Research classified by Journal of Economic Literature (JEL) codes

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• P N Smith & S Sorensen & M R Wickens, , "Macroeconomic Sources of Equity Risk," Discussion Papers, Department of Economics, University of York, number 03/13.
• P N Smith & S Sorensen & M R Wickens, , "An Asset Market Integration Test Based on Observable Macroeconomic Stochastic Discount Factors," Discussion Papers, Department of Economics, University of York, number 03/14.
• Stefan Reimann, , "On the distribution of stock-market returns - Implications of Evolutionary Finance," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 232.
• Francesco Audrino & Enrico De Giorgi, , "Beta Regimes for the Yield Curve," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 244.

None

• Kaiji Chen & Patrick Higgins & Tao Zha, 2021, "Cyclical Lending Standards: A Structural Analysis," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 42, pages 283-306, October, DOI: 10.1016/j.red.2020.11.008.
• Francesco Furlanetto & Paolo Gelain & Marzie Taheri Sanjani, 2021, "Output Gap, Monetary Policy Trade-offs, and Financial Frictions," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 41, pages 52-70, July, DOI: 10.1016/j.red.2010.07.004.
• Lucas Navarro & Mauricio Tejada, 2022, "Does Public Sector Employment Buffer the Minimum Wage Effects?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 43, pages 168-196, January, DOI: 10.1016/j.red.2021.02.004.
• Andreas Tryphonides, 2023, "Identifying Preferences when Households are Financially Constrained," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 51, pages 521-546, December, DOI: 10.1016/j.red.2023.06.001.
• Jesus Bueren, 2023, "Long-Term Care Needs and Savings in Retirement," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 49, pages 201-224, July, DOI: 10.1016/j.red.2022.08.004.
• Andrew Crawley & Geoffrey J.D. Hewings, 2020, "Enhancing Our Understanding of a Regional Economy: The Complementarity of CGE and EIO Models," Working Papers, Regional Research Institute, West Virginia University, number Working Paper 2020-02, Sep.
• Daniel Rösch & Harald Scheule, None, "Multi-year dynamics for forecasting economic and regulatory capital in banking," Journal of Credit Risk, Journal of Credit Risk.
• Szymon Borak & Rafał Weron, None, "A semiparametric factor model for electricity forward curve dynamics," Journal of Energy Markets, Journal of Energy Markets.
• Sjur Westgaard & Stein-Erik Fleten & Ronald Huisman & Mehtap Kiliç & Enrico Pennings, None, "Electricity futures prices: time-varying sensitivity to fundamentals," Journal of Energy Markets, Journal of Energy Markets.
• Sebastian Letmathe & Yuanhua Feng & André Uhde, None, "Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall," Journal of Risk, Journal of Risk.
• Daniel Rösch & Harald Scheule, None, "Stress-testing credit risk parameters: an application to retail loan portfolios," Journal of Risk Model Validation, Journal of Risk Model Validation.
• Daniel Roesch & Harald Scheule, 2004, "Forecasting retail portfolio credit risk," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2004-1, Jan.
• Daniel Roesch & Harald Scheule, 2007, "Stress-testing credit risk parameters: An application to retail loan portfolios," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2007-1, Jan.
• Daniel Roesch & Harald Scheule, 2007, "Multi-Year Dynamics for Forecasting Economic and Regulatory Capital in Banking," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2007-2, Jan.
• Daniel J. Lewis & Karel Mertens & James H. Stock & Mihir Trivedi, 2020, "Measuring Real Activity Using a Weekly Economic Index," Staff Reports, Federal Reserve Bank of New York, number 920, Apr.
• Hrishikesh Vinod, 2023, "Pandemic-proofing Out-of-sample Portfolio Evaluations," Fordham Economics Discussion Paper Series, Fordham University, Department of Economics, number dp2023-04er:dp2023-04.
• Michael Louis George, 2008, "Log Cycle Time as a Predictor of Cost Reduction," Working Papers, Institute of Business Entropy, number 0605, Jun.
• Michael Louis George, 2007, "Predicting the Profit Potential of a Microeconomic Process: An Information Theoretic/Thermodynamic Approach," Working Papers, Institute of Business Entropy, number 0607, Sep.
• Michael Louis George, 2007, "United States Patent Application Publication - Predictive Cost Reduction Based on a Thermodynamic Model," Working Papers, Institute of Business Entropy, number 0608, Sep.
• Ram Sharan Kharel, Ph.D. & Dilli Ram Pokhrel, Ph.D., 2012, "Does Nepal's Financial Structure Matter for Economic Growth?," NRB Economic Review, Nepal Rastra Bank, Economic Research Department, volume 24, issue 2, pages 31-46, October.
• Bierens Herman J & Carvalho Jose R, 2011, "Job Search, Conditional Treatment and Recidivism: The Employment Services for Ex-Offenders Program Reconsidered," The B.E. Journal of Economic Analysis & Policy, De Gruyter, volume 11, issue 1, pages 1-40, January, DOI: 10.2202/1935-1682.2361.
• Castelnuovo Efrem, 2006, "The Fed's Preference for Policy Rate Smoothing: Overestimation Due to Misspecification?," The B.E. Journal of Macroeconomics, De Gruyter, volume 6, issue 2, pages 1-22, August, DOI: 10.2202/1534-5998.1416.
• Milas Costas & Legrenzi Gabriella, 2006, "Non-linear Real Exchange Rate Effects in the UK Labour Market," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 1, pages 1-34, March, DOI: 10.2202/1558-3708.1285.
• Borovkova Svetlana & Geman Helyette, 2006, "Analysis and Modelling of Electricity Futures Prices," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 3, pages 1-16, September, DOI: 10.2202/1558-3708.1372.
• Michis Antonis & Sapatinas Theofanis, 2007, "Wavelet Instruments for Efficiency Gains in Generalized Method of Moment Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 4, pages 1-25, December, DOI: 10.2202/1558-3708.1531.
• Maringer Dietmar G. & Meyer Mark, 2008, "Smooth Transition Autoregressive Models -- New Approaches to the Model Selection Problem," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 1, pages 1-21, March, DOI: 10.2202/1558-3708.1469.
• Nesmith Travis D & Jones Barry E, 2008, "Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 1, pages 1-18, March, DOI: 10.2202/1558-3708.1468.
• Anatolyev Stanislav, 2009, "Multi-Market Direction-of-Change Modeling Using Dependence Ratios," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 1, pages 1-24, March, DOI: 10.2202/1558-3708.1532.
• Berkowitz Jeremy, 2009, "On Justifications for the ad hoc Black-Scholes Method of Option Pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 1, pages 1-27, December, DOI: 10.2202/1558-3708.1683.
• Dark Jonathan Graeme, 2010, "Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 2, pages 1-50, March, DOI: 10.2202/1558-3708.1720.
• Ramalho Esmeralda A., 2010, "Covariate Measurement Error: Bias Reduction under Response-Based Sampling," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 4, pages 1-34, September, DOI: 10.2202/1558-3708.1695.
• Flamini Alessandro & Milas Costas, 2011, "Real-Time Optimal Monetary Policy with Undistinguishable Model Parameters and Shock Processes Uncertainty," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 2, pages 1-43, March, DOI: 10.2202/1558-3708.1845.
• Nicolau João, 2011, "Purchasing Power Parity Analyzed from a Continuous-Time Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 3, pages 1-26, May, DOI: 10.2202/1558-3708.1773.
• Yang Minxian, 2011, "Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 3, pages 1-21, May, DOI: 10.2202/1558-3708.1820.
• Pollock D.S.G., 2012, "Band-Limited Stochastic Processes in Discrete and Continuous Time," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 16, issue 1, pages 1-29, January, DOI: 10.1515/1558-3708.1849.
• Brännäs Kurt & De Gooijer Jan G. & Lönnbark Carl & Soultanaeva Albina, 2012, "Simultaneity and Asymmetry of Returns and Volatilities: The Emerging Baltic States' Stock Exchanges," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 16, issue 1, pages 1-24, January, DOI: 10.1515/1558-3708.1855.
• Saltari Enrico & Wymer Clifford R. & Federici Daniela & Giannetti Marilena, 2012, "Technological Adoption with Imperfect Markets in the Italian Economy," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 16, issue 2, pages 1-30, April, DOI: 10.1515/1558-3708.1934.
• Maggi Bernardo & Cavallaro Eleonora & Mulino Marcella, 2012, "The Macrodynamics of External Overborrowing and Systemic Instability in a Small Open Economy," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 16, issue 2, pages 1-27, April, DOI: 10.1515/1558-3708.1932.
• Wymer Clifford R., 2012, "Continuous-Tme Econometrics of Structural Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 16, issue 2, pages 1-28, April, DOI: 10.1515/1558-3708.1936.
• Martinez Oscar & Olmo Jose, 2012, "A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 16, issue 3, pages 1-39, September, DOI: 10.1515/1558-3708.1881.
• Meinl Thomas & Sun Edward W., 2012, "A Nonlinear Filtering Algorithm based on Wavelet Transforms for High-Frequency Financial Data Analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 16, issue 3, pages 1-24, September, DOI: 10.1515/1558-3708.1920.
• Lapatinas Athanasios, 2012, "On the Interrelation of Capital and Labor Adjustment Costs at the Firm Level," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 16, issue 3, pages 1-36, September, DOI: 10.1515/1558-3708.1885.
• Nam Kiseok, 2003, "The Asymmetric Reverting Property of Stock Returns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 6, issue 4, pages 1-18, March, DOI: 10.2202/1558-3708.1109.
• Westerhoff Frank H. & Reitz Stefan, 2003, "Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 7, issue 4, pages 1-15, December, DOI: 10.2202/1558-3708.1125.
• Bhar Ramaprasad & Chiarella Carl & Runggaldier Wolfgang J., 2004, "Inferring the Forward Looking Equity Risk Premium from Derivative Prices," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 1, pages 1-26, March, DOI: 10.2202/1558-3708.1141.
• Vidoni Paolo, 2004, "Constructing Non-linear Gaussian Time Series by Means of a Simplified State Space Representation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-20, May, DOI: 10.2202/1558-3708.1213.
• Brannas Kurt & Nordstrom Jonas, 2004, "An Integer-Valued Time Series Model for Hotels that Accounts for Constrained Capacity," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 4, pages 1-11, December, DOI: 10.2202/1558-3708.1189.
• Ivanov Ventzislav & Kilian Lutz, 2005, "A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 1, pages 1-36, March, DOI: 10.2202/1558-3708.1219.
• Smallwood Aaron D, 2005, "Joint Tests for Non-linearity and Long Memory: The Case of Purchasing Power Parity," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 2, pages 1-30, June, DOI: 10.2202/1558-3708.1227.
• Bond Derek & Harrison Michael J. & O'Brien Edward J., 2005, "Investigating Nonlinearity: A Note on the Estimation of Hamilton's Random Field Regression Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 3, pages 1-43, September, DOI: 10.2202/1558-3708.1230.
• Guohua Feng & Apostolos Serletis, , "Undesirable Outputs and a Primal Divisia Productivity Index Based on the Directional Output Distance Function," Working Papers, Department of Economics, University of Calgary, number 2013-15.
• Jiri Panos & Petr Polak, 2019, "How to Improve the Model Selection Procedure in a Stress-testing Framework," Working Papers, Czech National Bank, Research and Statistics Department, number 2019/9, Dec.