## 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.

**Nowcasting des deutschen BIP**

*by*Doll, Jens & Rosenthal, Beatrice & Volkenand, Jonas & Hamella, Sandra

**Publish and Perish: Creative Destruction and Macroeconomic Theory**

*by*Chatelain, Jean-Bernard & Ralf, Kirsten

**What has caused global business cycle decoupling: Smaller shocks or reduced sensitivity?**

*by*Berger, Tino & Richter, Julia

**Dissecting the financial cycle with dynamic factor models**

*by*Menden, Christian & Proaño, Christian R.

**Model Averaging OLS and 2SLS: An Application of the WALS Procedure**

*by*Judith Anne Clarke

**The Effectiveness of Forward Guidance in an Estimated DSGE Model for the Euro Area: the Role of Expectations**

*by*Roberta Cardani & Alessia Paccagnini & Stelios D. Bekiros

**The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH**

*by*Chia-Lin Chang & Michael McAleer

**The Fiction of Full BEKK**

*by*Chia-Lin Chang & Michael McAleer

**Bayesian Estimation of the Storage Model using Information on Quantities**

*by*Gouel, Christophe & Legrand, Nicolas

**The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH**

*by*Chia-Lin Chang & Michael McAleer

**The Fiction of Full BEKK**

*by*Chia-Lin Chang & Michael McAleer

**Macro-financial effects of portfolio flows: Malaysia’s experience**

*by*Hwa, Tng Boon & Raghavan, Mala & Huey, Teh Tian

**A semi-parametric point process model of the interactions between equity markets**

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

**Agent-Based Model Calibration using Machine Learning Surrogates**

*by*Francesco Lamperti & Andrea Roventini & Amir Sani

**Does The Gravity Model Work For The Modelling Of Migration Between European Countries From 2011 To 2014?**

*by*Tatiana Polonyankina

**Are Multifractal Processes Suited to Forecasting Electricity Price Volatility? Evidence from Australian Intraday Data**

*by*Mawuli Segnon & Chi Keung Lau & Bernd Wilfling & Rangan Gupta

**Forward Ordinal Probability Models for Point-in-Time Probability of Default Term Structure**

*by*Yang, Bill Huajian

**Smoothing Algorithms by Constrained Maximum Likelihood**

*by*Yang, Bill Huajian

**Technology-driven information sharing and conditional financial development in Africa**

*by*Asongu, Simplice & Anyanwu, John & Tchamyou, Vanessa

**Foreign reserve holdings: an extended study through risk-inspired motives**

*by*Shijaku, Gerti & Dushku, Elona

**The Feldstein-Horioka puzzle and the global recession period: Evidence from South Africa using asymmetric cointegration analysis**

*by*Phiri, Andrew

**Encompassing Of Nested and Non-nested Models:Energy-Growth Models**

*by*Nazir, Sidra

**Nowcasting Slovak GDP by a Small Dynamic Factor Model**

*by*Tóth, Peter

**A Power Booster Factor for Out-of-Sample Tests of Predictability**

*by*Pincheira, Pablo

**Publish and Perish: Creative Destruction and Macroeconomic Theory**

*by*Chatelain, Jean-Bernard & Ralf, Kirsten

**Has the South African Reserve Bank responded to equity prices since the sub-prime crisis? An asymmetric convergence approach**

*by*Phiri, Andrew

**Point-in-time PD term structure models for multi-period scenario loss projection: Methodologies and implementations for IFRS 9 ECL and CCAR stress testing**

*by*Yang, Bill Huajian

**Threshold convergence between the federal fund rate and South African equity returns around the colocation period**

*by*Phiri, Andrew

**Two-part models of income distributions in Poland**

*by*Piotr Lukasiewicz & Krzysztof Karpio & Arkadiusz Orlowski

**Generalizing Smooth Transition Autoregressions**

*by*Emilio Zanetti Chini

**Model Uncertainty and the Direction of Fit of the Postwar U.S. Phillips Curve(s)**

*by*Francesca Rondina

**Poorly Measured Confounders are More Useful on the Left Than on the Right**

*by*Zhuan Pei & Jörn-Steffen Pischke & Hannes Schwandt

**Dissecting Characteristics Nonparametrically**

*by*Joachim Freyberger & Andreas Neuhierl & Michael Weber

**Social Media and Fake News in the 2016 Election**

*by*Hunt Allcott & Matthew Gentzkow

**Macroeconomic forecasting for Australia using a large number of predictors**

*by*Bin Jiang & George Athanasopoulos & Rob J Hyndman & Anastasios Panagiotelis & Farshid Vahid

**Multivariate Reflection Symmetry of Copula Functions**

*by*Monica Billio & Lorenzo Frattarolo & Dominique Guegan

**Electricity supply reliability and households decision to connect to the grid**

*by*Arnaud Millien

**Stochastic Evolution of Distributions - Applications to CDS indices**

*by*Guillaume Bernis & Nicolas Brunel & Antoine Kornprobst & Simone Scotti

**Identification-robust moment-based tests for Markov-switching in autoregressive models**

*by*Jean-Marie Dufour & Richard Luger

**U.K. Monetary Policy under Inflation Targeting**

*by*Anh Dinh Minh Nguyen

**Assessing the Impact of a Minimum Income Scheme in the Basque Country**

*by*de la Rica, Sara & Gorjón, Lucía

**Attrition in Randomized Control Trials: Using Tracking Information to Correct Bias**

*by*Molina Millán, Teresa & Macours, Karen

**Poorly Measured Confounders Are More Useful on the Left Than on the Right**

*by*Pei, Zhuan & Pischke, Jörn-Steffen & Schwandt, Hannes

**The Exchange Rate Pass-Through to CPI and its components in Oil-Exporting CIS Countries**

*by*Vugar Rahimov & Nigar Jafarova & Fuad Ganbarov

**Electoral fraud and voter turnout: An experimental study**

*by*Vardan Baghdasaryan & Giovanna Iannantuoni & Valeria Maggian

**Upward and downward bias when measuring inequality of opportunity**

*by*Paolo Brunori & Vito Peragine & Laura Serlenga

**Monetary Policy and Macroeconomic Stability Revisited**

*by*Hirose, Yasuo & Kurozumi, Takushi & Van Zandweghe, Willem

**GDP Trend-cycle Decompositions Using State-level Data**

*by*Manuel Gonzalez-Astudillo

**Mapping the Stocks in MICEX: Who Is Central in Moscow Stock Exchange?**

*by*M. Hakan Eratalay & Evgenii Vladimirov

**The Fiction of Full BEKK**

*by*Chang, C-L. & McAleer, M.J.

**The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH**

*by*Chang, C-L. & McAleer, M.J.

**Macro-financial effects of portfolio flows: Malaysia’s experience**

*by*Tng Boon Hwa & Mala Raghavan & Teh Tian Huey

**Measuring the output gap using stochastic model specification search**

*by*Joshua C C Chan & Angelia L Grant

**New Goodness-of-fit Diagnostics for Conditional Discrete Response Models**

*by*Igor Kheifets & Carlos Velasco

**Optimality of linear factor structures**

*by*Szüle, Borbála

**Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data**

*by*Mawuli Segnon & Chi Keung Lau & Bernd Wilfling & Rangan Gupta

**Empirical Evaluation of Overspecified Asset Pricing Models**

*by*Manresa, Elena & Peñaranda, Francisco & Sentana, Enrique

**Dissecting Characteristics Nonparametrically**

*by*Joachim Freyberger & Andreas Neuhierl & Michael Weber

**Forecasting multidimensional tail risk at short and long horizons**

*by*Polanski, Arnold & Stoja, Evarist

**Output gap, monetary policy trade-offs and financial frictions**

*by*Francesco Furlanetto & Paolo Gelain & Marzie Taheri Sanjani

**Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns**

*by*Claudia Foroni & Francesco Ravazzolo & Barbara Sadaba

**Conditional Market Timing in the Mutual Fund Industry**

*by*Vanessa Tchamyou & Simplice Asongu

**Mobile Phone Innovation and Environmental Sustainability in Sub-Saharan Africa**

*by*Simplice Asongu & Jacinta C. Nwachukwu

**The Impact of Terrorism on Governance in African Countries**

*by*Simplice Asongu & Jacinta C. Nwachukwu

**At What Levels of Financial Development Does Information Sharing Matter?**

*by*Simplice Asongu & Jacinta C. Nwachukwu

**Technology-driven information sharing and conditional financial development in Africa**

*by*Simplice Asongu & John C. Anyanwu & Vanessa S. Tchamyou

**Exogeneity Tests, Incomplete Models, Weak Identification and Non-Gaussian Distributions: Invariance and Finite-Sample Distributional Theory**

*by*Firmin Doko Tchatoka & Jean-Marie Dufour

**The Walking Debt Crisis**

*by*Tobias Basse & Robinson Kruse & Christoph Wegener

**Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis**

*by*Matthew T. Holt & Timo Teräsvirta

**Sir Clive Granger's contributions to nonlinear time series and econometrics**

*by*Timo Teräsvirta

**Does Statistical Significance Help to Evaluate Predictive Performance of Competing Models?**

*by*Levent Bulut

**Modelling the volatility of commodities prices using a stochastic volatility model with random level shifts**

*by*Dennis Alvaro & Ángel Guillén & Gabriel Rodríguez

**Forecast combination, non-linear dynamics, and the macroeconomy**

*by*Christopher G. Gibbs

**The determinants of voting in multilateral bargaining games**

*by*Guillaume R. Fréchette & Emanuel Vespa

**A data mining framework for targeted category promotions**

*by*Thomas Reutterer & Kurt Hornik & Nicolas March & Kathrin Gruber

**Empirical analysis of Australian consumption patterns**

*by*Lucille Wong & Eliyathamby A. Selvanathan & Saroja Selvanathan

**On the influence of US monetary policy on crude oil price volatility**

*by*Alessandra Amendola & Vincenzo Candila & Antonio Scognamillo

**The Revenue-Expenditure Nexus in Nigeria: Assymetric Cointegration Approach**

*by*Olumuyiwa Ganiyu Yinusa & Olalekan Bashir Aworinde & Isiaq Olasunkanmi Oseni

**Analysing the Relevance of the MIP Scoreboard's Indicators**

*by*Domonkos TomÃ¡Å¡ & OstrihoÅˆ Filip & Å ikulovÃ¡ Ivana & Å iraÅˆovÃ¡ MÃ¡ria

**Empirical Results of Modeling EUR/RON Exchange Rate using ARCH, GARCH, EGARCH, TARCH and PARCH models**

*by*Andreea – Cristina PETRICA & Stelian STANCU

**Modelling an Emergent Economy and Parameter Instability Problem**

*by*Emilian DOBRESCU

**Posouzení modelů odhadu tržního rizika s využitím DEA přístupu**

*by*Aleš Kresta & Tomáš Tichý & Mehdi Toloo

**Využití metody vícestavové demografie při analýze trhu práce**

*by*Martina Miskolczi & Jitka Langhamrová

**Examining of Determinants of Non-Performing Loans**

*by*Nikola Radivojevic & Jelena Jovovic

**Which Alpha?**

*by*Francisco Barillas & Jay Shanken

**What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models**

*by*Anisha Ghosh & Christian Julliard & Alex P. Taylor

**Testing for Parameter Instability across Different Modeling Frameworks**

*by*Francesco Calvori & Drew Creal & Siem Jan Koopman & André Lucas

**Forecasting Performance and Information Measures. Revisiting the M-Competition /Evaluación de Predicciones y Medidas de Información. Reexamen de la M-Competición**

*by*LÓPEZ MENÉNDEZ, ANA JESÚS & PÉREZ SUÁREZ, RIGOBERTO

**Comparing forecasts for tourism dynamics in Medellín, Colombia**

*by*Marisol Valencia Cárdenas & Juan Gabriel Vanegas López & Juan Carlos Correa Morales & Jorge Aníbal Restrepo Morales

**Magyar vállalkozások felszámolásának előrejelzése pénzügyi mutatóik idősorai alapján**

*by*Virág, Miklós & Nyitrai, Tamás

**Application of multi-level matching between financial performance and corporate social responsibility in the banking industry**

*by*Meng-Wen Wu & Chung-Hua Shen & Ting-Hsuan Chen

**The affine styled-facts price dynamics for the natural gas: evidence from daily returns and option prices**

*by*Chih-Chen Hsu & An-Sing Chen & Shih-Kuei Lin & Ting-Fu Chen

**Participation in cultural activities: specification issues**

*by*Cristina Muñiz & Plácido Rodríguez & María José Suárez

**A Practical, Accurate, Information Criterion for Nth Order Markov Processes**

*by*Sylvain Barde

**On Asymmetric Market Model with Heteroskedasticity and Quantile Regression**

*by*Cathy W. S. Chen & Muyi Li & Nga T. H. Nguyen & Songsak Sriboonchitta

**Using linear regression to establish empirical relationships**

*by*Marno Verbeek

**Does gold Liquidity learn from the greenback or the equity?**

*by*Smimou, K.

**Detecting spatial and temporal house price diffusion in the Netherlands: A Bayesian network approach**

*by*Teye, Alfred Larm & Ahelegbey, Daniel Felix

**Detecting spatial and temporal house price diffusion in the Netherlands: A Bayesian network approach**

*by*Teye, Alfred Larm & Ahelegbey, Daniel Felix

**Invariance, observational equivalence, and identification: Some implications for the empirical performance of affine term structure models**

*by*Juneja, Januj

**Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model**

*by*Leippold, Markus & Vasiljević, Nikola

**Physician payment schemes and physician productivity: Analysis of Turkish healthcare reforms**

*by*Erus, Burcay & Hatipoglu, Ozan

**Dynamic interaction between economic policy uncertainty and financial stress: A multi-scale correlation framework**

*by*Sun, Xiaolei & Yao, Xiaoyang & Wang, Jun

**Portfolio optimization of renewable energy assets: Hydro, wind, and photovoltaic energy in the regulated market in Brazil**

*by*Pinheiro Neto, Daywes & Domingues, Elder Geraldo & Coimbra, António Paulo & de Almeida, Aníbal Traça & Alves, Aylton José & Calixto, Wesley Pacheco

**Habit formation and exhaustible resource risk-pricing**

*by*Kakeu, Johnson & Nguimkeu, Pierre

**A rough multi-factor model of electricity spot prices**

*by*Bennedsen, Mikkel

**Joint price and volumetric risk in wind power trading: A copula approach**

*by*Pircalabu, A. & Hvolby, T. & Jung, J. & Høg, E.

**Assessing farmers' willingness to supply biomass as energy feedstock: Cereal straw in Apulia (Italy)**

*by*Giannoccaro, Giacomo & de Gennaro, Bernardo C. & De Meo, Emilio & Prosperi, Maurizio

**Tests of equal accuracy for nested models with estimated factors**

*by*Gonçalves, Sílvia & McCracken, Michael W. & Perron, Benoit

**Fitting a two phase threshold multiplicative error model**

*by*Perera, Indeewara & Koul, Hira L.

**Least squares estimation of large dimensional threshold factor models**

*by*Massacci, Daniele

**Forecasting cointegrated nonstationary time series with time-varying variance**

*by*Tu, Yundong & Yi, Yanping

**Impulse response matching estimators for DSGE models**

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

**On weak identification in structural VARMA models**

*by*Yao, Wenying & Kam, Timothy & Vahid, Farshid

**Bias, rationality and asymmetric loss functions**

*by*Bürgi, Constantin

**A cautionary tale on using panel data estimators to measure program impacts**

*by*Wichman, Casey J. & Ferraro, Paul J.

**Heteroscedasticity-robust model screening: A useful toolkit for model averaging in big data analytics**

*by*Xie, Tian

**On spurious regressions with partial unit root processes**

*by*Tu, Yundong

**The new MIBA model: Real-time nowcasting of French GDP using the Banque de France's monthly business survey**

*by*Mogliani, Matteo & Darné, Olivier & Pluyaud, Bertrand

**Forecasting the realized range-based volatility using dynamic model averaging approach**

*by*Liu, Jing & Wei, Yu & Ma, Feng & Wahab, M.I.M.

**A Monte Carlo procedure for checking identification in DSGE models**

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

**Reconciling output gaps: Unobserved components model and Hodrick–Prescott filter**

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

**Can Gold Investments Provide a Good Hedge Against Inflation? An Empirical Analysis**

*by*Hanan Naser

**The Asymmetric Effects of Real and Nominal Uncertainty on Inflation and Output Growth: Empirical Evidence from Bangladesh**

*by*Said Zamin Shah & Said Zamin Shah & Ahmad Zubaidi Baharumshah & Muzafar Shah Habibullah & Law Siong Hook

**Board Structure and Bank Performance: Evidence for the Greek Banking Industry during Crisis Period**

*by*Andreas G. Georgantopoulos & Ioannis Filos

**User Satisfaction Regarding Healthcare Education Services Conducted within EU Funded Projects**

*by*Anamaria-Cătălina RADU & Mihai-Cristian ORZAN & Sebastian CEPTUREANU & Ivona STOICA

**La volatilidad del tipo de cambio paralelo en Venezuela 2005-2015**

*by*Laura Daniela Castillo Paredes & Josefa Ramoni-Perazzi

**Capital accumulation, profit rates and cycles in China from 1952 to 2014: lessons from the evolution of Chinese industry**

*by*Rémy Herrera & Zhiming Long

**Specification analysis in regime-switching continuous-time diffusion models for market volatility**

*by*Bu Ruijun & Cheng Jie & Hadri Kaddour

**Stochastic Linkage Analysis And Structural Changes That Influence The Educational System In The European Union In Accordance With The "Europe 2020 Strategy"**

*by*ROTARU Florica Georgeta & CRISTACHE Silvia Elena & CIOBOTAR Georgeta Narcisa

**Testing-Based Forward Model Selection**

*by*Damian Kozbur

**Aversions to Impatience, Uncertainty and Illiquidity**

*by*Marie Allard & Camille Bronsard & Christian Gouriéroux

**Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone**

*by*Monica Billio & Lorenzo Frattarolo & Hayette Gatfaoui & Philippe de Peretti

**Are critical slowing down indicators useful to detect financial crises?**

*by*Hayette Gatfaoui & Isabelle Nagot & Philippe de Peretti

**Attenuation bias when measuring inventive performance**

*by*Zwick, Thomas & Frosch, Katharina

**Non-monotonic Selection Issues in Electoral Regression Discontinuity Designs**

*by*de Lazzer, Jakob

**Restrictions Search for Panel VARs**

*by*Schnücker, Annika

**On the applicability of maximum likelihood methods: From experimental to financial data**

*by*Jakusch, Sven Thorsten

**Taring all investors with the same brush? Evidence for heterogeneity in individual preferences from a maximum likelihood approach**

*by*Hackethal, Andreas & Jakusch, Sven Thorsten & Meyer, Steffen

**Taming models of prospect theory in the Wild? Estimation of Vlcek and Hens (2011)**

*by*Jakusch, Sven Thorsten & Meyer, Steffen & Hackethal, Andreas

**A quasi real-time leading indicator for the EU industrial production**

*by*Donadelli, Michael & Paradiso, Antonio & Riedel, Max

**Automatic identification of general vector error correction models**

*by*Arbués, Ignacio & Ledo, Ramiro & Matilla-García, Mariano

**Determinants of ICT infrastructure: A cross-country statistical analysis**

*by*Krüger, Jens J. & Rhiel, Mathias

**Macroeconomic now- and forecasting based on the factor error correction model using targeted mixed frequency indicators**

*by*Kurz-Kim, Jeong-Ryeol

**Sequentially Testing Polynomial Model Hypotheses using Power Transforms of Regressors**

*by*JIN SEO CHO & PETER C.B. PHILLIPS

**Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices**

*by*JIN SEO CHO & PETER C.B. PHILLIPS

**Should I stay or should I go? Bayesian inference in the threshold time varying parameter (TTVP) model**

*by*Florian Huber & Gregor Kastner & Martin Feldkircher

**EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk**

*by*Marcin Chlebus

**Lost in Transition? Declining Returns to Education in Vietnam**

*by*Tinh Doan & Tran Quang Tuyen & Le Quan

**Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance**

*by*Adams, Zeno & Fuess, Roland & Glueck, Thorsten

**Understanding the sources of macroeconomic uncertainty**

*by*Barbara Rossi & Tatevik Sekhposyan & Matthieu Soupre

**In-sample inference and forecasting in misspecified factor models**

*by*Marine Carrasco & Barbara Rossi

**Lutte contre la pauvreté et incitations à l’emploi : quelle politique pour les jeunes ?**

*by*Vincent Vergnat

**Model selection with factors and variables**

*by*Jack Fosten

**Agregados monetarios Divisia y demanda de dinero en Uruguay**

*by*José Ignacio González Giangrossi

**A Hausman Specification Test of Conditional Moment Restrictions**

*by*Lavergne, Pascal & Nguimkeu, Pierre

**A Simple Test for Causality in Volatility**

*by*Chia-Lin Chang & Michael McAleer

**Is there really a Global Business Cycle? A Dynamic Factor Model with Stochastic Factor Selection**

*by*Tino Berger & Lorenzo Pozzi

**Flexible Mixture-Amount Models for Business and Industry using Gaussian Processes**

*by*Aiste Ruseckaite & Dennis Fok & Peter Goos

**Accounting for Missing Values in Score-Driven Time-Varying Parameter Models**

*by*Andre Lucas & Anne Opschoor & Julia Schaumburg

**A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics**

*by*Manabu Asai & Michael McAleer

**Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model**

*by*Peter Reinhard Hansen & Pawel Janus & Siem Jan Koopman

**Making Disability Work? The Effect of Financial Incentives on Partially Disabled Workers**

*by*Pierre Koning & Jan-Maarten van Sonsbeek

**Estimating a Falsified Model**

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

**Testing for Symmetry in Weakly Dependent Time Series**

*by*Luke Hartigan

**Portmanteau Tests for Linearity of Stationary Time Series**

*by*Zacharias Psaradakis & Marian Vavra

**Modelling OPEC behaviour. Theory and evidence**

*by*Pål Boug & Ådne Cappelen & Anders Rygh Swensen

**Local public finances in Brazil: are mayoral characteristics important?**

*by*Fabiana Rocha & Veronica Orellano, Karina Bugarin

**Compulsory Schooling and the Returns to Education: A Re-examination**

*by*Sophie van HÂ¸llen & Duo Qin

**The Econometric Analysis in Right Economy: Research of Institutional Barriers During Right Realization on the Example of Lands Distribution Processes in Moscow Region. Patterns in Neighboring Areas**

*by*Daria Loginova

**Accommodating Stake Effects under Prospect Theory**

*by*Ranoua Bouchouicha & Ferdinand Vieider

**Bayesian Vector Autoregressions with Non-Gaussian Shocks**

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

**VAR Models with Non-Gaussian Shocks**

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

**The role of money as an important pillar for monetary policy: the case of Albania**

*by*Shijaku, Gerti

**A small scale forecasting and simulation model for Azerbaijan (FORSAZ)**

*by*Huseynov, Salman & Mammadov, Fuad

**Issue of Income Inequality under the perceptive of Macroeconomic Instability: An Empirical Analysis of Pakistan**

*by*Ali, Amjad

**Nonlinear relationship between exchange rate volatility and economic growth: A South African perspective**

*by*Fourie, Justin & Pretorius, Theuns & Harvey, Rhett & Henrico, Van Niekerk & Phiri, Andrew

**Information sharing and conditional financial development in Africa**

*by*Asongu, Simplice & Anyanwu, John & Tchamyou, Vanessa

**Changes in the optimal tax rate in South Africa prior and subsequent to the global recession period**

*by*Motloja, Lehlohonolo & Makhoana, Tsholofelo & Kassoma, Rooyen & Houdman, Rozadian & Phiri, Andrew

**FDI and Growth in the MENA countries: Are the GCC countries Different?**

*by*Gammoudi, Mouna & Cherif, Mondher & Asongu, Simplice A

**The unemployment-stock market relationship in South Africa: Evidence from symmetric and asymmetric cointegration models**

*by*Tapa, Nosipho & Tom, Zandile & Lekoma, Molebogeng & Ebersohn, J. & Phiri, Andrew

**Nonlinear impact of inflation on economic growth in South Africa: A smooth transition regression (STR) analysis**

*by*Khoza, Keorapetse & Thebe, Relebogile & Phiri, Andrew

**Finite-sample and asymptotic analysis of generalization ability with an application to penalized regression**

*by*Xu, Ning & Hong, Jian & Fisher, Timothy

**Power Style Contracts Under Asymmetric Lévy Processes**

*by*Fajardo, José

**A New Factor to Explain Implied Volatility Smirk**

*by*fajardo, José

**Model selection consistency from the perspective of generalization ability and VC theory with an application to Lasso**

*by*Xu, Ning & Hong, Jian & Fisher, Timothy

**Models of Mortality rates - analysing the residuals**

*by*O'Hare, Colin & Li, Youwei

**Modelling mortality: Are we heading in the right direction?**

*by*O'Hare, Colin & Li, Youwei

**Local Explosion Modelling by Noncausal Process**

*by*Gouriéroux, Christian & Zakoian, Jean-Michel

**Long run equilibrium adjustment between inflation and stock market returns in South Africa: A nonlinear perspective**

*by*Phiri, Andrew

**Asymmetric pass-through effects from monetary policy to housing prices in South Africa**

*by*Phiri, Andrew

**Experts, firms, consumers or even hard data? Forecasting employment in Germany**

*by*Lehmann, Robert & Wohlrabe, Klaus

**Model selection and model averaging in nonparametric instrumental variables models**

*by*Liu, Chu-An & Tao, Jing

**Models of Financial Return With Time-Varying Zero Probability**

*by*Sucarrat, Genaro & Grønneberg, Steffen

**Modeling Latin-American Stock and Forex Markets Volatility: Empirical Application of a Model with Random Level Shifts and Genuine Long Memory [Modelando la volatilidad de los mercados bursátiles y cambiarios en América Latina: Aplicación empírica de un modelo de cambios de nivel aleatorios y larga memoria genuina]**

*by*Gabriel Rodríguez

**An Empirical Application of a Random Level Shifts Model with Time-Varying Probability and Mean Reversion to the Volatility of Latin-American Forex Markets Returns [Una aplicación empírica de un modelo de cambios de nivel aleatorios con probabilidades cambiantes y reversión a la media a la volatilidad de los retornos cambiarios en América Latina]**

*by*Gabriel Rodríguez & José Carlos Gonzáles Tanaka

**Modelling the Volatility of Commodities Prices using a Stochastic Volatility Model with Random Level Shifts [Modelando la volatilidad de los precios de los commodities utilizando un modelo de volatilidad estocástica con cambios de nivel aleatorios]**

*by*Gabriel Rodríguez & Dennis Alvaro & Ángel Guillén

**Generalizing smooth transition autoregressions**

*by*Emilio Zanetti Chini

**General-to-Specific (GETS) Modelling And Indicator Saturation With The R Package Gets**

*by*Felix Pretis & James Reade & Genaro Sucarrat

**Detecting Volcanic Eruptions in Temperature Reconstructions by Designed Break-Indicator Saturation**

*by*David Hendry & Felix Pretis & Lea Schneider & Jason E. Smerdon

**Perception vs Reality: How Does The British Electorate Evaluate Economic Performance of Incumbent Governments In The Post War Period?**

*by*Jonathon M. Clegg

**Does institutional quality resolve the Lucas Paradox?**

*by*Muhammad Akhtaruzzaman & Christopher Hajzler & P. Dorian Owen

**Determinants of export sophistication: Evidence from Monte Carlo simulations**

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

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

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*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**

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**Modeling Expectations with Noncausal Autoregressions**

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*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

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*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)**

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**Forecasting in vector autoregressions with many predictors**

*by*Korobilis, Dimitris

**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**

*by*Maldonado, Diego & Pazmiño, Mariela

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

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

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

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

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**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**

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

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

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*by*Maria Elena Bontempi & Jacques Mairesse

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

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**Can Exchange Rates Forecast Commodity Prices?**

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

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

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**The tourism forecasting competition**

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**New prospects on vines**

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

*by*Carlo Mazzaferro & Marcello Morciano

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

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

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**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**

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

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

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**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**

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

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**Alternative Approaches to Evaluation in Empirical Microeconomics**

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

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

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

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

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

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

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

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**Forecasting Using Functional Coefficients Autoregressive Models**

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**Specification Tests of Parametric Dynamic Conditional Quantiles**

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

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

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**Growth Expectation**

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**Catching Growth Determinants with the Adaptive LASSO**

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

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

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

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

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

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

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**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**

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

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

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

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**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**

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**Comparing Forecast Performance of Exchange Rate Models**

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

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

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**Firm Default and Aggregate Fluctuations**

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**Macroeconomic Impact on Expected Default Frequency**

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

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

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

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

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

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

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**Seasonality in revisions of macroeconomic data**

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

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

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

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**Can Exchange Rates Forecast Commodity Prices?**

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

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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**

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

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**Statistical properties and economic implications of Jump-Diffusion Processes with Shot-Noise effects**

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

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

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

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**Firm Default and Aggregate Fluctuations**

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

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**Path Forecast Evaluation**

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**How much structure in empirical models?**

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

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

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

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

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

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

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

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

**Path Forecast Evaluation**

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

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**Selection on the basis of prior testing**

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

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

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**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**

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

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**Cointegration implications of linear rational expectation models**

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**Business cycle analysis and VARMA models**

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**Estimating New Keynesian import price models**

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

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

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

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

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

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

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

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**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**

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

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

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**The cyclical component factor model**

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

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

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**Multivariate GARCH models**

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

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**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?**

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

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

*by*Juselius, Mikael

**The New Keynesian Phillips Curve Tested on OECD Panel Data**

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**The Determinants of Health Care Utilization in Portugal: An Approach with Count Data Models**

*by*João Cotter Salvado

**Assessing Relative Performance of Econometric Models in Measuring the Impact of Climate Change on Agriculture Using Spatial Autoregression**

*by*Seo, S. Niggol

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**Impact Of Globalisation On The Evolution Of The Demographic Phenomenon**

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**Credit Risk Management**

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**Econometric Analysis of Financial Data in Risk Management (continuation). Section III: Managing Operational Risk**

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**An Econometric Analysis of Financial Data in Risk Management**

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**Value-at-Risk for Greek Stocks**

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**Determinants of Debt: An Econometric Analysis Based on the Cyprus Survey of Consumer Finances**

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**Optimal Bidding in the Mexican Treasury Securities Primary Auctions: Results of a Structural Econometric Approach**

*by*Sara Castellanos & Marco Oviedo

**Inflation Forecasts and the New Keynesian Phillips Curve**

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**Environment and Changing Agricultural Practices: Evidence from Orissa, India**

*by*Jyotirmayee Kar & Mahamaya Kar

**Long Memory In Exchange Rates: International Evidence**

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**Parametric vs. non-parametric methods for estimating option implied risk-neutral densities: the case of the exchange rate Mexican peso – US dollar**

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**La matriz de covarianzas de residuales en la asignación y valuación de activos**

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**Valoración económica del uso recreativo del Parque Ronda del Sinú, en Montería, Colombia**

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**Pronóstico y estructuras de volatilidad multiperíodo de la tasa de cambio del peso colombiano**

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**Medienberichte als Konjunkturindikator**

*by*Jan Grossarth-Maticek & Johannes Mayr

**SWARCH and the implicit volatility of the Real/USD exchange rate**

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**OPTIM: a quarterly forecasting tool for French GDP**

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