Research classified by Journal of Economic Literature (JEL) codes

2022

• Graham L. Giller, 2022, "Politics, Schools, Public Health, and Language," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, "Adventures in Financial Data Science The Empirical Properties of Financial and Economic Data".
• Graham L. Giller, 2022, "Demographics and Survey Research," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, "Adventures in Financial Data Science The Empirical Properties of Financial and Economic Data".
• Graham L. Giller, 2022, "Coronavirus," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, "Adventures in Financial Data Science The Empirical Properties of Financial and Economic Data".
• Graham L. Giller, 2022, "Theory," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, "Adventures in Financial Data Science The Empirical Properties of Financial and Economic Data".
• Lucija Benko & Karlo Krstanović & Luka Sovulj, 2022, "Procjena učinaka pandemije koronavirusa na turističke dolaske i noćenja u Republici Hrvatskoj te na vrijednost CROBEXturist indeksa Zagrebačke burze," EFZG Working Papers Series, Faculty of Economics and Business, University of Zagreb, number 2201, Mar.
• Nam, Changwoo, 2022, "Investment and Business Cycles: Focusing on Firms' Capital Adjustment Costs," KDI Journal of Economic Policy, Korea Development Institute (KDI), volume 44, issue 1, pages 77-98, DOI: 10.23895/kdijep.2022.44.1.77.
• Dudda, Tom L. & Klein, Tony & Nguyen, Duc Khuong & Walther, Thomas, 2022, "Common Drivers of Commodity Futures?," QBS Working Paper Series, Queen's University Belfast, Queen's Business School, number 2022/05, DOI: 10.2139/ssrn.4231994.
• Duan, Fang, 2022, "Forecasting risk measures based on structural breaks in the correlation matrix," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 945, DOI: 10.4419/96973106.
• Fengler, Matthias & Polivka, Jeanine, 2022, "Identifying Structural Shocks to Volatility through a Proxy-MGARCH Model," VfS Annual Conference 2022 (Basel): Big Data in Economics, Verein für Socialpolitik / German Economic Association, number 264010.
• Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade, 2022, "A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2022-01, Jan.
• Kristoffer Pons Bertelsen, 2022, "The Prior Adaptive Group Lasso and the Factor Zoo," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2022-05, Jan.
• Mevlüt Camgöz, 2022, "Analysis of the Asymmetric Effects of Global Uncertainty Factors on BIST Stock Prices Evidence from NARDL Model," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., volume 37, issue 118, pages 71-100, October, DOI: https://doi.org/10.33203/mfy.110340.
• Teodora Cristina Barbu & Cosmin-Octavian Cepoi & Crina Raluca Petrescu & Mariana Vuta, 2022, "The Assessment of Climate Risk Impact on the Economy: A Panel Data Approach," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, volume 24, issue 61, pages 597-597, August.
• Dan Ioan Topor & Andreea Marin-Pantelescu & Adela Socol & Oana Raluca Ivan, 2022, "Decarbonization of the Romanian Economy: An ARDL and KRLS Approach of Ecological Footprint," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, volume 24, issue 61, pages 664-664, August.
• Mehmet Eraslan & Selahattin Koç, 2022, "Endeks Vadeli İşlemlerin Pay Senedi Endeksleri Üzerindeki Volatilite Etkisi: Asya-Pasifik Ülkeleri Üzerine Bir Araştırma," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, volume 7, issue 2, pages 567-589, DOI: 10.30784/epfad.1107940.
• Hüseyin Özdemir, 2022, "Altının Riskten Korunma Etkinliği: Farklı Dinamik Portföy Yaklaşımları İle Bankacılık Sektörü İçin Bir Analiz," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, volume 7, issue 4, pages 889-908, DOI: 10.30784/epfad.1217479.
• Esengül Salihoğlu, 2022, "Türkiye’de Katılım Bankacılığı Büyüklüğünü Etkileyen Seçilmiş Faktörler Üzerine Bir Analiz," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, volume 7, issue SI, pages 211-234, DOI: 10.30784/epfad.1148425.
• Ebubekir Mollaahmetoğlu & Burçay Yaşar Akçalı, 2022, "Elektronik Ürün Senedi (ELÜS) Endeksleri ile ABD Dolar Endeksi ve Dolar Kuru Arasındaki İlişkinin Simetrik ve Asimetrik Nedensellik Testleri ile Analizi," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, volume 7, issue SI, pages 45-60, DOI: 10.30784/epfad.1149349.
• Attila Szora TAMAȘ & Alexandra Delia BUGNARIU & Dan Ioan TOPOR & Dan Mihai MUREȘAN, 2022, "The Impact of Determinant Factors on Production Cost Variation – An Empirical Study," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 24, pages 83-90, November.
• Cristian DOGAR & Irimie Emil POPA, 2022, "Ï»¿Romanian Efficiency In European Social Fund Implementation, An Assumed Choice Between Eligible Activities And Program Indicators," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 2, issue 24, pages 1-5.
• Stefano Giglio & Bryan Kelly & Dacheng Xiu, 2022, "Factor Models, Machine Learning, and Asset Pricing," Annual Review of Financial Economics, Annual Reviews, volume 14, issue 1, pages 337-368, November, DOI: 10.1146/annurev-financial-101521-10.
• Майданов С.Ж. // Maidanov S.Zh. & Табарак Ы.Ж. // Tabarak Y.Zh., 2022, "Совершенствование моделей прогнозирования объема наличных денег в обращении в Республике Казахстан // Improving the models for forecasting the volume of cash in circulation in the Republic of Kazakhstan," Economic Review(National Bank of Kazakhstan), National Bank of Kazakhstan, issue 2, pages 4-21.
• Oscar Claveria & Enric Monte & Petar Soric & Salvador Torra, 2022, "“An application of deep learning for exchange rate forecasting”," AQR Working Papers, University of Barcelona, Regional Quantitative Analysis Group, number 202201, Jan, revised Jan 2022.
• Victor Olkhov, 2022, "Market-Based Asset Price Probability," Papers, arXiv.org, number 2205.07256, May, revised Jan 2026.
• Gaetan Bakalli & St'ephane Guerrier & Olivier Scaillet, 2022, "A penalized two-pass regression to predict stock returns with time-varying risk premia," Papers, arXiv.org, number 2208.00972, Aug.
• H. Peter Boswijk & Roger J. A. Laeven & Evgenii Vladimirov, 2022, "Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation," Papers, arXiv.org, number 2210.06217, Oct.
• Reza Bradrania & Davood Pirayesh Neghab, 2022, "State-dependent Asset Allocation Using Neural Networks," Papers, arXiv.org, number 2211.00871, Nov.
• Timo Dimitriadis & Roxana Halbleib & Jeannine Polivka & Jasper Rennspies & Sina Streicher & Axel Friedrich Wolter, 2022, "Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models," Papers, arXiv.org, number 2212.11833, Dec, revised Oct 2025.
• Carlos Moreno Pérez & Marco Minozzo, 2022, "Natural Language Processing and Financial Markets: Semi-supervised Modelling of Coronavirus and Economic News," Working Papers, Banco de España, number 2228, Aug.
• Matteo Alpino & Luca Citino & Federica Zeni, 2022, "Costs and benefits of the green transition envisaged in the italian NRRP. An evaluation using the Social Cost of Carbon," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 720, Oct.
• Giulio Gariano & Gianluca Viggiano, 2022, "Press news and social media in credit risk assessment: the experience of Banca d’Italia’s In-house Credit Assessment System," Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems), Bank of Italy, Directorate General for Markets and Payment System, number 24, Jul.
• Sara Cecchetti & Adriana Grasso & Marcello Pericoli, 2022, "An analysis of objective inflation expectations and inflation risk premia," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1380, Jul.
• Fredy Gamboa-Estrada & José Vicente Romero, 2022, "Modelling CDS Volatility at Different Tenures: An Application for Latin-American Countries," Borradores de Economia, Banco de la Republica de Colombia, number 1199, May, DOI: 10.32468/be.1199.
• Ali Cüneyt ÇETİN, 2022, "Kredi Temerrüt Takasları Primi ile BIST 100 Endeksi, Döviz Kuru ve Faiz Arasındaki İlişki Türkiye Örneği," Bingol University Journal of Economics and Administrative Sciences, Bingol University, Faculty of Economics and Administrative Sciences, volume 6, issue 1, pages 39-77, August, DOI: https://doi.org/10.33399/biibfad.92.
• Laura Capota & Margherita Giuzio & Sujit Kapadia & Dilyara Salakhova, 2022, "Are ethical and green investment funds more resilient?," IFC Bulletins chapters, Bank for International Settlements, in: Bank for International Settlements, "Statistics for Sustainable Finance".
• Thiago Christiano Silva & Sergio Rubens Stancato de Souza & Solange Maria Guerra, 2022, "Covid-19 and market power in local credit markets: the role of digitalization," BIS Working Papers, Bank for International Settlements, number 1017, May.
• Aleksei Kipriyanov, 2022, "Comparison of Models for Growth-at-Risk Forecasting," Russian Journal of Money and Finance, Bank of Russia, volume 81, issue 1, pages 23-45, March, DOI: 10.31477/rjmf.202201.23.
• Evgeny Moiseev & Denis Zagorodnev & Alexander Berezinskiy & Roman Tikhonov, 2022, "A Method for Assessing the IT Component of Model Risk and the Economic Capital to Cover It," Russian Journal of Money and Finance, Bank of Russia, volume 81, issue 3, pages 107-127, September.
• Laurent Barras & Patrick Gagliardini & Olivier Scaillet, 2022, "Skill, Scale, and Value Creation in the Mutual Fund Industry," Journal of Finance, American Finance Association, volume 77, issue 1, pages 601-638, February, DOI: 10.1111/jofi.13096.
• CLEMENT Claudiu, 2022, "Balanced Bagging With Expectation Maximization Imputation In Bankruptcy Prediction - Application On Romanian Companies," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, volume 74, issue 1, pages 40-50, August, DOI: 10.56043/reveco-2022-0003.
• SERBU Razvan Sorin & IANCU Adrian-Nicolae & ROTAR Eugen, 2022, "A Possible Predictive Causality Between The New Global Trend, Environmental, Social, And Governance (Esg) And Market Sentiment Through "Gold Futures/Vix" Ratio," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, volume 74, issue 4, pages 91-99, December, DOI: 10.56043/reveco-2022-0040.
• Simon Jurkatis, 2022, "Why you should not use the LSV herding measure," Bank of England Staff Working Paper series, Bank of England, number 959, Jan.
• Iryna Kaminska & Haroon Mumtaz, 2022, "Monetary policy transmission during QE times: role of expectations and term premia channels," Bank of England Staff Working Paper series, Bank of England, number 978, May.
• Miguel Ampudia & Filippo Busetto & Fabio Fornari, 2022, "Chronicle of a death foretold: does higher volatility anticipate corporate default?," Bank of England Staff Working Paper series, Bank of England, number 1001, Oct.
• Taufemback Cleiton G. & Troster Victor & Shahbaz Muhammad, 2022, "A Robust Test for Monotonicity in Asset Returns," Journal of Time Series Econometrics, De Gruyter, volume 14, issue 1, pages 1-24, January, DOI: 10.1515/jtse-2019-0068.
• Kaldorf Matthias & Wied Dominik, 2022, "Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 26, issue 1, pages 1-24, February, DOI: 10.1515/snde-2019-0043.
• Shang Han Lin & Zhang Xibin, 2022, "Bayesian bandwidth estimation for local linear fitting in nonparametric regression models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 26, issue 1, pages 55-71, February, DOI: 10.1515/snde-2018-0050.
• Elise Alfieri & Yann Ferrat, 2022, "Une meilleure rémunération des mineurs : un effet positif sur la performance financière des cryptomonnaies," Innovations, De Boeck Université, volume 0, issue 2, pages 53-77.
• Alves, C., 2022, "Joan Robinson in 1942, an encounter between Marxian Economics and Macroeconomics," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2226, Apr.
• Linton, O. B. & Tang, H. & Wu, J., 2022, "A Structural Dynamic Factor Model for Daily Global Stock Market Returns," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2237, Jun.
• Ashby, M. & Linton, O. B., 2022, "Do Consumption-based Asset Pricing Models Explain Own-history Predictability in Stock Market Returns?," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2259, Oct.
• Daniele Bianchi & Mykola Babiak & Alexander Dickerson, 2022, "Trading Volume and Liquidity Provision in Cryptocurrency Markets," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp730, Jun.
• Gregory Boadu-Sebbe, 2022, "Effect of Exchange-Traded Funds Arbitrage Transactions on their Underlying Holdings," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp738, Oct.
• 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.
• Didier Sornette & Florian Ulmann & Alexander Wehrli, 2022, "On the Directional Destabilizing Feedback Effects of Option Hedging," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-34, Apr.
• Bryan T. Kelly & Semyon Malamud & Kangying Zhou, 2022, "The Virtue of Complexity Everywhere," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-57, Jul.
• Eduardo Sandoval Álamos & Fernando Olea Rodr�guez, 2022, "Uso del endeudamiento y desempeno en los mercados accionarios. El caso de sociedades anónimas de Brasil, Chile, México y Perú," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, volume 41, issue 86, pages 129-157.
• Michael Demmler & Amilcar Orlian Fern�ndez Dom�nguez, 2022, "Speculative bubble tendencies in time series of Bitcoin market prices," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, volume 41, issue 86, pages 159-183.
• Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2022, "We modeled long memory with just one lag!," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2022016, Apr.
• Bauwens, Luc & Otranto, Edoardo, 2022, "Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 3202, Mar, DOI: https://doi.org/10.1093/jjfinec/nba.
• Kelly, Bryan & Malamud, Semyon & Zhou, Kangying, 2022, "The Virtue of Complexity in Return Prediction," CEPR Discussion Papers, Centre for Economic Policy Research, number 17194, Apr.
• Bjoern Schulte-Tillman & Mawuli Segnon & Bernd Wilfling, 2022, "Financial-market volatility prediction with multiplicative Markov-switching MIDAS components," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 9922, Jun.
• 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.
• Jia Li & Peter C. B. Phillips & Shuping Shi & Jun Yu, 2022, "Weak Identification of Long Memory with Implications for Inference," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2334, Jun.
• SOSA-CASTRO, Miriam, 2022, "Equity Market Volatility Impact On S&P 500 Sector Indexes, 1989-2021," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 22, issue 1, pages 39-60.
• Bua, Giovanna & Kapp, Daniel & Ramella, Federico & Rognone, Lavinia, 2022, "Transition versus physical climate risk pricing in European financial markets: a text-based approach," Working Paper Series, European Central Bank, number 2677, Jul.
• Del Vecchio, Leonardo & Giglio, Carla & Shaw, Frances & Spanò, Guido & Cappelletti, Giuseppe, 2022, "A sensitivities based CoVaR approach to assets commonality and its application to SSM banks," Working Paper Series, European Central Bank, number 2725, Sep.
• Capotă, Laura-Dona & Giuzio, Margherita & Kapadia, Sujit & Salakhova, Dilyara, 2022, "Are ethical and green investment funds more resilient?," Working Paper Series, European Central Bank, number 2747, Nov.
• Ampudia, Miguel & Busetto, Filippo & Fornari, Fabio, 2022, "Chronicle of a death foretold: does higher volatility anticipate corporate default?," Working Paper Series, European Central Bank, number 2749, Nov.
• Lamia Kalai, 2022, "Time Varying Dependence in the Cryptocurrency Market and COVID 19 Panic Index: An Empirical Investigation," International Journal of Economics and Financial Issues, Econjournals, volume 12, issue 2, pages 37-51, March.
• Sijia Zhao & Ying Liu & Benfu Lv & Zijian Shangguan, 2022, "How Government Information Release Affect Stock Market during Dramatic Public Health Shocks? The Intermediating Role of Public Sentiment," International Journal of Economics and Financial Issues, Econjournals, volume 12, issue 3, pages 60-67, May.
• Caner Ozdurak & Alican Umut & Tugba Ozay, 2022, "The Interaction of Major Crypto-assets, Clean Energy, and Technology Indices in Diversified Portfolios," International Journal of Energy Economics and Policy, Econjournals, volume 12, issue 2, pages 480-490, March.
• Nurkhodzha Akbulaev & Elshan Mammadli & Gadir Bayramli, 2022, "The Effect of Energy Prices on Stock Indices in the Period of COVID-19: Evidence from Russia, Turkey, Brazil, and India," International Journal of Energy Economics and Policy, Econjournals, volume 12, issue 3, pages 262-269, May.
• Bharat Kumar Meher & Iqbal Thonse Hawaldar & Santosh Kumar & Abhishek Kumar Gupta, 2022, "Modelling Market Indices, Commodity Market Prices and Stock Prices of Energy Sector using VAR with Variance Decomposition Model," International Journal of Energy Economics and Policy, Econjournals, volume 12, issue 4, pages 122-130, July.
• Erman Arif & Dodi Devianto & Mutia Yollanda & Afrimayani Afrimayani, 2022, "Analysis of Precious Metal Price Movements Using Long Memory Model and Fuzzy Time Series Markov Chain," International Journal of Energy Economics and Policy, Econjournals, volume 12, issue 6, pages 202-214, November.
• Zema, Sebastiano Michele, 2022, "Directed acyclic graph based information shares for price discovery," Journal of Economic Dynamics and Control, Elsevier, volume 139, issue C, DOI: 10.1016/j.jedc.2022.104434.
• Anatolyev, Stanislav & Pyrlik, Vladimir, 2022, "Copula shrinkage and portfolio allocation in ultra-high dimensions," Journal of Economic Dynamics and Control, Elsevier, volume 143, issue C, DOI: 10.1016/j.jedc.2022.104508.
• Gouriéroux, C. & Monfort, A. & Renne, J.-P., 2022, "Required Capital for Long-Run Risks," Journal of Economic Dynamics and Control, Elsevier, volume 144, issue C, DOI: 10.1016/j.jedc.2022.104502.
• Uquillas, Adriana & Tonato, Ronny, 2022, "Inter-portfolio credit risk contagion including macroeconomic and financial factors: A case study for Ecuador," Economic Analysis and Policy, Elsevier, volume 73, issue C, pages 299-320, DOI: 10.1016/j.eap.2021.11.006.
• Qu, Hui & Zhang, Yi, 2022, "Asymmetric multivariate HAR models for realized covariance matrix: A study based on volatility timing strategies," Economic Modelling, Elsevier, volume 106, issue C, DOI: 10.1016/j.econmod.2021.105699.
• Naimoli, Antonio & Gerlach, Richard & Storti, Giuseppe, 2022, "Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators," Economic Modelling, Elsevier, volume 107, issue C, DOI: 10.1016/j.econmod.2021.105701.
• Reboredo, Juan C. & Ugolini, Andrea & Ojea-Ferreiro, Javier, 2022, "Do green bonds de-risk investment in low-carbon stocks?," Economic Modelling, Elsevier, volume 108, issue C, DOI: 10.1016/j.econmod.2022.105765.
• Wang, Tianyi & Liang, Fang & Huang, Zhuo & Yan, Hong, 2022, "Do realized higher moments have information content? - VaR forecasting based on the realized GARCH-RSRK model," Economic Modelling, Elsevier, volume 109, issue C, DOI: 10.1016/j.econmod.2022.105781.
• Insana, Alessandra, 2022, "Does systematic risk change when markets close? An analysis using stocks’ beta," Economic Modelling, Elsevier, volume 109, issue C, DOI: 10.1016/j.econmod.2022.105782.
• Bucci, Andrea & Ciciretti, Vito, 2022, "Market regime detection via realized covariances," Economic Modelling, Elsevier, volume 111, issue C, DOI: 10.1016/j.econmod.2022.105832.
• Lien, Donald & Zhang, Jiewen & Yu, Xiaojian, 2022, "Effects of economic policy uncertainty: A regime switching connectedness approach," Economic Modelling, Elsevier, volume 113, issue C, DOI: 10.1016/j.econmod.2022.105879.
• Deng, Chao & Su, Xiaojian & Wang, Gangjin & Peng, Cheng, 2022, "The existence of flight-to-quality under extreme conditions: Evidence from a nonlinear perspective in Chinese stocks and bonds' sectors," Economic Modelling, Elsevier, volume 113, issue C, DOI: 10.1016/j.econmod.2022.105895.
• Ojea-Ferreiro, Javier & Reboredo, Juan C., 2022, "Exchange rates and the global transmission of equity market shocks," Economic Modelling, Elsevier, volume 114, issue C, DOI: 10.1016/j.econmod.2022.105914.
• Liu, Zhenhua & Zhang, Huiying & Ding, Zhihua & Lv, Tao & Wang, Xu & Wang, Deqing, 2022, "When are the effects of economic policy uncertainty on oil–stock correlations larger? Evidence from a regime-switching analysis," Economic Modelling, Elsevier, volume 114, issue C, DOI: 10.1016/j.econmod.2022.105941.
• Jiang, Kunliang & Ye, Wuyi, 2022, "Does the asymmetric dependence volatility affect risk spillovers between the crude oil market and BRICS stock markets?," Economic Modelling, Elsevier, volume 117, issue C, DOI: 10.1016/j.econmod.2022.106046.
• Xu, Qiuhua & Yan, Haoyang & Zhao, Tianyu, 2022, "Contagion effect of systemic risk among industry sectors in China’s stock market," The North American Journal of Economics and Finance, Elsevier, volume 59, issue C, DOI: 10.1016/j.najef.2021.101576.
• Aloui, Chaker & Asadov, Alam & Al-kayed, Lama & Hkiri, Besma & Danila, Nevi, 2022, "Impact of the COVID-19 outbreak and its related announcements on the Chinese conventional and Islamic stocks’ connectedness," The North American Journal of Economics and Finance, Elsevier, volume 59, issue C, DOI: 10.1016/j.najef.2021.101585.
• Choi, Sun-Yong, 2022, "Dynamic volatility spillovers between industries in the US stock market: Evidence from the COVID-19 pandemic and Black Monday," The North American Journal of Economics and Finance, Elsevier, volume 59, issue C, DOI: 10.1016/j.najef.2021.101614.
• Mahadeo, Scott M.R. & Heinlein, Reinhold & Legrenzi, Gabriella D., 2022, "Contagion testing in frontier markets under alternative stressful S&P 500 market scenarios," The North American Journal of Economics and Finance, Elsevier, volume 60, issue C, DOI: 10.1016/j.najef.2021.101629.
• Mokni, Khaled & Bouteska, Ahmed & Nakhli, Mohamed Sahbi, 2022, "Investor sentiment and Bitcoin relationship: A quantile-based analysis," The North American Journal of Economics and Finance, Elsevier, volume 60, issue C, DOI: 10.1016/j.najef.2022.101657.
• Esparcia, Carlos & Jareño, Francisco & Umar, Zaghum, 2022, "Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, volume 61, issue C, DOI: 10.1016/j.najef.2022.101677.
• Zhu, Huiming & Chen, Yiwen & Ren, Yinghua & Xing, Zhanming & Hau, Liya, 2022, "Time-frequency causality and dependence structure between crude oil, EPU and Chinese industry stock: Evidence from multiscale quantile perspectives," The North American Journal of Economics and Finance, Elsevier, volume 61, issue C, DOI: 10.1016/j.najef.2022.101698.
• Trabelsi, Nader & Tiwari, Aviral Kumar & Hammoudeh, Shawkat, 2022, "Spillovers and directional predictability between international energy commodities and their implications for optimal portfolio and hedging," The North American Journal of Economics and Finance, Elsevier, volume 62, issue C, DOI: 10.1016/j.najef.2022.101715.
• Pan, Zhiyuan & Shuai, Jiangyu & Liang, Zhilei & Sun, Xianchao, 2022, "Jump dynamics, spillover effect and option valuation," The North American Journal of Economics and Finance, Elsevier, volume 62, issue C, DOI: 10.1016/j.najef.2022.101717.
• Caporin, Massimiliano & Poli, Francesco, 2022, "News and intraday jumps: Evidence from regularization and class imbalance," The North American Journal of Economics and Finance, Elsevier, volume 62, issue C, DOI: 10.1016/j.najef.2022.101743.
• Maneejuk, Paravee & Kaewtathip, Nuttaphong & Jaipong, Peemmawat & Yamaka, Woraphon, 2022, "The transition of the global financial markets' connectedness during the COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, volume 63, issue C, DOI: 10.1016/j.najef.2022.101816.
• Tan, Sook-Rei & Li, Changtai & Yeap, Xiu Wei, 2022, "A time-varying copula approach for constructing a daily financial systemic stress index," The North American Journal of Economics and Finance, Elsevier, volume 63, issue C, DOI: 10.1016/j.najef.2022.101821.
• Kliber, Agata, 2022, "Looking for a safe haven against American stocks during COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, volume 63, issue C, DOI: 10.1016/j.najef.2022.101825.
• Fasanya, Ismail & Adekoya, Oluwasegun & Oyewole, Oluwatomisin & Adegboyega, Soliu, 2022, "Investor sentiment and energy futures predictability: Evidence from Feasible Quasi Generalized Least Squares," The North American Journal of Economics and Finance, Elsevier, volume 63, issue C, DOI: 10.1016/j.najef.2022.101830.
• Bollerslev, Tim & Patton, Andrew J. & Zhang, Haozhe, 2022, "Equity clusters through the lens of realized semicorrelations," Economics Letters, Elsevier, volume 211, issue C, DOI: 10.1016/j.econlet.2021.110245.
• Caferra, Rocco & Morone, Andrea & Potì, Valerio, 2022, "Crypto-environment network connectivity and Bitcoin returns distribution tail behaviour," Economics Letters, Elsevier, volume 218, issue C, DOI: 10.1016/j.econlet.2022.110734.
• Bandi, Federico M. & Renò, Roberto, 2022, "β in the tails," Journal of Econometrics, Elsevier, volume 227, issue 1, pages 134-150, DOI: 10.1016/j.jeconom.2020.06.006.
• Zhang, Congshan & Li, Jia & Bollerslev, Tim, 2022, "Occupation density estimation for noisy high-frequency data," Journal of Econometrics, Elsevier, volume 227, issue 1, pages 189-211, DOI: 10.1016/j.jeconom.2020.05.013.
• Asai, Manabu & Chang, Chia-Lin & McAleer, Michael, 2022, "Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers," Journal of Econometrics, Elsevier, volume 227, issue 1, pages 285-304, DOI: 10.1016/j.jeconom.2021.06.008.
• Blasques, Francisco & Koopman, Siem Jan & Nientker, Marc, 2022, "A time-varying parameter model for local explosions," Journal of Econometrics, Elsevier, volume 227, issue 1, pages 65-84, DOI: 10.1016/j.jeconom.2021.05.008.
• Christensen, Kim & Oomen, Roel & Renò, Roberto, 2022, "The drift burst hypothesis," Journal of Econometrics, Elsevier, volume 227, issue 2, pages 461-497, DOI: 10.1016/j.jeconom.2020.11.004.
• Gallant, A. Ronald, 2022, "Nonparametric Bayes subject to overidentified moment conditions," Journal of Econometrics, Elsevier, volume 228, issue 1, pages 27-38, DOI: 10.1016/j.jeconom.2021.02.005.
• Fulop, Andras & Heng, Jeremy & Li, Junye & Liu, Hening, 2022, "Bayesian estimation of long-run risk models using sequential Monte Carlo," Journal of Econometrics, Elsevier, volume 228, issue 1, pages 62-84, DOI: 10.1016/j.jeconom.2020.12.008.
• Anatolyev, Stanislav & Mikusheva, Anna, 2022, "Factor models with many assets: Strong factors, weak factors, and the two-pass procedure," Journal of Econometrics, Elsevier, volume 229, issue 1, pages 103-126, DOI: 10.1016/j.jeconom.2021.01.002.
• Dovonon, Prosper & Taamouti, Abderrahim & Williams, Julian, 2022, "Testing the eigenvalue structure of spot and integrated covariance," Journal of Econometrics, Elsevier, volume 229, issue 2, pages 363-395, DOI: 10.1016/j.jeconom.2021.02.006.
• Fisher, Mark & Jensen, Mark J., 2022, "Bayesian nonparametric learning of how skill is distributed across the mutual fund industry," Journal of Econometrics, Elsevier, volume 230, issue 1, pages 131-153, DOI: 10.1016/j.jeconom.2021.04.002.
• Wang, Bin & Zheng, Xu, 2022, "Testing for the presence of jump components in jump diffusion models," Journal of Econometrics, Elsevier, volume 230, issue 2, pages 483-509, DOI: 10.1016/j.jeconom.2021.06.005.
• Andersen, Torben G. & Archakov, Ilya & Cebiroglu, Gökhan & Hautsch, Nikolaus, 2022, "Local mispricing and microstructural noise: A parametric perspective," Journal of Econometrics, Elsevier, volume 230, issue 2, pages 510-534, DOI: 10.1016/j.jeconom.2021.06.006.
• Bollerslev, Tim & Medeiros, Marcelo C. & Patton, Andrew J. & Quaedvlieg, Rogier, 2022, "From zero to hero: Realized partial (co)variances," Journal of Econometrics, Elsevier, volume 231, issue 2, pages 348-360, DOI: 10.1016/j.jeconom.2021.04.013.
• Kleppe, Tore Selland & Liesenfeld, Roman & Moura, Guilherme Valle & Oglend, Atle, 2022, "Analyzing Commodity Futures Using Factor State-Space Models with Wishart Stochastic Volatility," Econometrics and Statistics, Elsevier, volume 23, issue C, pages 105-127, DOI: 10.1016/j.ecosta.2021.03.008.
• Dette, Holger & Golosnoy, Vasyl & Kellermann, Janosch, 2022, "Correcting Intraday Periodicity Bias in Realized Volatility Measures," Econometrics and Statistics, Elsevier, volume 23, issue C, pages 36-52, DOI: 10.1016/j.ecosta.2021.03.002.
• Curato, Imma Valentina & Sanfelici, Simona, 2022, "Stochastic leverage effect in high-frequency data: a Fourier based analysis," Econometrics and Statistics, Elsevier, volume 23, issue C, pages 53-82, DOI: 10.1016/j.ecosta.2021.03.001.
• Zhao, Hong & Li, Jiayi & Lei, Yiqing & Zhou, Mingming, 2022, "Risk spillover of banking across regions: Evidence from the belt and road countries," Emerging Markets Review, Elsevier, volume 52, issue C, DOI: 10.1016/j.ememar.2022.100919.
• Ulm, M. & Hambuckers, J., 2022, "Do interest rate differentials drive the volatility of exchange rates? Evidence from an extended stochastic volatility model," Journal of Empirical Finance, Elsevier, volume 65, issue C, pages 125-148, DOI: 10.1016/j.jempfin.2021.12.004.
• Zhao, Albert Bo & Cheng, Tingting, 2022, "Stock return prediction: Stacking a variety of models," Journal of Empirical Finance, Elsevier, volume 67, issue C, pages 288-317, DOI: 10.1016/j.jempfin.2022.04.001.
• Li, Leon, 2022, "The dynamic interrelations of oil-equity implied volatility indexes under low and high volatility-of-volatility risk," Energy Economics, Elsevier, volume 105, issue C, DOI: 10.1016/j.eneco.2021.105756.
• Naeem, Muhammad Abubakr & Hasan, Mudassar & Arif, Muhammad & Suleman, Muhammad Tahir & Kang, Sang Hoon, 2022, "Oil and gold as a hedge and safe-haven for metals and agricultural commodities with portfolio implications," Energy Economics, Elsevier, volume 105, issue C, DOI: 10.1016/j.eneco.2021.105758.
• Fahmy, Hany, 2022, "The rise in investors’ awareness of climate risks after the Paris Agreement and the clean energy-oil-technology prices nexus," Energy Economics, Elsevier, volume 106, issue C, DOI: 10.1016/j.eneco.2021.105738.
• Kim, Jaeho & Linn, Scott C., 2022, "Price discovery under model uncertainty," Energy Economics, Elsevier, volume 107, issue C, DOI: 10.1016/j.eneco.2022.105833.
• Elsayed, Ahmed H. & Naifar, Nader & Nasreen, Samia & Tiwari, Aviral Kumar, 2022, "Dependence structure and dynamic connectedness between green bonds and financial markets: Fresh insights from time-frequency analysis before and during COVID-19 pandemic," Energy Economics, Elsevier, volume 107, issue C, DOI: 10.1016/j.eneco.2022.105842.
• Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Karikari, Nana Kwasi & Hammoudeh, Shawkat, 2022, "Time-varying dependence dynamics between international commodity prices and Australian industry stock returns: a Perspective for portfolio diversification," Energy Economics, Elsevier, volume 108, issue C, DOI: 10.1016/j.eneco.2022.105891.
• Szczygielski, Jan Jakub & Brzeszczyński, Janusz & Charteris, Ailie & Bwanya, Princess Rutendo, 2022, "The COVID-19 storm and the energy sector: The impact and role of uncertainty," Energy Economics, Elsevier, volume 109, issue C, DOI: 10.1016/j.eneco.2021.105258.
• Sohag, Kazi & Hammoudeh, Shawkat & Elsayed, Ahmed H. & Mariev, Oleg & Safonova, Yulia, 2022, "Do geopolitical events transmit opportunity or threat to green markets? Decomposed measures of geopolitical risks," Energy Economics, Elsevier, volume 111, issue C, DOI: 10.1016/j.eneco.2022.106068.
• Caporin, Massimiliano & Costola, Michele, 2022, "Time-varying Granger causality tests in the energy markets: A study on the DCC-MGARCH Hong test," Energy Economics, Elsevier, volume 111, issue C, DOI: 10.1016/j.eneco.2022.106088.
• Pham, Son Duy & Nguyen, Thao Thac Thanh & Do, Hung Xuan, 2022, "Dynamic volatility connectedness between thermal coal futures and major cryptocurrencies: Evidence from China," Energy Economics, Elsevier, volume 112, issue C, DOI: 10.1016/j.eneco.2022.106114.
• Rizvi, Syed Kumail Abbas & Naqvi, Bushra & Boubaker, Sabri & Mirza, Nawazish, 2022, "The power play of natural gas and crude oil in the move towards the financialization of the energy market," Energy Economics, Elsevier, volume 112, issue C, DOI: 10.1016/j.eneco.2022.106131.
• Čech, František & Zítek, Michal, 2022, "Marine fuel hedging under the sulfur cap regulations," Energy Economics, Elsevier, volume 113, issue C, DOI: 10.1016/j.eneco.2022.106204.
• Zhu, Bo & Deng, Yuanyue & Lin, Renda & Hu, Xin & Chen, Pingshe, 2022, "Energy security: Does systemic risk spillover matter? Evidence from China," Energy Economics, Elsevier, volume 114, issue C, DOI: 10.1016/j.eneco.2022.106252.
• Chun, Dohyun & Cho, Hoon & Kim, Jihun, 2022, "The relationship between carbon-intensive fuel and renewable energy stock prices under the emissions trading system," Energy Economics, Elsevier, volume 114, issue C, DOI: 10.1016/j.eneco.2022.106257.
• Herrera, Gabriel Paes & Constantino, Michel & Su, Jen-Je & Naranpanawa, Athula, 2022, "Renewable energy stocks forecast using Twitter investor sentiment and deep learning," Energy Economics, Elsevier, volume 114, issue C, DOI: 10.1016/j.eneco.2022.106285.
• Tian, Maoxi & Alshater, Muneer M. & Yoon, Seong-Min, 2022, "Dynamic risk spillovers from oil to stock markets: Fresh evidence from GARCH copula quantile regression-based CoVaR model," Energy Economics, Elsevier, volume 115, issue C, DOI: 10.1016/j.eneco.2022.106341.
• Będowska-Sójka, Barbara & Kliber, Agata, 2022, "Can cryptocurrencies hedge oil price fluctuations? A pandemic perspective," Energy Economics, Elsevier, volume 115, issue C, DOI: 10.1016/j.eneco.2022.106360.
• Mwampashi, Muthe Mathias & Nikitopoulos, Christina Sklibosios & Rai, Alan & Konstandatos, Otto, 2022, "Large-scale and rooftop solar generation in the NEM: A tale of two renewables strategies," Energy Economics, Elsevier, volume 115, issue C, DOI: 10.1016/j.eneco.2022.106372.
• Das, Debojyoti & Maitra, Debasish & Dutta, Anupam & Basu, Sankarshan, 2022, "Financial stress and crude oil implied volatility: New evidence from continuous wavelet transformation framework," Energy Economics, Elsevier, volume 115, issue C, DOI: 10.1016/j.eneco.2022.106388.
• Tanin, Tauhidul Islam & Hasanov, Akram Shavkatovich & Shaiban, Mohammed Sharaf Mohsen & Brooks, Robert, 2022, "Risk transmission from the oil market to Islamic and conventional banks in oil-exporting and oil-importing countries," Energy Economics, Elsevier, volume 115, issue C, DOI: 10.1016/j.eneco.2022.106389.
• Nonejad, Nima, 2022, "Equity premium prediction using the price of crude oil: Uncovering the nonlinear predictive impact," Energy Economics, Elsevier, volume 115, issue C, DOI: 10.1016/j.eneco.2022.106395.
• Kumar, Pawan & Singh, Vipul Kumar, 2022, "Does crude oil fire the emerging markets currencies contagion spillover? A systemic perspective," Energy Economics, Elsevier, volume 116, issue C, DOI: 10.1016/j.eneco.2022.106384.
• Kertlly de Medeiros, Rennan & da Nóbrega Besarria, Cássio & Pitta de Jesus, Diego & Phillipe de Albuquerquemello, Vinicius, 2022, "Forecasting oil prices: New approaches," Energy, Elsevier, volume 238, issue PC, DOI: 10.1016/j.energy.2021.121968.
• Kuang, Wei, 2022, "The economic value of high-frequency data in equity-oil hedge," Energy, Elsevier, volume 239, issue PA, DOI: 10.1016/j.energy.2021.121904.
• Szczygielski, Jan Jakub & Charteris, Ailie & Bwanya, Princess Rutendo & Brzeszczyński, Janusz, 2022, "The impact and role of COVID-19 uncertainty: A global industry analysis," International Review of Financial Analysis, Elsevier, volume 80, issue C, DOI: 10.1016/j.irfa.2021.101837.
• Wei, Yu & Zhang, Yaojie & Wang, Yudong, 2022, "Information connectedness of international crude oil futures: Evidence from SC, WTI, and Brent," International Review of Financial Analysis, Elsevier, volume 81, issue C, DOI: 10.1016/j.irfa.2022.102100.
• Nonejad, Nima, 2022, "Predicting equity premium out-of-sample by conditioning on newspaper-based uncertainty measures: A comparative study," International Review of Financial Analysis, Elsevier, volume 83, issue C, DOI: 10.1016/j.irfa.2022.102251.
• 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.
• Sattarhoff, Cristina & Gronwald, Marc, 2022, "Measuring informational efficiency of the European carbon market — A quantitative evaluation of higher order dependence," International Review of Financial Analysis, Elsevier, volume 84, issue C, DOI: 10.1016/j.irfa.2022.102403.
• Pacelli, Vincenzo & Miglietta, Federica & Foglia, Matteo, 2022, "The extreme risk connectedness of the new financial system: European evidence," International Review of Financial Analysis, Elsevier, volume 84, issue C, DOI: 10.1016/j.irfa.2022.102408.
• Bales, Stephan, 2022, "Policy uncertainty and the sovereign-bank nexus: A time-frequency analysis using wavelet transformation," Finance Research Letters, Elsevier, volume 44, issue C, DOI: 10.1016/j.frl.2021.102038.
• Giudici, Paolo & Leach, Thomas & Pagnottoni, Paolo, 2022, "Libra or Librae? Basket based stablecoins to mitigate foreign exchange volatility spillovers," Finance Research Letters, Elsevier, volume 44, issue C, DOI: 10.1016/j.frl.2021.102054.
• 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.
• Papathanasiou, Spyros & Vasiliou, Dimitrios & Magoutas, Anastasios & Koutsokostas, Drosos, 2022, "Do hedge and merger arbitrage funds actually hedge? A time-varying volatility spillover approach," Finance Research Letters, Elsevier, volume 44, issue C, DOI: 10.1016/j.frl.2021.102088.
• 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.
• Alanya-Beltran, Willy, 2022, "Modelling stock returns volatility with dynamic conditional score models and random shifts," Finance Research Letters, Elsevier, volume 45, issue C, DOI: 10.1016/j.frl.2021.102121.
• Karamti, Chiraz & Belhassine, Olfa, 2022, "COVID-19 pandemic waves and global financial markets: Evidence from wavelet coherence analysis," Finance Research Letters, Elsevier, volume 45, issue C, DOI: 10.1016/j.frl.2021.102136.
• Del Lo, Gaye & Basséne, Théophile & Séne, Babacar, 2022, "COVID-19 And the african financial markets : Less infection, less economic impact ?," Finance Research Letters, Elsevier, volume 45, issue C, DOI: 10.1016/j.frl.2021.102148.
• Guo, Zi-Yi, 2022, "Risk management of Bitcoin futures with GARCH models," Finance Research Letters, Elsevier, volume 45, issue C, DOI: 10.1016/j.frl.2021.102197.
• Chen, Yan & Mo, Dongxu & Xu, Zezhou, 2022, "A study of interconnections and contagion among Chinese financial institutions using a ΔCoV aR network," Finance Research Letters, Elsevier, volume 45, issue C, DOI: 10.1016/j.frl.2021.102395.
• 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.
• Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang, 2022, "Predicting returns and dividend growth — The role of non-Gaussian innovations," Finance Research Letters, Elsevier, volume 46, issue PA, DOI: 10.1016/j.frl.2021.102315.
• Bellón, Carlos & Figuerola-Ferretti, Isabel, 2022, "Bubbles in Ethereum," Finance Research Letters, Elsevier, volume 46, issue PB, DOI: 10.1016/j.frl.2021.102387.
• González-Sánchez, Mariano, 2022, "Asset pricing models in emerging markets: Factorial approaches vs. information stochastic discount factor," Finance Research Letters, Elsevier, volume 46, issue PB, DOI: 10.1016/j.frl.2021.102394.
• Kanamura, Takashi, 2022, "Timing differences in the impact of Covid-19 on price volatility between assets," Finance Research Letters, Elsevier, volume 46, issue PB, DOI: 10.1016/j.frl.2021.102401.
• Jiang, Wen & Xu, Qiuhua & Zhang, Ruige, 2022, "Tail-event driven network of cryptocurrencies and conventional assets," Finance Research Letters, Elsevier, volume 46, issue PB, DOI: 10.1016/j.frl.2021.102424.
• 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.
• Fung, Kennard & Jeong, Jiin & Pereira, Javier, 2022, "More to cryptos than bitcoin: A GARCH modelling of heterogeneous cryptocurrencies," Finance Research Letters, Elsevier, volume 47, issue PA, DOI: 10.1016/j.frl.2021.102544.
• Tran, Quang Van & Kukal, Jaromir, 2022, "A novel heavy tail distribution of logarithmic returns of cryptocurrencies," Finance Research Letters, Elsevier, volume 47, issue PA, DOI: 10.1016/j.frl.2021.102574.
• Kwon, Ji Ho, 2022, "More predictors of the investment opportunity set in the ICAPM," Finance Research Letters, Elsevier, volume 47, issue PA, DOI: 10.1016/j.frl.2021.102578.
• Maouchi, Youcef & Charfeddine, Lanouar & El Montasser, Ghassen, 2022, "Understanding digital bubbles amidst the COVID-19 pandemic: Evidence from DeFi and NFTs," Finance Research Letters, Elsevier, volume 47, issue PA, DOI: 10.1016/j.frl.2021.102584.
• Doan, Bao & Lee, John B. & Liu, Qianqiu & Reeves, Jonathan J., 2022, "Beta measurement with high frequency returns," Finance Research Letters, Elsevier, volume 47, issue PA, DOI: 10.1016/j.frl.2021.102632.
• González-Velasco, Carmen & García-López, Marcos & González-Fernández, Marcos, 2022, "Does sovereign risk impact banking risk in the Eurozone? Evidence from the COVID-19 pandemic," Finance Research Letters, Elsevier, volume 47, issue PA, DOI: 10.1016/j.frl.2021.102670.
• Bondatti, Massimiliano & Rillo, Giovanni, 2022, "Commodity tail-risk and exchange rates," Finance Research Letters, Elsevier, volume 47, issue PA, DOI: 10.1016/j.frl.2022.102937.
• Gargallo, Pilar & Lample, Luis & Miguel, Jesús & Salvador, Manuel, 2022, "Dynamic comparison of portfolio risk: Clean vs dirty energy," Finance Research Letters, Elsevier, volume 47, issue PA, DOI: 10.1016/j.frl.2022.102957.
• Nonejad, Nima, 2022, "An interesting finding about the ability of geopolitical risk to forecast aggregate equity return volatility out-of-sample," Finance Research Letters, Elsevier, volume 47, issue PB, DOI: 10.1016/j.frl.2022.102710.
• Ahn, Yongkil, 2022, "Asymmetric tail dependence in cryptocurrency markets: A Model-free approach," Finance Research Letters, Elsevier, volume 47, issue PB, DOI: 10.1016/j.frl.2022.102746.
• Gao, Lingbo & Ye, Wuyi & Guo, Ranran, 2022, "Jointly forecasting the value-at-risk and expected shortfall of Bitcoin with a regime-switching CAViaR model," Finance Research Letters, Elsevier, volume 48, issue C, DOI: 10.1016/j.frl.2022.102826.
• Santos, André A.P. & Torrent, Hudson S., 2022, "Markowitz meets technical analysis: Building optimal portfolios by exploiting information in trend-following signals," Finance Research Letters, Elsevier, volume 49, issue C, DOI: 10.1016/j.frl.2022.103063.
• Kerkemeier, Marco & Kruse-Becher, Robinson, 2022, "Join the club! Dynamics of global ESG indices convergence," Finance Research Letters, Elsevier, volume 49, issue C, DOI: 10.1016/j.frl.2022.103085.
• Jiménez, Inés & Mora-Valencia, Andrés & Perote, Javier, 2022, "Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?," Finance Research Letters, Elsevier, volume 49, issue C, DOI: 10.1016/j.frl.2022.103105.
• Bazán-Palomino, Walter, 2022, "Interdependence, contagion and speculative bubbles in cryptocurrency markets," Finance Research Letters, Elsevier, volume 49, issue C, DOI: 10.1016/j.frl.2022.103132.
• Lee, Hsiang-Tai, 2022, "Regime-switching angular correlation diversification," Finance Research Letters, Elsevier, volume 50, issue C, DOI: 10.1016/j.frl.2022.103233.
• Jose, Nithin & Jose, Babu & Varghese, James, 2022, "Is cross-hedging an effective strategy in equity futures market?," Finance Research Letters, Elsevier, volume 50, issue C, DOI: 10.1016/j.frl.2022.103253.
• Greenwood-Nimmo, Matthew & Tarassow, Artur, 2022, "Bootstrap-based probabilistic analysis of spillover scenarios in economic and financial networks," Journal of Financial Markets, Elsevier, volume 59, issue PA, DOI: 10.1016/j.finmar.2021.100661.
• Grønborg, Niels S. & Lunde, Asger & Olesen, Kasper V. & Vander Elst, Harry, 2022, "Realizing correlations across asset classes," Journal of Financial Markets, Elsevier, volume 59, issue PA, DOI: 10.1016/j.finmar.2022.100729.
• Ellis, Scott & Sharma, Satish & Brzeszczyński, Janusz, 2022, "Systemic risk measures and regulatory challenges," Journal of Financial Stability, Elsevier, volume 61, issue C, DOI: 10.1016/j.jfs.2021.100960.
• Sabbaghi, Omid, 2022, "The impact of news on the volatility of ESG firms," Global Finance Journal, Elsevier, volume 51, issue C, DOI: 10.1016/j.gfj.2020.100570.
• Yousaf, Imran & Yarovaya, Larisa, 2022, "Static and dynamic connectedness between NFTs, Defi and other assets: Portfolio implication," Global Finance Journal, Elsevier, volume 53, issue C, DOI: 10.1016/j.gfj.2022.100719.
• Badescu, Alexandru & Quaye, Enoch & Tunaru, Radu, 2022, "On non-negative equity guarantee calculations with macroeconomic variables related to house prices," Insurance: Mathematics and Economics, Elsevier, volume 103, issue C, pages 119-138, DOI: 10.1016/j.insmatheco.2022.01.001.