Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting with DSGE Models
2. Forecasting

1986

• Tim Bollerslev, 1986, "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI RP 1986/01, Sep.

1985

• Juan Urrutia Elejalde, 1985, "Crisis y desempleo. Una rerracionalización de desequilibrio de parte del ajuste liberal de la crisis," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, volume 1, issue 04, pages 53-78.
• Iñigo Garayalde & L. Rodríguez de Yurre, 1985, "Perspectivas del mercado de trabajo en la C.A.P.V. Aplicación de un modelo de simulación ad hoc," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, volume 1, issue 04, pages 169-196.
• Grady, Patrick, 1985, "The state of the art in Canadian macroeconomic modelling," MPRA Paper, University Library of Munich, Germany, number 19474, Mar.
• Bianchi, Carlo & Brillet, Jean-Louis & Calzolari, Giorgio, 1985, "Effectiveness versus reliability of policy actions under government budget constraint: the case of France," MPRA Paper, University Library of Munich, Germany, number 29055, Aug.

1984

• Brownstone, David, 1984, "Information Criterion and Estimation of Misspecified Qualitative Choice Models," Working Paper Series, Research Institute of Industrial Economics, number 128, Aug.
• Bianchi, Carlo & Brillet, Jean-Louis & Calzolari, Giorgio, 1984, "Analyse et mesure de l'incertitude en prevision d'un modele econometrique. Application au modele mini-DMS
  [Analysis and measurement of forecast uncertainty in an econometric model. Application to mini-DMS model]," MPRA Paper, University Library of Munich, Germany, number 22565, revised 1984.

1982

• Krumm, Ronald J. & Graves, Philip E., 1982, "Morbidity and pollution: model specification analysis for time-series data on hospital admissions," MPRA Paper, University Library of Munich, Germany, number 19906.
• Bianchi, Carlo & Calzolari, Giorgio, 1982, "Evaluating forecast uncertainty due to errors in estimated coefficients: empirical comparison of alternative methods," MPRA Paper, University Library of Munich, Germany, number 22559.
• Bianchi, Carlo & Calzolari, Giorgio & Sartori, Franco, 1982, "Stime 2SLS con componenti principali di un modello non lineare dell' economia italiana
  [2SLS with principal components: estimation of a nonlinear model of the Italian economy]," MPRA Paper, University Library of Munich, Germany, number 22665, revised 1982.
• Krumm, Ronald J. & Graves, Philip E., 1982, "Morbidity and pollution: Model specification analysis for time-series data on hospital admissions," Journal of Environmental Economics and Management, Elsevier, volume 9, issue 4, pages 311-327, December.

1978

• Hausman, Jerry A, 1978, "Specification Tests in Econometrics," Econometrica, Econometric Society, volume 46, issue 6, pages 1251-1271, November.

1977

• Calzolari, Giorgio & Corsi, Paolo, 1977, "Stochastic simulation as a validation tool for econometric models," MPRA Paper, University Library of Munich, Germany, number 21226, Sep.

1976

• J. A. Hausman, 1976, "Specification Tests in Econometrics," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics, number 185, Aug.
• Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1976, "Simulation properties of alternative methods of estimation: an application to a model of the Italian economy," MPRA Paper, University Library of Munich, Germany, number 22965, revised 1976.

1975

• Subramaniam, Viswanatha, 1975, "Productivity Implications of Performance Appraisal System (Full Version)," MPRA Paper, University Library of Munich, Germany, number 107449, Jun.

0

• Jaroslav Pavlicek & Ladislav Kristoufek, 2019, "Modeling UK Mortgage Demand Using Online Searches," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2019/18, Jul, revised Jul 2019.
• Gary Koop & Dimitris Korobilis, , "A new index of financial conditions," Working Papers, Business School - Economics, University of Glasgow, number 2013_06.
• Carlo A. Favero & Riccardo Rovelli, , "Modeling and identifying central banks' preferences," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 148.
• Michael Artis & Anindya Banerjee & Massimiliano Marcellino, , "Factor forecasts for the UK," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 203.
• Claudio Cicinelli & Andrea Cossio & Francesco Nucci & Ottavio Ricchi & Cristian Tegami, , "The Italian Treasury Econometric Model (ITEM)," Working Papers, Department of the Treasury, Ministry of the Economy and of Finance, number wp2008-1.
• Fabrizio Cipollini & Giampiero M Gallo & Alessandro Palandri, 0, "Realized Variance Modeling: Decoupling Forecasting from Estimation," Journal of Financial Econometrics, Oxford University Press, volume 18, issue 3, pages 532-555.
• Axel Bücher & Peter N Posch & Philipp Schmidtke, 0, "Using the Extremal Index for Value-at-Risk Backtesting," Journal of Financial Econometrics, Oxford University Press, volume 18, issue 3, pages 556-584.
• Francesco Audrino & Enrico De Giorgi, 0, "Beta Regimes for the Yield Curve," Journal of Financial Econometrics, Oxford University Press, volume 5, issue 3, pages 456-490.
• Fahmida E. Moula & Chi Guotai & Mohammad Zoynul Abedin, 2017, "Credit default prediction modeling: an application of support vector machine," Risk Management, Palgrave Macmillan, volume 19, issue 2, pages 158-187, May, DOI: 10.1057/s41283-017-0016-x.
• Ian Laker & Chun-Kai Huang & Allan Ernest Clark, 2017, "Dependent bootstrapping for value-at-risk and expected shortfall," Risk Management, Palgrave Macmillan, volume 19, issue 4, pages 301-322, November, DOI: 10.1057/s41283-017-0023-y.
• Roberto S. Mariano & Suleyman Ozmucur, , "Lawrence R. Klein’s Principles in Modeling and Contributions in Nowcasting, Real-Time Forecasting, and Machine Learning," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 20-034.
• Jingwei Pan, 0000, "Evaluating Correlation Forecasts Under Asymmetric Loss," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 11413234.
• Tshepiso Mahura & Johannes Tshepiso Tsoku & Daniel Metsileng, 0000, "Modelling the dependency structure among the BRICS market returns using Copula ARMA-EGARCH approach," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 15316773.
• Lebotsa Daniel Metsileng & Johannes Tshepiso Tsoku, 0000, "Modelling the South African inflation rate using Box-Jenkins ARIMA models," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 15316783.
• Khusrav Gaibulloev & Todd Sandler & Donggyu Sul, , "Reevaluating Terrorism and Economic Growth: Dynamic Panel Analysis and Cross-Sectional Dependence," Economics Working Papers, School of Business Administration, American University of Sharjah, number 02-03/2013.
• Sharada Davidson & Chenghan Hou & Gary Koop, , "Investigating Economic Uncertainty Using Stochastic Volatility in Mean VARs: The Importance of Model Size, Order-Invariance and Classification," Working Papers, University of Strathclyde Business School, Department of Economics, number 2306.
• Mattia Guerini & Alessio Moneta, 2016, "A Method for Agent-Based Models Validation," Working Papers Series, Institute for New Economic Thinking, number 42, Apr, DOI: 10.2139/ssrn.2772133.
• Duc Hong Vo & Ha Minh Nguyen & Anh The Vo & Michael McAleer, 2019, "CO2 emissions, energy consumption and economic growth: Evidence from the Trans-Pacific Partnership," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2019-08, Mar.
• Michael McAleer, 2019, "What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2019-17, Mar.
• Michael McAleer, 2019, "What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2019-18, Mar.
• Francis X. Diebold & Lutz Kilian, , "Measuring Predictability: Theory and Macroeconomic Applications," CARESS Working Papres, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences, number 97-19.
• J. Fitzgerald & P. Gottschalk & R. Moffitt, , "An Analysis of Sample Attrition in Panel Data: The Michigan Panel Study of Income Dynamics," Institute for Research on Poverty Discussion Papers, University of Wisconsin Institute for Research on Poverty, number 1156-98.
• Haiqiang Chen, , "Robust Estimation and Inference for Threshold Models with Integrated Regressors," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2013-12-02.
• Jaedo Choi & Jin Seo Cho & Hyungsik Roger Moon, 2020, "Sequentially Estimating the Structural Equation by Power Transformation," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2020rwp-162, Feb.
• Elias Tzavalis & Michael Wickens, , "The Rational Expectations Hypothesis of the Term Structure: reconciling the evidence," Discussion Papers, Department of Economics, University of York, number 95/33.
• Francesco Audrino & Enrico De Giorgi, , "Beta Regimes for the Yield Curve," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 244.
• Rotger, Gabriel Pons, , "Testing for Seasonal Unit Roots with Temporally Aggregated Time Series," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2003-16.
• Edig, Xenia van & Schwarze, Stefan & Zeller, Manfred, 2013, "Poverty Assessment by Proxy-Means Tests: Are Indicator-Based Estimations Robust over Time? A Study from Central Sulawesi, Indonesia," Quarterly Journal of International Agriculture, Humboldt-Universitaat zu Berlin, volume 52, issue 01, pages 1-23, February, DOI: 10.22004/ag.econ.155485.
• Daniel Heymann & Gabriel Montes Rojas, 2018, "On Model-Consistent Expectations in Macroeconomics," Documentos de trabajo del Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET), Universidad de Buenos Aires, Facultad de Ciencias Económicas, Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET), number 2018-37, Dec.
• A. Gabrielsen & P. Zagaglia & A. Kirchner & Z. Liu, 2012, "Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework," Papers, arXiv.org, number 1206.1380, Jun.
• Muhammad Khan & Mazen Kebewar & Nikolay Nenovsky, 2013, "Inflation Uncertainty, Output Growth Uncertainty and Macroeconomic Performance: Comparing Alternative Exchange Rate Regimes in Eastern Europe," Papers, arXiv.org, number 1303.6192, Mar.
• Gergely Ganics & Lluc Puig Codina, 2025, "Simple Tests for the Correct Specification of Conditional Predictive Densities," Working Papers, Banco de España, number 2535, Sep, DOI: https://doi.org/10.53479/40825.
• María Ripoll & Martha Misas & Enrique López, 1995, "Una Descripción del Ciclo Industrial en Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 033, May, DOI: 10.32468/be.33.
• Diego Mauricio Vásuez & Luis Fernando Melo, 2002, "Estimación de la Estructura a Plazos de las Tasas de Interés en Colombia por Medio del Método de Funciones B-Spline Cúbicas," Borradores de Economia, Banco de la Republica de Colombia, number 210, May, DOI: 10.32468/be.210.
• Timo Terasvirta & Andrés González, 2006, "Modelling autoregressive processes with a shifting mean," Borradores de Economia, Banco de la Republica de Colombia, number 420, Dec, DOI: 10.32468/be.420.
• Jacobo Campo Robledo, 2007, "Efecto de los cambios en el gasto y en los ingresos del gobierno sobre el PIB: Una caracterización empírica para Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 475, Dec.
• Oscar Becerra & Luis Fernando Melo, 2008, "Medidas de riesgo financiero usando cópulas: teoría y aplicaciones," Borradores de Economia, Banco de la Republica de Colombia, number 489, Feb, DOI: 10.32468/be.489.
• Dairo Estrada & Javier Gutiérrez Rueda, 2008, "Supervisión y regulación del sistema financiero: Modelos, implicaciones y alcances," Borradores de Economia, Banco de la Republica de Colombia, number 490, Feb, DOI: 10.32468/be.490.
• Andrés González & Hernán Rincón & Norberto Rodríguez, 2008, "La transmisión de los choques a la tasa de cambio sobre la inflación de los bienes importados en presencia de asimetrías," Borradores de Economia, Banco de la Republica de Colombia, number 532, Oct, DOI: 10.32468/be.532.
• Jean Pietro Bonaldi, 2010, "Identification problems in the solution of linearized DSGE models," Borradores de Economia, Banco de la Republica de Colombia, number 593, Mar, DOI: 10.32468/be.593.
• Eliana González, 2010, "Bayesian Model Averaging. An Application to Forecast Inflation in Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 604, May, DOI: 10.32468/be.604.
• Andrés González & Omar Mendoza & Hernán Rincón & Norberto Rodríguez, 2010, "Ciclo económico y efecto inflacionario de la depreciación de la moneda," Borradores de Economia, Banco de la Republica de Colombia, number 611, Jun, DOI: 10.32468/be.611.
• Luis Fernando Melo Velandia & Joan Camilo Granados Castro, 2010, "Regulación y Valor en Riesgo," Borradores de Economia, Banco de la Republica de Colombia, number 615, Jul, DOI: 10.32468/be.615.
• Martha López P. & Fernando Tenjo G. & Héctor Zárate Solano, 2010, "The Risk-Taking Channel and Monetary Transmission Mechanism in Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 616, Jul, DOI: 10.32468/be.616.
• Hernán Rincón & Jorge Toro, 2010, "Are Capital Controls and Central Bank Intervention Effective?," Borradores de Economia, Banco de la Republica de Colombia, number 625, Oct, DOI: 10.32468/be.625.
• Eliana González, 2011, "Forecasting With Many Predictors. An Empirical Comparison," Borradores de Economia, Banco de la Republica de Colombia, number 643, Feb, DOI: 10.32468/be.643.
• Andrés González & Franz Hamann, 2011, "Lack of Credibility, Inflation Persistence and Disinflation in Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 658, May, DOI: 10.32468/be.658.
• Santiago Gamba Santamaría & Oscar Fernando Jaulín Méndez & Luis Fernando Melo Velandia & Carlos Andrés Quicazán Moreno, 2015, "Comparación De Métodos Para La Estimación De La Incertidumbre Del Valor En Riesgo," Temas de Estabilidad Financiera, Banco de la Republica de Colombia, number 83, Dec, DOI: 10.32468/tef.83.
• Tom Doan, 2025, "APBREAKTEST: RATS procedure to implement Andrews-Ploberger Structural Break Test," Statistical Software Components, Boston College Department of Economics, number RTS00006, revised .
• Tom Doan, 2025, "APGRADIENTTEST: RATS procedure to perform Andrews-Ploberger Structural Break Test for GARCH/Maximum Likelihood," Statistical Software Components, Boston College Department of Economics, number RTS00007, revised .
• Tom Doan, 2025, "KPSS: RATS procedure to perform KPSS (Kwiatowski, Phillips, Schmidt, and Shin) stationarity test," Statistical Software Components, Boston College Department of Economics, number RTS00100, revised .
• Tom Doan, 2025, "REGHBREAK: RATS procedure to perform structural break test with bootstrapped p-values," Statistical Software Components, Boston College Department of Economics, number RTS00176, revised .
• Tom Doan, 2025, "WESTCHOTEST: RATS procedure to perform Heteroscedasticity-robust serial correlation test," Statistical Software Components, Boston College Department of Economics, number RTS00252, revised .
• Tom Doan, 2025, "RATS programs to replicate structural break test with Hansen's fixed regressor bootstrap," Statistical Software Components, Boston College Department of Economics, number RTZ00089, revised .
• Tom Doan, 2025, "RATS programs to replicate Ireland's JEDC 2004 estimation of DSGE model," Statistical Software Components, Boston College Department of Economics, number RTZ00104, revised .
• Tom Doan, 2025, "RATS programs to replicate Willinger, Taqqu, Teverovsky(1999)," Statistical Software Components, Boston College Department of Economics, number RTZ00167, revised .
• Pierre Perron & Gabriel Rodríguez, , "Residuals-based Tests for Cointegration with GLS Detrended Data," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2015-017, revised 19 Oct 2015.
• Gilles DANIEL & Didier SORNETTE & Peter WOHRMANN, 2008, "Look-Ahead Benchmark Biasin Portfolio Performance Evaluation," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-33, Oct.
• Philippe HUBER & Olivier SCAILLET & Maria-Pia VICTORIA-FESER, 2008, "Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-45, Dec.
• Patrick GAGLIARDINI & Elisa OSSOLA & Olivier SCAILLET, 2011, "Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-40, Aug.
• Patrick GAGLIARDINI & Elisa OSSOLA & Olivier SCAILLET, 2011, "Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 11-41, Aug.
• Paul SCHNEIDER, 2014, "Generalized Risk Premia," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 14-29, Jul.
• Angie ANDRIKOGIANNOPOULOU & Filippos PAPAKONSTANTINOU, 2014, "A Direct and Full-Information Estimation of the Distribution of Skill in the Mutual Fund Industry," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 14-42, Jun, revised Dec 2014.
• Diego ARDILA & Dorsa SANADGOL & Peter CAUWELS & Didier SORNETTE, 2014, "Identification and Critical Time Forecasting of Real Estate Bubbles in the U.S.A and Switzerland," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 14-44, Jul.
• Vannetelbosch, V. J., 1996, "Testing between alternative wage-employment bargaining models using Belgian aggregate data," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1233, Jan, DOI: 10.1016/0927-5371(95)00003-8.
• KIRMAN, Alan & TEYSSIÈRE, Gilles, 2002, "Microeconomic models for long memory in the volatility of financial time series," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1593, Jan.
• GIOT, Pierre & LAURENT, Sébastien, 2003, "Market risk in commodity markets: a VaR approach," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1682, Jan, DOI: 10.1016/S0140-9883(03)00052-5.
• GIOT, Pierre & LAURENT, Sébastien, 2003, "Value-at-Risk for long and short trading positions," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1707, Jan, DOI: 10.1002/jae.710.
• GIOT, Pierre & LAURENT, Sébastien, 2004, "Modelling daily Value-at-Risk using realized volatility and ARCH type models," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1708, Jan.
• BAUWENS, Luc & GIOT, Pierre & GRAMMIG, Joachim & VEREDAS, David, 2004, "A comparison of financial duration models via density forecasts," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1746, Jan, DOI: 10.1016/j.ijforecast.2003.09.014.
• BAUWENS, Luc & HAFNER, Christian M. & ROMBOUTS, Jeroen VK, 2007, "Multivariate mixed normal conditional heteroskedasticity," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1906, Jan, DOI: 10.1016/j.csda.2006.10.012.
• BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen VK, 2010, "Theory and inference for a Markov switching Garch model," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2303, Jan, DOI: 10.1111/j.1368-423X.2009.00307.x.
• Shuo Cao & Huichou Huang & Ruirui Liu & Ronald MacDonald, 2017, "The Term Structure of Exchange Rate Predictability: Commonality, Scapegoat, and Disagreement," GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit, number GRU_2017_013, Jul.
• Jin Seo Cho & Peter C.B. Phillips, , "Testing Equality of Covariance Matrices via Pythagorean Means," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1970.
• Beatrice PATARACCHIA, 2008, "Design-Limits in Regime-Switching cases," EcoMod2008, EcoMod, number 23800104, Jul.
• CARDENETE M. Alejandro & SANCHO Ferran, 2010, "Sensitivity of Simulation Results to Competing SAM Updates," EcoMod2003, EcoMod, number 330700031, Jan.
• ISMIHAN Mustafa & METIN-OZCAN Kivilcim & TANSEL Aysit, 2010, "Macroeconomic Instability, Capital Accumulation and Growth: The Case of Turkey 1963-1999," EcoMod2003, EcoMod, number 330700071, Jan.

None

• Goczek, Łukasz, None, "Metody ekonometryczne w modelach wzrostu gospodarczego," Gospodarka Narodowa-The Polish Journal of Economics, Szkoła Główna Handlowa w Warszawie / SGH Warsaw School of Economics, volume 2012, issue 10, DOI: 10.22004/ag.econ.358640.
• Adda Jérôme & Robin Jean-Marc, 2003, "Aggregation of Non Stationary Demand Systems," The B.E. Journal of Economic Analysis & Policy, De Gruyter, volume 2, issue 1, pages 1-41, June, DOI: 10.2202/1538-0645.1032.
• Milas Costas & Legrenzi Gabriella, 2006, "Non-linear Real Exchange Rate Effects in the UK Labour Market," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 1, pages 1-34, March, DOI: 10.2202/1558-3708.1285.
• Borovkova Svetlana & Geman Helyette, 2006, "Analysis and Modelling of Electricity Futures Prices," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 3, pages 1-16, September, DOI: 10.2202/1558-3708.1372.
• Chiang Min-Hsien, 2007, "A Smooth Transition Autoregressive Conditional Duration Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 1, pages 1-39, March, DOI: 10.2202/1558-3708.1313.
• González Andrés & Teräsvirta Timo, 2008, "Modelling Autoregressive Processes with a Shifting Mean," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 1, pages 1-28, March, DOI: 10.2202/1558-3708.1459.
• Sun Wei & Rachev Svetlozar & Stoyanov Stoyan V. & Fabozzi Frank J., 2008, "Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 2, pages 1-37, May, DOI: 10.2202/1558-3708.1572.
• Sajjad Rasoul & Coakley Jerry & Nankervis John C, 2008, "Markov-Switching GARCH Modelling of Value-at-Risk," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 3, pages 1-31, September, DOI: 10.2202/1558-3708.1522.
• Choi Seungmoon, 2009, "Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 1, pages 1-41, March, DOI: 10.2202/1558-3708.1614.
• Broto Carmen & Ruiz Esther, 2009, "Testing for Conditional Heteroscedasticity in the Components of Inflation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 2, pages 1-30, May, DOI: 10.2202/1558-3708.1620.
• Rombouts Jeroen V. K. & Bouaddi Mohammed, 2009, "Mixed Exponential Power Asymmetric Conditional Heteroskedasticity," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 3, pages 1-32, May, DOI: 10.2202/1558-3708.1645.
• Pavlidis Efthymios G & Paya Ivan & Peel David A, 2010, "Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 3, pages 1-40, May, DOI: 10.2202/1558-3708.1702.
• Ramalho Esmeralda A., 2010, "Covariate Measurement Error: Bias Reduction under Response-Based Sampling," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 4, pages 1-34, September, DOI: 10.2202/1558-3708.1695.
• Flamini Alessandro & Milas Costas, 2011, "Real-Time Optimal Monetary Policy with Undistinguishable Model Parameters and Shock Processes Uncertainty," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 2, pages 1-43, March, DOI: 10.2202/1558-3708.1845.
• Seo Byeongseon, 2011, "Nonparametric Testing for Linearity in Cointegrated Error-Correction Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 2, pages 1-28, March, DOI: 10.2202/1558-3708.1598.
• Bernardi Mauro & Della Corte Giuseppe & Proietti Tommaso, 2011, "Extracting the Cyclical Component in Hours Worked," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 3, pages 1-28, May, DOI: 10.2202/1558-3708.1818.
• Bårdsen Gunnar & Hurn Stanley & McHugh Zöe, 2012, "Asymmetric Unemployment Rate Dynamics in Australia," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 16, issue 1, pages 1-22, January, DOI: 10.1515/1558-3708.1813.
• Bec Frédérique & Ben Salem Mélika & Collard Fabrice, 2002, "Asymmetries in Monetary Policy Reaction Function: Evidence for U.S. French and German Central Banks," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 6, issue 2, pages 1-22, July, DOI: 10.2202/1558-3708.1006.
• Ramsey James B., 2002, "Wavelets in Economics and Finance: Past and Future," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 6, issue 3, pages 1-29, November, DOI: 10.2202/1558-3708.1090.
• Iregui Ana María & Milas Costas & Otero Jesus, 2002, "On The Dynamics Of Lending And Deposit Interest Rates In Emerging Markets: A Non-Linear Approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 6, issue 3, pages 1-21, November, DOI: 10.2202/1558-3708.1093.
• Riani Marco, 2004, "Extensions of the Forward Search to Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-25, May, DOI: 10.2202/1558-3708.1208.
• Grossi Luigi, 2004, "Analyzing Financial Time Series through Robust Estimators," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-15, May, DOI: 10.2202/1558-3708.1224.
• Lee Kai Ming & Koopman Siem Jan, 2004, "Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-17, May, DOI: 10.2202/1558-3708.1210.
• Baghli Mustapha, 2005, "Nonlinear Error-Correction Models for the FF/DM Rate," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 1, pages 1-43, March, DOI: 10.2202/1558-3708.1085.
• Park Joon Y. & Whang Yoon-Jae, 2005, "A Test of the Martingale Hypothesis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 2, pages 1-32, June, DOI: 10.2202/1558-3708.1163.
• Diks Cees & Panchenko Valentyn, 2005, "A Note on the Hiemstra-Jones Test for Granger Non-causality," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 2, pages 1-9, June, DOI: 10.2202/1558-3708.1234.
• Maheu John, 2005, "Can GARCH Models Capture Long-Range Dependence?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 4, pages 1-43, December, DOI: 10.2202/1558-3708.1269.
• Marcucci Juri, 2005, "Forecasting Stock Market Volatility with Regime-Switching GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 4, pages 1-55, December, DOI: 10.2202/1558-3708.1145.
• Jiri Panos & Petr Polak, 2019, "How to Improve the Model Selection Procedure in a Stress-testing Framework," Working Papers, Czech National Bank, Research and Statistics Department, number 2019/9, Dec.