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Publications

by members of

Swansea University → School of Management

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. Find also a compilation of publications from alumni here.

This page is updated in the first days of each month.

| Working papers | Journal articles |

Working papers

2020

  1. Okan Yilmaz & Oleksandr Talavera & Joy Jia, 2020, "Liquidity, Seasonality, and Distance to Universities: The case of UK rental markets," Discussion Papers, Department of Economics, University of Birmingham, number 20-11, May.

2019

  1. Min Hua & Wei Song & Oleksandr Talavera, 2019, "Recession CEOs and bank risk taking," Discussion Papers, Department of Economics, University of Birmingham, number 19-04, Mar.

2018

  1. Yuzhi Cai & Julian Stander, 2018, "The threshold GARCH model: estimation and density forecasting for financial returns," Working Papers, Swansea University, School of Management, number 2018-23, Feb.
  2. Yuzhi Cai, 2018, "A novel statistical approach to marketing campaigns," Working Papers, Swansea University, School of Management, number 2018-21, Feb.
  3. Yuzhi Cai & Guodong Li, 2018, "A novel approach to modelling the distribution of financial returns," Working Papers, Swansea University, School of Management, number 2018-22, Feb.
  4. Rui Fan & Oleksandr Talavera & Vu Tran, 2018, "Does connection with @realDonaldTrump affect stock prices?," Working Papers, Swansea University, School of Management, number 2018-07, Feb.
  5. Syed Hassan & Sarosh Shabi & Taufiq Choudhry, 2018, "Asymmetry, Uncertainty and International Trade," Working Papers, Swansea University, School of Management, number 2018-24, Feb.
  6. Syed Hassan & Sarosh Shabi & Taufiq Choudhry, 2018, "US Economic Uncertainty, EU Business Cycles and the Global Financial Crisis," Working Papers, Swansea University, School of Management, number 2018-05, Feb.
  7. Konstantinos Gavriilidis & Dimos S. Kambouroudis & Katerina Tsakou & Dimitris S. Tsouknidis, 2018, "Volatility forecasting across tanker freight rates: the role of oil price shocks," Working Papers, Swansea University, School of Management, number 2018-27, Mar.
  8. Oleksandr Talavera & Haofeng Xu, 2018, "Role of Verification in Peer-to-Peer Lending," Working Papers, Swansea University, School of Management, number 2018-25, Mar.

2011

  1. Phil Molyneux & Klaus Schaeck & Tim Zhou, 2011, "‘Too Systemically Important to Fail’ in Banking," Working Papers, Bangor Business School, Prifysgol Bangor University (Cymru / Wales), number 11011, Nov.

Journal articles

2026

  1. Chu, Zhongzhu & Tan, Weijie & Ren, Boru & Xia, Zhiyi, 2026, "Assessing the effect of climate policy uncertainty on corporate carbon cost leadership strategy: Evidence from China," Energy Economics, Elsevier, volume 154, issue C, DOI: 10.1016/j.eneco.2025.109118.

2025

  1. Chen, Pinghua & Abedin, Mohammad Zoynul & Zhao, Xin & Peng, Jun, 2025, "The impact of climate risk on local government financing costs: A mediation and threshold model analysis," Ecological Economics, Elsevier, volume 237, issue C, DOI: 10.1016/j.ecolecon.2025.108698.
  2. Tan, Chunzhi & Liu, Junjie & Ma, Junfeng & Liu, Bin & Ren, Boru, 2025, "When climate policies waver: Firms, debt, and the investment-financing maturity mismatch," Finance Research Letters, Elsevier, volume 85, issue PB, DOI: 10.1016/j.frl.2025.108026.
  3. Li, Suyang & Qiao, Lu & Ren, Boru & Wang, Zilong, 2025, "Financing sustainability: Sustainable institutional investors and bank loan access," Journal of International Money and Finance, Elsevier, volume 157, issue C, DOI: 10.1016/j.jimonfin.2025.103387.
  4. Uttam Golder & Suborna Barua & Mohammad Zoynul Abedin & Douglas Akwasi Adu & Boru Ren, 2025, "Determinants of FinTech Equity Funding Flows: Evidence From a Global Perspective," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 30, issue 4, pages 3681-3708, October, DOI: 10.1002/ijfe.3086.

2024

  1. Sharif, Taimur & Ghouli, Jihene & Bouteska, Ahmed & Abedin, Mohammad Zoynul, 2024, "The impact of COVID-19 uncertainties on energy market volatility: Evidence from the US markets," Economic Analysis and Policy, Elsevier, volume 84, issue C, pages 25-41, DOI: 10.1016/j.eap.2024.08.008.
  2. Yang, Fan & Abedin, Mohammad Zoynul & Hajek, Petr, 2024, "An explainable federated learning and blockchain-based secure credit modeling method," European Journal of Operational Research, Elsevier, volume 317, issue 2, pages 449-467, DOI: 10.1016/j.ejor.2023.08.040.

2023

  1. Chai, Shanglei & Zhang, Xichun & Abedin, Mohammad Zoynul & Chen, Huizheng & Lucey, Brian & Hajek, Petr, 2023, "An optimized GRT model with blockchain digital smart contracts for power generation enterprises," Energy Economics, Elsevier, volume 128, issue C, DOI: 10.1016/j.eneco.2023.107153.
  2. Ren, Boru & Lucey, Brian, 2023, "Herding in the Chinese renewable energy market: Evidence from a bootstrapping time-varying coefficient autoregressive model," Energy Economics, Elsevier, volume 119, issue C, DOI: 10.1016/j.eneco.2023.106526.
  3. Lucey, Brian & Ren, Boru, 2023, "Time-varying tail risk connectedness among sustainability-related products and fossil energy investments," Energy Economics, Elsevier, volume 126, issue C, DOI: 10.1016/j.eneco.2023.106812.
  4. Ren, Boru & Lucey, Brian & Luo, Qirui, 2023, "An examination of green bonds as a hedge and safe haven for international equity markets," Global Finance Journal, Elsevier, volume 58, issue C, DOI: 10.1016/j.gfj.2023.100894.

2022

  1. Ren, Boru & Lucey, Brian, 2022, "A clean, green haven?—Examining the relationship between clean energy, clean and dirty cryptocurrencies," Energy Economics, Elsevier, volume 109, issue C, DOI: 10.1016/j.eneco.2022.105951.
  2. Ren, Boru & Lucey, Brian, 2022, "Do clean and dirty cryptocurrency markets herd differently?," Finance Research Letters, Elsevier, volume 47, issue PB, DOI: 10.1016/j.frl.2022.102795.

2021

  1. Yuzhi Cai, 2021, "Estimating expected shortfall using a quantile function model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 26, issue 3, pages 4332-4360, July, DOI: 10.1002/ijfe.2017.
  2. Zhao, Yixiu & Upreti, Vineet & Cai, Yuzhi, 2021, "Stock returns, quantile autocorrelation, and volatility forecasting," International Review of Financial Analysis, Elsevier, volume 73, issue C, DOI: 10.1016/j.irfa.2020.101599.
  3. Yuzhi Cai & Thanaset Chevapatrakul & Danilo V. Mascia, 2021, "How is price explosivity triggered in the cryptocurrency markets?," Annals of Operations Research, Springer, volume 307, issue 1, pages 37-51, December, DOI: 10.1007/s10479-021-04298-4.
  4. Lucey, Brian & Ren, Boru, 2021, "Does news tone help forecast oil?," Economic Modelling, Elsevier, volume 104, issue C, DOI: 10.1016/j.econmod.2021.105635.

2020

  1. Yuzhi Cai & Julian Stander, 2020, "The Threshold GARCH Model: Estimation and Density Forecasting for Financial Returns," Journal of Financial Econometrics, Oxford University Press, volume 18, issue 2, pages 395-424.

2018

  1. Gavriilidis, Konstantinos & Kambouroudis, Dimos S. & Tsakou, Katerina & Tsouknidis, Dimitris A., 2018, "Volatility forecasting across tanker freight rates: The role of oil price shocks," Transportation Research Part E: Logistics and Transportation Review, Elsevier, volume 118, issue C, pages 376-391, DOI: 10.1016/j.tre.2018.08.012.
  2. Okan Yilmaz, 2018, "Female Autonomy, Social Norms and Intimate Partner Violence against Women in Turkey," Journal of Development Studies, Taylor & Francis Journals, volume 54, issue 8, pages 1321-1337, August, DOI: 10.1080/00220388.2017.1414185.

2017

  1. Ly, Kim Cuong & Liu, Hong & Opong, Kwaku, 2017, "Who acquires whom among stand-alone commercial banks and bank holding company affiliates?," International Review of Financial Analysis, Elsevier, volume 54, issue C, pages 144-158, DOI: 10.1016/j.irfa.2016.11.003.
  2. Shimizu, Katsutoshi & Ly, Kim Cuong, 2017, "Were regulatory interventions effective in lowering systemic risk during the financial crisis in Japan?," Journal of Multinational Financial Management, Elsevier, volume 41, issue C, pages 80-91, DOI: 10.1016/j.mulfin.2017.07.001.
  3. Ly, Kim Cuong & Chen, Zhizhen & Wang, Senyu & Jiang, Yuxiang, 2017, "The Basel III net stable funding ratio adjustment speed and systemic risk," Research in International Business and Finance, Elsevier, volume 39, issue PA, pages 169-182, DOI: 10.1016/j.ribaf.2016.07.031.
  4. Gurleen Popli & Okan Yılmaz, 2017, "Educational Attainment and Wage Inequality in Turkey," LABOUR, CEIS, volume 31, issue 1, pages 73-104, March.

2016

  1. Yuzhi Cai, 2016, "A Comparative Study Of Monotone Quantile Regression Methods For Financial Returns," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 19, issue 03, pages 1-16, May, DOI: 10.1142/S0219024916500163.
  2. Yuzhi Cai, 2016, "A General Quantile Function Model for Economic and Financial Time Series," Econometric Reviews, Taylor & Francis Journals, volume 35, issue 7, pages 1173-1193, August, DOI: 10.1080/07474938.2014.976528.
  3. Choudhry, Taufiq & Papadimitriou, Fotios I. & Shabi, Sarosh, 2016, "Stock market volatility and business cycle: Evidence from linear and nonlinear causality tests," Journal of Banking & Finance, Elsevier, volume 66, issue C, pages 89-101, DOI: 10.1016/j.jbankfin.2016.02.005.
  4. Dimos S. Kambouroudis & David G. McMillan & Katerina Tsakou, 2016, "Forecasting Stock Return Volatility: A Comparison of GARCH, Implied Volatility, and Realized Volatility Models," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 36, issue 12, pages 1127-1163, December.

2015

  1. Ady Soejoto & Waspodo Tjipto Subroto & Suyanto, 2015, "Fiscal Decentralization Policy in Promoting Indonesia Human Development," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, volume 5, issue 3, pages 763-771.
  2. Ghazi Al-Assaf & Bashier Al-Abdulrazag, 2015, "The Validity of Export-Led Growth Hypothesis for Jordan: A Bounds Testing Approach," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, volume 5, issue 1, pages 199-211.
  3. Lupo, P.J. & Danysh, H.E. & Symanski, E. & Langlois, P.H. & Cai, Y. & Swartz, M.D., 2015, "Neighborhood-based socioeconomic position and risk of oral clefts among offspring," American Journal of Public Health, American Public Health Association, volume 105, issue 12, pages 2518-2525, DOI: 10.2105/AJPH.2015.302804.
  4. Choudhry, Taufiq & Hassan, Syed S., 2015, "Exchange rate volatility and UK imports from developing countries: The effect of the global financial crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 39, issue C, pages 89-101, DOI: 10.1016/j.intfin.2015.07.004.
  5. Choudhry, Taufiq & Hassan, Syed S. & Shabi, Sarosh, 2015, "Relationship between gold and stock markets during the global financial crisis: Evidence from nonlinear causality tests," International Review of Financial Analysis, Elsevier, volume 41, issue C, pages 247-256, DOI: 10.1016/j.irfa.2015.03.011.

2014

  1. Ghazi Al-Assaf & Abdullah M. Al-Malki, 2014, "Modelling the Macroeconomic Determinants of Workers' Remittances: The Case of Jordan," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, volume 4, issue 3, pages 514-526.
  2. Owen R Bidder & Hamish A Campbell & Agustina Gómez-Laich & Patricia Urgé & James Walker & Yuzhi Cai & Lianli Gao & Flavio Quintana & Rory P Wilson, 2014, "Love Thy Neighbour: Automatic Animal Behavioural Classification of Acceleration Data Using the K-Nearest Neighbour Algorithm," PLOS ONE, Public Library of Science, volume 9, issue 2, pages 1-7, February, DOI: 10.1371/journal.pone.0088609.
  3. Korczak, Piotr & Liu, Xicheng, 2014, "Managerial shareholding policies and retention of vested equity incentives," Journal of Empirical Finance, Elsevier, volume 27, issue C, pages 116-129, DOI: 10.1016/j.jempfin.2013.10.010.
  4. Molyneux, Philip & Schaeck, Klaus & Zhou, Tim Mi, 2014, "‘Too systemically important to fail’ in banking – Evidence from bank mergers and acquisitions," Journal of International Money and Finance, Elsevier, volume 49, issue PB, pages 258-282, DOI: 10.1016/j.jimonfin.2014.03.006.

2013

  1. Yuzhi Cai & Gabriel Montes‐Rojas & Jose Olmo, 2013, "Quantile Double AR Time Series Models for Financial Returns," Journal of Forecasting, John Wiley & Sons, Ltd., volume 32, issue 6, pages 551-560, September.
  2. Kostas Mouratidis & Dimitris Kenourgios & Aris Samitas & Dimitris Vougas, 2013, "Evaluating Currency Crises: A Multivariate Markov Regime Switching Approach," Manchester School, University of Manchester, volume 81, issue 1, pages 33-57, January, DOI: 10.1111/manc.2013.81.issue-1.

2012

  1. Yuzhi Cai & Julian Stander & Neville Davies, 2012, "A new Bayesian approach to quantile autoregressive time series model estimation and forecasting," Journal of Time Series Analysis, Wiley Blackwell, volume 33, issue 4, pages 684-698, July, DOI: j.1467-9892.2012.00800.x.
  2. John Goddard & Philip Molyneux & Tim Zhou, 2012, "Bank mergers and acquisitions in emerging markets: evidence from Asia and Latin America," The European Journal of Finance, Taylor & Francis Journals, volume 18, issue 5, pages 419-438, May, DOI: 10.1080/1351847X.2011.601668.

2011

  1. Yuzhi Cai, 2011, "Multi‐variate time‐series simulation," Journal of Time Series Analysis, Wiley Blackwell, volume 32, issue 5, pages 566-579, September.

2010

  1. Yuzhi Cai, 2010, "Forecasting for quantile self-exciting threshold autoregressive time series models," Biometrika, Biometrika Trust, volume 97, issue 1, pages 199-208.
  2. Thompson, Paul & Cai, Yuzhi & Moyeed, Rana & Reeve, Dominic & Stander, Julian, 2010, "Bayesian nonparametric quantile regression using splines," Computational Statistics & Data Analysis, Elsevier, volume 54, issue 4, pages 1138-1150, April.

2009

  1. Cai Yuzhi, 2009, "Autoregression with Non-Gaussian Innovations," Journal of Time Series Econometrics, De Gruyter, volume 1, issue 2, pages 1-18, December, DOI: 10.2202/1941-1928.1016.
  2. Dimitrios Vougas, 2009, "Modification of the point optimal unit root test," Applied Economics Letters, Taylor & Francis Journals, volume 16, issue 4, pages 349-352, DOI: 10.1080/13504850601018635.
  3. Steven Cook & Dimitrios Vougas, 2009, "Unit root testing against an ST-MTAR alternative: finite-sample properties and an application to the UK housing market," Applied Economics, Taylor & Francis Journals, volume 41, issue 11, pages 1397-1404, DOI: 10.1080/00036840601019331.

2008

  1. Yuzhi Cai & Julian Stander, 2008, "Quantile self‐exciting threshold autoregressive time series models," Journal of Time Series Analysis, Wiley Blackwell, volume 29, issue 1, pages 186-202, January, DOI: 10.1111/j.1467-9892.2007.00551.x.
  2. Dimitrios Vougas, 2008, "Size performance of the Lagrange Multiplier (LM) unit root test in the presence of a neglected break under the null," Applied Economics Letters, Taylor & Francis Journals, volume 15, issue 9, pages 701-705, DOI: 10.1080/13504850600722120.
  3. Dimitrios Vougas, 2008, "Power comparison of invariant unit root tests," Applied Economics Letters, Taylor & Francis Journals, volume 15, issue 7, pages 509-512, DOI: 10.1080/13504850600706628.
  4. Dimitrios Vougas, 2008, "On the size of the DF-GLS test," Applied Economics Letters, Taylor & Francis Journals, volume 15, issue 10, pages 777-780, DOI: 10.1080/13504850600749115.
  5. Vougas, Dimitrios V., 2008, "New exact ML estimation and inference for a Gaussian MA(1) process," Economics Letters, Elsevier, volume 99, issue 1, pages 172-176, April.
  6. Dimitrios Vougas, 2008, "Final modification of the LM unit root test," Applied Economics Letters, Taylor & Francis Journals, volume 15, issue 13, pages 1007-1009, DOI: 10.1080/13504850600972345.
  7. Vougas, Dimitrios V., 2008, "Unit root testing based on BLUS residuals," Statistics & Probability Letters, Elsevier, volume 78, issue 13, pages 1943-1947, September.
  8. Vougas, Dimitrios V., 2008, "Generalized least squares transformation and estimation with autoregressive error," Statistics & Probability Letters, Elsevier, volume 78, issue 4, pages 402-404, March.

2007

  1. Cai, Yuzhi, 2007, "A quantile approach to US GNP," Economic Modelling, Elsevier, volume 24, issue 6, pages 969-979, November.
  2. Dimitrios Vougas, 2007, "Modification of the LM unit root test," Applied Economics Letters, Taylor & Francis Journals, volume 14, issue 12, pages 913-917, DOI: 10.1080/13504850600690038.
  3. Steven Cook & Dimitrios Vougas, 2007, "Examining the robustness of cointegration analysis under weighted symmetric estimation," Applied Economics Letters, Taylor & Francis Journals, volume 14, issue 10, pages 711-714, DOI: 10.1080/13504850600592697.
  4. Vougas, Dimitrios V., 2007, "GLS detrending and unit root testing," Economics Letters, Elsevier, volume 97, issue 3, pages 222-229, December.
  5. Vougas, Dimitrios V., 2007, "Is the trend in post-WW II US real GDP uncertain or non-linear?," Economics Letters, Elsevier, volume 94, issue 3, pages 348-355, March.

2006

  1. Vougas, Dimitrios V., 2006, "On unit root testing with smooth transitions," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 2, pages 797-800, November.
  2. Vougas, Dimitrios V., 2006, "Remark on the asymptotic distribution of the OLS estimator in a simple Gaussian unit-root autoregression," Statistics & Probability Letters, Elsevier, volume 76, issue 1, pages 27-34, January.

2005

  1. Yuzhi Cai, 2005, "A forecasting procedure for nonlinear autoregressive time series models," Journal of Forecasting, John Wiley & Sons, Ltd., volume 24, issue 5, pages 335-351, DOI: 10.1002/for.959.

2004

  1. Dimitrios Vougas, 2004, "Analysing long memory and volatility of returns in the Athens stock exchange," Applied Financial Economics, Taylor & Francis Journals, volume 14, issue 6, pages 457-460, DOI: 10.1080/09603100410001673694.
  2. Cook, Steven & Vougas, Dimitrios, 2004, "On the finite-sample size distortion of smooth transition unit root tests," Statistics & Probability Letters, Elsevier, volume 70, issue 3, pages 175-182, December.
  3. Dimitrios V. Vougas, 2004, "Gauss 4.0 for Windows," Computers in Higher Education Economics Review, Economics Network, University of Bristol, volume 16, issue 1, pages 29-31.
  4. Christos Floros & Dimitrios Vougas, 2004, "Hedge ratios in Greek stock index futures market," Applied Financial Economics, Taylor & Francis Journals, volume 14, issue 15, pages 1125-1136, DOI: 10.1080/09603100412331297702.

2003

  1. Yuzhi Cai & Neville Davies, 2003, "Monitoring the parameter changes in general ARIMA time series models," Journal of Applied Statistics, Taylor & Francis Journals, volume 30, issue 9, pages 983-1001, DOI: 10.1080/0266476032000076119.
  2. Yuzhi Cai & Neville Davies, 2003, "A simple diagnostic method of outlier detection for stationary Gaussian time series," Journal of Applied Statistics, Taylor & Francis Journals, volume 30, issue 2, pages 205-223, DOI: 10.1080/0266476022000023758.
  3. Dimitrios Vougas, 2003, "Reconsidering LM unit root testing," Journal of Applied Statistics, Taylor & Francis Journals, volume 30, issue 7, pages 727-741, DOI: 10.1080/0266476032000076010.
  4. Vougas, Dimitrios V., 2003, "Unemployment in Greece," Journal of Policy Modeling, Elsevier, volume 25, issue 2, pages 107-112, February.

2002

  1. Dimitrios Vougas, 2002, "Pitfall of unit autoregressive root testing," Applied Economics Letters, Taylor & Francis Journals, volume 9, issue 10, pages 665-669, DOI: 10.1080/13504850210124563.

2001

  1. Dimitrios Vougas, 2001, "Deterministic exponential heteroskedasticity, a weakly stationary unit-root process and a useful diagnostic test," Applied Economics Letters, Taylor & Francis Journals, volume 8, issue 6, pages 427-430, DOI: 10.1080/135048501750237919.
  2. Paul Dunne & Eftychia Nikolaidou & Dimitrios Vougas, 2001, "Defence spending and economic growth: A causal analysis for Greece and Turkey," Defence and Peace Economics, Taylor & Francis Journals, volume 12, issue 1, pages 5-26, DOI: 10.1080/10430710108404974.
  3. Dimitrios Vougas, 2001, "Real per capita GNP of USA: examination of the presence of a unit root via overdifferencing," Applied Economics Letters, Taylor & Francis Journals, volume 8, issue 6, pages 373-375, DOI: 10.1080/13504850010001084.

1999

  1. Paul Dunne & Dimitrios Vougas, 1999, "Military Spending and Economic Growth in South Africa," Journal of Conflict Resolution, Peace Science Society (International), volume 43, issue 4, pages 521-537, August.

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