Search Results

Optimal Size Government and Economic Growth in EU Countries,
Francesco Forte and Cosimo Magazzino, in Economia politica (2011)
Keywords: C22, E62, H60, O40

LARCH, leverage, and long memory,
Liudas Giraitis, Remigijus Leipus, Peter M. Robinson and Donatas Surgailis, from London School of Economics and Political Science, LSE Library (2004)
Keywords: JEL classification code : C22

Modeling Cyclical Asymmetries in GDP: International Evidence,
José Cancelo and Estefanía Mourelle, in Atlantic Economic Journal (2005)
Keywords: E32, C22, E37,

Testing the Power of a Generalization of the KPSS-Tests against Fractionally Integrated Hypotheses,
Luis Gil-Alana, in Computational Economics (2003)
Keywords: C12, C15, C22,

Marginal Likelihood for Markov-Switching and Change-Point Garch Models,
Luc Bauwens, Arnaud Dufays and Jeroen Rombouts, from CIRANO (2011)
Keywords: C11, C15, C22, C58,

Convergence among five industrial countries (1870–1994): Results from a time varying cointegration approach,
Yannick Le Pen, in Empirical Economics (2005)
Keywords: Cointegration, convergence, O40, C22,

A time series analysis of U.S. metropolitan and non-metropolitan income divergence,
George Hammond, in The Annals of Regional Science (2006)
Keywords: C22, R11, O18,

Law of one price: evidence from the Spanish wheat market,
Pedro Pérez-Pascual and Basilio Sanz-Carnero, in The Annals of Regional Science (2011)
Keywords: C22, E32, F15, Q10,

A comparison of vector autoregressive forecasting performance: spatial versus non-spatial Bayesian priors,
James LeSage and Bryce Cashell, in The Annals of Regional Science (2015)
Keywords: C11, C22, R11,

Regional convergence or divergence in China? Evidence from unit root tests with breaks,
Pei-Chien Lin, Chun-Hung Lin and I-Ling Ho, in The Annals of Regional Science (2013)
Keywords: O53, R11, C22, C23,

Stochastic convergence in the industrial sector of the Mexican states,
Josep Carrion-i-Silvestre and Vicente German-Soto, in The Annals of Regional Science (2010)
Keywords: C22, C32, O40, R11,

How does real estate market react to the iron ore boom in Australian capital cities?,
Zheng Zheng Li and Chi-Wei Su, in The Annals of Regional Science (2023)
Keywords: C22, O13, Q33, R31

Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach,
Cathy W. S. Chen, Mike K. P. So and Thomas C. Chiang, in The Japanese Economic Review (2016)
Keywords: C11, C22, C51, C52

Does purchasing power parity survive political shocks in South Africa?,
Brian Kahn and Ashok Parikh, in Review of World Economics (Weltwirtschaftliches Archiv) (1998)
Keywords: F31, C22, C32,

An econometric analysis of the main components of M3 in the Euro area,
Alessandro Calza, Alexander Jung and Livio Stracca, in Review of World Economics (Weltwirtschaftliches Archiv) (2000)
Keywords: C22, C32, E41,

Has the Canada-US trade agreement fostered price integration?,
R. Moodley, William Kerr and Daniel Gordon, in Review of World Economics (Weltwirtschaftliches Archiv) (2000)
Keywords: C22, F14, F15,

Droht eine Immobilienpreisblase in Deutschland?,
Philipp Meulen and Martin Micheli, in Wirtschaftsdienst (2013)
Keywords: C22, R30, R32,

Testing for Bubbles in Housing Markets: New Results Using a New Method,
José Eduardo Gómez, Jair Ojeda-Joya, Catalina Rey Guerra and Natalia Sicard, from Banco de la Republica (2013)
Keywords: C22, G12, R31

Unit Root Investigation of Greek Real Money Supply and GDP,
Christos Karpetis, Erotokritos Varelas and Spyros Zikos, in International Advances in Economic Research (2006)
Keywords: C12, C13, C22, C52,

The dynamic relationship between stock market indexes and foreign exchange,
Maria Teresa Garcia and Ana Catarina Gomes Rodrigues, from ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa (2019)
Keywords: G15; C22; C51; C52

On Nominal and Real Devaluations Relation: An Econometric Evidence for Pakistan,
Muhammad Shahbaz, in International Journal of Applied Econometrics and Quantitative Studies (2009)
Keywords: F10, C20, C22

Parameter instability, superexogeneity, and the monetary model of the exchange rate,
Guglielmo Maria Caporale and Nikitas Pittis, in Review of World Economics (Weltwirtschaftliches Archiv) (2001)
Keywords: C22, C32, F30, F41,

House prices and tourism development in Cyprus: A contemporary perspective,
Andrew Alola, Simplice Asongu and Uju Alola, from African Governance and Development Institute. (2019)
Keywords: C22; O50; R31

Does public investment crowd-out private investment in India,
Shanmugam Muthu, in Journal of Financial Economic Policy (2017)
Keywords: Econometrics, Public economics, E62, C22

An Econometric Analysis of the Determinants of Fertility for China, 1952-2000,
Paresh Narayan and Xiujian Peng, in Journal of Chinese Economic and Business Studies (2006)
Keywords: JEL Classifications: J13, C22, C52,

European Climate Policy Effectiveness: Convergence Analysis for per Capita CO2 Emissions,
Dionisio Ramírez-Carrera, Gemma Durán-Romero and José Antonio Negrín Peña, in International Advances in Economic Research (2022)
Keywords: C22, C23, O44, Q54, Q58

Unit and fractional roots in the presence of abrupt changes with an application to the brazilian inflation rate,
Luis A. Gil-Alanaa, in Empirical Economics (2005)
Keywords: Long memory, Fractional integration, C22,

Influence of psychological exchange rates (PER) on forex price formation: theory, empirical, and experimental evidence,
M’bakob Gilles Brice and Mandeng ma Ntamack Jules, in SN Business & Economics (2024)
Keywords: F31, G15, C22, C53, D84

Measuring the correlation of shocks between the EU15 and the new member countries,
Stephen Hall and George Hondroyiannis, in Economic Change and Restructuring (2006)
Keywords: Business cycle, GARCH, E32, C22,

Are exports and imports of Saudi Arabia cointegrated? An empirical study,
M.I. Haque, in Applied Econometrics and International Development (2015)
Keywords: C22, C 87, F14, 024, O53

Stock returns, illiquidity and feedback trading,
Jing Chen and David G. McMillan, in Review of Accounting and Finance (2020)
Keywords: Liquidity, Stock returns, Feedback, C22, G12

International reserves and domestic money market disequilibrium,
Shibananda Nayak and Mirza Allim Baig, in International Journal of Emerging Markets (2019)
Keywords: Macroeconomics, Finance, Emerging economies, F31, E51, C22

The Dynamic Relationship Between Private Domestic Investment, the User Cost of Capital, Public Investment, Foreign Direct Investment and Economic Growth in Malaysia,
Bee Wah Tan and Chor Foon Tang, in Economia politica (2012)
Keywords: J.E.L. C22, E22, O16, O53

Conditional Variances in UK Regional House Prices,
Geoff Willcocks, in Spatial Economic Analysis (2010)
Keywords: UK regions, house prices, GARCH, C22, R12,

A note on the long-run elasticities from the energy consumption-GDP relationship,
Paresh Narayan, Seema Narayan and Stephan Popp, in Applied Energy (2010)
Keywords: C22 Energy consumption Real GDP Long-run

Long run and cyclical strong dependence in macroeconomic time series: Nelson and Plosser revisited,
Luis Gil-Alana, in Empirica (2007)
Keywords: Fractional integration, Cyclical behaviour, Long memory, C22,

Bootstrap methods for single structural change tests: power versus corrected size and empirical illustration,
Jamel Jouini, in Statistical Papers (2010)
Keywords: Break date, Bootstrap techniques, Graphical methods, C22,

Non-linear cointegration and adjustment: an asymmetric exponential smooth-transition model for US interest rates,
David McMillan, in Empirical Economics (2008)
Keywords: Asymmetric adjustment, Cointegration, Interest rates, C22, G12,

Macroeconomic conditions, institutional factors and demographic structure: What causes welfare caseloads?,
Luis Ayala and César Pérez, in Journal of Population Economics (2005)
Keywords: I30, I38, C22, Welfare, poverty, cointegration,

An Out-of-Sample Test for Nonlinearity in Financial Time Series: An Empirical Application,
Theodore Panagiotidis, in Computational Economics (2010)
Keywords: Nearest neighbour, Nonlinearity, C22, C53, G10,

Testing for deterministic and stochastic cycles in macroeconomic time series,
Guglielmo Maria Caporale and Luis Gil-Alana, in Empirica (2007)
Keywords: Deterministic cycles, Stochastic cycles, Long memory, C22,

Testing for unit and fractional orders of integration in the trend and seasonal components of US monetary aggregates,
Guglielmo Maria Caporale and Luis Gil-Alana, in Empirica (2008)
Keywords: Seasonality, Long memory, Monetary aggregates, C15, C22,

Long memory at the long run and at the cyclical frequencies: modelling real wages in England, 1260–1994,
Guglielmo Maria Caporale and Luis Gil-Alana, in Empirical Economics (2006)
Keywords: Gegenbauer processes, Fractional cycles, Long memory, C22,

Long memory in US real output per capita,
Guglielmo Maria Caporale and Luis Gil-Alana, in Empirical Economics (2013)
Keywords: Fractional integration, Long memory, Convergence, C22, O40,

Nonlinear adjustment effects in the purchasing power parity,
Andrew Phiri, in Journal of Economics and Econometrics (2017)
Keywords: B22, C22, C32, E31, E58, F31.

Nonlinear adjustment effects in the purchasing power parity,
Andrew Phiri, from Economics and Econometrics Research Institute (EERI), Brussels (2017)
Keywords: B22, C22, C32, E31, E58, F31.

Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form,
Anne Peguin-Feissolle, Birgit Strikholm and Timo Teräsvirta, from HAL (2013)
Keywords: C22, C51, Granger Causality, Hypothesis Testing, Nonlinearity

The stability of demand for money in the proposed Southern African Monetary Union,
Simplice Asongu, Oludele Folarin and Nicholas Biekpe, in International Journal of Emerging Markets (2019)
Keywords: Bounds test, Demand for money, Stable, E41, C22

Market dynamics, cyclical patterns and market states,
Azza Bejaoui, Salim Ben Sassi and Jihed Majdoub, in Studies in Economics and Finance (2019)
Keywords: Regime switching, Volatility, Cryptocurrencies, Bull and bear markets, C5, C22, G1

Interrelation and spillover effects between stocks and bonds: cross-market and cross-asset evidence,
David G. McMillan, in Studies in Economics and Finance (2020)
Keywords: Causality, Volatility, Correlation, VAR, Returns, Bonds, Spillovers, Stocks, C22, G12

The time-varying correlation between cryptocurrency policy uncertainty and cryptocurrency returns,
Yunus Karaömer, in Studies in Economics and Finance (2022)
Keywords: Cryptocurrencies, Cryptocurrency policy uncertainty, DCC-GARCH, C22, D80, G19

Analysis of the effects of (de)regulation on housing prices in Spain 1977–2019,
Virginia De Jorge-Huertas and Justo De Jorge-Moreno, in Journal of Economic Studies (2020)
Keywords: Housing prices, Interrupted time series, Regulation, C22, E30

Modelling non-linear behaviour of block price deviations when trades are executed outside the bid-ask quotes,
Andros Gregoriou, in Journal of Economic Studies (2017)
Keywords: Bid-ask quotes, Block prices, STAR models, G10, C22

Cointegration between stock prices, dividends, output and consumption,
Angela Black, David G. McMillan and Fiona J. McMillan, in Review of Accounting and Finance (2015)
Keywords: Cointegration, Forecasting, Consumption, Dividends, Output, Stock prices, C22, G12

Revisiting the numerical solution of stochastic differential equations,
Stan Hurn, Kenneth A. Lindsay and Lina Xu, in China Finance Review International (2019)
Keywords: Monte Carlo simulation, Stochastic differential equations, C22, C52

Integration between East and Southeast Asian equity markets,
Nuruzzaman Arsyad, in Journal of Financial Economic Policy (2015)
Keywords: Economic integration, Financial aspects of economic integration, C22, F36, G15

THE STOCHASTIC COMPONENT OF REALIZED VOLATILITY,
Wai Mun Fong and Wing-Keung Wong, in Annals of Financial Economics (AFE) (2006)
Keywords: Realized volatility, trading volume, autoregressive models, ARCH, C22, G10

COMMON FEATURES IN EAST ASIAN STOCK MARKETS: LONG-TERM AND SHORT-TERM COMOVEMENTS BETWEEN CHINA AND KOREA,
Hahn Lee and Soo In Kim, in The Singapore Economic Review (SER) (2013)
Keywords: Cofeature, cointegration, comovement, QDII, QFII, G15, C22, C32

Estimating the Long-Memory Parameter in Nonstationary Processes Using Wavelets,
Heni Boubaker and Anne Peguin-Feissolle, from HAL (2013)
Keywords: C13, C22, long memory, Nonstationarity, Wavelet analysis, Whittle estimation

The nexus between financial development and poverty reduction in Egypt,
Vivian Bushra Kheir, in Review of Economics and Political Science (2018)
Keywords: Poverty, Egypt, ARDL, Financial development, G20, E40, D90, C22

A long-memory analysis for the CBOE Brazil ETF volatility index,
Edson Zambon Monte, in International Journal of Emerging Markets (2022)
Keywords: Volatility index, CBOE, Brazil, Long memory, C22, G10, G15

Impact of terrorism on stock markets across the world and stock returns,
Laila Memdani and Guruprasad Shenoy, in Journal of Financial Crime (2019)
Keywords: Terrorism, ARDL model, Stock market indices, C22, D53, E44, F65

Forecasting value-at-risk and expected shortfall in emerging market: does forecast combination help?,
Trung Hai Le, in Journal of Risk Finance (2024)
Keywords: Value at risk, Expected shortfall, Forecast combination, C22, E47, G17

THE EFFICIENT MARKET HYPOTHESIS REVISITED: EVIDENCE FROM THE FIVE SMALL OPEN ASEAN STOCK MARKETS,
Qaiser Munir, Kok Sook Ching, Fumitaka Furouka and Kasim Mansur, in The Singapore Economic Review (SER) (2012)
Keywords: Efficient market hypothesis, threshold autoregressive model, unit root, C22, C52

Evaluation of USDA's Broadband Loan Program: Impacts on broadband provision,
Robert Dinterman and Mitch Renkow, in Telecommunications Policy (2017)
Keywords: H81; C22; O33; R11; P25; Broadband; Diffusion; Rural; Program evaluation;

Purchasing power parity in GIIPS countries: evidence from unit root tests with breaks and non-linearity,
Saban Nazlioglu, Mehmet Altuntas, Emre Kilic and Ilhan Kucukkkaplan, in Applied Economic Analysis (2021)
Keywords: PPP, Unit root tests, Real exchange rate, GIIPS, C22, F31

Asymmetric effects of exchange rate on money demand in Nigeria: evidence from the new broad money aggregate (M3),
Udoma Johnson Afangideh, Tuwe Soro Garbobiya, Farida Bello Umar, Nuruddeen Usman, Victor Unekwu Ocheni and Sanusi Muhammad Yakubu, in African Journal of Economic and Management Studies (2021)
Keywords: Money demand, Asymmetries, Exchange rate, NARDL model, C22, E40, F31

Estimating the magnitude of money laundering in the United Arab Emirates (UAE): evidence from the currency demand approach (CDA),
Mariam Aljassmi, Awadh Ahmed Mohammed Gamal, Norasibah Abdul Jalil, Joseph David and K. Kuperan Viswanathan, in Journal of Money Laundering Control (2023)
Keywords: Money laundering, Currency demand approach, ARDL, the UAE, C22, E41, K42

Untangling the nonlinear “knots” of UK’s housing prices,
Constantinos Alexiou and Sofoklis Vogiazas, in Journal of Economic Studies (2019)
Keywords: UK, Housing prices, Nonlinear autoregressive distributed lag, C22, R21, R31

The day-of-the-week effect: South African stock market indices,
Elda du Toit, John Henry Hall and Rudra Prakash Pradhan, in African Journal of Economic and Management Studies (2018)
Keywords: Volatility, GARCH, Day-of-the-week effect, JSE indices, C22, G10, G12

EXCHANGE RATE MISALIGNMENT AND ECONOMIC GROWTH: EVIDENCE FROM PAKISTAN'S RECENT FLOAT,
Muhammad Zakaria, in The Singapore Economic Review (SER) (2010)
Keywords: Real exchange rate, misalignment, output growth, C13, C22, F41, O41

Time variation in the cointegrating relationship between stock prices and economic activity,
David McMillan, in International Review of Applied Economics (2005)
Keywords: Stock Prices, cointegration, time variation, JEL Classification: C22, G12,

Real exchange rate volatility and domestic consumption in Ghana,
Bernard Njindan Iyke and Sin-Yu Ho, in Journal of Risk Finance (2018)
Keywords: Ghana, Exchange rate volatility, Domestic consumption, E31, F31, C22

Does electricity consumption panel Granger cause GDP? A new global evidence,
Paresh Narayan, Seema Narayan and Stephan Popp, in Applied Energy (2010)
Keywords: C22 Real GDP Electricity consumption Panel Granger causality

Cointegrated market-neutral strategy for basket trading,
Philip L.H. Yu and Renjie Lu, in International Review of Economics & Finance (2017)
Keywords: Basket trading; Pairs trading; Cointegration; Market neutral; C22; G12;

An I() model with trend and cycles,
Karim M. Abadir, Walter Distaso and Liudas Giraitis, from HAL (2011)
Keywords: C22,Fractional integration,Trend,Cycle,Nonlinear process,Whittle objective function

Does defence expenditure deter economic growth in Turkey? A cointegration analysis,
Erdal Karagol and Serap Palaz, in Defence and Peace Economics (2004)
Keywords: Defence, Cointegration, Turkey, JEL codes: C22; C32, H56,

DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL,
Mukhtar Ali, in Econometric Reviews (2002)
Keywords: Unit root, Saddlepoint approximation, Asymptotic expansion, JEL Classification: C13, C22,

ESTIMATION OF THE VECTOR MOVING AVERAGE MODEL BY VECTOR AUTOREGRESSION,
John Galbraith, Aman Ullah and Victoria Zinde-Walsh, in Econometric Reviews (2002)
Keywords: Vector autoregression, Vector moving average, JEL Classification: , C12, C22,

TESTING FOR PERIODIC STATIONARITY,
Eiji Kurozumi, in Econometric Reviews (2002)
Keywords: Periodic stationarity, Periodic integration, Hypothesis testing, JEL Classification , C22, C32,

Gaussian estimation of parametric spectral density with unknown pole,
L Giraitis, J Hidalgo and Peter M. Robinson, from London School of Economics and Political Science, LSE Library (2001)
Keywords: Long range dependence; unknown pole. JEL classification code : C22

The J-curve effect in agricultural commodity trade: an empirical study of South East Asian economies,
Ivan D. Trofimov, in Review of Economics and Political Science (2024)
Keywords: J-curve, Agriculture, Nonlinear ARDL, Cointegration, Q17, C22, F14

Model selection in time series analysis: using information criteria as an alternative to hypothesis testing,
R. Scott Hacker and Abdulnasser Hatemi-J, in Journal of Economic Studies (2021)
Keywords: Time series, Model selection, Information criterion, C22, C32, C52

Trade misinvoicing and domestic resource mobilization in Nigeria,
Joshua Afolabi, in International Journal of Development Issues (2022)
Keywords: Trade misinvoicing, Domestic resource mobilization, Dols, Nigeria, C22, E62, F21

Foreign direct investments, democracy, and economic growth in Turkey,
Nazif Durmaz, in International Journal of Social Economics (2017)
Keywords: Turkey, Democracy, ARDL, Foreign direct investment, Cointegration, C22, F14

A THRESHOLD MODEL APPROACH TO ESTIMATING THE ABNORMAL STOCK RETURNS,
Terence Tai Leung Chong, Wing Hei Mak and Isabel Kit-Ming Yan, in Annals of Financial Economics (AFE) (2013)
Keywords: Multiple threshold variables, CAPM model, bootstrapping, C12, C22, C23, G11

Causality of price movements in VIX exchange-traded products and VIX futures contracts,
Michael O'Neill and Gulasekaran Rajaguru, in Journal of Accounting Literature (2023)
Keywords: Volatility, Causality, Exchange traded products, C22, C32, G13, G14

The sustainability of fiscal policy in southern African countries–a comparative empirical perspective,
Michał Mackiewicz, in International Journal of Emerging Markets (2021)
Keywords: Southern Africa, Public debt, Fiscal sustainability, C12, C22, E62, H63

Estimating the size of the black economy: new evidence from India,
Chandan Sharma, in International Journal of Emerging Markets (2018)
Keywords: Taxation, Black economy, Currency demand, Structural break, O17, H26, C22

On the Determinants of Bitcoin Returns and Volatility: What We Get from Gets?,
Adel Benhamed, Ahlem Selma Messai and Ghassen El Montasser, in Sustainability (2023)
Keywords: Bitcoin; Gets modelling; volatility; blockchain; JEL codes: C22; C58