Mertens, Elmar Precision-based sampling for state space models that have no measurement error. (English) Zbl 07737424 J. Econ. Dyn. Control 154, Article ID 104720, 13 p. (2023). MSC: 91B84 62D05 91B51 PDFBibTeX XMLCite \textit{E. Mertens}, J. Econ. Dyn. Control 154, Article ID 104720, 13 p. (2023; Zbl 07737424) Full Text: DOI
Leong, Soon Heng; Urga, Giovanni A practical multivariate approach to testing volatility spillover. (English) Zbl 07737404 J. Econ. Dyn. Control 153, Article ID 104694, 29 p. (2023). MSC: 91G15 91G70 PDFBibTeX XMLCite \textit{S. H. Leong} and \textit{G. Urga}, J. Econ. Dyn. Control 153, Article ID 104694, 29 p. (2023; Zbl 07737404) Full Text: DOI
Skavysh, Vladimir; Priazhkina, Sofia; Guala, Diego; Bromley, Thomas R. Quantum Monte Carlo for economics: stress testing and macroeconomic deep learning. (English) Zbl 07737401 J. Econ. Dyn. Control 153, Article ID 104680, 30 p. (2023). MSC: 91G45 91B51 68T07 81P68 68Q12 PDFBibTeX XMLCite \textit{V. Skavysh} et al., J. Econ. Dyn. Control 153, Article ID 104680, 30 p. (2023; Zbl 07737401) Full Text: DOI
Ding, Jing; Jiang, Lei; Liu, Xiaohui; Peng, Liang Nonparametric tests for market timing ability using daily mutual fund returns. (English) Zbl 1518.91256 J. Econ. Dyn. Control 150, Article ID 104635, 20 p. (2023). MSC: 91G15 62P05 62G05 PDFBibTeX XMLCite \textit{J. Ding} et al., J. Econ. Dyn. Control 150, Article ID 104635, 20 p. (2023; Zbl 1518.91256) Full Text: DOI
Zanetti Chini, Emilio Can we estimate macroforecasters’ mis-behavior? (English) Zbl 1518.91194 J. Econ. Dyn. Control 149, Article ID 104632, 16 p. (2023). MSC: 91B82 91A20 PDFBibTeX XMLCite \textit{E. Zanetti Chini}, J. Econ. Dyn. Control 149, Article ID 104632, 16 p. (2023; Zbl 1518.91194) Full Text: DOI
Fontanelli, Luca; Guerini, Mattia; Napoletano, Mauro International trade and technological competition in markets with dynamic increasing returns. (English) Zbl 1518.91137 J. Econ. Dyn. Control 149, Article ID 104619, 23 p. (2023). MSC: 91B60 60G50 PDFBibTeX XMLCite \textit{L. Fontanelli} et al., J. Econ. Dyn. Control 149, Article ID 104619, 23 p. (2023; Zbl 1518.91137) Full Text: DOI
Bianchi, Francesco; Bianchi, Giada; Song, Dongho The long-term impact of the COVID-19 unemployment shock on life expectancy and mortality rates. (English) Zbl 1518.91110 J. Econ. Dyn. Control 146, Article ID 104581, 34 p. (2023). MSC: 91B39 91D20 62P20 PDFBibTeX XMLCite \textit{F. Bianchi} et al., J. Econ. Dyn. Control 146, Article ID 104581, 34 p. (2023; Zbl 1518.91110) Full Text: DOI
Karlsson, Sune; Mazur, Stepan; Nguyen, Hoang Vector autoregression models with skewness and heavy tails. (English) Zbl 1521.62214 J. Econ. Dyn. Control 146, Article ID 104580, 20 p. (2023). MSC: 62P20 62M10 91B64 91B84 PDFBibTeX XMLCite \textit{S. Karlsson} et al., J. Econ. Dyn. Control 146, Article ID 104580, 20 p. (2023; Zbl 1521.62214) Full Text: DOI arXiv
Ge, Shuyi A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model. (English) Zbl 1518.91304 J. Econ. Dyn. Control 146, Article ID 104565, 30 p. (2023). MSC: 91G45 PDFBibTeX XMLCite \textit{S. Ge}, J. Econ. Dyn. Control 146, Article ID 104565, 30 p. (2023; Zbl 1518.91304) Full Text: DOI
Kadilli, Anjeza; Krishnakumar, Jaya Smooth transition simultaneous equation models. (English) Zbl 1518.91134 J. Econ. Dyn. Control 145, Article ID 104546, 26 p. (2022). MSC: 91B55 62P20 PDFBibTeX XMLCite \textit{A. Kadilli} and \textit{J. Krishnakumar}, J. Econ. Dyn. Control 145, Article ID 104546, 26 p. (2022; Zbl 1518.91134) Full Text: DOI
Moneta, Alessio; Pallante, Gianluca Identification of structural VAR models via independent component analysis: a performance evaluation study. (English) Zbl 1514.62327 J. Econ. Dyn. Control 144, Article ID 104530, 20 p. (2022). MSC: 62P20 62M10 62H25 PDFBibTeX XMLCite \textit{A. Moneta} and \textit{G. Pallante}, J. Econ. Dyn. Control 144, Article ID 104530, 20 p. (2022; Zbl 1514.62327) Full Text: DOI
Anatolyev, Stanislav; Pyrlik, Vladimir Copula shrinkage and portfolio allocation in ultra-high dimensions. (English) Zbl 1517.91196 J. Econ. Dyn. Control 143, Article ID 104508, 21 p. (2022). MSC: 91G10 62P05 62H05 62H12 62H20 PDFBibTeX XMLCite \textit{S. Anatolyev} and \textit{V. Pyrlik}, J. Econ. Dyn. Control 143, Article ID 104508, 21 p. (2022; Zbl 1517.91196) Full Text: DOI
Chan, Joshua C. C.; Yu, Xuewen Fast and accurate variational inference for large Bayesian VARs with stochastic volatility. (English) Zbl 1514.62203 J. Econ. Dyn. Control 143, Article ID 104505, 19 p. (2022). MSC: 62P05 62F15 62M10 PDFBibTeX XMLCite \textit{J. C. C. Chan} and \textit{X. Yu}, J. Econ. Dyn. Control 143, Article ID 104505, 19 p. (2022; Zbl 1514.62203) Full Text: DOI arXiv
Pfarrhofer, Michael Modeling tail risks of inflation using unobserved component quantile regressions. (English) Zbl 1514.62330 J. Econ. Dyn. Control 143, Article ID 104493, 19 p. (2022). MSC: 62P20 62G08 62G32 62M10 62M20 PDFBibTeX XMLCite \textit{M. Pfarrhofer}, J. Econ. Dyn. Control 143, Article ID 104493, 19 p. (2022; Zbl 1514.62330) Full Text: DOI arXiv
Vandin, Andrea; Giachini, Daniele; Lamperti, Francesco; Chiaromonte, Francesca Automated and distributed statistical analysis of economic agent-based models. (English) Zbl 1514.62332 J. Econ. Dyn. Control 143, Article ID 104458, 33 p. (2022). MSC: 62P20 62E10 62J15 62-08 PDFBibTeX XMLCite \textit{A. Vandin} et al., J. Econ. Dyn. Control 143, Article ID 104458, 33 p. (2022; Zbl 1514.62332) Full Text: DOI arXiv
Panovska, Irina; Ramamurthy, Srikanth Decomposing the output gap with inflation learning. (English) Zbl 1517.91135 J. Econ. Dyn. Control 136, Article ID 104327, 23 p. (2022). MSC: 91B64 62P20 PDFBibTeX XMLCite \textit{I. Panovska} and \textit{S. Ramamurthy}, J. Econ. Dyn. Control 136, Article ID 104327, 23 p. (2022; Zbl 1517.91135) Full Text: DOI
Belongia, Michael T.; Ireland, Peter N. A reconsideration of money growth rules. (English) Zbl 1517.91108 J. Econ. Dyn. Control 135, Article ID 104312, 27 p. (2022). MSC: 91B64 91G30 PDFBibTeX XMLCite \textit{M. T. Belongia} and \textit{P. N. Ireland}, J. Econ. Dyn. Control 135, Article ID 104312, 27 p. (2022; Zbl 1517.91108) Full Text: DOI Link
Ciola, Emanuele; Gaffeo, Edoardo; Gallegati, Mauro Search for profits and business fluctuations: how does banks’ behaviour explain cycles? (English) Zbl 1517.91093 J. Econ. Dyn. Control 135, Article ID 104292, 24 p. (2022). MSC: 91B62 91G15 91G40 PDFBibTeX XMLCite \textit{E. Ciola} et al., J. Econ. Dyn. Control 135, Article ID 104292, 24 p. (2022; Zbl 1517.91093) Full Text: DOI
Boungou, Whelsy; Hubert, Paul The channels of banks’ response to negative interest rates. (English) Zbl 1475.91369 J. Econ. Dyn. Control 131, Article ID 104228, 29 p. (2021). MSC: 91G30 PDFBibTeX XMLCite \textit{W. Boungou} and \textit{P. Hubert}, J. Econ. Dyn. Control 131, Article ID 104228, 29 p. (2021; Zbl 1475.91369) Full Text: DOI
Mohrschladt, Hannes; Schneider, Judith C. Option-implied skewness: insights from ITM-options. (English) Zbl 1475.91362 J. Econ. Dyn. Control 131, Article ID 104227, 16 p. (2021). MSC: 91G20 PDFBibTeX XMLCite \textit{H. Mohrschladt} and \textit{J. C. Schneider}, J. Econ. Dyn. Control 131, Article ID 104227, 16 p. (2021; Zbl 1475.91362) Full Text: DOI
Seibert, Armin; Sirchenko, Andrei; Müller, Gernot A model for policy interest rates. (English) Zbl 1475.91380 J. Econ. Dyn. Control 124, Article ID 104049, 18 p. (2021). MSC: 91G30 91B64 PDFBibTeX XMLCite \textit{A. Seibert} et al., J. Econ. Dyn. Control 124, Article ID 104049, 18 p. (2021; Zbl 1475.91380) Full Text: DOI
Bruns, Martin Proxy vector autoregressions in a data-rich environment. (English) Zbl 1478.62308 J. Econ. Dyn. Control 123, Article ID 104046, 37 p. (2021). MSC: 62P05 62H12 62M10 PDFBibTeX XMLCite \textit{M. Bruns}, J. Econ. Dyn. Control 123, Article ID 104046, 37 p. (2021; Zbl 1478.62308) Full Text: DOI
Zimmermann, Paul The role of the leverage effect in the price discovery process of credit markets. (English) Zbl 1475.91385 J. Econ. Dyn. Control 122, Article ID 104033, 23 p. (2021). MSC: 91G40 PDFBibTeX XMLCite \textit{P. Zimmermann}, J. Econ. Dyn. Control 122, Article ID 104033, 23 p. (2021; Zbl 1475.91385) Full Text: DOI
Chung, Hess; Fuentes-Albero, Cristina; Paustian, Matthias; Pfajfar, Damjan Latent variables analysis in structural models: a new decomposition of the Kalman smoother. (English) Zbl 1475.91176 J. Econ. Dyn. Control 125, Article ID 104097, 25 p. (2021). MSC: 91B51 91B82 PDFBibTeX XMLCite \textit{H. Chung} et al., J. Econ. Dyn. Control 125, Article ID 104097, 25 p. (2021; Zbl 1475.91176) Full Text: DOI Link
Prüser, Jan The horseshoe prior for time-varying parameter VARs and monetary policy. (English) Zbl 1475.91214 J. Econ. Dyn. Control 129, Article ID 104188, 17 p. (2021). MSC: 91B64 62P20 PDFBibTeX XMLCite \textit{J. Prüser}, J. Econ. Dyn. Control 129, Article ID 104188, 17 p. (2021; Zbl 1475.91214) Full Text: DOI
Choi, Jaehyuk; Wu, Lixin The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model. (English) Zbl 1475.91338 J. Econ. Dyn. Control 128, Article ID 104143, 21 p. (2021). MSC: 91G15 91B70 60H10 PDFBibTeX XMLCite \textit{J. Choi} and \textit{L. Wu}, J. Econ. Dyn. Control 128, Article ID 104143, 21 p. (2021; Zbl 1475.91338) Full Text: DOI arXiv
Da Fonseca, José; Malevergne, Yannick A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy. (English) Zbl 1475.91340 J. Econ. Dyn. Control 128, Article ID 104137, 34 p. (2021). MSC: 91G15 PDFBibTeX XMLCite \textit{J. Da Fonseca} and \textit{Y. Malevergne}, J. Econ. Dyn. Control 128, Article ID 104137, 34 p. (2021; Zbl 1475.91340) Full Text: DOI
Berger, Tino; Everaert, Gerdie; Pozzi, Lorenzo Testing for international business cycles: a multilevel factor model with stochastic factor selection. (English) Zbl 1475.91192 J. Econ. Dyn. Control 128, Article ID 104134, 16 p. (2021). MSC: 91B62 91B70 PDFBibTeX XMLCite \textit{T. Berger} et al., J. Econ. Dyn. Control 128, Article ID 104134, 16 p. (2021; Zbl 1475.91192) Full Text: DOI
Zens, Gregor; Böck, Maximilian; Zörner, Thomas O. The heterogeneous impact of monetary policy on the US labor market. (English) Zbl 1475.91217 J. Econ. Dyn. Control 119, Article ID 103989, 22 p. (2020). MSC: 91B64 91B39 PDFBibTeX XMLCite \textit{G. Zens} et al., J. Econ. Dyn. Control 119, Article ID 103989, 22 p. (2020; Zbl 1475.91217) Full Text: DOI
Lyócsa, Štefan; Molnár, Peter; Plíhal, Tomáš; Širaňová, Mária Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin. (English) Zbl 1475.91407 J. Econ. Dyn. Control 119, Article ID 103980, 21 p. (2020). MSC: 91G99 PDFBibTeX XMLCite \textit{Š. Lyócsa} et al., J. Econ. Dyn. Control 119, Article ID 103980, 21 p. (2020; Zbl 1475.91407) Full Text: DOI
Coroneo, Laura; Jackson, Laura E.; Owyang, Michael T. International stock comovements with endogenous clusters. (English) Zbl 1517.91199 J. Econ. Dyn. Control 116, Article ID 103904, 18 p. (2020). MSC: 91G10 91G15 62H30 PDFBibTeX XMLCite \textit{L. Coroneo} et al., J. Econ. Dyn. Control 116, Article ID 103904, 18 p. (2020; Zbl 1517.91199) Full Text: DOI
Topaloglou, Nikolas; Tsionas, Mike G. Stochastic dominance tests. (English) Zbl 1517.91207 J. Econ. Dyn. Control 112, Article ID 103849, 22 p. (2020). MSC: 91G10 60E15 62F15 PDFBibTeX XMLCite \textit{N. Topaloglou} and \textit{M. G. Tsionas}, J. Econ. Dyn. Control 112, Article ID 103849, 22 p. (2020; Zbl 1517.91207) Full Text: DOI
Mundt, Philipp; Alfarano, Simone; Milaković, Mishael Exploiting ergodicity in forecasts of corporate profitability. (English) Zbl 1517.91274 J. Econ. Dyn. Control 111, Article ID 103820, 28 p. (2020). MSC: 91G50 62P05 62M10 35Q84 PDFBibTeX XMLCite \textit{P. Mundt} et al., J. Econ. Dyn. Control 111, Article ID 103820, 28 p. (2020; Zbl 1517.91274) Full Text: DOI Link
Francetich, Alejandro; Kreps, David Choosing a good toolkit. II: Bayes-rule based heuristics. (English) Zbl 1517.91012 J. Econ. Dyn. Control 111, Article ID 103814, 19 p. (2020). MSC: 91B06 90B50 62F15 PDFBibTeX XMLCite \textit{A. Francetich} and \textit{D. Kreps}, J. Econ. Dyn. Control 111, Article ID 103814, 19 p. (2020; Zbl 1517.91012) Full Text: DOI
Hollmayr, Josef; Kühl, Michael Learning about banks’ net worth and the slow recovery after the financial crisis. (English) Zbl 1425.91443 J. Econ. Dyn. Control 109, Article ID 103776, 39 p. (2019). MSC: 91G99 91B64 91B51 PDFBibTeX XMLCite \textit{J. Hollmayr} and \textit{M. Kühl}, J. Econ. Dyn. Control 109, Article ID 103776, 39 p. (2019; Zbl 1425.91443) Full Text: DOI Link
Kapetanios, George; Masolo, Riccardo M.; Petrova, Katerina; Waldron, Matthew A time-varying parameter structural model of the UK economy. (English) Zbl 1425.91271 J. Econ. Dyn. Control 106, Article ID 103705, 26 p. (2019). MSC: 91B51 91B64 PDFBibTeX XMLCite \textit{G. Kapetanios} et al., J. Econ. Dyn. Control 106, Article ID 103705, 26 p. (2019; Zbl 1425.91271) Full Text: DOI Link
Arouri, Mohamed; M’saddek, Oussama; Nguyen, Duc Khuong; Pukthuanthong, Kuntara Cojumps and asset allocation in international equity markets. (English) Zbl 1411.91475 J. Econ. Dyn. Control 98, 1-22 (2019). MSC: 91G10 60G55 60J75 62P05 PDFBibTeX XMLCite \textit{M. Arouri} et al., J. Econ. Dyn. Control 98, 1--22 (2019; Zbl 1411.91475) Full Text: DOI Link
Hué, Sullivan; Lucotte, Yannick; Tokpavi, Sessi Measuring network systemic risk contributions: a leave-one-out approach. (English) Zbl 1411.91642 J. Econ. Dyn. Control 100, 86-114 (2019). MSC: 91G99 62P05 PDFBibTeX XMLCite \textit{S. Hué} et al., J. Econ. Dyn. Control 100, 86--114 (2019; Zbl 1411.91642) Full Text: DOI Link
Jackson, Laura E.; Owyang, Michael T.; Soques, Daniel Nonlinearities, smoothing and countercyclical monetary policy. (English) Zbl 1402.91462 J. Econ. Dyn. Control 95, 136-154 (2018). MSC: 91B64 62P20 PDFBibTeX XMLCite \textit{L. E. Jackson} et al., J. Econ. Dyn. Control 95, 136--154 (2018; Zbl 1402.91462) Full Text: DOI Link
Jawadi, Fredj; Namouri, Hela; Ftiti, Zied An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets. (English) Zbl 1401.91585 J. Econ. Dyn. Control 91, 469-484 (2018). MSC: 91G80 91B62 PDFBibTeX XMLCite \textit{F. Jawadi} et al., J. Econ. Dyn. Control 91, 469--484 (2018; Zbl 1401.91585) Full Text: DOI
Chevillon, Guillaume; Mavroeidis, Sophocles Perpetual learning and apparent long memory. (English) Zbl 1401.91341 J. Econ. Dyn. Control 90, 343-365 (2018). MSC: 91B64 PDFBibTeX XMLCite \textit{G. Chevillon} and \textit{S. Mavroeidis}, J. Econ. Dyn. Control 90, 343--365 (2018; Zbl 1401.91341) Full Text: DOI Link
Ardakani, Omid M.; Kishor, N. Kundan; Song, Suyong Re-evaluating the effectiveness of inflation targeting. (English) Zbl 1401.91302 J. Econ. Dyn. Control 90, 76-97 (2018). MSC: 91B64 62P05 62P20 62G08 PDFBibTeX XMLCite \textit{O. M. Ardakani} et al., J. Econ. Dyn. Control 90, 76--97 (2018; Zbl 1401.91302) Full Text: DOI
Kaeck, Andreas; Rodrigues, Paulo; Seeger, Norman J. Model complexity and out-of-sample performance: evidence from S&P 500 index returns. (English) Zbl 1401.91468 J. Econ. Dyn. Control 90, 1-29 (2018). MSC: 91B70 62P05 91G20 PDFBibTeX XMLCite \textit{A. Kaeck} et al., J. Econ. Dyn. Control 90, 1--29 (2018; Zbl 1401.91468) Full Text: DOI Link
Xu, Wei; Chen, Yuehuan; Coleman, Conrad; Coleman, Thomas F. Moment matching machine learning methods for risk management of large variable annuity portfolios. (English) Zbl 1401.91525 J. Econ. Dyn. Control 87, 1-20 (2018). MSC: 91G10 62P05 PDFBibTeX XMLCite \textit{W. Xu} et al., J. Econ. Dyn. Control 87, 1--20 (2018; Zbl 1401.91525) Full Text: DOI
Lütkepohl, Helmut; Netšunajev, Aleksei Structural vector autoregressions with smooth transition in variances. (English) Zbl 1401.91505 J. Econ. Dyn. Control 84, 43-57 (2017). MSC: 91B84 62M10 91B64 PDFBibTeX XMLCite \textit{H. Lütkepohl} and \textit{A. Netšunajev}, J. Econ. Dyn. Control 84, 43--57 (2017; Zbl 1401.91505) Full Text: DOI
Yang, Nian; Chen, Nan; Liu, Yanchu; Wan, Xiangwei Approximate arbitrage-free option pricing under the SABR model. (English) Zbl 1401.91538 J. Econ. Dyn. Control 83, 198-214 (2017). MSC: 91G20 91G60 PDFBibTeX XMLCite \textit{N. Yang} et al., J. Econ. Dyn. Control 83, 198--214 (2017; Zbl 1401.91538) Full Text: DOI
Morris, Stephen D. DSGE pileups. (English) Zbl 1401.91247 J. Econ. Dyn. Control 74, 56-86 (2017). MSC: 91B51 62M10 PDFBibTeX XMLCite \textit{S. D. Morris}, J. Econ. Dyn. Control 74, 56--86 (2017; Zbl 1401.91247) Full Text: DOI
Bee, Marco; Riccaboni, Massimo; Trapin, Luca An extreme value analysis of the last century crises across industries in the U.S. economy. (English) Zbl 1401.91311 J. Econ. Dyn. Control 81, 65-78 (2017). MSC: 91B64 PDFBibTeX XMLCite \textit{M. Bee} et al., J. Econ. Dyn. Control 81, 65--78 (2017; Zbl 1401.91311) Full Text: DOI Link
Lee, Kyungsub; Seo, Byoung Ki Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. (English) Zbl 1401.91063 J. Econ. Dyn. Control 79, 154-183 (2017). MSC: 91B24 91B70 PDFBibTeX XMLCite \textit{K. Lee} and \textit{B. K. Seo}, J. Econ. Dyn. Control 79, 154--183 (2017; Zbl 1401.91063) Full Text: DOI arXiv
Franta, Michal Rare shocks vs. non-linearities: what drives extreme events in the economy? Some empirical evidence. (English) Zbl 1401.91492 J. Econ. Dyn. Control 75, 136-157 (2017). MSC: 91B82 91B84 91B70 91B51 91B55 PDFBibTeX XMLCite \textit{M. Franta}, J. Econ. Dyn. Control 75, 136--157 (2017; Zbl 1401.91492) Full Text: DOI Link
Frazier, David T.; Liu, Xiaochun A new approach to risk-return trade-off dynamics via decomposition. (English) Zbl 1401.91560 J. Econ. Dyn. Control 62, 43-55 (2016). MSC: 91G70 62P05 PDFBibTeX XMLCite \textit{D. T. Frazier} and \textit{X. Liu}, J. Econ. Dyn. Control 62, 43--55 (2016; Zbl 1401.91560) Full Text: DOI
Belongia, Michael T.; Ireland, Peter N. The evolution of U.S. monetary policy: 2000–2007. (English) Zbl 1401.91502 J. Econ. Dyn. Control 73, 78-93 (2016). MSC: 91B84 91B82 91B64 PDFBibTeX XMLCite \textit{M. T. Belongia} and \textit{P. N. Ireland}, J. Econ. Dyn. Control 73, 78--93 (2016; Zbl 1401.91502) Full Text: DOI
Berger, Tino; Everaert, Gerdie; Vierke, Hauke Testing for time variation in an unobserved components model for the U.S. economy. (English) Zbl 1401.91488 J. Econ. Dyn. Control 69, 179-208 (2016). MSC: 91B82 91B84 62P20 62F15 62M10 PDFBibTeX XMLCite \textit{T. Berger} et al., J. Econ. Dyn. Control 69, 179--208 (2016; Zbl 1401.91488) Full Text: DOI
Pohl, Walter; Schmedders, Karl; Wilms, Ole Asset prices with non-permanent shocks to consumption. (English) Zbl 1401.91078 J. Econ. Dyn. Control 69, 152-178 (2016). MSC: 91B25 PDFBibTeX XMLCite \textit{W. Pohl} et al., J. Econ. Dyn. Control 69, 152--178 (2016; Zbl 1401.91078) Full Text: DOI Link
Chauvet, Marcelle; Senyuz, Zeynep; Yoldas, Emre What does financial volatility tell us about macroeconomic fluctuations? (English) Zbl 1402.91423 J. Econ. Dyn. Control 52, 340-360 (2015). MSC: 91B64 91B70 PDFBibTeX XMLCite \textit{M. Chauvet} et al., J. Econ. Dyn. Control 52, 340--360 (2015; Zbl 1402.91423) Full Text: DOI Link
Lafond, François Self-organization of knowledge economies. (English) Zbl 1402.91303 J. Econ. Dyn. Control 52, 150-165 (2015). MSC: 91B54 91D30 PDFBibTeX XMLCite \textit{F. Lafond}, J. Econ. Dyn. Control 52, 150--165 (2015; Zbl 1402.91303) Full Text: DOI Link
Tóth, Bence; Palit, Imon; Lillo, Fabrizio; Farmer, J. Doyne Why is equity order flow so persistent? (English) Zbl 1402.91179 J. Econ. Dyn. Control 51, 218-239 (2015). MSC: 91B26 PDFBibTeX XMLCite \textit{B. Tóth} et al., J. Econ. Dyn. Control 51, 218--239 (2015; Zbl 1402.91179) Full Text: DOI arXiv
Dendramis, Yiannis; Kapetanios, George; Tzavalis, Elias Shifts in volatility driven by large stock market shocks. (English) Zbl 1401.91558 J. Econ. Dyn. Control 55, 130-147 (2015). MSC: 91G70 PDFBibTeX XMLCite \textit{Y. Dendramis} et al., J. Econ. Dyn. Control 55, 130--147 (2015; Zbl 1401.91558) Full Text: DOI
Stella, Andrea Firm dynamics and the origins of aggregate fluctuations. (English) Zbl 1401.91290 J. Econ. Dyn. Control 55, 71-88 (2015). MSC: 91B62 91B64 91B55 PDFBibTeX XMLCite \textit{A. Stella}, J. Econ. Dyn. Control 55, 71--88 (2015; Zbl 1401.91290) Full Text: DOI
Leiss, Matthias; Nax, Heinrich H.; Sornette, Didier Super-exponential growth expectations and the global financial crisis. (English) Zbl 1401.91497 J. Econ. Dyn. Control 55, 1-13 (2015). MSC: 91B82 91G80 91B74 PDFBibTeX XMLCite \textit{M. Leiss} et al., J. Econ. Dyn. Control 55, 1--13 (2015; Zbl 1401.91497) Full Text: DOI Link
Liu, Xiaochun; Luger, Richard Unfolded GARCH models. (English) Zbl 1401.91563 J. Econ. Dyn. Control 58, 186-217 (2015). MSC: 91G70 91B84 PDFBibTeX XMLCite \textit{X. Liu} and \textit{R. Luger}, J. Econ. Dyn. Control 58, 186--217 (2015; Zbl 1401.91563) Full Text: DOI Link
Gan, Quan Location-scale portfolio selection with factor-recentered skew normal asset returns. (English) Zbl 1402.91696 J. Econ. Dyn. Control 48, 176-187 (2014). MSC: 91G10 62P05 62H10 PDFBibTeX XMLCite \textit{Q. Gan}, J. Econ. Dyn. Control 48, 176--187 (2014; Zbl 1402.91696) Full Text: DOI
Gustavsson, Magnus; Österholm, Pär Does the labor-income process contain a unit root? Evidence from individual-specific time series. (English) Zbl 1402.91584 J. Econ. Dyn. Control 47, 152-167 (2014). MSC: 91B84 62M10 62P20 PDFBibTeX XMLCite \textit{M. Gustavsson} and \textit{P. Österholm}, J. Econ. Dyn. Control 47, 152--167 (2014; Zbl 1402.91584) Full Text: DOI Link
Chang, Su-Hsin; Contessi, Silvio; Francis, Johanna L. Understanding the accumulation of bank and thrift reserves during the U.S. financial crisis. (English) Zbl 1402.91908 J. Econ. Dyn. Control 43, 78-106 (2014). MSC: 91G70 62P05 PDFBibTeX XMLCite \textit{S.-H. Chang} et al., J. Econ. Dyn. Control 43, 78--106 (2014; Zbl 1402.91908) Full Text: DOI Link
Liu, Yuelin; Morley, James Structural evolution of the postwar U.S. economy. (English) Zbl 1402.91919 J. Econ. Dyn. Control 42, 50-68 (2014). MSC: 91G70 91B64 PDFBibTeX XMLCite \textit{Y. Liu} and \textit{J. Morley}, J. Econ. Dyn. Control 42, 50--68 (2014; Zbl 1402.91919) Full Text: DOI Link
Chaudourne, Jeremy; Fève, Patrick; Guay, Alain Understanding the effect of technology shocks in SVARs with long-run restrictions. (English) Zbl 1402.91581 J. Econ. Dyn. Control 41, 154-172 (2014). MSC: 91B84 91B82 62M10 PDFBibTeX XMLCite \textit{J. Chaudourne} et al., J. Econ. Dyn. Control 41, 154--172 (2014; Zbl 1402.91581) Full Text: DOI Link
Lee, Yongwoong; Poon, Ser-Huang Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors. (English) Zbl 1402.91851 J. Econ. Dyn. Control 41, 69-92 (2014). MSC: 91G40 91G10 PDFBibTeX XMLCite \textit{Y. Lee} and \textit{S.-H. Poon}, J. Econ. Dyn. Control 41, 69--92 (2014; Zbl 1402.91851) Full Text: DOI
Gaujal, Bruno; Gulyas, Laszlo; Mansury, Yuri; Thierry, Eric Validating an agent-based model of the Zipf’s law: a discrete Markov-chain approach. (English) Zbl 1402.91527 J. Econ. Dyn. Control 41, 38-49 (2014). MSC: 91B69 91B62 91B82 PDFBibTeX XMLCite \textit{B. Gaujal} et al., J. Econ. Dyn. Control 41, 38--49 (2014; Zbl 1402.91527) Full Text: DOI
Malevergne, Y.; Saichev, A.; Sornette, D. Zipf’s law and maximum sustainable growth. (English) Zbl 1402.91378 J. Econ. Dyn. Control 37, No. 6, 1195-1212 (2013). MSC: 91B62 91G70 62P20 PDFBibTeX XMLCite \textit{Y. Malevergne} et al., J. Econ. Dyn. Control 37, No. 6, 1195--1212 (2013; Zbl 1402.91378) Full Text: DOI arXiv
Candelon, Bertrand; Lieb, Lenard Fiscal policy in good and bad times. (English) Zbl 1402.91418 J. Econ. Dyn. Control 37, No. 12, 2679-2694 (2013). MSC: 91B64 91B84 62M10 PDFBibTeX XMLCite \textit{B. Candelon} and \textit{L. Lieb}, J. Econ. Dyn. Control 37, No. 12, 2679--2694 (2013; Zbl 1402.91418) Full Text: DOI Link
Daniel, Betty C.; Shiamptanis, Christos Pushing the limit? Fiscal policy in the European Monetary Union. (English) Zbl 1402.91435 J. Econ. Dyn. Control 37, No. 11, 2307-2321 (2013). MSC: 91B64 PDFBibTeX XMLCite \textit{B. C. Daniel} and \textit{C. Shiamptanis}, J. Econ. Dyn. Control 37, No. 11, 2307--2321 (2013; Zbl 1402.91435) Full Text: DOI Link
Gagliardini, Patrick; Gouriéroux, Christian Correlated risks vs contagion in stochastic transition models. (English) Zbl 1402.91843 J. Econ. Dyn. Control 37, No. 11, 2241-2269 (2013). MSC: 91G40 60J20 62M10 PDFBibTeX XMLCite \textit{P. Gagliardini} and \textit{C. Gouriéroux}, J. Econ. Dyn. Control 37, No. 11, 2241--2269 (2013; Zbl 1402.91843) Full Text: DOI Link
Çakmaklı, Cem; Paap, Richard; van Dijk, Dick Measuring and predicting heterogeneous recessions. (English) Zbl 1402.91580 J. Econ. Dyn. Control 37, No. 11, 2195-2216 (2013). MSC: 91B84 91B82 91B64 62F15 62P20 PDFBibTeX XMLCite \textit{C. Çakmaklı} et al., J. Econ. Dyn. Control 37, No. 11, 2195--2216 (2013; Zbl 1402.91580) Full Text: DOI Link
Planas, C.; Roeger, W.; Rossi, A. The information content of capacity utilization for detrending total factor productivity. (English) Zbl 1346.91127 J. Econ. Dyn. Control 37, No. 3, 577-590 (2013). MSC: 91B38 PDFBibTeX XMLCite \textit{C. Planas} et al., J. Econ. Dyn. Control 37, No. 3, 577--590 (2013; Zbl 1346.91127) Full Text: DOI
Lof, Matthijs Heterogeneity in stock prices: a STAR model with multivariate transition function. (English) Zbl 1346.91265 J. Econ. Dyn. Control 36, No. 12, 1845-1854 (2012). MSC: 91G70 91B69 91B25 PDFBibTeX XMLCite \textit{M. Lof}, J. Econ. Dyn. Control 36, No. 12, 1845--1854 (2012; Zbl 1346.91265) Full Text: DOI Link
Mertens, Elmar Are spectral estimators useful for long-run restrictions in SVARs? (English) Zbl 1346.62109 J. Econ. Dyn. Control 36, No. 12, 1831-1844 (2012). MSC: 62P05 62M15 62M10 PDFBibTeX XMLCite \textit{E. Mertens}, J. Econ. Dyn. Control 36, No. 12, 1831--1844 (2012; Zbl 1346.62109) Full Text: DOI
Franke, Reiner; Westerhoff, Frank Structural stochastic volatility in asset pricing dynamics: estimation and model contest. (English) Zbl 1345.91009 J. Econ. Dyn. Control 36, No. 8, 1193-1211 (2012). MSC: 91B25 91B70 PDFBibTeX XMLCite \textit{R. Franke} and \textit{F. Westerhoff}, J. Econ. Dyn. Control 36, No. 8, 1193--1211 (2012; Zbl 1345.91009) Full Text: DOI
Reitz, Stefan; Rülke, Jan-Christoph; Stadtmann, Georg Nonlinear expectations in speculative markets – evidence from the ECB Survey of Professional Forecasters. (English) Zbl 1345.62134 J. Econ. Dyn. Control 36, No. 9, 1349-1363 (2012). MSC: 62P10 91B44 PDFBibTeX XMLCite \textit{S. Reitz} et al., J. Econ. Dyn. Control 36, No. 9, 1349--1363 (2012; Zbl 1345.62134) Full Text: DOI Link
Hautsch, Nikolaus; Huang, Ruihong The market impact of a limit order. (English) Zbl 1242.91213 J. Econ. Dyn. Control 36, No. 4, 501-522 (2012). MSC: 91G70 PDFBibTeX XMLCite \textit{N. Hautsch} and \textit{R. Huang}, J. Econ. Dyn. Control 36, No. 4, 501--522 (2012; Zbl 1242.91213) Full Text: DOI Link
Ruge-Murcia, Francisco Estimating nonlinear DSGE models by the simulated method of moments: with an application to business cycles. (English) Zbl 1243.91072 J. Econ. Dyn. Control 36, No. 6, 914-938 (2012). MSC: 91B52 65C05 PDFBibTeX XMLCite \textit{F. Ruge-Murcia}, J. Econ. Dyn. Control 36, No. 6, 914--938 (2012; Zbl 1243.91072) Full Text: DOI
Alfarano, Simone; Milaković, Mishael; Irle, Albrecht; Kauschke, Jonas A statistical equilibrium model of competitive firms. (English) Zbl 1241.91070 J. Econ. Dyn. Control 36, No. 1, 136-149 (2012). MSC: 91B50 60H30 91B38 PDFBibTeX XMLCite \textit{S. Alfarano} et al., J. Econ. Dyn. Control 36, No. 1, 136--149 (2012; Zbl 1241.91070) Full Text: DOI Link
Lombardi, Marco J.; Nicoletti, Giulio Bayesian prior elicitation in DSGE models: macro- vs micropriors. (English) Zbl 1238.91117 J. Econ. Dyn. Control 36, No. 2, 294-313 (2012). MSC: 91B82 91B51 PDFBibTeX XMLCite \textit{M. J. Lombardi} and \textit{G. Nicoletti}, J. Econ. Dyn. Control 36, No. 2, 294--313 (2012; Zbl 1238.91117) Full Text: DOI Link
Chen, Shan; Insley, Margaret Regime switching in stochastic models of commodity prices: an application to an optimal tree harvesting problem. (English) Zbl 1238.91111 J. Econ. Dyn. Control 36, No. 2, 201-219 (2012). MSC: 91B76 PDFBibTeX XMLCite \textit{S. Chen} and \textit{M. Insley}, J. Econ. Dyn. Control 36, No. 2, 201--219 (2012; Zbl 1238.91111) Full Text: DOI
Del Negro, Marco; Eusepi, Stefano Fitting observed inflation expectations. (English) Zbl 1241.91082 J. Econ. Dyn. Control 35, No. 12, 2105-2131 (2011). MSC: 91B64 PDFBibTeX XMLCite \textit{M. Del Negro} and \textit{S. Eusepi}, J. Econ. Dyn. Control 35, No. 12, 2105--2131 (2011; Zbl 1241.91082) Full Text: DOI Link
Koop, Gary; Potter, Simon M. Time varying VARs with inequality restrictions. (English) Zbl 1230.91163 J. Econ. Dyn. Control 35, No. 7, 1126-1138 (2011). MSC: 91B82 62M10 65C05 65C40 PDFBibTeX XMLCite \textit{G. Koop} and \textit{S. M. Potter}, J. Econ. Dyn. Control 35, No. 7, 1126--1138 (2011; Zbl 1230.91163) Full Text: DOI Link
Chen, Baoline; Zadrozny, Peter A. Estimated U.S. manufacturing production capital and technology based on an estimated dynamic structural economic model. (English) Zbl 1176.91087 J. Econ. Dyn. Control 33, No. 7, 1398-1418 (2009). MSC: 91B62 PDFBibTeX XMLCite \textit{B. Chen} and \textit{P. A. Zadrozny}, J. Econ. Dyn. Control 33, No. 7, 1398--1418 (2009; Zbl 1176.91087) Full Text: DOI
Koop, Gary; Leon-Gonzalez, Roberto; Strachan, Rodney W. On the evolution of the monetary policy transmission mechanism. (English) Zbl 1170.91476 J. Econ. Dyn. Control 33, No. 4, 997-1017 (2009). MSC: 91B64 PDFBibTeX XMLCite \textit{G. Koop} et al., J. Econ. Dyn. Control 33, No. 4, 997--1017 (2009; Zbl 1170.91476) Full Text: DOI
Canova, Fabio; Gambetti, Luca Structural changes in the US economy: is there a role for monetary policy? (English) Zbl 1170.91465 J. Econ. Dyn. Control 33, No. 2, 477-490 (2009). MSC: 91B64 PDFBibTeX XMLCite \textit{F. Canova} and \textit{L. Gambetti}, J. Econ. Dyn. Control 33, No. 2, 477--490 (2009; Zbl 1170.91465) Full Text: DOI Link
Harvey, Andrew C.; Delle Monache, Davide Computing the mean square error of unobserved components extracted by misspecified time series models. (English) Zbl 1167.93403 J. Econ. Dyn. Control 33, No. 2, 283-295 (2009). MSC: 93E11 37M10 62M10 91B84 PDFBibTeX XMLCite \textit{A. C. Harvey} and \textit{D. Delle Monache}, J. Econ. Dyn. Control 33, No. 2, 283--295 (2009; Zbl 1167.93403) Full Text: DOI
Kascha, Christian; Mertens, Karel Business cycle analysis and VARMA models. (English) Zbl 1173.62064 J. Econ. Dyn. Control 33, No. 2, 267-282 (2009). MSC: 62M10 65C05 91B84 62P20 65C60 PDFBibTeX XMLCite \textit{C. Kascha} and \textit{K. Mertens}, J. Econ. Dyn. Control 33, No. 2, 267--282 (2009; Zbl 1173.62064) Full Text: DOI Link
Alfarano, Simone; Milaković, Mishael Network structure andn-dependence in agent-based herding models. (English) Zbl 1170.91506 J. Econ. Dyn. Control 33, No. 1, 78-92 (2009). MSC: 91B84 93E03 PDFBibTeX XMLCite \textit{S. Alfarano} and \textit{M. Milaković}, J. Econ. Dyn. Control 33, No. 1, 78--92 (2009; Zbl 1170.91506) Full Text: DOI
Hautsch, Nikolaus Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model. (English) Zbl 1181.91345 J. Econ. Dyn. Control 32, No. 12, 3978-4015 (2008). MSC: 91G70 62P05 62M10 PDFBibTeX XMLCite \textit{N. Hautsch}, J. Econ. Dyn. Control 32, No. 12, 3978--4015 (2008; Zbl 1181.91345) Full Text: DOI Link
Leigh, Daniel Estimating the Federal Reserve’s implicit inflation target: a state space approach. (English) Zbl 1181.91267 J. Econ. Dyn. Control 32, No. 6, 2013-2030 (2008). MSC: 91B82 91B64 62P20 PDFBibTeX XMLCite \textit{D. Leigh}, J. Econ. Dyn. Control 32, No. 6, 2013--2030 (2008; Zbl 1181.91267) Full Text: DOI
Benati, Luca; Goodhart, Charles Investigating time-variation in the marginal predictive power of the yield spread. (English) Zbl 1181.91271 J. Econ. Dyn. Control 32, No. 4, 1236-1272 (2008). MSC: 91B84 PDFBibTeX XMLCite \textit{L. Benati} and \textit{C. Goodhart}, J. Econ. Dyn. Control 32, No. 4, 1236--1272 (2008; Zbl 1181.91271) Full Text: DOI Link
Gabaix, Xavier; Gopikrishnan, Parameswaran; Plerou, Vasiliki; Stanley, H. Eugene Quantifying and understanding the economics of large financial movements. (English) Zbl 1181.91342 J. Econ. Dyn. Control 32, No. 1, 303-319 (2008). MSC: 91G70 91B80 91G99 91C99 PDFBibTeX XMLCite \textit{X. Gabaix} et al., J. Econ. Dyn. Control 32, No. 1, 303--319 (2008; Zbl 1181.91342) Full Text: DOI
Mansury, Yuri; Gulyás, László The emergence of Zipf’s law in a system of cities: an agent-based simulation approach. (English) Zbl 1163.91504 J. Econ. Dyn. Control 31, No. 7, 2438-2460 (2007). MSC: 91B72 PDFBibTeX XMLCite \textit{Y. Mansury} and \textit{L. Gulyás}, J. Econ. Dyn. Control 31, No. 7, 2438--2460 (2007; Zbl 1163.91504) Full Text: DOI
Consiglio, Andrea; Russino, Annalisa How does learning affect market liquidity? A simulation analysis of a double-auction financial market with portfolio traders. (English) Zbl 1201.91185 J. Econ. Dyn. Control 31, No. 6, 1910-1937 (2007). MSC: 91G10 91B26 68T42 91A26 PDFBibTeX XMLCite \textit{A. Consiglio} and \textit{A. Russino}, J. Econ. Dyn. Control 31, No. 6, 1910--1937 (2007; Zbl 1201.91185) Full Text: DOI
Hujer, Reinhard; Vuletić, Sandra Econometric analysis of financial trade processes by discrete mixture duration models. (English) Zbl 1162.91525 J. Econ. Dyn. Control 31, No. 2, 635-667 (2007). MSC: 91B84 62P05 62M10 PDFBibTeX XMLCite \textit{R. Hujer} and \textit{S. Vuletić}, J. Econ. Dyn. Control 31, No. 2, 635--667 (2007; Zbl 1162.91525) Full Text: DOI
Bali, Turan G.; Weinbaum, David A conditional extreme value volatility estimator based on high-frequency returns. (English) Zbl 1162.91521 J. Econ. Dyn. Control 31, No. 2, 361-397 (2007). MSC: 91B84 62M09 62M10 62P05 PDFBibTeX XMLCite \textit{T. G. Bali} and \textit{D. Weinbaum}, J. Econ. Dyn. Control 31, No. 2, 361--397 (2007; Zbl 1162.91521) Full Text: DOI
Surico, Paolo The Fed’s monetary policy rule and U.S. Inflation: The case of asymmetric preferences. (English) Zbl 1162.91511 J. Econ. Dyn. Control 31, No. 1, 305-324 (2007). MSC: 91B74 91B64 PDFBibTeX XMLCite \textit{P. Surico}, J. Econ. Dyn. Control 31, No. 1, 305--324 (2007; Zbl 1162.91511) Full Text: DOI