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Journal of Econometrics / Elsevier

1.65

Impact Factor

2.09

5-Years IF

169

5-Years H index

Main indicators

Raw data

IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.170.10.3183832302.77510512722334102203 (4%)40.050.04
19910.340.090.43711543542.3187214851326141167 (8.9%)120.170.04
19920.260.090.25662203491.5966511544034485238 (3.6%)140.210.04
19930.260.10.27973173421.0828981373534792222 (7.7%)140.140.05
19940.440.110.34834004971.24468416371382128241 (5.1%)170.20.05
19950.630.20.918348312312.5510364180113400365231 (2.2%)270.330.07
19960.750.230.9710358614932.557476166124400388362 (4.8%)500.490.09
19970.810.271.1610769317872.584638186150432503293 (6.3%)350.330.09
19980.980.291.1711180421242.649185210205473554260 (2.8%)330.30.1
19990.840.321.255385724492.863974218184487610203 (5.1%)230.430.13
20001.560.41.898594231953.393543164256457864263 (7.4%)480.560.15
20011.470.41.8191103335083.44291138203459831309 (7.2%)530.580.15
20021.410.421.8597113039173.476205176248447829287 (4.6%)940.970.18
20031.940.442.1595122550384.117501188365437938247 (3.3%)1221.280.19
20042.550.492.5990131558494.4541251924904211089205 (5%)1031.140.2
20052.580.532.7583139864564.6249231854774581259188 (3.8%)1261.520.21
20062.580.513.27130152873824.8358011734464561490301 (5.2%)1821.40.2
20072.540.453.1218717156858464842135404951545450 (6.9%)1911.020.18
20082.860.483.51168188387704.6653823179075852053292 (5.4%)1620.960.2
20092.30.472.86104198792434.6520713558166581881193 (9.3%)810.780.19
20101.820.452.69145213288454.1529202724966721807265 (9.1%)1350.930.16
20111.960.522.941462278109604.8127722494897342156208 (7.5%)1891.290.2
20122.290.552.951672445124985.1118112916667502210209 (11.5%)1100.660.2
20131.980.622.71952540127805.0311353136207301979100 (8.8%)1211.270.22
20142.250.642.661452685130634.8710572625906571745108 (10.2%)1340.920.21
20152.290.692.691952880133194.62660240549698187685 (12.9%)1350.690.22
20161.650.852.091473027128134.23295340562748156725 (8.5%)930.630.26
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

5725
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

4946
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.

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4361
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

3230
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

2692
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

2572
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

2322
82005A 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

1436
91995Estimating 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

1424
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

1323
111996Impulse 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

1253
121992ARCH 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.

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1193
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.

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1050
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.

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960
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.

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841
161999Spurious 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.

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804
172005Does 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.

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799
182008Regression 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

787
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.

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782
201986Random 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.

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771
211996Fractionally 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

760
221996Residual-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

753
231988Some 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

734
242008Manipulation 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.

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726
251976Exact and superlative index numbers. (1976). Diewert, Walter. In: Journal of Econometrics. RePEc:eee:econom:v:4:y:1976:i:2:p:115-145.

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725
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

716
271997Further 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

691
281986Errors 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.

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664
291995On 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

661
302007Estimation 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.

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632
311988Limited 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.

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620
321990Analysis 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.

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618
331994Autoregressive 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.

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607
341992Testing 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.

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592
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.

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591
362006Generalized 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.

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573
371996Long 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.

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568
381981Some 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.

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559
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.

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552
401999GMM estimation with cross sectional dependence. (1999). conley, timothy. In: Journal of Econometrics. RePEc:eee:econom:v:92:y:1999:i:1:p:1-45.

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530
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.

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523
421986Understanding spurious regressions in econometrics. (1986). Phillips, Peter. In: Journal of Econometrics. RePEc:eee:econom:v:33:y:1986:i:3:p:311-340.

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517
431980Long 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.

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513
441988Prediction 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.

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487
451990Seasonal 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.

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485
461999Threshold 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.

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484
471994Five 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.

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481
482007Approximately 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.

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471
492001Long 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.

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470
502001Tests 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.

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468

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

1654
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

1332
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

882
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

790
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

658
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

455
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

422
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

395
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

394
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

342
111996Impulse 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

318
121995Statistical 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

316
132008Regression 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

315
142003What 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

223
152005Does 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

213
162006Generalized 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

209
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

201
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

197
192007Approximately 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

175
201974Spurious 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

170
211982On 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

163
221999GMM 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

156
231999Threshold 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

155
242008Randomized 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.

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152
251996Residual-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

152
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

139
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

138
281988Some 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

137
292014On 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.

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136
301997Further 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

134
312005Reconsidering 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

127
321982Formulation 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

126
331995On 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

120
342008Regression 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.

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120
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119
362004Ability 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.

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118
372011Volatility 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.

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114
382004Estimating 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.

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113
392008Panel 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.

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111
402006Forecasting 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.

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107
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103
422005Characteristics 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.

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99
431994On 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.

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98
441994Dynamic 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.

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97
451995General purpose technologies Engines of growth?. (1995). Trajtenberg, Manuel ; Bresnahan, Timothy. In: Journal of Econometrics. RePEc:eee:econom:v:65:y:1995:i:1:p:83-108.

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95
461999Inference for unit roots in dynamic panels where the time dimension is fixed. (1999). Tzavalis, Elias ; Harris, Richard ; Harris, Richard D. F., . In: Journal of Econometrics. RePEc:eee:econom:v:91:y:1999:i:2:p:201-226.

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93
472010Estimation 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.

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92
482006Are 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.

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89
492011Panels with non-stationary multifactor error structures. (2011). Yamagata, Takashi ; Pesaran, M ; Kapetanios, G.. In: Journal of Econometrics. RePEc:eee:econom:v:160:y:2011:i:2:p:326-348.

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88
502009Identification of peer effects through social networks. (2009). Fortin, Bernard ; Djebbari, Habiba ; Bramoullé, Yann ; Bramoulle, Yann. In: Journal of Econometrics. RePEc:eee:econom:v:150:y:2009:i:1:p:41-55.

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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.

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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.

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

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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.

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2016The Factor-Lasso and K-Step Bootstrap Approach for Inference in High-Dimensional Economic Applications. (2016). Hansen, Christian ; Liao, Yuan. In: Papers. RePEc:arx:papers:1611.09420.

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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.

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

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

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

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

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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.

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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.

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

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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.

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2016Higher Order Bias Correcting Moment Equation for M-Estimation and Its Higher Order Efficiency. (2016). Il, Kyoo . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:4:p:48-:d:84668.

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

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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.

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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.

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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.

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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.

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2016Commodities common factor: An empirical assessment of the markets drivers. (2016). Posch, Peter N ; Lubbers, Johannes . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:4:y:2016:i:1:p:28-40.

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

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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.

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

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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.

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

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

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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.

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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.

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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.

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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.

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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.

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

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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.

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

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2016Network, Market, and Book-Based Systemic Risk Rankings. (2016). van de Leur, Michiel ; Lucas, Andre. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160074.

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

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

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

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

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

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

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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.

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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.

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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.

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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.

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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.

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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.

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

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

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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2016The impact of pollution abatement investments on production technology: new insights from frontier analysis. (2016). Musolesi, Antonio ; Huiban, Jean Pierre ; Simioni, Michel ; Mastromarco, Camille . In: Working Papers. RePEc:hal:wpaper:hal-01512154.

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

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

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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.

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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.

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

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

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

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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.

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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.

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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.

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

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

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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.

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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.

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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.

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2016Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in?finite order. (2016). Hong, Seok Young ; Linton, Oliver . In: CeMMAP working papers. RePEc:ifs:cemmap:53/16.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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

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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.

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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.

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

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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.

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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.

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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.

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

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

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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.

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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.

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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.

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

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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.

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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.

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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.

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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.

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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.

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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.

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2016A Bridge Too Far? The State of the Art in Combining the Virtues of Stochastic Frontier Analysis and Data Envelopement Analysis. (2016). Zelenyuk, Valentin ; Parmeter, Christopher. In: Working Papers. RePEc:mia:wpaper:2016-10.

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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.

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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.

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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.

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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.

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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.

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

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

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2016Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics. (2016). Stock, J H ; Watson, M W. In: Handbook of Macroeconomics. RePEc:eee:macchp:v2-415.

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2016Robust Factor Models with Explanatory Proxies. (2016). Fan, Jianqing ; Liao, Yuan ; Ke, Yuan. In: Papers. RePEc:arx:papers:1603.07041.

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

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

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

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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.

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

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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..

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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.

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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.

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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.

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

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

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

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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.

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

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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.

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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.

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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.

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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.

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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.

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

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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.

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

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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.

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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.

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

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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.

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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.

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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.

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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.

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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.

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

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

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

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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.

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

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

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

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

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

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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.

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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.

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

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

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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.

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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.

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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.

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2016Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers. (2016). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:98648.

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2016Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers. (2016). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160076.

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

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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.

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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.

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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.

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

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

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2016Partial identification in applied research: benefits and challenges. (2016). Ho, Kate ; Rosen, Adam . In: CeMMAP working papers. RePEc:ifs:cemmap:45/16.

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

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

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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.

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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.

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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.

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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.

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2016Measuring Efficiency of Health Systems of the Middle East and North Africa (MENA) Region Using Stochastic Frontier Analysis. (2016). Akinci, Fevzi ; Hamidi, Samer . In: Applied Health Economics and Health Policy. RePEc:spr:aphecp:v:14:y:2016:i:3:d:10.1007_s40258-016-0230-9.

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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.

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

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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.

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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.

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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.

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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.

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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.

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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.

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

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

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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.

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

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

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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.

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

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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

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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.

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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.

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

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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.

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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.

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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.

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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.

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

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

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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.

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

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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

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

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

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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.

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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.

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

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2016Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics. (2016). Stock, J H ; Watson, M W. In: Handbook of Macroeconomics. RePEc:eee:macchp:v2-415.

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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.

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

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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.

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

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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.

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

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

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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.

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2016Forecasting inflation in post-oil boom years: A case for non-linear models?. (2016). Rahimov, Vugar ; Mammadov, Fuad ; Huseynov, Salman ; Ahmadov, Vugar ; Adigozalov, Shaig . In: Working Papers. RePEc:aze:wpaper:1601.

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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.

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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.

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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.

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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.

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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.

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

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2016Retirement Incentives and Labor Supply. (2016). Blundell, R ; Tetlow, G ; French, E. In: Handbook of the Economics of Population Aging. RePEc:eee:hapoch:v1_457.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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

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2016Robust Factor Models with Explanatory Proxies. (2016). Fan, Jianqing ; Liao, Yuan ; Ke, Yuan. In: Papers. RePEc:arx:papers:1603.07041.

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

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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.

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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.

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

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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.

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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.

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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.

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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.

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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.

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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.

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

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

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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

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

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

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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.

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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.

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

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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.

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

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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.

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2016Adaptive Models and Heavy Tails with an Application to Inflation Forecasting. (2016). Petrella, Ivan ; Delle Monache, Davide. In: EMF Research Papers. RePEc:wrk:wrkemf:13.

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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.

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

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

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

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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.

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

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

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

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

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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.

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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.

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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.

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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.

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

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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

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

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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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.

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

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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.

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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.

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

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

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2016The Demand for Divisia Money: Theory and Evidence. (2016). Ireland, Peter ; Belongia, Michael. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:937.

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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.

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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.

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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.

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

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

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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.

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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.

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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.

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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.

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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.

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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.

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

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

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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.

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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.

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

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

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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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.

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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.

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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:16046r.

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

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

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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.

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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.

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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.

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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.

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

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

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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.

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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.

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

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2016Forecasting Brazilian Inflation with High-Dimensional Models. (2016). Medeiros, Marcelo ; Freitas, Eduardo ; Vasconcelos, Gabriel . In: Brazilian Review of Econometrics. RePEc:sbe:breart:v:36:y:2016:i:2:a:52273.

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

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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.

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

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

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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.

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

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

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2016Term Structure of Uncertainty in the Macroeconomy. (2016). Borovicka, J ; Hansen, L P. In: Handbook of Macroeconomics. RePEc:eee:macchp:v2-1641.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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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.

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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.

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

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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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.

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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..

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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.

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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.

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

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

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

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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.

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

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

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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.

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

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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.

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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.

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

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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.

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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.

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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.

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

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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.

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

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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.

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

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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.

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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.

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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.

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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.

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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.

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

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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.

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

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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.

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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.

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

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

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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.

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

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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.

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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.

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

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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.

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

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

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2016Extreme risk interdependence. (2016). Polanski, Arnold ; Stoja, Evarist . In: ESRB Working Paper Series. RePEc:srk:srkwps:201612.

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2016Are American and European equity markets in phase? --- Frequency aspects of return and volatility spillovers. (2016). Schmidbauer, Harald ; Erkol, Narod ; Uluceviz, Erhan ; Rosch, Angi . In: EcoMod2016. RePEc:ekd:009007:9559.

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2016Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events. (2016). McAleer, Michael ; Allen, David ; Singh, A K ; Powell, R J. In: Econometric Institute Research Papers. RePEc:ems:eureir:98037.

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2016The connectedness between crude oil and financial markets: Evidence from implied volatility indices. (2016). Aktham, Maghyereh ; Cherif, Guermat ; Awartani, Basel . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:4:y:2016:i:1:p:56-69.

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2016Information Flow Between Forward and Spot Markets: Evidence From the Chinese Renminbi. (2016). Yang, Jian ; Wang, Zijun . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:36:y:2016:i:7:p:695-718.

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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.

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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.

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

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

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

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

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

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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.

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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.

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

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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.

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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.

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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.

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

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

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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.

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

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

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

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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.

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

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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.

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

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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.

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

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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.

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

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

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

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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.

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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.

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

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

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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.

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2016Semiparametric estimation of moment condition models with weakly dependent data. (2016). Jacho-Chávez, David ; Chu, Ba ; Bravo, Francesco ; Jacho-Chavez, David . In: MPRA Paper. RePEc:pra:mprapa:79686.

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

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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.

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

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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.

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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.

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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.

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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.

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

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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.

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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.

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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.

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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.

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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.

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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.

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

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

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2016Obesity and Health-Care Costs in Switzerland: Dealing with Endogeneity in Non-Linear Regression Models. (2016). Meyer, Stefan. In: Swiss Journal of Economics and Statistics (SJES). RePEc:ses:arsjes:2016-iii-3.

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

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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.

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2016Demographics and the Behavior of Interest Rates. (2016). Favero, Carlo ; 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.

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

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2016EXISTENCE AND CHARACTERIZATION OF CONDITIONAL DENSITY PROJECTIONS. (2016). Ragusa, Giuseppe ; Komunjer, Ivana . In: Econometric Theory. RePEc:cup:etheor:v:32:y:2016:i:04:p:947-987_00.

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2016Stress Testing with Misspecified Models. (2016). Bidder, Rhys ; Giacomini, Raffaella ; McKenna, Andrew . In: Working Paper Series. RePEc:fip:fedfwp:2016-26.

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

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2016Redistribution and Transmission Mechanisms of Income Inequality – Panel Analysis of the Affluent OECD Countries. (2016). Author-Email, Kosta Josifidis ; Supic, Novica . In: Panoeconomicus. RePEc:voj:journl:v:63:y:2016:i:2:p:231-258.

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

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

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2016MCMC confidence sets for identified sets. (2016). Chen, Xiaohong ; Tamer, Elie ; O'Hara, Keith ; Christensen, Timothy M. In: CeMMAP working papers. RePEc:ifs:cemmap:28/16.

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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.

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2016Characterizations of identified sets delivered by structural econometric models. (2016). Chesher, Andrew ; Rosen, Adam . In: CeMMAP working papers. RePEc:ifs:cemmap:44/16.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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 ; Bollerslev, Tim . In: CREATES Research Papers. RePEc:aah:create:2016-10.

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

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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.

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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.

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2016Robust Factor Models with Explanatory Proxies. (2016). Fan, Jianqing ; Liao, Yuan ; Ke, Yuan. In: Papers. RePEc:arx:papers:1603.07041.

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

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

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

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2016Confi dence Intervals for Projections of Partially Identi fied Parameters. (2016). Stoye, Jörg ; Molinari, Francesca ; Kaido, Hiroaki. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2016-001.

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

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

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

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

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2016Production Function Estimation with Measurement Error in Inputs. (2016). De Loecker, Jan ; Collard-Wexler, Allan . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11399.

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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.

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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.

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

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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.

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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.

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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.

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

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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.

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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.

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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.

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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.

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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.

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

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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.

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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.

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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.

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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.

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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.

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

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

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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.

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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.

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

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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.

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

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

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2016Services Trade Policy and Manufacturing Productivity: The Role of Institutions. (2016). Hoekman, Bernard ; Fiorini, Matteo ; Beverelli, Cosimo . In: Working Papers. RePEc:erg:wpaper:1012.

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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.

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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.

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

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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.

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

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

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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.

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2016Returns to Education: The Causal Effects of Education on Earnings, Health and Smoking. (2016). Veramendi, Gregory ; Humphries, John ; Heckman, James. In: Working Papers. RePEc:hka:wpaper:2016-014.

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

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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.

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

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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.

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2015Iterative Bias Correction Procedures Revisited: A Small Scale Monte Carlo Study. (2015). Juodis, Artūras. In: UvA-Econometrics Working Papers. RePEc:ame:wpaper:1502.

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

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

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

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2015Convergence of the risk for nonparametric IV quantile regression and nonparametric IV regression with full independence. (2015). Dunker, Fabian . In: Papers. RePEc:arx:papers:1511.03977.

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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.

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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.

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

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

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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.

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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.

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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.

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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.

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

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

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

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

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2015Nonlinear Panel Data Estimation via Quantile Regression. (2015). Arellano, Manuel ; Bonhomme, Stephane . In: Working Papers. RePEc:cmf:wpaper:wp2015_1505.

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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.

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

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

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

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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.

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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.

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

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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.

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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.

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

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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

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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.

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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.

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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.

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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.

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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.

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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.

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

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

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

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

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

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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.

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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.

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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.

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

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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.

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

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

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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.

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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.

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

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2014Distributional Linkages between European Sovereign Bond and Bank Asset Returns. (2014). Mencia, Javier ; Galvez, Julio. In: Working Papers. RePEc:cmf:wpaper:wp2014_1407.

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2014Testing a Large Number of Hypotheses in Approximate Factor Models. (2014). Repetto, Luca ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2014_1410.

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

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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.

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

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

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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

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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.

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

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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.

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

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2013Evaluating early warning indicators of banking crises: Satisfying policy requirements. (2013). Drehmann, Mathias ; Juselius, Mikael . In: BIS Working Papers. RePEc:bis:biswps:421.

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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.

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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.

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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.

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2013Approximate p-Values of Certain Tests Involving Hypotheses About Multiple Breaks. (2013). Hall, Alastair ; Alastair, Hall ; Nikolaos, Sakkas . In: Journal of Econometric Methods. RePEc:bpj:jecome:v:2:y:2013:i:1:p:53-67:n:5.

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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.

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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.

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2013Do Firms Benefit from Active Labour Market Policies?. (2013). Wunsch, Conny ; Lechner, Michael ; Scioch, Patrycja . In: Working papers. RePEc:bsl:wpaper:2013/11.

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2013The effect of firms partial retirement policies on the labour market outcomes of their employees. (2013). Wunsch, Conny ; Lechner, Michael ; Huber, Martin. In: Working papers. RePEc:bsl:wpaper:2013/12.

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2013Do Long-term Unemployed Workers Benefit from Targeted Wage Subsidies?. (2013). Wunsch, Conny ; Lechner, Michael ; Schunemann, Benjamin . In: Working papers. RePEc:bsl:wpaper:2013/14.

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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.

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2013Do Firms Benefit from Active Labour Market Policies?. (2013). Wunsch, Conny ; Lechner, Michael ; Scioch, Patrycja . In: CESifo Working Paper Series. RePEc:ces:ceswps:_4392.

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2013Heterogeneous Sports Participation and Labour Market Outcomes in England. (2013). Lechner, Michael ; Downward, Paul. In: CESifo Working Paper Series. RePEc:ces:ceswps:_4434.

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2013After-School Care and Parents Labor Supply. (2013). Thiemann, Petra ; Lechner, Michael ; Felfe, Christina . In: CESifo Working Paper Series. RePEc:ces:ceswps:_4487.

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2013The relative importance of the service sector in the mexican economy: A time series Analysis. (2013). Castillo, Ramon ; Rodriguez, Maria . In: REVISTA LECTURAS DE ECONOMÍA. RePEc:col:000174:014726.

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2013Consumption, Income Changes and Heterogeneity: Evidence from Two Fiscal Stimulus Programmes. (2013). Surico, Paolo ; Misra, Kanishka . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9530.

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2013Eurozone Sovereign Yield Spreads and Diverging Economic Fundamentals. (2013). Beber, Alessandro ; Brandt, Michael ; Luisi, Maurizio . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9538.

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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.

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2013Do Firms Benefit from Active Labour Market Policies?. (2013). Wunsch, Conny ; Lechner, Michael ; Scioch, Patrycja . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9642.

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2013Heterogeneous sports participation and labour market outcomes in England. (2013). Lechner, Michael ; Downward, Paul. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9701.

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2013After-school care and parents’ labor supply. (2013). Thiemann, Petra ; Lechner, Michael ; Felfe, Christina . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9757.

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2013New Insights on the US OIS Spreads Term Structure During the Recent Financial Turmoil. (2013). MORANA, CLAUDIO. In: CeRP Working Papers. RePEc:crp:wpaper:137.

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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.

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2013Optimal Uniform Convergence Rates for Sieve Nonparametric Instrumental Variables Regression. (2013). Christensen, Timothy ; Chen, Xiaohong. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1923.

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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.

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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.

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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.

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2013A New Index of Financial Conditions. (2013). Koop, Gary ; Korobilis, Dimitris ; Gary, Koop ; Dimitris, Korobilis . In: SIRE Discussion Papers. RePEc:edn:sirdps:475.

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2013Forecasting Binary Outcomes. (2013). Lahiri, Kajal ; Yang, Liu . In: Handbook of Economic Forecasting. RePEc:eee:ecofch:2-1025.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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2013Least squares estimators for discretely observed stochastic processes driven by small Lévy noises. (2013). Long, Hongwei ; Shimizu, Yasutaka ; Sun, Wei. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:116:y:2013:i:c:p:422-439.

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2013Dynamic relationship between precious metals. (2013). Sensoy, Ahmet ; Şensoy, Ahmet. In: Resources Policy. RePEc:eee:jrpoli:v:38:y:2013:i:4:p:504-511.

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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.

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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.

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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.

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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.

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2013A proposal for an open-source financial risk model. (2013). Hwang, Jong Ho . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:59298.

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