IDEAS home Printed from https://ideas.repec.org/f/c/pma607.html
   My authors  Follow this author

Raphael Nicholas Markellos

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.

Working papers

  1. Andrikopoulos, Athanasios & Markellos, Raphael. N, 2012. "Dynamic interaction between markets for leasing and selling automobiles," MPRA Paper 45225, University Library of Munich, Germany.

    Cited by:

    1. Yang, Liuyong & Wang, Rui & Chen, Zhenyi & Luo, Xingguo, 2020. "What determines the issue price of lease asset-backed securities in China?," International Review of Financial Analysis, Elsevier, vol. 72(C).
    2. Yan, Wei & Li, Youwei & Wu, Ying & Palmer, Mark, 2016. "A rising e-channel tide lifts all boats? The impact of manufacturer multi-channel encroachment on traditional selling and leasing," MPRA Paper 70747, University Library of Munich, Germany.

  2. Daskalakis, George & Symeonidis, Lazaros & Markellos, Raphael, 2009. "Does the weather affect stock market volatility?," MPRA Paper 34128, University Library of Munich, Germany.

    Cited by:

    1. Christos Floros, 2011. "On the relationship between weather and stock market returns," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 28(1), pages 5-13, March.
    2. Nicholas Apergis & Alexandros Gabrielsen & Lee A. Smales, 2016. "(Unusual) weather and stock returns—I am not in the mood for mood: further evidence from international markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(1), pages 63-94, February.
    3. Hyein Shim & Maria H. Kim & Doojin Ryu, 2017. "Effects of intraday weather changes on asset returns and volatilities," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 35(2), pages 301-330.
    4. Edimilson Costa Lucas & Wesley Mendes Da Silva & Gustavo Silva Araujo, 2017. "Does Extreme Rainfall Lead to Heavy Economic Losses in the Food Industry?," Working Papers Series 462, Central Bank of Brazil, Research Department.
    5. Juan Rincon-Patino & Emmanuel Lasso & Juan Carlos Corrales, 2018. "Estimating Avocado Sales Using Machine Learning Algorithms and Weather Data," Sustainability, MDPI, vol. 10(10), pages 1-12, September.
    6. Saura, Jose Ramon & Ribeiro-Navarrete, Samuel & Palacios-Marqués, Daniel & Mardani, Abbas, 2023. "Impact of extreme weather in production economics: Extracting evidence from user-generated content," International Journal of Production Economics, Elsevier, vol. 260(C).
    7. Apergis, Nicholas & Gupta, Rangan, 2017. "Can (unusual) weather conditions in New York predict South African stock returns?," Research in International Business and Finance, Elsevier, vol. 41(C), pages 377-386.
    8. Yu, Jize & Zhang, Li & Peng, Lijuan & Wu, Rui, 2023. "Which component of air quality index drives stock price volatility in China: a decomposition-based forecasting method," Finance Research Letters, Elsevier, vol. 51(C).
    9. Liang, Chao & Xia, Zhenglan & Lai, Xiaodong & Wang, Lu, 2022. "Natural gas volatility prediction: Fresh evidence from extreme weather and extended GARCH-MIDAS-ES model," Energy Economics, Elsevier, vol. 116(C).
    10. Nicholas Apergis & Panagiotis Artikis, 2012. "Weather Conditions and the Bank Lending Channel: A GMM Approach from US Banking," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 3(2), pages 17-34, April.
    11. Mr. Dileep N & Dr. G. Kotreshwar, 2023. "Interrelationship between Rainfall Index and Nifty Index: An Empirical Study," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(1), pages 95-106.
    12. Julien Chevallier & Sofiane Aboura, 2013. "Leverage vs. Feedback: Which Effect Drives the Oil Market ?," Post-Print hal-01531283, HAL.
    13. Gori, Leonella & Teti, Emanuele & Loi, Andrea & Dallocchio, Maurizio, 2020. "Seasonal darkness and IPO," Journal of Economic Behavior & Organization, Elsevier, vol. 178(C), pages 494-508.
    14. Domonkos F. Vamossy & Rolf Skog, 2021. "EmTract: Extracting Emotions from Social Media," Papers 2112.03868, arXiv.org, revised Jun 2023.
    15. Shan, Liwei & Gong, Stephen X., 2012. "Investor sentiment and stock returns: Wenchuan Earthquake," Finance Research Letters, Elsevier, vol. 9(1), pages 36-47.
    16. Fan, Qingliang & Wang, Ting, 2018. "Game day effect on stock market: Evidence from four major sports leagues in US," Journal of Behavioral and Experimental Finance, Elsevier, vol. 20(C), pages 9-18.
    17. Filiz, Ibrahim & Nahmer, Thomas & Spiwoks, Markus, 2019. "Herd behavior and mood: An experimental study on the forecasting of share prices," Journal of Behavioral and Experimental Finance, Elsevier, vol. 24(C).
    18. Mamatzakis, E, 2013. "Does weather affect US bank loan efficiency?," MPRA Paper 51616, University Library of Munich, Germany.
    19. Yang, Chih-Yuan & Jhang, Ling-Jhen & Chang, Chia-Chien, 2016. "Do investor sentiment, weather and catastrophe effects improve hedging performance? Evidence from the Taiwan options market," Pacific-Basin Finance Journal, Elsevier, vol. 37(C), pages 35-51.
    20. Nils Muhlack & Christian Soost & Christian Johannes Henrich, 2022. "Does Weather Still Affect The Stock Market?," Schmalenbach Journal of Business Research, Springer, vol. 74(1), pages 1-35, March.
    21. Lucas, Edimilson Costa & Mendes-Da-Silva, Wesley, 2018. "Impact of climate on firm value: Evidence from the electric power industry in Brazil," Energy, Elsevier, vol. 153(C), pages 359-368.
    22. Daglis, Theodoros & Konstantakis, Konstantinos N. & Michaelides, Panayotis G. & Papadakis, Theodoulos Eleftherios, 2020. "The forecasting ability of solar and space weather data on NASDAQ’s finance sector price index volatility," Research in International Business and Finance, Elsevier, vol. 52(C).
    23. Waldemar Tarczyński & Urszula Mentel & Grzegorz Mentel & Umer Shahzad, 2021. "The Influence of Investors’ Mood on the Stock Prices: Evidence from Energy Firms in Warsaw Stock Exchange, Poland," Energies, MDPI, vol. 14(21), pages 1-25, November.
    24. Chen, Zhonglu & Zhang, Li & Weng, Chen, 2023. "Does climate policy uncertainty affect Chinese stock market volatility?," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 369-381.
    25. Shanaev, Savva & Shuraeva, Arina & Fedorova, Svetlana, 2022. "The Groundhog Day stock market anomaly," Finance Research Letters, Elsevier, vol. 47(PA).
    26. Frühwirth, Manfred & Sögner, Leopold, 2015. "Weather and SAD related mood effects on the financial market," The Quarterly Review of Economics and Finance, Elsevier, vol. 57(C), pages 11-31.
    27. Hasan, Syed Akif & Subhani, Muhammad Imtiaz, 2011. "Which Matters the Most for the Trading Index? (Law and Order or Weather Conditions)," MPRA Paper 34736, University Library of Munich, Germany, revised 2011.
    28. Lu, Jing & Chou, Robin K., 2012. "Does the weather have impacts on returns and trading activities in order-driven stock markets? Evidence from China," Journal of Empirical Finance, Elsevier, vol. 19(1), pages 79-93.
    29. Chinnadurai Kathiravan & Murugesan Selvam & Sankaran Venkateswar & S. Balakrishnan, 2021. "Investor behavior and weather factors: evidences from Asian region," Annals of Operations Research, Springer, vol. 299(1), pages 349-373, April.
    30. Qadan, Mahmoud & Aharon, David Y., 2019. "How much happiness can we find in the U.S. fear Index?," Finance Research Letters, Elsevier, vol. 30(C), pages 246-258.
    31. Nicholas Apergis & Rangan Gupta, 2016. "Can Weather Conditions in New York Predict South African Stock Returns?," Working Papers 201634, University of Pretoria, Department of Economics.

Articles

  1. Apostolos Kourtis & Raphael N. Markellos & Lazaros Symeonidis, 2016. "An International Comparison of Implied, Realized, and GARCH Volatility Forecasts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(12), pages 1164-1193, December.

    Cited by:

    1. Fassas, Athanasios P. & Siriopoulos, Costas, 2021. "Implied volatility indices – A review," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 303-329.
    2. Dimitrios I. Vortelinos & Konstantinos Gkillas, 2018. "Intraday realised volatility forecasting and announcements," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 9(1), pages 88-118.
    3. Qiao, Gaoxiu & Teng, Yuxin & Li, Weiping & Liu, Wenwen, 2019. "Improving volatility forecasting based on Chinese volatility index information: Evidence from CSI 300 index and futures markets," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 133-151.
    4. Ruipeng Liu & Riza Demirer & Rangan Gupta & Mark Wohar, 2020. "Volatility forecasting with bivariate multifractal models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 155-167, March.
    5. Dicle, Mehmet F. & Levendis, John, 2020. "Historic risk and implied volatility," Global Finance Journal, Elsevier, vol. 45(C).
    6. Xu Gong & Boqiang Lin, 2018. "Structural breaks and volatility forecasting in the copper futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(3), pages 290-339, March.
    7. Murad Samsudin, Najmi Ismail & Mohamad, Azhar & Sifat, Imtiaz Mohammad, 2021. "Implied volatility of structured warrants: Emerging market evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 464-479.
    8. Han Lin Shang & Yang Yang & Fearghal Kearney, 2019. "Intraday forecasts of a volatility index: functional time series methods with dynamic updating," Annals of Operations Research, Springer, vol. 282(1), pages 331-354, November.
    9. Massimo Guidolin & Erwin Hansen & Gabriel Cabrera, 2023. "Time-Varying Risk Aversion and International Stock Returns," BAFFI CAREFIN Working Papers 23203, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    10. Hollstein, Fabian & Wese Simen, Chardin, 2020. "Variance risk: A bird’s eye view," Journal of Econometrics, Elsevier, vol. 215(2), pages 517-535.
    11. Xiaoxi Liu & Jinming Xie, 2023. "Forecasting swap rate volatility with information from swaptions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(4), pages 455-479, April.
    12. Fabian Hollstein & Marcel Prokopczuk & Björn Tharann & Chardin Wese Simen, 2019. "Predicting the equity market with option-implied variables," The European Journal of Finance, Taylor & Francis Journals, vol. 25(10), pages 937-965, July.
    13. Slim, Skander & Dahmene, Meriam & Boughrara, Adel, 2020. "How informative are variance risk premium and implied volatility for Value-at-Risk prediction? International evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 22-37.
    14. Ruipeng Liu & Riza Demirer & Rangan Gupta & Mark E. Wohar, 2017. "Do Bivariate Multifractal Models Improve Volatility Forecasting in Financial Time Series? An Application to Foreign Exchange and Stock Markets," Working Papers 201728, University of Pretoria, Department of Economics.
    15. Murat Körs & Mehmet Baha Karan, 2023. "Stock exchange volatility forecasting under market stress with MIDAS regression," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 295-306, January.
    16. Prokopczuk, Marcel & Symeonidis, Lazaros & Wese Simen, Chardin, 2017. "Variance risk in commodity markets," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 136-149.
    17. Trung H. Le & Apostolos Kourtis & Raphael Markellos, 2023. "Modeling skewness in portfolio choice," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 734-770, June.
    18. Fassas, Athanasios P. & Papadamou, Stephanos, 2018. "Variance risk premium and equity returns," Research in International Business and Finance, Elsevier, vol. 46(C), pages 462-470.
    19. Ji‐Eun Choi & Dong Wan Shin, 2022. "Parallel architecture of CNN‐bidirectional LSTMs for implied volatility forecast," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(6), pages 1087-1098, September.
    20. Deev, Oleg & Plíhal, Tomáš, 2022. "How to calm down the markets? The effects of COVID-19 economic policy responses on financial market uncertainty," Research in International Business and Finance, Elsevier, vol. 60(C).
    21. Oikonomou, Ioannis & Stancu, Andrei & Symeonidis, Lazaros & Wese Simen, Chardin, 2019. "The information content of short-term options," Journal of Financial Markets, Elsevier, vol. 46(C).
    22. Le, Trung H., 2020. "Forecasting value at risk and expected shortfall with mixed data sampling," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1362-1379.
    23. Degiannakis, Stavros & Filis, George, 2022. "Oil price volatility forecasts: What do investors need to know?," Journal of International Money and Finance, Elsevier, vol. 123(C).
    24. Xu Gong & Boqiang Lin, 2022. "Predicting the volatility of crude oil futures: The roles of leverage effects and structural changes," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 610-640, January.
    25. Symitsi, Efthymia & Symeonidis, Lazaros & Kourtis, Apostolos & Markellos, Raphael, 2018. "Covariance forecasting in equity markets," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 153-168.
    26. Xiaoxi Liu & Jinming Xie, 2023. "Forecasting swap rate volatility with information from swaptions," BIS Working Papers 1068, Bank for International Settlements.
    27. Plíhal, Tomáš & Lyócsa, Štefan, 2021. "Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter?," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 811-829.

  2. Markellos, Raphael N. & Psychoyios, Dimitris & Schneider, Friedrich, 2016. "Sovereign debt markets in light of the shadow economy," European Journal of Operational Research, Elsevier, vol. 252(1), pages 220-231.

    Cited by:

    1. Dimitrios Psychoyios & Olympia Missiou & Theologos Dergiades, 2019. "Energy based estimation of the Shadow Economy: The role of Governance Quality," Discussion Paper Series 2019_07, Department of Economics, University of Macedonia, revised Nov 2019.
    2. Patrycja Klusak & Matthew Agarwala & Matt Burke & Moritz Kraemer & Kamiar Mohaddes, 2021. "Rising temperatures, falling ratings: The effect of climate change on sovereign creditworthiness," CAMA Working Papers 2021-34, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    3. Dzhumashev, Ratbek & Levaggi, Rosella & Menoncin, Francesco, 2023. "Optimal tax enforcement with productive public inputs," Economic Modelling, Elsevier, vol. 126(C).
    4. Ahmet Sensoy & Duc Khuong Nguyen & Erk Hacihasanoglu & Ahmed Rostom, 2018. "Dynamic Integration and Network Structure of the EMU Sovereign Bond Markets," Working Papers 2018-009, Department of Research, Ipag Business School.
    5. Gamannossi degl’Innocenti, Duccio & Levaggi, Rosella & Menoncin, Francesco, 2022. "Tax avoidance and evasion in a dynamic setting," Journal of Economic Behavior & Organization, Elsevier, vol. 204(C), pages 443-456.
    6. Massomeh Hajilee & Farhang Niroomand, 2018. "The impact of interest rate volatility on financial market inclusion: evidence from emerging markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(2), pages 352-368, April.
    7. Hajilee, Massomeh & Stringer, Donna Y. & Metghalchi, Massoud, 2017. "Financial market inclusion, shadow economy and economic growth: New evidence from emerging economies," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 149-158.
    8. Hajilee, Massomeh & Niroomand, Farhang, 2019. "On the link between financial market inclusion and trade openness: An asymmetric analysis," Economic Analysis and Policy, Elsevier, vol. 62(C), pages 373-381.

  3. Andrikopoulos, Athanasios & Markellos, Raphael N., 2015. "Dynamic interaction between markets for leasing and selling automobiles," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 260-270.
    See citations under working paper version above.
  4. George Daskalakis, Lazaros Symeonidis, Raphael N. Markellos, 2015. "Electricity futures prices in an emissions constrained economy: Evidence from European power markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).

    Cited by:

    1. Daskalakis, George, 2018. "Temporal restrictions on emissions trading and the implications for the carbon futures market: Lessons from the EU emissions trading scheme," Energy Policy, Elsevier, vol. 115(C), pages 88-91.
    2. Li, Yan & Feng, Tian-tian & Liu, Li-li & Zhang, Meng-xi, 2023. "How do the electricity market and carbon market interact and achieve integrated development?--A bibliometric-based review," Energy, Elsevier, vol. 265(C).
    3. Iván Blanco, Juan Ignacio Peña, and Rosa Rodriguez, 2018. "Modelling Electricity Swaps with Stochastic Forward Premium Models," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).

  5. Eleftheria Kostika & Raphael N. Markellos, 2013. "Optimal Hedge Ratio Estimation and Effectiveness Using ARCD," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(1), pages 41-50, January.

    Cited by:

    1. Sylvia J. Soltyk & Felix Chan, 2023. "Modeling time‐varying higher‐order conditional moments: A survey," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 33-57, February.
    2. Ubukata, Masato, 2018. "Dynamic hedging performance and downside risk: Evidence from Nikkei index futures," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 270-281.
    3. Umar, Zaghum & Usman, Muhammad & Choi, Sun-Yong & Rice, John, 2023. "Diversification benefits of NFTs for conventional asset investors: Evidence from CoVaR with higher moments and optimal hedge ratios," Research in International Business and Finance, Elsevier, vol. 65(C).
    4. Trung H. Le & Apostolos Kourtis & Raphael Markellos, 2023. "Modeling skewness in portfolio choice," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 734-770, June.
    5. Trung H. Le, 2024. "Forecasting VaR and ES in emerging markets: The role of time‐varying higher moments," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(2), pages 402-414, March.

  6. Kourtis, Apostolos & Markellos, Raphael N. & Psychoyios, Dimitris, 2012. "Wine price risk management: International diversification and derivative instruments," International Review of Financial Analysis, Elsevier, vol. 22(C), pages 30-37.

    Cited by:

    1. Onur, Ilke & Bruwer, Johan & Lockshin, Larry, 2020. "Reducing information asymmetry in the auctioning of non-perishable experience goods: The case of online wine auctions," Journal of Retailing and Consumer Services, Elsevier, vol. 54(C).
    2. Eric Fur, 2023. "Risk and return of classic car market prices: passion or financial investment?," Journal of Asset Management, Palgrave Macmillan, vol. 24(1), pages 59-68, February.
    3. Nikolaos Antonakakis & Mehmet Balcilar & Elie Bouri & Rangan Gupta, 2017. "Is Wine a Safe-Haven? Evidence from a Nonparametric Causality-in-Quantiles Test," Working Papers 201708, University of Pretoria, Department of Economics.
    4. Czupryna Marcin & Oleksy Paweł, 2018. "The Effect of an Electronic Exchange on Prices and Return Volatility in the Fine Wine Market," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 14(4), pages 22-35, December.
    5. Masset, Philippe & Weisskopf, Jean-Philippe & Cardebat, Jean-Marie & Faye, Benoît & Le Fur, Eric, 2021. "Analyzing the risks of an illiquid and global asset: The case of fine wine," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 1-25.
    6. Hachmi Ben Ameur & Eric Le Fur & Julien Pillot, 2023. "The Influence of Economic Policy Uncertainty and Business Cycles on Fine Wine Prices," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 589-608, August.
    7. Masset, Philippe & Weisskopf, Jean-Philippe & Faye, Benoît & Le Fur, Eric, 2016. "Red obsession: The ascent of fine wine in China," Emerging Markets Review, Elsevier, vol. 29(C), pages 200-225.
    8. B. Faye & E. Le Fur & S. Prat, 2015. "Dynamics of fine wine and asset prices: evidence from short- and long-run co-movements," Applied Economics, Taylor & Francis Journals, vol. 47(29), pages 3059-3077, June.
    9. Dimson, Elroy & Rousseau, Peter L. & Spaenjers, Christophe, 2015. "The price of wine," Journal of Financial Economics, Elsevier, vol. 118(2), pages 431-449.
    10. Bargain, Olivier & Cardebat, Jean-Marie & Vignolles, Alexandra, 2016. "Crowdfunding in Wine," Working Papers 234638, American Association of Wine Economists.
    11. Bouri, Elie & Gupta, Rangan & Wong, Wing-Keung & Zhu, Zhenzhen, 2018. "Is wine a good choice for investment?," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 171-183.
    12. Dobrynskaya, Victoria & Kishilova, Julia, 2022. "Lego: The Toy Of Smart Investors," Research in International Business and Finance, Elsevier, vol. 59(C).
    13. Samitas, Aristeidis & Papathanasiou, Spyros & Koutsokostas, Drosos & Kampouris, Elias, 2022. "Volatility spillovers between fine wine and major global markets during COVID-19: A portfolio hedging strategy for investors," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 629-642.
    14. Eric Le Fur & Jean-François Outreville, 2019. "Fine wine returns: a review of the literature," Journal of Asset Management, Palgrave Macmillan, vol. 20(3), pages 196-214, May.
    15. Ben Ameur, Hachmi & Le Fur, Eric, 2020. "Volatility transmission to the fine wine market," Economic Modelling, Elsevier, vol. 85(C), pages 307-316.
    16. Cardebat, Jean-Marie & Jiao, Linda, 2018. "The long-term financial drivers of fine wine prices: The role of emerging markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 347-361.
    17. Wugan Cai & Jiafeng Pan, 2017. "Stochastic Differential Equation Models for the Price of European CO 2 Emissions Allowances," Sustainability, MDPI, vol. 9(2), pages 1-12, February.
    18. Aytaç, Beysül & Hoang, Thi-Hong-Van & Mandou, Cyrille, 2016. "Wine: To drink or invest in? A study of wine as an investment asset in French portfolios," Research in International Business and Finance, Elsevier, vol. 36(C), pages 591-614.
    19. Hachmi Ben Ameur & Zied Ftiti & Eric Le Fur, 2024. "What can we learn from the analysis of the fine wines market efficiency?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 703-718, January.
    20. Fur, Eric Le, 2021. "Fine Wines in a Diversified Portfolio of Collectibles," 2021 Conference, August 17-31, 2021, Virtual 315852, International Association of Agricultural Economists.

  7. Vlastakis, Nikolaos & Markellos, Raphael N., 2012. "Information demand and stock market volatility," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1808-1821.

    Cited by:

    1. Falik Shear & Badar Nadeem Ashraf & Mohsin Sadaqat, 2020. "Are Investors’ Attention and Uncertainty Aversion the Risk Factors for Stock Markets? International Evidence from the COVID-19 Crisis," Risks, MDPI, vol. 9(1), pages 1-15, December.
    2. Artem Meshcheryakov & Stoyu I Ivanov, 2017. "Investor's sentiment in predicting the Effective Federal Funds Rate," Economics Bulletin, AccessEcon, vol. 37(4), pages 2767-2796.
    3. Marmora, Paul, 2022. "Does monetary policy fuel bitcoin demand? Event-study evidence from emerging markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
    4. Aharon, David Y. & Qadan, Mahmoud, 2020. "When do retail investors pay attention to their trading platforms?," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    5. Tihana Škrinjarić, 2019. "Time Varying Spillovers between the Online Search Volume and Stock Returns: Case of CESEE Markets," IJFS, MDPI, vol. 7(4), pages 1-30, October.
    6. Francesco Capozza & Ingar Haaland & Christopher Roth & Johannes Wohlfart, 2021. "Studying Information Acquisition in the Field: A Practical Guide and Review," ECONtribute Discussion Papers Series 124, University of Bonn and University of Cologne, Germany.
    7. Chen Gu & Ann Marie Hibbert, 2021. "Expectations and financial markets: Lessons from Brexit," The Financial Review, Eastern Finance Association, vol. 56(2), pages 279-299, May.
    8. Ramos, Sofia B. & Latoeiro, Pedro & Veiga, Helena, 2020. "Limited attention, salience of information and stock market activity," Economic Modelling, Elsevier, vol. 87(C), pages 92-108.
    9. Lansing, Kevin J. & LeRoy, Stephen F. & Ma, Jun, 2022. "Examining the sources of excess return predictability: Stochastic volatility or market inefficiency?," Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 50-72.
    10. Dai, Zhifeng & Chang, Xiaoming, 2021. "Forecasting stock market volatility: Can the risk aversion measure exert an important role?," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    11. Amal Aouadi & Mohamed Arouri & David Roubaud, 2018. "Information demand and stock market liquidity: International evidence," Post-Print hal-02011044, HAL.
    12. Theologos Dergiades & Costas Milas & Theodore Panagiotidis, 2013. "Tweets, Google Trends and Sovereign Spreads in the GIIPS," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 78, Hellenic Observatory, LSE.
    13. Smales, L.A., 2021. "Investor attention and global market returns during the COVID-19 crisis," International Review of Financial Analysis, Elsevier, vol. 73(C).
    14. Chundakkadan, Radeef & Nedumparambil, Elizabeth, 2022. "In search of COVID-19 and stock market behavior," Global Finance Journal, Elsevier, vol. 54(C).
    15. Rho Caterina & Fernández Raúl & Palma Brenda, 2021. "A Sentiment-based Risk Indicator for the Mexican Financial Sector," Working Papers 2021-04, Banco de México.
    16. Melissa S. Kearney & Phillip B. Levine, 2015. "Media Influences on Social Outcomes: The Impact of MTV's 16 and Pregnant on Teen Childbearing," American Economic Review, American Economic Association, vol. 105(12), pages 3597-3632, December.
    17. Chen, Shuning & Zhang, Wei & Feng, Xu & Xiong, Xiong, 2020. "Asymmetry of retail investors’ attention and asymmetric volatility: Evidence from China," Finance Research Letters, Elsevier, vol. 36(C).
    18. Symitsi, Efthymia & Markellos, Raphael N. & Mantrala, Murali K., 2022. "Keyword portfolio optimization in paid search advertising," European Journal of Operational Research, Elsevier, vol. 303(2), pages 767-778.
    19. Martina Halouskov'a & Daniel Stav{s}ek & Mat'uv{s} Horv'ath, 2022. "The role of investor attention in global asset price variation during the invasion of Ukraine," Papers 2205.05985, arXiv.org, revised Aug 2022.
    20. Ballinari, Daniele & Audrino, Francesco & Sigrist, Fabio, 2022. "When does attention matter? The effect of investor attention on stock market volatility around news releases," International Review of Financial Analysis, Elsevier, vol. 82(C).
    21. Agarwal, Shweta & Kumar, Shailendra & Goel, Utkarsh, 2019. "Stock market response to information diffusion through internet sources: A literature review," International Journal of Information Management, Elsevier, vol. 45(C), pages 118-131.
    22. Huang, Jianbai & Tang, Jing & Zhang, Hongwei, 2020. "The effect of investors’ information search behaviors on rebar market return dynamics using high frequency data," Resources Policy, Elsevier, vol. 66(C).
    23. Desagre, Christophe & D’Hondt, Catherine, 2021. "Googlization and retail trading activity," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
    24. D Aromi & A Clements, 2018. "Media attention and crude oil volatility: Is there any 'new' news in the newspaper?," NCER Working Paper Series 118, National Centre for Econometric Research.
    25. Salisu, Afees A. & Vo, Xuan Vinh, 2021. "Firm-specific news and the predictability of Consumer stocks in Vietnam," Finance Research Letters, Elsevier, vol. 41(C).
    26. Anh Dang & Trung Nguyen, 2021. "Valuation Effect of Emotionality in Corporate Philanthropy," Journal of Business Ethics, Springer, vol. 173(1), pages 47-67, September.
    27. K. Lebedeva, 2015. "An Empirical Analysis of the Russian Financial Markets’ Liquidity and Returns," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 3(3), pages 5-31.
    28. Astaiza-Gómez, José Gabriel, 2021. "Investors' Information Choice," MPRA Paper 110008, University Library of Munich, Germany.
    29. Konstantinos N. Konstantakis & Despoina Paraskeuopoulou & Panayotis G. Michaelides & Efthymios G. Tsionas, 2021. "Bank deposits and Google searches in a crisis economy: Bayesian non‐linear evidence for Greece (2009–2015)," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5408-5424, October.
    30. Prashant Das & Alan Ziobrowski & N. Coulson, 2015. "Online Information Search, Market Fundamentals and Apartment Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 51(4), pages 480-502, November.
    31. Semen Son-Turan, 2016. "The Impact of Investor Sentiment on the "Leverage Effect"," International Econometric Review (IER), Econometric Research Association, vol. 8(1), pages 4-18, April.
    32. Jain, Anshul & Biswal, Pratap Chandra, 2019. "Does internet search interest for gold move the gold spot, stock and exchange rate markets? A study from India," Resources Policy, Elsevier, vol. 61(C), pages 501-507.
    33. Toni Ahnert & Christoph Bertsch, 2015. "A Wake-Up-Call Theory of Contagion," Staff Working Papers 15-14, Bank of Canada.
    34. Kojima, Fuhito & Pathak, Parag & Roth, Alvin E., 2013. "Matching with Couples: Stability and Incentives in Large Markets," Scholarly Articles 30831454, Harvard University Department of Economics.
    35. Peltomäki, Jarkko & Vähämaa, Emilia, 2015. "Investor attention to the Eurozone crisis and herding effects in national bank stock indexes," Finance Research Letters, Elsevier, vol. 14(C), pages 111-116.
    36. Halousková, Martina & Stašek, Daniel & Horváth, Matúš, 2022. "The role of investor attention in global asset price variation during the invasion of Ukraine," Finance Research Letters, Elsevier, vol. 50(C).
    37. Nikoletta Poutachidou & Stephanos Papadamou, 2021. "The Effect of Quantitative Easing through Google Metrics on US Stock Indices," IJFS, MDPI, vol. 9(4), pages 1-19, October.
    38. Huang, Tzu-Lun, 2018. "The puzzling media effect in the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 49(C), pages 129-146.
    39. Gang Chu & John W. Goodell & Dehua Shen & Yongjie Zhang, 2022. "Machine learning to establish proxies for investor attention: evidence of improved stock-return prediction," Annals of Operations Research, Springer, vol. 318(1), pages 103-128, November.
    40. Thomas Dimpfl & Stephan Jank, 2016. "Can Internet Search Queries Help to Predict Stock Market Volatility?," European Financial Management, European Financial Management Association, vol. 22(2), pages 171-192, March.
    41. Hervé, Fabrice & Zouaoui, Mohamed & Belvaux, Bertrand, 2019. "Noise traders and smart money: Evidence from online searches," Economic Modelling, Elsevier, vol. 83(C), pages 141-149.
    42. Chu, Gang & Dowling, Michael & Shen, Dehua & Zhang, Yongjie, 2023. "Information demand density matters: Evidence from the post-earnings announcement drift," International Review of Financial Analysis, Elsevier, vol. 86(C).
    43. Amal Aouadi & Mohamed Arouri & Frédéric Teulon, 2014. "Investor Following and Volatility: A GARCH Approach," Working Papers 2014-286, Department of Research, Ipag Business School.
    44. Smales, L.A., 2022. "Investor attention in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 79(C).
    45. Böhme, Marcus H. & Gröger, André & Stöhr, Tobias, 2020. "Searching for a better life: Predicting international migration with online search keywords," Journal of Development Economics, Elsevier, vol. 142(C).
    46. Omer N. Gokalp & Sami Keskek & Abdullah Kumas & Marshall A. Geiger, 2020. "Insider trading around auto recalls: Does investor attention matter?," Review of Quantitative Finance and Accounting, Springer, vol. 55(3), pages 1003-1033, October.
    47. Jung, Alexander & Kühl, Patrick, 2021. "Can central bank communication help to stabilise inflation expectations?," Working Paper Series 2547, European Central Bank.
    48. Gabriele Ranco & Ilaria Bordino & Giacomo Bormetti & Guido Caldarelli & Fabrizio Lillo & Michele Treccani, 2014. "Coupling news sentiment with web browsing data improves prediction of intra-day price dynamics," Papers 1412.3948, arXiv.org, revised Dec 2015.
    49. Gabriele Ranco & Ilaria Bordino & Giacomo Bormetti & Guido Caldarelli & Fabrizio Lillo & Michele Treccani, 2016. "Coupling News Sentiment with Web Browsing Data Improves Prediction of Intra-Day Price Dynamics," PLOS ONE, Public Library of Science, vol. 11(1), pages 1-14, January.
    50. Ana Brochado, 2016. "Investor attention and Portuguese stock market volatility: We’ll google it for you!," EcoMod2016 9345, EcoMod.
    51. Afkhami, Mohamad & Cormack, Lindsey & Ghoddusi, Hamed, 2017. "Google search keywords that best predict energy price volatility," Energy Economics, Elsevier, vol. 67(C), pages 17-27.
    52. Li, Shouwei & Zhuang, Yangyang & He, Jianmin, 2016. "Stock market stability: Diffusion entropy analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 450(C), pages 462-465.
    53. Chundakkadan, Radeef & Sasidharan, Subash, 2019. "Liquidity pull-back and predictability of government security yield volatility," Economic Modelling, Elsevier, vol. 77(C), pages 124-132.
    54. Xiao, Jihong & Wang, Yudong, 2021. "Investor attention and oil market volatility: Does economic policy uncertainty matter?," Energy Economics, Elsevier, vol. 97(C).
    55. Anenberg, Elliot & Kung, Edward, 2015. "Information technology and product variety in the city: The case of food trucks," Journal of Urban Economics, Elsevier, vol. 90(C), pages 60-78.
    56. Al Guindy, Mohamed, 2021. "Cryptocurrency price volatility and investor attention," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 556-570.
    57. Georgios Bampinas & Theodore Panagiotidis & Christina Rouska, 2018. "Volatility persistence and asymmetry under the microscope: The role of information demand for gold and oil," Working Paper series 18-13, Rimini Centre for Economic Analysis.
    58. Perroni, Carlo & Scharf, Kimberley & Talavera, Oleksandr & Vi, Linh, 2022. "Does online salience predict charitable giving? Evidence from SMS text donations," Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 134-149.
    59. Owain Ap Gwilym & Iftekhar Hasan & Qingwei Wang & Ru Xie, 2016. "In Search of Concepts: The Effects of Speculative Demand on Stock Returns," European Financial Management, European Financial Management Association, vol. 22(3), pages 427-449, June.
    60. Mohamed Arouri & Amal Aouadi & Philippe Foulquier & Frédéric Teulon, 2013. "Can Information Demand Help to Predict Stock Market Liquidity ? Google it !," Working Papers 2013-24, Department of Research, Ipag Business School.
    61. Hamid, Alain & Heiden, Moritz, 2015. "Forecasting volatility with empirical similarity and Google Trends," Journal of Economic Behavior & Organization, Elsevier, vol. 117(C), pages 62-81.
    62. Grace Weishi Gu & Zachary R. Stangebye, 2023. "Costly Information And Sovereign Risk," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(4), pages 1397-1429, November.
    63. In Huh & Ju Hyun Pyun, 2018. "Does Nuclear Uncertainty Threaten Financial Markets? The Attention Paid to North Korean Nuclear Threats and Its Impact on South Korea's Financial Markets," Asian Economic Journal, East Asian Economic Association, vol. 32(1), pages 55-82, March.
    64. Chang, Young Bong & Kwon, YoungOk, 2018. "Ambiguities in valuing information technology firms: Do internet searches help?," Journal of Business Research, Elsevier, vol. 92(C), pages 260-269.
    65. Karanasos, M. & Yfanti, S., 2021. "On the Economic fundamentals behind the Dynamic Equicorrelations among Asset classes: Global evidence from Equities, Real estate, and Commodities," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    66. Chen, Hong-Yi & Chen, Hsuan-Chi & Lai, Christine W., 2021. "Internet search, fund flows, and fund performance," Journal of Banking & Finance, Elsevier, vol. 129(C).
    67. Sun, Hang, 2016. "Crisis-Contingent Dynamics of Connectedness: An SVAR-Spatial-Network “Tripod” Model with Thresholds," Research Memorandum 032, Maastricht University, Graduate School of Business and Economics (GSBE).
    68. Christophe Desagre & Catherine D'Hondt, 2020. "Googlization and retail investors' trading activity," LIDAM Discussion Papers LFIN 2020004, Université catholique de Louvain, Louvain Finance (LFIN).
    69. Matthias Bank & Martin Larch & Georg Peter, 2011. "Google search volume and its influence on liquidity and returns of German stocks," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(3), pages 239-264, September.
    70. Chun, Dohyun & Cho, Hoon & Ryu, Doojin, 2023. "Discovering the drivers of stock market volatility in a data-rich world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
    71. Vighneswara Swamy & M. Dharani, 2020. "RETRACTED ARTICLE: Google Search Intensity and the Investor Attention Effect: A Quantile Regression Approach," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(2), pages 403-423, June.
    72. Alexander F. McQuoid & Charles Moore & Stephen Sawyer & David C. Vitt, 2017. "Trigger Warning: The Causal Impact of Gun Ownership on Suicide," Departmental Working Papers 55, United States Naval Academy Department of Economics.
    73. Bonaparte, Yosef & Bernile, Gennaro, 2023. "A new “Wall Street Darling?” effects of regulation sentiment in cryptocurrency markets," Finance Research Letters, Elsevier, vol. 52(C).
    74. Massimo Guidolin & Alexei G. Orlov & Manuela Pedio, 2018. "How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns," Quantitative Finance, Taylor & Francis Journals, vol. 18(1), pages 139-169, January.
    75. Wei, He & Guo, Yaoqi & Yu, Zhuling & Cheng, Hui, 2021. "The impact of events on metal futures based on the perspective of Google Trends," Resources Policy, Elsevier, vol. 74(C).
    76. Massimo Guidolin & Manuela Pedio, 2020. "Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit," BAFFI CAREFIN Working Papers 20145, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    77. Massimiliano Caporin & Francesco Poli, 2017. "Building News Measures from Textual Data and an Application to Volatility Forecasting," Econometrics, MDPI, vol. 5(3), pages 1-46, August.
    78. Li, Xin & Ma, Jian & Wang, Shouyang & Zhang, Xun, 2015. "How does Google search affect trader positions and crude oil prices?," Economic Modelling, Elsevier, vol. 49(C), pages 162-171.
    79. Latoeiro, Pedro & Ramos, Sofía B. & Veiga, Helena, 2013. "Predictability of stock market activity using Google search queries," DES - Working Papers. Statistics and Econometrics. WS ws130605, Universidad Carlos III de Madrid. Departamento de Estadística.
    80. Sifat, Imtiaz Mohammad & Thaker, Hassanudin Mohd Thas, 2020. "Predictive power of web search behavior in five ASEAN stock markets," Research in International Business and Finance, Elsevier, vol. 52(C).
    81. Takayuki Morimoto & Yoshinori Kawasaki, 2017. "Forecasting Financial Market Volatility Using a Dynamic Topic Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(3), pages 149-167, September.
    82. Smith, Geoffrey Peter, 2012. "Google Internet search activity and volatility prediction in the market for foreign currency," Finance Research Letters, Elsevier, vol. 9(2), pages 103-110.
    83. Klomp, Jeroen, 2020. "The impact of Russian sanctions on the return of agricultural commodity futures in the EU," Research in International Business and Finance, Elsevier, vol. 51(C).
    84. Peri, Massimo & Vandone, Daniela & Baldi, Lucia, 2014. "Internet, noise trading and commodity futures prices," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 82-89.
    85. El Ouadghiri, Imane & Guesmi, Khaled & Peillex, Jonathan & Ziegler, Andreas, 2021. "Public Attention to Environmental Issues and Stock Market Returns," Ecological Economics, Elsevier, vol. 180(C).
    86. Livio Fenga, 2020. "Filtering and prediction of noisy and unstable signals: The case of Google Trends data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 281-295, March.
    87. Tamgac, Unay, 2021. "Emerging market exchange rates during quantitative tapering: The effect of US and domestic news," Research in International Business and Finance, Elsevier, vol. 57(C).
    88. Peri, Massimo & Vandone, Daniela & Baldi, Lucia, 2012. "Information Demand and Agriculture Commodity Prices," 2012 International European Forum, February 13-17, 2012, Innsbruck-Igls, Austria 144973, International European Forum on System Dynamics and Innovation in Food Networks.
    89. Semen Son Turan, 2014. "Internet Search Volume and Stock Return Volatility: The Case of Turkish Companies," Information Management and Business Review, AMH International, vol. 6(6), pages 317-328.
    90. Nikkinen, Jussi & Rothovius, Timo, 2019. "The EIA WPSR release, OVX and crude oil internet interest," Energy, Elsevier, vol. 166(C), pages 131-141.
    91. Perroni, Carlo & Scharf, Kimberley & Talavera, Oleksandr & Vi, Linh, 2021. "Online Salience and Charitable Giving : Evidence from SMS Donations," The Warwick Economics Research Paper Series (TWERPS) 1325, University of Warwick, Department of Economics.
    92. Takeda, Fumiko & Wakao, Takumi, 2014. "Google search intensity and its relationship with returns and trading volume of Japanese stocks," Pacific-Basin Finance Journal, Elsevier, vol. 27(C), pages 1-18.
    93. He, Wenjian & Chen, Xiaoyang & Liu, Zhiyong John, 2022. "Can anti-corruption help realize the “strong” Porter Hypothesis in China? Evidence from Chinese manufacturing enterprises," Journal of Asian Economics, Elsevier, vol. 80(C).
    94. Matheus Pereira Libório & Petr Iakovlevitch Ekel & Carlos Augusto Paiva Martins, 2023. "Economic analysis through alternative data and big data techniques: what do they tell about Brazil?," SN Business & Economics, Springer, vol. 3(1), pages 1-16, January.
    95. Joon Chae & Ryumi Kim & Jaehee Han, 2020. "Investor Attention from Internet Search Volume and Underreaction to Earnings Announcements in Korea," Sustainability, MDPI, vol. 12(22), pages 1-29, November.
    96. Rashid AMIN & Habib AHMAD, 2013. "Does Investor Attention Matter�S?," Journal of Public Administration, Finance and Law, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 4(4), pages 111-125, December.
    97. Bouoiyour, Jamal & Selmi, Refk & Tiwari, Aviral, 2014. "Is Bitcoin business income or speculative bubble? Unconditional vs. conditional frequency domain analysis," MPRA Paper 59595, University Library of Munich, Germany.
    98. Geng, Yuedan & Ye, Qiang & Jin, Yu & Shi, Wen, 2022. "Crowd wisdom and internet searches: What happens when investors search for stocks?," International Review of Financial Analysis, Elsevier, vol. 82(C).
    99. Adachi, Yuta & Masuda, Motoki & Takeda, Fumiko, 2017. "Google search intensity and its relationship to the returns and liquidity of Japanese startup stocks," Pacific-Basin Finance Journal, Elsevier, vol. 46(PB), pages 243-257.
    100. T. Bazhenov & D. Fantazzini, 2019. "Forecasting Realized Volatility of Russian stocks using Google Trends and Implied Volatility," Russian Journal of Industrial Economics, MISIS, vol. 12(1).
    101. Vicente, María Rosalía & López-Menéndez, Ana J. & Pérez, Rigoberto, 2015. "Forecasting unemployment with internet search data: Does it help to improve predictions when job destruction is skyrocketing?," Technological Forecasting and Social Change, Elsevier, vol. 92(C), pages 132-139.
    102. Piñeiro-Chousa, Juan & Šević, Aleksandar & González-López, Isaac, 2023. "Impact of social metrics in decentralized finance," Journal of Business Research, Elsevier, vol. 158(C).
    103. Lyócsa, Štefan & Halousková, Martina & Haugom, Erik, 2023. "The US banking crisis in 2023: Intraday attention and price variation of banks at risk," Finance Research Letters, Elsevier, vol. 57(C).
    104. Gang Chu & Xiao Li & Dehua Shen & Yongjie Zhang, 2021. "Stock Crashes and Jumps Reactions to Information Demand and Supply: An Intraday Analysis," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(3), pages 397-427, September.
    105. Ladislav Kristoufek, 2015. "Power-law correlations in finance-related Google searches, and their cross-correlations with volatility and traded volume: Evidence from the Dow Jones Industrial components," Papers 1502.00225, arXiv.org.
    106. Ming‐Hung Wu & Wei‐Che Tsai & Pei‐Shih Weng & Dan‐Yi Li, 2021. "Effects of investor attention in China's commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1315-1332, August.
    107. Bampinas, Georgios & Panagiotidis, Theodore & Papapanagiotou, Georgios, 2023. "Oil shocks and investor attention," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 68-81.
    108. González-Fernández, Marcos & González-Velasco, Carmen, 2018. "Can Google econometrics predict unemployment? Evidence from Spain," Economics Letters, Elsevier, vol. 170(C), pages 42-45.
    109. Hao, Jing & Xiong, Xiong, 2021. "Retail investor attention and firms' idiosyncratic risk: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 74(C).
    110. Jaroslav Bukovina, 2016. "Social Media and Capital Markets – an Overview," MENDELU Working Papers in Business and Economics 2016-57, Mendel University in Brno, Faculty of Business and Economics.
    111. Fantazzini, Dean & Shangina, Tamara, 2019. "The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 55, pages 5-31.
    112. Ding Ding & Chong Guan & Calvin M. L. Chan & Wenting Liu, 2020. "Building stock market resilience through digital transformation: using Google trends to analyze the impact of COVID-19 pandemic," Frontiers of Business Research in China, Springer, vol. 14(1), pages 1-21, December.
    113. Nguyen, Cuong & Hoang, Lai & Shim, Jungwook & Truong, Phuong, 2020. "Internet search intensity, liquidity and returns in emerging markets," Research in International Business and Finance, Elsevier, vol. 52(C).
    114. Jang, Hyeonung & Seo, Byoung Ki, 2020. "Monetary policy rate expectation and energy prices during the FOMC announcement period," Finance Research Letters, Elsevier, vol. 32(C).
    115. Koch, Sophia & Dimpfl, Thomas, 2023. "Attention and retail investor herding in cryptocurrency markets," Finance Research Letters, Elsevier, vol. 51(C).
    116. Basistha, Arabinda & Kurov, Alexander & Wolfe, Marketa Halova, 2019. "Volatility Forecasting: The Role of Internet Search Activity and Implied Volatility," MPRA Paper 111037, University Library of Munich, Germany.
    117. Pavel Ciaian & d'Artis Kancs & Miroslava Rajcaniova, 2018. "The Price of BitCoin: GARCH Evidence from High Frequency Data," EERI Research Paper Series EERI RP 2018/14, Economics and Econometrics Research Institute (EERI), Brussels.
    118. Papadamou, Stephanos & Fassas, Athanasios P. & Kenourgios, Dimitris & Dimitriou, Dimitrios, 2021. "Flight-to-quality between global stock and bond markets in the COVID era," Finance Research Letters, Elsevier, vol. 38(C).
    119. Mario Maggi & Pierpaolo Uberti, 2021. "Google search volumes for portfolio management: performances and asset concentration," Annals of Operations Research, Springer, vol. 299(1), pages 163-175, April.
    120. Schmidt, Torsten & Vosen, Simeon, 2012. "Using Internet Data to Account for Special Events in Economic Forecasting," Ruhr Economic Papers 382, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    121. Moussa, Faten & BenOuda, Olfa & Delhoumi, Ezzeddine, 2017. "The use of open source internet to analysis and predict stock market trading volume," Research in International Business and Finance, Elsevier, vol. 41(C), pages 399-411.
    122. Imene Ben El Hadj Said & Skander Slim, 2022. "The Dynamic Relationship between Investor Attention and Stock Market Volatility: International Evidence," JRFM, MDPI, vol. 15(2), pages 1-25, February.
    123. Yu-Fen Chen & Cheng-Few Lee & Fu-Lai Lin, 2023. "The influences of information demand and supply on stock price synchronicity," Review of Quantitative Finance and Accounting, Springer, vol. 61(3), pages 1151-1176, October.
    124. Baur, Dirk G. & Dimpfl, Thomas, 2016. "Googling gold and mining bad news," Resources Policy, Elsevier, vol. 50(C), pages 306-311.
    125. Kao, Lanfeng & Chen, Anlin & Lu, Cheng-Shou, 2022. "Retail investor attention and IPO prices with a pre-IPO market," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 416-432.
    126. Eli Arditi & Eldad Yechiam & Gal Zahavi, 2015. "Association between Stock Market Gains and Losses and Google Searches," PLOS ONE, Public Library of Science, vol. 10(10), pages 1-12, October.
    127. Hasler, Michael & Ornthanalai, Chayawat, 2018. "Fluctuating attention and financial contagion," Journal of Monetary Economics, Elsevier, vol. 99(C), pages 106-123.
    128. Michael Graham & Jussi Nikkinen & Jarkko Peltomäki, 2020. "Web-Based Investor Fear Gauge and Stock Market Volatility: An Emerging Market Perspective," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 19(2), pages 127-153, August.
    129. Erik J. Mayer, 2021. "Advertising, investor attention, and stock prices: Evidence from a natural experiment," Financial Management, Financial Management Association International, vol. 50(1), pages 281-314, March.
    130. Emre Cevik & Buket Kirci Altinkeski & Emrah Ismail Cevik & Sel Dibooglu, 2022. "Investor sentiments and stock markets during the COVID-19 pandemic," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-34, December.
    131. Coble, David & Pincheira, Pablo, 2017. "Nowcasting Building Permits with Google Trends," MPRA Paper 76514, University Library of Munich, Germany.
    132. Chouliaras, Andreas & Grammatikos, Theoharry, 2013. "News Flow, Web Attention and Extreme Returns in the European Financial Crisis," MPRA Paper 51335, University Library of Munich, Germany.
    133. Prakash Ranjan, Ravi & Bhattachharyya, Malay, 2018. "Does investor attention to energy stocks exhibit power law?," Energy Economics, Elsevier, vol. 75(C), pages 573-582.
    134. Aharon, David Y. & Qadan, Mahmoud, 2018. "What drives the demand for information in the commodity market?," Resources Policy, Elsevier, vol. 59(C), pages 532-543.
    135. Massimo PERI & Daniela VANDONE & Lucia BALDI, 2012. "Internet, noise trading and commodity prices," Departmental Working Papers 2012-07, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    136. Liu, Fengqi & Kang, Yuxin & Guo, Kun & Sun, Xiaolei, 2021. "The relationship between air pollution, investor attention and stock prices: Evidence from new energy and polluting sectors," Energy Policy, Elsevier, vol. 156(C).
    137. Ozkan Haykir & Ibrahim Yagli, 2022. "Speculative bubbles and herding in cryptocurrencies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-33, December.
    138. Ding, Rong & Hou, Wenxuan, 2015. "Retail investor attention and stock liquidity," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 37(C), pages 12-26.
    139. Burcu Kapar & Jose Olmo, 2021. "Analysis of Bitcoin prices using market and sentiment variables," The World Economy, Wiley Blackwell, vol. 44(1), pages 45-63, January.
    140. Thomas Dimpfl & Vladislav Kleiman, 2019. "Investor Pessimism and the German Stock Market: Exploring Google Search Queries," German Economic Review, Verein für Socialpolitik, vol. 20(1), pages 1-28, February.
    141. Bucher, Melk C., 2017. "Investor Attention and Sentiment: Risk or Anomaly?," Working Papers on Finance 1712, University of St. Gallen, School of Finance.
    142. Szczygielski, Jan Jakub & Charteris, Ailie & Obojska, Lidia, 2023. "Do commodity markets catch a cold from stock markets? Modelling uncertainty spillovers using Google search trends and wavelet coherence," International Review of Financial Analysis, Elsevier, vol. 87(C).
    143. Moussa, Faten & Delhoumi, Ezzeddine & Ouda, Olfa Ben, 2017. "Stock return and volatility reactions to information demand and supply," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 54-67.
    144. Caperna, Giulio & Colagrossi, Marco & Geraci, Andrea & Mazzarella, Gianluca, 2020. "Googling Unemployment During the Pandemic: Inference and Nowcast Using Search Data," Working Papers 2020-04, Joint Research Centre, European Commission.
    145. Piotr Skórka & Beata Grzywacz & Dawid Moroń & Magdalena Lenda, 2022. "COVID-19 in Memes: The Adaptive Response of Societies to the Pandemic?," IJERPH, MDPI, vol. 19(19), pages 1-24, October.
    146. Katsiampa, Paraskevi & Moutsianas, Konstantinos & Urquhart, Andrew, 2019. "Information demand and cryptocurrency market activity," Economics Letters, Elsevier, vol. 185(C).
    147. Chen, Zhongdong & Craig, Karen Ann, 2023. "Active attention, retail investor base, and stock returns," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).
    148. Masaki Mori, 2015. "Information Diffusion in the U.S. Real Estate Investment Trust Market," The Journal of Real Estate Finance and Economics, Springer, vol. 51(2), pages 190-214, August.
    149. ap Gwilym, O. & Kita, A. & Wang, Q., 2014. "Speculate against speculative demand," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 212-221.
    150. Vilma Deltuvaitė & Svatopluk Kapounek & Petr Koráb, 2019. "Impact of Behavioural Attention on the Households Foreign Currency Savings as a Response to the External Macroeconomic Shocks," Prague Economic Papers, Prague University of Economics and Business, vol. 2019(2), pages 155-177.
    151. Goddard, John & Kita, Arben & Wang, Qingwei, 2015. "Investor attention and FX market volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 79-96.
    152. Daniel Chai & Mengjia Dai & Philip Gharghori & Barbara Hong, 2021. "Internet Search Intensity and Its Relation with Trading Activity and Stock Returns," International Review of Finance, International Review of Finance Ltd., vol. 21(1), pages 282-311, March.
    153. Ronald MacDonald & Xuxin Mao, 2015. "An Alternative way of Predicting the Outcome of the Scottish Independence Referendum: The Information in the Ether," SIRE Discussion Papers 2015-69, Scottish Institute for Research in Economics (SIRE).
    154. Cedric Mbanga & Ali F. Darrat & Jung Chul Park, 2019. "Investor sentiment and aggregate stock returns: the role of investor attention," Review of Quantitative Finance and Accounting, Springer, vol. 53(2), pages 397-428, August.
    155. Vakrman, Tomas & Kristoufek, Ladislav, 2015. "Underpricing, underperformance and overreaction in initial pubic offerings: Evidence from investor attention using online searches," FinMaP-Working Papers 35, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    156. Gao, Yang & Wang, Yaojun & Wang, Chao & Liu, Chao, 2018. "Internet attention and information asymmetry: Evidence from Qihoo 360 search data on the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 802-811.
    157. Hailiang Huang & Yanhong Li & Yingying Zhang, 2018. "Investors’ attention and overpricing of IPO: an empirical study on China’s growth enterprise market," Information Systems and e-Business Management, Springer, vol. 16(4), pages 761-774, November.
    158. Matija Piv{s}korec & Nino Antulov-Fantulin & Petra Kralj Novak & Igor Mozetiv{c} & Miha Grv{c}ar & Irena Vodenska & Tomislav v{S}muc, 2014. "News Cohesiveness: an Indicator of Systemic Risk in Financial Markets," Papers 1402.3483, arXiv.org.
    159. Zhang, Yongjie & Chu, Gang & Shen, Dehua, 2021. "The role of investor attention in predicting stock prices: The long short-term memory networks perspective," Finance Research Letters, Elsevier, vol. 38(C).
    160. Ana Brochado, 2016. "Retail Investor Sentiment: Can We Google It?," EcoMod2016 9341, EcoMod.
    161. Senarathne, Chamil W., . "The Information Flow Interpretation of Margin Debt Value Data: Evidence from New York Stock Exchange," Asian Journal of Applied Economics, Kasetsart University, Center for Applied Economics Research, vol. 26(1).
    162. Chen, Linda H. & Dyl, Edward A. & Jiang, George J. & Juneja, Januj A., 2015. "Risk, illiquidity or marketability: What matters for the discounts on private equity placements?," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 41-50.
    163. Tang, Wenbin & Zhu, Lili, 2017. "How security prices respond to a surge in investor attention: Evidence from Google Search of ADRs," Global Finance Journal, Elsevier, vol. 33(C), pages 38-50.
    164. Ahundjanov, Behzod B. & Akhundjanov, Sherzod B. & Okhunjanov, Botir B., 2021. "Risk perception and oil and gasoline markets under COVID-19," Journal of Economics and Business, Elsevier, vol. 115(C).
    165. Swamy, Vighneswara & Dharani, M. & Takeda, Fumiko, 2019. "Investor attention and Google Search Volume Index: Evidence from an emerging market using quantile regression analysis," Research in International Business and Finance, Elsevier, vol. 50(C), pages 1-17.
    166. Chronopoulos, Dimitris K. & Papadimitriou, Fotios I. & Vlastakis, Nikolaos, 2018. "Information demand and stock return predictability," Journal of International Money and Finance, Elsevier, vol. 80(C), pages 59-74.
    167. Ramya Rajajagadeesan Aroul & Sanjiv Sabherwal & Sergiy Saydometov, 2022. "FEAR Index, city characteristics, and housing returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 50(1), pages 173-205, March.
    168. Xiong Xiong & Zhang Jin & Feng Xu & Jin Xi, 2016. "Review on Financial Innovations in Big Data Era," Journal of Systems Science and Information, De Gruyter, vol. 4(6), pages 489-504, December.
    169. Marmora, Paul, 2021. "Individual investor ownership and the news coverage premium," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 494-507.
    170. Denis Davydov & Jarkko Peltomäki, 2023. "Investor attention and the use of leverage," The Financial Review, Eastern Finance Association, vol. 58(2), pages 287-313, May.
    171. Minjian Ye & Guangzhong Li, 2017. "Internet big data and capital markets: a literature review," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-18, December.
    172. Qadan, Mahmoud & Nama, Hazar, 2018. "Investor sentiment and the price of oil," Energy Economics, Elsevier, vol. 69(C), pages 42-58.
    173. Feng, Jiabao & Wang, Yudong & Yin, Libo, 2017. "Oil volatility risk and stock market volatility predictability: Evidence from G7 countries," Energy Economics, Elsevier, vol. 68(C), pages 240-254.
    174. Hsieh, Shu-Fan & Chan, Chia-Ying & Wang, Ming-Chun, 2020. "Retail investor attention and herding behavior," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 109-132.
    175. Tripathi, Abhinava & Pandey, Ashish, 2021. "Information dissemination across global markets during the spread of COVID-19 pandemic," International Review of Economics & Finance, Elsevier, vol. 74(C), pages 103-115.
    176. Liu, Yang & Han, Liyan & Yin, Libo, 2019. "News implied volatility and long-term foreign exchange market volatility," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 126-142.
    177. Vozlyublennaia, Nadia, 2014. "Investor attention, index performance, and return predictability," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 17-35.
    178. Peltomäki, Jarkko & Graham, Michael & Hasselgren, Anton, 2018. "Investor attention to market categories and market volatility: The case of emerging markets," Research in International Business and Finance, Elsevier, vol. 44(C), pages 532-546.
    179. Mauck, Nathan & Pruitt, Stephen & Zhang, Wenjia, 2022. "Words matter: Market responses to changes in U.S. and Chinese trade-related internet search frequency under different U.S. administrations," Global Finance Journal, Elsevier, vol. 53(C).
    180. Cai, Wenwu & Lu, Jing, 2019. "Investors’ financial attention frequency and trading activity," Pacific-Basin Finance Journal, Elsevier, vol. 58(C).
    181. Zhang, Yongjie & Song, Weixin & Shen, Dehua & Zhang, Wei, 2016. "Market reaction to internet news: Information diffusion and price pressure," Economic Modelling, Elsevier, vol. 56(C), pages 43-49.
    182. Gong, Qiang & Jacoby, Gady & Li, Shi & Lu, Lei, 2021. "Commonality in disagreement," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    183. González-Fernández, Marcos & González-Velasco, Carmen, 2020. "A sentiment index to measure sovereign risk using Google data," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 406-418.
    184. Sergiy Saydometov & Sanjiv Sabherwal & Ramya Rajajagadeesan Aroul, 2020. "Sentiment and its asymmetric effect on housing returns," Review of Financial Economics, John Wiley & Sons, vol. 38(4), pages 580-600, October.
    185. Pham, Linh & Cepni, Oguzhan, 2022. "Extreme directional spillovers between investor attention and green bond markets," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 186-210.
    186. Aouadi, Amal & Arouri, Mohamed & Teulon, Frédéric, 2013. "Investor attention and stock market activity: Evidence from France," Economic Modelling, Elsevier, vol. 35(C), pages 674-681.
    187. Kim, Neri & Lučivjanská, Katarína & Molnár, Peter & Villa, Roviel, 2019. "Google searches and stock market activity: Evidence from Norway," Finance Research Letters, Elsevier, vol. 28(C), pages 208-220.
    188. Jolana Stejskalová, 2017. "The Impact of Attention to News about Tax Changes on the Stock Market," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 65(6), pages 2113-2121.
    189. Feng He & Libo Yin, 2021. "Shocks to the equity capital ratio of financial intermediaries and the predictability of stock return volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(6), pages 945-962, September.
    190. Guglielmo Maria Caporale & Menelaos Karanasos & Stavroula Yfanti, 2019. "Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility," CESifo Working Paper Series 8000, CESifo.
    191. Lei, Lijun (Gillian) & Li, Yutao & Luo, Yan, 2019. "Production and dissemination of corporate information in social media: A review," Journal of Accounting Literature, Elsevier, vol. 42(C), pages 29-43.
    192. Shen, Lihua & Lu, Xinjie & Luu Duc Huynh, Toan & Liang, Chao, 2023. "Air quality index and the Chinese stock market volatility: Evidence from both market and sector indices," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 224-239.
    193. Tantaopas, Parkpoom & Padungsaksawasdi, Chaiyuth & Treepongkaruna, Sirimon, 2016. "Attention effect via internet search intensity in Asia-Pacific stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 107-124.
    194. Wang, Chen & Shen, Dehua & Li, Youwei, 2022. "Aggregate Investor Attention and Bitcoin Return: The Long Short-term Memory Networks Perspective," Finance Research Letters, Elsevier, vol. 49(C).
    195. Arnold, Ivo J.M., 2020. "Internet search volumes of UK banks during the crisis: The role of banking structure and business model," Global Finance Journal, Elsevier, vol. 45(C).
    196. Papadamou, Stephanos & Fassas, Athanasios & Kenourgios, Dimitris & Dimitriou, Dimitrios, 2020. "Direct and Indirect Effects of COVID-19 Pandemic on Implied Stock Market Volatility: Evidence from Panel Data Analysis," MPRA Paper 100020, University Library of Munich, Germany.
    197. Sobti, Neharika & Sehgal, Sanjay & Ilango, Balakrishnan, 2021. "How do macroeconomic news surprises affect round-the-clock price discovery of gold?," International Review of Financial Analysis, Elsevier, vol. 78(C).

  8. Kourtis, Apostolos & Dotsis, George & Markellos, Raphael N., 2012. "Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrix," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2522-2531.

    Cited by:

    1. Maurizio Daniele & Winfried Pohlmeier & Aygul Zagidullina, 2018. "Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices," Working Paper Series of the Department of Economics, University of Konstanz 2018-07, Department of Economics, University of Konstanz.
    2. Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2015. "Asset Allocation Strategies Based On Penalized Quantile Regression," "Marco Fanno" Working Papers 0199, Dipartimento di Scienze Economiche "Marco Fanno".
    3. Avagyan, Vahe & Alonso Fernández, Andrés Modesto & Nogales, Francisco J., 2015. "D-trace Precision Matrix Estimation Using Adaptive Lasso Penalties," DES - Working Papers. Statistics and Econometrics. WS 21775, Universidad Carlos III de Madrid. Departamento de Estadística.
    4. Philipp J. Kremer & Andreea Talmaciu & Sandra Paterlini, 2018. "Risk minimization in multi-factor portfolios: What is the best strategy?," Annals of Operations Research, Springer, vol. 266(1), pages 255-291, July.
    5. Francesco Lautizi, 2015. "Large Scale Covariance Estimates for Portfolio Selection," CEIS Research Paper 353, Tor Vergata University, CEIS, revised 07 Aug 2015.
    6. Carroll, Rachael & Conlon, Thomas & Cotter, John & Salvador, Enrique, 2017. "Asset allocation with correlation: A composite trade-off," European Journal of Operational Research, Elsevier, vol. 262(3), pages 1164-1180.
    7. Maria-Teresa Bosch-Badia & Joan Montllor-Serrats & Maria-Antonia Tarrazon-Rodon, 2017. "Analysing the information embedded in the optimal mean–variance weights: CAPM versus Bamberg and Dorfleitner model," Review of Managerial Science, Springer, vol. 11(4), pages 789-814, October.
    8. Ruili Sun & Tiefeng Ma & Shuangzhe Liu, 2018. "A Stein-type shrinkage estimator of the covariance matrix for portfolio selections," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 81(8), pages 931-952, November.
    9. Daniel Bartz & Kerr Hatrick & Christian W Hesse & Klaus-Robert Müller & Steven Lemm, 2013. "Directional Variance Adjustment: Bias Reduction in Covariance Matrices Based on Factor Analysis with an Application to Portfolio Optimization," PLOS ONE, Public Library of Science, vol. 8(7), pages 1-14, July.
    10. Ruili Sun & Tiefeng Ma & Shuangzhe Liu & Milind Sathye, 2019. "Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review," JRFM, MDPI, vol. 12(1), pages 1-34, March.
    11. Michael Curran & Patrick O'Sullivan & Ryan Zalla, 2020. "Can Volatility Solve the Naive Portfolio Puzzle?," Papers 2005.03204, arXiv.org, revised Feb 2022.
    12. Bian, Zhicun & Liao, Yin & O’Neill, Michael & Shi, Jing & Zhang, Xueyong, 2020. "Large-scale minimum variance portfolio allocation using double regularization," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
    13. Esra Ulasan & A. Özlem Önder, 2023. "Large portfolio optimisation approaches," Journal of Asset Management, Palgrave Macmillan, vol. 24(6), pages 485-497, October.
    14. Ruili Sun & Tiefeng Ma & Shuangzhe Liu, 2020. "Portfolio selection: shrinking the time-varying inverse conditional covariance matrix," Statistical Papers, Springer, vol. 61(6), pages 2583-2604, December.
    15. Zhifeng Dai & Jie Kang, 2022. "Some new efficient mean–variance portfolio selection models," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4784-4796, October.
    16. Füss, Roland & Miebs, Felix & Trübenbach, Fabian, 2014. "A jackknife-type estimator for portfolio revision," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 14-28.
    17. Avagyan, Vahe, 2016. "D-Trace precision matrix estimator with eigenvalue control," DES - Working Papers. Statistics and Econometrics. WS 23410, Universidad Carlos III de Madrid. Departamento de Estadística.
    18. Arbia, Giuseppe & Bramante, Riccardo & Facchinetti, Silvia & Zappa, Diego, 2018. "Modeling inter-country spatial financial interactions with Graphical Lasso: An application to sovereign co-risk evaluation," Regional Science and Urban Economics, Elsevier, vol. 70(C), pages 72-79.
    19. Hwang, Inchang & Xu, Simon & In, Francis, 2018. "Naive versus optimal diversification: Tail risk and performance," European Journal of Operational Research, Elsevier, vol. 265(1), pages 372-388.
    20. Kourtis, Apostolos, 2014. "On the distribution and estimation of trading costs," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 104-117.
    21. Dimitrios D. Thomakos & Fotis Papailias, 2013. "Covariance Averaging for Improved Estimation and Portfolio Allocation," Working Paper series 66_13, Rimini Centre for Economic Analysis.
    22. Eom, Cheoljun & Park, Jong Won, 2018. "A new method for better portfolio investment: A case of the Korean stock market," Pacific-Basin Finance Journal, Elsevier, vol. 49(C), pages 213-231.
    23. Kontosakos, Vasileios E. & Hwang, Soosung & Kallinterakis, Vasileios & Pantelous, Athanasios A., 2024. "Long-term dynamic asset allocation under asymmetric risk preferences," European Journal of Operational Research, Elsevier, vol. 312(2), pages 765-782.
    24. Jianqing Fan & Yuan Liao & Martina Mincheva, 2013. "Large covariance estimation by thresholding principal orthogonal complements," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(4), pages 603-680, September.
    25. Avagyan, Vahe & Alonso Fernández, Andrés Modesto & Nogales, Francisco J., 2014. "Improving the graphical lasso estimation for the precision matrix through roots ot the sample convariance matrix," DES - Working Papers. Statistics and Econometrics. WS ws141208, Universidad Carlos III de Madrid. Departamento de Estadística.
    26. Qiao, W. & Bu, D. & Gibberd, A. & Liao, Y. & Wen, T. & Li, E., 2023. "When “time varying” volatility meets “transaction cost” in portfolio selection," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 220-237.
    27. Xiangyu Cui & Xuan Zhang, 2021. "Index tracking strategy based on mixed-frequency financial data," PLOS ONE, Public Library of Science, vol. 16(4), pages 1-15, April.
    28. Le, Trung H., 2021. "International portfolio allocation: The role of conditional higher moments," International Review of Economics & Finance, Elsevier, vol. 74(C), pages 33-57.
    29. Branger, Nicole & Lučivjanská, Katarína & Weissensteiner, Alex, 2019. "Optimal granularity for portfolio choice," Journal of Empirical Finance, Elsevier, vol. 50(C), pages 125-146.
    30. DeMiguel, Victor & Martin-Utrera, Alberto & Nogales, Francisco J., 2013. "Size matters: Optimal calibration of shrinkage estimators for portfolio selection," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3018-3034.
    31. Bodnar, Olha & Bodnar, Taras & Parolya, Nestor, 2022. "Recent advances in shrinkage-based high-dimensional inference," Journal of Multivariate Analysis, Elsevier, vol. 188(C).
    32. Symitsi, Efthymia & Symeonidis, Lazaros & Kourtis, Apostolos & Markellos, Raphael, 2018. "Covariance forecasting in equity markets," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 153-168.
    33. Vahe Avagyan & Andrés M. Alonso & Francisco J. Nogales, 2018. "D-trace estimation of a precision matrix using adaptive Lasso penalties," 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. 12(2), pages 425-447, June.

  9. Vasiliki Makropoulou & Raphael N. Markellos, 2011. "Optimal Price Setting In Fixed‐Odds Betting Markets Under Information Uncertainty," Scottish Journal of Political Economy, Scottish Economic Society, vol. 58(4), pages 519-536, September.

    Cited by:

    1. David Winkelmann & Christian Deutscher & Marius Ötting, 2021. "Bookmakers’ mispricing of the disappeared home advantage in the German Bundesliga after the COVID-19 break," Applied Economics, Taylor & Francis Journals, vol. 53(26), pages 3054-3064, June.
    2. Isabel Abinzano & Luis Muga & Rafael Santamaria, 2019. "Hidden Power of Trading Activity: The FLB in Tennis Betting Exchanges," Journal of Sports Economics, , vol. 20(2), pages 261-285, February.
    3. Arne Feddersen & Brad R. Humphreys & Brian P. Soebbing, 2018. "Sentiment Bias in National Basketball Association Betting," Journal of Sports Economics, , vol. 19(4), pages 455-472, May.
    4. Babatunde Buraimo & David Peel & Rob Simmons, 2013. "Systematic Positive Expected Returns in the UK Fixed Odds Betting Market: An Analysis of the Fink Tank Predictions," IJFS, MDPI, vol. 1(4), pages 1-15, December.
    5. Lahvicka, Jiri, 2013. "What Causes the Favorite-Longshot Bias? Further Evidence from Tennis," MPRA Paper 47905, University Library of Munich, Germany.
    6. A. Schnytzer & V. Makropoulou & M. Lamers, 2012. "Pricing Decisions and Insider Trading in Horse Betting Markets," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 12/772, Ghent University, Faculty of Economics and Business Administration.
    7. Nikolaos Vlastakis & George Dotsis & Raphael N. Markellos, 2009. "How efficient is the European football betting market? Evidence from arbitrage and trading strategies," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(5), pages 426-444.

  10. Dimitris Psychoyios & George Dotsis & Raphael Markellos, 2010. "A jump diffusion model for VIX volatility options and futures," Review of Quantitative Finance and Accounting, Springer, vol. 35(3), pages 245-269, October.

    Cited by:

    1. Yoo, Eun Gyu & Yoon, Sun-Joong, 2020. "CBOE VIX and Jump-GARCH option pricing models," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 839-859.
    2. Jilong Chen & Christian Ewald, 2017. "On the Performance of the Comonotonicity Approach for Pricing Asian Options in Some Benchmark Models from Equities and Commodities," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-32, March.
    3. Xin Zang & Jun Ni & Jing-Zhi Huang & Lan Wu, 2015. "Double-jump stochastic volatility model for VIX: evidence from VVIX," Papers 1506.07554, arXiv.org, revised Jul 2015.
    4. Bujar Huskaj & Marcus Nossman, 2013. "A Term Structure Model for VIX Futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(5), pages 421-442, May.
    5. Cheng Few Lee & Yibing Chen & John Lee, 2020. "Alternative Methods to Derive Option Pricing Models: Review and Comparison," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 102, pages 3573-3617, World Scientific Publishing Co. Pte. Ltd..
    6. Chen Tong & Zhuo Huang & Tianyi Wang, 2022. "Do VIX futures contribute to the valuation of VIX options?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(9), pages 1644-1664, September.
    7. Wang, Qi & Wang, Zerong, 2020. "VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump," Journal of Banking & Finance, Elsevier, vol. 116(C).
    8. Leonidas S. Rompolis & Elias Tzavalis, 2017. "Retrieving risk neutral moments and expected quadratic variation from option prices," Review of Quantitative Finance and Accounting, Springer, vol. 48(4), pages 955-1002, May.
    9. Qi Wang & Zerong Wang, 2021. "VIX futures and its closed‐form pricing through an affine GARCH model with realized variance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 135-156, January.
    10. Sharif Mozumder & Ghulam Sorwar & Kevin Dowd, 2013. "Option pricing under non-normality: a comparative analysis," Review of Quantitative Finance and Accounting, Springer, vol. 40(2), pages 273-292, February.
    11. Andreas Kaeck & Carol Alexander, 2010. "VIX Dynamics with Stochastic Volatility of Volatility," ICMA Centre Discussion Papers in Finance icma-dp2010-11, Henley Business School, University of Reading.
    12. Gonzalez-Perez, Maria T., 2015. "Model-free volatility indexes in the financial literature: A review," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 141-159.
    13. Chen Tong & Zhuo Huang, 2021. "Pricing VIX options with realized volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1180-1200, August.
    14. Li, Jing & Li, Lingfei & Zhang, Gongqiu, 2017. "Pure jump models for pricing and hedging VIX derivatives," Journal of Economic Dynamics and Control, Elsevier, vol. 74(C), pages 28-55.
    15. Xiaoyu Tan & Chengxiang Wang & Wei Lin & Jin E. Zhang & Shenghong Li & Xuejun Zhao & Zili Zhang, 2021. "The term structure of the VXX option smirk: Pricing VXX option with a two‐factor model and asymmetry jumps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(4), pages 439-457, April.
    16. Venter, Pierre J & Maré, Eben, 2022. "Price discovery in the volatility index option market: A univariate GARCH approach," Finance Research Letters, Elsevier, vol. 44(C).
    17. Lin, Yueh-Neng, 2013. "VIX option pricing and CBOE VIX Term Structure: A new methodology for volatility derivatives valuation," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4432-4446.
    18. Daniel Guterding, 2020. "Inventory effects on the price dynamics of VSTOXX futures quantified via machine learning," Papers 2002.08207, arXiv.org.
    19. Jin-Huei Yeh & Jying-Nan Wang & Chung-Ming Kuan, 2014. "A noise-robust estimator of volatility based on interquantile ranges," Review of Quantitative Finance and Accounting, Springer, vol. 43(4), pages 751-779, November.
    20. Markellos, Raphael N. & Psychoyios, Dimitris, 2018. "Interest rate volatility and risk management: Evidence from CBOE Treasury options," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 190-202.
    21. Sharif Mozumder & Bakhtear Talukdar & M. Humayun Kabir & Bingxin Li, 2024. "Non-linear volatility with normal inverse Gaussian innovations: ad-hoc analytic option pricing," Review of Quantitative Finance and Accounting, Springer, vol. 62(1), pages 97-133, January.
    22. Konstantinos Gkillas & Rangan Gupta & Mark E. Wohar, 2020. "Oil shocks and volatility jumps," Review of Quantitative Finance and Accounting, Springer, vol. 54(1), pages 247-272, January.
    23. Pacati, Claudio & Pompa, Gabriele & Renò, Roberto, 2018. "Smiling twice: The Heston++ model," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 185-206.
    24. Angelos Kanas, 2014. "Uncovering a positive risk-return relation: the role of implied volatility index," Review of Quantitative Finance and Accounting, Springer, vol. 42(1), pages 159-170, January.
    25. Jing, Bo & Li, Shenghong & Ma, Yong, 2021. "Consistent pricing of VIX options with the Hawkes jump-diffusion model," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    26. 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.
    27. Kaeck, Andreas & Alexander, Carol, 2013. "Continuous-time VIX dynamics: On the role of stochastic volatility of volatility," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 46-56.
    28. Alexander Badran & Beniamin Goldys, 2015. "A Market Model for VIX Futures," Papers 1504.00428, arXiv.org.
    29. Ma, Jingtang & Li, Wenyuan & Han, Xu, 2015. "Stochastic lattice models for valuation of volatility options," Economic Modelling, Elsevier, vol. 47(C), pages 93-104.
    30. Bao, Qunfang & Li, Shenghong & Gong, Donggeng, 2012. "Pricing VXX option with default risk and positive volatility skew," European Journal of Operational Research, Elsevier, vol. 223(1), pages 246-255.
    31. Bahram Adrangi & Arjun Chatrath & Joseph Macri & Kambiz Raffiee, 2019. "Dynamic Responses of Major Equity Markets to the US Fear Index," JRFM, MDPI, vol. 12(4), pages 1-23, September.
    32. Bao, Qunfang, 2013. "Mean-Reverting Logarithmic Modeling of VIX," MPRA Paper 46413, University Library of Munich, Germany.
    33. Qadan, Mahmoud & Kliger, Doron & Chen, Nir, 2019. "Idiosyncratic volatility, the VIX and stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 431-441.
    34. Bo Jing & Shenghong Li & Yong Ma, 2020. "Pricing VIX options with volatility clustering," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 928-944, June.
    35. Jiling Cao & Xinfeng Ruan & Shu Su & Wenjun Zhang, 2020. "Pricing VIX derivatives with infinite‐activity jumps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 329-354, March.
    36. Qadan, Mahmoud & Aharon, David Y., 2019. "How much happiness can we find in the U.S. fear Index?," Finance Research Letters, Elsevier, vol. 30(C), pages 246-258.
    37. Changfu Ma & Wei Xu & Yue Kuen Kwok, 2020. "Willow tree algorithms for pricing VIX derivatives under stochastic volatility models," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 7(01), pages 1-28, March.

  11. Symeonidis, Lazaros & Daskalakis, George & Markellos, Raphael N., 2010. "Does the weather affect stock market volatility?," Finance Research Letters, Elsevier, vol. 7(4), pages 214-223, December.
    See citations under working paper version above.
  12. Manolis Kritikos & Raphael Markellos & Gregory Prastacos, 2010. "Corporate real estate analysis: evaluating telecom branch efficiency in Greece," Applied Economics, Taylor & Francis Journals, vol. 42(9), pages 1133-1143.

    Cited by:

    1. António S. Ribeiro & Francisco Lima, 2012. "Portuguese football league efficiency and players' wages," Applied Economics Letters, Taylor & Francis Journals, vol. 19(6), pages 599-602, April.
    2. Yi-Chung Hsu, 2014. "Efficiency in government health spending: a super slacks-based model," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(1), pages 111-126, January.
    3. Congcong Yang & Alfred Taudes & Guozhi Dong, 2017. "Efficiency analysis of European Freight Villages: three peers for benchmarking," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 25(1), pages 91-122, March.

  13. Nikolaos Vlastakis & George Dotsis & Raphael N. Markellos, 2009. "How efficient is the European football betting market? Evidence from arbitrage and trading strategies," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(5), pages 426-444.

    Cited by:

    1. Dagaev, Dmitry & Stoyan, Egor, 2020. "Parimutuel betting on the eSports duels: Evidence of the reverse favourite-longshot bias," Journal of Economic Psychology, Elsevier, vol. 81(C).
    2. Nikolaos Vlastakis & George Dotsis & Raphael Markellos, 2008. "Nonlinear modelling of European football scores using support vector machines," Applied Economics, Taylor & Francis Journals, vol. 40(1), pages 111-118.
    3. Isabel Abinzano & Luis Muga & Rafael Santamaria, 2017. "Behavioral Biases Never Walk Alone," Journal of Sports Economics, , vol. 18(2), pages 99-125, February.
    4. Lahvicka, Jiri, 2013. "The Fibonacci Strategy Revisited: Can You Really Make Money by Betting on Soccer Draws?," MPRA Paper 47649, University Library of Munich, Germany.
    5. Luca De Angelis & J. James Reade, 2022. "Home advantage and mispricing in indoor sports’ ghost games: the case of European basketball," Economics Discussion Papers em-dp2022-01, Department of Economics, University of Reading.
    6. Li, Yang & Brooks, Robert, 2022. "Evidence of arbitrage trading activity: The case of Chinese metal futures contracts," Emerging Markets Review, Elsevier, vol. 51(PB).
    7. Egon Franck & Erwin Verbeek & Stephan Nüesch, 2013. "Inter-market Arbitrage in Betting," Economica, London School of Economics and Political Science, vol. 80(318), pages 300-325, April.
    8. Giovanni Angelini & Luca De Angelis, 2017. "PARX model for football match predictions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(7), pages 795-807, November.
    9. Egon Franck & Erwin Verbeek & Stephan Nuesch, 2008. "Sentimental Preferences and the Organizational Regime of Betting Markets," Working Papers 0089, University of Zurich, Institute for Strategy and Business Economics (ISU), revised 2010.
    10. Nicos Zafiris, 2016. "Is There Such A Thing As A Safe Bet ?," Journal of Gambling Business and Economics, University of Buckingham Press, vol. 10(1), pages 40-65.
    11. Martin Spann & Bernd Skiera, 2009. "Sports forecasting: a comparison of the forecast accuracy of prediction markets, betting odds and tipsters," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(1), pages 55-72.
    12. Auld, Tom & Linton, Oliver, 2019. "The behaviour of betting and currency markets on the night of the EU referendum," International Journal of Forecasting, Elsevier, vol. 35(1), pages 371-389.
    13. Fischer, Kai & Haucap, Justus, 2020. "Betting market efficiency in the presence of unfamiliar shocks: The case of ghost games during the COVID-19 pandemic," DICE Discussion Papers 349, Heinrich Heine University Düsseldorf, Düsseldorf Institute for Competition Economics (DICE).
    14. Hofer, Vera & Leitner, Johannes, 2017. "Relative pricing of binary options in live soccer betting markets," Journal of Economic Dynamics and Control, Elsevier, vol. 76(C), pages 66-85.
    15. Rebeggiani, Luca & Gross, Johannes, 2018. "Chance or Ability? The Efficiency of the Football Betting Market Revisited," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181563, Verein für Socialpolitik / German Economic Association.
    16. Vincenzo Candila & Antonio Scognamillo, 2019. "On the Longshot Bias in Tennis Betting Markets: The Casco Normalization," Working Papers 3_236, Dipartimento di Scienze Economiche e Statistiche, Università degli Studi di Salerno.
    17. Guy Elaad, 2020. "Home-field advantage and biased prediction markets in English soccer," Applied Economics Letters, Taylor & Francis Journals, vol. 27(14), pages 1170-1174, July.
    18. Adrian Bell & Chris Brooks & David Matthews & Charles Sutcliffe, 2011. "Over the Moon or Sick as a Parrot? The Effects of Football Results on a Club's Share Price," Post-Print hal-00709557, HAL.
    19. Kai Fischer & Justus Haucap, 2022. "Home advantage in professional soccer and betting market efficiency: The role of spectator crowds," Kyklos, Wiley Blackwell, vol. 75(2), pages 294-316, May.
    20. David Winkelmann & Christian Deutscher & Marius Ötting, 2021. "Bookmakers’ mispricing of the disappeared home advantage in the German Bundesliga after the COVID-19 break," Applied Economics, Taylor & Francis Journals, vol. 53(26), pages 3054-3064, June.
    21. Buhagiar, Ranier & Cortis, Dominic & Newall, Philip W.S., 2018. "Why do some soccer bettors lose more money than others?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 18(C), pages 85-93.
    22. Angelini, Giovanni & De Angelis, Luca, 2019. "Efficiency of online football betting markets," International Journal of Forecasting, Elsevier, vol. 35(2), pages 712-721.
    23. Montone, Maurizio, 2021. "Optimal pricing in the online betting market," Journal of Economic Behavior & Organization, Elsevier, vol. 186(C), pages 344-363.
    24. Christian Deutscher & David Winkelmann & Marius Otting, 2020. "Bookmakers' mispricing of the disappeared home advantage in the German Bundesliga after the COVID-19 break," Papers 2008.05417, arXiv.org, revised Aug 2020.
    25. Elaad, Guy & Reade, J. James & Singleton, Carl, 2020. "Information, prices and efficiency in an online betting market," Finance Research Letters, Elsevier, vol. 35(C).
    26. Masahiro Ashiya, 2015. "Lock! Risk-Free Arbitrage in the Japanese Racetrack Betting Market," Journal of Sports Economics, , vol. 16(3), pages 322-330, April.
    27. Leitner, Christoph & Zeileis, Achim & Hornik, Kurt, 2010. "Forecasting sports tournaments by ratings of (prob)abilities: A comparison for the EUROÂ 2008," International Journal of Forecasting, Elsevier, vol. 26(3), pages 471-481, July.
    28. Dominic Cortis & Steve Hales & Frank Bezzina, 2013. "Profiting On Inefficiencies In Betting Derivative Markets: The Case Of Uefa Euro 2012," Journal of Gambling Business and Economics, University of Buckingham Press, vol. 7(1), pages 39-51.
    29. Giovanni Angelini & Luca De Angelis & Carl Singleton, 2019. "Informational efficiency and behaviour within in-play prediction markets," Economics Discussion Papers em-dp2019-20, Department of Economics, University of Reading, revised 01 Apr 2021.
    30. Marius Ötting & Christian Deutscher & Carl Singleton & Luca De Angelis, 2022. "Gambling on Momentum," Economics Discussion Papers em-dp2022-10, Department of Economics, University of Reading.
      • Marius Otting & Christian Deutscher & Carl Singleton & Luca De Angelis, 2022. "Gambling on Momentum," Papers 2211.06052, arXiv.org.
    31. Marius Ötting & Christian Deutscher & Carl Singleton & Luca De Angelis, 2023. "Gambling on Momentum in Contests," Economics Discussion Papers em-dp2023-08, Department of Economics, University of Reading.
    32. Pascal Flurin Meier & Raphael Flepp & Egon Franck, 2021. "Are sports betting markets semistrong efficient? Evidence from the COVID-19 pandemic," Working Papers 387, University of Zurich, Department of Business Administration (IBW).
    33. Goto, Shingo & Yamada, Toru, 2023. "What drives biased odds in sports betting markets: Bettors’ irrationality and the role of bookmakers," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 252-270.
    34. Babatunde Buraimo & David Peel & Rob Simmons, 2013. "Systematic Positive Expected Returns in the UK Fixed Odds Betting Market: An Analysis of the Fink Tank Predictions," IJFS, MDPI, vol. 1(4), pages 1-15, December.
    35. Dimic, Nebojsa & Neudl, Manfred & Orlov, Vitaly & Äijö, Janne, 2018. "Investor sentiment, soccer games and stock returns," Research in International Business and Finance, Elsevier, vol. 43(C), pages 90-98.
    36. David Winkelmann & Marius Ötting & Christian Deutscher & Tomasz Makarewicz, 2024. "Are Betting Markets Inefficient? Evidence From Simulations and Real Data," Journal of Sports Economics, , vol. 25(1), pages 54-97, January.
    37. Philip W. S. Newall & Dominic Cortis, 2021. "Are Sports Bettors Biased toward Longshots, Favorites, or Both? A Literature Review," Risks, MDPI, vol. 9(1), pages 1-9, January.
    38. Lessmann, Stefan & Sung, Ming-Chien & Johnson, Johnnie E.V. & Ma, Tiejun, 2012. "A new methodology for generating and combining statistical forecasting models to enhance competitive event prediction," European Journal of Operational Research, Elsevier, vol. 218(1), pages 163-174.
    39. Carlos Gomez-Gonzalez & Julio del Corral, 2018. "The betting market over time: overround and surebets in European football," Economics and Business Letters, Oviedo University Press, vol. 7(4), pages 129-136.
    40. Jinook Jeong & Jee Young Kim & Yoon Jae Ro, 2017. "On the Efficiency of Racetrack Betting Market: A New Test for the Favorite-Longshot Bias," Working papers 2017rwp-106, Yonsei University, Yonsei Economics Research Institute.
    41. Colantonio Emiliano, 2013. "Betting Markets: Opportunities For Many?," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 200-208, December.
    42. Salvatore Caruso & Giuseppe Pernagallo, 2021. "On the efficiency of online soccer betting markets: a new methodology based on symbolic series," Economics Bulletin, AccessEcon, vol. 41(3), pages 1451-1460.
    43. Andrew Grant & Anastasios Oikonomidis & Alistair C. Bruce & Johnnie E. V. Johnson, 2018. "New entry, strategic diversity and efficiency in soccer betting markets: the creation and suppression of arbitrage opportunities," The European Journal of Finance, Taylor & Francis Journals, vol. 24(18), pages 1799-1816, December.
    44. Fry, John & Serbera, Jean-Philippe & Wilson, Rob, 2021. "Managing performance expectations in association football," Journal of Business Research, Elsevier, vol. 135(C), pages 445-453.
    45. Luca De Angelis & J. James Reade, 2023. "Home advantage and mispricing in indoor sports’ ghost games: the case of European basketball," Annals of Operations Research, Springer, vol. 325(1), pages 391-418, June.

  14. Daskalakis, George & Markellos, Raphael N., 2009. "Are electricity risk premia affected by emission allowance prices? Evidence from the EEX, Nord Pool and Powernext," Energy Policy, Elsevier, vol. 37(7), pages 2594-2604, July.

    Cited by:

    1. Maryniak, Paweł & Trück, Stefan & Weron, Rafał, 2019. "Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill," Energy Economics, Elsevier, vol. 79(C), pages 45-58.
    2. Silvester Van Koten, 2020. "The Forward Premium in Electricity Markets: An Experimental Study," CERGE-EI Working Papers wp656, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    3. Pietz, Matthäus, 2009. "Risk premia in electricity wholesale spot markets: empirical evidence from Germany," CEFS Working Paper Series 2009-11, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
    4. Chia-Lin Chang & Te-Ke Mai & Michael McAleer, 2018. "Pricing Carbon Emissions in China," Tinbergen Institute Discussion Papers 18-001/III, Tinbergen Institute.
    5. Rohlfs, Wilko & Madlener, Reinhard, 2010. "Valuation of CCS-Ready Coal-Fired Power Plants: A Multi-Dimensional Real Options Approach," FCN Working Papers 7/2010, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
    6. Byun, Suk Joon & Cho, Hangjun, 2013. "Forecasting carbon futures volatility using GARCH models with energy volatilities," Energy Economics, Elsevier, vol. 40(C), pages 207-221.
    7. Yue-Jun Zhang & Yi-Ming Wei, 2009. "An overview of current research on EU ETS: Evidence from its operating mechanism and economic effect," CEEP-BIT Working Papers 3, Center for Energy and Environmental Policy Research (CEEP), Beijing Institute of Technology.
    8. Naeem, Muhammad Abubakr & Arfaoui, Nadia, 2023. "Exploring downside risk dependence across energy markets: Electricity, conventional energy, carbon, and clean energy during episodes of market crises," Energy Economics, Elsevier, vol. 127(PB).
    9. Bunn, Derek W. & Chen, Dipeng, 2013. "The forward premium in electricity futures," Journal of Empirical Finance, Elsevier, vol. 23(C), pages 173-186.
    10. Reboredo, Juan C. & Ugando, Mikel, 2015. "Downside risks in EU carbon and fossil fuel markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 111(C), pages 17-35.
    11. Marc Gronwald & Janina Ketterer & Stefan Trück, 2011. "The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis," CESifo Working Paper Series 3418, CESifo.
    12. Ajay K. Dhamija & Surendra S. Yadav & PK Jain, 2017. "Forecasting volatility of carbon under EU ETS: a multi-phase study," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, vol. 19(2), pages 299-335, April.
    13. Deeney, Peter & Cummins, Mark & Dowling, Michael & Smeaton, Alan F., 2016. "Influences from the European Parliament on EU emissions prices," Energy Policy, Elsevier, vol. 88(C), pages 561-572.
    14. Fei Ye & Lixu Li & Zhiqiang Wang & Yina Li, 2018. "An Asymmetric Nash Bargaining Model for Carbon Emission Quota Allocation among Industries: Evidence from Guangdong Province, China," Sustainability, MDPI, vol. 10(11), pages 1-18, November.
    15. Chia-Lin Chang & Michael McAleer, 2019. "Modeling Latent Carbon Emission Prices for Japan: Theory and Practice," Energies, MDPI, vol. 12(21), pages 1-21, November.
    16. Elliott, Robert J. & Lyle, Matthew R. & Miao, Hong, 2010. "A model for energy pricing with stochastic emission costs," Energy Economics, Elsevier, vol. 32(4), pages 838-847, July.
    17. Mei, Tianhua & Liu, Jie & Guo, Jianming & Siano, Pierluigi & Jin, Xuanxuan, 2022. "Allocation of emission allowances considering strategic voting," Energy Economics, Elsevier, vol. 114(C).
    18. Brooks, Chris & Prokopczuk, Marcel & Wu, Yingying, 2013. "Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(1), pages 73-85.
    19. Yuexu Zhao & Weiqi Xu, 2023. "Measurement of risk spillover effect based on EV-Copula method," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-10, December.
    20. Eunyoung Kim & Youngcheul Ahn & Doojin Ryu, 2014. "Application of the Carbon Emission Pricing Model in the Korean Market," Energy & Environment, , vol. 25(1), pages 63-78, February.
    21. Viehmann, Johannes, 2011. "Risk premiums in the German day-ahead Electricity Market," Energy Policy, Elsevier, vol. 39(1), pages 386-394, January.
    22. Kaiying Lin & Beibei Wang & Pengcheng You, 2021. "Mechanism Design for Efficient Nash Equilibrium in Oligopolistic Markets," Papers 2106.11120, arXiv.org.
    23. Zhi-Fu Mi & Yue-Jun Zhang, 2010. "Estimating the 'value at risk' of EUA futures prices based on the extreme value theory," CEEP-BIT Working Papers 9, Center for Energy and Environmental Policy Research (CEEP), Beijing Institute of Technology.
    24. Pawel Maryniak & Stefan Trueck & Rafal Weron, 2016. "Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets," HSC Research Reports HSC/16/10, Hugo Steinhaus Center, Wroclaw University of Technology.
    25. Christian Redl & Derek Bunn, 2013. "Determinants of the premium in forward contracts," Journal of Regulatory Economics, Springer, vol. 43(1), pages 90-111, January.
    26. Carlos Pinho & Mara Madaleno, 2011. "Links between spot and futures allowances: ECX and EEX markets comparison," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 35(2/3/4), pages 101-131.
    27. Reboredo, Juan C., 2014. "Volatility spillovers between the oil market and the European Union carbon emission market," Economic Modelling, Elsevier, vol. 36(C), pages 229-234.
    28. Reboredo, Juan C., 2013. "Modeling EU allowances and oil market interdependence. Implications for portfolio management," Energy Economics, Elsevier, vol. 36(C), pages 471-480.
    29. Erik Haugom & Peter Molnár & Magne Tysdahl, 2020. "Determinants of the Forward Premium in the Nord Pool Electricity Market," Energies, MDPI, vol. 13(5), pages 1-18, March.
    30. Chia-Lin Chang & Jukka Ilomäki & Hannu Laurila & Michael McAleer, 2018. "Moving Average Market Timing in European Energy Markets: Production Versus Emissions," Energies, MDPI, vol. 11(12), pages 1-24, November.
    31. Yue-Jun Zhang, 2016. "Research on carbon emission trading mechanisms: current status and future possibilities," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 39(1/2), pages 89-107.
    32. Cao, Guangxi & Xu, Wei, 2016. "Nonlinear structure analysis of carbon and energy markets with MFDCCA based on maximum overlap wavelet transform," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 505-523.
    33. George Daskalakis, Lazaros Symeonidis, Raphael N. Markellos, 2015. "Electricity futures prices in an emissions constrained economy: Evidence from European power markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
    34. Aatola, Piia & Ollikainen, Markku & Toppinen, Anne, 2013. "Price determination in the EU ETS market: Theory and econometric analysis with market fundamentals," Energy Economics, Elsevier, vol. 36(C), pages 380-395.
    35. Pietz, Matthäus, 2009. "Risk premia in the German electricity futures market," CEFS Working Paper Series 2009-07, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
    36. Balietti, Anca Claudia, 2016. "Trader types and volatility of emission allowance prices. Evidence from EU ETS Phase I," Energy Policy, Elsevier, vol. 98(C), pages 607-620.
    37. Wang, Yudong & Guo, Zhuangyue, 2018. "The dynamic spillover between carbon and energy markets: New evidence," Energy, Elsevier, vol. 149(C), pages 24-33.

  15. Daskalakis, George & Psychoyios, Dimitris & Markellos, Raphael N., 2009. "Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1230-1241, July.

    Cited by:

    1. Hervé-Mignucci, Morgan, 2011. "Rôle du signal prix du carbone sur les décisions d'investissement des entreprises," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/8200 edited by Keppler, Jan Horst.
    2. Grüll, Georg & Taschini, Luca, 2010. "A comparison of reduced-form permit price models and their empirical performances," LSE Research Online Documents on Economics 37603, London School of Economics and Political Science, LSE Library.
    3. Xiangjun Chen & Bo Yan, 2024. "Research on jumps and volatility in China’s carbon market," Economic Change and Restructuring, Springer, vol. 57(1), pages 1-43, February.
    4. Ye, Dezhu & Liu, Shasha & Kong, Dongmin, 2013. "Do efforts on energy saving enhance firm values? Evidence from China's stock market," Energy Economics, Elsevier, vol. 40(C), pages 360-369.
    5. Jilin Zhang & Yukun Xu, 2020. "Research on the Price Fluctuation and Risk Formation Mechanism of Carbon Emission Rights in China Based on a GARCH Model," Sustainability, MDPI, vol. 12(10), pages 1-11, May.
    6. Thijs Benschopa & Brenda López Cabrera, 2014. "Volatility Modelling of CO2 Emission Allowance Spot Prices with Regime-Switching GARCH Models," SFB 649 Discussion Papers SFB649DP2014-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    7. Amélie Charles & Olivier Darné & Jessica Fouilloux, 2010. "Testing the Martingale Difference Hypothesis in the EU ETS Markets for the CO2 Emission Allowances: Evidence from Phase I and Phase II," Post-Print hal-00797491, HAL.
    8. Lovcha, Yuliya & Pérez Laborda, Àlex & Sikora, Iryna, 2019. "The Determinants of CO2 prices in the EU ETS System," Working Papers 2072/376031, Universitat Rovira i Virgili, Department of Economics.
    9. John Foster & Liam Wagner & Phil Wild & Junhua Zhao & Lucas Skoofa & Craig Froome, 2011. "Market and Economic Modelling of the Intelligent Grid: End of Year Report 2009," Energy Economics and Management Group Working Papers 09, School of Economics, University of Queensland, Australia.
    10. Mengrui Zhu & Hua Xu & Xingyu Gao & Minggang Wang & André L. M. Vilela & Lixin Tian, 2022. "Identification of Breakpoints in Carbon Market Based on Probability Density Recurrence Network," Energies, MDPI, vol. 15(15), pages 1-18, July.
    11. Thijs Benschop & Brenda López Cabrera, 2017. "Realized volatility of CO2 futures," SFB 649 Discussion Papers SFB649DP2017-025, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    12. Panagiotis G. Papaioannou & George P. Papaioannou & Kostas Siettos & Akylas Stratigakos & Christos Dikaiakos, 2017. "Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece," Papers 1708.07063, arXiv.org.
    13. Shawkat Hammoudeh & Amine Lahiani & Duc Khuong Nguyen & Ricardo M. Sousa, 2014. "Asymmetric and nonlinear pass-through of energy prices to CO2 emission allowance prices," NIPE Working Papers 05/2014, NIPE - Universidade do Minho.
    14. Federico Galán-Valdivieso & Elena Villar-Rubio & María-Dolores Huete-Morales, 2018. "The erratic behaviour of the EU ETS on the path towards consolidation and price stability," International Environmental Agreements: Politics, Law and Economics, Springer, vol. 18(5), pages 689-706, October.
    15. Gwang Goo Lee & Sung-Won Ham, 2023. "Prediction of Carbon Price in EU-ETS Using a Geometric Brownian Motion Model and Its Application to Analyze the Economic Competitiveness of Carbon Capture and Storage," Energies, MDPI, vol. 16(17), pages 1-13, August.
    16. Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar, 2012. "Modeling and explaining the dynamics of European Union Allowance prices at high-frequency," Energy Economics, Elsevier, vol. 34(1), pages 316-326.
    17. Fang, Sheng & Lu, Xinsheng & Li, Jianfeng & Qu, Ling, 2018. "Multifractal detrended cross-correlation analysis of carbon emission allowance and stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 551-566.
    18. Bredin, Don & Muckley, Cal, 2011. "An emerging equilibrium in the EU emissions trading scheme," Energy Economics, Elsevier, vol. 33(2), pages 353-362, March.
    19. Julien Chevallier & Benoît Sévi, 2014. "On the Stochastic Properties of Carbon Futures Prices," Post-Print hal-01474249, HAL.
    20. Xu, Li & Deng, Shi-Jie & Thomas, Valerie M., 2016. "Carbon emission permit price volatility reduction through financial options," Energy Economics, Elsevier, vol. 53(C), pages 248-260.
    21. Chassagneux Jean-Francois & Chotai Hinesh & Crisan Dan, 2020. "Modelling multi-period carbon markets using singular forward backward SDEs," Papers 2008.09044, arXiv.org.
    22. Hintermann, Beat & Peterson, Sonja & Rickels, Wilfried, 2014. "Price and market behavior in Phase II of the EU ETS," Kiel Working Papers 1962, Kiel Institute for the World Economy (IfW Kiel).
    23. Martin Stefan & Claudia Wellenreuther, 2019. "London vs. Leipzig: Price Discovery of Carbon Futures during Phase III of the ETS," CQE Working Papers 8719, Center for Quantitative Economics (CQE), University of Muenster.
    24. Sabbaghi, Omid & Sabbaghi, Navid, 2011. "Carbon Financial Instruments, thin trading, and volatility: Evidence from the Chicago Climate Exchange," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 399-407.
    25. Charles, Amélie & Darné, Olivier & Fouilloux, Jessica, 2011. "Testing the martingale difference hypothesis in CO2 emission allowances," Economic Modelling, Elsevier, vol. 28(1-2), pages 27-35, January.
    26. Charles, Amélie & Darné, Olivier & Fouilloux, Jessica, 2013. "Market efficiency in the European carbon markets," Energy Policy, Elsevier, vol. 60(C), pages 785-792.
    27. Otakar Schlossberger, 2016. "Economic and Legal Aspects of Electronic Money," ACTA VSFS, University of Finance and Administration, vol. 10(1), pages 47-65.
    28. Chia-Lin Chang & Te-Ke Mai & Michael McAleer, 2018. "Pricing Carbon Emissions in China," Tinbergen Institute Discussion Papers 18-001/III, Tinbergen Institute.
    29. Xinghua Fan & Ying Zhang & Jiuli Yin, 2018. "Evolutionary Analysis of a Three-Dimensional Carbon Price Dynamic System," Sustainability, MDPI, vol. 11(1), pages 1-15, December.
    30. Julien Chevallier & Yannick Le Pen & Benoît Sévi, 2009. "Options introduction and volatility in the EU ETS," EconomiX Working Papers 2009-33, University of Paris Nanterre, EconomiX.
    31. Lovcha, Yuliya & Perez-Laborda, Alejandro & Sikora, Iryna, 2022. "The determinants of CO2 prices in the EU emission trading system," Applied Energy, Elsevier, vol. 305(C).
    32. Segnon, Mawuli & Lux, Thomas & Gupta, Rangan, 2017. "Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models," Renewable and Sustainable Energy Reviews, Elsevier, vol. 69(C), pages 692-704.
    33. Xi Jin & Bin Zou & Chan Wang & Kaifeng Rao & Xiaowen Tang, 2019. "Carbon Emission Allocation in a Chinese Province-Level Region Based on Two-Stage Network Structures," Sustainability, MDPI, vol. 11(5), pages 1-24, March.
    34. Marc Gronwald & Janina Ketterer, 2009. "Evaluating emissions trading as a policy instrument," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 62(11), pages 22-25, June.
    35. Fan, Ying & Jia, Jun-Jun & Wang, Xin & Xu, Jin-Hua, 2017. "What policy adjustments in the EU ETS truly affected the carbon prices?," Energy Policy, Elsevier, vol. 103(C), pages 145-164.
    36. Byun, Suk Joon & Cho, Hangjun, 2013. "Forecasting carbon futures volatility using GARCH models with energy volatilities," Energy Economics, Elsevier, vol. 40(C), pages 207-221.
    37. Kovacevic, Raimund M. & Paraschiv, Florentina, 2012. "Medium-term Planning for Thermal Electricity Production," Working Papers on Finance 1220, University of St. Gallen, School of Finance.
    38. Kalaitzoglou, Iordanis Angelos & Ibrahim, Boulis Maher, 2015. "Liquidity and resolution of uncertainty in the European carbon futures market," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 89-102.
    39. Fu, Yang & Zheng, Zeyu, 2020. "Volatility modeling and the asymmetric effect for China’s carbon trading pilot market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 542(C).
    40. Creti, Anna & Jouvet, Pierre-André & Mignon, Valérie, 2012. "Carbon price drivers: Phase I versus Phase II equilibrium?," Energy Economics, Elsevier, vol. 34(1), pages 327-334.
    41. Marc Lamphiere & Jonathan Blackledge & Derek Kearney, 2021. "Carbon Futures Trading and Short-Term Price Prediction: An Analysis Using the Fractal Market Hypothesis and Evolutionary Computing," Mathematics, MDPI, vol. 9(9), pages 1-32, April.
    42. Fan, Xinghua & Li, Xuxia & Yin, Jiuli & Tian, Lixin & Liang, Jiaochen, 2019. "Similarity and heterogeneity of price dynamics across China’s regional carbon markets: A visibility graph network approach," Applied Energy, Elsevier, vol. 235(C), pages 739-746.
    43. Kim, Jeonghyun & Seo, Byeongseon, 2015. "Transaction Costs And Nonlinear Mean Reversion In The Eu Emission Trading Scheme," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 56(2), pages 281-296, December.
    44. Jianfen Feng & Xiaowei Huang & Juyue Hou & Chunxia Wang & Yan Zeng, 2018. "Carbon Bond Pricing And Model Selection," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 63(02), pages 465-481, March.
    45. Anna Creti & Marc Joëts, 2017. "Multiple bubbles in the European Union Emission Trading Scheme," Post-Print hal-01549809, HAL.
    46. Rittler, Daniel, 2012. "Price discovery and volatility spillovers in the European Union emissions trading scheme: A high-frequency analysis," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 774-785.
    47. Philip, Dennis & Shi, Yukun, 2016. "Optimal hedging in carbon emission markets using Markov regime switching models," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 1-15.
    48. Gazi Salah Uddin & Jose Areola Hernandez & Syed Jawad Hussain Shahzad & Axel Hedström, 2018. "Multivariate dependence and spillover effects across energy commodities and diversification potentials of carbon assets," Post-Print hal-01996386, HAL.
    49. Yue-Jun Zhang & Yi-Ming Wei, 2009. "An overview of current research on EU ETS: Evidence from its operating mechanism and economic effect," CEEP-BIT Working Papers 3, Center for Energy and Environmental Policy Research (CEEP), Beijing Institute of Technology.
    50. Halkos, George, 2014. "The Economics of Climate Change Policy: Critical review and future policy directions," MPRA Paper 56841, University Library of Munich, Germany.
    51. Stefan Trück & Rafal Weron, 2015. "Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period," HSC Research Reports HSC/15/03, Hugo Steinhaus Center, Wroclaw University of Technology.
    52. Montagnoli, Alberto & de Vries, Frans P., 2010. "Carbon trading thickness and market efficiency," Energy Economics, Elsevier, vol. 32(6), pages 1331-1336, November.
    53. Reboredo, Juan C. & Ugando, Mikel, 2015. "Downside risks in EU carbon and fossil fuel markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 111(C), pages 17-35.
    54. Marc Gronwald & Janina Ketterer & Stefan Trück, 2011. "The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis," CESifo Working Paper Series 3418, CESifo.
    55. Gavard, Claire & Kirat, Djamel, 2018. "Flexibility in the market for international carbon credits and price dynamics difference with European allowances," Energy Economics, Elsevier, vol. 76(C), pages 504-518.
    56. Nazifi, Fatemeh, 2013. "Modelling the price spread between EUA and CER carbon prices," Energy Policy, Elsevier, vol. 56(C), pages 434-445.
    57. Blyth, William & Bunn, Derek, 2011. "Coevolution of policy, market and technical price risks in the EU ETS," Energy Policy, Elsevier, vol. 39(8), pages 4578-4593, August.
    58. Zhou, Wenji & Zhu, Bing & Fuss, Sabine & Szolgayová, Jana & Obersteiner, Michael & Fei, Weiyang, 2010. "Uncertainty modeling of CCS investment strategy in China's power sector," Applied Energy, Elsevier, vol. 87(7), pages 2392-2400, July.
    59. Daskalakis, George, 2013. "On the efficiency of the European carbon market: New evidence from Phase II," Energy Policy, Elsevier, vol. 54(C), pages 369-375.
    60. Guo, Huaying & Liang, Jin, 2016. "An optimal control model for reducing and trading of carbon emissions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 446(C), pages 11-21.
    61. Segnon, Mawuli & Lux, Thomas & Gupta, Rangan, 2015. "Modeling and Forecasting Carbon Dioxide Emission Allowance Spot Price Volatility: Multifractal vs. GARCH-type Volatility Models," FinMaP-Working Papers 46, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    62. Marc Chesney & Luca Taschini, 2008. "The Endogenous Price Dynamics of the Emission Allowances: An Application to CO2 Option Pricing," Swiss Finance Institute Research Paper Series 08-02, Swiss Finance Institute, revised Jan 2008.
    63. Thomas Aspinall & Adrian Gepp & Geoff Harris & Simone Kelly & Colette Southam & Bruce Vanstone, 2021. "Estimation of a term structure model of carbon prices through state space methods: The European Union emissions trading scheme," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(2), pages 3797-3819, June.
    64. Koop, Gary & Tole, Lise, 2013. "Modeling the relationship between European carbon permits and certified emission reductions," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 166-181.
    65. Medina, Vicente & Pardo, Ángel & Pascual, Roberto, 2014. "The timeline of trading frictions in the European carbon market," Energy Economics, Elsevier, vol. 42(C), pages 378-394.
    66. Luis A. Gil-Alana & Fernando Perez de Gracia & Rangan Gupta, 2015. "Modeling Persistence of Carbon Emission Allowance Prices," Working Papers 201515, University of Pretoria, Department of Economics.
    67. Lyu, Chenyan, 2021. "Regional Carbon Markets in China: Cointegration and Heterogeneity," Working Papers 13-2021, Copenhagen Business School, Department of Economics.
    68. Lei, Heng & Xue, Minggao & Liu, Huiling, 2022. "Probability distribution forecasting of carbon allowance prices: A hybrid model considering multiple influencing factors," Energy Economics, Elsevier, vol. 113(C).
    69. John Hua Fan & Eduardo Roca & Alexandr Akimov, 2014. "Estimation and performance evaluation of optimal hedge ratios in the carbon market of the European Union Emissions Trading Scheme," Australian Journal of Management, Australian School of Business, vol. 39(1), pages 73-91, February.
    70. Shawkat Hammoudeh & Amine Lahiani & Duc Khuong Nguyen & Ricardo M. Sousa, 2014. "Energy prices and CO2 emission allowance prices: A quantile regression approach," NIPE Working Papers 06/2014, NIPE - Universidade do Minho.
    71. Julien Chevallier, 2011. "Detecting Instability in the Volatility of Carbon Prices," Post-Print hal-00991957, HAL.
    72. Fan, Xinghua & Lv, Xiangxiang & Yin, Jiuli & Tian, Lixin & Liang, Jiaochen, 2019. "Multifractality and market efficiency of carbon emission trading market: Analysis using the multifractal detrended fluctuation technique," Applied Energy, Elsevier, vol. 251(C), pages 1-1.
    73. Feng, Ling & Wang, Jieyu, 2023. "Random sources correlations and carbon futures pricing," International Review of Financial Analysis, Elsevier, vol. 86(C).
    74. Cummins, Mark, 2013. "EU ETS market interactions: The case for multiple hypothesis testing approaches," Applied Energy, Elsevier, vol. 111(C), pages 701-709.
    75. Kapoor, Nimisha & Ghosh, Sajal, 2014. "Long-term association between European and Indian markets on carbon credit price," Renewable and Sustainable Energy Reviews, Elsevier, vol. 38(C), pages 656-662.
    76. Suzanne Shaw, 2010. "A two-sector model of the European Union Emissions Trading Scheme," Working Papers 1001, Chaire Economie du climat.
    77. George P. Papaioannou & Christos Dikaiakos & Akylas Stratigakos & Anargyros Dramountanis & Antonio T. Alexandridis, 2018. "Using a Rolling Vector Error Correction Model to Model Static and Dynamic Causal Relations between Electricity Spot Price and Related Fundamental Factors: The Case of Greek Electricity Market," International Journal of Energy Economics and Policy, Econjournals, vol. 8(1), pages 38-54.
    78. Knight, Eric, 2010. "The Economic Geography of European Carbon Market Trading," Working Papers 249382, Australian National University, Centre for Climate Economics & Policy.
    79. Zheng, Zeyu & Xiao, Rui & Shi, Haibo & Li, Guihong & Zhou, Xiaofeng, 2015. "Statistical regularities of Carbon emission trading market: Evidence from European Union allowances," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 426(C), pages 9-15.
    80. Zdeněk Hlávka & Marie Hušková & Claudia Kirch & Simos G. Meintanis, 2017. "Fourier--type tests involving martingale difference processes," Econometric Reviews, Taylor & Francis Journals, vol. 36(4), pages 468-492, April.
    81. Steffen Hitzemann & Marliese Uhrig-Homburg, 2019. "Empirical performance of reduced-form models for emission permit prices," Review of Derivatives Research, Springer, vol. 22(3), pages 389-418, October.
    82. Yinpeng Zhang & Zhixin Liu & Xueying Yu, 2017. "The Diversification Benefits of Including Carbon Assets in Financial Portfolios," Sustainability, MDPI, vol. 9(3), pages 1-13, March.
    83. Xiaojian Su & Chao Deng, 2019. "The heterogeneous effects of exchange rate and stock market on CO2 emission allowance price in China: A panel quantile regression approach," PLOS ONE, Public Library of Science, vol. 14(8), pages 1-11, August.
    84. Massimiliano Caporin & Fulvio Fontini & Samuele Segato, 2021. "Has the EU-ETS Financed the Energy Transition of the Italian Power System?," IJFS, MDPI, vol. 9(4), pages 1-15, December.
    85. Zhao, Xin-gang & Wu, Lei & Li, Ang, 2017. "Research on the efficiency of carbon trading market in China," Renewable and Sustainable Energy Reviews, Elsevier, vol. 79(C), pages 1-8.
    86. Feria-Domínguez, José Manuel & Rodriguez-Carrillero, David & Guerra-Martinez, José Carlos, 2018. "Measuring the risk-adjusted performance of CO2 emission markets: Evidence from SENDECO2," Utilities Policy, Elsevier, vol. 50(C), pages 124-132.
    87. Heijmans, Roweno J.R.K., 2023. "Adjustable emissions caps and the price of pollution," Journal of Environmental Economics and Management, Elsevier, vol. 118(C).
    88. Massimo Peri & Lucia Baldi, 2011. "Nonlinear price dynamics between CO2 futures and Brent," Applied Economics Letters, Taylor & Francis Journals, vol. 18(13), pages 1207-1211.
    89. Daniela Spiesova, 2016. "Prediction of Emission Allowances Spot Prices Volatility with the Use of GARCH Models," ACTA VSFS, University of Finance and Administration, vol. 10(1), pages 66-79.
    90. Julien Chevallier & Benoît Sévi, 2009. "On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting," Working Papers halshs-00387286, HAL.
    91. Narayan, Paresh Kumar & Sharma, Susan Sunila, 2015. "Is carbon emissions trading profitable?," Economic Modelling, Elsevier, vol. 47(C), pages 84-92.
    92. Marc Gronwald & Janina Ketterer, 2012. "What Moves the European Carbon Market? - Insights from Conditional Jump Models," CESifo Working Paper Series 3795, CESifo.
    93. Julien Chevallier & Benoît Sévi, 2009. "On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting," Working Papers hal-04140871, HAL.
    94. Yonghong Cheng & Zhongkai Xiong & Qinglin Luo, 2018. "Joint Pricing and Product Carbon Footprint Decisions and Coordination of Supply Chain with Cap-and-Trade Regulation," Sustainability, MDPI, vol. 10(2), pages 1-24, February.
    95. Iordanis Angelos Kalaitzoglou & Boulis Maher Ibrahim, 2015. "Liquidity and resolution of uncertainty in the European carbon futures market," Post-Print hal-01107956, HAL.
    96. Vicente Medina Martínez & Ángel Pardo Tornero, 2012. "Stylized facts of CO2 returns," Working Papers. Serie AD 2012-14, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    97. Wang, Xinyu & Sethi, Suresh P. & Chang, Shuhua, 2022. "Pollution abatement using cap-and-trade in a dynamic supply chain and its coordination," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 158(C).
    98. Viteva, Svetlana & Veld-Merkoulova, Yulia V. & Campbell, Kevin, 2014. "The forecasting accuracy of implied volatility from ECX carbon options," Energy Economics, Elsevier, vol. 45(C), pages 475-484.
    99. Chia-Lin Chang & Michael McAleer, 2019. "Modeling Latent Carbon Emission Prices for Japan: Theory and Practice," Energies, MDPI, vol. 12(21), pages 1-21, November.
    100. Abate, Arega Getaneh & Riccardi, Rossana & Ruiz, Carlos, 2021. "Contracts in electricity markets under EU ETS: A stochastic programming approach," Energy Economics, Elsevier, vol. 99(C).
    101. de, Vries Frans & Montagnoli, Alberto, 2009. "Carbon trading thickness and market efficiency: A non-parametric test," Stirling Economics Discussion Papers 2009-22, University of Stirling, Division of Economics.
    102. Yan, Kai & Zhang, Wei & Shen, Dehua, 2020. "Stylized facts of the carbon emission market in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 555(C).
    103. Nicolas Koch, 2014. "Dynamic linkages among carbon, energy and financial markets: a smooth transition approach," Applied Economics, Taylor & Francis Journals, vol. 46(7), pages 715-729, March.
    104. Katsushi Nakajima & Kazuhiko Ohashi, 2013. "Emission Allowance as a Derivative on Commodity-Spread," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(2), pages 183-217, May.
    105. Krishnamurti, Chandrasekhar & Hoque, Ariful, 2011. "Efficiency of European emissions markets: Lessons and implications," Energy Policy, Elsevier, vol. 39(10), pages 6575-6582, October.
    106. René Carmona & Juri Hinz, 2011. "Risk-Neutral Models for Emission Allowance Prices and Option Valuation," Management Science, INFORMS, vol. 57(8), pages 1453-1468, August.
    107. Daskalakis, George, 2018. "Temporal restrictions on emissions trading and the implications for the carbon futures market: Lessons from the EU emissions trading scheme," Energy Policy, Elsevier, vol. 115(C), pages 88-91.
    108. Girardet, Daniel & Spinler, Stefan, 2013. "Surcharge management of kerosene and CO2 costs for airlines under the EU's emission trading," Journal of Air Transport Management, Elsevier, vol. 26(C), pages 25-30.
    109. Juri Hinz & Alex Novikov, 2010. "On fair pricing of emission-related derivatives," Papers 1011.5792, arXiv.org.
    110. Dannenberg, Henry & Ehrenfeld, Wilfried, 2010. "Stochastic Income Statement Planning and Emissions Trading," IWH Discussion Papers 4/2010, Halle Institute for Economic Research (IWH).
    111. Palao, Fernando & Pardo, Ángel, 2021. "The inconvenience yield of carbon futures," Energy Economics, Elsevier, vol. 101(C).
    112. Chang-Yi Li & Son-Nan Chen & Shih-Kuei Lin, 2016. "Pricing derivatives with modeling CO emission allowance using a regime-switching jump diffusion model: with regime-switching risk premium," The European Journal of Finance, Taylor & Francis Journals, vol. 22(10), pages 887-908, August.
    113. Shawkat Hammoudeh & Duc Khuong Nguyen & Ricardo M. Sousa, 2014. "What explains the short," Working Papers 2014-81, Department of Research, Ipag Business School.
    114. Rittler, Daniel, 2009. "Price Discovery, Causality and Volatility Spillovers in European Union Allowances Phase II: A High Frequency Analysis," Working Papers 0492, University of Heidelberg, Department of Economics.
    115. Paul Amadieu & Jean-Laurent Viviani, 2010. "Developpement Durable, Flux Comptables Et Evaluation D'Entreprise," Post-Print hal-00479524, HAL.
    116. Shuhua Chang & Xinyu Wang, 2015. "Modelling and Computation in the Valuation of Carbon Derivatives with Stochastic Convenience Yields," PLOS ONE, Public Library of Science, vol. 10(5), pages 1-35, May.
    117. Zheng, Yan & Yin, Hua & Zhou, Min & Liu, Wenhua & Wen, Fenghua, 2021. "Impacts of oil shocks on the EU carbon emissions allowances under different market conditions," Energy Economics, Elsevier, vol. 104(C).
    118. Tan, Xueping & Sirichand, Kavita & Vivian, Andrew & Wang, Xinyu, 2020. "How connected is the carbon market to energy and financial markets? A systematic analysis of spillovers and dynamics," Energy Economics, Elsevier, vol. 90(C).
    119. Ondrej Dvoulety & Jan Mares, 2016. "Determinants of Regional Entrepreneurial Activity in the Czech Republic," ACTA VSFS, University of Finance and Administration, vol. 10(1), pages 31-46.
    120. Stefan Trück & Wolfgang Härdle & Rafal Weron, 2012. "The relationship between spot and futures CO2 emission allowance prices in the EU-ETS," HSC Research Reports HSC/12/02, Hugo Steinhaus Center, Wroclaw University of Technology.
    121. Andreas Welling, 2017. "Green Finance: Recent developments, characteristics and important actors," FEMM Working Papers 170002, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
    122. Kozarski, R., 2013. "Pricing and hedging in the VIX derivative market," Other publications TiSEM 221fefe0-241e-4914-b6bd-c, Tilburg University, School of Economics and Management.
    123. Daskalakis, George & Markellos, Raphael N., 2009. "Are electricity risk premia affected by emission allowance prices? Evidence from the EEX, Nord Pool and Powernext," Energy Policy, Elsevier, vol. 37(7), pages 2594-2604, July.
    124. Marius-Cristian Frunza & Dominique Guegan, 2010. "Derivative Pricing and Hedging on Carbon Market," Post-Print halshs-00461474, HAL.
    125. Julien Chevallier & Stéphane Goutte, 2014. "The goodness-of-fit of the fuel-switching price using the mean-reverting Lévy jump process," Working Papers 2014-285, Department of Research, Ipag Business School.
    126. Shuhua Chang & Suresh P. Sethi & Xinyu Wang, 2018. "Optimal Abatement and Emission Permit Trading Policies in a Dynamic Transboundary Pollution Game," Dynamic Games and Applications, Springer, vol. 8(3), pages 542-572, September.
    127. Wen, Xiaoqian & Bouri, Elie & Roubaud, David, 2017. "Can energy commodity futures add to the value of carbon assets?," Economic Modelling, Elsevier, vol. 62(C), pages 194-206.
    128. Huang, Zhehao & Dong, Hao & Jia, Shuaishuai, 2022. "Equilibrium pricing for carbon emission in response to the target of carbon emission peaking," Energy Economics, Elsevier, vol. 112(C).
    129. Sharon S. Yang & Jr-Wei Huang & Chuang-Chang Chang, 2016. "Detecting and modelling the jump risk of CO 2 emission allowances and their impact on the valuation of option on futures contracts," Quantitative Finance, Taylor & Francis Journals, vol. 16(5), pages 749-762, May.
    130. Mizrach, Bruce, 2012. "Integration of the global carbon markets," Energy Economics, Elsevier, vol. 34(1), pages 335-349.
    131. Carlos Pinho & Mara Madaleno, 2011. "Links between spot and futures allowances: ECX and EEX markets comparison," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 35(2/3/4), pages 101-131.
    132. Deeney, Peter & Cummins, Mark & Heintz, Katharina & Pryce, Mary T., 2021. "A real options based decision support tool for R&D investment: Application to CO2 recycling technology," European Journal of Operational Research, Elsevier, vol. 289(2), pages 696-711.
    133. Chevallier, Julien, 2011. "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economic Modelling, Elsevier, vol. 28(6), pages 2634-2656.
    134. Philip, Dennis & Shi, Yukun, 2015. "Impact of allowance submissions in European carbon emission markets," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 27-37.
    135. Shuhua Chang & Xinyu Wang & Alexander Shananin, 2015. "Modeling and Computation of Mean Field Equilibria in Producers' Game with Emission Permits Trading," Papers 1506.04869, arXiv.org.
    136. Alexander Zeitlberger & Alexander Brauneis, 2016. "Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 24(1), pages 149-176, March.
    137. Hammoudeh, Shawkat & Nguyen, Duc Khuong & Sousa, Ricardo M., 2014. "What explain the short-term dynamics of the prices of CO2 emissions?," Energy Economics, Elsevier, vol. 46(C), pages 122-135.
    138. Duan, Kun & Ren, Xiaohang & Shi, Yukun & Mishra, Tapas & Yan, Cheng, 2021. "The marginal impacts of energy prices on carbon price variations: Evidence from a quantile-on-quantile approach," Energy Economics, Elsevier, vol. 95(C).
    139. Rammerstorfer, Margarethe & Eisl, Roland, 2011. "Carbon capture and storage—Investment strategies for the future?," Energy Policy, Elsevier, vol. 39(11), pages 7103-7111.
    140. Yue Qi & Yue Wang, 2023. "Innovating and Pricing Carbon-Offset Options of Asian Styles on the Basis of Jump Diffusions and Fractal Brownian Motions," Mathematics, MDPI, vol. 11(16), pages 1-22, August.
    141. Oestreich, A. Marcel & Tsiakas, Ilias, 2015. "Carbon emissions and stock returns: Evidence from the EU Emissions Trading Scheme," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 294-308.
    142. Lukas, Elmar & Welling, Andreas, 2014. "Timing and eco(nomic) efficiency of climate-friendly investments in supply chains," European Journal of Operational Research, Elsevier, vol. 233(2), pages 448-457.
    143. Kanamura, Takashi, 2016. "Role of carbon swap trading and energy prices in price correlations and volatilities between carbon markets," Energy Economics, Elsevier, vol. 54(C), pages 204-212.
    144. Dorota Ciesielska-Maciągowska & Dawid Klimczak & Małgorzata Skrzek-Lubasińska, 2021. "Central and Eastern European CO 2 Market—Challenges of Emissions Trading for Energy Companies," Energies, MDPI, vol. 14(4), pages 1-14, February.
    145. Koenig, P., 2011. "Modelling Correlation in Carbon and Energy Markets," Cambridge Working Papers in Economics 1123, Faculty of Economics, University of Cambridge.
    146. Leon Vinokur, 2009. "Disposition in the Carbon Market and Institutional Constraints," Working Papers 652, Queen Mary University of London, School of Economics and Finance.
    147. Lai, Junyu & Wan, Justin W.L. & Zhang, Shuhua, 2019. "Numerical methods for two person games arising from transboundary pollution with emission permit trading," Applied Mathematics and Computation, Elsevier, vol. 350(C), pages 11-31.
    148. Xing Yang & Jun-long Mi & Yue Zeng & Wen-bo Wei, 2023. "Bilinear Integrable soliton solutions and carbon emission rights pricing," International Journal of Low-Carbon Technologies, Oxford University Press, vol. 18, pages 131-143.
    149. Deshan Li & Degang Yang, 2016. "Does Non-Fossil Energy Usage Lower CO 2 Emissions? Empirical Evidence from China," Sustainability, MDPI, vol. 8(9), pages 1-11, August.
    150. Dannenberg, Henry & Ehrenfeld, Wilfried, 2008. "Prognose des CO2-Zertifikatepreisrisikos," IWH Discussion Papers 5/2008, Halle Institute for Economic Research (IWH).
    151. Chevallier, Julien, 2011. "A model of carbon price interactions with macroeconomic and energy dynamics," Energy Economics, Elsevier, vol. 33(6), pages 1295-1312.
    152. Paredes, B.M. & Paredes, J.P. & García, R., 2023. "Integration of biocoal in distributed energy systems: A potential case study in the Spanish coal-mining regions," Energy, Elsevier, vol. 263(PC).
    153. Kumar, Surender & Managi, Shunsuke & Matsuda, Akimi, 2012. "Stock prices of clean energy firms, oil and carbon markets: A vector autoregressive analysis," Energy Economics, Elsevier, vol. 34(1), pages 215-226.
    154. Reboredo, Juan C., 2013. "Modeling EU allowances and oil market interdependence. Implications for portfolio management," Energy Economics, Elsevier, vol. 36(C), pages 471-480.
    155. Mohamed Amine Boutaba, 2009. "Dynamic linkages among European carbon markets," Economics Bulletin, AccessEcon, vol. 29(2), pages 499-511.
    156. Xintong Wu & Zhendong Li & Fangcheng Tang, 2022. "The Effect of Carbon Price Volatility on Firm Green Transitions: Evidence from Chinese Manufacturing Listed Firms," Energies, MDPI, vol. 15(20), pages 1-11, October.
    157. Po Yun & Chen Zhang & Yaqi Wu & Yu Yang, 2022. "Forecasting Carbon Dioxide Price Using a Time-Varying High-Order Moment Hybrid Model of NAGARCHSK and Gated Recurrent Unit Network," IJERPH, MDPI, vol. 19(2), pages 1-19, January.
    158. Marcel Gorenflo, 2013. "Futures price dynamics of CO 2 emission allowances," Empirical Economics, Springer, vol. 45(3), pages 1025-1047, December.
    159. Huang, Yumeng & Dai, Xingyu & Wang, Qunwei & Zhou, Dequn, 2021. "A hybrid model for carbon price forecastingusing GARCH and long short-term memory network," Applied Energy, Elsevier, vol. 285(C).
    160. Nader Trabelsi & Aviral Kumar Tiwari, 2023. "CO2 Emission Allowances Risk Prediction with GAS and GARCH Models," Computational Economics, Springer;Society for Computational Economics, vol. 61(2), pages 775-805, February.
    161. Kim, Jungmu & Park, Yuen Jung & Ryu, Doojin, 2017. "Stochastic volatility of the futures prices of emission allowances: A Bayesian approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 714-724.
    162. Jana Simakova, 2016. "The Gravity Modelling of the Relationship between Exchange Rate Volatility and Foreign Trade in Visegrad Countries," ACTA VSFS, University of Finance and Administration, vol. 10(1), pages 7-30.
    163. Ravi Kashyap, 2016. "Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory," Papers 1609.01274, arXiv.org, revised Mar 2022.
    164. Kalaitzoglou, Iordanis & Ibrahim, Boulis Maher, 2013. "Trading patterns in the European carbon market: The role of trading intensity and OTC transactions," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(4), pages 402-416.
    165. Yue-Jun Zhang, 2016. "Research on carbon emission trading mechanisms: current status and future possibilities," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 39(1/2), pages 89-107.
    166. Yue Xu & Dayu Zhai, 2022. "Impact of Changes in Membership on Prices of a Unified Carbon Market: Case Study of the European Union Emissions Trading System," Sustainability, MDPI, vol. 14(21), pages 1-16, October.
    167. Wugan Cai & Jiafeng Pan, 2017. "Stochastic Differential Equation Models for the Price of European CO 2 Emissions Allowances," Sustainability, MDPI, vol. 9(2), pages 1-12, February.
    168. Benz, Eva & Trück, Stefan, 2009. "Modeling the price dynamics of CO2 emission allowances," Energy Economics, Elsevier, vol. 31(1), pages 4-15, January.
    169. George Daskalakis, Lazaros Symeonidis, Raphael N. Markellos, 2015. "Electricity futures prices in an emissions constrained economy: Evidence from European power markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
    170. Xu, Yingying, 2021. "Risk spillover from energy market uncertainties to the Chinese carbon market," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    171. Aatola, Piia & Ollikainen, Markku & Toppinen, Anne, 2013. "Price determination in the EU ETS market: Theory and econometric analysis with market fundamentals," Energy Economics, Elsevier, vol. 36(C), pages 380-395.
    172. Stefan, Martin & Wellenreuther, Claudia, 2020. "London vs. Leipzig: Price discovery of carbon futures during Phase III of the ETS," Economics Letters, Elsevier, vol. 188(C).
    173. Don BREDIN & Cal MUCKLEY, 2010. "Is There a Stochastic Trend in European Union Emission Trading Scheme Prices?," Sosyoekonomi Journal, Sosyoekonomi Society, issue 2010-EN.
    174. Chan, Ying Tung & Zhao, Hong, 2019. "How do credit market frictions affect carbon cycles? an estimated DSGE model approach," MPRA Paper 106987, University Library of Munich, Germany, revised 05 Dec 2020.
    175. Chevallier, Julien, 2011. "Nonparametric modeling of carbon prices," Energy Economics, Elsevier, vol. 33(6), pages 1267-1282.
    176. Shrestha, Keshab & Naysary, Babak & Philip, Sheena Sara Suresh, 2023. "Price discovery in carbon exchange traded fund markets," International Review of Financial Analysis, Elsevier, vol. 89(C).
    177. Rotfuß, Waldemar, 2009. "Intraday price formation and volatility in the European Union emissions trading scheme: an introductory analysis," ZEW Discussion Papers 09-018, ZEW - Leibniz Centre for European Economic Research.
    178. Julien Chevallier, 2010. "A Note on Cointegrating and Vector Autoregressive Relationships between CO2 allowances spot and futures prices," Economics Bulletin, AccessEcon, vol. 30(2), pages 1564-1584.
    179. Balietti, Anca Claudia, 2016. "Trader types and volatility of emission allowance prices. Evidence from EU ETS Phase I," Energy Policy, Elsevier, vol. 98(C), pages 607-620.
    180. Cong, Ren & Lo, Alex Y., 2017. "Emission trading and carbon market performance in Shenzhen, China," Applied Energy, Elsevier, vol. 193(C), pages 414-425.
    181. Makropoulou, Vasiliki & Dotsis, George & Markellos, Raphael N., 2013. "Environmental policy implications of extreme variations in pollutant stock levels and socioeconomic costs," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(4), pages 417-428.
    182. Getachew Nigatu, 2016. "Assessing the effects of climate change policy on the volatility of carbon prices in reference to the Great Recession," Journal of Environmental Economics and Policy, Taylor & Francis Journals, vol. 5(2), pages 200-215, July.
    183. Chevallier, Julien, 2010. "Modelling risk premia in CO2 allowances spot and futures prices," Economic Modelling, Elsevier, vol. 27(3), pages 717-729, May.
    184. Crossland, Jarrod & Li, Bin & Roca, Eduardo, 2013. "Is the European Union Emissions Trading Scheme (EU ETS) informationally efficient? Evidence from momentum-based trading strategies," Applied Energy, Elsevier, vol. 109(C), pages 10-23.
    185. Julien Chevallier, 2010. "Volatility forecasting of carbon prices using factor models," Economics Bulletin, AccessEcon, vol. 30(2), pages 1642-1660.

  16. Nikolaos Vlastakis & George Dotsis & Raphael Markellos, 2008. "Nonlinear modelling of European football scores using support vector machines," Applied Economics, Taylor & Francis Journals, vol. 40(1), pages 111-118.

    Cited by:

    1. Oscar Claveria & Enric Monte & Salvador Torra, 2014. "“A multivariate neural network approach to tourism demand forecasting”," AQR Working Papers 201410, University of Barcelona, Regional Quantitative Analysis Group, revised May 2014.
    2. Chia-Hao Chang, 2021. "Construction of a Predictive Model for MLB Matches," Forecasting, MDPI, vol. 3(1), pages 1-11, February.
    3. Xianning Wang & Zhengang Ma & Jiusheng Chen & Jingrong Dong, 2023. "Can Regional Eco-Efficiency Forecast the Changes in Local Public Health: Evidence Based on Statistical Learning in China," IJERPH, MDPI, vol. 20(2), pages 1-19, January.
    4. S Lessmann & M-C Sung & J E V Johnson, 2011. "Towards a methodology for measuring the true degree of efficiency in a speculative market," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 62(12), pages 2120-2132, December.
    5. Hassanniakalager, Arman & Sermpinis, Georgios & Stasinakis, Charalampos & Verousis, Thanos, 2020. "A conditional fuzzy inference approach in forecasting," European Journal of Operational Research, Elsevier, vol. 283(1), pages 196-216.
    6. Xianning Wang & Zhengang Ma & Jingrong Dong, 2021. "Quantitative Impact Analysis of Climate Change on Residents’ Health Conditions with Improving Eco-Efficiency in China: A Machine Learning Perspective," IJERPH, MDPI, vol. 18(23), pages 1-23, December.

  17. Raphael Markellos & Terence Mills, 2003. "Asset pricing dynamics," The European Journal of Finance, Taylor & Francis Journals, vol. 9(6), pages 533-556.

    Cited by:

    1. Gawon Yoon, 2005. "Stochastic Unit Roots in the Capital Asset Pricing Model?," Bulletin of Economic Research, Wiley Blackwell, vol. 57(4), pages 369-389, October.

  18. Raphael Markellos & Terence Mills, 2001. "Unit roots in the CAPM?," Applied Economics Letters, Taylor & Francis Journals, vol. 8(8), pages 499-502.

    Cited by:

    1. Christoph Wegener & Tobias Basse, 2019. "The Stability of Factor Sensitivities of German Stock Market Sector Indices: Empirical Evidence and Some Thoughts about Practical Implications," JRFM, MDPI, vol. 12(3), pages 1-10, August.
    2. Gawon Yoon, 2005. "Stochastic Unit Roots in the Capital Asset Pricing Model?," Bulletin of Economic Research, Wiley Blackwell, vol. 57(4), pages 369-389, October.

  19. Raphael Markellos, 1999. "Investment strategy evaluation with cointegration," Applied Economics Letters, Taylor & Francis Journals, vol. 6(3), pages 177-179.

    Cited by:

  20. Raphael Markellos & Costas Siriopoulos, 1997. "Diversification benefits in the smaller European stock markets," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 3(2), pages 142-153, May.

    Cited by:

    1. Raphael Markellos, 1999. "Investment strategy evaluation with cointegration," Applied Economics Letters, Taylor & Francis Journals, vol. 6(3), pages 177-179.
    2. Saif Siddiqui, 2009. "Stock Markets Integration: Examining Linkages between Selected World Markets," Vision, , vol. 13(1), pages 19-30, January.
    3. José Carlos Vides & Antonio A. Golpe & Jesús Iglesias, 2018. "How did the Sovereign debt crisis affect the Euro financial integration? A fractional cointegration approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(4), pages 685-706, November.
    4. Anil Sharma & Neha Seth, 2012. "Literature review of stock market integration: a global perspective," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 4(1), pages 84-122, April.

Books

  1. Mills,Terence C. & Markellos,Raphael N., 2008. "The Econometric Modelling of Financial Time Series," Cambridge Books, Cambridge University Press, number 9780521710091.

    Cited by:

    1. Alberto Humala & Gabriel Rodriguez, 2011. "Some Stylized Facts of Returns in the Foreign Exchange and Stock Markets in Peru," Documentos de Trabajo / Working Papers 2011-325, Departamento de Economía - Pontificia Universidad Católica del Perú.
    2. Nikolaos Vlastakis & George Dotsis & Raphael Markellos, 2008. "Nonlinear modelling of European football scores using support vector machines," Applied Economics, Taylor & Francis Journals, vol. 40(1), pages 111-118.
    3. Sánchez Lasheras, Fernando & de Cos Juez, Francisco Javier & Suárez Sánchez, Ana & Krzemień, Alicja & Riesgo Fernández, Pedro, 2015. "Forecasting the COMEX copper spot price by means of neural networks and ARIMA models," Resources Policy, Elsevier, vol. 45(C), pages 37-43.
    4. GRITLI, Mohamed Ilyes, 2018. "Quel avenir du dinar tunisien face à l'euro ? Prévision avec le modèle ARIMA [What future of the Tunisian dinar against the euro? Prediction with the ARIMA model]," MPRA Paper 83937, University Library of Munich, Germany.
    5. Rodrigo Alfaro & Natán Goldberger, 2012. "Cubrir o no Cubrir: ¿Ese es el Dilema?," Working Papers Central Bank of Chile 662, Central Bank of Chile.
    6. Abdelrehim, Neveen & Maltby, Josephine & Toms, Steven, 2012. "Accounting for power and control: The Anglo-Iranian oil nationalisation of 1951," CRITICAL PERSPECTIVES ON ACCOUNTING, Elsevier, vol. 23(7), pages 595-607.
    7. Zoia, Maria Grazia & Biffi, Paola & Nicolussi, Federica, 2018. "Value at risk and expected shortfall based on Gram-Charlier-like expansions," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 92-104.
    8. Bahram Adrangi & Arjun Chatrath & Madhuparna Kolay & Kambiz Raffiee, 2021. "Dynamic Responses of Standard and Poor’s Regional Bank Index to the U.S. Fear Index, VIX," JRFM, MDPI, vol. 14(3), pages 1-18, March.
    9. Noureddine Benlagha, 2014. "Volatility Linkage of Nominal and Index-linked Bond Returns: A Multivariate BEKK-GARCH Approach," Review of Economics & Finance, Better Advances Press, Canada, vol. 4, pages 49-60, November.
    10. Coletta Cuono Massimo & Busato Francesco, 2019. "U.S. REITs: A Financial Economics Review as of 2018," Real Estate Management and Valuation, Sciendo, vol. 27(2), pages 20-32, June.
    11. Kopnova, Elena & Rodionova, Liliya, 2020. "Globalization and socio-economic development in Russia," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 60, pages 80-101.
    12. Mircea ASANDULUI, 2012. "A Multi-Horizon Comparison Of Volatility Forecasts: An Application To Stock Options Traded At Euronext Exchange Amsterdam," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 10, pages 179-190, December.
    13. Manuel Landajo & María Presno, 2013. "Nonparametric pseudo-Lagrange multiplier stationarity testing," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 65(1), pages 125-147, February.
    14. Duan, Qihong & Wei, Ying & Chen, Zhiping, 2014. "Relationship between the benchmark interest rate and a macroeconomic indicator," Economic Modelling, Elsevier, vol. 38(C), pages 220-226.
    15. Noureddine Benlagha & Wael Hemrit, 2018. "The Dynamic and Dependence of Takaful and Conventional Stock Return Behaviours: Evidence from the Insurance Industry in Saudi Arabia," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 25(4), pages 285-323, December.
    16. Samih Antoine Azar, 2018. "Forward Unbiasedness in the Short End of the Interest Rate Market," International Business Research, Canadian Center of Science and Education, vol. 11(2), pages 70-78, February.
    17. Daskalakis, George & Symeonidis, Lazaros & Markellos, Raphael, 2009. "Does the weather affect stock market volatility?," MPRA Paper 34128, University Library of Munich, Germany.
    18. Daskalakis, George & Psychoyios, Dimitris & Markellos, Raphael N., 2009. "Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1230-1241, July.
    19. Luca Bagnato & Valerio Potì & Maria Zoia, 2015. "The role of orthogonal polynomials in adjusting hyperpolic secant and logistic distributions to analyse financial asset returns," Statistical Papers, Springer, vol. 56(4), pages 1205-1234, November.
    20. Landajo, Manuel & Presno, María José, 2010. "Nonparametric pseudo-Lagrange multiplier stationarity testing," MPRA Paper 25659, University Library of Munich, Germany.
    21. Herwartz, Helmut, 2015. "Are GARCH innovations independent - a long term assessment for the S&P 500," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113109, Verein für Socialpolitik / German Economic Association.
    22. Brian Opiyo Yalla & Ferdinand Okoth Othieno, 2023. "Modelling delayed correlation between interest rates and equity market returns," SN Business & Economics, Springer, vol. 3(2), pages 1-24, February.
    23. Jiang, Shi-jie & Nieh, Chien-Chung, 2012. "Dynamics of underwriting profits: Evidence from the U.S. insurance market," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 1-15.
    24. Noureddine Benlagha, 2014. "Dependence structure between nominal and index-linked bond returns: a bivariate copula and DCC-GARCH approach," Applied Economics, Taylor & Francis Journals, vol. 46(31), pages 3849-3860, November.
    25. Stefanescu, Razvan & Dumitriu, Ramona, 2015. "Conţinutul analizei seriilor de timp financiare [The Essentials of the Analysis of Financial Time Series]," MPRA Paper 67175, University Library of Munich, Germany.
    26. Herwartz, Helmut, 2017. "Stock return prediction under GARCH — An empirical assessment," International Journal of Forecasting, Elsevier, vol. 33(3), pages 569-580.
    27. Joe Hirschberg & Jenny Lye, 2021. "Estimating risk premiums for regulated firms when accounting for reference-day variation and high-order moments of return volatility," Environment Systems and Decisions, Springer, vol. 41(3), pages 455-467, September.
    28. De Santis, Paola & Drago, Carlo, 2014. "Asimmetria del rischio sistematico dei titoli immobiliari americani: nuove evidenze econometriche [Systematic Risk Asymmetry of the American Real Estate Securities: Some New Econometric Evidence]," MPRA Paper 59381, University Library of Munich, Germany.
    29. Monge, Manuel & Gil-Alana, Luis A. & Pérez de Gracia, Fernando, 2017. "Crude oil price behaviour before and after military conflicts and geopolitical events," Energy, Elsevier, vol. 120(C), pages 79-91.
    30. Markellos, Raphael N. & Psychoyios, Dimitris, 2018. "Interest rate volatility and risk management: Evidence from CBOE Treasury options," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 190-202.
    31. Mircea ASANDULUI, 2012. "On forecasting stock options volatility: evidence from London international financial futures and options exchange," Anale. Seria Stiinte Economice. Timisoara, Faculty of Economics, Tibiscus University in Timisoara, vol. 0, pages 505-511, May.
    32. Alebachew Abebe & Aboma Temesgen & Belete Kebede, 2023. "Modeling inflation rate factors on present consumption price index in Ethiopia: threshold autoregressive models approach," Future Business Journal, Springer, vol. 9(1), pages 1-12, December.
    33. Christopher Lynch & Benjamin Mestel, 2019. "Change-Point Analysis Of Asset Price Bubbles With Power-Law Hazard Function," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(07), pages 1-24, November.
    34. Koenig, P., 2011. "Modelling Correlation in Carbon and Energy Markets," Cambridge Working Papers in Economics 1123, Faculty of Economics, University of Cambridge.
    35. Mohammad Naim Azimi & Seyed Farhad Shahidzada, 2019. "A Correcting Note on Forecasting Conditional Variance Using ARIMA vs. GARCH Model," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 11(5), pages 145-145, May.
    36. Vilém Novák & Soheyla Mirshahi, 2021. "On the Similarity and Dependence of Time Series," Mathematics, MDPI, vol. 9(5), pages 1-14, March.
    37. Andrew Harvey & Rutger-Jan Lange, 2015. "Modeling the Interactions between Volatility and Returns," Cambridge Working Papers in Economics 1518, Faculty of Economics, University of Cambridge.
    38. Felicia Ramona Birău, 2012. "Stochastic Volatility Models For Financial Time Series Analysis," Anale. Seria Stiinte Economice. Timisoara, Faculty of Economics, Tibiscus University in Timisoara, vol. 0, pages 472-475, November.
    39. Azar, Samih Antoine, 2010. "Testing the Expectations Hypothesis on Corporate Bond Yields," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 6(1-2), pages 1-11, April.
    40. Bahram Adrangi & Arjun Chatrath & Joseph Macri & Kambiz Raffiee, 2019. "Dynamic Responses of Major Equity Markets to the US Fear Index," JRFM, MDPI, vol. 12(4), pages 1-23, September.
    41. Torres-Rojo, Juan Manuel & Bahena-González, Roberto, 2018. "Scale invariant behavior of cropping area losses," Agricultural Systems, Elsevier, vol. 165(C), pages 33-43.
    42. John Pawley & Ernst Juerg Weber, 2011. "Investment And Technical Progress In The G7 Countries And Australia," Economics Discussion / Working Papers 11-10, The University of Western Australia, Department of Economics.
    43. Kundu, Srikanta & Paul, Amartya, 2022. "Effect of economic policy uncertainty on stock market return and volatility under heterogeneous market characteristics," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 597-612.
    44. Beata Szetela & Grzegorz Mentel & Stanislaw Gedek, 2016. "Dependency analysis between Bitcoin and selected global currencies," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 16, pages 133-144.
    45. Wugan Cai & Jiafeng Pan, 2017. "Stochastic Differential Equation Models for the Price of European CO 2 Emissions Allowances," Sustainability, MDPI, vol. 9(2), pages 1-12, February.
    46. Gurjeet Dhesi & Bilal Shakeel & Marcel Ausloos, 2021. "Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach," Annals of Operations Research, Springer, vol. 299(1), pages 1397-1410, April.
    47. Matyjaszek, Marta & Riesgo Fernández, Pedro & Krzemień, Alicja & Wodarski, Krzysztof & Fidalgo Valverde, Gregorio, 2019. "Forecasting coking coal prices by means of ARIMA models and neural networks, considering the transgenic time series theory," Resources Policy, Elsevier, vol. 61(C), pages 283-292.
    48. Slim Mseddi & Noureddine Benlagha, 2017. "An Analysis of Spillovers Between Islamic and Conventional Stock Bank Returns: Evidence from the GCC Countries," Multinational Finance Journal, Multinational Finance Journal, vol. 21(2), pages 91-132, June.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.