Papers and Articles


“Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks” by Yue Qiu, Tian Xie, Jun Yu and Qiankun Zhou, Journal of Financial Econometrics, Volume 20, Issue 1, Winter 2022 pp. 160-186

Dynamics of Trade Credit in China” by Wukuang Cun, Vincenzo Quadrini, Qi Sun and Junjie Xia, The Economic Journal, Volume 132, Issue 648, November 2022

“A new test for market efficiency and uncovered interest parity” by Richard T. Baillie, Francis X. Diebold, George Kapetanios, and Kun Ho Kim, Journal of International Money and Finance, Volume 130, November, 2022

“How did consumers react to the COVID-19 pandemic over time?” by George Kapetanios, Nora Neuteboom, Feiko Ritsema, and Alexia Ventouri, Oxford Bulletin of Economics and Statistics, Volume 84, Issue 5, October 2022

 “A Spatiotemporal Equilibrium Model of Migration and Housing Interlinkages”, by Hashem Pesaran and Wukuang Cun, Journal of Housing Economics, September 2022, volume 57

“Matching Theory and Evidence on Covid-19 Using a Stochastic Network SIR Model”,  by Hashem Pesaran and Cynthia Fan YangJournal of Applied Econometrics, published online in May 2022, September/October 2022, volume 37, Issue 6, pp. 1204-1229

“Risk-Adjusted Capital Allocation and Misallocation” by Joel M. David, Lukas Schmid and David Zeke, Journal of Financial Economics, volume 145, Issue 3 pp. 684-705

“The Grid Bootstrap for Countinuous Time Models” by Yiu Lim Lui, Weilin Xiao and Jun Yu, Journal of Business & Economic Statistics, Volume 40, Issue 3

“Posterior-based Wald-type statistics for hypothesis testing” by Xiaobin Liu, Yong Li, Jun Yu and Tao Zeng, Journal of Econometrics, Vplume 230, Issue 1, September 2022 pp. 83-113

“Making text count: Economic forecasting using newspaper text” by Eleni Kalamara, Arthur Turrell, Chris Redl, George Kapetanios and Sujit KapadiaJournal of Applied Econometrics, Volume 37, Issue 5, August 2022

“Excess shock can limit the economic interpretation” by Adrian Pagan and Tim Robinson, European Economic Review, Volume 145, June 2022

“Regional Heterogeneity and U.S. Presidential Elections: Real-Time 2020  Forecasts and Evaluation” , by Rashad Ahmed and Hashem PesaranInternational Journal of Forecasting, April 2022, volume 38, Issue 2, pp. 662-687

“Zombies at Large? Corporate Debt Overhang and the Macroeconomy” by Oscar Jorda, Martin Kormejew, Moritz Schularick and Alan M. Taylor, The Review of Financial Studies, Volume 35, issue 10, March 2022

“An Augmented Anderson-Hsiao Estimator for Dynamic Short-T Panels”, by Alexander Chudik and Hashem Pesaran, Econometric Reviews, Volume 41, Issue 4, pp. 416-447

“Three Basic Issues that Arise when Using Informational Restrictios in SVARs”, by Sam Ouliaris and Adrian PaganOxford Bulletin of Economics and Statistics, Colume 84, Issue 1, February 2022

“A ReMeDI for Microstructure Noise”, by Z. Merrick Li and Oliver Linton, Econometrica, Volume 90, Issue 1, pp. 367-389

“Longer-Run Economic Consequences of Pandemics” by Oscar Jorda, Sanjay R. Singh and Alan M. Taylor, The Review of Financial Studies, Volume 104, Issue 1, January 2022

“Hierarchical Time-Varying Estimation of Asset Pricing Models” by Richard T. Baillie, Fabio Calonaci, and George Kapetanios, Journal of Risk and Financial Management, Volume 15, Issie 1, January 2022

Long-Term Macroeconomic Effects of Climate Change: A Cross-country Analysis”, by Hashem Pesaran, Matthew E. Kahn, Kamiar Mohaddes, Ryan N.C. Ng, Mehdi Raissi and Jui-Chung Yang, Energy Economics, December 2021

“Regional Heterogeneity and U.S. Presidential Elections: Real-Time 2020 Forecasts and Evaluation” by Hashem Pesaran and Rashad Ahmed published online in International Journal of Forecasting, November 2021

A Counterfactual Economic Analysis of COVID-19 Using a Threshold Augmented Multi-Country Model”  by Hashem Pesaran, Alexander Chudik, Kamiar Mohaddes, Mehdi Raissi and Alessandro Rebucci published online in Journal of International Money and Finance, September 2021

 “Measurement of Factor Strength: Theory and Practice” by Hashem Pesaran, Natalia Bailey and George Kapetanios,  Journal of Applied Econometrics, August 2021

 “Detection of Units with Pervasive Effects in Large Panel Data Models” by Hashem Pesaran, George Kapetanios and Simon Reese,  Journal of Econometrics, April 2021

 “Estimation and Inference in Spatial Models with Dominant Units” by Hashem Pesaran and Cynthia Fan Yang, Journal of Econometrics, April 2021

 "Estimation and Inference for Spatial Models with Heterogeneous Coefficients: An Application to U.S. House Prices" by Hashem Pesaran, Michele Aquaro and Natalia Bailey, Journal of Applied Econometrics, January/February 2021

 “General diagnostic tests for cross-sectional dependence in panels” by Hashem Pesaran, Empirical Economics, January 2021

“Econometric Analysis of Production Networks with Dominant Units” by M. Hashem Pesaran, Cynthia Fan Yang,  Journal of Econometrics, December 2020

“Recursive estimation in large panel data models: Theory and practice” by Bin Jiang, Yanrong Yang and Cheng Hsiao, Journal of Econometrics, published online on December, 2020

“Robots and industrial labor: Evidence from Japan” by Robert Dekle, Journal of the Japanese and International Conomies, December 2020

Does the All-China Federation of Industry and Commerce Align Private Firms with the Goals of the People's Republic of China's Belt and Road Initiative?”  by Jeffrey B Nugent and Jiaxuan Lu, Asian Development Review, September 2020

“Maximum Likelihood Estimation for the Fractional Vasicek Model” by Jun Yu, Katsuto Tanaka and Weilin Xiao, Econometrics, August 2020

Uncertainty and Economic Activity: A Multi-Country Perspective” by M. Hashem Pesaran, Ambrogio Cesa-Bianchi and Alessandro Rebucci, Review of Financial Studies, August 2020, Featured as a lead article and editor’s choice.

“In-fill Asymptotic Theory for Structural Break Point in Autoregression: A Unified Theory” by Jun Yu, Liang Jiang and Xiaohu Wang, Econometric Reviews, published online July 2020

 “General diagnostic tests for cross-sectional dependence in panels” by M. Hashem Pesaran, Empirical Economics, published online May 2020

“Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Quantile Regression Models” by M. Hashem Pesaran, Matthew Harding and Carlos Lamarche,  Journal of Applied Econometrics, April/May 2020

"Does modeling a structural break improve forecast accuracy?" by Tom Boot and Andreas Pick, Journal of Econometrics, March 2020

Coordinating China's economic growth strategy via its government-controlled association for private firms” by Zhenhuan Lei and Jeffrey B. Nugent, Journal of Comparative Economics, December 2018

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