Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting with DSGE Models
2. Forecasting

2014

• Koop, Gary & Korobilis, Dimitris, 2014, "Model Uncertainty in Panel Vector Autoregressive Models," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2014-011, Aug.
• Chen, Xiaoshan & Kirsanova, Tatiana & Leith, Campbell, 2014, "An Empirical Assessment of Optimal Monetary Policy Delegation in the Euro Area," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2015-04, Nov.
• Grassi, S. & Proietti, T., 2014, "Characterising economic trends by Bayesian stochastic model specification search," Computational Statistics & Data Analysis, Elsevier, volume 71, issue C, pages 359-374, DOI: 10.1016/j.csda.2013.02.024.
• Caporin, Massimiliano & McAleer, Michael, 2014, "Robust ranking of multivariate GARCH models by problem dimension," Computational Statistics & Data Analysis, Elsevier, volume 76, issue C, pages 172-185, DOI: 10.1016/j.csda.2012.05.012.
• Audrino, Francesco, 2014, "Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks," Computational Statistics & Data Analysis, Elsevier, volume 76, issue C, pages 43-60, DOI: 10.1016/j.csda.2013.06.002.
• Aielli, Gian Piero & Caporin, Massimiliano, 2014, "Variance clustering improved dynamic conditional correlation MGARCH estimators," Computational Statistics & Data Analysis, Elsevier, volume 76, issue C, pages 556-576, DOI: 10.1016/j.csda.2013.01.029.
• Nguimkeu, Pierre, 2014, "A structural econometric analysis of the informal sector heterogeneity," Journal of Development Economics, Elsevier, volume 107, issue C, pages 175-191, DOI: 10.1016/j.jdeveco.2013.12.001.
• Fabozzi, Frank J. & Leccadito, Arturo & Tunaru, Radu S., 2014, "Extracting market information from equity options with exponential Lévy processes," Journal of Economic Dynamics and Control, Elsevier, volume 38, issue C, pages 125-141, DOI: 10.1016/j.jedc.2013.10.001.
• Chen, Zhiping & Li, Gang & Zhao, Yonggan, 2014, "Time-consistent investment policies in Markovian markets: A case of mean–variance analysis," Journal of Economic Dynamics and Control, Elsevier, volume 40, issue C, pages 293-316, DOI: 10.1016/j.jedc.2014.01.011.
• Diks, Cees & Panchenko, Valentyn & Sokolinskiy, Oleg & van Dijk, Dick, 2014, "Comparing the accuracy of multivariate density forecasts in selected regions of the copula support," Journal of Economic Dynamics and Control, Elsevier, volume 48, issue C, pages 79-94, DOI: 10.1016/j.jedc.2014.08.021.
• Hunter, John & Wu, Feng, 2014, "Multifactor consumption based asset pricing models using the US stock market as a reference: Evidence from a panel of developed economies," Economic Modelling, Elsevier, volume 36, issue C, pages 557-565, DOI: 10.1016/j.econmod.2013.10.001.
• Reboredo, Juan C. & Rivera-Castro, Miguel A., 2014, "Can gold hedge and preserve value when the US dollar depreciates?," Economic Modelling, Elsevier, volume 39, issue C, pages 168-173, DOI: 10.1016/j.econmod.2014.02.038.
• Akram, Q. Farooq, 2014, "Macro effects of capital requirements and macroprudential policy," Economic Modelling, Elsevier, volume 42, issue C, pages 77-93, DOI: 10.1016/j.econmod.2014.05.033.
• Gómez-Puig, Marta & Sosvilla-Rivero, Simón & Ramos-Herrera, María del Carmen, 2014, "An update on EMU sovereign yield spread drivers in times of crisis: A panel data analysis," The North American Journal of Economics and Finance, Elsevier, volume 30, issue C, pages 133-153, DOI: 10.1016/j.najef.2014.09.003.
• Csereklyei, Zsuzsanna, 2014, "Measuring the impact of nuclear accidents on energy policy," Ecological Economics, Elsevier, volume 99, issue C, pages 121-129, DOI: 10.1016/j.ecolecon.2014.01.010.
• Montes-Rojas, Gabriel & Galvao, Antonio F., 2014, "Bayesian endogeneity bias modeling," Economics Letters, Elsevier, volume 122, issue 1, pages 36-39, DOI: 10.1016/j.econlet.2013.10.034.
• Caraiani, Petre, 2014, "What drives the nonlinearity of time series: A frequency perspective," Economics Letters, Elsevier, volume 125, issue 1, pages 40-42, DOI: 10.1016/j.econlet.2014.07.002.
• Lahaye, Jerome & Shaw, Philip, 2014, "Can we reject linearity in an HAR-RV model for the S&P 500? Insights from a nonparametric HAR-RV," Economics Letters, Elsevier, volume 125, issue 1, pages 43-46, DOI: 10.1016/j.econlet.2014.07.003.
• Kalli, Maria & Griffin, Jim E., 2014, "Time-varying sparsity in dynamic regression models," Journal of Econometrics, Elsevier, volume 178, issue 2, pages 779-793, DOI: 10.1016/j.jeconom.2013.10.012.
• Todorov, Viktor & Tauchen, George & Grynkiv, Iaryna, 2014, "Volatility activity: Specification and estimation," Journal of Econometrics, Elsevier, volume 178, issue P1, pages 180-193, DOI: 10.1016/j.jeconom.2013.08.015.
• Kim, Hyun Hak & Swanson, Norman R., 2014, "Forecasting financial and macroeconomic variables using data reduction methods: New empirical evidence," Journal of Econometrics, Elsevier, volume 178, issue P2, pages 352-367, DOI: 10.1016/j.jeconom.2013.08.033.
• Lavergne, Pascal, 2014, "Model equivalence tests in a parametric framework," Journal of Econometrics, Elsevier, volume 178, issue P3, pages 414-425, DOI: 10.1016/j.jeconom.2013.05.007.
• Escanciano, J.C. & Goh, S.C., 2014, "Specification analysis of linear quantile models," Journal of Econometrics, Elsevier, volume 178, issue P3, pages 495-507, DOI: 10.1016/j.jeconom.2013.07.006.
• Choi, Hwan-sik & Jeong, Minsoo & Park, Joon Y., 2014, "An asymptotic analysis of likelihood-based diffusion model selection using high frequency data," Journal of Econometrics, Elsevier, volume 178, issue P3, pages 539-557, DOI: 10.1016/j.jeconom.2013.08.036.
• Noureldin, Diaa & Shephard, Neil & Sheppard, Kevin, 2014, "Multivariate rotated ARCH models," Journal of Econometrics, Elsevier, volume 179, issue 1, pages 16-30, DOI: 10.1016/j.jeconom.2013.10.003.
• Armstrong, Timothy B. & Bertanha, Marinho & Hong, Han, 2014, "A fast resample method for parametric and semiparametric models," Journal of Econometrics, Elsevier, volume 179, issue 2, pages 128-133, DOI: 10.1016/j.jeconom.2014.01.001.
• Voß, Sebastian & Weißbach, Rafael, 2014, "A score-test on measurement errors in rating transition times," Journal of Econometrics, Elsevier, volume 180, issue 1, pages 16-29, DOI: 10.1016/j.jeconom.2014.01.004.
• Granziera, Eleonora & Hubrich, Kirstin & Moon, Hyungsik Roger, 2014, "A predictability test for a small number of nested models," Journal of Econometrics, Elsevier, volume 182, issue 1, pages 174-185, DOI: 10.1016/j.jeconom.2014.04.016.
• Borovička, Jaroslav & Hansen, Lars Peter, 2014, "Examining macroeconomic models through the lens of asset pricing," Journal of Econometrics, Elsevier, volume 183, issue 1, pages 67-90, DOI: 10.1016/j.jeconom.2014.06.010.
• Bekaert, Geert & Hoerova, Marie, 2014, "The VIX, the variance premium and stock market volatility," Journal of Econometrics, Elsevier, volume 183, issue 2, pages 181-192, DOI: 10.1016/j.jeconom.2014.05.008.
• Koop, Gary & Korobilis, Dimitris, 2014, "A new index of financial conditions," European Economic Review, Elsevier, volume 71, issue C, pages 101-116, DOI: 10.1016/j.euroecorev.2014.07.002.
• Aktas, Osman Ulas & Kryzanowski, Lawrence, 2014, "Market impacts of trades for stocks listed on the Borsa Istanbul," Emerging Markets Review, Elsevier, volume 20, issue C, pages 152-175, DOI: 10.1016/j.ememar.2014.06.002.
• Hammoudeh, Shawkat & Nguyen, Duc Khuong & Reboredo, Juan Carlos & Wen, Xiaoqian, 2014, "Dependence of stock and commodity futures markets in China: Implications for portfolio investment," Emerging Markets Review, Elsevier, volume 21, issue C, pages 183-200, DOI: 10.1016/j.ememar.2014.09.002.
• Amado, Cristina & Teräsvirta, Timo, 2014, "Modelling changes in the unconditional variance of long stock return series," Journal of Empirical Finance, Elsevier, volume 25, issue C, pages 15-35, DOI: 10.1016/j.jempfin.2013.09.003.
• Weron, Rafał & Zator, Michał, 2014, "Revisiting the relationship between spot and futures prices in the Nord Pool electricity market," Energy Economics, Elsevier, volume 44, issue C, pages 178-190, DOI: 10.1016/j.eneco.2014.03.007.
• Hahn, Warren J. & DiLellio, James A. & Dyer, James S., 2014, "What do market-calibrated stochastic processes indicate about the long-term price of crude oil?," Energy Economics, Elsevier, volume 44, issue C, pages 212-221, DOI: 10.1016/j.eneco.2014.04.007.
• Frömmel, Michael & Han, Xing & Kratochvil, Stepan, 2014, "Modeling the daily electricity price volatility with realized measures," Energy Economics, Elsevier, volume 44, issue C, pages 492-502, DOI: 10.1016/j.eneco.2014.03.001.
• Leme, Rafael C. & Paiva, Anderson P. & Steele Santos, Paulo E. & Balestrassi, Pedro P. & Galvão, Leandro de Lima, 2014, "Design of experiments applied to environmental variables analysis in electricity utilities efficiency: The Brazilian case," Energy Economics, Elsevier, volume 45, issue C, pages 111-119, DOI: 10.1016/j.eneco.2014.06.017.
• Adeyemi, Olutomi I. & Hunt, Lester C., 2014, "Accounting for asymmetric price responses and underlying energy demand trends in OECD industrial energy demand," Energy Economics, Elsevier, volume 45, issue C, pages 435-444, DOI: 10.1016/j.eneco.2014.07.012.
• Nowotarski, Jakub & Raviv, Eran & Trück, Stefan & Weron, Rafał, 2014, "An empirical comparison of alternative schemes for combining electricity spot price forecasts," Energy Economics, Elsevier, volume 46, issue C, pages 395-412, DOI: 10.1016/j.eneco.2014.07.014.
• Bekiros, Stelios D., 2014, "Contagion, decoupling and the spillover effects of the US financial crisis: Evidence from the BRIC markets," International Review of Financial Analysis, Elsevier, volume 33, issue C, pages 58-69, DOI: 10.1016/j.irfa.2013.07.007.
• Kumar, Dilip & Maheswaran, S., 2014, "Modeling and forecasting the additive bias corrected extreme value volatility estimator," International Review of Financial Analysis, Elsevier, volume 34, issue C, pages 166-176, DOI: 10.1016/j.irfa.2014.06.002.
• Tsai, Wei-Che, 2014, "Improved method for static replication under the CEV model," Finance Research Letters, Elsevier, volume 11, issue 3, pages 194-202, DOI: 10.1016/j.frl.2014.04.004.
• Duranton, Gilles & Puga, Diego, 2014, "The Growth of Cities," Handbook of Economic Growth, Elsevier, chapter 5, in: Philippe Aghion & Steven Durlauf, "Handbook of Economic Growth", DOI: 10.1016/B978-0-444-53540-5.00005-7.
• Cho, Dooyeon & Doblas-Madrid, Antonio, 2014, "Trade intensity and purchasing power parity," Journal of International Economics, Elsevier, volume 93, issue 1, pages 194-209, DOI: 10.1016/j.jinteco.2014.01.007.
• Brzezinski, Michal, 2014, "Empirical modeling of the impact factor distribution," Journal of Informetrics, Elsevier, volume 8, issue 2, pages 362-368, DOI: 10.1016/j.joi.2014.01.009.
• Aktas, Osman Ulas & Kryzanowski, Lawrence, 2014, "Trade classification accuracy for the BIST," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 33, issue C, pages 259-282, DOI: 10.1016/j.intfin.2014.08.003.
• Gupta, Rangan & Hammoudeh, Shawkat & Modise, Mampho P. & Nguyen, Duc Khuong, 2014, "Can economic uncertainty, financial stress and consumer sentiments predict U.S. equity premium?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 33, issue C, pages 367-378, DOI: 10.1016/j.intfin.2014.09.004.
• Luciani, Matteo, 2014, "Forecasting with approximate dynamic factor models: The role of non-pervasive shocks," International Journal of Forecasting, Elsevier, volume 30, issue 1, pages 20-29, DOI: 10.1016/j.ijforecast.2013.05.001.
• Rombouts, Jeroen & Stentoft, Lars & Violante, Franceso, 2014, "The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options," International Journal of Forecasting, Elsevier, volume 30, issue 1, pages 78-98, DOI: 10.1016/j.ijforecast.2013.07.006.
• Dreger, Christian & Wolters, Jürgen, 2014, "Money demand and the role of monetary indicators in forecasting euro area inflation," International Journal of Forecasting, Elsevier, volume 30, issue 2, pages 303-312, DOI: 10.1016/j.ijforecast.2013.09.008.
• Kock, Anders Bredahl & Teräsvirta, Timo, 2014, "Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009," International Journal of Forecasting, Elsevier, volume 30, issue 3, pages 616-631, DOI: 10.1016/j.ijforecast.2013.01.003.
• Rossi, Barbara & Sekhposyan, Tatevik, 2014, "Evaluating predictive densities of US output growth and inflation in a large macroeconomic data set," International Journal of Forecasting, Elsevier, volume 30, issue 3, pages 662-682, DOI: 10.1016/j.ijforecast.2013.03.005.
• Wojtowicz, Marcin, 2014, "CDOs and the financial crisis: Credit ratings and fair premia," Journal of Banking & Finance, Elsevier, volume 39, issue C, pages 1-13, DOI: 10.1016/j.jbankfin.2013.10.005.
• Bekiros, Stelios D., 2014, "Exchange rates and fundamentals: Co-movement, long-run relationships and short-run dynamics," Journal of Banking & Finance, Elsevier, volume 39, issue C, pages 117-134, DOI: 10.1016/j.jbankfin.2013.11.007.
• Bauer, Julian & Agarwal, Vineet, 2014, "Are hazard models superior to traditional bankruptcy prediction approaches? A comprehensive test," Journal of Banking & Finance, Elsevier, volume 40, issue C, pages 432-442, DOI: 10.1016/j.jbankfin.2013.12.013.
• Liu, Chunping & Minford, Patrick, 2014, "How important is the credit channel? An empirical study of the US banking crisis," Journal of Banking & Finance, Elsevier, volume 41, issue C, pages 119-134, DOI: 10.1016/j.jbankfin.2013.12.017.
• Zieling, Daniel & Mahayni, Antje & Balder, Sven, 2014, "Performance evaluation of optimized portfolio insurance strategies," Journal of Banking & Finance, Elsevier, volume 43, issue C, pages 212-225, DOI: 10.1016/j.jbankfin.2014.03.027.
• Caggiano, Giovanni & Calice, Pietro & Leonida, Leone, 2014, "Early warning systems and systemic banking crises in low income countries: A multinomial logit approach," Journal of Banking & Finance, Elsevier, volume 47, issue C, pages 258-269, DOI: 10.1016/j.jbankfin.2014.07.002.
• Martins, Luis F. & Gabriel, Vasco J., 2014, "Modelling long run comovements in equity markets: A flexible approach," Journal of Banking & Finance, Elsevier, volume 47, issue C, pages 288-295, DOI: 10.1016/j.jbankfin.2014.05.029.
• Kalotychou, Elena & Staikouras, Sotiris K. & Zhao, Gang, 2014, "The role of correlation dynamics in sector allocation," Journal of Banking & Finance, Elsevier, volume 48, issue C, pages 1-12, DOI: 10.1016/j.jbankfin.2014.06.025.
• Ziggel, Daniel & Berens, Tobias & Weiß, Gregor N.F. & Wied, Dominik, 2014, "A new set of improved Value-at-Risk backtests," Journal of Banking & Finance, Elsevier, volume 48, issue C, pages 29-41, DOI: 10.1016/j.jbankfin.2014.07.005.
• Bezemer, Dirk & Grydaki, Maria, 2014, "Financial fragility in the Great Moderation," Journal of Banking & Finance, Elsevier, volume 49, issue C, pages 169-177, DOI: 10.1016/j.jbankfin.2014.09.005.
• Maalaoui Chun, Olfa & Dionne, Georges & François, Pascal, 2014, "Credit spread changes within switching regimes," Journal of Banking & Finance, Elsevier, volume 49, issue C, pages 41-55, DOI: 10.1016/j.jbankfin.2014.08.009.
• Gallegati, Marco & Ramsey, James B., 2014, "The forward looking information content of equity and bond markets for aggregate investments," Journal of Economics and Business, Elsevier, volume 75, issue C, pages 1-24, DOI: 10.1016/j.jeconbus.2014.04.002.
• Filipova, Kameliya & Audrino, Francesco & De Giorgi, Enrico, 2014, "Monetary policy regimes: Implications for the yield curve and bond pricing," Journal of Financial Economics, Elsevier, volume 113, issue 3, pages 427-454, DOI: 10.1016/j.jfineco.2014.05.006.
• Florackis, Chris & Giorgioni, Gianluigi & Kostakis, Alexandros & Milas, Costas, 2014, "On stock market illiquidity and real-time GDP growth," Journal of International Money and Finance, Elsevier, volume 44, issue C, pages 210-229, DOI: 10.1016/j.jimonfin.2014.02.006.
• Su, Jung-Bin & Lee, Ming-Chih & Chiu, Chien-Liang, 2014, "Why does skewness and the fat-tail effect influence value-at-risk estimates? Evidence from alternative capital markets," International Review of Economics & Finance, Elsevier, volume 31, issue C, pages 59-85, DOI: 10.1016/j.iref.2013.12.001.
• Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2014, "Causality and contagion in EMU sovereign debt markets," International Review of Economics & Finance, Elsevier, volume 33, issue C, pages 12-27, DOI: 10.1016/j.iref.2014.03.003.
• de Rassenfosse, Gaétan & Schoen, Anja & Wastyn, Annelies, 2014, "Selection bias in innovation studies: A simple test," Technological Forecasting and Social Change, Elsevier, volume 81, issue C, pages 287-299, DOI: 10.1016/j.techfore.2013.02.012.
• Joshua C.C. Chan & Angelia L. Grant, 2014, "Fast Computation of the Deviance Information Criterion for Latent Variable Models," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2014-09, Jan.
• Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan, 2014, "Stochastic Model Specification Search for Time-Varying Parameter VARs," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2014-23, Mar.
• Joshua C.C. Chan & Angelia L. Grant, 2014, "Issues in Comparing Stochastic Volatility Models Using the Deviance Information Criterion," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2014-51, Jul.
• Francesco Furlanetto & Nicolas Groshenny, 2014, "Mismatch Shocks and Unemployment During the Great Recession," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2014-57, Aug.
• Cevat Bilgin, 2014, "Determinants of tax morale in Spain and Turkey: an empirical analysis," European Journal of Government and Economics, Europa Grande, volume 3, issue 1, pages 60-74, June.
• Mendoza, Alfonso. & Galvanovskis, Evalds., 2014, "La cópula GED bivariada. Una aplicación en entornos de crisis," El Trimestre Económico, Fondo de Cultura Económica, volume 0, issue 323, pages .721-746, julio-sep, DOI: http://dx.doi.org/10.20430/ete.v81i.
• Seeun Jung, 2014, "The Gender Wage Gap and Sample Selection via Risk Attitudes," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2014-25.
• Jin Seo Cho & Halbert White, 2014, "Testing the Equality of Two Positive-Definite Matrices with Application to Information Matrix Testing☆A glossary of notation and the program codes written in GAUSS for our simulations are available at:http://web.yonsei.ac.kr/jinseocho/research.htm," Advances in Econometrics, Emerald Group Publishing Limited, "Essays in Honor of Peter C. B. Phillips", DOI: 10.1108/S0731-905320140000033014.
• Miguel Belmonte & Gary Koop, 2014, "Model Switching and Model Averaging in Time-Varying Parameter Regression Models," Advances in Econometrics, Emerald Group Publishing Limited, "Bayesian Model Comparison", DOI: 10.1108/S0731-905320140000034004.
• Guillaume Weisang, 2014, "Factor Selection in Dynamic Hedge Fund Replication Models: A Bayesian Approach," Advances in Econometrics, Emerald Group Publishing Limited, "Bayesian Model Comparison", DOI: 10.1108/S0731-905320140000034009.
• Angela Vossmeyer, 2014, "Determining the Proper Specification for Endogenous Covariates in Discrete Data Settings," Advances in Econometrics, Emerald Group Publishing Limited, "Bayesian Model Comparison", DOI: 10.1108/S0731-905320140000034010.
• Esther Hee Lee, 2014, "Copula Analysis of Correlated Counts," Advances in Econometrics, Emerald Group Publishing Limited, "Bayesian Model Comparison", DOI: 10.1108/S0731-905320140000034021.
• Soumyananda Dinda, 2014, "China integrates Asia with the world: an empirical study," Journal of Chinese Economic and Foreign Trade Studies, Emerald Group Publishing Limited, volume 7, issue 2, pages 70-89, May, DOI: 10.1108/JCEFTS-06-2013-0022.
• Kevin W. Caves & Hal J. Singer, 2014, "Econometric tests for analyzing common impact," Research in Law and Economics, Emerald Group Publishing Limited, "The Law and Economics of Class Actions", DOI: 10.1108/S0193-589520140000026005.
• McAleer, M.J. & Hafner, C.M., 2014, "A One Line Derivation of EGARCH," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2014-20, Jun.
• Martinet, G.G. & McAleer, M.J., 2014, "On the Invertibility of EGARCH," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2014-22, Jul.
• McAleer, M.J., 2014, "Asymmetry and Leverage in Conditional Volatility Models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number 77759, Sep.
• Karim L. Anaya & Michael G. Pollitt, 2014, "Does Weather Have an Impact on Electricity Distribution Efficiency? Evidence from South America," Working Papers, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge, number EPRG 1404, Mar.
• Fuertes, Ana-Maria & Kalotychou, Elena & Saka, Orkun, 2014, "ECB Policy and Eurozone Fragility: Was De Grauwe Right?," CEPS Papers, Centre for European Policy Studies, number 9414, Jun.
• Mei-Yu LEE, 2014, "The Effect of Nonzero Autocorrelation Coefficients on the Distributions of Durbin-Watson Test Estimator: Three Autoregressive Models," Expert Journal of Economics, Sprint Investify, volume 2, issue 3, pages 85-99.
• Anna CZAPKIEWICZ & Pawel MAJDOSZ, 2014, "Grouping Stock Markets with Time-Varying Copula-GARCH Model," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 64, issue 2, pages 144-159, March.
• Petra Andrlíková, 2014, "Bayesian default probability models," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2014/14, Apr, revised Apr 2014.
• Daniel Bencik, 2014, "Range-based Volatility Estimation and Forecasting," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2014/34, Dec, revised Dec 2014.
• Federico Podestà, 2014, "The Impact of the 'Free Choice' Work/Family Reforms of France and Belgium. A Synthetic Control Analysis," FBK-IRVAPP Working Papers, Research Institute for the Evaluation of Public Policies (IRVAPP), Bruno Kessler Foundation, number 2014-06, Nov.
• Claudio Daminato & Nadir Zanini, 2014, "Funzioni di domanda ed implicazioni di policy: un’applicazione al caso del Reddito di Garanzia," FBK-IRVAPP Working Papers, Research Institute for the Evaluation of Public Policies (IRVAPP), Bruno Kessler Foundation, number 2014-09, Dec.
• Antonio Cabrales & Juan J. Dolado & Ricardo Mora, 2014, "Dual Labour Markets And (Lack Of) On-Thejob Training: Piaac Evidence From Spain And Other Eu Countries," Studies on the Spanish Economy, FEDEA, number eee2014-14, Nov.
• Todd E. Clark & Michael W. McCracken, 2014, "Evaluating Conditional Forecasts from Vector Autoregressions," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1413, Oct, DOI: 10.26509/frbc-wp-201413.
• Mark Bognanni & Edward P. Herbst, 2014, "Estimating (Markov-Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1427, Nov, DOI: 10.26509/frbc-wp-201427.
• Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2014, "Can Spanned Term Structure Factors Drive Stochastic Yield Volatility?," Working Paper Series, Federal Reserve Bank of San Francisco, number 2014-3, Jan, DOI: 10.24148/wp2014-03.
• Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2014, "The Great Mortgaging: Housing Finance, Crises, and Business Cycles," Working Paper Series, Federal Reserve Bank of San Francisco, number 2014-23, Sep, DOI: 10.24148/wp2014-23.
• Sean P. Grover & Michael W. McCracken, 2014, "Factor-based prediction of industry-wide bank stress," Review, Federal Reserve Bank of St. Louis, volume 96, issue 2, pages 173-194.
• Todd E. Clark & Michael W. McCracken, 2014, "Evaluating Conditional Forecasts from Vector Autoregressions," Working Papers, Federal Reserve Bank of St. Louis, number 2014-25, Sep, DOI: 10.20955/wp.2014.025.
• Weiling Liu & Emanuel Moench, 2014, "What predicts U.S. recessions?," Staff Reports, Federal Reserve Bank of New York, number 691, Sep.
• Schöni, Olivier & Seger, Lukas, 2014, "Comparing Mobile Communication Service Prices Among Providers: A Hedonic Approach," FSES Working Papers, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland, number 448, Apr.
• Michael McAleer & Christian M. Hafner, 2014, "A One Line Derivation of EGARCH," Econometrics, MDPI, volume 2, issue 2, pages 1-6, June.
• Michael McAleer, 2014, "Asymmetry and Leverage in Conditional Volatility Models," Econometrics, MDPI, volume 2, issue 3, pages 1-6, September.
• Dimitris Korobilis, 2014, "Data-based priors for vector autoregressions with drifting coefficients," Working Papers, Business School - Economics, University of Glasgow, number 2014_04, Jan.
• Gary Koop & Dimitris Korobilis, 2014, "Model uncertainty in panel vector autoregressive models," Working Papers, Business School - Economics, University of Glasgow, number 2014_10, Aug.
• Xiaoshan Chen & Tatiana Kirsanova & Campbell Leith, 2014, "An Empirical Assessment of Optimal Monetary Policy Delegation in the Euro Area," Working Papers, Business School - Economics, University of Glasgow, number 2014_19, Nov.
• Alfred Duncan & Charles Nolan, 2014, "Disputes, Debt and Equity," Working Papers, Business School - Economics, University of Glasgow, number 2014_20, Dec.
• Margherita Comola & Marcel Fafchamps, 2014, "Testing Unilateral and Bilateral Link Formation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00825261, Sep, DOI: 10.1111/ecoj.12071.
• Jean-Bernard Chatelain & Kirsten Ralf, 2014, "Spurious regressions and near-multicollinearity, with an application to aid, policies and growth," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00978147, Mar, DOI: 10.1016/j.jmacro.2013.11.003.
• Margherita Comola & Marcel Fafchamps, 2014, "Testing Unilateral and Bilateral Link Formation," Post-Print, HAL, number hal-00825261, Sep, DOI: 10.1111/ecoj.12071.
• Olivier Bargain & Kristian Orsini & Andreas Peichl, 2014, "Comparing Labor Supply Elasticities in Europe and the United States: New Results," Post-Print, HAL, number hal-01463097.
• Sanjay Sehgal & Srividya Subramaniam & Florent Deisting, 2014, "Tests Of Equity Market Anomalies For Select Emerging Markets," Post-Print, HAL, number hal-01881907.
• Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2014, "Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows," Post-Print, HAL, number hal-04582298, Dec.
• Jean-Thomas Bernard & Michael Gavin & Lynda Khalaf & Marcel Voia, 2014, "Environmental Kuznets Curve: Tipping Points, Uncertainty and Weak Identification," Post-Print, HAL, number hal-04926606, Mar, DOI: 10.1007/s10640-014-9767-y.
• Margherita Comola & Marcel Fafchamps, 2014, "Testing Unilateral and Bilateral Link Formation," PSE-Ecole d'économie de Paris (Postprint), HAL, number hal-00825261, Sep, DOI: 10.1111/ecoj.12071.
• Seeun Jung, 2014, "The Gender Wage Gap and Sample Selection via Risk Attitudes," PSE Working Papers, HAL, number halshs-00965520, May.
• Adama Bah, 2015, "Finding the Best Indicators to Identify the Poor," Working Papers, HAL, number halshs-00936201, Jun.
• Seeun Jung, 2014, "The Gender Wage Gap and Sample Selection via Risk Attitudes," Working Papers, HAL, number halshs-00965520, May.
• Olivier Bargain & Karina Doorley, 2014, "Putting Structure on the RD Design: Social Transfers and Youth Inactivity in France," Working Papers, HAL, number halshs-00967329, Feb.
• Evers, Corinna & Rohde, Johannes, 2014, "Model Risk in Backtesting Risk Measures," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-529, Apr.
• Leschinski, Christian & Sibbertsen, Philipp, 2014, "Model Order Selection in Seasonal/Cyclical Long Memory Models," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-535, Sep.
• Biørn, Erik, 2014, "Serially Correlated Measurement Errors in Time Series Regression: The Potential of Instrumental Variable Estimators," Memorandum, Oslo University, Department of Economics, number 28/2014, Dec.
• Ranganathan, Shyam & Bali Swain, Ranjula & Sumpter, David, 2014, "A Dynamical Systems Approach To Modeling Human Development," Working Paper Series, Uppsala University, Department of Economics, number 2014:9, Oct.
• Ranganathan, Shyam & Bali Swain, Ranjula, 2014, "Analysing Mechanisms for Meeting Global Emissions Target - A Dynamical Systems Approach," Working Paper Series, Uppsala University, Department of Economics, number 2014:10, Oct.
• Watanabe, Toshiaki, 2014, "Bayesian Analysis of Business Cycle in Japan Using Markov Switching Model with Stochastic Volatility and Fat-tail Distribution," Economic Review, Hitotsubashi University, volume 65, issue 2, pages 156-167, April, DOI: 10.15057/27348.
• Oscar Jorda & Moritz Schularick & Alan M. Taylor, 2014, "The Great Mortgaging: Housing Finance, Crises, and Business Cycles," Working Papers, Hong Kong Institute for Monetary Research, number 252014, Sep.
• Noureldin, Diaa & Shephard, Neil & Sheppard, Kevin, 2014, "Multivariate rotated ARCH models," Scholarly Articles, Harvard University Department of Economics, number 34650305.
• Mohsen Mehrara & Abbas Ali Rezaei, 2014, "The Long Run Relationship between Government Revenue and Expenditure in Iran: A Co integration Analysis in the Presence of Structural Breaks," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, volume 4, issue 5, pages 288-301, May.
• Hutter, Christian & Weber, Enzo, 2014, "Forecasting with a mismatch-enhanced labor market matching function," IAB-Discussion Paper, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany], number 201416.
• Chew Lian Chua & Sarantis Tsiaplias, 2014, "A Bayesian Approach to Modelling Bivariate Time-Varying Cointegration and Cointegrating Rank," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2014n27, Dec.
• Sanjay Sehgal & Srividya Subramaniam & Florent Deisting, 2014, "Tests of Equity Market Anomalies for Select Emerging Markets," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 8, issue 3, pages 27-46.
• Cinthia Irene Carrazco Soto & Sonia Elizabeth Maldonado-Radillo & Virginia Guadalupe Lopez Torres, 2014, "Validity And Reliability Of A Measurement Tool For The Diversity Management: Aerospace Industry, Evaluacion De La Validez Y Confiabilidad De Un Instrumento De Medicion De La Gestion De La Diversidad: Industria Aeroespacial," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, volume 7, issue 5, pages 1-10.
• Erginbay UGURLU, 2014, "Forecasting Volatility: Evidence from the Bucharest Stock Exchange," International Conference on Economic Sciences and Business Administration, Spiru Haret University, volume 1, issue 1, pages 302-310, December.
• Rodrigo Mariscal & Andrew Powell, 2014, "Commodity Price Booms and Breaks: Detection, Magnitude and Implications for Developing Countries," Research Department Publications, Inter-American Development Bank, Research Department, number IDB-WP-444, Jan.
• Raffaella Giacomini, 2014, "Economic theory and forecasting: lessons from the literature," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP41/14, Sep.
• Florin-Marius PAVELESCU, 2014, "An Extension Of The Methodology Of Using The Student Test In Case Of A Linear Regression With Three Explanatory Variables," Romanian Journal of Economics, Institute of National Economy, volume 38, issue 1(47), pages 89-106, June.
• Christian Kleiber & Achim Zeileis, 2014, "Visualizing Count Data Regressions Using Rootograms," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2014-20, Jul.
• Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2014, "Can Economic Uncertainty, Financial Stress and Consumer Senti-ments Predict U.S. Equity Premium?," Working Papers, Department of Research, Ipag Business School, number 2014-436, Jan.
• Marta Gómez-Puig & Simón Sosvilla-Rivero, 2014, "“Causality and Contagion in EMU Sovereign Debt Markets”," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 201403, Feb, revised Feb 2014.
• Marta Gómez-Puig & Simón Sosvilla-Rivero & María del Carmen Ramos-Herrera, 2014, "“An Update on EMU Sovereign Yield Spread Drivers in Times of Crisis: A Panel Data Analysis”," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 201407, Mar, revised Mar 2014.
• Stephen Cole & Fabio Milani, 2014, "The Misspecification of Expectations in New Keynesian Models: A DSGE-VAR Approach," Working Papers, University of California-Irvine, Department of Economics, number 131407, Apr.
• Calhoun, Gray, 2014, "Out-Of-Sample Comparisons of Overfit Models," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 32462, Mar.
• Imbens, Guido W., 2014, "Matching Methods in Practice: Three Examples," IZA Discussion Papers, IZA Network @ LISER, number 8049, Mar.
• Löffler, Max & Peichl, Andreas & Siegloch, Sebastian, 2014, "Structural Labor Supply Models and Wage Exogeneity," IZA Discussion Papers, IZA Network @ LISER, number 8281, Jun.
• Cabrales, Antonio & Dolado, Juan J. & Mora, Ricardo, 2014, "Dual Labour Markets and (Lack of) On-the-Job Training: PIAAC Evidence from Spain and Other EU Countries," IZA Discussion Papers, IZA Network @ LISER, number 8649, Nov.
• Liana Jacobi & Helga Wagner & Sylvia Frühwirth-Schnatter, 2014, "Bayesian Treatment Effects Models with Variable Selection for Panel Outcomes with an Application to Earnings Effects of Maternity Leave," NRN working papers, The Austrian Center for Labor Economics and the Analysis of the Welfare State, Johannes Kepler University Linz, Austria, number 2014-12, Feb.
• Federica Alberti & Anna Conte & Kei Tsutsui, 2014, "Accuracy of proposers' beliefs in an allocation-type game," Jena Economics Research Papers, Friedrich-Schiller-University Jena, number 2014-002, Jan.
• Eduardo Loría & Emmanuel Salas, 2014, "A Nonlinear Relationship: Unemployment and Economic Growth (Construction Sector) in Spain, 1995.1–2012.2," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 20, issue 4, pages 439-453, November, DOI: 10.1007/s11294-014-9496-6.
• Mark Andor & Frederik Hesse, 2014, "The StoNED age: the departure into a new era of efficiency analysis? A monte carlo comparison of StoNED and the “oldies” (SFA and DEA)," Journal of Productivity Analysis, Springer, volume 41, issue 1, pages 85-109, February, DOI: 10.1007/s11123-013-0354-y.
• Aljar Meesters, 2014, "A note on the assumed distributions in stochastic frontier models," Journal of Productivity Analysis, Springer, volume 42, issue 2, pages 171-173, October, DOI: 10.1007/s11123-014-0387-x.
• Marc Scholten & Daniel Read, 2014, "Prospect theory and the “forgotten” fourfold pattern of risk preferences," Journal of Risk and Uncertainty, Springer, volume 48, issue 1, pages 67-83, February, DOI: 10.1007/s11166-014-9183-2.
• Richard Sweeney, 2014, "Equivalent valuations in cash flow and accounting models," Review of Quantitative Finance and Accounting, Springer, volume 42, issue 1, pages 29-49, January, DOI: 10.1007/s11156-012-0332-x.
• Massimo Costabile & Arturo Leccadito & Ivar Massabó & Emilio Russo, 2014, "A reduced lattice model for option pricing under regime-switching," Review of Quantitative Finance and Accounting, Springer, volume 42, issue 4, pages 667-690, May, DOI: 10.1007/s11156-013-0357-9.
• Anna Conte & Peter Moffatt, 2014, "The econometric modelling of social preferences," Theory and Decision, Springer, volume 76, issue 1, pages 119-145, January, DOI: 10.1007/s11238-012-9309-4.
• Mirela Niculae & Mihaela Simionescu, 2014, "A Panel Data Analysis for Financial Stability Indicators," Knowledge Horizons - Economics, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, volume 6, issue 4, pages 46-50, December.
• Jing Zeng, 2014, "Forecasting Aggregates with Disaggregate Variables: Does Boosting Help to Select the Most Relevant Predictors?," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2014-20, Sep.
• Michael Graff & Massimo Mannino & Michael Siegenthaler, 2014, "The Swiss "Job Miracle"," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 14-368, Dec, DOI: 10.3929/ethz-a-010703460.
• Abderrezzak Benhabib & Amina Merabet & Mohamed Benachenhou & Yamina Grari & Fouzi Boudia & Hadjira Merabet, 2014, "Environmental and Individual Determinants of Female Entrepreneurship in Algeria: Applying the Structural Equation Modeling," Entrepreneurial Business and Economics Review, Centre for Strategic and International Entrepreneurship at the Cracow University of Economics., volume 2, issue 1, pages 65-80.
• Nyitrai, Tamás, 2014, "Növelhető-e a csőd-előrejelző modellek előre jelző képessége az új klasszifikációs módszerek nélkül?
  [Can the predictive capacity of bankruptcy forecasting models be increased without new classification methods?]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 5, pages 566-585.
• Søren Johansen & Bent Nielsen, 2014, "Optimal hedging with the cointegrated vector autoregressive model," Discussion Papers, University of Copenhagen. Department of Economics, number 14-23, Sep.
• Naoya Sueishi & Arihiro Yoshimura, 2014, "Focused Information Criterion for Series Estimation in Partially Linear Models," Discussion papers, Graduate School of Economics Project Center, Kyoto University, number e-14-001, Apr.
• Bloechl, Andreas, 2014, "Reducing the Excess Variability of the Hodrick-Prescott Filter by Flexible Penalization," Discussion Papers in Economics, University of Munich, Department of Economics, number 17940, Jan.
• Blöchl, Andreas, 2014, "Trend Estimation with Penalized Splines as Mixed Models for Series with Structural Breaks," Discussion Papers in Economics, University of Munich, Department of Economics, number 18446, Feb.
• Bloechl, Andreas, 2014, "Penalized Splines, Mixed Models and the Wiener-Kolmogorov Filter," Discussion Papers in Economics, University of Munich, Department of Economics, number 21406.
• Yong-Ching Chiou & Yao-Chih Hsieh & Wenyi Lin, 2014, "Determinants of effective tax rates for firms listed on Chinese stock market: Panel models with two-sided censors," Journal of Economic and Financial Studies (JEFS), LAR Center Press, volume 2, issue 5, pages 1-5, October.
• Fabio Bacchini & Maria Elena Bontempi & Roberto Golinelli & Cecilia Jona-Lasinio, 2014, "ICT and Non-ICT investments: short and long run macro dynamics," Working Papers LuissLab, Dipartimento di Economia e Finanza, LUISS Guido Carli, number 14113.
• D.S. Poskitt & Gael M. Martin & Simone D. Grose, 2014, "Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 10/14.
• K. Nadarajah & Gael M. Martin & D.S. Poskitt, 2014, "Issues in the Estimation of Mis-Specified Models of Fractionally Integrated Processes," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 18/14.
• Simone D. Grose & Gael M. Martin & D.S. Poskitt, 2014, "Bias Correction of Persistence Measures in Fractionally Integrated Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 19/14.
• Julia Polak & Maxwell L. King & Xibin Zhang, 2014, "A Model Validation Procedure," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 21/14.
• Jiti Gao & Han Hong, 2014, "A Computational Implementation of GMM," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 24/14.
• M. Atikur Rahman Khan & D.S. Poskitt, 2014, "On The Theory and Practice of Singular Spectrum Analysis Forecasting," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 3/14.
• Firmin DOKO TCHATOKA & Jean-Marie DUFOUR, 2014, "Identification-Robust Inference for Endogeneity Parameters in Linear Structural Models," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 03-2014.
• Simon Anastasiadis & Suzi Kerr & Wei Zhang & Corey Allan & William Power, 2014, "Land Use in Rural New Zealand: Spatial Land Use, Land-use Change, and Model Validation," Motu Working Papers, Motu Economic and Public Policy Research, number 14_07, Aug.
• Jan F. Kiviet & Milan Pleus & Rutger Poldermans, 2014, "Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 1415, Dec.
• Xu Cheng & Zhipeng Liao & Frank Schorfheide, 2014, "Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities," NBER Working Papers, National Bureau of Economic Research, Inc, number 19792, Jan.
• Marco Del Negro & Marc P. Giannoni & Frank Schorfheide, 2014, "Inflation in the Great Recession and New Keynesian Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 20055, Apr.
• Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2014, "The Great Mortgaging: Housing Finance, Crises, and Business Cycles," NBER Working Papers, National Bureau of Economic Research, Inc, number 20501, Sep.
• Isaiah Andrews & Matthew Gentzkow & Jesse M. Shapiro, 2014, "Measuring the Sensitivity of Parameter Estimates to Estimation Moments," NBER Working Papers, National Bureau of Economic Research, Inc, number 20673, Nov.
• Søren Johansen & Bent Nielsen, 2014, "Outlier detection algorithms for least squares time series regression," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2014-W04, Sep.