Research classified by Journal of Economic Literature (JEL) codes

1. Sign Restrictions

2012

• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2012, "Modelling Long Memory Volatility in Agricultural Commodity Futures Returns," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 12/09, May.
• Philip Hans Franses & Michael McAleer & Rianne Legerstee, 2012, "Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 12/12, Jun.
• Broseta, Bruno & Costa-Gomes, Miguel & Crawford, Vincent P., 2000, "Cognition and Behavior in Normal-Form Games: An Experimental Study," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt0fp8278k, Jul.
• Muendler, Marc-Andreas, 2004, "Estimating Production Functions When Productivity Change Is Endogenous," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt0w02f5tw, Feb.
• Costa-Gomes, Miguel & Crawford, Vincent P. & Broseta, Bruno, 1998, "Cognition and Behavior in Normal-Form Games: An Experimental Study," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt1vn4h7x5, Sep.
• Phillips, Peter C.B. & Sun, Yixiao & Jin, Sainan, 2004, "Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt6d36x00z, Sep.
• Torben Kuhlenkasper & Max Friedrich Steinhardt, 2012, "Who Leaves and When? - Selective Outmigration of Immigrants from Germany," Discussion Papers, Central European Labour Studies Institute (CELSI), number 3, Sep.
• John K. Dagsvik & Zhiyang Jia & Tom Kornstad & Thor Olav Thoresen, 2012, "Theoretical and Practical Arguments for Modeling Labor Supply as a Choice among Latent Jobs," CESifo Working Paper Series, CESifo, number 3708.
• Thomas Triebs & David S. Saal & Pablo Arocena & Subal C. Kumbhakar, 2012, "Estimating Economies of Scale and Scope with Flexible Technology," ifo Working Paper Series, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 142.
• Massimiliano Caporin & Michael McAleer, 2010, "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-217, May.
• Carlos A. Medel & Sergio C. Salgado, 2012, "Does BIC Estimate and Forecast Better Than AIC?," Working Papers Central Bank of Chile, Central Bank of Chile, number 679, Nov.
• Yacine Ait-Sahalia & Mustafa Karaman & Loriano Mancini, 2018, "The Term Structure of Variance Swaps and Risk Premia," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-37, May.
• Jeroen Rombouts & Lars Stentoft & Francesco Violente, 2012, "The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options," CIRANO Working Papers, CIRANO, number 2012s-05, Feb.
• Felicitas Nowak-Lehmann & Axel Dreher & Dierk Herzer & Stephan Klasen & Inmaculada Martínez-Zarzoso, 2012, "Does foreign aid really raise per capita income? A time series perspective," Canadian Journal of Economics, Canadian Economics Association, volume 45, issue 1, pages 288-313, February, DOI: 10.1111/j.1540-5982.2011.01696.x.
• Michael B. Devereux & Viktoria Hnatkovska, 2012, "The extensive margin, sectoral shares, and international business cycles," Canadian Journal of Economics, Canadian Economics Association, volume 45, issue 2, pages 509-534, May, DOI: 10.1111/j.1540-5982.2012.01707.x.
• E. Otranto, 2012, "Spillover Effects in the Volatility of Financial Markets," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 201217.
• Rub�n Albeiro Loaiza Maya & Luis Fernando Melo Velandia, 2012, "Latin American Exchange Rate Dependencies: A Regular Vine Copula Approach," Borradores de Economia, Banco de la Republica, number 9902, Aug.
• Egberto Alexander Riveros Saavedra, 2012, "¿Responde el Banco de la República a los movimientos en la tasa de cambio real?," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 30, issue 69, pages 150-194, DOI: 10.32468/Espe.6904.
• Álvaro Hurtado Rendón & Luis Alfredo Molina, 2012, "Inestabilidad institucional, evidencia para Colombia: la violencia y el crecimiento económico en el periodo 1950-2010," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 10572, Oct.
• Jesús Botero García & John J. Garc�a & Luis Guillermo V�lez, 2012, "Mecanismos utilizados para monitorear el poder de mercado en mercados eléctricos: reflexiones para Colombia," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 10573, Aug.
• Jhon James Mora & Juan Muro, 2012, "Persistence of informality in a developing country," Borradores de Economía y Finanzas, Universidad Icesi, number 9593, Feb.
• Ana Maria Iregui B. & Ligia Alba Melo B. & María Teresa Ramírez G., 2012, "Wage Adjustment Practices and the Link between Price and Wages: Survey Evidence from Colombian Firms," Revista Lecturas de Economía, Universidad de Antioquia, CIE.
• Lucía Fernanda Avendano Gelves, 2012, "Segregación laboral y discriminación salarial de género en Colombia: El caso de las trece áreas metropolitanas, 2001, 2005 y 2009," Revista de Economía del Caribe, Universidad del Norte, volume 0, issue 0, pages 1.
• José J. Amar Amar & María Martínez González, 2012, "Los fundamentos económicos en la comprensión del mundo social en la infancia," Revista de Economía del Caribe, Universidad del Norte, volume 0, issue 0, pages 1.
• Edwin Tapia & Silvio F. Ramos, 2012, "Impulsos de demanda y oferta agregada y las fluctuaciones económicas en Santiago de Cali de 1996 a 2008," Revista Tendencias, Universidad de Narino, volume 13, issue 1, pages 135-156.
• ROMBOUTS, Jeroen V. K. & STENTOFT, Lars & VIOLANTE, Francesco, 2012, "The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2012003, Feb.
• Reichlin, Lucrezia & Giannone, Domenico & Lenza, Michele, 2012, "Money, credit, monetary policy and the business cycle in the euro area," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8944, Apr.
• Uribe, Martín & Schmitt-Grohé, Stephanie, 2012, "What's News in Business Cycles," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8984, May.
• Clougherty, Joseph A. & Grajek, Michal, 2012, "International Standards and International Trade: Empirical Evidence from ISO 9000 Diffusion," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9047, Jul.
• Andrea Beccarini, 2012, "Verifying Time Inconsistency of the ECB Monetary Policy bya Regime-Switching Approach," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 2212, Jan.
• Magdalena Pisa & Dennis Bams & Christian Wolff, 2012, "Modeling default correlation in a US retail loan portfolio," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 12-19.
• Escribano, Álvaro & Guasch, J. Luis, 2012, "Robust investment climate effects on alternative firm-level productivity measures," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we1201, Jan.
• Galán Camacho, Jorge Eduardo & Lopes Moreira da Veiga, María Helena & Wiper, Michael Peter, 2012, "Bayesian estimation of inefficiency heterogeneity in stochastic frontier models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws121007, May.
• Mihaela BRATU SIMIONESCU, 2012, "The Comparison of GDP Strategies Forecasting in Romania," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 2, pages 39-46.
• Torben Kuhlenkasper & Max Friedrich Steinhardt, 2012, "Who Leaves and When?: Selective Outmigration of Immigrants from Germany," SOEPpapers on Multidisciplinary Panel Data Research, DIW Berlin, The German Socio-Economic Panel (SOEP), number 490.
• Christian Dreger & Yanqun Zhang, 2012, "China: Trotz hoher gesamtwirtschaftlicher Dynamik noch keine Lokomotive der Weltwirtschaft," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, volume 79, issue 33, pages 3-7.
• Ansgar Belke & Matthias Göcke & Martin Günther, 2012, "Exchange Rate Bands of Inaction and Play-Hysteresis in German Exports: Sectoral Evidence for Some OECD Destinations," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1203.
• Peter Stephensen, 2012, "SBAM: An Algorithm for Pair Matching," DREAM Working Paper Series, Danish Rational Economic Agents Model, DREAM, number 201201, Feb.
• A. Ronald Gallant & Han Hong & Ahmed Khwaja, 2012, "Bayesian Estimation of a Dynamic Game with Endogenous, Partially Observed, Serially Correlated State," Working Papers, Duke University, Department of Economics, number 12-01.
• John J. HEIM, 2012, "The Different Crowd Out Effects Of Tax Cut And Spending Deficits," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 12, issue 2.
• Domenico Giannone & Michèle Lenza & Lucrezia Reichlin, 2012, "Money, Credit, Monetary Policy and the Business Cycle in the Euro Area," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2012-008, Mar.
• Viktor Todorov & George Tauchen, 2012, "The Realized Laplace Transform of Volatility," Econometrica, Econometric Society, volume 80, issue 3, pages 1105-1127, May, DOI: ECTA9133.
• Stephanie Schmitt‐Grohé & Martín Uribe, 2012, "What's News in Business Cycles," Econometrica, Econometric Society, volume 80, issue 6, pages 2733-2764, November, DOI: ECTA8050.
• Ismail O. FASANYA & Adegbemi B.O ONAKOYA, 2012, "Does Foreign Aid Accelerate Economic Growth? An Empirical Analysis for Nigeria," International Journal of Economics and Financial Issues, Econjournals, volume 2, issue 4, pages 423-431.
• Olusegun A. Omisakin & Abimbola M. Oyinlola & Oluwatosin A. Adeniyi, 2012, "Modeling Gasoline Demand with Structural Breaks:New Evidence from Nigeria," International Journal of Energy Economics and Policy, Econjournals, volume 2, issue 1, pages 1-9.
• Chan, Joshua & Koop, Gary & Potter, Simon, 2012, "A New Model Of Trend Inflation," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2012-12.
• You, Kefei & Sarantis, Nicholas, 2012, "Structural breaks and the equilibrium real effective exchange rate of China: A NATREX approach," China Economic Review, Elsevier, volume 23, issue 4, pages 1146-1163, DOI: 10.1016/j.chieco.2012.08.002.
• Ching, Steve & Hsiao, Cheng & Wan, Shui Ki, 2012, "Impact of CEPA on the labor market of Hong Kong," China Economic Review, Elsevier, volume 23, issue 4, pages 975-981, DOI: 10.1016/j.chieco.2012.04.017.
• Nakajima, Jouchi & Kunihama, Tsuyoshi & Omori, Yasuhiro & Frühwirth-Schnatter, Sylvia, 2012, "Generalized extreme value distribution with time-dependence using the AR and MA models in state space form," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 11, pages 3241-3259, DOI: 10.1016/j.csda.2011.04.017.
• Billio, Monica & Getmansky, Mila & Pelizzon, Loriana, 2012, "Dynamic risk exposures in hedge funds," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 11, pages 3517-3532, DOI: 10.1016/j.csda.2010.08.015.
• Lombardi, Marco J. & Nicoletti, Giulio, 2012, "Bayesian prior elicitation in DSGE models: Macro- vs micropriors," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 2, pages 294-313, DOI: 10.1016/j.jedc.2011.09.010.
• A. Paothong & G.S. Ladde, 2012, "Generalized Network Externality Function," Economic Analysis and Policy, Elsevier, volume 42, issue 3, pages 363-387, December.
• Huang, Yu-Lieh, 2012, "Measuring business cycles: A temporal disaggregation model with regime switching," Economic Modelling, Elsevier, volume 29, issue 2, pages 283-290, DOI: 10.1016/j.econmod.2011.10.008.
• Buck, Andrew J. & Lady, George M., 2012, "Structural sign patterns and reduced form restrictions," Economic Modelling, Elsevier, volume 29, issue 2, pages 462-470, DOI: 10.1016/j.econmod.2011.12.003.
• Prodromídis, Pródromos-Ioánnis K., 2012, "Modeling male and female employment policy in Greece from local data," Economic Modelling, Elsevier, volume 29, issue 3, pages 823-839, DOI: 10.1016/j.econmod.2011.09.004.
• Liu, Philip & Matheson, Troy & Romeu, Rafael, 2012, "Real-time forecasts of economic activity for Latin American economies," Economic Modelling, Elsevier, volume 29, issue 4, pages 1090-1098, DOI: 10.1016/j.econmod.2012.03.020.
• Bilgili, Faik & Tülüce, Nadide Sevil Halıcı & Doğan, İbrahim, 2012, "The determinants of FDI in Turkey: A Markov Regime-Switching approach," Economic Modelling, Elsevier, volume 29, issue 4, pages 1161-1169, DOI: 10.1016/j.econmod.2012.04.009.
• Mate-Sanchez, Mariluz & López Hernández, Fernando A. & Lacambra, Jesus Mur, 2012, "Analyzing long-term average adjustment of financial ratios with spatial interactions," Economic Modelling, Elsevier, volume 29, issue 4, pages 1370-1376, DOI: 10.1016/j.econmod.2012.03.001.
• Geldi, Hatice Kerra, 2012, "Trade effects of regional integration: A panel cointegration analysis," Economic Modelling, Elsevier, volume 29, issue 5, pages 1566-1570, DOI: 10.1016/j.econmod.2012.05.017.
• Becker, Ralf & Osborn, Denise R. & Yildirim, Dilem, 2012, "A threshold cointegration analysis of interest rate pass-through to UK mortgage rates," Economic Modelling, Elsevier, volume 29, issue 6, pages 2504-2513, DOI: 10.1016/j.econmod.2012.08.004.
• Dieppe, Alistair & González Pandiella, Alberto & Willman, Alpo, 2012, "The ECB's New Multi-Country Model for the euro area: NMCM — Simulated with rational expectations," Economic Modelling, Elsevier, volume 29, issue 6, pages 2597-2614, DOI: 10.1016/j.econmod.2012.07.010.
• Chilarescu, Constantin & Viasu, Ioana, 2012, "Dimensions and logarithmic function in economics: A comment," Ecological Economics, Elsevier, volume 75, issue C, pages 10-11, DOI: 10.1016/j.ecolecon.2012.01.017.
• Areal, Francisco J. & Tiffin, Richard & Balcombe, Kelvin G., 2012, "Provision of environmental output within a multi-output distance function approach," Ecological Economics, Elsevier, volume 78, issue C, pages 47-54, DOI: 10.1016/j.ecolecon.2012.03.011.
• Piroli, Giuseppe & Ciaian, Pavel & Kancs, d'Artis, 2012, "Land use change impacts of biofuels: Near-VAR evidence from the US," Ecological Economics, Elsevier, volume 84, issue C, pages 98-109, DOI: 10.1016/j.ecolecon.2012.09.007.
• Chang, Dongfeng & Serletis, Apostolos, 2012, "Imposing local curvature in the QUAIDS," Economics Letters, Elsevier, volume 115, issue 1, pages 41-43, DOI: 10.1016/j.econlet.2011.11.033.
• Henningsen, Arne & Henningsen, Géraldine, 2012, "On estimation of the CES production function—Revisited," Economics Letters, Elsevier, volume 115, issue 1, pages 67-69, DOI: 10.1016/j.econlet.2011.12.007.
• Parente, Paulo M.D.C. & Santos Silva, J.M.C., 2012, "A cautionary note on tests of overidentifying restrictions," Economics Letters, Elsevier, volume 115, issue 2, pages 314-317, DOI: 10.1016/j.econlet.2011.12.047.
• Kvedaras, Virmantas & Zemlys, Vaidotas, 2012, "Testing the functional constraints on parameters in regressions with variables of different frequency," Economics Letters, Elsevier, volume 116, issue 2, pages 250-254, DOI: 10.1016/j.econlet.2012.03.009.
• Papadopoulos, Georgios & Santos Silva, J.M.C., 2012, "Identification issues in some double-index models for non-negative data," Economics Letters, Elsevier, volume 117, issue 1, pages 365-367, DOI: 10.1016/j.econlet.2012.06.001.
• Brown, Mark G. & Lee, Jonq-Ying, 2012, "The AIDS: A chain price index approach," Economics Letters, Elsevier, volume 117, issue 2, pages 477-479, DOI: 10.1016/j.econlet.2012.06.015.
• Chau, Tak Wai, 2012, "Intergenerational income mobility revisited: Estimation with an income dynamic model with heterogeneous age profile," Economics Letters, Elsevier, volume 117, issue 3, pages 770-773, DOI: 10.1016/j.econlet.2012.08.039.
• Melo, Emerson, 2012, "A representative consumer theorem for discrete choice models in networked markets," Economics Letters, Elsevier, volume 117, issue 3, pages 862-865, DOI: 10.1016/j.econlet.2012.09.006.
• Chesher, Andrew & Smolinski, Konrad, 2012, "IV models of ordered choice," Journal of Econometrics, Elsevier, volume 166, issue 1, pages 33-48, DOI: 10.1016/j.jeconom.2011.06.004.
• Srisuma, Sorawoot & Linton, Oliver, 2012, "Semiparametric estimation of Markov decision processes with continuous state space," Journal of Econometrics, Elsevier, volume 166, issue 2, pages 320-341, DOI: 10.1016/j.jeconom.2011.10.003.
• Bierens, Herman J. & Song, Hosin, 2012, "Semi-nonparametric estimation of independently and identically repeated first-price auctions via an integrated simulated moments method," Journal of Econometrics, Elsevier, volume 168, issue 1, pages 108-119, DOI: 10.1016/j.jeconom.2011.09.012.
• Hnatkovska, Viktoria & Marmer, Vadim & Tang, Yao, 2012, "Comparison of misspecified calibrated models: The minimum distance approach," Journal of Econometrics, Elsevier, volume 169, issue 1, pages 131-138, DOI: 10.1016/j.jeconom.2012.01.007.
• Kim, Don H. & Singleton, Kenneth J., 2012, "Term structure models and the zero bound: An empirical investigation of Japanese yields," Journal of Econometrics, Elsevier, volume 170, issue 1, pages 32-49, DOI: 10.1016/j.jeconom.2011.12.005.
• Antoine, Bertille & Renault, Eric, 2012, "Efficient minimum distance estimation with multiple rates of convergence," Journal of Econometrics, Elsevier, volume 170, issue 2, pages 350-367, DOI: 10.1016/j.jeconom.2012.05.010.
• Andreasen, Martin M., 2012, "An estimated DSGE model: Explaining variation in nominal term premia, real term premia, and inflation risk premia," European Economic Review, Elsevier, volume 56, issue 8, pages 1656-1674, DOI: 10.1016/j.euroecorev.2012.09.006.
• Mendes, Beatriz Vaz de Melo & Marques, Daniel S., 2012, "Choosing an optimal investment strategy: The role of robust pair-copulas based portfolios," Emerging Markets Review, Elsevier, volume 13, issue 4, pages 449-464, DOI: 10.1016/j.ememar.2012.07.005.
• Langrock, Roland & MacDonald, Iain L. & Zucchini, Walter, 2012, "Some nonstandard stochastic volatility models and their estimation using structured hidden Markov models," Journal of Empirical Finance, Elsevier, volume 19, issue 1, pages 147-161, DOI: 10.1016/j.jempfin.2011.09.003.
• Sene, Seydina Ousmane, 2012, "Estimating the demand for gasoline in developing countries: Senegal," Energy Economics, Elsevier, volume 34, issue 1, pages 189-194, DOI: 10.1016/j.eneco.2011.04.014.
• Šaltytė Benth, Jūratė & Benth, Fred Espen, 2012, "A critical view on temperature modelling for application in weather derivatives markets," Energy Economics, Elsevier, volume 34, issue 2, pages 592-602, DOI: 10.1016/j.eneco.2011.09.012.
• Nomikos, Nikos & Andriosopoulos, Kostas, 2012, "Modelling energy spot prices: Empirical evidence from NYMEX," Energy Economics, Elsevier, volume 34, issue 4, pages 1153-1169, DOI: 10.1016/j.eneco.2011.10.001.
• Dagher, Leila, 2012, "Natural gas demand at the utility level: An application of dynamic elasticities," Energy Economics, Elsevier, volume 34, issue 4, pages 961-969, DOI: 10.1016/j.eneco.2011.05.010.
• Schmidbauer, Harald & Rösch, Angi, 2012, "OPEC news announcements: Effects on oil price expectation and volatility," Energy Economics, Elsevier, volume 34, issue 5, pages 1656-1663, DOI: 10.1016/j.eneco.2012.01.006.
• Caporin, Massimiliano & Preś, Juliusz & Torro, Hipolit, 2012, "Model based Monte Carlo pricing of energy and temperature Quanto options," Energy Economics, Elsevier, volume 34, issue 5, pages 1700-1712, DOI: 10.1016/j.eneco.2012.02.008.
• Neto, David, 2012, "Testing and estimating time-varying elasticities of Swiss gasoline demand," Energy Economics, Elsevier, volume 34, issue 6, pages 1755-1762, DOI: 10.1016/j.eneco.2012.07.009.
• Hellström, Jörgen & Lundgren, Jens & Yu, Haishan, 2012, "Why do electricity prices jump? Empirical evidence from the Nordic electricity market," Energy Economics, Elsevier, volume 34, issue 6, pages 1774-1781, DOI: 10.1016/j.eneco.2012.07.006.
• Gianfreda, Angelica & Grossi, Luigi, 2012, "Forecasting Italian electricity zonal prices with exogenous variables," Energy Economics, Elsevier, volume 34, issue 6, pages 2228-2239, DOI: 10.1016/j.eneco.2012.06.024.
• Dagher, Leila & Yacoubian, Talar, 2012, "The causal relationship between energy consumption and economic growth in Lebanon," Energy Policy, Elsevier, volume 50, issue C, pages 795-801, DOI: 10.1016/j.enpol.2012.08.034.
• Mendes, Beatriz Vaz de Melo & Accioly, Victor Bello, 2012, "On the dependence structure of realized volatilities," International Review of Financial Analysis, Elsevier, volume 22, issue C, pages 1-9, DOI: 10.1016/j.irfa.2012.01.001.
• Rosenberger, Randall S. & Needham, Mark D. & Morzillo, Anita T. & Moehrke, Caitlin, 2012, "Attitudes, willingness to pay, and stated values for recreation use fees at an urban proximate forest," Journal of Forest Economics, Elsevier, volume 18, issue 4, pages 271-281, DOI: 10.1016/j.jfe.2012.06.003.
• O’Hare, Colin & Li, Youwei, 2012, "Explaining young mortality," Insurance: Mathematics and Economics, Elsevier, volume 50, issue 1, pages 12-25, DOI: 10.1016/j.insmatheco.2011.09.005.
• Giacometti, Rosella & Bertocchi, Marida & Rachev, Svetlozar T. & Fabozzi, Frank J., 2012, "A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates," Insurance: Mathematics and Economics, Elsevier, volume 50, issue 1, pages 85-93, DOI: 10.1016/j.insmatheco.2011.10.002.
• Arbenz, Philipp & Hummel, Christoph & Mainik, Georg, 2012, "Copula based hierarchical risk aggregation through sample reordering," Insurance: Mathematics and Economics, Elsevier, volume 51, issue 1, pages 122-133, DOI: 10.1016/j.insmatheco.2012.03.009.
• Griffin, Philip S. & Maller, Ross A. & Schaik, Kees van, 2012, "Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases," Insurance: Mathematics and Economics, Elsevier, volume 51, issue 2, pages 382-392, DOI: 10.1016/j.insmatheco.2012.06.005.
• Lee, David & Li, Wai Keung & Wong, Tony Siu Tung, 2012, "Modeling insurance claims via a mixture exponential model combined with peaks-over-threshold approach," Insurance: Mathematics and Economics, Elsevier, volume 51, issue 3, pages 538-550, DOI: 10.1016/j.insmatheco.2012.07.008.
• You, Kefei & Sarantis, Nicholas, 2012, "A twelve-area model for the equilibrium Chinese Yuan/US dollar nominal exchange rate," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 1, pages 151-170, DOI: 10.1016/j.intfin.2011.08.005.
• Bhatti, M. Ishaq & Nguyen, Cuong C., 2012, "Diversification evidence from international equity markets using extreme values and stochastic copulas," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 3, pages 622-646, DOI: 10.1016/j.intfin.2012.02.004.
• Nguyen, Cuong C. & Bhatti, M. Ishaq, 2012, "Copula model dependency between oil prices and stock markets: Evidence from China and Vietnam," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 4, pages 758-773, DOI: 10.1016/j.intfin.2012.03.004.
• Naraidoo, Ruthira & Paya, Ivan, 2012, "Forecasting monetary policy rules in South Africa," International Journal of Forecasting, Elsevier, volume 28, issue 2, pages 446-455, DOI: 10.1016/j.ijforecast.2011.04.006.
• Rösch, Daniel & Scheule, Harald, 2012, "Capital incentives and adequacy for securitizations," Journal of Banking & Finance, Elsevier, volume 36, issue 3, pages 733-748, DOI: 10.1016/j.jbankfin.2011.02.026.
• Bhaumik, Sumon Kumar & Das, Pranab Kumar & Kumbhakar, Subal C., 2012, "A stochastic frontier approach to modelling financial constraints in firms: An application to India," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1311-1319, DOI: 10.1016/j.jbankfin.2011.11.026.
• Kourtis, Apostolos & Dotsis, George & Markellos, Raphael N., 2012, "Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrix," Journal of Banking & Finance, Elsevier, volume 36, issue 9, pages 2522-2531, DOI: 10.1016/j.jbankfin.2012.05.005.
• Chiarella, Carl & He, Xue-Zhong & Huang, Weihong & Zheng, Huanhuan, 2012, "Estimating behavioural heterogeneity under regime switching," Journal of Economic Behavior & Organization, Elsevier, volume 83, issue 3, pages 446-460, DOI: 10.1016/j.jebo.2012.02.014.
• Toda, Alexis Akira, 2012, "The double power law in income distribution: Explanations and evidence," Journal of Economic Behavior & Organization, Elsevier, volume 84, issue 1, pages 364-381, DOI: 10.1016/j.jebo.2012.04.012.
• Billio, Monica & Getmansky, Mila & Lo, Andrew W. & Pelizzon, Loriana, 2012, "Econometric measures of connectedness and systemic risk in the finance and insurance sectors," Journal of Financial Economics, Elsevier, volume 104, issue 3, pages 535-559, DOI: 10.1016/j.jfineco.2011.12.010.
• Bakshi, Gurdip & Chabi-Yo, Fousseni, 2012, "Variance bounds on the permanent and transitory components of stochastic discount factors," Journal of Financial Economics, Elsevier, volume 105, issue 1, pages 191-208, DOI: 10.1016/j.jfineco.2012.01.003.
• Caporale, Guglielmo Maria & Matousek, Roman & Stewart, Chris, 2012, "Ratings assignments: Lessons from international banks," Journal of International Money and Finance, Elsevier, volume 31, issue 6, pages 1593-1606, DOI: 10.1016/j.jimonfin.2012.02.018.
• Akdeniz Duran, Esra & Härdle, Wolfgang Karl & Osipenko, Maria, 2012, "Difference based ridge and Liu type estimators in semiparametric regression models," Journal of Multivariate Analysis, Elsevier, volume 105, issue 1, pages 164-175, DOI: 10.1016/j.jmva.2011.08.018.
• Arghyrou, Michael G. & Gadea, Maria Dolores, 2012, "The single monetary policy and domestic macro-fundamentals: Evidence from Spain," Journal of Policy Modeling, Elsevier, volume 34, issue 1, pages 16-34, DOI: 10.1016/j.jpolmod.2011.09.002.
• Klein, Lawrence R. & Kushnirsky, Fyodor I. & Maksymenko, Svitlana V., 2012, "Macroeconometric study of Ukraine's growth and reform," Journal of Policy Modeling, Elsevier, volume 34, issue 3, pages 325-340, DOI: 10.1016/j.jpolmod.2012.02.003.
• Reboredo, Juan C., 2012, "Modelling oil price and exchange rate co-movements," Journal of Policy Modeling, Elsevier, volume 34, issue 3, pages 419-440, DOI: 10.1016/j.jpolmod.2011.10.005.
• Wadud, I.K.M. Mokhtarul & Bashar, Omar H.M.N. & Ahmed, Huson Joher Ali, 2012, "Monetary policy and the housing market in Australia," Journal of Policy Modeling, Elsevier, volume 34, issue 6, pages 849-863, DOI: 10.1016/j.jpolmod.2012.06.002.
• Choe, Kwang-il & Choi, Pilsun & Nam, Kiseok & Vahid, Farshid, 2012, "Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation," Pacific-Basin Finance Journal, Elsevier, volume 20, issue 2, pages 271-291, DOI: 10.1016/j.pacfin.2011.09.003.
• Kao, Lie-Jane & Wu, Po-Cheng & Lee, Cheng-Few, 2012, "Time-changed GARCH versus the GARJI model for prediction of extreme news events: An empirical study," International Review of Economics & Finance, Elsevier, volume 21, issue 1, pages 115-129, DOI: 10.1016/j.iref.2011.05.001.
• Akpalu, Wisdom & Alnaa, Samuel Erasmus & Aglobitse, Peter B., 2012, "Access to microfinance and intra household business decision making: Implication for efficiency of female owned enterprises in Ghana," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, volume 41, issue 5, pages 513-518, DOI: 10.1016/j.socec.2012.04.020.
• Pavel Ciaian & d'Artis Kancs & Miroslava Rajcaniova, 2012, "Bioenergy and Global Land Use Change," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2012_12, Sep.
• Joshua C C Chan & Gary Koop & Simon M Potter, 2012, "A New Model of Trend Inflation," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-08, Feb.
• Castañon-Herrera, Alberto & Urzúa, Carlos M., 2012, "The non-optimality of the Mexican indirect tax system," EGAP Chapters, Tecnológico de Monterrey, Campus Ciudad de México, in: Urzúa, Carlos M., "Fiscal Inclusive Development: Microsimulation Models for Latin America".
• Banu TANRIOVER & Nebiye YAMAK, 2012, "Parasal Soklarin Asimetrik Etkileri: Teori ve Turkiye Uygulamasi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, volume 12, issue 3, pages 339-350.
• Ciarreta Antuñano, Aitor & Zárraga Alonso, Ainhoa, 2012, "Analysis of volatility transmissions in integrated and interconnected markets: The case of the Iberian and French markets," BILTOKI, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística), number 1134-8984.
• António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2012, "Exchange Rate Mean Reversion within a Target Zone: Evidence from a Country on the Periphery of the ERM," EcoMod2012, EcoMod, number 3720, Jul.
• Sudipto Bhattacharya & Pojanart Sunirand, 2012, "Banks, Relative Performance, and Sequential Contagion," Chapters, Edward Elgar Publishing, chapter 7, "The Challenge of Financial Stability".
• Ndahiriwe Kasaï & Ruthira Naraidoo, 2012, "Financial assets, linear and nonlinear policy rules," Journal of Economic Studies, Emerald Group Publishing Limited, volume 39, issue 2, pages 161-177, May, DOI: 10.1108/01443581211222644.
• Asai, M. & Caporin, M. & McAleer, M.J., 2012, "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2012-02, Mar.
• Chang, C-L. & McAleer, M.J. & Tansuchat, R., 2012, "Modelling Long Memory Volatility in Agricultural Commodity Futures Returns," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2012-15, May.
• Luis Orea & Jevgenijs Steinbuks, 2012, "Estimating Market Power in Homogeneous Product Markets Using a Composed Error Model: Application to the California Electricity Market," Working Papers, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge, number EPRG 1210, Apr.
• Leonhard K. Lades, 2012, "The impact of differential satiation dynamics on changing consumer behavior, wellbeing, and innovative activity," Papers on Economics and Evolution, Philipps University Marburg, Department of Geography, number 2012-16, Nov.
• Callan, Tim & van de Ven, Justin & Keane, Claire & O'Connell, Philip J., 2012, "A Framework for Pension Policy Analysis in Ireland: PENMOD, a Dynamic Simulation Model," Book Chapters, Economic and Social Research Institute (ESRI), in: Callan, Tim, "Analysing Pensions: Modelling and Policy Issues".
• Santos Silva, Joao M C & Tenreyro, Silvana & Wei, Kehai, 2012, "Estimating the Extensive Margin of Trade," Economics Discussion Papers, University of Essex, Department of Economics, number 8969.
• Frédéric Karamé & Yannick Fondeur, 2012, "Can Google Data Help Predict French Youth Unemployment?," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne, number 12-03.
• Ömer ALTUNÇ & Celil AYDIN, 2012, "Türkiye'de Kamu Sektörü Büyüklüğü ve Ekonomik Büyüme İlişkisinin Ampirik Analizi," Ekonomik Yaklasim, Ekonomik Yaklasim Association, volume 23, issue 82, pages 79-98, DOI: 10.5455/ey.20003.
• Özlem Yiğit & Attila GÖKÇE, 2012, "Türkiye Ekonomisi İçin NAIRU Tahmini," Ekonomik Yaklasim, Ekonomik Yaklasim Association, volume 23, issue 83, pages 69-91, DOI: 10.5455/ey.34098.
• Joël CARIOLLE, 2012, "Mesurer l’instabilité macroéconomique - Applications aux données de recettes d’exportation, 1970-2005," Working Papers, FERDI, number I14, Mar.
• Joël CARIOLLE, 2012, "Measuring macroeconomic volatility - Applications to export revenue data, 1970-2005," Working Papers, FERDI, number I14, Mar.
• Dinghai Xu & Yuying Li, 2012, "Select Empirical Evidence of the Leverage Effect in a Stochastic Volatility Model: A Realized Volatility Approach," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 7, issue 1, pages 22-43, March.
• Giampiero M. Gallo & Edoardo Otranto, 2012, "Realized Volatility and Change of Regimes," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2012_02, Jul, revised Jul 2012.
• Giampiero M. Gallo & Edoardo Otranto, 2012, "Volatility Swings in the US Financial Markets," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2012_03, Jul, revised Jul 2012.
• Luljeta Hajderllari & Kostas Karantininis & Ole Bonnichsen, 2012, "Danish Farmers and Investors: An analysis of reasons and motivations for increasing cross-border agricultural activities in Central and Eastern European countries," IFRO Working Paper, University of Copenhagen, Department of Food and Resource Economics, number 2012/10, Jul.
• Ingrid Bracke & Peter Willemé, 2012, "Working Paper 15-12 - Specification and estimation of a dynamic consumption allocation model," Working Papers, Federal Planning Bureau, Belgium, number 201215, Dec.
• Angelo Marano & Carlo Mazzaferro & Marcello Morciano, 2012, "The strengths and failures of incentive mechanisms in notional defined contribution pension systems," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, volume 71, issue 1, pages 33-70, October.
• Mubariz Hasanov & Aysen Arac & Funda Telatar, 2012, "Nonlinearity and Structural Stability in the Phillips Curve: Evidence from Turkey," Hacettepe University Department of Economics Working Papers, Hacettepe University, Department of Economics, number 20123.
• Mubariz Hasanov & Tolga Omay, 2012, "The Relationship between Inflation, output growth, and their Uncertainties: Evidence from selected CEE countries," Hacettepe University Department of Economics Working Papers, Hacettepe University, Department of Economics, number 20128.
• Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012, "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00638440, DOI: 10.1162/REST_a_00225.
• Ibrahim Ahamada & Djamel Kirat, 2012, "The impact of phase II of the EU ETS on the electricity-generation sector," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00673918, Jan.
• Ibrahim Ahamada & Djamel Kirat, 2012, "Evidence of a nonlinear effect of the EU ETS on the electricity-generation sector," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00717629, May.
• Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012, "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," Post-Print, HAL, number hal-00638440, DOI: 10.1162/REST_a_00225.
• Isabelle Chort & Jean-Noël Senne, 2012, "Intra-household Selection into Migration : Evidence from a Matched Sample of Migrants and Origin Households in Senegal," Post-Print, HAL, number hal-01516775, Dec.
• Ibrahim Ahamada & Djamel Kirat, 2012, "The impact of phase II of the EU ETS on the electricity-generation sector," Post-Print, HAL, number halshs-00673918, Jan.
• Ibrahim Ahamada & Djamel Kirat, 2012, "Evidence of a nonlinear effect of the EU ETS on the electricity-generation sector," Post-Print, HAL, number halshs-00717629, May.
• Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012, "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," PSE-Ecole d'économie de Paris (Postprint), HAL, number hal-00638440, DOI: 10.1162/REST_a_00225.
• Stéphane Goutte, 2012, "Conditional Markov regime switching model applied to economic modelling," Working Papers, HAL, number hal-00747479, Oct.
• Marcel Aloy & Gilles Dufrenot & Charles Lai-Tong & Anne Peguin-Feissolle, 2012, "A Smooth Transition Long-Memory Model," Working Papers, HAL, number halshs-00793680, Dec.
• Li, Yushu, 2012, "Estimating Long Memory Causality Relationships by a Wavelet Method," Working Papers, Lund University, Department of Economics, number 2012:15, May.
• Biørn, Erik, 2012, "The Measurement Error Problem in Dynamic Panel Data Analysis: Modeling and GMM Estimation," Memorandum, Oslo University, Department of Economics, number 02/2012, Feb.
• Dagsvik, John K., 2012, "Behavioral Multistate Duration Models: What should they look like ?," Memorandum, Oslo University, Department of Economics, number 17/2012, May.
• Nymoen, Ragnar & Sparrman, Victoria, 2012, "Panel Data Evidence on the Role of Institutions and Shocks for Unemployment Dynamics and Equilibrium," Memorandum, Oslo University, Department of Economics, number 20/2012, Sep.
• Biørn, Erik, 2012, "Estimating SUR Systems with Random Coefficients: The Unbalanced Panel Data Case," Memorandum, Oslo University, Department of Economics, number 22/2012, Aug.
• Holmberg, Ulf, 2012, "Error Corrected Disequilibrium," Umeå Economic Studies, Umeå University, Department of Economics, number 837, Feb.
• Holmberg, Ulf, 2012, "Essays on Credit Markets and Banking," Umeå Economic Studies, Umeå University, Department of Economics, number 840, Mar.
• Brännäs, Kurt, 2012, "The Asymmetric Count Data Moving Average Model," Umeå Economic Studies, Umeå University, Department of Economics, number 841, May.
• Lönnbark, Carl, 2012, "Occurrence of long and short term asymmetry in stock market volatilities," Umeå Economic Studies, Umeå University, Department of Economics, number 848, Oct.
• Lönnbark, Carl, 2012, "Asymmetry with respect to the memory in stock market volatilities," Umeå Economic Studies, Umeå University, Department of Economics, number 849, Oct.
• Nakajima, Jouchi & Watanabe, Toshiaki, 2012, "Time-Varying Vector Autoregressive Modei-A Survey with the Application to the Japanese Macroeconomic Data-," Economic Review, Hitotsubashi University, volume 63, issue 3, pages 193-208, July, DOI: 10.15057/25864.
• Liu, Yang, 2012, "Does Internal Immigration Always Lead to Urban Unemployment in Emerging Economies? : A Structural Approach Based on Data from China," Hitotsubashi Journal of Economics, Hitotsubashi University, volume 53, issue 1, pages 85-105, June, DOI: 10.15057/23146.
• Michelle Sovinsky & Steven Stern, 2012, "Dynamic Modelling of Long-Term Care Decisions," Working Papers, Human Capital and Economic Opportunity Working Group, number 2012-019, Jun.
• Jouchi Nakajima & Toshiaki Watanabe, 2012, "Time-Varying Vector Autoregressive Model - A Survey with the Application to the Japanese Macroeconomic Data -," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd12-232, Apr.
• Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2012, "Parametric Inference and Dynamic State Recovery from Option Panels," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd12-266, Dec.
• Deqing Diane Li & YingChou Lin & John Jin, 2012, "International Volatility Transmission Of Reit Returns," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 6, issue 3, pages 41-51.
• Gozde Unal & Derya Korman, 2012, "Analysis of Extreme Dependence Between Istanbul Stock Exchange and Oil Returns," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 6, issue 4, pages 113-124.
• Julia M. Nunez Tabales & Jose Mª Caridad y Ocerin & Nuria Ceular Villamandos & Francisco Jose Rey Carmona, 2012, "Implicit Prices Associated To The Main Causal Attributes In Real Estate Valuation, Obtencion De Precios Implicitos Para Atributos Determinantes En La Valoracion De Una Vivienda," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, volume 5, issue 3, pages 41-54.
• Flabbi, Luca & Tejada, Mauricio, 2012, "Gender Gaps in Education and Labor Market Outcomes in the United States: The Impact of Employers` Prejudice," IDB Publications (Working Papers), Inter-American Development Bank, number 4205, Dec, DOI: http://dx.doi.org/10.18235/0011443.
• Luca Flabbi & Mauricio Tejada, 2012, "Gender Gaps in Education and Labor Market Outcomes in the United States: The Impact of Employers' Prejudice," Research Department Publications, Inter-American Development Bank, Research Department, number 4819, Dec.
• Yayat Cadarajat & Alexander Lubis, 2012, "Offshore and Onshore IDR Market: Evidence on Information Spillover," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 14, issue 4, pages 343-368, April, DOI: https://doi.org/10.21098/bemp.v14i4.
• Yayat Cadarajat & Alexander Lubis, 2012, "Offshore and Onshore IDR Market: Evidence on Information Spillover," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 14, issue 4, pages 343-368, April, DOI: https://doi.org/10.21098/bemp.v14i4.