Research classified by Journal of Economic Literature (JEL) codes

1. Forecasting with DSGE Models
2. Forecasting

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• Jin Seo Cho & Peter C.B. Phillips, undated, "Testing Equality of Covariance Matrices via Pythagorean Means," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1970.

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• Goczek, Łukasz, undated, "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.
• J.A. Bikker & L. Spierdijk, 2008, "How Banking Competition changed over Time," Working Papers, Utrecht School of Economics, number 08-04, Feb.
• J.A. Bikker, 2008, "Sizing up performance measures in the financial services sector," Working Papers, Utrecht School of Economics, number 08-36, Dec.
• Jennifer Castle & David Hendry, 2008, "The Long-Run Determinants of UK Wages, 1860-2004," Economics Series Working Papers, University of Oxford, Department of Economics, number 409, Oct.
• Yasuo Hirose & Takushi Kurozumi & Willem Van Zandweghe, 2020, "Monetary Policy and Macroeconomic Stability Revisited," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 37, pages 255-274, July, DOI: 10.1016/j.red.2020.03.001.
• Francesco Furlanetto & Paolo Gelain & Marzie Taheri Sanjani, 2021, "Output Gap, Monetary Policy Trade-offs, and Financial Frictions," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 41, pages 52-70, July, DOI: 10.1016/j.red.2010.07.004.
• Sebastian Letmathe & Yuanhua Feng & André Uhde, undated, "Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall," Journal of Risk, Journal of Risk.