Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting with DSGE Models
2. Forecasting

2012

• Domenico Giannone & Michèle Lenza & Giorgio E. Primiceri, 2012, "Prior Selection for Vector Autoregressions," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2012-002, Jan.
• Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E., 2012, "Prior selection for vector autoregressions," Working Paper Series, European Central Bank, number 1494, Nov.
• Orazio Attanasio & Erich Battistin & Alice Mesnard, 2012, "Food and Cash Transfers: Evidence from Colombia," Economic Journal, Royal Economic Society, volume 122, issue 559, pages 92-124, March, DOI: j.1468-0297.2011.02473.x.
• Paul Levine & Joseph Pearlman & George Perendia & Bo Yang, 2012, "Endogenous Persistence in an estimated DSGE Model Under Imperfect Information," Economic Journal, Royal Economic Society, volume 122, issue 565, pages 1287-1312, December, DOI: j.1468-0297.2012.02524.x.
• Viktor Todorov & George Tauchen, 2012, "The Realized Laplace Transform of Volatility," Econometrica, Econometric Society, volume 80, issue 3, pages 1105-1127, May, DOI: ECTA9133.
• Pierre‐Philippe Combes & Gilles Duranton & Laurent Gobillon & Diego Puga & Sébastien Roux, 2012, "The Productivity Advantages of Large Cities: Distinguishing Agglomeration From Firm Selection," Econometrica, Econometric Society, volume 80, issue 6, pages 2543-2594, November, DOI: ECTA8442.
• Mitra, Kaushik & Evans, George W. & Honkapohja, Seppo, 2012, "Baysian Model Averaging, Learning and Model Selection," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2012-11.
• Koop, Gary & Korobilis, Dimitris, 2012, "Large Time-Varying Parameter VARs," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2012-14.
• Korobilis, Dimitris, 2012, "Bayesian forecasting with highly correlated predictors," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2012-80.
• You, Kefei & Sarantis, Nicholas, 2012, "Structural breaks and the equilibrium real effective exchange rate of China: A NATREX approach," China Economic Review, Elsevier, volume 23, issue 4, pages 1146-1163, DOI: 10.1016/j.chieco.2012.08.002.
• Fossati, Sebastian, 2012, "Covariate unit root tests with good size and power," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 11, pages 3070-3079, DOI: 10.1016/j.csda.2011.05.019.
• Ardia, David & Baştürk, Nalan & Hoogerheide, Lennart & van Dijk, Herman K., 2012, "A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 11, pages 3398-3414, DOI: 10.1016/j.csda.2010.09.001.
• Packalen, Mikko & Wirjanto, Tony S., 2012, "Inference about clustering and parametric assumptions in covariance matrix estimation," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 1, pages 1-14, January.
• Karaivanov, Alexander, 2012, "Financial constraints and occupational choice in Thai villages," Journal of Development Economics, Elsevier, volume 97, issue 2, pages 201-220, DOI: 10.1016/j.jdeveco.2011.05.002.
• Rondina, Francesca, 2012, "The role of model uncertainty and learning in the US postwar policy response to oil prices," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 7, pages 1009-1041, DOI: 10.1016/j.jedc.2012.01.013.
• Heilemann, Ullrich & Findeis, Hagen, 2012, "Empirical determination of aggregate demand and supply curves: The example of the RWI Business Cycle Model," Economic Modelling, Elsevier, volume 29, issue 2, pages 158-165, DOI: 10.1016/j.econmod.2011.09.003.
• Argov, Eyal, 2012, "The choice of a foreign price measure in a Bayesian estimated new-Keynesian model for Israel," Economic Modelling, Elsevier, volume 29, issue 2, pages 408-420, DOI: 10.1016/j.econmod.2011.11.011.
• Buck, Andrew J. & Lady, George M., 2012, "Structural sign patterns and reduced form restrictions," Economic Modelling, Elsevier, volume 29, issue 2, pages 462-470, DOI: 10.1016/j.econmod.2011.12.003.
• Gupta, Rangan & Modise, Mampho P., 2012, "South African stock return predictability in the context data mining: The role of financial variables and international stock returns," Economic Modelling, Elsevier, volume 29, issue 3, pages 908-916, DOI: 10.1016/j.econmod.2011.12.013.
• Ourir, Awatef & Snoussi, Wafa, 2012, "Markets liquidity risk under extremal dependence: Analysis with VaRs methods," Economic Modelling, Elsevier, volume 29, issue 5, pages 1830-1836, DOI: 10.1016/j.econmod.2012.05.036.
• Brunhes-Lesage, Véronique & Darné, Olivier, 2012, "Nowcasting the French index of industrial production: A comparison from bridge and factor models," Economic Modelling, Elsevier, volume 29, issue 6, pages 2174-2182, DOI: 10.1016/j.econmod.2012.04.011.
• Becker, Ralf & Osborn, Denise R. & Yildirim, Dilem, 2012, "A threshold cointegration analysis of interest rate pass-through to UK mortgage rates," Economic Modelling, Elsevier, volume 29, issue 6, pages 2504-2513, DOI: 10.1016/j.econmod.2012.08.004.
• Halkos, George E. & Jones, Nikoleta, 2012, "Modeling the effect of social factors on improving biodiversity protection," Ecological Economics, Elsevier, volume 78, issue C, pages 90-99, DOI: 10.1016/j.ecolecon.2012.04.003.
• Caraiani, Petre, 2012, "Nonlinear dynamics in CEE stock markets indices," Economics Letters, Elsevier, volume 114, issue 3, pages 329-331, DOI: 10.1016/j.econlet.2011.11.010.
• Zhang, Lingxiang, 2012, "Test for linearity against STAR models with deterministic trends," Economics Letters, Elsevier, volume 115, issue 1, pages 16-19, DOI: 10.1016/j.econlet.2011.11.018.
• Hartmann, Matthias & Herwartz, Helmut, 2012, "Causal relations between inflation and inflation uncertainty—Cross sectional evidence in favour of the Friedman–Ball hypothesis," Economics Letters, Elsevier, volume 115, issue 2, pages 144-147, DOI: 10.1016/j.econlet.2011.12.036.
• Parente, Paulo M.D.C. & Santos Silva, J.M.C., 2012, "A cautionary note on tests of overidentifying restrictions," Economics Letters, Elsevier, volume 115, issue 2, pages 314-317, DOI: 10.1016/j.econlet.2011.12.047.
• Kvedaras, Virmantas & Zemlys, Vaidotas, 2012, "Testing the functional constraints on parameters in regressions with variables of different frequency," Economics Letters, Elsevier, volume 116, issue 2, pages 250-254, DOI: 10.1016/j.econlet.2012.03.009.
• Pesaran, M. Hashem, 2012, "On the interpretation of panel unit root tests," Economics Letters, Elsevier, volume 116, issue 3, pages 545-546, DOI: 10.1016/j.econlet.2012.04.049.
• Karamé, F., 2012, "An algorithm for generalized impulse-response functions in Markov-switching structural VAR," Economics Letters, Elsevier, volume 117, issue 1, pages 230-234, DOI: 10.1016/j.econlet.2012.04.089.
• Taylor, Nicholas, 2012, "Testing forecasting model versatility," Economics Letters, Elsevier, volume 117, issue 3, pages 803-806, DOI: 10.1016/j.econlet.2012.08.044.
• Moul, Charles C., 2012, "A new test for monopoly with limited cost data," Economics Letters, Elsevier, volume 117, issue 3, pages 891-894, DOI: 10.1016/j.econlet.2012.07.007.
• Hagemann, Andreas, 2012, "A simple test for regression specification with non-nested alternatives," Journal of Econometrics, Elsevier, volume 166, issue 2, pages 247-254, DOI: 10.1016/j.jeconom.2011.09.037.
• Hong, Han & Preston, Bruce, 2012, "Bayesian averaging, prediction and nonnested model selection," Journal of Econometrics, Elsevier, volume 167, issue 2, pages 358-369, DOI: 10.1016/j.jeconom.2011.09.021.
• Mariano, Roberto S. & Preve, Daniel, 2012, "Statistical tests for multiple forecast comparison," Journal of Econometrics, Elsevier, volume 169, issue 1, pages 123-130, DOI: 10.1016/j.jeconom.2012.01.014.
• Hnatkovska, Viktoria & Marmer, Vadim & Tang, Yao, 2012, "Comparison of misspecified calibrated models: The minimum distance approach," Journal of Econometrics, Elsevier, volume 169, issue 1, pages 131-138, DOI: 10.1016/j.jeconom.2012.01.007.
• Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2012, "Model selection when there are multiple breaks," Journal of Econometrics, Elsevier, volume 169, issue 2, pages 239-246, DOI: 10.1016/j.jeconom.2012.01.026.
• Clark, Todd E. & McCracken, Michael W., 2012, "In-sample tests of predictive ability: A new approach," Journal of Econometrics, Elsevier, volume 170, issue 1, pages 1-14, DOI: 10.1016/j.jeconom.2010.09.012.
• Fanelli, Luca, 2012, "Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models," Journal of Econometrics, Elsevier, volume 170, issue 1, pages 153-163, DOI: 10.1016/j.jeconom.2012.04.002.
• Kim, Don H. & Singleton, Kenneth J., 2012, "Term structure models and the zero bound: An empirical investigation of Japanese yields," Journal of Econometrics, Elsevier, volume 170, issue 1, pages 32-49, DOI: 10.1016/j.jeconom.2011.12.005.
• Hall, Alastair R. & Inoue, Atsushi & Nason, James M. & Rossi, Barbara, 2012, "Information criteria for impulse response function matching estimation of DSGE models," Journal of Econometrics, Elsevier, volume 170, issue 2, pages 499-518, DOI: 10.1016/j.jeconom.2012.05.019.
• Marmer, Vadim & Otsu, Taisuke, 2012, "Optimal comparison of misspecified moment restriction models under a chosen measure of fit," Journal of Econometrics, Elsevier, volume 170, issue 2, pages 538-550, DOI: 10.1016/j.jeconom.2012.05.021.
• Waggoner, Daniel F. & Zha, Tao, 2012, "Confronting model misspecification in macroeconomics," Journal of Econometrics, Elsevier, volume 171, issue 2, pages 167-184, DOI: 10.1016/j.jeconom.2012.06.013.
• Chen, Yi-Ting, 2012, "A simple approach to standardized-residuals-based higher-moment tests," Journal of Empirical Finance, Elsevier, volume 19, issue 4, pages 427-453, DOI: 10.1016/j.jempfin.2012.04.006.
• Benavides, Guillermo & Capistrán, Carlos, 2012, "Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts," Journal of Empirical Finance, Elsevier, volume 19, issue 5, pages 627-639, DOI: 10.1016/j.jempfin.2012.07.001.
• Wu, Chih-Chiang & Chung, Huimin & Chang, Yu-Hsien, 2012, "The economic value of co-movement between oil price and exchange rate using copula-based GARCH models," Energy Economics, Elsevier, volume 34, issue 1, pages 270-282, DOI: 10.1016/j.eneco.2011.07.007.
• Hou, Aijun & Suardi, Sandy, 2012, "A nonparametric GARCH model of crude oil price return volatility," Energy Economics, Elsevier, volume 34, issue 2, pages 618-626, DOI: 10.1016/j.eneco.2011.08.004.
• Sueyoshi, Toshiyuki & Goto, Mika, 2012, "Efficiency-based rank assessment for electric power industry: A combined use of Data Envelopment Analysis (DEA) and DEA-Discriminant Analysis (DA)," Energy Economics, Elsevier, volume 34, issue 3, pages 634-644, DOI: 10.1016/j.eneco.2011.04.001.
• Nomikos, Nikos & Andriosopoulos, Kostas, 2012, "Modelling energy spot prices: Empirical evidence from NYMEX," Energy Economics, Elsevier, volume 34, issue 4, pages 1153-1169, DOI: 10.1016/j.eneco.2011.10.001.
• Haugom, Erik & Ullrich, Carl J., 2012, "Forecasting spot price volatility using the short-term forward curve," Energy Economics, Elsevier, volume 34, issue 6, pages 1826-1833, DOI: 10.1016/j.eneco.2012.07.017.
• Wang, Yudong & Wu, Chongfeng, 2012, "Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models?," Energy Economics, Elsevier, volume 34, issue 6, pages 2167-2181, DOI: 10.1016/j.eneco.2012.03.010.
• Pineda, S. & Conejo, A.J., 2012, "Managing the financial risks of electricity producers using options," Energy Economics, Elsevier, volume 34, issue 6, pages 2216-2227, DOI: 10.1016/j.eneco.2012.03.016.
• Hjalmarsson, Erik, 2012, "Some curious power properties of long-horizon tests," Finance Research Letters, Elsevier, volume 9, issue 2, pages 81-91, DOI: 10.1016/j.frl.2011.10.001.
• Crawford, Gregory S., 2012, "Endogenous product choice: A progress report," International Journal of Industrial Organization, Elsevier, volume 30, issue 3, pages 315-320, DOI: 10.1016/j.ijindorg.2011.12.006.
• O’Hare, Colin & Li, Youwei, 2012, "Explaining young mortality," Insurance: Mathematics and Economics, Elsevier, volume 50, issue 1, pages 12-25, DOI: 10.1016/j.insmatheco.2011.09.005.
• Giacometti, Rosella & Bertocchi, Marida & Rachev, Svetlozar T. & Fabozzi, Frank J., 2012, "A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates," Insurance: Mathematics and Economics, Elsevier, volume 50, issue 1, pages 85-93, DOI: 10.1016/j.insmatheco.2011.10.002.
• Griffin, Philip S. & Maller, Ross A. & Schaik, Kees van, 2012, "Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases," Insurance: Mathematics and Economics, Elsevier, volume 51, issue 2, pages 382-392, DOI: 10.1016/j.insmatheco.2012.06.005.
• Bernardi, Mauro & Maruotti, Antonello & Petrella, Lea, 2012, "Skew mixture models for loss distributions: A Bayesian approach," Insurance: Mathematics and Economics, Elsevier, volume 51, issue 3, pages 617-623, DOI: 10.1016/j.insmatheco.2012.08.002.
• You, Kefei & Sarantis, Nicholas, 2012, "A twelve-area model for the equilibrium Chinese Yuan/US dollar nominal exchange rate," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 1, pages 151-170, DOI: 10.1016/j.intfin.2011.08.005.
• Naraidoo, Ruthira & Paya, Ivan, 2012, "Forecasting monetary policy rules in South Africa," International Journal of Forecasting, Elsevier, volume 28, issue 2, pages 446-455, DOI: 10.1016/j.ijforecast.2011.04.006.
• Kim, Hyeongwoo & Durmaz, Nazif, 2012, "Bias correction and out-of-sample forecast accuracy," International Journal of Forecasting, Elsevier, volume 28, issue 3, pages 575-586, DOI: 10.1016/j.ijforecast.2012.02.009.
• Yallup, Peter J., 2012, "Models of the yield curve and the curvature of the implied forward rate function," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 121-135, DOI: 10.1016/j.jbankfin.2011.06.010.
• Chrétien, Stéphane, 2012, "Bounds on the autocorrelation of admissible stochastic discount factors," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 1943-1962, DOI: 10.1016/j.jbankfin.2012.03.002.
• Escanciano, Juan Carlos & Pei, Pei, 2012, "Pitfalls in backtesting Historical Simulation VaR models," Journal of Banking & Finance, Elsevier, volume 36, issue 8, pages 2233-2244, DOI: 10.1016/j.jbankfin.2012.04.004.
• Vashishtha, Ashutosh & Sharma, Anil K., 2012, "Indian financial market regulation: A dialectic model," Journal of Economics and Business, Elsevier, volume 64, issue 1, pages 77-89, DOI: 10.1016/j.jeconbus.2011.05.002.
• Bakshi, Gurdip & Chabi-Yo, Fousseni, 2012, "Variance bounds on the permanent and transitory components of stochastic discount factors," Journal of Financial Economics, Elsevier, volume 105, issue 1, pages 191-208, DOI: 10.1016/j.jfineco.2012.01.003.
• Dardanoni, Valentino & Li Donni, Paolo, 2012, "Incentive and selection effects of Medigap insurance on inpatient care," Journal of Health Economics, Elsevier, volume 31, issue 3, pages 457-470, DOI: 10.1016/j.jhealeco.2012.02.007.
• Caporale, Guglielmo Maria & Matousek, Roman & Stewart, Chris, 2012, "Ratings assignments: Lessons from international banks," Journal of International Money and Finance, Elsevier, volume 31, issue 6, pages 1593-1606, DOI: 10.1016/j.jimonfin.2012.02.018.
• Cohen-Cole, Ethan B. & Durlauf, Steven N. & Rondina, Giacomo, 2012, "Nonlinearities in growth: From evidence to policy," Journal of Macroeconomics, Elsevier, volume 34, issue 1, pages 42-58, DOI: 10.1016/j.jmacro.2011.07.001.
• Eicher, Theo S. & Helfman, Lindy & Lenkoski, Alex, 2012, "Robust FDI determinants: Bayesian Model Averaging in the presence of selection bias," Journal of Macroeconomics, Elsevier, volume 34, issue 3, pages 637-651, DOI: 10.1016/j.jmacro.2012.01.010.
• Féve, Patrick & Jidoud, Ahmat, 2012, "Identifying News Shocks from SVARs," Journal of Macroeconomics, Elsevier, volume 34, issue 4, pages 919-932, DOI: 10.1016/j.jmacro.2012.07.002.
• Jacobs, Jan P.A.M. & Otter, Pieter W. & den Reijer, Ard H.J., 2012, "Information, data dimension and factor structure," Journal of Multivariate Analysis, Elsevier, volume 106, issue C, pages 80-91, DOI: 10.1016/j.jmva.2011.11.003.
• Arghyrou, Michael G. & Gadea, Maria Dolores, 2012, "The single monetary policy and domestic macro-fundamentals: Evidence from Spain," Journal of Policy Modeling, Elsevier, volume 34, issue 1, pages 16-34, DOI: 10.1016/j.jpolmod.2011.09.002.
• Antipa, Pamfili & Barhoumi, Karim & Brunhes-Lesage, Véronique & Darné, Olivier, 2012, "Nowcasting German GDP: A comparison of bridge and factor models," Journal of Policy Modeling, Elsevier, volume 34, issue 6, pages 864-878, DOI: 10.1016/j.jpolmod.2012.01.010.
• Cappelen, Ådne & Raknerud, Arvid & Rybalka, Marina, 2012, "The effects of R&D tax credits on patenting and innovations," Research Policy, Elsevier, volume 41, issue 2, pages 334-345, DOI: 10.1016/j.respol.2011.10.001.
• Kao, Lie-Jane & Wu, Po-Cheng & Lee, Cheng-Few, 2012, "Time-changed GARCH versus the GARJI model for prediction of extreme news events: An empirical study," International Review of Economics & Finance, Elsevier, volume 21, issue 1, pages 115-129, DOI: 10.1016/j.iref.2011.05.001.
• Liu, Hung-Chun & Chiang, Shu-Mei & Cheng, Nick Ying-Pin, 2012, "Forecasting the volatility of S&P depositary receipts using GARCH-type models under intraday range-based and return-based proxy measures," International Review of Economics & Finance, Elsevier, volume 22, issue 1, pages 78-91, DOI: 10.1016/j.iref.2011.08.007.
• Wang, Chou-Wen & Wu, Chin-Wen & Tzang, Shyh-Weir, 2012, "Implementing option pricing models when asset returns follow an autoregressive moving average process," International Review of Economics & Finance, Elsevier, volume 24, issue C, pages 8-25, DOI: 10.1016/j.iref.2011.12.003.
• Rodney W. Strachan & Herman K. van Dijk, 2012, "Evidence on a DSGE Business Cycle model subject to Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-03, Feb.
• Joshua C C Chan & Eric Eisenstat, 2012, "Marginal Likelihood Estimation with the Cross-Entropy Method," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-18, May.
• Yin Liao, 2012, "Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-26, Jun.

2011

• Cristina Amado & Timo Teräsvirta, 2011, "Modelling Volatility by Variance Decomposition," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-01, Jan.
• Timo Teräsvirta, 2011, "Nonlinear models for autoregressive conditional heteroskedasticity," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-02, Jan.
• Stefano Grassi & Tommaso Proietti, 2011, "Characterizing economic trends by Bayesian stochastic model specification search," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-16, May.
• Cristina Amado & Timo Teräsvirta, 2011, "Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-24, May.
• Anders Bredahl Kock & Timo Teräsvirta, 2011, "Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-27, Aug.
• Anders Bredahl Kock & Timo Teräsvirta, 2011, "Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-28, Aug.
• Manuel Lukas, 2011, "Return Predictability, Model Uncertainty, and Robust Investment," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-42, Nov.
• Tim Bollerslev & Daniela Osterrieder & Natalia Sizova & George Tauchen, 2011, "Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-51, Dec.
• Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2011, "Parametric Inference and Dynamic State Recovery from Option Panels," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-11, May.
• Dean Croushore, 2011, "Frontiers of Real-Time Data Analysis," Journal of Economic Literature, American Economic Association, volume 49, issue 1, pages 72-100, March.
• Walter Krämer, 2011, "The Cult of Statistical Significance – What Economists Should and Should Not Do to Make their Data Talk," Schmollers Jahrbuch : Journal of Applied Social Science Studies / Zeitschrift für Wirtschafts- und Sozialwissenschaften, Duncker & Humblot, Berlin, volume 131, issue 3, pages 455-468, DOI: 10.3790/schm.131.3.455.
• Win, Heijman & Milic, Branislav B. & Bogdanov, Natalija, undated, "The “Rural-Sensitive Evaluation Model” for evaluation of local governments’ sensitivity to rural issues in Serbia," 122nd Seminar, February 17-18, 2011, Ancona, Italy, European Association of Agricultural Economists, number 99417, DOI: 10.22004/ag.econ.99417.
• Bastianin, Andrea & Manera, Matteo & Markandya, Anil & Scarpa, Elisa, 2011, "Oil Price Forecast Evaluation with Flexible Loss Functions," Energy: Resources and Markets, Fondazione Eni Enrico Mattei (FEEM), number 120042, Dec, DOI: 10.22004/ag.econ.120042.
• Bervejillo, Jose E. & Alston, Julian M. & Tumber, Kabir P., 2011, "The Economic Returns to Public Agricultural Research in Uruguay," Working Papers, Robert Mondavi Institute Center for Wine Economics, number 162518, Dec, DOI: 10.22004/ag.econ.162518.
• Ngongang, Elie, 2011, "Impact of Exchange Rate Policy on the Trade of Industrial Products in Sub-Saharan Africa from 1975 to 2007," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, volume 7, issue 01-2, pages 1-27, March, DOI: 10.22004/ag.econ.143427.
• Bernard, Jean-Thomas & Gavin, Michael & Khalaf, Lynda & Voia, Marcel, 2011, "The Environmental Kuznets Curve: Tipping Points, Uncertainty and Weak Identification," Working Papers, University of Laval, Center for Research on the Economics of the Environment, Agri-food, Transports and Energy (CREATE), number 119109, Dec, DOI: 10.22004/ag.econ.119109.
• Elie BOURI, 2011, "An Attempt to Capture Leptokurtic of Returns and to Model Its Volatility: The Case of Beirut Stock Exchange," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 8, pages 259-271, December.
• Luca RICCETTI, 2011, "A Copula-GARCH Model for Macro Asset Allocation of a Portfolio with Commodities: an Out-of-Sample Analysis," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 355, Jan.
• Christian Bluhm & Christoph Wagner, 2011, "Valuation and Risk Management of Collateralized Debt Obligations and Related Securities," Annual Review of Financial Economics, Annual Reviews, volume 3, issue 1, pages 193-222, December.
• Hedibert F. Lopes & Justin L. Tobias, 2011, "Confronting Prior Convictions: On Issues of Prior Sensitivity and Likelihood Robustness in Bayesian Analysis," Annual Review of Economics, Annual Reviews, volume 3, issue 1, pages 107-131, September.
• Craig Blackburn & Michael Sherris, 2011, "Consistent Dynamic Affine Mortality Model for Longevity Risk Applications," Working Papers, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales, number 201107, May.
• Christian Dreger & J¨¹rgen Wolters, 2011, "Liquidity and Asset Prices: How Strong are the Linkages?," Review of Economics & Finance, Better Advances Press, Canada, volume 1, pages 43-52, February.
• Grigori Fainstein & Igor Novikov, 2011, "The Comparative Analysis of Credit Risk Determinants In the Banking Sector of the Baltic States," Review of Economics & Finance, Better Advances Press, Canada, volume 1, pages 20-45, June.
• Johannes Vilsmeier, 2011, "Updating the Option Implied Probability of Default Methodology," Working Papers, Bavarian Graduate Program in Economics (BGPE), number 107, Oct.
• Agustín Maravall Herrero & Domingo Pérez Cañete, 2011, "Applying and interpreting model-based seasonal adjustment. The euro-area industrial production series," Working Papers, Banco de España, number 1116, Jul.
• Leandro D�Aurizio & Stefano Iezzi, 2011, "Investment forecasting with business survey data," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 832, Nov.
• Luis Fernando Melo & Joan Camilo Granados, 2011, "Regulación y valor en riesgo," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 29, issue 64, pages 110-177, July, DOI: 10.32468/Espe.6404.
• Vesna Karadžic & Tamara Backovic Vulic, 2011, "The Montenegrin Capital Market: Calendar Anomalies," Economic Annals, Faculty of Economics and Business, University of Belgrade, volume 56, issue 191, pages 107-122, October-D.
• Gaglianone, Wagner Piazza & Lima, Luiz Renato & Linton, Oliver & Smith, Daniel R., 2011, "Evaluating Value-at-Risk Models via Quantile Regression," Journal of Business & Economic Statistics, American Statistical Association, volume 29, issue 1, pages 150-160.
• Todorov, Viktor & Tauchen, George, 2011, "Volatility Jumps," Journal of Business & Economic Statistics, American Statistical Association, volume 29, issue 3, pages 356-371.
• Wegmann, Bertil & Villani, Mattias, 2011, "Bayesian Inference in Structural Second-Price Common Value Auctions," Journal of Business & Economic Statistics, American Statistical Association, volume 29, issue 3, pages 382-396.
• Kurt Brannas & Albina Soultanaeva, 2011, "Influence of news from Moscow and New York on returns and risks of Baltic States’ stock markets," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, volume 11, issue 1, pages 109-124, July.
• Fernanda Cuitiño & Fiorella Tramontin & Leonardo Vicente, 2011, "Evaluación de indicadores de inflación subyacente para Uruguay," Documentos de trabajo, Banco Central del Uruguay, number 2011011, Dec.
• Chris Heaton & George Milunovich & Anthony Passé‐De Silva, 2011, "International Commodity Prices and the Australian Stock Market," The Economic Record, The Economic Society of Australia, volume 87, issue 276, pages 37-44, March.
• Vincent Vandenberghe, 2011, "Firm‐level Evidence on Gender Wage Discrimination in the Belgian Private Economy," LABOUR, CEIS, volume 25, issue 3, pages 330-349, September, DOI: j.1467-9914.2011.00524.x.
• Olivier Darné & Laurent Ferrara, 2011, "Identification of Slowdowns and Accelerations for the Euro Area Economy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 73, issue 3, pages 335-364, June.
• Paulo M. M. Rodrigues & Antonio Rubia, 2011, "The Effects of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 73, issue 4, pages 449-468, August.
• Jan Hanousek & Evžen Kočenda, 2011, "Foreign News and Spillovers in Emerging European Stock Markets," Review of International Economics, Wiley Blackwell, volume 19, issue 1, pages 170-188, February.
• Guglielmo Maria Caporale & Roman Matousek & Chris Stewart, 2011, "EU Banks Rating Assignments: Is There Heterogeneity between New and Old Member Countries?," Review of International Economics, Wiley Blackwell, volume 19, issue 1, pages 189-206, February.
• Alexander Mihailov & Fabio Rumler & Johann Scharler, 2011, "Inflation Dynamics in the New EU Member States: How Relevant Are External Factors?," Review of International Economics, Wiley Blackwell, volume 19, issue 1, pages 65-76, February.
• Massimiliano Caporin & Michael McAleer, 2011, "Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 65, issue 2, pages 125-163, May, DOI: j.1467-9574.2010.00479.x.
• Knut Are Aastveit & Karsten R. Gerdrup & Anne Sofie Jore & Leif Anders Thorsrud, 2011, "Nowcasting GDP in real-time: A density combination approach," Working Paper, Norges Bank, number 2011/11, Sep.
• Knut Are Aastveit & Karsten R. Gerdrup & Anne Sofie Jore & Leif Anders Thorsrud, 2011, "Nowcasting GDP in Real-Time: A Density Combination Approach," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 1/2011, Sep.
• Konstantinos Theodoridis, 2011, "An efficient minimum distance estimator for DSGE models," Bank of England Staff Working Paper series, Bank of England, number 439, Oct.
• Christensen Timothy & Hurn Stan & Pagan Adrian, 2011, "Detecting Common Dynamics in Transitory Components," Journal of Time Series Econometrics, De Gruyter, volume 3, issue 1, pages 1-28, February, DOI: 10.2202/1941-1928.1088.
• Lanne Markku & Saikkonen Pentti, 2011, "Noncausal Autoregressions for Economic Time Series," Journal of Time Series Econometrics, De Gruyter, volume 3, issue 3, pages 1-32, October, DOI: 10.2202/1941-1928.1080.
• Sonia Ondo-Ndong & Sandra Rigot, 2011, "The Aggregated Leverage Ratio and the Detection of Financial Vulnerability :Evidence from the United States and European Countries," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, volume 54, issue 1, pages 5-20.
• Doppelhofer, G. & Weeks, M., 2011, "Robust Growth Determinants," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1117, Jan.
• Jennifer Castle & Xiaochuan Qin & W. Robert Reed, 2011, "Using Model Selection Algorthims to Obtain Reliable Coefficient Estimates," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/03, Jan.
• Massimiliano Caporin & Michael McAleer, 2011, "Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/23, May.
• John V. Duca & John Muellbauer & Anthony Murphy, 2011, "Shifting Credit Standards and the Boom and Bust in U.S. House Prices," SERC Discussion Papers, Centre for Economic Performance, LSE, number 0076, Mar.
• John V. Duca & John Muellbauer & Anthony Murphy, 2011, "House Prices and Credit Constraints: Making Sense of the U.S. Experience," SERC Discussion Papers, Centre for Economic Performance, LSE, number 0077, Mar.
• Gernot Doppelhofer & Melvyn Weeks, 2011, "Robust Growth Determinants," CESifo Working Paper Series, CESifo, number 3354.
• Jim Malley & Ulrich Woitek, 2011, "Productivity Shocks and Aggregate Fluctuations in an Estimated Endogenous Growth Model with Human Capital," CESifo Working Paper Series, CESifo, number 3567.
• Mahir Binici & Yin-Wong Cheung, 2011, "Exchange Rate Dynamics under Alternative Optimal Interest Rate Rules," CESifo Working Paper Series, CESifo, number 3577.
• Pablo Pincheira, 2011, "A Bunch of Models, a Bunch of Nulls and Inference About Predictive Ability," Working Papers Central Bank of Chile, Central Bank of Chile, number 607, Jan.
• Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf & Maral Kichian, 2011, "An Identification-Robust Test for Time-Varying Parameters in the Dynamics of Energy Prices," CIRANO Working Papers, CIRANO, number 2011s-22, Feb.
• Jörgen Hansen & Xingfei Liu, 2011, "Estimating Labor Supply Responses and Welfare Participation: Using a Natural Experiment to Validate a Structural Labor Supply Model," CIRANO Working Papers, CIRANO, number 2011s-53, Jul.
• Andrés Gonzalez & Franz Hamann, 2011, "Lack of Credibility, Inflation Persistence and Disinflation in Colombia," Revista Desarrollo y Sociedad, Universidad de los Andes,Facultad de Economía, CEDE.
• Eliana Gonz�lez, 2011, "Forecasting With Many Predictors. An Empirical Comparison," Borradores de Economia, Banco de la Republica, number 7996, Feb.
• Andr�s Gonz�lez G. & Franz Hamann, 2011, "Lack of Credibility, Inflation Persistence and Disinflation in Colombia," Borradores de Economia, Banco de la Republica, number 8737, May.
• Luis Fernando Melo & Joan Camilo Granados, 2011, "Regulación y valor en riesgo," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 29, issue 64, pages 110-177, DOI: 10.32468/Espe.6404.
• Bernardo León & Andr�s Mora, 2011, "CDS: relación con índices accionarios y medida de riesgo," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 29, issue 64, pages 178-211, DOI: 10.32468/Espe.6405.
• Martha López & Fernando Tenjo & H�ctor Z�rate, 2011, "The Risk-Taking Channel and Monetary Transmission Mechanism in Colombia," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 29, issue 64, pages 211-234, DOI: 10.32468/Espe.6406.
• Jorge Andrés Perdomo Calvo, 2011, "Una propuesta metodológica para estimar los cambios sobre el valor de la propiedad: estudio de caso para Bogotá aplicando Propensity Score Matching.," Revista Lecturas de Economía, Universidad de Antioquia, CIE.
• Milena Hoyos & Mario Galindo, 2011, "Comparación de los modelos SETAR y STAR para el índice de empleo industrial colombiano," Econógrafos, Escuela de Economía, Universidad Nacional de Colombia, FCE, CID, number 022980.
• Milena Hoyos & Johanna Ramos & Lorena Vivas, 2011, "Un modelo SETAR para el PIB Colombiano," Econógrafos, Escuela de Economía, Universidad Nacional de Colombia, FCE, CID, number 022996.
• Milena Hoyos & Mario Galindo, 2011, "Comparación de los modelos SETAR y STAR para el índice de empleo industrial colombiano," Documentos de Trabajo, Escuela de Economía, Universidad Nacional de Colombia, FCE, CID, number 8347, Apr.
• Ivan Savin & Peter Winker, 2011, "Heuristic model selection for leading indicators in Russia and Germany," Working Papers, COMISEF, number 046, Jan.
• KOROBILIS, Dimitris, 2011, "Hierarchical shrinkage priors for dynamic regressions with many predictors," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2011021, May.
• KOROBILIS, Dimitris, 2011, "VAR forecasting using Bayesian variable selection," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2011022, May.
• BELMONTE, Miguel A.G. & KOOP, Gary & KOROBILIS, Dimitris, 2011, "Hierarchical shrinkage in time-varying parameter models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2011036, Sep.
• Timmermann, Allan & Patton, Andrew, 2011, "Forecast Rationality Tests Based on Multi-Horizon Bounds," CEPR Discussion Papers, Centre for Economic Policy Research, number 8194, Jan.
• Muellbauer, John & Murphy, Anthony & Duca, John V, 2011, "House Prices and Credit Constraints: Making Sense of the US Experience," CEPR Discussion Papers, Centre for Economic Policy Research, number 8360, Apr.
• Muellbauer, John & Murphy, Anthony & Duca, John V, 2011, "Shifting Credit Standards and the Boom and Bust in US House Prices," CEPR Discussion Papers, Centre for Economic Policy Research, number 8361, Apr.
• Kilian, Lutz & Inoue, Atsushi, 2011, "Inference on Impulse Response Functions in Structural VAR Models," CEPR Discussion Papers, Centre for Economic Policy Research, number 8419, Jun.
• Gautier, Pieter & van Vuuren, Aico, 2011, "A Flexible Test for Present Bias and Time Preferences using Land-Lease Contracts," CEPR Discussion Papers, Centre for Economic Policy Research, number 8512, Aug.
• Rossi, Barbara & Inoue, Atsushi, 2011, "Out-of-Sample Forecast Tests Robust to the Choice of Window Size," CEPR Discussion Papers, Centre for Economic Policy Research, number 8542, Aug.
• Taylor, Alan M. & Schularick, Moritz & Jordà , Oscar, 2011, "When Credit Bites Back: Leverage, Business Cycles, and Crises," CEPR Discussion Papers, Centre for Economic Policy Research, number 8678, Dec.
• Dolado, Juan José & Ortigueira, Salvador & Stucchi, Rodolfo, 2011, "Does dual employment protection affect TFP? Evidence from Spanish manufacturing firms," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we1137, Dec.
• Vincent VANDENBERGHE, 2011, "Firm-level Evidence on Gender Wage Discrimination in the Belgian Private Economy," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2011016, Apr.
• Adrien Bonache & Karen Moris, 2011, "Premières preuves empiriques de chaos dans les ventes de biens à la mode - First empirical evidence of chaos in the sales of fashion goods," Working Papers CREGO, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations, number 1110602, Jun.
• Christian Dreger & Jürgen Wolters, 2011, "Money and Inflation in the Euro Area during the Financial Crisis," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1131.
• Barbara Rossi & Atsushi Inoue, 2011, "Out-of-Sample Forecast Tests Robust to Window Size Choice," Working Papers, Duke University, Department of Economics, number 11-04.
• Barbara Rossi & Tatevik Sekhposyan, 2011, "Forecast Optimality Tests in the Presence of Instabilities," Working Papers, Duke University, Department of Economics, number 11-18.
• Viktor Todorov & George Tauchen, 2011, "Inverse Realized Laplace Transforms for Nonparametric Volatility Estimation in Jump-Diffusions," Working Papers, Duke University, Department of Economics, number 11-21.
• George Tauchen, 2011, "Levy Process Models for High Frequency Financial Data," Working Papers, Duke University, Department of Economics, number 11-22.
• Viktor Todorov & George Tauchen & Iaryna Grynkiv, 2011, "Volatility Activity: Specification and Estimation," Working Papers, Duke University, Department of Economics, number 11-23.
• ESCOBARI, Diego, 2011, "Testing for Stochastic and Beta-convergence in Latin American Countries," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 11, issue 2.
• Matteo Luciani, 2011, "Forecasting with Approximate Dynamic Factor Models: the Role of Non-Pervasive Shocks," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2011‐022, Jul.
• John V. Duca & John Muellbauer & Anthony Murphy, 2011, "House Prices and Credit Constraints: Making Sense of the US Experience," Economic Journal, Royal Economic Society, volume 121, issue 552, pages 533-551, May.
• Peter R. Hansen & Asger Lunde & James M. Nason, 2011, "The Model Confidence Set," Econometrica, Econometric Society, volume 79, issue 2, pages 453-497, March.
• Chen, Xiaoshan & MacDonald, Ronald, 2011, "Realised and Optimal Monetary Policy Rules in an Estimated Markov-Switching DSGE Model of the United Kingdom," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2011-21.
• Jochmann, Markus & Koop, Gary, 2011, "Regime-Switching Cointegration," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2011-36.
• Jochmann, Markus & Koop, Gary, 2011, "Regime-Switching Cointegration," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2011-60.
• Malley, James & Woitek, Ulrich, 2011, "Productivity shocks and aggregate fluctuations in an estimated endogenous growth model with human capital," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2011-71.
• Belmonte, Miguel A & Koop, Gary & Korobilis, Dimitris, 2011, "Hierarchical Shrinkage in Time-Varying Parameter Models," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2012-68, Jun.
• Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael, 2011, "How much nominal rigidity is there in the US economy? Testing a new Keynesian DSGE model using indirect inference," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 12, pages 2078-2104, DOI: 10.1016/j.jedc.2011.08.009.
• Naraidoo, Ruthira & Raputsoane, Leroi, 2011, "Optimal monetary policy reaction function in a model with target zones and asymmetric preferences for South Africa," Economic Modelling, Elsevier, volume 28, issue 1-2, pages 251-258, January.
• Naraidoo, Ruthira & Raputsoane, Leroi, 2011, "Optimal monetary policy reaction function in a model with target zones and asymmetric preferences for South Africa," Economic Modelling, Elsevier, volume 28, issue 1, pages 251-258, DOI: 10.1016/j.econmod.2010.09.005.
• Ryu, Hang Keun, 2011, "Subjective model selection rules versus passive model selection rules," Economic Modelling, Elsevier, volume 28, issue 1, pages 459-472, DOI: 10.1016/j.econmod.2010.08.002.
• Balcilar, Mehmet & Gupta, Rangan & Shah, Zahra B., 2011, "An in-sample and out-of-sample empirical investigation of the nonlinearity in house prices of South Africa," Economic Modelling, Elsevier, volume 28, issue 3, pages 891-899, May.