
2012 Polarization patterns in economic development and innovation
by Azomahou, Théophile T. & Diene, Mbaye
2012 Is the UAE stock market integrated with the USA stock market? New evidence from asymmetric causality testing
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2012 The Effect of Data Revisions on the Basic New Keynesian Model
by Vázquez, Jesús & María-Dolores, Ramón & Londoño, Juan M.
2012 Intraday trading activities and volatility in round-the-clock futures markets
by Kao, Erin H. & Fung, Hung-Gay
2012 The impact of China's stock market reforms on its international stock market linkages
by Li, Hong
2012 Quoted spreads and trade imbalance dynamics in the European Treasury bond market
by Caporale, Guglielmo Maria & Girardi, Alessandro & Paesani, Paolo
2012 The causal structure of bond yields
by Wang, Zijun
2012 Wagner versus Keynes: Public spending and national income in Italy
by Magazzino, Cosimo
2012 The twin deficits hypothesis: Revisiting an EMU country
by Kalou, Sofia & Paleologou, Suzanna-Maria
2012 Trade-off between labor productivity and capital accumulation in Italian energy sector
by Travaglini, Giuseppe
2012 Do market fundamentals determine the Dollar–Euro exchange rate?
by Apergis, Nicholas & Zestos, George K. & Shaltayev, Dmitriy S.
2012 Information, data dimension and factor structure
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2012 Identifying News Shocks from SVARs
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2012 Structural cointegrated models of US consumption and wealth
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2012 Asymmetric exchange rate pass-through: Evidence from major countries
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2012 An empirical investigation of the Taylor curve
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2012 VECM estimations of the PPP reversion rate revisited: The conventional role of relative price adjustment restored
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2012 Real exchanges rates in commodity producing countries: A reappraisal
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2012 Convergence of Euro area inflation rates
by Lopez, Claude & Papell, David H.
2012 “Black Swans” before the “Black Swan” evidence from international LIBOR–OIS spreads
by Olson, Eric & Miller, Scott & Wohar, Mark E.
2012 Taylor rules and the Canadian–US equilibrium exchange rate
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2012 The EONIA spread before and during the crisis of 2007–2009: The role of liquidity and credit risk
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2012 Testing conditional factor models
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2012 Pitfalls in backtesting Historical Simulation VaR models
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2012 Information demand and stock market volatility
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2012 Assessing the risk-return trade-off in loan portfolios
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2011 Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
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2011 Long Memory Dynamics for Multivariate Dependence under Heavy Tails
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2011 Identifying US Monetary Policy Shocks through Sign Restrictions in Dollarized Countries
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2011 The Regional Impact of Monetary Policy in Indonesia
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2011 Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails
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2011 Monetary Policy Analysis in Real-Time. Vintage combination from a real-time dataset
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2011 The analysis of nonstationary time series using regression, correlation and cointegration - with an application to annual mean temperature and sea level
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2011 Production, Inequality and Poverty linkages in South Africa
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2011 The Forecasting Performance of an Estimated Medium Run Model
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2011 Information in the Revision Process of Real-Time Datasets
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2011 Bank Lending Shocks and the Euro Area Business Cycle
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2011 Autobiography
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2011 Thomas J. Sargent and Christopher A. Sims: Empirical Macroeconomics
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2011 Thomas J. Sargent and Christopher A Sims: The art of distinguishing between cause and effect in the macroeconomy
by Committee, Nobel Prize
2011 Spatial Dependence in Wind and Optimal Wind Power Allocation: A Copula Based Analysis
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2011 Unit Root Testing with Stationary Covariates and a Structural Break in the Trend Function
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2011 Covariate Unit Root Tests with Good Size and Power
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2011 Regime-Switching Cointegration
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2011 Persistence in Convergence
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2011 Modelling Realized Covariances and Returns
by Xin Jin & John M. Maheu
2011 An Empirical Analysis of the Credit-Output Relationship: Evidence from Peru
by Lahura, Erick
2011 Exchange rate pass-through and inflation targeting in Peru
by Winkelried, Diego
2011 Forecasting Equicorrelation
by Adam E Clements & Christopher A Coleman-Fenn & Daniel R Smith
2011 Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models
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2011 Direct vs bottom-up approach when forecasting GDP: reconciling literature results with institutional practice
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2011 Rational vs. Professional Forecasts
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2011 Assessing monetary policy in the euro area: a factor-augmented VAR approach
by Rita Soares
2011 Development and the cyclicality of government spending in the Czech Republic
by Szarowska, Irena
2011 Asymmetric Panel Causality Tests with an Application to the Impact of Fiscal Policy on Economic Performance in Scandinavia
by Hatemi-J, Abdulnasser
2011 The interdependence between energy consumption and economic growth in the Polish economy in the last decade
by Gurgul, Henryk & Lach, Łukasz
2011 Impact of hard coal usage for metal production on economic growth of Poland
by Lach, Łukasz
2011 Causality analysis between public expenditure and economic growth of Polish economy in last decade
by Gurgul, Henryk & Lach, Łukasz
2011 The impact of regional disparities on economic growth
by Gurgul, Henryk & Lach, Łukasz
2011 The role of coal consumption in the economic growth of the Polish economy in transition
by Gurgul, Henryk & Lach, Łukasz
2011 A Monte Carlo Study for Swamy’s Estimate of Random Coefficient Panel Data Model
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2011 Everything You Always Wanted to Know about Log Periodic Power Laws for Bubble Modelling but Were Afraid to Ask
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2011 Output-Employment Relationship across Sectors: A Long- versus Short-Run Perspective
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2011 Misalignment under different exchange rate regimes: the case of Turkey
by Dağdeviren, Sengül & Ogus Binatli, Ayla & Sohrabji, Niloufer
2011 The impact of the financial crisis on the interbank money markets behavior. Evidence from several CEE transition economies
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2011 The Non-Zero Lower Bound Lending Rate and the Liquidity Trap
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2011 Оцінка Впливу Елементів Фінансового Механізму На Становлення Та Розвитку Зеленого Бізнесу В Європі
by Stepanenko, Bohdana
2011 A closer look at the money multipliers for the Turkish economy: Is there a stable relationship?
by Korap, Levent
2011 Impact of inflatıon gap to nomınal interest rates: case of Turkey
by dogru, bulent & marabaoglu, akif
2011 Causal relationship between saving, investment and economic growth for India – what does the relation imply?
by Jangili, Ramesh
2011 On the Feasibility of Monetary Union: Does It Make Sense to Look for Shocks Symmetry across Countries When None of the Countries Constitutes an Optimum Currency Area?
by Jean Louis, Rosmy & Brown, Ryan & Balli, Faruk
2011 Modelos de Estimación de la Brecha de Producto: Aplicación al PIB de la República Dominicana
by Francisco, Ramirez
2011 Relative price effects of monetary policy shock in Malaysia: a svar study
by Abdul Karim, Zulkefly & Zaidi, Mohd Azlan Shah & W.N.W, Azman-Saini
2011 Money and prices in the Maghreb countries: cointegration and causality analyses
by Benamar, Abdelhak & CHERIF, Nasreddine & Benbouziane, Mohamed
2011 Financial development and economic growth in Poland in transition: causality analysis
by Gurgul, Henryk & Łukasz, Lach
2011 Identifying regime shifts in Indian stock market: A Markov switching approach
by Wasim, Ahmad & Bandi, Kamaiah
2011 The case for higher frequency inflation expectations
by Guzman, Giselle C.
2011 Price Linkages in the Copper Futures, Primary, and Scrap Markets
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2011 Linkage among the U.S. Energy Futures Markets
by Aruga, Kentaka & Managi, Shunsuke
2011 GMM estimation with noncausal instruments under rational expectations
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2011 Expectations Impact on the Effectiveness of the Inflation-Real Activity Trade-Off
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2011 Regime Switching in a New Keynesian Phillips Curve with Non-zero Steady-state Inflation Rate
by Gbaguidi, David Sedo
2011 International stock market comovements: what happened during the financial crisis?
by Horvath, Roman & Poldauf, Petr
2011 Identifying the Signs of Currency Speculation in Hong Kong's Linked exchange Rate
by Li, Kui-Wai
2011 Improving biodiversity monitoring by modeling relative abundance from "presence only" data
by Jingwa A, Brian
2011 A assimetria dos ciclos económicos: Evidência internacional usando o teste triples
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2011 The gasoline Industry in European Union and the USA
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2011 Informality and the expansion of social protection programs
by Azuara, Oliver & Marinescu, Ioana
2011 Mixed fractional Brownian motion, short and long-term Dependence and economic conditions: the case of the S&P-500 Index
by Dominique, C-René & Rivera-Solis, Luis Eduardo
2011 The instability of the correlation structure of the S&P 500
by Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard
2011 Roaring Food Prices in India
by Mukherjee, Soumyatanu
2011 Phénomènes financiers et mélange de lois : Une nouvelle méthode d’estimation des paramètres
by Chilarescu, Constantin & Viasu, Iana Luciana
2011 When A Factor Is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models
by Prono, Todd
2011 Industrial development, agricultural growth, urbanization and environmental Kuznets curve in Pakistan
by Muhammad, Anees & Ishfaq, Ahmed
2011 Conditional Markov chain and its application in economic time series analysis
by Bai, Jushan & Wang, Peng
2011 Dynamic relationships between the price of oil, gold and financial variables in Japan: a bounds testing approach
by Le, Thai-Ha & Chang, Youngho
2011 VECM estimations of the PPP reversion rate revisited: the conventional role of relative price adjustment restored
by Kim, Hyeongwoo
2011 An empirical model for the Turkish trade balance: new evidence from ARDL bounds testing analyses
by Korap, Levent
2011 Development and the cyclicality of government spending in the Czech Republic
by Szarowska, Irena
2011 Environmental Kuznets Curve in Romania and the Role of Energy Consumption
by Muhammad, Shahbaz & Mihai, Mutascu & Parvez, Azim
2011 Valuation of Latin-American stock prices with alternative versions of the Ohlson model: An investigation of cointegration relationships with time-series and panel-data
by Duran-Vazquez, Rocio & Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio
2011 Carbon emission and production technology: evidence from the US
by Dinda, Soumyananda
2011 Parametric inference and forecasting in continuously invertible volatility models
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2011 Asymmetric generalized impulse responses and variance decompositions with an application
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2011 Valuation of Latin-American stock prices with alternative versions of the Ohlson model: An investigation of cointegration relationships with time-series and panel-data
by Duran-Vazquez, Rocio & Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio
2011 Economic Growth and Environmental Degradation in Nigeria: Beyond the Environmental Kuznets Curve
by Akpan, Usenobong F. & Chuku, Agbai
2011 Demographic pressure, excess labour supply and public-private sector employment in Egypt - Modelling labour supply to analyse the response of unemployment, public finances and welfare
by Peeters, Marga
2011 Effets de long terme du taux de change réel sur la balance commerciale nominale et réelle en zone Franc africaine
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2011 How relevant is monetary policy to explain Mexican unemployment fluctuations?
by Islas-Camargo, Alejandro & Cortez, Willy W.
2011 Revisiting Okun's law for Mexico: an analysis of the permanent and transitory components of unemployment and output
by Islas-Camargo, Alejandro & Cortez, Willy W.
2011 Hypothèse de Thirlwall: cas des pays de la zone Franc
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2011 Policy Rule Coefficients Driven by Latent Factors: Monetary and Fiscal Policy Interactions in an Endowment Economy
by Gonzalez-Astudillo, Manuel
2011 Forecasting Performance of Alternative Error Correction Models
by Iqbal, Javed
2011 Tourism, real output and real effective exchange rate in Malaysia: a view from rolling sub-samples
by Tang, Chor Foon
2011 Is per capita GDP non-linear stationary in SAARC countries?
by Tiwari, Aviral & Shahbaz, Muhammad & Shabbir, Muhammad
2011 The long-run relationship between savings and investment in oil-exporting developing countries: A case study of the Gulf Arab States
by Basher, Syed Abul & Fachin, Stefano
2011 Estimating Demand for Nutrients in Nigeria: A Vector Error Correction Model
by Ogundari, Kolawole
2011 The nexus between public expenditure and inflation in the Mediterranean countries
by Magazzino, Cosimo
2011 Financial development and energy consumption nexus in Malaysia: A multivariate time series analysis
by Islam, Faridul & Shahbaz, Muhammad & Alam, Mahmudul
2011 Time Series Estimates of the Italian Consumer Confidence Indicator
by Paradiso, Antonio & Rao, B. Bhaskara & Margani, Patrizia
2011 Revisiting the Electricity Consumption-Growth Nexus for Portugal: Evidence from a Multivariate Framework Analysis
by Tang, Chor Foon & Shahbaz, Muhammad
2011 What Caused the Decline in the US Saving Ratio?
by Paradiso, Antonio & Rao, B. Bhaskara
2011 Wage spillovers across sectors in Eastern Europe
by D'Adamo, Gaetano
2011 Bank systemic risk and the business cycle: An empirical investigation using Canadian data
by Christian Calmès & Raymond Théoret
2011 The rise of shadow banking and the hidden benefits of diversification
by Christian Calmès & Raymond Théoret
2011 Konsumausgaben und Aktienmarktentwicklung in Deutschland: Ein kointegriertes vektorautoregressives Modell
by Andreas Nastansky & Hans Gerhard Strohe
2011 Interdependenzen in den Renditen DAX-notierter Unternehmen nach Branchen
by Jonas Teitge & Andreas Nastansky
2011 Orthogonale und verallgemeinerte Impuls-Antwort-Funktionen in Vektor-Fehlerkorrekturmodellen
by Andreas Nastansky
2011 Stimmungen und Erwartungen im System der Märkte : eine Analyse mit DPLS-Modellen = Sentiments and expectations in the system of markets : an analysis with DPLS models
by Marcus Ruge
2011 Synchronization of Economic Sentiment Cycles in the Euro Area: a time-frequency analysis
by Luís Aguiar-Conraria & Manuel M. F. Martins & Maria Joana Soares
2011 Un’estensione stocastica del modello "Fisher-Lange"
by Massimo De Felice & Franco Moriconi
2011 Microcrédito Y Crecimiento Regional En El Perú
by Guivanna Aguilar
2011 Estimation Of A Time Varying Natural Interest Rate For Peru
by Alberto Humala & Gabriel Rodríguez
2011 A Factorial Decomposition Of Inflation In Peru, An Alternative Measure Of Core Inflation
by Alberto Humala & Gabriel Rodríguez
2011 Dynamic Conditional Correlation: On properties and estimation
by Gian Piero Aielli
2011 Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators
by Gian Piero Aielli & Massimiliano Caporin
2011 Multivariate High-Frequency-Based Volatility (HEAVY) Models
by Diaa Noureldin & Neil Shephard & Kevin Sheppard
2011 Non-Stationary Interest Rate Differentials and the Role of Monetary Policy
by Philipp Matros & Enzo Weber
2011 Inflation Convergence and the New Keynesian, Phillips Curve in the Czech Republic
by Katarína Danišková & Jarko Fidrmuc
2011 Reassessing the NAIRUs after the Crisis
by Stéphanie Guichard & Elena Rusticelli
2011 The Growth Effects of Current Account Reversals: The Role of Macroeconomic Policies
by Luiz de Mello & Pier Carlo Padoan & Linda Rousová
2011 Time-varying returns, intertemporal substitution and cyclical variation in consumption
by Emmanuel De Veirman & Ashley Dunstan
2011 Is there asymmetric behaviour in African inflation? A non-linear approach
by Luis Alberiko Gil-Alaña & Juan C. Cuestas & Estefania Mourelle
2011 Multivariate High-Frequency-Based Volatility (HEAVY) Models
by Diaa Noureldin & Neil Shephard & Kevin Sheppard
2011 Tracking India Growth in Real Time
by Bhattacharya, Rudrani & Pandey, Radhika & Veronese, Giovanni
2011 Using Large Data Sets to Forecast Sectoral Employment
by Rangan Gupta & Alain Kabundi & Stephen M. Miller & Josine Uwilingiye
2011 Country and Industry Convergence of Equity Markets: International Evidence from Club Convergence and Clustering
by Nicholas Apergis & Christina Christou & Stephen M. Miller
2011 Forecasting Nevada Gross Gaming Revenue and Taxable Sales Using Coincident and Leading Employment Indexes
by Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller
2011 Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations
by Cristina Amado & Timo Teräsvirta
2011 The temporal pattern and the overall effect of ozone exposure on pediatric respiratory morbidity
by Anabela Botelho & Aida Sá & José Fraga & Márcia Quaresma & Margarida Costa
2011 Testing Conditional Factor Models
by Andrew Ang & Dennis Kristensen
2011 Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties
by Yuriy Gorodnichenko & Anna Mikusheva & Serena Ng
2011 Inference for VARs Identified with Sign Restrictions
by Hyungsik Roger Moon & Frank Schorfheide & Eleonora Granziera & Mihye Lee
2011 Estimation and Evaluation of DSGE Models: Progress and Challenges
by Frank Schorfheide
2011 Forecasts in a Slightly Misspecified Finite Order VAR
by Ulrich K. Müller & James H. Stock
2011 Competitiveness channel in Poland and Slovakia: a pre-EMU DSGE analysis
by Andrzej Toroj
2011 Forecasting inflation with consumer survey data – application of multi-group confirmatory factor analysis to elimination of the general sentiment factor
by Piotr Białowolski
2011 Data Revisions in the Estimation of DSGE models
by Miguel Casares & Jesús Vázquez
2011 Dynamics Between Strategic Commodities and Financial Variables
by Thai-Ha LE & Youngho CHANG
2011 Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices
by Yin Liao & Heather M. Anderson
2011 Expansion of Brownian Motion Functionals and Its Application in Econometric Estimation
by Chaohua Dong & Jiti Gao
2011 No news in business cycles
by Mario Forni & Luca Gambetti & Luca Sala
2011 Sufficient information in structural VARs
by Mario Forni & Luca Gambetti
2011 How far do shocks move across borders?Examining volatility transmission in major agricultural futures markets
by Manuel Hernandez & Raul Ibarra & Danilo Trupkin
2011 Identification of credit supply shocks in a Bayesian SVAR model of the Hungarian economy
by Bálint Tamási & Balázs Világi
2011 Business fixed investment and credit market frictions. A VECM approach for Hungary
by Marianna Endrész
2011 Spot and future prices of agricultural commodities: fundamentals and speculation
by Lucia BALDI & Massimo PERI & Daniela VANDONE
2011 Housing Market and the Transmission of Monetary Policy: Evidence from U.S. States
by Maria Christidou & Panagiotis Konstantinou
2011 Systematic and Liquidity Risk in Subprime-Mortgage Backed SecuritiesM
by Thomas Flavin & Gerald P. Dwyer & Mardi Dungey
2011 Heuristic model selection for leading indicators in Russia and Germany
by Ivan Savin & Peter Winker
2011 How do international stock markets respond to oil demand and supply shocks?
by Jochen H. F. Güntner
2011 The transmission of external shocks to the Macedonian economic activity
by Danica Unevska Andonova & Marija Petkovska
2011 Fiscal Policy and External Adjustment: New Evidence
by Hafedh Bouakez & Foued Chihi & Michel Normandin
2011 On the Evolving Relationship between Corn and Oil Prices
by Eskandar Elmarzougui & Bruno Larue
2011 Profit Dynamics across the Largest Euro Area countries and Sectors
by Laurent Maurin & Moreno Roma & Igor Vetlov
2011 Infinite-variance, Alpha-stable Shocks in Monetary SVAR: Final Working Paper Version
by Greg Hannsgen
2011 The Nonexistence of Instrumental Variables
by Stephen Hall & George S. Tavlas & P. A. V. B. Swamy
2011 A Cost-Benefit Analysis of Basel III: Some Evidence from the UK
by Meilan Yan & Maximilian J. B. Hall & Paul Turner
2011 Ranking Multivariate GARCH Models by Problem Dimension:An Empirical Evaluation
by Michael McAleer & Massimiliano Caporin
2011 Asymptotic theory for iterated one-step Huber-skip estimators
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2011 Financial Instability - a Result of Excess Liquidity or Credit Cycles?
by Christian Heebøll-Christensen
2011 Prices, Wages and Fertility in Pre-Industrial England
by Marc P. B. Klemp
2011 Some Econometric Results for the Blanchard-Watson Bubble Model
by Søren Johansen & Theis Lange
2011 Spatio-Temporal Dynamics in Swiss Regional Unemployment
by Rolf Schenker & Martin Straub
2011 Inflation Perceptions and Expectations in Sweden - Are Media Reports the ‘Missing Link’?
by Lena Dräger
2011 Institutions and Business Cycles
by Sumru Altug & Mustafa Emin & Bilin Neyapti
2011 Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights
by Ralf Brüggemann & Helmut Lütkepohl
2011 Commodity Price Shocks and the Business Cycle: Structural Evidence for the U.S
by Matthias Gubler & Matthias S. Hertweck
2011 The International Transmission of Euro Area Monetary Policy Shocks
by Nils Jannsen & Melanie Klein
2011 A simple decomposition of the variance of output growth across countries
by Christopher Reicher
2011 If the Unites States sneezes, does the world need paracetamol?
by M. J. Herrerias & Javier Ordoñez
2011 Are Drone Strikes Effective in Afghanistan and Pakistan? On the Dynamics of Violence between the United States and the Taliban
by Jaeger, David A. & Siddique, Zahra
2011 Are Drone Strikes Effective in Afghanistan and Pakistan? On the Dynamics of Violence between the United States and the Taliban
by Jaeger, David A. & Siddique, Zahra
2011 China's Emergence in the World Economy and Business Cycles in Latin America
by Cesa-Bianchi, Ambrogio & Pesaran, M. Hashem & Rebucci, Alessandro & Xu, TengTeng
2011 China's Emergence in the World Economy and Business Cycles in Latin America
by Cesa-Bianchi, Ambrogio & Pesaran, Hashem & Rebucci, Alessandro & Xu, TengTeng
2011 More Alike than Different: The Spanish and Irish Labour Markets Before and After the Crisis
by Agnese, Pablo & Salvador, Pablo F.
2011 More Alike than Different: The Spanish and Irish Labour Markets Before and After the Crisis
by Agnese, Pablo & Salvador, Pablo F.
2011 Economies of Scale in the Tunisian Industries
by Heshmati, Almas & Haouas, Ilham
2011 Economies of Scale in the Tunisian Industries
by Heshmati, Almas & Haouas, Ilham
2011 The Japanese Lost Decade and Beyond: A Chain Reaction Theory Approach
by Agnese, Pablo
2011 The Japanese Lost Decade and Beyond: A Chain Reaction Theory Approach
by Agnese, Pablo
2011 The Quantity Theory Revisited: A New Structural Approach
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2011 Relative prices, the price level and inflation: Effects of asymmetric and sticky adjustment
by Shruti Tripathi & Ashima Goyal
2011 The estimation uncertainty of permanent-transitory decompositions in cointegrated systems
by Sven Schreiber
2011 Germany's Short Time Compensation Program: macroeconom(etr)ic insight
by Henner Will
2011 Automated model selection in finance: General-to-speci c modelling of the mean and volatility speci cations
by Alvaro Escribano & Genaro Sucarrat
2011 Crédito, Exceso de Toma de Riesgo, Costo del Crédito y Ciclo Económico en Chile
by Carlos Garcia & Andrés Sagner
2011 A Fixed-b Perspective on the Phillips-Perron Unit Root Tests
by Vogelsang, Timothy J. & Wagner, Martin
2011 Cointegrating Polynomial Regressions
by Hong, Seung Hyun & Wagner, Martin
2011 Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Regressions
by Vogelsang, Timothy J. & Wagner, Martin
2011 The Dynamics of Deposit Euroization in European Post-transition Countries: Evidence from Threshold VAR
by Marina Tkalec
2011 The Evolution of the Monetary Policy Regimes in the U.S
by Jinho Bae & Chang-Jin Kim & Dong Heon Kim
2011 China’s Emergence in the World Economy and Business Cycles in Latin America
by Ambrogio Cesa-Bianchi & M. Hashem Pesaran & Alessandro Rebucci & TengTeng Xu
2011 China's Emergence in the World Economy and Business Cycles in Latin America
by Ambrogio Cesa-Bianchi & M. Hashem Pesaran & Alessandro Rebucci & TengTeng Xu
2011 Spectral estimation of covolatility from noisy observations using local weights
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2011 Multivariate Volatility Modeling of Electricity Futures
by Luc Bauwens & Christian M. Hafner & Diane Pierret
2011 Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data
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2011 Large Vector Auto Regressions
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2011 Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models
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2011 An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory
by Markus Bibinger
2011 Asymptotics of Asynchronicity
by Markus Bibinger
2011 Mean-Variance Cointegration and the Expectations Hypothesis
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2011 Statistical Inference in Possibly Integrated/Cointegrated Vector Autoregressions: Application to Testing for Structural Changes
by Eiji Kurozumi & Khashbaatar Dashtseren
2011 Dual-Track Interest Rates and the Conduct of Monetary Policy in China
by Dong He & Honglin Wang
2011 Self-reinforcing effects between housing prices and credit: Evidence from Norway
by K. Anundsen, André & S. Jansen, Eilev
2011 Band Spectrum Regressions using Wavelet Analysis
by Andersson, Fredrik N. G.
2011 Income Inequality between Chinese Regions: Newfound Harmony or Continued Discord?
by Lyhagen, Johan & Rickne, Johanna
2011 Inflation Perceptions and Expectations in Sweden - Are Media Reports the `Missing Link'?
by Lena Dräger
2011 Effects of discretionary fiscal policy: new empirical evidence for Germany
by Bank, Alexander
2011 Forecasting Based on Common Trends in Mixed Frequency Samples
by Peter Fuleky & Carl S. Bonham
2011 Multivariate trend comparisons between autocorrelated climate series with general trend regressors
by Ross McKitrick & Timothy Vogelsang
2011 Persistence in Convergence
by Thanasis Stengos & M. Ege Yazgan
2011 State-Space Cointegration Modeling for the Analysis of Exogenous Shocks to Prices in Israeli-Palestinian Food Trade
by Rico Ihle & Linde Götz & Ofir D. Rubin
2011 Growth rates constrained by internal and external imbalances: a demand orientated approach
by Elias Soukiazis & Pedro Cerqueira & Micaela Antunes
2011 Realised and Optimal Monetary Policy Rules in an Estimated Markov-Switching DSGE Model of the United Kingdom
by Xiaoshan Chen & Ronald MacDonald
2011 Symmetry of External Shock responses within the Andean Community of Nations: A SVAR Approach
by Andrea Gabriela Bonilla Bolaños
2011 Global crisis and Financial destabilization in ASEAN countries. A microstructural perspective
by Céline Gimet & Thomas Lagoarde-Segot
2011 Modelling Long-Term Electricity Contracts at EEX
by Robert Flasza & Milan Rippel & Jan Šolc
2011 DSGE Model Estimation on Base of Second Order Approximation
by Sergey Ivashchenko
2011 Long Memory in the Oil Market: A Spectral Approach
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2011 Vector Autoregressive Models
by Helmut Luetkepohl
2011 The Multiscale Causal Dynamics of Foreign Exchange Markets
by Stelios Bekiros & Massimiliano Marcellino
2011 Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights
by Ralf Brueggemann & Helmut Luetkepohl
2011 Structural Vector Autoregressions with Markov Switching: Combining Conventional with Statistical Identification of Shocks
by Helmut Herwartz & Helmut Luetkepohl
2011 Measuring Euro Area Monetary Policy Transmission in a Structural Dynamic Factor Model
by Matteo Barigozzi & Antonio M. Conti & Matteo Luciani
2011 Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation
by Caporin, M. & McAleer, M.J.
2011 Wavelet multiple correlation and cross-correlation: A multiscale analysis of euro zone stock markets
by Fernández Macho, Francisco Javier
2011 Study the relation between monetary and exchange rate policy: The case of Belarus
by Miksjuk Alexei
2011 From Correlation to Granger Causality
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2011 Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities
by Mardi Dungey & Gerald P. Dwyer & Thomas Flavin
2011 A SVECM Model of the UK Economy and The Term Premium
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2011 Measuring Output Gap Nowcast Uncertainty
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2011 Information, data dimension and factor structure
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2011 Time-Varying Returns, Intertemporal Substitution and Cyclical Variation in Consumption
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2011 Wage spillovers across sectors in Eastern Europe
by Gaetano D’Adamo
2011 Cointegration with multiple structural breaks: an application to the Spanish environmental Kuznets curve, 1857-2007
by Vicente Esteve & Cecilio Tamarit
2011 Fiscal shocks and budget balance persistence in the EU countries from Central and Eastern Europe
by Juan Carlos Cuestas & Karsten Staehr
2011 Forecasting with Approximate Dynamic Factor Models: the Role of Non-Pervasive Shocks
by Matteo Luciani
2011 Identification of Panel Data Models with Endogenous Censoring
by Shakeeb Khan & Maria Ponomareva & Elie Tamer
2011 Till Labor Cost Do Us Part A Vecm Model of Unit Labor Cost Convergence in the Euro Area
by Francesca Pancotto & Filippo Pericoli
2011 On the volatility-volume relationship in energy futures markets using intraday data
by Julien Chevallier & Benoît Sévi
2011 Sovereign and Bank Credit Risk during the Global Financial Crisis
by Irina Stanga
2011 Government Outlays, Economic Growth and Unemployment: A VAR Model
by Siyan Wang & Burton A. Abrams
2011 Bayesian Inference for the Mixed-Frequency VAR Model
by Paul Viefers
2011 Fiscal Spillovers in the Euro Area
by Guglielmo Maria Caporale & Alessandro Girardi
2011 Price Discovery and Trade Fragmentation in a Multi-Market Environment: Evidence from the MTS System
by Guglielmo Maria Caporale & Alessandro Girardi
2011 Cross-Section Dependence and the Monetary Exchange Rate Model: A Panel Analysis
by Joscha Beckmann & Ansgar Belke & Frauke Dobnik
2011 Existe-t-il un univers de benchmarks pour les Hedge Funds?
by Kamel Laaradh & Nesrine Samet
2011 A Simple Test for Identification in GMM under Conditional Moment Restrictions
by Francesco Bravo & Juan Carlos Escanciano & Taisuke Otsu
2011 Real Exchange Rates, Commodity Prices and Structural Factors in Developing Countries
by Vincent BODART & Bertrand CANDELON & Jean-François CARPANTIER
2011 Real Exchanges Rates in Commodity Producing Countries: A Reappraisal
by Vincent BODART & Bertrand CANDELON & Jean-François CARPANTIER
2011 On the Distribution of Exchange Rate Regime Treatment Effects on International Trade
by Dorn, Sabrina & Egger, Peter
2011 Structural Vector Autoregressions
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2011 Inference for VARs Identified with Sign Restrictions
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2011 Inference on Impulse Response Functions in Structural VAR Models
by Inoue, Atsushi & Kilian, Lutz
2011 Business cycle measurement with some theory
by Canova, Fabio & Paustian, Matthias
2011 Macroeconomic Effects of Unconventional Monetary Policy in the Euro Area
by Peersman, Gert
2011 Business Cycle Synchronization Since 1880
by Artis, Michael J & Chouliarakis, George & Harischandra, PKG
2011 No News in Business Cycles
by Forni, Mario & Gambetti, Luca & Sala, Luca
2011 Testing for Sufficient Information in Structural VARs
by Forni, Mario & Gambetti, Luca
2011 Volatility models
by BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien
2011 VAR forecasting using Bayesian variable selection
by KOROBILIS, Dimitris
2011 Multivariate volatility modeling of electricity futures
by bauwens, Luc & hafner, Christian & pierret, Diane
2011 Real exchanges rates in commodity producing countries : A reappraisal
by BODART, Vincent & CANDELON, Bertrand & CARPANTIER, Jean - François
2011 Un sistema casi ideal de demanda para el gasto en Colombia: una estimación utilizando el método generalizado de los momentos en el periodo 1968-2007
by Andrés Ramirez Hassan & Daniel Londoño Cano & Edwar Londoño Zapata
2011 An Introductory Review of a Structural VAR-X Estimation and Applications
by Sergio Ocampo & Norberto Rodríguez
2011 Choques, instituciones laborales y desempleo en Colombia
by Juan José Echavarría & Enrique López & Sergio Ocampo & Norberto Rodríguez
2011 Composición cambiaria y poder adquisitivo de las reservas internacionales
by Javier Gómez Restrepo & Juan Manuel Hernández Herrera
2011 Determinants of the Exchange Rate in Colombia under Inflation Targeting
by Fredy Alejandro Gamboa Estrada
2011 Is Monetary Policy in the New EU Member States Asymmetric?
by Borek Vasicek
2011 Crime And Economic Performance. A Cluster Analysis Of Panel Data On Italy'S Nuts 3 Regions
by Rosetta Lombardo & Marianna Falcone
2011 Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility
by Jean-Marie Dufour & René Garcia & Abderrahim Taamouti
2011 Asymptotic Distributions for Some Quasi-Efficient Estimators in Echelon VARMA Models
by Jean-Marie Dufour & Tarek Jouini
2011 Beyond Panel Unit Root Tests: Using Multiple Testing to Determine the Non Stationarity Properties of Individual Series in a Panel
by Hyungsik Roger Moon & Benoit Perron
2011 The Performance of Socially Responsible Funds: Does the Screening Process Matter?
by Gunther Capelle-Blancard & Stéphanie Monjon
2011 Fiscal Spillovers in the Euro Area
by Guglielmo Maria Caporale & Alessandro Girardi
2011 Macroeconomic Effects of Unconventional Monetary Policy in the Euro Area
by Gert Peersman
2011 Credit Derivatives and the Default Risk of Large Complex Financial Institutions
by Giovanni Calice & Christos Ioannidis & Julian Williams
2011 Price Discovery and Trade Fragmentation in a Multi-Market Environment: Evidence from the MTS System
by Guglielmo Maria Caporale & Alessandro Girardi
2011 Can we Rely upon Fiscal Policy Estimates in Countries with Unreported Production of 15 Per Cent (or more) of GDP?
by Raffaella Basile & Bruno Chiarini & Elisabetta Marzano
2011 Measuring the Integration of Staple Food Markets in Sub-Saharan Africa: Heterogeneous Infrastructure and Cross Border Trade in the East African Community
by Rico Ihle & Stephan von Cramon-Taubadel & Sergiy Zorya
2011 Monetary Policy Analysis in Real-Time. Vintage Combination from a Real-Time Dataset
by Carlo Altavilla & Matteo Ciccarelli
2011 Autoregressions in Small Samples, Priors about Observables and Initial Conditions
by Marek Jarocinski & Albert Marcet
2011 Transmission des chocs de prix internationaux : le cas du riz au Burkina Faso
by Félix BADOLO
2011 UK Macroeconomic Volatility and the Welfare Costs of Inflation
by Polito, Vito & Spencer, Peter
2011 Modelling and Forecasting the Indian Re/US Dollar Exchange Rate
by Pami Dua & Rajiv Ranjan
2011 Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation
by Massimiliano Caporin & Michael McAleer
2011 Oil Prices, External Income, and Growth: Lessons from Jordan
by Mohaddes, K. & Raissi, M.
2011 China’s Emergence in the World Economy and Business Cycles in Latin America
by Cesa-Bianchi, A. & Pesaran, M. H. & Rebucci, A. & Xu, T.
2011 Commodity Price Shocks and the Business Cycle: Structural Evidence for the U.S
by Matthias Gubler & Matthias S. Hertweck
2011 Uma análise empírica dos determinantes da desindustrialização no caso brasileiro (1996-2008)
by Cristiane Soares & Anderson Mutter & José Luis Oreiro
2011 Till labor cost do us part. On the long run convergence of EMU countries
by F. Pancotto & F. Pericoli
2011 The world is not enough! Small open economies and regional dependence
by Knut Are Aastveit & Hilde C. Bjørnland & Leif Anders Thorsrud
2011 Nowcasting GDP in Real-Time: A Density Combination Approach
by Knut Are Aastveit & Karsten R. Gerdrup & Anne Sofie Jore & Leif Anders Thorsrud
2011 The world is not enough! Small open economies and regional dependence
by Knut Are Aastveit & Hilde C. Bjørnland & Leif Anders Thorsrud
2011 Nowcasting GDP in real-time: A density combination approach
by Knut Are Aastveit & Karsten R. Gerdrup & Anne Sofie Jore & Leif Anders Thorsrud
2011 The impact of house prices on household debt when controlling for home ownership
by Dag Henning Jacobsen & Bjørn Helge Vatne
2011 El Traspaso de Tipo de Cambio a Precios en Uruguay
by Diego Gianelli
2011 From the General to the Specific
by J. James Reade & Ulrich Volz
2011 Testing for Sufficient Information in Structural VARs
by Mario Forni & Luca Gambetti
2011 No News in Business Cycles
by Mario Forni & Luca Gambetti & Luca Sala
2011 Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets
by Borgy, V. & Laubach, T. & Mésonnier, J-S. & Renne, J-P.
2011 Measuring the NAIRU: a complementary approach
by De la Serve, M-E. & Lemoine, M.
2011 Short Note on the Unemployment Rate of the French Overseas Regions
by Hoarau, J-F. & Lopez, C. & Paul, M.
2011 Convergence of Euro Area Inflation Rates
by Lopez, C. & Papell, David H.
2011 On the Welfare Costs of Misspecified Monetary Policy Objectives
by Avouyi-Dovi, S. & Sahuc, J-G.
2011 Modelling Stochastic Volatility with Leverage and Jumps: A Simulated Maximum Likelihood Approach via Particle Filtering
by Malik, S. & Pitt, M. K.
2011 How Far Do Shocks Move Across Borders? Examining Volatility Transmission in Major Agricultural Futures Markets
by Manuel A. Hernández & Raúl Ibarra-Ramírez & Danilo R. Trupkin
2011 Bayesian analysis of coefficient instability in dynamic regressions
by Emanuela Ciapanna & Marco Taboga
2011 Which Households Use Banks? Evidence from the Transition Economies
by Thorsten Beck & Martin Brown
2011 The Impact of the Global Business Cycle on Small Open Economies: A FAVAR Approach for Canada
by Garima Vasishtha & Philipp Maier
2011 Bigger Fish in Small Pond: The Interaction between Foreigners’ Trading and Emerging Stock Market Returns under the Microscope
by Ülkü, Numan & Weber, Enzo
2011 Testing for Sufficient Information in Structural VARs
by Mario Forni & Luca Gambetti
2011 No News in Business Cycles
by Mario Forni & Luca Gambetti & Luca Sala
2011 Agricultural Price Transmission Across Space and Commodities During Price Bubbles
by Roberto ESPOSTI & Giulia LISTORTI
2011 Volatility in EMU sovereign bond yields: Permanent and transitory components
by Simón Sosvilla-Rivero & Amalia Morales-Zumaquero
2011 The US Dollar-Euro exchange rate and US-EMU bond yield differentials: A Causality Analysis
by Simón Sosvilla-Rivero & María del Carmen Ramos-Herrera
2011 The US Tourism Trade Balance and Exchange Rate Shock
by Ka Ming Cheng & Hyeongwoo Kim & Henry Thompson
2011 Fear and Closed-End Fund Discounts: Investor Sentiment Revisited
by Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana Stern
2011 On the Time-Varying Relationship between Closed-End Fund Prices and Fundamentals: Bond vs. Equity Funds
by Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana Stern
2011 Reassessing the Link between the Japanese Yen and Emerging Asian Currencies
by Bong-Han Kim & Hyeongwoo Kim & Hong-Ghi Min
2011 Spillover Effects of the US Financial Crisis on Financial Markets in Emerging Asian Countries
by Bong-Han Kim & Hyeongwoo Kim
2011 Purchasing Power Parity and the Taylor Rule
by Hyeongwoo Kim & Masao Ogaki
2011 Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability
by Tim Bollerslev & Daniela Osterrieder & Natalia Sizova & George Tauchen
2011 Asymptotic theory for iterated one-step Huber-skip estimators
by Søren Johansen & Bent Nielsen
2011 Statistical analysis of global surface air temperature and sea level using cointegration methods
by Torben Schmith & Søren Johansen & Peter Thejll
2011 Financial Risk Measurement for Financial Risk Management
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold
2011 Conservatism in Corporate Valuation
by Christian Bach
2011 Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations
by Cristina Amado & Timo Teräsvirta
2011 Bias-correction in vector autoregressive models: A simulation study
by Tom Engsted & Thomas Q. Pedersen
2011 Some econometric results for the Blanchard-Watson bubble model
by Søren Johansen & Theis Lange
2011 Option valuation with the simplified component GARCH model
by Matt P. Dziubinski
2011 An extension of cointegration to fractional autoregressive processes
by Søren Johansen
2011 Forecasting Covariance Matrices: A Mixed Frequency Approach
by Roxana Halbleib & Valeri Voev
2011 Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach
by Christian Bach & Bent Jesper Christensen
2011 Risque de crédit et volatilité des spreads sur le marché de la dette privée en euro
by Sodjahin, Amos Aristide
2011 An Intergrated Sustainability Assessment of the Swedish Sugar Production System from a Life-Cycle Perspective: 2003-2015
by Barry Ness
2011 The accuracy of a forecast targeting central bank
by Skrove Falch, Nina & Nymoen, Ragnar
2011 Liquidity and Asset Prices : How Strong Are the Linkages?
by Dreger, Christian & Wolters, Jürgen
2011 Foreign Aid and Economic Growth in Ethiopia: A Cointegration Analysis
by Tasew Tadesse
2011 Changes in Stock Markets Interdependencies as a Result of the Global Financial Crisis: Empirical Investigation on the CEE Region
by Cristiana Tudor
2011 An Empirical Investigation on the Determinants of the Saving-Investment Interaction
by Timur Han Gur & Lutfi Erden & Ibrahim Ozkan
2011 Bank Efficiency: Evidence from a Panel of European Banks
by Nicholas Apergis & Effrosyni Alevizopoulou
2011 La portée de la politique de ciblage d’inflation: Approche analytique et empirique pour le cas Tunisien
by Adnen Chockri & Ibticem Frihka
2011 Are Housing Bubbles Contagious? A Case Study of Las Vegas and Los Angeles Home Prices
by Mary Riddel
2011 Financial And Current Account Interrelationship: An Empirical Test
by Evan LAU & Nelson FU
2011 The Nexus Between Public Expenditure And Inflation In The Mediterranean Countries
by Cosimo MAGAZZINO
2011 A Mathematical Model For A Company'S Advertising Strategy
by Laura UNGUREANU
2011 Expectations Impact On The Effectiveness Of The Inflation-Real Activity Trade-Off
by Gbaguidi S. DAVID
2011 Some Convergence Results On Dynamic Factor Models
by Maddalena CAVICCHIOLI
2011 Dynamic Relationship Between Exchange Rates And Stock Prices: Empirical Evidence From India
by Krishna Reddy CHITTEDI
2011 Measuring the Impact of Industrialization and Financial Development on Water Resources: A Case Study of Pakistan
by Khalid ZAMAN & Muhammad Mushtaq KHAN & Mehboob AHMAD
2011 Non-Linear Volatility Modeling of Economic and Financial Time Series Using High Frequency Data
by Matei, Marius
2011 An Evaluation of Asymmetric and Symmetric Effects of Oil Exports Shocks on Non-Tradable Sector of Iranian Economy
by Shirinbakhsh, Shamsollah & Moghaddas Bayat, Maryam
2011 Public Capital and Regional Economic Growth: a SVAR Approach for the Spanish Regions
by Márquez, Miguel A. & Ramajo, Julián & Hewings, Geoffrey J. D.
2011 Forecasting Recessions in Turkey with Qual-VAR Models
by Tunay, K. Batu
2011 Comparison of VaR estimation methods for different forecasting samples for Russian stocks
by Shcherba, Alexandr
2011 Multivariate skewed t-distribution with degrees of freedom vector and its application to financial modeling
by Balaev , Alexey
2011 Export Instability, Income Terms of Trade Instability and Growth: The Case of India
by Faiz Bilquees & Tahir Mukhtar
2011 Presiones cambiarias en el Perú: Un enfoque no lineal
by Morales Vásquez, Daniel
2011 Futures hedging: Multivariate GARCH with dynamic conditional correlations (in Russian)
by Alexei Kolokolov
2011 Modeling multivariate parametric densities of financial returns (in Russian)
by Alexey Balaev
2011 Optimization models of rail transportation under the financial crisis
by Gheorghe-Stelian BALAN & Mariana BALAN
2011 Bayesian Analysis of Weak Form Reduced Rank Structure in VEC Models
by Justyna Wróblewska
2011 A Bayesian Analysis of Exogeneity in Models with Latent Variables
by Anna Pajor
2011 Vliv cílování inflace na povahu peněžní nabídky a finanční nerovnováhy
by Tomáš Munzi & Petr Hlaváč
2011 Srovnání konvergence ekonomik ČR a vybraných zemí eurozóny na základě analýzy funkcí odezvy a nabídkových či poptávkových šoků
by Roman Hušek & Tomáš Formánek
2011 Descomposición histórica de la inflación en Perú. Distinguiendo entre choques de demanda y choques de oferta
by Guillermo Lavanda & Gabriel Rodríguez
2011 Estimating Potential Output in Romania using a Structural VAR
by Stoica Tiberiu
2011 The Impact of International Financial Crisis on Bank Lending to Households. A VAR Approach
by Popescu Iulian
2011 The Relationship Between Productivity and Relative Prices in Romania (Balassa-Samuelson Internal Mechanism)
by Ghiba Nicolae
2011 An Investigation Of Longrun Relationship Between Economic Growth, Investment And Export In Romania
by Mester Ioana Teodora & Simut Ramona Marinela
2011 The Transmission of Euro Area Monetary Shocks to the Czech Republic, Poland and Hungary: Evidence from a FAVAR Model
by Konstantins Benkovskis & Andrejs Bessonovs & Martin Feldkircher & Julia Wörz
2011 FDI, Trade and Growth in CESEE Countries
by Jarko Fidrmuc & Reiner Martin
2011 Um modelo integrado econométrico+insumo-produto para previsão de longo prazo da demanda de combustíveis no Brasil [An integrated econometric+input-output model for long term forecast of fuel demand in Brazil]
by Flaviane Souza Santiago & Rogério Silva de Mattos & Fernando Salgueiro Perobelli
2011 Modelling International Monthly Tourist in Spain/Modelización de llegadas mensuales de turistas a España
by JUNCAL CUÑADO & ALBERIKO GIL-ALANA, LUIS & PEREZ DE GRACIA, FERNANDO
2011 Liquidez del mercado a plazo y volatilidad de precios a contado en el mercado de electricidad en España/Liquidity in the Contract Market and Price Volatility in the Spanish Electricity Spot Market
by LÓPEZ MILLA, JULIÁN & RUBIA, ANTONIO
2011 Impacto macroeconómico de las inversiones en la red de transporte de la electricidad en España/Macroeconomic Impact of Investment in the electrical Network in Spain
by PÉREZ Y PÉREZ, LUIS & SANAÚ VILLARROYA, JAIME & SANZ VILLARROYA, ISABEL
2011 Financial Contagion: A Methodology for its Evaluation using Asymptotic Dependence Coefficients
by Jorge Uribe
2011 Egyenes vagy S alakú a Jánossy-féle trendvonal?. Hosszú távú egyensúlyi állapot Maddison adatai és az új növekedéselmélet tükrében
by Tarján, Tamás
2011 Növekedés, deficit és adósság - fenntartható keretben
by Ábel, István & Kóbor, Ádám
2011 Market Efficiency, Role of Earnings Information, and Stock Returns: A Vector Autoregressive Model Approach
by Keiichi Kubota & Hitoshi Takehara
2011 Business Cycle Co-movement and Trade Intensity in the Euro Area: is there a Dynamic Link?
by Marcus Kappler
2011 Predictive Ability of Business Cycle Indicators under Test - A Case Study for the Euro Area Industrial Production
by Kai Carstensen & Klaus Wohlrabe & Christina Ziegler
2011 Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors
by Roxana Halbleib & Valeri Voev
2011 Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights
by Helmut Luetkepohl
2011 Purchasing Power Parity Influence On Real Exchange Rate Behavior In Romania
by Nicolae Ghiba
2011 Agricultural Policy Reforms And Spatial Integration Of Food Grain Markets In India
by Madhusudan Ghosh
2011 Public Investment, Economic Performance And Budgetary Consolidation: Var Evidence For The First 12 Euro Countries
by Alfredo Marvao Pereira & Maria de Fatima Pinho
2011 The Great Moderation: Evidence from Five Asian Emerging Countries
by WenShow Fang & Jen-Ching Tseng & Shu-Ching Cheng
2011 Hysteresis in Unemployment: Evidence from OECD Countries
by Shu-Ching Huang
2011 The Causal Relationship between Stock Prices and Exchange Rates: Evidence from the G-7
by Shyh-Wei Chen & Tzu-Chun Chen
2011 Oil Prices and Real Exchange Rates in Oil-Exporting Countries: A Bounds Testing Approach
by Mohammad R. Jahan-Parvar (bio) & Hassan Mohammadi (bio)
2011 The effects of reducing European and American subsidies on agricultural exports of developing countries
by Neveen M. Torayeh (bio)
2011 The role of aggregate demand and supply shocks in a low-income country:evidence from Bangladesh
by Omar H.M.N. Bashar0
2011 Acýk Enflasyon Hedeflemesi Doneminde Parasal Aktarim Mekanizmasinin Doviz Kuru Kanali: Turkiye Uzerine Ekonometrik Bir Analiz
by Sevda YAPRAKLI
2011 An Empirical Model for the Turkish Trade Balance: New Evidence from ARDL Bounds Testing Analyses
by H. Bayram Irhan & Nur Dilbaz Alacahan & Levent Korap
2011 Il principio di conservazione della dinamica e le tecniche di riconciliazione di serie storiche nella stima dell’occupazione trimestrale per settore istituzionale
by Marianna Ascione & Giancarlo Lutero
2011 Determinantes económicos de las remuneraciones en las manufacturas mexicanas
by Guerrero-de Lizardi, Carlos.
2011 El mercado laboral de Estados Unidos: efectos sobre las remesas y el consumo en México
by de la Cruz-Gallegos, José Luis. & Veintimilla-Brando, Derna Vanessa.
2011 Crecimiento económico y restricción externa del Ecuador 1970-2008
by Ochoa-Jiménez, Diego & Ordóñez-Ordóñez, Jenny M. & Loaiza-Peña, Andrea
2011 Causalidad entre la Bolsa Mexicana de Valores y la actividad económica del sector real
by Luis-de-la-Cruz, José & Núñez, José Antonio
2011 Empirical Evidence on the Convergence of Interest Rates for IFRS 4: SPSM Using the Panel KSS Test
by Chih-Kai Chang
2011 A Procedure for Testing Granger Causality of Infinite Order
by Fathali Firoozi & Donald Lien
2011 Time-Series Analysis Of Swedish Central Bank’S Interest Rate Operation Rule
by Dun Jia
2011 Short-Term Forecasting of Czech Quarterly GDP Using Monthly Indicators
by Katerina Arnostova & David Havrlant & Luboš Rùžièka & Peter Tóth
2011 Modeling Comovement among Emerging Stock Markets: The Case of Budapest and Istanbul
by Numan Ülkü
2011 The Financial Crisis and the Stock Markets of the CEE Countries
by Renatas Kizys & Christian Pierdzioch
2011 Inflation Convergence and the New Keynesian Phillips Curve in the Czech Republic
by Katarína Danišková & Jarko Fidrmuc
2011 Behavioural models for manufacturing firms: analysing survey data
by Luciana Crosilla & Marco Malgarini
2011 Abnormal Returns on CEFs and in Pre-and-Post-Credit-Crunch Periods
by Emmanouil Mavrakis
2011 The Impact of the US Automobile Crisis on Mexico’s Car and Truck Subsector
by Jorge Eduardo Mendoza Cota
2011 External Shocks and Sources of Macroeconomic Fluctuation: A SVEC Model based proposal for Argentina’s Economy
by Luis N. Lanteri
2011 Un modelo para evaluar el VPN mediante modelos autoregresivos
by M. Beatriz Mota Aragón & Faviola Hernández Jiménez
2011 Makroekonomski model Republike Hrvatske ( SSEM1) i mogu?i pravci izlaska iz krize
by Marinko Škare & Saša Stjepanovi?
2011 Modelling unemployment in the presence of excess labour supply
by Marga Peeters
2011 Demographics, dividend clienteles and the dividend premium
by Lee, King Fuei
2011 Should the government directly intervene in stock market during a crisis?
by Khan, Salman & Batteau, Pierre
2011 Long-run exclusion and the determination of cointegrating rank: Monte Carlo evidence
by Kurita, Takamitsu
2011 Modelling conditional correlations in the volatility of Asian rubber spot and futures returns
by Chang, Chia-Lin & Khamkaew, Thanchanok & McAleer, Michael & Tansuchat, Roengchai
2011 Testing the international linkage in the platinum-group metal futures markets
by Aruga, Kentaka & Managi, Shunsuke
2011 Asymmetric inflation dynamics: Evidence from quantile regression analysis
by Tsong, Ching-Chuan & Lee, Cheng-Feng
2011 Bootstrapping structural VARs: Avoiding a potential bias in confidence intervals for impulse response functions
by Phillips, Kerk L. & Spencer, David E.
2011 International comovements in inflation rates and country characteristics
by Neely, Christopher J. & Rapach, David E.
2011 Monetary policy and the exchange rate: Evaluation of VAR models
by Jääskelä, Jarkko P. & Jennings, David
2011 Do house price developments spillover across euro area countries? Evidence from a global VAR
by Vansteenkiste, Isabel & Hiebert, Paul
2011 An empirical model for Japan’s business fixed investment
by Kurita, Takamitsu
2011 A further investigation of unemployment persistence in European transition economies
by Cuestas, Juan C. & Gil-Alana, Luis A. & Staehr, Karsten
2011 Conditional beta pricing models: A nonparametric approach
by Ferreira, Eva & Gil-Bazo, Javier & Orbe, Susan
2011 The trading behavior and price impact of foreign, institutional, individual investors and government: Evidence from Korean equity market
by Hong, Gwangheon & Lee, Bong Soo
2011 A model of carbon price interactions with macroeconomic and energy dynamics
by Chevallier, Julien
2011 Nonparametric modeling of carbon prices
by Chevallier, Julien
2011 An hour-ahead prediction model for heavy-tailed spot prices
by Kim, Jae Ho & Powell, Warren B.
2011 Distributional modeling and short-term forecasting of electricity prices by Generalized Additive Models for Location, Scale and Shape
by Serinaldi, Francesco
2011 The impact of oil shocks on the Spanish economy
by Gómez-Loscos, Ana & Montañés, Antonio & Gadea, M. Dolores
2011 Financial integration and currency risk premium in CEECs: Evidence from the ICAPM
by Boubakri, Salem & Guillaumin, Cyriac
2011 Stock market correlations between China and its emerging market neighbors
by Jayasuriya, Shamila A.
2011 Foreign and domestic growth drivers in Eastern Europe
by Weber, Enzo
2011 Bayesian inference in a time varying cointegration model
by Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney W.
2011 Particle filters for continuous likelihood evaluation and maximisation
by Malik, Sheheryar & Pitt, Michael K.
2011 Volatility contagion: A range-based volatility approach
by Chiang, Min-Hsien & Wang, Li-Min
2011 A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables
by Swensen, Anders Rygh
2011 A consistent nonparametric test for nonlinear causality—Specification in time series regression
by Nishiyama, Yoshihiko & Hitomi, Kohtaro & Kawasaki, Yoshinori & Jeong, Kiho
2011 On the feasibility of monetary union: Does it make sense to look for shocks symmetry across countries when none of the countries constitutes an optimum currency area?
by Jean Louis, Rosmy & Brown, Ryan & Balli, Faruk
2011 Fiscal consolidation with high growth: A policy simulation model for India
by Mundle, Sudipto & Bhanumurthy, N.R. & Das, Surajit
2011 Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models
by Chevallier, Julien
2011 A small New Keynesian state space model of the Australian economy
by Leu, Shawn Chen-Yu & Sheen, Jeffrey
2011 Uncertainty in the public debt market and stochastic long-run growth
by Tsintzos, Panagiotis & Dergiades, Theologos
2011 Macro-econometric modelling for the Nigerian economy: A growth–poverty gap analysis
by Akanbi, Olusegun A. & Du Toit, Charlotte B.
2011 Leader of the pack? German monetary dominance in Europe prior to EMU
by Reade, J. James & Volz, Ulrich
2011 Monetary policy and credit cards: Evidence from a small open economy
by Yilmazkuday, Hakan
2011 A New Keynesian SVAR model of the Australian economy
by Leu, Shawn Chen-Yu
2011 Is there any Link Between Commodity Price and Monetary Policy? Evidence from Australia
by A.F.M. Kamrul Hassan & Ruhul A. Salim
2011 Purchasing Power Parity (PPP) of Australian Dollar: Do Test Procedures Matter?
by AFM Kamrul Hassan & Ruhul Salim
2011 Fitting observed inflation expectations
by Del Negro, Marco & Eusepi, Stefano
2011 How much nominal rigidity is there in the US economy? Testing a new Keynesian DSGE model using indirect inference
by Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael
2011 Calvo vs. Rotemberg in a trend inflation world: An empirical investigation
by Ascari, Guido & Castelnuovo, Efrem & Rossi, Lorenza
2011 Responding to the global financial crisis: Vietnamese exchange rate policy, 2008–2009
by Takagi, Shinji & Pham, Thi Hoang Anh
2011 Chinese exchange rate and price effects on G3 import prices
by Granville, Brigitte & Mallick, Sushanta & Zeng, Ning
2011 Energy-Growth Causality: Asian Countries Revisited
by Evan Lau & Xiao-Hui Chye & Chee-Keong Choong
2011 Multivariate Cointegration and Causality between Exports, Electricity Consumption and Real Income per Capita: Recent Evidence from Japan
by Janesh Sami
2011 Electricity Consumption and Economic Growth: Trivariate investigation in Botswana with Capital Formation
by Sakiru Adebola Solarin
2011 Investigating Seasonal Patterns in Developing Countries: The Case of FYROM Stock Market
by Andreas Georgantopoulos & Anastasios Tsamis
2011 Monetary Policy, Construction Sector Output and Housing Prices in India: An Emerging Economy Perspective
by Hrushikesh MALLICK
2011 Manufactured Exports And Economic Growth In Egypt: Cointegration And Causality Analysis
by Neveen M. TORAYEH
2011 Un modelo de corrección de errores para la relación entre el consumo de energía y el PIB en Colombia (1970-2009)
by Jacobo Campo R. & Viviana Sarmiento
2011 Un sistema casi ideal de demanda para el gasto en Colombia: Una estimación utilizando el método generalizado de los momentos en el período 1968-2007
by Daniel Londoño Cano & Edwar Londoño Zapata & Andrés Ramirez Hassan
2011 Integracion espacial del mercado de la carne en las tres principales ciudades de Colombia: Evidencia de las series de precios
by Julio Cesar Alonso & Ana Isabel Gallego
2011 Contagio financiero: una metodología para su evaluación mediante coeficientes de dependencia asintótica
by Uribe Gil, Jorge Mario
2011 Estudio del fenómeno de inflación importada vía precios del petróleo y su aplicación al caso colombiano mediante el uso de modelos VAR para el periodo 2000-2009
by Heivar Yesid Rodríguez Pinzón
2011 Choques, instituciones laborales y desempleo en Colombia
by Juan José Echavarría & Enrique López & Sergio Ocampo & Norberto Rodríguez
2011 Regulación y valor en riesgo
by Luis Fernando Melo & Joan Camilo Granados
2011 Pass-through of International Food Prices to Domestic Inflation During and After the Great Recession: Evidence from a Set of Latin American Economies
by Munir Jalil & Esteban Tamayo
2011 Estimation of R&D depreciation rates: a suggested methodology and preliminary application
by Ning Huang & Erwin Diewert
2011 The impact of nonlinearities for carbon markets analyses
by Julien Chevallier
2011 Macro factors in oil futures returns
by Yannick Le Pen & Benoît Sévi
2011 Recent developments on commodity, energy and carbon markets: an introduction
by Valérie Mignon
2011 Non-linear dynamics of real wages over the business cycle
by Carlo Altavilla & Concetto Paolo Vinci
2011 Structural breaks and real convergence in OPEC countries
by Juncal Cunado
2011 Impact de la crise sur la croissance potentielle. Une approche par les modèles à composantes inobservables
by Mabrouk Chetouane & Matthieu Lemoine & Marie-Elisabeth de la Serve
2011 Evidence of speculative bubbles on the BOVESPA: an application of the Kalman filter
by Thiago Bergmann de Queiroz & Otávio Ribeiro de Medeiros & José Carneiro da Cunha Oliveira Neto
2011 Riesgo macroeconómico y bolivianización: Un análisis de cointegración con un portafolio dinámico no estacionario de mínima varianza
by Rolando Manuel Gonzáles Martínez
2011 La apreciación del tipo de cambio y su efecto en la balanza comercial. Caso boliviano (2006 - 2008)
by Boris A. Luna Acevedo
2011 Liquidity, Price Impact And Trade Informativeness – Evidence From The London Stock Exchange
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2011 Regulación y valor en riesgo
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2011 The Effects of Real and Nominal Shocks on Real and Nominal Exchange Rates: The Case of Turkey
by Ahmet Murat ALPER
2011 Uncertainty and Portfolio Dollarization. The Argentine Case in the Last Half Century
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2011 Efficient-Market Hypothesis and the Global Financial Crises – on the Example of SOFIX, DJIA and DAX Indexes
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2011 The Comparative Analysis of Credit Risk Determinants In the Banking Sector of the Baltic States
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2011 Exchange Rates and Inflation Rates: Exploring Nonlinear Relationships
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2011 Liquidity and Asset Prices: How Strong are the Linkages?
by Christian Dreger & J¨¹rgen Wolters
2011 Insurance Market Activity and Economic Growth: Evidence from Nigeria
by Philip Chimobi Omoke
2011 Inflation and Budget Deficit: What is the Relationship in Portugal?
by Agostinho S. Rosa
2011 An Empirical Analysis On The Integration Of The Stock Exchanges Of The Ise With Those Of European Union Mediterranean Countries
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2011 The Effects Of Aggregate Demand And Supply Shocks On Output And Inflation In Turkey, 1987-2009
by Zekeriya Yildirim
2011 The Relationship Between Exchange Rate And Exports In Romania Using A Vector Autoregressive Model
by Carmen Sandu & Nicolae Ghiba
2011 Alternative bvar models for forecasting inflation
by H. Heidari
2011 An Attempt to Capture Leptokurtic of Returns and to Model Its Volatility: The Case of Beirut Stock Exchange
by Elie BOURI
2011 Are World Commodity Prices Relevant in Predicting Inflation in Botswana?
by Kagiso Mangadi & Francis Okurut & Dauda Yinusa
2011 The Impact of Rand/US Dollar Exchange Rate Volatility on the Performance of Futures Markets for Agricultural Commodities
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2011 A Non-Stationary Perspective on the Euro Area Business Cycle
by Louise Holm
2011 From the General to the Specific—Modelling Inflation in China
by J. James Reade & Ulrich Volz
2011 An Analysis of Supply Response for Natural Rubber in Cambodia
by Samin Much & Sopin Tongpan & Prapinwadee Sirisupluxana
2011 Sign Restrictions in Structural Vector Autoregressions: A Critical Review
by Renée Fry & Adrian Pagan
2010 The Long-Run Relationship between Inflation and Real Stock Prices: Empirical Evidence from South Africa
by Riona Arjoon & Mariette Botes & Laban K. Chesang & Rangan Gupta
2010 Forecasting Nevada Gross Gaming Revenue and Taxable Sales Using Coincident and Leading Employment Indexes
by Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller
2010 Financial Market Liberalization, Monetary Policy, and Housing Price Dynamics
by Rangan Gupta & Marius Jurgilas & Stephen M. Miller & Dylan van Wyk
2010 Low surplus value historically required for accumulation, seen in a model derived from Marx
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2010 On Measuring Country Risk: A new System Modelling Approach - La misura del rischio paese: un nuovo approccio system modelling
by Chopra, Parvesh K. & Kanji, Gopal K.
2010 An Analysis of the Dynamic Linkages between the Cash Rate and the Government Yield Curve: A Case Study - Un’analisi della relazione dinamica tra cash rate e curva dei rendimenti dei titoli pubblici: studio di un caso
by Masih, A. Mansur M. & Ryan, Vicky
2010 Reassessing the Dynamic Links between Trade and Growth: New Empirical Evidence from India - Un riesame delle relazioni tra commercio estero e crescita economica:nuova evidenza empirica per l’India
by Tronzano, Marco
2010 Impact of the Economic Crisis on the Countries in Eastern Europe (III) Literature Review, Theory and Empirical Evidence
by Dobra Iulian
2010 Impact of the Economic Crisis on the Countries in Eastern Europe (II)
by Dobra Iulian
2010 Impact of the Economic Crisis on the Countries in Eastern Europe (I - Literature Review, Theory and Empirical Evidence)
by Dobra Iulian
2010 An analysis of two leading indicators of economic growth in Turkey: Monthly manufacturing industry output and CNBC-e consumption indices
by Erhan ASLANOĞLU & Sadullah ÇELİK
2010 Asimetrik etkiler altında Okun Yasası’nın Eşik Hata Düzeltme Modeli ile sınanması: Türkiye örneği
by Recep TARI & Tezcan ABASIZ
2010 Türkiye için aylık istihdam verilerinin Durum-Uzay Metodu kullanılarak tahmin edilmesi
by Murat TAŞDEMİR & Sami TABAN
2010 Dynamic Macroeconomic Effects of Public Capital: Evidence from Regional Italian Data
by Valter Di Giacinto & Giacinto Micucci & Pasqualino Montanaro
2010 Predicción de errores de proyección de inflación en Chile
by Bentancor, Andrea & Pincheira, Pablo
2010 Short- and Long-Run Tests of the Expectations Hypothesis: The Portuguese Case
by Olga Susana M. Monteiro & Artur C. B. da Silva Lopes
2010 Malthus was right: new evidence from a time-varying VAR
by Alexander Rathke & Samad Sarferaz
2010 Is Euro Area Money Demand (Still) Stable? – Cointegrated VAR versus Single Equation Techniques
by Belke, Ansgar & Czudaj, Robert
2010 Monetary Policy, Global Liquidity and Commodity Price Dynamics
by Belke, Ansgar & Bordon, Ingo G. & Hendricks, Torben W.
2010 A First Look on the New Halle Economic Projection Model
by Giesen, Sebastian & Holtemöller, Oliver & Scharff, Juliane & Scheufele, Rolf
2010 Money and Inflation: The Role of Persistent Velocity Movements
by El-Shagi, Makram & Giesen, Sebastian
2010 Has the Euro Increased International Price Elasticities?
by Holtemöller, Oliver & Zeddies, Götz
2010 An Evolutionary Algorithm for the Estimation of Threshold Vector Error Correction Models
by El-Shagi, Makram
2010 Real wages and the business cycle in Germany
by Marczak, Martyna & Beissinger, Thomas
2010 Chinese monetary policy and the dollar peg
by Reade, J. James & Volz, Ulrich
2010 The Electricity Consumption and Economic Growth Nexus in Pakistan: A New Evidence
by Atif, Syed Muhammad & Siddiqi, Muhammad Wasif
2010 The impact of macroeconomic news on quote adjustments, noise, and informational volatility
by Hautsch, Nikolaus & Hess, Dieter E. & Veredas, David
2010 Tell-tale tails: A data driven approach to estimate unique market information shares
by Grammig, Joachim G. & Peter, Franziska J.
2010 User costs of housing when households face a credit constraint: evidence for Germany
by Dümmler, Tobias & Kienle, Stephan
2010 What can EMU countries' sovereign bond spreads tell us about market perceptions of default probabilities during the recent financial crisis?
by Dötz, Niko & Fischer, Christoph
2010 Trend and cycle features in German residential investment before and after reunification
by Knetsch, Thomas A.
2010 Empirical simultaneous confidence regions for path-forecasts
by Jordà, Òscar & Knüppel, Malte & Marcellino, Massimiliano
2010 Loan supply in Germany during the financial crisis
by Busch, Ulrike & Scharnagl, Michael & Scheithauer, Jan
2010 Business Cycles around the Globe: A Regime Switching Approach
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2010 Does the nominal exchange rate regime affect the real interest parity condition?
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2010 Sectoral productivity and spillover effects of FDI in Latin America
by Gabriele Tondl & Jorge A. Fornero
2010 The Size of the Government and Economic Growth: An Empirical Study of Sri Lanka
by Shanaka Herath
2010 An Empirical Characterization of Redistribution Shocks and Output Dynamics
by Klemens Hauzenberger & Robert Stehrer
2010 Price convergence and market integration in Russia
by Konstantin Gluschenko
2010 Is Monetary Policy in New Members States Asymmetric?
by Borek Vasicek
2010 Granger non-causality tests between (non)renewable energy consumption and output in Italy since 1861: the (ir)relevance of structural breaks
by Andrea Vaona
2010 A dynamic copula approach to recovering the index implied volatility skew
by Matthias Fengler & Helmut Herwartz & Christian Werner
2010 The dynamic effects of technological and non technological shocks in the energy sector: a case study for Italy
by Giuseppe Travaglini
2010 An Estimated New-Keynesian Model with Unemployment as Excess Supply of Labor
by Miguel Casares & Antonio Moreno & Jesús Vázquez
2010 A Nonlinear IV Likelihood-Based Rank Test for Multivariate Time Series and Long Panels
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2010 Syndicalisation et croissance économique : y a-t-il une exception française ?
by Magali Jaoul-Grammare & Isabelle Terraz
2010 Country and Industry Convergence of Equity Markets: International Evidence from Club Convergence and Clustering
by Nicholas Apergis & Christina Christou & Stephen M. Miller
2010 Forecasting Nevada Gross Gaming Revenue and Taxable Sales Using Coincident and Leading Employment Indexes
by Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller
2010 Financial Market Liberalization, Monetary Policy, and Housing Price Dynamics
by Rangan Gupta & Stephen M. Miller & Dylan van Wyk
2010 The Effects of Uncertainty about Oil Prices in G-7
by Don Bredin & John Elder & Stilianos Fountas
2010 The Non-Linear Evolution of High Frequency Short Term Interest Rates
by Peter Cripwell & David Edelman
2010 Is Monetary Policy in New Members States Asymmetric?
by Borek Vasícek
2010 CO2 Emissions and Economic Activity: heterogeneity across countries and non stationary series
by Matías Piaggio & Emilio Padilla
2010 Endogeneity and Instrumental Variables in Dynamic Models
by Florens, Jean-Pierre & Simon, Guillaume
2010 Monetary policy through the “credit-cost channel”. Italy and Germany pre and post-EMU
by Giuliana Passamani & Roberto Tamborini
2010 Modelling Realized Covariances and Returns
by Xin Jin & John M Maheu
2010 Response speeds of direct and securitized real estate to shocks in the fundamentals
by Elias Oikarinen & Martin Hoesli & Camilo Serrano
2010 What are the Effects of Monetary Policy Shocks? Evidence from Dollarized Countries
by Tim Willems
2010 Evidence on a Real Business Cycle Model with Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging
by Rodney W. Strachan & Herman K. van Dijk
2010 A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
by Drew Creal & Siem Jan Koopman & André Lucas
2010 Transmission of Government Spending Shocks in the Euro Area: Time Variation and Driving Forces
by Markus Kirchner & Jacopo Cimadomo & Sebastian Hauptmeier
2010 Does cointegration matter? An analysis in a RBC perspective
by Bisio Laura & Faccini Andrea
2010 Monetary Policy and Credit Cards: Evidence from a Small-Open Economy
by Hakan Yilmazkuday
2010 A Bayesian Generalized Factor Model with Comparative Analysis (Genellestirilmis Faktor Modellerinin Bayesyen Yaklasimi ve Karsilastirmali Analizi)
by Necati Tekatli
2010 Economic Uncertanity and Money Demand Stability in Turkey (Turkiye'de Ekonomik Belirsizlik ve Para Talebinin Istikrari)
by K. Azim Ozdemir & Mesut Saygili
2010 Cojumping: Evidence from the US Treasury Bond and Future Markets (Discussion Paper 2010-06)
by Dungey, Mardi & Hvozdyk, Lyudmyla
2010 Fiscal Dynamics in Ethiopia: The Cointegrated VAR Model with Quarterly Data
by Pedro M. G. Martins
2010 An Efficient test of Fiscal Sustainability
by Vasco Gabriel & Pataaree Sangduan
2010 Cointegration Tests under Multiple Regime Shifts: An Application to the Stock Price-Dividend Relationship
by Vasco Gabriel & Luis Martins
2010 Official Central Bank Interventions in the Foreign Exchange Markets: A DCC Approach with Exogenous Variables
by Nikolaos Antonakakis
2010 Trade liberalisation and import price behaviour: the case of textiles and wearing apparels
by Andreas Benedictow & Pål Boug
2010 Estimating a stock-flow model for the Swiss housing market
by Elizabeth Steiner
2010 Evaluating currency crisis:A multivariate Markov switching approach
by Kostas Mouratidis & Dimitris Kenourgios & Aris Samitas
2010 Does Cointegration Matter? An Analysis in a RBC Perspective
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2010 Identification in Structural Vector Autoregressions Through Graphical Modelling and Monetary Policy: A Cross-Country Analysis
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2010 Is Euro Area Money Demand (Still) Stable? – Cointegrated VAR versus Single Equation Techniques
by Ansgar Belke & Robert Czudaj
2010 Monetary Policy, Global Liquidity and Commodity Price Dynamics
by Ansgar Belke & Ingo G. Bordon & Torben W. Hendricks
2010 Time Variation in U.S. Wage Dynamics
by B. HOFMANN & G. PEERSMAN & R. STRAUB
2010 Obesity Prevention: A Review of the Interactions and Interventions, and some Policy Implications
by Anura Amarasinghe & Gerard D'Souza
2010 Adjustment capacity in a monetary union: a DSGE evaluation of Poland and Slovakia
by Torój, Andrzej
2010 Interrelations between consumption and wealth in Poland
by Zachłod-Jelec, Magdalena
2010 The effect of China's stock market reforms on market interdependence
by Li, Hong
2010 VAR Forecasting Using Bayesian Variable Selection
by Dimitris Korobilis
2010 Can Common Stocks Provide A Hedge Against Inflation? Evidence from African Countries
by Paul Alagidede & Theodore Panagiotidis
2010 Dynamic Specification Tests for Static Factor Models
by Gabriele Fiorentini & Enrique Sentana
2010 CO2 emissions and economic activity: heterogeneity across countries and non stationary series
by Matías Piaggio & Emilio Padilla
2010 VIX Dynamics with Stochastic Volatility of Volatility
by Andreas Kaeck & Carol Alexander
2010 Stochastic Volatility Jump-Diffusions for Equity Index Dynamics
by Andreas Kaeck & Carol Alexander
2010 Inflation Dynamics in the New EU Member States: How Relevant Are External Factors?
by Alexander Mihailov & Fabio Rumler & Johann Scharler
2010 Monetary aggregates and monetary policy: an empirical assessment for Peru
by Lahura, Erick
2010 The Effects Of Monetary Policy Shocks In Peru: Semi-Structural Identification Using A Factor-Augmented Vector Autoregressive Model
by Lahura, Erick
2010 Monetary Policy and the Exchange Rate: Evaluation of VAR Models
by Jarkko Jääskelä & David Jennings
2010 A Kernel Technique for Forecasting the Variance-Covariance Matrix
by Ralf Becker & Adam Clements & Robert O'Neill
2010 Sign Restrictions in Structural Vector Autoregressions: A Critical Review
by Renee Fry & Adrian Pagan
2010 Cojumping: Evidence from the US Treasury Bond and Futures Markets
by Mardi Dungey & Lyudmyla Hvozdyk
2010 A Nonlinear Panel Model of Cross-sectional Dependence
by George Kapetanios & James Mitchell & Yongcheol Shin
2010 Likelihood inference for a fractionally cointegrated vector autoregressive model
by Søren Johansen & Morten Ørregaard Nielsen
2010 Critical Values for Cointegration Tests
by James G. MacKinnon
2010 Evaluating the strength of identification in DSGE models. An a priori approach
by Nikolay Iskrev
2010 Calendar Effects in Daily ATM Withdrawals
by Paulo Soares Esteves & Paulo M.M. Rodrigues
2010 The economic consequences of population and urbanization growth in Italy: from the 13th century to 1900. A discussion on the Malthusian dynamics
by Bruno Chiarini
2010 The Impact of Oil Prices in Turkey on Macroeconomics
by Aktas, Erkan & Özenç, Çiğdem & Arıca, Feyza
2010 Testing the international capital asset pricing model with Markov switching model in emerging markets
by Korkmaz, Turhan & Cevik, Emrah Ismail & Gurkan, Serhan
2010 Testing CAPM using Markov switching model: the case of coal firms
by Korkmaz, Turhan & Cevik, Emrah Ismail & Birkan, Elif & Özataç, Nesrin
2010 Asymmetries of the Exchange Rate Pass Through to Domestic Prices: The Case of Costa Rica
by Esquivel Monge, Manfred & Gomez Rodriguez, Jose Fabio
2010 New Directions in Price Test for Market Definition
by Zipitria, Leandro
2010 Consumption of Electricity and Oil in Jordan: A non-parametric analysis using B-splines
by Shahateet, Mohammed & Bdour, Jaber
2010 International trade and economic growth in the Polish economy
by Gurgul, Henryk & Lach, Łukasz
2010 Application of bootstrap methods in investigation of size of the Granger causality test for integrated VAR systems
by Lach, Łukasz
2010 Fixed capital and long run economic growth: evidence from Poland
by Lach, Łukasz
2010 The causal link between Polish stock market and key macroeconomic aggregates
by Gurgul, Henryk & Lach, Łukasz
2010 Testing the relationship between FDI inflow and out flow in India: a critical analysis
by Krishnankutty, Raveesh
2010 The Effect of Crime on the Job Market: An ARDL approach to Argentina
by Cerro, Ana María & Rodríguez Andrés, Antonio
2010 Sources of Macroeconomic Fluctuations in MENA Countries
by Balcilar, Mehmet & Bagzibagli, Kemal
2010 The Electricity Consumption and Economic Growth Nexus in Pakistan: A New Evidence
by Atif, Syed Muhammad & Siddiqi, Muhammad Wasif
2010 Crecimiento Económico y Sector Externo en la Economía Ecuatoriana
by Ochoa Jiménez, Diego
2010 Backward recalculation of seasonal series affected by economic crisis: a Model-Based-Link method for the case of Turkish GDP
by Buono, Dario & Alpay, Kocak
2010 Does financial sector development cause investment and growth? empirical analysis of the case of Ghana
by Adam, Anokye M. & Siaw, Frimpong
2010 Effet du taux de change réel sur la balance commerciale: le cas du Gabon
by Chomteu Kouam, Sorel Francine & Abo Ekomie, Alain & Bahouayila, Chancel
2010 Vector autoregression with varied frequency data
by Qian, Hang
2010 Long-run identifying restrictions on VARs within the AS-AD framework
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2010 Money demand and economic uncertainty in Barbados
by Jackman, Mahalia
2010 Efectos Macroeconómicos de la Política Fiscal en Ecuador 1993-2009
by Carrillo, Paul A.
2010 What does financial volatility tell us about macroeconomic fluctuations?
by Chauvet, Marcelle & Senyuz, Zeynep & Yoldas, Emre
2010 How Important are Oil and Money Shocks in Explaining Housing Market Fluctuations in an Oil-exporting Country?: Evidence from Iran
by Khiabani, Nasser
2010 The impact of real oil price on real effective exchange rate: The case of Azerbaijan
by Hasanov, Fakhri
2010 An application of dynamic factor model to dry Bulk Market - focusing on the analysis of synchronicity and idiosyncrasy in the sub-markets with different ship - size
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2010 “Modelo Dinámico para Análisis y Pronóstico del Producto Interno Bruto”: Un Enfoque Fiscal Aplicando un Modelo SVAR
by Carrillo, Paul A.
2010 Revisiting the empirical existence of the Phillips Curve for India
by Karan Singh, B & Kanakaraj, A & Sridevi, T.O
2010 Threshold GARCH modeling of the inflation & inflation uncertainty relationship: historical evidence from the Turkish economy
by Korap, Levent
2010 Financial Liberalization, Weighted Monetary Aggregates and Money Demand in Indonesia
by Chin-Hong, Puah & Lee-Chea, Hiew
2010 Modelos de predicción para la inflación de Chile
by Idrovo Aguirre, Byron & Tejada, Mauricio
2010 Kaldor-Verdoorn’s law and increasing returns to scale: a comparison across developed countries
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2010 Faktoru modeļu agregēta un dezagregēta pieeja IKP prognožu precizitātes mērīšanā
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2010 Testing homogeneity for real income and prices in a money demand equation: the case of Turkey
by Korap, Levent
2010 The Impact of Real Effective Exchange Rate on the Non-oil Export: The Case of Azerbaijan
by Fakhri, Hasanov
2010 The Japanese Quantitative Easing Policy under Scrutiny: A Time-Varying Parameter Factor-Augmented VAR Model
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2010 Money demand and economic uncertainty in Barbados
by Jackman, Mahalia
2010 Inflation persistence and the rationality of inflation expectations
by Brissimis, Sophocles & Migiakis, Petros
2010 Asymmetric Shocks and Co-movement of Price Indices
by Rao, Nasir Hamid & Bukhari, Syed Kalim Hyder
2010 A small scaled business-cycle analysis of the Turkish economy: some counter-cyclical evidence using new income series
by Korap, Levent
2010 Private sector balance, financial markets, and U.S. cycle: A SVAR analysis
by Casadio, Paolo & Paradiso, Antonio
2010 Are euro area inflation rates misaligned?
by Lopez, Claude & Papell, David
2010 Public Debt Dynamics and Debt Feedback
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2010 A monthly indicator of employment in the euro area: real time analysis of indirect estimates
by Moauro, Filippo
2010 Monetary aspects of short-term capital inflows in the Central European Countries
by Mirdala, Rajmund
2010 Real Exchange Rate Changes and Trade Balance in Pakistan: A Revisit
by Shahbaz, Muhammad & Jalil, Abdul & Islam, Faridul
2010 The dynamic effects of U.S. monetary policy on state unemployment
by Korobilis, Dimitris & Gilmartin, Michelle
2010 Previsioni delle Spese del Bilancio dello Stato attraverso i flussi di contabilità finanziaria
by Bianchi, Giuseppe & Cesaroni, Tatiana & Ricchi, Ottavio
2010 Forecasting Australian Macroeconomic variables, evaluating innovations state space approaches
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2010 Country Heterogeneity and Long-Run Determinants of Inflation in the Gulf Arab States
by Basher, Syed Abul & Elsamadisy, Elsayed Mousa
2010 Modelling the Relationship between Whole Sale Price and Consumer Price Indices: Cointegration and Causality Analysis for India
by Tiwari, Aviral & Shahbaz, Muhammad
2010 Improving Portfolio Optimization by DCC And DECO GARCH: Evidence from Istanbul Stock Exchange
by Yilmaz, Tolgahan
2010 How related are interbank and lending interest rates? Evidence on selected EU countries
by Heryan, Tomas & Stavarek, Daniel
2010 Does the purchasing power parity hypothesis hold after 1998?
by Zanetti Chini, Emilio
2010 Determinants of the exchange market pressure in the euro-candidate countries
by Stavarek, Daniel
2010 The links between inflation and inflation uncertainty at the longer horizon
by Tsyplakov, Alexander
2010 Economic growth, electricity consumption and foreign dependence in Italy between 1963 and 2007
by Vecchione, Gaetano
2010 Algunos métodos para modelar tendencias y su aplicación a las series de empleo sectorial en Puerto Rico
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2010 Wagner's law and augmented Wagner's law in EU-27. A time-series analysis on stationarity, cointegration and causality
by Magazzino, Cosimo
2010 Wagner's law and Italian disaggregated public spending: some empirical evidences
by Magazzino, Cosimo
2010 Estimating Central Bank preferences in a small open economy: Sweden 1995-2009
by D'Adamo, Gaetano
2010 Re-examination of the long-run purchasing power parity: further evidence from Turkey
by Korap, Levent & Aslan, Özgür
2010 Stochastic optimal hedge ratio: Theory and evidence
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2010 Determinantes del crecimiento económico del Ecuador bajo la Ley de Thirlwall
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2010 Testing for nonlinear causation between capital inflows and domestic prices
by Rashid, Abdul
2010 Sources of exchange rate dynamics in the European transition economies
by Mirdala, Rajmund
2010 An econometric model to quantify benchmark downturn LGD on residential mortgages
by Morone, Marco & Cornaglia, Anna
2010 Pengaruh Jangka Pendek dan Jangka Panjang Perubahan Suku Bunga dan Kurs Rupiah Terhadap Harga Saham : Studi Empiris di Indonesia (2000:1 – 2010:4)
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2010 Spatial price dynamics in the EU F&V sector: the cases of tomato and cauliflower
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2010 DSGE Model Validation in a Bayesian Framework: an Assessment
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2010 Identification of ‘pull’ & ‘push’ factors for the portfolio flows: SVAR evidence from the Turkish economy
by Korap, Levent
2010 An Analysis of the relationship between WTI term structure and oil market fundamentals in 2002-2009
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2010 Backward and forward closed solutions of multivariate models
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2010 The relationship between inflation, output growth, and their uncertainties: Evidence from selected CEE countries
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2010 QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles
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2010 Noncausal Vector Autoregression
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2010 A cost-based empirical model of the aggregate price determination for the Turkish economy: a multivariate cointegration approach
by Zeren, Fatma & Korap, Levent
2010 Bootstrapping Structural VARs: Avoiding a Potential Bias in Confidence Intervals for Impulse Response Functions
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2010 Ghana's Economic Growth in perspective: A time series approach to Convergence and Growth Determinants
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2010 Regional Integration and Dynamic Adjustments: Evidence from a Gross National Product Function for Canada and the United States
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2010 Estimation and inference in unstable nonlinear least squares models
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2010 Export-Led growth hypothesis: Evidence from Cote d’Ivoire
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2010 Measuring the dependence structure between yield and weather variables
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2010 Volatility Co-movement of ASEAN-5 Equity Markets
by Oh, Swee-Ling & Lau, Evan & Puah, Chin-Hong & Abu Mansor, Shazali
2010 Domestic fuel price and economic sectors in Malaysia: a future of renewable energy?
by Jee, Hui-Siang Brenda & Lau, Evan & Puah, Chin-Hong & Abu Mansor, Shazali
2010 A note on GDP now-/forecasting with dynamic versus static factor models along a business cycle
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2010 Macroeconomic dynamics and inflation regimes in the U.S. Results from threshold vector autoregressions
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2010 Regime-dependent effects of monetary policy shocks. Evidence from threshold vector autoregressions
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2010 Measuring Monetary Policy in Open Economies
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2010 QML estimation of a class of multivariate GARCH models without moment conditions on the observed process
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2010 Forecasts with single-equation Markov-switching model: an application to the gross domestic product of Latvia
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2010 Monetary Policy and Identification in SVAR Models: A Data Oriented Perspective
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2010 Testing for Group-Wise Convergence with an Application to Euro Area Inflation
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2010 Determinants of, and the Relationship between FDI and Economic Growth in Bangladesh
by Ahamad, Mazbahul Golam & Tanin, Fahian
2010 Modelling the Currency in Circulation for the State of Qatar
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2010 Assessing substitution and complementary effects amongst crime typologies
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2010 Cointegration relationship and time varying co-movements among Indian and Asian developed stock markets
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2010 1980 Sonrasi ekonomik krizlerin Turkie tarim sektoru uzerindeki etkileri
by Aktas, Erkan & Tuncer, İsmail & Aydın, Murat
2010 The impact of changes in asset prices on real economic activity : a cointegration analysis for Germany
by Andreas Nastansky & Hans Gerhard Strohe
2010 The yield curve and the macro-economy across time and frequencies
by Luís Aguiar-Conraria & Manuel M. F. Martins & Maria Joana Soares
2010 Time-varying spot and futures oil price dynamics
by Guglielmo Caporale & Davide Ciferri & Alessandro Girardi
2010 Descomposición Histórica de la Inflación en Perú. Distinguiendo entre choques de demanda y choques de oferta
by Guillermo Lavanda & Gabriel Rodriguez
2010 Un Indicatore di Attività Economica per la Lombardia e per le Province di Milano e Pavia
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2010 Ranking Multivariate GARCH Models by Problem Dimension
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2010 Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options
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2010 Discrete-valued Levy processes and low latency financial econometrics
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2010 Foreign and Domestic Growth Drivers in Eastern Europe
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2010 The 2008-09 Crisis in Turkey: Performance, Policy Responses and Challenges for Sustaining the Recovery
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2010 Are Global Imbalances Sustainable?: Shedding Further Light on the Causes of Current Account Reversals
by Luiz de Mello & Pier Carlo Padoan & Linda Rousová
2010 Debt dynamics and excess sensitivity of consumption to transitory wealth changes
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2010 Fiscal consolidation with high growth: A policy simulation model for India
by Mundle, Sudipto & Bhanumurthy, N.R. & Das, Surajit
2010 An Efficient Test of Fiscal Sustainability
by Vasco J. Gabriel & Pataaree Sangduan
2010 Cointegration Tests Under Multiple Regime Shifts: An Application to the Stock Price-Dividend Relationship
by Vasco J. Gabriel & Luis F. Martins
2010 The yield curve and the macro-economy across time and frequencies
by Luís Francisco Aguiar & Manuel M. F. Martins & Maria Joana Soares
2010 A Re-examination of the U.S. Underground Economy: Size, Estimation, and Policy Implications
by M. Kabir Hassan & Jung Suk-Yu
2010 Purchasing power parity in OECD countries: nonlinear unit root tests revisited
by Juan Carlos Cuestas & Paulo José Regis
2010 Nonlinearities in Stock Returns for Some Recent Entrants to the EU
by Barry Harrison & Winston Moore
2010 Estimating Turning Points Using Large Data Sets
by James H. Stock & Mark W. Watson
2010 Labor-Market Heterogeneity, Aggregation, and the Lucas Critique
by Yongsung Chang & Sun-Bin Kim & Frank Schorfheide
2010 Does Labor Supply Matter During a Recession? Evidence from the Seasonal Cycle
by Casey B. Mulligan
2010 Modeling Financial Contagion Using Mutually Exciting Jump Processes
by Yacine Aït-Sahalia & Julio Cacho-Diaz & Roger J.A. Laeven
2010 An Estimated New-Keynesian Model with Unemployment as Excess Supply of Labor
by Miguel Casares & Antonio Moreno & Jesús Vázquez
2010 Addictive behavior in cinema demand: evidence from Korea
by Sangho KIM & Donghyun PARK
2010 Beyond Panel Unit Root Tests : Using Multiple Testing to Determine the Non-Stationarity Properties of Individual Series in a Panel
by MOON, H.R. & PERRON, Benoit
2010 Beyond Panel Unit Root Tests: Using Multiple Testing to Determine the Non Stationarity Properties of Individual Series in a Panel
by MOON, Hyungsik Roger & PERRON, Benoit
2010 The price elasticity of electricity demand in South Australia
by Shu Fan & Rob Hyndman
2010 VARs, Cointegration and Common Cycle Restrictions
by Heather M Anderson & Farshid Vahid
2010 Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps
by Yin Liao & Heather M. Anderson & Farshid Vahid
2010 Multivariate exponential smoothing for forecasting tourist arrivals to Australia and New Zealand
by George Athanasopoulos & Ashton de Silva
2010 Assessing the Predictive Power of Labor-Market Indicators of Inflation
by Nourzad, Farrokh
2010 Fiscal Foresight and the Effects of Government Spending
by Mario Forni & Luca Gambetti
2010 Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model
by Mario Forni & Luca Gambetti
2010 The Federal Funds Rate and the Conduction of the International Orchestra
by Antonio Ribba
2010 Sources of Unemployment Fluctuations in the USA and in the Euro Area in the Last Decade
by Antonio Ribba
2010 A Structural Vector Autoregressive (SVAR) model for the Hungarian labour market
by Zoltán M. Jakab & Éva Kaponya
2010 Is wine a financial parachute?
by Lucia BALDI & Massimo PERI & Daniela VANDONE
2010 What Explains Output Volatility? Evidence from the G3
by Maria Grydaki & Stilianos Fountas
2010 Can Common Stocks Provide A Hedge Against Inflation? Evidence from African Countries
by Paul Alagidede & Theodore Panagiotidis
2010 Causal Relationship between Stock Prices and Exchange Rates
by Paul Alagidede & Theodore Panagiotidis & Xu Zhang
2010 Macroeconomic dynamics and inflation regimes in the U.S. Results from threshold vector autoregressions
by Martin Mandler
2010 Regime-dependent effects of monetary policy shocks. Evidence from threshold vector autoregressions
by Martin Mandler
2010 Stock Returns and Monetary Policy: Are There Any Ties ?
by Hafedh Bouakez & Badye Omar Essid & Michel Normandin
2010 On the Forecasting Accuracy of Multivariate GARCH Models
by Sébastien Laurent & Jeroen V.K. Rombouts & Francesco Violante
2010 Measuring the Effects of Fiscal Policy
by Hafedh Bouakez & Foued Chihi & Michel Normandin
2010 Predictive Ability of Business Cycle Indicators under Test: A Case Study for the Euro Area Industrial Production
by Carstensen, Kai & Wohlrabe, Klaus & Ziegler, Christina
2010 The Household Sector Financial Balance, Financing Gap, Financial Markets, and Economic Cycles in the US Economy: A Structural VAR Analysis
by Paolo Casadio & Antonio Paradiso
2010 Infinite-variance, Alpha-stable Shocks in Monetary SVAR
by Greg Hannsgen
2010 Economic Value of Stock and Interest Rate Predictability in the UK
by Stephen Hall & Kavita Sirichand
2010 Decision-Based Forecast Evaluation of UK Interest Rate Predictability
by Stephen Hall & Kavita Sirichand
2010 Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
by Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat
2010 Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH
by Massimiliano Caporin & Michael McAleer
2010 Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models
by Massimiliano Caporin & Michael McAleer
2010 Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns
by Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat
2010 Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations
by Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat
2010 Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets
by Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat
2010 Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
by Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat
2010 Ten Things We Should Know About Time Series
by Michael McAleer & Les Oxley
2010 An Invariance Property of the Common Trends under Linear Transformations of the Data
by Søren Johansen & Katarina Juselius
2010 An Extension of Cointegration to Fractional Autoregressive Processes
by Søren Johansen
2010 The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration with an Application to Annual Mean Temperature and Sea Level
by Søren Johansen
2010 Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models
by Dennis Kristensen & Anders Rahbek
2010 Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
by Søren Johansen & Morten Ørregaard Nielsen
2010 Bootstrap Sequential Determination of the Co-integration Rank in VAR Models
by Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor
2010 Does the Law of One Price Hold in a High-Inflation Environment? A Tale of Two Cities in Turkey
by Sule Akkoyunlu & Boriss Siliverstovs
2010 Can Common Stocks Provide A Hedge Against Inflation? Evidence from African Countries
by Paul Alagidede & Theodore Panagiotidis
2010 Business Cycles around the Globe: A Regime Switching Approach
by Sumru Altug & Melike Bildirici
2010 Causal Inference by Independent Component Analysis with Applications to Micro- and Macroeconomic Data
by Alessio Moneta & Doris Entner & Patrik Hoyer & Alex Coad
2010 An Empirical Study of the Relationships between CO2 Emissions, Economic Growth and Openness
by Choi, Eunho & Heshmati, Almas & Cho, Yongsung
2010 An Empirical Study of the Relationships between CO2 Emissions, Economic Growth and Openness
by Choi, Eunho & Heshmati, Almas & Cho, Yongsung
2010 Real Wages and the Business Cycle in Germany
by Marczak, Martyna & Beissinger, Thomas
2010 Real Wages and the Business Cycle in Germany
by Marczak, Martyna & Beissinger, Thomas
2010 A First Look on the New Halle Economic Projection Model
by Sebastian Giesen & Oliver Holtemöller & Juliane Scharff & Rolf Scheufele
2010 Money and Inflation: The Role of Persistent Velocity Movements
by Makram El-Shagi & Sebastian Giesen
2010 Has the Euro Increased International Price Elasticities?
by Oliver Holtemöller & Götz Zeddies
2010 An Evolutionary Algorithm for the Estimation of Threshold Vector Error Correction Models
by Makram El-Shagi
2010 The Impact of the Global Economic Crisis on Cambodia
by Pisey Khin & Ryuta Ray Kato
2010 Milking The Prices: The Role of Asymmetries in the Price Transmission Mechanism for Milk Products in Austria
by Octavio Fern?ndez-Amador & Josef Baumgartner & Jes?s Crespo-Cuaresma
2010 Extracting information on inflation from consumer and wholesale prices and the NKE aggregate supply curve
by Ashima Goyal & Shruti Tripathi
2010 The NAIRU and the Extent of the Low-Pay Sector
by Marcel Garz
2010 The Role of Monetary Policy Uncertainty in the Term Structure of Interest Rates
by Junko Koeda & Ryo Kato
2010 Is more exchange rate intervention necessary in small open economies? The role of risk premium and commodity shocks
by Carlos Garcia & Wildo Gonzalez
2010 Forecast Combination Based on Multiple Encompassing Tests in a Macroeconomic DSGE System
by Costantini, Mauro & Gunter, Ulrich & Kunst, Robert M.
2010 Cointegration Analysis with State Space Models
by Wagner, Martin
2010 Endogeneity and Instrumental Variables in Dynamic Models
by Florens, Jean-Pierre & Simon, Guillaume
2010 The 2007-? financial crisis: a euro area money market perspective
by Nuno Cassola & Claudio Morana
2010 Bank and Official Interest Rates: How Do They Interact over Time?
by G. C. Lim & Sarantis Tsiaplias & C. L. Chua
2010 Prognose mit nichtparametrischen Verfahren
by Wolfgang Karl Härdle & Rainer Schulz & Weining Wang
2010 High Dimensional Nonstationary Time Series Modelling with Generalized Dynamic Semiparametric Factor Model
by Song Song & Wolfgang K. Härdle & Ya'acov Ritov
2010 Bayesian Estimation and Model Selection in the Generalised Stochastic Unit Root Model
by Roberto Leon-Gonzalez & Fuyu Yang
2010 The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility
by Nikolaus Hautsch & Dieter Hess & David Veredas
2010 Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model
by Nikolaus Hautsch & Fuyu Yang
2010 Investigating Finite Sample Properties of Estimators for Approximate Factor Models When N Is Small
by Shinya Tanaka & Eiji Kurozumi
2010 Model Selection Criteria in Multivariate Models with Multiple Structural Changes
by Eiji Kurozumi & Purevdorj Tuvaandorj
2010 Financial Intermediation and Economic Growth: Evidence from the Baltic countries
by Soultanaeva, Albina
2010 The Impact of Stock Market Jumps on Time-Varying Return Correlations: Empirical Evidence from the Baltic Countries
by Hellström, Jörgen & Soultanaeva, Albina
2010 A New Ridge Regression Causality Test in the Presence of Multicollinearity
by Månsson, Kristofer & Shukur, Ghazi & Sjölander, Pär
2010 China’s Growing Influence in Southeast Asia - Monetary Policy and Equity Markets
by Johansson, Anders C.
2010 Stock and Bond Relationships in Asia
by Johansson, Anders C.
2010 A Bootstrap Test for Causality with Endogenous Lag Length Choice - theory and application in finance
by Hacker, R. Scott & Hatemi-J, Abdulnasser
2010 An Investigation of the Causal Relations between Exchange Rates and Interest Rate Differentials Using Wavelets
by Hacker, Scott & Kim, Hyunjoo & Månsson, Kristofer
2010 Factors Explaining Crop Price Developments - Time-Series Evidence for Developing and Developed Countries
by Raabe, Katharina
2010 Chinese Saving Dynamics: The Impact of GDP Growth and the Dependent Share
by Carl Bonham & Call Wiemer
2010 Forecasting Based on Common Trends in Mixed Frequency Samples
by Peter Fuleky & Carl Bonham
2010 Chinese Saving Dynamics: The Impact of GDP Growth and Dependent Share
by Carl Bonham & Calla Wiemer
2010 Permanent and Transitory Macroeconomic Relationships between China and the Developed World
by Tara Sinclair & Yeuqing Jia
2010 Persistence-robust Granger causality testing
by Dietmar Bauer & Alex Maynard
2010 Price Dynamics in Tanzanian Maize Markets: Insights from a Semiparametric Cointegration Model
by Rico Ihle & Stephan von Cramon-Taubadel
2010 Assessing Seasonal Asymmetric Price Transmission in Ghanaian Tomato Markets With the Johansen Estimation Method
by Rico Ihle & Joseph Amikuzuno
2010 Inflation and Globalisation: A Dynamic Factor Model with Stochastic Volatility
by Joseph P. Byrne & Fatima Kaneez & Alexandros Kontonikas
2010 Testing for “contagion” of the subprime crisis on the Middle East and North African stock markets : A Markov Switching EGARCH approach
by Wajih Khallouli & Modibo René Sandretto
2010 Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets
by Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas
2010 “Quo Vadis Real? Estimating the Brazilian Real Exchange Rate Misalignment in Vector Error Correction Model with Structural Change”
by Emerson Fernandes Marçal & Fernando Barbi
2010 Global Financial Crisis and the Puzzling Exchange Rate Path in CEE Countries
by Jesús Crespo Cuaresma & Adam Gersl & Tomáš Slačík
2010 Relationship between Czech and European developed stock markets: DCC MVGARCH analysis
by Michael Princ
2010 Asymmetric Properties of Impulse Response Functions in Markov-Switching Structural Vector AutoRegressions
by Frédéric Karamé & Alexandra Olmedo
2010 Impulse-Response Functions in Markov-Switching Structural Vector AutoRegressions: a Step Further
by Frédéric Karamé
2010 Oil Price Influence on Russian Macroeconomic Indicators
by Olga Podkorytova & Tatyana Chigvintseva
2010 Investigation of Cointegration of Oil Prices and Russian Market Indices
by Alexander Alexeev
2010 Estimation methods comparison of SVAR model with the mixture of two normal distributions - Monte Carlo analysis
by Katarzyna Maciejowska
2010 Assessing financial integration: a comparison between Europe and East Asia
by Rossella Calvi
2010 Forecasting Nevada Gross Gaming Revenue and Taxable Sales Using Coincident and Leading Employment Indexes
by Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen Miller
2010 Ten Things We Should Know About Time Series
by McAleer, M.J. & Oxley, L.
2010 Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH
by Caporin, M. & McAleer, M.J.
2010 Ranking multivariate GARCH models by problem dimension
by Caporin, M. & McAleer, M.J.
2010 Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets
by Chang, C-L. & McAleer, M.J. & Tansuchat, R.
2010 Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
by Tansuchat, R. & Chang, C-L. & McAleer, M.J.
2010 Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
by Tansuchat, R. & Chang, C-L. & McAleer, M.J.
2010 On the Informational Role of Term Structure in the U.S. Monetary Policy Rule
by Vázquez Pérez, Jesús & María-Dolores, Ramón & Londoño Yarce, Juan Miguel
2010 Conditional beta pricing models: A nonparametric approach
by Orbe Mandaluniz, Susan & Ferreira García, María Eva & Gil Bazo, Javier
2010 The links between inflation and inflation uncertainty at the longer horizon
by Tsyplakov Alexander
2010 Cointegration, long-run structural modelling and weak exogeneity: Two models of the UK economy
by Jan PAM Jacobs & Kenneth F.Wallis
2010 Real-time Inflation Forecast Densities from Ensemble Phillips Curves
by Anthony Garratt & James Mitchell & Shaun P. Vahey & Elizabeth C. Wakerly
2010 Forecast Densities for Economic Aggregates from Disaggregate Ensembles
by Francesco Ravazzolo & Shaun P. Vahey
2010 The Spanish term structure of interest rates revisited: cointegration with multiple structural breaks, 1974-2010
by Vicente Esteve & Manuel Navarro-Ibáñez & Maria A. Prats
2010 Are the Gains from Foreign Diversification Diminishing? Assessing the Impact with Cross-Listed Stocks
by Chua, Choong Tze & Lai, Sandy & Lewis, Karen K.
2010 A Note on Estimating Wishart Autoagressive Model
by Roxana Halbleib
2010 Forecasting Multivariate Volatility Using the VARFIMA Model on Realized Covariance Cholesky Factors
by Roxana Halbleib & Valerie Voev
2010 On the Sources of Euro Area Money Demand Stability. A Time-Varying Cointegration Analysis
by Matteo Barigozzi & Antonio Conti
2010 The method of simulated quantiles
by Yves Dominicy & David Veredas
2010 The impact of macroeconomic news on quote adjustments, noise and informational volatility
by Nikolaus Hautsch & Dieter Hess & David Veredas
2010 Interaction between trade, conflict and cooperation : the case of Japan and China
by Shiro Armstrong
2010 Fiscal Consolidation with High Growth : A Policy Simulation Model for India
by Sudipto Mundle & N.R. Bhanumurthy & Surajit Das
2010 Capital Inflows, Inflation and Exchange Rate Volatility : An Investigation for Linear and Nonlinear Causal Linkages
by Abdul Rashid & Fazal Husain
2010 Information Criteria for Impulse Response Function Matching Estimation of DSGE Models
by Alastair Hall & Atsushi Inoue & James M. Nason & Barbara Rossi
2010 Empirical Identification of the Vector Autoregression: The Causes and Effects of U.S. M2
by Kevin D Hoover & Selva Demiralp & Stephen J Perez
2010 Monetary Policy, the Housing Market, and the 2008 Recession: A Structural Factor Analysis
by Matteo Luciani
2010 A Family Hitch : Econometrics of the New and the Used Car Markets
by Sylvain Prado
2010 Variable Selection, Estimation and Inference for Multi-period Forecasting Problems
by M. Hashem Pesaran & Andreas Pick & Allan Timmermann
2010 Time-Varying Spot and Futures Oil Price Dynamics
by Guglielmo Maria Caporale & Davide Ciferri & Allessandro Girardi
2010 Is Euro Area Money Demand (Still) Stable?: Cointegrated VAR versus Single Equation Techniques
by Ansgar Belke & Robert Czudaj
2010 Price Formation on the EuroMTS Platform
by Guglielmo Maria Caporale & Alessandro Girardi
2010 Monetary Policy, Global Liquidity and Commodity Price Dynamics
by Ansgar Belke & Ingo G. Bordon & Torben W. Hendricks
2010 Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market
by Guglielmo Maria Caporale & Alessandro Girardi & Paolo Paesani
2010 The Impact of Real Oil Price on Real Effective Exchange Rate: The Case of Azerbaijan
by Fakhri Hasanov
2010 Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach
by John Beirne & Guglielmo Maria Caporale & Nicola Spagnolo
2010 On The Economic Effects Of Investment In Railroad Infrastructures In Portugal
by Alfredo Marvão Pereira & Jorge M. Andraz
2010 The power log-GARCH model
by Sucarrat, Genaro & Escribano, Álvaro
2010 Systemic risk measures: the simpler the better
by Peña Sánchez de Rivera, Juan Ignacio & Rodríguez-Moreno, María
2010 Interaction Between Trade, Conflict And Cooperation: The Case Of Japan And China
by Shoro Armstrong
2010 The 2007-? financial crisis: a money market perspective
by Nuno Cassola & Claudio Morana
2010 Demand Matters: German Wheat Market Integration 1806-1855 in a European Context
by Martin Uebele
2010 Exchange Rate Pass-through and Monetary Policy in South Africa
by Aron, Janine & Farrell, Greg & Muellbauer, John & Sinclair, Peter
2010 Labor-Market Heterogeneity, Aggregation, and the Lucas Critique
by Chang, Yongsung & Schorfheide, Frank
2010 Macroeconomics and the Term Structure
by Gürkaynak, Refet S. & Wright, Jonathan
2010 Business Cycles around the Globe: A Regime-switching Approach
by Altug, Sumru G. & Bildirici, Melike
2010 International Business Cycle Spillovers
by Yilmaz, Kamil
2010 The Harrod-Balassa-Samuelson Hypothesis: Real Exchange Rates and their Long-Run Equilibrium
by Chong, Yanping & Jordà, Òscar & Taylor, Alan M.
2010 Does aggregating forecasts by CPI component improve inflation forecast accuracy in South Africa?
by Aron, Janine & Muellbauer, John
2010 Fiscal Foresight and the Effects of Goverment Spending
by Forni, Mario & Gambetti, Luca
2010 Empirical Simultaneous Confidence Regions for Path-Forecasts
by Jordà, Òscar & Knüppel, Malte & Marcellino, Massimiliano
2010 Measuring Output Gap Uncertainty
by Garratt, Anthony & Mitchell, James & Vahey, Shaun
2010 Factor-GMM Estimation with Large Sets of Possibly Weak Instruments
by Kapetanios, George & Marcellino, Massimiliano
2010 Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model
by Forni, Mario & Gambetti, Luca
2010 Forecasting with Factor-augmented Error Correction Models
by Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor
2010 Some Problems in the Testing of DSGE Models
by Le, Vo Phuong Mai & Minford, Patrick & Wickens, Michael R.
2010 Aggregation of exponential smoothing processes with an application to portfolio risk evaluation
by SBRANA, Giacomo & SILVESTRINI, Andrea
2010 On the forecasting accuracy of multivariate GARCH models
by LAURENT, Sébastien & ROMBOUTS, Jeroen V. K. & VIOLANTE, Francesco
2010 Intervenciones cambiarias y política monetaria en Colombia. Un análisis de var estructural
by Martha Misas A & Juan José Echavarría S & Enrique López E
2010 Corruption, Economic Freedom and Political Freedom in South America: In Pursuit of the missing Link
by Garcia Callejas, Danny
2010 ¿Posee el Valle del Cauca una economía transformadora de importaciones orientadas a la Exportación?
by Jaime Andrés Collazos & Pedro Luis Rosero
2010 Liquidez en los mercados accionarios colombianos. Cuánto hemos avanzado en los últimos 10 años?
by Diego Alonso Agudelo Rueda
2010 Estimations of the natural rate of interest in Colombia
by Eliana González & Luis F. Melo & Luis E. Rojas & Brayan Rojas
2010 Regulación y Valor en Riesgo
by Luis Fernando Melo Velandia & Joan Camilo Granados Castro
2010 Monetary Policy and Commodity Prices: an endogenous analysis using an SVAR approach
by Luz Adriana Flórez
2010 Una metodolgía multivariada de desagregación temporal
by Jorge Luis Hurtado Guarín & Luis Fernando Melo Velandia
2010 Short-Term Forecasting of Czech Quarterly GDP Using Monthly Indicators
by Katerina Arnostova & David Havrlant & Lubos Ruzicka & Peter Toth
2010 ALRIGHT: Asymmetric LaRge-Scale(I)GARCH with Hetero-Tails
by Marc S. PAOLELLA
2010 Time Variation in U.S. Wage Dynamics
by Boris Hofmann & Gert Peersman & Roland Straub
2010 Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market
by Guglielmo Maria Caporale & Alessandro Girardi & Paolo Paesani
2010 The Ifo Business Cycle Clock: Circular Correlation with the Real GDP
by Klaus Abberger & Wolfgang Nierhaus
2010 Predictive Ability of Business Cycle Indicators under Test: A Case Study for the Euro Area Industrial Production
by Kai Carstensen & Klaus Wohlrabe & Christina Ziegler
2010 Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach
by John Beirne & Guglielmo Maria Caporale & Nicola Spagnolo
2010 Supply, Demand and Monetary Policy Shocks in a Multi-Country New Keynesian Model
by Stephane Dees & M. Hashem Pesaran & L. Vanessa Smith & Ron P. Smith
2010 Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights
by Helmut Luetkepohl
2010 Time-Varying Spot and Futures Oil Price Dynamics
by Guglielmo Maria Caporale & Davide Ciferri & Alessandro Girardi
2010 Stock Market Integration between three CEECs, Russia and the UK
by Guglielmo Maria Caporale & Nicola Spagnolo
2010 Price Formation on the EuroMTS Platform
by Guglielmo Maria Caporale & Alessandro Girardi
2010 Spend-and-Tax Adjustments and the Sustainability of the Government's Intertemporal Budget Constraint
by Gabriella Deborah Legrenzi & Costas Milas
2010 Semiparametric Estimation of Locally Stationary Diffusion Models
by Bonsoo Koo & Oliver Linton
2010 Interrelationships between Health, Environment Quality and Economic Activity: What Consequences for Economic Convergence
by Alassane DRABO
2010 Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH
by Massimiliano Caporin & Michael McAleer
2010 Cliometrics and Time Series Econometrics: Some Theory and Applications
by David Grreasley
2010 Ten Things We Should Know About Time Series
by Michael McAleer & Les Oxley
2010 Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns
by Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat
2010 Ranking Multivariate GARCH Models by Problem Dimension
by Massimiliano Caporin & Michael McAleer
2010 Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH
by Michael McAleer & Massimiliano Caporin
2010 Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations
by Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat
2010 Block Structure Multivariate Stochastic Volatility Models
by Manabu Asai & Massimiliano Caporin & Michael McAleer
2010 Analyzing and Forecasting Volatility Spillovers, Asymmetries and Hedging in Major Oil Markets
by Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat
2010 Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models
by Massimiliano Caporin & Michael McAleer
2010 Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
by Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer
2010 Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
by Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer
2010 Structural change tests for GEL criteria
by Alain Guay & Jean-Francois Lamarche
2010 Does anticipation of government spending matter? The role of (non-)defense spending
by Jörn Tenhofen & Guntram B. Wolff
2010 Time-varying dynamics of the real exchange rate. A structural VAR analysis
by Mumtaz, Haroon & Sunder-Plassmann, Laura
2010 Linking Granger Causality and the Pearl Causal Model with Settable Systems
by Halbert White & Karim Chalak & Xun Lu
2010 How does monetary policy respond to exchange rate movements? New international evidence
by Hilde C. Bjørnland & Jørn I. Halvorsen
2010 Loose commitment in medium-scale macroeconomic models: Theory and an application
by Davide Debortoli & Junior Maih & Ricardo Nunes
2010 The long-run exchange rate for NOK: a BEER approach
by Geir E. Alstad
2010 Weights and pools for a Norwegian density combination
by Hilde Bjørnland & Karsten Gerdrup & Christie Smith & Anne Sofie Jore & Leif Anders Thorsrud
2010 Forecast densities for economic aggregates from disaggregate ensembles
by Francesco Ravazzolo & Shaun P. Vahey
2010 Term structure forecasting using macro factors and forecast combination
by Michiel de Pooter & Francesco Ravazzolo & Dick van Dijk
2010 Aproximaciones empíricas a la Tasa Natural de Interés para la Economía Uruguaya
by Conrado Brum & Patricia Carballo & Verónica España
2010 Modelling Thirty Five Years of Coffee Prices in Brazil, Guatemala and India and the Law of One Price
by Anindya Banerjee & Sushil Mohan & Bill Russell
2010 Too Much to Lose, or More to Gain? Should Sweden Join the Euro?
by J James Reade & Ulrich Volz
2010 Interest rate pass-through in the major European economies - the role of expectations
by Anindya Banerjee & Victor Bystrov & Paul Mizen
2010 Forecasting with Factor-augmented Error Correction
by Anindya Banerjee & Massimiliano Marcellino & Igor Masten
2010 Measurement with Some Theory: a New Approach to Evaluate Business Cycle Models (with appendices)
by Fabio Canova & Matthias Paustian
2010 Fiscal Policy, Foresight and the Trade Balance in the U.S
by Luca Gambetti
2010 Multiple Filtering Devices for the Estimation of Cyclical DSGE Models
by Fabio Canova & Filippo Ferroni
2010 Fiscal Foresight and the Effects of Government Spending
by Mario Forni & Luca Gambetti
2010 Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model
by Mario Forni & Luca Gambetti
2010 The changing role of house price dynamics over the business cycle
by Dufrénot, G. & Malik, S.
2010 Is there Evidence of Shift-Contagion in International Housing Markets?
by de Bandt,O. & Malik, S.
2010 Common business and housing market cycles in the Euro area from a multivariate decomposition
by Ferrara, L. & Koopman, S J.
2010 On the interaction between market and credit risk: a factor-augmented vector autoregressive (FAVAR) approach
by Roberta Fiori & Simonetta Iannotti
2010 On vector autoregressive modeling in space and time
by Valter Di Giacinto
2010 Nowcasting Spanish GDP growth in real time: "One and a half months earlier"
by David de Antonio Liedo & Elena Fernández Muñoz
2010 Explaining the demand for money by non-financial corporations in the euro area: A macro and a micro view
by Carmen Martínez-Carrascal & Julian von Landesberger
2010 Testing non-linear dependence in the hedge fund industry
by Javier Mencía
2010 Commodity Prices: Structural Factors, Financial Markets and Non-Linear Dynamics
by Diego Bastourre & Jorge Carrera & Javier Ibarlucia
2010 Dynamic and Stochastic General Equilibrium (DSGE) Models: An Introduction
by Guillermo Escudé
2010 Monetary Policy Transmission and Macroeconomic Dynamics in Luxembourg: Results from a VAR Analysis
by Romuald Morhs
2010 Non-Stationary Interest Rate Differentials and the Role of Monetary Policy
by Matros, Philipp & Weber, Enzo
2010 Long-run Identification in a Fractionally Integrated System
by Tschernig, Rolf & Weber, Enzo & Weigand, Roland
2010 Testing for Codependence of Non-Stationary Variables
by Trenkler, Carsten & Weber, Enzo
2010 On the Identification of Codependent VAR and VEC Models
by Trenkler, Carsten & Weber, Enzo
2010 Foreign and Domestic Growth Drivers in Eastern Europe
by Weber, Enzo
2010 Mean-Variance Cointegration and the Expectations Hypothesis
by Strohsal, Till & Weber, Enzo
2010 Risk and Policy Shocks on the US Term Structure
by Weber, Enzo & Wolters, Jürgen
2010 Modeling the link between US inflation and output: the importance of the uncertainty channel
by Conrad, Christian & Karanasos, Menelaos
2010 Hedging with CO2 allowances: the ECX market
by Carlos Pinho & Mara Madaleno
2010 CO2 spot and futures price analysis for EEX and ECX
by Carlos Pinho & Mara Madaleno
2010 Fiscal Policy, Foresight and the Trade Balance in the U.S
by Luca Gambetti
2010 Fiscal Foresight and the Effects of Government Spending
by Mario Forni & Luca Gambetti
2010 Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model
by Mario Forni & Luca Gambetti
2010 Multivariate Contemporaneous-Threshold Autoregressive Models
by Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo
2010 The Spanish term structure of interest rates revisited: cointegration with multiple structural breaks, 1974-2010
by Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats
2010 Evidence on a Real Business Cycle model with Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging
by Rodney W. Strachan & Herman K. van Dijk
2010 Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps
by Yin Liao & Heather Anderson & Farshid Vahid
2010 VECM Estimations of the PPP Reversion Rate Revisited: The Conventional Role of Relative Price Adjustment Restored
by Hyeongwoo Kim
2010 A Bootstrap Cointegration Rank Test for Panels of VAR Models
by Laurent A.F. Callot
2010 An invariance property of the common trends under linear transformations of the data
by Søren Johansen & Katarina Juselius
2010 The analysis of nonstationary time series using regression, correlation and cointegration with an application to annual mean temperature and sea level
by Søren Johansen
2010 Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models
by Dennis Kristensen & Anders Rahbek
2010 Estimation of Stochastic Volatility Models by Nonparametric Filtering
by Shin Kanaya & Dennis Kristensen
2010 Integer-valued Lévy processes and low latency financial econometrics
by Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard
2010 Level Shifts in Volatility and the Implied-Realized Volatility Relation
by Bent Jesper Christensen & Paolo Santucci de Magistris
2010 Numerical distribution functions of fractional unit root and cointegration tests
by James G. MacKinnon & Morten Ørregaard Nielsen
2010 Habit-based Asset Pricing with Limited Participation Consumption
by Christian Bach & Stig Vinther Møller
2010 The Role of Realized Ex-post Covariance Measures and Dynamic Model Choice on the Quality of Covariance Forecasts
by Rasmus Tangsgaard Varneskov & Valeri Voev
2010 The Role of Dynamic Specification in Forecasting Volatility in the Presence of Jumps and Noisy High-Frequency Data
by Rasmus Tangsgaard Varneskov
2010 The log-linear return approximation, bubbles, and predictability
by Tom Engsted & Thomas Q. Pedersen & Carsten Tanggaard
2010 Testing for rational bubbles in a co-explosive vector autoregression
by Tom Engsted & Bent Nielsen
2010 Likelihood inference for a fractionally cointegrated vector autoregressive model
by Søren Johansen & Morten Ørregaard Nielsen
2010 Pitfalls in VAR based return decompositions: A clarification
by Tom Engsted & Thomas Q. Pedersen & Carsten Tanggaard
2010 Bootstrap Sequential Determination of the Co-integration Rank in VAR Models
by Guiseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor
2010 Commodity Prices: Structural Factors, Financial Markets and Non-Linear Dynamics
by Diego Bastourre & Jorge Carrera & Javier Ibarlucia
2010 Does the Nominal Exchange Rate Regime Affect the Real Interest Parity Condition?
by Dreger, Christian
2010 Asymmetric Volatility Spillovers between Stock Market and Real Activity: Evidence from the UK and the US
by Nikolaos Giannellis & Angelos Kanas & Athanasios P. Papadopoulos
2010 Exchange Rate and Interest Rate Distribution and Volatility under the Portuguese Target Zone
by António Portugal Duarte & João Sousa Andrade & Adelaide Duarte
2010 A Cost-based Empirical Model of the Aggregate Price Determination for the Turkish Economy: A Multivariate Cointegration Approach
by Fatma Zeren & Levent Korap
2010 Monetary Aspects Of Short-Term Capital Inflows In The Central European Countries
by Rajmund MIRDALA
2010 Forecasts With Single - Equation Markov - Switching Model: An Application To The Gross Domestic Product Of Latvia
by Ginters BUSS
2010 Responsiveness of Trade Flows to Changes in Exchange rate and Relative prices: Evidence from Nigeria</ 
