Is this page useful for you? Then, help us to keep the service working. Please have a look to our donations page ... Thanks for your help!!

Journal of Econometrics / Elsevier


1.59

Impact Factor

2

5-Years IF

163

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.170.10.2983832162.648731272133496201 (4.1%)40.050.04
19910.360.10.44711543562.31181514853326145163 (9%)110.150.04
19920.250.10.24662203371.5363861543934483235 (3.7%)140.210.04
19930.260.110.27973173421.0828001373634794218 (7.8%)140.140.06
19940.430.120.32834004881.22444016370382124240 (5.4%)170.20.05
19950.620.20.98348312022.499520180111400358226 (2.4%)240.290.07
19960.750.240.9710358614832.537068166124400387351 (5%)500.490.09
19970.80.281.1610769317702.554440186149432499283 (6.4%)350.330.1
19980.990.291.1611180421052.628469210207473547252 (3%)330.30.11
19990.840.331.245385723862.783687218183487603199 (5.4%)230.430.14
20001.550.411.868594231513.353372164255457848253 (7.5%)480.560.15
20011.460.411.7991103334863.374080138201459823294 (7.2%)530.580.15
20021.40.431.8297113038453.45772176246447813277 (4.8%)920.950.18
20031.910.452.1195122549534.046959188359437921237 (3.4%)1211.270.19
20042.530.52.5590131557154.3538341924864211073193 (5%)1041.160.2
20052.560.532.7183139863224.5245251854734581243180 (4%)1251.510.21
20062.570.523.25130152872984.7853901734444561484285 (5.3%)1801.380.21
20072.510.463.09187171568103.9759952135354951531431 (7.2%)1891.010.18
20082.830.493.45168188386414.5948303178965852017265 (5.5%)1620.960.2
20092.30.492.85104198791354.618843558156581875179 (9.5%)790.760.19
20101.80.472.63145213286444.0525972724906721768233 (9%)1370.940.17
20111.940.542.91462278108374.7623902494847342132188 (7.9%)1861.270.21
20122.260.572.931672445123865.0715092916577502195176 (11.7%)1090.650.21
20131.920.642.65952540125234.93966313602730193783 (8.6%)1191.250.23
20142.210.72.611452685128134.77803262580657171885 (10.6%)1350.930.23
20152.250.792.611952880129544.5435240541698182354 (12.4%)1330.680.25
20161.591.1121473027120693.99119340542748149714 (11.8%)800.540.34
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published in year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

50 most cited documents in this series:


#YearTitleCited
11998Initial conditions and moment restrictions in dynamic panel data models. (1998). Blundell, Richard ; Bond, Stephen . In: Journal of Econometrics. RePEc:eee:econom:v:87:y:1998:i:1:p:115-143.

Full description at Econpapers || Download paper

5178
21986Generalized autoregressive conditional heteroskedasticity. (1986). Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:31:y:1986:i:3:p:307-327.

Full description at Econpapers || Download paper

4670
31995Another look at the instrumental variable estimation of error-components models. (1995). Bover, Olympia ; Arellano, Manuel. In: Journal of Econometrics. RePEc:eee:econom:v:68:y:1995:i:1:p:29-51.

Full description at Econpapers || Download paper

3952
42003Testing for unit roots in heterogeneous panels. (2003). shin, yongcheol ; Pesaran, M ; Im, Kyung So, . In: Journal of Econometrics. RePEc:eee:econom:v:115:y:2003:i:1:p:53-74.

Full description at Econpapers || Download paper

2956
51992Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?. (1992). shin, yongcheol ; Schmidt, Peter ; Phillips, Peter ; Kwiatkowski, Denis. In: Journal of Econometrics. RePEc:eee:econom:v:54:y:1992:i:1-3:p:159-178.

Full description at Econpapers || Download paper

2581
62002Unit root tests in panel data: asymptotic and finite-sample properties. (2002). Levin, Andrew ; Chu, Chia-Shang James ; Lin, Chien-Fu. In: Journal of Econometrics. RePEc:eee:econom:v:108:y:2002:i:1:p:1-24.

Full description at Econpapers || Download paper

2354
71977Formulation and estimation of stochastic frontier production function models. (1977). Schmidt, Peter ; Lovell, C. ; Aigner, Dennis ; Lovell, C. A. Knox, ; Lovell,C. A. Knox, ; Lovell, C. A. Knox, . In: Journal of Econometrics. RePEc:eee:econom:v:6:y:1977:i:1:p:21-37.

Full description at Econpapers || Download paper

2168
81995Estimating long-run relationships from dynamic heterogeneous panels. (1995). Smith, Ronald ; Pesaran, M. In: Journal of Econometrics. RePEc:eee:econom:v:68:y:1995:i:1:p:79-113.

Full description at Econpapers || Download paper

1315
92005A finite sample correction for the variance of linear efficient two-step GMM estimators. (2005). Windmeijer, Frank. In: Journal of Econometrics. RePEc:eee:econom:v:126:y:2005:i:1:p:25-51.

Full description at Econpapers || Download paper

1270
101974Spurious regressions in econometrics. (1974). Granger, Clive ; Newbold, P.. In: Journal of Econometrics. RePEc:eee:econom:v:2:y:1974:i:2:p:111-120.

Full description at Econpapers || Download paper

1259
111992ARCH modeling in finance : A review of the theory and empirical evidence. (1992). Chou, Ray ; Bollerslev, Tim ; KRONER, Kenneth F.. In: Journal of Econometrics. RePEc:eee:econom:v:52:y:1992:i:1-2:p:5-59.

Full description at Econpapers || Download paper

1158
121996Impulse response analysis in nonlinear multivariate models. (1996). Potter, Simon ; Pesaran, M ; Koop, Gary. In: Journal of Econometrics. RePEc:eee:econom:v:74:y:1996:i:1:p:119-147.

Full description at Econpapers || Download paper

1144
131995Statistical inference in vector autoregressions with possibly integrated processes. (1995). Toda, Hiro Y. ; YAMAMOTO, Taku . In: Journal of Econometrics. RePEc:eee:econom:v:66:y:1995:i:1-2:p:225-250.

Full description at Econpapers || Download paper

940
141982On the estimation of technical inefficiency in the stochastic frontier production function model. (1982). Schmidt, Peter ; Lovell, C. ; Materov, Ivan S. ; KNOX LOVELL, C. A., ; Jondrow, James. In: Journal of Econometrics. RePEc:eee:econom:v:19:y:1982:i:2-3:p:233-238.

Full description at Econpapers || Download paper

910
151982Formulation and estimation of dynamic models using panel data. (1982). hsiao, cheng ; Anderson, T. W.. In: Journal of Econometrics. RePEc:eee:econom:v:18:y:1982:i:1:p:47-82.

Full description at Econpapers || Download paper

797
162005Does matching overcome LaLondes critique of nonexperimental estimators?. (2005). Todd, Petra ; Smith, Jeffrey. In: Journal of Econometrics. RePEc:eee:econom:v:125:y:2005:i:1-2:p:305-353.

Full description at Econpapers || Download paper

746
171986Random group effects and the precision of regression estimates. (1986). Moulton, Brent. In: Journal of Econometrics. RePEc:eee:econom:v:32:y:1986:i:3:p:385-397.

Full description at Econpapers || Download paper

740
181999Spurious regression and residual-based tests for cointegration in panel data. (1999). Kao, Chihwa. In: Journal of Econometrics. RePEc:eee:econom:v:90:y:1999:i:1:p:1-44.

Full description at Econpapers || Download paper

739
191981Panel data and unobservable individual effects. (1981). Taylor, William ; Hausman, Jerry. In: Journal of Econometrics. RePEc:eee:econom:v:16:y:1981:i:1:p:155-155.

Full description at Econpapers || Download paper

731
201996Fractionally integrated generalized autoregressive conditional heteroskedasticity. (1996). Bollerslev, Tim ; Baillie, Richard ; Mikkelsen, Hans Ole. In: Journal of Econometrics. RePEc:eee:econom:v:74:y:1996:i:1:p:3-30.

Full description at Econpapers || Download paper

711
211996Residual-based tests for cointegration in models with regime shifts. (1996). Hansen, Bruce ; Gregory, Allan. In: Journal of Econometrics. RePEc:eee:econom:v:70:y:1996:i:1:p:99-126.

Full description at Econpapers || Download paper

709
222008Regression discontinuity designs: A guide to practice. (2008). Lemieux, Thomas ; Imbens, Guido. In: Journal of Econometrics. RePEc:eee:econom:v:142:y:2008:i:2:p:615-635.

Full description at Econpapers || Download paper

706
231976Exact and superlative index numbers. (1976). Diewert, Walter. In: Journal of Econometrics. RePEc:eee:econom:v:4:y:1976:i:2:p:115-145.

Full description at Econpapers || Download paper

693
241988Some recent development in a concept of causality. (1988). Granger, Clive. In: Journal of Econometrics. RePEc:eee:econom:v:39:y:1988:i:1-2:p:199-211.

Full description at Econpapers || Download paper

671
251997Further evidence on breaking trend functions in macroeconomic variables. (1997). Perron, Pierre. In: Journal of Econometrics. RePEc:eee:econom:v:80:y:1997:i:2:p:355-385.

Full description at Econpapers || Download paper

646
262003What is an oil shock?. (2003). Hamilton, James. In: Journal of Econometrics. RePEc:eee:econom:v:113:y:2003:i:2:p:363-398.

Full description at Econpapers || Download paper

640
271986Errors in variables in panel data. (1986). Hausman, Jerry ; Griliches, Zvi. In: Journal of Econometrics. RePEc:eee:econom:v:31:y:1986:i:1:p:93-118.

Full description at Econpapers || Download paper

628
281995On bias, inconsistency, and efficiency of various estimators in dynamic panel data models. (1995). Kiviet, Jan. In: Journal of Econometrics. RePEc:eee:econom:v:68:y:1995:i:1:p:53-78.

Full description at Econpapers || Download paper

616
292008Manipulation of the running variable in the regression discontinuity design: A density test. (2008). McCrary, Justin . In: Journal of Econometrics. RePEc:eee:econom:v:142:y:2008:i:2:p:698-714.

Full description at Econpapers || Download paper

609
301988Limited information estimators and exogeneity tests for simultaneous probit models. (1988). Rivers, Douglas ; Vuong, Quang H.. In: Journal of Econometrics. RePEc:eee:econom:v:39:y:1988:i:3:p:347-366.

Full description at Econpapers || Download paper

593
311990Analysis of time series subject to changes in regime. (1990). Hamilton, James. In: Journal of Econometrics. RePEc:eee:econom:v:45:y:1990:i:1-2:p:39-70.

Full description at Econpapers || Download paper

574
321992Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK. (1992). juselius, katarina ; Johansen, Soren. In: Journal of Econometrics. RePEc:eee:econom:v:53:y:1992:i:1-3:p:211-244.

Full description at Econpapers || Download paper

572
332007Estimation and inference in two-stage, semi-parametric models of production processes. (2007). Wilson, Paul ; Simar, Leopold. In: Journal of Econometrics. RePEc:eee:econom:v:136:y:2007:i:1:p:31-64.

Full description at Econpapers || Download paper

572
341994Autoregressive conditional heteroskedasticity and changes in regime. (1994). Hamilton, James ; Susmel, Raul . In: Journal of Econometrics. RePEc:eee:econom:v:64:y:1994:i:1-2:p:307-333.

Full description at Econpapers || Download paper

571
351994On discrimination and the decomposition of wage differentials. (1994). Ransom, Michael ; Oaxaca, Ronald. In: Journal of Econometrics. RePEc:eee:econom:v:61:y:1994:i:1:p:5-21.

Full description at Econpapers || Download paper

552
361996Long memory processes and fractional integration in econometrics. (1996). Baillie, Richard. In: Journal of Econometrics. RePEc:eee:econom:v:73:y:1996:i:1:p:5-59.

Full description at Econpapers || Download paper

543
371981Some properties of time series data and their use in econometric model specification. (1981). Granger, Clive. In: Journal of Econometrics. RePEc:eee:econom:v:16:y:1981:i:1:p:121-130.

Full description at Econpapers || Download paper

524
382006Generalized reduced rank tests using the singular value decomposition. (2006). Paap, Richard ; Kleibergen, Frank. In: Journal of Econometrics. RePEc:eee:econom:v:133:y:2006:i:1:p:97-126.

Full description at Econpapers || Download paper

522
391987Forecasting and testing in co-integrated systems. (1987). Yoo, Byung Sam ; Engle, Robert. In: Journal of Econometrics. RePEc:eee:econom:v:35:y:1987:i:1:p:143-159.

Full description at Econpapers || Download paper

520
401986Understanding spurious regressions in econometrics. (1986). Phillips, Peter. In: Journal of Econometrics. RePEc:eee:econom:v:33:y:1986:i:3:p:311-340.

Full description at Econpapers || Download paper

503
412003Testing for a unit root in the nonlinear STAR framework. (2003). snell, andy ; shin, yongcheol ; Kapetanios, George . In: Journal of Econometrics. RePEc:eee:econom:v:112:y:2003:i:2:p:359-379.

Full description at Econpapers || Download paper

496
421980Long memory relationships and the aggregation of dynamic models. (1980). Granger, Clive. In: Journal of Econometrics. RePEc:eee:econom:v:14:y:1980:i:2:p:227-238.

Full description at Econpapers || Download paper

491
431999GMM estimation with cross sectional dependence. (1999). conley, timothy. In: Journal of Econometrics. RePEc:eee:econom:v:92:y:1999:i:1:p:1-45.

Full description at Econpapers || Download paper

473
441990Seasonal integration and cointegration. (1990). Yoo, Byung Sam ; Hylleberg, Svend ; Granger, Clive ; Engle, Robert. In: Journal of Econometrics. RePEc:eee:econom:v:44:y:1990:i:1-2:p:215-238.

Full description at Econpapers || Download paper

468
451994Five alternative methods of estimating long-run equilibrium relationships. (1994). Gonzalo, Jesus. In: Journal of Econometrics. RePEc:eee:econom:v:60:y:1994:i:1-2:p:203-233.

Full description at Econpapers || Download paper

459
461988Prediction of firm-level technical efficiencies with a generalized frontier production function and panel data. (1988). Coelli, Timothy ; Battese, George E.. In: Journal of Econometrics. RePEc:eee:econom:v:38:y:1988:i:3:p:387-399.

Full description at Econpapers || Download paper

459
472001Long memory and regime switching. (2001). Inoue, Atsushi ; Diebold, Francis. In: Journal of Econometrics. RePEc:eee:econom:v:105:y:2001:i:1:p:131-159.

Full description at Econpapers || Download paper

454
482001Tests of equal forecast accuracy and encompassing for nested models. (2001). McCracken, Michael ; Clark, Todd. In: Journal of Econometrics. RePEc:eee:econom:v:105:y:2001:i:1:p:85-110.

Full description at Econpapers || Download paper

442
491999Threshold effects in non-dynamic panels: Estimation, testing, and inference. (1999). Hansen, Bruce. In: Journal of Econometrics. RePEc:eee:econom:v:93:y:1999:i:2:p:345-368.

Full description at Econpapers || Download paper

435
502007Approximately normal tests for equal predictive accuracy in nested models. (2007). West, Kenneth ; Clark, Todd. In: Journal of Econometrics. RePEc:eee:econom:v:138:y:2007:i:1:p:291-311.

Full description at Econpapers || Download paper

434

50 most relevant documents in this series (papers most cited in the last two years)


#YearTitleCited
11998Initial conditions and moment restrictions in dynamic panel data models. (1998). Blundell, Richard ; Bond, Stephen . In: Journal of Econometrics. RePEc:eee:econom:v:87:y:1998:i:1:p:115-143.

Full description at Econpapers || Download paper

1191
21995Another look at the instrumental variable estimation of error-components models. (1995). Bover, Olympia ; Arellano, Manuel. In: Journal of Econometrics. RePEc:eee:econom:v:68:y:1995:i:1:p:29-51.

Full description at Econpapers || Download paper

983
31986Generalized autoregressive conditional heteroskedasticity. (1986). Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:31:y:1986:i:3:p:307-327.

Full description at Econpapers || Download paper

656
42003Testing for unit roots in heterogeneous panels. (2003). shin, yongcheol ; Pesaran, M ; Im, Kyung So, . In: Journal of Econometrics. RePEc:eee:econom:v:115:y:2003:i:1:p:53-74.

Full description at Econpapers || Download paper

551
52002Unit root tests in panel data: asymptotic and finite-sample properties. (2002). Levin, Andrew ; Chu, Chia-Shang James ; Lin, Chien-Fu. In: Journal of Econometrics. RePEc:eee:econom:v:108:y:2002:i:1:p:1-24.

Full description at Econpapers || Download paper

463
62005A finite sample correction for the variance of linear efficient two-step GMM estimators. (2005). Windmeijer, Frank. In: Journal of Econometrics. RePEc:eee:econom:v:126:y:2005:i:1:p:25-51.

Full description at Econpapers || Download paper

327
71977Formulation and estimation of stochastic frontier production function models. (1977). Schmidt, Peter ; Lovell, C. ; Aigner, Dennis ; Lovell, C. A. Knox, ; Lovell,C. A. Knox, ; Lovell, C. A. Knox, . In: Journal of Econometrics. RePEc:eee:econom:v:6:y:1977:i:1:p:21-37.

Full description at Econpapers || Download paper

313
81992Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?. (1992). shin, yongcheol ; Schmidt, Peter ; Phillips, Peter ; Kwiatkowski, Denis. In: Journal of Econometrics. RePEc:eee:econom:v:54:y:1992:i:1-3:p:159-178.

Full description at Econpapers || Download paper

300
92008Manipulation of the running variable in the regression discontinuity design: A density test. (2008). McCrary, Justin . In: Journal of Econometrics. RePEc:eee:econom:v:142:y:2008:i:2:p:698-714.

Full description at Econpapers || Download paper

275
101995Estimating long-run relationships from dynamic heterogeneous panels. (1995). Smith, Ronald ; Pesaran, M. In: Journal of Econometrics. RePEc:eee:econom:v:68:y:1995:i:1:p:79-113.

Full description at Econpapers || Download paper

248
112008Regression discontinuity designs: A guide to practice. (2008). Lemieux, Thomas ; Imbens, Guido. In: Journal of Econometrics. RePEc:eee:econom:v:142:y:2008:i:2:p:615-635.

Full description at Econpapers || Download paper

236
121996Impulse response analysis in nonlinear multivariate models. (1996). Potter, Simon ; Pesaran, M ; Koop, Gary. In: Journal of Econometrics. RePEc:eee:econom:v:74:y:1996:i:1:p:119-147.

Full description at Econpapers || Download paper

232
131995Statistical inference in vector autoregressions with possibly integrated processes. (1995). Toda, Hiro Y. ; YAMAMOTO, Taku . In: Journal of Econometrics. RePEc:eee:econom:v:66:y:1995:i:1-2:p:225-250.

Full description at Econpapers || Download paper

213
142005Does matching overcome LaLondes critique of nonexperimental estimators?. (2005). Todd, Petra ; Smith, Jeffrey. In: Journal of Econometrics. RePEc:eee:econom:v:125:y:2005:i:1-2:p:305-353.

Full description at Econpapers || Download paper

165
152006Generalized reduced rank tests using the singular value decomposition. (2006). Paap, Richard ; Kleibergen, Frank. In: Journal of Econometrics. RePEc:eee:econom:v:133:y:2006:i:1:p:97-126.

Full description at Econpapers || Download paper

157
162003What is an oil shock?. (2003). Hamilton, James. In: Journal of Econometrics. RePEc:eee:econom:v:113:y:2003:i:2:p:363-398.

Full description at Econpapers || Download paper

152
172007Estimation and inference in two-stage, semi-parametric models of production processes. (2007). Wilson, Paul ; Simar, Leopold. In: Journal of Econometrics. RePEc:eee:econom:v:136:y:2007:i:1:p:31-64.

Full description at Econpapers || Download paper

150
182007Approximately normal tests for equal predictive accuracy in nested models. (2007). West, Kenneth ; Clark, Todd. In: Journal of Econometrics. RePEc:eee:econom:v:138:y:2007:i:1:p:291-311.

Full description at Econpapers || Download paper

138
191999Spurious regression and residual-based tests for cointegration in panel data. (1999). Kao, Chihwa. In: Journal of Econometrics. RePEc:eee:econom:v:90:y:1999:i:1:p:1-44.

Full description at Econpapers || Download paper

134
201982On the estimation of technical inefficiency in the stochastic frontier production function model. (1982). Schmidt, Peter ; Lovell, C. ; Materov, Ivan S. ; KNOX LOVELL, C. A., ; Jondrow, James. In: Journal of Econometrics. RePEc:eee:econom:v:19:y:1982:i:2-3:p:233-238.

Full description at Econpapers || Download paper

126
212008Randomized experiments from non-random selection in U.S. House elections. (2008). Lee, David S.. In: Journal of Econometrics. RePEc:eee:econom:v:142:y:2008:i:2:p:675-697.

Full description at Econpapers || Download paper

121
221974Spurious regressions in econometrics. (1974). Granger, Clive ; Newbold, P.. In: Journal of Econometrics. RePEc:eee:econom:v:2:y:1974:i:2:p:111-120.

Full description at Econpapers || Download paper

119
231996Residual-based tests for cointegration in models with regime shifts. (1996). Hansen, Bruce ; Gregory, Allan. In: Journal of Econometrics. RePEc:eee:econom:v:70:y:1996:i:1:p:99-126.

Full description at Econpapers || Download paper

117
241999Threshold effects in non-dynamic panels: Estimation, testing, and inference. (1999). Hansen, Bruce. In: Journal of Econometrics. RePEc:eee:econom:v:93:y:1999:i:2:p:345-368.

Full description at Econpapers || Download paper

112
251999GMM estimation with cross sectional dependence. (1999). conley, timothy. In: Journal of Econometrics. RePEc:eee:econom:v:92:y:1999:i:1:p:1-45.

Full description at Econpapers || Download paper

102
261996Fractionally integrated generalized autoregressive conditional heteroskedasticity. (1996). Bollerslev, Tim ; Baillie, Richard ; Mikkelsen, Hans Ole. In: Journal of Econometrics. RePEc:eee:econom:v:74:y:1996:i:1:p:3-30.

Full description at Econpapers || Download paper

101
271981Panel data and unobservable individual effects. (1981). Taylor, William ; Hausman, Jerry. In: Journal of Econometrics. RePEc:eee:econom:v:16:y:1981:i:1:p:155-155.

Full description at Econpapers || Download paper

98
282005Reconsidering heterogeneity in panel data estimators of the stochastic frontier model. (2005). Greene, William. In: Journal of Econometrics. RePEc:eee:econom:v:126:y:2005:i:2:p:269-303.

Full description at Econpapers || Download paper

98
291997Further evidence on breaking trend functions in macroeconomic variables. (1997). Perron, Pierre. In: Journal of Econometrics. RePEc:eee:econom:v:80:y:1997:i:2:p:355-385.

Full description at Econpapers || Download paper

97
302014On the network topology of variance decompositions: Measuring the connectedness of financial firms. (2014). Yilmaz, Kamil ; Diebold, Francis ; Ylmaz, Kamil . In: Journal of Econometrics. RePEc:eee:econom:v:182:y:2014:i:1:p:119-134.

Full description at Econpapers || Download paper

93
312004Estimating the social return to higher education: evidence from longitudinal and repeated cross-sectional data. (2004). moretti, enrico. In: Journal of Econometrics. RePEc:eee:econom:v:121:y:2004:i:1-2:p:175-212.

Full description at Econpapers || Download paper

89
321988Some recent development in a concept of causality. (1988). Granger, Clive. In: Journal of Econometrics. RePEc:eee:econom:v:39:y:1988:i:1-2:p:199-211.

Full description at Econpapers || Download paper

87
331982Formulation and estimation of dynamic models using panel data. (1982). hsiao, cheng ; Anderson, T. W.. In: Journal of Econometrics. RePEc:eee:econom:v:18:y:1982:i:1:p:47-82.

Full description at Econpapers || Download paper

87
341990Analysis of time series subject to changes in regime. (1990). Hamilton, James. In: Journal of Econometrics. RePEc:eee:econom:v:45:y:1990:i:1-2:p:39-70.

Full description at Econpapers || Download paper

87
352008Panel data methods for fractional response variables with an application to test pass rates. (2008). Wooldridge, Jeffrey ; Papke, Leslie. In: Journal of Econometrics. RePEc:eee:econom:v:145:y:2008:i:1-2:p:121-133.

Full description at Econpapers || Download paper

85
361995On bias, inconsistency, and efficiency of various estimators in dynamic panel data models. (1995). Kiviet, Jan. In: Journal of Econometrics. RePEc:eee:econom:v:68:y:1995:i:1:p:53-78.

Full description at Econpapers || Download paper

83
372006Forecasting the term structure of government bond yields. (2006). Diebold, Francis ; Li, Canlin . In: Journal of Econometrics. RePEc:eee:econom:v:130:y:2006:i:2:p:337-364.

Full description at Econpapers || Download paper

81
382008Regression discontinuity inference with specification error. (2008). Card, David ; Lee, David S.. In: Journal of Econometrics. RePEc:eee:econom:v:142:y:2008:i:2:p:655-674.

Full description at Econpapers || Download paper

76
392005Characteristics of a polluting technology: theory and practice. (2005). Noh, Dong-Woon ; Weber, William ; Grosskopf, Shawna ; Färe, Rolf. In: Journal of Econometrics. RePEc:eee:econom:v:126:y:2005:i:2:p:469-492.

Full description at Econpapers || Download paper

75
402004Ability sorting and the returns to college major. (2004). Arcidiacono, Peter. In: Journal of Econometrics. RePEc:eee:econom:v:121:y:2004:i:1-2:p:343-375.

Full description at Econpapers || Download paper

75
412010Estimation of spatial autoregressive panel data models with fixed effects. (2010). Yu, Jihai ; Lee, Lung-Fei. In: Journal of Econometrics. RePEc:eee:econom:v:154:y:2010:i:2:p:165-185.

Full description at Econpapers || Download paper

71
421994Dynamic linear models with Markov-switching. (1994). Kim, Chang-Jin. In: Journal of Econometrics. RePEc:eee:econom:v:60:y:1994:i:1-2:p:1-22.

Full description at Econpapers || Download paper

70
432002Nonparametric frontier estimation: a robust approach. (2002). Simar, Leopold ; Florens, Jean-Pierre ; Cazals, Catherine. In: Journal of Econometrics. RePEc:eee:econom:v:106:y:2002:i:1:p:1-25.

Full description at Econpapers || Download paper

68
442011Volatility forecast comparison using imperfect volatility proxies. (2011). Patton, Andrew. In: Journal of Econometrics. RePEc:eee:econom:v:160:y:2011:i:1:p:246-256.

Full description at Econpapers || Download paper

67
451996Modeling and pricing long memory in stock market volatility. (1996). Bollerslev, Tim ; Mikkelsen, Hans Ole. In: Journal of Econometrics. RePEc:eee:econom:v:73:y:1996:i:1:p:151-184.

Full description at Econpapers || Download paper

66
461988Prediction of firm-level technical efficiencies with a generalized frontier production function and panel data. (1988). Coelli, Timothy ; Battese, George E.. In: Journal of Econometrics. RePEc:eee:econom:v:38:y:1988:i:3:p:387-399.

Full description at Econpapers || Download paper

66
472006Are more data always better for factor analysis?. (2006). Ng, Serena ; Boivin, Jean. In: Journal of Econometrics. RePEc:eee:econom:v:132:y:2006:i:1:p:169-194.

Full description at Econpapers || Download paper

66
482011Large panels with common factors and spatial correlation. (2011). Pesaran, M ; Tosetti, Elisa . In: Journal of Econometrics. RePEc:eee:econom:v:161:y:2011:i:2:p:182-202.

Full description at Econpapers || Download paper

66
491994On discrimination and the decomposition of wage differentials. (1994). Ransom, Michael ; Oaxaca, Ronald. In: Journal of Econometrics. RePEc:eee:econom:v:61:y:1994:i:1:p:5-21.

Full description at Econpapers || Download paper

65
502001Benchmark priors for Bayesian model averaging. (2001). Steel, Mark ; Ley, Eduardo ; Fernandez, Carmen . In: Journal of Econometrics. RePEc:eee:econom:v:100:y:2001:i:2:p:381-427.

Full description at Econpapers || Download paper

64

Citing documents used to compute impact factor 542:


YearTitle
2016A new approach to risk-return trade-off dynamics via decomposition. (2016). Liu, Xiaochun ; Frazier, David T. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:62:y:2016:i:c:p:43-55.

Full description at Econpapers || Download paper

2016Shrinkage estimation of dynamic panel data models with interactive fixed effects. (2016). Su, Liangjun ; Lu, Xun . In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:1:p:148-175.

Full description at Econpapers || Download paper

2016Consistent model specification tests based on k-nearest-neighbor estimation method. (2016). Li, Hongjun ; Liu, Ruixuan . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:1:p:187-202.

Full description at Econpapers || Download paper

2016A practical test for strict exogeneity in linear panel data models with fixed effects. (2016). Su, Liangjun ; Wei, Jie ; Zhang, Yonghui . In: Economics Letters. RePEc:eee:ecolet:v:147:y:2016:i:c:p:27-31.

Full description at Econpapers || Download paper

2016Improved GMM estimation of panel VAR models. (2016). . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:240-264.

Full description at Econpapers || Download paper

2016xtdpdqml: Quasi-maximum likelihood estimation of linear dynamic short-T panel-data models. (2016). Kripfganz, Sebastian. In: United Kingdom Stata Users' Group Meetings 2016. RePEc:boc:usug16:12.

Full description at Econpapers || Download paper

2016Frontiers in VaR forecasting and backtesting. (2016). Ruiz, Esther ; Nieto, Maria Rosa . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:475-501.

Full description at Econpapers || Download paper

2016Tail conditional moments for elliptical and log-elliptical distributions. (2016). Shushi, Tomer ; Makov, Udi ; Landsman, Zinoviy . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:179-188.

Full description at Econpapers || Download paper

2016Evaluating the robustness of UK term structure decompositions using linear regression methods. (2016). Meldrum, Andrew ; Malik, Sheheryar . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:67:y:2016:i:c:p:85-102.

Full description at Econpapers || Download paper

2016Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia. (2016). Engsted, Tom ; Andreasen, Martin M ; Sander, Magnus ; Moller, Stig V. In: CREATES Research Papers. RePEc:aah:create:2016-26.

Full description at Econpapers || Download paper

2016US-euro area term structure spillovers, implications for central banks. (2016). Nyholm, Ken . In: Working Paper Series. RePEc:ecb:ecbwps:20161980.

Full description at Econpapers || Download paper

2016Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models. (2016). McCabe, Brendan ; Robert, Christian P ; Martin, Gael M ; Frazier, David T ; Maneesoonthorn, Worapree . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2016-09.

Full description at Econpapers || Download paper

2016GMM estimation of the Long Run Risks model. (2016). Tinang, Jules ; Meddahi, Nour . In: 2016 Meeting Papers. RePEc:red:sed016:1107.

Full description at Econpapers || Download paper

2016Are there periodically collapsing bubbles in the stock markets? New international evidence. (2016). Chen, Shyh-Wei ; Xie, Zixong ; Hsu, Chi-Sheng . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:442-451.

Full description at Econpapers || Download paper

2016On moment non-explosions for Wishart-based stochastic volatility models. (2016). DA FONSECA, José. In: European Journal of Operational Research. RePEc:eee:ejores:v:254:y:2016:i:3:p:889-894.

Full description at Econpapers || Download paper

2016Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study. (2016). Eratalay, Mustafa. In: International Econometric Review (IER). RePEc:erh:journl:v:8:y:2016:i:2:p:19-52.

Full description at Econpapers || Download paper

2016White noise testing and model diagnostic checking for functional time series. (2016). Zhang, Xianyang . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:1:p:76-95.

Full description at Econpapers || Download paper

2016Identification and inference in two-pass asset pricing models. (2016). Khalaf, Lynda ; Schaller, Huntley . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:70:y:2016:i:c:p:165-177.

Full description at Econpapers || Download paper

2016Less is more: Testing financial integration using identification-robust asset pricing models. (2016). Beaulieu, Marie-Claude ; Khalaf, Lynda ; Gagnon, Marie-Helene . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:45:y:2016:i:c:p:171-190.

Full description at Econpapers || Download paper

2016Bootstrap inference for instrumental variable models with many weak instruments. (2016). Wang, Wenjie ; Kaffo, Maximilien . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:231-268.

Full description at Econpapers || Download paper

2016Simple many-instruments robust standard errors through concentrated instrumental variables. (2016). Bekker, Paul ; Wansbeek, Tom . In: Economics Letters. RePEc:eee:ecolet:v:149:y:2016:i:c:p:52-55.

Full description at Econpapers || Download paper

2016Specification Testing in Nonparametric Instrumental Quantile Regression. (2016). Breunig, Christoph . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2016-032.

Full description at Econpapers || Download paper

2016Nonparametric Specification Testing in Random Parameter Models. (2016). hoderlein, stefan ; Breunig, Christoph . In: Boston College Working Papers in Economics. RePEc:boc:bocoec:897.

Full description at Econpapers || Download paper

2016Semiparametric Varying Coefficient Models with Endogenous Covariates. (2016). Racine, Jeffrey ; Centorrino, Samuele. In: Department of Economics Working Papers. RePEc:mcm:deptwp:2016-02.

Full description at Econpapers || Download paper

2016Local asymptotics for nonparametric quantile regression with regression splines. (2016). Zhao, Weihua ; Lian, Heng . In: Statistics & Probability Letters. RePEc:eee:stapro:v:117:y:2016:i:c:p:209-215.

Full description at Econpapers || Download paper

2016Functional-coefficient spatial autoregressive models with nonparametric spatial weights. (2016). Sun, Yiguo . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:134-153.

Full description at Econpapers || Download paper

2016Program evaluation and causal inference with high-dimensional data. (2016). Fernandez-Val, Ivan ; Chernozhukov, Victor ; Hansen, Christian . In: CeMMAP working papers. RePEc:ifs:cemmap:13/16.

Full description at Econpapers || Download paper

2016Model averaging in semiparametric estimation of treatment effects. (2016). Kitagawa, Toru . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:271-289.

Full description at Econpapers || Download paper

2016The Factor-Lasso and K-Step Bootstrap Approach for Inference in High-Dimensional Economic Applications. (2016). Liao, Yuan ; Hansen, Christian . In: MPRA Paper. RePEc:pra:mprapa:75313.

Full description at Econpapers || Download paper

2016The Factor-Lasso and K-Step Bootstrap Approach for Inference in High-Dimensional Economic Applications. (2016). Liao, Yuan ; Hansen, Christian . In: Departmental Working Papers. RePEc:rut:rutres:201610.

Full description at Econpapers || Download paper

2016Dynamic labor supply adjustment with bias correction. (2016). Schroeder, Elizabeth. In: Empirical Economics. RePEc:spr:empeco:v:51:y:2016:i:4:d:10.1007_s00181-015-1044-6.

Full description at Econpapers || Download paper

2016Generalized Efficient Inference on Factor Models with Long-Range Dependence. (2016). Ergemen, Yunus Emre . In: CREATES Research Papers. RePEc:aah:create:2016-05.

Full description at Econpapers || Download paper

2016Panel Data with Cross-Sectional Dependence Characterized by a Multi-Level Factor Structure. (2016). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodriguez-Caballero, Carlos Vladimir . In: CREATES Research Papers. RePEc:aah:create:2016-31.

Full description at Econpapers || Download paper

2016Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown. (2016). Harvey, David I ; Leybourne, Stephen J. In: Economics Letters. RePEc:eee:ecolet:v:145:y:2016:i:c:p:239-245.

Full description at Econpapers || Download paper

2016What does it take to grow out of recession? An error-correction approach towards growth convergence of European and transition countries. (2016). Maurel, Mathilde ; Damette, Olivier ; Stemmer, Michael A. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:16041.

Full description at Econpapers || Download paper

2016What does it take to grow out of recession? An error-correction approach towards growth convergence of European and transition countries. (2016). Maurel, Mathilde ; Damette, Olivier ; Stemmer, Michael A. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01318131.

Full description at Econpapers || Download paper

2016Common correlated effects and international risk sharing. (2016). Ventura, Luigi ; Zhao, Qianxue ; Fuleky, Peter . In: Working Papers. RePEc:hae:wpaper:2013-17r.

Full description at Econpapers || Download paper

2016Common Correlated Effects and International Risk Sharing. (2016). Ventura, Luigi ; Zhao, Qianxue ; Fuleky, Peter . In: Working Papers. RePEc:hai:wpaper:201612.

Full description at Econpapers || Download paper

2016What does it take to grow out of recession? An error-correction approach towards growth convergence of European and transition countries. (2016). Damette, Olivier ; Maurel, Mathilde ; Stemmer, Michael A. In: Post-Print. RePEc:hal:journl:halshs-01318131.

Full description at Econpapers || Download paper

2016Focused Information Criterion and Model Averaging for Large Panels with a Multifactor Error Structure. (2016). Liu, Chu-An ; Lin, Chang-Ching ; Yin, Shou-Yung . In: IEAS Working Paper : academic research. RePEc:sin:wpaper:16-a016.

Full description at Econpapers || Download paper

2016Semimartingale detection and goodness-of-fit tests. (2016). Bull, Adam D.. In: Papers. RePEc:arx:papers:1506.00088.

Full description at Econpapers || Download paper

2016Determining the number of factors after stationary univariate transformations. (2016). Ruiz, Esther ; Poncela, Pilar ; Corona, Francisco . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws1602.

Full description at Econpapers || Download paper

2016Bias correction and refined inferences for fixed effects spatial panel data models. (2016). Yang, Zhen Lin ; Liu, Shew Fan ; Yu, Jihai . In: Regional Science and Urban Economics. RePEc:eee:regeco:v:61:y:2016:i:c:p:52-72.

Full description at Econpapers || Download paper

2016Testing for monotonicity in unobservables under unconfoundedness. (2016). Su, Liangjun ; hoderlein, stefan ; Yang, Thomas Tao ; White, Halbert . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:183-202.

Full description at Econpapers || Download paper

2016Nonparametric Identification of a Time-Varying Frailty Model. (2016). Effraimidis, Georgios . In: COHERE Working Paper. RePEc:hhs:sduhec:2016_006.

Full description at Econpapers || Download paper

2016Bayesian Calibration of Generalized Pools of Predictive Distributions. (2016). Ravazzolo, Francesco ; Casarin, Roberto ; Mantoan, Giulia . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:17-:d:65855.

Full description at Econpapers || Download paper

2016Bayesian Calibration of Generalized Pools of Predictive Distributions. (2016). Casarin, Roberto ; Ravazzolo, Francesco ; Mantoan, Giulia . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:17:d:65855.

Full description at Econpapers || Download paper

2016A note on the estimation of optimal weights for density forecast combinations. (2016). Vasnev, Andrey ; Pauwels, Laurent L. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:391-397.

Full description at Econpapers || Download paper

2016A Single-index Cox Model Driven by Levy Subordinators. (2016). Liu, Ruixuan . In: Emory Economics. RePEc:emo:wp2003:1602.

Full description at Econpapers || Download paper

2016Dynamic Factor model with infinite dimensional factor space: forecasting. (2016). Lippi, Marco ; Giovannelli, Alessandro ; Forni, Mario ; Soccorsi, Stefano . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11161.

Full description at Econpapers || Download paper

2016Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis. (2016). Lippi, Marco ; Hallin, Marc ; Forni, Mario ; Zaffaroni, Paolo . In: EIEF Working Papers Series. RePEc:eie:wpaper:1607.

Full description at Econpapers || Download paper

2016Dynamic Factor Model with Infinite Dimensional Factor Space: Forecasting. (2016). Lippi, Marco ; Giovannelli, Alessandro ; Forni, Mario ; Soccorsi, Stefano . In: Working Papers ECARES. RePEc:eca:wpaper:2013/228908.

Full description at Econpapers || Download paper

2016Dynamic Factor model with infinite dimensional factor space: forecasting. (2016). Lippi, Marco ; Giovannelli, Alessandro ; Forni, Mario ; Soccorsi, Stefano . In: Center for Economic Research (RECent). RePEc:mod:recent:120.

Full description at Econpapers || Download paper

2016Estimation and test for quantile nonlinear cointegrating regression. (2016). Li, Haiqi ; Guo, YU ; Zheng, Chaowen . In: Economics Letters. RePEc:eee:ecolet:v:148:y:2016:i:c:p:27-32.

Full description at Econpapers || Download paper

2016Quantile behaviour of cointegration between silver and gold prices. (2016). Peng, Cheng ; Zhu, Huiming ; You, Wanhai . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:119-125.

Full description at Econpapers || Download paper

2016GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference. (2016). Prokhorov, Artem ; Hill, Jonathan B. In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:1:p:18-45.

Full description at Econpapers || Download paper

2016Evaluating the risk of Chinese housing markets: What we know and what we need to know. (2016). Gyourko, Joseph ; Deng, Yongheng ; Wu, Jing . In: China Economic Review. RePEc:eee:chieco:v:39:y:2016:i:c:p:91-114.

Full description at Econpapers || Download paper

2016ARCO: an artificial counterfactual approach for high-dimensional panel time-series data. (2016). Carvalho, Carlos ; Medeiros, Marcelo Cunha ; Masini, Ricardo ; de Carvalho, Carlos Viana . In: Textos para discussão. RePEc:rio:texdis:653.

Full description at Econpapers || Download paper

2016Estimating the health impacts of food safety interventions: Optimal counterfactual selections via information criteria in small samples. (2016). Wang, Huiqiang . In: Food Policy. RePEc:eee:jfpoli:v:63:y:2016:i:c:p:44-52.

Full description at Econpapers || Download paper

2016The perils of Counterfactual Analysis with Integrated Processes. (2016). de Carvalho, Carlos Viana ; Medeiros, Marcelo Cunha ; Masini, Ricardo . In: Textos para discussão. RePEc:rio:texdis:654.

Full description at Econpapers || Download paper

2016Do co-jumps impact correlations in currency markets?. (2016). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef . In: Papers. RePEc:arx:papers:1602.05489.

Full description at Econpapers || Download paper

2016Enriching Students Pays Off: Evidence from an Individualized Gifted and Talented Program in Secondary Education. (2016). Plug, Erik ; Haan, Ferry ; Booij, Adam S. In: IZA Discussion Papers. RePEc:iza:izadps:dp9757.

Full description at Econpapers || Download paper

2016How You Pay Affects How You Do: Financial Aid Type and Student Performance in College. (2016). Won, Shinjae ; Cappelli, Peter . In: NBER Working Papers. RePEc:nbr:nberwo:22604.

Full description at Econpapers || Download paper

2016Complementarity vs substitutability in waste management behaviors. (2016). Zoli, Mariangela ; mancinelli, susanna ; D'Amato, Alessio. In: Ecological Economics. RePEc:eee:ecolec:v:123:y:2016:i:c:p:84-94.

Full description at Econpapers || Download paper

2016The Credit-Card-Services Augmented Divisia Monetary Aggregates. (2016). Leiva-Leon, Danilo ; Barnett, William ; Chauvet, Marcelle ; Su, Liting . In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201604.

Full description at Econpapers || Download paper

2016Risk Adjustment of the Credit-Card Augmented Divisia Monetary Aggregates. (2016). Barnett, William ; Su, Liting . In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201606.

Full description at Econpapers || Download paper

2016Normality of Demand in a Two-Goods Setting. (2016). Demuynck, Thomas ; De Rock, Bram ; Cherchye, Laurens. In: Working Papers ECARES. RePEc:eca:wpaper:2013/235577.

Full description at Econpapers || Download paper

2016The information in systemic risk rankings. (2016). Schwaab, Bernd ; Lucas, André ; Koopman, Siem Jan ; Nucera, Federico . In: Working Paper Series. RePEc:ecb:ecbwps:20161875.

Full description at Econpapers || Download paper

2016An exponentially weighted quantile regression via SVM with application to estimating multiperiod VaR. (2016). Xu, Qifa ; He, Yaoyao ; Jiang, Cuixia . In: Statistical Methods & Applications. RePEc:spr:stmapp:v:25:y:2016:i:2:d:10.1007_s10260-015-0332-9.

Full description at Econpapers || Download paper

2016Impact of US Uncertainties on Emerging and Mature Markets: Evidence from a Quantile-Vector Autoregressive Approach. (2016). Wohar, Mark ; Uribe Gil, Jorge ; GUPTA, RANGAN ; Chuliá, Helena ; Chulia, Helena . In: Working Papers. RePEc:pre:wpaper:201656.

Full description at Econpapers || Download paper

2016Network, Market, and Book-Based Systemic Risk Rankings. (2016). Lucas, André. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160074.

Full description at Econpapers || Download paper

2016CoVaR. (2016). Brunnermeier, Markus ; Adrian, Tobias . In: American Economic Review. RePEc:aea:aecrev:v:106:y:2016:i:7:p:1705-41.

Full description at Econpapers || Download paper

2016The information in systemic risk rankings. (2016). Schwaab, Bernd ; Lucas, André ; Koopman, Siem Jan ; Nucera, Federico . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:461-475.

Full description at Econpapers || Download paper

2016Residual-augmented IVX predictive regression. (2016). Rodrigues, Paulo ; Demetrescu, Matei. In: Working Papers. RePEc:ptu:wpaper:w201605.

Full description at Econpapers || Download paper

2016Testing for predictability in panels of any time series dimension. (2016). Westerlund, Joakim ; Narayan, Paresh . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1162-1177.

Full description at Econpapers || Download paper

2016Estimating production functions with control functions when capital is measured with error. (2016). Kim, Kyoo il ; Il, Kyoo ; Song, Suyong ; Petrin, Amil . In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:2:p:267-279.

Full description at Econpapers || Download paper

2016Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets. (2016). Yamamoto, Yohei ; Horie, Tetsushi . In: Discussion Papers. RePEc:hit:econdp:2016-04.

Full description at Econpapers || Download paper

2016Identification problem of GMM estimators for short panel data models with interactive fixed effects. (2016). . In: Economics Letters. RePEc:eee:ecolet:v:139:y:2016:i:c:p:22-26.

Full description at Econpapers || Download paper

2016BIAS-CORRECTED COMMON CORRELATED EFFECTS POOLED ESTIMATION IN HOMOGENEOUS DYNAMIC PANELS. (2016). Everaert, Gerdie ; De Vos, Ignace. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:16/920.

Full description at Econpapers || Download paper

2016Neighbourhood GMM estimation of dynamic panel data models. (2016). Sarafidis, Vasilis. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:526-544.

Full description at Econpapers || Download paper

2016Testing super-diagonal structure in high dimensional covariance matrices. (2016). Chen, Song. In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:2:p:283-297.

Full description at Econpapers || Download paper

2016Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities. (2016). DE TRUCHIS, Gilles ; Aloy, Marcel . In: Computational Economics. RePEc:kap:compec:v:48:y:2016:i:1:d:10.1007_s10614-015-9531-6.

Full description at Econpapers || Download paper

2016The effects of asymmetric volatility and jumps on the pricing of VIX derivatives. (2016). Park, Yang-Ho . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:313-328.

Full description at Econpapers || Download paper

2016Dynamic panels with threshold effect and endogeneity. (2016). Seo, Myunghwan ; Shin, Yongcheol . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:2:p:169-186.

Full description at Econpapers || Download paper

2016Asymptotic distribution of quasi-maximum likelihood estimation of dynamic panels using long difference transformation when both N and T are large. (2016). hsiao, cheng ; Zhou, Qiankun . In: Statistical Methods & Applications. RePEc:spr:stmapp:v:25:y:2016:i:4:d:10.1007_s10260-016-0355-x.

Full description at Econpapers || Download paper

2016Informational content of special regressors in heteroskedastic binary response models. (2016). Chen, Song Nian ; Tang, Xun ; Khan, Shakeeb . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:162-182.

Full description at Econpapers || Download paper

2016Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso. (2016). Su, Liangjun ; Qian, Junhui . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:86-109.

Full description at Econpapers || Download paper

2016Kernel estimation of hazard functions when observations have dependent and common covariates. (2016). Wolter, James Lewis . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:1-16.

Full description at Econpapers || Download paper

2016Nonparametric Regression with Common Shocks. (2016). Souza-Rodrigues, Eduardo A. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:3:p:36-:d:77160.

Full description at Econpapers || Download paper

2016Model selection consistency from the perspective of generalization ability and VC theory with an application to Lasso. (2016). Xu, Ning ; Fisher, Timothy ; Hong, Jian . In: MPRA Paper. RePEc:pra:mprapa:71670.

Full description at Econpapers || Download paper

2016Model selection consistency from the perspective of generalization ability and VC theory with an application to Lasso. (2016). Xu, Ning ; Fisher, Timothy ; Hong, Jian . In: Papers. RePEc:arx:papers:1606.00142.

Full description at Econpapers || Download paper

2016Practical and theoretical advances in inference for partially identified models. (2016). Shaikh, Azeem ; Canay, Ivan. In: CeMMAP working papers. RePEc:ifs:cemmap:05/16.

Full description at Econpapers || Download paper

2016The impact of political risk on return, volatility and discontinuity: Evidence from the international stock and foreign exchange markets. (2016). Vortelinos, Dimitrios I ; Saha, Shrabani . In: Finance Research Letters. RePEc:eee:finlet:v:17:y:2016:i:c:p:222-226.

Full description at Econpapers || Download paper

2016On the Use of the Lasso for Instrumental Variables Estimation with Some Invalid Instruments. (2016). Windmeijer, Frank ; Farbmacher, Helmut ; Davies, Neil ; Smith, George Davey . In: Bristol Economics Discussion Papers. RePEc:bri:uobdis:16/674.

Full description at Econpapers || Download paper

2016Gaming the Boston School Choice Mechanism in Beijing. (2016). HE, Yinghua. In: TSE Working Papers. RePEc:tse:wpaper:28970.

Full description at Econpapers || Download paper

2016The impact of pollution abatement investments on production technology: new insights from frontier analysis. (2016). Simioni, Michel ; Huiban, Jean Pierre ; Musolesi, Antonio . In: Working Papers. RePEc:udf:wpaper:2016025.

Full description at Econpapers || Download paper

2016The impact of pollution abatement investments on production technology: new insights from frontier analysis. (2016). Huiban, J P ; Simioni, M ; Musolesi, A ; Mastromarco, C. In: Working Papers MOISA. RePEc:umr:wpaper:201602.

Full description at Econpapers || Download paper

2016Higher-Order Effects in Asset-Pricing Models with Long-Run Risks. (2016). Schmedders, Karl ; Pohl, Walt ; Wilms, Ole . In: 2016 Meeting Papers. RePEc:red:sed016:306.

Full description at Econpapers || Download paper

2016Sieve instrumental variable quantile regression estimation of functional coefficient models. (2016). Su, Liangjun ; Hoshino, Tadao. In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:231-254.

Full description at Econpapers || Download paper

2016Demand for performing arts: the effect of unobserved quality on price elasticity. (2016). Buzanakova, Alina ; Ozhegov, Evgeniy M. In: ACEI Working Paper Series. RePEc:cue:wpaper:awp-05-2016.

Full description at Econpapers || Download paper

2016Heterogeneous Effects of High School Peers on Educational Outcomes. (2016). Mendolia, Silvia ; Walker, Ian ; Paloyo, Alfredo R. In: IZA Discussion Papers. RePEc:iza:izadps:dp9795.

Full description at Econpapers || Download paper

2016How useful are (Censored) Quantile Regressions for Contingent Valuation?. (2016). CHANEL, Olivier ; Champonnois, Victor. In: Working Papers. RePEc:fae:wpaper:2016.12.

Full description at Econpapers || Download paper

2016Doing More When Youre Running LATE: Applying Marginal Treatment Effect Methods to Examine Treatment Effect Heterogeneity in Experiments for the Young and Privately Insured?. (2016). Kowalski, Amanda. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2045.

Full description at Econpapers || Download paper

2016Doing More When Youre Running LATE: Applying Marginal Treatment Effect Methods to Examine Treatment Effect Heterogeneity in Experiments. (2016). Kowalski, Amanda. In: NBER Working Papers. RePEc:nbr:nberwo:22363.

Full description at Econpapers || Download paper

2016Doing more when youre running LATE: Applying marginal treatment effect methods to examine treatment effect heterogeneity in experiments. (2016). Kowalski, Amanda. In: Artefactual Field Experiments. RePEc:feb:artefa:00560.

Full description at Econpapers || Download paper

2016Demand for Performing Arts: The Effect of Unobserved Quality on Price Elasticity. (2016). Buzanakova, Alina R ; Ozhegov, Evgeniy M. In: HSE Working papers. RePEc:hig:wpaper:156/ec/2016.

Full description at Econpapers || Download paper

2016Series estimation under cross-sectional dependence. (2016). Lee, Jungyoon ; Robinson, Peter . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:63380.

Full description at Econpapers || Download paper

2016Series estimation under cross-sectional dependence. (2016). Lee, Jungyoon ; Robinson, Peter M. In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:1:p:1-17.

Full description at Econpapers || Download paper

2016Root-T consistent density estimation in GARCH models. (2016). Delaigle, Aurore ; Rombouts, Jeroen ; Meister, Alexander . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:55-63.

Full description at Econpapers || Download paper

2016Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds. (2016). Vogt, Erik ; Crump, Richard ; Adrian, Tobias . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11401.

Full description at Econpapers || Download paper

2016.

Full description at Econpapers || Download paper

2016A note on the Wang transform for stochastic volatility pricing models. (2016). Badescu, Alexandru ; Ortega, Juan-Pablo ; Cui, Zhenyu . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:189-196.

Full description at Econpapers || Download paper

2016Technical viability of mobile solar photovoltaic systems for indigenous nomadic communities in northern latitudes. (2016). Pearce, Joshua ; Obydenkova, Svetlana V. In: Renewable Energy. RePEc:eee:renene:v:89:y:2016:i:c:p:253-267.

Full description at Econpapers || Download paper

2016Bias-corrected confidence intervals in a class of linear inverse problems. (2016). Horowitz, Joel ; FLORENS, Jean-Pierre ; van Keilegom, Ingred . In: CeMMAP working papers. RePEc:ifs:cemmap:19/16.

Full description at Econpapers || Download paper

2016A plausible model of yield curve dynamics. (2016). Magnus, Gideon . In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:30:y:2016:i:2:d:10.1007_s11408-016-0265-9.

Full description at Econpapers || Download paper

2016Evolving Fuzzy-GARCH Approach for Financial Volatility Modeling and Forecasting. (2016). GOMIDE, FERNANDO ; MacIel, Leandro ; Ballini, Rosangela . In: Computational Economics. RePEc:kap:compec:v:48:y:2016:i:3:d:10.1007_s10614-015-9535-2.

Full description at Econpapers || Download paper

2016Can Affine Models Match the Moments in Bond Yields?. (2016). Feldhutter, Peter . In: Quarterly Journal of Finance (QJF). RePEc:wsi:qjfxxx:v:06:y:2016:i:02:p:1650009-01-1650009-56.

Full description at Econpapers || Download paper

2016Bayesian Inference for Partially Identified Convex Models: Is it Valid for Frequentist Inference?. (2016). Simoni, Anna ; Liao, Yuan. In: Departmental Working Papers. RePEc:rut:rutres:201607.

Full description at Econpapers || Download paper

2016Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series. (2016). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1510.05118.

Full description at Econpapers || Download paper

2016ℓ1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors. (2016). Medeiros, Marcelo ; Mendes, Eduardo F. In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:255-271.

Full description at Econpapers || Download paper

2016Macroeconomic Forecasting Using Penalized Regression Methods. (2016). Smeekes, Stephan ; Wijler, Etienne . In: Research Memorandum. RePEc:unm:umagsb:2016039.

Full description at Econpapers || Download paper

2016On the Significance of Labor Reallocation for European Unemployment: Evidence from a Panel of 15 Countries. (2016). Pelloni, Gianluigi ; Panagiotidis, Theodore ; Bakas, Dimitrios. In: Working Paper Series. RePEc:rim:rimwps:16-01.

Full description at Econpapers || Download paper

2016Do population age groups matter in the energy use of the oil-exporting countries?. (2016). Suleymanov, Elchin ; Hasanov, Fakhri J ; Bulut, Cihan . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:82-99.

Full description at Econpapers || Download paper

2016Dutch disease, real effective exchange rate misalignments and their effect on GDP growth in the EU. (2016). Comunale, Mariarosaria. In: CAMA Working Papers. RePEc:een:camaaa:2016-28.

Full description at Econpapers || Download paper

2016Dutch Disease, Real Effective Exchange Rate Misalignments and their effect on GDP growth in the EU. (2016). Comunale, Mariarosaria. In: Bank of Lithuania Working Paper Series. RePEc:lie:wpaper:26.

Full description at Econpapers || Download paper

2016A multi-country approach to forecasting output growth using PMIs. (2016). Pesaran, M ; Grossman, Valerie . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:2:p:349-365.

Full description at Econpapers || Download paper

2016Dutch Disease, Real Effective Exchange Rate Misalignments and Their Effect on GDP Growh in the EU. (2016). Comunale, Mariarosaria. In: CEIS Research Paper. RePEc:rtv:ceisrp:379.

Full description at Econpapers || Download paper

2016Statistical inference in a random coefficient panel model. (2016). Horvath, Lajos ; Trapani, Lorenzo . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:54-75.

Full description at Econpapers || Download paper

2016Monetary independence in a financially integrated world: what do measures of interest rate co-movement tell us?. (2016). Kharroubi, Enisse ; Zampolli, Fabrizio . In: BIS Papers chapters. RePEc:bis:bisbpc:88-12.

Full description at Econpapers || Download paper

2016The Main Determinants of Private Investment in The WAEMU Zone: The Dynamic Approach. (2016). COMBEY, Adama . In: MPRA Paper. RePEc:pra:mprapa:75382.

Full description at Econpapers || Download paper

2016The Main Determinants of Private Investment in The WAEMU Zone: The Dynamic Approach. (2016). COMBEY, Adama. In: MPRA Paper. RePEc:pra:mprapa:75428.

Full description at Econpapers || Download paper

2016An evaluation of relationship between public debt and economic growth: A study of Afghanistan. (2016). Ul, Nassir ; Kabir, Habib . In: MPRA Paper. RePEc:pra:mprapa:75538.

Full description at Econpapers || Download paper

2016On the significance of labour reallocation for European unemployment: Evidence from a panel of 15 countries. (2016). Pelloni, Gianluigi ; Panagiotidis, Theodore ; Bakas, Dimitrios . In: Journal of Empirical Finance. RePEc:eee:empfin:v:39:y:2016:i:pb:p:229-240.

Full description at Econpapers || Download paper

2016A Life Course Perspective on the Income-to-Health Relationship: Macro-Empirical Evidence from two Centuries. (2016). Nagel, Korbinian . In: Annual Conference 2016 (Augsburg): Demographic Change. RePEc:zbw:vfsc16:145810.

Full description at Econpapers || Download paper

2016A Semiparametric Intraday GARCH Model. (2016). Malec, Peter. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1633.

Full description at Econpapers || Download paper

2016Global equity market volatility spillovers: A broader role for the United States. (2016). Buncic, Daniel. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1317-1339.

Full description at Econpapers || Download paper

2016Modeling of chemical exergy of agricultural biomass using improved general regression neural network. (2016). Chen, M Q ; Li, Y ; Guo, J ; Huang, Y W. In: Energy. RePEc:eee:energy:v:114:y:2016:i:c:p:1164-1175.

Full description at Econpapers || Download paper

2016Nonparametric and arbitrage-free construction of call surfaces using l1-recovery. (2016). Blacque-Florentin, Pierre M. ; Missaoui, Badr . In: Papers. RePEc:arx:papers:1506.06997.

Full description at Econpapers || Download paper

2016Option-implied probability distributions: How reliable? How jagged?. (2016). Taboga, Marco. In: International Review of Economics & Finance. RePEc:eee:reveco:v:45:y:2016:i:c:p:453-469.

Full description at Econpapers || Download paper

2016On the dominance of Mallows model averaging estimator over ordinary least squares estimator. (2016). Zhang, Xinyu ; Zhao, Shangwei ; Ullah, Aman ; Amanullah, . In: Economics Letters. RePEc:eee:ecolet:v:142:y:2016:i:c:p:69-73.

Full description at Econpapers || Download paper

2016Gradient-based bandwidth selection for estimating average derivatives. (2016). Li, Cong ; Wang, Yanfei . In: Economics Letters. RePEc:eee:ecolet:v:140:y:2016:i:c:p:19-22.

Full description at Econpapers || Download paper

2016Measuring the Total-Factor Carbon Emission Performance of Industrial Land Use in China Based on the Global Directional Distance Function and Non-Radial Luenberger Productivity Index. (2016). Wang, Wei ; Jiang, Tong ; Zhang, Daobei ; Xie, Xue . In: Sustainability. RePEc:gam:jsusta:v:8:y:2016:i:4:p:336-:d:67686.

Full description at Econpapers || Download paper

2016Measuring the Total-Factor Carbon Emission Performance of Industrial Land Use in China Based on the Global Directional Distance Function and Non-Radial Luenberger Productivity Index. (2016). Wang, Wei ; Xie, Xue ; Zhang, Daobei ; Jiang, Tong . In: Sustainability. RePEc:gam:jsusta:v:8:y:2016:i:4:p:336:d:67686.

Full description at Econpapers || Download paper

2016Model averaging based on leave-subject-out cross-validation. (2016). Gao, Yan ; Zou, Guohua ; Wang, Shouyang ; Zhang, Xinyu . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:139-151.

Full description at Econpapers || Download paper

2016Forecast evaluation with factor-augmented models. (2016). Fosten, Jack. In: University of East Anglia School of Economics Working Paper Series. RePEc:uea:ueaeco:2016_05.

Full description at Econpapers || Download paper

2016Model selection with factors and variables. (2016). Fosten, Jack. In: University of East Anglia School of Economics Working Paper Series. RePEc:uea:ueaeco:2016_07.

Full description at Econpapers || Download paper

2016In-sample inference and forecasting in misspecified factor models. (2016). Rossi, Barbara ; Carrasco, Marine . In: Economics Working Papers. RePEc:upf:upfgen:1530.

Full description at Econpapers || Download paper

2016In-sample Inference and Forecasting in Misspecified Factor Models. (2016). Rossi, Barbara ; Carrasco, Marine . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11388.

Full description at Econpapers || Download paper

2016Efficient shrinkage in parametric models. (2016). Hansen, Bruce. In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:1:p:115-132.

Full description at Econpapers || Download paper

2016Systemic risk and the macroeconomy: An empirical evaluation. (2016). Giglio, Stefano ; Pruitt, Seth ; Kelly, Bryan . In: Journal of Financial Economics. RePEc:eee:jfinec:v:119:y:2016:i:3:p:457-471.

Full description at Econpapers || Download paper

2016Chinese stock market volatility and the role of U.S. economic variables. (2016). Xu, Weidong ; Li, Hongyi ; Jiang, Fuwei ; Chen, Jian . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:39:y:2016:i:c:p:70-83.

Full description at Econpapers || Download paper

2016Predictive Macro-Impacts of PLS-based Financial Conditions Indices: An Application to the USA. (2016). Qin, Duo ; Wang, Qingchao . In: Working Papers. RePEc:soa:wpaper:201.

Full description at Econpapers || Download paper

2016Markov-Switching Three-Pass Regression Filter. (2016). Leiva-Leon, Danilo ; Guérin, Pierre ; Marcellino, Massimiliano . In: Working Papers. RePEc:igi:igierp:591.

Full description at Econpapers || Download paper

2016Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory. (2016). Ghysels, Eric ; Colacito, Riccardo ; Siwasarit, Wasin ; Meng, Jinghan . In: Review of Financial Studies. RePEc:oup:rfinst:v:29:y:2016:i:8:p:2069-2109..

Full description at Econpapers || Download paper

2016Conformism and self-selection in social networks. (2016). Boucher, Vincent. In: Journal of Public Economics. RePEc:eee:pubeco:v:136:y:2016:i:c:p:30-44.

Full description at Econpapers || Download paper

2016Structural Changes in the Economy of Cross-Border Regions of Russia and China. (2016). Zabelina, Irina ; Klevakina, Ekaterina . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-04-25.

Full description at Econpapers || Download paper

2016Recovering the counterfactual wage distribution with selective return migration. (2016). Biavaschi, Costanza. In: Labour Economics. RePEc:eee:labeco:v:38:y:2016:i:c:p:59-80.

Full description at Econpapers || Download paper

2016Changing dynamics at the zero lower bound. (2016). Strachan, Rodney ; Kaufmann, Daniel ; Baeurle, Gregor ; Baurle, Gregor . In: Working Papers. RePEc:szg:worpap:1602.

Full description at Econpapers || Download paper

2016Nonlinearities, Smoothing and Countercyclical Monetary Policy. (2016). Owyang, Michael ; Jackson Young, Laura ; Soques, Daniel . In: Working Papers. RePEc:fip:fedlwp:2016-008.

Full description at Econpapers || Download paper

2016Hidden Markov models in time series, with applications in economics. (2016). Kaufmann, Sylvia. In: Working Papers. RePEc:szg:worpap:1606.

Full description at Econpapers || Download paper

2016Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model. (2016). Ravazzolo, Francesco ; Marcellino, Massimiliano ; Foroni, Claudia ; Casarin, Roberto . In: Working Papers. RePEc:igi:igierp:585.

Full description at Econpapers || Download paper

2016Changing dynamics at the zero lower bound. (2016). Strachan, Rodney ; Kaufmann, Daniel ; Baeurle, Gregor ; Baurle, Gregor . In: Working Papers. RePEc:snb:snbwpa:2016-16.

Full description at Econpapers || Download paper

2016Erratum regarding “Instrumental variables with unrestricted heterogeneity and continuous treatment”. (2016). Kasy, Maximilian ; hoderlein, stefan ; Holzmann, Hajo ; Meister, Alexander . In: Boston College Working Papers in Economics. RePEc:boc:bocoec:896.

Full description at Econpapers || Download paper

2016Smoothed quantile regression for panel data. (2016). Galvao, Antonio F ; Kato, Kengo . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:92-112.

Full description at Econpapers || Download paper

2016RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL. (2016). Fabozzi, Frank J ; Bianchi, Michele Leonardo ; Tassinari, Gian Luca . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:04:p:1650027-01-1650027-28.

Full description at Econpapers || Download paper

2016Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance. (2016). van Dijk, Herman ; Ravazzolo, Francesco ; Grassi, Stefano ; Casarin, Roberto. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150084.

Full description at Econpapers || Download paper

2016The implications of liquidity expansion in China for the US dollar. (2016). Vespignani, Joaquin ; Ratti, Ronald ; Kang, Wensheng . In: CAMA Working Papers. RePEc:een:camaaa:2016-05.

Full description at Econpapers || Download paper

2016The implications of liquidity expansion in China for the US dollar. (2016). Vespignani, Joaquin ; Ratti, Ronald ; Kang, Wensheng . In: Globalization and Monetary Policy Institute Working Paper. RePEc:fip:feddgw:264.

Full description at Econpapers || Download paper

2016Forecasting GDP with global components. This time is different. (2016). Thorsrud, Leif ; Ravazzolo, Francesco ; Bjørnland, Hilde. In: CAMA Working Papers. RePEc:een:camaaa:2016-26.

Full description at Econpapers || Download paper

2016Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data. (2016). Koopman, Siem Jan ; Blasques, Francisco ; Mallee, M. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:405-417.

Full description at Econpapers || Download paper

2016The implications of monetary expansion in China for the US dollar. (2016). Vespignani, Joaquin ; Ratti, Ronald ; Kang, Wensheng . In: Journal of Asian Economics. RePEc:eee:asieco:v:46:y:2016:i:c:p:71-84.

Full description at Econpapers || Download paper

2016Fractional order statistic approximation for nonparametric conditional quantile inference. (2016). Kaplan, David ; Goldman, Matt . In: Working Papers. RePEc:umc:wpaper:1502.

Full description at Econpapers || Download paper

2016A robust confidence interval of historical Value-at-Risk for small sample. (2016). Guegan, Dominique ; Li, Kehan ; Hassani, Bertrand K. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:16034.

Full description at Econpapers || Download paper

2016A robust confidence interval of historical Value-at-Risk for small sample. (2016). Guegan, Dominique ; Li, Kehan ; Hassani, Bertrand . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01317391.

Full description at Econpapers || Download paper

2016Capturing the intrinsic uncertainty of the VaR: Spectrum representation of a saddlepoint approximation for an estimator of the VaR. (2016). Li, Kehan ; Hassani, Bertrand K ; Guegan, Dominique . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:16034r.

Full description at Econpapers || Download paper

2016Nonparametric inference on conditional quantile differences and linear combinations, using L-statistics. (2016). Kaplan, David ; Goldman, Matt . In: Working Papers. RePEc:umc:wpaper:1620.

Full description at Econpapers || Download paper

2016Worker migration or job creation? Persistent shocks and regional recoveries. (2016). Greenaway-McGrevy, Ryan ; Hood, Kyle K. In: Journal of Urban Economics. RePEc:eee:juecon:v:96:y:2016:i:c:p:1-16.

Full description at Econpapers || Download paper

2016Methods for Nonparametric and Semiparametric Regressions with Endogeneity: a Gentle Guide. (2016). Chen, Xiaohong ; Qiu, Yin Jia . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2032.

Full description at Econpapers || Download paper

2016Should employers pay their employees better? An asset pricing approach. (2016). Aboura, Sofiane ; Valeyre, Sebastien ; Bonnin, Francois ; Liu, Qian ; Grebenkov, Denis . In: Papers. RePEc:arx:papers:1602.00931.

Full description at Econpapers || Download paper

2016Explaining Size Effect for Indian Stock Market. (2016). Pandey, Asheesh ; Sehgal, Sanjay . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:23:y:2016:i:1:d:10.1007_s10690-015-9208-0.

Full description at Econpapers || Download paper

2016Estimation of Spatial Sample Selection Models : A Partial Maximum Likelihood Approach. (2016). Cizek, Pavel ; Rabovic, Renata . In: Discussion Paper. RePEc:tiu:tiucen:8a4b2e5d-6787-4685-8b9e-128d0e6d4e47.

Full description at Econpapers || Download paper

2016Distribution Free Estimation of Spatial Autoregressive Binary Choice Panel Data Models. (2016). Arduini, Tiziano. In: Working Papers. RePEc:bol:bodewp:wp1052.

Full description at Econpapers || Download paper

2016Spatial Econometrics: A Broad View. (2016). Arbia, Giuseppe . In: Foundations and Trends(R) in Econometrics. RePEc:now:fnteco:0800000030.

Full description at Econpapers || Download paper

2016Interdependence of foreign exchange markets: A wavelet coherence analysis. (2016). Yang, Lu ; Hamori, Shigeyuki ; Zhang, Huimin ; Cai, Xiaojing . In: Economic Modelling. RePEc:eee:ecmode:v:55:y:2016:i:c:p:6-14.

Full description at Econpapers || Download paper

2016Interdependence between Greece and other European stock markets: A comparison of wavelet and VMD copula, and the portfolio implications. (2016). Shahzad, Syed Jawad Hussain ; Kumar, Ronald ; Ameer, Saba ; Ali, Sajid ; Hussain, Syed Jawad . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:457:y:2016:i:c:p:8-33.

Full description at Econpapers || Download paper

2016Black Swan Events and Safe Havens: The role of Gold in Globally Integrated Emerging Markets. (2016). Uddin, Gazi ; Nguyen, Duc Khuong ; Boubaker, Sabri ; Bekiros, Stelios . In: MPRA Paper. RePEc:pra:mprapa:75740.

Full description at Econpapers || Download paper

2016Robust inference of risks of large portfolios. (2016). Liu, Han ; Fan, Jianqing ; Han, Fang ; Vickers, Byron . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:2:p:298-308.

Full description at Econpapers || Download paper

2016Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case. (2016). Hafner, Christian M ; Tang, Haihan ; Linton, Oliver B. In: CORE Discussion Papers. RePEc:cor:louvco:2016044.

Full description at Econpapers || Download paper

2016A new approach to volatility modeling: the High-Dimensional Markov model. (2016). Dufays, Arnaud ; Bauwens, Luc ; Augustyniak, Maciej . In: Cahiers de recherche. RePEc:lvl:crrecr:1609.

Full description at Econpapers || Download paper

2016A New Approach to Volatility Modeling : The High-Dimensional Markov Model. (2016). Augustyniak, Maciej ; Dufays, Arnaud ; Bauwens, Luc . In: CORE Discussion Papers. RePEc:cor:louvco:2016042.

Full description at Econpapers || Download paper

2016Differences in regional emissions in Chinas transport sector: Determinants and reduction strategies. (2016). Xu, Bin ; Lin, Boqiang . In: Energy. RePEc:eee:energy:v:95:y:2016:i:c:p:459-470.

Full description at Econpapers || Download paper

2016Another Look at Single-Index Models Based on Series Estimation. (2016). GAO, Jiti ; Dong, Chaohua ; Peng, Bin . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2016-19.

Full description at Econpapers || Download paper

2016Stock Return Prediction with Fully Flexible Models and Coefficients. (2016). Fu, Rong ; Byrne, Joseph. In: MPRA Paper. RePEc:pra:mprapa:75366.

Full description at Econpapers || Download paper

2016ZD-GARCH model: a new way to study heteroscedasticity. (2016). Zhu, Ke ; Li, Dong ; Ling, Shiqing . In: MPRA Paper. RePEc:pra:mprapa:68621.

Full description at Econpapers || Download paper

2016A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics. (2016). McAleer, Michael ; Asai, Manabu. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160065.

Full description at Econpapers || Download paper

2016Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers. (2016). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1615.

Full description at Econpapers || Download paper

2016A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics. (2016). McAleer, Michael ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:93333.

Full description at Econpapers || Download paper

2016Shock Propagations in Granular Networks. (2016). Daisuke, Fujii . In: Discussion papers. RePEc:eti:dpaper:16057.

Full description at Econpapers || Download paper

2016A simple test for moment inequality models with an application to English auctions. (2016). Aradillas-Lopez, Andres ; Quint, Daniel ; Gandhi, Amit . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:1:p:96-115.

Full description at Econpapers || Download paper

2016Assessing CO2 emissions in China’s iron and steel industry: A dynamic vector autoregression model. (2016). Xu, Bin ; Lin, Boqiang . In: Applied Energy. RePEc:eee:appene:v:161:y:2016:i:c:p:375-386.

Full description at Econpapers || Download paper

2016Coal Consumption Reduction in Shandong Province: A Dynamic Vector Autoregression Model. (2016). Deng, Chun ; Dong, Jie-Fang . In: Sustainability. RePEc:gam:jsusta:v:8:y:2016:i:9:p:871-:d:77071.

Full description at Econpapers || Download paper

2016Comparing distributions by multiple testing across quantiles. (2016). Kaplan, David ; Goldman, Matt . In: Working Papers. RePEc:umc:wpaper:1619.

Full description at Econpapers || Download paper

2016Quantile Regression with Interval Data. (2016). Beresteanu, Arie. In: Working Paper. RePEc:pit:wpaper:5991.

Full description at Econpapers || Download paper

2016Semiparametric dynamic portfolio choice with multiple conditioning variables. (2016). Li, Degui ; Lu, Zudi ; Chen, Jia ; Linton, Oliver . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:2:p:309-318.

Full description at Econpapers || Download paper

2016Credit and liquidity in interbank rates: A quadratic approach. (2016). Roussellet, Guillaume ; Renne, Jean-Paul ; Dubecq, Simon ; Monfort, Alain . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:68:y:2016:i:c:p:29-46.

Full description at Econpapers || Download paper

2016On the asymptotic normality of kernel estimators of the long run covariance of functional time series. (2016). Horvath, Lajos ; Berkes, Istvan ; Rice, Gregory . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:144:y:2016:i:c:p:150-175.

Full description at Econpapers || Download paper

2016Gap between orthogonal projectors—Application to stationary processes. (2016). Boudou, Alain ; Viguier-Pla, Sylvie . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:146:y:2016:i:c:p:282-300.

Full description at Econpapers || Download paper

2016Unobserved heterogeneity and endogeneity in nonparametric frontier estimation. (2016). Vanhems, Anne ; Simar, Leopold ; van Keilegom, Ingrid ; VanKeilegom, Ingrid . In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:2:p:360-373.

Full description at Econpapers || Download paper

2016Robust frontier estimation from noisy data: a Tikhonov regularization approach. (2016). Simar, Leopold ; Daouia, Abdelaati ; FLORENS, Jean-Pierre. In: TSE Working Papers. RePEc:tse:wpaper:30543.

Full description at Econpapers || Download paper

2016Inference on the long-memory properties of time series with non-stationary volatility. (2016). Sibbertsen, Philipp ; Demetrescu, Matei. In: Economics Letters. RePEc:eee:ecolet:v:144:y:2016:i:c:p:80-84.

Full description at Econpapers || Download paper

2016Instrument selection for estimation of a forward-looking Phillips Curve. (2016). Medeiros, Marcelo C ; Sena, Marcelo J ; Berriel, Tiago . In: Economics Letters. RePEc:eee:ecolet:v:145:y:2016:i:c:p:123-125.

Full description at Econpapers || Download paper

2016Econometric estimation with high-dimensional moment equalities. (2016). Shi, Zhentao . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:104-119.

Full description at Econpapers || Download paper

2016Realizing the extremes: Estimation of tail-risk measures from a high-frequency perspective. (2016). Bee, Marco ; Trapin, Luca ; Dupuis, Debbie J. In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:86-99.

Full description at Econpapers || Download paper

2016Testing Symmetry of Unknown Densities via Smoothing with the Generalized Gamma Kernels. (2016). Hirukawa, Masayuki ; Sakudo, Mari . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:28-:d:72225.

Full description at Econpapers || Download paper

2016Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models. (2016). Demouche, Nacer ; Al-Eid, Eid ; Aknouche, Abdelhakim . In: MPRA Paper. RePEc:pra:mprapa:75770.

Full description at Econpapers || Download paper

2016Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank. (2016). Hallin, Marc ; van den Akker, Ramon . In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:1:p:46-61.

Full description at Econpapers || Download paper

2016Estimating jump–diffusions using closed-form likelihood expansions. (2016). Li, Chenxu ; Chen, Dachuan . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:51-70.

Full description at Econpapers || Download paper

2016Sequentially Testing Polynomial Model Hypotheses Using Power Transforms of Regressors. (2016). Cho, Jin Seo ; PEter, ; Park, Myung-Ho . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2060.

Full description at Econpapers || Download paper

2016Multidimensional Parameter Heterogeneity in Panel Data Models. (2016). Neal, Timothy . In: Discussion Papers. RePEc:swe:wpaper:2016-15.

Full description at Econpapers || Download paper

2016Forecasting Value-at-Risk under Different Distributional Assumptions. (2016). Scholtes, Nicolas K ; Braione, Manuela . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:3-:d:61992.

Full description at Econpapers || Download paper

2016Forecasting Value-at-Risk under Different Distributional Assumptions. (2016). Braione, Manuela ; Scholtes, Nicolas K. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:3:d:61992.

Full description at Econpapers || Download paper

2016Efficient Two-Step Estimation via Targeting. (2016). Renault, Eric ; Frazierz, David T. In: CIRANO Working Papers. RePEc:cir:cirwor:2016s-16.

Full description at Econpapers || Download paper

2016A DCC-GARCH multi-population mortality model and its applications to pricing catastrophic mortality bonds. (2016). Wang, Zihe ; Li, Johnny Siu-Hang . In: Finance Research Letters. RePEc:eee:finlet:v:16:y:2016:i:c:p:103-111.

Full description at Econpapers || Download paper

2016Estimation and empirical performance of non-scalar dynamic conditional correlation models. (2016). Bauwens, Luc ; Ortega, Juan-Pablo ; Grigoryeva, Lyudmila . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:17-36.

Full description at Econpapers || Download paper

2016Multiplicative Conditional Correlation Models for Realized Covariance Matrices. (2016). Storti, Giuseppe ; Braione, Manuela ; Bauwens, Luc . In: CORE Discussion Papers. RePEc:cor:louvco:2016041.

Full description at Econpapers || Download paper

2016Directional distance functions: Optimal endogenous directions. (2016). Tsionas, Mike ; Atkinson, Scott E. In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:2:p:301-314.

Full description at Econpapers || Download paper

2016Incorporating measures of grassland productivity into efficiency estimates for livestock grazing on the Qinghai-Tibetan Plateau in China. (2016). Huntsinger, Lynn ; Bruemmer, Bernhard ; Huang, Wei . In: Ecological Economics. RePEc:eee:ecolec:v:122:y:2016:i:c:p:1-11.

Full description at Econpapers || Download paper

2016Testing for monotonicity in unobservables under unconfoundedness. (2016). Su, Liangjun ; hoderlein, stefan ; Yang, Thomas Tao ; White, Halbert . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:183-202.

Full description at Econpapers || Download paper

2016Consistent model specification tests based on k-nearest-neighbor estimation method. (2016). Li, Hongjun ; Liu, Ruixuan . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:1:p:187-202.

Full description at Econpapers || Download paper

2016Generalized cross-spectral test for nonlinear Granger causality with applications to money–output and price–volume relations. (2016). Park, Sung Y. ; Li, Haiqi ; Zhong, Wanling . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:661-671.

Full description at Econpapers || Download paper

2016Option-implied term structures. (2016). Vogt, Erik. In: Staff Reports. RePEc:fip:fednsr:706.

Full description at Econpapers || Download paper

2016Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds. (2016). Vogt, Erik ; Crump, Richard ; Adrian, Tobias. In: Staff Reports. RePEc:fip:fednsr:723.

Full description at Econpapers || Download paper

2016A Fixed-bandwidth View of the Pre-asymptotic Inference for Kernel Smoothing with Time Series Data. (2016). Yang, Jingjing ; Kim, Minseong ; Sun, Yixiao . In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt2240n3n5.

Full description at Econpapers || Download paper

2016Productivity effects from inter-industry offshoring and inshoring: Firm-level evidence from Belgium. (2016). Merlevede, Bruno ; Theodorakopoulos, Angelos . In: FIW Working Paper series. RePEc:wsr:wpaper:y:2016:i:165.

Full description at Econpapers || Download paper

2016Nonparametric Stochastic Discount Factor Decomposition. (2016). . In: Papers. RePEc:arx:papers:1412.4428.

Full description at Econpapers || Download paper

2016Measuring financial cycles with a model-based filter: Empirical evidence for the United States and the euro area. (2016). Koopman, Siem Jan ; Galati, Gabriele ; Vlekke, Marente ; Hindrayanto, Irma . In: DNB Working Papers. RePEc:dnb:dnbwpp:495.

Full description at Econpapers || Download paper

2016Dating Cyclical Turning Points for Russia: Formal Methods and Informal Choices. (2016). Smirnov, Sergey ; Petronevich, Anna ; Kondrashov, Nikolai V. In: HSE Working papers. RePEc:hig:wpaper:122/ec/2016.

Full description at Econpapers || Download paper

2016Identification and real-time forecasting of Norwegian business cycles. (2016). Ravazzolo, Francesco ; Aastveit, Knut Are ; Jore, Anne Sofie . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:283-292.

Full description at Econpapers || Download paper

2016New evidence on the (de)synchronisation of business cycles: Reshaping the European business cycle. (2016). Grigoras, Veaceslav ; Stanciu, Irina Eusignia . In: International Economics. RePEc:eee:inteco:v:147:y:2016:i:c:p:27-52.

Full description at Econpapers || Download paper

2016The Beveridge–Nelson decomposition of mixed-frequency series. (2016). Murasawa, Yasutomo. In: Empirical Economics. RePEc:spr:empeco:v:51:y:2016:i:4:d:10.1007_s00181-015-1061-5.

Full description at Econpapers || Download paper

2016Inference for the correlation coefficient between potential outcomes in the Gaussian switching regime model. (2016). Liu, Ruixuan ; Chen, Heng ; Fan, Yanqin . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:2:p:255-270.

Full description at Econpapers || Download paper

2016Forecasting exchange rates under parameter and model uncertainty. (2016). Beckmann, Joscha ; Schussler, Rainer . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:60:y:2016:i:c:p:267-288.

Full description at Econpapers || Download paper

2016Testing Subspace Granger Causality. (2016). Al-Sadoon, Majid. In: Working Papers. RePEc:bge:wpaper:850.

Full description at Econpapers || Download paper

2016The Linear Systems Approach to Linear Rational Expectations Models. (2016). Al-Sadoon, Majid. In: Working Papers. RePEc:bge:wpaper:875.

Full description at Econpapers || Download paper

2016The linear systems approach to linear rational expectations models. (2016). Al-Sadoon, Majid. In: Economics Working Papers. RePEc:upf:upfgen:1511.

Full description at Econpapers || Download paper

2016The long-run causal relationship between electricity consumption and real GDP: Evidence from Japan and Germany. (2016). Ikegami, Masako ; Wang, Zijian. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:38:y:2016:i:5:p:767-784.

Full description at Econpapers || Download paper

2016A dynamic model for firm-response to non-credible incentive regulation regimes. (2016). Grifell-Tatje, Emili ; Agrell, Per J. In: Energy Policy. RePEc:eee:enepol:v:90:y:2016:i:c:p:287-299.

Full description at Econpapers || Download paper

2016A Decomposition of U.S. Business Sector TFP Growth into Technical Progress and Cost Efficiency Components. (2016). Diewert, Walter ; Fox, Kevin J. In: Microeconomics.ca working papers. RePEc:ubc:pmicro:erwin_diewert-2016-8.

Full description at Econpapers || Download paper

2016MCMC Confidence sets for Identified Sets. (2016). Chen, Xiaohong ; Tamer, Elie . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2037.

Full description at Econpapers || Download paper

2016MCMC Confidence sets for Identified Sets. (2016). Chen, Xiaohong ; Tamer, Elie ; O'Hara, Keith . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2037r.

Full description at Econpapers || Download paper

2016MCMC Con fidence Sets for Identi fied Sets. (2016). Chen, Xiaohong ; Tamer, Elie ; O'Hara, Keith . In: CeMMAP working papers. RePEc:ifs:cemmap:28/16.

Full description at Econpapers || Download paper

2016Multiscale adaptive inference on conditional moment inequalities. (2016). Armstrong, Timothy B ; Chan, Hock Peng . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:1:p:24-43.

Full description at Econpapers || Download paper

2016A simple test for moment inequality models with an application to English auctions. (2016). Aradillas-Lopez, Andres ; Quint, Daniel ; Gandhi, Amit . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:1:p:96-115.

Full description at Econpapers || Download paper

2016Inference for First-Price Auctions with Guerre, Perrigne, and Vuongs estimator. (2016). Shneyerov, Artyom ; Marmer, Vadim. In: Microeconomics.ca working papers. RePEc:ubc:pmicro:vadim_marmer-2016-4.

Full description at Econpapers || Download paper

2016Determining the number of factors after stationary univariate transformations. (2016). Ruiz, Esther ; Poncela, Pilar ; Corona, Francisco . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws1602.

Full description at Econpapers || Download paper

2016Nowcasting using news topics Big Data versus big bank. (2016). Thorsrud, Leif. In: Working Papers. RePEc:bny:wpaper:0046.

Full description at Econpapers || Download paper

2016Econometric estimation with high-dimensional moment equalities. (2016). Shi, Zhentao . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:104-119.

Full description at Econpapers || Download paper

2016Deciding Between Alternative Approaches In Macroeconomics. (2016). Hendry, David. In: Economics Series Working Papers. RePEc:oxf:wpaper:778.

Full description at Econpapers || Download paper

2016Evaluating Multi-Step System Forecasts with Relatively Few Forecast-Error Observations. (2016). Martinez, Andrew ; Hendry, David. In: Economics Series Working Papers. RePEc:oxf:wpaper:784.

Full description at Econpapers || Download paper

2016Improving the Teaching of Econometrics. (2016). Mizon, Grayham ; Hendry, David. In: Economics Series Working Papers. RePEc:oxf:wpaper:785.

Full description at Econpapers || Download paper

2016Policy Analysis, Forediction, and Forecast Failure. (2016). Martinez, Andrew ; Hendry, David ; Castle, Jennifer. In: Economics Series Working Papers. RePEc:oxf:wpaper:809.

Full description at Econpapers || Download paper

2016Truth or precision? Some reflections on the economists’ failure to predict the financial crisis. (2016). Giocoli, Nicola. In: The Review of Austrian Economics. RePEc:kap:revaec:v:29:y:2016:i:4:d:10.1007_s11138-015-0335-7.

Full description at Econpapers || Download paper

2016Counting Rotten Apples: Student Achievement and Score Manipulation in Italian Elementary Schools. (2016). Vuri, Daniela ; Battistin, Erich ; de Nadai, Michele . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11667.

Full description at Econpapers || Download paper

2016Forecast evaluation with factor-augmented models. (2016). Fosten, Jack. In: University of East Anglia School of Economics Working Paper Series. RePEc:uea:ueaeco:2016_05.

Full description at Econpapers || Download paper

2016Chinas Increasing Global Influence: Changes in International Growth Spillovers. (2016). Bataa, Erdenebat ; Sensier, Marianne ; Osborn, Denise R. In: Centre for Growth and Business Cycle Research Discussion Paper Series. RePEc:man:cgbcrp:221.

Full description at Econpapers || Download paper

2016Measuring the uncertainty of Principal Components in Dynamic Factor Models. (2016). Ruiz, Esther ; de Vicente, Javier . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:23974.

Full description at Econpapers || Download paper

2016Detecting a Structural Change in Functional Time Series Using Local Wilcoxon Statistic. (2016). Snarska, Malgorzata ; Rydlewski, Jerzy P ; Kosiorowski, Daniel . In: Papers. RePEc:arx:papers:1604.03776.

Full description at Econpapers || Download paper

2016Adaptive bandwidth selection in the long run covariance estimator of functional time series. (2016). Horvath, Lajos ; Whipple, Stephen ; Rice, Gregory . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:676-693.

Full description at Econpapers || Download paper

2016Robust frontier estimation from noisy data: a Tikhonov regularization approach. (2016). Simar, Leopold ; Daouia, Abdelaati ; FLORENS, Jean-Pierre. In: TSE Working Papers. RePEc:tse:wpaper:30543.

Full description at Econpapers || Download paper

2016Bootstrap inference for instrumental variable models with many weak instruments. (2016). Wang, Wenjie ; Kaffo, Maximilien . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:231-268.

Full description at Econpapers || Download paper

2016Voice, exit and local capture in public provision of private goods. (2016). Gurgur, Tugrul. In: Economics of Governance. RePEc:spr:ecogov:v:17:y:2016:i:4:d:10.1007_s10101-016-0186-0.

Full description at Econpapers || Download paper

2016Effectiveness of early retirement disincentives: Individual welfare, distributional and fiscal implications. (2016). Lüthen, Holger ; Bönke, Timm ; Luthen, Holger ; Kemptner, Daniel ; Bonke, Timm . In: Discussion Papers. RePEc:zbw:fubsbe:20162.

Full description at Econpapers || Download paper

2016Late Career Job Loss and the Decision to Retire. (2016). Merkurieva, Irina . In: Discussion Paper Series, Department of Economics. RePEc:san:wpecon:1606.

Full description at Econpapers || Download paper

2016Aggregation and long-memory: An analysis based on the discrete Fourier transform. (2016). Shi, Wendong ; Sun, Jingwei . In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:470-476.

Full description at Econpapers || Download paper

2016Volatility of stock market and exchange rate returns in Peru: Long memory or short memory with level shifts?. (2016). Arambur, Andrs Herrera ; Rodrguez, Gabriel . In: International Journal of Monetary Economics and Finance. RePEc:ids:ijmefi:v:9:y:2016:i:1:p:45-66.

Full description at Econpapers || Download paper

2016Long-Run Comovements in East Asian Stock Market Volatility. (2016). Keddad, Benjamin ; DE TRUCHIS, Gilles. In: Open Economies Review. RePEc:kap:openec:v:27:y:2016:i:5:d:10.1007_s11079-016-9401-4.

Full description at Econpapers || Download paper

2016On the estimation of short memory components in long memory time series models. (2016). George, Kapetanios ; Richard, Baillie . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:4:p:365-375:n:8.

Full description at Econpapers || Download paper

2016Dynamic Factor model with infinite dimensional factor space: forecasting. (2016). Lippi, Marco ; Giovannelli, Alessandro ; Forni, Mario ; Soccorsi, Stefano . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11161.

Full description at Econpapers || Download paper

2016Dynamic Factor Model with Infinite Dimensional Factor Space: Forecasting. (2016). Lippi, Marco ; Giovannelli, Alessandro ; Forni, Mario ; Soccorsi, Stefano . In: Working Papers ECARES. RePEc:eca:wpaper:2013/228908.

Full description at Econpapers || Download paper

2016Boosting und die Prognose der deutschen Industrieproduktion: Was verrät uns der Blick in die Details?. (2016). Wohlrabe, Klaus ; Lehmann, Robert. In: Ifo Schnelldienst. RePEc:ces:ifosdt:v:69:y:2016:i:03:p:30-33.

Full description at Econpapers || Download paper

2016Dynamic Factor model with infinite dimensional factor space: forecasting. (2016). Lippi, Marco ; Giovannelli, Alessandro ; Forni, Mario ; Soccorsi, Stefano . In: Center for Economic Research (RECent). RePEc:mod:recent:120.

Full description at Econpapers || Download paper

2016Model selection consistency from the perspective of generalization ability and VC theory with an application to Lasso. (2016). Xu, Ning ; Fisher, Timothy ; Hong, Jian . In: MPRA Paper. RePEc:pra:mprapa:71670.

Full description at Econpapers || Download paper

2016Model selection consistency from the perspective of generalization ability and VC theory with an application to Lasso. (2016). Xu, Ning ; Fisher, Timothy ; Hong, Jian . In: Papers. RePEc:arx:papers:1606.00142.

Full description at Econpapers || Download paper

2016Nonlinear forecasting with many predictors using kernel ridge regression. (2016). van Dijk, Dick ; Exterkate, Peter ; Heij, Christiaan ; Patrick, . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:736-753.

Full description at Econpapers || Download paper

2016Bayesian model averaging and principal component regression forecasts in a data rich environment. (2016). Ouysse, Rachida. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:763-787.

Full description at Econpapers || Download paper

2016Information spillover dynamics of the energy futures market sector: A novel common factor approach. (2016). Kuruppuarachchi, Duminda ; Premachandra, I M. In: Energy Economics. RePEc:eee:eneeco:v:57:y:2016:i:c:p:277-294.

Full description at Econpapers || Download paper

2016Boosting and Regional Economic Forecasting: The Case of Germany. (2016). Wohlrabe, Klaus ; Lehmann, Robert. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6157.

Full description at Econpapers || Download paper

2016Macroeconomic Forecasting Using Penalized Regression Methods. (2016). Smeekes, Stephan ; Wijler, Etienne . In: Research Memorandum. RePEc:unm:umagsb:2016039.

Full description at Econpapers || Download paper

2016Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series. (2016). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1510.05118.

Full description at Econpapers || Download paper

2016Examining Monetary Policy Transmission in the Peoples Republic of China–Structural Change Models with a Monetary Policy Index. (2016). Egan, Paul G ; Leddin, Anthony J. In: Asian Development Review. RePEc:tpr:adbadr:v:33:y:2016:i:1:p:74-110.

Full description at Econpapers || Download paper

2016Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators. (2016). Lee, Seojeong. In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:86-104.

Full description at Econpapers || Download paper

2016Simple, Robust, and Accurate F and t Tests in Cointegrated Systems. (2016). Hwang, Jungbin ; Sun, Yixiao . In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt82k1x4rd.

Full description at Econpapers || Download paper

2016Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework. (2016). Zhang, Xianyang . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:123-146.

Full description at Econpapers || Download paper

2016Information theory for maximum likelihood estimation of diffusion models. (2016). Choi, Hwan-sik . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:110-128.

Full description at Econpapers || Download paper

2016Computation of the autocovariances for time series with multiple long-range persistencies. (2016). McElroy, Tucker S ; Holan, Scott H. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:101:y:2016:i:c:p:44-56.

Full description at Econpapers || Download paper

2016Inference in VARs with conditional heteroskedasticity of unknown form. (2016). Trenkler, Carsten ; Jentsch, Carsten ; Bruggemann, Ralf . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:69-85.

Full description at Econpapers || Download paper

2016The State Dependent Impact of Bank Exposure on Sovereign Risk. (2016). Podstawski, Maximilian ; Velinov, Anton . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1550.

Full description at Econpapers || Download paper

2016Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression. (2016). Lanne, Markku ; Luoto, Jani . In: CREATES Research Papers. RePEc:aah:create:2016-04.

Full description at Econpapers || Download paper

2016Aggregate Employment, Job Polarization and Inequalities: A Transatlantic Perspective. (2016). Netšunajev, Aleksei ; Strohsal, Till ; Netsunajev, Aleksei . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2016-015.

Full description at Econpapers || Download paper

2016International dynamics of inflation expectations. (2016). Netšunajev, Aleksei ; Netunajev, Aleksei . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2016-019.

Full description at Econpapers || Download paper

2016Fiscal multipliers in a structural VEC model with mixed normal errors. (2016). Puonti, Paivi . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:48:y:2016:i:c:p:144-154.

Full description at Econpapers || Download paper

2016On the importance of testing structural identification schemes and the potential consequences of incorrectly identified models.. (2016). Velinov, Anton . In: Annual Conference 2016 (Augsburg): Demographic Change. RePEc:zbw:vfsc16:145581.

Full description at Econpapers || Download paper

2016Kernel estimation of hazard functions when observations have dependent and common covariates. (2016). Wolter, James Lewis . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:1-16.

Full description at Econpapers || Download paper

2016The effect of international competition on firm productivity and market power. (2016). Van Biesebroeck, Johannes ; de Loecker, Jan . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11114.

Full description at Econpapers || Download paper

2016Effect of International Competition on Firm Productivity and Market Power. (2016). Van Biesebroeck, Johannes ; De Loecker, Jan. In: NBER Working Papers. RePEc:nbr:nberwo:21994.

Full description at Econpapers || Download paper

2016Does taste trump health? Effects of nutritional characteristics on brand-level demand for chips in the U.S.. (2016). Staudigel, Matthias ; Anders, Sven. In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:235755.

Full description at Econpapers || Download paper

2016Subsidies and Myopia in Technology Adoption: Evidence from Solar Photovoltaic Systems. (2016). Verboven, Frank ; de Groote, Olivier . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11438.

Full description at Econpapers || Download paper

2016DOES TASTE TRUMP HEALTH? – THE EFFECT OF NUTRIENT PROFILES ON BRAND-LEVEL DEMAND FOR CHIPS IN THE U.S.. (2016). Staudigel, Matthias ; Anders, Sven. In: 56th Annual Conference, Bonn, Germany, September 28-30, 2016. RePEc:ags:gewi16:244760.

Full description at Econpapers || Download paper

2016Corrective Policy and Goodharts Law: The Case of Carbon Emissions from Automobiles. (2016). Sallee, James ; Reynaert, Mathias. In: NBER Working Papers. RePEc:nbr:nberwo:22911.

Full description at Econpapers || Download paper

2016Corrective Policy and Goodharts Law: The Case of Carbon Emissions from Automobiles. (2016). Sallee, James ; Reynaert, Mathias. In: TSE Working Papers. RePEc:tse:wpaper:31250.

Full description at Econpapers || Download paper

2016Estimating market power Evidence from the US Brewing Industry. (2016). De Loecker, Jan ; Scott, Paul T. In: NBER Working Papers. RePEc:nbr:nberwo:22957.

Full description at Econpapers || Download paper

2016The Impact of financial development on investment in Botswana: an ARDL-Bounds testing approach. (2016). Odhiambo, Nicholas ; Muyambiri, Brian . In: Working Papers. RePEc:uza:wpaper:20164.

Full description at Econpapers || Download paper

2016Financial Inclusion, Growth and Inequality: A Model Application to Colombia. (2016). Karpowicz, Izabela . In: Journal of Banking and Financial Economics. RePEc:sgm:jbfeuw:v:2:y:2016:i:6:p:68-89.

Full description at Econpapers || Download paper

2016The Effect of Local Taxes on Firm Performance: Evidence from Geo-referenced Data. (2016). Santoni, Gianluca ; Di Porto, Edoardo ; Belotti, Federico. In: CSEF Working Papers. RePEc:sef:csefwp:430.

Full description at Econpapers || Download paper

2016The effect of local taxes on firm performance: evidence from geo-referenced data. (2016). Santoni, Gianluca ; Di Porto, Edoardo ; Belotti, Federico. In: Working Paper Series. RePEc:hhs:uunewp:2016_003.

Full description at Econpapers || Download paper

2016The Effect of Local Taxes on Firm Performance: Evidence from Geo-referenced Data. (2016). Santoni, Gianluca ; Di Porto, Edoardo ; Belotti, Federico. In: CEIS Research Paper. RePEc:rtv:ceisrp:377.

Full description at Econpapers || Download paper

2016The effect of local taxes on firm performance: evidence from geo referenced data. (2016). Santoni, Gianluca ; Di Porto, Edoardo ; Belotti, Federico. In: Working Papers. RePEc:cii:cepidt:2016-03.

Full description at Econpapers || Download paper

2016System Estimation of Panel Data Models under Long-Range Dependence. (2016). Ergemen, Yunus Emre . In: CREATES Research Papers. RePEc:aah:create:2016-02.

Full description at Econpapers || Download paper

2016Asymmetric fuel price responses under heterogeneity. (2016). Ripollés, Jordi ; Balaguer, Jacint ; Ripolles, Jordi . In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:281-290.

Full description at Econpapers || Download paper

2016A multi-country approach to forecasting output growth using PMIs. (2016). Pesaran, M ; Grossman, Valerie . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:2:p:349-365.

Full description at Econpapers || Download paper

2016Econometric Analysis of Production Networks with Dominant Units. (2016). Yang, Cynthia ; Pesaran, M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6141.

Full description at Econpapers || Download paper

2016Econometric Analysis of Production Networks with Dominant Units. (2016). Pesaran, M ; Yang, Cynthia Fan . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1678.

Full description at Econpapers || Download paper

2016Assessing Euro Crises from a Time Varying International CAPM Approach. (2016). Baillie, Richard T ; Cho, Dooyeon . In: Working Paper Series. RePEc:rim:rimwps:16-03.

Full description at Econpapers || Download paper

2016Has the wage Phillips curve changed in the euro area?. (2016). Viviano, Eliana ; Bulligan, Guido . In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_355_16.

Full description at Econpapers || Download paper

2016A time varying DSGE model with financial frictions. (2016). Galvo, Ana Beatriz ; Petrova, Katerina ; Kapetanios, George ; Giraitis, Liudas . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pb:p:690-716.

Full description at Econpapers || Download paper

2016Adaptive models and heavy tails with an application to inflation forecasting. (2016). Petrella, Ivan ; Delle Monache, Davide. In: BCAM Working Papers. RePEc:bbk:bbkcam:1603.

Full description at Econpapers || Download paper

2016Adaptive models and heavy tails with an application to inflation forecasting. (2016). Petrella, Ivan ; Delle Monache, Davide. In: MPRA Paper. RePEc:pra:mprapa:75424.

Full description at Econpapers || Download paper

2016Assessing Euro crises from a time varying international CAPM approach. (2016). Cho, Dooyeon ; Baillie, Richard T. In: Journal of Empirical Finance. RePEc:eee:empfin:v:39:y:2016:i:pb:p:197-208.

Full description at Econpapers || Download paper

2016A bivariate Hawkes process for interest rate modeling. (2016). Hainaut, Donatien . In: Economic Modelling. RePEc:eee:ecmode:v:57:y:2016:i:c:p:180-196.

Full description at Econpapers || Download paper

2016How has sovereign bond market liquidity changed? An illiquidity spillover analysis. (2016). Schneider, Michael ; Pelizzon, Loriana ; Lillo, Fabrizio . In: SAFE Working Paper Series. RePEc:zbw:safewp:151.

Full description at Econpapers || Download paper

2016Specification Testing in Nonparametric Instrumental Quantile Regression. (2016). Breunig, Christoph . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2016-032.

Full description at Econpapers || Download paper

2016Bayesian analysis of static and dynamic factor models: An ex-post approach towards the rotation problem. (2016). Boysen-Hogrefe, Jens ; Pape, Markus ; Assmann, Christian . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:190-206.

Full description at Econpapers || Download paper

2016Order-invariant prior specification in Bayesian factor analysis. (2016). Leung, Dennis ; Drton, Mathias . In: Statistics & Probability Letters. RePEc:eee:stapro:v:111:y:2016:i:c:p:60-66.

Full description at Econpapers || Download paper

2016Emotion Research in Economics. (2016). Wälde, Klaus ; Walde, Klaus . In: CESifo Working Paper Series. RePEc:ces:ceswps:_5982.

Full description at Econpapers || Download paper

2016Emotion Research in Economics. (2016). Wälde, Klaus ; Walde, Klaus . In: Working Papers. RePEc:jgu:wpaper:1611.

Full description at Econpapers || Download paper

2016Factor augmented VAR revisited - A sparse dynamic factor model approach. (2016). Kaufmann, Sylvia ; Beyeler, Simon . In: Working Papers. RePEc:szg:worpap:1608.

Full description at Econpapers || Download paper

2016Investment and the weighted average cost of capital. (2016). Frank, Murray Z ; Shen, Tao . In: Journal of Financial Economics. RePEc:eee:jfinec:v:119:y:2016:i:2:p:300-315.

Full description at Econpapers || Download paper

2016Why Does Capital No Longer Flow More to the Industries with the Best Growth Opportunities?. (2016). Lee, Dong ; Stulz, Rene M ; Shin, Han . In: NBER Working Papers. RePEc:nbr:nberwo:22924.

Full description at Econpapers || Download paper

2016Nonparametric instrumental variables estimation for efficiency frontier. (2016). Simar, Leopold ; FEVE, Frédérique ; Cazals, Catherine ; FLORENS, Jean-Pierre. In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:2:p:349-359.

Full description at Econpapers || Download paper

2016Strategic interaction in political competition: Evidence from spatial effects across Chinese cities. (2016). Zhu, Guozhong ; Zhou, Li-An ; Yu, Jihai . In: Regional Science and Urban Economics. RePEc:eee:regeco:v:57:y:2016:i:c:p:23-37.

Full description at Econpapers || Download paper

2016Semiparametric GMM estimation and variable selection in dynamic panel data models with fixed effects. (2016). Li, Rui ; You, Jinhong ; Alan, . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:401-423.

Full description at Econpapers || Download paper

2016A dynamic spatial model of agricultural price transmission: Evidence from the Niger millet market. (2016). TANKARI, Mahamadou ; Goundan, Anatole. In: IFPRI discussion papers. RePEc:fpr:ifprid:1536.

Full description at Econpapers || Download paper

2016Dynamics in rail infrastructure provision: maintenance and renewal costs in Sweden. (2016). Odolinski, Kristofer ; Wheat, Phillip . In: Working papers in Transport Economics. RePEc:hhs:ctswps:2016_023.

Full description at Econpapers || Download paper

2016Learning Time-Varying Forecast Combinations. (2016). Mandel, Antoine ; Sani, Amir . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:16036.

Full description at Econpapers || Download paper

2016Learning Time-Varying Forecast Combinations. (2016). Mandel, Antoine ; Sani, Amir . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01317974.

Full description at Econpapers || Download paper

2016Combining country-specific forecasts when forecasting Euro area macroeconomic aggregates. (2016). Zeng, Jing . In: Empirica. RePEc:kap:empiri:v:43:y:2016:i:2:d:10.1007_s10663-016-9330-x.

Full description at Econpapers || Download paper

2016The forecast combination puzzle: A simple theoretical explanation. (2016). Vasnev, Andrey ; Magnus, Jan R ; Claeskens, Gerda ; Wang, Wendun . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:754-762.

Full description at Econpapers || Download paper

2016Learning Time-Varying Forecast Combinations. (2016). Mandel, Antoine ; Sani, Amir . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:16036r.

Full description at Econpapers || Download paper

2016Forecasting city arrivals with Google Analytics. (2016). Gunter, Ulrich ; Onder, Irem . In: Annals of Tourism Research. RePEc:eee:anture:v:61:y:2016:i:c:p:199-212.

Full description at Econpapers || Download paper

2016The Role of Direct Flights in Trade Costs. (2016). Yilmazkuday, Demet. In: Working Papers. RePEc:fiu:wpaper:1604.

Full description at Econpapers || Download paper

2016Country level governance variables and ownership concentration as determinants of firm value in Latin America. (2016). Saona, Paolo ; San Martin, Pablo . In: International Review of Law and Economics. RePEc:eee:irlaec:v:47:y:2016:i:c:p:84-95.

Full description at Econpapers || Download paper

2016Money and monetary policy in Israel during the last decade. (2016). Benchimol, Jonathan. In: MPRA Paper. RePEc:pra:mprapa:69587.

Full description at Econpapers || Download paper

2016Money, Velocity, and the Stock Market. (2016). Serletis, Apostolos ; Pinno, Karl . In: Working Papers. RePEc:clg:wpaper:2016-33.

Full description at Econpapers || Download paper

2016Money and monetary policy in Israel during the last decade. (2016). Benchimol, Jonathan. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:38:y:2016:i:1:p:103-124.

Full description at Econpapers || Download paper

2016Targeting Constant Money Growth at the Zero Lower Bound. (2016). Ireland, Peter ; Belongia, Michael. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:913.

Full description at Econpapers || Download paper

2016Are the Responses of the U.S. Economy Asymmetric to Positive and Negative Money Supply Shocks?. (2016). Serletis, Apostolos ; Istiak, Khandokar . In: Open Economies Review. RePEc:kap:openec:v:27:y:2016:i:2:d:10.1007_s11079-015-9374-8.

Full description at Econpapers || Download paper

2016Nowcasting Nominal GDP with the Credit-Card Augmented Divisia Monetary Aggregates. (2016). Leiva-Leon, Danilo ; Barnett, William ; Su, Liting ; Chauvet, Marcelle . In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201605.

Full description at Econpapers || Download paper

2016Risk Adjustment of the Credit-Card Augmented Divisia Monetary Aggregates. (2016). Barnett, William ; Su, Liting . In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201606.

Full description at Econpapers || Download paper

2016The credit-card-services augmented Divisia monetary aggregates. (2016). Leiva-Leon, Danilo ; Barnett, William ; Su, Liting ; Chauvet, Marcelle . In: MPRA Paper. RePEc:pra:mprapa:73245.

Full description at Econpapers || Download paper

2016Nowcasting nominal gdp with the credit-card augmented Divisia monetary aggregates. (2016). Leiva-Leon, Danilo ; Barnett, William ; Su, Liting ; Chauvet, Marcelle . In: MPRA Paper. RePEc:pra:mprapa:73246.

Full description at Econpapers || Download paper

2016Risk adjustment of the credit-card augmented Divisia monetary aggregates. (2016). Barnett, William ; Su, Liting . In: MPRA Paper. RePEc:pra:mprapa:73248.

Full description at Econpapers || Download paper

2016Chinese Divisia Monetary Index and GDP Nowcasting. (2016). Barnett, William ; Tang, Biyan . In: Open Economies Review. RePEc:kap:openec:v:27:y:2016:i:5:d:10.1007_s11079-016-9406-z.

Full description at Econpapers || Download paper

2016Money, Velocity, and the Stock Market. (2016). Serletis, Apostolos ; Pinno, Karl . In: Open Economies Review. RePEc:kap:openec:v:27:y:2016:i:4:d:10.1007_s11079-016-9400-5.

Full description at Econpapers || Download paper

2016The E-Monetary Theory. (2016). Ngotran, Duong. In: 2016 Papers. RePEc:jmp:jm2016:png175.

Full description at Econpapers || Download paper

2016When does the cost channel pose a challenge to inflation targeting central banks?. (2016). Smith, Lee A. In: European Economic Review. RePEc:eee:eecrev:v:89:y:2016:i:c:p:471-494.

Full description at Econpapers || Download paper

2016Money and Output: Friedman and Schwartz Revisited. (2016). Ireland, Peter ; Belongia, Michael. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:48:y:2016:i:6:p:1223-1266.

Full description at Econpapers || Download paper

2016A Classical View of the Business Cycle. (2016). Ireland, Peter ; Belongia, Michael. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:921.

Full description at Econpapers || Download paper

2016Joint aggregation over money and credit card services under risk. (2016). Barnett, William ; Su, Liting . In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00604.

Full description at Econpapers || Download paper

2016On oracle property and asymptotic validity of Bayesian generalized method of moments. (2016). Li, Cheng ; Jiang, Wenxin . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:145:y:2016:i:c:p:132-147.

Full description at Econpapers || Download paper

2016Idiosyncratic risk and share repurchases. (2016). Hsu, Yuan-Teng ; Huang, Chia-Wei . In: Finance Research Letters. RePEc:eee:finlet:v:18:y:2016:i:c:p:76-82.

Full description at Econpapers || Download paper

2016Sparse Kalman Filtering Approaches to Covariance Estimation from High Frequency Data in the Presence of Jumps. (2016). Ho, Michael ; Xin, Jack . In: Papers. RePEc:arx:papers:1602.02185.

Full description at Econpapers || Download paper

2016The 2011 European short sale ban: A cure or a curse?. (2016). Stork, Philip ; Kräussl, Roman ; Kraussl, Roman ; Felix, Luiz . In: Journal of Financial Stability. RePEc:eee:finsta:v:25:y:2016:i:c:p:115-131.

Full description at Econpapers || Download paper

2016Low risk anomalies?. (2016). Zechner, Josef ; Wagner, Christian ; Schneider, Paul . In: CFS Working Paper Series. RePEc:zbw:cfswop:550.

Full description at Econpapers || Download paper

2016Estimation of heterogeneous panels with structural breaks. (2016). Feng, Qu ; Baltagi, Badi ; Kao, Chihwa . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:176-195.

Full description at Econpapers || Download paper

2016Is the Assumption of Linearity in Factor Models too Strong in Practice?. (2016). Aslanidis, Nektarios ; Hartigan, Luke . In: Discussion Papers. RePEc:swe:wpaper:2016-03.

Full description at Econpapers || Download paper

2016Is the Assumption of Linearity in Factor Models too Strong in Practice?. (2016). Aslanidis, Nektarios ; Hartigan, Luke . In: Working Papers. RePEc:urv:wpaper:2072/261531.

Full description at Econpapers || Download paper

2016Sieve instrumental variable quantile regression estimation of functional coefficient models. (2016). Su, Liangjun ; Hoshino, Tadao. In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:231-254.

Full description at Econpapers || Download paper

2016Estimation of structural gravity quantile regression models. (2016). Egger, Peter ; Baltagi, Badi. In: Empirical Economics. RePEc:spr:empeco:v:50:y:2016:i:1:d:10.1007_s00181-015-0956-5.

Full description at Econpapers || Download paper

2016Welfare Spending and Quality of Growth in Developing Countries: A Note on Evidence from Hopefuls, Contenders and Best Performers. (2016). Asongu, Simplice ; Nwachukwu, Jacinta . In: Working Papers. RePEc:agd:wpaper:16/028.

Full description at Econpapers || Download paper

2016Welfare Spending and Quality of Growth in Developing Countries: A Note on Evidence from Hopefuls, Contenders and Best Performers. (2016). Asongu, Simplice ; Nwachukwu, Jacinta C. In: MPRA Paper. RePEc:pra:mprapa:75047.

Full description at Econpapers || Download paper

2016Beyond average energy consumption in the French residential housing market: A household classification approach. (2016). Mignon, Valérie ; Leboullenger, Deborah ; HACHE, Emmanuel. In: EconomiX Working Papers. RePEc:drm:wpaper:2016-6.

Full description at Econpapers || Download paper

2016A dual approach to inference for partially identified econometric models. (2016). Kaido, Hiroaki. In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:269-290.

Full description at Econpapers || Download paper

2016Nonparametric analysis of random utility models. (2016). Stoye, Jörg. In: CeMMAP working papers. RePEc:ifs:cemmap:27/16.

Full description at Econpapers || Download paper

2016Topic in nonparametric identification and estimation. (2016). Hubner, Stefan. In: Other publications TiSEM. RePEc:tiu:tiutis:08fce56b-3193-46e0-871b-0fa4402832b5.

Full description at Econpapers || Download paper

2016Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia. (2016). Engsted, Tom ; Andreasen, Martin M ; Sander, Magnus ; Moller, Stig V. In: CREATES Research Papers. RePEc:aah:create:2016-26.

Full description at Econpapers || Download paper

2016Local-momentum autoregression and the modeling of interest rate term structure. (2016). Duan, Jin-Chuan . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:2:p:349-359.

Full description at Econpapers || Download paper

2016Financial crises and estimation bias in international bond markets. (2016). Juneja, Januj A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:38:y:2016:i:c:p:593-607.

Full description at Econpapers || Download paper

2016Bayesian semiparametric modeling of realized covariance matrices. (2016). Maheu, John ; Jin, Xin . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:19-39.

Full description at Econpapers || Download paper

2016.

Full description at Econpapers || Download paper

2016Bayesian Nonparametric Sparse Seemingly Unrelated Regression Model (SUR). (2016). Rossini, Luca ; Billio, Monica ; Casarin, Roberto . In: Papers. RePEc:arx:papers:1608.02740.

Full description at Econpapers || Download paper

2016CORRUPÇÃO, BUROCRACIA E OUTRAS FALHAS INSTITUCIONAIS: O “CÂNCER” DA INOVAÇÃO E DO DESENVOLVIMENTO. (2016). Rocha, Leonardo Andrade ; Soares, Fernando Porfirio ; Dal, Maria Ester ; Pinheiro, Patricia Veronica ; Khan, Ahmad Saeed . In: Anais do XLIII Encontro Nacional de Economia [Proceedings of the 43rd Brazilian Economics Meeting]. RePEc:anp:en2015:090.

Full description at Econpapers || Download paper

2016Unobserved heterogeneity and endogeneity in nonparametric frontier estimation. (2016). Vanhems, Anne ; Simar, Leopold ; van Keilegom, Ingrid ; VanKeilegom, Ingrid . In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:2:p:360-373.

Full description at Econpapers || Download paper

2016Controlling for spatial heterogeneity in nonparametric efficiency models: An empirical proposal. (2016). Vidoli, Francesco ; Canello, Jacopo. In: European Journal of Operational Research. RePEc:eee:ejores:v:249:y:2016:i:2:p:771-783.

Full description at Econpapers || Download paper

2016Efficient Gibbs sampling for Markov switching GARCH models. (2016). Billio, Monica ; Casarin, Roberto . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:37-57.

Full description at Econpapers || Download paper

2016Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone. (2016). Gatfaoui, Hayette ; Billio, Monica ; de Peretti, Philippe ; Frattarolo, Lorenzo . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:16046.

Full description at Econpapers || Download paper

2016Will the crisis “tear us apart”? Evidence from the EU. (2016). Pappas, Vasileios ; Steele, Gerry ; Izzeldin, Marwan . In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:346-360.

Full description at Econpapers || Download paper

2016Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone. (2016). Gatfaoui, Hayette ; Billio, Monica ; de Peretti, Philippe ; Frattarolo, Lorenzo . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01339826.

Full description at Econpapers || Download paper

2016Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone. (2016). Billio, Monica ; de Peretti, Philippe ; Gatfaoui, Hayette ; Frattarolo, Lorenzo . In: Post-Print. RePEc:hal:journl:halshs-01339826.

Full description at Econpapers || Download paper

2016Modeling covariance breakdowns in multivariate GARCH. (2016). Maheu, John ; Jin, Xin . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:1:p:1-23.

Full description at Econpapers || Download paper

2016Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone. (2016). Billio, Monica ; Gatfaoui, Hayette ; de Peretti, Philippe ; Frattarolo, Lorenzo . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:16046r.

Full description at Econpapers || Download paper

2016A new approach to volatility modeling: the High-Dimensional Markov model. (2016). Dufays, Arnaud ; Bauwens, Luc ; Augustyniak, Maciej . In: Cahiers de recherche. RePEc:lvl:crrecr:1609.

Full description at Econpapers || Download paper

2016A New Approach to Volatility Modeling : The High-Dimensional Markov Model. (2016). Augustyniak, Maciej ; Dufays, Arnaud ; Bauwens, Luc . In: CORE Discussion Papers. RePEc:cor:louvco:2016042.

Full description at Econpapers || Download paper

2016Cyclical non-stationarity in commodity prices. (2016). Asche, Frank ; Oglend, Atle . In: Empirical Economics. RePEc:spr:empeco:v:51:y:2016:i:4:d:10.1007_s00181-015-1060-6.

Full description at Econpapers || Download paper

2016Forecast combination for euro area inflation: a cure in times of crisis?. (2016). Skudelny, Frauke ; Hubrich, Kirstin . In: Working Paper Series. RePEc:ecb:ecbwps:20161972.

Full description at Econpapers || Download paper

2016Frontiers in VaR forecasting and backtesting. (2016). Ruiz, Esther ; Nieto, Maria Rosa . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:475-501.

Full description at Econpapers || Download paper

2016The economic value of controlling for large losses in portfolio selection. (2016). Dias, Alexandra . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:72:y:2016:i:s:p:s81-s91.

Full description at Econpapers || Download paper

2016Maximum likelihood estimation of the revenue function system with output-specific technical efficiency. (2016). Kumbhakar, Subal C ; Lai, Hung-pin . In: Economics Letters. RePEc:eee:ecolet:v:138:y:2016:i:c:p:42-45.

Full description at Econpapers || Download paper

2016A spatial autoregressive stochastic frontier model for panel data with asymmetric efficiency spillovers. (2016). Kenjegalieva, Karligash ; Glass, Anthony J ; Sickles, Robin C. In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:2:p:289-300.

Full description at Econpapers || Download paper

2016Persistent and transient productive inefficiency: a maximum simulated likelihood approach. (2016). Greene, William ; Filippini, Massimo. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:45:y:2016:i:2:d:10.1007_s11123-015-0446-y.

Full description at Econpapers || Download paper

2016Persistent and Transient Efficiency of International Airlines. (2016). Heshmati, Almas ; Kumbhakar, Subal C ; Kim, Jungsuk . In: Working Paper Series in Economics and Institutions of Innovation. RePEc:hhs:cesisp:0444.

Full description at Econpapers || Download paper

2016Using invalid instruments on purpose: Focused moment selection and averaging for GMM. (2016). Ditraglia, Francis J. In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:2:p:187-208.

Full description at Econpapers || Download paper

2016Oaxaca-Blinder Type Counterfactual Decomposition Methods for Duration Outcomes. (2016). Garcia-Suaza, Andres. In: DOCUMENTOS DE TRABAJO. RePEc:col:000092:014186.

Full description at Econpapers || Download paper

2016A direct approach to inference in nonparametric and semiparametric quantile models. (2016). Fan, Yanqin ; Liu, Ruixuan . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:196-216.

Full description at Econpapers || Download paper

2016Term structures of asset prices and returns. (2016). Chernov, Mikhail ; Boyarchenko, Nina ; Backus, David. In: Staff Reports. RePEc:fip:fednsr:774.

Full description at Econpapers || Download paper

2016What Do Capital Markets Tell Us About Climate Change?. (2016). Kiku, Dana ; Ochoa, Marcelo ; Bansal, Ravi . In: 2016 Meeting Papers. RePEc:red:sed016:542.

Full description at Econpapers || Download paper

2016The Macroeconomic Shock with the Highest Price of Risk. (2016). Pinter, Gabor. In: Discussion Papers. RePEc:cfm:wpaper:1623.

Full description at Econpapers || Download paper

2016Welfare Implications of the Term Structure of Returns: Should Central Banks Fill Gaps or Remove Volatility?. (2016). Lopez, Pierlauro. In: 2016 Meeting Papers. RePEc:red:sed016:742.

Full description at Econpapers || Download paper

2016Price of Long-Run Temperature Shifts in Capital Markets. (2016). Bansal, Ravi ; Kiku, Dana ; Ochoa, Marcelo . In: NBER Working Papers. RePEc:nbr:nberwo:22529.

Full description at Econpapers || Download paper

2016Climate Change and Growth Risks. (2016). Bansal, Ravi ; Kiku, Dana ; Ochoa, Marcelo . In: NBER Working Papers. RePEc:nbr:nberwo:23009.

Full description at Econpapers || Download paper

2016Environmental Kuznets curves: New evidence on both panel and country-level CO2 emissions. (2016). Apergis, Nicholas. In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:263-271.

Full description at Econpapers || Download paper

2016Urbanization, openness, emissions, and energy intensity: A study of increasingly urbanized emerging economies. (2016). Salim, Ruhul ; Rafiq, Shuddhasattwa ; Nielsen, Ingrid . In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:20-28.

Full description at Econpapers || Download paper

2016Do political institutions influence international trade? Measurement of institutions and the Long-Run effects. (2016). Krenz, Astrid . In: Center for European, Governance and Economic Development Research Discussion Papers. RePEc:zbw:cegedp:276.

Full description at Econpapers || Download paper

2016Renewable-to-total electricity consumption ratio: Estimating the permanent or transitory fluctuations based on flexible Fourier stationarity and unit root tests. (2016). Tiwari, Aviral ; Albulescu, Claudiu. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:57:y:2016:i:c:p:1409-1427.

Full description at Econpapers || Download paper

2016How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns. (2016). Skiadopoulos, George ; Konstantinidi, Eirini . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:62:y:2016:i:c:p:62-75.

Full description at Econpapers || Download paper

2016Quadratic variance swap models. (2016). Filipovi, Damir ; Mancini, Loriano ; Gourier, Elise . In: Journal of Financial Economics. RePEc:eee:jfinec:v:119:y:2016:i:1:p:44-68.

Full description at Econpapers || Download paper

2016Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting. (2016). Leschinski, Christian ; Kruse, Robinson ; Will, Michael . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-571.

Full description at Econpapers || Download paper

2016Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression. (2016). Baruník, Jozef ; Hlinkova, Michaela ; Barunik, Jozef . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:503-514.

Full description at Econpapers || Download paper

2016Exploiting the errors: A simple approach for improved volatility forecasting. (2016). Quaedvlieg, Rogier ; Patton, Andrew J ; Bollerslev, Tim . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:1-18.

Full description at Econpapers || Download paper

2016Extreme asymmetric volatility: Stress and aggregate asset prices. (2016). Wagner, Niklas ; Aboura, Sofiane . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:41:y:2016:i:c:p:47-59.

Full description at Econpapers || Download paper

2016Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting. (2016). Leschinski, Christian ; Kruse, Robinson ; Will, Michael . In: CREATES Research Papers. RePEc:aah:create:2016-17.

Full description at Econpapers || Download paper

2016On the use of high frequency measures of volatility in MIDAS regressions. (2016). Andreou, Elena . In: University of Cyprus Working Papers in Economics. RePEc:ucy:cypeua:03-2016.

Full description at Econpapers || Download paper

2016On the use of high frequency measures of volatility in MIDAS regressions. (2016). Andreou, Elena . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11307.

Full description at Econpapers || Download paper

2016Macroeconomic effects of financial stress and the role of monetary policy: a VAR analysis for the euro area. (2016). Kremer, Manfred. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:13:y:2016:i:1:d:10.1007_s10368-015-0325-z.

Full description at Econpapers || Download paper

2016The impact of political risk on return, volatility and discontinuity: Evidence from the international stock and foreign exchange markets. (2016). Vortelinos, Dimitrios I ; Saha, Shrabani . In: Finance Research Letters. RePEc:eee:finlet:v:17:y:2016:i:c:p:222-226.

Full description at Econpapers || Download paper

2016What do asset prices have to say about risk appetite and uncertainty?. (2016). Hoerova, Marie ; Bekaert, Geert. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:67:y:2016:i:c:p:103-118.

Full description at Econpapers || Download paper

2016Does variance risk have two prices? Evidence from the equity and option markets. (2016). Malkhozov, Aytek . In: Journal of Financial Economics. RePEc:eee:jfinec:v:121:y:2016:i:1:p:79-92.

Full description at Econpapers || Download paper

2016On the use of high frequency measures of volatility in MIDAS regressions. (2016). Andreou, Elena . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:367-389.

Full description at Econpapers || Download paper

2016Financial market volatility, macroeconomic fundamentals and investor sentiment. (2016). Stoja, Evarist ; Harris, Richard ; Chiu, Ching-Wai (Jeremy). In: Bank of England working papers. RePEc:boe:boeewp:0608.

Full description at Econpapers || Download paper

2016Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds. (2016). Vogt, Erik ; Crump, Richard ; Adrian, Tobias . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11401.

Full description at Econpapers || Download paper

2016Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets. (2016). Große Steffen, Christoph ; Podstawski, Maximilian . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1602.

Full description at Econpapers || Download paper

2016Systemic co-jumps. (2016). Caporin, Massimiliano ; Reno, Roberto ; Kolokolov, Alexey . In: SAFE Working Paper Series. RePEc:zbw:safewp:149.

Full description at Econpapers || Download paper

2016Credit constraints and the international propagation of US financial shocks. (2016). Metiu, Norbert ; Grill, Michael ; Hilberg, Bjorn . In: Working Paper Series. RePEc:ecb:ecbwps:20161954.

Full description at Econpapers || Download paper

2016Credit constraints and the international propagation of US financial shocks. (2016). Metiu, Norbert ; Grill, Michael ; Hilberg, Bjorn . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:72:y:2016:i:c:p:67-80.

Full description at Econpapers || Download paper

2016Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory. (2016). Ghysels, Eric ; Colacito, Riccardo ; Siwasarit, Wasin ; Meng, Jinghan . In: Review of Financial Studies. RePEc:oup:rfinst:v:29:y:2016:i:8:p:2069-2109..

Full description at Econpapers || Download paper

2016Credit risk spillover between financials and sovereigns in the euro area during 2007-2015. (2016). Vergote, Olivier. In: Working Paper Series. RePEc:ecb:ecbwps:20161898.

Full description at Econpapers || Download paper

2016Bail in or Bail out? The Atlante example from a systemic risk perspective. (2016). Parisi, Laura ; Giudici, Paolo. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0124.

Full description at Econpapers || Download paper

2016Financial contagion in investment funds. (2016). Santos, Leonardo Dos ; Coelho, Flavio Codeco . In: Papers. RePEc:arx:papers:1603.03458.

Full description at Econpapers || Download paper

2016Measuring the frequency dynamics of financial and macroeconomic connectedness. (2016). Baruník, Jozef ; Barunik, Jozef ; Krehlik, Tomas . In: FinMaP-Working Papers. RePEc:zbw:fmpwps:54.

Full description at Econpapers || Download paper

2016CoRisk: measuring systemic risk through default probability contagion. (2016). Parisi, Laura ; Giudici, Paolo. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0116.

Full description at Econpapers || Download paper

2016Equity Markets’ Clustering and the Global Financial Crisis. (2016). Martínez, Constanza ; León, Carlos ; Leon, Carlos ; Lee, Daeyup ; Martinez, Constanza ; Kim, Geun-Young . In: Borradores de Economia. RePEc:bdr:borrec:937.

Full description at Econpapers || Download paper

2016Systemic risk and the macroeconomy: An empirical evaluation. (2016). Giglio, Stefano ; Pruitt, Seth ; Kelly, Bryan . In: Journal of Financial Economics. RePEc:eee:jfinec:v:119:y:2016:i:3:p:457-471.

Full description at Econpapers || Download paper

2016Dynamic interdependencies among the housing market, stock market, policy uncertainty and the macroeconomy in the United Kingdom. (2016). Antonakakis, Nikolaos ; Floros, Christos . In: International Review of Financial Analysis. RePEc:eee:finana:v:44:y:2016:i:c:p:111-122.

Full description at Econpapers || Download paper

2016Equity Markets’ Clustering and the Global Financial Crisis. (2016). Martínez, Constanza ; Martinez, Constanza ; Lee, Daeyup ; Kim, Geun-Young ; Leon, C E. In: Discussion Paper. RePEc:tiu:tiucen:e5c31b4d-dc83-4d3e-9a73-bb1b8ae4ceee.

Full description at Econpapers || Download paper

2016The International Impact of Financial Shocks: A Global VAR and Connectedness Measures Approach. (2016). Smith, Donal . In: Discussion Papers. RePEc:yor:yorken:16/07.

Full description at Econpapers || Download paper

2016Eurozone network connectedness during calm and crisis: evidence from the MTS platform for interdealer trading of European sovereign debt. (2016). Li, Youwei ; Waterworth, James . In: MPRA Paper. RePEc:pra:mprapa:71221.

Full description at Econpapers || Download paper

2016TENET: Tail-Event driven NETwork risk. (2016). Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Yu, Lining ; Wang, Weining . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:2:p:499-513.

Full description at Econpapers || Download paper

2016Dynamic Connectedness of Asian Equity Markets. (2016). Guimares-Filho, Roberto ; Hong, Gee Hee . In: IMF Working Papers. RePEc:imf:imfwpa:16/57.

Full description at Econpapers || Download paper

2016Volatility and correlation-based systemic risk measures in the US market. (2016). Civitarese, Jamil . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:459:y:2016:i:c:p:55-67.

Full description at Econpapers || Download paper

2016Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models. (2016). Fengler, Matthias ; Herwartz, Helmut . In: MPRA Paper. RePEc:pra:mprapa:72197.

Full description at Econpapers || Download paper

2016Determination of Systemically Important Companies with Cross-Shareholding Network Analysis: A Case Study from an Emerging Market. (2016). Gharneh, Naser Shams ; Dastkhan, Hossein . In: International Journal of Financial Studies. RePEc:gam:jijfss:v:4:y:2016:i:3:p:13-:d:72715.

Full description at Econpapers || Download paper

2016The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes. (2016). Bouri, Elie ; Maghyereh, Aktham I ; Awartani, Basel . In: Energy Economics. RePEc:eee:eneeco:v:57:y:2016:i:c:p:78-93.

Full description at Econpapers || Download paper

2016A note on normalization schemes:The case of generalized forecast error variance decompositions. (2016). cipollini, andrea ; Caloia, Francesco Giuseppe ; Muzzioli, Silvia . In: Department of Economics. RePEc:mod:depeco:0092.

Full description at Econpapers || Download paper

2016Asymmetric volatility connectedness on forex markets. (2016). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef. In: Papers. RePEc:arx:papers:1607.08214.

Full description at Econpapers || Download paper

2016Who are the net senders and recipients of volatility spillovers in China’s financial markets?. (2016). Wang, Gang-Jin ; Stanley, Eugene H ; Jiang, Zhi-Qiang ; Xie, Chi . In: Finance Research Letters. RePEc:eee:finlet:v:18:y:2016:i:c:p:255-262.

Full description at Econpapers || Download paper

2016Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility. (2016). Sosvilla-Rivero, Simon ; Gomez-Puig, Marta ; Fernandez-Rodriguez, Fernando . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:43:y:2016:i:c:p:126-145.

Full description at Econpapers || Download paper

2016Risk and Return Spillovers among the G10 Currencies. (2016). Greenwood-Nimmo, Matthew ; Rafferty, Barry ; Nguyen, Viet Hoang . In: Melbourne Institute Working Paper Series. RePEc:iae:iaewps:wp2016n04.

Full description at Econpapers || Download paper

2016Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events. (2016). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160084.

Full description at Econpapers || Download paper

2016Global equity market volatility spillovers: A broader role for the United States. (2016). Buncic, Daniel. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1317-1339.

Full description at Econpapers || Download paper

2016Dynamic spillovers between Nigerian, South African and international equity markets. (2016). Shuaibu, Mohammed ; Fowowe, Babajide . In: International Economics. RePEc:eee:inteco:v:148:y:2016:i:c:p:59-80.

Full description at Econpapers || Download paper

2016Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events. (2016). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1616.

Full description at Econpapers || Download paper

2016Crisis-Contingent Dynamics of Connectedness: An SVAR-Spatial-Network “Tripod” Model with Thresholds. (2016). Sun, Hang . In: Research Memorandum. RePEc:unm:umagsb:2016032.

Full description at Econpapers || Download paper

2016A network approach to portfolio selection. (2016). Zareei, Abalfazl ; Peralta, Gustavo . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:157-180.

Full description at Econpapers || Download paper

2016Time Varying Quantile Lasso. (2016). Härdle, Wolfgang ; Zbonakova, Lenka ; Wang, Weining ; Hardle, Wolfgang Karl . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2016-047.

Full description at Econpapers || Download paper

2016Risk and return spillovers among the G10 currencies. (2016). Greenwood-Nimmo, Matthew ; Nguyen, Viet Hoang ; Rafferty, Barry . In: Journal of Financial Markets. RePEc:eee:finmar:v:31:y:2016:i:c:p:43-62.

Full description at Econpapers || Download paper

2016Ireland: Financial Sector Assessment Program; Technical Note-Stress Testing the Banking System. (2016). International Monetary Fund. Monetary, ; Capital Markets Department, ; International Monetary Fund. Monetary, . In: IMF Staff Country Reports. RePEc:imf:imfscr:16/315.

Full description at Econpapers || Download paper

2016Measuring the Real and Financial Connectedness of Selected African Economies with the Global Economy. (2016). Orji, Anthony ; Ogbuabor, Jonathan E ; Erdene-Urnukh, Oyun ; Aneke, Gladys C. In: South African Journal of Economics. RePEc:bla:sajeco:v:84:y:2016:i:3:p:364-399.

Full description at Econpapers || Download paper

2016An entropy-based early warning indicator for systemic risk. (2016). Pasqualini, Andrea ; Billio, Monica ; Costola, Michele ; Casarin, Roberto . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:45:y:2016:i:c:p:42-59.

Full description at Econpapers || Download paper

2016A joint analysis of market indexes in credit default swap, volatility and stock markets. (2016). da Fonseca, Jose ; Wang, Peiming . In: Applied Economics. RePEc:taf:applec:v:48:y:2016:i:19:p:1767-1784.

Full description at Econpapers || Download paper

2016Markov-Switching Three-Pass Regression Filter. (2016). Leiva-Leon, Danilo ; Guérin, Pierre ; Marcellino, Massimiliano . In: Working Papers. RePEc:igi:igierp:591.

Full description at Econpapers || Download paper

2016Systemic Risk Impact on Economic Growth - The Case of the CEE Countries. (2016). Barnea, Dinu ; Kubinschi, Matei . In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2016:i:4:p:79-94.

Full description at Econpapers || Download paper

2016The Russian Stock Market during the Ukrainian Crisis: A Network Perspective. (2016). Uluceviz, Erhan ; SCHMIDBAUER, Harald ; Erkol, Narod ; Rosch, Angi . In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:66:y:2016:i:6:p:478-509.

Full description at Econpapers || Download paper

2016Contagion in financial networks. (2016). Glasserman, Paul ; Young, Peyton H. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68681.

Full description at Econpapers || Download paper

2016Spatial Dependence and Data-Driven Networks of International Banks. (2016). Saldias, Martin ; Saldas, Martn ; Craig, Ben . In: IMF Working Papers. RePEc:imf:imfwpa:16/184.

Full description at Econpapers || Download paper

2016Interconnectedness in the global financial market. (2016). Raddant, Matthias ; Kenett, Dror . In: Annual Conference 2016 (Augsburg): Demographic Change. RePEc:zbw:vfsc16:145560.

Full description at Econpapers || Download paper

2016Measuring sovereign risk spillovers and assessing the role of transmission channels: a spatial econometrics approach. (2016). Debarsy, Nicolas ; Gnabo, Jean-Yves ; Ertur, Cem ; Dossougoin, Cyrille . In: CORE Discussion Papers. RePEc:cor:louvco:2016053.

Full description at Econpapers || Download paper

2016Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳s Securities Markets Programme. (2016). Schwaab, Bernd ; Eser, Fabian. In: Journal of Financial Economics. RePEc:eee:jfinec:v:119:y:2016:i:1:p:147-167.

Full description at Econpapers || Download paper

2016The Dynamic Factor Network Model with an Application to Global Credit-Risk. (2016). Bräuning, Falk ; Koopman, Siem Jan ; Brauning, Falk . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160105.

Full description at Econpapers || Download paper

2016The dynamic factor network model with an application to global credit risk. (2016). Bräuning, Falk ; Koopman, Siem Jan ; Brauning, Falk . In: Working Papers. RePEc:fip:fedbwp:16-13.

Full description at Econpapers || Download paper

2016Multidimensional Parameter Heterogeneity in Panel Data Models. (2016). Neal, Timothy . In: Discussion Papers. RePEc:swe:wpaper:2016-15.

Full description at Econpapers || Download paper

2016Tail Risk Premia for Long-Term Equity Investors. (2016). Rauch, Johannes . In: Papers. RePEc:arx:papers:1602.00865.

Full description at Econpapers || Download paper

2016Model-Free Discretisation-Invariant Swap Contracts. (2016). Rauch, Johannes . In: Papers. RePEc:arx:papers:1602.00235.

Full description at Econpapers || Download paper

2016Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach. (2016). Violante, Francesco ; Barletta, Andrea . In: CREATES Research Papers. RePEc:aah:create:2016-20.

Full description at Econpapers || Download paper

2016The effects of asymmetric volatility and jumps on the pricing of VIX derivatives. (2016). Park, Yang-Ho . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:313-328.

Full description at Econpapers || Download paper

2016Decoupling the short- and long-term behavior of stochastic volatility. (2016). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger . In: Papers. RePEc:arx:papers:1610.00332.

Full description at Econpapers || Download paper

2016Economic Forecasting in Theory and Practice: An Interview with David F. Hendry. (2016). Ericsson, Neil R. In: Working Papers. RePEc:gwc:wpaper:2016-012.

Full description at Econpapers || Download paper

2016Causality analysis of financial markets by using the multivariate Hawkes Type models (in Japanese). (2016). Ehara, Ayao ; Kurisu, Daisuke ; Kunitomo, Naoto . In: CIRJE J-Series. RePEc:tky:jseres:2016cj278.

Full description at Econpapers || Download paper

2016Local asymptotics for nonparametric quantile regression with regression splines. (2016). Zhao, Weihua ; Lian, Heng . In: Statistics & Probability Letters. RePEc:eee:stapro:v:117:y:2016:i:c:p:209-215.

Full description at Econpapers || Download paper

2016Are there periodically collapsing bubbles in the stock markets? New international evidence. (2016). Chen, Shyh-Wei ; Xie, Zixong ; Hsu, Chi-Sheng . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:442-451.

Full description at Econpapers || Download paper

2016The perils of Counterfactual Analysis with Integrated Processes. (2016). de Carvalho, Carlos Viana ; Medeiros, Marcelo Cunha ; Masini, Ricardo . In: Textos para discussão. RePEc:rio:texdis:654.

Full description at Econpapers || Download paper

2016Property Tax and Property Values: Evidence from the 2012 Italian Tax Reform. (2016). Oliviero, Tommaso ; Scognamiglio, Annalisa . In: CSEF Working Papers. RePEc:sef:csefwp:439.

Full description at Econpapers || Download paper

2016House Prices and Immovable Property Taxes: Evidence from OECD Countries. (2016). Zazzaro, Alberto ; Sacchi, Agnese ; Oliviero, Tommaso ; Scognamiglio, Annalisa . In: CSEF Working Papers. RePEc:sef:csefwp:444.

Full description at Econpapers || Download paper

2016A microsimulation of property tax policy in China. (2016). Hu, Wenhao ; Cao, Jing . In: Journal of Housing Economics. RePEc:eee:jhouse:v:33:y:2016:i:c:p:128-142.

Full description at Econpapers || Download paper

2016PROPERTY TAX CAPITALIZATION IN REAL ESTATE VALUES: EVIDENCES FROM SÃO PAULO. (2016). Batista, Yuri Camara . In: Anais do XLII Encontro Nacional de Economia [Proceedings of the 42ndd Brazilian Economics Meeting]. RePEc:anp:en2014:063.

Full description at Econpapers || Download paper

2016ARCO: an artificial counterfactual approach for high-dimensional panel time-series data. (2016). Carvalho, Carlos ; Medeiros, Marcelo Cunha ; Masini, Ricardo ; de Carvalho, Carlos Viana . In: Textos para discussão. RePEc:rio:texdis:653.

Full description at Econpapers || Download paper

2016Can non-interest rate policies stabilize housing markets? Evidence from a panel of 57 economies. (2016). SHIM, ILHYOCK ; Kuttner, Kenneth N. In: Journal of Financial Stability. RePEc:eee:finsta:v:26:y:2016:i:c:p:31-44.

Full description at Econpapers || Download paper

2016Adaptive local parametric estimation of crop yields: implication for crop insurance ratemaking. (2016). Shen, Zhiwei . In: 156th Seminar, October 4, 2016, Wagenigen, The Netherlands. RePEc:ags:eaa156:249984.

Full description at Econpapers || Download paper

2016Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions. (2016). Yamamoto, Yohei. In: Discussion paper series. RePEc:hit:hiasdp:hias-e-26.

Full description at Econpapers || Download paper

2016Tests of Equal Accuracy for Nested Models with Estimated Factors. (2016). Perron, Benoit ; McCracken, Michael ; Goncalves, Silvia. In: Working Papers. RePEc:fip:fedlwp:2015-025.

Full description at Econpapers || Download paper

2016Bootstrap prediction intervals for factor models. (2016). Goncalves, Silvia ; Djogbenou, Antoine ; Perron, Benoit ; Gonalves, Silvia . In: CIRANO Working Papers. RePEc:cir:cirwor:2016s-19.

Full description at Econpapers || Download paper

2016Model selection with factors and variables. (2016). Fosten, Jack. In: University of East Anglia School of Economics Working Paper Series. RePEc:uea:ueaeco:2016_07.

Full description at Econpapers || Download paper

2016Testing for Granger causality in large mixed-frequency VARs. (2016). Smeekes, Stephan ; Hecq, Alain. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:418-432.

Full description at Econpapers || Download paper

2016Estimation of integrated quadratic covariation with endogenous sampling times. (2016). Potiron, Yoann ; Mykland, Per . In: Papers. RePEc:arx:papers:1507.01033.

Full description at Econpapers || Download paper

2016A Single-index Cox Model Driven by Levy Subordinators. (2016). Liu, Ruixuan . In: Emory Economics. RePEc:emo:wp2003:1602.

Full description at Econpapers || Download paper

2016A Competing Risks Model with Time-varying Heterogeneity and Simultaneous Failure. (2016). Liu, Ruixuan . In: Emory Economics. RePEc:emo:wp2003:1603.

Full description at Econpapers || Download paper

2016Estimating the Integrated Parameter of the Time-Varying Parameter Self-Exciting Process. (2016). Potiron, Yoann ; Clinet, Simon . In: Papers. RePEc:arx:papers:1607.05831.

Full description at Econpapers || Download paper

2016The Jacobi Stochastic Volatility Model. (2016). Ackerer, Damien ; Pulido, Sergio ; Filipovi, Damir . In: Papers. RePEc:arx:papers:1605.07099.

Full description at Econpapers || Download paper

2016The Jacobi Stochastic Volatility Model. (2016). Ackerer, Damien ; Pulido, Sergio ; Filipovic, Damir . In: Working Papers. RePEc:hal:wpaper:hal-01338330.

Full description at Econpapers || Download paper

2016Estimating jump–diffusions using closed-form likelihood expansions. (2016). Li, Chenxu ; Chen, Dachuan . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:51-70.

Full description at Econpapers || Download paper

2016Early exercise decision in American options with dividends, stochastic volatility and jumps. (2016). Scaillet, Olivier ; Galluccio, Stefano ; Cosma, Antonio ; Pederzoli, Paola . In: Papers. RePEc:arx:papers:1612.03031.

Full description at Econpapers || Download paper

2016Testing for monotonicity under endogeneity. (2016). Gutknecht, Daniel . In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:1:p:100-114.

Full description at Econpapers || Download paper

2016Self-Employment among Women: Do Children Matter More Than We Previously Thought?. (2016). Semykina, Anastasia. In: Working Papers. RePEc:fsu:wpaper:wp2016_07_02.

Full description at Econpapers || Download paper

2016State dependence and unobserved heterogeneity in a double hurdle model for remittances: evidence from immigrants to Germany. (2016). Pigini, Claudia ; Lucchetti, Riccardo (Jack) ; Bettin, Giulia. In: Mo.Fi.R. Working Papers. RePEc:anc:wmofir:127.

Full description at Econpapers || Download paper

2016Personality Traits and the Evaluation of Start-Up Subsidies. (2016). Künn, Steffen ; Caliendo, Marco ; Kunn, Steffen ; Weissenberger, Martin . In: CESifo Working Paper Series. RePEc:ces:ceswps:_5733.

Full description at Econpapers || Download paper

2016Personality Traits and the Evaluation of Start-Up Subsidies. (2016). Künn, Steffen ; Caliendo, Marco ; Weissenberger, Martin ; Kunn, Steffen . In: IZA Discussion Papers. RePEc:iza:izadps:dp9628.

Full description at Econpapers || Download paper

2016A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection. (2016). Ausin, Concepcion M ; Virbickait, Audron ; Galeano, Pedro . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:814-829.

Full description at Econpapers || Download paper

2016Co-Authorship And Research Productivity In Economics: Assessing The Assortative Matching Hypothesis. (2016). SERRANITO, Francisco ; Besancenot, Damien ; Huynh, Kim . In: Working Papers. RePEc:dia:wpaper:dt201602.

Full description at Econpapers || Download paper

2016The impact of precarious employment on mental health: The case of Italy. (2016). Vittadini, Giorgio ; Moscone, Francesco ; Tosetti, E. In: Social Science & Medicine. RePEc:eee:socmed:v:158:y:2016:i:c:p:86-95.

Full description at Econpapers || Download paper

2016Information technologies and field-level chemical use for corn production. (2016). Sung, Jae-Hoon ; Miranowski, John A. In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:235858.

Full description at Econpapers || Download paper

2016Socio-demographics, implicit attitudes, explicit attitudes, and sustainable consumption in supermarket shopping. (2016). Panzone, Luca ; Sale, Laura ; Cohen, Doron . In: Journal of Economic Psychology. RePEc:eee:joepsy:v:55:y:2016:i:c:p:77-95.

Full description at Econpapers || Download paper

2016Modeling farmers’ decisions on tea varieties in Vietnam: a multinomial logit analysis.. (2016). Nguyen-Van, Phu ; To-The, Nguyen ; Poiraud, Cyrielle . In: Working Papers of BETA. RePEc:ulp:sbbeta:2016-40.

Full description at Econpapers || Download paper

2016Poverty Accounting. A fractional response approach to poverty decomposition. (2016). Szirmai, Adam ; Bluhm, Richard ; de Crombrugghe, Denis . In: Working Papers. RePEc:inq:inqwps:ecineq2016-413.

Full description at Econpapers || Download paper

2016End-of-year spending and the long-run employment effects of training programs for the unemployed. (2016). Sajons, Christoph ; Fitzenberger, Bernd ; Furdas, Marina . In: ZEW Discussion Papers. RePEc:zbw:zewdip:16084.

Full description at Econpapers || Download paper

2016Exogeneity Tests, Incomplete Models, Weak Identification and Non-Gaussian Distributions : Invariance and Finite-Sample Distributional Theory. (2016). Doko Tchatoka, Firmin ; Dufour, Jean-Marie . In: Cahiers de recherche. RePEc:mtl:montec:14-2016.

Full description at Econpapers || Download paper

2016Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory. (2016). Doko Tchatoka, Firmin ; Dufour, Jean-Marie . In: CIRANO Working Papers. RePEc:cir:cirwor:2016s-62.

Full description at Econpapers || Download paper

2016End-of-year spending and the long-run employment effects of training programs for the unemployed. (2016). Sajons, Christoph ; Fitzenberger, Bernd ; Furdas, Marina . In: Freiburg Discussion Papers on Constitutional Economics. RePEc:zbw:aluord:1608.

Full description at Econpapers || Download paper

2016Price Changes - Stickiness and Internal Coordination in Multiproduct Firms.. (2016). Nilsen, Øivind ; Letterie, Wilko . In: Discussion Paper Series in Economics. RePEc:hhs:nhheco:2016_021.

Full description at Econpapers || Download paper

2016End-of-Year Spending and the Long-Run Employment Effects of Training Programs for the Unemployed. (2016). Furdas, Marina ; Fitzenberger, Bernd ; Sajons, Christoph . In: IZA Discussion Papers. RePEc:iza:izadps:dp10441.

Full description at Econpapers || Download paper

2016Alcohol consumption by youth: Peers, parents, or prices?. (2016). Amialchuk, Aliaksandr ; Ajilore, Olugbenga ; Egan, Keven . In: Economics & Human Biology. RePEc:eee:ehbiol:v:23:y:2016:i:c:p:76-83.

Full description at Econpapers || Download paper

2016Option-Implied Equity Premium Predictions via Entropic TiltinG. (2016). Pettenuzzo, Davide ; Smith, Aaron ; Metaxoglou, Konstantinos . In: Working Papers. RePEc:brd:wpaper:99.

Full description at Econpapers || Download paper

2016Long-run restrictions and survey forecasts of output, consumption and investment. (2016). Clements, Michael. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:614-628.

Full description at Econpapers || Download paper

2016Demographics and the Behavior of Interest Rates. (2016). Favero, Carlo A ; Yang, Haoxi ; Gozluklu, Arie E. In: IMF Economic Review. RePEc:pal:imfecr:v:64:y:2016:i:4:d:10.1057_s41308-016-0020-2.

Full description at Econpapers || Download paper

2016Robust random effects tests for two-way error component models with panel data. (2016). Wu, Jianhong . In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:1-8.

Full description at Econpapers || Download paper

Recent citations (cites in year: CiY)


Recent citations received in 2016

YearCiting document
2016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions. (2016). Quaedvlieg, Rogier ; Patton, Andrew J ; Bollerslev, Tim . In: CREATES Research Papers. RePEc:aah:create:2016-10.

Full description at Econpapers || Download paper

2016Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach. (2016). Violante, Francesco ; Barletta, Andrea . In: CREATES Research Papers. RePEc:aah:create:2016-20.

Full description at Econpapers || Download paper

2016Convergence rates of sums of a-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes. (2016). Kanaya, Shin. In: CREATES Research Papers. RePEc:aah:create:2016-24.

Full description at Econpapers || Download paper

2016Estimating Multi-Product Production Functions and Productivity using Control Functions. (2016). Malikov, Emir. In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:235108.

Full description at Econpapers || Download paper

2016Quantile Dependence between Stock Markets and its Application in Volatility Forecasting. (2016). Han, Heejoon. In: Papers. RePEc:arx:papers:1608.07193.

Full description at Econpapers || Download paper

2016Alternative Bayesian compression in Vector Autoregressions and related models. (2016). Tsionas, Mike. In: Working Papers. RePEc:bog:wpaper:216.

Full description at Econpapers || Download paper

2016Alternatives to large VAR, VARMA and multivariate stochastic volatility models. (2016). Tsionas, Mike. In: Working Papers. RePEc:bog:wpaper:217.

Full description at Econpapers || Download paper

2016Realised Variance Forecasting Under Box-Cox Transformations. (2016). Taylor, Nick. In: Bristol Accounting and Finance Discussion Papers. RePEc:bri:accfin:16/4.

Full description at Econpapers || Download paper

2016On the Stock-Yogo Tables. (2016). Windmeijer, Frank ; Skeels, Christopher. In: Bristol Economics Discussion Papers. RePEc:bri:uobdis:16/679.

Full description at Econpapers || Download paper

2016VAR Models with Non-Gaussian Shocks. (2016). Pinter, Gabor ; mumtaz, haroon ; Chiu, Ching-Wai (Jeremy). In: Discussion Papers. RePEc:cfm:wpaper:1609.

Full description at Econpapers || Download paper

2016Multiplicative Conditional Correlation Models for Realized Covariance Matrices. (2016). Storti, Giuseppe ; Braione, Manuela ; Bauwens, Luc . In: CORE Discussion Papers. RePEc:cor:louvco:2016041.

Full description at Econpapers || Download paper

2016Adaptive state space models with applications to the business cycle and financial stress. (2016). Venditti, Fabrizio ; Petrella, Ivan ; Delle Monache, Davide. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11599.

Full description at Econpapers || Download paper

2016A Bootstrap Approach for Generalized Autocontour Testing. (2016). Veiga, Helena ; Ruiz, Esther ; Gonzalez-Rivera, Gloria ; Gonalves, Joao Henrique . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:23457.

Full description at Econpapers || Download paper

2016Identifying Uncertainty Shocks Using the Price of Gold. (2016). Piffer, Michele ; Podstawski, Maximilian . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1549.

Full description at Econpapers || Download paper

2016Crimea and Punishment: The Impact of Sanctions on Russian and European Economies. (2016). Netšunajev, Aleksei ; Kholodilin, Konstantin ; Netsunajev, Aleksei . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1569.

Full description at Econpapers || Download paper

2016Semi-Parametric Measures of Scale Characteristics of German Natural Gas-Fired Electricity Generation. (2016). Seifert, Stefan . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1571.

Full description at Econpapers || Download paper

2016Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets. (2016). Große Steffen, Christoph ; Podstawski, Maximilian . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1602.

Full description at Econpapers || Download paper

2016The Spatial Efficiency Multiplier and Random Effects in Spatial Stochastic Frontier Models. (2016). Weyman-Jones, Thomas ; Glass, Anthony J ; Kenjegalieva, Karligash ; Sickles, Robin C. In: Working Papers. RePEc:ecl:riceco:16-002.

Full description at Econpapers || Download paper

2016Fluctuation behavior analysis of international crude oil and gasoline price based on complex network perspective. (2016). Wang, Minggang ; Tian, Zihao ; Jiang, Shumin ; Du, Ruijin ; Chen, Ying . In: Applied Energy. RePEc:eee:appene:v:175:y:2016:i:c:p:109-127.

Full description at Econpapers || Download paper

2016A newly identified source of potential CPI bias: Weekly versus monthly unit value price indexes. (2016). Fox, Kevin ; Diewert, Walter ; de Haan, Jan . In: Economics Letters. RePEc:eee:ecolet:v:141:y:2016:i:c:p:169-172.

Full description at Econpapers || Download paper

2016Inference on modelling cross-sectional dependence for a varying-coefficient model. (2016). Peng, Bin . In: Economics Letters. RePEc:eee:ecolet:v:145:y:2016:i:c:p:1-5.

Full description at Econpapers || Download paper

2016On the estimation of zero-inefficiency stochastic frontier models with endogenous regressors. (2016). Tsionas, Mike ; Tran, Kien. In: Economics Letters. RePEc:eee:ecolet:v:147:y:2016:i:c:p:19-22.

Full description at Econpapers || Download paper

2016Model averaging with high-dimensional dependent data. (2016). Li, Hongjun ; Zhou, Jianhong ; Zhao, Shangwei . In: Economics Letters. RePEc:eee:ecolet:v:148:y:2016:i:c:p:68-71.

Full description at Econpapers || Download paper

2016Score-driven dynamic patent count panel data models. (2016). Blazsek, Szabolcs ; Escribano, Alvaro . In: Economics Letters. RePEc:eee:ecolet:v:149:y:2016:i:c:p:116-119.

Full description at Econpapers || Download paper

2016Testing for deterministic seasonality in mixed-frequency VARs. (2016). Hecq, Alain ; del Barrio Castro, Tomás. In: Economics Letters. RePEc:eee:ecolet:v:149:y:2016:i:c:p:20-24.

Full description at Econpapers || Download paper

2016Nonparametric instrumental variables estimation for efficiency frontier. (2016). Simar, Leopold ; FEVE, Frédérique ; Cazals, Catherine ; FLORENS, Jean-Pierre. In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:2:p:349-359.

Full description at Econpapers || Download paper

2016Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso. (2016). Su, Liangjun ; Qian, Junhui . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:86-109.

Full description at Econpapers || Download paper

2016Robust econometric inference with mixed integrated and mildly explosive regressors. (2016). Phillips, Peter ; Lee, Ji Hyung. In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:2:p:433-450.

Full description at Econpapers || Download paper

2016Testing for monotonicity in unobservables under unconfoundedness. (2016). Su, Liangjun ; hoderlein, stefan ; Yang, Thomas Tao ; White, Halbert . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:183-202.

Full description at Econpapers || Download paper

2016Model averaging in semiparametric estimation of treatment effects. (2016). Kitagawa, Toru . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:271-289.

Full description at Econpapers || Download paper

2016Testing for Granger causality in large mixed-frequency VARs. (2016). Smeekes, Stephan ; Hecq, Alain. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:418-432.

Full description at Econpapers || Download paper

2016Consistent model specification tests based on k-nearest-neighbor estimation method. (2016). Li, Hongjun ; Liu, Ruixuan . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:1:p:187-202.

Full description at Econpapers || Download paper

2016Oracle inequalities, variable selection and uniform inference in high-dimensional correlated random effects panel data models. (2016). Kock, Anders Bredahl . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:71-85.

Full description at Econpapers || Download paper

2016Tail dependence of the Gaussian copula revisited. (2016). Kuznetsov, Alexey ; Su, Jianxi ; Furman, Edward . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:69:y:2016:i:c:p:97-103.

Full description at Econpapers || Download paper

2016Sparse PCA-based on high-dimensional Itô processes with measurement errors. (2016). Wang, Yazhen ; Kim, Donggyu . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:152:y:2016:i:c:p:172-189.

Full description at Econpapers || Download paper

2016Democracy and growth: Evidence from a machine learning indicator. (2016). Grundler, Klaus ; Krieger, Tommy . In: European Journal of Political Economy. RePEc:eee:poleco:v:45:y:2016:i:s:p:85-107.

Full description at Econpapers || Download paper

2016Spatial nonstationarity in the stochastic frontier model: An application to the Italian wine industry. (2016). Fusco, Elisa ; Canello, Jacopo ; Cardillo, Concetta ; Vidoli, Francesco . In: Regional Science and Urban Economics. RePEc:eee:regeco:v:61:y:2016:i:c:p:153-164.

Full description at Econpapers || Download paper

2016Forecasting Exchange Rate Volatility: The Case of the Czech Republic, Hungary and Poland. (2016). Molnár, Peter ; Lyócsa, Štefan ; Fedorko, Igor. In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:66:y:2016:i:5:p:453-475.

Full description at Econpapers || Download paper

2016Forecasting Economic Activity with Mixed Frequency Bayesian VARs. (2016). Brave, Scott ; Justiniano, Alejandro ; Butters, Andrew R. In: Working Paper Series. RePEc:fip:fedhwp:wp-2016-05.

Full description at Econpapers || Download paper

2016Escaping the Great Recession. (2016). Melosi, Leonardo ; Bianchi, Francesco . In: Working Paper Series. RePEc:fip:fedhwp:wp-2016-16.

Full description at Econpapers || Download paper

2016Nonparametric Regression with Common Shocks. (2016). Souza-Rodrigues, Eduardo A. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:3:p:36-:d:77160.

Full description at Econpapers || Download paper

2016Further Unbundling Institutions. (2016). Braunfels, Elias. In: Discussion Paper Series in Economics. RePEc:hhs:nhheco:2016_013.

Full description at Econpapers || Download paper

2016Impulse Response Matching Estimators for DSGE Models. (2016). Kilian, Lutz ; Inoue, Atsushi ; Guerron-Quintana, Pablo . In: Discussion paper series. RePEc:hit:hiasdp:hias-e-27.

Full description at Econpapers || Download paper

2016Convergence rates of sums of α-mixing triangular arrays : with an application to non-parametric drift function estimation of continuous-time processes. (2016). Kanaya, Shin. In: Discussion Paper Series. RePEc:hit:hituec:646.

Full description at Econpapers || Download paper

2016Time Varying Quantile Lasso. (2016). Härdle, Wolfgang ; Zbonakova, Lenka ; Wang, Weining ; Hardle, Wolfgang Karl . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2016-047.

Full description at Econpapers || Download paper

2016Confidence intervals for projections of partially identified parameters. (2016). Stoye, Jörg ; Molinari, Francesca ; Kaido, Hiroaki. In: CeMMAP working papers. RePEc:ifs:cemmap:02/16.

Full description at Econpapers || Download paper

2016Practical and theoretical advances in inference for partially identified models. (2016). Shaikh, Azeem ; Canay, Ivan. In: CeMMAP working papers. RePEc:ifs:cemmap:05/16.

Full description at Econpapers || Download paper

2016Markov-Switching Three-Pass Regression Filter. (2016). Leiva-Leon, Danilo ; Guérin, Pierre ; Marcellino, Massimiliano . In: Working Papers. RePEc:igi:igierp:591.

Full description at Econpapers || Download paper

2016Innovation and productivity in a S&T intensive sector: the case of Information industries in Spain. (2016). Duch Brown, Néstor ; de Panizza, Andrea ; Rohman, Ibrahim Kholilul ; Duch-Brown, Nestor . In: JRC Working Papers. RePEc:ipt:iptwpa:jrc101847.

Full description at Econpapers || Download paper

2016Technical Efficiency, Unions and Decentralized Labor Contracts. (2016). vannoni, davide ; Devicienti, Francesco ; Manello, Alessandro . In: IZA Discussion Papers. RePEc:iza:izadps:dp10292.

Full description at Econpapers || Download paper

More than 50 citations. List broken...

Recent citations received in 2015

YearCiting document
2015Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting. (2015). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2015-14.

Full description at Econpapers || Download paper

2015Exponential Smoothing, Long Memory and Volatility Prediction. (2015). Proietti, Tommaso. In: CREATES Research Papers. RePEc:aah:create:2015-51.

Full description at Econpapers || Download paper

2015Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty. (2015). Byrne, Joseph P ; Korobilis, Dimitris ; Cao, Shuo . In: 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN. RePEc:ags:aaea07:679.

Full description at Econpapers || Download paper

2015Robust Inference of Risks of Large Portfolios. (2015). Vickers, Byron ; Fan, Jianqing ; Liu, Han ; Han, Fang . In: Papers. RePEc:arx:papers:1501.02382.

Full description at Econpapers || Download paper

2015Non Parametric Estimates of Option Prices Using Superhedging. (2015). Cassese, Gianluca. In: Papers. RePEc:arx:papers:1502.03978.

Full description at Econpapers || Download paper

2015Quantile Cross-Spectral Measures of Dependence between Economic Variables. (2015). Baruník, Jozef ; Kley, Tobias . In: Papers. RePEc:arx:papers:1510.06946.

Full description at Econpapers || Download paper

2015THE SLX MODEL. (2015). Elhorst, J.Paul ; Vega, Solmaria Halleck . In: Journal of Regional Science. RePEc:bla:jregsc:v:55:y:2015:i:3:p:339-363.

Full description at Econpapers || Download paper

2015Dynamic predictive density combinations for large data sets in economics and finance. (2015). van Dijk, Herman ; Ravazzolo, Francesco ; Grassi, Stefano ; Casarin, Roberto. In: Working Paper. RePEc:bno:worpap:2015_12.

Full description at Econpapers || Download paper

2015Sigma Point Filters For Dynamic Nonlinear Regime Switching Models. (2015). Maih, Junior ; Binning, Andrew. In: Working Papers. RePEc:bny:wpaper:0032.

Full description at Econpapers || Download paper

2015Optimal Portfolio Choice under Decision-Based Model Combinations. (2015). Ravazzolo, Francesco ; Pettenuzzo, Davide. In: Working Papers. RePEc:bny:wpaper:0037.

Full description at Econpapers || Download paper

2015Market beliefs about the UK monetary policy life-off horizon: a no-arbitrage shadow rate term structure model approach. (2015). Meldrum, Andrew ; Andreasen, Martin M. In: Bank of England working papers. RePEc:boe:boeewp:0541.

Full description at Econpapers || Download paper

2015Dynamic term structure models: the best way to enforce the zero lower bound in the United States. (2015). Meldrum, Andrew ; Andreasen, Martin M. In: Bank of England working papers. RePEc:boe:boeewp:0550.

Full description at Econpapers || Download paper

2015Uniform Inference on Quantile Effects under Sharp Regression Discontinuity Designs. (2015). Qu, Zhongjun ; Yoon, Jungmo ; Jung Mo Yoon, . In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2015-009.

Full description at Econpapers || Download paper

2015Residuals-based Tests for Cointegration with GLS Detrended Data. (2015). Rodríguez, Gabriel ; Perron, Pierre ; Rodrguez, Gabriel . In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2015-017.

Full description at Econpapers || Download paper

2015Foreign Aid and Domestic Absorption. (2015). Van de Sijpe, Nicolas ; Temple, Jonathan. In: Bristol Economics Discussion Papers. RePEc:bri:uobdis:15/658.

Full description at Econpapers || Download paper

2015Oil, Volatility and Institutions:Cross-Country Evidence from Major Oil Producers. (2015). Mohaddes, Kamiar ; Amany, Kamiar Mohaddes ; Nugent, Jeffrey B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1523.

Full description at Econpapers || Download paper

2015Restrictions on Risk Prices in Dynamic Term Structure Models. (2015). Bauer, Michael. In: CESifo Working Paper Series. RePEc:ces:ceswps:_5241.

Full description at Econpapers || Download paper

2015Assessing Market (Dis)Integration in Early Modern China and Europe. (2015). Morgan, Stephen ; Eberhardt, Markus ; Li, Jianan ; Bernhofen, Daniel M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_5580.

Full description at Econpapers || Download paper

2015Nonlinear panel data estimation via quantile regression. (2015). Arellano, Manuel ; Bonhomme, Stephane . In: Working Papers. RePEc:cmf:wpaper:wp2015_1505.

Full description at Econpapers || Download paper

2015Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis. (2015). Lippi, Marco ; Hallin, Marc ; Forni, Mario ; Zaffaroni, Paolo . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10618.

Full description at Econpapers || Download paper

2015Bayesian Linear Regression with Conditional Heteroskedasticity. (2015). Zhao, Yanyun . In: IFCS - Working Papers in Economic History.WH. RePEc:cte:whrepe:ws1504.

Full description at Econpapers || Download paper

2015Bayesian Linear Regression with Conditional Heteroskedasticity. (2015). Zhao, Yanyun . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws1504.

Full description at Econpapers || Download paper

2015Revealed Preference and Aggregation. (2015). Vermeulen, Frederic ; De Rock, Bram ; Crawford, Ian ; Cherchye, Laurens. In: Working Papers ECARES. RePEc:eca:wpaper:2013/196733.

Full description at Econpapers || Download paper

2015Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis. (2015). Lippi, Marco ; Hallin, Marc ; Forni, Mario ; Zaffaroni, Paolo . In: Working Papers ECARES. RePEc:eca:wpaper:2013/200650.

Full description at Econpapers || Download paper

2015Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series. (2015). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/218748.

Full description at Econpapers || Download paper

2015Estimation of linear dynamic panel data models with time-invariant regressors. (2015). Kripfganz, Sebastian ; Schwarz, Claudia . In: Working Paper Series. RePEc:ecb:ecbwps:20151838.

Full description at Econpapers || Download paper

2015The course of realized volatility in the LME non-ferrous metal market. (2015). Todorova, Neda . In: Economic Modelling. RePEc:eee:ecmode:v:51:y:2015:i:c:p:1-12.

Full description at Econpapers || Download paper

2015Consistent subsets: Computationally feasible methods to compute the Houtman–Maks-index. (2015). Hjertstrand, Per ; Heufer, Jan. In: Economics Letters. RePEc:eee:ecolet:v:128:y:2015:i:c:p:87-89.

Full description at Econpapers || Download paper

2015Consistency of model averaging estimators. (2015). Zhang, Xinyu . In: Economics Letters. RePEc:eee:ecolet:v:130:y:2015:i:c:p:120-123.

Full description at Econpapers || Download paper

2015Testing for no factor structures: On the use of Hausman-type statistics. (2015). Rossi, Eduardo ; Castagnetti, Carolina ; Trapani, Lorenzo . In: Economics Letters. RePEc:eee:ecolet:v:130:y:2015:i:c:p:66-68.

Full description at Econpapers || Download paper

2015Predicting stock returns and volatility using consumption-aggregate wealth ratios: A nonlinear approach. (2015). GUPTA, RANGAN ; Bekiros, Stelios. In: Economics Letters. RePEc:eee:ecolet:v:131:y:2015:i:c:p:83-85.

Full description at Econpapers || Download paper

2015Testing spatial effects and random effects in a nested panel data model. (2015). He, Ming ; Lin, Kuan-Pin . In: Economics Letters. RePEc:eee:ecolet:v:135:y:2015:i:c:p:85-91.

Full description at Econpapers || Download paper

2015Productivity and employment dynamics of US manufacturing plants. (2015). Mukoyama, Toshihiko ; Lee, Yoonsoo . In: Economics Letters. RePEc:eee:ecolet:v:136:y:2015:i:c:p:190-193.

Full description at Econpapers || Download paper

2015Infinite order cross-validated local polynomial regression. (2015). Racine, Jeffrey ; Hall, Peter G.. In: Journal of Econometrics. RePEc:eee:econom:v:185:y:2015:i:2:p:510-525.

Full description at Econpapers || Download paper

2015Econometric analysis of financial derivatives: An overview. (2015). McAleer, Michael ; Chang, Chia-Lin. In: Journal of Econometrics. RePEc:eee:econom:v:187:y:2015:i:2:p:403-407.

Full description at Econpapers || Download paper

2015Nonparametric identification and estimation of transformation models. (2015). Kristensen, Dennis ; Komunjer, Ivana ; Chiappori, Pierre-Andre . In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:1:p:22-39.

Full description at Econpapers || Download paper

2015Maximum likelihood estimation of a spatial autoregressive Tobit model. (2015). Lee, Lung-Fei ; Xu, Xingbai . In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:1:p:264-280.

Full description at Econpapers || Download paper

2015Jackknife model averaging for quantile regressions. (2015). Su, Liangjun ; Lu, Xun . In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:1:p:40-58.

Full description at Econpapers || Download paper

2015New tools for understanding the local asymptotic power of panel unit root tests. (2015). Westerlund, Joakim ; Larsson, Rolf . In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:1:p:59-93.

Full description at Econpapers || Download paper

2015Testing error serial correlation in fixed effects nonparametric panel data models. (2015). Long, Wei ; hsiao, cheng ; Green, Carl . In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:2:p:466-473.

Full description at Econpapers || Download paper

2015Optimal smoothing in nonparametric conditional quantile derivative function estimation. (2015). Lin, Wei ; Su, LI ; Cai, Zongwu . In: Journal of Econometrics. RePEc:eee:econom:v:188:y:2015:i:2:p:502-513.

Full description at Econpapers || Download paper

2015Robust inference on average treatment effects with possibly more covariates than observations. (2015). Farrell, Max H. In: Journal of Econometrics. RePEc:eee:econom:v:189:y:2015:i:1:p:1-23.

Full description at Econpapers || Download paper

2015The financial econometrics of price discovery and predictability. (2015). Smyth, Russell ; Narayan, Seema . In: International Review of Financial Analysis. RePEc:eee:finana:v:42:y:2015:i:c:p:380-393.

Full description at Econpapers || Download paper

2015Detecting structural changes using wavelets. (2015). Yazgan, Ege ; ozkan, Harun . In: Finance Research Letters. RePEc:eee:finlet:v:12:y:2015:i:c:p:23-37.

Full description at Econpapers || Download paper

2015A simple and general approach to fitting the discount curve under no-arbitrage constraints. (2015). Fengler, Matthias ; Hin, Lin-Yee . In: Finance Research Letters. RePEc:eee:finlet:v:15:y:2015:i:c:p:78-84.

Full description at Econpapers || Download paper

2015Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?. (2015). Guidolin, Massimo ; Bernales, Alejandro . In: Journal of Financial Markets. RePEc:eee:finmar:v:26:y:2015:i:c:p:1-37.

Full description at Econpapers || Download paper

2015Public debt and growth: Heterogeneity and non-linearity. (2015). Presbitero, Andrea ; Eberhardt, Markus. In: Journal of International Economics. RePEc:eee:inecon:v:97:y:2015:i:1:p:45-58.

Full description at Econpapers || Download paper

2015Good and bad uncertainty: Macroeconomic and financial market implications. (2015). Segal, Gill ; Yaron, Amir ; Shaliastovich, Ivan . In: Journal of Financial Economics. RePEc:eee:jfinec:v:117:y:2015:i:2:p:369-397.

Full description at Econpapers || Download paper

2015Tail risk premia and return predictability. (2015). Bollerslev, Tim ; Xu, Lai ; Todorov, Viktor . In: Journal of Financial Economics. RePEc:eee:jfinec:v:118:y:2015:i:1:p:113-134.

Full description at Econpapers || Download paper

2015Credit conditions and stock return predictability. (2015). Gallmeyer, Michael ; Chava, Sudheer ; Park, Heungju . In: Journal of Monetary Economics. RePEc:eee:moneco:v:74:y:2015:i:c:p:117-132.

Full description at Econpapers || Download paper

More than 50 citations. List broken...

Recent citations received in 2014

YearCiting document
2014Discriminating between fractional integration and spurious long memory. (2014). Kruse, Robinson ; Haldrup, Niels. In: CREATES Research Papers. RePEc:aah:create:2014-19.

Full description at Econpapers || Download paper

2014Tail Risk Premia and Return Predictability. (2014). Bollerslev, Tim ; Xu, Lai ; Todorov, Viktor . In: CREATES Research Papers. RePEc:aah:create:2014-49.

Full description at Econpapers || Download paper

2014The Incidence of Soda Taxes with Imperfect Information and Strategic Firm Behavior. (2014). Zheng, Hualu ; Huang, LU. In: 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota. RePEc:ags:aaea14:170201.

Full description at Econpapers || Download paper

2014Tail Dependence is to be Expected Among Crop Yields. (2014). Hennessy, David ; Feng, Hongli ; Du, Xiaodong. In: 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota. RePEc:ags:aaea14:174315.

Full description at Econpapers || Download paper

2014Transmission of beef and veal prices in different marketing channels. (2014). Finger, Robert ; el Benni, Nadja ; Hediger, Werner . In: 2014 International Congress, August 26-29, 2014, Ljubljana, Slovenia. RePEc:ags:eaae14:182696.

Full description at Econpapers || Download paper

2014The a/simmetrie annual macroeconometric model of the Italian economy: structure and properties. (2014). Mongeau Ospina, Christian Alexander ; Bagnai, Alberto ; Christian Alexander Mongeau Ospina, . In: a/ Working Papers Series. RePEc:ais:wpaper:1405.

Full description at Econpapers || Download paper

2014Abatement strategies and the cost of environmental regulation: Emission standards on the European car market. (2014). Reynaert, Mathias. In: Working Papers. RePEc:ant:wpaper:2014025.

Full description at Econpapers || Download paper

2014Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach. (2014). Menla Ali, Faek ; Paraskevopoulos, Alexandros ; Yfanti, Stavroula ; Karoglou, Michail ; Karanasos, Menelaos . In: Papers. RePEc:arx:papers:1403.7179.

Full description at Econpapers || Download paper

2014On parameter identification in stochastic differential equations by penalized maximum likelihood. (2014). Dunker, Fabian ; Hohage, Thorsten . In: Papers. RePEc:arx:papers:1404.0651.

Full description at Econpapers || Download paper

2014Parametric Risk Parity. (2014). Mercuri, Lorenzo ; Rroji, Edit . In: Papers. RePEc:arx:papers:1409.7933.

Full description at Econpapers || Download paper

2014International Spillovers of Policy Uncertainty. (2014). Sekkel, Rodrigo ; Kloner, Stefan . In: Staff Working Papers. RePEc:bca:bocawp:14-57.

Full description at Econpapers || Download paper

2014Uncertainty Outside and Inside Economic Models. (2014). Hansen, Lars. In: Working Papers. RePEc:bfi:wpaper:2014-06.

Full description at Econpapers || Download paper

2014The Term Structure of the Welfare Cost of Uncertainty. (2014). Lopez, Pierlauro. In: Working papers. RePEc:bfr:banfra:521.

Full description at Econpapers || Download paper

2014Forecasting in Nonstationary Environments: What Works and What Doesnt in Reduced-Form and Structural Models. (2014). Rossi, Barbara ; Giacomini, Raffaella . In: Working Papers. RePEc:bge:wpaper:819.

Full description at Econpapers || Download paper

2014sftfe: A Stata command for fixed-effects stochastic frontier models estimation. (2014). Ilardi, Giuseppe ; Belotti, Federico. In: Italian Stata Users' Group Meetings 2014. RePEc:boc:isug14:05.

Full description at Econpapers || Download paper

2014Nonparametric Identification of Endogenous and Heterogeneous Aggregate Demand Models: Complements, Bundles and the Market Level. (2014). Kaido, Hiroaki ; hoderlein, stefan ; Dunker, Fabian. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2014-005.

Full description at Econpapers || Download paper

2014Theory and Practice of GVAR Modeling. (2014). Pesaran, M ; Chudik, Alexander. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1408.

Full description at Econpapers || Download paper

2014Hedge Fund Portfolio Diversification Strategies Across the GFC. (2014). McAleer, Michael ; Allen, David ; Singh, Abhay K. ; Peiris, Shelton . In: Working Papers in Economics. RePEc:cbt:econwp:14/27.

Full description at Econpapers || Download paper

2014The Evidence on Globalization. (2014). Potrafke, Niklas. In: CESifo Working Paper Series. RePEc:ces:ceswps:_4708.

Full description at Econpapers || Download paper

2014Fiscal Transfers and Fiscal Sustainability. (2014). Reischmann, Markus ; Potrafke, Niklas. In: CESifo Working Paper Series. RePEc:ces:ceswps:_4716.

Full description at Econpapers || Download paper

2014A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices. (2014). Pesaran, M ; Bailey, Natalia ; Smith, Vanessa L.. In: CESifo Working Paper Series. RePEc:ces:ceswps:_4834.

Full description at Econpapers || Download paper

2014Selection of the number of factors in presence of structural instability: a Monte Carlo study. (2014). Stevanovic, Dalibor ; MAO TAKONGMO, Charles Olivier. In: CIRANO Working Papers. RePEc:cir:cirwor:2014s-44.

Full description at Econpapers || Download paper

2014A Note on Leverage and the Macroeconomy. (2014). Serletis, Apostolos ; Istiak, Khandokar . In: Working Papers. RePEc:clg:wpaper:2014-45.

Full description at Econpapers || Download paper

2014DISTRIBUTIONAL LINKAGES BETWEEN EUROPEAN SOVEREIGN BOND AND BANK ASSET RETURNS. (2014). Mencia, Javier ; Galvez, Julio. In: Working Papers. RePEc:cmf:wpaper:wp2014_1407.

Full description at Econpapers || Download paper

2014TESTING A LARGE NUMBER OF HYPOTHESES IN APPROXIMATE FACTOR MODELS. (2014). Repetto, Luca ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2014_1410.

Full description at Econpapers || Download paper

2014Economic theory and forecasting: lessons from the literature. (2014). Giacomini, Raffaella . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10201.

Full description at Econpapers || Download paper

2014Consumer valuation of fuel costs and the effectiveness of tax policy: Evidence from the European car market. (2014). Verboven, Frank ; Reynaert, Mathias ; Grigolon, Laura. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10301.

Full description at Econpapers || Download paper

2014Identifying Industry Margins with Unobserved Price Constraints: Structural Estimation on Pharmaceuticals. (2014). Lasio, Laura ; Dubois, Pierre. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9881.

Full description at Econpapers || Download paper

2014Forecasting Exchange Rates under Model and Parameter Uncertainty. (2014). Beckmann, Joscha ; Schussler, Rainer . In: CQE Working Papers. RePEc:cqe:wpaper:3214.

Full description at Econpapers || Download paper

2014Optimal Uniform Convergence Rates and Asymptotic Normality for Series Estimators under Weak Dependence and Weak Conditions. (2014). Christensen, Timothy M. ; Chen, Xiaohong . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1976.

Full description at Econpapers || Download paper

2014Rates of Return and Early Retirement Disincentives: Evidence from a German Pension Reform. (2014). Lüthen, Holger ; Luthen, Holger . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1389.

Full description at Econpapers || Download paper

2014Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks. (2014). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/177444.

Full description at Econpapers || Download paper

2014Does participating in health insurance benefit the migrant workers in China? An empirical investigation. (2014). Qin, Xuezheng ; Pan, Jay ; Liu, Gordon G.. In: China Economic Review. RePEc:eee:chieco:v:30:y:2014:i:c:p:263-278.

Full description at Econpapers || Download paper

2014The indirect continuous-GMM estimation. (2014). Kotchoni, Rachidi. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:76:y:2014:i:c:p:464-488.

Full description at Econpapers || Download paper

2014What (really) accounts for the fall in hours after a technology shock?. (2014). Rebei, Nooman. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:45:y:2014:i:c:p:330-352.

Full description at Econpapers || Download paper

2014Understanding the role of time-varying unobserved ability heterogeneity in education production. (2014). Lehrer, Steven ; Ding, Weili. In: Economics of Education Review. RePEc:eee:ecoedu:v:40:y:2014:i:c:p:55-75.

Full description at Econpapers || Download paper

2014Term structure estimation in the presence of autocorrelation. (2014). Juneja, Januj . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:28:y:2014:i:c:p:119-129.

Full description at Econpapers || Download paper

2014Iterative algorithm for non parametric estimation of the instrumental variables quantiles. (2014). FEVE, Frédérique ; FLORENS, Jean-Pierre. In: Economics Letters. RePEc:eee:ecolet:v:123:y:2014:i:3:p:300-304.

Full description at Econpapers || Download paper

2014A Hausman–Taylor instrumental variable approach to the penalized estimation of quantile panel models. (2014). Lamarche, Carlos ; Harding, Matthew . In: Economics Letters. RePEc:eee:ecolet:v:124:y:2014:i:2:p:176-179.

Full description at Econpapers || Download paper

2014Estimating aggregate autoregressive processes when only macro data are available. (2014). Jondeau, Eric ; Pelgrin, Florian . In: Economics Letters. RePEc:eee:ecolet:v:124:y:2014:i:3:p:341-347.

Full description at Econpapers || Download paper

2014Testing for individual and time effects in panel data models with interactive effects. (2014). Wu, Jianhong ; Li, Jinchang . In: Economics Letters. RePEc:eee:ecolet:v:125:y:2014:i:2:p:306-310.

Full description at Econpapers || Download paper

2014Treatment effect estimation with covariate measurement error. (2014). Chesher, Andrew ; Battistin, Erich. In: Journal of Econometrics. RePEc:eee:econom:v:178:y:2014:i:2:p:707-715.

Full description at Econpapers || Download paper

2014Testing for structural stability of factor augmented forecasting models. (2014). Swanson, Norman ; Corradi, Valentina . In: Journal of Econometrics. RePEc:eee:econom:v:182:y:2014:i:1:p:100-118.

Full description at Econpapers || Download paper

2014Bootstrapping factor-augmented regression models. (2014). Perron, Benoit ; Goncalves, Silvia ; Gonalves, Silvia . In: Journal of Econometrics. RePEc:eee:econom:v:182:y:2014:i:1:p:156-173.

Full description at Econpapers || Download paper

2014Unpredictability in economic analysis, econometric modeling and forecasting. (2014). Mizon, Grayham ; Hendry, David. In: Journal of Econometrics. RePEc:eee:econom:v:182:y:2014:i:1:p:186-195.

Full description at Econpapers || Download paper

2014Sieve M inference on irregular parameters. (2014). Liao, Zhipeng ; Chen, Xiaohong . In: Journal of Econometrics. RePEc:eee:econom:v:182:y:2014:i:1:p:70-86.

Full description at Econpapers || Download paper

2014The evolution of corporate governance in Brazil. (2014). de Carvalho, Antonio Gledson ; Sampaio, Joelson Oliveira ; Black, Bernard S.. In: Emerging Markets Review. RePEc:eee:ememar:v:20:y:2014:i:c:p:176-195.

Full description at Econpapers || Download paper

2014Modelling stock volatilities during financial crises: A time varying coefficient approach. (2014). Menla Ali, Faek ; Paraskevopoulos, Alexandros G. ; Yfanti, Stavroula ; Karoglou, Michail ; Karanasos, Menelaos . In: Journal of Empirical Finance. RePEc:eee:empfin:v:29:y:2014:i:c:p:113-128.

Full description at Econpapers || Download paper

2014Time variation in the standard forward premium regression: Some new models and tests. (2014). Cho, Dooyeon ; Baillie, Richard T.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:29:y:2014:i:c:p:52-63.

Full description at Econpapers || Download paper

2014Persistence in the banking industry: Fractional integration and breaks in memory. (2014). Rodrigues, Paulo ; Hassler, Uwe ; Rubia, Antonio ; Rodrigues, Paulo M. M., . In: Journal of Empirical Finance. RePEc:eee:empfin:v:29:y:2014:i:c:p:95-112.

Full description at Econpapers || Download paper

More than 50 citations. List broken...

Recent citations received in 2013

YearCiting document
2013Bias-corrected estimation in potentially mildly explosive autoregressive models. (2013). Kruse, Robinson ; Kaufmannz, Hendrik . In: CREATES Research Papers. RePEc:aah:create:2013-10.

Full description at Econpapers || Download paper

2013Bootstrapping realized volatility and realized beta under a local Gaussianity assumption. (2013). Hounyo, Ulrich . In: CREATES Research Papers. RePEc:aah:create:2013-30.

Full description at Econpapers || Download paper

2013Generalizing smooth transition autoregressions. (2013). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2013-32.

Full description at Econpapers || Download paper

2013A unified framework for testing in the linear regression model under unknown order of fractional integration. (2013). Sibbertsen, Philipp ; Kruse, Robinson ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2013-35.

Full description at Econpapers || Download paper

2013Exchange Rate Predictability. (2013). Rossi, Barbara. In: Journal of Economic Literature. RePEc:aea:jeclit:v:51:y:2013:i:4:p:1063-1119.

Full description at Econpapers || Download paper

2013This Time Theyre Different: Heterogeneity;and Nonlinearity in the Relationship;between Debt and Growth. (2013). Presbitero, Andrea ; Eberhardt, Markus. In: Mo.Fi.R. Working Papers. RePEc:anc:wmofir:92.

Full description at Econpapers || Download paper

2013On the correlation between commodity and equity returns: implications for portfolio allocation. (2013). Lombardi, Marco. In: BIS Working Papers. RePEc:bis:biswps:420.

Full description at Econpapers || Download paper

2013Evaluating early warning indicators of banking crises: Satisfying policy requirements. (2013). Drehmann, Mathias ; Juselius, Mikael . In: BIS Working Papers. RePEc:bis:biswps:421.

Full description at Econpapers || Download paper

2013Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model. (2013). van Dijk, Herman ; Ravazzolo, Francesco ; Casarin, Roberto ; Billio, Monica. In: Working Paper. RePEc:bno:worpap:2013_20.

Full description at Econpapers || Download paper

2013Robust testing of time trend and mean with unknown integration order errors Frequency (and Other) Contaminations. (2013). Perron, Pierre ; Xu, Jiawen . In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2013-006.

Full description at Econpapers || Download paper

2013Inference on a Structural Break in Trend with Fractionally Integrated Errors. (2013). Perron, Pierre ; Chang, Seong Yeon . In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2013-020.

Full description at Econpapers || Download paper

2013Computational aspects of portfolio risk estimation in volatile markets: a survey. (2013). Fabozzi, Frank ; Fabozzi Frank J., ; Stoyan, Stoyanov ; Rachev Svetlozar T., . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:17:y:2013:i:1:p:103-120:n:1.

Full description at Econpapers || Download paper

2013Dynamic structured copula models. (2013). Härdle, Wolfgang ; Karl, Hardle Wolfgang ; Yarema, Okhrin ; Ostap, Okhrin . In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:30:y:2013:i:4:p:361-388:n:4.

Full description at Econpapers || Download paper

2013.

Full description at Econpapers || Download paper

2013.

Full description at Econpapers || Download paper

2013.

Full description at Econpapers || Download paper

2013The Effect of Firms Partial Retirement Policies on the Labour Market Outcomes of their Employees. (2013). Wunsch, Conny ; Lechner, Michael ; Huber, Martin. In: CESifo Working Paper Series. RePEc:ces:ceswps:_4343.

Full description at Econpapers || Download paper

2013Do Firms Benefit from Active Labour Market Policies?. (2013). Wunsch, Conny ; Lechner, Michael ; Scioch, Patrycja . In: CESifo Working Paper Series. RePEc:ces:ceswps:_4392.

Full description at Econpapers || Download paper

2013Heterogeneous Sports Participation and Labour Market Outcomes in England. (2013). Lechner, Michael ; Downward, Paul . In: CESifo Working Paper Series. RePEc:ces:ceswps:_4434.

Full description at Econpapers || Download paper

2013After-School Care and Parents Labor Supply. (2013). Thiemann, Petra ; Lechner, Michael ; Felfe, Christina . In: CESifo Working Paper Series. RePEc:ces:ceswps:_4487.

Full description at Econpapers || Download paper

2013Consumption, Income Changes and Heterogeneity: Evidence from Two Fiscal Stimulus Programmes. (2013). Surico, Paolo ; Misra, Kanishka . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9530.

Full description at Econpapers || Download paper

2013Eurozone Sovereign Yield Spreads and Diverging Economic Fundamentals. (2013). Beber, Alessandro ; Brandt, Michael ; Luisi, Maurizio . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9538.

Full description at Econpapers || Download paper

2013The effect of firms partial retirement policies on the labour market outcomes of their employees. (2013). Wunsch, Conny ; Lechner, Michael ; Huber, Martin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9574.

Full description at Econpapers || Download paper

2013Do Firms Benefit from Active Labour Market Policies?. (2013). Wunsch, Conny ; Lechner, Michael ; Scioch, Patrycja . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9642.

Full description at Econpapers || Download paper

2013Heterogeneous sports participation and labour market outcomes in England. (2013). Lechner, Michael ; Downward, Paul . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9701.

Full description at Econpapers || Download paper

2013After-school care and parents’ labor supply. (2013). Thiemann, Petra ; Lechner, Michael ; Felfe, Christina . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9757.

Full description at Econpapers || Download paper

2013Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns. (2013). Escribano, Alvaro ; Sucarrat, Genaro . In: UC3M Working papers. Economics. RePEc:cte:werepe:we1321.

Full description at Econpapers || Download paper

2013Optimal Uniform Convergence Rates for Sieve Nonparametric Instrumental Variables Regression. (2013). Chen, Xiaohong . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1923.

Full description at Econpapers || Download paper

2013Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression. (2013). Phillips, Peter ; GAO, Jiti ; Peter C. B. Phillips, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1929.

Full description at Econpapers || Download paper

2013How Learning a Musical Instrument Affects the Development of Skills. (2013). Schupp, Jürgen ; Hille, Adrian. In: SOEPpapers on Multidisciplinary Panel Data Research. RePEc:diw:diwsop:diw_sp591.

Full description at Econpapers || Download paper

2013Simple Le Cam Optimal Inference for the Tail Weight of Multivariate Student t Distributions: Testing Procedures and Estimation. (2013). Neven, Anouk ; Ley, Christophe . In: Working Papers ECARES. RePEc:eca:wpaper:2013/143830.

Full description at Econpapers || Download paper

2013A New Index of Financial Conditions. (2013). Koop, Gary ; Korobilis, Dimitris ; Gary, Koop ; Dimitris, Korobilis . In: SIRE Discussion Papers. RePEc:edn:sirdps:475.

Full description at Econpapers || Download paper

2013Forecasting Binary Outcomes. (2013). Lahiri, Kajal ; Yang, Liu . In: Handbook of Economic Forecasting. RePEc:eee:ecofch:2-1025.

Full description at Econpapers || Download paper

2013Time-varying mixture GARCH models and asymmetric volatility. (2013). Haas, Markus ; Krause, Jochen ; Steude, Sven C. ; Paolella, Marc S.. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:26:y:2013:i:c:p:602-623.

Full description at Econpapers || Download paper

2013First-differenced inference for panel factor series. (2013). Ipatova, Ekaterina ; Trapani, Lorenzo . In: Economics Letters. RePEc:eee:ecolet:v:118:y:2013:i:2:p:364-366.

Full description at Econpapers || Download paper

2013How have inflation-targeting central banks responded to supply shocks?. (2013). Tachibana, Minoru. In: Economics Letters. RePEc:eee:ecolet:v:121:y:2013:i:1:p:1-3.

Full description at Econpapers || Download paper

2013Linear and nonlinear regression with stable errors. (2013). Ojeda-Revah, Diana ; Nolan, John P.. In: Journal of Econometrics. RePEc:eee:econom:v:172:y:2013:i:2:p:186-194.

Full description at Econpapers || Download paper

2013Heavy tails of OLS. (2013). de Vries, Casper ; Mikosch, Thomas . In: Journal of Econometrics. RePEc:eee:econom:v:172:y:2013:i:2:p:205-221.

Full description at Econpapers || Download paper

2013Risk spillovers in international equity portfolios. (2013). Ranaldo, Angelo ; Caporin, Massimiliano ; Bonato, Matteo . In: Journal of Empirical Finance. RePEc:eee:empfin:v:24:y:2013:i:c:p:121-137.

Full description at Econpapers || Download paper

2013Multivariate patchwork copulas: A unified approach with applications to partial comonotonicity. (2013). Durante, Fabrizio ; Sempi, Carlo ; Sanchez, Juan Fernandez . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:897-905.

Full description at Econpapers || Download paper

2013Least squares estimators for discretely observed stochastic processes driven by small Lévy noises. (2013). Long, Hongwei ; Sun, Wei . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:116:y:2013:i:c:p:422-439.

Full description at Econpapers || Download paper

2013Dynamic relationship between precious metals. (2013). Şensoy, Ahmet ; Sensoy, Ahmet . In: Resources Policy. RePEc:eee:jrpoli:v:38:y:2013:i:4:p:504-511.

Full description at Econpapers || Download paper

2013Modelling the behaviour of unemployment rates in the US over time and across space. (2013). Panagiotidis, Theodore ; Otero, Jesus ; Holmes, Mark. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:392:y:2013:i:22:p:5711-5722.

Full description at Econpapers || Download paper

2013Bias and bandwidth for local likelihood density estimation. (2013). Otneim, HÃ¥kon ; Tjostheim, Dag ; Karlsen, Hans Arnfinn . In: Statistics & Probability Letters. RePEc:eee:stapro:v:83:y:2013:i:5:p:1382-1387.

Full description at Econpapers || Download paper

2013Stationary bootstrapping realized volatility. (2013). Shin, Dong Wan ; Hwang, Eunju . In: Statistics & Probability Letters. RePEc:eee:stapro:v:83:y:2013:i:9:p:2045-2051.

Full description at Econpapers || Download paper

2013Inflation Dynamics and The Role of Oil Shocks: How Different Were the 1970s?. (2013). Wong, Benjamin. In: CAMA Working Papers. RePEc:een:camaaa:2013-59.

Full description at Econpapers || Download paper

2013A proposal for an open-source financial risk model. (2013). Hwang, Jong Ho . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:59298.

Full description at Econpapers || Download paper

2013Structural vector autoregressions. (2013). Kilian, Lutz . In: Chapters. RePEc:elg:eechap:14327_22.

Full description at Econpapers || Download paper

2013Testing structural stability in macroeconometric models. (2013). Hall, Alastair R. ; Boldea, Otilia . In: Chapters. RePEc:elg:eechap:14327_9.

Full description at Econpapers || Download paper

2013Contributions to the Theory of Optimal Tests. (2013). Moreira, Marcelo. In: Economics Working Papers (Ensaios Economicos da EPGE). RePEc:fgv:epgewp:747.

Full description at Econpapers || Download paper

More than 50 citations. List broken...

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

Source data used to compute the impact factor of RePEc series.

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 1 2017. Contact: CitEc Team