## Research classified by
*Journal of
Economic Literature* (JEL) codes

Top JEL

/ C: Mathematical and Quantitative Methods

/ / C5: Econometric Modeling

/ / /

**C51: Model Construction and Estimation**

**This JEL code is mentioned in the follow RePEc Biblio entries:**

**This topic is covered by the following reading lists:**

Most recent items first, undated at the end.

**Systemic risk spillovers in the European banking and sovereign network**

*by*Betz, Frank & Hautsch, Nikolaus & Peltonen, Tuomas A. & Schienle, Melanie

**Pricing of Idiosyncratic Equity and Variance Risks**

*by*Elise Gourier

**Reflections on the meaning and measurement of Unobserved Economies: What do we really know about the "Shadow Economy"**

*by*Feige, Edgar L.

**The growth trade-off between direct and indirect taxes in South Africa: Evidence from a STR model**

*by*Phiri, Andrew

**Plausibility of big shocks within a linear state space setting with skewness**

*by*Koloch, Grzegorz

**Models of Financial Return With Time-Varying Zero Probability**

*by*Sucarrat, Genaro & Grønneberg, Steffen

**ZD-GARCH model: a new way to study heteroscedasticity**

*by*Li, Dong & Ling, Shiqing & Zhu, Ke

**Generalizing smooth transition autoregressions**

*by*Emilio Zanetti Chini

**Deciding Between Alternative Approaches In Macroeconomics**

*by*David Hendry

**The Competition Effect in a Public Procurement Model: An error-in-variables approach**

*by*Sundström, David

**Natural Resources and Economic Growth: A Meta-Analysis**

*by*Tomas Havranek & Roman Horvath & Ayaz Zeynalov

**Adaptive models and heavy tails**

*by*Petrella, Ivan & Delle Monache, Davide

**The Linear Systems Approach to Linear Rational Expectations Models**

*by*Majid Al-Sadoon

**Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression**

*by*Markku Lanne & Jani Luoto

**Return and volatility interdependences in up and down markets across developed and emerging countries**

*by*Kundu, Srikanta & Sarkar, Nityananda

**Quadratic variance swap models**

*by*Filipović, Damir & Gourier, Elise & Mancini, Loriano

**Impact of speculation and economic uncertainty on commodity markets**

*by*Andreasson, Pierre & Bekiros, Stelios & Nguyen, Duc Khuong & Uddin, Gazi Salah

**Growth econometrics for agnostics and true believers**

*by*Rockey, James & Temple, Jonathan

**Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso**

*by*Qian, Junhui & Su, Liangjun

**A spatial autoregressive stochastic frontier model for panel data with asymmetric efficiency spillovers**

*by*Glass, Anthony J. & Kenjegalieva, Karligash & Sickles, Robin C.

**Shrinkage estimation of dynamic panel data models with interactive fixed effects**

*by*Lu, Xun & Su, Liangjun

**VARMA representation of DSGE models**

*by*Morris, Stephen D.

**A new approach to risk-return trade-off dynamics via decomposition**

*by*Frazier, David T. & Liu, Xiaochun

**Real exchange rates and economic fundamentals: An investigation based on a Markov-STAR model**

*by*Bertram, Philip & Ma, Jun & Sibbertsen, Philipp

**The welfare effects of endogenous quality choice in cable television markets**

*by*Gregory S. Crawford & Oleksandr Shcherbakov & Matthew Shum

**Note on Higher-Order Statistics for the Pruned-State-Space of nonlinear DSGE models**

*by*Mutschler, Willi

**Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach**

*by*Marczak, Martyna & Proietti, Tommaso

**A Generalized Two-Part Model for Fractional Response Variables with Excess Zeros**

*by*Schwiebert, Jörg & Wagner, Joachim

**Measurement Error in Subjective Expectations and the Empirical Content of Economic Models**

*by*von Gaudecker, Hans-Martin & Drerup, Tilman & Enke, Benjamin

**Theory for a Multivariate Markov--switching GARCH Model with an Application to Stock Markets**

*by*Haas, Markus & Liu, Ji-Chun

**The regime-dependent evolution of credibility: A fresh look at Hong Kong's linked exchange rate system**

*by*Blagov, Boris & Funke, Michael

**Exchange rate bands of inaction and play-hysteresis in Greek exports to the euro area, the US and Turkey: Sectoral evidence**

*by*Belke, Ansgar & Kronen, Dominik

**Unternehmerische Motivation und Wiedergründungsbereitschaft: Eine empirische Untersuchung deutscher Unternehmensneugründungen in der Frühentwicklungsphase**

*by*Pakura, Stefanie

**Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression**

*by*Barunik, Jozef & Barunikova, Michaela

**Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data**

*by*Avdulaj, Krenar & Barunik, Jozef

**A macroeconomic reverse stress test**

*by*Grundke, Peter & Pliszka, Kamil

**New Semiparametric Estimation Procedure for Functional Coefficient Longitudinal Data Models**

*by*Jia Chen & Degui Li & Yingcun Xia

**Caesarean section and the manipulation of exact delivery time**

*by*Fabbri, D.; & Monfardini, C.; & Castaldini, I.; & Protonotari, A.;

**Textual Analysis in Real Estate**

*by*Adam Nowak & Patrick Smith

**Interregional Differentiation of the Youth Unemployment Rate in Russia**

*by*Tatiana Blinova & Vladimir Markov & Victor Rusanovskiy

**La Modelización de la Demanda de Turismo de Economías Emergentes: El caso de la Llegada de Turistas Rusos a España**

*by*Marcos Alvarez-Díaz & Mª Soledad Otero-Giraldez & Manuel González-Gómez

**Bayesian Nonparametric Calibration and Combination of Predictive Distributions**

*by*Roberto Casarin & Federico Bassetti & Francesco Ravazzolo

**On Candlestick-based Trading Rules Profitability Analysis via Parametric Bootstraps and Multivariate Pair-Copula based Models**

*by*Andreea Röthig & Andreas Röthig & Carl Chiarella

**Multivariate Dynamic Copula Models: Parameter Estimation and Forecast Evaluation**

*by*Aepli, Matthias D. & Frauendorfer, Karl & Fuess, Roland & Paraschiv, Florentina

**A New Approach to Modeling the Effects of Temperature Fluctuations on Monthly Electricity Demand**

*by*Yoosoon Chang & Chang Sik Kim & J. Isaac Miller & Joon Y. Park & Sungkeun Park

**An examination of the relationship between biodiesel and soybean oil prices using an asset pricing model**

*by*Miguel Carriquiry

**The Influence of Risk-taking on Bank Efficiency : Evidence from Colombia**

*by*Sarmiento Paipilla, N.M. & Galán, Jorge E.

**Generalized Autoregressive Method of Moments**

*by*Drew Creal & Siem Jan Koopman & Andr� Lucas & Marcin Zamojski

**A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model”**

*by*Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger

**Collective Labour Supply, Taxes, and Intrahousehold Allocation: An Empirical Approach**

*by*Hans Bloemen

**Estimating Structural Parameters in Regression Models with Adaptive Learning**

*by*Norbert Christopeit & Michael Massmann

**On the Ambiguous Consequences of Omitting Variables**

*by*Giuseppe De Luca & Jan Magnus & Franco Peracchi

**Estimating a Falsified Model: Some Impossibility Theorems**

*by*Andrew J. Buck & George M. Lady

**Estimating and explaining changes in potential growth in South Africa**

*by*Johannes Kemp & Ben Smit

**Changes in the Factor Structure of the U.S. Economy: Permanent Breaks or Business Cycle Regimes?**

*by*Luke Hartigan

**Debt and Financial Market Contagion**

*by*Cody Yu-Ling Hsiao & James Morley

**Modelling and forecasting rig rates on the Norwegian Continental Shelf**

*by*Terje Skjerpen & Halvor Briseid Storrøsten & Knut Einar Rosendahl & Petter Osmundsen

**Like Attract Like ? A Structural Comparison of Homogamy Across Same-Sex and Different-Sex Households**

*by*Edoardo Ciscato & Alfred Galichon & Marion Gousse

**Structural Analysis of Value Creation in Software Service Platforms**

*by*Netsanet Haile & Jorn Altmann

**Risk-Benefit-Mediated Impact of Determinants on the Adoption of Cloud Federation**

*by*Netsanet Haile & Jorn Altmann

**Real exchange rate persistence: The case of the Swiss franc-US dollar rate**

*by*Katarina Juselius & Katrin Assenmacher-Wesche

**Shrinkage Estimation of Common Breaks in Panel Data Models via Adaptive Group Fused Lasso**

*by*Su Liangjun & Junhui Qian

**Shrinkage Estimation of Dynamic Panel Data Models with Interactive Fixed Effects**

*by*Xun Lu & Su Liangjun

**Inference in linear models with structural changes and mixed identification strength**

*by*Bertille Antoine & Otilia

**Efficient Inference with Time-Varying Information and the New Keynesian Phillips Curve**

*by*Bertille Antoine & Otilia Boldea

**Normative and frequency forms of Bayesian calculations in managerial studies**

*by*Simona HaÅ¡kovÃ¡

**Forecasting Models of Energy Demand for Electricity Market: A Literature Review**

*by*Amel GRAA & Ismail ZIANE & Farid BENHAMIDA

**Estimating a Phillips Curve for South Africa: A Bounded Random Walk Approach**

*by*Alain Kabundi, Eric Schaling and Modeste Some

**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

**Exchange Rate Bands of Inaction and Play-Hysteresis in Greek exports to the Euro Area, the US and Turkey – Sectoral Evidence**

*by*Ansgar Belke & Dominik Kronen

**The Effects of a Federal Tax Reform on the US Timber Sector**

*by*Sedjo, Roger A. & Sohngen, Brent

**Accumulation with Malnutrition - The Role of Status Seeking Behavior**

*by*Sugata Marjit & Lei Yang

**Macroeconomic Forecasting Starting from Survey Nowcasts**

*by*João Valle e Azevedo & Inês Gonçalves

**Reflections on the meaning and measurement of Unobserved Economies: What do we really know about the “Shadow Economy”?**

*by*Feige, Edgar L.

**Calibrating the Dynamic Nelson-Siegel Model: A Practitioner Approach**

*by*Ibanez, Francisco

**The lean versus clean debate and monetary policy in South Africa**

*by*Raputsoane, Leroi

**An econometric investigation of forecasting liquefied petroleum gas in Ghana**

*by*Yeboah Asuamah, Samuel

**Back-splicing of cement production and characterization of its economic cycle: The case of Chile (1991-2015)**

*by*Idrovo Aguirre, Byron & Contreras, Javier

**Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns**

*by*Francq, Christian & Sucarrat, Genaro

**cquad: An R and Stata Package for Conditional Maximum Likelihood Estimation of Dynamic Binary Panel Data Models**

*by*Bartolucci, Francesco & Pigini, Claudia

**Endogenizing the ICT sector: A multi-sector approach**

*by*Federici, Daniela & Saltari, Enrico & Wymer, Clifford

**Quasifiltering for time-series modeling**

*by*Tsyplakov, Alexander

**Return, shock and volatility co-movements between the bond markets of Turkey and developed countries**

*by*Bayraci, Selcuk

**Endogenous derivation and forecast of lifetime PDs**

*by*Perederiy, Volodymyr

**Revisiting non-linearities in business cycles around the world**

*by*Silva Lopes, Artur C. & Florin Zsurkis, Gabriel

**STEM Education and Economic Performance in the American States**

*by*Ray, Rita

**STEM Education and Economic Performance in the American States**

*by*Ray, Rita

**New Fractional Dickey and Fuller Test**

*by*Bensalma, Ahmed

**Collaboration with and without Coauthorship: Rocket Science Versus Economic Science**

*by*Barnett, William

**South East Asian Financial Linkages and the Changing Role of China: Insights from a Global VAR**

*by*Rudkin, Simon & Wong, Sen Min

**Tourism and economic growth in South Africa: Evidence from linear and nonlinear cointegration frameworks**

*by*Phiri, Andrew

**A Nonparametric Option Pricing Model Using Higher Moments**

*by*Cayton, Peter Julian

**Product market performance and capital structure: A Hierarchical Bayesian semi-parametric panel regression model**

*by*Mukhoti, Sujay & Guhathakurta, Kousik

**Rice Price, Job Misery, Hunger Incidence: Need to Track Few More Statistical Indicators for the Poor**

*by*Mapa, Dennis S. & Castillo, Kristelle & Francisco, Krizia

**The American Pride and Aspiration**

*by*Santra, Sattwik & Chaudhury, Ranajoy

**Persistence of informality in a developing country**

*by*Juan Muro & Jhon James Mora

**Kernel Estimation Of Hazard Functions When Observations Have Dependent and Common Covariates**

*by*James Wolter

**Natural Resources and Economic Growth : A Meta-Analysis**

*by*Tomas Havranek & Roman Horvath & Ayaz Zeynalov

**Comparison of monetary policy effects on lending channel in EMU and non-EMU countries: Evidence from period 1999-2012**

*by*Tomáš Heryán & Iveta Palečková & Nemanja Radić

**A Cost of Production Model for Bitcoin**

*by*Adam Hayes

**Nowcasting and Placecasting Entrepreneurial Quality and Performance**

*by*Jorge Guzman & Scott Stern

**Austerity in 2009-2013**

*by*Alberto Alesina & Omar Barbiero & Carlo Favero & Francesco Giavazzi & Matteo Paradisi

**A Varying-Coefficient Panel Data Model with Fixed Effects: Theory and an Application to U.S. Commercial Banks**

*by*Guohua Feng & Jiti Gao & Bin Peng & Xiaohui Zhang

**Partially Linear Panel Data Models with Cross-Sectional Dependence and Nonstationarity**

*by*Chaohua Dong & Jiti Gao & Bin Peng

**How do Shocks to Domestic Factors Affect Real Exchange Rates of Asian Developing Countries**

*by*Taya Dumrongrittikul & Heather M. Anderson

**A new approach to forecasting based on exponential smoothing with independent regressors**

*by*Ahmad Farid Osman & Maxwell L. King

**A fully non-parametric heteroskedastic model**

*by*Matthieu Garcin & Clément Goulet

**Satisfactory time use elasticities of demand and measuring well-being inequality through superposed utilities**

*by*Okay Gunes & Armagan Tuna Aktuna-Gunes

**On the Identification of Interdependence and Contagion of Financial Crises**

*by*Emanuele BACCHIOCCHI

**Semiparametric Estimation of Multivariate GARCH Models**

*by*Claudio, Morana

**Model Averaging by Stacking**

*by*Claudio, Morana

**Suite of Latvia's GDP forecasting models**

*by*Andrejs Bessonovs

**Inference and testing on the boundary in extended constant conditional correlation GARCH models**

*by*Rasmus Søndergaard Pedersen

**Core Inflation Indicators For Saudi Arabia**

*by*William Barnett & Ryadh M. Alkhareif

**Identification and Inference in Regression Discontinuity Designs with a Manipulated Running Variable**

*by*Gerard, Francois & Rokkanen, Miikka & Rothe, Christoph

**Collective Labour Supply, Taxes, and Intrahousehold Allocation: An Empirical Approach**

*by*Bloemen, Hans

**Innovation and SMEs Patent Propensity in Korea**

*by*Han, Junghee & Heshmati, Almas

**From a rise in B to a fall in C? SVAR analysis of environmental impact of biofuels**

*by*Pavel Ciaian & dâ€™Artis Kancs & Giuseppe Piroli & Miroslava Rajcaniova

**Factor structural time series models for official statistics with an application to hours worked in Germany**

*by*Weigand, Roland & Wanger, Susanne & Zapf, Ines

**CRIX or evaluating Blockchain based currencies**

*by*Simon Trimborn & Wolfgang Karl Härdle & &

**Dynamics of Real Per Capita GDP**

*by*Daniel Neuhoff & & &

**Conditional Systemic Risk with Penalized Copula**

*by*Ostap Okhrin & Alexander Ristig & Jeffrey Sheen & Stefan Trück

**Generalized Exogenous Processes in DSGE: A Bayesian Approach**

*by*Alexander Meyer-Gohde & Daniel Neuhoff & &

**Endogenous Social Networks and Inequality in an Intergenerational Setting**

*by*Yannis Ioannides

**Mozambican Monetary Policy and the Yield Curve of Treasury Bills - An Empirical Study**

*by*Machava, Agostinho & Brännäs, Kurt

**Time Series Modelling of Daily Metical/Rand Exchange Rate Returns, 1996-2014**

*by*Brännäs, Kurt & Machava, Agostinho

**Effects of Food Price Shocks on Child Malnutrition: The Mozambican Experience 2008/09**

*by*Arndt, Channing & Hussain, M. Azhar & Salvucci, Vincenzo & Østerdal, Lars Peter

**Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting**

*by*Lucas, André & Zhang, Xin

**Did US consumers `save for a rainy day' before the Great Recession?**

*by*Anundsen, Andre K. & Nymoen, Ragnar

**A Power Market Forward Curve with Hydrology Dependence An Approach based on Artificial Neural Networks**

*by*Green, Rikard

**Asymptotic Inference in the Lee-Carter Model for Modelling Mortality Rates**

*by*Reese, Simon

**Innovation and SMEs Patent Propensity in Korea**

*by*Han, Junghee & Heshmati, Almas

**Price Impact and the Recovery of the Limit Order Book: Why Should We Care About Informed Liquidity Providers?**

*by*Daniel Havran & Kata Varadi

**Economic impacts of renewable power generation technologies and the role of endogenous technological change**

*by*Dr. Christian Lutz & Dr. Markus Flaute & Dr. Ulrike Lehr & Dr. Kirsten Svenja Wiebe

**Time-varying risk premium in large cross-sectional equity datasets**

*by*Ossola, Elisa & Gagilardini, Patrick & Scaillet, Olivier

**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

**Estimating the Competitive Storage Model with Trending Commodity Prices**

*by*Christophe Gouel & Nicolas Legrand

**Working Paper 02-15 - Une modÃ©lisation de lâ€™Ã©volution future de la migration internationale pour la Belgique**

*by*Marie Vandresse

**The Systematic Component of Monetary Policy in SVARs: An Agnostic Identification Procedure**

*by*Arias, Jonas E. & Caldara, Dario & Rubio-Ramirez, Juan F.

**Modelling Dependence in High Dimensions with Factor Copulas**

*by*Oh, Dong Hwan & Patton, Andrew J.

**High-Dimensional Copula-Based Distributions with Mixed Frequency Data**

*by*Oh, Dong Hwan & Patton, Andrew J.

**Assessing the macroeconomic impact of bank intermediation shocks: a structural approach**

*by*Chen, kaiji & Zha, Tao

**Multivariate return decomposition: theory and implications**

*by*Anatolyev, Stanislav & Gospodinov, Nikolay

**Gelişmiş ve Gelişmekte Olan Ülkeler İçin Sabit İkame Esneklikli Üretim Fonksiyonu’nun Tahmini**

*by*Mehmet Songur

**Gelişmiş ve Gelişmekte Olan Ülkeler İçin Sabit İkame Esneklikli Üretim Fonksiyonu’nun Tahmini**

*by*Mehmet Songur

**Gelişmiş ve Gelişmekte Olan Ülkeler İçin Sabit İkame Esneklikli Üretim Fonksiyonu’nun Tahmini**

*by*Mehmet Songur

**A Reality Check on the Relationship between Poverty and Income Inequality for Turkey**

*by*Sadullah Çelik & Deniz Şatıroğlu

**A Reality Check on the Relationship between Poverty and Income Inequality for Turkey**

*by*Sadullah Çelik & Deniz Şatıroğlu

**A Reality Check on the Relationship between Poverty and Income Inequality for Turkey**

*by*Sadullah Çelik & Deniz Şatıroğlu

**Efficiency estimates of health care systems**

*by*João Medeiros & Christoph Schwierz

**Benchmarking judgmentally adjusted forecasts**

*by*Franses, Ph.H.B.F. & de Bruijn, L.P.

**Health condition and job status interactions: Econometric evidence of causality from a French longitudinal survey**

*by*Eric Delattre & Richard Moussa & Mareva Sabatier

**Financial Market Liquidity: Who Is Acting Strategically?**

*by*Gulten Mero & Serge Darolles & Gaëlle Le Fol

**Large Bayesian VARs: A flexible Kronecker error covariance structure**

*by*Joshua C.C. Chan

**Mismatch Shocks and Unemployment During the Great Recession**

*by*Francesco Furlanetto & Nicolas Groshenny

**Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying VARs**

*by*Marco Valerio Geraci & Jean-Yves Gnabo

**Living in a Stochastic World and Managing Complex Risks**

*by*Dacorogna, Michel & Kratz, Marie

**Estimating the Competitive Storage Model with Trending Commodity Prices**

*by*Christophe Gouel & Nicolas Legrand

**How is credit scoring used to predict default in China?**

*by*Ha-Thu Nguyen

**A dynamic network model of the unsecured interbank lending market**

*by*Francisco Blasques & Falk Br�uning & Iman van Lelyveld

**An analysis of the dynamics of efficiency of mutual funds**

*by*Jorge GalÃ¡n & SofÃa B. Ramos & Helena Veiga

**Dynamic conditional score patent count panel data models**

*by*Szabolcs Blazsek & Ãlvaro Escribano

**Inflation forecasting models for Uganda: is mobile money relevant?**

*by*Janine Aron & John Muellbauer & Rachel Sebudde

**Higher-order statistics for DSGE models**

*by*Willi Mutschler

**The Welfare Effects of Endogenous Quality Choice in Cable Television Markets**

*by*Crawford, Gregory S. & Shcherbakov, Oleksandr & Shum, Matthew

**Inflation forecasting models for Uganda: is mobile money relevant?**

*by*Aron, Janine & Muellbauer, John & Sebudde, Rachel

**Growth Econometrics for Agnostics and True Believers**

*by*Rockey, James & Temple, Jonathan

**The Missing Transfers: Estimating Mis-reporting in Dyadic Data**

*by*Comola, Margherita & Fafchamps, Marcel

**Forecasting Inflation using Survey Expectations and Target Inflation: Evidence for Brazil and Turkey**

*by*Altug, Sumru G. & Cakmakli, Cem

**A spectral EM algorithm for dynamic factor models**

*by*Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique

**Austerity in 2009-2013**

*by*Alesina, Alberto F & Barbiero, Omar & Favero, Carlo A. & Giavazzi, Francesco & Paradisi, Matteo

**Determining the Optimal Selling Time of Cattle: A Stochastic Dynamic Programming Approach**

*by*Susana Mejía & Andrés Ramírez Hassan

**Evolución de la relación entre bonos locales y externos del gobierno colombiano frente a choques de riesgo**

*by*Diego Alejandro Martínez Cruz & José Fernando Moreno Gutiérrez & Juan Sebastián Rojas Moreno

**Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del gobierno colombiano**

*by*Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandía & José Fernando Moreno-Gutiérrez

**The Influence of Risk-Taking on Bank Efficiency: Evidence from Colombia**

*by*Miguel Sarmiento & Jorge E. Galán

**The Regime-switching volatility of Euro Area Business Cycles**

*by*Stéphane Lhuissier

**Exports and Capacity Constraints: Evidence for Several Euro Area Countries**

*by*Ansgar Belke & Anne Oeking & Ralph Setzer

**Did US Consumers 'Save for a Rainy Day' Before the Great Recession?**

*by*André Kallåk Anundsen & Ragnar Nymoen

**Exit Dynamics of Start-up Firms: Does Profit Matter?**

*by*Rolf Golombek & Arvid Raknerud

**Estimating the competitive storage model with trending commodity prices**

*by*Christophe Gouel & Nicolas Legrand

**Moment Conditions for AR(1) Panel Data Models with Missing Outcomes**

*by*David Pacini & Frank Windmeijer

**Aid Econometrics: Lessons from a Stochastic Growth Model**

*by*Patrick Carter

**Growth Econometrics for Agnostics and True Believers**

*by*James Rockey & Jonathan Temple

**A Composite Likelihood Framework for Analyzing Singular DSGE Models**

*by*Zhongjun Qu

**Do sovereign rating announcements have an impact on regional stock market co-movements? The case of Central and Eastern Europe**

*by*Ahmet Sensoy & Veysel Eraslan & Mutahhar Erturk

**Dynamic corporate capital structure behavior: empirical assessment in the light of heterogeneity and non stationarity**

*by*M. E. Bontempi & L. Bottazzi & R. Golinelli

**Building a Structural Model: Parameterization and Structurality**

*by*M. Mouchart & R. Orsi

**Caesarean section and the manipulation of exact delivery time**

*by*D. Fabbri & C. Monfardini & I. Castaldini & A. Protonotari

**The role of oil prices and monetary policy in the Norwegian economy since the 1980s**

*by*Q. Farooq Akram & Haroon Mumtaz

**Did US consumers ‘save for a rainy day’ before the Great Recession?**

*by*André K. Anundsen & Ragnar Nymoen

**Bayesian nonparametric calibration and combination of predictive distributions**

*by*Federico Bassetti & Roberto Casarin & Francesco Ravazzolo

**Every cloud has a silver lining. The sovereign crisis and Italian potential output**

*by*Andrea Gerali & Alberto Locarno & Alessandro Notarpietro & Massimiliano Pisani

**Structural reforms and zero lower bound in a monetary union**

*by*Andrea Gerali & Alessandro Notarpietro & Massimiliano Pisani

**The influence of risk-taking on bank efficiency: evidence from Colombia**

*by*Miguel Sarmiento & Jorge E. Galán

**Is the financial sector Luxembourg?s engine of growth?**

*by*Paolo Guarda & Abdelaziz Rouabah

**Eurozona | Evaluando la capacidad predictiva del MIDAS**

*by*Diego Torres Torres

**Choice in the Presence of Experts**

*by*Walter Beckert

**Choice in the Presence of Experts**

*by*Walter Beckert

**Bayesian Model Averaging and Jointness Measures for gretl**

*by*Marcin Blazejowski & Jacek Kwiatkowski

**Maximum Entropy Evaluation of Asymptotic Hedging Error under a Generalised Jump-Diffusion Model**

*by*Farzad Alavi Fard & Firmin Doko Tchatoka & Sivagowry Sriananthakumar

**Estimating Interest Rate Setting Behavior in Korea: A Constrained Ordered Choices Model Approach**

*by*Hyeongwoo Kim & Wen Shi & Kwang-Myoung Hwang

**Rough electricity: a new fractal multi-factor model of electricity spot prices**

*by*Mikkel Bennedsen

**Counting Processes for Retail Default Modeling**

*by*Nicholas M. Kiefer & C. Erik Larson

**Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting**

*by*Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg

**Understanding volatility dynamics in the EU-ETS market**

*by*Maria Eugenia Sanin & Maria Mansanet-Bataller & Francesco Violante

**Weak diffusion limits of dynamic conditional correlation models**

*by*Christian M. Hafner & Sebastien Laurent & Francesco Violante

**Recent Impacts of Selected Development Indicators on Unemployment Rate: Focusing the SEE Countries**

*by*Ksenija Dumicic & Vesna Bucevska & Emina Resic

**Core Inflation Indicators for Saudi Arabia**

*by*Ryadh M. Alkhareif & William A. Barnett

**A Copula-Garch Model For A Proxy Portfolio For Bet-Fi Index**

*by*ACATRINEI, Marius

**Modelling And Predicting The Indirect Taxes In Romania**

*by*SIMIONESCU, Mihaela

**Speculative Bubble Spillovers across Regional Housing Markets**

*by*Ogonna Nneji & Chris Brooks & Charles W. R. Ward

**Model Belirsizliði Altýnda Döviz Kurunun Enflasyona Etkisi**

*by*Dincer Dedeoglu & Huseyin Kaya

**Estimación de modelos multivariados GARCH en los mercados accionarios de China y México**

*by*Francisco Javier Reyes Zárate

**The role of foreign sentiment in small open economy**

*by*Jana JuriovÃ¡

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*by*Rumyantsev, Mikhail I.

**Гибридная Имитационная Модель Отделения Банка Как Системы Массового Обслуживания: Роль Человеческого Фактора**

*by*Rumyantsev, Mikhail I.

**Everything You Always Wanted to Know about Log Periodic Power Laws for Bubble Modelling but Were Afraid to Ask**

*by*Fantazzini, Dean & Geraskin, Petr

**The Link between Output Growth and Output Volatility in Five Crisis-Affected Asian Countries**

*by*Jiranyakul, Komain

**Predicting corporate bankruptcy using a self-organizing map: An empirical study to improve the forecasting horizon of a financial failure model**

*by*du Jardin, Philippe & Séverin, Eric

**Testing for partial exogeneity with weak identification**

*by*Doko Tchatoka, Firmin

**Aging population and public pensions: theory and evidence**

*by*Verbič, Miroslav & Spruk, Rok

**Identifying regime shifts in Indian stock market: A Markov switching approach**

*by*Wasim, Ahmad & Bandi, Kamaiah

**The case for higher frequency inflation expectations**

*by*Guzman, Giselle C.

**Climate change: where is the hockey stick? evidence from millennial-scale reconstructed and updated temperature time series**

*by*Travaglini, Guido

**GMM estimation with noncausal instruments under rational expectations**

*by*Lof, Matthijs

**A predictive multi-agent approach to model systems with linear rational expectations**

*by*Mostafavi, Moeen & Fatehi, Ali-Reza & Shakouri G., Hamed & Von zur Muehlen, Peter

**Simulation of financial institutions activity in transitional economies**

*by*Rumyantsev, Mikhail I.

**The gasoline Industry in European Union and the USA**

*by*Polemis, Michail & Fotis, Panagiotis

**A new method to estimate the risk of financial intermediaries**

*by*Delis, Manthos D & Tsionas, Efthymios

**Efficiency of broadband internet adoption in European Union member states**

*by*Pavlyuk, Dmitry

**A Semigroups Approach to the Study of a Second Order Partial Differential Equation Applied in Economics**

*by*Chilarescu, Constantin & Viasu, Ioana Luciana

**China-Malaysia’s long run trading and exchange rate: complementary or conflicting?**

*by*Chan, Tze-Haw & Hooy, Chee-Wooi

**Relationship between inflation and economic growth in Azerbaijani economy: is there any threshold effect?**

*by*Hasanov, Fakhri

**Interpreting interaction terms in linear and non-linear models: A cautionary tale**

*by*Drichoutis, Andreas

**A structural modeling of exchange rate, prices and interest rates between Malaysia-China in the liberalization era**

*by*Chan, Tze-Haw

**Economic growth and carbon dioxide emissions: Empirical evidence from China**

*by*Halkos, George & Tzeremes, Nickolaos

**Analysing drivers of and barriers to the sustainable development: hidden economy and hidden migration**

*by*Albu, Lucian-Liviu & Ghizdeanu, Ion & Iorgulescu, Raluca

**Gasoline price asymmetries in the Euro Zone**

*by*Polemis, Michail & Fotis, Panagiotis

**What happened to efficiency in electricity industries after reforms?**

*by*Erdogdu, Erkan

**Estimating intertemporal and intratemporal substitutions when both income and substitution effects are present: the role of durable goods**

*by*pakos, michal

**Method of supply chain optimization in E-commerce**

*by*Suchánek, Petr & Bucki, Robert

**Does every stone fall in the same way? new gravity evidence on world trade**

*by*Cunedioglu, Ekrem & Yucel, Eray

**Good versus Bad Political Institutions and Economic Welfare**

*by*Mamoon, Dawood

**A Vector Auto-Regressıve (VAR) Model for the Turkish Financial Markets**

*by*Bayraci, Selcuk & Ari, Yakup & Yildirim, Yavuz

**Gravity and extended gravity: estimating a structural model of export entry**

*by*Morales, Eduardo & Sheu, Gloria & Zahler, Andrés

**Autoregression-Based Estimation of the New Keynesian Phillips Curve**

*by*Lanne, Markku & Luoto, Jani

**The fine structure of spectral properties for random correlation matrices: an application to financial markets**

*by*Livan, Giacomo & Alfarano, Simone & Scalas, Enrico

**The impact of power market reforms on electricity price-cost margins and cross-subsidy levels: a cross country panel data analysis**

*by*Erdogdu, Erkan

**Shadow banking and the dynamics of aggregate leverage: An application of the Kalman filter to cyclical leverage measures**

*by*Christian Calmès & Raymond Théoret

**Konsumausgaben und Aktienmarktentwicklung in Deutschland: Ein kointegriertes vektorautoregressives Modell**

*by*Andreas Nastansky & Hans Gerhard Strohe

**Rövid távú előrejelző modell Magyarországra**

*by*András Balatoni & Tamás Mellár

**A tree-form constant market share model for growth causes in international trade based on multi-level classification**

*by*Yuanhua Feng & Zhichao Guo & Christian Peitz & Xiangyong Tan

**Inflation variability and the relationship between inflation and growth**

*by*Raghbendra Jha & Tu Dang

**Dynamic Conditional Correlation: On properties and estimation**

*by*Gian Piero Aielli

**Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators**

*by*Gian Piero Aielli & Massimiliano Caporin

**An Open-model Forecast-error Taxonomy**

*by*David Hendry & Grayham E. Mizon

**Unpredictability in Economic Analyis, Econometric Modelling and Forecasting**

*by*David Hendry

**Model Selection in Equations with Many 'Small' Effects**

*by*Jennifer Castle & David Hendry

**A Tale of 3 Cities: Model Selection in Over-, Exact, and Under-specified Equations**

*by*Jennifer Castle & David Hendry

**Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations**

*by*Cristina Amado & Timo Teräsvirta

**Modelling Volatility by Variance Decomposition**

*by*Cristina Amado & Timo Teräsvirta

**Estimating Causal Installed-Base Effects: A Bias-Correction Approach**

*by*Sridhar Narayanan & Harikesh S. Nair

**The Empirical Content of Models with Multiple Equilibria in Economies with Social Interactions**

*by*Alberto Bisin & Andrea Moro & Giorgio Topa

**Identifying multiple regimes in the model of credit to households**

*by*Dobromil Serwa

**An Estimatable DCDP Model of Search and Matching in Real Estate Markets**

*by*Stuart J. Fowler & Jennifer J. Wilgus

**Do Policy-Related Shocks Affect Real Exchange Rates? An Empirical Analysis Using Sign Restrictions and a Penalty-Function Approach**

*by*Taya Dumrongrittikul

**Identification in structural VAR models with different volatility regimes**

*by*Emanuele BACCHIOCCHI

**Identification through heteroskedasticity: a likelihood-based approach**

*by*Emanuele BACCHIOCCHI

**Shifting Preferences at the Fed: Evidence from Rolling Dynamic Multipliers and Impulse Response Analysis**

*by*Matthew Greenwood-Nimmo & Youngcheol Shin

**Foreign exchange rates under Markov Regime switching model**

*by*Stéphane GOUTTE & Benteng Zou

**Fixed Exchange Rate Versus Inflation Targeting: Evidence from DSGE Modelling**

*by*Viktors Ajevskis & Kristine Vitola

**Food, Energy and Environment : is Bioenergy the missing link?**

*by*Pavel Ciaian & d'Artis Kancs

**La demande d’assurance contre le risque incendie de forêt: Une analyse empirique sur des propriétaires privés en France**

*by*Marielle Brunette & Stéphane Couture & Serge Garcia

**The Nonexistence of Instrumental Variables**

*by*Stephen Hall & George S. Tavlas & P. A. V. B. Swamy

**The Forward Rate Premium Puzzle: A Resolution?**

*by*Stephen Hall & P. A. V. B. Swamy & George S. Tavlas & Amangeldi Kenjegaliev

**Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments**

*by*Philip Hans Franses & Michael McAleer & Rianne Legerstee

**Use of data on planned contributions and stated beliefs in the measurement of social preferences**

*by*Anna Conte & M. Vittoria Levati

**What Can We Learn from a Cross-Section of Returns? An Investigation of Idiosyncratic Volatility Range**

*by*Serguey Khovansky & Zhylyevskyy, Oleksandr

**Income Asymmetries and the Permanent Income Hypothesis**

*by*Juan Urquiza

**Automated model selection in finance: General-to-speci c modelling of the mean and volatility speci cations**

*by*Alvaro Escribano & Genaro Sucarrat

**Does Globalization Affect Regional Growth? Evidence for NUTS-2 Regions in EU-27**

*by*Polasek, Wolfgang & Sellner, Richard

**Financial Network Systemic Risk Contributions**

*by*Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle

**We develop a sequential trade model of Iceberg order execution in a limit order book. The Iceberg-trader has the freedom to expose his trading intentions or (partially) shield the true order size against other market participants. Order exposure can cause drastic market reactions (â€œmarket impactâ€) in the end leading to higher transaction costs. On the other hand the Iceberg trader faces a loss-in-priority when he hides his intentions, as most electronic limit order books penalize the usage of hidden liquidity. Thus the Iceberg-trader is faced with the problem to find the right trade-off. Our model provides optimal exposure strategies for Iceberg traders in limit order book markets. In particular, we provide a range of analytical statements that are in line with recent empirical findings on the determinants of traderâ€™s exposure strategies. In this framework, we also study the market impact also market impact of limit orders. We provide optimal exposure profiles for a range of hightech stocks from the US S&P500 and how they scale with the state-of-the-book. We finally test the Icebergâ€™s performance against the limit orders and find that Iceberg orders can significantly enhance trade performance by up to 60%**

*by*GÃ¶khan CebiroËœglu & Ulrich Horst

**Optimal Display of Iceberg Orders**

*by*GoÌˆkhan CebirogÌ†lu & Ulrich Horst & &

**Pricing Chinese rain: a multi-site multi-period equilibrium pricing model for rainfall derivatives**

*by*Wolfgang HÃ¤rdle & Maria Osipenko

**Difference based Ridge and Liu type Estimators in Semiparametric Regression Models**

*by*Esra Akdeniz Duran & Wolfgang Karl HÃ¤rdle & Maria Osipenko

**Securitization Rating Performance and Agency Incentives**

*by*Daniel Roesch & Harald Scheule

**Will You Still Want Me Tomorrow? The Dynamics of Families’ Long-Term Care Arrangements**

*by*Bridget Hiedemann & Michelle Sovinsky & Steven Stern

**Will You Still Want Me Tomorrow? The Dynamics of Families' Long-Term Care Arrangements**

*by*Michelle Goeree & Bridget Hiedemann & Steven Stern

**Parameter Identification in a Estimated New Keynesian Open Economy Model**

*by*Adolfson, Malin & Lindé, Jesper

**Models of Truncation, Sample Selection, and Limited Dependent Variables: Suggestions for a Common Language**

*by*Biørn, Erik & R. Wangen, Knut

**Is corporate social responsibility associated with lower wages?**

*by*Nyborg, Karine & Zhang, Tao

**Band Spectrum Regressions using Wavelet Analysis**

*by*Andersson, Fredrik N. G.

**Explaining money demand in China during the transition from a centrally planned to a market-based monetary system**

*by*Delatte, Anne-Laure & Fouquau, Julien & Holz, Carsten A.

**Caste, local networks and lucrative jobs: Evidence from rural Nepal**

*by*Hatlebakk, Magnus & Iversen, Vegard & Torsvik, Gaute

**On the Choice of the Unit Period in Time Series Models**

*by*Peter Fuleky

**On the Choice of the Unit Period in Time Series Models**

*by*Peter Fuleky

**The Effect of Quality Differentials on Integration of the Seaborne Thermal Coal Market**

*by*Jason West

**Long-Dated Agricultural Futures Price Estimates Using the Seasonal Nelson-Siegel Model**

*by*Jason West

**Realised and Optimal Monetary Policy Rules in an Estimated Markov-Switching DSGE Model of the United Kingdom**

*by*Xiaoshan Chen & Ronald MacDonald

**Formula for Manufacturing Profit increase based on Thermodynamic Model**

*by*Michael Louis George

**A self-reported work sampling to assess the Emergency Department’s costs**

*by*Paolo Cremonesi & Enrico di Bella & Marcello Montefiori & Luca Persico

**Multiplicative Error Models**

*by*Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo

**Value at Risk forecasting with the ARMA-GARCH family of models in times of increased volatility**

*by*Milan Rippel & Ivo Jánský

**The Factors of Growth of Small Family Businesses: A Robust Estimation of the Behavioral Consistency in the Panel Data Models**

*by*Vladimír Benáček & Eva Michalíková

**A Cautionary Note on Tests for Overidentifying Restrictions**

*by*Paulo M.D.C. Parente & Joao M.C. Santos Silva

**The Multiscale Causal Dynamics of Foreign Exchange Markets**

*by*Stelios Bekiros & Massimiliano Marcellino

**Nonlinear causality testing with stepwise multivariate filtering**

*by*Stelios Bekiros

**A Framework for Pension Policy Analysis in Ireland: PENMOD, a Dynamic Simulation Model**

*by*Callan, Tim & Van de Ven, Justin

**Performance implications of core and complementary pre-entry experience: The role of consumer heterogeneity in mobile telephony**

*by*JP Eggers & Michal Grajek & Tobias Kretschmer

**Shifting credit standards and the boom and bust in U.S. house prices**

*by*John V. Duca & John Muellbauer & Anthony Murphy

**House prices and credit constraints: making sense of the U.S. experience**

*by*John V. Duca & John Muellbauer & Anthony Murphy

**Portfolio credit risk of default and spread widening**

*by*Hongbiao Zhao

**The non-optimality of the Mexican indirect tax system**

*by*Castañón-Herrera, Alberto & Urzúa, Carlos M.

**Analyzing price level in a booming economy: the case of Azerbaijan**

*by*Hasanov Fakhri

**A SVECM Model of the UK Economy and The Term Premium**

*by*MARDI DUNGEY & M.TUGRUL VEHBI

**Inflation variability and the relationship between inflation and growth**

*by*Raghbendra Jha & Tu Dang

**Land Use Change Impacts of Biofuels: Near-VAR Evidence from the US**

*by*Giuseppe Piroli & Pavel Ciaian & d'Artis Kancs

**Volatility Activity: Specification and Estimation**

*by*Viktor Todorov & George Tauchen & Iaryna Grynkiv

**Levy Process Models for High Frequency Financial Data**

*by*George Tauchen

**Inverse Realized Laplace Transforms for Nonparametric Volatility Estimation in Jump-Diffusions**

*by*Viktor Todorov & George Tauchen

**The Chinese Impact on GDP Growth and Inflation in the Industrial Countries**

*by*Christian Dreger & Yanqun Zhang

**The Shadow Economy in OECD Countries: Panel-Data Evidence**

*by*Konstantin A. Kholodilin & Ulrich Thießen

**Pairing market risk with credit risk**

*by*Isabel Figuerola-Ferretti & Ioannis Paraskevopoulos

**Structural Vector Autoregressions**

*by*Kilian, Lutz

**Shifting Credit Standards and the Boom and Bust in US House Prices**

*by*Duca, John V & Muellbauer, John & Murphy, Anthony

**House Prices and Credit Constraints: Making Sense of the US Experience**

*by*Duca, John V & Muellbauer, John & Murphy, Anthony

**Heterogeneidad en la fijación de precios en Colombia: análisis de sus determinantes a partir de modelos de conteo**

*by*Martha Misas A. & Juan Carlos Parra A. & Enrique López E.

**¿Otra vez? Una sencilla visión de la convergencia económica en los departamentos de Colombia: 1975-2005**

*by*Nestor Iván González-Quintero

**Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility**

*by*Jean-Marie Dufour & René Garcia & Abderrahim Taamouti

**Estimating the Volatility of Electricity Prices: The Case of the England and Wales Wholesale Electricity Market**

*by*Sherzod N. Tashpulatov

**House Prices and Credit Constraints: Making Sense of the U.S. Experience**

*by*John V. Duca & John Muellbauer & Anthony Murphy

**Shifting Credit Standards and the Boom and Bust in U.S. House Prices**

*by*John V. Duca & John Muellbauer & Anthony Murphy

**Almost Unbiased Estimation in Simultaneous Equations Models with Strong and / or Weak Instruments**

*by*Iglesias, Emma M. & Phillips, Garry D.A.

**Tests for Convergence Clubs**

*by*Corrado, L. & Weeks, M.

**The strengths and failures of incentive mechanisms in notional defined contribution pension systems**

*by*A. Marano & C. Mazzaferro & M. Morciano

**An estimated DSGE model: explaining variation in term premia**

*by*Andreasen, Martin

**An efficient minimum distance estimator for DSGE models**

*by*Theodoridis, Konstantinos

**Structural Breaks and Dynamic Characteristics of Inflation and Growth Rates of Monetary Aggregates**

*by*Igor Pelipas

**Competition among Spatially Differentiated Firms: An Estimator with an Application to Cement**

*by*Matthew J Osborne & Nathan H. Miller

**Time-series Modelling, Stationarity and Bayesian Nonparametric Methods**

*by*Juan Carlos Martínez-Ovando & Stephen G. Walker

**Updating the Option Implied Probability of Default Methodology**

*by*Johannes Vilsmeier

**Consistent Dynamic Affine Mortality Model for Longevity Risk Applications**

*by*Craig Blackburn & Michael Sherris

**Parametric Inference and Dynamic State Recovery from Option Panels**

*by*Torben G. Andersen & Nicola Fusari & Viktor Todorov

**Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability**

*by*Tim Bollerslev & Daniela Osterrieder & Natalia Sizova & George Tauchen

**Conservatism in Corporate Valuation**

*by*Christian Bach

**Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns**

*by*Rasmus Tangsgaard Varneskov & Pierre Perron

**Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations**

*by*Cristina Amado & Timo Teräsvirta

**Prediction-based estimating functions: review and new developments**

*by*Michael Sørensen

**Modelling Volatility by Variance Decomposition**

*by*Cristina Amado & Timo Teräsvirta

**A Semigroups Approach to the Study of a Second Order Partial Diferential Equation Applied in Economics**

*by*Ioana VIASU & Constantin CHILARESCU

**Potential for Tradable Water Allocation and Rights in Jordan**

*by*Carlos E. Carpio, & Octavio A. Ramirez, & Tullaya Boonsaeng

**Environmental and Production Cost Impacts of No-till in Finland: Estimates from Observed Behavior**

*by*Marita Laukkanen & Céline Nauges

**Method Of Supply Chain Optimization In E-Commerce**

*by*Petr SUCHÃNEK & Robert BUCKI

**Alleviating extreme poverty in Chile: the short term effects of Chile Solidario**

*by*Emanuela Galasso

**Gorunmez Ama Hissedilmez Degil : Turkiye'de Cikti Acigi**

*by*Fethi Ogunc & Cagri Sarikaya

**Macroeconomic Analysis Of Corruption Among Developing Countries**

*by*James P. Gander

**Pitfalls in Higher Order Model Extensions of Basic Spatial Regression Methodology**

*by*LeSage, James P. & Pace, Robert Kelley

**Possible Evolutions of Investment Rate – Error Correction Models Scenarios**

*by*Scutaru, Cornelia

**Análisis de la sustitución de fuentes energéticas en Bolivia**

*by*Aliaga, Javier & Capríles, Alejandro

**Influence of regional factors on expansion of retail chains in the Russian Federation**

*by*Balashova, Svetlana & Zueva, Olga

**Analysis of two main university rankings**

*by*Varshavsky, Alexander & Komkina, Tatiana

**Uncertainty of USA GDP Forecasts Determined by The Variables Aggregation**

*by*Mihaela Bratu

**Futures hedging: Multivariate GARCH with dynamic conditional correlations (in Russian)**

*by*Alexei Kolokolov

**Modeling multivariate parametric densities of financial returns (in Russian)**

*by*Alexey Balaev

**Modelling Fuel Prices. An I(1) Analysis**

*by*Katarzyna Leszkiewicz-Kędzior

**Bayesian Variations on the Frisch and Waugh Theme**

*by*Jacek Osiewalski

**Extent of the Integrated State Ownership and Effect of the State Control on Performance of Czech Firms**

*by*Jan Hanousek & Evžen Kočenda

**Yield Curve Dynamics - Regional Common Factor Model**

*by*Boril Šopov & Jakub Seidler

**Application of FIGARCH and EWMA Models on Stock Indices PX and BUX**

*by*Zdeněk Štolc

**Growth and Financing Behaviour of Firms of Textile Industry in Pakistan: A Panel Data Analysis**

*by*Ijaz Hussain

**Estimation of import and export demand functions using bilateral trade data: The case of Pakistan**

*by*Jahanzaib Haider & Muhammad Afzal & Farah Riaz

**Growth effect of aid and its volatility: An individual country study in South Asian economies**

*by*Vesna Bucevska

**A Multiple Regression Model for Country Risk Assessment for European Countries**

*by*Danciu Aniela-Raluca & Goschin Zizi

**Considerations on the Rationale and Approach of Decision Science**

*by*Popescu Oana Catalina

**Ifrs Compliance Regarding Information Disclosed By Companies In Consolidated Financial Statements - Case Study On Ias 23 Borrowing Costs Applicability-**

*by*Tiron - Tudor Adriana & Fekete Szilvester & Dragu Ioana - Maria

**The Relationship Between Macroeconomic Variables And Romanian Corporate Default Rates Between 2002-2008**

*by*Kovacs Ildiko & Karsai Zoltan-Krisztian & Suveg Orsolya & Joita Nicoleta

**Experience in Developing Early Warning System for Financial Crises and the Forecast of Russian Banking Sector Dynamic in 2012**

*by*Solntsev, O. & Mamonov, M. & Pestova, A. & Magomedova, Z.

**Structure of the Forward-Looking Model of the Japanese Economy and Simulation Results**

*by*Daisuke Ishikawa & Nobutoshi Kitaura & Junji Ueda & Shintaro Nakagawa

**The Logistic Principles for Fast Flexible Strategy Design of the Company in Crisis Time**

*by*Dusan Malindzak & Jaroslav Mervart & Radim Lenort

**A Non-Parametric Robust Estimation of the Box-Cox Transformation for Regression Models**

*by*Elkin Castaño

**Habits and Preferences for Sports and Recreation in Medellín: An Application of Logit Models**

*by*David Tobón & Germán Valencia & John Bedoya

**Output Maximization Subject to a Nonlinear Constraint**

*by*Jamal NazrulIslam & Haradhan Kumar Mohajan & Pahlaj Moolio

**A villamos energia áralakulásának egy új modellje**

*by*Marossy, Zita

**Combining Survey Forecasts and Time Series Models: The Case of the Euribor**

*by*Fabian Krueger & Frieder Mokinski & Winfried Pohlmeier

**Who Drives Whom? Mutual Funds VS Stock Market**

*by*Zahid Irshad Younas & Wasif Siddiqi

**Kukla Degiskenlerin T Istatistigi ile Aykiri Gozlemler Tespit Edilemez**

*by*Arzdar KIRACI

**Yariparametrik Kismi Dogrusal Panel Veri Modelleriyle Uluslararasý Goc**

*by*Atif Evren & Elif Tuna

**Evolución de la población inmigrante en Ecuador**

*by*Patricia Cortez & Paúl Medina

**Potencia Operativa de los Negocios en función de la estructura de inversiones y financiación: caso ecuatoriano**

*by*Andrés Galvis

**Portafolio de consumo: problema de Merton**

*by*Eduardo Cepeda

**Fecundidad en el Ecuador y su relación con el entorno social y evolutivo**

*by*Cintya Lanchimba & Paúl Medina

**Technical Efficiency Estimation via Metafrontier Technique with Factors that Affect Supply Chain Operations**

*by*Ibrahim Mosaad El-Atroush & Gabriel Montes-Rojas

**The Relationship between Volatility and Expected Returns: Some Evidence for Australia**

*by*Ali F. Darrat & Bin Li & Omar Benkato

**Modelos mixtos generalizados para el estudio del desempleo en los grandes aglomerados urbanos de Argentina**

*by*Fernando García & Margarita Díaz

**Percepción Empresarial De La Mejora Del Enlace Ferroviario Vigo-Oporto Y Modelización De La Elección Modal / Managerial Perception Of The Improvement Of Railway Connection Vigo-Oporto And Modelling Of The Modal Election**

*by*Sánchez Sellero, Francisco Javier & Cruz González, Mª Montserrat

**Dynamic Copulas and Long Range Dependence**

*by*Beatriz Vaz de Melo Mendes, Silvia Regina Costa Lopes

**China¡¯s Banking System, Market Structure, and Competitive Conditions**

*by*Omar Masood & Bruno S. Sergi

**An Empirical Small Labor Market Model for the Czech Economy**

*by*Jan Brùha

**Turismo e territorio: un'analisi sulle presenze nelle province italiane nel periodo 1997-2007**

*by*Roberto Gismondi

**Copula based models for serial dependence**

*by*Beatriz Vaz de Melo Mendes & Cecília Aíube

**The investigation on the relationship between the problem of long-term loan and economic growth**

*by*Wenjie Du

**Dividends and tunneling: evidence from family firms in China**

*by*Feng Xu'nan

**Growth and environmental pollution: empirical evidence from China**

*by*George E. Halkos & Nickolaos G. Tzeremes

**Makroekonomski model Republike Hrvatske ( SSEM1) i mogući pravci izlaska iz krize**

*by*Marinko Škare & Saša Stjepanović

**An empirical model for Japan’s business fixed investment**

*by*Kurita, Takamitsu

**Functional data analysis for volatility**

*by*Müller, Hans-Georg & Sen, Rituparna & Stadtmüller, Ulrich

**Structural models, information and inherited restrictions**

*by*Lady, George M. & Buck, Andrew J.

**Uncertainty in the public debt market and stochastic long-run growth**

*by*Tsintzos, Panagiotis & Dergiades, Theologos

**Home bias and the persistence of real exchange rates**

*by*Chen, Show-Lin & Wu, Jyh-Lin

**Subjective model selection rules versus passive model selection rules**

*by*Ryu, Hang Keun

**Macro-econometric modelling for the Nigerian economy: A growth–poverty gap analysis**

*by*Akanbi, Olusegun A. & Du Toit, Charlotte B.

**Optimal monetary policy reaction function in a model with target zones and asymmetric preferences for South Africa**

*by*Naraidoo, Ruthira & Raputsoane, Leroi

**A New Keynesian SVAR model of the Australian economy**

*by*Leu, Shawn Chen-Yu

**A macroeconometric framework for monetary policy evaluation: A case study of Pakistan**

*by*Hassan, Rubina & Shahzad, Mirza Muhammad

**Royalty Rate Structure in Case of Franchising**

*by*Ivan Kotliarov

**Una estimación no paramétrica y robusta de la transformación Box-Cox para el modelo de regresión**

*by*Castaño Vélez, Elkin

**Hábitos y preferencias por recreación y deporte en Medellín: Una aplicación de modelos logísticos**

*by*Valencia, Germán Dario & Tobón Orozco, David & Bedoya Marulanda, John Fredy

**Viewpoint: An extended class of instrumental variables for the estimation of causal effects**

*by*Karim Chalak & Halbert White

**The impact of nonlinearities for carbon markets analyses**

*by*Julien Chevallier

**L'impact des fondamentaux macroéconomiques sur les spreads souverains de la zone euro est-il influencé par les réformes financières ?**

*by*Olivier Damette & Gilles Dufrénot & Philippe Frouté

**Le coût du bonus/malus écologique. Que pouvait-on prédire ?**

*by*Xavier D’Haultfœuille & Isis Durrmeyer & Philippe Février

**Riesgo macroeconómico y bolivianización: Un análisis de cointegración con un portafolio dinámico no estacionario de mínima varianza**

*by*Rolando Manuel Gonzáles Martínez

**Taylor Rule Revisited: from an Econometric Point of View**

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**Evolutions Of Remittance Flow During The Economic-Financial Crisis**

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**Sparse High-Dimensional Models in Economics**

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**The Assessement Of Uncertainty In Predictions Determined By The Variables Aggregation**

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**Barriers In The Mathematical Modelling Of Decision-Making**

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**Determinants Of Corruption In Romania And Its Impact On Economic Growth**

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**Gaps Identified In Econometric Models For Cost Of Capital Estimation Already Built**

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**Sign Restrictions in Structural Vector Autoregressions: A Critical Review**

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**Estimating the Market-Perceived Monetary Policy Rule**

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**Professional Forecasters' View of Permanent and Transitory Shocks to GDP**

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**Modeling And Forecasting The Exchange Rate In Romania**

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**Approach to the Organisational Complexity in Terms of Network and Intellectual Capital Concepts**

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**Some aspects of the translog production function estimation**

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**Fiscal Regime Changes and the Sustainability of Fiscal Imbalance in South Africa: A Smooth Transition Error-Correction Approach**

*by*Samuel S Jibao & Niek Schoeman & Ruthira Naraidoo

**Nonlinear Tax Elasticities And Their Implications For The Structural Budget Balance**

*by*Charl Jooste & Ruthira Naraidoo

**Forecasting Monetary Rules in South Africa**

*by*Ruthira Naraidoo & Ivan Paya

**Financial asset prices, linear and nonlinear policy rules. An In-sample assessment of the reaction function of the South African Reserve Bank**

*by*Ruthira Naraidoo & Kasai Ndahiriwe

**Zone targeting monetary policy preferences and financial market conditions: a flexible nonlinear policy reaction function of the SARB monetary policy**

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**Optimal monetary policy reaction function in a model with target zones and asymmetric preferences for South Africa**

*by*Ruthira Naraidoo & Leroi Raputsoane

**A comparative analysis of the ARMA and Neural Network Models: A case of Turkish economy**

*by*Aysu İNSEL & M. Nedim SUALP & Mesut KARAKAŞ

**Estimation of Technical Inefficiency in Production Frontier Models Using Cross-Sectional Data**

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**Testing Nonlinear New Economic Geography Models**

*by*Bode, Eckhardt & Mutl, Jan

**Valuation is fuzzy: Integration qualitativer Risiken ins stochastische Bewertungsmodell mit Hilfe der Fuzzy-Set Theorie**

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**Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes**

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**Toward a Taylor rule for fiscal policy**

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**Modelling dependence in a ratemaking procedure with multivariate Poisson regression models**

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**Estimating treatment effectiveness with sample selection**

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**A Threshold Stochastic Volatility Model with Realized Volatility**

*by*Dinghai Xu

**Empirical Evidence of the Leverage Effect in a Stochastic Volatility Model: A Realized Volatility Approach**

*by*Dinghai Xu & Yuying Li

**Modeling Asymmetric Volatility Clusters Using Copulas and High Frequency Data**

*by*Cathy Ning & Dinghai Xu & Tony Wirjanto

**An Assessment of the Benefits of Cleaner Streams: A New Zealand Case Study**

*by*Dan Marsh & Lena Mkwara

**An Assessment of the Benefits of Cleaner Streams: A New Zealand Case Study**

*by*Dan Marsh & Lena Mkwara

**Does Respondent Perception of the Status Quo Matter in Non-Market Valuation with Choice Experiments? An Application to New Zealand Freshwater Streams**

*by*Dan Marsh & Lena Mkwara & Riccardo Scarpa

**Does Respondent Perception of the Status Quo Matter in Non-Market Valuation with Choice Experiments? An Application to New Zealand Freshwater Streams**

*by*Dan Marsh & Lena Mkwara & Riccardo Scarpa

**Un modelo estructural pequeño para la economía uruguaya**

*by*Diego Gianelli

**Intergenerational Educational Mobility: evidence from three approaches for Brazil,Chile, Uruguay and the USA (1995-2006)**

*by*Graciela Sanromán

**Endogeneity and Instrumental Variables in Dynamic Models**

*by*Florens, Jean-Pierre & Simon, Guillaume

**Components of bull and bear markets: bull corrections and bear rallies**

*by*John M Maheu & Thomas H McCurdy & Yong Song

**A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations**

*by*Drew Creal & Siem Jan Koopman & Andr� Lucas

**Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production**

*by*Charles S. Bos & Siem Jan Koopman

**Detecting Contagion with Correlation: Volatility and Timing Matter**

*by*Dungey, Mardi & Yalama, Abdullah

**MUSE: Monetary Union and Slovak Economy model**

*by*Matus Senaj & Milan Vyskrabka & Juraj Zeman

**Oil dependency of the Russian economy: an econometric analysis**

*by*Andreas Benedictow & Daniel Fjærtoft & Ole Løfsnæs

**Wealth effects on consumption in financial crises: the case of Norway**

*by*Eilev S. Jansen

**Multivariate stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes: A quasi-likelihood approach**

*by*Arvid Raknerud & Øivind Skare

**An Empirically Validated Framework for Limiting Free-Riding in P2P Networks Through the Use of Social Network Information**

*by*Fatmawati Zifa & Jorn Altmann

**Determinants of Participation in Global Volunteer Grids: A Cross-Country Analysis**

*by*Junseok Hwang & Jorn Altmann & Ashraf Bany Mohammed

**The GridEcon Platform: A Business Scenario Testbed for Commercial Cloud Services**

*by*Marcel Risch & Jorn Altmann & Li Guo & Alan Fleming & Costas Courcoubetis

**Real-time Optimal Monetary Policy with Undistinguishable Model Parameters and Shock Processes Uncertainty**

*by*Alessandro Flamini & Costas Milas

**Forecasting Monetary Policy Rules in South Africa**

*by*Ruthira Naraidoo & Ivan Paya

**Do Government Deficits Crowd Out Consumer And Investment Spending?**

*by*John J. Heim

**Consideratii privind eficienta adaugării unei noi variabile explicative intr-un model de regresie liniara**

*by*Pavelescu, Florin Marius

**Financial Stability and Monetary Policy**

*by*Christopher Martin & Costas Milas

**Endogenizing Model Risk to Quantile Estimates**

*by*Carol Alexander & Jose Maria Sarabia

**American Option Valuation: Implied Calibration of GARCH Pricing-Models**

*by*Michael Weber & Marcel Prokopczuk

**Redes neuronales para predecir el tipo de cambio diario**

*by*Barrera, Carlos R.

**Unconditional Quantile Regression for Panel Data with Exogenous or Endogenous Regressors**

*by*David Powell

**Simple econometric models for short term production choices in cropping systems**

*by*Alain Carpentier & Elodie Letort

**Sign Restrictions in Structural Vector Autoregressions: A Critical Review**

*by*Renee Fry & Adrian Pagan

**The Credit Channel and Monetary Transmission in Brazil and Chile: A Structured VAR Approach**

*by*Luis CatÃ£o & Adrian Pagan

**Long-term Nexus of Industrial Pollution and Income in China**

*by*Duo Qin

**Evaluating the strength of identification in DSGE models. An a priori approach**

*by*Nikolay Iskrev

**Forecasting Inflation (and the Business Cycle?) with Monetary Aggregates**

*by*João Valle e Azevedo & Ana Pereira

**Calendar Effects in Daily ATM Withdrawals**

*by*Paulo Soares Esteves & Paulo M.M. Rodrigues

**The Role of the Fiscal Policy in the Development of the Non-Resource**

*by*Hasanov, Fakhri & Mammadov, Fuad

**Asymmetries of the Exchange Rate Pass Through to Domestic Prices: The Case of Costa Rica**

*by*Esquivel Monge, Manfred & Gomez Rodriguez, Jose Fabio

**هل تؤثر الأزمة المالية العالمية في الاقتصاد السعودي؟ تلحيل عبر نموذج التقهقر الذاتي البنيوي**

*by*Ghassan, Hassan B. & Taher, Farid B. & AlDehailan, Salman

**الارتباط الحركي بين الاستثمار في مؤسسات القطاع الحكومي والاستثمار الخاص عبر نموذج التقهقر الذاتي البنيوي: حالة الاقتصاد السعودي**

*by*Ghassan, Hassan & Alhajhoj, Hassan

**К Вопросу Оценки Адекватности Имитационных Моделей Банковских Бизнес-Процессов**

*by*Rumyantsev, Mikhail I.

**Volatility Spillover in India, USA and Japan Investigation of Recession Effects**

*by*Sinha, Pankaj & Sinha, Gyanesh

**Identification and Estimation of a Discrete Game by Observing its Correlated Equilibria**

*by*Wang, Yafeng & Graham, Brett

**Predicting bankruptcy using neural networks and other classification methods: the influence of variable selection techniques on model accuracy**

*by*du Jardin, Philippe

**An Analysis on Technical Efficiency in Post-reform China**

*by*Zhou, Xianbo & Li, Kui-Wai & Li, Qin

**The effects of state budget cuts on employment and income**

*by*Clemens, Jeffrey & Miran, Stephen

**The impact of the global economic crisis on non-oil operations of ports in Iran**

*by*Ahmadzadeh Mashinchi, Sina

**Generalized class of composite method of estimation for crop acreage in small domain**

*by*Pandey, Krishan & Tikkiwal, G.C.

**An inflation expectations horserace**

*by*Guzman, Giselle C.

**Determinantes da pirataria informática na União Europeia a 27, e análise das perdas**

*by*Dias Gomes, Nicolas

**Short run and long run dynamics of residential electricity consumption: Homogeneous and heterogeneous panel estimations for OECD**

*by*Bilgili, Faik & Pamuk, Yalçın & Halıcı Tülüce, Nadide Sevil

**Scenarios for post-crisis period based on a set of presumed changes in the interest rate – investment – GDP growth relationship**

*by*Albu, Lucian-Liviu

**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**

*by*Ko, Byoung Wook

**Analiza HR indeksa u finansijskom sektoru Srbije**

*by*Zubović, Jovan & Jeločnik, Marko & Subić, Jonel

**Modelarea Deciziei De Remitere A Emigranţilor Est Europeni**

*by*Roman, Monica & Ileanu, Bogdan

**Threshold GARCH modeling of the inflation & inflation uncertainty relationship: historical evidence from the Turkish economy**

*by*Korap, Levent

**Social protection and economic growth in the Sudan: Trends, perspectives, cointegration and causality**

*by*Mohamed Hassan, Hisham

**Classification of competitiveness types using copula**

*by*Mereuta, Cezar & Albu, Lucian liviu & Ciuiu, Daniel

**Power Spot Price Models with negative Prices**

*by*Schneider, Stefan & Schneider, Stefan

**Comercialização de Produtos Agropecuários em Alagoas: Um Estudo de Margem de Comercialização e Transmissão de Preços**

*by*Jeferson da Conceição Silva, José & Maia Gomes Lages, André

**Continuous Modeling of Foreign Exchange Rate of USD versus TRY**

*by*Ari, Yakup & Unal, Gazanfer

**Impactul modificării ratei dobânzii asupra cursului de schimb în România**

*by*Ghiba, Nicolae

**Forecasting model of small scale industrial sector of West Bengal**

*by*Bera, Soumitra Kumar

**Continuous time modeling of interest rates: An empirical study on the Turkish short rate**

*by*Bayraci, Selcuk & UNAL, GAZANFER

**A monthly indicator of employment in the euro area: real time analysis of indirect estimates**

*by*Moauro, Filippo

**Construction industry forecasting system dynamic model**

*by*Skribans, Valerijs

**Electricity Market Reform: Lessons for developing countries**

*by*Erdogdu, Erkan

**Improving Portfolio Optimization by DCC And DECO GARCH: Evidence from Istanbul Stock Exchange**

*by*Yilmaz, Tolgahan

**Investments model development with the system dynamic method**

*by*Skribans, Valerijs

**OPEC and political considerations when deciding on oil extraction**

*by*Kisswani, Khalid

**Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices**

*by*Weron, Rafal & Janczura, Joanna

**Explaining the Effects of Government Spending Shocks**

*by*Zubairy, Sarah

**Tramsission de la politique monétaire: le cas des pays de la CEMAC**

*by*MEZUI-MBENG, Pamphile

**Modeling And Forecasting Imported Japanese Parts Content Of US Transplants: An Error Correction And State Space Approach**

*by*Cadogan, Godfrey

**Regional Tourism Competition in the Baltic States: a Spatial Stochastic Frontier Approach**

*by*Pavlyuk, Dmitry

**Provision of an environmental output within a multi-output distance function approach**

*by*Areal, Francisco J & Tiffin, Richard & Balcombe, Kelvin

**Spatial Competition and Cooperation Effects on European Airports' Efficiency**

*by*Pavlyuk, Dmitry

**Determinants of Suicides in Denmark: Evidence from Time Series Data**

*by*Halicioglu, Ferda & Andrés, Antonio R.

**Integrating spatial dependence into stochastic frontier analysis**

*by*Areal, Francisco J & Balcombe, Kelvin & Tiffin, R

**The relationship between inflation, output growth, and their uncertainties: Evidence from selected CEE countries**

*by*Hasanov, Mübariz & Omay, Tolga

**Effects of education on economic growth:Evidence from Guatemala**

*by*Loening, Josef & Rao, B. Bhaskara & Singh, Rup

**Dynamic Econometric Testing of Climate Change and of its Causes**

*by*Travaglini, Guido

**Modeling the fraud-like investment founds by Petri nets**

*by*Ciuiu, Daniel

**Canonical Representation Of Option Prices and Greeks with Implications for Market Timing**

*by*Cadogan, Godfrey

**Regression Anatomy, Revealed**

*by*Filoso, Valerio

**Multi-Outcome Lotteries: Prospect Theory vs. Relative Utility**

*by*Kontek, Krzysztof

**Efficient Bayesian estimation and combination of GARCH-type models**

*by*Ardia, David & Hoogerheide, Lennart F.

**Estimation of Peaked Densities Over the Interval [0,1] Using Two-Sided Power Distribution: Application to Lottery Experiments**

*by*Kontek, Krzysztof

**Density Based Regression for Inhomogeneous Data: Application to Lottery Experiments**

*by*Kontek, Krzysztof

**Модель Жилищного Строительства В Постсоциалистических Странах На Примере Латвии**

*by*Skribans, Valerijs

**Volatility Spillover in India, USA and Japan Investigation of Recession Effects**

*by*Sinha, Pankaj & Sinha, Gyanesh

**Mean, Median or Mode? A Striking Conclusion From Lottery Experiments**

*by*Kontek, Krzysztof

**Forecasts with single-equation Markov-switching model: an application to the gross domestic product of Latvia**

*by*Bušs, Ginters

**Alternative Pricing Mechanisms for Islamic Financial Instruments: Economic Perspective**

*by*Saba, Irum & Alsayyed, Nidal

**An empirical comparison of alternate regime-switching models or electricity spot prices**

*by*Janczura, Joanna & Weron, Rafal

**Time-varying spot and futures oil price dynamics**

*by*Guglielmo Caporale & Davide Ciferri & Alessandro Girardi

**Identification and Estimation of Games with Incomplete Information Using Excluded Regressors, Second Version**

*by*Arthur Lewbel & Xun Tang

**Information and Corruption: The National Rural Employment Guarantee Scheme in India**

*by*Shylashri Shankar & Raghav Gaiha & Raghbendra Jha

**Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options**

*by*Massimiliano Caporin & Juliusz Pres' & Hipolit Torro

**Sticky Information and Inflation Persistence: Evidence from U.S. Data**

*by*Benedetto Molinari

**Are Gifts and Loans between Households Voluntary?**

*by*Marcel Fafchamps & Margherita Comola

**Testing the Invariance of Expectations Models of Inflation**

*by*David Hendry & Jennifer L. Castle & Jurgen A. Doornik

**Model Selection in Under-specified Equations Facing Breaks**

*by*David Hendry & Jennifer L. Castle

**Modelling and Forecasting UK Mortgage Arrears and Possessions**

*by*Janine Aron & John Muellbauer

**Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts**

*by*David Hendry & Michael P. Clements

**An Automatic Test of Super Exogeneity**

*by*David Hendry & Carlos Santos

**Econometric Modelling of Changing Time Series**

*by*David Hendry & Grayham E. Mizon

**Evaluating Automatic Model Selection**

*by*Jennifer Castle & David Hendry & Jurgen A. Doornik

**Automatic Selection for Non-linear Models**

*by*Jennifer Castle & David Hendry

**A Low-Dimension Portmanteau Test for Non-linearity**

*by*Jennifer Castle & David Hendry

**Monetary Policy, Inflation and Unemployment**

*by*Nicolas Groshenny

**On the Correlation Structure of Microstructure Noise: A Financial Economic Approach**

*by*Francis X. Diebold & Georg Strasser

**Econometric Measures of Systemic Risk in the Finance and Insurance Sectors**

*by*Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon

**The Credibility Revolution in Empirical Economics: How Better Research Design is Taking the Con out of Econometrics**

*by*Joshua Angrist & Jörn-Steffen Pischke

**Spatial Propagation of Macroeconomic Shocks in Europe**

*by*Romain Houssa

**Testing for Contagion: a Time-Scale Decomposition**

*by*Andrea Cipollini & Iolanda Lo Cascio

**Identification through heteroskedasticity in a likelihood-based approach: some theoretical results**

*by*Emanuele BACCHIOCCHI

**What Explains Nominal Exchange Rate Volatility? Evidence from the Latin American Countries**

*by*Maria Grydaki & Stilianos Fountas

**What Explains Output Volatility? Evidence from the G3**

*by*Maria Grydaki & Stilianos Fountas

**Empirical Methods in the Analysis of Collusion**

*by*Johannes Paha &

**Simulation and Prosecution of a Cartel with Endogenous Cartel Formation**

*by*Johannes Paha

**Konstruktion und Anwendung von Copulas in der Finanzwirtschaft**

*by*Stefan Hlawatsch & Peter Reichling

**Taxation Reforms: a CGE-Microsimulation Analysis for Pakistan**

*by*Saira Ahmed & Vagar Ahmed & Ahsan Abbas

**On the Forecasting Accuracy of Multivariate GARCH Models**

*by*Sébastien Laurent & Jeroen V.K. Rombouts & Francesco Violante

**Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies**

*by*Shawkat M. Hammoudeh & Yuan Yuan & Michael McAleer

**Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH**

*by*Massimiliano Caporin & Michael McAleer

**Nonlinear Interest Rate Reaction Functions for the UK**

*by*Ralf Brüggemann & Jana Riedel

**The Impact of Truancy on Educational Attainment: A Bivariate Ordered Probit Estimator with Mixed Effects**

*by*Franz Buscha & Anna Conte

**The econometric modeling of social Preferences**

*by*Anna Conte & Peter G. Moffatt

**The interaction of minimum wage and severance payments in a frictional labor market: theory and estimation**

*by*Carolina Silva Cassorla

**Shifting Preferences at the Fed: Evidence from Rolling Dynamic Multipliers and Impulse Response Analysis**

*by*Matthew Greenwood-Nimmo & Yongcheol Shin

**Testing Nonlinear New Economic Geography Models**

*by*Bode, Eckhardt & Mutl, Jan

**Endogeneity and Instrumental Variables in Dynamic Models**

*by*Florens, Jean-Pierre & Simon, Guillaume

**Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes**

*by*Nikolaus Hautsch & Peter Malec & Melanie Schienle

**Modeling Conditional Densities Using Finite Smooth Mixtures**

*by*Li, Feng & Villani, Mattias & Kohn, Robert

**Testing the Invariance of Expectations Models of Inflation**

*by*Nymoen, Ragnar & L. Castle, Jennifer & A. Doornik, Jurgen & F. Hendry, David

**Linear and Non-linear Causality Test in a LSTAR model - wavelet decomposition in a non-linear environment**

*by*Li, Yushu & Shukur, Ghazi

**Commercial and industrial water demand estimation: Theoretical and methodological guidelines for applied economics research**

*by*Andrew C. Worthington

**A New Solution to Time Series Inference in Spurious Regression Problems**

*by*Hrishikesh D. Vinod

**Testing the Effect of a Short Cheap Talk Script in Choice Experiments**

*by*Jacob Ladenburg & Jens Olav Dahlgaard & Ole Bonnichsen

**Jointness through fishing days input in a multi-species Fishery**

*by*Lars Gårn Hansen & Carsten Lynge Jensen

**Reducing Status Quo Bias in Choice Experiments – An Application of a Protest Reduction Entreaty**

*by*Ole Bonnichsen & Jacob Ladenburg

**Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets**

*by*Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas

**A Time-varying Mixing Multiplicative Error Model for Realized Volatility Abstract: In this paper we model the dynamics of realized volatility as a Multiplicative Error Model with a mixture of distributions for the innovation term with time-varying mixing weights forced by past behavior of volatility. The mixture considers innovations as a source of time-varying volatility of volatility and is able to capture the right tail behavior of the distribution of volatility. The empirical results show that there is no substantial difference in the one-step ahead conditional expectations obtained according to various mixing schemes but that fixity of mixing weights may be a binding constraint in deriving accurate quantiles of the predicted distribution**

*by*Giovanni De Luca & Giampiero Gallo

**Quantifying the Benefits of Multifuel Cars: An Application of Random-Coefficients Logit Model**

*by*Cláudio Ribeiro de Lucinda

**Yield Curve Dynamics: Regional Common Factor Model**

*by*Boril Šopov & Jakub Seidler

**The Methodologies of Neuroeconomics**

*by*Glenn Harrison & Don Ross

**How to close the productivity gap between the US and Europe: A quantitative assessment using a semi-endogenous growth model**

*by*Werner Roeger & Janos Varga & Jan in 't Veld

**Using a DSGE model to look at the recent boom-bust cycle in the US**

*by*Marco Ratto & Werner Roeger & Jan in 't Veld

**Spatial propagation of macroeconomic shocks in Europe**

*by*Hans DEWACHTER & Romain HOUSSA & Priscilla TOFFANO

**Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH**

*by*Caporin, M. & McAleer, M.J.

**Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies**

*by*Hammoudeh, S.M. & Yuan, Y. & McAleer, M.J.

**Evaluating Macroeconomic Forecast: A Review of Some Recent Developments**

*by*Franses, Ph.H.B.F. & McAleer, M.J. & Legerstee, R.

**Trade Flows and Volatility of Their Fundamentals: Some Evidence from Mexico**

*by*Rodolfo Cermeño & Bjamin S. Jensen & Huver Rivera

**Modelling and forecasting UK mortgage arrears and possessions**

*by*Janine Aron & John Muellbauer

**Cointegration, long-run structural modelling and weak exogeneity: Two models of the UK economy**

*by*Jan PAM Jacobs & Kenneth F.Wallis

**Monetary Policy, Inflation and Unemployment In Defense of the Federal Reserve**

*by*Nicolas Groshenny

**A Note on Estimating Wishart Autoagressive Model**

*by*Roxana Halbleib

**Drivers of Academic Research and Patenting in India : Econometric Estimation of the Research Production Function**

*by*Amit Shovon Ray & Sabyasachi Saha

**Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models**

*by*Viktor Todorov & Iaryna Grynkiv & George Tauchen

**The Realized Laplace Transform of Volatility**

*by*Viktor Todorov & George Tauchen

**Dynamic Entry with Cross Product Spillovers: An Application to the Generic Drug Industry**

*by*Han Hong & Ahmed Khwaja & A. Ronald Gallant

**Volatility in Equilibrium: Asymmetries and Dynamic Dependencies**

*by*Tim Bollerslev & Natalia Sizova & George Tauchen

**Pricing of the Time-Change Risks**

*by*Ivan Shaliastovich & George Tauchen

**Volatility Jumps**

*by*Viktor Todorov & George Tauchen

**Time-Varying Spot and Futures Oil Price Dynamics**

*by*Guglielmo Maria Caporale & Davide Ciferri & Allessandro Girardi

**EU Banks Rating Assignments: Is there Heterogeneity between New and Old Member Countries?**

*by*Guglielmo Maria Caporale & Roman Matousek & Chris Stewart

**Financial Fragility and Currency Crisis: a Macrodynamical Revisitation of the Argentina’s Experience**

*by*Bernardo Maggi & Eleonora Cavallaro & Marcella Mulino

**Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels**

*by*Yixiao Sun & Peter C.B. Phillips & Sainan Jin

**The power log-GARCH model**

*by*Genaro Sucarrat & Alvaro Escribano

**Economic Institutions and Economic Growth in the Former Soviet Union Economies**

*by*Marta Spreafico

**Il servizio idrico in Italia: un’analisi empirica sull’efficienza dei gestori [The water service in Italy: an empirical analysis about cost efficiency]**

*by*Anna Giolitti

**Are gifts and loans between households voluntary?**

*by*Margherita Comola & Marcel Fafchamps

**The MESANGE model: re-estimation on National Accounts base 2000 / Part 2 Version with chained-linked volumes**

*by*P.-Y. CABANNES & H. ERKEL-ROUSSE & G. LALANNE & O. MONSO & E. POULIQUEN

**The MESANGE model: re-estimation on National Accounts base 2000 - Part 1 Version with fixed-base volumes**

*by*C. KLEIN & O. SIMON

**Exchange Rate Pass-through and Monetary Policy in South Africa**

*by*Aron, Janine & Farrell, Greg & Muellbauer, John & Sinclair, Peter

**Perceptions, Expectations, and Entrepreneurship: The Role of Extreme Events**

*by*Brück, Tilman & Llussá, Fernanda & Tavares, José

**Contract Choice, Incentives, and Political Capture in the Public Sector**

*by*Gagnepain, Philippe & Ivaldi, Marc

**Modelling and Forecasting UK Mortgage Arrears and Possessions**

*by*Aron, Janine & Muellbauer, John

**Does aggregating forecasts by CPI component improve inflation forecast accuracy in South Africa?**

*by*Aron, Janine & Muellbauer, John

**New methods for forecasting inflation, applied to the US**

*by*Aron, Janine & Muellbauer, John

**Endogenous Monetary Policy Regimes and the Great Moderation**

*by*Galvão, Ana Beatriz C & Marcellino, Massimiliano

**Factor-GMM Estimation with Large Sets of Possibly Weak Instruments**

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**Параллельные Вычисления В Идентификации Динамических Моделей Экономики // Параллельные Вычислительные Технологии (Павт'2008): Труды Международной Научной Конференции (Санкт-Петербург, 28 Января – 1 Февраля 2008 Г.). – Челябинск: Изд. Юургу, 2008. – 599 С. C.207-214**

*by*Olenev, Nicholas

**Dynamic GMM Estimation With Structural Breaks. An Application to Global Warming and its Causes**

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*by*Rumyantsev, Mikhail I.

**Моделирование Деятельности Финансово-Кредитного Учреждения Средствами Системной Динамики**

*by*Rumyantsev, Mikhail I.

**Using sentiment surveys to predict GDP growth and stock returns**

*by*Guzman, Giselle C.

**Using sentiment to predict GDP growth and stock returns**

*by*Guzman, Giselle C.

**Estimating baseline real business cycle models of the Australian economy**

*by*Harding, Don & Negara, Siwage

**System composite of the triplet’s of strategic overview – revised fundamentals**

*by*Grigorescu, Adriana

**Determinants of FII Inflows:India**

*by*Saraogi, Ravi

**Equity-linked insurances and guaranteed annuity options**

*by*Burnecki, Krzysztof & Pazdan-Siudeja, Liliana

**Population Dynamics and Household Saving: Evidence from the Philippines**

*by*Mapa, Dennis S & Bersales, Lisa Grace S

**Range-Based Models in Estimating Value-at-Risk (VaR)**

*by*Mapa, Dennis & Beronilla, Nikkin

**Indicadores de Actividad para la Inversión en Infraestructura y Vivienda**

*by*Idrovo Aguirre, Byron & Caro S., Juan Carlos

**Determinantes de la Inflación en una Economía Dolarizada: El Caso Ecuatoriano**

*by*Gachet, Ivan & Maldonado, Diego & Pérez, Wilson

**Central banks and asset prices: the role of the interest rate in volatility correction in the Romanian case**

*by*Albulescu, Claudiu Tiberiu

**The Monte Carlo method to find eigenvalues and eigenvectors**

*by*Ciuiu, Daniel & Costinescu, Cristian

**Pattern classification using principal components regression**

*by*Ciuiu, Daniel

**Pattern classification using polynomial and linear regression**

*by*Ciuiu, Daniel

**Structural Breaks, Regime Change and Asymmetric Adjustment: A Short and Long Run Global Approach to the Output/Unemployment Dynamics**

*by*Mendonca, Gui Pedro

**Nyquist Frequency in Sequentially Sampled Data**

*by*Faghih, Nezameddin & Faghih, Ali

**Bayesian Analysis of DSGE Models with Regime Switching**

*by*Eo, Yunjong

**Analysis of green net national product and genuine saving in Portugal, 1991 - 2005**

*by*Mota, Rui Pedro & Domingos, Tiago & Martins, Victor

**Estimating components of ICT expenditure: a model-based approach with applicability to short time-series**

*by*Cooper, Russel & Madden, Gary G

**Optimizing models of a stock portfolio issued by Financial Investment Companies**

*by*Corduneanu, Carmen & Turcas, Daniela

**The Internationalization of Inventive Activity: A Gravity Model Using Patent Data**

*by*Picci, Lucio

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*by*Albu, Lucian-Liviu

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*by*Vymětal, Dominik

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*by*Hu, Jian

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*by*Janssen, Matthias & Wobben, Magnus

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*by*Amavilah, Voxi Heinrich

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*by*Yip, Wing & Stephens, David & Olhede, Sofia

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*by*de Silva, Ashton

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*by*Proietti, Tommaso

**The non-stationary influence of geography on the spatial agglomeration of production in the EU**

*by*Chasco, Coro & López, Ana María & Guillain, Rachel

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*by*Weron, Rafal

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*by*Borak, Szymon & Weron, Rafal

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*by*Francis X. Diebold & Georg H. Strasser

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*by*V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan

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*by*Marcin Kolasa

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*by*Mario Forni & Filippo Altissimo & Riccardo Cristadoro & Marco Lippi & Giovanni Veronese.

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*by*Andrea Cipollini & George Kapetanios

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*by*Carlo Mazzaferro & Marcello Morciano

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*by*Carlo Vittorio FIORIO

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*by*Damien Mededji

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*by*Christian Conrad & Menelaos Karanasos

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*by*Kovandzic, Tomislav & Schaffer, Mark E & Kleck, Gary

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*by*Longhi, Simonetta & Nijkamp, Peter & Poot, Jacques

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*by*Daniel Rosch & Harald Scheule

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*by*Lönnbark, Carl

**Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure**

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*by*Hussain, S & Mohamed, M. A. & Holder, R. & Almasri, A. & Shukur, G

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*by*António Portugal Duarte & João Sousa Andrade & Adelaide Duarte

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*by*Michael Louis George

**What is Business Entropy**

*by*Michael Louis George

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*by*Saulnier, J.

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*by*Grégory Levieuge & Alexis Penot

**Comparison of Volatility Measures: a Risk Management Perspective**

*by*Christian T. Brownlees & Giampiero Gallo

**Developments in the analysis of spatial data**

*by*Peter Robinson

**Relative Price Variability and the Philips Curve: Evidence from Turkey**

*by*A. Nazif Catik & Christopher Martin & A. Özlem Önder

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*by*Stepanyan Ara & Tevosyan Anahit

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*by*Sylwia Nowak

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*by*MArdi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin & Chrismin Tang

**A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models**

*by*Catherine Doz & Domenico Giannone & Lucrezia Reichlin

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*by*Nappi-Choulet, Ingrid & Maury, Tristan-Pierre

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*by*Rouselle F. Lavado & Erniel B. Barrios

**Asymptotics and Bootstrap for Transformed Panel Data Regressions**

*by*Liangjun Su & Zhenlin Yang

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*by*Frank M. Spinath

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*by*Yixiao Sun & Peter C.B. Phillips

**Exact optimal and adaptive inference in regression models under heteroskedasticity and non-normality of unknown forms**

*by*Jean-Marie Dufour & Abderrahim Taamouti

**Measuring causality between volatility and returns with high-frequency data**

*by*Jean-Marie Dufour & René García & Abderrahim Taamouti

**Short and long run causality measures: theory and inference**

*by*Jean-Marie Dufour & Abderrahim Taamouti

**Multi-sector inflation forecasting - quarterly models for South Africa**

*by*Janine Aron & John Muellbauer

**La transmisión de los choques a la tasa de cambio sobre la inflación**

*by*Andrés González & Hernán Rincóm & Norberto Rodríguez

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*by*Jesús Otero & Manuel Ramírez Gómez

**Forecasting Euro Area Real GDP: Optimal Pooling of Information**

*by*Oliver Hülsewig & Johannes Mayr & Timo Wollmershäuser

**Forecasting Economic and Financial Variables with Global VARs**

*by*M. Hashem Pesaran & Til Schuermann & L. Vanessa Smith

**Dollarization in Transition Economies: New Evidence from Georgia**

*by*Olga Aslanidi

**The single monetary policy and domestic macro-fundamentals: Evidence from Spain**

*by*Arghyrou, Michael G & Gadea, Maria Dolores

**Acquisition, Insolvency and Managers in UK Small Companies**

*by*Isachenkova, N. & Weeks, M.

**Factor demand linkages and the business cycle: Interpreting aggregate fluctuations as sectoral fluctuations**

*by*Holly, S. & Petrella, I.

**Forecasting Economic and Financial Variables with Global VARs**

*by*Pesaran, M.H. & Schuermann, T. & Smit, L.V.

**On the Correlation Structure of Microstructure Noise: A Financial Economic Approach**

*by*Francis X. Diebold & Georg H. Strasser

**Estimating the natural rates in a simple New Keynesian framework**

*by*Hilde C. Bjørnland & Kai Leitemo & Junior Maih

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*by*Ina Tiscordio & Elizabeth Bucacos

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*by*Lacroix, R. & Maurin, L.

**Financing Constraints and a Firm's Decision and Ability to Innovate: Establishing Direct and Reverse Effects**

*by*Hajivassiliou, V. & Savignac, F.

**Inflation targeting in Latin America: Empirical analysis using GARCH models**

*by*Carmen Broto

**Inflation Targeting and Price-Level-Path Targeting in the GEM: Some Open Economy Considerations**

*by*Donald Coletti & René Lalonde & Dirk Muir

**Modeling Volatility Spillovers between the Variabilities of US Inflation and Output: the UECCC GARCH Model**

*by*Christian Conrad & Menelaos Karanasos

**Optimal Feedback Control Rules Sensitive to Controlled Endogenous Risk-Aversion**

*by*Dan Protopopescu

**Expected Stock Returns and Variance Risk Premia**

*by*Tim Bollerslev & Tzuo Hao & George Tauchen

**The limiting properties of the QMLE in a general class of asymmetric volatility models**

*by*Christian M. Dahl & Emma M. Iglesias

**Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form**

*by*Anne Péguin-Feissolle & Birgit Strikholm & Timo Teräsvirta

**Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure**

*by*Christina Amado & Timo Teräsvirta

**Multivariate GARCH models**

*by*Annastiina Silvennoinen & Timo Teräsvirta

**Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model**

*by*Annastiina Silvennoinen & Timo Teräsvirta

**Stratégies de R et D et innovation dans l’industrie pharmaceutique en France : une étude économétrique sur données individuelles**

*by*Zouikri, Messaoud

**Modelling Seasonality An Extension of the HEGY Approach in the Presence of Two Structural Breaks**

*by*Ozlem Tasseven

**Meta-Analysis Of Empirical Evidence On The Labour Market Impacts Of Immigration**

*by*Simonetta LONGHI & Peter NIJKAMP & Jacques POOT

**How Do the Determinants of Demand for GP Visits Respond to Higher Supply? An Analysis of Grouped Counts**

*by*Paulos Teckle & Matt Sutton

**Improving Models of Income Dynamics using Cross-Section-Information**

*by*Robert Aebi & Klaus Neusser & Peter Steiner

**Assessing the Increase of Italian Families Perceived Vulnerability**

*by*Stefania Gabriele & Corrado Pollastri & Michele Raitano

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*by*Scutaru, Cornelia & Saman, Corina & Stanica, Cristian

**Spurious Regression And Cointegration. Numerical Example: Romania’S M2 Money Demand**

*by*Ruxanda, Gheorghe & Botezatu, Andreea

**Pattern Classification Using Secondary Components Perceptron and Economic Applications**

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*by*Stefananescu, Stefan

**An Econometric Macroeconomic Model for Analysis and Forecasting of Key Indicators of the Belarusian Economy**

*by*Kravtsov, Mikhail & Burdyka, Mikalai & Haspadarets, Burdyka & Shynkevich, Natallia & Kartun, Andrei

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*by*Modest Fluvià & Ricard Rigall-i-Torrent & Anna Garriga

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*by*Campuzano Bolarín, Francisco & Lario Esteban, Francisco Cruz & Ros McDonnell, Lorenzo

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**Long-Run and Short-Run Dynamics of the Exchange Rate in Pakistan: Evidence FromUnrestricted Purchasing Power Parity Theory**

*by*Muhammad Arshad Khan & Abdul Qayyum

**The Determinants of Capital Structure of the Chemical Industry in Pakistan**

*by*Muhammad Rafiq & Asif Iqbal & Muhammad Atiq

**Human Capital and Economic Growth: Pakistan, 1960-2003**

*by*Qaisar Abbas & James Foreman-Peck

**Entropy and stability in time use – An empirical investigation based on the German Time Use Survey**

*by*Rainer Hufnagel

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*by*Adriana Conconi & Guillermo Cruces & Sergio Olivieri & Raúl Sánchez

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*by*Michalis Petrides & Alex Karagrigoriou

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*by*Merja Festiæ & Jani Bekõ

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*by*HÉCTOR DAVID BEJARANO NAVARRO

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*by*Elkin Castaño & Karoll Gómez & Santiago Gallón

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*by*Abdelhak Nassiri & Nabil Nassiri

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*by*Ferrara, L.

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*by*FERRARA, L.

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*by*Tangian, Andranik S.

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**Modes of Household Behavior and Labor Supply Decisions**

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**Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes**

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**Regression Models with Data-based Indicator Variables**

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**Modelling the Dynamics of Cross-Sectional Price Functions: an Econometric Analysis of the Bid and Ask Curves of an Automated Exchange**

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**Regression Models with Data-based Indicator Variables**

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**Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes**

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**Firm Dynamics, Investment, and Debt Portfolio: Balance Sheet Effects of the Mexican Crisis of 1994**

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**Simple Estimators for the Parameters of Discrete Dynamic Games (with Entry/Exit Samples)**

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**Benefits and Spillovers of Greater Competition in Europe: A Macroeconomic Assesment**

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**Random Walk Smooth Transition Autoregressive Models**

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**Single Source of Error State Space Approach to the Beveridge Nelson Decomposition**

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**Some Results on the Identification and Estimation of Vector ARMAX Processes**

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**Estimating Components in Finite Mixtures and Hidden Markov Models**

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**Instabilité de la courbe de Phillips aux Etats-Unis : un modèle explicatif à changements de régimes**

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**Measuring trend growth: how useful are the great ratios?**

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**Dynamic Conditional Correlation with Elliptical Distributions**

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**Labor Market Institutions and the Employment-Productivity Trade-Off: A Wage Posting Approach**

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**Labor Market Institutions and the Employment-Productivity Trade-Off: A Wage Posting Approach**

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**Real Time Econometrics**

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**Real Time Econometrics**

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**Temporal Aggregation Of An Estar Process: Some Implications For Purchasing Power Parity Adjustment**

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**Nonlinear Ppp Under The Gold Standard**

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**Short-Term Dependencies between the Volatility of Currency, Money and Capital Markets: The Case of Poland**

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**Determinants of Short-term Volatility at the Warsaw Stock Exchange: In-sample vs. Out-of-sample Forecasts from Factor and Predictive GARCH Models**

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**Seasonally and Fractionally Differenced Time Series (revised, August 2006)**

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**Integer-Valued Moving Average Modelling of the Number of Transactions in Stocks**

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**The Labor Market in KIMOD**

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**A smooth permanent surge process**

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**Firm Level Innovation and Productivity - Is there a Common Story Across Countries?**

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**Dynamic Optimal Capital Structure and Technical Change**

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**Gender Discrimination Estimation in a Search Model with Matching and Bargaining**

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**Construction of a Transaction-Based Real Estate Index for the Paris Housing Market**

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**The Copula Approach to Sample Selection Modelling: An Application to the Recreational Value of Forests**

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**Binary models with misclassification in the variable of interest**

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**Covariate Measurement Error in Endogenous Stratified Samples**

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**Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity**

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**Diagnosis in the Olap Context**

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**The effects of systemic crises when investors can be crisis ignorant**

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**Forecasting aggregates using panels of nonlinear time series**

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**Analyzing the effects of past prices on reference price formation**

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**Una aproximación al sesgo de medición del precio de las computadoras en México**

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**Statistical Models for High Frequency Security Prices**

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**Not All Rivals Look Alike: An Empirical Model for Discrete Games with Asymmetric Rivals**

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**Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE**

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**Imposing Curvature and Monotonicity on Flexible Functional Forms: An Efficient Regional Approach**

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**Dynamics of Interest Rate Curve by Functional Auto-regression**

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**Using additional information in estimating output gap in Peru: a multivariate unobserved component approach**

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**Productivity, Inflation, And Investment: An Analysis Of Causality**

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**Asymmetric Effects of Government Spending: Does the Level of Real Interest Rates Matter?**

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**The effect of exchange rate uncertainty on US imports from the UK: Consistent OLS estimation with volatility measured by an ARCH-type model**

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**Testing Intertemporal Rational Expectations Model with State Uncertainty: An Application to the Permanent Income Hypothesis**

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**Generalized Two-Step Maximum Likelihood Estimation of Structural Vector Autoregressive Models partially identified with Short-Run Restrictions**

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**Simultaneous Equations and Weak Instruments under Conditionally Heteroscedastic Disturbances**

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**Discriminatory vs Uniform Price Auction: Auction Revenue**

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**Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE**

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**Modeling Yield-Factor Volatility**

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**Single Source of Error State Space Approach to the Beveridge Nelson Decomposition**

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**Economic Growth and Cycles in Poland, Hungary, Czech Republic, Slovakia and Slovenia: A comparison with Spain, Austria and other EU countries, 1950-2002**

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**Modelos econometricos del empleo en España: analisis comparativo de especificaciones dinamicas e impacto de la industria manufacturera sobre el empleo no agrario, 1964-2003**

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**The Impact of Industry and Foreign Trade on Economic Growth in China. An Inter-Sectoral Econometric Model, 1976-2002**

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**Econometric Models of Demand and Supply of Agriculture in Spain, France, Japan and The USA, 1964-99: An Analysis Of Interdependence**

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**Industria e Comercio Externo na Economia do Brasil, 1960-2000**

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**A Structural Model of the Inflation Process in South Africa**

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**A Framework for Forecasting the Components of the Consumer Price Index: application to South Africa**

*by*Janine Aron & John Muellbauer & Coen Pretorius

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**Measuring Trend Output: How Useful Are the Great Ratios?**

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**Monetary Magic? How the Fed Improved the Flexibility of the Economy**

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**Benefits and Spillovers of Greater Competition in Europe: A Macroeconomic Assessment**

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**Real Time Econometrics**

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**Refinement of the partial adjustment model using continuous-time econometrics**

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**An Empirically-Based Taxonomy of Dutch Manufacturing: Innovation Policy Implications**

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**Firm Dynamics, Investment, and Debt Portfolio: Balance Sheet Effects of the Mexican Crisis of 1994**

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**Estimating Production Functions When Productivity Change is Endogenous**

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**Econometric Estimation of PCAIDS Models**

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**Contrastación de la ley de precio único en el mercado español del aceite de oliva**

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**‘Real Time Econometrics’**

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**Identifying and Interpreting Convergence Clusters Across Europe**

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**Consumption and population age structure**

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**A Welfare Analysis Of Economic Fluctuations In South America**

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**Export Dynamics in Turkey**

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**A wald Test for Spatial Nonstationarity**

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**Modelos de regresión espacio-temporales en la estimación de la renta municipal: el caso de la Región de Murcia**

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**Análisis de cambio de régimen en series de tiempo no lineales utilizando modelos TAR**

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**Cumulative Trade and Economic Growth in The East Asian Countries**

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**Estimating Large-Scale Factor Models for Economic Activity in Germany: Do They Outperform Simpler Models?**

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**Besser geht's nicht - Genauigkeitsgrenzen von Konjunkturprognosen As Good as it Gets - Limits of Accuracy of Macroeconomic Short Term Forecasts**

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**An Econometric Model Of Employment In Zimbabwe¡¯S Manufacturing Industries**

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**Modelling of Structural Changes in Demand for Money Cointegration Relations**

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**The Applied Econometrics: Theory and Praxis (Roman Hušek and Jan Pelikán) (in Czech)**

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**Does Inflation Harm Economic Growth in Jordan?. An Econometric Analysis for the Period 1970-2000**

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**Brazilian Real Crisis Revisited: A Linear Probability Model to Identify Leading Indicators**

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**Labour Productivity in the European Union and Comparison with the USA, 1979-2001**

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**Recent Evidence on Improved Inventory Control: A quarterly Model of the US Economy for the period 1959-2001**

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**Seasonaility and Cointegration in the Fishing Industry of Conrwall**

*by*Floros, Ch. & Failler, P.

**Classical Business Cycles in America: Are National Business Cycles Synchronised?**

*by*Mejia-Reyes, P.

**Structural Change in Time Series of the Exchange Rates between Yen-Dollar and Yen-Euro in 2001-2004**

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**Does inmigration have an impact on economic development and unemployment?. Empirical evidence from Finland(1981-2001)**

*by*Feridun, M.

**A VAR Analysis of US and Japanese Effects on Malaysian Aggregate and Sectoral Output**

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**Education, Research and Manufacturing in EU25: An Inter-Sectoral Econometric Model of 151 European Regions, 1995-2000**

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**A Time Series Test of Regional Convergence in the USA with Dynamic Panel Models, 1972-1998**

*by*Sedgley, N. & Elmslie, B.

**Politica fiscal de vivienda en España y forma de tenencia de la vivienda habitual: una valoracion empirica a nivel provincial**

*by*Rodriguez, J. & Barrios, J.

**Desarrollo economico de Europa Central en 1950-2002: Modelos econometricos y comparacion con Irlanda, España y Austria**

*by*Guisan, M. C. & Aguayo, E.

**Efectos de la liberalizacion financiera sobre el comercio exterior: Modelo gravitacional de Latinoamerica, 1995-99**

*by*Lewer, J.J. & Saenz, M.

**Human Capital and Economic Growth: A Quantile Regression Approach**

*by*Miles, W.

**Dynamics of Exchange Rate Fluctuations between Yen and the US-Dollar**

*by*Obara, T.

**Human Capital, Trade and Development in India, China, Japan and other Asian Countries, 1960-2002: Econometric Models and Causality Tests**

*by*Guisan, M.C.

**Human Capital, Technology diffusion and Economic Growth in Low-to-Middle Income Country: a time series perspective of Guatemala, 1950-2001**

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**Ecuadorian Perceptions Towards US Foreign Policy: An Econometric Analysis**

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**Selection Of Robust Method: Numerical Examples And Results**

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**Kernel Estimation of Multivariate Conditional Distributions**

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**Modeling Volatility for the Chinese Equity Markets**

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**Armington elasticities in intermediate inputs trade: a problem in using multilateral trade data**

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**Output Variability and Economic Growth: the Japanese Case**

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**Inflation, Shadow Prices and the EMU: Evidence From Greece**

*by*Efthymios G. Tsionas & Dimitris K. Christopoulos

**Paridade do Poder de Compra: O Modelo de Reversão Não Linear para o Brasil**

*by*Cristiano Silveira Freixo & Fernando de Holanda Barbosa

**Estimating nonlinear dynamic economies: A likelihood approach**

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**Financial Modeling based on the Trajectory Domain**

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**User Cost of Capital and Cost Function : Does the Margin in the Modelling Yields Robust Results?**

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**Eurocoin: A Real Time Coincident Indicator Of The Euro Area Business Cycle**

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**Is There A Role For Asset Prices In Monetary Rules? Some Welfare Analysis Based On Perturbation Methods**

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**The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting**

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**General-to-Specific Model Selection Procedures for Structural Vector Autoregressions**

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**Angebot und Nachfrage im Außenhandel : Theoretische Überlegungen und eine Kointegrationsanalyse für Deutschland**

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**Possible Evolutions Of The Romanian Economy (Macromodel Estimations)**

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**Multi - Annual Scenarios Using A Small – Sized Rmsm Type Of Model In Order To Forecast The Main Macroeconomic Indicators In Romania**

*by*Nicolae, Mariana & Albu, Lucian Liviu & Andrei, Dalina & Stanica, Cristian & Iordan, Mioara

**The Romanian Growth Potential – A Cge Analysis**

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**Macroeconomic Estimations For The Romanian “Pre-Accession Economic Program” (The 2003 Version)**

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**Use Of The Almon Model To Determine The Delay In The Propagation Shocks - Generated By Changes In Some Inflation Components – In The Consumer Price Index**

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