Title | Authors | Year | JEL Codes |
---|
Cointegration without Unit Roots | Duffy, J., Simons, J. | [2023] | C01 C32 C40 C80 |
Estimating Time-Varying Networks for High-Dimensional Time Series | Chen, J., Li, D., Li, Y., Linton, O. B.
| [2022] | C13 C14 C32 C38 |
Conditional Heteroskedasticity in the Volatility of Asset Returns | Ding, Y.
| [2021] | C22 C32 C53 C58 G17 |
Score-Driven Time Series Models | Harvey, A. | [2021] | C22 C32 |
Regime Switching Models for Directional and Linear Observations | Harvey, A. and Palumbo, D. | [2021] | C22 C32 |
Covid-19 Fiscal Support and its Effectiveness | Chudik, A., Mohaddes, K. and Raissi, M. | [2021] | C32 E44 E62 F44 |
Time Series Modeling of Epidemics: Leading Indicators, Control Groups and Policy Assessment | Harvey, A. C. | [2021] | C22 C32 |
Augmented Real-Time GARCH: A Joint Model for Returns, Volatility and Volatility of Volatility | Ding, Y. | [2021] | C22 C32 C53 C58 |
A Counterfactual Economic Analysis of Covid-19 Using a Threshold Augmented Multi-Country Model | Chudik, A., Mohaddes, K., Pesaran, M. H., Raissi, M. and Rebucci, A. | [2020] | C32 E44 F44 |
When is the Fiscal Multiplier High? A Comparison of Four Business Cycle Phases | Berge, T., De Ridder, M. and Pfajfar, D. | [2020] | E62 C31 C32 |
Diffusion Limits of Real-Time GARCH | Ding, Y. | [2020] | C22 C32 C58 |
Cost Pass-through in the British Wholesale Electricity Market | Guo, B., Castagneto Gissey, G. | [2019] | L13 Q48 D41 H23 C32 |
Semiparametric Single-index Predictive Regression | Zhou, W., Gao, J., Harris, D. and Kew, H. | [2019] | C13 C14 C32 C51 |
European Gas Markets, Trading Hubs, and Price Formation: A Network Perspective | Woroniuk, D., Karam, A., Jamasb, T. | [2019] | C32 F18 Q43 Q47 Q48 |
Some Dynamic and Steady-State Properties of Threshold Autoregressions with Applications to Stationarity and Local Explosivity | Ahmed, M. F. and Satchell, S. | [2019] | C22 C32 C53 |
Estimating Nominal Interest Rate Expectations: Overnight Indexed Swaps and the Term Structure | Lloyd, S. P. | [2017] | C32 C58 E43 E47 G12 |
Oil Prices and the Global Economy: Is It Different This Time Around? | Mohaddes, K. and Pesaran, M. H. | [2016] | C32 E17 E32 F44 F47 O51 Q43 |
China's Slowdown and Global Financial Market Volatility: Is World Growth Losing Out? | Cashin, P., Mohaddes, K. and Raissi, M. | [2016] | C32 E32 F44 O53 |
The U.S. Oil Supply Revolution and the Global Economy | Mohaddes, K. and Raissi, M. | [2016] | C32 E17 F44 F47 O13 Q43 |
An investigation into Multivariate Variance Ratio Statistics
and their application to Stock Market Predictability | Hong, S. Y., Linton, O. and Zhang, H. J. | [2015] | C10 C32 G10 G12 |
Country-Specific Oil Supply Shocks and the Global Economy: A Counterfactual Analysis | Mohaddes, K. and Pesaran, M. | [2015] | C32 E17 F44 F47 O53 Q43 |
Estimating the Spot Covariation of Asset Prices - Statistical Theory and Empirical Evidence | Bibinger, M., Hautsch, N., Malec , P. and Reiss, M. | [2014] | C58 C14 C32 |
Multivariate Variance Ratio Statistics | Hong, S. Y., Linton, O. and Zhang , H. J. | [2014] | C10 C32 G10 G12 |
Assessing Interbank Connectedness Using Transmission Decomposition Techniques: an Application to Eurozone SIFIs | Muijsson, C. | [2014] | C320 F360 F370 G210 |
Fair Weather or Foul? The Macroeconomic Effects of El Niño | Cashin, P., Mohaddes, K. and Raissi, M. . | [2014] | C32 E17 E32 F44 F47 Q11 Q41 |
Theory and Practice of GVAR Modeling | Chudik, A. and Pesaran, H. | [2014] | C32 E17 |
The Global Impact of the Systemic Economies and MENA Business Cycles | Cashin, P., Mohaddes, K. and Raissi, M. | [2012] | C32 E17 E32 F44 O53 Q41 |
The Differential Effects of Oil Demand and Supply Shocks on the Global Economy | Cashin, P., Mohaddes, K., Raissi, M. and Raissi, M. | [2012] | C32 E17 F44 F47 Q41 |
An Empirical Growth Model for Major Oil Exporters | Esfahani, H., Mohaddes, K. and Pesaran, M. H. | [2012] | C32 C53 E17 F43 F47 Q32 |
Exponent of Cross-sectional Dependence: Estimation and Inference | Bailey, N., Kapetanios, G. and Pesaran, M. H. | [2012] | C21 C32 |
The role of credit in international business cycles | Xu, T. | [2012] | C32 G21 E44 E32 |
Oil Prices, External Income, and Growth: Lessons from Jordan | Mohaddes, K. and Raissi, M. | [2011] | C32 C53 E17 F43 F47 Q32 |
China's Emergence in the World Economy and Business Cycles in Latin America | Cesa-Bianchi, A., Pesaran, M., Rebuccih, . A. and Xu, T. | [2011] | C32 F44 E32 O54 |