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Citations for "Efficient tests for normality, homoscedasticity and serial independence of regression residuals"

by Jarque, Carlos M. & Bera, Anil K.

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  1. Wallace Hui & Yulia R. Gel & Joseph L. Gastwirth, . "lawstat: An R Package for Law, Public Policy and Biostatistics," Journal of Statistical Software, American Statistical Association, vol. 28(i03).
  2. Gavin Cameron, 1999. "Why did UK manufacturing productivity growth slow down in the 1970s and speed up in the 1980s," Economics Series Working Papers 1999-W24, University of Oxford, Department of Economics.
  3. Tortosa-Ausina, Emili, 2002. "Exploring efficiency differences over time in the Spanish banking industry," European Journal of Operational Research, Elsevier, vol. 139(3), pages 643-664, June.
  4. Wu, C.C. & Lee, Jack C., 2007. "Estimation of a utility-based asset pricing model using normal mixture GARCH(1,1)," Economic Modelling, Elsevier, vol. 24(2), pages 329-349, March.
  5. Matei, Florin, 2014. "An empirical examination of stock market integration in EMU," MPRA Paper 60717, University Library of Munich, Germany.
  6. Mohamed Chikhi & Claude Diebolt, 2006. "Nonparametric Analysis of Financial Time Series by the Kernel Methodology," Working Papers 06-11, Association Française de Cliométrie (AFC).
  7. Claudio Lupi, . "Unit Root CADF Testing with R," Journal of Statistical Software, American Statistical Association, vol. 32(i02).
  8. Ericsson, Neil R, 1986. "Post-simulation Analysis of Monte Carlo Experiments: Interpreting Pesaran's (1974) Study of Non-nested Hypothesis Test Statistics," Review of Economic Studies, Wiley Blackwell, vol. 53(4), pages 691-707, August.
  9. Jian Huang & Masahito Kobayashi & Michael McAleer, 2010. "Testing the Box-Cox Parameter for an Integrated Process," KIER Working Papers 750, Kyoto University, Institute of Economic Research.
  10. Thomas M. Fullerton, Jr. & W. Charles Sowyer & Richard L. Sprinkle, 1997. "Functional form for United States-México trade equations," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 12(1), pages 23-35.
  11. Sigl-Grüb, C. & Schiereck, D., 2010. "Speculation and Nonlinear Price Dynamics in Commodity Futures Markets," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 56603, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
  12. Hodgson, D.J., 1995. "Adaptive Estimation of Cointegrating Regressions with ARMA Errors," RCER Working Papers 408, University of Rochester - Center for Economic Research (RCER).
  13. Jacob Gyntelberg & Eli M Remolona, 2007. "Risk in carry trades: a look at target currencies in Asia and the Pacific," BIS Quarterly Review, Bank for International Settlements, December.
  14. Belter, Klaus & Engsted, Tom & Tanggaard, Carsten, 2003. "A New Daily Dividend-adjusted Index for the Danish Stock Market, 1985-2002: Construction, Statistical Properties, and Return Predictability," Finance Working Papers 03-1, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  15. Craig, Lee A. & Holt, Matthew T., 2008. "Mechanical refrigeration, seasonality, and the hog-corn cycle in the United States: 1870-1940," Explorations in Economic History, Elsevier, vol. 45(1), pages 30-50, January.
  16. Lv, Xiaodong & Shan, Xian, 2013. "Modeling natural gas market volatility using GARCH with different distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(22), pages 5685-5699.
  17. Gleich, Benedikt & Achzet, Benjamin & Mayer, Herbert & Rathgeber, Andreas, 2013. "An empirical approach to determine specific weights of driving factors for the price of commodities—A contribution to the measurement of the economic scarcity of minerals and metals," Resources Policy, Elsevier, vol. 38(3), pages 350-362.
  18. Amendola, Alessandra & Niglio, Marcella & Vitale, Cosimo, 2006. "The moments of SETARMA models," Statistics & Probability Letters, Elsevier, vol. 76(6), pages 625-633, March.
  19. Palm, Franz C. & Peeters, Marga & Pfann, Gerard A., 1993. "The dynamics of investment and labour demand: Theoretical issues and an application to the Dutch manufacturing industry," MPRA Paper 33042, University Library of Munich, Germany.
  20. Renwick, Alan W. & Revoredo-Giha, Cesar & Topp, Kairsty, 2007. "Modelling the Adoption of Crop Rotation Practices in Organic Mixed Farms," Working Papers 109390, Scotland's Rural College (formerly Scottish Agricultural College), Land Economy & Environment Research Group.
  21. Kobayashi, Masahito, 2009. "Testing for jumps in the stochastic volatility models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2597-2608.
  22. Tronzano, Marco, 2009. "Assessing the Volatility of the Euro on Foreign Exchange Markets: Further Empirical Evidence and Policy Implications," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 62(1), pages 103-131.
  23. Consolo, Agostino & Favero, Carlo A. & Paccagnini, Alessia, 2009. "On the statistical identification of DSGE models," Journal of Econometrics, Elsevier, vol. 150(1), pages 99-115, May.
  24. Smith, Geoffrey Peter, 2012. "Google Internet search activity and volatility prediction in the market for foreign currency," Finance Research Letters, Elsevier, vol. 9(2), pages 103-110.
  25. Ekrem Kilic, 2005. "A Nonparametric Way of Distribution Testing," Econometrics 0510006, EconWPA.
  26. Joachim Wagner, 1990. "Le test de fonctions de gains : résultats pour cinq pays," Économie et Prévision, Programme National Persée, vol. 92(1), pages 61-66.
  27. Emmanuel Farhi & Samuel Paul Fraiberger & Xavier Gabaix & Romain Ranciere & Adrien Verdelhan, 2009. "Crash Risk in Currency Markets," NBER Working Papers 15062, National Bureau of Economic Research, Inc.
  28. Guangqing Chi, 2009. "Can knowledge improve population forecasts at subcounty levels?," Demography, Springer, vol. 46(2), pages 405-427, May.
  29. Yi-Ting Chen & Chung-Ming Kuan, 2003. "A Generalized Jarque-Bera Test of Conditional Normality," IEAS Working Paper : academic research 03-A003, Institute of Economics, Academia Sinica, Taipei, Taiwan.
  30. Gel, Yulia R. & Gastwirth, Joseph L., 2008. "A robust modification of the Jarque-Bera test of normality," Economics Letters, Elsevier, vol. 99(1), pages 30-32, April.
  31. Neil R. Ericsson, 1991. "Parameter constancy, mean square forecast errors, and measuring forecast performance: an exposition, extensions, and illustration," International Finance Discussion Papers 412, Board of Governors of the Federal Reserve System (U.S.).
  32. Jin, Xiaoye & Xiaowen Lin, Sharon & Tamvakis, Michael, 2012. "Volatility transmission and volatility impulse response functions in crude oil markets," Energy Economics, Elsevier, vol. 34(6), pages 2125-2134.
  33. Bose, Shekar & Galvan, Arna, 2005. "Export supply of New Zealand's live rock lobster to Japan: an empirical analysis," Japan and the World Economy, Elsevier, vol. 17(1), pages 111-123, January.
  34. Sunil Sharma & Neil R. Ericsson, 1996. "Broad Money Demand and Financial Liberalization in Greece," IMF Working Papers 96/62, International Monetary Fund.
  35. Pascual, Roberto & Pascual-Fuster, Bartolomé, 2014. "The relative contribution of ask and bid quotes to price discovery," Journal of Financial Markets, Elsevier, vol. 20(C), pages 129-150.
  36. Georgiev, Iliyan, 2010. "Model-based asymptotic inference on the effect of infrequent large shocks on cointegrated variables," Journal of Econometrics, Elsevier, vol. 158(1), pages 37-50, September.
  37. Yong Tao & Xiangjun Wu & Changshuai Li, 2014. "Rawls' Fairness, Income Distribution and Alarming Level of Gini Coefficient," Papers 1409.3979, arXiv.org.
  38. Wang, Yudong & Wu, Chongfeng, 2012. "Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models?," Energy Economics, Elsevier, vol. 34(6), pages 2167-2181.
  39. Ramchand, Latha & Susmel, Raul, 1998. "Variances and covariances of international stock returns: the international capital asset pricing model revisited," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(1), pages 39-57, January.
  40. Krolzig, Hans-Martin & Hendry, David F., 2001. "Computer automation of general-to-specific model selection procedures," Journal of Economic Dynamics and Control, Elsevier, vol. 25(6-7), pages 831-866, June.
  41. Wang, Yudong & Wu, Chongfeng & Yang, Li, 2014. "Oil price shocks and agricultural commodity prices," Energy Economics, Elsevier, vol. 44(C), pages 22-35.
  42. Nanang, David M., 2000. "A multivariate cointegration test of the law of one price for Canadian softwood lumber markets," Forest Policy and Economics, Elsevier, vol. 1(3-4), pages 347-355, December.
  43. Magnus, J.R. & Vasnev, A.L., 2004. "Local Sensitivity and Diagnostic Tests," Discussion Paper 2004-105, Tilburg University, Center for Economic Research.
  44. Iris Claus, 2000. "Is the output gap a useful indicator of inflation?," Reserve Bank of New Zealand Discussion Paper Series DP2000/05, Reserve Bank of New Zealand.
  45. Pablo Mejia-Reyes & Denise Osborn & Marianne Sensier, 2010. "Modelling real exchange rate effects on output performance in Latin America," Applied Economics, Taylor & Francis Journals, vol. 42(19), pages 2491-2503.
  46. Shalit, Haim, 2012. "Using OLS to test for normality," Statistics & Probability Letters, Elsevier, vol. 82(11), pages 2050-2058.
  47. Luc Bauwens & Genaro Sucarrat, 2008. "General to specific modelling of exchange rate volatility : a forecast evaluation," Economics Working Papers we081810, Universidad Carlos III, Departamento de Economía.
  48. Ladislav Kristoufek & Petra Lunackova, 2013. "Long-term memory in electricity prices: Czech market evidence," Papers 1309.0582, arXiv.org.
  49. Georges A. Tanguay & Paul Lanoie & Jérôme Moreau, 2001. "Environmental Policy, Public Interest and Political Market," Cahiers de recherche 01-01, HEC Montréal, Institut d'économie appliquée.
  50. Alizadeh, Amir H., 2013. "Trading volume and volatility in the shipping forward freight market," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 49(1), pages 250-265.
  51. Jakub W. Jurek & Erik Stafford, 2011. "The Cost of Capital for Alternative Investments," Harvard Business School Working Papers 12-013, Harvard Business School.
  52. Eric Jondeau & Michael Rockinger, 2006. "Optimal Portfolio Allocation under Higher Moments," European Financial Management, European Financial Management Association, vol. 12(1), pages 29-55.
  53. Jian Huang & Masahito Kobayashi & Michael McAleer, 2009. "Testing the Box-Cox Parameter in an Integrated Process," CIRJE F-Series CIRJE-F-661, CIRJE, Faculty of Economics, University of Tokyo.
  54. Tambi, N. Emmanuel, 1999. "Co-integration and error-correction modelling of agricultural export supply in Cameroon," Agricultural Economics of Agricultural Economists, International Association of Agricultural Economists, vol. 20(1), January.
  55. Barigozzi, Matteo & Alessi, Lucia & Capasso, Marco & Fagiolo, Giorgio, 2009. "The distribution of households consumption-expenditure budget shares," Working Paper Series 1061, European Central Bank.
  56. repec:dgr:kubcen:199160 is not listed on IDEAS
  57. Lejeune, Bernard, 2009. "A diagnostic m-test for distributional specification of parametric conditional heteroscedasticity models for financial data," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 507-523, June.
  58. Gagliardini, Patrick & Gouriéroux, Christian, 2013. "Correlated risks vs contagion in stochastic transition models," Journal of Economic Dynamics and Control, Elsevier, vol. 37(11), pages 2241-2269.
  59. Christian Bontemps & Nour Meddahi, 2002. "Testing Normality: A GMM Approach," CIRANO Working Papers 2002s-63, CIRANO.
  60. Joshua Rosenberg & Robert F. Engle, 2000. "Empirical Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-014, New York University, Leonard N. Stern School of Business-.
  61. Matthias Duschl & Thomas Brenner, 2011. "Characteristics of Regional Industry-specific Employment Growth – Empirical Evidence for Germany," Working Papers on Innovation and Space 2011-07, Philipps University Marburg, Department of Geography.
  62. Eli Bouri & Andre Eid & Imad Kachacha, 2014. "The Dynamic Behaviour and Determinants of Linkages among Middle Eastern and North African Stock Exchanges," Economic Issues Journal Articles, Economic Issues, vol. 19(1), pages 1-22, March.
  63. Gu, Li & McNelis, Paul D., 2013. "Yen/Dollar volatility and Chinese fear of floating: Pressures from the NDF market," Pacific-Basin Finance Journal, Elsevier, vol. 22(C), pages 37-49.
  64. Sangyeol Lee & Hiroki Masuda, 2010. "Jarque–Bera normality test for the driving Lévy process of a discretely observed univariate SDE," Statistical Inference for Stochastic Processes, Springer, vol. 13(2), pages 147-161, June.
  65. Dowd, Kevin & Cairns, Andrew J.G. & Blake, David & Coughlan, Guy D. & Epstein, David & Khalaf-Allah, Marwa, 2010. "Evaluating the goodness of fit of stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 255-265, December.
  66. Mezgebo, Taddese, 2009. "A multivariate approach for identification of optimal locations with in Ethiopia’s wheat market to tackle soaring inflation on food price (Extended version)," MPRA Paper 17960, University Library of Munich, Germany.
  67. Camila Epprecht & Dominique Guegan & Álvaro Veiga, 2013. "Comparing variable selection techniques for linear regression: LASSO and Autometrics," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00917797, HAL.
  68. Akber, Ushna & Muhammad, Nabeel, 2013. "Is Pakistan Stock Market moving towards Weak-form efficiency? Evidence from the Karachi Stock Exchange and the Random Walk Nature of free-float of shares of KSE 30 Index," MPRA Paper 49128, University Library of Munich, Germany.
  69. Pesaran, M.H., 2010. "Predictability of Asset Returns and the Efficient Market Hypothesis," Cambridge Working Papers in Economics 1033, Faculty of Economics, University of Cambridge.
  70. Jan Hanousek & Evžen Kočenda & Jan Novotný, 2013. "Price Jumps on European Stock Markets," William Davidson Institute Working Papers Series wp1059, William Davidson Institute at the University of Michigan.
  71. Francisco Estrada & Víctor Guerrero & Carlos Gay-García & Benjamín Martínez-López, 2013. "A cautionary note on automated statistical downscaling methods for climate change," Climatic Change, Springer, vol. 120(1), pages 263-276, September.
  72. Beum-Jo Park, 2009. "Risk-return relationship in equity markets: using a robust GMM estimator for GARCH-M models," Quantitative Finance, Taylor & Francis Journals, vol. 9(1), pages 93-104.
  73. Gel, Yulia R. & Miao, Weiwen & Gastwirth, Joseph L., 2007. "Robust directed tests of normality against heavy-tailed alternatives," Computational Statistics & Data Analysis, Elsevier, vol. 51(5), pages 2734-2746, February.
  74. Stephen Satchell & Soosung Hwang, 1999. "Market Risk and the Concept of Fundamental Volatility: Measuring Volatility Across Asset and Derivative Markets and Testing for the Impact of Derivatives Markets on Financial Markets," Working Papers wp99-16, Warwick Business School, Finance Group.
  75. Tambi, N. Emmanuel, 1999. "Co-integration and error-correction modelling of agricultural export supply in Cameroon," Agricultural Economics, Blackwell, vol. 20(1), pages 57-67, January.
  76. Graciela Moguillansky, 1994. "Factores Determinantes de las Exportaciones Industriales Brasileñas durante la Década de 1980," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 31(92), pages 3-26.
  77. Ioannis Tsamourgelis & Persa Paflioti & Thomas Vitsounis, 2013. "Seaports Activity (A)synchronicity, Trade Intensity and Business Cycle Convergence: A Panel Data Analysis," International Journal of Maritime, Trade & Economic Issues (IJMTEI), International Journal of Maritime, Trade & Economic Issues (IJMTEI), vol. 0(1), pages 67-92.
  78. Panayiotis Alexakis & Anna Vasila, 2010. "Equity Interconnections in Major European Markets," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 109-132.
  79. Aaron Batten, 2009. "Foreign Aid, Government Behaviour and Fiscal Policy Outcomes in Papua New Guinea," International and Development Economics Working Papers idec09-03, International and Development Economics.
  80. Denis Schweizer & Lars Haß & Lutz Johanning & Bernd Rudolph, 2013. "Do Alternative Real Estate Investment Vehicles Add Value to REITs? Evidence from German Open-ended Property Funds," The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 65-82, July.
  81. Moosa, Imad A. & Bollen, Bernard, 2002. "A benchmark for measuring bias in estimated daily value at risk," International Review of Financial Analysis, Elsevier, vol. 11(1), pages 85-100.
  82. Makram El-Shagi & Sebastian Giesen, 2010. "Testing for Structural Breaks at Unknown Time: A Steeplechase," IWH Discussion Papers 19, Halle Institute for Economic Research.
  83. Deb, Partha & Sefton, Martin, 1996. "The distribution of a Lagrange multiplier test of normality," Economics Letters, Elsevier, vol. 51(2), pages 123-130, May.
  84. Lee, Chien-Chiang & Zeng, Jhih-Hong, 2011. "Revisiting the relationship between spot and futures oil prices: Evidence from quantile cointegrating regression," Energy Economics, Elsevier, vol. 33(5), pages 924-935, September.
  85. Duong, Huu Nhan & Kalev, Petko S., 2008. "The Samuelson hypothesis in futures markets: An analysis using intraday data," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 489-500, April.
  86. Admiraal, P-H. & Carree, M.A., 2000. "Competition and Market Dynamics on the Russian Deposits Market," ERIM Report Series Research in Management ERS-2000-25-STR, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  87. Jaime Marquez, 1992. "Real exchange rates: measurement and implications for predicting U.S. external imbalances," International Finance Discussion Papers 427, Board of Governors of the Federal Reserve System (U.S.).
  88. Clare, A. D. & Thomas, S. H., 1993. "Relative price variability and inflation in an equilibrium price misperceptions' model : Evidence for the UK," Economics Letters, Elsevier, vol. 42(1), pages 51-57.
  89. Urzua, Carlos M., 1996. "On the correct use of omnibus tests for normality," Economics Letters, Elsevier, vol. 53(3), pages 247-251, December.
  90. Enrique Sentana, 2008. "The Econometrics Of Mean-Variance Efficiency Tests: A Survey," Working Papers wp2008_0807, CEMFI.
  91. John H. Welch, 1991. "Public debts and deficits in Mexico: a comment," Research Paper 9116, Federal Reserve Bank of Dallas.
  92. Eun, Cheol S. & Jeong, Jin-Gil, 1999. "International price level linkages: Evidence from the post-Bretton Woods era," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 331-349, August.
  93. Pedregal, D.J. & Dejuán, O. & Gómez, N. & Tobarra, M.A., 2009. "Modelling demand for crude oil products in Spain," Energy Policy, Elsevier, vol. 37(11), pages 4417-4427, November.
  94. Hwang, Soosung & Pedersen, Christian S., 2004. "Asymmetric risk measures when modelling emerging markets equities: evidence for regional and timing effects," Emerging Markets Review, Elsevier, vol. 5(1), pages 109-128, March.
  95. Pourazarm, Elham & Cooray, Arusha, 2013. "Estimating and forecasting residential electricity demand in Iran," Economic Modelling, Elsevier, vol. 35(C), pages 546-558.
  96. John Paleologos & Grigorios Bitzis, 2006. "Assessing the Effectiveness of the Exchange Rate Movements on the Greek Current Account Deficit: A Cointegration Analysis," European Research Studies Journal, European Research Studies Journal, vol. 0(1-2), pages 45-64.
  97. Eom, Cheoljun & Kwon, Okyu & Jung, Woo-Sung & Kim, Seunghwan, 2010. "The effect of a market factor on information flow between stocks using the minimal spanning tree," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(8), pages 1643-1652.
  98. Kim, Hyeongwoo, 2009. "On the usefulness of the contrarian strategy across national stock markets: A grid bootstrap analysis," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 734-744, December.
  99. Jahan-Parvar, Mohammad R. & Mohammadi, Hassan, 2013. "Risk and return in the Tehran stock exchange," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(3), pages 238-256.
  100. Kavussanos, Manolis G. & Alizadeh-M, Amir H., 2002. "Seasonality patterns in tanker spot freight rate markets," Economic Modelling, Elsevier, vol. 19(5), pages 747-782, November.
  101. Nomikos, Nikos & Andriosopoulos, Kostas, 2012. "Modelling energy spot prices: Empirical evidence from NYMEX," Energy Economics, Elsevier, vol. 34(4), pages 1153-1169.
  102. Plakandaras, Vasilios & Gogas, Periklis & Gupta, Rangan & Papadimitriou, Theophilos, 2015. "US inflation dynamics on long range data," DUTH Research Papers in Economics 12-2014, Democritus University of Thrace, Department of Economics.
  103. Panayiotis Artikis & Georgia Nifora, 2011. "The Industry Effect on the Relationship Between Leverage and Returns," Eurasian Business Review, Eurasia Business and Economics Society, vol. 1(2), pages 125-145, December.
  104. Hopkins, Lucas & Ferguson, Keith E., 2014. "Looking forward: The role of multiple regression in family business research," Journal of Family Business Strategy, Elsevier, vol. 5(1), pages 52-62.
  105. Joshua Seungwook Bahng, 2004. "Structural Breaks and the Normality of Stock Returns," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 140(II), pages 207-227, June.
  106. Jacobson, Tor & Ohlsson, Henry, 1994. "Long-Run Relations between Private and Public Sector Wages in Sweden," Empirical Economics, Springer, vol. 19(3), pages 343-60.
  107. Neil R. Ericsson & David F. Hendry, 1985. "Conditional econometric modelling : an application to new house prices in the United Kingdom," International Finance Discussion Papers 254, Board of Governors of the Federal Reserve System (U.S.).
  108. Jawad, Muhammad & Qayyum, Abdul, 2015. "Modeling the Impact of Policy Environment on Inflows of Worker’s Remittances in Pakistan: A Multivariate Analysis," MPRA Paper 62019, University Library of Munich, Germany, revised 2015.
  109. repec:dgr:kubrem:1995705 is not listed on IDEAS
  110. Carree, M. A. & Thurik, A. R., 1999. "The carrying capacity and entry and exit flows in retailing," International Journal of Industrial Organization, Elsevier, vol. 17(7), pages 985-1007, October.
  111. Balagtas, Joseph Valdes & Holt, Matthew T., 2009. "AJAE Appendix: The Commodity Terms of Trade, Unit Roots, and Nonlinear Alternatives," American Journal of Agricultural Economics Appendices, Agricultural and Applied Economics Association, vol. 91(1), February.
  112. Lehmann, Hartmut & Pignatti, Norberto, 2007. "Informal Employment Relationships and Labor Market Segmentation in Transition Economies: Evidence from Ukraine," IZA Discussion Papers 3269, Institute for the Study of Labor (IZA).
  113. Panayotis Artikis & Georgia Nifora, 2011. "Leverage and Returns in Three Countries of Southern European Region," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 3-26.
  114. Johnes, Geraint & Hyclak, Thomas J., 1995. "The determinants of real wage flexibility," Labour Economics, Elsevier, vol. 2(2), pages 175-185, June.
  115. Beetsma, Roel M. W. J., 1995. "EMS exchange rate bands: a Monte Carlo investigation of three target zone models," Journal of International Money and Finance, Elsevier, vol. 14(2), pages 311-328, April.
  116. Feliz, Raul Anibal & Welch, John H., 1997. "Cointegration and tests of a classical model of inflation in Argentina, Bolivia, Brazil, Mexico, and Peru," Journal of Development Economics, Elsevier, vol. 52(1), pages 189-219, February.
  117. Bai, Jushan & Chen, Zhihong, 2008. "Testing multivariate distributions in GARCH models," Journal of Econometrics, Elsevier, vol. 143(1), pages 19-36, March.
  118. Zeng, Jhih-Hong & Peng, Chi-Lu & Chen, Ming-Chi & Lee, Chien-Chiang, 2013. "Wealth effects on the housing markets: Do market liquidity and market states matter?," Economic Modelling, Elsevier, vol. 32(C), pages 488-495.
  119. Alizadeh, Amir H. & Nomikos, Nikos K., 2007. "Investment timing and trading strategies in the sale and purchase market for ships," Transportation Research Part B: Methodological, Elsevier, vol. 41(1), pages 126-143, January.
  120. Vijay Varadi & C. Vanlalramsanga, 2012. "Assessment of the Impact of Fiscal Policy on Economic Growth: An Empirical Analysis," EERI Research Paper Series EERI_RP_2012_06, Economics and Econometrics Research Institute (EERI), Brussels.
  121. Jaime R. Marquez, 1984. "Currency substitution, duality, and exchange rate indeterminacy : an empirical analysis of the Venezuelan experience," International Finance Discussion Papers 242, Board of Governors of the Federal Reserve System (U.S.).
  122. Elie BOURI, 2011. "An Attempt to Capture Leptokurtic of Returns and to Model Its Volatility: The Case of Beirut Stock Exchange," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 8, pages 259-271, December.
  123. Uhde, André & Michalak, Tobias C., 2010. "Securitization and systematic risk in European banking: Empirical evidence," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 3061-3077, December.
  124. Tom Broekel & Thomas Brenner, 2011. "Regional factors and innovativeness: an empirical analysis of four German industries," The Annals of Regional Science, Springer, vol. 47(1), pages 169-194, August.
  125. Sanghoon Lee, 2008. "Ownership Structure and Financial Performance: Evidence from Panel Data of South Korea," Working Paper Series, Department of Economics, University of Utah 2008_17, University of Utah, Department of Economics.
  126. Clements, Michael & Smith, Jeremy, 1997. "Forecasting Seasonal UK Consumption Components," The Warwick Economics Research Paper Series (TWERPS) 479, University of Warwick, Department of Economics.
  127. José Alvarez & Laura Andreu & Cristina Ortiz & José Sarto, 2014. "A nonparametric approach to market timing: evidence from Spanish mutual funds," Journal of Economics and Finance, Springer, vol. 38(1), pages 119-132, January.
  128. Chang-Jin Kim & James C. Morley & Charles Nelson, 1999. "Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?," Discussion Papers in Economics at the University of Washington 0028, Department of Economics at the University of Washington.
  129. : Eskil Heinesen, 1993. "A Macroeconomic Rationing Model Estimated by Cointegration Techniques and Generalized Method of Moments," Discussion Papers 93-10, University of Copenhagen. Department of Economics.
  130. Bernhard Pfaff, . "VAR, SVAR and SVEC Models: Implementation Within R Package vars," Journal of Statistical Software, American Statistical Association, vol. 27(i04).
  131. Pao, Hsiao-Tien & Fu, Hsin-Chia, 2013. "The causal relationship between energy resources and economic growth in Brazil," Energy Policy, Elsevier, vol. 61(C), pages 793-801.
  132. Vasilios Plakandaras & Theophilos Papadimitriou & Periklis Gogas & Konstantinos Diamantaras, 2014. "Market Sentiment and Exchange Rate Directional Forecasting," Working Paper Series 37_14, The Rimini Centre for Economic Analysis.
  133. Bewley, Ronald & Lowe, Philip & Trevor, Robert, 1992. "On the distribution of intra-daily exchange rate changes," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 33(5), pages 557-562.
  134. Douglas Hodgson, 2011. "A test for the presence of central bank intervention in the foreign exchange market with an application to the Bank of Canada," Empirical Economics, Springer, vol. 41(3), pages 681-701, December.
  135. Alemayehu Geda & Atnafu Meskel, 2008. "China and India's Growth Surge: Is it a curse or blessing for Africa? The Case of Manufactured Exports," African Development Review, African Development Bank, vol. 20(2), pages 247-272.
  136. Turturean Ciprian-Ionel & Jemna Danut-Vasile, 2008. "The External Payments' Balance And The Romanian Economic Growth Between 1996 And 2006," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 2(1), pages 936-941, May.
  137. Aloui, Chaker & Hamida, Hela ben, 2014. "Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter?," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 349-380.
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