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Michel Lubrano

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. David DE LA CROIX & Michel LUBRANO, 2009. "The Tradeoff Between Growth and Redistribution: ELIE in an Overlapping Generations Model," LIDAM Discussion Papers IRES 2009011, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).

    Mentioned in:

    1. Fair labor income tax and human capital accumulation
      by Economic Logician in Economic Logic on 2009-09-29 19:30:00

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. Michel Lubrano & Luc Bauwens & Alan Kirman & Camelia Protopopescu, 2003. "Ranking Economics Departments in Europe: A Statistical Approach," Journal of the European Economic Association, MIT Press, vol. 1(6), pages 1367-1401, December.

    Mentioned in:

    1. > Economics Profession > Ranking in Economics > Ranking Institutions

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Zhou Xun & Michel Lubrano, 2016. "Simulation Estimation of Two‐tiered Dynamic Panel Tobit Models with an Application to the labour Supply of Married Women: A Comment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(4), pages 756-761, June.

    Mentioned in:

    1. Simulation Estimation of Two-tiered Dynamic Panel Tobit Models with an Application to the labour Supply of Married Women: A Comment (Journal of Applied Econometrics 2016) in ReplicationWiki ()

Working papers

  1. Ewen Gallic & Michel Lubrano & Pierre Michel, 2022. "Optimal lockdowns for COVID‐19 pandemics: Analyzing the efficiency of sanitary policies in Europe," Post-Print hal-03430705, HAL.

    Cited by:

    1. Amir, Rabah & Liu, Zhiwei & Tian, Jingwen, 2023. "Negative network effects and public policy in vaccine markets," Journal of Economic Behavior & Organization, Elsevier, vol. 216(C), pages 136-149.
    2. Céline Azémar & Rodolphe Desbordes & Paolo Melindi-Ghidi & Jean-Philippe Nicolaï, 2022. "Winners and losers of the COVID-19 pandemic: An excess profits tax proposal," Post-Print hal-03678450, HAL.
    3. Cerqueti, Roy & Tramontana, Fabio & Ventura, Marco, 2022. "The complex interplay between COVID-19 and economic activity," Mathematical Social Sciences, Elsevier, vol. 119(C), pages 97-107.
    4. John Higgins & Tarun Sabarwal, 2023. "Control and Spread of Contagion in Networks," Papers 2308.00062, arXiv.org.
    5. Upravitelev, A., 2023. "Efficacious methods of restraining COVID-19 through behavioral public policy," Journal of the New Economic Association, New Economic Association, vol. 61(4), pages 203-222.

  2. Edwin Fourrier-Nicolai & Michel Lubrano, 2021. "Bayesian Inference for Parametric Growth Incidence Curves," AMSE Working Papers 2131, Aix-Marseille School of Economics, France.

    Cited by:

    1. Michel Lubrano & Zhou Xun, 2021. "The Bayesian approach to poverty measurement," Working Papers halshs-03234072, HAL.

  3. Shaozhen Han & Guoming Li & Michel Lubrano & Zhou Xun, 2020. "Lie of the Weak: Inconsistent Corporate Social Responsibility Activities of Chinese Zombie Firms," AMSE Working Papers 2001, Aix-Marseille School of Economics, France.

    Cited by:

    1. Naima Lassoued & Imen Khanchel, 2023. "Voluntary CSR disclosure and CEO narcissism: the moderating role of CEO duality and board gender diversity," Review of Managerial Science, Springer, vol. 17(3), pages 1075-1123, April.
    2. Wu, Qingyang & Chang, Siqi & Bai, Caiquan & Wei, Wendong, 2023. "How do zombie enterprises hinder climate change action plans in China?," Energy Economics, Elsevier, vol. 124(C).
    3. Arun Madanaguli & Shalini Srivastava & Alberto Ferraris & Amandeep Dhir, 2022. "Corporate social responsibility and sustainability in the tourism sector: A systematic literature review and future outlook," Sustainable Development, John Wiley & Sons, Ltd., vol. 30(3), pages 447-461, June.
    4. Tomasz L. Nawrocki & Danuta Szwajca, 2021. "A Multidimensional Comparative Analysis of Involvement in CSR Activities of Energy Companies in the Context of Sustainable Development Challenges: Evidence from Poland," Energies, MDPI, vol. 14(15), pages 1-19, July.
    5. Xue-Zhou Zhao & Jun Chen & Feng-Wen Chen & Wei Wang & Senmao Xia, 2020. "How High-Polluting Firms Suffer from Being Distracted form Intended Purpose: A Corporate Social Responsibility Perspective," IJERPH, MDPI, vol. 17(24), pages 1-29, December.
    6. Haiquan Wu & Wenli Liao & Zhifang Zhou & Yi Li, 2021. "Can Financial Constraints and Regulatory Distance Reduce Corporate Environmental Irresponsibility?," Sustainability, MDPI, vol. 13(23), pages 1-25, November.
    7. Figueira, Sandra & Gauthier, Caroline & Torres de Oliveira, Rui, 2023. "CSR and stakeholder salience in MNE subsidiaries in emerging markets," International Business Review, Elsevier, vol. 32(5).
    8. Simone Pizzi & Francesco Rosati & Andrea Venturelli, 2021. "The determinants of business contribution to the 2030 Agenda: Introducing the SDG Reporting Score," Business Strategy and the Environment, Wiley Blackwell, vol. 30(1), pages 404-421, January.
    9. Rahman, Md. Hasanur & Tanchangya, Tipon & Rahman, Junaid & Aktar, Most. Asikha & Majumder, Shapan Chandra, 2024. "Corporate social responsibility and green financing behavior in Bangladesh: Towards sustainable tourism," Innovation and Green Development, Elsevier, vol. 3(3).

  4. Majda Benzidia & Michel Lubrano, 2020. "A Bayesian look at American academic wages: From wage dispersion to wage compression," Post-Print hal-02566630, HAL.

    Cited by:

    1. Marco Bee, 2024. "On discriminating between lognormal and Pareto tail: an unsupervised mixture-based approach," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 18(2), pages 251-269, June.
    2. Edwin Fourrier-Nicolai & Michel Lubrano, 2022. "Bayesian inference for non-anonymous Growth Incidence Curves using Bernstein polynomials: an application to academic wage dynamics," Working Papers hal-03880243, HAL.

  5. Zhou Xun & Michel Lubrano, 2018. "A Bayesian Measure of Poverty in the Developing World," Post-Print hal-01976680, HAL.

    Cited by:

    1. Sara Mota Cardoso & Aurora A. C. Teixeira, 2020. "The Focus on Poverty in the Most Influential Journals in Economics: A Bibliometric Analysis of the “Blue Ribbon” Journals," Poverty & Public Policy, John Wiley & Sons, vol. 12(1), pages 10-42, March.
    2. Michel Lubrano & Zhou Xun, 2021. "The Bayesian approach to poverty measurement," Working Papers halshs-03234072, HAL.
    3. Michel Lubrano & Zhou Xun, 2023. "The Bayesian approach to poverty measurement," Post-Print hal-04347292, HAL.
    4. Michel Lubrano & Zhou Xun, 2023. "The Bayesian approach to poverty measurement," Post-Print halshs-04135764, HAL.

  6. Tareq Sadeq & Michel Lubrano, 2018. "The Wall’s Impact in the Occupied West Bank: A Bayesian Approach to Poverty Dynamics Using Repeated Cross-Sections," AMSE Working Papers 1836, Aix-Marseille School of Economics, France.

    Cited by:

    1. Michel Lubrano & Zhou Xun, 2021. "The Bayesian approach to poverty measurement," Working Papers halshs-03234072, HAL.
    2. Michel Lubrano & Zhou Xun, 2023. "The Bayesian approach to poverty measurement," Post-Print hal-04347292, HAL.
    3. Michel Lubrano & Zhou Xun, 2023. "The Bayesian approach to poverty measurement," Post-Print halshs-04135764, HAL.

  7. Edwin Fourrier-Nicolai & Michel Lubrano, 2017. "Bayesian Inference for TIP curves: An Application to Child Poverty in Germany," AMSE Working Papers 1710, Aix-Marseille School of Economics, France.

    Cited by:

    1. Edwin Fourrier-Nicolai & Michel Lubrano, 2021. "Bayesian Inference for Parametric Growth Incidence Curves," Working Papers halshs-03225236, HAL.
    2. Michel Lubrano & Zhou Xun, 2021. "The Bayesian approach to poverty measurement," Working Papers halshs-03234072, HAL.
    3. Michel Lubrano & Zhou Xun, 2023. "The Bayesian approach to poverty measurement," Post-Print hal-04347292, HAL.
    4. Edwin Fourrier-Nicolai & Michel Lubrano, 2019. "The Effect of Aspirations on Inequality: Evidence from the German Reunification using Bayesian Growth Incidence Curves," AMSE Working Papers 1914, Aix-Marseille School of Economics, France.
    5. Michel Lubrano & Zhou Xun, 2023. "The Bayesian approach to poverty measurement," Post-Print halshs-04135764, HAL.
    6. Nartikoev, Alan & Peresetsky, Anatoly, 2020. "Эндогенная Классификация Домохозяйств В Регионах России [Endogenous household classification: Russian regions]," MPRA Paper 104351, University Library of Munich, Germany.

  8. Majda Benzidia & Michel Lubrano & Paolo Melindi-Ghidi, 2016. "Education Politics, Schooling Choice and Public School Quality: The Impact of Income Polarisation," AMSE Working Papers 1642, Aix-Marseille School of Economics, France.

    Cited by:

    1. Paolo Melindi-Ghidi, 2016. "Inequality, Educational Choice and Public School Quality in Income Mixing Communities," Working Papers halshs-01363996, HAL.

  9. Michel Lubrano & Abdoul Aziz Junior Ndoye, 2016. "Income inequality decomposition using a finite mixture of log-normal distributions: A Bayesian approach," Post-Print hal-01440303, HAL.

    Cited by:

    1. Ellis Scharfenaker, Markus P.A. Schneider, 2019. "Labor Market Segmentation and the Distribution of Income: New Evidence from Internal Census Bureau Data," Working Paper Series, Department of Economics, University of Utah 2019_08, University of Utah, Department of Economics.
    2. Edwin Fourrier-Nicolai & Michel Lubrano, 2021. "Bayesian Inference for Parametric Growth Incidence Curves," Working Papers halshs-03225236, HAL.
    3. Majda Benzidia & Michel Lubrano, 2016. "A Bayesian Look at American Academic Wages: The Case of Michigan State University," Working Papers halshs-01358882, HAL.
    4. Gregor Zens, 2018. "Bayesian shrinkage in mixture of experts models: Identifying robust determinants of class membership," Papers 1809.04853, arXiv.org, revised Jan 2019.
    5. Michel Lubrano & Zhou Xun, 2021. "The Bayesian approach to poverty measurement," Working Papers halshs-03234072, HAL.
    6. Muhammad Hilmi Abdul Majid & Kamarulzaman Ibrahim & Nurulkamal Masseran, 2023. "Three-Part Composite Pareto Modelling for Income Distribution in Malaysia," Mathematics, MDPI, vol. 11(13), pages 1-15, June.
    7. Gregor Zens, 2019. "Bayesian shrinkage in mixture-of-experts models: identifying robust determinants of class membership," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 13(4), pages 1019-1051, December.
    8. El Moctar Laghlal & Abdoul Aziz Junior Ndoye, 2018. "A Hybrid MCMC Sampler for Unconditional Quantile Based on Influence Function," Econometrics, MDPI, vol. 6(2), pages 1-11, May.
    9. Edwin Fourrier-Nicolai & Michel Lubrano, 2017. "Bayesian Inference for TIP curves: An Application to Child Poverty in Germany," AMSE Working Papers 1710, Aix-Marseille School of Economics, France.
    10. Kazuhiko Kakamu, 2022. "Bayesian analysis of mixtures of lognormal distribution with an unknown number of components from grouped data," Papers 2210.05115, arXiv.org, revised Sep 2023.
    11. Nartikoev, Alan & Peresetsky, Anatoly, 2020. "Эндогенная Классификация Домохозяйств В Регионах России [Endogenous household classification: Russian regions]," MPRA Paper 104351, University Library of Munich, Germany.

  10. Michel Lubrano & Abdoul Aziz Junior Ndoye, 2014. "Tournaments and Superstar models: A Mixture of two Pareto distributions," Post-Print hal-01474416, HAL.

    Cited by:

    1. Majda Benzidia & Michel Lubrano, 2016. "A Bayesian Look at American Academic Wages: The Case of Michigan State University," Working Papers halshs-01358882, HAL.
    2. Majda Benzidia & Michel Lubrano, 2020. "A Bayesian look at American academic wages: From wage dispersion to wage compression," Post-Print hal-02566630, HAL.
    3. Michel Lubrano & Zhou Xun, 2021. "The Bayesian approach to poverty measurement," Working Papers halshs-03234072, HAL.
    4. Kotrba, Vojtěch, 2019. "Direct preferences of sports fans: Is there a superstar effect in the fantasy league?," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 78(C), pages 89-97.
    5. Edwin Fourrier-Nicolai & Michel Lubrano, 2017. "Bayesian Inference for TIP curves: An Application to Child Poverty in Germany," AMSE Working Papers 1710, Aix-Marseille School of Economics, France.

  11. Mathieu Goudard & Michel Lubrano, 2013. "Human Capital, Social Capital and Scientific Research in Europe: an Application of Linear Hierarchical Models," Post-Print hal-01500868, HAL.

    Cited by:

    1. Fernando J. Garrigos-Simon & M. Dolores Botella-Carrubi & Tomas F. Gonzalez-Cruz, 2018. "Social Capital, Human Capital, and Sustainability: A Bibliometric and Visualization Analysis," Sustainability, MDPI, vol. 10(12), pages 1-19, December.
    2. Stelios Katranidis & Theodore Panagiotidis & Kostas Zontanos, 2022. "A note on the relative productivity drivers of economists: a probit/logit approach for six European countries," Economic Change and Restructuring, Springer, vol. 55(4), pages 2171-2178, November.
    3. Stelios Katranidis & Theodore Panagiotidis & Costas Zontanos, 2016. "Economists, research performance and national inbreeding:North versus South," Discussion Paper Series 2016_01, Department of Economics, University of Macedonia, revised Oct 2016.

  12. Michel Lubrano & Abdoul Aziz Junior Ndoye, 2012. "Bayesian Unconditional Quantile Regression. An Analysis of Recent Expansions in Wage Structure and Earnings Inequality in the U.S. 1992-2009," AMSE Working Papers 1203, Aix-Marseille School of Economics, France.

    Cited by:

    1. Majda Benzidia & Michel Lubrano, 2016. "A Bayesian Look at American Academic Wages: The Case of Michigan State University," Working Papers halshs-01358882, HAL.
    2. Hajime Seya & Kay W. Axhausen & Makoto Chikaraishi, 2020. "Spatial unconditional quantile regression: application to Japanese parking price data," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 65(2), pages 351-402, October.
    3. El Moctar Laghlal & Abdoul Aziz Junior Ndoye, 2018. "A Hybrid MCMC Sampler for Unconditional Quantile Based on Influence Function," Econometrics, MDPI, vol. 6(2), pages 1-11, May.

  13. Michel Lubrano & Abdoul Aziz Junior Ndoye, 2011. "Inequality decomposition using the Gibbs output of a Mixture of lognormal distributions," Working Papers halshs-00585248, HAL.

    Cited by:

    1. William E. Griffiths and Gholamreza Hajargasht, 2012. "GMM Estimation of Mixtures from Grouped Data:," Department of Economics - Working Papers Series 1148, The University of Melbourne.

  14. Claude Gamel & Michel Lubrano, 2011. "Why Should We Debate the Theory of Macrojustice? [Pourquoi la théorie de la macrojustice mérite-t-elle qu'on en débatte ?]," Post-Print halshs-02525163, HAL.

    Cited by:

    1. Claude Gamel, 2008. "Allocation universelle et transferts "ELIE" : De la divergence à la compatibilité ?," Working Papers halshs-00325693, HAL.
    2. Jean-Sébastien Gharbi, 2015. "Kolm et le démembrement de la propriété de soi. Une justification "libérale" de la redistribution des revenus," Post-Print hal-02015995, HAL.
    3. Claude Gamel, 2019. "Liberal Foundations of Basic Income. Argument Combining Philosophy and Economics [Fondements libéraux du revenu de base. Une argumentation combinant philosophie et économie]," Post-Print halshs-02111455, HAL.
    4. Claude Gamel, 2018. "Economic theory as a means for converting a concept into a project. The case (of the liberal variant) of basic income [La théorie économique comme outil de conversion d'une idée en projet. Le cas (," Post-Print halshs-03557603, HAL.

  15. de la CROIX, David & LUBRANO, Michel, 2009. "The tradeoff between growth and redistribution: ELIE in an overlapping generations model," LIDAM Discussion Papers CORE 2009018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. Peter J. Stauvermann & Ronald R. Kumar, 2018. "Adult Learning, Economic Growth and the Distribution of Income," Economies, MDPI, vol. 6(1), pages 1-12, February.

  16. Michel Lubrano, 2008. "The Redistributive Aspects of ELIE: a simulationapproach," Working Papers halshs-00347278, HAL.

    Cited by:

    1. David DE LA CROIX & Michel LUBRANO, 2009. "The Tradeoff Between Growth and Redistribution: ELIE in an Overlapping Generations Model," LIDAM Discussion Papers IRES 2009011, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).

  17. BAUWENS, Luc & LUBRANO, Michel, 2006. "Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market," LIDAM Discussion Papers CORE 2006050, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. Baird, Matthew & Daugherty, Lindsay & Kumar, Krishna B., 2019. "Improving Estimation of Labor Market Disequilibrium Using Shortage Indicators, with an Application to the Market for Anesthesiologists," IZA Discussion Papers 12129, Institute of Labor Economics (IZA).
    2. Matthew Baird & Lindsay Daugherty & Krishna Kumar, 2017. "Improving Estimation of Labor Market Disequilibrium through Inclusion of Shortage Indicators," CINCH Working Paper Series 1701, Universitaet Duisburg-Essen, Competent in Competition and Health.
    3. Vouldis, Angelos, 2015. "Credit market disequilibrium in Greece (2003-2011) - a Bayesian approach," Working Paper Series 1805, European Central Bank.
    4. Karmelavičius, Jaunius & Mikaliūnaitė-Jouvanceau, Ieva & Petrokaitė, Austėja Petrokaitė, 2022. "Housing and credit misalignments in a two-market disequilibrium framework," ESRB Working Paper Series 135, European Systemic Risk Board.
    5. Claessens, Stijn & Sakho, Yaye Seynabou, 2013. "Assessing firms'financing constraints in Brazil," Policy Research Working Paper Series 6624, The World Bank.
    6. Carpenter, Seth & Demiralp, Selva & Eisenschmidt, Jens, 2014. "The effectiveness of non-standard monetary policy in addressing liquidity risk during the financial crisis: The experiences of the Federal Reserve and the European Central Bank," Journal of Economic Dynamics and Control, Elsevier, vol. 43(C), pages 107-129.
    7. Aloysius Deno Hervino, 2011. "Avoiding risk in working capital credit distribution in Indonesia," Economic Journal of Emerging Markets, Universitas Islam Indonesia, vol. 3(2), pages 199-210, April.
    8. Paolo Del Giovane & Andrea Nobili & Federico Maria Signoretti, 2013. "Supply tightening or lack of demand? An analysis of credit developments during the Lehman Brothers and the sovereign debt crises," Temi di discussione (Economic working papers) 942, Bank of Italy, Economic Research and International Relations Area.
    9. Bofinger, Peter & Maas, Daniel & Ries, Mathias, 2017. "A model of the market for bank credit: The case of Germany," W.E.P. - Würzburg Economic Papers 98, University of Würzburg, Department of Economics.
    10. Tamini, Arnaud & Petey, Joël, 2021. "Hoarding of reserves in the banking industry: Explaining the African paradox," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 214-225.
    11. Schmidt, Torsten & Zwick, Lina, 2012. "In Search for a Credit Crunch in Germany," Ruhr Economic Papers 361, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.

  18. BAUWENS, Luc & KIRMAN, Alan & LUBRANO, Michel & PROTOPOPESCU, Camelia, 2003. "Ranking economics departments in Europe: a statistical approach," LIDAM Discussion Papers CORE 2003050, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. Tombazos, Christis G., 2005. "A revisionist perspective of European research in economics," European Economic Review, Elsevier, vol. 49(2), pages 251-277, February.
    2. Raul Ramos & Vicente Royuela & Jordi Suriñach, 2006. "An analysis of the determinants in economics and business publications by spanish universities between 1994 and 2004," IREA Working Papers 200602, University of Barcelona, Research Institute of Applied Economics, revised Dec 2006.
    3. van Dalen, Hendrik Peter, 2021. "How the publish-or-perish principle divides a science: The case of economists," Other publications TiSEM a6a5a855-bb5a-4d52-a841-3, Tilburg University, School of Economics and Management.
    4. Frank Neri & Joan Rodgers, 2012. "Human capital externalities, departmental co-authorship and research productivity," Economics Working Papers wp12-05, School of Economics, University of Wollongong, NSW, Australia.
    5. Püttmann, Vitus & Thomsen, Stephan L. & Trunzer, Johannes, 2020. "Zur Relevanz von Ausstattungsunterschieden für Forschungsleistungsvergleiche: Ein Diskussionsbeitrag für die Wirtschaftswissenschaften in Deutschland," Hannover Economic Papers (HEP) dp-679, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, revised Mar 2021.
    6. Chih-Sheng Hsieh & Michael D. König & Xiaodong Liu & Christian Zimmermann, 2018. "Superstar Economists: Coauthorship networks and research output," Working Papers 2018-28, Federal Reserve Bank of St. Louis.
    7. Mustafa Kadir DOĞAN & Tolga YURET, 2013. "Publication Performance and Student Quality of Turkish Economics Departments," Sosyoekonomi Journal, Sosyoekonomi Society, issue 19(19).
    8. Frances Ruane & Richard S.J. Tol, 2007. "Centres of Research Excellence in Economics in the Republic of Ireland," Papers WP180, Economic and Social Research Institute (ESRI).
    9. Henrekson, Magnus & Waldenström, Daniel, 2008. "How Should Research Performance Be Measured? A Study of Swedish Economists," SSE/EFI Working Paper Series in Economics and Finance 693, Stockholm School of Economics.
    10. Miriam Hein, 2005. "Wie hat sich die universitaere volkswirtschaftliche Forschung in der Schweiz seit Beginn der 90er Jahre entwickelt?�," TWI Research Paper Series 11, Thurgauer Wirtschaftsinstitut, Universität Konstanz.
    11. Chokri Dridi & Wiktor L. Adamowicz & Alfons Weersink, 2010. "Ranking of Research Output of Agricultural Economics Departments in Canada and Selected U.S. Universities," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 58(3), pages 273-282, September.
    12. Miguel sarmiento, 2009. "Central Bank Economic Research: Output, Demand, Productivity, and Relevance," Borradores de Economia 5935, Banco de la Republica.
    13. Stephen Bazen & Patrick Moyes, 2011. "Elitism and Stochastic Dominance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00576585, HAL.
    14. Mark J. McCabe & Christopher M. Snyder, 2015. "Does Online Availability Increase Citations? Theory and Evidence from a Panel of Economics and Business Journals," The Review of Economics and Statistics, MIT Press, vol. 97(1), pages 144-165, March.
    15. Stelios Katranidis & Theodore Panagiotidis & Kostas Zontanos, 2022. "A note on the relative productivity drivers of economists: a probit/logit approach for six European countries," Economic Change and Restructuring, Springer, vol. 55(4), pages 2171-2178, November.
    16. Rabah Amir & Malgorzata Knauff, 2008. "Ranking Economics Departments Worldwide on the Basis of PhD Placement," The Review of Economics and Statistics, MIT Press, vol. 90(1), pages 185-190, August.
    17. Giannias Dimitris A. & Sfakianaki Eleni, 2012. "University Rankings of Different Academic Positions for the Present and the Future: The Case of Greek Departments of Economics," Scientific Annals of Economics and Business, Sciendo, vol. 59(2), pages 43-66, December.
    18. Tom Coupé, 2003. "Revealed Performances: Worldwide Rankings of Economists and Economics Departments, 1990-2000," Journal of the European Economic Association, MIT Press, vol. 1(6), pages 1309-1345, December.
    19. Badi H. Baltagi, 2007. "Worldwide Econometrics Rankings: 1989-2005," Center for Policy Research Working Papers 94, Center for Policy Research, Maxwell School, Syracuse University.
    20. Hendrik P. van Dalen, 2019. "Values of Economists Matter in the Art and Science of Economics," Kyklos, Wiley Blackwell, vol. 72(3), pages 472-499, August.
    21. Esteban Colla De Robertis, 2010. "Monetary policy committees and the decision to publish voting records," Documentos de Investigación - Research Papers 1, CEMLA.
    22. van Ours, J.C. & Vermeulen, F.M.P., 2007. "Ranking Dutch economists," Other publications TiSEM 22ef61f4-2610-4223-a75b-7, Tilburg University, School of Economics and Management.
    23. Angelina Keil & Peter Huber, 2004. "„Wo die Luft dünn wird…”– Zur Publikationstätigkeit der Wirtschaftsforschungsinstitute Österreichs und Deutschlands," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, vol. 5(3), pages 363-375, August.
    24. Justus Haucap & Michael Mödl, 2013. "Zum Verhältnis von Spitzenforschung und Politikberatung: Eine empirische Analyse vor dem Hintergrund des Ökonomenstreits," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, vol. 14(3-4), pages 346-378, August.
    25. Mladen Djuric & Jovan Filipovic & Stefan Komazec, 2020. "Reshaping the Future of Social Metrology: Utilizing Quality Indicators to Develop Complexity-Based Scientific Human and Social Capital Measurement Model," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 148(2), pages 535-567, April.
    26. Michael Graber & Andrey Launov & Klaus Waelde, 2007. "How to get tenured," Working Papers 030, Bavarian Graduate Program in Economics (BGPE).
    27. Azar, Ofer H. & Brock, David M., 2007. "A Citation-Based Ranking of Strategic Management Journals," MPRA Paper 7066, University Library of Munich, Germany.
    28. Michael Graber & Andrey Launov & Klaus Wälde, 2008. "Publish or Perish? The Increasing Importance of Publications for Prospective Economics Professors in Austria, Germany and Switzerland," German Economic Review, Verein für Socialpolitik, vol. 9(4), pages 457-472, November.
    29. Angelini, Paolo, 2003. "Small is beautiful but large is not to be belittled: a comment on Eijffinger et al. [Eur. J. Political Economy 18 (2002) 365-374]," European Journal of Political Economy, Elsevier, vol. 19(4), pages 901-903, November.
    30. Fredrick M. Wamalwa & Justine Burns, 2018. "Teacher Human Capital, Teacher Effort and Student Achievements in Kenya," Working Papers 150, Economic Research Southern Africa.
    31. Albarrán, Pedro, 2016. "Are migrants more productive than stayers? Some evidence for a set of highly productive academic economists," UC3M Working papers. Economics 23424, Universidad Carlos III de Madrid. Departamento de Economía.
    32. Azar, Ofer H., 2006. "Behavioral economics and socio-economics journals: A citation-based ranking," MPRA Paper 4377, University Library of Munich, Germany.
    33. Robert F. Mulligan, 2024. "Publication trends in political economy scholarship 2011–2020," Constitutional Political Economy, Springer, vol. 35(2), pages 200-302, June.
    34. James B. Davies & Martin G. Kocher & Matthias Sutter, 2008. "Economics research in Canada: a long‐run assessment of journal publications," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 41(1), pages 22-45, February.
    35. van Dalen, Hendrik Peter, 2019. "Do the Values of Economists Matter in the Art and Science of Economics?," Other publications TiSEM bda08972-cae2-4c5b-be28-c, Tilburg University, School of Economics and Management.
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    58. Kevin Greenidge & Lisa Drakes, 2010. "Tax Policy and Macroeconomic Activity in Barbados," Money Affairs, CEMLA, vol. 0(2), pages 182-210, July-Dece.
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    60. Laurens Cherchye & Frederic Vermeulen, 2004. "Robust rankings of multi-dimensional performances: An application to Tour de France racing cyclists," Public Economics Working Paper Series wptourf, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, Working Group Public Economics.
    61. Michael Graber & Andrey Launov & Klaus Wälde, 2007. "How to Get Tenured (in Germany, in Economics)," Working Papers 2007_32, Business School - Economics, University of Glasgow.
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    63. Justus Haucap, 2020. "Wirtschaftswissenschaftliche Politikberatung in Deutschland: Stärken, Schwächen, Optimierungspotenzial," Springer Books, in: Dirk Loerwald (ed.), Ökonomische Erkenntnisse verständlich vermitteln, pages 45-78, Springer.
    64. Vicente Royuela & Juan Carlos Duque & Raul Ramos, 2005. "Regional and Urban Research in Italy during the Nineties: Evidence from Publications in Nine Top International Journals," SCIENZE REGIONALI, FrancoAngeli Editore, vol. 2005(3).
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    68. Derek Yu & Atoko Kasongo & Mariana Moses, 2016. "Examining the performance of the South African economics departments, 2005-2014," Working Papers 13/2016, Stellenbosch University, Department of Economics.
    69. Raquel Carrasco & Javier Ruiz-Castillo, 2014. "The Evolution Of The Scientific Productivity Of Highly Productive Economists," Economic Inquiry, Western Economic Association International, vol. 52(1), pages 1-16, January.
    70. Laurens Cherchye & Frederic Vermeulen, 2006. "Robust Rankings of Multidimensional Performances," Journal of Sports Economics, , vol. 7(4), pages 359-373, November.
    71. Jin, Jang C., 2005. "Economics departmental rankings in Korea: A decade later," Journal of Asian Economics, Elsevier, vol. 16(2), pages 223-237, April.
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    73. Joan R. Rodgers & Abbas Valadkhani, 2006. "A Multidimensional Ranking of Australian Economics Departments," The Economic Record, The Economic Society of Australia, vol. 82(256), pages 30-43, March.
    74. Aziz Kutlar & Ali Kabasakal & Mehmet Sena Ekici, 2013. "Contributions of Turkish academicians supervising PhD dissertations and their universities to economics: an evaluation of the 1990–2011 period," Scientometrics, Springer;Akadémiai Kiadó, vol. 97(3), pages 639-658, December.
    75. Murat Çokgezen, 2019. "Research Performance of Turkish Economists and Economics Departments: Another Update and a Review of the 2000s," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 55(1), pages 133-149, January.
    76. Murat Çokgezen, 2006. "Publication Performance of Economists and Economics Departments in Turkey (1999–2003)," Bulletin of Economic Research, Wiley Blackwell, vol. 58(3), pages 253-265, July.
    77. Martin Gregor, 2006. "Hodnocení ekonomických pracovišť a ekonomů: Koho, proč, čím a jak [A survey of rankings of economic departments: Global, american, european and national]," Politická ekonomie, Prague University of Economics and Business, vol. 2006(3), pages 394-414.
    78. Jang C. Jin, 2009. "Asian University Rankings in International and Development Economics: An Application of Zipf's Law," Review of International Economics, Wiley Blackwell, vol. 17(1), pages 137-143, February.
    79. Javier Ruiz-Castillo, 2008. "Economics research in Spain during the 1990s: a literature review," Spanish Economic Review, Springer;Spanish Economic Association, vol. 10(3), pages 221-249, September.
    80. Frank Neri & Joan R. Rodgers, 2013. "Eagles and Turkeys: Human Capital Externalities, Departmental Co-authorship and Research Productivity," Australian Economic Papers, Wiley Blackwell, vol. 52(3-4), pages 171-189, December.
    81. Maria Racionero, 2009. "Susanne Warning, The Economic Analysis of Universities: Strategic Groups and Positioning (Edward Elgar Publishing, 2007)," Agenda - A Journal of Policy Analysis and Reform, Australian National University, College of Business and Economics, School of Economics, vol. 16(1), pages 83-86.
    82. Hendrik P. Dalen, 2021. "How the publish-or-perish principle divides a science: the case of economists," Scientometrics, Springer;Akadémiai Kiadó, vol. 126(2), pages 1675-1694, February.
    83. Pierre St-Amant & Greg Tkacz & Annie Guérard-Langlois & Louis Morel, 2005. "Quantity, Quality, and Relevance: Central Bank Research, 1990-2003," Staff Working Papers 05-37, Bank of Canada.
    84. Barbara Dluhosch, 2011. "European Economics at a Crossroads, by J. Barkley Rosser, Jr., Richard P. F. Holt, and David Colander," Journal of Regional Science, Wiley Blackwell, vol. 51(3), pages 629-631, August.
    85. Frank Neri & Joan R. Rodgers, 2006. "Ranking Australian Economics Departments by Research Productivity," The Economic Record, The Economic Society of Australia, vol. 82(s1), pages 74-84, September.
    86. Silvia Ferrini, 2007. "L’Impact Factor: luci e ombre," Department of Economic Policy, Finance and Development (DEPFID) University of Siena 002, Department of Economic Policy, Finance and Development (DEPFID), University of Siena.
    87. Jin, Jang C. & Hong, Jin-Heon, 2008. "East Asian rankings of economics departments," Journal of Asian Economics, Elsevier, vol. 19(1), pages 74-82, February.
    88. James Foster & Joel Greer & Erik Thorbecke, 2010. "The Foster–Greer–Thorbecke (FGT) poverty measures: 25 years later," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 8(4), pages 491-524, December.
    89. James E. Foster & Joel Greer & Erik Thorbecke, 2010. "The Foster-Greer-Thorbecke (FGT) Poverty Measures: Twenty-Five Years Later," Working Papers 2010-14, The George Washington University, Institute for International Economic Policy.
    90. van Dalen, Hendrik Peter, 2020. "How the Publish-or-Perish Principle Divides a Science : The Case of Academic Economists," Discussion Paper 2020-020, Tilburg University, Center for Economic Research.
    91. David Anderson & John Tressler, 2008. "Research output in New Zealand economics departments 2000-2006: A stock approach," New Zealand Economic Papers, Taylor & Francis Journals, vol. 42(2), pages 155-189.
    92. Pedro Albarrán & Raquel Carrasco & Javier Ruiz-Castillo, 2017. "Geographic mobility and research productivity in a selection of top world economics departments," Scientometrics, Springer;Akadémiai Kiadó, vol. 111(1), pages 241-265, April.

  19. BAUWENS , Luc & LUBRANO, Michel, 2002. "Bayesian option pricing using asymmetric GARCH models," LIDAM Reprints CORE 1569, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. Audrone Virbickaite & M. Concepción Ausín & Pedro Galeano, 2015. "Bayesian Inference Methods For Univariate And Multivariate Garch Models: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 29(1), pages 76-96, February.
    2. Martin, G.M. & Forbes, C.S. & Martin, V.L., 2000. "Implicit Bayesian Inference Using Option Prices," Monash Econometrics and Business Statistics Working Papers 5/00, Monash University, Department of Econometrics and Business Statistics.
    3. David Ardia & Lennart F. Hoogerheide, 2010. "Efficient Bayesian Estimation and Combination of GARCH-Type Models," Tinbergen Institute Discussion Papers 10-046/4, Tinbergen Institute.
    4. G.C. Lim & G.M. Martin & V.L. Martin, 2002. "Parametric Pricing of Higher Order Moments in S&P500 Options," Monash Econometrics and Business Statistics Working Papers 1/02, Monash University, Department of Econometrics and Business Statistics.
    5. Ausin, Maria Concepcion & Galeano, Pedro, 2007. "Bayesian estimation of the Gaussian mixture GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 51(5), pages 2636-2652, February.
    6. Bauwens, L. & Hafner C. & Laurent, S., 2011. "Volatility Models," LIDAM Discussion Papers ISBA 2011044, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
      • BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," LIDAM Discussion Papers CORE 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
      • Bauwens, L. & Hafner, C. & Laurent, S., 2012. "Volatility Models," LIDAM Reprints ISBA 2012028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    7. Lanne, Markku & Luoto, Jani, 2007. "Robustness of the Risk-Return Relationship in the U.S. Stock Market," MPRA Paper 3879, University Library of Munich, Germany.
    8. Chiang, Min-Hsien & Huang, Hsin-Yi, 2011. "Stock market momentum, business conditions, and GARCH option pricing models," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 488-505, June.
    9. Catherine S. Forbes & Gael M. Martin & Jill Wright, 2007. "Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 387-418.
    10. ROMBOUTS, Jeroen V.K. & STENTOFT, Lars, 2009. "Bayesian option pricing using mixed normal heteroskedasticity models," LIDAM Discussion Papers CORE 2009013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    11. Yuzhi Cai, 2021. "Estimating expected shortfall using a quantile function model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4332-4360, July.
    12. Abel Rodr�guez & Enrique ter Horst, 2011. "Measuring expectations in options markets: an application to the S&P500 index," Quantitative Finance, Taylor & Francis Journals, vol. 11(9), pages 1393-1405, July.
    13. Eirini Konstantinidi & Gkaren Papazian & George Skiadopoulos, 2015. "Modeling the Dynamics of Temperature with a View to Weather Derivatives," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 17, pages 511-544, World Scientific Publishing Co. Pte. Ltd..
    14. Ehlers, Ricardo S., 2012. "Computational tools for comparing asymmetric GARCH models via Bayes factors," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 82(5), pages 858-867.
    15. Lisha Lin & Yaqiong Li & Rui Gao & Jianhong Wu, 2019. "The Numerical Simulation of Quanto Option Prices Using Bayesian Statistical Methods," Papers 1910.04075, arXiv.org.
    16. Kiyotaka Satoyoshi & Hidetoshi Mitsui, 2011. "Empirical Study of Nikkei 225 Options with the Markov Switching GARCH Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(1), pages 55-68, March.
    17. Giannikis, D. & Vrontos, I.D. & Dellaportas, P., 2008. "Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 52(3), pages 1549-1571, January.
    18. Tunaru, Radu & Zheng, Teng, 2017. "Parameter estimation risk in asset pricing and risk management: A Bayesian approach," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 80-93.
    19. Anna Pajor, 2009. "Bayesian Analysis of the Box-Cox Transformation in Stochastic Volatility Models," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 9, pages 81-90.
    20. Lin, Lisha & Li, Yaqiong & Gao, Rui & Wu, Jianhong, 2021. "The numerical simulation of Quanto option prices using Bayesian statistical methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 567(C).
    21. Chen, Yufeng & Xu, Jing & Miao, Jiafeng, 2023. "Dynamic volatility contagion across the Baltic dry index, iron ore price and crude oil price under the COVID-19: A copula-VAR-BEKK-GARCH-X approach," Resources Policy, Elsevier, vol. 81(C).
    22. Darsinos, T. & Satchell, S.E., 2001. "Bayesian Forecasting of Options Prices: A Natural Framework for Pooling Historical and Implied Volatiltiy Information," Cambridge Working Papers in Economics 0116, Faculty of Economics, University of Cambridge.
    23. Fonseca, Thais C O & Cerqueira, Vinicius S & Migon, Helio S & Torres, Christian A C, 2021. "Evaluating the performance of degrees of freedom estimation in asymmetric GARCH models with t-student innovations," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 40(2), April.
    24. Shu Wing Ho & Alan Lee & Alastair Marsden, 2011. "Use of Bayesian Estimates to determine the Volatility Parameter Input in the Black-Scholes and Binomial Option Pricing Models," JRFM, MDPI, vol. 4(1), pages 1-23, December.
    25. Yu, Lean & Zha, Rui & Stafylas, Dimitrios & He, Kaijian & Liu, Jia, 2020. "Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models," International Review of Financial Analysis, Elsevier, vol. 68(C).
    26. Li, Chao & Shang, Pengjian, 2018. "Complexity analysis based on generalized deviation for financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 494(C), pages 118-128.

  20. LUBRANO, Michel, 2000. "Bayesian non-linear modellings of the short term US interest rate: the help of non-parametric tools," LIDAM Discussion Papers CORE 2000038, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. Petros Dellaportas & David G. T. Denison & Chris Holmes, 2007. "Flexible Threshold Models for Modelling Interest Rate Volatility," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 419-437.

  21. LUBRANO, Michel, 1998. "Smooth transition GARCH models: a Bayesian perspective," LIDAM Discussion Papers CORE 1998066, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. Glen Livingston Jr & Darfiana Nur, 2020. "Bayesian estimation and model selection of a multivariate smooth transition autoregressive model," Environmetrics, John Wiley & Sons, Ltd., vol. 31(6), September.
    2. Giuseppe Storti & Luc Bauwens, 2006. "A component GARCH model with time varying weights," Computing in Economics and Finance 2006 388, Society for Computational Economics.
    3. Thomas Chuffart, 2015. "Selection Criteria in Regime Switching Conditional Volatility Models," Econometrics, MDPI, vol. 3(2), pages 1-28, May.
    4. LUBRANO, Michel, 2000. "Bayesian non-linear modellings of the short term US interest rate: the help of non-parametric tools," LIDAM Discussion Papers CORE 2000038, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    5. Bauwens, L. & Lubrano, M., 2000. "Bayesian Option Pricing using Asymmetric Garch Models," G.R.E.Q.A.M. 00a18, Universite Aix-Marseille III.
    6. Lin, Edward M.H. & Chen, Cathy W.S. & Gerlach, Richard, 2012. "Forecasting volatility with asymmetric smooth transition dynamic range models," International Journal of Forecasting, Elsevier, vol. 28(2), pages 384-399.
    7. Michael Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2009. "Contemporaneous-Threshold Smooth Transition GARCH Models," Department of Economics Working Papers 2009-06, Universidad Torcuato Di Tella.
    8. Martin Bruns & Michele Piffer, 2021. "Monetary policy shocks over the business cycle: Extending the Smooth Transition framework," University of East Anglia School of Economics Working Paper Series 2021-07, School of Economics, University of East Anglia, Norwich, UK..
    9. Fonseca, Thais C O & Cerqueira, Vinicius S & Migon, Helio S & Torres, Christian A C, 2021. "Evaluating the performance of degrees of freedom estimation in asymmetric GARCH models with t-student innovations," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 40(2), April.
    10. Dominique Guegan & Bertrand K. Hassani, 2019. "Risk Measurement," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02119256, HAL.
    11. Wago, Hajime, 2004. "Bayesian estimation of smooth transition GARCH model using Gibbs sampling," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(1), pages 63-78.
    12. Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.

  22. BAUWENS, LUC & LUBRANO, Michel, 1997. "Bayesian option pricing using asymmetric GARCH," LIDAM Discussion Papers CORE 1997059, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. Lanne, Markku & Luoto, Jani, 2007. "Robustness of the Risk-Return Relationship in the U.S. Stock Market," MPRA Paper 3879, University Library of Munich, Germany.
    2. Abel Rodríguez & Enrique ter Horst & Samuel Malone, 2015. "Bayesian Inference for a Structural Credit Risk Model with Stochastic Volatility and Stochastic Interest Rates," Journal of Financial Econometrics, Oxford University Press, vol. 13(4), pages 839-867.
    3. HAFNER, Christian & HERWARTZ, Helmut, 1998. "Volatility impulse response functions for multivariate GARCH models," LIDAM Discussion Papers CORE 1998047, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

  23. Barthelemy, F. & Lubrano, M., 1996. "Properties of the ADF Unit Root Test for Models with Trends and Cycles," G.R.E.Q.A.M. 96a13, Universite Aix-Marseille III.

    Cited by:

    1. Galbraith, JohnW. & Zinde-Walsh, Victoria, 1999. "On the distributions of Augmented Dickey-Fuller statistics in processes with moving average components," Journal of Econometrics, Elsevier, vol. 93(1), pages 25-47, November.

  24. Lubrano, M., 1996. "Bayesian Analysis of Nonlinear Time Series Models with Threshold," G.R.E.Q.A.M. 96a12, Universite Aix-Marseille III.

    Cited by:

    1. Lubrano, Michel, 2004. "Modélisation bayésienne non linéaire du taux d’intérêt de court terme américain : l’aide des outils non paramétriques," L'Actualité Economique, Société Canadienne de Science Economique, vol. 80(2), pages 465-499, Juin-Sept.
    2. LUBRANO, Michel, 1998. "Smooth transition GARCH models: a Bayesian perspective," LIDAM Discussion Papers CORE 1998066, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. Michael Dueker & Martin Sola & Fabio Spagnolo, 2006. "Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting," Department of Economics Working Papers 2006-04, Universidad Torcuato Di Tella.
    4. LUBRANO, Michel, 2000. "Bayesian non-linear modellings of the short term US interest rate: the help of non-parametric tools," LIDAM Discussion Papers CORE 2000038, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    5. Greb, Friederike & Krivobokova, Tatyana & von Cramon-Taubadel, Stephan & Munk, Axel, 2011. "On threshold estimation in threshold vector error correction models," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114599, European Association of Agricultural Economists.
    6. Koop, Gary & Potter, Simon M., 1998. "Bayes factors and nonlinearity: Evidence from economic time series1," Journal of Econometrics, Elsevier, vol. 88(2), pages 251-281, November.
    7. Simon Potter, 1999. "Nonlinear Time Series Modelling: An Introduction," Journal of Economic Surveys, Wiley Blackwell, vol. 13(5), pages 505-528, December.

  25. BAUWENs, Luc & LUBRANO , Michel, 1996. "Bayesian Inference on GARCH Models using the Gibbs Sampler," LIDAM Discussion Papers CORE 1996027, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. Mathias Silva & Michel Lubrano, 2023. "Bayesian correction for missing rich using a Pareto II tail with unknown threshold: Combining EU-SILC and WID data," Working Papers hal-04231661, HAL.
    2. Audrone Virbickaite & M. Concepción Ausín & Pedro Galeano, 2015. "Bayesian Inference Methods For Univariate And Multivariate Garch Models: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 29(1), pages 76-96, February.
    3. Miazhynskaia, Tatiana & Fruhwirth-Schnatter, Sylvia & Dorffner, Georg, 2006. "Bayesian testing for non-linearity in volatility modeling," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 2029-2042, December.
    4. Juan Carlos Ruilova & Pedro Alberto Morettin, 2020. "Parsimonious Heterogeneous ARCH Models for High Frequency Modeling," JRFM, MDPI, vol. 13(2), pages 1-19, February.
    5. Lubrano, Michel, 2004. "Modélisation bayésienne non linéaire du taux d’intérêt de court terme américain : l’aide des outils non paramétriques," L'Actualité Economique, Société Canadienne de Science Economique, vol. 80(2), pages 465-499, Juin-Sept.
    6. Oleg Korenok & Stanislav Radchenko, 2005. "The smooth transition autoregressive target zone model with the Gaussian stochastic volatility and TGARCH error terms with applications," Working Papers 0505, VCU School of Business, Department of Economics.
    7. Tareq Sadeq & Michel Lubrano, 2018. "The Wall’s Impact in the Occupied West Bank: A Bayesian Approach to Poverty Dynamics Using Repeated Cross-Sections," AMSE Working Papers 1836, Aix-Marseille School of Economics, France.
    8. Font, Begoña, 1998. "Modelización de series temporales financieras. Una recopilación," DES - Documentos de Trabajo. Estadística y Econometría. DS 3664, Universidad Carlos III de Madrid. Departamento de Estadística.
    9. Ardia, David & Lennart, Hoogerheide & Nienke, Corré, 2011. "Stock index returns’ density prediction using GARCH models: Frequentist or Bayesian estimation?," MPRA Paper 28259, University Library of Munich, Germany.
    10. David Ardia & Lennart F. Hoogerheide, 2010. "Efficient Bayesian Estimation and Combination of GARCH-Type Models," Tinbergen Institute Discussion Papers 10-046/4, Tinbergen Institute.
    11. Li Qiang & Wang Liming & Qiu Fei, 2015. "Detecting the Structural Breaks in GARCH Models Based on Bayesian Method: The Case of China Share Index Rate of Return," Journal of Systems Science and Information, De Gruyter, vol. 3(4), pages 321-333, August.
    12. Michel Lubrano & Abdoul Aziz Junior Ndoye, 2016. "Income inequality decomposition using a finite mixture of log-normal distributions: A Bayesian approach," Post-Print hal-03676126, HAL.
    13. Ausin, Maria Concepcion & Galeano, Pedro, 2007. "Bayesian estimation of the Gaussian mixture GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 51(5), pages 2636-2652, February.
    14. Hoogerheide, Lennart & Opschoor, Anne & van Dijk, Herman K., 2012. "A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation," Journal of Econometrics, Elsevier, vol. 171(2), pages 101-120.
    15. LUBRANO, Michel, 1998. "Smooth transition GARCH models: a Bayesian perspective," LIDAM Discussion Papers CORE 1998066, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    16. Lanne, Markku & Luoma, Arto & Luoto, Jani, 2009. "Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models," MPRA Paper 23646, University Library of Munich, Germany.
    17. Tomasz Wozniak, 2012. "Testing Causality Between Two Vectors in Multivariate GARCH Models," Department of Economics - Working Papers Series 1139, The University of Melbourne.
    18. Xibin Zhang & Maxwell L. King, 2011. "Bayesian semiparametric GARCH models," Monash Econometrics and Business Statistics Working Papers 24/11, Monash University, Department of Econometrics and Business Statistics.
    19. Jouchi Nakajima & Yasuhiro Omori, 2010. "Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution Models," CIRJE F-Series CIRJE-F-738, CIRJE, Faculty of Economics, University of Tokyo.
    20. Rubing Liang & Binbin Qin & Qiang Xia, 2024. "Bayesian Inference for Mixed Gaussian GARCH-Type Model by Hamiltonian Monte Carlo Algorithm," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 193-220, January.
    21. Lanne, Markku & Luoto, Jani, 2007. "Robustness of the Risk-Return Relationship in the U.S. Stock Market," MPRA Paper 3879, University Library of Munich, Germany.
    22. Oscar Andrés Espinosa Acuna & Paola Andrea Vaca González, 2017. "Ajuste de modelos garch clásico y bayesiano con innovaciones t—student para el índice COLCAP," Revista de Economía del Caribe 17172, Universidad del Norte.
    23. Giuseppe Storti & Luc Bauwens, 2006. "A component GARCH model with time varying weights," Computing in Economics and Finance 2006 388, Society for Computational Economics.
    24. Xibin Zhang & Maxwell L. King, 2013. "Gaussian kernel GARCH models," Monash Econometrics and Business Statistics Working Papers 19/13, Monash University, Department of Econometrics and Business Statistics.
    25. Asai, Manabu, 2009. "Bayesian analysis of stochastic volatility models with mixture-of-normal distributions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2579-2596.
    26. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002. "Likelihood-Based Estimation of Latent Generalised ARCH Structures," Working Papers wp2002_0204, CEMFI.
    27. Nakajima, Jouchi & Omori, Yasuhiro, 2012. "Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3690-3704.
    28. Tatiana Miazhynskaia & Georg Dorffner, 2006. "A comparison of Bayesian model selection based on MCMC with an application to GARCH-type models," Statistical Papers, Springer, vol. 47(4), pages 525-549, October.
    29. Qiang Xia & Heung Wong & Jinshan Liu & Rubing Liang, 2017. "Bayesian Analysis of Power-Transformed and Threshold GARCH Models: A Griddy-Gibbs Sampler Approach," Computational Economics, Springer;Society for Computational Economics, vol. 50(3), pages 353-372, October.
    30. Chen, Cathy W.S. & Gerlach, Richard & Wei, D.C.M., 2009. "Bayesian causal effects in quantiles: Accounting for heteroscedasticity," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1993-2007, April.
    31. Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 2000. "Daily Exchange Rate Behaviour and Hedging of Currency Risk," Econometric Society World Congress 2000 Contributed Papers 0504, Econometric Society.
    32. Aknouche, Abdelhakim & Demmouche, Nacer & Touche, Nassim, 2018. "Bayesian MCMC analysis of periodic asymmetric power GARCH models," MPRA Paper 91136, University Library of Munich, Germany.
    33. Manabu Asai & Michael McAleer, 2018. "Bayesian Analysis of Realized Matrix-Exponential GARCH Models," Tinbergen Institute Discussion Papers 18-005/III, Tinbergen Institute.
    34. Jouchi Nakajima, 2008. "EGARCH and Stochastic Volatility: Modeling Jumps and Heavy-tails for Stock Returns," IMES Discussion Paper Series 08-E-23, Institute for Monetary and Economic Studies, Bank of Japan.
    35. Martin, Gael M. & Frazier, David T. & Maneesoonthorn, Worapree & Loaiza-Maya, Rubén & Huber, Florian & Koop, Gary & Maheu, John & Nibbering, Didier & Panagiotelis, Anastasios, 2024. "Bayesian forecasting in economics and finance: A modern review," International Journal of Forecasting, Elsevier, vol. 40(2), pages 811-839.
    36. Fu, Jin-Yu & Lin, Jin-Guan & Hao, Hong-Xia, 2023. "Volatility analysis for the GARCH–Itô–Jumps model based on high-frequency and low-frequency financial data," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1698-1712.
    37. Luc Bauwens & Charles S. Bos & Herman K. van Dijk, 1999. "Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk," Tinbergen Institute Discussion Papers 99-082/4, Tinbergen Institute.
    38. Sarantis Tsiaplias, 2007. "A Metropolis-in-Gibbs Sampler for Estimating Equity Market Factors," Melbourne Institute Working Paper Series wp2007n18, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    39. M. Pilar Muñoz & M. Dolores Marquez & Lesly M. Acosta, 2007. "Forecasting volatility by means of threshold models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(5), pages 343-363.
    40. Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2023. "Bayesian Forecasting in the 21st Century: A Modern Review," Monash Econometrics and Business Statistics Working Papers 1/23, Monash University, Department of Econometrics and Business Statistics.
    41. Xibin Zhang & Maxwell L. King & Rob J. Hyndman, 2004. "Bandwidth Selection for Multivariate Kernel Density Estimation Using MCMC," Monash Econometrics and Business Statistics Working Papers 9/04, Monash University, Department of Econometrics and Business Statistics.
    42. Łukasz Kwiatkowski, 2011. "Bayesian Analysis of a Regime Switching In-Mean Effect for the Polish Stock Market," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 3(4), pages 187-219, December.
    43. Tony S. Wirjanto & Adam W. Kolkiewicz & Zhongxian Men, 2013. "Stochastic Conditional Duration Models with Mixture Processes," Working Paper series 29_13, Rimini Centre for Economic Analysis.
    44. Wilson Ye Chen & Richard H. Gerlach, 2017. "Semiparametric GARCH via Bayesian model averaging," Papers 1708.07587, arXiv.org.
    45. Bauwens, L. & Lubrano, M., 2000. "Bayesian Option Pricing using Asymmetric Garch Models," G.R.E.Q.A.M. 00a18, Universite Aix-Marseille III.
    46. Jung, Robert C. & Kukuk, Martin & Liesenfeld, Roman, 2006. "Time series of count data: modeling, estimation and diagnostics," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2350-2364, December.
    47. Sylvia Fruhwirth-Schnattaer & Sylvia Kaufmann, 2000. "Bayesian Analysis of Switching ARCH Models," Econometric Society World Congress 2000 Contributed Papers 1381, Econometric Society.
    48. Chow, William W. & Fung, Michael K., 2008. "Volatility of stock price as predicted by patent data: An MGARCH perspective," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 64-79, January.
    49. Pierre-Julien Trombe & Pierre Pinson & Henrik Madsen, 2012. "A General Probabilistic Forecasting Framework for Offshore Wind Power Fluctuations," Energies, MDPI, vol. 5(3), pages 1-37, March.
    50. Carmen Fernandez & Mark F J Steel, 1999. "Bayesian Regression Analysis with scale mixtures of normals," Edinburgh School of Economics Discussion Paper Series 27, Edinburgh School of Economics, University of Edinburgh.
    51. Ehlers, Ricardo S., 2012. "Computational tools for comparing asymmetric GARCH models via Bayes factors," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 82(5), pages 858-867.
    52. Kiyotaka Satoyoshi & Hidetoshi Mitsui, 2011. "Empirical Study of Nikkei 225 Options with the Markov Switching GARCH Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(1), pages 55-68, March.
    53. Giannikis, D. & Vrontos, I.D. & Dellaportas, P., 2008. "Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 52(3), pages 1549-1571, January.
    54. Oscar Andrés Espinosa Acuna & Paola Andrea Vaca González, 2017. "Ajuste de modelos garch clásico y bayesiano con innovaciones t—student para el índice COLCAP," Revista de Economía del Caribe 17147, Universidad del Norte.
    55. Liu, Xiaochun & Luger, Richard, 2015. "Unfolded GARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 186-217.
    56. Zhang, Xibin & King, Maxwell L. & Hyndman, Rob J., 2006. "A Bayesian approach to bandwidth selection for multivariate kernel density estimation," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 3009-3031, July.
    57. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
    58. Zhang, Xibin & King, Maxwell L., 2008. "Box-Cox stochastic volatility models with heavy-tails and correlated errors," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 549-566, June.
    59. Zhongxian Men & Tony S. Wirjanto & Adam W. Kolkiewicz, 2013. "Bayesian Inference of Multiscale Stochastic Conditional Duration Models," Working Paper series 63_13, Rimini Centre for Economic Analysis.
    60. Jung, Robert & Kukuk, Martin & Liesenfeld, Roman, 2005. "Time Series of Count Data: Modelling and Estimation," Economics Working Papers 2005-08, Christian-Albrechts-University of Kiel, Department of Economics.
    61. So, Mike K.P. & Chen, Cathy W.S. & Lee, Jen-Yu & Chang, Yi-Ping, 2008. "An empirical evaluation of fat-tailed distributions in modeling financial time series," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 77(1), pages 96-108.
    62. Tomasz Wozniak, 2012. "Granger-causal analysis of VARMA-GARCH models," Economics Working Papers ECO2012/19, European University Institute.
    63. Xiaobing Zheng & Kun Liang & Qiang Xia & Dabin Zhang, 2022. "Best Subset Selection for Double-Threshold-Variable Autoregressive Moving-Average Models: The Bayesian Approach," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1175-1201, March.
    64. Jarociński, Marek, 2021. "Estimating the Fed’s Unconventional Policy Shocks," Working Paper Series 20210, European Central Bank.
    65. Wei, Steven X., 2002. "A censored-GARCH model of asset returns with price limits," Journal of Empirical Finance, Elsevier, vol. 9(2), pages 197-223, March.
    66. Hoogerheide, Lennart & van Dijk, Herman K., 2010. "Bayesian forecasting of Value at Risk and Expected Shortfall using adaptive importance sampling," International Journal of Forecasting, Elsevier, vol. 26(2), pages 231-247, April.
    67. Łukasz Kwiatkowski, 2010. "Markov Switching In-Mean Effect. Bayesian Analysis in Stochastic Volatility Framework," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 2(1), pages 59-94, January.
    68. Chun Liu & John M. Maheu, 2009. "Forecasting realized volatility: a Bayesian model-averaging approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(5), pages 709-733.
    69. Cathy W. S. Chen & Richard H. Gerlach & Ann M. H. Lin, 2010. "Falling and explosive, dormant, and rising markets via multiple‐regime financial time series models," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 26(1), pages 28-49, January.
    70. Zhongxian Men & Tony S. Wirjanto & Adam W. Kolkiewicz, 2021. "Multiscale Stochastic Volatility Model with Heavy Tails and Leverage Effects," JRFM, MDPI, vol. 14(5), pages 1-28, May.
    71. Hoogerheide, Lennart F. & Ardia, David & Corré, Nienke, 2012. "Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation?," Economics Letters, Elsevier, vol. 116(3), pages 322-325.
    72. Yanhui Xi & Hui Peng & Yemei Qin, 2016. "Modeling Financial Time Series Based on a Market Microstructure Model with Leverage Effect," Discrete Dynamics in Nature and Society, Hindawi, vol. 2016, pages 1-15, February.
    73. Lennart Hoogerheide & Anne Opschoor & Herman K. van Dijk, 2011. "A Class of Adaptive EM-based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive Simulation," Tinbergen Institute Discussion Papers 11-004/4, Tinbergen Institute.
    74. Wago, Hajime, 2004. "Bayesian estimation of smooth transition GARCH model using Gibbs sampling," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(1), pages 63-78.
    75. Tetsuya Takaishi, 2009. "An Adaptive Markov Chain Monte Carlo Method for GARCH Model," Papers 0901.0992, arXiv.org.
    76. Martin Magris & Alexandros Iosifidis, 2023. "Variational Inference for GARCH-family Models," Papers 2310.03435, arXiv.org.
    77. Tetsuya Takaishi, 2009. "Markov Chain Monte Carlo on Asymmetric GARCH Model Using the Adaptive Construction Scheme," Papers 0909.1478, arXiv.org.
    78. N. Alemohammad & S. Rezakhah & S. H. Alizadeh, 2020. "Markov switching asymmetric GARCH model: stability and forecasting," Statistical Papers, Springer, vol. 61(3), pages 1309-1333, June.
    79. Wilson Ye Chen & Gareth W. Peters & Richard H. Gerlach & Scott A. Sisson, 2017. "Dynamic Quantile Function Models," Papers 1707.02587, arXiv.org, revised May 2021.
    80. Sylvia Kaufmann, 2016. "Hidden Markov models in time series, with applications in economics," Working Papers 16.06, Swiss National Bank, Study Center Gerzensee.
    81. Zhongxian Men & Adam W. Kolkiewicz & Tony S. Wirjanto, 2013. "Bayesian Inference of Asymmetric Stochastic Conditional Duration Models," Working Paper series 28_13, Rimini Centre for Economic Analysis.
    82. Osiewalski, Jacek & Pipien, Mateusz, 2004. "Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland," Journal of Econometrics, Elsevier, vol. 123(2), pages 371-391, December.
    83. Ausin, M. Concepcion & Lopes, Hedibert F., 2010. "Time-varying joint distribution through copulas," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2383-2399, November.

  26. BAUWENS, Luc & LUBRANO , Michel, 1994. "Identification Restrictions and Posterior Densities in Cointegrated Gaussian VAR Systems," LIDAM Discussion Papers CORE 1994018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. Luca Benati & Thomas A. Lubik, 2022. "Searching for Hysteresis," Working Paper 22-05, Federal Reserve Bank of Richmond.
    2. Villani, Mattias, 2003. "Bayes Estimators of the Cointegration Space," Working Paper Series 150, Sveriges Riksbank (Central Bank of Sweden).
    3. Gareth W. Peters & Balakrishnan Kannan & Ben Lasscock & Chris Mellen, 2010. "Model Selection and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR model," Papers 1004.3830, arXiv.org.
    4. Gael Martin, 2001. "Bayesian Analysis Of A Fractional Cointegration Model," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 217-234.
    5. Urbain, Jean-Pierre, 1995. "Partial versus full system modelling of cointegrated systems an empirical illustration," Journal of Econometrics, Elsevier, vol. 69(1), pages 177-210, September.
    6. Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2017. "Priors for the long run," Staff Reports 832, Federal Reserve Bank of New York.
    7. Andrea Silvestrini, 2010. "Testing fiscal sustainability in Poland: a Bayesian analysis of cointegration," Empirical Economics, Springer, vol. 39(1), pages 241-274, August.
    8. Christophe Rault, 2005. "Further Results on Weak-Exogeneity in Vector Error Correction Models," Documents de recherche 05-12, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    9. Efthymios Tsionas, 2003. "Inflation and Productivity in Europe: An Empirical Investigation," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 30(1), pages 39-62, March.
    10. Villani, Mattias, 2001. "Bayesian prediction with cointegrated vector autoregressions," International Journal of Forecasting, Elsevier, vol. 17(4), pages 585-605.
    11. Jan Klacso, 2015. "The Effects of the Euro Area Entrance on the Monetary Transmission Mechanism in Slovakia in Light of the Global Economic Recession," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(1), pages 55-83, January.
    12. Sugita, Katsuhiro, 2008. "Bayesian analysis of a Markov switching temporal cointegration model," Japan and the World Economy, Elsevier, vol. 20(2), pages 257-274, March.
    13. Malley, James & Woitek, Ulrich, 2011. "Productivity shocks and aggregate fluctuations in an estimated endogenous growth model with human capital," SIRE Discussion Papers 2011-71, Scottish Institute for Research in Economics (SIRE).
    14. Sugita, Katsuhiro, 2002. "Testing For Cointegration Rank Using Bayes Factors," The Warwick Economics Research Paper Series (TWERPS) 654, University of Warwick, Department of Economics.
    15. John Geweke, 1995. "Bayesian reduced rank regression in econometrics," Working Papers 540, Federal Reserve Bank of Minneapolis.
    16. Kleibergen, Frank, 2004. "Invariant Bayesian inference in regression models that is robust against the Jeffreys-Lindley's paradox," Journal of Econometrics, Elsevier, vol. 123(2), pages 227-258, December.
    17. Rodney Strachan & Herman K. van Dijk, "undated". "Bayesian Model Averaging in Vector Autoregressive Processes with an Investigation of Stability of the US Great Ratios and Risk of a Liquidity Trap in the USA, UK and Japan," MRG Discussion Paper Series 1407, School of Economics, University of Queensland, Australia.
    18. Kleibergen, Frank & Paap, Richard, 2002. "Priors, posteriors and bayes factors for a Bayesian analysis of cointegration," Journal of Econometrics, Elsevier, vol. 111(2), pages 223-249, December.
    19. Karlsson, Sune, 2013. "Forecasting with Bayesian Vector Autoregression," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 791-897, Elsevier.
    20. Villani, Mattias, 2006. "Bayesian point estimation of the cointegration space," Journal of Econometrics, Elsevier, vol. 134(2), pages 645-664, October.
    21. Strachan, Rodney W. & Inder, Brett, 2004. "Bayesian analysis of the error correction model," Journal of Econometrics, Elsevier, vol. 123(2), pages 307-325, December.
    22. Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute.
    23. Villani, Mattias, 2005. "Bayesian Inference of General Linear Restrictions on the Cointegration Space," Working Paper Series 189, Sveriges Riksbank (Central Bank of Sweden).
    24. Warne, Anders, 2006. "Bayesian inference in cointegrated VAR models: with applications to the demand for euro area M3," Working Paper Series 692, European Central Bank.
    25. Ossama Mikhail, 2005. "What Happens After A Technology Shock? A Bayesian Perspective," Macroeconomics 0510016, University Library of Munich, Germany.

  27. de la Croix, David & Lubrano, Michel, 1994. "Are Interest Rates Responsible for Unemployment in the Eighties ? A Bayesian Analysis of Cointegrated Relationship with a Regime Shift," LIDAM Discussion Papers IRES 1994015, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).

    Cited by:

    1. Gael Martin, 2001. "Bayesian Analysis Of A Fractional Cointegration Model," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 217-234.
    2. Jean-Pierre Urbain & Franz Palm & David de la Croix, 2000. "Labor market dynamics when effort depends on wage growth comparisons," Empirical Economics, Springer, vol. 25(3), pages 393-419.
    3. de la Croix, David & Fagnart, Jean-Francois, 1995. "Underemployment of production factors in a forward-looking model," Labour Economics, Elsevier, vol. 2(2), pages 131-159, June.
    4. Gael M. Martin, 2000. "US deficit sustainability: a new approach based on multiple endogenous breaks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(1), pages 83-105.

  28. Lubrano, Michel & Shadman-Mehta, Fatemeh & Sneessens, Henri R., 1993. "Real Wages, Quantity Constraints and Equilibrium Unemployment : Belgium 1955-1988," LIDAM Discussion Papers IRES 1993011, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).

    Cited by:

    1. Jacques Drèze, 2001. "On the Macroeconomics of Uncertainty and Incomplete Markets," International Economic Association Series, in: Jacques Drèze (ed.), Advances in Macroeconomic Theory, chapter 3, pages 30-55, Palgrave Macmillan.
    2. Mounfield, C.C. & Edwards, S.F., 1994. "A model for the packing of irregularly shaped grains," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 210(3), pages 301-316.
    3. Welfe, Aleksander, 1996. "The Price-Wage Inflationary Spiral in Poland," Economic Change and Restructuring, Springer, vol. 29(1), pages 33-50.
    4. Welfe, Aleksander, 1994. "The price-wage inflationary spiral: The mixed economic case," Discussion Papers 13, University of Konstanz, Center for International Labor Economics (CILE).

  29. Lubrano, Michel, 1991. "Testing for Unit Roots Cointegration in a Bayesian Framework," LIDAM Discussion Papers IRES 1991003, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).

    Cited by:

    1. Lubrano, Michel, 1995. "Testing for unit roots in a Bayesian framework," Journal of Econometrics, Elsevier, vol. 69(1), pages 81-109, September.

  30. BAUWENS, Luc & LUBRANO, Michel, 1991. "Bayesian diagnostics for heterogeneity," LIDAM Reprints CORE 963, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. LUBRANO, Michel, 1998. "Smooth transition GARCH models: a Bayesian perspective," LIDAM Discussion Papers CORE 1998066, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. Lee, Grace H.Y. & Azali, M., 2012. "Is East Asia an optimum currency area?," Economic Modelling, Elsevier, vol. 29(2), pages 87-95.

  31. Lubrano, M. & Pierse, R.G. & Richard, J.-F., 1986. "Stability of a U.K. money demand equation: a Bayesian approach to testing exogeneity," LIDAM Reprints CORE 712, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. Nijman, T.E. & Steel, M.F.J., 1988. "Exclusion restrictions in instrumental variables equations," Other publications TiSEM 16c4ea87-a70c-46c6-aa6b-4, Tilburg University, School of Economics and Management.
    2. Goodhart, Charles, 1989. "The Conduct of Monetary Policy," Economic Journal, Royal Economic Society, vol. 99(396), pages 293-346, June.
    3. Bauwens, L. & Dijk, H. K., 1989. "Bayesian Limited Information Analysis Revisited," Econometric Institute Archives 272386, Erasmus University Rotterdam.
    4. Garratt, Anthony & Koop, Gary & Mise, Emi & Vahey, Shaun P., 2009. "Real-Time Prediction With U.K. Monetary Aggregates in the Presence of Model Uncertainty," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 480-491.
    5. Neil R. Ericsson, David F. Hendry & Kevin M. Prestiwch, "undated". "The UK Demand for Broad Money over the Long run," Economics Papers W29, Economics Group, Nuffield College, University of Oxford.
    6. Nijman, T.E. & Steel, M.F.J., 1990. "Exclusion restrictions in instrumental variables equations," Other publications TiSEM 2fc5f516-97b7-404e-9571-e, Tilburg University, School of Economics and Management.

  32. LUBRANO, Michel, 1985. "Bayesian analysis of switching regression models," LIDAM Reprints CORE 647, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. Ley, Eduardo, 1992. "Switching regressions and activity analysis," UC3M Working papers. Economics 5820, Universidad Carlos III de Madrid. Departamento de Economía.

  33. LAMBERT, Jean-Paul & LUBRANO, Michel & SNEESSENS, Henri R., 1984. "Emploi et chômage en France de 1955 à 1982: un modèle macro-économique annuel avec rationnement," LIDAM Reprints CORE 619, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. Plassard, Romain & Renault, Matthieu, 2023. "General equilibrium models with rationing: The making of a ‘European specialty’," European Economic Review, Elsevier, vol. 159(C).

Articles

  1. Ewen Gallic & Michel Lubrano & Pierre Michel, 2022. "Optimal lockdowns for COVID‐19 pandemics: Analyzing the efficiency of sanitary policies in Europe," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 24(5), pages 944-967, October.
    See citations under working paper version above.
  2. Edwin Fourrier-Nicolaï & Michel Lubrano, 2020. "Bayesian inference for TIP curves: an application to child poverty in Germany," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 18(1), pages 91-111, March.
    See citations under working paper version above.
  3. Majda Benzidia & Michel Lubrano, 2020. "A Bayesian look at American academic wages: From wage dispersion to wage compression," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 18(2), pages 213-238, June.
    See citations under working paper version above.
  4. Tareq Sadeq & Michel Lubrano, 2018. "The Wall’s Impact in the Occupied West Bank: A Bayesian Approach to Poverty Dynamics Using Repeated Cross-Sections," Econometrics, MDPI, vol. 6(2), pages 1-24, May.
    See citations under working paper version above.
  5. Zhou Xun & Michel Lubrano, 2018. "A Bayesian Measure of Poverty in the Developing World," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 64(3), pages 649-678, September.
    See citations under working paper version above.
  6. Lubrano, Michel & Ndoye, Abdoul Aziz Junior, 2016. "Income inequality decomposition using a finite mixture of log-normal distributions: A Bayesian approach," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 830-846.
    See citations under working paper version above.
  7. Michel Lubrano & Abdoul Aziz Junior Ndoye, 2014. "Bayesian Unconditional Quantile Regression: An Analysis of Recent Expansions in Wage Structure and Earnings Inequality in the US 1992–2009," Scottish Journal of Political Economy, Scottish Economic Society, vol. 61(2), pages 129-153, May.
    See citations under working paper version above.
  8. Mathieu Goudard & Michel Lubrano, 2013. "Human Capital, Social Capital And Scientific Research In Europe: An Application Of Linear Hierarchical Models," Manchester School, University of Manchester, vol. 81(6), pages 876-903, December.
    See citations under working paper version above.
  9. Ruijun Bu & Ludovic Giet & Kaddour Hadri & Michel Lubrano, 2011. "Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations," Journal of Financial Econometrics, Oxford University Press, vol. 9(1), pages 198-236, Winter.

    Cited by:

    1. Ruijun Bu & Fredj Jawadi & Yuyi Li, 2020. "A multifactor transformed diffusion model with applications to VIX and VIX futures," Econometric Reviews, Taylor & Francis Journals, vol. 39(1), pages 27-53, January.
    2. Ruijun Bu & Jie Cheng & Kaddour Hadri, 2014. "Reducible Diffusions with Time-Varying Transformations with Application to Short-Term Interest Rates," Economics Working Papers 14-01, Queen's Management School, Queen's University Belfast.
    3. Bu, Ruijun & Hadri, Kaddour & Kristensen, Dennis, 2021. "Diffusion copulas: Identification and estimation," Journal of Econometrics, Elsevier, vol. 221(2), pages 616-643.
    4. Choi, Hwan-sik, 2016. "Information theory for maximum likelihood estimation of diffusion models," Journal of Econometrics, Elsevier, vol. 191(1), pages 110-128.
    5. Eraker, Bjørn & Wang, Jiakou, 2015. "A non-linear dynamic model of the variance risk premium," Journal of Econometrics, Elsevier, vol. 187(2), pages 547-556.
    6. Emma M. Iglesias & Garry D. A. Phillips, 2020. "Further Results on Pseudo‐Maximum Likelihood Estimation and Testing in the Constant Elasticity of Variance Continuous Time Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(2), pages 357-364, March.
    7. Zhigang Tong & Allen Liu, 2018. "Analytical pricing of discrete arithmetic Asian options under generalized CIR process with time change," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(01), pages 1-21, March.
    8. Bu Ruijun & Cheng Jie & Hadri Kaddour, 2017. "Specification analysis in regime-switching continuous-time diffusion models for market volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(1), pages 65-80, February.
    9. Zhu, Wenjun & Wang, Chou-Wen & Tan, Ken Seng, 2016. "Structure and estimation of Lévy subordinated hierarchical Archimedean copulas (LSHAC): Theory and empirical tests," Journal of Banking & Finance, Elsevier, vol. 69(C), pages 20-36.
    10. Bu, Ruijun & Jawadi, Fredj & Li, Yuyi, 2017. "An empirical comparison of transformed diffusion models for VIX and VIX futures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 46(C), pages 116-127.
    11. David Zimmer, 2015. "Asymmetric dependence in house prices: evidence from USA and international data," Empirical Economics, Springer, vol. 49(1), pages 161-183, August.
    12. Huang, MeiChi & Wu, Chih-Chiang & Liu, Shih-Min & Wu, Chang-Che, 2016. "Facts or fates of investors' losses during crises? Evidence from REIT-stock volatility and tail dependence structures," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 54-71.
    13. Wang, Chou-Wen & Yang, Sharon S. & Huang, Hong-Chih, 2015. "Modeling multi-country mortality dependence and its application in pricing survivor index swaps—A dynamic copula approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 30-39.
    14. Oleg L. Kritski & Vladimir F. Zalmezh, 2017. "Asymptotics for Greeks under the constant elasticity of variance model," Papers 1707.04149, arXiv.org, revised Jul 2017.
    15. Zhigang Tong, 2017. "Modelling VIX and VIX derivatives with reducible diffusions," International Journal of Bonds and Derivatives, Inderscience Enterprises Ltd, vol. 3(2), pages 153-175.
    16. Emmanuel Afuecheta & Saralees Nadarajah & Stephen Chan, 2021. "A Statistical Analysis of Global Economies Using Time Varying Copulas," Computational Economics, Springer;Society for Computational Economics, vol. 58(4), pages 1167-1194, December.

  10. Giet, Ludovic & Lubrano, Michel, 2008. "A minimum Hellinger distance estimator for stochastic differential equations: An application to statistical inference for continuous time interest rate models," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2945-2965, February.

    Cited by:

    1. Novriana Sumarti & Iman Gunadi, 2013. "Reserve Requirement Analysis using a Dynamical System of a Bank based on Monti-Klein model of Bank's Profit Function," Papers 1306.0468, arXiv.org.
    2. Alessandro De Gregorio & Stefano Iacus, 2011. "On a family of test statistics for discretely observed diffusion processes," UNIMI - Research Papers in Economics, Business, and Statistics unimi-1114, Universitá degli Studi di Milano.
    3. Takada, Teruko, 2009. "Simulated minimum Hellinger distance estimation of stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2390-2403, April.
    4. Alessandro DE GREGORIO & Stefano Maria IACUS, 2011. "On a family of test statistics for discretely observed diffusion processes," Departmental Working Papers 2011-37, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    5. Alessandro DE GREGORIO & Stefano Maria IACUS, 2009. "Pseudo phi-divergence test statistics and multidimensional Ito processes," Departmental Working Papers 2009-48, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.

  11. Luc Bauwens & Alvaro Escribano & Michel Lubrano, 2007. "The Econometrics of Industrial Organization," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(7), pages 1153-1156.

    Cited by:

    1. Ooms, M., 2008. "Trends in Applied Econometrics Software Development 1985-2008, an analysis of Journal of Applied Econometrics research articles, software reviews, data and code," Serie Research Memoranda 0021, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.

  12. Luc Bauwens & Michel Lubrano, 2007. "Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 469-486.
    See citations under working paper version above.
  13. Lubrano, Michel & Protopopescu, Camelia, 2004. "Density inference for ranking European research systems in the field of economics," Journal of Econometrics, Elsevier, vol. 123(2), pages 345-369, December.

    Cited by:

    1. Mirucki, Jean & Nicot, Bernadette & Poshyvak, Maria, 2007. "What Can EconLit Reveal Us About Ukraine's Scholarly Production?," MPRA Paper 29089, University Library of Munich, Germany.
    2. Stephen Bazen & Patrick Moyes, 2011. "Elitism and Stochastic Dominance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00576585, HAL.
    3. Lucey, Brian M. & Delaney, Liam, 2007. "A psychological, attitudinal and professional profile of Irish economists," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 36(6), pages 841-855, December.
    4. Majda Benzidia & Michel Lubrano, 2016. "A Bayesian Look at American Academic Wages: The Case of Michigan State University," Working Papers halshs-01358882, HAL.
    5. Majda Benzidia & Michel Lubrano, 2020. "A Bayesian look at American academic wages: From wage dispersion to wage compression," Post-Print hal-02566630, HAL.
    6. Bonaccorsi, Andrea & Cicero, Tindaro, 2016. "Nondeterministic ranking of university departments," Journal of Informetrics, Elsevier, vol. 10(1), pages 224-237.
    7. Nicolas CARAYOL & Agenor LAHATTE, 2014. "Dominance relations and ranking when quantity and quality both matter: Applications to US universities and econ. departments worldwide," Cahiers du GREThA (2007-2019) 2014-14, Groupe de Recherche en Economie Théorique et Appliquée (GREThA).
    8. Mathieu Goudard & Michel Lubrano, 2011. "Human capital, social capital and scientific research in Europe: an application of linear hierarchical models," Working Papers halshs-00601033, HAL.
    9. BAUWENS, Luc & KIRMAN, Alan & LUBRANO, Michel & PROTOPOPESCU, Camelia, 2003. "Ranking economics departments in Europe: a statistical approach," LIDAM Discussion Papers CORE 2003050, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    10. Nicolas CARAYOL & Agenor LAHATTE, 2009. "Dominance relations and universities ranking," Cahiers du GREThA (2007-2019) 2009-02, Groupe de Recherche en Economie Théorique et Appliquée (GREThA).
    11. Mirucki, Jean & Poshyvak, Maria, 2006. ""Ukraine" in scholarly publications: An analysis based on econLit," MPRA Paper 27563, University Library of Munich, Germany.
    12. Nicolas CARAYOL & Agenor LAHATTE, 2011. "Dominance relations when both quantity and quality matter, and applications to the\r\ncomparison of US research universities and worldwide top departments in economics," Cahiers du GREThA (2007-2019) 2011-22, Groupe de Recherche en Economie Théorique et Appliquée (GREThA).
    13. Mirucki, Jean, 2007. "Searching for a Scholarly Visibility: The Case of Ukraine," MPRA Paper 27292, University Library of Munich, Germany, revised Mar 2007.

  14. Bauwens, Luc & Lubrano, Michel & van Dijk, Herman K., 2004. "Recent advances in Bayesian econometrics," Journal of Econometrics, Elsevier, vol. 123(2), pages 197-199, December.

    Cited by:

    1. Majda Benzidia & Michel Lubrano, 2016. "A Bayesian Look at American Academic Wages: The Case of Michigan State University," Working Papers halshs-01358882, HAL.

  15. Michel Lubrano & Luc Bauwens & Alan Kirman & Camelia Protopopescu, 2003. "Ranking Economics Departments in Europe: A Statistical Approach," Journal of the European Economic Association, MIT Press, vol. 1(6), pages 1367-1401, December.
    See citations under working paper version above.
  16. Bauwens, Luc & Lubrano, Michel, 2002. "Bayesian option pricing using asymmetric GARCH models," Journal of Empirical Finance, Elsevier, vol. 9(3), pages 321-342, August.
    See citations under working paper version above.
  17. Luc Bauwens & Michel Lubrano, 1998. "Bayesian inference on GARCH models using the Gibbs sampler," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 23-46.
    See citations under working paper version above.
  18. Barthelemy, Fabrice & Lubrano, Michel, 1996. "Unit roots tests and SARIMA models," Economics Letters, Elsevier, vol. 50(2), pages 147-154, February.

    Cited by:

    1. Fabrice Barthélémy, 1997. "Tests de racines unitaires multiples et saisonnalité," Revue Économique, Programme National Persée, vol. 48(3), pages 673-683.

  19. Lubrano, Michel & Shadman-Mehta, Fatemeh & Sneessens, Henri R, 1996. "Real Wages, Quantity Constraints and Equilibrium Unemployment: Belgium, 1955-1988," Empirical Economics, Springer, vol. 21(3), pages 427-457.
    See citations under working paper version above.
  20. Lubrano, Michel, 1995. "Testing for unit roots in a Bayesian framework," Journal of Econometrics, Elsevier, vol. 69(1), pages 81-109, September.

    Cited by:

    1. Kelvin Balcombe & Iain Fraser & Abhijit Sharma, 2011. "Bayesian model averaging and identification of structural breaks in time series," Applied Economics, Taylor & Francis Journals, vol. 43(26), pages 3805-3818.
    2. Marriott, John & Newbold, Paul, 2000. "The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective," Journal of Econometrics, Elsevier, vol. 98(1), pages 1-25, September.
    3. Vosseler, Alexander, 2016. "Bayesian model selection for unit root testing with multiple structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 616-630.
    4. Peter M. Summers, 2003. "Bayesian Evidence on the Structure of Unemployment," Melbourne Institute Working Paper Series wp2003n03, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    5. Marek Jarocinski & Albert Marcet, 2011. "Autoregressions in Small Samples, Priors about Observables and Initial Conditions," CEP Discussion Papers dp1061, Centre for Economic Performance, LSE.
    6. Villani, Mattias, 2005. "Inference in Vector Autoregressive Models with an Informative Prior on the Steady State," Working Paper Series 181, Sveriges Riksbank (Central Bank of Sweden).
    7. Marek Jarocinski & Albert Marcet, 2014. "Contrasting Bayesian and Frequentist Approaches to Autoregressions: the Role of the Initial Condition," Working Papers 776, Barcelona School of Economics.
    8. Meligkotsidou, Loukia & Tzavalis, Elias & Vrontos, Ioannis, 2017. "On Bayesian analysis and unit root testing for autoregressive models in the presence of multiple structural breaks," Econometrics and Statistics, Elsevier, vol. 4(C), pages 70-90.
    9. Gael M. Martin, 2000. "US deficit sustainability: a new approach based on multiple endogenous breaks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(1), pages 83-105.
    10. Malley, James & Woitek, Ulrich, 2011. "Productivity shocks and aggregate fluctuations in an estimated endogenous growth model with human capital," SIRE Discussion Papers 2011-71, Scottish Institute for Research in Economics (SIRE).
    11. Charley Xia and William Griffiths, 2012. "Bayesian Unit Root Testing: The Effect Of Choice Of Prior On Test Outcomes," Department of Economics - Working Papers Series 1152, The University of Melbourne.
    12. Chaturvedi, Anoop & Kumar, Jitendra, 2005. "Bayesian unit root test for model with maintained trend," Statistics & Probability Letters, Elsevier, vol. 74(2), pages 109-115, September.
    13. Shinichiro Shirota & Yasuhiro Omori & Hedibert. F. Lopes & Haixiang Piao, 2015. "Cholesky Realized Stochastic Volatility Model," CIRJE F-Series CIRJE-F-979, CIRJE, Faculty of Economics, University of Tokyo.
    14. Magris Martin & Iosifidis Alexandros, 2021. "Approximate Bayes factors for unit root testing," Papers 2102.10048, arXiv.org, revised Feb 2021.
    15. Palandri, Alessandro, 2024. "Reconciling interest rates evidence with theory: Rejecting unit roots when the HD(1) is a competing alternative," Journal of Banking & Finance, Elsevier, vol. 161(C).
    16. Mickael Salabasis & Sune Karlsson, 2004. "Seasonality, Cycles and Unit Roots," Econometric Society 2004 Australasian Meetings 268, Econometric Society.
    17. Noriega, Antonio E. & de Alba, Enrique, 2001. "Stationarity and structural breaks -- evidence from classical and Bayesian approaches," Economic Modelling, Elsevier, vol. 18(4), pages 503-524, December.
    18. Loukia Meligkotsidou & Elias Tzavalis & Ioannis D. Vrontos, 2012. "A Bayesian panel data framework for examining the economic growth convergence hypothesis: do the G7 countries converge?," Journal of Applied Statistics, Taylor & Francis Journals, vol. 39(9), pages 1975-1990, May.

  21. Luc Bauwens & Michel Lubrano, 1991. "Bayesian Diagnostics for Heterogeneity," Annals of Economics and Statistics, GENES, issue 20-21, pages 17-40.
    See citations under working paper version above.
  22. M. Lubrano & R. G. Pierse & J.-F. Richard, 1986. "Stability of a U.K. Money Demand Equation: A Bayesian Approach to Testing Exogeneity," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(4), pages 603-634.
    See citations under working paper version above.
  23. Lubrano, Michel, 1985. "Bayesian analysis of switching regression models," Journal of Econometrics, Elsevier, vol. 29(1-2), pages 69-95.
    See citations under working paper version above.

Chapters

  1. Abdoul Aziz Ndoye & Michel Lubrano, 2014. "Tournaments and Superstar Models: A Mixture of Two Pareto Distributions," Research on Economic Inequality, in: Economic Well-Being and Inequality: Papers from the Fifth ECINEQ Meeting, volume 22, pages 449-479, Emerald Group Publishing Limited.
    See citations under working paper version above.Sorry, no citations of chapters recorded.

Books

  1. Bauwens, Luc & Lubrano, Michel & Richard, Jean-Francois, 2000. "Bayesian Inference in Dynamic Econometric Models," OUP Catalogue, Oxford University Press, number 9780198773139.

    Cited by:

    1. Bauwens, Luc & Rombouts, Jeroen V.K., 2012. "On marginal likelihood computation in change-point models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3415-3429.
    2. Frank Schorfheide & Marco Del Negro, 2007. "Forming Priors for DSGE Models (and How It Affects the Assessment of Nominal Rigidities)," 2007 Meeting Papers 283, Society for Economic Dynamics.
    3. Herwartz, Helmut & Weber, Henning, 2008. "When, how fast and by how much do trade costs change in the Euro area?," SFB 649 Discussion Papers 2008-065, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    4. Lubrano, Michel, 2004. "Modélisation bayésienne non linéaire du taux d’intérêt de court terme américain : l’aide des outils non paramétriques," L'Actualité Economique, Société Canadienne de Science Economique, vol. 80(2), pages 465-499, Juin-Sept.
    5. Kirstin Hubrich & Timo Teräsvirta, 2013. "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers 2013-18, Department of Economics and Business Economics, Aarhus University.
    6. David Ardia & Lennart F. Hoogerheide, 2010. "Efficient Bayesian Estimation and Combination of GARCH-Type Models," Tinbergen Institute Discussion Papers 10-046/4, Tinbergen Institute.
    7. Markus K. Brunnermeier & Christian Julliard, 2006. "Money Illusion and Housing Frenzies," NBER Working Papers 12810, National Bureau of Economic Research, Inc.
    8. Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2004. "Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach," Finance and Economics Discussion Series 2004-03, Board of Governors of the Federal Reserve System (U.S.).
    9. LUBRANO, Michel, 1998. "Smooth transition GARCH models: a Bayesian perspective," LIDAM Discussion Papers CORE 1998066, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    10. Balcombe, Kelvin & Bailey, Alastair, 2006. "Bayesian inference of a smooth transition dynamic almost ideal model of food demand in the US," MPRA Paper 17305, University Library of Munich, Germany.
    11. Jeroen V.K. Rombouts & Marno Verbeek, 2004. "Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models," Cahiers de recherche 04-14, HEC Montréal, Institut d'économie appliquée.
    12. Sergio Ocampo & Norberto Rodríguez, 2011. "An Introductory Review of a Structural VAR-X Estimation and Applications," Borradores de Economia 686, Banco de la Republica de Colombia.
    13. Márcio Alves Diniz & C.A.B.Pereira & J.M.Stern, 2008. "FBST for Unit Root Problems," Working Papers 08_11, Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto.
    14. Juan José Echavarría & Enrique López & Sergio Ocampo & Norberto Rodríguez, 2011. "Choques, instituciones laborales y desempleo en Colombia," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 29(66), pages 128-173, December.
    15. Lanne, Markku & Luoma, Arto & Luoto, Jani, 2009. "Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models," MPRA Paper 23646, University Library of Munich, Germany.
    16. Ossama Mikhail & Curtis J. Eberwein & Jagdish Handa, 2003. "Testing and Estimating Persistence in Canadian Unemployment," Econometrics 0311004, University Library of Munich, Germany.
    17. Charles S. Bos, 2011. "A Bayesian Analysis of Unobserved Component Models using Ox," Tinbergen Institute Discussion Papers 11-048/4, Tinbergen Institute.
    18. Kelvin Balcombe & Iain Fraser & Abhijit Sharma, 2011. "Bayesian model averaging and identification of structural breaks in time series," Applied Economics, Taylor & Francis Journals, vol. 43(26), pages 3805-3818.
    19. Scharnagl, Michael & Schumacher, Christian, 2007. "Reconsidering the role of monetary indicators for euro area inflation from a Bayesian perspective using group inclusion probabilities," Discussion Paper Series 1: Economic Studies 2007,09, Deutsche Bundesbank.
    20. António Afonso & Ricardo M. Sousa, 2009. "The Macroeconomic Effects of Fiscal Policy in Portugal: a Bayesian SVAR Analysis," Working Papers Department of Economics 2009/09, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    21. Sébastien Laurent & Jeroen V.K. Rombouts & Francesco Violante, 2009. "On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models," Cahiers de recherche 0948, CIRPEE.
    22. De Graeve Ferre, 2007. "The External Finance Premium and the Macroeconomy: US post-WWII Evidence," Money Macro and Finance (MMF) Research Group Conference 2006 83, Money Macro and Finance Research Group.
    23. Gardberg, Malin, 2020. "Aggregate Consumption and Wealth in the Long Run: The Impact of Financial Liberalization," Working Paper Series 1339, Research Institute of Industrial Economics.
    24. Tapas Mishra & Bazoumana Ouattara & Mamata Parhi, 2011. "A Note on Shock Persistence in Total Factor Productivity Growth," Economics Bulletin, AccessEcon, vol. 31(2), pages 1869-1893.
    25. António Afonso & Ricardo M. Sousa, 2008. "The Macroeconomic Effects of Fiscal Policy," Working Papers Department of Economics 2008/56, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    26. Marcellino, Massimiliano & Carriero, Andrea & Corsello, Francesco, 2019. "The Global Component of Inflation Volatility," CEPR Discussion Papers 13470, C.E.P.R. Discussion Papers.
    27. Peter M. Summers, 2003. "Bayesian Evidence on the Structure of Unemployment," Melbourne Institute Working Paper Series wp2003n03, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    28. Marcellino, Massimiliano & Carriero, Andrea & Clark, Todd, 2011. "Bayesian VARs: Specification Choices and Forecast Accuracy," CEPR Discussion Papers 8273, C.E.P.R. Discussion Papers.
    29. BAUWENS, Luc & ROMBOUTS, Jeroen VK, 2007. "Bayesian clustering of many GARCH models," LIDAM Reprints CORE 1916, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    30. BAUWENS, Luc & HAFNER, Christian M. & ROMBOUTS, Jeroen VK, 2007. "Multivariate mixed normal conditional heteroskedasticity," LIDAM Reprints CORE 1906, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    31. Andrea Silvestrini, 2010. "Testing fiscal sustainability in Poland: a Bayesian analysis of cointegration," Empirical Economics, Springer, vol. 39(1), pages 241-274, August.
    32. Demeshev, Boris & Malakhovskaya, Oxana, 2016. "BVAR mapping," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 43, pages 118-141.
    33. Zagaglia, Paolo, 2009. "Forecasting with a DSGE Model of the term Structure of Interest Rates: The Role of the Feedback," Research Papers in Economics 2009:14, Stockholm University, Department of Economics.
    34. Chiara Scotti, 2006. "A bivariate model of Fed and ECB main policy rates," International Finance Discussion Papers 875, Board of Governors of the Federal Reserve System (U.S.).
    35. Warne, Anders & Coenen, Günter & Christoffel, Kai, 2010. "Forecasting with DSGE models," Working Paper Series 1185, European Central Bank.
    36. Boivin, J. & Giannoni, M., 2007. "DSGE Models in a Data-Rich Environment," Working papers 162, Banque de France.
    37. Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 2000. "Daily Exchange Rate Behaviour and Hedging of Currency Risk," Econometric Society World Congress 2000 Contributed Papers 0504, Econometric Society.
    38. Villani, Mattias, 2005. "Inference in Vector Autoregressive Models with an Informative Prior on the Steady State," Working Paper Series 181, Sveriges Riksbank (Central Bank of Sweden).
    39. Hoogerheide, L.F. & Kaashoek, J.F. & van Dijk, H.K., 2005. "On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks," Econometric Institute Research Papers EI 2005-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    40. Marek Jarocinski, 2006. "Responses to Monetary Policy Shocks in the East and the West of Europe: A Comparison," Working Papers 124, Oesterreichische Nationalbank (Austrian Central Bank).
    41. Roberto Leon-Gonzalez & Blessings Majoni, 2023. "Exact Likelihood for Inverse Gamma Stochastic Volatility Models," GRIPS Discussion Papers 23-07, National Graduate Institute for Policy Studies.
    42. ROMBOUTS, Jeroen V.K. & STENTOFT, Lars, 2009. "Bayesian option pricing using mixed normal heteroskedasticity models," LIDAM Discussion Papers CORE 2009013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    43. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2010. "Forecasting Government Bond Yields with Large Bayesian VARs," Working Papers 662, Queen Mary University of London, School of Economics and Finance.
    44. Dossche, Maarten & Everaert, Gerdie, 2005. "Measuring inflation persistence: a structural time series approach," Working Paper Series 495, European Central Bank.
    45. Lennart F. Hoogerheide & Johan F. Kaashoek, 2004. "Functional Approximations to Likelihoods/Posterior Densities: A Neural Network Approach to Efficient Sampling," Computing in Economics and Finance 2004 74, Society for Computational Economics.
    46. Welz, Peter, 2006. "Assessing predetermined expectations in the standard sticky-price model: a Bayesian approach," Working Paper Series 621, European Central Bank.
    47. John M Maheu & Azam Shamsi Zamenjani, 2021. "Nonparametric Dynamic Conditional Beta," Journal of Financial Econometrics, Oxford University Press, vol. 19(4), pages 583-613.
    48. Roberto Leon-Gonzalez, "undated". "Data Augmentation in Limited-Dependent Variable Models," Discussion Papers 02/09, Department of Economics, University of York.
    49. Kunst, Robert M., 2002. "Decision Maps for Bivariate Time Series with Potential Thrshold Cointegration," Economics Series 121, Institute for Advanced Studies.
    50. Malley, James & Woitek, Ulrich, 2011. "Productivity shocks and aggregate fluctuations in an estimated endogenous growth model with human capital," SIRE Discussion Papers 2011-71, Scottish Institute for Research in Economics (SIRE).
    51. Sugita, Katsuhiro, 2002. "Testing For Cointegration Rank Using Bayes Factors," The Warwick Economics Research Paper Series (TWERPS) 654, University of Warwick, Department of Economics.
    52. Magnus, Jan R. & Powell, Owen & Prüfer, Patricia, 2010. "A comparison of two model averaging techniques with an application to growth empirics," Journal of Econometrics, Elsevier, vol. 154(2), pages 139-153, February.
    53. BAUWENS, Luc & ROMBOUTS, Jeroen V.K., 2005. "Bayesian inference for the mixed conditional heteroskedasticity model," LIDAM Discussion Papers CORE 2005085, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    54. Jay Shanken & Ane Tamayo, 2001. "Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield," NBER Working Papers 8666, National Bureau of Economic Research, Inc.
    55. Herwartz, Helmut & Weber, Henning, 2010. "The euro's trade effect under cross-sectional heterogeneity and stochastic resistance," Kiel Working Papers 1631, Kiel Institute for the World Economy (IfW Kiel).
    56. Allan Dizioli & Jochen M. Schmittmann, 2015. "A Macro-Model Approach to Monetary Policy Analysis and Forecasting for Vietnam," IMF Working Papers 2015/273, International Monetary Fund.
    57. George Kapetanios & Haroon Mumtaz & Ibrahim Stevens & Konstantinos Theodoridis, 2012. "Assessing the Economy‐wide Effects of Quantitative Easing," Economic Journal, Royal Economic Society, vol. 122(564), pages 316-347, November.
    58. Charley Xia and William Griffiths, 2012. "Bayesian Unit Root Testing: The Effect Of Choice Of Prior On Test Outcomes," Department of Economics - Working Papers Series 1152, The University of Melbourne.
    59. Berger, Tino & Everaert, Gerdie & Pozzi, Lorenzo, 2021. "Testing for international business cycles: A multilevel factor model with stochastic factor selection," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
    60. Matteo Manera & Bruno Sitzia, 2005. "Empirical factor demands and flexible functional forms: a bayesian approach," Economic Systems Research, Taylor & Francis Journals, vol. 17(1), pages 57-75.
    61. T. Berger & G. Everaert, 2006. "Re-examining the Structural and the Persistence Approach to Unemployment," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/383, Ghent University, Faculty of Economics and Business Administration.
    62. Ballester, Laura & López, Jesúa & Pavía, Jose M., 2023. "European systemic credit risk transmission using Bayesian networks," Research in International Business and Finance, Elsevier, vol. 65(C).
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