Research classified by Journal of Economic Literature (JEL) codes

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Top JEL
/ C: Mathematical and Quantitative Methods
/ / C2: Single Equation Models; Single Variables
/ / / C22: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

2022

• Hilde C. Bjørnland, 2022, "The effect of rising energy prices amid geopolitical developments and supply disruptions," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 07/2022, Dec.
• Jan Ditzen & Francesco Ravazzolo, 2022, "Dominant Drivers of National Inflation," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 08/2022, Dec.
• Barbara Rossi, 2022, "Local projections in unstable environments: How effective is fiscal policy?," Economics Virtual Symposium 2022, Stata Users Group, number 02, Nov.
• Alexandros E. Milionis & Nikolaos G. Galanopoulos & Peter Hatzopoulos & Aliki Sagianou, 2022, "Forecasting actuarial time series: a practical study of the effect of statistical pre-adjustments," Working Papers, Bank of Greece, number 297, May, DOI: 10.52903/wp2022297.
• Gao Wenxin & Wen Jun & Zakaria Muhammad & Mahmood Hamid, 2022, "Nonlinear and Asymmetric Impact of Oil Prices on Exchange Rates: Evidence from South Asia," Economics - The Open-Access, Open-Assessment Journal, De Gruyter, volume 16, issue 1, pages 243-256, January, DOI: 10.1515/econ-2022-0031.
• Canepa Alessandra, 2022, "Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors," Journal of Time Series Econometrics, De Gruyter, volume 14, issue 1, pages 51-85, January, DOI: 10.1515/jtse-2020-0044.
• Boubacar Maïnassara Yacouba & Ilmi Amir Abdoulkarim, 2022, "Goodness-of-Fit Tests for SPARMA Models with Dependent Error Terms," Journal of Time Series Econometrics, De Gruyter, volume 14, issue 2, pages 107-140, July, DOI: 10.1515/jtse-2022-0002.
• Boubacar Maïnassara Yacouba & Ilmi Amir Abdoulkarim, 2022, "Estimating SPARMA Models with Dependent Error Terms," Journal of Time Series Econometrics, De Gruyter, volume 14, issue 2, pages 141-174, July, DOI: 10.1515/jtse-2021-0022.
• Montes-Rojas Gabriel, 2022, "Estimating Impulse-Response Functions for Macroeconomic Models using Directional Quantiles," Journal of Time Series Econometrics, De Gruyter, volume 14, issue 2, pages 199-225, July, DOI: 10.1515/jtse-2021-0002.
• Ahmed Ali & Granberg Mark & Troster Victor & Uddin Gazi Salah, 2022, "Asymmetric dynamics between uncertainty and unemployment flows in the United States," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 26, issue 1, pages 155-172, February, DOI: 10.1515/snde-2019-0058.
• Segnon Mawuli & Lau Chi Keung & Wilfling Bernd & Gupta Rangan, 2022, "Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 26, issue 1, pages 73-98, February, DOI: 10.1515/snde-2019-0009.
• Nazlioglu Saban & Lee Junsoo & Karul Cagin & You Yu, 2022, "Testing for stationarity with covariates: more powerful tests with non-normal errors," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 26, issue 2, pages 191-203, April, DOI: 10.1515/snde-2019-0038.
• Schmidt Alexander & Schweikert Karsten, 2022, "Multiple structural breaks in cointegrating regressions: a model selection approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 26, issue 2, pages 219-254, April, DOI: 10.1515/snde-2020-0063.
• Yang Lixiong, 2022, "Time-varying threshold cointegration with an application to the Fisher hypothesis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 26, issue 2, pages 257-274, April, DOI: 10.1515/snde-2018-0101.
• Chu Ba, 2022, "Time-specific average estimation of dynamic panel regressions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 26, issue 4, pages 581-616, September, DOI: 10.1515/snde-2019-0084.
• Gogebakan Kemal Caglar, 2022, "Rescaled variance tests for seasonal stationarity," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 26, issue 4, pages 617-633, September, DOI: 10.1515/snde-2021-0004.
• Hurn Stan & Johnson Nicholas & Silvennoinen Annastiina & Teräsvirta Timo, 2022, "Transition from the Taylor rule to the zero lower bound," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 26, issue 5, pages 635-647, December, DOI: 10.1515/snde-2019-0102.
• Gogebakan Kemal Caglar, 2022, "A family of nonparametric unit root tests for processes driven by infinite variance innovations," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 26, issue 5, pages 705-721, December, DOI: 10.1515/snde-2021-0058.
• Sara Boni & Francesco Ravazzolo, 2022, "A Structural Analysis of Unemployment-Generating Supply Shocks with an Application to the US Pharmaceutical Industry," BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen, number BEMPS94, Jun.
• Jan Ditzen & Francesco Ravazzolo, 2022, "Dominant Drivers of National Inflation," BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen, number BEMPS97, Dec.
• Bu, R. & Li, D. & Linton, O. & Wang, H., 2022, "Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2218, Mar.
• Congressional Budget Office, 2022, "A Markov-Switching Model of the Unemployment Rate: Working Paper 2022-05," Working Papers, Congressional Budget Office, number 57582, Mar.
• Mantu Kumar Mahalik & John Nkwoma Inekwe & Kuntal K. Das & Umakant Dash & Augustine C Arize, 2022, "Does the Pattern of Age Dependency Matter in the Promotion of Financial Development in an Emerging Economy?," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 22/06, Mar.
• Guglielmo Maria Caporale & Amir Imeri & Luis A. Gil-Alana, 2022, "Tourism Persistence in the Southeastern European Countries: The Impact of Covid-19," CESifo Working Paper Series, CESifo, number 10006.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2022, "Nominal and Real Wages in the UK, 1750 - 2015: Mean Reversion, Persistence and Structural Breaks," CESifo Working Paper Series, CESifo, number 10018.
• Guglielmo Maria Caporale & Alex Plastun, 2022, "Persistence in High Frequency Financial Data," CESifo Working Paper Series, CESifo, number 10045.
• Guglielmo Maria Caporale & Juan Infante & Luis A. Gil-Alana & Raquel Ayestaran, 2022, "Inflation Persistence in Europe: The Effects of the Covid-19 Pandemic and of the Russia-Ukraine War," CESifo Working Paper Series, CESifo, number 10071.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2022, "Gold and Silver as Safe Havens: A Fractional Integration and Cointegration Analysis," CESifo Working Paper Series, CESifo, number 10084.
• Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2022, "US House Prices by Census Division: Persistence, Trends and Structural Breaks," CESifo Working Paper Series, CESifo, number 10143.
• Maciej Wysocki & Cezary Wójcik & Andreas Freytag, 2022, "Populists and Fiscal Policy: The Case of Poland," CESifo Working Paper Series, CESifo, number 10146.
• Guglielmo Maria Caporale & Nieves Carmona-González & Luis Alberiko Gil-Alana, 2022, "Atmospheric Pollution in Chinese Cities: Trends and Persistence," CESifo Working Paper Series, CESifo, number 10161.
• Klaus Abberger & Michael Graff & Oliver Müller & Boriss Siliverstovs, 2022, "Imputing Monthly Values for Quarterly Time Series. An Application Performed with Swiss Business Cycle Data," CESifo Working Paper Series, CESifo, number 10191.
• Christina Anderl & Guglielmo Maria Caporale, 2022, "Nonlinearities in the Exchange Rate Pass-Through: The Role of Inflation Expectations," CESifo Working Paper Series, CESifo, number 9544.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & OlaOluwa Simon Yaya, 2022, "Modelling Persistence and Non-Linearities in the US Treasury 10-Year Bond Yields," CESifo Working Paper Series, CESifo, number 9554.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun & Ahniia Havrylina, 2022, "Persistence in the Passion Investment Market," CESifo Working Paper Series, CESifo, number 9586.
• Emmanuel Joel Aikins Abakah & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2022, "Cryptocurrencies, Technology Stocks, Covid-19 and US Policy Responses: A Fractional Integration Analysis," CESifo Working Paper Series, CESifo, number 9624.
• António Afonso & João Tovar Jalles & Zoe Venter, 2022, "Minimum Wage and Collective Bargaining Reforms: A Narrative Database for Advance Economies," CESifo Working Paper Series, CESifo, number 9692.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Francisco Puertolas, 2022, "Modelling Profitability of Private Equity: A Fractional Integration Approach," CESifo Working Paper Series, CESifo, number 9843.
• Guglielmo Maria Caporale & José Javier de Dios Mazariegos & Luis A. Gil-Alana, 2022, "Long-Run Linkages between US Stock Prices and Cryptocurrencies: A Fractional Cointegration Analysis," CESifo Working Paper Series, CESifo, number 9950.
• Jonas Dovern & Johannes Frank & Alexander Glas & Lena Müller & Daniel Perico Ortiz, 2022, "Estimating Pass-Through Rates for the 2022 Tax Reduction on Fuel Prices in Germany," CESifo Working Paper Series, CESifo, number 9963.
• Tsutomu Watanabe & Tomoyoshi Yabu, 2022, "The Demand for Money at the Zero Interest Rate Bound," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-552, Dec.
• Rodrigo Alfaro & Mathias Drehmann, 2022, "The Holt-Winters filter and the one-sided HP filter: A close correspondence," Working Papers Central Bank of Chile, Central Bank of Chile, number 959, Aug.
• Manuel Monge & Carlos Poza & Sofía Borgia, 2022, "A proposal of a suspicion of tax fraud indicator based on Google trends to foresee Spanish tax revenues," International Economics, CEPII research center, issue 169, pages 1-12.
• Laurent Ferrara & Joseph Yapi, 2022, "Measuring exchange rate risks during periods of uncertainty," International Economics, CEPII research center, issue 170, pages 202-212.
• Mariangela Bonasia & Oreste Napolitano & Fabio Spagnolo & Nicola Spagnolo, 2022, "The economic and welfare state determinants of well-being in Europe," International Economics, CEPII research center, issue 171, pages 49-57.
• Marlon Fritz, 2022, "Improved output gap estimates and forecasts using a local linear regression," International Economics, CEPII research center, issue 172, pages 157-167.
• Barend Abeln & Jan P.A.M. Jacobs & Machiel Mulder, 2022, "Seasonal adjustment of daily data with CAMPLET," CIRANO Working Papers, CIRANO, number 2022s-06, Apr.
• Eduardo Loría & Ra�l Tirado, 2022, "Sacrifice rate and labour precariousness in Mexico, 2005Q1-2019Q4," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, volume 41, issue 87, pages 427-456, DOI: 10.15446/cuad.econ.v41n87.92783.
• Erik Munoz Henríquez & Francisco G�lvez-Gamboa, 2022, "Efecto de la incertidumbre de la política económica internacional sobre los mercados financieros latinoamericanos," Estudios Gerenciales, Universidad Icesi, volume 38, issue 165, pages 519-528, DOI: 10.18046/j.estger.2022.165.5383.
• Diego Alonso Martínez Maldonado & Fabián Andrés Ramírez Roberto & Juan David Robles Rey & Juan Alejandro Figueroa Pico & Julián Andrés Buitrago Sánchez, 2022, "La inflación objetivo y la volatilidad de la tasa representativa del mercado durante los periodos 1998-2002 y 2002-2006: evidencia empírica para Colombia," Econógrafos, Escuela de Economía, Universidad Nacional de Colombia, FCE, CID, number 022623, Sep.
• María Carolina Velasco Pena & Vladimir Osorio Isaza, 2022, "Subvaloración en la importación de celulares en Colombia: caracterización a partir de series temporales e inteligencia de negocios," Revista Perspectivas en Inteligencia, Escuela de Inteligencia y Contrainteligencia Bg. Ricardo Charry Solano, volume 14, issue 23, pages 33-61.
• Inoue, Atsushi & Rossi, Barbara & Wang, Yiru, 2022, "Local Projections in Unstable Environments: How Effective is Fiscal Policy?," CEPR Discussion Papers, Centre for Economic Policy Research, number 17134, Mar.
• Iseringhausen, Martin & Petrella, Ivan & Theodoridis, Konstantinos, 2022, "Aggregate Skewness and the Business Cycle," CEPR Discussion Papers, Centre for Economic Policy Research, number 17162, Mar.
• Andreou, Elena & Gagliardini, Patrick & Ghysels, Eric & Rubin, Mirco, 2022, "Three Common Factors," CEPR Discussion Papers, Centre for Economic Policy Research, number 17225, Apr.
• Goncalves, Silvia & Herrera, Ana Maria & Kilian, Lutz & Pesavento, Elena, 2022, "When do state-dependent local projections work?," CEPR Discussion Papers, Centre for Economic Policy Research, number 17265, Apr.
• Akkoyunlu Åžule & Gil Epstein & Ira Gang, 2022, "Migration and University Education: An Empirical (Macro) Link," RFBerlin Discussion Paper Series, ROCKWOOL Foundation Berlin (RFBerlin), number 2211, May.
• Christian Francq & Baye Matar Kandji & Jean-Michel Zakoian, 2022, "Inference on Multiplicative Component GARCH without any Small-Order Moment," Working Papers, Center for Research in Economics and Statistics, number 2022-09, Mar.
• Michael Sampson, 2022, "The Effect of Parameter Uncertainty on Consumption, Wealth, and Welfare," Annals of Economics and Finance, Society for AEF, volume 23, issue 1, pages 1-10, May.
• Naeem, Muhammad Abubakr & Karim, Sitara & Uddin, Gazi Salah & Junttila, Juha, 2022, "Small fish in big ponds: Connections of green finance assets to commodity and sectoral stock markets," International Review of Financial Analysis, Elsevier, volume 83, issue C, DOI: 10.1016/j.irfa.2022.102283.
• Salisu, Afees A. & Pierdzioch, Christian & Gupta, Rangan & Gabauer, David, 2022, "Forecasting stock-market tail risk and connectedness in advanced economies over a century: The role of gold-to-silver and gold-to-platinum price ratios," International Review of Financial Analysis, Elsevier, volume 83, issue C, DOI: 10.1016/j.irfa.2022.102300.
• Al-Shboul, Mohammad & Assaf, Ata & Mokni, Khaled, 2022, "When bitcoin lost its position: Cryptocurrency uncertainty and the dynamic spillover among cryptocurrencies before and during the COVID-19 pandemic," International Review of Financial Analysis, Elsevier, volume 83, issue C, DOI: 10.1016/j.irfa.2022.102309.
• Zhao, Yuan & Liu, Nan & Li, Wanpeng, 2022, "Industry herding in crypto assets," International Review of Financial Analysis, Elsevier, volume 84, issue C, DOI: 10.1016/j.irfa.2022.102335.
• Yousaf, Imran & Jareño, Francisco & Esparcia, Carlos, 2022, "Tail connectedness between lending/borrowing tokens and commercial bank stocks," International Review of Financial Analysis, Elsevier, volume 84, issue C, DOI: 10.1016/j.irfa.2022.102417.
• Vera-Valdés, J. Eduardo, 2022, "The persistence of financial volatility after COVID-19," Finance Research Letters, Elsevier, volume 44, issue C, DOI: 10.1016/j.frl.2021.102056.
• Bouri, Elie & Demirer, Riza & Gabauer, David & Gupta, Rangan, 2022, "Financial market connectedness: The role of investors’ happiness," Finance Research Letters, Elsevier, volume 44, issue C, DOI: 10.1016/j.frl.2021.102075.
• Papailias, Fotis, 2022, "US and EA yield curve persistence during the COVID-19 pandemic," Finance Research Letters, Elsevier, volume 44, issue C, DOI: 10.1016/j.frl.2021.102087.
• Chang, Ya-Ting & Gau, Yin-Feng & Hsu, Chih-Chiang, 2022, "Liquidity spillover in foreign exchange markets," Finance Research Letters, Elsevier, volume 44, issue C, DOI: 10.1016/j.frl.2021.102105.
• Shi, Yanlin, 2022, "A closed-form estimator for the Markov switching in mean model," Finance Research Letters, Elsevier, volume 44, issue C, DOI: 10.1016/j.frl.2021.102107.
• Xu, Yingying & Lien, Donald, 2022, "COVID-19 and currency dependences: Empirical evidence from BRICS," Finance Research Letters, Elsevier, volume 45, issue C, DOI: 10.1016/j.frl.2021.102119.
• Wang, Jying-Nan & Lee, Yen-Hsien & Liu, Hung-Chun & Lee, Ming-Chih, 2022, "The determinants of positive feedback trading behaviors in Bitcoin markets," Finance Research Letters, Elsevier, volume 45, issue C, DOI: 10.1016/j.frl.2021.102120.
• Kurosaki, Tetsuo & Kim, Young Shin, 2022, "Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk," Finance Research Letters, Elsevier, volume 45, issue C, DOI: 10.1016/j.frl.2021.102143.
• Fang, Yan & Yuan, Jie & Yang, J. Jimmy & Ying, Shangjun, 2022, "Crash-based quantitative trading strategies: Perspective of behavioral finance," Finance Research Letters, Elsevier, volume 45, issue C, DOI: 10.1016/j.frl.2021.102185.
• Abakah, Emmanuel Joel Aikins & Gil-Alana, Luis A., 2022, "Persistence in US Treasury bonds," Finance Research Letters, Elsevier, volume 45, issue C, DOI: 10.1016/j.frl.2021.102189.
• Hasan, Md. Bokhtiar & Hassan, M. Kabir & Karim, Zulkefly Abdul & Rashid, Md. Mamunur, 2022, "Exploring the hedge and safe haven properties of cryptocurrency in policy uncertainty," Finance Research Letters, Elsevier, volume 46, issue PA, DOI: 10.1016/j.frl.2021.102272.
• Nguyen, Khanh Quoc, 2022, "The correlation between the stock market and Bitcoin during COVID-19 and other uncertainty periods," Finance Research Letters, Elsevier, volume 46, issue PA, DOI: 10.1016/j.frl.2021.102284.
• Caporin, Massimiliano & Garcia-Jorcano, Laura & Jimenez-Martin, Juan-Angel, 2022, "Measuring systemic risk during the COVID-19 period: A TALIS3 approach," Finance Research Letters, Elsevier, volume 46, issue PA, DOI: 10.1016/j.frl.2021.102304.
• Nonejad, Nima, 2022, "Forecasting crude oil price volatility out-of-sample using news-based geopolitical risk index: What forms of nonlinearity help improve forecast accuracy the most?," Finance Research Letters, Elsevier, volume 46, issue PA, DOI: 10.1016/j.frl.2021.102310.
• Salisu, Afees A. & Pierdzioch, Christian & Gupta, Rangan, 2022, "Oil tail risks and the forecastability of the realized variance of oil-price: Evidence from over 150 years of data," Finance Research Letters, Elsevier, volume 46, issue PB, DOI: 10.1016/j.frl.2021.102378.
• Stadtmüller, Immo & Auer, Benjamin R. & Schuhmacher, Frank, 2022, "On the time-varying dynamics of stock and commodity momentum returns," Finance Research Letters, Elsevier, volume 46, issue PB, DOI: 10.1016/j.frl.2021.102385.
• Arfaoui, Nadia & Naoui, Kamel, 2022, "Terrorism, investor sentiment, and stock market reaction: Evidence from the British and the French markets," Finance Research Letters, Elsevier, volume 46, issue PB, DOI: 10.1016/j.frl.2021.102462.
• Chen, Yanhua & Pantelous, Athanasios A., 2022, "The U.S.-China trade conflict impacts on the Chinese and U.S. stock markets: A network-based approach," Finance Research Letters, Elsevier, volume 46, issue PB, DOI: 10.1016/j.frl.2021.102486.
• Shahzad, Syed Jawad Hussain & Anas, Muhammad & Bouri, Elie, 2022, "Price explosiveness in cryptocurrencies and Elon Musk's tweets," Finance Research Letters, Elsevier, volume 47, issue PB, DOI: 10.1016/j.frl.2022.102695.
• Jin, Chenglu & Lu, Xingyu & Zhang, Yihan, 2022, "Market reaction, COVID-19 pandemic and return distribution," Finance Research Letters, Elsevier, volume 47, issue PB, DOI: 10.1016/j.frl.2022.102701.
• Elsayed, Ahmed H. & Gozgor, Giray & Yarovaya, Larisa, 2022, "Volatility and return connectedness of cryptocurrency, gold, and uncertainty: Evidence from the cryptocurrency uncertainty indices," Finance Research Letters, Elsevier, volume 47, issue PB, DOI: 10.1016/j.frl.2022.102732.
• Peng, Zhen & Dong, Chaohua, 2022, "Augmented cointegrating linear models with possibly strongly correlated stationary and nonstationary regressors," Finance Research Letters, Elsevier, volume 47, issue PB, DOI: 10.1016/j.frl.2022.102775.
• Zhang, Chuanhai & Chen, Haicui & Peng, Zhe, 2022, "Does Bitcoin futures trading reduce the normal and jump volatility in the spot market? Evidence from GARCH-jump models," Finance Research Letters, Elsevier, volume 47, issue PB, DOI: 10.1016/j.frl.2022.102777.
• González-Pla, Francisco & Lovreta, Lidija, 2022, "Modeling and forecasting firm-specific volatility: The role of asymmetry and long-memory," Finance Research Letters, Elsevier, volume 48, issue C, DOI: 10.1016/j.frl.2022.102931.
• Umar, Zaghum & Bossman, Ahmed & Choi, Sun-Yong & Teplova, Tamara, 2022, "Does geopolitical risk matter for global asset returns? Evidence from quantile-on-quantile regression," Finance Research Letters, Elsevier, volume 48, issue C, DOI: 10.1016/j.frl.2022.102991.
• Mei, Dexiang & Xie, Yutang, 2022, "U.S. grain commodity futures price volatility: Does trade policy uncertainty matter?," Finance Research Letters, Elsevier, volume 48, issue C, DOI: 10.1016/j.frl.2022.103028.
• Yemba, Boniface P., 2022, "User cost of foreign monetary assets under dollarization," Finance Research Letters, Elsevier, volume 49, issue C, DOI: 10.1016/j.frl.2022.103023.
• Lúcio, Francisco & Caiado, Jorge, 2022, "COVID-19 and Stock Market Volatility: A Clustering Approach for S&P 500 Industry Indices," Finance Research Letters, Elsevier, volume 49, issue C, DOI: 10.1016/j.frl.2022.103141.
• Aloosh, Arash & Ouzan, Samuel & Shahzad, Syed Jawad Hussain, 2022, "Bubbles across Meme Stocks and Cryptocurrencies," Finance Research Letters, Elsevier, volume 49, issue C, DOI: 10.1016/j.frl.2022.103155.
• Bouri, Elie & Christou, Christina & Gupta, Rangan, 2022, "Forecasting returns of major cryptocurrencies: Evidence from regime-switching factor models," Finance Research Letters, Elsevier, volume 49, issue C, DOI: 10.1016/j.frl.2022.103193.
• Shang, Yue & Wei, Yu & Chen, Yongfei, 2022, "Cryptocurrency policy uncertainty and gold return forecasting: A dynamic Occam's window approach," Finance Research Letters, Elsevier, volume 50, issue C, DOI: 10.1016/j.frl.2022.103251.
• Bouri, Elie & Gupta, Rangan & Nel, Jacobus & Shiba, Sisa, 2022, "Contagious diseases and gold: Over 700 years of evidence from quantile regressions," Finance Research Letters, Elsevier, volume 50, issue C, DOI: 10.1016/j.frl.2022.103266.
• Yousaf, Imran & Yarovaya, Larisa, 2022, "Herding behavior in conventional cryptocurrency market, non-fungible tokens, and DeFi assets," Finance Research Letters, Elsevier, volume 50, issue C, DOI: 10.1016/j.frl.2022.103299.
• Gaio, Luiz Eduardo & Stefanelli, Nelson Oliveira & Pimenta, Tabajara & Bonacim, Carlos Alberto Grespan & Gatsios, Rafael Confetti, 2022, "The impact of the Russia-Ukraine conflict on market efficiency: Evidence for the developed stock market," Finance Research Letters, Elsevier, volume 50, issue C, DOI: 10.1016/j.frl.2022.103302.
• Zhang, Zhiyuan & Sun, Qinglin & Ma, Yongfan, 2022, "The hedge and safe haven properties of non-fungible tokens (NFTs): Evidence from the nonlinear autoregressive distributed lag (NARDL) model," Finance Research Letters, Elsevier, volume 50, issue C, DOI: 10.1016/j.frl.2022.103315.
• Frankovic, Jozo & Liu, Bin & Suardi, Sandy, 2022, "On spillover effects between cryptocurrency-linked stocks and the cryptocurrency market: Evidence from Australia," Global Finance Journal, Elsevier, volume 54, issue C, DOI: 10.1016/j.gfj.2021.100642.
• Su, Zhi & Liu, Peng & Fang, Tong, 2022, "Pandemic-induced fear and stock market returns: Evidence from China," Global Finance Journal, Elsevier, volume 54, issue C, DOI: 10.1016/j.gfj.2021.100644.
• Monge, Manuel & Poza, Carlos & Borgia, Sofía, 2022, "A proposal of a suspicion of tax fraud indicator based on Google trends to foresee Spanish tax revenues," International Economics, Elsevier, volume 169, issue C, pages 1-12, DOI: 10.1016/j.inteco.2021.11.002.
• Ferrara, Laurent & Yapi, Joseph, 2022, "Measuring exchange rate risks during periods of uncertainty," International Economics, Elsevier, volume 170, issue C, pages 202-212, DOI: 10.1016/j.inteco.2022.04.001.
• Bonasia, Mariangela & Napolitano, Oreste & Spagnolo, Fabio & Spagnolo, Nicola, 2022, "The economic and welfare state determinants of well-being in Europe," International Economics, Elsevier, volume 171, issue C, pages 49-57, DOI: 10.1016/j.inteco.2022.04.005.
• Fritz, Marlon, 2022, "Improved output gap estimates and forecasts using a local linear regression," International Economics, Elsevier, volume 172, issue C, pages 157-167, DOI: 10.1016/j.inteco.2022.09.007.
• Fong, Tom Pak Wing & Sze, Angela Kin Wan & Ho, Edmund Ho Cheung, 2022, "Do long-term institutional investors contribute to financial stability? – Evidence from equity investment in Hong Kong and international markets," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 77, issue C, DOI: 10.1016/j.intfin.2022.101521.
• Grobys, Klaus & Dufitinema, Josephine & Sapkota, Niranjan & Kolari, James W., 2022, "What’s the expected loss when Bitcoin is under cyberattack? A fractal process analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 77, issue C, DOI: 10.1016/j.intfin.2022.101534.
• Clancy, Daragh & Gabriele, Carmine & Žigraiová, Diana, 2022, "Sovereign bond market spillovers from crisis-time developments in Greece," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 78, issue C, DOI: 10.1016/j.intfin.2022.101558.
• Jylhä, Petri & Lof, Matthijs, 2022, "Mind the Basel gap," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 79, issue C, DOI: 10.1016/j.intfin.2022.101605.
• Degiannakis, Stavros & Filis, George & Klein, Tony & Walther, Thomas, 2022, "Forecasting realized volatility of agricultural commodities," International Journal of Forecasting, Elsevier, volume 38, issue 1, pages 74-96, DOI: 10.1016/j.ijforecast.2019.08.011.
• Lahiri, Kajal & Yang, Cheng, 2022, "Boosting tax revenues with mixed-frequency data in the aftermath of COVID-19: The case of New York," International Journal of Forecasting, Elsevier, volume 38, issue 2, pages 545-566, DOI: 10.1016/j.ijforecast.2021.10.005.
• Ferrara, Laurent & Mogliani, Matteo & Sahuc, Jean-Guillaume, 2022, "High-frequency monitoring of growth at risk," International Journal of Forecasting, Elsevier, volume 38, issue 2, pages 582-595, DOI: 10.1016/j.ijforecast.2021.06.010.
• Hurn, Stan & Shi, Shuping & Wang, Ben, 2022, "Housing networks and driving forces," Journal of Banking & Finance, Elsevier, volume 134, issue C, DOI: 10.1016/j.jbankfin.2021.106318.
• Conlon, Thomas & Cotter, John & Eyiah-Donkor, Emmanuel, 2022, "The illusion of oil return predictability: The choice of data matters!," Journal of Banking & Finance, Elsevier, volume 134, issue C, DOI: 10.1016/j.jbankfin.2021.106331.
• Li, Yifan & Nolte, Ingmar & Vasios, Michalis & Voev, Valeri & Xu, Qi, 2022, "Weighted Least Squares Realized Covariation Estimation," Journal of Banking & Finance, Elsevier, volume 137, issue C, DOI: 10.1016/j.jbankfin.2022.106420.
• Baker, Andrew C. & Larcker, David F. & Wang, Charles C.Y., 2022, "How much should we trust staggered difference-in-differences estimates?," Journal of Financial Economics, Elsevier, volume 144, issue 2, pages 370-395, DOI: 10.1016/j.jfineco.2022.01.004.
• Kim, Dongwoo & Lee, Young Jun, 2022, "Vaccination strategies and transmission of COVID-19: Evidence across advanced countries," Journal of Health Economics, Elsevier, volume 82, issue C, DOI: 10.1016/j.jhealeco.2022.102589.
• Degiannakis, Stavros & Filis, George, 2022, "Oil price volatility forecasts: What do investors need to know?," Journal of International Money and Finance, Elsevier, volume 123, issue C, DOI: 10.1016/j.jimonfin.2021.102594.
• Cho, Dooyeon & Lee, Kyung-woo, 2022, "Population aging and fiscal sustainability: Nonlinear evidence from Europe," Journal of International Money and Finance, Elsevier, volume 126, issue C, DOI: 10.1016/j.jimonfin.2022.102665.
• Heil, Thomas L.A. & Peter, Franziska J. & Prange, Philipp, 2022, "Measuring 25 years of global equity market co-movement using a time-varying spatial model," Journal of International Money and Finance, Elsevier, volume 128, issue C, DOI: 10.1016/j.jimonfin.2022.102708.
• Wada, Tatsuma, 2022, "Out-of-sample forecasting of foreign exchange rates: The band spectral regression and LASSO," Journal of International Money and Finance, Elsevier, volume 128, issue C, DOI: 10.1016/j.jimonfin.2022.102719.
• Hunziker, Hans-Ueli & Raggi, Christian & Rosenblatt-Wisch, Rina & Zanetti, Attilio, 2022, "The impact of guidance, short-term dynamics and individual characteristics on firms’ long-term inflation expectations," Journal of Macroeconomics, Elsevier, volume 71, issue C, DOI: 10.1016/j.jmacro.2021.103380.
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• Magazzino, Cosimo & Mele, Marco, 2022, "Can a change in FDI accelerate GDP growth? Time-series and ANNs evidence on Malta," The Journal of Economic Asymmetries, Elsevier, volume 25, issue C, DOI: 10.1016/j.jeca.2022.e00243.
• Magazzino, Cosimo & Mutascu, Mihai Ioan, 2022, "The Italian fiscal sustainability in a long-run perspective," The Journal of Economic Asymmetries, Elsevier, volume 26, issue C, DOI: 10.1016/j.jeca.2022.e00254.
• Gómez-Antonio, Miguel & del Moral Arce, Ignacio & Hortas-Rico, Miriam, 2022, "Are VAT reforms an effective tool for promoting culture? A quasi-experiment in Spain," Journal of Policy Modeling, Elsevier, volume 44, issue 5, pages 1016-1040, DOI: 10.1016/j.jpolmod.2022.10.002.
• Ziadat, Salem Adel & McMillan, David G. & Herbst, Patrick, 2022, "Oil shocks and equity returns during bull and bear markets: The case of oil importing and exporting nations," Resources Policy, Elsevier, volume 75, issue C, DOI: 10.1016/j.resourpol.2021.102461.
• Liu, Guangqiang & Guo, Xiaozhu, 2022, "Forecasting stock market volatility using commodity futures volatility information," Resources Policy, Elsevier, volume 75, issue C, DOI: 10.1016/j.resourpol.2021.102481.
• Idilbi-Bayaa, Yasmeen & Qadan, Mahmoud, 2022, "What the current yield curve says, and what the future prices of energy do," Resources Policy, Elsevier, volume 75, issue C, DOI: 10.1016/j.resourpol.2021.102494.
• Salisu, Afees A. & Gupta, Rangan & Ji, Qiang, 2022, "Forecasting oil prices over 150 years: The role of tail risks," Resources Policy, Elsevier, volume 75, issue C, DOI: 10.1016/j.resourpol.2021.102508.
• Salisu, Afees A. & Gupta, Rangan & Karmakar, Sayar & Das, Sonali, 2022, "Forecasting output growth of advanced economies over eight centuries: The role of gold market volatility as a proxy of global uncertainty," Resources Policy, Elsevier, volume 75, issue C, DOI: 10.1016/j.resourpol.2021.102527.
• Amri Amamou, Souhir & Aguir Bargaoui, Saoussen, 2022, "Energy markets responds to Covid-19 pandemic," Resources Policy, Elsevier, volume 76, issue C, DOI: 10.1016/j.resourpol.2022.102551.
• Zhang, Lixia & Luo, Qin & Guo, Xiaozhu & Umar, Muhammad, 2022, "Medium-term and long-term volatility forecasts for EUA futures with country-specific economic policy uncertainty indices," Resources Policy, Elsevier, volume 77, issue C, DOI: 10.1016/j.resourpol.2022.102644.
• Zhang, Li & Wang, Lu & Wang, Xunxiao & Zhang, Yaojie & Pan, Zhigang, 2022, "How macro-variables drive crude oil volatility? Perspective from the STL-based iterated combination method," Resources Policy, Elsevier, volume 77, issue C, DOI: 10.1016/j.resourpol.2022.102656.
• Gupta, Rangan & Pierdzioch, Christian & Salisu, Afees A., 2022, "Oil-price uncertainty and the U.K. unemployment rate: A forecasting experiment with random forests using 150 years of data," Resources Policy, Elsevier, volume 77, issue C, DOI: 10.1016/j.resourpol.2022.102662.
• Gupta, Rangan & Pierdzioch, Christian, 2022, "Climate risks and forecastability of the realized volatility of gold and other metal prices," Resources Policy, Elsevier, volume 77, issue C, DOI: 10.1016/j.resourpol.2022.102681.
• Mei, Dexiang & Zhao, Chenchen & Luo, Qin & Li, Yan, 2022, "Forecasting the Chinese low-carbon index volatility," Resources Policy, Elsevier, volume 77, issue C, DOI: 10.1016/j.resourpol.2022.102732.
• Jin, Daxiang & He, Mengxi & Xing, Lu & Zhang, Yaojie, 2022, "Forecasting China's crude oil futures volatility: How to dig out the information of other energy futures volatilities?," Resources Policy, Elsevier, volume 78, issue C, DOI: 10.1016/j.resourpol.2022.102852.
• Núñez, Héctor M. & Trujillo-Barrera, Andres & Etienne, Xiaoli, 2022, "Declining integration in the US natural gas market," Resources Policy, Elsevier, volume 78, issue C, DOI: 10.1016/j.resourpol.2022.102872.
• Li, Zheng-Zheng & Su, Chi-Wei & Chang, Tsangyao & Lobonţ, Oana-Ramona, 2022, "Policy-driven or market-driven? Evidence from steam coal price bubbles in China," Resources Policy, Elsevier, volume 78, issue C, DOI: 10.1016/j.resourpol.2022.102878.
• Aikins Abakah, Emmanuel Joel & Gil-Alana, Luis A. & Tripathy, Trilochan, 2022, "Stochastic structure of metal prices: Evidence from fractional integration non-linearities and breaks," Resources Policy, Elsevier, volume 78, issue C, DOI: 10.1016/j.resourpol.2022.102910.
• Kamal, Javed Bin & Wohar, Mark & Kamal, Khaled Bin, 2022, "Do gold, oil, equities, and currencies hedge economic policy uncertainty and geopolitical risks during covid crisis?," Resources Policy, Elsevier, volume 78, issue C, DOI: 10.1016/j.resourpol.2022.102920.
• Garcia-Jorcano, Laura & Sanchis-Marco, Lidia, 2022, "Spillover effects between commodity and stock markets: A SDSES approach," Resources Policy, Elsevier, volume 79, issue C, DOI: 10.1016/j.resourpol.2022.102926.
• Yaya, OlaOluwa S. & Lukman, Adewale F. & Vo, Xuan Vinh, 2022, "Persistence and volatility spillovers of bitcoin price to gold and silver prices," Resources Policy, Elsevier, volume 79, issue C, DOI: 10.1016/j.resourpol.2022.103011.
• Liu, Guangqiang & Zeng, Qing & Lei, Juan, 2022, "Dynamic risks from climate policy uncertainty: A case study for the natural gas market," Resources Policy, Elsevier, volume 79, issue C, DOI: 10.1016/j.resourpol.2022.103014.
• Ewing, Bradley T. & Payne, James E. & Caporin, Massimilano, 2022, "The Asymmetric Impact of Oil Prices and Production on Drilling Rig Trajectory: A correction," Resources Policy, Elsevier, volume 79, issue C, DOI: 10.1016/j.resourpol.2022.103052.
• Balcilar, Mehmet & Gupta, Rangan & Nel, Jacobus, 2022, "Rare disaster risks and gold over 700 years: Evidence from nonparametric quantile regressions," Resources Policy, Elsevier, volume 79, issue C, DOI: 10.1016/j.resourpol.2022.103053.
• Hasan, Md. Bokhtiar & Ali, Md. Sumon & Uddin, Gazi Salah & Mahi, Masnun Al & Liu, Yang & Park, Donghyun, 2022, "Is Bangladesh on the right path toward sustainable development? An empirical exploration of energy sources, economic growth, and CO2 discharges nexus," Resources Policy, Elsevier, volume 79, issue C, DOI: 10.1016/j.resourpol.2022.103125.
• Wang, Kuan-Min & Lee, Yuan-Ming, 2022, "Is gold a safe haven for exchange rate risks? An empirical study of major currency countries," Journal of Multinational Financial Management, Elsevier, volume 63, issue C, DOI: 10.1016/j.mulfin.2021.100705.
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• Umar, Zaghum & Mokni, Khaled & Escribano, Ana, 2022, "Connectedness between the COVID-19 related media coverage and Islamic equities: The role of economic policy uncertainty," Pacific-Basin Finance Journal, Elsevier, volume 75, issue C, DOI: 10.1016/j.pacfin.2022.101851.
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• Caporale, Guglielmo Maria & Gil-Alana, Luis Alberiko & Poza, Carlos, 2022, "The COVID-19 pandemic and the degree of persistence of US stock prices and bond yields," The Quarterly Review of Economics and Finance, Elsevier, volume 86, issue C, pages 118-123, DOI: 10.1016/j.qref.2022.06.007.
• Shanaev, Savva & Ghimire, Binam, 2022, "A generalised seasonality test and applications for cryptocurrency and stock market seasonality," The Quarterly Review of Economics and Finance, Elsevier, volume 86, issue C, pages 172-185, DOI: 10.1016/j.qref.2022.07.002.
• Cheng, Ka Ming, 2022, "Doubts on natural rate of unemployment: Evidence and policy implications," The Quarterly Review of Economics and Finance, Elsevier, volume 86, issue C, pages 230-239, DOI: 10.1016/j.qref.2022.07.006.
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• Kılıç Depren, Serpil & Kartal, Mustafa Tevfik & Ertuğrul, Hasan Murat & Depren, Özer, 2022, "The role of data frequency and method selection in electricity price estimation: Comparative evidence from Turkey in pre-pandemic and pandemic periods," Renewable Energy, Elsevier, volume 186, issue C, pages 217-225, DOI: 10.1016/j.renene.2021.12.136.
• Shahbaz, Muhammad & Abbas Rizvi, Syed Kumail & Dong, Kangyin & Vo, Xuan Vinh, 2022, "Fiscal decentralization as new determinant of renewable energy demand in China: The role of income inequality and urbanization," Renewable Energy, Elsevier, volume 187, issue C, pages 68-80, DOI: 10.1016/j.renene.2022.01.064.
• Rahman, Mohammad Mafizur & Alam, Khosrul, 2022, "Impact of industrialization and non-renewable energy on environmental pollution in Australia: Do renewable energy and financial development play a mitigating role?," Renewable Energy, Elsevier, volume 195, issue C, pages 203-213, DOI: 10.1016/j.renene.2022.06.012.
• Le, Thanh Ha, 2022, "Connectedness between nonrenewable and renewable energy consumption, economic growth and CO2 emission in Vietnam: New evidence from a wavelet analysis," Renewable Energy, Elsevier, volume 195, issue C, pages 442-454, DOI: 10.1016/j.renene.2022.05.083.
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• Aikins Abakah, Emmanuel Joel & Gil-Alana, Luis A. & Arthur, Emmanuel Kwesi & Tiwari, Aviral Kumar, 2022, "Measuring volatility persistence in leveraged loan markets in the presence of structural breaks," International Review of Economics & Finance, Elsevier, volume 78, issue C, pages 141-152, DOI: 10.1016/j.iref.2021.11.016.
• Su, Yuandong & Liang, Chao & Zhang, Li & Zeng, Qing, 2022, "Uncover the response of the U.S grain commodity market on El Niño–Southern Oscillation," International Review of Economics & Finance, Elsevier, volume 81, issue C, pages 98-112, DOI: 10.1016/j.iref.2022.05.003.
• Chen, Yu-Lun & Mo, Wan-Shin & Chang, Ya-Kai, 2022, "Investor sentiment spillover effect and market quality in crude oil futures," International Review of Economics & Finance, Elsevier, volume 82, issue C, pages 177-193, DOI: 10.1016/j.iref.2022.06.013.
• d’Addona, Stefano & Khanom, Najrin, 2022, "Estimating tail-risk using semiparametric conditional variance with an application to meme stocks," International Review of Economics & Finance, Elsevier, volume 82, issue C, pages 241-260, DOI: 10.1016/j.iref.2022.05.012.
• Demirer, Riza & Yuksel, Asli & Yuksel, Aydin, 2022, "Time-varying risk aversion and currency excess returns," Research in International Business and Finance, Elsevier, volume 59, issue C, DOI: 10.1016/j.ribaf.2021.101555.
• Mokni, Khaled & Youssef, Manel & Ajmi, Ahdi Noomen, 2022, "COVID-19 pandemic and economic policy uncertainty: The first test on the hedging and safe haven properties of cryptocurrencies," Research in International Business and Finance, Elsevier, volume 60, issue C, DOI: 10.1016/j.ribaf.2021.101573.
• Jiang, Kunliang & Zeng, Linhui & Song, Jiashan & Liu, Yimeng, 2022, "Forecasting Value-at-Risk of cryptocurrencies using the time-varying mixture-accelerating generalized autoregressive score model," Research in International Business and Finance, Elsevier, volume 61, issue C, DOI: 10.1016/j.ribaf.2022.101634.
• Rababa’a, Abdel Razzaq Al & Alomari, Mohammad & Rehman, Mobeen Ur & McMillan, David & Hendawi, Raed, 2022, "Multiscale relationship between economic policy uncertainty and sectoral returns: Implications for portfolio management," Research in International Business and Finance, Elsevier, volume 61, issue C, DOI: 10.1016/j.ribaf.2022.101664.
• Ren, Xiaohang & Wang, Rui & Duan, Kun & Chen, Jinyu, 2022, "Dynamics of the sheltering role of Bitcoin against crude oil market crash with varying severity of the COVID-19: A comparison with gold," Research in International Business and Finance, Elsevier, volume 62, issue C, DOI: 10.1016/j.ribaf.2022.101672.
• Su, Yuandong & Lu, Xinjie & Zeng, Qing & Huang, Dengshi, 2022, "Good air quality and stock market returns," Research in International Business and Finance, Elsevier, volume 62, issue C, DOI: 10.1016/j.ribaf.2022.101723.
• Panagiotidis, Theodore & Papapanagiotou, Georgios & Stengos, Thanasis, 2022, "On the volatility of cryptocurrencies," Research in International Business and Finance, Elsevier, volume 62, issue C, DOI: 10.1016/j.ribaf.2022.101724.
• Nazlioglu, Saban & Kucukkaplan, Ilhan & Kilic, Emre & Altuntas, Mehmet, 2022, "Financial market integration of emerging markets: Heavy tails, structural shifts, nonlinearity, and asymmetric persistence," Research in International Business and Finance, Elsevier, volume 62, issue C, DOI: 10.1016/j.ribaf.2022.101742.
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• Botha, Ferdi & Nguyen, Viet H., 2022, "Opposite nonlinear effects of unemployment and sentiment on male and female suicide rates: Evidence from Australia," Social Science & Medicine, Elsevier, volume 292, issue C, DOI: 10.1016/j.socscimed.2021.114536.
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• Agovino, Massimiliano & Bartoletto, Silvana & Garofalo, Antonio, 2022, "A long-term analysis of efficiency in the Italian banking system from 1861 to 2010," Structural Change and Economic Dynamics, Elsevier, volume 61, issue C, pages 227-241, DOI: 10.1016/j.strueco.2022.02.015.
• Trofimov, Ivan D., 2022, "Determinants of the profit rates in the OECD economies: A panel data analysis of the Kalecki's profit equation," Structural Change and Economic Dynamics, Elsevier, volume 61, issue C, pages 380-397, DOI: 10.1016/j.strueco.2022.03.004.
• Caravaggio, Nicola & Carnazza, Giovanni, 2022, "The Italian nominal interest rate conundrum: A problem of growth or public finance?," Structural Change and Economic Dynamics, Elsevier, volume 62, issue C, pages 313-326, DOI: 10.1016/j.strueco.2022.05.014.
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• Lorenzo Nalin & Juan Carlos Moreno Brid, 2022, "Equilíbrio em conta-corrente e câmbio real: o caso da manufatura no México, 2001-2019," Brazilian Journal of Political Economy, FGV EAESP, volume 42, issue 4, pages 914-933, December, DOI: 10.1590/0101-31572022-3440.
• Frédérique Bec & Alain Guay & Heino Bohn Nielsen & Sarra Saïdi, 2022, "Power of unit root tests against nonlinear and noncausal alternatives," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2022-14.
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• Francis X. Diebold & Glenn D. Rudebusch, 2022, "On the Evolution of US Temperature Dynamics," Advances in Econometrics, Emerald Group Publishing Limited, "Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling", DOI: 10.1108/S0731-90532021000043A002.
• Luca Nocciola, 2022, "Finite Sample Forecast Properties and Window Length Under Breaks in Cointegrated Systems," Advances in Econometrics, Emerald Group Publishing Limited, "Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling", DOI: 10.1108/S0731-90532021000043A009.