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

Top JEL

/ C: Mathematical and Quantitative Methods

/ / C5: Econometric Modeling

/ / /

**C52: Model Evaluation, Validation, and Selection**

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

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

Most recent items first, undated at the end.

**Modeling and Forecasting Crude Oil Price Volatility: Evidence from Historical and Recent Data**

*by*Thomas Lux & Mawuli K. Segnon & Rangan Gupta

**Der Prognostiker des Jahres: Ein Zufallsergebnis? Möglichkeiten einer mehrdimensionalen Evaluierung von Konjunkturprognosen**

*by*Döhrn, Roland

**EuroMInd-D: A density estimate of monthly gross domestic product for the euro area**

*by*Proietti, Tommaso & Marczak, Martyna & Mazzi, Gianluigi

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

*by*Barunik, Jozef & Barunikova, Michaela

**Modeling and forecasting crude oil price volatility: Evidence from historical and recent data**

*by*Lux, Thomas & Segnon, Mawuli & Gupta, Rangan

**We provide mathematical proofs for the results in "Testing Linearity Using Power Transforms of Regressors"**

*by*YAE IN BAEK & Jin Seo Cho & PETER C.B. PHILLIPS

**Testing Linearity Using Power Transforms of Regressors**

*by*YAE IN BAEK & Jin Seo Cho & PETER C.B. PHILLIPS

**Bayesian Variable Selection in Spatial Autoregressive Models**

*by*Jesus Crespo Cuaresma & Philipp Piribauer

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

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

**The Econometrics of Networks: A Review**

*by*Daniel Felix Ahelegbey

**Global Equity Market Volatility Spillovers: A Broader Role for the United States**

*by*Buncic, Daniel & Gisler, Katja I. M.

**Direct calibration and comparison of agent-based herding models of financial markets**

*by*Sylvain Barde

**A Practical, Universal, Information Criterion over Nth Order Markov Processes**

*by*Sylvain Barde

**Frontiers in Time Series and Financial Econometrics: An Overview**

*by*Shiqing Ling & Michael McAleer & Howell Tong

**On the Invertibility of EGARCH(p,q)**

*by*Guillaume Gaetan Martinet & Michael McAleer

**A Note on the Flexibility of the Barnett and Hahm Functional Form**

*by*Diewert, W. Erwin

**Model Equivalence Tests for Overidentifying Restrictions**

*by*Lavergne, Pascal

**TIPS and the VIX: Spillovers from Stock Market Panic to Breakeven Inflation in an Automated, Non-linear Modeling Framework**

*by*Josh R. Stillwagon

**Were the Scandinavian Banking Crises Predictable? A Neural Network Approach**

*by*Kim Ristolainen

**Specification Testing in Hawkes Models**

*by*Francine Gresnigt & Erik Kole & Philip Hans Franses

**In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models**

*by*Francisco Blasques & Siem Jan Koopman & Katarzyna Lasak & André Lucas

**On the Ambiguous Consequences of Omitting Variables**

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

**On the Invertibility of EGARCH(p,q)**

*by*Guillaume Gaetan Martinet & Michael McAleer

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

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

**The Explanatory Power and the Forecast Performance of Consumer Confidence Indices for Private Consumption Growth in Turkey**

*by*Hatice Gokce Karasoy & Caglar Yunculer

**Forecast Combination, Non-linear Dynamics, and the Macroeconomy**

*by*Christopher Gibbs

**Short-term Forecasting of Real GDP Using Monthly Data**

*by*Juraj Hucek & Alexander Karsay & Marian Vavra

**Small-scale nowcasting models of GDP for selected CESEE countries**

*by*Martin Feldkircher & Florian Huber & Josef Schreiner & Julia Woerz & Marcel Tirpak & Peter Toth

**Financial Stock Market Co-movement and Correlation: Evidence in the European Union (EU) Area Before and After the October 2008 Financial Crisis**

*by*Serdar Neslihanoglu

**Using Stanford Parser Method For Assessing The Competencies Of It Professionals**

*by*Elena Alexandra Toader

**Generalised partial autocorrelations and the mutual information between past and future**

*by*Alessandra Luati & Tommaso Proietti

**EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area**

*by*Tommaso Proietti & Martyna Marczak & Gianluigi Mazzi

**On the Selection of Common Factors for Macroeconomic Forecasting**

*by*Alessandro Giovannelli & Tommaso Proietti

**Forecasting with VAR Models: Fat Tails and Stochastic Volatility**

*by*Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter

**Is Gold an Inflation-Hedge? Evidence from an Interrupted Markov-Switching Cointegration Model**

*by*Goodness C. Aye & Tsangyao Chang & Rangan Gupta

**Forecasting Inflation in an Inflation Targeting Economy: Structural Versus Non-Structural Models**

*by*Rangan Gupta & Alessia Paccagnini & Charles Rahal

**Modification of the LCOE model to estimate a cost of heat and power generation for Russia**

*by*Bratanova, Alexandra & Robinson, Jacqueline & Wagner, Liam

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

*by*Barnett, William

**Quantile forecasts of inflation under model uncertainty**

*by*Korobilis, Dimitris

**A misspecification test for finite-mixture logistic models for clustered binary and ordered responses**

*by*Francesco, Bartolucci & Silvia, Bacci & Claudia, Pigini

**Prior selection for panel vector autoregressions**

*by*Korobilis, Dimitris

**A Note on DD Approach**

*by*Dinda, Soumyananda

**Environmental attitude, motivations and values for marine biodiversity protection**

*by*Halkos, George & Matsiori, Steriani

**Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty**

*by*Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris

**Nowcasting Regional GDP: The Case of the Free State of Saxony**

*by*Henzel, Steffen & Lehmann, Robert & Wohlrabe, Klaus

**Stock Market Dynamics, Leveraged Network-Based Financial Accelerator and Monetary Policy**

*by*Riccetti, Luca & Russo, Alberto & Gallegati, Mauro

**Measuring the Core Inflation in Turkey with the SM-AR Model**

*by*Kulaksizoglu, Tamer

**The Out-of-sample Performance of an Exact Median-Unbiased Estimator for the Near-Unity AR(1) Model**

*by*Medel, Carlos & Pincheira, Pablo

**Multivariate Forecasting with BVARs and DSGE Models**

*by*Berg, Tim Oliver

**News Shocks and Labor Market Dynamics in Matching Models**

*by*Francesco Zanetti & Konstantinos Theodoridis

**Business process simulation models usually incorporate several nodes that are important for the goal of the simulation, such as model of trading function reflecting the customer behavior, procurement function modeling company inputs and production & logistics optimization function. When modeling the management decisions the management function model with loopback on company economic outputs is also needed. However, the pain formulation of processes to be simulated often lacks some important internal links. That is why some formal approach can be important for the simulation success. In the presented paper an abstract architecture of business company model is defined and described formally. Next, the abstract model changed by incorporating it’s active entities – software agents. On this base a method of registering agents’ actions by means of a simulation run log is derived. The proposed approach combines basic notions of abstract agents’ architectures with process mining methodology. The process mining cases are represented by messages sent among the agents. The messages are then abstracted from the agents in order to obtain cases and process log registration. The process log is the used for model verification by means of Petri net and social networks calculated by process mining ProM6 software modules. Finally, the model validation with real data collected by a real company is presented showing that the company model and the agent structure is viable and corresponds to the real data company outputs**

*by*Dominik Vymětal & Sohei Ito

**Minimising Selection Failure and Measuring Tax Gap: An Empirical Model**

*by*Kumar, Sudhanshu & Rao, R. Kavita

**Natural Experiment Policy Evaluation: A Critique**

*by*Christopher A. Hennessy & Ilya A. Strebulaev

**A Note on the Validity of Cross-Validation for Evaluating Time Series Prediction**

*by*Christoph Bergmeir & Rob J Hyndman & Bonsoo Koo

**A Note on Possible Estimation Bias When Studying Persons with Work Disability in Active Labour Market Programs**

*by*Gerdes, Christer

**Google Trends and Forecasting Performance of Exchange Rate Models**

*by*Levent Bulut

**Google Arama Motoru ve Turk Lirasi-Dolar Kurunu Belirleyen Yapýsal Modeller**

*by*Levent Bulut

**Dynamics of Real Per Capita GDP**

*by*Daniel Neuhoff & & &

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

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

**Forecasting Moscow Ambulance Trips**

*by*Filipp Bykov & Vladimir A. Gordin

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

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

**Correlation and efficiency of propensity score-based estimators for average causal effects**

*by*Pingel, Ronnie & Waernbaum, Ingeborg

**Baserunning - analyzing the sensitivity and economies of scale of the Swedish national freight model system using stochastic production-consumption-matrices**

*by*Westin , Jonas & de Jong , Gerard & Vierth , Inge & Krüger , Niclas & Karlsson, Rune & Johansson, Magnus

**A comparative Study of Volatility Breaks**

*by*Grote, Claudia & Bertram, Philip

**Forecasting an Aggregate in the Presence of Structural Breaks in the Disaggregates**

*by*William Larson

**Can A Subset Of Forecasters Beat The Simple Average In The Spf?**

*by*Constantin Burgi

**Targeting Performance and Poverty Effects of Proxy Means-Tested Transfers: Trade-offs and Challenges**

*by*Stephan Klasen & Simon Lange

**Accuracy and Poverty Impacts of Proxy Means-Tested Transfers: An Empirical Assessment for Bolivia**

*by*Stephan Klasen & Simon Lange

**Prior selection for panel vector autoregressions**

*by*Dimitris Korobilis.

**Quantile forecasts of in‡ation under model uncertainty**

*by*Dimitris Korobilis.

**Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty**

*by*Joseph P. Byrne & Shuo Cao. & Dimitris Korobilis.

**The Role of News-Based Uncertainty Indices in Predicting Oil Markets: A Hybrid Nonparametric Quantile Causality Method**

*by*Mehmet Balcilar & Stelios Bekiros & Rangan Gupta

**On the Invertibility of EGARCH(p,q)**

*by*Martinet, G.G. & McAleer, M.J.

**Estimating US fiscal and monetary interactions: from Volcker chairmanship to the Great Recession**

*by*Eddie Gerba & Klemens Hauzenberger

**Bayesian model comparison for time-varying parameter VARs with stochastic volatility**

*by*Joshua C.C. Chan & Eric Eisenstat

**A Bayesian model comparison for trend-cycle decompositions of output**

*by*Joshua C.C. Chan & Angelia L. Grant

**Modeling energy price dynamics: GARCH versus stochastic volatility**

*by*Joshua C.C. Chan & Angelia L. Grant

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

*by*Francesco Furlanetto & Nicolas Groshenny

**Pitfalls of Estimating the Marginal Likelihood Using the Modified Harmonic Mean**

*by*Joshua C.C. Chan & Angelia L. Grant

**Exact P-Values for Network Interference**

*by*Athey, Susan & Eckles, Dean & Imbens, Guido W.

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

*by*Christophe Gouel & Nicolas Legrand

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

*by*Ha-Thu Nguyen

**War, Housing Rents, and Free Market: A Case of Berlin's Rental Housing Market during the World War I**

*by*Konstantin A. Kholodilin

**Relaxing Rational Expectations**

*by*Lance Kent

**MGARCH models: tradeoff between feasibility and flexibility**

*by*Daniel De Almeida & Luiz Hotta & Esther Ruiz

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

*by*Janine Aron & John Muellbauer & Rachel Sebudde

**Testing macro models by indirect inference: a survey for users**

*by*Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael R. & Xu, Yongdeng

**Comparing Indirect Inference and Likelihood testing: asymptotic and small sample results**

*by*Meenagh, David & Minford, Patrick & Wickens, Michael R. & Xu, Yongdeng

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

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

**Small sample performance of indirect inference on DSGE models**

*by*Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael R.

**Prediciendo decisiones de agentes económicos: ¿Cómo determina el Banco de la República de Colombia la tasa de interés?**

*by*Gustavo Nicolás Páez

**Can a data-rich environment help identify the sources of model misspecification?**

*by*Francesca Monti

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

*by*André Kallåk Anundsen & Ragnar Nymoen

**Nowcasting Regional GDP: The Case of the Free State of Saxony**

*by*Steffen Henzel & Robert Lehmann & Klaus Wohlrabe

**Asymptotic Variance of Brier (Skill) Score in the Presence of Serial Correlation**

*by*Kajal Lahiri & Liu Yang

**Restrictions on Risk Prices in Dynamic Term Structure Models**

*by*Michael D. Bauer

**Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models**

*by*Jan Frederik Kiviet & Milan Pleus & Rutger Poldermans

**Testing macro models by indirect inference: a survey for users**

*by*Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael & Xu, Yongdeng

**Comparing Indirect Inference and Likelihood testing: asymptotic and small sample results**

*by*Meenagh, David & Minford, Patrick & Wickens, Michael & Xu, Yongdeng

**Small sample performance of indirect inference on DSGE models**

*by*Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael

**Forecasting with VAR models: fat tails and stochastic volatility**

*by*Chiu, Ching-Wai (Jeremy) & Mumtaz, Haroon & Pinter, Gabor

**Can a data-rich environment help identify the sources of model misspecification?**

*by*Monti, Francesca

**Identification and real-time forecasting of Norwegian business cycles**

*by*Knut Are Aastveit & Anne Sofie Jore & Francesco Ravazzolo

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

*by*André K. Anundsen & Ragnar Nymoen

**Alternative Tests for Correct Specification of Conditional Predictive Densities**

*by*Barbara Rossi & Tatevik Sekhposyan

**Structural and atheoretic approaches to micro-econometrics of public policy evaluation.(in french)**

*by*S. Roux

**News Shocks and Labor Market Dynamics in Matching Models**

*by*Konstantinos Theodoridis & Francesco Zanetti

**A hat matrix for monotonicity constrained B-spline and P-spline regression**

*by*Kagerer, Kathrin

**Aggregate Inflation Forecast with Bayesian Vector Autoregressive Models**

*by*Cesar Carrera & Alan Ledesma

**A Misspecification Test for Finite-Mixture Logistic Models for Clustered Binary and Ordered Responses**

*by*Francesco BARTOLUCCI & Silvia BACCI & Claudia PIGINI

**Fighting Terrorism: Empirics on Policy Harmonization**

*by*Simplice Asongu & Jacinta C. Nwachukwu

**FDI, Aid, Terrorism: Conditional Threshold Evidence from Developing Countries**

*by*Simplice Asongu & Uchenna EFOBI & Ibukun BEECROFT

**Determinants of Growth in Fast Developing Countries: Evidence from Bundling and Unbundling Institutions**

*by*Simplice Asongu

**Drivers of Growth in Fast Emerging Economies: A Dynamic Instrumental Quantile Approach**

*by*Simplice Asongu

**Conditional determinants of FDI in fast emerging economies: an instrumental quantile regression approach**

*by*Simplice Asongu & Oasis Kodila-Tedika

**Drivers of FDI in Fast Growing Developing Countries: Evidence from Bundling and Unbundling Governance**

*by*Simplice Asongu & Jacinta C. Nwachukwu

**Generalised partial autocorrelations and the mutual information between past and future**

*by*Tommaso Proietti & Alessandra Luati

**Counting Processes for Retail Default Modeling**

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

**EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area**

*by*Tommaso Proietti & Martyna Marczak & Gianluigi Mazzi

**Nowcasting GDP in Greece: A Note on Forecasting Improvements from the Use of Bridge Models**

*by*Dimitra Lamprou

**A Comparative Analysis Of Macroeconomic Forecasts Accuracy In Spain And Romania**

*by*Simionescu, Mihaela

**Specification tests in econometrics**

*by*Hausman, Jerry

**Alternative models for forecasting the key macroeconomic variables in Armenia (in Russian)**

*by*Karen Poghosyan

**Nowcasting Regional GDP: The Case of the Free State of Saxony**

*by*Steffen R. Henzel & Robert Lehmann & Klaus Wohlrabe

**Forecasting Accuracy of a Multi-Country Macroeconometric Model for the Former Yugoslavia/Capacidad predictiva de los modelos estructurales frente a modelos de series temporales. Aplicación a un sistema multi-país en la antigua Yugoslavia**

*by*WEYERSTRASS, KLAUS

**On the Ability to Disentangle the Two Errors in the Normal/Half-Normal Stochastic Frontier Model /Sobre la capacidad de separar los dos errores en el modelo de frontera estocástica normal/half-normal**

*by*GAVILAN, JOSE M. & ORTEGA IRIZO, FCO. JAVIER

**From Learning to Productive Active Life in Romania and European Union**

*by*Mariana Balan

**Averaging Across Asset Allocation Models**

*by*Peter Schanbacher

**Asset Pricing and Probability of Information-based Trading: Application to the Tunisian Stock Market**

*by*Tarek Bouchaddekh & Abdelfatteh Bouri & Makram Nouaili

**Early Warning Indicators of Banking Crisis in Asian Countries**

*by*Raja HMILI & Taoufik BOURAOUI

**Accounting data and the credit spread: An empirical investigation**

*by*Demirovic, Amer & Tucker, Jon & Guermat, Cherif

**Risky choices and emotion-based learning**

*by*Lucarelli, Caterina & Uberti, Pierpaolo & Brighetti, Gianni & Maggi, Mario

**Measuring consumer perceptions of payment mode**

*by*Khan, Jashim & Belk, Russell W. & Craig-Lees, Margaret

**ECB policy and Eurozone fragility: Was De Grauwe right?**

*by*Saka, Orkun & Fuertes, Ana-Maria & Kalotychou, Elena

**Generalized risk premia**

*by*Schneider, Paul

**Mixture pair-copula-constructions**

*by*Weiß, Gregor N.F. & Scheffer, Marcus

**Barrier style contracts under Lévy processes: An alternative approach**

*by*Fajardo, José

**Detection of arbitrage in a market with multi-asset derivatives and known risk-neutral marginals**

*by*Tavin, Bertrand

**Measuring the liquidity part of volume**

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

**Robustness of distance-to-default**

*by*Jessen, Cathrine & Lando, David

**A wavelet-based nonlinear ARDL model for assessing the exchange rate pass-through to crude oil prices**

*by*Jammazi, Rania & Lahiani, Amine & Nguyen, Duc Khuong

**Max-factor individual risk models with application to credit portfolios**

*by*Denuit, Michel & Kiriliouk, Anna & Segers, Johan

**Testing equality of modified Sharpe ratios**

*by*Ardia, David & Boudt, Kris

**The intrinsic bounds on the risk premium of Markovian pricing kernels**

*by*Han, Jihun & Park, Hyungbin

**Rational speculative bubbles in the US stock market and political cycles**

*by*Wang, Miao & Wong, M. C. Sunny

**Sentiment in oil markets**

*by*Deeney, Peter & Cummins, Mark & Dowling, Michael & Bermingham, Adam

**A note on using the Hodrick–Prescott filter in electricity markets**

*by*Weron, Rafał & Zator, Michał

**Real option valuation of power transmission investments by stochastic simulation**

*by*Pringles, Rolando & Olsina, Fernando & Garcés, Francisco

**Volatility transmission in global financial markets**

*by*Clements, A.E. & Hurn, A.S. & Volkov, V.V.

**The fine structure of equity-index option dynamics**

*by*Andersen, Torben G. & Bondarenko, Oleg & Todorov, Viktor & Tauchen, George

**Option pricing with non-Gaussian scaling and infinite-state switching volatility**

*by*Baldovin, Fulvio & Caporin, Massimiliano & Caraglio, Michele & Stella, Attilio L. & Zamparo, Marco

**Testing linearity using power transforms of regressors**

*by*Baek, Yae In & Cho, Jin Seo & Phillips, Peter C.B.

**Hybrid generalized empirical likelihood estimators: Instrument selection with adaptive lasso**

*by*Caner, Mehmet & Fan, Qingliang

**Simulated maximum likelihood estimation for discrete choices using transformed simulated frequencies**

*by*Lee, Donghoon & Song, Kyungchul

**Model selection tests for moment inequality models**

*by*Shi, Xiaoxia

**Asymptotic analysis of the squared estimation error in misspecified factor models**

*by*Onatski, Alexei

**Forecasting with factor-augmented regression: A frequentist model averaging approach**

*by*Cheng, Xu & Hansen, Bruce E.

**Disentangling the effects of multiple treatments—Measuring the net economic impact of the 1995 great Hanshin-Awaji earthquake**

*by*Fujiki, Hiroshi & Hsiao, Cheng

**Nested forecast model comparisons: A new approach to testing equal accuracy**

*by*Clark, Todd E. & McCracken, Michael W.

**Distribution theory of the least squares averaging estimator**

*by*Liu, Chu-An

**Residual-based rank specification tests for AR–GARCH type models**

*by*Andreou, Elena & Werker, Bas J.M.

**Tests for overidentifying restrictions in Factor-Augmented VAR models**

*by*Han, Xu

**Copula-MGARCH with continuous covariance decomposition**

*by*Herwartz, Helmut & Raters, Fabian H.C.

**Flexible model comparison of unobserved components models using particle Gibbs with ancestor sampling**

*by*Nonejad, Nima

**Prediction model averaging estimator**

*by*Xie, Tian

**Pitfalls of estimating the marginal likelihood using the modified harmonic mean**

*by*Chan, Joshua C.C. & Grant, Angelia L.

**Consistency of model averaging estimators**

*by*Zhang, Xinyu

**The misuse of the Vuong test for non-nested models to test for zero-inflation**

*by*Wilson, Paul

**Log versus level in VAR forecasting: 42 million empirical answers—Expect the unexpected**

*by*Mayr, Johannes & Ulbricht, Dirk

**Moment matching versus Bayesian estimation: Backward-looking behaviour in a New-Keynesian baseline model**

*by*Franke, Reiner & Jang, Tae-Seok & Sacht, Stephen

**Identification of DSGE models—The effect of higher-order approximation and pruning**

*by*Mutschler, Willi

**An Econometric Investigation of Forecasting Premium Fuel**

*by*Samuel Yeboah Asuamah & Joseph Ohene-Manu

**The Relation between Current Account Deficit and Tourism: The Case of Turkey**

*by*Elçin Aykac Alp & Elif Guneren Genc

**Predicción de la volatilidad en el mercado del petróleo mexicano ante la presencia de efectos asimétricos**

*by*Raúl De Jesús Gutiérrez & Reyna Vergara González & Miguel A. Díaz Carreño

**Forecasting Tourist Arrivals To Langkawi Island Malaysia**

*by*Kamarul Ariffin MANSOR & Wan Irham ISHAK

**Evaluating Econometric Evaluations of Post-Secondary Aid**

*by*Josh Angrist & David Autor & Sally Hudson & Amanda Pallais

**Machine Learning Methods for Demand Estimation**

*by*Patrick Bajari & Denis Nekipelov & Stephen P. Ryan & Miaoyu Yang

**A Measure of Robustness to Misspecification**

*by*Susan Athey & Guido Imbens

**La cópula GED bivariada. Una aplicación en entornos de crisis**

*by*Mendoza, Alfonso. & Galvanovskis, Evalds.

**Specifying parameters in computable general equilibrium models using optimal fingerprint detection methods**

*by*Koesler, Simon

**Structural labor supply models and wage exogeneity**

*by*Löffler, Max & Peichl, Andreas & Siegloch, Sebastian

**Assessing the Macroeconomic Forecasting Performance of Boosting: Evidence for the United States, the Euro Area, and Germany**

*by*Teresa, Buchen & Wohlrabe, Klaus

**A score-test on measurement errors in rating transition times**

*by*Rafael Weißbach, Rafael & Voß, Sebastian

**Outperforming IMF Forecasts by the Use of Leading Indicators**

*by*Drechsel, Katja & Giesen, Sebastian & Lindner, Axel

**Monitoring Stationarity and Cointegration**

*by*Wagner, Martin & Wied, Dominik

**China's national production function since 1997: A reinvestigation**

*by*Zhu, Yanyuan & Feng, Xiao

**Testing for near I(2) trends when the signal to noise ratio is small**

*by*Juselius, Katarina

**Modeling dynamics of metal price series via state space approach with two common factors**

*by*Golosnoy, Vasyl & Rossen, Anja

**On the degree of homogeneity in dynamic heterogeneous panel data models**

*by*Offermanns, Christian J.

**Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte**

*by*Krasnosselski, Nikolai & Cremers, Heinz & Sanddorf, Walter

**Bank's strategies during the financial crisis**

*by*Recchioni, Maria Cristina & Tedeschi, Gabriele & Berardi, Simone

**Do media data help to predict German industrial production?**

*by*Kholodilin, Konstantin A. & Thomas, Tobias & Ulbricht, Dirk

**Impulse response matching estimators for DSGE models**

*by*Guerron-Quintana, Pablo & Inoue, Atsushi & Kilian, Lutz

**Marginalized predictive likelihood comparisons of linear Gaussian state-space models with applications to DSGE, DSGEVAR, and VAR models**

*by*Warne, Anders & Coenen, Günter & Christoffel, Kai

**Identification of prior information via moment-matching**

*by*Sacht, Stephen

**Updating the option implied probability of default methodology**

*by*Vilsmeier, Johannes

**Testing the Equality of Two Positive-Definite Matrices with Application to Information Matrix Testing**

*by*JIN SEO CHO & HALBERT WHITE

**Evaluating the performance of VaR models in energy markets**

*by*Sasa Zikovic & Rafal Weron & Ivana Tomas Zikovic

**The Impact of Brazilian Regional Development Funds on Regional Economic Growth: A spatial panel approach**

*by*Guilherme Resende & Tulio Cravo & Alexandre Carvalho

**Power laws in citation distributions: Evidence from Scopus**

*by*Michał Brzeziński

**Empirical modeling of the impact factor distribution**

*by*Michał Brzeziński

**Modelización econométrica de la demanda de turistas británicos a España**

*by*Marcos Álvarez-Díaz & Manuel González-Gómez & María Soledad Otero-Giráldez & Ana Belén Trigo Iglesias

**Sparse Graphical Vector Autoregression: A Bayesian Approach**

*by*Roberto Casarin & Daniel Felix Ahelegbey & Monica Billio

**Precious Metals Under the Microscope: A High-Frequency Analysis**

*by*Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G.

**Heterogeneous Agents, the Financial Crisis and Exchange Rate Predictability**

*by*Buncic, Daniel & Piras, Gion Donat

**Forecasting Copper Prices with Dynamic Averaging and Selection Models**

*by*Buncic, Daniel & Moretto, Carlo

**Model comparisons in unstable environments**

*by*Raffaella Giacomini & Barbara Rossi

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**Testing the New Keynesian Model on U.S. and Euro Area Data**

*by*Juselius, Mikael

**Forecast Evaluation of Explanatory Models of Financial Return Variability**

*by*Sucarrat, Genaro

**Evaluating the New Keynesian Phillips Curve under VAR-Based Learning**

*by*Fanelli, Luca

**Should We Trust the Empirical Evidence from Present Value Models of the Current Account?**

*by*Mercereau, Benoît & Miniane, Jacques Alain

**The New Keynesian Phillips curve tested on OECD panel data**

*by*Bjørnstad, Roger & Nymoen, Ragnar

**Value-at-Risk and expected shortfall for rare events**

*by*Mittnik, Stefan & Yener, Tina

**Exact inference in diagnosing value-at-risk estimates: A Monte Carlo device**

*by*Herwartz, Helmut

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

*by*Michael G. Arghyrou & Maria Dolores Gadea

**Detecting Selection Bias in Community Disseminations of Universal Family-Based Prevention Programs**

*by*Laura Griner Hill & Scott G. Goates & Robert Rosenman

**Evaluating Alternative Representations of the Choice Sets in Models of Labour Supply**

*by*R. Aaberge & T. Wennemo & U. Colombino

**Agglomeration Externalities, Innovation and Regional Growth: Theoretical Perspectives and Meta-Analysis**

*by*Henri L.F. de Groot & Jacques Poot & Martijn J. Smit

**Agglomeration Externalities, Innovation and Regional Growth: Theoretical Perspectives and Meta-Analysis**

*by*Henri L.F. de Groot & Jacques Poot & Martijn J. Smit

**Cointegration Rank Test and Long Run Specification: A Note on the Robustness of Structural Demand Systems**

*by*D. Aristei & Luca Pieroni

**Design Limits in Regime-Switching Cases**

*by*Beatrice Pataracchia

**Testing for Granger (non)-Causality in a Time Varying Coefficient VAR Model**

*by*Dimitris K. Christopoulos & Miguel Leon-Ledesma

**Comparison of Misspecified Calibrated Models: The Minimum Distance Approach**

*by*Hnatkovska, Viktoria & Marmer, Vadim & Tang, Yao

**Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit**

*by*Marmer, Vadim & Otsu, Taisuke

**The FDI-Growth Nexus in Latin America : The Role of Source Countries and Local Conditions**

*by*Prüfer, P. & Tondl, G.

**A Comparison of Two Averaging Techniques with an Application to Growth Empirics**

*by*Magnus, J.R. & Powell, O.R. & Prüfer, P.

**Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts**

*by*Cees Diks & Valentyn Panchenko & Dick van Dijk

**Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk**

*by*Rodney W. Strachan & Herman K. van Dijk

**Global Loss Diversification in the Insurance Sector**

*by*Oleg Sheremet & Andr� Lucas

**Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails**

*by*Cees Diks & Valentyn Panchenko & Dick van Dijk

**An Hourly Periodic State Space Model for Modelling French National Electricity Load**

*by*V. Dordonnat & S.J. Koopman & M. Ooms & A. Dessertaine & J. Collet

**Out-of-sample comparison of copula specifications in multivariate density forecasts**

*by*Cees Diks & Valentyn Panchenko & Dick van Dijk

**Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails**

*by*Cees Diks & Valentyn Panchenko & Dick van Dijk

**A Note on Long Horizon Forecasts of Nonlinear Models of Real Exchange Rates: Comments on Rapach and Wohar (2006)**

*by*Daniel Buncic

**Is There A Trade-off Between Regional Growth and National Income? Theory and Evidence from the EU**

*by*Young-Bae Kim

**Neural Network Models for Inflation Forecasting: An Appraisal**

*by*Ali Choudhary & Adnan Haider

**Asymmetric Price Responses and the Underlying Energy Demand Trend: Are they Substitutes or Complements? Evidence from Modelling OECD Aggregate Energy Demand**

*by*Olutomi I Adeyemi & David C Broadstock & Mona Chitnis & Lester C Hunt & Guy Judge

**The effects of R&D tax credits on patenting and innovations**

*by*Ådne Cappelen & Arvid Raknerud & Marina Rybalka

**A Demand System for Input Factors when there are Technological Changes in Production**

*by*Håvard Hungnes

**Nonfundamental Representations of the Relation between Technology Shocks and Hours Worked**

*by*Matteo Barigozzi & Marco Capasso

**One for All and All for One:Regression Checks With Many Regressors**

*by*Pascal Lavergne & Valentin Patilea

**The income distribution with coarse data**

*by*Reza Daniels

**Economic Impact of Political Cycles – The Relevance of European experinces for Romania**

*by*Jula, Dorin

**The Sub-Prime Crisis and UK Monetary Policy**

*by*Christopher Martin & Costas Milas

**Diffusion des innovations technologiques, emploi et théorie de compensation (The diffusion of technological innovations, employment and the compensation theory)**

*by*Sami Saafi

**The Small Open-Economy New Keynesian Phillips Curve: Empirical Evidence and Implied Inflation Dynamics**

*by*Alexander Mihailov & Fabio Rumler & Johann Scharler

**Combining Multivariate Density Forecasts Using Predictive Criteria**

*by*Hugo Gerard & Kristoffer Nimark

**Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives**

*by*Adam Clements & A S Hurn & K A Lindsay

**Estimating the Payoffs of Temperature-based Weather Derivatives**

*by*Adam Clements & A S Hurn & K A Lindsay

**It never rains but it pours: Modelling the persistence of spikes in electricity prices**

*by*T M Christensen & A S Hurn & K A Lindsay

**Forecasting investment: A fishing contest using survey data**

*by*Sara Serra & José R. Maria

**Determining the number of factors in approximate factor models with global and group-specific factors**

*by*Francisco Craveiro Dias & Maximiano Pinheiro & António Rua

**The Commodity Terms of Trade, Unit Roots, and Nonlinear Alternatives: A Smooth Transition Approach**

*by*Goodwin, Barry K. & Holt, Matthew T. & Prestemon, Jeffery P.

**Extracting the Cyclical Component in Hours Worked: a Bayesian Approach**

*by*Bernardi, Mauro & Della Corte, Giuseppe & Proietti, Tommaso

**Modeling Expectations with Noncausal Autoregressions**

*by*Lanne, Markku & Saikkonen, Pentti

**Forecasting Stock Market Volatilities Using MIDAS Regressions: An Application to the Emerging Markets**

*by*Alper, C. Emre & Fendoglu, Salih & Saltoglu, Burak

**A note on long horizon forecasts of nonlinear models of real exchange rates: Comments on Rapach and Wohar (2006)**

*by*Buncic, Daniel

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

*by*Guzman, Giselle C.

**Real Exchange Rate Behavior: New Evidence with Linear and Non-linear Endogenous Break(s)**

*by*Chan, Tze-Haw & Chong, Lee Lee & Khong, Wye Leong Roy

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

*by*Harding, Don & Negara, Siwage

**Evaluation du Risque d’un Echantillon de Valeurs Mobilières de la Bourse de Casablanca**

*by*Abderrazik, Amal & Boutkardine, Mehdi & El Bahi, Nour El Houda & Kartoubi, Salah Eddine & El Bouhadi, Abdelhamid

**Using Artificial intelligence to select the optimal E-CRM Based business needs**

*by*Amroush, Fadi & Baderddeen, Alkhoder & Yusef, Talal

**LES déterminants du taux de change au Maroc : Une étude empirique**

*by*El Bouhadi, A. & Elkhider, Abdelkader & Kchirid, El Mustapha & Idriss, El Abbassi

**Active Labour Market Policies in Denmark: A Comparative Analysis of Post-Program Effects**

*by*Blache, Guillaume

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

*by*Mapa, Dennis & Beronilla, Nikkin

**Forecasting in vector autoregressions with many predictors**

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**Construction d’un portefeuille efficient : Application empirique à partir d’un échantillon de valeurs cotées à la Bourse des Valeurs de Casablanca**

*by*El Bouhadi, A. & Ounir, A. & El Maguiri, M.

**Nuevas Herramientas para la Administración del Riesgo Crediticio: El caso de una Cartera Crediticia Ecuatoriana**

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

*by*Mendonca, Gui Pedro

**On the J-test for nonnested hypotheses and Bayesian extension**

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

*by*Eo, Yunjong

**Oil Prices and Real Exchange Rates in Oil-Exporting Countries: A Bounds Testing Approach**

*by*Jahan-Parvar, Mohammad R. & Mohammadi, Hassan

**The Differential Approach to Demand Analysis and the Rotterdam Model**

*by*Barnett, William A. & Serletis, Apostolos

**Measuring Consumer Preferences and Estimating Demand Systems**

*by*Barnett, William A. & Serletis, Apostolos

**Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis**

*by*Rossi, Eduardo & Spazzini, Filippo

**Empirical assessment of bifurcation regions within new Keynesian models**

*by*Barnett, William A. & Duzhak, Evgeniya A.

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

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

**Determining the Number of Market Segments Using an Experimental Design**

*by*Ana Oliveira-Brochado & Francisco Vitorino Martins

**Bootstrap Tests of Stochastic Dominance with Asymptotic Similarity on the Boundary**

*by*Oliver Linton1 & Kyungchul Song & Yoon-Jae Whang

**Testing Distributional Inequalities and Asymptotic Bias**

*by*Kyungchul Song

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

*by*Janine Aron & John Muellbauer

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

*by*Cristina Amado & Timo Teräsvirta

**Bayesian Averaging, Prediction and Nonnested Model Selection**

*by*Han Hong & Bruce Preston

**Intangible Capital and Productivity: An Exploration on a Panel of Italian Manufacturing Firms**

*by*Maria Elena Bontempi & Jacques Mairesse

**The Continuing Puzzle of Short Horizon Exchange Rate Forecasting**

*by*Kenneth S. Rogoff & Vania Stavrakeva

**Can Exchange Rates Forecast Commodity Prices?**

*by*Yu-Chin Chen & Kenneth Rogoff & Barbara Rossi

**Structural heterogeneity or asymmetric shocks? Poland and the euro area through the lens of a two-country DSGE model**

*by*Marcin Kolasa

**Density forecasting for long-term peak electricity demand**

*by*Rob J Hyndman & Shu Fan

**Beyond point forecasting: evaluation of alternative prediction intervals for tourist arrivals**

*by*Jae H. Kim & Haiyang Song & Kevin Wong & George Athanasopoulos & Shen Liu

**The tourism forecasting competition**

*by*George Athanasopoulos & Rob J Hyndman & Haiyan Song & Doris C Wu

**New prospects on vines**

*by*Dominique Guegan & Pierre-André Maugis

**CAPP_DYN: A Dynamic Microsimulation Model for the Italian Social Security System**

*by*Carlo Mazzaferro & Marcello Morciano

**Market Efficiency and the Euro: The case of the Athens Stock exchange**

*by*Theodore Panagiotidis

**Seasonal Mackey-Glass-GARCH process and short-term dynamics**

*by*Catherine Kyrtsou & Michel Terraza

**Macroeconomic Uncertainty and Performance in the European Union and Implications for the objectives of Monetary Policy**

*by*Don Bredin & Stilianos Fountas

**Oil Prices: Heavy Tails, Mean Reversion and the Convenience Yield**

*by*Bernard, Jean-Thomas & Khalaf, Lynda & Kichian, Maral & McMahon, Sébastien

**Nonlinear Impacts of International Business Cycles on the UK — a Bayesian Smooth Transition VAR**

*by*Deborah Gefang & Rodney Strachan

**Efficiency in Indonesian Banking: Recent Evidence**

*by*Muliaman D. Hadad & Maximilian J. B. Hall & Wimboh Santoso & Ricky Satria & Karligash Kenjegalieva & Richard Simper

**Efficiency and Malmquist Indices of Productivity Change in Indonesian Banking**

*by*Muliaman D. Hadad & Maximilian J. B. Hall & Wimboh Santoso & Ricky Satria & Karligash Kenjegalieva & Richard Simper

**Banking Efficiency and Stock Market Performance: An Analysis of Listed Indonesian Banks**

*by*Muliaman D. Hadad & Maximilian J. B. Hall & Wimboh Santoso & Ricky Satria & Karligash Kenjegalieva & Richard Simper

**Environmental Factors Affecting Hong Kong Banking: A Post-Asian Financial Crisis Efficiency Analysis**

*by*Karligash Kenjegalieva & Maximilian J. B. Hall & Richard Simper

**Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model**

*by*Christian Conrad & Menelaos Karanasos

**The Small Open-Economy New Keynesian Phillips Curve: Empirical Evidence and Implied Inflation Dynamics**

*by*Alexander Mihailov & Fabio Rumler & Johann Scharler

**Do Temporary Contracts Affect TFP? Evidence from Spanish Manufacturing Firms**

*by*Dolado, Juan José & Stucchi, Rodolfo

**Do Temporary Contracts Affect TFP? Evidence from Spanish Manufacturing Firms**

*by*Dolado, Juan J. & Stucchi, Rodolfo

**Alternative Approaches to Evaluation in Empirical Microeconomics**

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**Alternative Approaches to Evaluation in Empirical Microeconomics**

*by*Blundell, Richard & Costa Dias, Monica

**Testing Mundell’s Intuition of Endogenous OCA Theory**

*by*Warin, Thierry & Wunnava, Phanindra V. & Janicki, Hubert

**Testing Mundell's Intuition of Endogenous OCA Theory**

*by*Warin, Thierry & Wunnava, Phanindra V. & Janicki, Hubert

**Recent Developments in the Econometrics of Program Evaluation**

*by*Imbens, Guido W. & Wooldridge, Jeffrey M.

**Recent Developments in the Econometrics of Program Evaluation**

*by*Imbens, Guido W. & Wooldridge, Jeffrey M.

**Minimizing Bias in Selection on Observables Estimators When Unconfoundness Fails**

*by*Millimet, Daniel L. & Tchernis, Rusty

**Minimizing Bias in Selection on Observables Estimators When Unconfoundness Fails**

*by*Millimet, Daniel L. & Tchernis, Rusty

**Estimating the Causal Effect of Gun Prevalence on Homicide Rates: A Local Average Treatment Effect Approach**

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

**Estimating the Causal Effect of Gun Prevalence on Homicide Rates: A Local Average Treatment Effect Approach**

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

**Evaluating the German (New Keynesian) Phillips Curve**

*by*Rolf Scheufele

**Forecasting Using Functional Coefficients Autoregressive Models**

*by*Giancarlo Bruno

**Specification Tests of Parametric Dynamic Conditional Quantiles**

*by*Juan Carlos Escanciano & Carlos Velasco

**Minimizing Bias in Selection on Observables Estimators When Unconfoundness Fails**

*by*Daniel Millimet & Rusty Tchernis

**On the Specification of Propensity Scores: with Applications to the Analysis of Trade Policies**

*by*Daniel Millimet & Rusty Tchernis

**Growth Expectation**

*by*Ippei Fujiwara

**Catching Growth Determinants with the Adaptive LASSO**

*by*Schneider, Ulrike & Wagner, Martin

**Optimizing Time-series Forecasts for Inflation and Interest Rates Using Simulation and Model Averaging**

*by*Jumah, Adusei & Kunst, Robert M.

**Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary**

*by*Oliver Linton & Kyungchul Song & Yoon-Jae Whang

**Testing directional forecast value in the presence of serial correlation**

*by*Oliver Blaskowitz & Helmut Herwartz

**Testing Multiplicative Error Models Using Conditional Moment Tests**

*by*Nikolaus Hautsch

**Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models**

*by*Nikolaus Hautsch & Vahidin Jeleskovic

**Measuring and Modeling Risk Using High-Frequency Data**

*by*Wolfgang Härdle & Nikolaus Hautsch & Uta Pigorsch

**JBendge: An Object-Oriented System for Solving, Estimating and Selecting Nonlinear Dynamic Models**

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**The Accuracy of Long-term Real Estate Valuations**

*by*Rainer Schulz & Markus Staiber & Martin Wersing & Axel Werwatz

**Solving, Estimating and Selecting Nonlinear Dynamic Models without the Curse of Dimensionality**

*by*Viktor Winschel & Markus Krätzig

**House Prices and Replacement Cost: A Micro-Level Analysis**

*by*Rainer Schulz & Axel Werwatz

**A Consistent Nonparametric Test for Causality in Quantile**

*by*Kiho Jeong & Wolfgang Härdle

**Value-at-Risk and Expected Shortfall when there is long range dependence**

*by*Wolfgang Härdle & Julius Mungo

**Environmental Factors Affecting Hong Kong Banking: A Post-Asian Financial Crisis Efficiency Analysis**

*by*Maximilian J. B. Hall & Karligash A. Kenjegalieva & Richard Simper

**Stability Tests for Heterogeneous Panel Data**

*by*Felix Chan & Tommaso Mancini-Griffoli & Laurent L. Pauwels

**Comparing Forecast Performance of Exchange Rate Models**

*by*Lillie Lam & Laurence Fung & Ip-wing Yu

**Test of the Gaussian Copula on the Swedish Stock Market**

*by*Söderberg, Jonas

**Willingness to Pay for Car Safety: Sensitivity to Time Framing**

*by*Andersson, Henrik & Hammitt, James & Lindberg, Gunnar & Sundström, Kristian

**Firm Default and Aggregate Fluctuations**

*by*Jacobson, Tor & Kindell, Rikard & Lindé, Jesper & Roszbach, Kasper

**Macroeconomic Impact on Expected Default Frequency**

*by*Åsberg Sommar, Per & Shahnazarian, Hovick

**Proxying ability by family background in returns to schooling estimations is generally a bad idea**

*by*Mellander, Erik & Sandgren-Massih, Sofia

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

*by*Amado, Cristina & Teräsvirta, Timo

**Performance Evaluation Based on the Robust Mahalanobis Distance and Multilevel Modelling Using Two New Strategies**

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

**Estimating open economy Phillips curves for the euro area with directly measured expectations**

*by*Paloviita, Maritta

**Cointegration implications of linear rational expectation models**

*by*Juselius, Mikael

**A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets**

*by*Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi

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

*by*Christian T. Brownlees & Giampiero Gallo

**Value-at-Risk on Central and Eastern European Stock Markets: An Empirical Investigation Using GARCH Models**

*by*Vít Bubák

**Path Forecast Evaluation**

*by*Òscar Jordà & Massimiliano Marcellino

**Seasonality in revisions of macroeconomic data**

*by*Franses, Ph.H.B.F. & Segers, R.

**Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary**

*by*Oliver Linton & Kyungchul Song & Yoon-Jae Whang

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

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

**The Frequency Of Price Adjustment And New Keynesian Business Cycle Dynamics**

*by*Richard Dennis

**Modelling Thirty Five Years Of Coffee Prices In Brazil, Guatemala And India**

*by*Sushil Mohan & Bill Russell

**Has modelsí forecasting performance for US output growth and inflation changed over time, and when?**

*by*Tatevik Sekhposyan & Barbara Rossi

**Forecast Comparisons in Unstable Environments**

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**Can Exchange Rates Forecast Commodity Prices?**

*by*Chen, Yu-chin & Rogoff, Kenneth & Rossi, Barbara

**Which Structural Parameters Are "Structural"? Identifying the Sources of Instabilities in Economic Models**

*by*Inoue, Atsushi & Rossi, Barbara

**How Banking competition Changed over Time**

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**Tests for Unbalanced Error Component Models Under Local Misspecication**

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**Money Velocity and Asset Prices in the Euro Area**

*by*Christian Dreger & Jürgen Wolters

**M3 Money Demand and Excess Liquidity in the Euro Area**

*by*Christian Dreger & Jürgen Wolters

**Money Velocity and Asset Prices in the Euro Area**

*by*Christian Dreger & Jürgen Wolters

**M3 Money Demand and Excess Liquidity in the Euro Area**

*by*Christian Dreger & Jürgen Wolters

**Catching up in total factor productivity through the business cycle : evidence from Spanish manufacturing surveys**

*by*Alvaro Escribano & Rodolfo Stucchi

**Statistical Properties and Economic Implications of Jump-Diffusion Processes with Shot-Noise Effects**

*by*Manuel Moreno & Pedro Jose Serrano & Winfried Stute

**Evaluating the Effect of Public Subsidies on firm R&D activity: an Application to Italy Using the Community Innovation Survey**

*by*Giovanni Cerulli & Bianca Poti'

**Modelling and measuring the effects of public subsidies on business R&D: theoretical and econometric issues**

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

*by*Janine Aron & John Muellbauer

**Monetary Policy Regimes and the Term Structure of Interest Rates**

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**Firm Default and Aggregate Fluctuations**

*by*Jacobson, Tor & Kindell, Rikard & Lindé, Jesper & Roszbach, Kasper F.

**Do Temporary Contracts Affect TFP? Evidence from Spanish Manufacturing Firms**

*by*Dolado, Juan J. & Stucchi, Rodolfo

**Path Forecast Evaluation**

*by*Jordà, Òscar & Marcellino, Massimiliano

**How much structure in empirical models?**

*by*Canova, Fabio

**Evaluating CPB's published GDP growth forecasts; a comparison with individual and pooled VAR based forecasts**

*by*Adam Elbourne & Henk Kranendonk & Rob Luginbuhl & Bert Smid & Martin Vromans

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

*by*Andrés González & Hernán Rincóm & Norberto Rodríguez

**Medidas De Riesgo Financiero Usando Cópulas: Teoría Y Aplicaciones**

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**Business Cycles in the Euro Area Defined with Coincident Economic Indicators and Predicted with Leading Economic Indicators**

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**Multivariate Location-Scale Mixtures Of Normals And Mean-Variance-Skwness Portfolio Allocation**

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**Distributional Tests In Multivariate Dynamic Models With Normal And Student T Innovations**

*by*Enrique Sentana & Javier Mencía

**Freedom of Choice in Macroeconomic Forecasting: An Illustration with German Industrial Production and Linear Models**

*by*Nikolay Robinzonov & Klaus Wohlrabe

**Optimal Asset Allocation with Factor Models for Large Portfolios**

*by*M. Hashem Pesaran & Paolo Zaffaroni

**The Reaction of Asset Prices to Macroeconomic Announcements in New EU Markets: Evidence from Intraday Data**

*by*Jan Hanousek & Evzen Kocenda & Ali M. Kutan

**Bootstrap Tests of Stochastic Dominance with AsymptoticSimilarity on the Boundary**

*by*Oliver Linton & Kyungchul Song & Yoon-Jae Whang

**How much nominal rigidity is there in the US economy? Testing a New Keynesian DSGE Model using indirect inference**

*by*Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael

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

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

**Path Forecast Evaluation**

*by*Oscar Jorda & Massimiliano Marcellino

**Are sectoral stock prices useful for predicting euro area GDP?**

*by*Andersson, Magnus & D'Agostino, Antonello

**Selection on the basis of prior testing**

*by*Carlos Santos

**Optimal Asset Allocation with Factor Models for Large Portfolios**

*by*Pesaran, M.H. & Zaffaroni, P.

**Model Averaging in Risk Management with an Application to Futures Markets**

*by*Pesaran, M.H. & Schleicher, C. & Zaffaroni, P.

**The impact of structural breaks on the stability of the out-of-sample predictive content of financial variables for Canada's real GDP growth: An encompassing approach**

*by*Akhter Faroque & William Veloce & Jean-Francois Lamarche

**Modelling Household Expenditure on Health Care in Greece**

*by*Manos Matsaganis & Theodore Mitrakos & Panos Tsakloglou

**Business cycle analysis and VARMA models**

*by*Christian Kascha & Karel Mertens

**Estimating New Keynesian import price models**

*by*Ida Wolden Bache & Bjørn E. Naug

**Assessing estimates of the exchange rate pass-through**

*by*Ida Wolden Bache

**Monthly forecasting of French GDP: A revised version of the OPTIM model**

*by*Barhoumi, K. & Brunhes-Lesage, V. & Darné, O. & Ferrara, L. & Pluyaud, B. & Rouvreau, B.

**Assessing the shape of the distribution of interest rates: lessons from French individual data**

*by*Lacroix, R.

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

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

**An Inflation Forecasting Model for the Euro Area**

*by*Chauvin, V. & Devulder, A.

**Testing for conditional heteroscedasticity in the components of inflation**

*by*Carmen Broto & Esther Ruiz

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

*by*Donald Coletti & René Lalonde & Dirk Muir

**On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk**

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**Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models**

*by*Christian Conrad & Enno Mammen

**Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study**

*by*Christian Conrad & Menelaos Karanasos & Ning Zeng

**Application of the Generalized Method of Moments for Estimating Continuous-Time Models of U.S. Short-Term Interest Rates**

*by*Balázs Cserna

**Expected Stock Returns and Variance Risk Premia**

*by*Tim Bollerslev & Tzuo Hao & George Tauchen

**The cyclical component factor model**

*by*Christian M. Dahl & Henrik Hansen & John Smidt

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

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

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

*by*Christina Amado & Timo Teräsvirta

**Multivariate GARCH models**

*by*Annastiina Silvennoinen & Timo Teräsvirta

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

*by*Annastiina Silvennoinen & Timo Teräsvirta

**Testing hypotheses in an I(2) model with applications to the persistent long swings in the Dmk/$ rate**

*by*Søren Johansen & Katarina Juselius & Roman Frydberg & Michael Goldberg

**Should We Trust the Empirical Evidence from Present Value Models of the Current Account?**

*by*Mercereau, Benoît & Miniane, Jacques Alain

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