Title:Special issue on modern econometric analysis - surveys on recent developments Author(s):HÜBLER, Olaf; FROHN, Joachim; CHEN, Pu; BREITUNG, Jörg; EICKMEIER, Sandra; WOLTERS, Jürgen; HASSLER, Uwe; LUETKEPOHL, Helmut; HERWARTZ, Helmut; FITZENBERGER, Bernd; WILKE, Ralf A.; HÜBLER, Olaf; KAUERMANN, Göran; RONNING, Gerd; BOES, Stefan; WINKELMANN, Rainer; SCHNEEWEISS, Hans; AUGUSTIN, Thomas; CALIENDO, Marco; HUJER, Reinhard; RäSSLER, Susanne; RIPHAHN, Regina T.Date:2006Citation:
- Allgemeines statistisches Archiv, 2006, 90, 1, 1-232
Title:Macroeconomic fluctuations and the labor market Author(s):MORTENSEN, Dale; NAGYPAL, Éva; GUERRIERI, Veronica; REITER, Michael; QUADRINI, Vincenzo; TRIGARI, Antonella; RAVN, Morten O.; SIMONELLI, Saverio; YASHIV, Eran; MOSCARINI, Giuseppe; THOMSSON, Kaj; ROCHETEAU, Guillaume; RUPERT, Peter; WRIGHT, Randall; DANTHINE, Jean-Pierre; KURMANN, André; BOONE, Johnathan; WATSON, JoelDate:2007Citation:
- Scandinavian journal of economics, 2007, 109, 4, 645-903
Title:Predicting stock returns and volatility using consumption-aggregate wealth ratios : a nonlinear approach Author(s):BEKIROS, Stelios D.; GUPTA, RanganDate:2015Citation:
- Economics letters, 2015, Vol. 131, pp. 83-85
Type:ArticleAbstract:Recent empirical evidence based on a linear framework tends to suggest that a Markov-switching version of the consumption-aggregate wealth ratio (View the MathML source), developed to account for structural breaks, is a ...
Title:The role of news-based uncertainty indices in predicting oil markets : a hybrid nonparametric quantile causality method Author(s):BEKIROS, Stelios D.; BALCILAR, Mehmet; GUPTA, RanganDate:2017Citation:
- Empirical economics : Journal of the Institute for Advanced Studies, 2017, Vol. 53, No. 3, pp. 879–889
Type:ArticleAbstract:A recent strand in the literature emphasizes the role of news-based economic policy uncertainty (EPU) and equity market uncertainty (EMU) as drivers of oil price movements. Against this backdrop, this paper uses a kth-order ...
Title:Disturbances and complexity in volatility time series Author(s):LAHMIRI, Salim; BEKIROS, Stelios D.Date:2017Citation:
- Chaos, solitons & fractals, 2017, Vol. 105, pp. 38-42
Type:ArticleAbstract:Recent works in econophysics have quantitatively shown that the latest global financial crisis has considerably affected nonlinear dynamics in markets worldwide. In the current study, we focus on complexity in volatility ...
Title:Forecasting inflation uncertainty in the G7 countries Author(s):SEGNON, Mawuli; BEKIROS, Stelios D.; WILFLING, BerndDate:2018Citation:
- Econometrics, 2018, Vol. 6, No. 2, (23)
Type:ArticleAbstract:There is substantial evidence that inflation rates are characterized by long memory and nonlinearities. In this paper, we introduce a long-memory Smooth Transition AutoRegressive Fractionally Integrated Moving Average-Markov ...