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Research classified by Journal of Economic Literature (JEL) codes


Top JEL
/ C: Mathematical and Quantitative Methods
/ / C5: Econometric Modeling
/ / / C58: Financial Econometrics
This topic is covered by the following reading lists:
  1. SOEP based publications
  2. Socio-Economics of Innovation

Most recent items first, undated at the end.
  • 2014 Volatility Spillover between Energy and Financial Markets
    by Saban Nazlioglu & Ugur Soytas & Rangan Gupta
  • 2014 Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices
    by Lukasz Gatarek & Lennart Hoogerheide & Herman K. van Dijk
  • 2014 Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
    by Manabu Asai & Michael McAleer
  • 2014 The Dynamic Skellam Model with Applications
    by Siem Jan Koopman & Rutger Lit & André Lucas
  • 2014 Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
    by Michael McAleer
  • 2014 Optimal Hedging with the Vector Autoregressive Model
    by Lukasz Gatarek & Søren Johansen
  • 2014 The impact of the financial crisis on transatlantic information flows: An intraday analysis
    by Dimpfl, Thomas & Peter, Franziska J.
  • 2014 Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
    by Manabu Asai & Michael McAleer
  • 2014 Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series
    by David E. Allen & Michael McAleer & Abhay K. Singh
  • 2014 Modelling Stock Return Volatility Dynamics in Selected African Markets
    by Daniel King and Ferdi Botha
  • 2014 Modeling Covariance Breakdowns in Multivariate GARCH
    by Jin, Xin & Maheu, John M
  • 2014 Modelling a Latent Daily Tourism Financial Conditions Index
    by Chang, Chia-Lin
  • 2014 Stochastic conditonal range, a latent variable model for financial volatility
    by Galli, Fausto
  • 2014 Stochastic conditonal range, a latent variable model for financial volatility
    by Galli, Fausto
  • 2014 A non parametric ACD model
    by Cosma, Antonio & Galli, Fausto
  • 2014 Buffered autoregressive models with conditional heteroscedasticity: An application to exchange rates
    by Zhu, Ke & Li, Wai Keung & Yu, Philip L.H.
  • 2014 Strategies on initial public offering of company equity at stock exchanges in imperfect highly volatile global capital markets with induced nonlinearities
    by Ledenyov, Dimitri O. & Ledenyov, Viktor O.
  • 2014 Influence of Foreign Institutional Investments (FIIs) on the Indian stock market
    by Vardhan, Harsh & Sinha, Pankaj
  • 2014 Return and Volatility Spillovers in the Moroccan Stock Market During The Financial Crisis
    by El Ghini, Ahmed & Saidi, Youssef
  • 2014 Value-at-risk Predictions of Precious Metals with Long Memory Volatility Models
    by Demiralay, Sercan & Ulusoy, Veysel
  • 2014 A new Pearson-type QMLE for conditionally heteroskedastic models
    by Zhu, Ke & Li, Wai Keung
  • 2014 Mergers and acquisitions transactions strategies in diffusion - type financial systems in highly volatile global capital markets with nonlinearities
    by Ledenyov, Dimitri O. & Ledenyov, Viktor O.
  • 2014 Testing for Leverage Effect in Financial Returns
    by Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison
  • 2014 Water, Food, Energy: Searching for the Economic Nexus
    by Massimo PERI & Daniela VANDONE & Lucia BALDI
  • 2014 Specific Markov-switching behaviour for ARMA parameters
    by Jean-François Carpantier
  • 2014 Targeting estimation of CCC-Garch models with infinite fourth moments
    by Rasmus Søndergaard Pedersen
  • 2014 On the detection of extreme movements and persistent behavior in Mediterranean stock markets: a wavelet-based approach
    by Chaker Aloui & Duc Khuong Nguyen
  • 2014 The shift-contagion effect of global financial crisis and the European debt crisis on OECD Countries
    by Irfan Akbar Kazi & Mohamed Mehanaoui & Farhan Akbar
  • 2014 Responses of international stock markets to oil price surges: a regimeswitching perspective
    by Rania Jammazi & Duc Khuong Nguyen
  • 2014 Assessing the efficiency of the MENA emerging stock markets: A sectoral perspective
    by Imen Zgueb Rejichi & Chaker Aloui & Duc Khuong Nguyen
  • 2014 Volatility spillovers and macroeconomic announcements evidence from crude oil markets
    by Aymen Belgacem & Anna Creti & Khaled Guesmi & Amine Lahiani
  • 2014 Nonparametric Test for a Constant Beta over a Fixed Time Interval
    by Markus Reiß & Viktor Todorov & George Tauchen &
  • 2014 Financial Market Contagion during the Global Financial Crisis
    by Mollah, Sabur & Zafirov, Goran & Quoreshi, AMM Shahiduzzaman
  • 2014 Forecasting Realized Volatility with Changes of Regimes
    by Giampiero M. Gallo & Edoardo Otranto
  • 2014 Go with the Flow: A GAS model for Predicting Intra-daily Volume Shares
    by Francesco Calvori & Fabrizio Cipollini & Giampiero M. Gallo
  • 2014 Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices
    by Lukasz Gatarek & Lennart Hoogerheide & Herman K. van Dijk
  • 2014 Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
    by Manabu Asai & Michael McAleer
  • 2014 The Dynamic Skellam Model with Applications
    by Siem Jan Koopman & Rutger Lit & André Lucas
  • 2014 Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
    by Michael McAleer
  • 2014 Optimal Hedging with the Vector Autoregressive Model
    by Lukasz Gatarek & Søren Johansen
  • 2014 Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series
    by David E. Allen & Michael McAleer & Abhay K. Singh
  • 2014 Outliers in multivariate Garch models
    by Aurea Grané & Belén Martín-Barragán & Helena Veiga
  • 2014 Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
    by Manabu Asai & Michael McAleer
  • 2014 Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
    by Michael McAleer
  • 2014 Machine news and volatility: The Dow Jones Industrial Average and the TRNA sentiment series
    by David E. Allen & Michael McAleer & Abhay K. Singh
  • 2014 Dynamic Spanning Tree Approach - The Case Of Asia-Pacific Stock Markets
    by Ahmet Sensoy & Benjamin M. Tabak
  • 2014 Expectations, risk premia and information spanning in dynamic term structure model estimation
    by Guimarães, Rodrigo
  • 2014 Calibrating the Italian smile with time-varying volatility and heavy-tailed models
    by Michele Leonardo Bianchi & Frank J. Fabozzi & Svetlozar T. Rachev
  • 2014 Matrix Box-Cox Models for Multivariate Realized Volatility
    by Weigand, Roland
  • 2014 Matrix Box-Cox Models for Multivariate Realized Volatility
    by Roland Weigand
  • 2014 Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification
    by Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou
  • 2014 Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity
    by Kris Boudt & Sébastien Laurent & Asger Lunde & Rogier Quaedvlieg
  • 2014 Higher order conditional moment dynamics and forecasting value-at-risk (in Russian)
    by Grigory Franguridi
  • 2014 Time varying vine copulas for multivariate returns (in Russian)
    by Oleg Groshev
  • 2014 Simulating Bivariate Stationary Processes with Scale-Specific Characteristics
    by Milan Bašta
  • 2014 Uretim Isletmelerinde Firma Karliliginin Finansal Belirleyicileri ve BIST Imalat Sanayi Uygulamasi
    by Ozge KORKMAZ & Suleyman Serdar KARACA
  • 2014 On cross-currency transmissions between US dollar and euro LIBOR-OIS spreads
    by Tamakoshi, Go & Hamori, Shigeyuki
  • 2014 Wavelet-based evidence of the impact of oil prices on stock returns
    by Reboredo, Juan C. & Rivera-Castro, Miguel A.
  • 2014 Integration of European bond markets
    by Christiansen, Charlotte
  • 2014 The dynamics of spillover effects during the European sovereign debt turmoil
    by Alter, Adrian & Beyer, Andreas
  • 2014 An analysis of price discovery from panel data models of CDS and equity returns
    by Narayan, Paresh Kumar & Sharma, Susan Sunila & Thuraisamy, Kannan Sivananthan
  • 2014 Cojumps in stock prices: Empirical evidence
    by Gilder, Dudley & Shackleton, Mark B. & Taylor, Stephen J.
  • 2014 Riskiness-minimizing spot-futures hedge ratio
    by Chen, Yi-Ting & Ho, Keng-Yu & Tzeng, Larry Y.
  • 2014 Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks
    by Boudt, Kris & Petitjean, Mikael
  • 2014 Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management
    by Aloui, Riadh & Aïssa, Mohamed Safouane Ben & Hammoudeh, Shawkat & Nguyen, Duc Khuong
  • 2014 Measuring and testing for the systemically important financial institutions
    by Castro, Carlos & Ferrari, Stijn
  • 2014 Testing stationarity of functional time series
    by Horváth, Lajos & Kokoszka, Piotr & Rice, Gregory
  • 2014 Multivariate rotated ARCH models
    by Noureldin, Diaa & Shephard, Neil & Sheppard, Kevin
  • 2014 On implied volatility for options—Some reasons to smile and more to correct
    by Chen, Song Xi & Xu, Zheng
  • 2014 Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
    by Jensen, Mark J. & Maheu, John M.
  • 2014 Marginal likelihood for Markov-switching and change-point GARCH models
    by Bauwens, Luc & Dufays, Arnaud & Rombouts, Jeroen V.K.
  • 2014 Forecasting financial and macroeconomic variables using data reduction methods: New empirical evidence
    by Kim, Hyun Hak & Swanson, Norman R.
  • 2014 Time-varying sparsity in dynamic regression models
    by Kalli, Maria & Griffin, Jim E.
  • 2014 Spillovers among CDS indexes in the US financial sector
    by Tamakoshi, Go & Hamori, Shigeyuki
  • 2014 A reflection principle for a random walk with implications for volatility estimation using extreme values of asset prices
    by Kumar, Dilip & Maheswaran, S.
  • 2014 Volatility spillovers between the oil market and the European Union carbon emission market
    by Reboredo, Juan C.
  • 2014 Long Memory Behavior in the Returns of Pakistan Stock Market: ARFIMA-FIGARCH Models
    by Serpil TURKYILMAZ & Mesut BALIBEY
  • 2014 Price jumps on European stock markets
    by Jan Hanousek & Evzen Kocenda & Jan Novotny
  • 2014 Estimating a Structural Model of Herd Behavior in Financial Markets
    by Marco Cipriani & Antonio Guarino
  • 2013 Detecting Predictable Non-linear Dynamics in Dow Jones Industrial Average and Dow Jones Islamic Market Indices using Nonparametric Regressions
    by Marcos Álvarez-Díaz & Shawkat Hammoudeh & Rangan Gupta
  • 2013 Does the Source of Oil Price Shocks Matter for South African Stock Returns? A Structural VAR Approach
    by Rangan Gupta & Mampho P. Modise
  • 2013 Realized Volatility Risk
    by David E. Allen & Michael McAleer & Marcel Scharth
  • 2013 Understanding momentum in commodity markets
    by Ielpo, Florian & Gatumel, Mathieu & Chevallier, Julien
  • 2013 Cross-market linkages between commodities, stocks and bonds
    by Ielpo, Florian & Chevallier, Julien
  • 2013 Volatility spillovers in commodity markets
    by Ielpo, Florian & Chevallier, Julien
  • 2013 Nonparametric Approach to Portfolio Diversification: The Case of Australian Equity Market - Un approccio non-parametrico alla diversificazione del portafoglio: il caso del mercato azionario australiano
    by Trofimov, Ivan D.
  • 2013 Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals
    by Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar
  • 2013 Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals
    by Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar
  • 2013 Identifying Volatility Signals from Time-Varying Simultaneous Stock Market Interaction
    by Strohsal, Till & Weber, Enzo
  • 2013 A latent dynamic factor approach to forecasting multivariate stock market volatility
    by Gribisch, Bastian
  • 2013 ECB monetary policy surprises: identification through cojumps in interest rates
    by Winkelmann, Lars & Bibinger, Markus & Linzert, Tobias
  • 2013 Copula-based dynamic conditional correlation multiplicative error processes
    by Bodnar, Taras & Hautsch, Nikolaus
  • 2013 Interest rate risk and the Swiss solvency test
    by Eder, Armin & Keiler, Sebastian & Pichl, Hannes
  • 2013 Sovereign default swap market efficiency and country risk in the eurozone
    by Gündüz, Yalin & Kaya, Orcun
  • 2013 The US Economy, the Treasury Bond Market and the Specification of Macro-Finance Models
    by Peter Spencer
  • 2013 Price Jumps on European Stock Markets
    by Jan Hanousek & Evžen Kočenda & Jan Novotný
  • 2013 Price Jump Indicators: Stock Market Empirics During the Crisis
    by Jan Novotný & Jan Hanousek & Evžen Kočenda
  • 2013 Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets
    by David E. Giles & Yanan Li
  • 2013 “Markov Switching Models for Volatility: Filtering, Approximation and Duality”
    by Monica Billio & Maddalena Cavicchioli
  • 2013 Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals
    by Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G.
  • 2013 Regime Switching Stochastic Volatility with Skew, Fat Tails and Leverage using Returns and Realized Volatility Contemporaneously
    by Trojan, Sebastian
  • 2013 Additive modeling of realized variance: tests for parametric specifications and structural breaks
    by Fengler, Matthias R. & Mammen, Enno & Vogt, Michael
  • 2013 Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data
    by Audrino, Francesco & Fengler, Matthias
  • 2013 Risk Modelling and Management: An Overview
    by Chia-Lin Chang & David E. Allen & Michael McAleer & Ju-Ting Tang & Teodosio Pérez Amaral
  • 2013 Ten Things You Should Know About the Dynamic Conditional Correlation Representation
    by Massimiliano Caporin & Michael McAleer
  • 2013 Ten Things You Should Know About DCC
    by Massimiliano Caporin & Michael McAleer
  • 2013 Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility
    by Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer
  • 2013 Gecelik Kur Takasi Faizleri ve BIST Gecelik Repo Faizleri
    by Doruk Kucuksarac & Ozgur Ozel
  • 2013 Systemic Risk Analysis of Turkish Financial Institutions with Systemic Expected Shortfall
    by Irem Talasli
  • 2013 Reserve Options Mechanism and FX Volatility
    by Arif Oduncu & Yasin Akcelik & Ergun Ermisoglu
  • 2013 Stock Return Comovement and Systemic Risk in the Turkish Banking System
    by Mahir Binici & Bulent Koksal & Cuneyt Orman
  • 2013 South African Sector Return Correlations: using DCC and ADCC Multivariate GARCH techniques to uncover the underlying dynamics
    by Nico Katzke
  • 2013 Systemic Risk, Sovereign Yields and Bank Exposures in the Euro Crisis
    by Niccolò Battistini & Marco Pagano & Saverio Simonelli
  • 2013 Price Formation and Intertemporal Arbitrage within a Low-Liquidity Framework: Empirical Evidence from European Natural Gas Markets
    by Nick, Sebastian
  • 2013 Covariance Averaging for Improved Estimation and Portfolio Allocation
    by Dimitrios D. Thomakos & Fotis Papailias
  • 2013 Decoupling and the Spillover Effects of the US Financial Crisis: Evidence from the BRIC Markets
    by Stelios D. Bekiros
  • 2013 Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets
    by Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor
  • 2013 Volatility Transmission between Islamic and Conventional Equity Markets: Evidence from Causality-in-Variance Test
    by Saban Nazlioglu & Shawkat Hammoudeh & Rangan Gupta
  • 2013 Can the Sharia-Based Islamic Stock Market Returns be Forecasted Using Large Number of Predictors and Models?
    by Rangan Gupta & Shawkat Hammoudeh & Beatrice D. Simo-Kengne & Soodabeh Sarafrazi
  • 2013 Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?
    by Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen
  • 2013 Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery
    by Schröder, Anna Louise & Fryzlewicz, Piotr
  • 2013 A new Pearson-type QMLE for conditionally heteroskedastic models
    by Zhu, Ke & Li, Wai Keung
  • 2013 An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation
    by Francq, Christian & Sucarrat, Genaro
  • 2013 Venture capital optimal investment portfolio strategies selection in diffusion - type financial systems in global capital markets with nonlinearities
    by Ledenyov, Dimitri O. & Ledenyov, Viktor O.
  • 2013 Liquidity Issues in Indian Sovereign Bond Market
    by Nath, Golaka
  • 2013 Long Memory Processes and Structural Breaks in Stock Returns and Volatility: Evidence from the Egyptian Exchange
    by Ezzat, Hassan
  • 2013 An optimal three-way stable and monotonic spectrum of bounds on quantiles: a spectrum of coherent measures of financial risk and economic inequality
    by Pinelis, Iosif
  • 2013 Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified
    by El Ghourabi, Mohamed & Francq, Christian & Telmoudi, Fedya
  • 2013 On the tracking and replication of hedge fund optimal investment portfolio strategies in global capital markets in presence of nonlinearities, applying Bayesian filters: 1. Stratanovich – Kalman – Bucy filters for Gaussian linear investment returns distribution and 2. Particle filters for non-Gaussian non-linear investment returns distribution
    by Ledenyov, Dimitri O. & Ledenyov, Viktor O.
  • 2013 Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises
    by Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia
  • 2013 Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns
    by Sucarrat, Genaro & Escribano, Alvaro
  • 2013 On the Stratonovich – Kalman - Bucy filtering algorithm application for accurate characterization of financial time series with use of state-space model by central banks
    by Ledenyov, Dimitri O. & Ledenyov, Viktor O.
  • 2013 A Conditional Value-at-Risk Based Portfolio Selection With Dynamic Tail Dependence Clustering
    by De Luca, Giovanni & Zuccolotto, Paola
  • 2013 Cross-Hedging of Inflation Derivatives on Commodities: The Informational Content of Futures Markets
    by Fulli-Lemaire, Nicolas & Palidda, Ernesto
  • 2013 A Tale of Two Eurozones: Banks’s Funding, Sovereign Risk & Unconventional Monetary Policies
    by Fulli-Lemaire, Nicolas
  • 2013 Exchange rate volatility and exchange rate uncertainty in Nigeria: a financial econometric analysis (1970- 2012)
    by nnamdi, Kelechi & ifionu, Ebele
  • 2013 Detección de caídas en mercados financieros mediante análisis multifractal (exponentes locales y puntuales de Hölder): Índice accionario IPC y tipo de cambio USD/MXN
    by Rendón, Stephanie
  • 2013 DOW effects in returns and in volatility of stock markets during quiet and turbulent times
    by Dumitriu, Ramona & Stefanescu, Razvan
  • 2013 Bubbles, shocks and elementary technical trading strategies
    by Fry, John
  • 2013 Estimating Money Demand Function by a Smooth Transition Regression Model: An Evidence for Turkey
    by Sahin, Afsin
  • 2013 The Effects of Additional Monetary Tightening on Exchange Rates
    by Ermişoğlu, Ergun & Akçelik, Yasin & Oduncu, Arif & Taşkın, Temel
  • 2013 Does long memory matter in forecasting oil price volatility?
    by Delavari, Majid & Gandali Alikhani, Nadiya & Naderi, Esmaeil
  • 2013 Long Memory Analysis: An Empirical Investigation
    by Nazarian, Rafik & Naderi, Esmaeil & Gandali Alikhani, Nadiya & Amiri, Ashkan
  • 2013 A Hybrid Approach for Forecasting of Oil Prices Volatility
    by Komijani, Akbar & Naderi, Esmaeil & Gandali Alikhani, Nadiya
  • 2013 Risks of large portfolios
    by Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng
  • 2013 Modeling and Estimating Volatility of Options on Standard & Poor’s 500 Index
    by Boleslaw Borkowski & Monika Krawiec & Yochanan Shachmurove
  • 2013 Separating the impact of macroeconomic variables and global frailty in event data
    by James Wolter
  • 2013 Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes
    by Kevin Sheppard & Lily Liu & Andrew J. Patton
  • 2013 Martingale unobserved component models
    by Neil Shephard
  • 2013 Martingale unobserved component models
    by Neil Shephard
  • 2013 Maximum likelihood estimation of the equity premium
    by Efstathios Avdis & Jessica A. Wachter
  • 2013 Wall Street vs. Main Street: An Evaluation of Probabilities
    by Robin L. Lumsdaine & Rogier J.D. Potter van Loon
  • 2013 Fiscal Stability of High-Debt Nations under Volatile Economic Conditions
    by Robert E. Hall
  • 2013 Dependence and contagion between asset prices in Poland and abroad. A copula approach
    by Michał Adam & Piotr Bańbuła & Michał Markun
  • 2013 Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institution Investment Decisions
    by Dominique Guegan & Bertrand K. Hassani & Xin Zhao
  • 2013 Volatility co-movements: a time scale decomposition analysis
    by Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli
  • 2013 A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises
    by Gianfranco Gianfelice & Giuseppe Marotta & Costanza Torricelli
  • 2013 Clean Energy Industries and Rare Earth Materials: Economic and Financial Issues
    by Lucia BALDI & Massimo PERI & Daniela VANDONE
  • 2013 Financial Crises, Financialization of Commodity Markets and Correlation of Agricultural Commodity Index with Precious Metal Index and S&P500
    by M.Fatih Oztek & Nadir Ocal
  • 2013 Risk Modelling and Management: An Overview
    by Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral
  • 2013 Ten Things You Should Know About the Dynamic Conditional Correlation Representation
    by Massimiliano Caporin & Michael McAleer
  • 2013 Ten Things You Should Know About DCC
    by Massimiliano Caporin & Michael McAleer
  • 2013 Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility
    by Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer
  • 2013 The Effects of Monetary Policy Shocks on a Panel of Stock Market Volatilities: A Factor-Augmented Bayesian VAR Approach
    by Fady Barsoum
  • 2013 Exact Solutions for the Transient Densities of Continuous-Time Markov Switching Models - With an Application to the Poisson Multifractal Model
    by Thomas Lux
  • 2013 Finding a Connection Between Exchange Rates and Fundamentals, How Should We Model Revisions to Forecasting Strategies?
    by Peter H. Sullivan
  • 2013 Agricultural Commodity Price Volatility and Its Macroeconomic Determinants: A GARCH-MIDAS Approach
    by Emiliano Magrini & Ayca Donmez
  • 2013 Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data
    by Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctumd
  • 2013 Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?
    by Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen
  • 2013 Revenues from storage in a competitive electricity market: Empirical evidence from Great Britain
    by Monica Giulietti & Luigi Grossi
  • 2013 ECB monetary policy surprises: identification through cojumps in interest rates
    by Lars winkelmann & Markus Bibinger & Tobias Linzert &
  • 2013 Analysis of Deviance in Generalized Partial Linear Models
    by Wolgang Karl Härdle & Li-Shan Huang & &
  • 2013 State Price Densities implied from weather derivatives
    by Wolfgang Karl Härdle & Brenda López-Cabrera & Huei-Wen Teng &
  • 2013 Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency
    by Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss
  • 2013 Quantitative forward guidance and the predictability of monetary policy - A wavelet based jump detection approach -
    by Lars Winkelmann & & &
  • 2013 Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?
    by Nikolaus Hautsch & Lada M. Kyj & Peter Malec &
  • 2013 Composite Quantile Regression for the Single-Index Model
    by Yan Fan & Wolfgang Karl Härdle & Weining Wang & Lixing Zhu
  • 2013 Inference for Multi-Dimensional High-Frequency Data: Equivalence of Methods, Central Limit Theorems, and an Application to Conditional Independence Testing
    by Markus Bibinger & Per A. Mykland & &
  • 2013 Political Aversion To a Multilateral Fiscal Rule: The Dynamic Commitment Problem in European Fiscal Governance
    by Matthias Bauer
  • 2013 The Number of Traded Shares: A Time Series Modelling Approach
    by Brännäs, Kurt
  • 2013 Extracting global stochastic trend from non-synchronous data
    by Korhonen, Iikka & Peresetsky , Anatoly
  • 2013 What determines stock market behavior in Russia and other emerging countries?
    by Korhonen, Iikka & Peresetsky , Anatoly
  • 2013 Textbook Estimators of Multiperiod Optimal Hedging Ratios: Methodological Aspects and Application to the European Wheat Market
    by Gianluca Stefani & Marco Tiberti
  • 2013 The Economic Valuation of Variance Forecasts: An Artificial Option Market Approach
    by Radovan Parrák
  • 2013 Systemic Risk and Home Bias in the Euro Area
    by Niccolò Battistini & Marco Pagano & Saverio Simonelli
  • 2013 Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence
    by Joshua C C Chan & Cody Y L Hsiao
  • 2013 Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coefficient Model
    by Banerjee, Anurag N. & Chevillon, Guillaume & Kratz, Marie
  • 2013 Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads
    by Dong Hwan Oh & Andrew J. Patton
  • 2013 Dynamic Copula Models and High Frequency Data
    by Irving Arturo De Lira Salvatierra & Andrew J. Patton
  • 2013 Asymptotic Inference about Predictive Accuracy Using High Frequency Data
    by Jia Li & Andrew J. Patton
  • 2013 Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data
    by Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctum
  • 2013 Testing for the Systemically Important Financial Institutions: a Conditional Approach
    by Sessi Tokpavi
  • 2013 A new approach of contagion based on smooth transition conditional correlation GARCH models: An empirical application to the Greek crisis
    by Henri Audigé
  • 2013 A wavelet-based copula approach for modeling market risk in agricultural commodity markets
    by RIADH ALOUI & MOHAMED SAFOUANE BEN AISSA & DUC KHUONG NGUYEN
  • 2013 Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models
    by Francisco Blasques & Andre Lucas & Erkki Silde
  • 2013 Realized Volatility Risk
    by David E. Allen & Michael McAleer & Marcel Scharth
  • 2013 Risk Modelling and Management: An Overview
    by Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral
  • 2013 Ten Things you should know about the Dynamic Conditional Correlation Representation
    by Massimiliano Caporin & Michael McAleer
  • 2013 Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation
    by Lukasz Gatarek & Lennart Hoogerheide & Koen Hooning & Herman K. van Dijk
  • 2013 Ten Things you should know about DCC
    by Massimiliano Caporin & Michael McAleer
  • 2013 GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts
    by David Ardia & Lennart Hoogerheide
  • 2013 Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility
    by Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer
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    by Charlotte Christiansen
  • 2012 Conditionally-uniform Feasible Grid Search Algorithm
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  • 2012 The implications of chaos theory on Bucharest stock exchange
    by Felicia Ramona BIRAU
  • 2012 Managing Sovereign Credit Risk In Bond Portfolios1
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  • 2012 The new approaches in econometric research of financial markets. Distributed volatility
    by V. I. Tinyakova
  • 2012 Sudden Changes In Volatility In Central And Eastern Europe Foreign Exchange Markets
    by Todea, Alexandru & Platon, Diana
  • 2012 Perspectives on risk measurement: a critical assessment of PC-GARCH against the main volatility forecasting models
    by Matei, Marius
  • 2012 Optimization of portfolio management based on vector autoregression models and multivariate volatility models
    by Habrov, Vladimir
  • 2012 Market risk valuation modeling for the European countries at the financial crisis of 2008
    by Shcherba, Alexandr
  • 2012 The role of the timeline in Granger causality test in the presence of daily data non-synchronism
    by Grigoryev, Ruslan & Jaffry, Shabbar & Marchenko, German
  • 2012 Investigation of the consequences of ignoring daily data non-synchronism in cross-market linkages: BRIC and developed countries
    by Grigoryev, Ruslan & Jaffry, Shabbar & Marchenko, German
  • 2012 Bootstrap inference about integrated volatility (in Russian)
    by Andrey Rafalson
  • 2012 Missing observations in daily returns - Bayesian inference within the MSF-SBEKK model
    by Krzysztof Osiewalski & Jacek Osiewalski
  • 2012 On the Empirical Importance of Periodicity in the Volatility of Financial Returns - Time Varying GARCH as a Second Order APC(2) Process
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  • 2012 Detecting Risk Transfer in Financial Markets using Different Risk Measures
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  • 2012 Global Financial Crisis And Unit-Linked Insurance Markets Efficiency: Empirical Evidence From Central And Eastern European Countries
    by Ciumas Cristina & Chis Diana-Maria & Botos Horia Mircea
  • 2012 Sectoral Risk And Return For Companies In Romania
    by Lala - Popa Ion & Buglea Alexandru & Anis Cecilia & Cican Simona
  • 2012 The Impact Of The Business And Organizational Size Of A Company Along With Gri And Csr Adoption On Integrating Sustainability Reporting Practices
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  • 2012 Clustering Austrian Banks’ Business Models and Peer Groups in the European Banking Sector
    by Seres, David & Ferstl, Robert
  • 2012 Continuous-Time Linear Models
    by Cochrane, John H.
  • 2012 Dynamic Models and Structural Estimation in Corporate Finance
    by Strebulaev, Ilya A. & Whited, Toni M.
  • 2012 Risk measurement under extreme events. An in-context methodological review
    by Jorge Uribe & Inés Ulloa
  • 2012 Algunas herramientas matemáticas para la economía y las finanzas: el movimiento Browniano y la integral de Wiener
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  • 2012 Nonparametric Verification of GARCH-Class Models for Selected Polish Exchange Rates and Stock Indices
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  • 2012 Dynamic Multi-Factor Credit Risk Model with Fat-Tailed Factors
    by Petr Gapko & Martin Smid
  • 2012 Los rendimientos cambiarios latinoamericanos y la (a)simetría de los shocks informacionales: un análisis econométrico
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  • 2012 Morgan Stanley Capital International Turkiye Endeksinin Yapay Sinir Aglari ile Ongorusu
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  • 2012 Time-changed GARCH versus the GARJI model for prediction of extreme news events: An empirical study
    by Kao, Lie-Jane & Wu, Po-Cheng & Lee, Cheng-Few
  • 2012 The term structure of inflation expectations
    by Chernov, Mikhail & Mueller, Philippe
  • 2012 New measures of monetary policy surprises and jumps in interest rates
    by León, Ángel & Sebestyén, Szabolcs
  • 2012 Modeling and measuring intraday overreaction of stock prices
    by Klößner, Stefan & Becker, Martin & Friedmann, Ralph
  • 2012 Performance of technical analysis in growth and small cap segments of the US equity market
    by Shynkevich, Andrei
  • 2012 Credit spread interdependencies of European states and banks during the financial crisis
    by Alter, Adrian & Schüler, Yves S.
  • 2012 Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates
    by Chkili, Walid & Aloui, Chaker & Nguyen, Duc Khuong
  • 2012 Gram–Charlier densities: Maximum likelihood versus the method of moments
    by Del Brio, Esther B. & Perote, Javier
  • 2012 Copula based hierarchical risk aggregation through sample reordering
    by Arbenz, Philipp & Hummel, Christoph & Mainik, Georg
  • 2012 GARCH processes with skewed and leptokurtic innovations: Revisiting the Johnson Su case
    by Simonato, Jean-Guy
  • 2012 Properties of range-based volatility estimators
    by Molnár, Peter
  • 2012 Why do electricity prices jump? Empirical evidence from the Nordic electricity market
    by Hellström, Jörgen & Lundgren, Jens & Yu, Haishan
  • 2012 Measuring contagion between energy market and stock market during financial crisis: A copula approach
    by Wen, Xiaoqian & Wei, Yu & Huang, Dengshi
  • 2012 Choosing an optimal investment strategy: The role of robust pair-copulas based portfolios
    by Mendes, Beatriz Vaz de Melo & Marques, Daniel S.
  • 2012 The roles of news and volatility in stock market correlations during the global financial crisis
    by Mun, Melissa & Brooks, Robert
  • 2012 A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation
    by Hoogerheide, Lennart & Opschoor, Anne & van Dijk, Herman K.
  • 2012 Econometric analysis of present value models when the discount factor is near one
    by West, Kenneth D.
  • 2012 The conditional autoregressive Wishart model for multivariate stock market volatility
    by Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman
  • 2012 The simple econometrics of tail dependence
    by van Oordt, Maarten R.C. & Zhou, Chen
  • 2012 Futures basis, inventory and commodity price volatility: An empirical analysis
    by Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese
  • 2012 Profitability And Risk Analysis In The Metallurgical Industry Leading Companies In Romania
    by Lucian Buse & Silviu-Valentin Carstina
  • 2012 Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
    by Yacine A�t-Sahalia & Jean Jacod
  • 2012 Corrigendum: Emerging Market Currency Excess Returns
    by Stephen Gilmore & Fumio Hayashi
  • 2012 International Portfolio Allocation under Model Uncertainty
    by Pierpaolo Benigno & Salvatore Nistic�
  • 2011 Arithmetic Operations On Interactive Fuzzy Numbers In Financial Analysis
    by Rebiasz, B.
  • 2011 Testing for monotonicity in expected asset returns
    by Joseph P. Romano & Michael Wolf
  • 2011 Multi-period credit default prediction with time-varying covariates
    by Orth, Walter
  • 2011 On the diversification of portfolios of risky assets
    by Frahm, Gabriel & Wiechers, Christof
  • 2011 The merit of high-frequency data in portfolio allocation
    by Hautsch, Nikolaus & Kyj, Lada M. & Malec, Peter
  • 2011 Bias - Corrected Maximum Likelihood Estimation of the Parameters of the Generalized Pareto Distribution
    by David E. Giles & Hui Feng & Ryan T. Godwin
  • 2011 Volatility Forecasting: Downside Risk, Jumps and Leverage Effect
    by Audrino, Francesco & Hu, Yujia
  • 2011 Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints
    by Fengler, Matthias & Hin, Lin-Yee
  • 2011 Microcredit and poverty. An overview of the principal statistical methods used to measure the program net impacts
    by Orso, Cristina
  • 2011 Measuring Co-Movements of CDS Premia during the Greek Debt Crisis
    by Sergio Andenmatten & Felix Brill
  • 2011 A Discrete--Delay Dynamic Model for the Stock Market
    by Loretti I. Dobrescu & Mihaela Neamtu & Dumitru Opris
  • 2011 On the Predictability of Stock Prices: a Case for High and Low Prices
    by Massimiliano Caporin & Angelo Ranaldo
  • 2011 Forecasting the Equity Risk Premium: The Role of Technical Indicators
    by Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou
  • 2011 Estimation of Equicorrelated Diffusions from Incomplete Data
    by Robert A. Jones & Mohammad Zanganeh
  • 2011 Volatility in Discrete and Continuous Time Models: A Survey with New Evidence on Large and Small Jumps
    by Diep Duong & Norman R. Swanson
  • 2011 Empirical Evidence on Jumps and Large Fluctuations in Individual Stocks
    by Diep Duong & Norman R. Swanson
  • 2011 Are the Bombay stock Exchange Sectoral indices of Indian stock market cointegrated? Evidence using fractional cointegration test
    by Krishnankutty, Raveesh & Tiwari, Aviral Kumar
  • 2011 Price Discovery and Volatility Spillovers in Indian Spot-Futures Commodity Market
    by P., Srinivasan
  • 2011 Эконометрический Анализ Динамики Российских Паевых Инвестиционных Фондов В Кризисный И Посткризисный Периоды
    by Zaytsev, Alexander
  • 2011 On the Risk-Return Tradeoff in the Stock Exchange of Thailand: New Evidence
    by Jiranyakul, Komain
  • 2011 Modellierung von Aktienkursen im Lichte der Komplexitätsforschung
    by Benjamin Kauper & Karl-Kuno Kunze
  • 2011 Interdependenzen in den Renditen DAX-notierter Unternehmen nach Branchen
    by Jonas Teitge & Andreas Nastansky
  • 2011 Conditional jumps in volatility and their economic determinants
    by Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris
  • 2011 On the Predictability of Stock Prices: A Case for High and Low Prices
    by Massimiliano Caporin & Angelo Ranaldo & Paolo Santucci de Magistris
  • 2011 Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators
    by Gian Piero Aielli & Massimiliano Caporin
  • 2011 Modeling and forecasting realized range volatility
    by Massimiliano Caporin & Gabriel G. Velo
  • 2011 Multivariate High-Frequency-Based Volatility (HEAVY) Models
    by Diaa Noureldin & Neil Shephard & Kevin Sheppard
  • 2011 Multivariate High-Frequency-Based Volatility (HEAVY) Models
    by Diaa Noureldin & Neil Shephard & Kevin Sheppard
  • 2011 A New Modelling Test: The Univariate MT-STAR Model
    by Peter Martey Addo & Monica Billio & Dominique Guegan
  • 2011 A test for a new modelling: The Univariate MT-STAR Model
    by Peter Martey Addo & Monica Billio & Dominique Guegan
  • 2011 European exchange rates volatility and its asymmetrical components during the financial crisis
    by Daniel Stavarek
  • 2011 Marginal Likelihood for Markov-Switching and Change-Point GARCH Models
    by Luc Bauwens & Arnaud Dufays & Jeroen V.K. Rombouts
  • 2011 Foreign exchange rates under Markov Regime switching model
    by Stéphane GOUTTE & Benteng Zou
  • 2011 Credit Spead Interdependencies of European States and Banks during the Financial Crisis
    by Adrian Alter & Yves Stephan Schüler
  • 2011 How Prediction Markets Can Save Event Studies
    by Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric
  • 2011 How Prediction Markets Can Save Event Studies
    by Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric
  • 2011 European integration and banking efficiency: a panel cost frontier approach
    by Cândida Ferreira
  • 2011 Multivariate Stochastic Volatility via Wishart Processes - A Continuation
    by Wolfgang Rinnergschwentner & Gottfried Tappeiner & Janette Walde
  • 2011 Spectral estimation of covolatility from noisy observations using local weights
    by Markus Bibinger & Markus Reiß
  • 2011 Martingale approach in pricing and hedging European options under regime-switching
    by Grigori N. Milstein & Vladimir Spokoiny
  • 2011 Multivariate Volatility Modeling of Electricity Futures
    by Luc Bauwens & Christian M. Hafner & Diane Pierret
  • 2011 The Merit of High-Frequency Data in Portfolio Allocation
    by Nikolaus Hautsch & Lada M. Kyj & Peter Malec
  • 2011 TVICA - Time Varying Independent Component Analysis and Its Application to Financial Data
    by Ray-Bing Chen & Ying Chen & Wolfgang Härdle
  • 2011 An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory
    by Markus Bibinger
  • 2011 Asymptotics of Asynchronicity
    by Markus Bibinger
  • 2011 Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
    by Markus Reiß
  • 2011 Extreme value models in a conditional duration intensity framework
    by Rodrigo Herrera & Bernhard Schipp
  • 2011 Estimation and Inference in Predictive Regressions
    by Eiji Kurozumi & Kohei Aono
  • 2011 Bayesian Estimation of Generalized Hyperbolic Skewed Student GARCH Models
    by Deschamps, Philippe J.
  • 2011 Multiplicative Error Models
    by Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo
  • 2011 Value at Risk forecasting with the ARMA-GARCH family of models in times of increased volatility
    by Milan Rippel & Ivo Jánský
  • 2011 Wavelet multiple correlation and cross-correlation: A multiscale analysis of euro zone stock markets
    by Fernández Macho, Francisco Javier
  • 2011 How Prediction Markets can Save Event Studies
    by Erik Snowberg & Justin Wolfers & Eric Zitzewitz
  • 2011 The simple econometrics of tail dependence
    by Maarten R.C. van Oordt & Chen Zhou
  • 2011 The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures
    by Siem Jan Koopman & Marcel Scharth
  • 2011 Backtesting Value-at-Risk using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann
    by Lennart F. Hoogerheide & Francesco Ravazzolo & Herman K. van Dijk
  • 2011 Forecasting Volatility with Copula-Based Time Series Models
    by Oleg Sokolinskiy & Dick van Dijk
  • 2011 Investment in Microfinance Equity : Risk, Return, and Diversification Benefits
    by Szafarz, Ariane & Brière, Marie
  • 2011 Large Deviations of Realized Volatility
    by Shin Kanaya & Taisuke Otsu
  • 2011 The reaction of stock market returns to anticipated unemployment
    by Jesús Gonzalo & Abderrahim Taamouti
  • 2011 How Prediction Markets Can Save Event Studies
    by Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric
  • 2011 Volatility models
    by BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien
  • 2011 Estimating and forecasting structural breaks in financial time series
    by BAUWENS, Luc & DUFAYS, Arnaud & DE BACKER, Bruno
  • 2011 Locally stationary volatility modelling
    by VAN BELLEGEM, Sébastien
  • 2011 Marginal likelihood for Markov-switching and change-point GARCH models
    by BAUWENS, Luc & DUFAYS, Arnaud & ROMBOUTS, Jeroen V.K.
  • 2011 Multivariate volatility modeling of electricity futures
    by bauwens, Luc & hafner, Christian & pierret, Diane
  • 2011 Nonparametric Beta kernel estimator for long memory time series
    by BOUEZMARNI, Taoufik & VAN BELLEGEM, Sébastien
  • 2011 Dynamic Correlations, Estimation Risk, And Porfolio Management During The Financial Crisis
    by Luis García-Álvarez & Richard Luger
  • 2011 Marginal Likelihood for Markov-Switching and Change-Point Garch Models
    by Luc Bauwens & Arnaud Dufays & Jeroen Rombouts
  • 2011 How Prediction Markets can Save Event Studies
    by Erik Snowberg & Justin Wolfers & Eric Zitzewitz
  • 2011 The Identification of Price Jumps
    by Jan Hanousek & Evzen Kocenda & Jan Novotny
  • 2011 An overview of CO2 cost pass-through to electricity prices in Europe
    by Boris Solier & Pierre-André Jouvet
  • 2011 Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach
    by Toni Gravelle & Fuchun Li
  • 2011 A Copula-GARCH Model for Macro Asset Allocation of a Portfolio with Commodities: an Out-of-Sample Analysis
    by Luca RICCETTI
  • 2011 Historical financial analogies of the current crisis
    by Julián Andrada-Félix & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero
  • 2011 VPIN and the Flash Crash
    by Torben G. Andersen & Oleg Bondarenko
  • 2011 Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX
    by Torben G. Andersen & Oleg Bondarenko & Maria T. Gonzalez-Perez
  • 2011 Marginal Likelihood for Markov-switching and Change-point Garch Models
    by Luc Luc & Arnaud Dufays & Jeroen V.K. Rombouts
  • 2011 Financial Risk Measurement for Financial Risk Management
    by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold
  • 2011 Flat-Top Realized Kernel Estimation of Quadratic Covariation with Non-Synchronous and Noisy Asset Prices
    by Rasmus Tangsgaard Varneskov
  • 2011 Generalized Flat-Top Realized Kernel Estimation of Ex-Post Variation of Asset Prices Contaminated by Noise
    by Rasmus Tangsgaard Varneskov
  • 2011 Financial Valuation And Econometrics
    by Kian Guan Lim
  • 2011 THE KELLY CAPITAL GROWTH INVESTMENT CRITERION:Theory and Practice
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  • 2011 Testing For Causality In Variance For World Stock Exchange Indexes
    by Malgorzata Madrak-Grochowska, Miroslawa Zurek
  • 2011 Testing For Causality In Variance For World Stock Exchange Indexes
    by Malgorzata Madrak-Grochowska, Miroslawa Zurek
  • 2011 Volatility Shifts and Persistence in Variance: Evidence from the Sector Indices of Istanbul Stock Exchange
    by Efe Çağlar Çağli & Pinar Evrim Mandaci & Pinar Hakan Kahyaoğlu
  • 2011 Did the CDS Market Push up Risk Premia for Sovereign Credit?
    by Sergio Andenmatten & Felix Brill
  • 2011 Non-Linear Volatility Modeling of Economic and Financial Time Series Using High Frequency Data
    by Matei, Marius
  • 2011 Comparison of VaR estimation methods for different forecasting samples for Russian stocks
    by Shcherba, Alexandr
  • 2011 An approach to ratings mapping
    by Aivazian, Sergey & Golovan, Sergey & Karminsky, Alexander & Peresetsky, Anatoly
  • 2011 Estimation of the interdependence of time series of stocks prices based on copula
    by Bronshtein , Efim & Prokudina, Elena & Gerasimova, Anna & Dubinskaya, Ksenya
  • 2011 Copula-Based Price Risk Hedging Models
    by Penikas, Henry
  • 2011 Tunisian and Indian Forex Markets: A Comparision on Forward Rate Unbiased Hypothesis
    by Rohit Vishal Kumar & Dhekra Azouzi
  • 2011 Modeling multivariate parametric densities of financial returns (in Russian)
    by Alexey Balaev
  • 2011 Application of FIGARCH and EWMA Models on Stock Indices PX and BUX
    by Zdeněk Štolc
  • 2011 Comparison of Volatility Models of PX Index and FTSE 100 Index
    by Adam Borovička
  • 2011 Application of Actuarial Modelling in Insurance Industry
    by Burcã Ana-Maria & Bãtrînca Ghiorghe
  • 2011 Value At Risk - Corporate Risk Measurement
    by Anis Cecilia-Nicoleta & Roth Anne-Marie & Apolzan (Angyal) Carmen-Maria
  • 2011 Experience in Developing Early Warning System for Financial Crises and the Forecast of Russian Banking Sector Dynamic in 2012
    by Solntsev, O. & Mamonov, M. & Pestova, A. & Magomedova, Z.
  • 2011 Co-movements of Shanghai and New York stock prices by time-varying regressions
    by Chow, Gregory C. & Liu, Changjiang & Niu, Linlin
  • 2011 Term structure modelling with observable state variables
    by Huse, Cristian
  • 2011 Asymmetric volatility and trading volume: The G5 evidence
    by Sabbaghi, Omid
  • 2011 Volatility spillovers between food and energy markets: A semiparametric approach
    by Serra, Teresa
  • 2011 Particle filters for continuous likelihood evaluation and maximisation
    by Malik, Sheheryar & Pitt, Michael K.
  • 2011 Econometric Model – A Tool in Financial Management
    by Riana Iren RADU
  • 2011 The impact of the functional characteristics of a credit bureau on the level of indebtedness per capita: Evidence from East European countries
    by Vladimir Simovic & Vojkan Vaskovic & Marko Rankovic & Slobodan Malinic
  • 2011 Emerging Market Currency Excess Returns
    by Stephen Gilmore & Fumio Hayashi
  • 2010 The Extreme-Value Dependence Between the Chinese and Other International Stock Markets
    by David E. Giles
  • 2010 An Empirical Analysis of International Stock Market Volatility Transmission
    by Indika Karunanayake & Valadkhani, Abbas & O'Brien, Martin
  • 2010 A Kernel Technique for Forecasting the Variance-Covariance Matrix
    by Ralf Becker & Adam Clements & Robert O'Neill
  • 2010 Determinants of capital Structure: comparison of empirical evidence for the use of different estimators
    by tiwari, aviral kumar & krishnankutty, Raveesh
  • 2010 Do stock returns in India exhibit a mean reverting tendency? Evidence from multiple structural breaks test
    by Hiremath, Gourishankar S & Bandi, Kamaiah
  • 2010 A theoretical foundation for the Nelson and Siegel class of yield curve models, and an empirical application to U.S. yield curve dynamics
    by Leo Krippner
  • 2010 Probabilistic Forecasts of Volatility and its Risk Premia
    by Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes & Simone Grose
  • 2010 Model Selection and Testing of Conditional and Stochastic Volatility Models
    by Massimiliano Caporin & Michael McAleer
  • 2010 Model Selection and Testing of Conditional and Stochastic Volatility Models
    by Massimiliano Caporin & Michael McAleer
  • 2010 The long-run exchange rate for NOK: a BEER approach
    by Geir E. Alstad
  • 2010 From Moments, Co-Moments and Mean-Variance weights to Copula Portfolio Allocation
    by Luca RICCETTI
  • 2010 Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility
    by Peter R. Hansen & Asger Lunde & Valeri Voev
  • 2010 Modelling asset correlations during the recent FInancial crisis: A semiparametric approach
    by Nektarios Aslanidis & Isabel Casas
  • 2010 Estimation of Stochastic Volatility Models by Nonparametric Filtering
    by Shin Kanaya & Dennis Kristensen
  • 2010 How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
    by Almut E. D. Veraart
  • 2010 DEPENDENCE MODELING:Vine Copula Handbook
    by
  • 2010 Structural Determinants of the Total Loans Volume in the Czech Republic
    by Iveta ŘEPKOVÁ
  • 2010 Behavior of realized volatility and correlation in exchange markets
    by Amir Safari & Detlef Seese
  • 2009 On the random walk characteristics of stock returns in India
    by Hiremath, Gourishankar S & Bandi, Kamaiah
  • 2009 Solving Discrete Systems of Nonlinear Equations
    by Gerard van der Laan & Dolf Talman & Zaifu Yang
  • 2009 Econometric Analysis of Financial Data in Risk Management
    by Fantazzini , Dean
  • 2009 Credit Risk Management (Cont.)
    by Fantazzini , Dean
  • 2008 Solving Discrete Systems of Nonlinear Equations
    by Laan, G. van der & Talman, A.J.J. & Yang, Z.F.
  • 2008 Credit Risk Management
    by Fantazzini, Dean
  • 2008 Forecasting for the Bank's Asset-Liability Management
    by Penikas, Henry
  • 2008 An Econometric Analysis of Financial Data in Risk Management
    by Fantazzini, Dean
  • 2007 Combinatorial Integer Labeling Theorems on Finite Sets with an Application to Discrete Systems of Nonlinear Equations
    by Gerard van der Laan & Dolf Talman & Zaifu Yang
  • 2007 Combinatorial Integer Labeling Thorems on Finite Sets with an Application to Discrete Systems of Nonlinear Equations
    by Laan, G. van der & Talman, A.J.J. & Yang, Z.F.
  • 2006 A Discrete Multivariate Mean Value Theorem with Applications
    by Talman, A.J.J. & Yang, Z.F.
  • 2006 Econometric Analysis in the investment projects efficiency evaluation and property valuation theories
    by Smolyak, Sergey
  • 2005 Solving Discrete Zero Point Problems with Vector Labeling
    by Gerard van der Laan & Dolf Talman & Zaifu Yang
  • 2005 Computing Integral Solutions of Complementarity Problems
    by Gerard van der Laan & Dolf Talman & Zaifu Yang
  • 2005 Computing Integral Solutions of Complementarity Problems
    by Laan, G. van der & Talman, A.J.J. & Yang, Z.F.
  • 2005 Solving Discrete Zero Point Problems with Vector Labeling
    by Laan, G. van der & Talman, A.J.J. & Yang, Z.F.
  • 2004 Wage Differentials, Monopsony Labor Markets, and the Trade-Labor Standards Debate
    by C. Shelburne, Robert
  • 2004 Periodic correlation vs. integration and cointegration (Okresowa korelacja a integracja i kointegracja)
    by Ewa Broszkiewicz-Suwaj & Agnieszka Wylomanska
  • 2004 Solving Discrete Zero Point Problems
    by Gerard van der Laan & Dolf Talman & Zaifu Yang
  • 2001 Local Nonparametric Estimation of Scalar Diffusions
    by Moloche, Guillermo
  • 1998 Scaling in currency exchange: A Conditionally Exponential Decay approach
    by Szymon Mercik & Rafal Weron
  • 1998 Origins of the scaling behaviour in the dynamics of financial data
    by Aleksander Weron & Szymon Mercik & Rafal Weron
  • 1998 Asymmetric Volatility Dynamics: Evidence From the Istanbul Stock Exchange
    by Okay, Nesrin
  • 2012-04 Ethics and Quantitative Finance
    by Jason West
  • We propose a technique to avoid spurious detections of jumps in highfrequency data via an explicit thresholding on available test statistics
    by Pierre BAJGROWICZ & Olivier SCAILLET
  • Statistical Modeling of Stock Returns: Explanatory or Descriptive? A Historical Survey with Some Methodological Reflections
    by Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis