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

2019

• Akram, Q. Farooq, 2019, "Oil price drivers, geopolitical uncertainty and oil exporters’ currencies," Working Paper, Norges Bank, number 2019/15, Sep.
• Shakeeb Khan & Maria Ponomareva & Elie Tamer, 2019, "Identification of Dynamic Panel Binary Response Models," Boston College Working Papers in Economics, Boston College Department of Economics, number 979, Mar.
• Shakeeb Khan & Fu Ouyang & Elie Tamer, 2019, "Inference on Semiparametric Multinomial Response Models," Boston College Working Papers in Economics, Boston College Department of Economics, number 980, May.
• Zacharias Bragoudakis & Stavros Degiannakis & George Filis, 2019, "Oil and pump prices: is there any asymmetry in the Greek oil downstream sector?," Working Papers, Bank of Greece, number 268, Sep.
• Ki-Ho Kim, 2019, "Wealth Effects Revisited: Quantile Canonical Cointegrating Regression Approach (in Korean)," Working Papers, Economic Research Institute, Bank of Korea, number 2019-21, Aug.
• Pierre Perron & Yohei Yamamoto & Jing Zhou, 2019, "Testing jointly for structural changes in the error variance and coe¢ cients of a linear regression model," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2020-010, Apr, revised Feb 2020.
• Otrok Christopher & Pourpourides Panayiotis M., 2019, "On the cyclicality of real wages and wage differentials," The B.E. Journal of Macroeconomics, De Gruyter, volume 19, issue 1, pages 1-18, January, DOI: 10.1515/bejm-2017-0047.
• Demos Antonis & Kyriakopoulou Dimitra, 2019, "Finite-Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model," Journal of Time Series Econometrics, De Gruyter, volume 11, issue 1, pages 1-20, January, DOI: 10.1515/jtse-2018-0010.
• Kalaitzi Athanasia S. & Chamberlain Trevor W., 2019, "Further Evidence on Export-Led Growth in the United Arab Emirates: Are Non-Oil Exports or Re-Exports the Key to Economic Growth?," Review of Middle East Economics and Finance, De Gruyter, volume 15, issue 2, pages 1-15, August, DOI: 10.1515/rmeef-2019-0007.
• Tsong Ching-Chuan & Lee Cheng-Feng & Tsai Li Ju, 2019, "A parametric stationarity test with smooth breaks," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 23, issue 2, pages 1-14, April, DOI: 10.1515/snde-2015-0091.
• Kurosaki Tetsuo & Kim Young Shin, 2019, "Foster-Hart optimization for currency portfolios," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 23, issue 2, pages 1-15, April, DOI: 10.1515/snde-2017-0119.
• Yamada Hiroshi & Jahra Fatima Tuj, 2019, "An explicit formula for the smoother weights of the Hodrick–Prescott filter," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 23, issue 5, pages 1-10, December, DOI: 10.1515/snde-2018-0035.
• Chiara Limongi Concetto & Francesco Ravazzolo, 2019, "Optimism in Financial Markets: Stock Market Returns and Investor Sentiments," BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen, number BEMPS56, Jan.
• Massimiliano Caporin & Rangan Gupta & Francesco Ravazzolo, 2019, "Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach," BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen, number BEMPS61, Feb.
• Harvey, A. & Liao, Y., 2019, "Dynamic Tobit models," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1913, Feb.
• Koo, B. & La Vecchia, D. & Linton, O., 2019, "Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1916, Feb.
• Ahmed, M. F. & Satchell, S, 2019, "Some Dynamic and Steady-State Properties of Threshold Autoregressions with Applications to Stationarity and Local Explosivity," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1923, Mar.
• Cheng, T. & Gao, J. & Linton, O., 2019, "Nonparametric Predictive Regressions for Stock Return Prediction," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1932, Mar.
• Harvey, A. & Hurn, S. & Thiele, S., 2019, "Modeling directional (circular) time series," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1971, Aug.
• Ahmed, M. F. & Satchell, S., 2019, "Emerging Markets and the Conditional CAPM," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1980, Sep.
• Miroslav Klucik, 2019, "Tracking the Course of the Economy (Nowcasting of basic macroeconomic indicators of Slovakia)," Working Papers, Council for Budget Responsibility, number Working Paper No. 1/2019, Jan.
• Danica Unevska Andonova & Magdalena Petrovska, 2019, "Disaggregating Okun’s Law: A Case-Study for Macedonia," Journal of Central Banking Theory and Practice, Central bank of Montenegro, volume 8, issue 1, pages 183-207.
• Khalil Ullah Mohammad & Shin-Ichi Nishiyama, 2019, "An Empirical Investigation into the Effect of Explicit Deposit Insurance and Design on the Liability Structure of Banks," Journal of Central Banking Theory and Practice, Central bank of Montenegro, volume 8, issue 3, pages 179-206.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Manuel Monge, 2019, "Energy Consumption in the GCC Countries: Evidence on Persistence," CESifo Working Paper Series, CESifo, number 7470.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Kefei You, 2019, "Stock market linkages between the ASEAN countries, China and the US: a fractional cointegration approach," CESifo Working Paper Series, CESifo, number 7537.
• Guglielmo Maria Caporale & Daria Teterkina, 2019, "Volatility forecasts for the RTS stock index: option-implied volatility versus alternative methods," CESifo Working Paper Series, CESifo, number 7612.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Carlos Poza, 2019, "High and low prices and the range in the European stock markets: a long-memory approach," CESifo Working Paper Series, CESifo, number 7652.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Carlos Poza, 2019, "Persistence, non-linearities and structural breaks in European stock market indices," CESifo Working Paper Series, CESifo, number 7667.
• Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo, 2019, "Non-Linearities, Cyber Attacks and Cryptocurrencies," CESifo Working Paper Series, CESifo, number 7692.
• Efrem Castelnuovo, 2019, "Yield Curve and Financial Uncertainty: Evidence Based on US Data," CESifo Working Paper Series, CESifo, number 7697.
• Marc Gronwald, 2019, "Another Look at Cryptocurrency Bubbles," CESifo Working Paper Series, CESifo, number 7743.
• Guglielmo Maria Caporale & Gloria Claudio-Quiroga & Luis A. Gil-Alana, 2019, "CO2 Emissions and GDP: Evidence from China," CESifo Working Paper Series, CESifo, number 7881.
• Efrem Castelnuovo, 2019, "Domestic and Global Uncertainty: A Survey and Some New Results," CESifo Working Paper Series, CESifo, number 7900.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Carlos Poza, 2019, "Cycles and Long-Range Behaviour in the European Stock Market," CESifo Working Paper Series, CESifo, number 7943.
• Guglielmo Maria Caporale & Menelaos Karanasos & Stavroula Yfanti, 2019, "Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility," CESifo Working Paper Series, CESifo, number 8000.
• Tsutomu Watanabe & Tomoyoshi Yabu, 2019, "How Large is the Demand for Money at the ZLB? Evidence from Japan," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-465, Sep.
• Crafts, Nicholas & Mills, Terence C., 2019, "Is the UK Productivity Slowdown Unprecedented?," CAGE Online Working Paper Series, Competitive Advantage in the Global Economy (CAGE), number 429.
• Antonia Lopez-Villavicencio & Valérie Mignon, 2019, "Exchange rate pass-through to import prices: Accounting for changes in the Eurozone trade structure," Working Papers, CEPII research center, number 2019-08, Jun.
• Amélie Charles & Olivier Darné, 2019, "The accuracy of asymmetric GARCH model estimation," International Economics, CEPII research center, issue 157, pages 179-202.
• Amélie Charles & Olivier Darné, 2019, "Volatility estimation for Bitcoin: Replication and robustness," International Economics, CEPII research center, issue 157, pages 23-32.
• OlaOluwa S.Yaya & Pui Kiew Ling & Fumitaka Furuoka & Chinyere Mary Rose Ezeoke & Ray Ikechukwu Jacob, 2019, "Can West African countries catch up with Nigeria? Evidence from smooth nonlinearity method in fractional unit root framework," International Economics, CEPII research center, issue 158, pages 51-63.
• Guglielmo Maria Caporale & Luis Gil-Alaña, 2019, "Testing the Fisher hypothesis in the G-7 countries using I(d) techniques," International Economics, CEPII research center, issue 159, pages 140-150.
• Dominika Kolcunova & Simona Malovana, 2019, "The Effect of Higher Capital Requirements on Bank Lending: The Capital Surplus Matters," Working Papers, Czech National Bank, Research and Statistics Department, number 2019/2, Apr.
• Simona Malovana & Zaneta Tesarova, 2019, "Banks' Credit Losses and Provisioning over the Business Cycle: Implications for IFRS 9," Working Papers, Czech National Bank, Research and Statistics Department, number 2019/4, Dec.
• Fernando Sánchez López & Jos� Nabor Cruz Marcelo, 2019, "Kidnapping as a long-term factor for cruise tourism demand: Evidence from Mexico (El secuestro como factor de largo plazo para la demanda de turismo de cruceros: evidencia de México)," Revista Desarrollo y Sociedad, Universidad de los Andes,Facultad de Economía, CEDE, volume 83, issue 5, pages 185-217.
• Alfredo Trespalacios & Lina M. Cort�s & Javier Perote, 2019, "Uncertainty in Electricity Markets from a seminonparametric Approach," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 17304, Jun.
• José Manuel Leguizamón Tiusabá, 2019, "Estímulos tributarios y hotelería en Colombia," Revista Economía y Región, Universidad Tecnológica de Bolívar, volume 13, issue 1, pages 177-198.
• Raúl de Jesús-Gutiérrez, 2019, "Integración entre mercados de petróleo de diferente calidad con base en las correlaciones condicionales dinámicas," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 11, issue 2, pages 353-374.
• Johnen, Johannes, 2020, "Dynamic Competition in Deceptive Markets," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 3098, Jan.
• Fiorentini, Gabriele & Sentana, Enrique, 2019, "New testing approaches for mean-variance predictability," CEPR Discussion Papers, Centre for Economic Policy Research, number 13426, Jan.
• Mawuli Segnon & Stelios Bekiros, 2019, "Forecasting Volatility in Cryptocurrency Markets," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 7919, Mar.
• Frédérique BEC & Heino BOHN NIELSEN & Sarra SAÏDI, 2019, "Mixed Causal-Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing," Working Papers, Center for Research in Economics and Statistics, number 2019-09, Jun.
• Ayala, Astrid & Blazsek, Szabolcs & Escribano, Álvaro, 2019, "Score-driven time series models with dynamic shape : an application to the Standard & Poor's 500 index," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 28133, Jan.
• Ayala, Astrid & Blazsek, Szabolcs & Escribano, Álvaro, 2019, "Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 28638, Jul.
• Casas, Isabel & Veiga, Helena, 2019, "Exploring option pricing and hedging via volatility asymmetry," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 28234, Mar.
• González-Rivera, Gloria & Luo, Yun & Ruiz Ortega, Esther, 2019, "Prediction regions for interval-valued time series," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 29054, Oct.
• Zhang, Hanyu & Dufour, Alfonso, 2019, "Modeling intraday volatility of European bond markets: A data filtering application," International Review of Financial Analysis, Elsevier, volume 63, issue C, pages 131-146, DOI: 10.1016/j.irfa.2019.02.002.
• Bleher, Johannes & Dimpfl, Thomas, 2019, "Today I got a million, tomorrow, I don't know: On the predictability of cryptocurrencies by means of Google search volume," International Review of Financial Analysis, Elsevier, volume 63, issue C, pages 147-159, DOI: 10.1016/j.irfa.2019.03.003.
• Orlowski, Lucjan T. & Soper, Carolyne, 2019, "Market risk and market-implied inflation expectations," International Review of Financial Analysis, Elsevier, volume 66, issue C, DOI: 10.1016/j.irfa.2019.101389.
• Chang, Chia-Lin & McAleer, Michael, 2019, "The fiction of full BEKK: Pricing fossil fuels and carbon emissions," Finance Research Letters, Elsevier, volume 28, issue C, pages 11-19, DOI: 10.1016/j.frl.2018.03.008.
• Dastgir, Shabbir & Demir, Ender & Downing, Gareth & Gozgor, Giray & Lau, Chi Keung Marco, 2019, "The causal relationship between Bitcoin attention and Bitcoin returns: Evidence from the Copula-based Granger causality test," Finance Research Letters, Elsevier, volume 28, issue C, pages 160-164, DOI: 10.1016/j.frl.2018.04.019.
• Tiwari, Aviral Kumar & Aye, Goodness C. & Gupta, Rangan, 2019, "Stock market efficiency analysis using long spans of Data: A multifractal detrended fluctuation approach," Finance Research Letters, Elsevier, volume 28, issue C, pages 398-411, DOI: 10.1016/j.frl.2018.06.012.
• Xie, Haibin & Qi, Nan & Wang, Shouyang, 2019, "A new variant of RealGARCH for volatility modeling," Finance Research Letters, Elsevier, volume 28, issue C, pages 438-443, DOI: 10.1016/j.frl.2018.06.015.
• Phillip, Andrew & Chan, Jennifer & Peiris, Shelton, 2019, "On long memory effects in the volatility measure of Cryptocurrencies," Finance Research Letters, Elsevier, volume 28, issue C, pages 95-100, DOI: 10.1016/j.frl.2018.04.003.
• Bouri, Elie & Shahzad, Syed Jawad Hussain & Roubaud, David, 2019, "Co-explosivity in the cryptocurrency market," Finance Research Letters, Elsevier, volume 29, issue C, pages 178-183, DOI: 10.1016/j.frl.2018.07.005.
• Aslanidis, Nektarios & Christiansen, Charlotte & Cipollini, Andrea, 2019, "Predicting bond betas using macro-finance variables," Finance Research Letters, Elsevier, volume 29, issue C, pages 193-199, DOI: 10.1016/j.frl.2018.07.007.
• Bouri, Elie & Gupta, Rangan & Roubaud, David, 2019, "Herding behaviour in cryptocurrencies," Finance Research Letters, Elsevier, volume 29, issue C, pages 216-221, DOI: 10.1016/j.frl.2018.07.008.
• Ardia, David & Bluteau, Keven & Rüede, Maxime, 2019, "Regime changes in Bitcoin GARCH volatility dynamics," Finance Research Letters, Elsevier, volume 29, issue C, pages 266-271, DOI: 10.1016/j.frl.2018.08.009.
• Kommel, Karl Arnold & Sillasoo, Martin & Lublóy, Ágnes, 2019, "Could crowdsourced financial analysis replace the equity research by investment banks?," Finance Research Letters, Elsevier, volume 29, issue C, pages 280-284, DOI: 10.1016/j.frl.2018.08.007.
• Bouri, Elie & Lau, Chi Keung Marco & Lucey, Brian & Roubaud, David, 2019, "Trading volume and the predictability of return and volatility in the cryptocurrency market," Finance Research Letters, Elsevier, volume 29, issue C, pages 340-346, DOI: 10.1016/j.frl.2018.08.015.
• Stavroyiannis, Stavros & Babalos, Vassilios & Bekiros, Stelios & Lahmiri, Salim, 2019, "Is anti-herding behavior spurious?," Finance Research Letters, Elsevier, volume 29, issue C, pages 379-383, DOI: 10.1016/j.frl.2018.09.003.
• Gozgor, Giray & Tiwari, Aviral Kumar & Demir, Ender & Akron, Sagi, 2019, "The relationship between Bitcoin returns and trade policy uncertainty," Finance Research Letters, Elsevier, volume 29, issue C, pages 75-82, DOI: 10.1016/j.frl.2019.03.016.
• Pierdzioch, Christian & Risse, Marian & Gupta, Rangan & Nyakabawo, Wendy, 2019, "On REIT returns and (un-)expected inflation: Empirical evidence based on Bayesian additive regression trees," Finance Research Letters, Elsevier, volume 30, issue C, pages 160-169, DOI: 10.1016/j.frl.2018.09.010.
• Troster, Victor & Tiwari, Aviral Kumar & Shahbaz, Muhammad & Macedo, Demian Nicolás, 2019, "Bitcoin returns and risk: A general GARCH and GAS analysis," Finance Research Letters, Elsevier, volume 30, issue C, pages 187-193, DOI: 10.1016/j.frl.2018.09.014.
• Wei, Yu & Qin, Songkun & Li, Xiafei & Zhu, Sha & Wei, Guiwu, 2019, "Oil price fluctuation, stock market and macroeconomic fundamentals: Evidence from China before and after the financial crisis," Finance Research Letters, Elsevier, volume 30, issue C, pages 23-29, DOI: 10.1016/j.frl.2019.03.028.
• Lei, Likun & Shang, Yue & Chen, Yongfei & Wei, Yu, 2019, "Does the financial crisis change the economic risk perception of crude oil traders? A MIDAS quantile regression approach," Finance Research Letters, Elsevier, volume 30, issue C, pages 341-351, DOI: 10.1016/j.frl.2018.10.016.
• Kumar, S.S.S. & Sampath, Aravind, 2019, "What drives the off-shore futures market? Evidence from India and China," Finance Research Letters, Elsevier, volume 30, issue C, pages 394-402, DOI: 10.1016/j.frl.2018.11.001.
• Wu, Shan & Tong, Mu & Yang, Zhongyi & Derbali, Abdelkader, 2019, "Does gold or Bitcoin hedge economic policy uncertainty?," Finance Research Letters, Elsevier, volume 31, issue C, pages 171-178, DOI: 10.1016/j.frl.2019.04.001.
• Tu, Zhiyong & Xue, Changyong, 2019, "Effect of bifurcation on the interaction between Bitcoin and Litecoin," Finance Research Letters, Elsevier, volume 31, issue C, DOI: 10.1016/j.frl.2018.12.010.
• Geuder, Julian & Kinateder, Harald & Wagner, Niklas F., 2019, "Cryptocurrencies as financial bubbles: The case of Bitcoin," Finance Research Letters, Elsevier, volume 31, issue C, DOI: 10.1016/j.frl.2018.11.011.
• Bissoondeeal, Rakesh K. & Karoglou, Michail & Binner, Jane M., 2019, "Structural changes and the role of monetary aggregates in the UK," Journal of Financial Stability, Elsevier, volume 42, issue C, pages 100-107, DOI: 10.1016/j.jfs.2019.05.007.
• Zhao, Xiaobing & Du, Ding & Xiong, Jun & Springer, Abraham & Masek Lopez, Sharon R. & Winkler, Blake & Hubler, Kenedy, 2019, "The impact of forest restoration on agriculture in the Verde River watershed, Arizona, USA," Forest Policy and Economics, Elsevier, volume 109, issue C, DOI: 10.1016/j.forpol.2019.101999.
• McMillan, David G., 2019, "Cross-asset relations, correlations and economic implications," Global Finance Journal, Elsevier, volume 41, issue C, pages 60-78, DOI: 10.1016/j.gfj.2019.02.003.
• Clemente, Jesús & Lázaro-Alquézar, Angelina & Montañés, Antonio, 2019, "Convergence in Spanish Public health expenditure: Has the decentralization process generated disparities?," Health Policy, Elsevier, volume 123, issue 5, pages 503-507, DOI: 10.1016/j.healthpol.2019.03.003.
• Inoue, Atsushi & Rossi, Barbara, 2019, "The effects of conventional and unconventional monetary policy on exchange rates," Journal of International Economics, Elsevier, volume 118, issue C, pages 419-447, DOI: 10.1016/j.jinteco.2019.01.015.
• Delsing, G.A. & Mandjes, M.R.H. & Spreij, P.J.C. & Winands, E.M.M., 2019, "An optimization approach to adaptive multi-dimensional capital management," Insurance: Mathematics and Economics, Elsevier, volume 84, issue C, pages 87-97, DOI: 10.1016/j.insmatheco.2018.10.001.
• Charles, Amélie & Darné, Olivier, 2019, "The accuracy of asymmetric GARCH model estimation," International Economics, Elsevier, volume 157, issue C, pages 179-202, DOI: 10.1016/j.inteco.2018.11.001.
• Charles, Amélie & Darné, Olivier, 2019, "Volatility estimation for Bitcoin: Replication and robustness," International Economics, Elsevier, volume 157, issue C, pages 23-32, DOI: 10.1016/j.inteco.2018.06.004.
• Yaya, OlaOluwa S. & Ling, Pui Kiew & Furuoka, Fumitaka & Rose Ezeoke, Chinyere Mary & Jacob, Ray Ikechukwu, 2019, "Can West African countries catch up with Nigeria? Evidence from smooth nonlinearity method in fractional unit root framework," International Economics, Elsevier, volume 158, issue C, pages 51-63, DOI: 10.1016/j.inteco.2019.02.004.
• Caporale, Guglielmo Maria & Gil-Alaña, Luis, 2019, "Testing the Fisher hypothesis in the G-7 countries using I(d) techniques," International Economics, Elsevier, volume 159, issue C, pages 140-150, DOI: 10.1016/j.inteco.2019.07.002.
• Lyócsa, Štefan & Molnár, Peter & Plíhal, Tomáš, 2019, "Central bank announcements and realized volatility of stock markets in G7 countries," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 58, issue C, pages 117-135, DOI: 10.1016/j.intfin.2018.09.010.
• Cho, Dooyeon & Chun, Sungju, 2019, "Can structural changes in the persistence of the forward premium explain the forward premium anomaly?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 58, issue C, pages 225-235, DOI: 10.1016/j.intfin.2018.11.003.
• Götz, Thomas B. & Knetsch, Thomas A., 2019, "Google data in bridge equation models for German GDP," International Journal of Forecasting, Elsevier, volume 35, issue 1, pages 45-66, DOI: 10.1016/j.ijforecast.2018.08.001.
• Szafranek, Karol, 2019, "Bagged neural networks for forecasting Polish (low) inflation," International Journal of Forecasting, Elsevier, volume 35, issue 3, pages 1042-1059, DOI: 10.1016/j.ijforecast.2019.04.007.
• Naimoli, Antonio & Storti, Giuseppe, 2019, "Heterogeneous component multiplicative error models for forecasting trading volumes," International Journal of Forecasting, Elsevier, volume 35, issue 4, pages 1332-1355, DOI: 10.1016/j.ijforecast.2019.06.002.
• Uniejewski, Bartosz & Marcjasz, Grzegorz & Weron, Rafał, 2019, "Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO," International Journal of Forecasting, Elsevier, volume 35, issue 4, pages 1533-1547, DOI: 10.1016/j.ijforecast.2019.02.001.
• Berge, Travis J. & Chang, Andrew C. & Sinha, Nitish R., 2019, "Evaluating the conditionality of judgmental forecasts," International Journal of Forecasting, Elsevier, volume 35, issue 4, pages 1627-1635, DOI: 10.1016/j.ijforecast.2019.03.026.
• Granziera, Eleonora & Sekhposyan, Tatevik, 2019, "Predicting relative forecasting performance: An empirical investigation," International Journal of Forecasting, Elsevier, volume 35, issue 4, pages 1636-1657, DOI: 10.1016/j.ijforecast.2019.01.010.
• Wang, Yudong & Pan, Zhiyuan & Liu, Li & Wu, Chongfeng, 2019, "Oil price increases and the predictability of equity premium," Journal of Banking & Finance, Elsevier, volume 102, issue C, pages 43-58, DOI: 10.1016/j.jbankfin.2019.03.009.
• Lazar, Emese & Zhang, Ning, 2019, "Model risk of expected shortfall," Journal of Banking & Finance, Elsevier, volume 105, issue C, pages 74-93, DOI: 10.1016/j.jbankfin.2019.05.017.
• Strohsal, Till & Proaño, Christian R. & Wolters, Jürgen, 2019, "Characterizing the financial cycle: Evidence from a frequency domain analysis," Journal of Banking & Finance, Elsevier, volume 106, issue C, pages 568-591, DOI: 10.1016/j.jbankfin.2019.06.010.
• Liao, Yin & Anderson, Heather M., 2019, "Testing for cojumps in high-frequency financial data: An approach based on first-high-low-last prices," Journal of Banking & Finance, Elsevier, volume 99, issue C, pages 252-274, DOI: 10.1016/j.jbankfin.2018.12.005.
• Fan, Ying & Yang, Zan & Yavas, Abdullah, 2019, "Understanding real estate price dynamics: The case of housing prices in five major cities of China✰," Journal of Housing Economics, Elsevier, volume 43, issue C, pages 37-55, DOI: 10.1016/j.jhe.2018.09.003.
• Okimoto, Tatsuyoshi, 2019, "Trend inflation and monetary policy regimes in Japan," Journal of International Money and Finance, Elsevier, volume 92, issue C, pages 137-152, DOI: 10.1016/j.jimonfin.2018.12.008.
• Chen, Jian & Jiang, Fuwei & Xue, Shuyu & Yao, Jiaquan, 2019, "The world predictive power of U.S. equity market skewness risk," Journal of International Money and Finance, Elsevier, volume 96, issue C, pages 210-227, DOI: 10.1016/j.jimonfin.2019.05.003.
• Gronwald, Marc, 2019, "Is Bitcoin a Commodity? On price jumps, demand shocks, and certainty of supply," Journal of International Money and Finance, Elsevier, volume 97, issue C, pages 86-92, DOI: 10.1016/j.jimonfin.2019.06.006.
• Nguyen, Thi-Ngoc Anh & Sato, Kiyotaka, 2019, "Firm predicted exchange rates and nonlinearities in pricing-to-market," Journal of the Japanese and International Economies, Elsevier, volume 53, issue C, pages 1-1, DOI: 10.1016/j.jjie.2019.101035.
• Liu, Xiaochun, 2019, "On tail fatness of macroeconomic dynamics," Journal of Macroeconomics, Elsevier, volume 62, issue C, DOI: 10.1016/j.jmacro.2019.103154.
• Ghoshray, Atanu, 2019, "Do international primary commodity prices exhibit asymmetric adjustment?," Journal of Commodity Markets, Elsevier, volume 14, issue C, pages 40-50, DOI: 10.1016/j.jcomm.2018.08.002.
• Awan, Obaid A., 2019, "Price discovery or noise: The role of arbitrage and speculation in explaining crude oil price behaviour," Journal of Commodity Markets, Elsevier, volume 16, issue C, DOI: 10.1016/j.jcomm.2019.02.001.
• Udoh, Elijah A.P. & Udeaja, Elias A., 2019, "Asymmetric effects of financial dollarization on nominal exchange rate volatility in Nigeria," The Journal of Economic Asymmetries, Elsevier, volume 19, issue C, pages 1-1, DOI: 10.1016/j.jeca.2019.e00118.
• Dissou, Yazid & Nafie, Yousra, 2019, "Sustainability of current account deficits: Evidence from Egypt using an asymmetric ARDL model," The Journal of Economic Asymmetries, Elsevier, volume 20, issue C, DOI: 10.1016/j.jeca.2019.e00126.
• Maitra, Biswajit, 2019, "Macroeconomic impact of public debt and foreign aid in Sri Lanka," Journal of Policy Modeling, Elsevier, volume 41, issue 2, pages 372-394, DOI: 10.1016/j.jpolmod.2019.03.002.
• Folarin, Oludele E. & Asongu, Simplice A., 2019, "Financial liberalization and long-run stability of money demand in Nigeria," Journal of Policy Modeling, Elsevier, volume 41, issue 5, pages 963-980, DOI: 10.1016/j.jpolmod.2019.04.005.
• Salmanzadeh-Meydani, N. & Fatemi Ghomi, S.M.T., 2019, "The causal relationship among electricity consumption, economic growth and capital stock in Iran," Journal of Policy Modeling, Elsevier, volume 41, issue 6, pages 1230-1256, DOI: 10.1016/j.jpolmod.2019.05.003.
• Gil-Alana, Luis A. & Monge, Manuel, 2019, "Lithium: Production and estimated consumption. Evidence of persistence," Resources Policy, Elsevier, volume 60, issue C, pages 198-202, DOI: 10.1016/j.resourpol.2019.01.006.
• Nawaz, Kishwar & Lahiani, Amine & Roubaud, David, 2019, "Natural resources as blessings and finance-growth nexus: A bootstrap ARDL approach in an emerging economy," Resources Policy, Elsevier, volume 60, issue C, pages 277-287, DOI: 10.1016/j.resourpol.2019.01.007.
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• Singh, Jitendra & Ahmad, Wasim & Mishra, Anil, 2019, "Coherence, connectedness and dynamic hedging effectiveness between emerging markets equities and commodity index funds," Resources Policy, Elsevier, volume 61, issue C, pages 441-460, DOI: 10.1016/j.resourpol.2018.03.006.
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• Troster, Victor & Bouri, Elie & Roubaud, David, 2019, "A quantile regression analysis of flights-to-safety with implied volatilities," Resources Policy, Elsevier, volume 62, issue C, pages 482-495, DOI: 10.1016/j.resourpol.2018.10.004.
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• Shahzad, Syed Jawad Hussain & Mensi, Walid & Hammoudeh, Shawkat & Sohail, Asiya & Al-Yahyaee, Khamis Hamed, 2019, "Does gold act as a hedge against different nuances of inflation? Evidence from Quantile-on-Quantile and causality-in- quantiles approaches," Resources Policy, Elsevier, volume 62, issue C, pages 602-615, DOI: 10.1016/j.resourpol.2018.11.008.
• Pal, Debdatta & Mitra, Subrata Kumar, 2019, "Asymmetric oil price transmission to the purchasing power of the U.S. dollar: A multiple threshold NARDL modelling approach," Resources Policy, Elsevier, volume 64, issue C, DOI: 10.1016/j.resourpol.2019.101508.
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• Narayan, Paresh Kumar & Phan, Dinh Hoang Bach, 2019, "A survey of Islamic banking and finance literature: Issues, challenges and future directions," Pacific-Basin Finance Journal, Elsevier, volume 53, issue C, pages 484-496, DOI: 10.1016/j.pacfin.2017.06.006.
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• Radivojević, Nikola & Cvijanović, Drago & Sekulic, Dejan & Pavlovic, Dejana & Jovic, Srdjan & Maksimović, Goran, 2019, "Econometric model of non-performing loans determinants," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 520, issue C, pages 481-488, DOI: 10.1016/j.physa.2019.01.015.
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• Adebola, Solarin Sakiru & Gil-Alana, Luis A. & Madigu, Godfrey, 2019, "Gold prices and the cryptocurrencies: Evidence of convergence and cointegration," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 523, issue C, pages 1227-1236, DOI: 10.1016/j.physa.2019.04.123.
• Liu, Jing & Ma, Feng & Zhang, Yaojie, 2019, "Forecasting the Chinese stock volatility across global stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 525, issue C, pages 466-477, DOI: 10.1016/j.physa.2019.03.097.
• Han, Chenyu & Wang, Yiming & Ning, Ye, 2019, "Analysis and comparison of the multifractality and efficiency of Chinese stock market: Evidence from dynamics of major indexes in different boards," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 528, issue C, DOI: 10.1016/j.physa.2019.121305.
• Yaya, OlaOluwa S. & Ogbonna, Ahamuefula E. & Olubusoye, Olusanya E., 2019, "How persistent and dynamic inter-dependent are pricing of Bitcoin to other cryptocurrencies before and after 2017/18 crash?," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 531, issue C, DOI: 10.1016/j.physa.2019.121732.
• Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian, 2019, "Forecasting (downside and upside) realized exchange-rate volatility: Is there a role for realized skewness and kurtosis?," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 532, issue C, DOI: 10.1016/j.physa.2019.121867.
• Balcilar, Mehmet & Ozdemir, Zeynel Abidin, 2019, "The volatility effect on precious metals price returns in a stochastic volatility in mean model with time-varying parameters," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 534, issue C, DOI: 10.1016/j.physa.2019.122329.
• González-Pla, Francisco & Lovreta, Lidija, 2019, "Persistence in firm’s asset and equity volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 535, issue C, DOI: 10.1016/j.physa.2019.122265.
• Tiwari, Aviral Kumar & Raheem, Ibrahim Dolapo & Kang, Sang Hoon, 2019, "Time-varying dynamic conditional correlation between stock and cryptocurrency markets using the copula-ADCC-EGARCH model," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 535, issue C, DOI: 10.1016/j.physa.2019.122295.
• Han, Chenyu & Wang, Yiming & Ning, Ye, 2019, "Comparative analysis of the multifractality and efficiency of exchange markets: Evidence from exchange rates dynamics of major world currencies," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 535, issue C, DOI: 10.1016/j.physa.2019.122365.
• Sbrana, Giacomo & Silvestrini, Andrea, 2019, "Random switching exponential smoothing: A new estimation approach," International Journal of Production Economics, Elsevier, volume 211, issue C, pages 211-220, DOI: 10.1016/j.ijpe.2019.01.038.
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• Matkovskyy, Roman, 2019, "Centralized and decentralized bitcoin markets: Euro vs USD vs GBP," The Quarterly Review of Economics and Finance, Elsevier, volume 71, issue C, pages 270-279, DOI: 10.1016/j.qref.2018.09.005.
• Gil-Alana, Luis A. & Škare, Marinko & Pržiklas-Družeta, Romina, 2019, "Measuring inequality persistence in OECD 1963–2008 using fractional integration and cointegration," The Quarterly Review of Economics and Finance, Elsevier, volume 72, issue C, pages 65-72, DOI: 10.1016/j.qref.2018.12.006.
• Chang, Chia-Lin & Mai, Te-Ke & McAleer, Michael, 2019, "Establishing national carbon emission prices for China," Renewable and Sustainable Energy Reviews, Elsevier, volume 106, issue C, pages 1-16, DOI: 10.1016/j.rser.2019.01.063.
• Chang, Tsangyao & Gupta, Rangan & Majumdar, Anandamayee & Pierdzioch, Christian, 2019, "Predicting stock market movements with a time-varying consumption-aggregate wealth ratio," International Review of Economics & Finance, Elsevier, volume 59, issue C, pages 458-467, DOI: 10.1016/j.iref.2018.10.009.
• Lee, Byung-Joo, 2019, "Asian financial market integration and the role of Chinese financial market," International Review of Economics & Finance, Elsevier, volume 59, issue C, pages 490-499, DOI: 10.1016/j.iref.2018.10.012.
• Caporin, Massimiliano & Chang, Chia-Lin & McAleer, Michael, 2019, "Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?," International Review of Economics & Finance, Elsevier, volume 59, issue C, pages 50-70, DOI: 10.1016/j.iref.2018.08.003.
• Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & Maasoumi, Esfandiar & McAleer, Michael & Pérez-Amaral, Teodosio, 2019, "Choosing expected shortfall over VaR in Basel III using stochastic dominance," International Review of Economics & Finance, Elsevier, volume 60, issue C, pages 95-113, DOI: 10.1016/j.iref.2018.12.016.
• Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2019, "Long-term interest rates in Europe: A fractional cointegration analysis," International Review of Economics & Finance, Elsevier, volume 61, issue C, pages 170-178, DOI: 10.1016/j.iref.2019.02.004.
• Rahman, Md Lutfur & Shamsuddin, Abul & Lee, Doowon, 2019, "Predictive power of dividend yields and interest rates for stock returns in South Asia: Evidence from a bias-corrected estimator," International Review of Economics & Finance, Elsevier, volume 62, issue C, pages 267-286, DOI: 10.1016/j.iref.2019.04.010.
• Plakandaras, Vasilios & Gogas, Periklis & Papadimitriou, Theophilos & Gupta, Rangan, 2019, "A re-evaluation of the term spread as a leading indicator," International Review of Economics & Finance, Elsevier, volume 64, issue C, pages 476-492, DOI: 10.1016/j.iref.2019.07.002.
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• Abid, Ilyes & Dhaoui, Abderrazak & Goutte, Stéphane & Guesmi, Khaled, 2019, "Contagion and bond pricing: The case of the ASEAN region," Research in International Business and Finance, Elsevier, volume 47, issue C, pages 371-385, DOI: 10.1016/j.ribaf.2018.08.010.
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• Asongu, Simplice A. & Folarin, Oludele E. & Biekpe, Nicholas, 2019, "The long run stability of money demand in the proposed West African monetary union," Research in International Business and Finance, Elsevier, volume 48, issue C, pages 483-495, DOI: 10.1016/j.ribaf.2018.11.001.
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• Pönkä, Harri & Zheng, Yi, 2019, "The role of oil prices on the Russian business cycle," Research in International Business and Finance, Elsevier, volume 50, issue C, pages 70-78, DOI: 10.1016/j.ribaf.2019.04.011.
• Aldieri, Luigi & Bruno, Bruna & Vinci, Concetto Paolo, 2019, "Does environmental innovation make us happy? An empirical investigation," Socio-Economic Planning Sciences, Elsevier, volume 67, issue C, pages 166-172, DOI: 10.1016/j.seps.2018.10.008.
• Das, Sonali & Demirer, Riza & Gupta, Rangan & Mangisa, Siphumlile, 2019, "The effect of global crises on stock market correlations: Evidence from scalar regressions via functional data analysis," Structural Change and Economic Dynamics, Elsevier, volume 50, issue C, pages 132-147, DOI: 10.1016/j.strueco.2019.05.007.
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• Leo Krippner, 2019, "Will the Real Eigensystem VAR Please Stand Up? A Univariate Primer," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2019-01, Jan.
• Efrem Castelnuovo, 2019, "Yield Curve and Financial Uncertainty: Evidence Based on US Data," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2019-38, Jun.
• Efrem Castelnuovo, 2019, "Domestic and Global Uncertainty: A Survey and Some New Results," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2019-75, Oct.
• Rolando Caballero & Benigno Caballero & Claudia Bohórquez, 2019, "Análisis de la Inflación en Bolivia: Una Aproximación Markov Switching con Dos Estados," Cuadernos de Investigación Económica Boliviana, Ministerio de Economía y Finanzas Públicas de Bolivia, volume 3, issue 1, pages 47-88, Diciembre.
• Castañeda Sabido, Alejandro I. & Martínez Quintero, Oscar & Ruiz Pérez, Daniel, 2019, "La fijación de precios de reventa únicos por los editores de libros," El Trimestre Económico, Fondo de Cultura Económica, volume 86, issue 341, pages 5-27, enero-mar, DOI: http://dx.doi.org/10.20430/ete.v86i.
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• Frédérique Bec & Mélika Ben Salem, 2019, "Dornsbush revisited from an asymmetrical perspective : Evidence from G20 nominal effective exchange rates," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2019-12.
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• Isiaka Akande Raifu & Alarudeen Aminu, 2019, "Financial development and agricultural performance in Nigeria: what role do institutions play?," Agricultural Finance Review, Emerald Group Publishing Limited, volume 80, issue 2, pages 231-254, December, DOI: 10.1108/AFR-06-2018-0045.
• Stan Hurn & Kenneth A. Lindsay & Lina Xu, 2019, "Revisiting the numerical solution of stochastic differential equations," China Finance Review International, Emerald Group Publishing Limited, volume 9, issue 3, pages 312-323, August, DOI: 10.1108/CFRI-12-2018-0155.
• Letife Özdemir & Serap Vurur, 2019, "Volatility Spillovers Between BIST100 Index and S&P500 Index," Contemporary Studies in Economic and Financial Analysis, Emerald Group Publishing Limited, "Contemporary Issues in Behavioral Finance", DOI: 10.1108/S1569-375920190000101003.
• Nicholas Apergis & James E. Payne, 2019, "Convergence in condominium prices of major US metropolitan areas," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, volume 12, issue 6, pages 1113-1126, June, DOI: 10.1108/IJHMA-01-2019-0007.
• Andrew Adewale Alola, 2018, "Prescience evidence of the housing market and production sector performance nexus," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, volume 12, issue 1, pages 131-147, December, DOI: 10.1108/IJHMA-06-2018-0046.
• Arash Hadizadeh, 2019, "Are regional house prices stationary in Iran? New evidence using Fourier quantile unit root test," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, volume 12, issue 5, pages 849-864, August, DOI: 10.1108/IJHMA-11-2018-0088.
• Jian Yu & Xunpeng Shi & James Laurenceson, 2019, "Will the Chinese economy be more volatile in the future? Insights from urban household survey data," International Journal of Emerging Markets, Emerald Group Publishing Limited, volume 15, issue 4, pages 790-808, December, DOI: 10.1108/IJOEM-04-2019-0290.
• Simplice Asongu & Oludele Folarin & Nicholas Biekpe, 2019, "The stability of demand for money in the proposed Southern African Monetary Union," International Journal of Emerging Markets, Emerald Group Publishing Limited, volume 15, issue 2, pages 222-244, August, DOI: 10.1108/IJOEM-08-2018-0443.
• Shibananda Nayak & Mirza Allim Baig, 2019, "International reserves and domestic money market disequilibrium," International Journal of Emerging Markets, Emerald Group Publishing Limited, volume 14, issue 5, pages 1081-1101, August, DOI: 10.1108/IJOEM-10-2018-0536.
• Victor Owusu-Nantwi, 2019, "Foreign direct investment and institutional quality: empirical evidence from South America," Journal of Economic and Administrative Sciences, Emerald Group Publishing Limited, volume 35, issue 2, pages 66-78, June, DOI: 10.1108/JEAS-03-2018-0034.