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Research classified by Journal of Economic Literature (JEL) codes


Top JEL
/ G: Financial Economics
/ / G1: General Financial Markets
/ / / G17: Financial Forecasting and Simulation
Most recent items first, undated at the end.
  • 2014 Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?
    by Goodness C. Aye & Frederick W. Deale & Rangan Gupta
  • 2014 Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities
    by Anne Opschoor & Dick van Dijk & Michel van der Wel
  • 2014 Us Bank Holding Companies: Structure Of Activities And Performance Through The Cycles
    by Albert, Stéphane
  • 2014 The effects of a low interest rate environment on life insurers
    by Berdin, Elia & Gründl, Helmut
  • 2014 Last Success Problem: Decision Rule and Application
    by Kohn, Wolfgang
  • 2014 Stop Waiting Problem: Decision Rule with Ψ function and Application with Share Prices
    by Kohn, Wolfgang
  • 2014 Forward-looking measures of higher-order dependencies with an application to portfolio selection
    by Brinkmann, Felix & Kempf, Alexander & Korn, Olaf
  • 2014 Portfolio optimization using forward-looking information
    by Kempf, Alexander & Korn, Olaf & Saßning, Sven
  • 2014 Strategic coordination in forecasting: An experimental study
    by Bizer, Kilian & Meub, Lukas & Proeger, Till & Spiwoks, Markus
  • 2014 Forecasting the volatility of the dow jones islamic stock market index: Long memory vs. regime switching
    by Nasr, Adnen Ben & Lux, Thomas & Ajm, Ahdi Noomen & Gupta, Rangan
  • 2014 Portfolio Performance Implications of Environmental, Social and Governance based Asset Selection
    by Florian Mueller
  • 2014 Linking the problems of estimating and allocating unconditional capital
    by Alex Ferrer & José Casals & Sonia Sotoca
  • 2014 A Stochastic Dominance Approach to Financial Risk Management Strategies
    by Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Teodosio Pérez Amaral
  • 2014 Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
    by Manabu Asai & Michael McAleer
  • 2014 Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis
    by Leonardo Becchetti & Rocco Ciciretti & Ambrogio Dalò & Stefano Herzel
  • 2014 Maximum entropy estimator for the predictability of energy commodity market time series
    by Francesco Benedetto & Gaetano Giunta & Loretta Mastroeni
  • 2014 Exchange Rate Predictability in a Changing World
    by Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro
  • 2014 Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?
    by Jiahan Li & Ilias Tsiakas & Wei Wang
  • 2014 Socially Responsible and Conventional Investment Funds: Performance Comparison and the Global Financial Crisis
    by Leonardo Becchetti & Rocco Ciciretti & Ambrogio Dalo & Stefano Herzel
  • 2014 Foreign Exchange Risk and the Predictability of Carry Trade Returns
    by Gino Cenedese & Lucio Sarno & Ilias Tsiakas
  • 2014 Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching
    by Adnen Ben Nasr & Thomas Lux & Ahdi N. Ajmi & Rangan Gupta
  • 2014 Exponential Smoothing, Long Memory and Volatility Prediction
    by Proietti, Tommaso
  • 2014 On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets
    by Ledenyov, Dimitri O. & Ledenyov, Viktor O.
  • 2014 Combining Momentum, Value, and Quality for the Islamic Equity Portfolio: Multi-style Rotation Strategies using Augmented Black Litterman Factor Model
    by Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla & Masih, A. Mansur M.
  • 2014 Forecasting conditional volatility on the RIN market using MS GARCH model
    by Kakorina, Ekaterina
  • 2014 Predictive Power of Aggregate Short Interest
    by Yu, Eric Jinsan
  • 2014 Capital Asset Pricing Model and Stochastic Volatility: A Case study of India
    by Fung, Ka Wai Terence & Demir, Ender & Zhou, Lu
  • 2014 Systemic Liquidity Crisis with Dynamic Haircuts
    by Sever, Can
  • 2014 Análisis comparativo de modelos para estimar la distribución de la volatilidad de series financieras de rendimientos
    by Grajales Correa, Carlos Alexander & Pérez Ramírez, Fredy Ocaris & Venegas-Martínez, Francisco
  • 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 Exchange Rate Predictability in a Changing World
    by Byrne, Joseph P & Korobilis, Dimitris & Ribeiro, Pinho J
  • 2014 Value-at-risk Predictions of Precious Metals with Long Memory Volatility Models
    by Demiralay, Sercan & Ulusoy, Veysel
  • 2014 Factor High-Frequency Based Volatility (HEAVY) Models
    by Kevin Sheppard
  • 2014 Risk Appetite in Practice: Vulgaris Mathematica
    by Bertrand K Hassani
  • 2014 A Multi-Factor Model of Heterogeneous Traders in a Dynamic Stock Market
    by Pyo, Dong-Jin
  • 2014 Can Economic Uncertainty, Financial Stress and Consumer Senti-ments Predict U.S. Equity Premium?
    by Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen
  • 2014 A wavelet-based copula approach for modeling market risk in agricultural commodity markets
    by RIADH ALOUI & MOHAMED SAFOUANE BEN AISSA & DUC KHUONG NGUYEN
  • 2014 Predicting and Capitalizing on Stock Market Bears in the U.S
    by Bertrand Candelon & Jameel Ahmed & Stefan Straetmans
  • 2014 Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory
    by Walid Chkili & Shawkat Hammoudeh & Duc Khuong Nguyen
  • 2014 A fear index to predict oil futures returns
    by Julien Chevallier & Benoit Sevi
  • 2014 Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory
    by Walid Chkili & Shawkat Hammoudeh & Duc Khuong Nguyen
  • 2014 Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching
    by Adnen Ben Nasr & Thomas Lux & Ahdi Noomen Ajmi & Rangan Gupta
  • 2014 Fund Managers Fees: Estimation and Sensitivity Analysis Using Monte Carlo Simulation
    by Dorra Najar
  • 2014 The Effectiveness Of Different Trading Strategies For Price-Takers
    by Liudmila G. Egorova
  • 2014 Asymmetric exchange-rate exposure in BRIC countries
    by Dranev Yury & Maxim Babushkin
  • 2014 Money management with optimal stopping of losses for maximizing the returns of futures trading
    by Lundström, Christian
  • 2014 Exchange Rate Predictability in a Changing World
    by Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro
  • 2014 The capital and loss assessment under stress scenarios (CLASS) model
    by Hirtle, Beverly & Kovner, Anna & Vickery, James & Bhanot, Meru
  • 2014 Mandatory Disclosure and Financial Contagion
    by Alvarez, Fernando & Barlevy, Gadi
  • 2014 John Doe's Old-Age Provision: Dollar Cost Averaging and Time Diversification
    by Dirk Ulbricht
  • 2014 Interpreting Financial Market Crashes as Earthquakes: A New early Warning System for Medium Term Crashes
    by Francine Gresnigt & Erik Kole & and Philip Hans Franses
  • 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 Outliers in multivariate Garch models
    by Aurea Grané & Belén Martín-Barragán & Helena Veiga
  • 2014 No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates
    by Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano
  • 2014 Las acciones como activo de reserva para el Banco de la República
    by Mario Alejandro Acosta R.
  • 2014 Jump Processes in Natural Gas Markets
    by Charles F. Mason & Neil Wilmot
  • 2014 Sand in the Wheels or Wheels in the Sand? Tobin Taxes and Market Crashes
    by Hynek Lavicka & Tomas Lichard & Jan Novotny
  • 2014 Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
    by Manabu Asai & Michael McAleer
  • 2014 Endogenous Derivative Networks
    by Vuillemey, G. & Breton, R.
  • 2014 Two EGARCH models and one fat tail
    by Michele Caivano & Andrew Harvey
  • 2014 Time series models with an EGB2 conditional distribution
    by Michele Caivano & Andrew Harvey
  • 2014 How Are Interbank and Sovereign Debt Markets Linked? Evidence from 14 OECD Countries, the Euro Area and Russia
    by Mikhail Stolbov
  • 2014 An Experimental Study of Overconfidence in Accounting Numbers Predictions
    by Sasson Bar-Yosef & Itzhak Venezia
  • 2014 Testing the Market Model – A Case Study of Fondul Proprietatea (FP)
    by Sorin Claudiu Radu
  • 2014 Uretim Isletmelerinde Firma Karliliginin Finansal Belirleyicileri ve BIST Imalat Sanayi Uygulamasi
    by Ozge KORKMAZ & Suleyman Serdar KARACA
  • 2014 Sticky prices or economically-linked economies: The case of forecasting the Chinese stock market
    by Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E.
  • 2014 Composition of wealth, conditioning information, and the cross-section of stock returns
    by Roussanov, Nikolai
  • 2014 Long-term U.S. infrastructure returns and portfolio selection
    by Bianchi, Robert J. & Bornholt, Graham & Drew, Michael E. & Howard, Michael F.
  • 2014 Foreign exchange risk and the predictability of carry trade returns
    by Cenedese, Gino & Sarno, Lucio & Tsiakas, Ilias
  • 2014 Investor sentiment and return predictability of disagreement
    by Kim, Jun Sik & Ryu, Doojin & Seo, Sung Won
  • 2014 Contrarian flows, consumption and expected stock returns
    by Zhang, Yuzhao
  • 2014 Investor attention, index performance, and return predictability
    by Vozlyublennaia, Nadia
  • 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 Loss given default for leasing: Parametric and nonparametric estimations
    by Hartmann-Wendels, Thomas & Miller, Patrick & Töws, Eugen
  • 2014 The empirical similarity approach for volatility prediction
    by Golosnoy, Vasyl & Hamid, Alain & Okhrin, Yarema
  • 2014 The importance of the volatility risk premium for volatility forecasting
    by Prokopczuk, Marcel & Wese Simen, Chardin
  • 2014 Default prediction with dynamic sectoral and macroeconomic frailties
    by Chen, Peimin & Wu, Chunchi
  • 2014 Ultimate recovery mixtures
    by Altman, Edward I. & Kalotay, Egon A.
  • 2014 Dynamic prediction of hedge fund survival in crisis-prone financial markets
    by Lee, Hee Soo & Kim, Tae Yoon
  • 2014 The interactions between China and US stock markets: New perspectives
    by Ye, George L.
  • 2014 Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises
    by Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia
  • 2014 Reflecting on the VPIN dispute
    by Andersen, Torben G. & Bondarenko, Oleg
  • 2014 VPIN and the flash crash
    by Andersen, Torben G. & Bondarenko, Oleg
  • 2014 Are stock markets really so inefficient? The case of the “Halloween Indicator”
    by Dichtl, Hubert & Drobetz, Wolfgang
  • 2014 Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets
    by Liu, Lu
  • 2014 The volatility-confined LPPL model: A consistent model of ‘explosive’ financial bubbles with mean-reverting residuals
    by Lin, L. & Ren, R.E. & Sornette, D.
  • 2014 Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory
    by Chkili, Walid & Hammoudeh, Shawkat & Nguyen, Duc Khuong
  • 2014 Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting
    by Lee, Tae-Hwy & Tu, Yundong & Ullah, Aman
  • 2014 Are lifecycle funds appropriate as default options in participant-directed retirement plans?
    by Basu, Anup K. & Chen, En Te & Clements, Adam
  • 2014 The impact of trading volume, number of trades and overnight returns on forecasting the daily realized range
    by Todorova, Neda & Souček, Michael
  • 2014 Quadratic hedging schemes for non-Gaussian GARCH models
    by Badescu, Alexandru & Elliott, Robert J. & Ortega, Juan-Pablo
  • 2014 Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors
    by Lee, Yongwoong & Poon, Ser-Huang
  • 2014 Uluslararasý Portföy Yönetiminde Rejim Geçiþken Karar Destek Modelleri: Geliþmekte Olan Menkul Kýymet Piyasalarý Üzerine Bir Uygulama
    by Kadir Tuna & Mehmet Tuna & Alper Ozun
  • 2014 Long Memory Behavior in the Returns of Pakistan Stock Market: ARFIMA-FIGARCH Models
    by Serpil TURKYILMAZ & Mesut BALIBEY
  • 2014 Long Memory Analysis: An Empirical Investigation
    by Rafik Nazarian & Esmaeil Naderi & Nadiya G. Alikhani & Ashkan Amiri
  • 2014 Real output costs of financial crises: A loss distribution approach
    by Daniel Kapp & Marco Vega
  • 2014 Research Funding After The Economic Crisis.Comparative Study
    by Mircea-Iosif RUS & Andreea HEGYI & Mircea-Ioan PASTRAV
  • 2014 Solvency vs. liquidity. A decomposition of European banks' credit risk over the business cycle
    by Guillaume Vuillemey
  • 2014 Price jumps on European stock markets
    by Jan Hanousek & Evzen Kocenda & Jan Novotny
  • 2014 International Credit Cycles: A Regional Perspective
    by Mikhail Stolbov
  • 2014 Measuring The Efficiency In The Romanian Banking System Through The Method Of The Data Envelopment Analysis (Dea)
    by Alina Georgiana Manta & Roxana Maria Badîrcea
  • 2014 Speculative Asset Prices
    by Robert J. Shiller
  • 2014 Two Pillars of Asset Pricing
    by Eugene F. Fama
  • 2013 Forward-looking measures of higher-order dependencies with an application to portfolio selection
    by Brinkmann, Felix & Kempf, Alexander & Korn, Olaf
  • 2013 Financial Conditions Indexes for Asian Economies
    by Debuque-Gonzales , Margarita & Gochoco-Bautista, Maria Socorro
  • 2013 The Trouble with Rates in the Subdivision Development Method to Land Valuation
    by Brian J. CURRY
  • 2013 Romania, the Next Frontier for Wind Power
    by P. Barton DELACY & Eric M. ROSS
  • 2013 The Granularity of the Stock Market: Forecasting Aggregate Returns Using Firm-Level Data
    by Stefano Schiaffi
  • 2013 A Stochastic Model for Natural Gas Consumption: An Application for Turkey
    by Ahmet GÖNCÜ & Mehmet Oğuz KARAHAN & Tolga Umut KUZUBAŞ
  • 2013 GARCH modellerinin performanslarının değerlendirilmesinde riske maruz değer (value-at-risk, VaR) yöntemi: İMKB100, Mali, Sınai ve Hizmet endeksleri üzerine bir uygulama
    by Önder BÜBERKÖKÜ
  • 2013 A latent dynamic factor approach to forecasting multivariate stock market volatility
    by Gribisch, Bastian
  • 2013 Option-implied information and predictability of extreme returns
    by Vilkovz, Grigory & Xiaox, Yan
  • 2013 Which beta is best? On the information content of option-implied betas
    by Baule, Rainer & Korn, Olaf & Saßning, Sven
  • 2013 Anchoring: A valid explanation for biased forecasts when rational predictions are easily accessible and well incentivized?
    by Meub, Lukas & Proeger, Till & Bizer, Kilian
  • 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 The pricing of options on WIG20 using GARCH models
    by Szymon Kamiński
  • 2013 Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo Matlab Toolbox
    by Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk
  • 2013 Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data
    by Audrino, Francesco & Fengler, Matthias
  • 2013 The relationship between stock market parameters and interbank lending market: an empirical evidence
    by Magomet Yandiev & Alexander Pakhalov
  • 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 The impact of jumps and thin trading on realized hedge ratios
    by Dungey, Mardi & Henry, Olan T & Hvodzdyk, Lyudmyla
  • 2013 South African Sector Return Correlations: using DCC and ADCC Multivariate GARCH techniques to uncover the underlying dynamics
    by Nico Katzke
  • 2013 Mining Big Data Using Parsimonious Factor and Shrinkage Methods
    by Hyun Hak Kim & Norman Swanson
  • 2013 Corporate Social Responsibility, Stakeholder Risk, and Idiosyncratic Volatility
    by Leonardo Becchetti & Rocco Ciciretti & Iftekhar Hasan
  • 2013 Risk Preferences and Estimation Risk in Portfolio Choice
    by Hao Liu & Winfried Pohlmeier
  • 2013 On the Benefits of Equicorrelation for Portfolio Allocation
    by Adam Clements & Ayesha Scott & Annastiina Silvennoinen
  • 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 Price Drivers and Investment Strategies of Gold
    by Arayssi, Mahmoud
  • 2013 Systemic Risk of Commercial Banks: A Markov-Switching Quantile Autoregression Approach
    by Liu, Xiaochun
  • 2013 Forecasting Bankruptcy with Incomplete Information
    by Xu, Xin
  • 2013 Stock Market Volatility, Speculative Short Sellers and Weekend Effect: International Evidence
    by Kazemi, Hossein S. & Zhai, Weili & He, Jibao & Cai, Jinghan
  • 2013 Asset allocation and portfolio optimization problems with metaheuristics: a literature survey
    by Jarraya, Bilel
  • 2013 Multiobjective optimization for the asset allocation of European nonlife insurance companies
    by Jarraya, Bilel & Bouri, Abdelfettah
  • 2013 Analysing social attributes of loan default among small Indian Dairy farms: A discriminating approach
    by Sinha, Mukesh Kumar & Dhaka, J. P. & Mondal, B.
  • 2013 Финансовая Инновация - Миф Или Реальность?
    by Kogan, Anton
  • 2013 Forecasting with Factor Models: A Bayesian Model Averaging Perspective
    by Dimitris, Korobilis
  • 2013 Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery
    by Schröder, Anna Louise & Fryzlewicz, Piotr
  • 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 The Spot Forward Exchange Rate Relation in Indian Foreign Exchange Market - An Analysis
    by Nath, Golaka
  • 2013 Long Memory Processes and Structural Breaks in Stock Returns and Volatility: Evidence from the Egyptian Exchange
    by Ezzat, Hassan
  • 2013 Green finance is essential for economic development and sustainability
    by Chowdhury, Tasnim & Datta, Rajib & Mohajan, Haradhan
  • 2013 Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital markets
    by Ledenyov, Dimitri O. & Ledenyov, Viktor O.
  • 2013 Jump Processes in Exchange Rates Modeling
    by Bunčák, Tomáš
  • 2013 Forecasting Crude Oil Price Movements with Oil-Sensitive Stocks
    by Chen, Shiu-Sheng
  • 2013 To the Problem of Financial Safety Estimation: the Index of Financial Safety of Turkey
    by Matkovskyy, Roman
  • 2013 Monitoring of Credit Risk through the Cycle: Risk Indicators
    by Yashkir, Olga & Yashkir, Yuriy
  • 2013 Loss Given Default Modelling: Comparative Analysis
    by Yashkir, Olga & Yashkir, Yuriy
  • 2013 Long Memory Analysis: An Empirical Investigation
    by Nazarian, Rafik & Naderi, Esmaeil & Gandali Alikhani, Nadiya & Amiri, Ashkan
  • 2013 A New Index of Financial Conditions
    by Koop, Gary & Korobilis, Dimitris
  • 2013 A Hybrid Approach for Forecasting of Oil Prices Volatility
    by Komijani, Akbar & Naderi, Esmaeil & Gandali Alikhani, Nadiya
  • 2013 Modeling and Estimating Volatility of Options on Standard & Poor’s 500 Index
    by Boleslaw Borkowski & Monika Krawiec & Yochanan Shachmurove
  • 2013 Collateral Valuation and Borrower Financial Constraints: Evidence from the Residential Real Estate Market
    by Sumit Agarwal & Itzhak Ben-David & Vincent Yao
  • 2013 Tail Risk and Asset Prices
    by Bryan Kelly & Hao Jiang
  • 2013 Unemloyment and Unobserved Credit Risk in the FHA Single Family Mortgage Insurance Fund
    by Joseph Gyourko & Joseph Tracy
  • 2013 Exchange Rates and Commodity Prices : Measuring Causality at Multiple Horizons
    by Hui Jun ZHANG & Jean-Marie DUFOUR & John W. GALBRAITH
  • 2013 We study whether financial analysts' concern for preserving good relationships with firms' managers motivates them to issue pessimistic or optimistic forecasts. Based on a dataset of one-yearahead EPS forecasts issued by 4 648 analysts concerning 241 French firms (1997-2007), we regress the analysts' forecast accuracy on its unintentional determinants. We then decompose the fixed effect of the regression and we use the firm-analyst pair effect as a measure of the intensity of the firm-analyst relationship. We find that a low (high) firm-analyst pair effect is associated with a low (high) forecast error. This observation suggests that pessimism and optimism result from the analysts' concern for cultivating their relationship with the firm's management
    by Anne-Gael Vaubourg & Valdete Berisha-Krasniqui & Sébastien Galanti & Christophe Hurlin & Régis Breton
  • 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 An Analysis of CDS Market Liquidity by the Hawkes Process
    by Masahiko Egami & Yasuyuki Kato & Tomochika Sawaki
  • 2013 Forecasting High-Yield Bond Spreads Using the Loan Market as Leading Indicator
    by Banu Simmons-Süer
  • 2013 Cascades in real interbank markets
    by Fariba Karimi & Matthias Raddant
  • 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 Long memory and asymmetry in the volatility of commodity markets and Basel Accord: choosing between models
    by Walid Chkili & Shawkat Hammoudeh & Duc Khuong Nguyen
  • 2013 The Economic Impact of Oil on Industry Portfolios
    by Jaime Casassus & Freddy Higuera
  • 2013 Revenues from storage in a competitive electricity market: Empirical evidence from Great Britain
    by Monica Giulietti & Luigi Grossi
  • 2013 CDO Surfaces Dynamics
    by Barbara Choroś-Tomczyk & Wolfgang Karl Härdle & Ostap Okhrin &
  • 2013 Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?
    by Nikolaus Hautsch & Lada M. Kyj & Peter Malec &
  • 2013 Improving prediction of stock market indices by analyzing the psychological states of twitter users
    by Alexander Porshnev & Ilya Redkin & Alexey Shevchenko
  • 2013 Day Trading Profitability across Volatility States
    by Lundström, Christian
  • 2013 Importance of the macroeconomic variables for variance prediction A GARCH-MIDAS approach
    by Asgharian, Hossein & Hou, Ai Jun & Javed, Farrukh
  • 2013 Financial and economic downturns in OECD countries
    by Haavio, Markus & Mendicino , Caterina & Punzi , Maria Teresa
  • 2013 Equity Premia Predictability in the EuroZone
    by Nuno Silva
  • 2013 Monetary policy surprises, positions of traders, and changes in commodity futures prices
    by Gospodinov, Nikolay & Jamali, Ibrahim
  • 2013 A Fear Index to Predict Oil Futures Returns
    by Julien Chevallier & Benoît Sévi
  • 2013 Studying The Volatility Of The Romanian Investment Funds With The Arch And Garch Models Using The "R" Software
    by Antoniade Ciprian ALEXANDRU
  • 2013 How to Identify and Forecast Bull and Bear Markets?
    by Kole, H.J.W.G. & van Dijk, D.J.C.
  • 2013 Ten Things You Should Know About the Dynamic Conditional Correlation Representation
    by Caporin, M. & McAleer, M.J.
  • 2013 Sensitivity Analysis of Domestic Credit to Private Sector in Pakistan: A Variable Replacement Approach Application with Con-integration
    by Mondher bellalah & SYED ALAMDAR ALI & Omar Masood
  • 2013 Defying Gravity: Costly Signaling to Mislead or to Inform?
    by Beneish, Messod Daniel & Capkun, Vedran & Fridson, Martin S.
  • 2013 The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio
    by Busse, Marc & Dacorogna, Michel & Kratz, Marie
  • 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 Economic Valuation of Liquidity Timing
    by Dennis Karstanje & Elvira Sojli & Wing Wah Tham & Michel van der Wel
  • 2013 Forecasting Earnings Forecasts
    by Bert de Bruijn & Philip Hans Franses
  • 2013 Predicting Covariance Matrices with Financial Conditions Indexes
    by Anne Opschoor & Dick van Dijk & Michel van der Wel
  • 2013 Ten Things you should know about the Dynamic Conditional Correlation Representation
    by Massimiliano Caporin & Michael McAleer
  • 2013 GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies
    by Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Perez Amaral & Paulo Araujo Santos
  • 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 Prediction Bias Correction for Dynamic Term Structure Models
    by Eran Raviv
  • 2013 Has the Basel Accord Improved Risk Management During the Global Financial Crisis?
    by Michael McAleer & Juan-�ngel Jim�nez-Mart�n & Teodosio P�rez-Amaral
  • 2013 Estimating Implied Recovery Rates from the Term Structure of CDS Spreads
    by Marcin Jaskowski & Michael McAleer
  • 2013 A Fear Index to Predict Oil Futures Returns
    by Sévi, Benoît & Chevallier, Julien
  • 2013 The Limits of Granularity Adjustments
    by Jean-David Fermanian
  • 2013 Forecasting Latin-American yield curves: An artificial neural network approach
    by Daniel Vela
  • 2013 Ensemble predictions of recovery rates
    by Joao A. Bastos
  • 2013 Exchange rates and commodity prices: measuring causality at multiple horizons
    by Hui Jun Zhang & Jean-Marie Dufour & John Galbraith
  • 2013 IFRS Adoption in Canada: An Empirical Analysis of the Impact on Financial Statements
    by Michel Blanchette & François-Éric Racicot & Komlan Sedzro
  • 2013 Forecasting Exchange Rates: An Investor Perspective
    by Michael Melvin & John Prins & Duncan Shand
  • 2013 Financial Signaling and Earnings Forecasts
    by Iuliia Brushko
  • 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 Has the Basel Accord Improved Risk Management During the Global Financial Crisis
    by Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral
  • 2013 Two EGARCH models and one fat tail
    by M. Caivano & A. Harvey
  • 2013 Time series models with an EGB2 conditional distribution
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  • 2013 On the prediction of corporate financial distress in the light of the financial crisis: empirical evidence from Greek listed firms
    by Evangelos C. Charalambakis
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  • 2013 Reflecting on the VPN Dispute
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  • 2013 Analyzing Oil Futures with a Dynamic Nelson-Siegel Model
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  • 2013 Risk-Return Trade-Off for European Stock Markets
    by Nektarios Aslanidis & Charlotte Christiansen & Christos S. Savva
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  • 2013 The Impact Of Investor Psychology On Stock Markets: Evidence From France
    by ABDERRAZAK DHAOUI & SAAD BOUROUIS & MELEK ACAR BOYACIOGLU
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    by Kedong YIN & Hengda ZHANG & Wenbo ZHANG & Qian WEI
  • 2013 Forecasting Croatian Stock Market Index: Crobex
    by Ivanovic, Zoran & Bogdan, Sinisa & Baresa, Suzana
  • 2013 A copula-based approach to portfolio credit risk modeling
    by Bologov , Yaroslav
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    by Droj Laurentiu
  • 2013 Sensitivity Assessment Modelling In European Funded Projects Proposed By Romanian Companies
    by Droj Laurentiu & Droj Gabriela
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    by M. B. Gordy & E. Lutkebohmert
  • 2013 Estimation And Inference In Predictive Regressions
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  • 2013 GFC-robust risk management strategies under the Basel Accord
    by McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio
  • 2013 The predictability of opening returns for the returns of the trading day: Evidence from Taiwan futures market
    by Chen, Chun-nan
  • 2013 The quality of securities firms' earnings forecasts and stock recommendations: Do informational advantages, reputation and experience matter in China?
    by Bartholdy, Jan & Feng, Tiyi
  • 2013 The benefit of modeling jumps in realized volatility for risk prediction: Evidence from Chinese mainland stocks
    by Liao, Yin
  • 2013 Can US economic variables predict the Chinese stock market?
    by Goh, Jeremy C. & Jiang, Fuwei & Tu, Jun & Wang, Yuchen
  • 2013 Can we treat empirical regularities as state variables in the ICAPM? Evidence from Australia
    by Docherty, Paul & Chan, Howard & Easton, Steve
  • 2013 GFC-robust risk management under the Basel Accord using extreme value methodologies
    by Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio & Santos, Paulo Araújo
  • 2013 Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures
    by Casarin, Roberto & Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio
  • 2013 Currency hedging strategies using dynamic multivariate GARCH
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  • 2013 Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach
    by Aloui, Riadh & Ben Aïssa, Mohamed Safouane & Nguyen, Duc Khuong
  • 2013 A new approach to predicting analyst forecast errors: Do investors overweight analyst forecasts?
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  • 2013 Time-series momentum as an intra- and inter-industry effect: Implications for market efficiency
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  • 2013 A network model of financial system resilience
    by Anand, Kartik & Gai, Prasanna & Kapadia, Sujit & Brennan, Simon & Willison, Matthew
  • 2013 Corporate social responsibility and earnings forecasting unbiasedness
    by Becchetti, Leonardo & Ciciretti, Rocco & Giovannelli, Alessandro
  • 2013 Are extreme returns priced in the stock market? European evidence
    by Annaert, Jan & De Ceuster, Marc & Verstegen, Kurt
  • 2013 Predicting bear and bull stock markets with dynamic binary time series models
    by Nyberg, Henri
  • 2013 Testing the expectations hypothesis of the term structure with permanent-transitory component models
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  • 2013 Return sign forecasts based on conditional risk: Evidence from the UK stock market index
    by Chevapatrakul, Thanaset
  • 2013 CVaR sensitivity with respect to tail thickness
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  • 2013 Forecasting the size premium over different time horizons
    by Zakamulin, Valeriy
  • 2013 Do star analysts know more firm-specific information? Evidence from China
    by Xu, Nianhang & Chan, Kam C. & Jiang, Xuanyu & Yi, Zhihong
  • 2013 Forecasting metal prices: Do forecasters herd?
    by Pierdzioch, Christian & Rülke, Jan-Christoph & Stadtmann, Georg
  • 2013 The Federal Reserve’s balance sheet and overnight interest rates: Empirical modeling of exit strategies
    by Marquez, Jaime & Morse, Ari & Schlusche, Bernd
  • 2013 Market capitalization and Value-at-Risk
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    by Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo
  • 2013 Economic valuation of liquidity timing
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  • 2013 Forecasting EUR–USD implied volatility: The case of intraday data
    by Dunis, Christian & Kellard, Neil M. & Snaith, Stuart
  • 2013 Front-running of mutual fund fire-sales
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  • 2013 Predicting forecast errors through joint observation of earnings and revenue forecasts
    by Henderson, Brian J. & Marks, Joseph M.
  • 2013 An analysis of commodity markets: What gain for investors?
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  • 2013 Insured uncovered interest parity
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  • 2013 Assessing the profitability of intraday opening range breakout strategies
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  • 2013 Forecasting VaR using analytic higher moments for GARCH processes
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  • 2013 Testing for financial crashes using the Log Periodic Power Law model
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  • 2013 Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence
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  • 2013 Differential default risk among traditional and non-traditional mortgage products and capital adequacy standards
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  • 2013 The output gap and stock returns: Do cyclical fluctuations predict portfolio returns?
    by Vivian, Andrew & Wohar, Mark E.
  • 2013 Forecasting carbon futures volatility using GARCH models with energy volatilities
    by Byun, Suk Joon & Cho, Hangjun
  • 2013 Filtering and forecasting commodity futures prices under an HMM framework
    by Date, Paresh & Mamon, Rogemar & Tenyakov, Anton
  • 2013 Modeling and forecasting the volatility of petroleum futures prices
    by Kang, Sang Hoon & Yoon, Seong-Min
  • 2013 Modeling the relationship between European carbon permits and certified emission reductions
    by Koop, Gary & Tole, Lise
  • 2013 Risk spillovers in international equity portfolios
    by Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo
  • 2013 Volatility timing: How best to forecast portfolio exposures
    by Clements, A. & Silvennoinen, A.
  • 2013 An intra-week efficiency analysis of bookie-quoted NFL betting lines in NYC
    by Miller, Thomas W. & Rapach, David E.
  • 2013 Multi-period credit default prediction with time-varying covariates
    by Orth, Walter
  • 2013 Monetary policy regimes and the term structure of interest rates
    by Bikbov, Ruslan & Chernov, Mikhail
  • 2013 Stable mixture GARCH models
    by Broda, Simon A. & Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C.
  • 2013 Linear and nonlinear regression with stable errors
    by Nolan, John P. & Ojeda-Revah, Diana
  • 2013 Perpetual learning and stock return predictability
    by Zhu, Xiaoneng
  • 2013 Financial markets forecasts revisited: Are they rational, stubborn or jumpy?
    by Fujiwara, Ippei & Ichiue, Hibiki & Nakazono, Yoshiyuki & Shigemi, Yosuke
  • 2013 Forecasting volatility with the realized range in the presence of noise and non-trading
    by Bannouh, Karim & Martens, Martin & van Dijk, Dick
  • 2013 Arbitrage-free implied volatility surfaces for options on single stock futures
    by Kotzé, Antonie & Labuschagne, Coenraad C.A. & Nair, Merell L. & Padayachi, Nadine
  • 2013 Has the Basel Accord improved risk management during the global financial crisis?
    by McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio
  • 2013 Conditional correlations and volatility spillovers between crude oil and stock index returns
    by Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai
  • 2013 Detecting sudden changes in volatility estimated from high, low and closing prices
    by Kumar, Dilip & Maheswaran, S.
  • 2013 Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process
    by Degiannakis, Stavros & Livada, Alexandra
  • 2013 Strategy switching in the Japanese stock market
    by Yamamoto, Ryuichi & Hirata, Hideaki
  • 2013 Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market in India
    by Matloob Ullah Khan & Ambrish Gupta & Sadaf Siraj
  • 2013 The Determinants of Stock Market Index: VAR Approach to Turkish Stock Market
    by Esref Savas BASCI & Süleyman Serdar KARACA
  • 2013 Financial Analysis, Budgeting, Decision and Control
    by Mariana Rodica TIRLEA
  • 2013 Non Linear Analysis of S&P Index
    by Michael Hanias, Lykourgos Magafas, P. Konstantaki
  • 2013 Fractal Analysis of Financial Time Series Using Fractal Dimension and Pointwise Hölder Exponents
    by Agnieszka Kapecka
  • 2013 Diseño metodológico de la evaluación de proyectos energéticos bajo incertidumbre en precios: caso de cogeneración de energía en una empresa en Cali
    by Carlos Andrés Núñez Viveros & Gabriel José Gallego Hidalgo & Guillermo Buenaventura Vera
  • 2013 Estimación de la utilidad en riesgo de una empresa de transmisión de energía eléctrica considerando variables económicas
    by Santiago Medina Hurtado & Jorge Aníbal Restrepo Morales
  • 2013 Increasing Compliance Through Efficient Public Campaigns
    by Ilie BANU & Sorin TERCHILĂ & Ioana-Mădălina BANU (BUTIUC)
  • 2013 Modelo de negocios de las Pyme: Un análisis de sus manejos financieros
    by Víctor Manuel Molina Morejón & Lourdes J. García Hernández & Valeria Viridiana Salas Jaramillo
  • 2013 Market microstructure design and flash crashes: A simulation approach
    by Paul Brewer & Jaksa Cvitanic & Charles R. Plott
  • 2013 Long-Term Returns: a Reality Check for Pension Funds and Retirement Savers
    by Richard Guay & Laurence Allaire
  • 2013 Alternative Models Of Financing Regional Development
    by Cristina, GRADEA
  • 2013 The Impact of Macroeconomic Factors on Futures Contracts: An Application on Turkdex
    by Hasibe OZGUMUS & Turhan KORKMAZ & Emrah Ismail CEVIK
  • 2013 Problems and perspectives of fiscal sector in Bulgaria (English)
    by Emil Kalchev
  • 2013 Problems and perspectives of fiscal sector in Bulgaria (Bulgarian)
    by Emil Kalchev
  • 2013 Arbitragem Estatística, Estratégia Long-Short Pairs Trading, Abordagem com Cointegração Aplicada ao Mercado de Ações Brasileiro
    by João F. Caldeira
  • 2013 Examination of Relationship Between Stock Returns and Factors Affecting Capital Structure and Financial Ratios with ANFIS Method: An Application on ISE 100 Index
    by Nevin Yoruk & S. Serdar Karaca & Mahmut Hekim & İsmail Tuna
  • 2013 Using The Capm Model To Estimate The Profitability Of A Financial Instrument Portfolio
    by Madalina - Gabriela Anghel & Liliana (Dinca) Paschia
  • 2013 Financial liquidity analysis of CSR based Capital Group Zywiec SA
    by Aleksandra Gasior
  • 2012 A risk-based risk finance paradigm
    by Gao, Siwei & Powers, Michael R. & Chapman, Zaneta A.
  • 2012 How Homogeneous Diversification in Balanced Investment Funds Affects Portfolio and Systemic Risk
    by Ciciretti, Rocco & Corvino, Raffaele
  • 2012 Sum of Perpetuities Method for Valuing Stock Prices
    by Christian Brown & Fred Abraham
  • 2012 Prognosen von Metallpreisen: Asymmetrische Verlustfunktionen und Rationalität
    by Christian Pierdzioch & Jan-Christoph Rülke & Georg Stadtmann
  • 2012 Mehrperiodenausfallprognose eines Bankportfolios aus deutschen mittelständischen Unternehmen
    by Marcus Wolter & Daniel Rösch
  • 2012 En busca de un buen marco de referencia predictivo para la inflación en Chile
    by Pincheira, Pablo & García, Álvaro
  • 2012 Multi-Asset Portfolio Optimization and Out-of-Sample Performance: An Evaluation of Black-Litterman, Mean Variance and Naïve Diversification Approaches
    by Wolff, Dominik & Bessler, Wolfgang & Opfer, Heiko
  • 2012 Published stock recommendations as institutional investor sentiment in the near-term stock market
    by Singer, Nico & Dreher, Frank & Laser, Saskia
  • 2012 Forecasting metal prices: Do forecasters herd?
    by Pierdzioch, Christian & Rülke, Jan-Christoph & Stadtmann, Georg
  • 2012 On the dark side of the market: Identifying and analyzing hidden order placements
    by Hautsch, Nikolaus & Huang, Ruihong
  • 2012 Multivariate wishart stochastic volatility and changes in regime
    by Gribisch, Bastian
  • 2012 Intra-daily volatility spillovers between the US and German stock markets
    by Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman
  • 2012 GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study
    by Pierre Chausse & Dinghai Xu
  • 2012 Tactical allocation in falling stocks: Combining momentum and solvency ratio signals
    by Piotr Arendarski
  • 2012 Estimating the Final Size of an Online User Base
    by Steven Lim
  • 2012 Backward/forward optimal combination of performance measures for equity screening
    by Monica Billio & Massimiliano Caporin & Michele Costola
  • 2012 Efficient Gibbs Sampling for Markov Switching GARCH Models
    by Monica Billio & Roberto Casarin & Anthony Osuntuyi
  • 2012 Extreme Downside Liquidity Risk
    by Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian
  • 2012 In Search of Cushion? Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide
    by Weigert, Florian
  • 2012 Risk Spillovers in International Equity Portfolios
    by Bonato, Mateo & Caporin, Massimiliano & Ranaldo, Angelo
  • 2012 On the Predictability of Stock Prices: a Case for High and Low Prices
    by Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo
  • 2012 Estimating Implied Recovery Rates from the Term Structure of CDS Spreads
    by Marcin Jaskowski & Michael McAleer
  • 2012 Has the Basel Accord Improved Risk Management During the Global Financial Crisis?
    by Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez Amaral
  • 2012 Currency Hedging Strategies Using Dynamic Multivariate GARCH
    by Chia-Lin Chang & Lydia González-Serrano & Juan-Ángel Jiménez-Martín
  • 2012 After Ten Years of the Russian Crisis, How Might IMF Intervention Be Evaluated?
    by Malgorzata Sulimierska
  • 2012 Risk spillovers in international equity portfolios
    by Matteo Bonato & Massimiliano Caporin & Angelo Ranaldo
  • 2012 Corporate Social Responsibility and Earnings Forecasting Unbiasedness
    by Leonardo Becchetti & Rocco Ciciretti & Alessandro Giovannelli
  • 2012 Directional forecasting in financial time series using support vector machines: The USD/Euro exchange rate
    by Plakandaras, Vasilios & Papadimitriou, Theophilos & Gogas, Periklis
  • 2012 Dependência De Longo Prazo Em Retornos Accionistas: Modelação E Evidência Empírica Internacional
    by Gomes, Luís & Soares, Vasco
  • 2012 Modelling Realized Covariances and Returns
    by Xin Jin & John M. Maheu
  • 2012 The Real Output Costs of Financial Crisis: A Loss Distribution Approach
    by Kapp, Daniel & Vega, Marco
  • 2012 Forecasting multivariate volatility in larger dimensions: some practical issues
    by Adam E Clements & Ayesha Scott & Annastiina Silvennoinen
  • 2012 Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs
    by Huang, Huichou & MacDonald, Ronald & Zhao, Yang
  • 2012 The Application of GARCH Methods in Modeling Volatility Using Sector Indices from the Egyptian Exchange
    by Ezzat, Hassan
  • 2012 High Frequency Trading and the Warsaw Stock Exchange Fees' Structure - Preliminary Examination
    by Bławat, Bogusław
  • 2012 Variance ratios, structural breaks and nonrandom walk behaviour in the Indian stock returns
    by Hiremath, Gourishankar S & Bandi, Kamaiah
  • 2012 Evaluating A Business Intelligence Solution. Feasibility Analysis Based On Monte Carlo Method
    by Muntean, Mihaela & Muntean, Cornelia
  • 2012 Estratégia Contrária e Efeito Liquidez no Brasil: Uma Análise Econométrica
    by Saturnino, Odilon & Saturnino, Valéria & Gois de Oliveira, Marcos Roberto & Lucena, Pierre & Araújo, Luiz Fernando
  • 2012 Comparative study of static and dynamic neural network models for nonlinear time series forecasting
    by Abounoori, Abbas Ali & Mohammadali, Hanieh & Gandali Alikhani, Nadiya & Naderi, Esmaeil
  • 2012 Incentive-Compatible Sukuk Musharakah for Private Sector Funding
    by Diaw, Abdou & Bacha, Obiyathulla Ismath & Lahsasna, Ahcene
  • 2012 To what extent are financial crises comparable and thus predictable?
    by Diamondopoulos, John
  • 2012 Estimando o VaR (Value-at-Risk) de carteiras via modelos da família GARCH e via Simulação de Monte Carlo
    by Lúcio Godeiro, Lucas
  • 2012 Real Output Costs of Financial Crises: a Loss Distribution Approach
    by Daniel Kapp & Marco Vega
  • 2012 Building Castles in the Air: Evidence from Industry IPO Waves
    by Zhi Da & Ravi Jagannathan & Jianfeng Shen
  • 2012 Factor Model Forecasts of Exchange Rates
    by Charles Engel & Nelson C. Mark & Kenneth D. West
  • 2012 Econometric Analysis of Present Value Models When the Discount Factor Is near One
    by Kenneth D. West
  • 2012 Continuous-Time Linear Models
    by John H. Cochrane
  • 2012 Can we beat the random walk in forecasting CEE exchange rates?
    by Jakub Muck & Pawel Skrzypczynski
  • 2012 Price-Volume Relations in Financial Market
    by Weihong HUANG & Wanying Wang
  • 2012 Alternative Modeling for Long Term Risk
    by Dominique Guegan & Xin Zhao
  • 2012 Prévoir sans persistance
    by Christophe Boucher & Bertrand Maillet
  • 2012 Estimating implied recovery rates from the term structure of CDS spreads
    by Marcin Jaskowski & Michael McAleer
  • 2012 Has the Basel Accord Improved Risk Management During the Global Financial Crisis?
    by Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral
  • 2012 Do changes in distance-to-default anticipate changes in the credit rating?
    by Nidhi Aggarwal & Manish Singh & Susan Thomas
  • 2012 Agent-based risk management - A regulatory approach to financial markets
    by Thomas Theobald
  • 2012 Financial Markets Forecasts Revisited: Are they Rational, Herding or Bold?
    by Ippei Fujiwara & Hibiki Ichiue & Yoshiyuki Nakazono & Yosuke Shigemi
  • 2012 Some Comments on a Macro-Finance Model with Stochastic Volatility
    by Márcio Laurini & João Frois Caldeira
  • 2012 A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models
    by Márcio Laurini
  • 2012 Can the market forecast the weather better than meteorologists?
    by Matthias Ritter & & &
  • 2012 Implied Basket Correlation Dynamics
    by Wolfgang Karl Härdle & Elena Silyakova & &
  • 2012 Local Adaptive Multiplicative Error Models for High-Frequency Forecasts
    by Wolfgang Karl Härdle & Nikolaus Hautsch & Andrija Mihoci
  • 2012 On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements
    by Nikolaus Hautsch & Ruihong Huang
  • 2012 Does Basel II Pillar 3 Risk Exposure Data help to Identify Risky Banks?
    by Ralf Sabiwalsky
  • 2012 Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility
    by Peter Reinhard Hansen & Asger Lunde & Valeri Voev
  • 2012 Occurrence of long and short term asymmetry in stock market volatilities
    by Lönnbark, Carl
  • 2012 Assessing the profitability of intraday opening range breakout strategies
    by Holmberg, Ulf & Lönnbark, Carl & Lundström, Christian
  • 2012 Modelling the impact of aggregate financial shocks external to the Chinese economy
    by Qin, Duo & He, Xinhua
  • 2012 Nonparametric prediction of stock returns with generated bond yields
    by Michael Scholz & Stefan Sperlich & Jens Perch Nielsen
  • 2012 Nonparametric prediction of stock returns guided by prior knowledge
    by Michael Scholz & Jens Perch Nielsen & Stefan Sperlich
  • 2012 Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility
    by Peter Reinhard Hansen & Asger Lunde & Valeri Voev
  • 2012 Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading
    by Bannouh, K. & Martens, M.P.E. & van Dijk, D.J.C.
  • 2012 Has the Basel Accord Improved Risk Management During the Global Financial Crisis?
    by McAleer, M.J. & Jimenez-Martin, J-A. & Perez-Amaral, T.
  • 2012 Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction
    by Yin Liao
  • 2012 Innovative Approaches to Managing Longevity Risk in Asia : Lessons from the West
    by Amlan Roy
  • 2012 Innovative Approaches to Managing Longevity Risk in Asia : Lessons from the West
    by Amlan Roy
  • 2012 Innovative Approaches to Managing Longevity Risk in Asia : Lessons from the West
    by Amlan Roy
  • 2012 Innovative Approaches to Managing Longevity Risk in Asia : Lessons from the West
    by Amlan Roy
  • 2012 The optimal size of the European Stability Mechanism: A cost-benefit analysis
    by Daniel Kapp
  • 2012 Forecasting Interest Rates with Shifting Endpoints
    by Dick van Dijk & Siem Jan Koopman & Michel van der Wel & Jonathan H. Wright
  • 2012 What drives the Quotes of Earnings Forecasters?
    by Bert de Bruijn & Philip Hans Franses
  • 2012 Volatility Strategies for Global and Country Specific European Investors
    by Signori, Ombretta & Malongo, Hassan & Fermanian, Jean-David & Brière, Marie
  • 2012 Estimating fund manager fees using option pricing model
    by Najar, Dorra
  • 2012 Estimación dinámica de una estructura de tasas de interés para Colombia: análisis empírico con filtros de Kalman
    by Rogelio Maldonado Castaño & Natalia Zapata Rueda & Javier Orlando Pantoja Robayo
  • 2012 Estimating financial institutions´ intraday liquidity risk: a Monte Carlo simulation approach
    by Carlos Léon
  • 2012 Contagion Risk in the Czech Financial System: A Network Analysis and Simulation Approach
    by Vaclav Hausenblas & Ivana Kubicova & Jitka Lesanovska
  • 2012 To buy or not to buy? The value of contradictory analyst signals
    by Jan Klobucnik & Daniel Kreutzmann & Soenke Sievers & Stefan Kanne
  • 2012 Risk Management and Financial Derivatives: An Overview
    by Shawkat Hammoudeh & Michael McAleer
  • 2012 Mean-Variance versus 1/N: What if we can forecast? (Updated 22nd December 2013)
    by Allen, D. & Lizieri, C. & Satchell, S.
  • 2012 EGARCH models with fat tails, skewness and leverage
    by Harvey, A. & Sucarrat, G.
  • 2012 A network model of financial system resilience
    by Anand, Kartik & Gai, Prasanna & Kapadia, Sujit & Brennan, Simon & Willison, Matthew
  • 2012 Oil price density forecasts: Exploring the linkages with stock markets
    by Francesco Ravazzolo & Marco J. Lombardi
  • 2012 Oil price density forecasts: exploring the linkages with stock markets
    by Marco J. Lombardi & Francesco Ravazzolo
  • 2012 Using Merton model: an empirical assessment of alternatives
    by Zvika Afik & Ohad Arad & Koresh Galil
  • 2012 Shock on Variable or Shock on Distribution with Application to Stress-Tests
    by Dubecq, S. & Gourieroux, C.
  • 2012 What role, if any, can market discipline play in supporting macroprudential policy?
    by María J. Nieto
  • 2012 Are extreme returns priced in the stock market? European evidence
    by ANNAERT, Jan & DE CEUSTER, Marc & VERSTEGEN, Kurt
  • 2012 SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence
    by Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza
  • 2012 Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics
    by Peter Reinhard Hansen & Allan Timmermann
  • 2012 Choice of Sample Split in Out-of-Sample Forecast Evaluation
    by Peter Reinhard Hansen & Allan Timmermann
  • 2012 Evolution of Shares Market Price During the Company’s Financial Results Announcement. Event Study Approach
    by Marianna BOTIKA
  • 2012 A Multifractal Model of Asset Returns in the Context of the New Economy Paradigm
    by Diana DEZSI & Emil SCARLAT
  • 2012 The Effect Of Accruals On Security Analysts’ Target Price Forecast Performance
    by Cho JOONG-SEOK
  • 2012 The Applicability Of Artificial Neural Network Method Upon Prediction Of Rate Of Stock Return: Example Of 2008 Financial Crisis
    by Süleyman Serdar KARACA & Hatice Neriman BAŞDEMİR
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    by Assoc. Prof. Dalia Simion Ph. D, Assoc. Prof. Elena Tob Ph. D, Asist. Sabin Armelu Ph. D Student
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  • 2010 Modelling Realized Covariances and Returns
    by Xin Jin & John M Maheu
  • 2010 Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market
    by Chun Liu & John M Maheu
  • 2010 Portfolio Optimization for Power Plants: The Impact of Credit Risk Mitigation and Margining
    by Lang, Joachim & Madlener, Reinhard
  • 2010 Responding to the Global Financial and Economic Crisis: Meeting the Challenges in Asia
    by Arner, Douglas & Schou-Zibell, Lotte
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    by Roxana Chiriac & Winfried Pohlmeier
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  • 2010 Long Memory in Stock Market Volatility:Evidence from India
    by Hiremath, Gourishankar S & Bandi, Kamaiah
  • 2010 Some Further Evidence on the Behaviour of Stock Returns in India
    by Hiremath, Gourishankar S & Bandi, Kamaiah
  • 2010 Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options
    by Massimiliano Caporin & Juliusz Pres' & Hipolit Torro
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    by Janine Aron & John Muellbauer
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    by Travis J. Berge & Òscar Jordà & Alan M. Taylor
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    by Jules H. van Binsbergen & Ralph S.J. Koijen
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  • 2010 Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
    by Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat
  • 2010 Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models
    by Massimiliano Caporin & Michael McAleer
  • 2010 GFC-Robust Risk Management Strategies under the Basel Accord
    by Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral
  • 2010 Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns
    by Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat
  • 2010 Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets
    by Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat
  • 2010 Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
    by Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat
  • 2010 Meteorological forecasts and the pricing of weather derivatives
    by Matthias Ritter & Oliver Mußhoff & Martin Odening
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    by Pavel Trunin
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    by Jesús Crespo Cuaresma & Adam Gersl & Tomáš Slačík
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    by Boril Šopov & Jakub Seidler
  • 2010 GFC-Robust Risk Management Strategies under the Basel Accord
    by McAleer, M.J. & Jimenez-Martin, J-A. & Perez-Amaral, T.
  • 2010 Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets
    by Chang, C. & McAleer, M.J. & Tansuchat, R.
  • 2010 Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
    by Tansuchat, R. & Chang, C-L. & McAleer, M.J.
  • 2010 Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
    by Tansuchat, R. & Chang, C-L. & McAleer, M.J.
  • 2010 Credit risk model for the Estonian banking sector
    by Rasmus Kattai
  • 2010 Global Financial Crisis, Extreme Interdependences, and Contagion E§ects: The Role of Economic Structure
    by Riadh Aloui & Mohamed Safouane Ben Aissa & Khuong Nguyen Duc
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  • 2010 Price and Transaction Volume in the Dutch Housing Market
    by Erik R. de Wit & Peter Englund & Marc Francke
  • 2010 Exponential conditional volatility models
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    by Thorsten Lehnert & Bart Frijns & Remco C.J. Zwinkels
  • 2010 Modelling structural changes in the volatility process
    by Thorsten Lehnert & Bart Frijns & Remco C.J. Zwinkels
  • 2010 Modelling structural changes in the volatility process
    by Thorsten Lehnert & Bart Frijns & Remco C.J. Zwinkels
  • 2010 Modelling and Forecasting UK Mortgage Arrears and Possessions
    by Aron, Janine & Muellbauer, John
  • 2010 Improving Portfolio Selection Using Option-Implied Volatility and Skewness
    by DeMiguel, Victor & Plyakha, Yuliya & Uppal, Raman & Vilkov, Grigory
  • 2010 Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability
    by Aiolfi, Marco & Rodriguez, Marius & Timmermann, Allan G
  • 2010 Análisis de la exposición al riesgo del Efectivo Generado por la Operación (EGO) bajo incertidumbre macroeconómica y de mercado
    by Hernán Herrera Echeverry
  • 2010 Do Financial Variables Help Predict Macroeconomic Environment? The Case of the Czech Republic
    by Tomas Havranek & Roman Horvath & Jakub Mateju
  • 2010 Predicting bank loan recovery rates with neural networks
    by Joao A. Bastos
  • 2010 Taming Manias: On the Origins, Inevitability, Prediction and Regulation of Bubbles and Crashes
    by Jeffrey SATINOVER & Didier SORNETTE
  • 2010 Modelling and Forecasting UK Mortgage Arrears and Possessions
    by Janine Aron & John Muellbauer
  • 2010 GFC-Robust Risk Management Strategies under the Basel Accord
    by Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral
  • 2010 Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns
    by Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat
  • 2010 Analyzing and Forecasting Volatility Spillovers, Asymmetries and Hedging in Major Oil Markets
    by Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat
  • 2010 Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models
    by Massimiliano Caporin & Michael McAleer
  • 2010 Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
    by Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer
  • 2010 Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
    by Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer
  • 2010 Exponential Conditional Volatility Models
    by Harvey, A.
  • 2010 On the Difficulty of Measuring Forecasting Skill in Financial Markets
    by Satchell, S. & Williams, O.J.
  • 2010 Social Welfare Issues of Financial Literacy
    by Satchell, S. & Williams, O.J.
  • 2010 From Moments, Co-Moments and Mean-Variance weights to Copula Portfolio Allocation
    by Luca RICCETTI
  • 2010 Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps
    by Yin Liao & Heather Anderson & Farshid Vahid
  • 2010 Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility
    by Peter R. Hansen & Asger Lunde & Valeri Voev
  • 2010 Level Shifts in Volatility and the Implied-Realized Volatility Relation
    by Bent Jesper Christensen & Paolo Santucci de Magistris
  • 2010 A Comprehensive Look at Financial Volatility Prediction by Economic Variables
    by Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf
  • 2010 Predictable return distributions
    by Thomas Q. Pedersen
  • 2010 Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns
    by Leonidas Tsiaras
  • 2010 Smooth Transition Patterns in the Realized Stock Bond Correlation
    by Nektarios Aslanidis & Charlotte Christiansen
  • 2010 Pitfalls in VAR based return decompositions: A clarification
    by Tom Engsted & Thomas Q. Pedersen & Carsten Tanggaard
  • 2010 The Problem Of Money Illusion In Economics
    by Georg ERBER
  • 2010 Bubbles And Crashes In Finance: A Phase Transition From Random To Deterministic Behaviour In Prices
    by John FRY
  • 2010 Modelling And Forecasting Volatility Of East Asian Newly Industrialized Countries And Japan Stock Markets With Non-Linear Models
    by Francesco GUIDI
  • 2010 Forecasting The Romanian Financial System Stability Using A Stochastic Simulation Model
    by Albulescu, Claudiu Tiberiu
  • 2010 Bayesian Value-at-Risk for a Portfolio: Multi- and Univariate Approaches Using MSF-SBEKK Models
    by Jacek Osiewalski & Anna Pajor
  • 2010 Forecasting the Polish Zloty with Non-Linear Models
    by Michał Rubaszek & Paweł Skrzypczyński & Grzegorz Koloch
  • 2010 State-Run Investment Funds: Major Institutional Investors on Global Financial Markets
    by Petr Sedláček
  • 2010 A Comparative Analysis of the Options trading on the Romanian Capital Market and Central and Eastern Europe Emerging Capital Markets during the Global Financial Crisis
    by Ghita-Mitrescu Silvia & Duhnea Cristina & Vancea Diane Paula Corina
  • 2010 Evolution and Perspectives of the Romanian Economy Related to the Economic and Financial Crisis
    by Epure Danut Tiberius & Cusu Dorinela & Nancu Dumitru
  • 2010 Banking Problems In A.D. Xenopol'S Work
    by Stefanescu Florica
  • 2010 Financial Problems In A.D. Xenopol’S Work
    by STEFANESCU FLORICA
  • 2010 Chaos Or Turbulence On The Volatility Of Public Revenues
    by Bolos Marcel & Mosteanu Tatiana & Popovici Ioana
  • 2010 Could Markets Have Helped Predict the Puzzling Exchange Rate Path in CESEE Countries during the Current Crisis?
    by Jesús Crespo Cuaresma & Tomáš Slacík
  • 2010 The Influence of the Monetary Policy on the Investment Polilcy of the Firm
    by Iuliana Predescu & Mihai Aristotel Ungureanu & Stela Aurelia Toader & Antoniu Predescu
  • 2010 Would You Follow MM or a Profitable Trading Strategy?
    by Brian Baturevich, Gulnur Muradoglu
  • 2010 Yaz Saati Uygulamasi Anomalisinin IMKB 100 Endeks Getirisine Etkisinin Test Edilmesi
    by Turhan KORKMAZ & Ümit BASARAN & Emrah Ismail CEVIK
  • 2010 Finansal Kararlarin Verilmesinde Promethee Siralama Yöntemi
    by Göktug Cenk AKKAYA & Erhan DEMIRELI
  • 2010 The Need to Adapt to New Financial Accounting Technologies Information in the Context of Global Economic Crisis
    by Enrique BONSON-PONTE & Ioan ANDONE & Adrian LUPASC & Ioana LUPASC
  • 2010 Como Entender Los Estandares Internacionales De Informaciòn Financiera
    by Helio Fabio Ramirez Echeverry & Luis eduardo Suarez Balaguera
  • 2010 Las microfinanzas; ¿soluciòn para la financiaciòn de las mipymes y de las empresas de base universitaria?
    by Mario Ceballos
  • 2010 Predicciones de modelos econométricos y redes neuronales: el caso de la acción de SURAMINV
    by Jaime Enrique Arrieta Bechara & Juan Camilo Torres Cruz & Hermilson Velásquez Ceballos
  • 2010 Análisis de la distribución de las tasas de retorno accionarias haciendo uso de la distribución g y h de Tukey
    by Andrés Mauricio Mendoza Piñeros & José Alfredo Jiménez Moscoso
  • 2010 Preventive Detection of Economic Problems by means of Neuron Networks
    by Stanimir Kabaivanov
  • 2010 Possibilities to Study the Market Trend Fluctuations by Means of Indicators for Technical Analysis
    by Marin Marinov
  • 2010 Forecast of the Economic- Financial Performance Based on Diagnostic Analysis
    by Daniela Cristina Solomon & Simona Elena Dragomirescu
  • 2010 The Discriminant Analysis: an Exploratory Study Concerning the Degree of Financial Autonomy of Companies in the Context of the Romanian Business Environment
    by Marilena Mironiuc & Mihaela-Alina Robu & Ioan-Bogdan Robu
  • 2010 Efficient Yield Curve Estimation and Forecasting in Brazil
    by Ricardo Azevedo Araujo & Guilherme V. Moura & Marcelo S. Portugal
  • 2010 Linking Money Supply With The Gross Domestic Product In Romania
    by Daniela Zapodeanu & Mihail Ioan Cociuba
  • 2010 Accounting Knowledge: Decision Support In Forestry
    by Ph.D Student Postolache (Males) Daniela
  • 2010 Commercial Negotiations Optimization Under Competitiveness Increasing Within The Knowledge Based Economy
    by Ph.D. candidate Iamandi Gheorghe Bucur
  • 2010 Interdependence And Forecasting Of S&P500, Oil, Euro / Dollar And 10-Year U.S. Interest Rate Markets: An Attempt Of Modelling Through The Volatility
    by Ahmed KSAIER & Isabelle CRISTIANI-D’ORNANO
  • 2009 Forecasting Yield Curves Using Analyst's Views
    by Leonardo Nogueira
  • 2009 What Ties Return Volatilities to Price Valuations and Fundamentals?
    by Alexander David & Pietro Veronesi
  • 2009 The European Commission and EUA prices: a high-frequency analysis of the EC's decisions on second NAPs
    by Rotfuß, Waldemar & Conrad, Christian & Rittler, Daniel
  • 2009 Higher-order beliefs among professional stock market forecasters: some first empirical tests
    by Rangvid, Jesper & Schmeling, Maik & Schrimpf, Andreas
  • 2009 Fiscal stimulus and the promise of future spending cuts: A comment
    by Wieland, Volker
  • 2009 The market impact of a limit order
    by Hautsch, Nikolaus & Huang, Ruihong
  • 2009 Optimal Risk Management Before, During and After the 2008-09 Financial Crisis
    by Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral
  • 2009 What Happened to Risk Management During the 2008-09 Financial Crisis?
    by Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral
  • 2009 Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
    by Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral
  • 2009 Optimal Risk Management Before, During and After the 2008-09 Financial Crisis
    by Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Pérez-Amaral
  • 2009 A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk
    by Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral
  • 2009 Modelling Realized Covariances
    by Xin Jin & John M Maheu
  • 2009 Hedge funds strategies -are they consistent?
    by Ribeiro, Mafalda & Santos, C. Machado
  • 2009 Testing for periodically collapsing rational speculative bubbles in US REITs
    by Keith Anderson & Chris Brooks & Sotiris Tsolacos
  • 2009 On the economic benefit of utility based estimation of a volatility model
    by Adam Clements & Annastiina Silvennoinen
  • 2009 Economic crisis, its prospects and challenges for economic theory
    by Slavica Manic
  • 2009 The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself
    by Òscar Jordà & Alan M. Taylor
  • 2009 The stock market and aggregate employment
    by Long Chen & Lu Zhang
  • 2009 Inflation and the Stock Market:Understanding the "Fed Model"
    by Geert Bekaert & Eric Engstrom
  • 2009 The Superiority of Time-Varying Hedge Ratios in Turkish Futures
    by Onur Olgun & Ý. Hakan Yetkiner
  • 2009 Forecasting Romanian Financial System Stability using a Stochastic Simulation Model
    by Claudiu Tiberiu Albulescu
  • 2009 Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form
    by Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori & Sylvia Fruwirth-Scnatter
  • 2009 On economic evaluation of directional forecasts
    by Oliver Blaskowitz & Helmut Herwartz
  • 2009 The Market Impact of a Limit Order
    by Nikolaus Hautsch & Ruihong Huang
  • 2009 Combination of multivariate volatility forecasts
    by Alessandra Amendola & Giuseppe Storti
  • 2009 Localized Realized Volatility Modelling
    by Ying Chen & Wolfgang Härdle & Uta Pigorsch
  • 2009 Forecasting a Large Dimensional Covariance Matrix of a Portfolio of Different Asset Classes
    by Lillie Lam & Laurence Fung & Ip-wing Yu
  • 2009 On risk prediction
    by Lönnbark, Carl
  • 2009 Modelling Asymmetric Dependence Using Copula Functions: An application to Value-at-Risk in the Energy Sector
    by Andrea Bastianin
  • 2009 It Pays to Violate: How Effective are the Basel Accord Penalties?
    by da Veiga, B. & Chan, F. & McAleer, M.J.
  • 2009 Forecasting Realized Volatility with Linear and Nonlinear Models
    by McAleer, M.J. & Medeiros, M.C.
  • 2009 Modelling conditional correlations in the volatility of Asian rubber spot and futures returns
    by Khamkaew, T. & Tansuchat, R. & Chang, C-L. & McAleer, M.J.
  • 2009 What Happened to Risk Management During the 2008-09 Financial Crisis?
    by McAleer, M.J. & Jimenez-Martin, J-A. & Perez-Amaral, T.
  • 2009 Forecasting volatility and spillovers in crude oil spot, forward and future markets
    by Chang, C-L. & McAleer, M.J. & Tansuchat, R.
  • 2009 Modelling conditional correlations for risk diversification in crude oil markets
    by Chang, C-L. & McAleer, M.J. & Tansuchat, R.
  • 2009 Predicting Betas: Two new methods
    by Tusell Palmer, Fernando Jorge & Esteban González, María Victoria
  • 2009 Forecasting Realized Volatility Using A Nonnegative Semiparametric Model
    by Daniel Preve & Anders Eriksson & Jun Yu
  • 2009 Volatility under Bounded Rationality
    by Nhat Le
  • 2009 Information Flows around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns
    by Jan G. de Gooijer & Cees G.H. Diks & Lukasz T. Gatarek
  • 2009 Coexistence and Dynamics of Overconfidence and Strategic Incentives
    by Bosquet, K. & Goeij, P. C. de & Smedts, K.
  • 2009 Automated financial multi-path GETS modelling
    by Genaro Sucarrat & Alvaro Escribano
  • 2009 A Volatility Targeting GARCH model with Time-Varying Coefficients
    by Thorsten Lehnert & Bart Frijns & Remco Zwinkels
  • 2009 A Volatility Targeting GARCH model with Time-Varying Coefficients
    by Thorsten Lehnert & Bart Frijns & Remco Zwinkels
  • 2009 A Volatility Targeting GARCH model with Time-Varying Coefficients
    by Thorsten Lehnert & Bart Frijns & Remco Zwinkels
  • 2009 The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself
    by Jordà, Òscar & Taylor, Alan M.
  • 2009 Testing Asymmetric-Information Asset Pricing Models
    by Kelly, Bryan & Ljungqvist, Alexander P.
  • 2009 Proyeccion de la tasa de cambio de Colombia bajo condiciones de PPA: evidencia empirica y demostracion econometrica mediante VAR
    by Catherine Fayad & Roberto Fortich & Ignacio Velez-Pareja
  • 2009 Forecasting bank loans loss-given-default
    by Joao A. Bastos
  • 2009 A Consistent Model of ‘Explosive’Financial Bubbles With Mean-Reversing Residuals
    by Li LIN & Ruo En REN & Didier SORNETTE
  • 2009 Predicting Securitized Real Estate Returns: Financial and Real Estate Factors vs. Economic Variables
    by Camilo SERRANO & Martin HOESLI
  • 2009 Bayesian Extreme Value Mixture Modelling for Estimating VaR
    by Xin Zhao & Carl John Scarrott & Marco Reale & Les Oxley
  • 2009 Extreme Value GARCH modelling with Bayesian Inference
    by Les Oxley & Marco Reale & Carl Scarrott & Xin Zhao
  • 2009 An alternative methodological approach to assess the predictive performance of the moving average trading rule in financial markets: application to the london stock exchange
    by Alexandros E. Milionis & Evangelia Papanagiotou
  • 2009 Econometric Analysis of Financial Data in Risk Management
    by Fantazzini , Dean
  • 2009 Credit Risk Management (Cont.)
    by Fantazzini , Dean
  • 2009 Methodological Approaches In Realizing And Applying Cost-Benefit Analysis For The Investment Projects
    by Munteanu Valentin & Pantea Marius & Pelin Andrei & Gligor Delia
  • 2009 The Effect of Macroeconomic Factors on Indian Share Prices: A Sectoral Approach
    by Guntur Anjana Raju & Harip Khanapuri
  • 2009 Forecasting The Exchange Rate Series With Ann: The Case Of Turkey
    by Cem Kadilar & Muammer Simsek & Cagdas Hakan Aladag
  • 2009 Do the Chinese Bourses (Stock Markets) Predict Economic Growth?
    by Jeffrey E. Jarrett & Xia Pan & Shaw Chen
  • 2009 Exchange Rate And Its Impact On Foreign Economic Activity
    by Boris KHOLOD & Alexei ZADOIA
  • 2009 Sermaye Yapisini Etkileyen Firmaya Ozgu Faktorlerin Analizi: IMKB Hizmet Firmalari Uzerine Bir Uygulama
    by Dilek Demirhan
  • 2009 Proyección De La Tasa De Cambio De Colombia Bajo Condiciones De Ppa: Evidencia Empírica Usando Var
    by CATHERINE FAYAD HERNÁNDEZ & ROBERTO CARLOS FORTICH MESA & IGNACIO VÉLEZ - PAREJA
  • 2009 ¿Qué Tan Buenos Son Los Patrones Del Igbc Para Predecir Su Comportamiento?
    by JULIO CÉSAR ALONSO & JUAN CARLOS GARCÍA
  • 2009 Long Term Financing Decision at the Level of Companies
    by Dobrota Gabriela & Chirculescu Maria Felicia
  • 2009 Macro stress tests and crises: what can we learn?
    by Rodrigo Alfaro & Mathias Drehmann
  • 2009 Volatility Spillover Effect from Volatility Implied Index to Emerging Markets
    by Turhan Korkmaz & Emrah Ismail Çevik
  • 2009 Hedge fund and market risk: new concepts and models, beyond VaR
    by Maria Debora Braga
  • 2009 Testing The Efficiency Market Hypothesis For The Romanian Stock Market
    by Bogdan Dima & Laura Raisa Milos
  • 2009 Impact Of Financial Crisis On Developing Countries
    by Ph.D Luminita Horhota, & Ph.D Cristina Nicoleta Matei
  • 2009 The financial information's vulnerability
    by Horia CRISTEA
  • 2008 Can earnings forecast be improved by taking into account the forecast bias?
    by Lardic, Sandrine & Dossou, François & Michalon, Karine
  • 2008 Term Structure Of Interest Rates Analysis In The Spanish Market
    by Barberà Mariné, M.G. & Garbajosa Cabello, M.J. & Guercio, M.B.
  • 2008 Technical Analysis and Nonlinear Dynamics
    by Salazar Soares, Vasco
  • 2008 Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole
    by Miguel A. Ferreira & Pedro Santa-Clara
  • 2008 A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings
    by Roman Frydman & Michael D. Goldberg & Søren Johansen & Katarina Juselius
  • 2008 Testing directional forecast value in the presence of serial correlation
    by Oliver Blaskowitz & Helmut Herwartz
  • 2008 Do Macroeconomic Variables Forecast Changes in Liquidity? An Out-of-sample Study on the Order-driven Stock Markets in Scandinavia
    by Söderberg, Jonas
  • 2008 Contagion as Domino Effect in Global Stock Markets
    by Markwat, T.D. & Kole, H.J.W.G. & van Dijk, D.J.C.
  • 2008 A decision rule to minimize daily capital charges in forecasting value-at-risk
    by McAleer, M.J. & Jimenez-Martin, J-A. & Perez-Amaral, T.
  • 2008 The ten commandments for optimizing value-at-risk and daily capital charges
    by McAleer, M.J.
  • 2008 Financial Market Integration Under EMU
    by Jappelli, Tullio & Pagano, Marco
  • 2008 Can research committees add value for investors. An analysis of Lehman Brothers Ten Uncommon Values recommendations
    by Groysberg, Boris & Healy, Paul & Gui, Yang
  • 2008 Credit Risk Management
    by Fantazzini, Dean
  • 2008 An Econometric Analysis of Financial Data in Risk Management
    by Fantazzini, Dean
  • 2008 Long Memory in Volatility. An Investigation on the Central and Eastern European Exchange Rates
    by Gabriel Bobeica & Elena Bojesteanu
  • 2008 Cost-Benefit Analysis – Economic Tool Used to Aid Decision-Making Regarding the Distribution of Public Funds
    by Lucian Buse & Marian Siminica & Daniel Circiumaru
  • 2008 CAMELS Rating System and Forecasting the Financial Failure in the Turkish Commercial Banking Sector
    by Murat Çinko & Emin Avci
  • 2008 Methodologic Elements Necessary In Making Forecasts For Regional
    by Timerman Dumitru & Deju Mihai
  • 2008 Tax competition – areas of display and efects
    by Mitu Narcis Eduard
  • 2008 The foreign direct investments in Romania – contradictories trends
    by Ana POPA
  • 2008 Modelling the Rand-Dollar Future Spot Rates: The Kalman Filter Approach
    by Lumengo Bonga-Bonga
  • 2007 THE VALUE OF e-CUSTOMER SATISFACTION TO INTERNET COMPANIES
    by Lozano, Carmen & Martínez, Soledad & Fuentes, Federico
  • 2007 Extending The Roughness Of The Data Via Transitive Closures Of Similarity Indexes
    by Bertran, F.X. & Clara, N. & Ferrer, J.C.
  • 2007 The Use Of Subtle Sets To Studying The Life’S Quality
    by Stoica, Marcel Dragos
  • 2007 Unification Point In Methods For The Selection Of Financial Products
    by Merigó Lindahl, J.M. & Gil Lafuente, A.M.
  • 2007 Qualitative Answering Surveys And Soft Computing
    by Morillas, Antonio & Díaz, Bárbara
  • 2007 Planning Business Activity Under Uncertainty
    by Kuznetsov, Leonid A. & Morozov, Andrew S.
  • 2007 Predictive gains from forecast combinations using time-varying model weights
    by Ravazzolo, F. & van Dijk, H.K. & Verbeek, M.J.C.M.
  • 2007 Financial Variables as Predictors of Real Output Growth
    by Anthony S. Tay
  • 2007 Calculation of Stationary Random Sequences Extreme Values Characteristics and their Application to Determination of the Volatility of Russian and Foreign Financial Indices and Estimation of the Investment Risk
    by Stikhova , Olga
  • 2007 Understanding and measuring liquidity risk
    by Andrea Resti & Andrea Sironi
  • 2007 Recent Evolutions On Romanian Capital Market
    by Sorin Tudor & Daniela Danciulescu
  • 2007 Foreign Direct Investment In Romania - Recent Trends
    by Laura Giurca Vasilescu
  • 2006 A Fuzzy Decision Support System To Identify Establishments With Low Paid Employees In The British Economy
    by Malcolm J. Beynon & Keith Whitfield
  • 2006 Fuzzy Logic Approach To Identification And Forecasting Of Financial Time Series Using Elliott Wave Theory
    by Andriy Matviychuk
  • 2006 Evaluation Of Iris Ratios Using ?-Cuts
    by Lazzari, Luisa L. & Fernández, María José
  • 2006 A Comparison Of K-Means And Fuzzy C-Means Using Background Knowledge
    by Goddard, J. & de los Cobos Silva, S.G. & Gutiérrez Andrade, M.A.
  • 2006 Economic Principle On Fuzzy Profit By Weighted Average Value
    by Facchinetti, Gisella & Pacchiarotti, Nicoletta
  • 2006 Evaluating The Total Costs Of Purchasing Via Probabilistic And Fuzzy Reasoning
    by Costantino, N. & Dotoli, M. & Falagario, M. & Fanti, M. P. & Iacobellis, G.
  • 2006 Modeling Imprecision And Subjectiveness For The Multiattribute Decisions
    by Luban, Florica
  • 2006 A Fuzzy Set Approach To Poverty Measurement
    by Caramuta, Diego M. & Contiggiani, Federico
  • 2006 Credit Card Application Assessment Using A Neuro-Fuzzy Classification System
    by Kitsios, E. & Doumpos, M. & Zopounidis, C.
  • 2006 Intellectual Support Of Small Firms’ Management
    by Kuznetsov, Leonid A.
  • 2006 Time series forecasting by principal covariate regression
    by Heij, C. & Groenen, P.J.F. & van Dijk, D.J.C.
  • 2006 Uso del indicador del retorno total del negocio como alternativa para optimizar la inversión en unidades de negocio en condiciones de incertidumbre
    by Hernán Herrera Echeverry
  • 2006 Evolutia Comertului International Si Cresterea Economica. Teorii Ale Comertului International
    by Ciurez Ecaterina Nicoleta
  • 2006 Modern Indicators Of Measuring A Firm’S Competitivity
    by Laura Giurca Vasilescu & Daniela Danciulescu
  • 2006 Assessment Of The Exchange Rate Volatility In New Eu Member States And Romania1
    by Daniel Stavárek
  • 2005 A Fuzzy Characterization Of Uncertainty In Financial Crises
    by Pazzi, Jorge & Tohmé, Fernando
  • 2005 New Product Ideas Screening Decision With Approximate Evaluations: Optimization Approach
    by Smimou, K. & Bhatt, S. K. & Dahl, D. W
  • 2005 Interval Weights In Ahp By Linear And Quadratic Programming
    by Entani, T. & Sugihara, K. & Tanaka, H.
  • 2005 Rbf Centers Initialization Using Fuzzy Clustering Technique For Function Approximation Problems
    by Guillén, A. & Rojas, I. & González, J. & Pomares, H. & Herrera, L.J.
  • 2005 Application Of Crisp And Fuzzy Goal Programming Models For Optimization Of Cropping Pattern In Haraz Sub-Basin In Iran
    by Asadpour, H. & Khalilian, S. & Peykani Gh. R.
  • 2004 The informational role of financial analysts: Interpreting public disclosures
    by Byard, Donal & Shaw, Kenneth
  • 2003 Predicting Customer Lifetime Value in Multi-Service Industries
    by Donkers, B. & Verhoef, P.C. & de Jong, M.G.
  • 2002 Effectiveness Of System Identification For Complex Systems By The Fuzzy Adaptive Gmdh
    by Tomonori Nishikawa & Shizue Shimizu & Masafumi Imai
  • 2002 Behavioristic Analysis And Comparative Evaluation Of Intelligent Methodologies For Short-Term Stock Price Forecasting
    by Koulouriotis, D.E. & Emiris, D.M. & Diakoulakis, I.E. & Zopounidis, C.
  • 2002 Artificial Intelligent Based Time Series Forecasting Of Stock Prices Using Digital Filters
    by Sfetsos, A. & Siriopoulos, C.
  • 2001 Debt: A Factor Of Both "Good" And "Bad" Stress During An Economic Recession: Evidence From France
    by Levasseur, Michel & Bodt, Eric De & Severin, Eric
  • 2001 Credit Derivatives in Managing Off Balance Sheet Risks by Banks
    by Cakir, Murat
  • 1998 Time Deformation: Definition and Comparisons
    by Le Fol, Gaëlle & Mercier, Ludovic
  • 1993 Bringing GATT into the Core
    by Carsten Kowalczyk & Tomas Sjostrom
  • 0000 Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
    by Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio P�rez-Amaral
  • Speculation and Hedging in the Currency Futures Markets: Are They Informative to the Spot Exchange Rates
    by Aaron Tornell & Chunming Yuan
  • Â The Validity of Models on the Information Content of Trades
    by  Leif Brandes &  Egon Franck &  Erwin Verbeek
  • From IMU to TASI: an estimate for Tuscany
    by Chiara Agnoletti & Chiara Bocci & Claudia Ferretti & Patrizia Lattarulo
  • 2012-14 Forecasting volatility of the ASEAN-5 stock markets: a nonlinear approach with non-normal errors
    by Francesco Guidi, Rakesh Gupta
  • An analysis of commodity markets: What gain for investors?
    by Paresh Kumar Narayan & Seema Narayan & Susan S Sharma
  • Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013
    by Oliver D. Bunn & Robert J. Shiller
  • Multivariate Asset Return Prediction with Mixture Models
    by Marc S. Paolella
  • Detecting Informed Trading Activities in the Options Markets
    by Marc CHESNEY & Remo CRAMERI & Loriano MANCINI
  • Stable Mixture GARCH Models
    by Simon A. BRODA & Markus HAAS & Jochen KRAUSE & Marc S. PAOLELLA & Sven C. STEUDE
  • Detecting Informed Trading Activities in the Options Markets: Appendix on Subprime Financial Crisis
    by Marc CHESNEY & Remo CRAMERI & Loriano MANCINI
  • Investment strategies used as spectroscopy of financial markets reveal new stylized facts
    by Wei-Xing ZHOU & Guo-Hua MU & Wei CHEN & Didier SORNETTE
  • Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model
    by Didier SORNETTE & Ryan Woodard & Wanfeng Yan & Wei-Xing Zhou
  • Role of diversification risk in financial bubbles
    by Wanfeng YAN & Ryan WOODARD & Didier SORNETTE
  • Predictive Power of Information Market Prices
    by Maria PUTINTSEVA
  • Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation
    by Alberto Plazzi & Walter N. Torous & Rossen I. Valkanov
  • The US stock market leads the Federal funds rate and Treasury bond yields
    by Kun GUO & Wei-Xing ZHOU & Si-Wei CHENG & Didier SORNETTE
  • Reverse Engineering Financial Markets with Majority and MinorityGames using Genetic Algorithms
    by Judith WIESINGER & Didier SORNETTE & Jeffrey SATINOVER
  • Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles
    by Zhi-Qiang JIANG & Wei-Xing ZHOU & Didier SORNETTE & Ryan WOODARD & Ken BASTIAENSEN & Peter CAUWELS
  • Dragon-Kings, Black Swans and the Prediction of Crises
    by Didier SORNETTE
  • Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis
    by Didier SORNETTE & Ryan WOODARD
  • Inferring Fundamental Value and Crash Nonlinearity from Bubble Calibration
    by Wanfeng YAN & Ryan WOODARD & Didier SORNETTE
  • Statistical Modeling of Stock Returns: Explanatory or Descriptive? A Historical Survey with Some Methodological Reflections
    by Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis