| C0 General |
| | David Jamieson Bolder and Shudan Liu: Examining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner's Perspective (Bank of Canada Working papers 2007-49, Oct 2007) | Abstract
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| | David Jamieson Bolder and Tiago Rubin: Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis (Bank of Canada Working papers 2007-13, Feb 2007) | Abstract
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| | David Jamieson Bolder: Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective (Bank of Canada Working papers 2006-48, Dec 2006) | Abstract
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| C00 General |
| | Joshua Brodie, Ingrid Daubechies, Christine De Mol: Sparse and stable Markowitz portfolios (European Central Bank Working papers 936, Sep 2008) | Full text |
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| C1 Econometric and Statistical Methods: General |
| | Alain Monfort and Fulvio Pegoraro: Switching VARMA Term Structure Models - Extended Version (Bank of France Working Papers Nr 191, Dec 2007) | Abstract
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| | Chinhui Juhn and Simon Potter: Is There Still an Added-Worker Effect? (New York Fed Staff reports 310, Dec 2007) | Abstract
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| | Alain Monfort and Fulvio Pegoraro: Multi-Lag Term Structure Models with Stochastic Risk Premia (Bank of France Working Papers Nr 189, Nov 2007) | Abstract
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| | Henri Bertholon, Alain Monfort and Fulvio Pegoraro: Pricing and Inference with Mixtures of Conditionally Normal Processes (Bank of France Working Papers Nr 188, Nov 2007) | Abstract
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| | Vasco Cúrdia and Daria Finocchiaro: Monetary Regime Change and Business Cycles (New York Fed Staff reports 294, Jul 2007) | Abstract
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| | Mario Forni, Domenico Giannone: Opening the black box: structural factor models with large gross-sections (European Central Bank Working papers 712, Jan 2007) | Full text |
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| | Klaus Düllmann, Nancy Masschelein: Sector Concentration in Loan Portfolios and Economic Capital (National Bank of Belgium Working Papers 105, 17 Nov 2006) | Abstract
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| | Klaus Düllmann, Nancy Masschelein: Sector concentration in loan portfolios and economic capital (Deutsche Bundesbank Banking Supervision Discussion Papers 200609, Nov 2006) | Full text |
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| | Jean-Marie Dufour and David Tessier: Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices (Bank of Canada Working papers 2006-39, Oct 2006) | Abstract
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| | Antonio Diez de los Rios and René Garcia: Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns (Bank of Canada Working papers 2006-31, Sep 2006) | Abstract
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| | Lawrence J. Christiano Martin Eichenbaum Robert Vigfusson: Assessing Structural VARs (Federal Reserve Board International Financial Discussion Papers 2006-866, Aug 2006) | Abstract
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| | Alejandro García and Ramazan Gençay: Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events (Bank of Canada Working papers 2006-17, May 2006) | Abstract
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| | Ingrid Lo: An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate (Bank of Canada Working papers 2005-45, Dec 2005) | Abstract
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| | Alfred Hamerle, Michael Knapp, Thilo Liebig, Nicole Wildenauer: Incorporating prediction and estimation risk in point-in-time credit portfolio models (Deutsche Bundesbank Banking Supervision Discussion Papers 200513, Nov 2005) | Full text |
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| | Julia Campos; Neil R. Ericsson; David F. Hendry: General-to-specific Modeling: An Overview and Selected Bibliography (Federal Reserve Board International Financial Discussion Papers 2005-838, Aug 2005) | Abstract
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| | Ricardo Caballero and Stavros Panageas: Contingent Reserves Management: An Applied Framework (Boston Fed Working papers 05-02, Mar 2005) | Abstract
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| | Jeffrey C. Fuhrer and Giovanni P. Olivei: Estimating Forward Looking Euler Equations with GMM Estimators: An Optimal Instruments Approach (Boston Fed Working papers 04-02, Nov 2004) | Abstract
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| | Neil R. Ericsson: The ET Interview: Professor David F. Hendry (Federal Reserve Board International Financial Discussion Papers 2004-811, Jul 2004) | Abstract
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| | James D. Hamilton, Daniel F. Waggoner, and Tao Zha: Normalization in Econometrics (Atlanta Fed Working papers 2004-13, Jun 2004) | Abstract
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| | Alfred Hamerle, Thilo Liebig, Daniel Rösch: Credit Risk Factor Modeling and the Basel II IRB Approach (Deutsche Bundesbank Banking Supervision Discussion Papers 200302, Nov 2003) | Full text |
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| C10 General |
| | Malin Andersson, Arne Gieseck, Beatrice Pierluigi and Nick Vidalis: Wage growth dispersion across the euro area countries: some stylised facts (European Central Bank Occasional papers 90, Jul 2008) | Full text |
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| | Jean Imbs: Aggregating Phillips curves (European Central Bank Working papers 785, Jul 2007) | Full text |
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| | Fabio Canova and Luca Sala: Back to square one: identification issues in DSGE (Bank of Spain Working Papers 0715, Jun 2007) | Abstract
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| | Alejandro García and Ramazan Gençay: Managing Adverse Dependence for Portfolios of Collateral in Financial Infrastructures (Bank of Canada Working papers 2007-25, Apr 2007) | Abstract
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| | Jean Boivin and Marc P. Giannoni: DSGE Models in a Data-Rich Environment (Bank of France Working Papers Nr 162, Jan 2007) | Abstract
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| | Anastasi A., Blanco E., Elosegui P., Sangiácomo M: Bancarization and determinants of availability of banking services in Argentina. (Central Bank of Argentina Working Papers 2006/15, Oct 2006) | Full text |
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| | Nicholai Benalal, Juan Luiz Diaz del Hoyo, Beatrice Pierluigi and Nick Vidalis: Output growth differentials across the euro area countries: some stylised facts (European Central Bank Occasional papers 45, May 2006) | Full text |
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| | Stefan Reitz, Mark P. Taylor: The coordination channel of foreign exchange intervention: a nonlinear microstructural analysis (Deutsche Bundesbank Discussion Papers 200608, 27 Feb 2006) | Full text |
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| | Hugo J. Reis: Business Cycle at a Sectoral Level: the Portuguese Case (Bank of Portugal Working papers 2005-09, Nov 2005) | Abstract
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| | Ruth Judson and Richard Porter: Estimating the Worldwide Volume of Counterfeit U.S. Currency: Data and Extrapolation (Federal Reserve Board FEDS series 2003-52, Nov 2003) | Abstract
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| | Stig Arild Syrdal: A study of implied risk-neutral density functions in the Norwegian option market (Central Bank of Norway Working Papers 2002/13, Dec 2002) | Full text |
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| C11 Bayesian Analysis |
| | Marta Banbura: Large Bayesian VARs (European Central Bank Working papers 966, Nov 2008) | Full text |
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| | Morten L. Bech: Which Bank Is the "Central" Bank?An Application of Markov Theory to the CanadianLarge Value Transfer System (New York Fed Staff reports 356, Nov 2008) | Abstract
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| | Daniel O. Beltran and David Draper: Estimating the Parameters of a Small Open Economy DSGE Model: Identifiability and Inferential Validity (Federal Reserve Board International Financial Discussion Papers 2008-955, Nov 2008) | Abstract
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| | Kai Christoffel: The New Area-Wide Model of the euro area: a micro-founded open-economy model for forecasting and policy analysis (European Central Bank Working papers 944, Oct 2008) | Full text |
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| | Morten Bech, James T. E. Chapman, and Rod Garratt: Which Bank is the "Central" Bank? An Application of Markov Theory to the Canadian Large Value Transfer System (Bank of Canada Working papers 2008-42, Oct 2008) | Abstract
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| | Lillie Lam, Laurence Fung and Ip-wing Yu: Comparing Forecast Performance of Exchange Rate Models (Hong Kong Monetary Authority Working Papers WP08_08, Jun 2008) | Abstract
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| | Marco Del Negro and Frank Schorfheide: Inflation Dynamics in a Small Open-Economy Model under Inflation Targeting: Some Evidence from Chile (New York Fed Staff reports 329, Jun 2008) | Abstract
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| | Marco Del Negro and Christopher Otrok: Dynamic Factor Models with Time-Varying Parameters: Measuring Changes in International Business Cycles (New York Fed Staff reports 326, May 2008) | Abstract
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| | Alejandro Justiniano, Giorgio E. Primiceri, and Andrea Tambalotti: Investment Shocks and Business Cycles (New York Fed Staff reports 322, Mar 2008) | Abstract
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| | Gianni Amisano and Roberto Savona: Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk. (European Central Bank Working papers 881, Mar 2008) | Full text |
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| | Michal Brzoza-Brzezina, Jesus Crespo Cuaresma: Mr. Wicksell and the global economy: What drives real interest rates? (Austrian National Bank Working Papers WP139, 29 Jan 2008) | Abstract
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| | Laurence Fung and Ip-wing Yu: Assessing the Credibility of The Convertibility Zone of The Hong Kong Dollar (Hong Kong Monetary Authority Working Papers WP07_19, Dec 2007) | Abstract
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| | Michael K Andersson and Sune Karlsson: Bayesian forecast combination for VAR models (Sveriges Riksbank Working Papers No216, 22 Nov 2007) | Abstract
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| | John Geweke and Gianni Amisano: Hierarchical Markov normal mixture models with applications to financial asset returns (European Central Bank Working papers 831, Nov 2007) | Full text |
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| | Sylvia Kaufmann and Maria Teresa Valderrama: The role of credit aggregates and asset prices in the transmission mechanism: a comparison between the euro area and the US (European Central Bank Working papers 816, Sep 2007) | Full text |
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| | Marco J. Lombardi and Silvia Sgherri: (Un)naturally low? Sequential Monte Carlo tracking of the US natural interest rate (European Central Bank Working papers 794, Aug 2007) | Full text |
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| | Jeannine Bailliu, Ali Dib, Takashi Kano, and Lawrence Schembri: Multilateral Adjustment and Exchange Rate Dynamics: The Case of Three Commodity Currencies (Bank of Canada Working papers 2007-41, Jul 2007) | Abstract
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| | Michael Scharnagl, Christian Schumacher: Reconsidering the role of monetary indicators for euro area inflation from a Bayesian perspective using group inclusion probabilities (Deutsche Bundesbank Discussion Papers 200709, 04 May 2007) | Full text |
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| | Jana Eklund, Sune Karlsson: Computational Efficiency in Bayesian Model and Variable Selection (Central Bank of Iceland Working Papers 35, May 2007) | Abstract
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| | Jana Eklund, Sune Karlsson: An Embarrassment of Riches: Forecasting Using Large Panels (Central Bank of Iceland Working Papers 34, May 2007) | Abstract
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| | Gary Koop and Simon Potter: A Flexible Approach to Parametric Inference in Nonlinear Time Series Models (New York Fed Staff reports 285, May 2007) | Abstract
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| | Gianni Amisano and Oreste Tristani: Euro area inflation persistence in an estimated nonlinear DSGE model (European Central Bank Working papers 754, May 2007) | Full text |
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| | Joăo Amador, Carlos Coimbra: Total Factor Productivity Growth in the G7 Countries: Different or Alike? (Bank of Portugal Working papers 2007-09, Apr 2007) | Abstract
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| | Joăo Amador, Carlos Coimbra: Characteristics of the Portuguese Economic Growth: What has been Missing? (Bank of Portugal Working papers 2007-08, Apr 2007) | Abstract
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| | Malin Adolfson , Stefan Laséen , Jesper Lindé and Mattias Villani: Evaluating An Estimated New Keynesian Small Open Economy Model (Sveriges Riksbank Working Papers No203, 08 Feb 2007) | Abstract
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| | Michel Juillard, Ondrej Kameník, Michael Kumhof, Douglas Laxton: Measures of Potential Output from an Estimated DSGE Model of the United States (Czech National Bank Working papers 2006/11, Dec 2006) | Abstract
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| | Christine De Mol: Forecasting using a large number of predictors: Is Bayesian regression a valid alternative to principal components? (European Central Bank Working papers 700, Dec 2006) | Full text |
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| | Anders Warne: Bayesian inference in cointegrated VAR models: with applications to the demand for euro area M3 (European Central Bank Working papers 692, Nov 2006) | Full text |
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| | Christine De Mol, Domenico Giannone, Lucrezia Reichlin: Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components? (Deutsche Bundesbank Discussion Papers 200632, 13 Oct 2006) | Full text |
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| | Anastasi A., Blanco E., Elosegui P., Sangiácomo M: Bancarization and determinants of availability of banking services in Argentina. (Central Bank of Argentina Working Papers 2006/15, Oct 2006) | Full text |
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| | Sylvia Kaufmann and Peter Kugler: Expected Money Growth, Markov Trends and the Instability of Money Demand in the Euro Area (Austrian National Bank Working Papers WP131, 15 Sep 2006) | Abstract
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| | Chiara Scotti: A Bivariate Model of Fed and ECB Main Policy Rates (Federal Reserve Board International Financial Discussion Papers 2006-875, Sep 2006) | Abstract
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| | by Fabio Milani: A Bayesian DSGE Model with Infinite-Horizon Learning: Do "Mechanical" Sources of Persistence Become Superfluous? (IJCB International Journal of Central Banking 06q3a3, Sep 2006) | Abstract
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| | Hashem Pesaran, Davide Pettenuzzo, Allan Timmermann: Learning, structural instability and present value calculations (Deutsche Bundesbank Discussion Papers 200627, 29 Aug 2006) | Full text |
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| | Kurt F. Lewis, Charles H. Whiteman: Empirical Bayesian density forecasting in Iowa and shrinkage for the Monte Carlo era (Deutsche Bundesbank Discussion Papers 200628, 29 Aug 2006) | Full text |
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| | Dennis: The Frequency of Price Adjustment and New Keynesian Business Cycle Dynamics (San Francisco Fed Working Papers 2006-22, Aug 2006) | Full text |
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| | Kai Christoffel: Identifying the role of labor markets for monetary policy in an estimated DSGE model (European Central Bank Working papers 635, Jun 2006) | Full text |
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| | Paolo Giordani and Robert Kohn: Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models (Sveriges Riksbank Working Papers No196, 24 May 2006) | Abstract
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| | Marek Jarocinski: Responses to Monetary Policy Shocks in the East and the West of Europe: A Comparison (Austrian National Bank Working Papers WP124, 17 May 2006) | Abstract
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| | Toshitaka Sekine: Time-varying exchange rate pass-through: experiences of some industrial countries (Bank for International Settlements Working papers 202, Mar 2006) | Abstract
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| | Anthony Garratt, Gary Koop and Shaun P. Vahey: Forecasting Substantial Data Revisions in the Presence of Model Uncertainty (Reserve Bank of New Zealand Discussion Papers DP2006/02, Feb 2006) | Abstract
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| | Sungbae An and Frank Schorfheide: Bayesian Analysis of DSGE Models (Philadelphia Fed Working Papers wp06-05, 2006) | Full text |
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| | Thomas A Lubik: A Simple, Structural, and Empirical Model of the Antipodean Transmission Mechanism (Reserve Bank of New Zealand Discussion Papers DP2005/06, Dec 2005) | Abstract
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| | Jana Eklund and Sune Karlsson: Forecast combination and model averaging using predictive measures (Sveriges Riksbank Working Papers No191, 12 Oct 2005) | Abstract
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| | Kirdan Lees and Troy Matheson: Mind your Ps and Qs! Improving ARMA forecasts with RBC priors (Reserve Bank of New Zealand Discussion Papers DP2005/02, Oct 2005) | Abstract
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| | Marco Del Negro and Christopher Otrok: Monetary Policy and the House Price Boom across U.S. States (Atlanta Fed Working papers 2005-24, Oct 2005) | Abstract
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| | Mattias Villani: Bayesian Inference of General Linear Restrictions on the Cointegration Space (Sveriges Riksbank Working Papers No189, 30 Sep 2005) | Abstract
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| | Malin Adolfson , Jesper Lindé and Mattias Villani: Forecasting Performance of an Open Economy Dynamic Stochastic General Equilibrium Model (Sveriges Riksbank Working Papers No190, 30 Sep 2005) | Abstract
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| | Linnea Polgreen and Pedro Silos: Capital-Skill Complementarity and Inequality: A Sensitivity Analysis (Atlanta Fed Working papers 2005-20, Aug 2005) | Abstract
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| | Levin, Onatski, Williams, N. Williams: Monetary Policy under Uncertainty in Micro-Founded Macroeconomic Models (San Francisco Fed Working Papers 2005-15, Jul 2005) | Full text |
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| | Maarten Dossche and Gerdie Everaert: Measuring inflation persistence: a structural time series approach (National Bank of Belgium Working Papers 070, 21 Jun 2005) | Abstract
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| | Maarten Dossche and Gerdie Everaert: Measuring inflation persistence: a structural time series approach (European Central Bank Working papers 495, Jun 2005) | Full text |
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| | Marco Del Negro, Frank Schorfheide: On the fit and forecasting performance of New-Keynesian models (European Central Bank Working papers 491, Jun 2005) | Full text |
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| | Malin Adolfson , Stefan Laséen , Jesper Lindé and Mattias Villani: Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through (Sveriges Riksbank Working Papers No179, 01 Mar 2005) | Abstract
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| | Mattias Villani: Inference in Vector Autoregressive Models with an Informative Prior on the Steady State (Sveriges Riksbank Working Papers No181, 01 Mar 2005) | Abstract
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| | Malin Adolfson , Stefan Laséen , Jesper Lindé and Mattias Villani: Are Constant Interest Rate Forecasts Modest Interventions? Evidence from an Estimated Open Economy DSGE Model of the Euro Area (Sveriges Riksbank Working Papers No180, 01 Mar 2005) | Abstract
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| | Gary Koop, Simon M. Potter, and Rodney W. Strachan: Reexamining the Consumption-Wealth Relationship:The Role of Model Uncertainty (New York Fed Staff reports 202, Mar 2005) | Abstract
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| | George Kapetanios, Vincent Labhard and Simon Price: Forecasting using Bayesian and information theoretic model averaging: an application to UK inflation (Bank of England Working papers 268, 2005) | Abstract
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| | Balázs Vonnák: Estimating the Effect of Hungarian Monetary Policy within a Structural VAR Framework (Magyar Nemzeti Bank Working papers 2005/01, 2005) | Abstract
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| | Mattias Villani and Rolf Larsson: The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis (Sveriges Riksbank Working Papers No175, 01 Dec 2004) | Abstract
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| | Marco Del Negro, Frank Schorfheide, Frank Smets, and Raf Wouters: On the Fit and Forecasting Performance of New Keynesian Models (Atlanta Fed Working papers 2004-37, Dec 2004) | Abstract
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| | Gary M. Koop and Simon M. Potter: Prior Elicitation in Multiple Change-Point Models (New York Fed Staff reports 197, Dec 2004) | Abstract
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| | Gary M. Koop and Simon M. Potter: Forecasting and Estimating Multiple Change-Point Models with an Unknown Number of Change Points (New York Fed Staff reports 196, Dec 2004) | Abstract
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| | Jukka Corander and Mattias Villani: A Bayesian Approach to Modelling Graphical Vector Autoregressions (Sveriges Riksbank Working Papers No171, 01 Oct 2004) | Abstract
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| | Tobias Adrian and Francesco Franzoni: Learning about Beta: A New Look at CAPM Tests (New York Fed Staff reports 193, Sep 2004) | Abstract
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| | Nicholai Benalal, Juan Luis Diaz del Hoyo, Bettina Landau: To aggregate or not to aggregate? Euro area inflation forecasting (European Central Bank Working papers 374, Jul 2004) | Full text |
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| | Chang-Jin Kim, James Morley and Jeremy M. Piger: A Bayesian Approach to Counterfactual Analysis with an Application to the Volatility Reduction in U.S. Real GDP (St Louis Fed Working Papers 2004-014, Jul 2004) | Full text |
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| | Andrew T. Levin and Jeremy M. Piger: Is inflation persistence intrinsic in industrial economies? (European Central Bank Working papers 334, Apr 2004) | Full text |
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| | Mattias Villani , Anders Warne: Monetary Policy Analysis in a Small Open Economy using Bayesian Cointegrated Structural VARs (Sveriges Riksbank Working Papers No156, 01 Dec 2003) | Abstract
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| | James M. Nason and John H. Rogers: The Present-Value Model of the Current Account Has Been Rejected: Round Up the Usual Suspects (Atlanta Fed Working papers 2003-7a, Oct 2003) | Abstract
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| | Frank Schorfheide: Learning and Monetary Policy Shifts (Atlanta Fed Working papers 2003-23, Oct 2003) | Abstract
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| | Timothy Cogley and Thomas J. Sargent: Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S. (Atlanta Fed Working papers 2003-25, Oct 2003) | Abstract
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| | Mattias Villani: Bayes Estimators of the Cointegration Space (Sveriges Riksbank Working Papers No150, 01 Sep 2003) | Abstract
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| | Sylvia Frühwirth-Schnatter, Sylvia Kaufmann: Investigating asymmetries in the bank lending channel. An analysis using Austrian banks' balance sheet data (Austrian National Bank Working Papers WP085, 28 Jul 2003) | Abstract
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| | Gary Koop and Simon Potter: Forecasting in Large Macroeconomic Panels Using Bayesian Model Averaging (New York Fed Staff reports 163, Mar 2003) | Abstract
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| | Tor Jacobson and Sune Karlsson: Finding Good Predictors for Inflation: A Bayesian Model Averaging Approach (Sveriges Riksbank Working Papers No138, 01 Aug 2002) | Abstract
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| | Marco Del Negro and Frank Schorfheide: Priors from General Equilibrium Models for VARs (Atlanta Fed Working papers 2002-14, Aug 2002) | Abstract
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| | Jesus Fernández-Villaverde and Juan F. Rubio-Ramírez: Comparing Dynamic Equilibrium Economies to Data (Atlanta Fed Working papers 2001-23, Nov 2001) | Abstract
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| | Pau Rabanal and Juan F. Rubio-Ramírez: Nominal versus Real Wage Rigidities: A Bayesian Approach (Atlanta Fed Working papers 2001-22, Nov 2001) | Abstract
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| C12 Hypothesis Testing |
| | David C. Wheelock, and Paul Wilson: Are Credit Unions Too Small? (St Louis Fed Working Papers 2008-033, Sep 2008) | Abstract
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| | Maria Ritola: Price convergence and geographic dimension of market integration: Evidence from China (Bank of Finland BOFIT Discussion Papers 2008/13, 26 Aug 2008) | Abstract
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| | Malte Knüppel, Guido Schultefrankenfeld: How informative are macroeconomic risk forecasts? An examination of the Bank of England's inflation forecasts (Deutsche Bundesbank Discussion Papers 200814, 04 Aug 2008) | Full text |
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| | Gonzalo Camba-Méndez and George Kapetanios: Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling (European Central Bank Working papers 850, Jan 2008) | Full text |
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| | Noriega Antonio E.; Ramos Francia Manuel: A Note on the Dynamics of Persistence in US Inflation. (Bank of Mexico Working Papers 2008-12, 2008) | Full text |
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| | Stefan Günnel, Karl-Heinz Tödter: Does Benford's law hold in economic research and forecasting? (Deutsche Bundesbank Discussion Papers 200732, 10 Dec 2007) | Full text |
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| | Erik Hjalmarsson and Par Osterholm: Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated (Federal Reserve Board International Financial Discussion Papers 2007-915, Dec 2007) | Abstract
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| | Erik Hjalmarsson and Par Osterholm: A Residual-Based Cointegration Test for Near Unit Root Variables (Federal Reserve Board International Financial Discussion Papers 2007-907, Oct 2007) | Abstract
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| | Andreas Pick: Financial contagion and tests using instrumental variables (Netherlands Bank DNB Working Papers 139, Jun 2007) | Full text |
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| | Jeong-Ryeol Kurz-Kim, Mico Loretan: A note on the coefficient of determination in regression models with infinite-variance variables (Deutsche Bundesbank Discussion Papers 200710, 14 May 2007) | Full text |
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| | Jeong-Ryeol Kurz-Kim and Mico Loretan: A Note on the Coefficient of Determination in Models with Infinite Variance Variables (Federal Reserve Board International Financial Discussion Papers 2007-895, May 2007) | Abstract
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| | by Fabio Busetti, Lorenzo Forni, Andrew Harvey, and Fabrizio Venditti: Inflation Convergence and Divergence within the European Monetary Union (IJCB International Journal of Central Banking 07q2a4, May 2007) | Abstract
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| | Capistrán Carlos: Optimality Tests for Multi-Horizon Forecasts (Bank of Mexico Working Papers 2007-14, 2007) | Full text |
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| | Jan De Wit: Exploring the CDS-Bond Basis (National Bank of Belgium Working Papers 104, 16 Nov 2006) | Abstract
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| | Jean-Marie Dufour and David Tessier: Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices (Bank of Canada Working papers 2006-39, Oct 2006) | Abstract
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| | Robert Rich and Joseph Tracy: The Relationship between Expected Inflation, Disagreement, and Uncertainty: Evidence from Matched Point and Density Forecasts (New York Fed Staff reports 253, Jul 2006) | Abstract
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| | Olivier de Bandt, Catherine Bruneau, Alexis Flageollet: Assessing Aggregate Comovements in France, Germany and Italy. Using a Non Stationary Factor Model of the Euro Area (Bank of France Working Papers Nr 145, Jun 2006) | Abstract
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| | Ali Dib, Mohamed Gammoudi, and Kevin Moran: Forecasting Canadian Time Series with the New Keynesian Model (Bank of Canada Working papers 2006-04, Mar 2006) | Abstract
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| | Anindya Banerjee and Josep Lluís Carrion-i-Silvestre: Cointegration in panel data with breaks and cross-section dependence (European Central Bank Working papers 591, Feb 2006) | Full text |
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| | Mikael Bask - Tung Liu - Anna Widerberg: The stability of electricity prices: estimation and inference of the Lyapunov exponents (Bank of Finland Discussion Papers 2006/09, 31 Jan 2006) | Abstract
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| | Fabio Busetti, Lorenzo Forni: Inflation convergence and divergence within the European Monetary Union (European Central Bank Working papers 574, Jan 2006) | Full text |
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| | Jörg Breitung, M. Hashem Pesaram: Unit roots and cointegration in panels (Deutsche Bundesbank Discussion Papers 200542, 30 Nov 2005) | Full text |
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| | Fuchun Li: Testing the Parametric Specification of the Diffusion Function in a Diffusion Process (Bank of Canada Working papers 2005-35, Nov 2005) | Abstract
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| | Arturo Estrella and Anthony P. Rodrigues: One-Sided Test for an Unknown Breakpoint: Theory, Computation, and Application to Monetary Theory (New York Fed Staff reports 232, Nov 2005) | Abstract
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| | Feng Zhu: A nonparametric analysis of the shape dynamics of the US personal income distribution: 1962-2000 (Bank for International Settlements Working papers 184, Oct 2005) | Abstract
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| | Mattias Villani: Bayesian Inference of General Linear Restrictions on the Cointegration Space (Sveriges Riksbank Working Papers No189, 30 Sep 2005) | Abstract
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| | Laurent Bilke: Break in the mean and persistence of inflation: a sectoral analysis of French CPI (European Central Bank Working papers 463, Mar 2005) | Full text |
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| | Peter Reinhard Hansen, Asger Lunde, and James M. Nason: Model Confidence Sets for Forecasting Models (Atlanta Fed Working papers 2005-07, Mar 2005) | Abstract
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| | Peter Reinhard Hansen, Asger Lunde, and James M. Nason: Testing the Significance of Calendar Effects (Atlanta Fed Working papers 2005-02, Jan 2005) | Abstract
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| | Helinä Laakkonen: The impact of macroeconomic news on exchange rate volatility (Bank of Finland Discussion Papers 2004/24, 07 Dec 2004) | Abstract
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| | (DNB): A Copula-Based Autoregressive Conditional Dependence Model of International Stock Markets (Netherlands Bank DNB Working Papers 022, Dec 2004) | Full text |
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| | Gregory Gadzinski and Fabrice Orlandi: Inflation persistence in the European Union, the euro area, and the United States (European Central Bank Working papers 414, Nov 2004) | Full text |
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| | Todd E. Clark and Michael W. McCracken: Improving Forecast Accuracy by Combining Recursive and Rolling Forecasts (Kansas City Fed Working Papers RWP04-10, Oct 2004) | Abstract
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| | (DNB): On the predictability of GDP data revisions in the Netherlands (Netherlands Bank DNB Working Papers 004, Jul 2004) | Full text |
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| | Daniel Dias, Carlos Robalo Marques, Pedro Duarte Neves, J.M.C.Santos Silva: On the Fisher-Konieczny Index of Price Changes Synchronization (Bank of Portugal Working papers 2004-07, Jun 2004) | Abstract
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| | Todd E. Clark and Kenneth D. West: Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference Hypothesis (Kansas City Fed Working Papers RWP04-03, May 2004) | Abstract
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| | Paul McNelis and Peter McAdam: Forecasting inflation with thick models and neural networks (European Central Bank Working papers 352, Apr 2004) | Full text |
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| | Gonzalo Camba-Mendez and George Kapetanios: Estimating the rank of the spectral density matrix (European Central Bank Working papers 349, Apr 2004) | Full text |
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| | Peter Reinhard Hansen, Asger Lunde, and James M. Nason: Choosing the Best Volatility Models: The Model Confidence Set Approach (Atlanta Fed Working papers 2003-28, Oct 2003) | Abstract
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| | Matt Klaeffling: Macroeconomic modelling of monetary policy (European Central Bank Working papers No.257, Sep 2003) | Full text |
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| | Matt Klaeffing: Monetary policy shocks - a nonfundamental look at the data (European Central Bank Working papers No.228, May 2003) | Full text |
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| | Robert Rich and Joseph Tracy: Modeling Uncertainty: Predictive Accuracy as a Proxy for Predictive Confidence (New York Fed Staff reports 161, Feb 2003) | Abstract
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| | Todd E. Clark and Michael W. McCracken: Forecast-Based Model Selection in the Presence of Structural Breaks (Kansas City Fed Working Papers RWP02-05, Aug 2002) | Abstract
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| | U. Michael Bergman and Jan Hansen: Financial Instability and Monetary Policy: The Swedish Evidence (Sveriges Riksbank Working Papers No137, 01 Jun 2002) | Abstract
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| C13 Estimation |
| | Halbert White: Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR (European Central Bank Working papers 957, Nov 2008) | Full text |
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| | Marta Banbura: Large Bayesian VARs (European Central Bank Working papers 966, Nov 2008) | Full text |
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| | David C. Wheelock, and Paul Wilson: Are Credit Unions Too Small? (St Louis Fed Working Papers 2008-033, Sep 2008) | Abstract
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| | Klaus Böcker, Martin Hillebrand: Interaction of market and credit risk:an analysis of inter-risk correlation and risk aggregation (Deutsche Bundesbank Banking Supervision Discussion Papers 200811, Jun 2008) | Full text |
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| | by Sophocles N. Brissimis and Nicholas S. Magginas: Inflation Forecasts and the New Keynesian Phillips Curve (IJCB International Journal of Central Banking 08q2a1, May 2008) | Abstract
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| | Mathias Drehmann, Steffen Sorensen and Marco Stringa: The integrated impact of credit and interest rate risk on banks: an economic value and capital adequacy perspective (Bank of England Working papers 339, Apr 2008) | Abstract
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| | Gianni Amisano and Roberto Savona: Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk. (European Central Bank Working papers 881, Mar 2008) | Full text |
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| | Laurence Fung and Ip-wing Yu: Predicting Stock Market Returns by Combining Forecasts (Hong Kong Monetary Authority Working Papers |