Research classified by Journal of Economic Literature (JEL) codes

2022

• 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.
• Pitera, Marcin & Schmidt, Thorsten, 2022, "Estimating and backtesting risk under heavy tails," Insurance: Mathematics and Economics, Elsevier, volume 104, issue C, pages 1-14, DOI: 10.1016/j.insmatheco.2022.01.006.
• Yin, Jie & Han, Bingyan & Wong, Hoi Ying, 2022, "COVID-19 and credit risk: A long memory perspective," Insurance: Mathematics and Economics, Elsevier, volume 104, issue C, pages 15-34, DOI: 10.1016/j.insmatheco.2022.01.008.
• Katsiampa, Paraskevi & Yarovaya, Larisa & Zięba, Damian, 2022, "High-frequency connectedness between Bitcoin and other top-traded crypto assets during the COVID-19 crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 79, issue C, DOI: 10.1016/j.intfin.2022.101578.
• Chakraborty, Sandip & Kakani, Ram Kumar & Sampath, Aravind, 2022, "Portfolio risk and stress across the business cycle," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 80, issue C, DOI: 10.1016/j.intfin.2022.101623.
• Angelini, Giovanni & De Angelis, Luca & Singleton, Carl, 2022, "Informational efficiency and behaviour within in-play prediction markets," International Journal of Forecasting, Elsevier, volume 38, issue 1, pages 282-299, DOI: 10.1016/j.ijforecast.2021.05.012.
• Martin, Gael M. & Loaiza-Maya, Rubén & Maneesoonthorn, Worapree & Frazier, David T. & Ramírez-Hassan, Andrés, 2022, "Optimal probabilistic forecasts: When do they work?," International Journal of Forecasting, Elsevier, volume 38, issue 1, pages 384-406, DOI: 10.1016/j.ijforecast.2021.05.008.
• Berardi, Andrea & Plazzi, Alberto, 2022, "Dissecting the yield curve: The international evidence," Journal of Banking & Finance, Elsevier, volume 134, issue C, DOI: 10.1016/j.jbankfin.2021.106286.
• Caporin, Massimiliano & Costola, Michele & Garibal, Jean-Charles & Maillet, Bertrand, 2022, "Systemic risk and severe economic downturns: A targeted and sparse analysis," Journal of Banking & Finance, Elsevier, volume 134, issue C, DOI: 10.1016/j.jbankfin.2021.106339.
• Golosnoy, Vasyl & Gribisch, Bastian, 2022, "Modeling and forecasting realized portfolio weights," Journal of Banking & Finance, Elsevier, volume 138, issue C, DOI: 10.1016/j.jbankfin.2022.106404.
• De Nard, Gianluca & Engle, Robert F. & Ledoit, Olivier & Wolf, Michael, 2022, "Large dynamic covariance matrices: Enhancements based on intraday data," Journal of Banking & Finance, Elsevier, volume 138, issue C, DOI: 10.1016/j.jbankfin.2022.106426.
• Bianchi, Daniele & Babiak, Mykola, 2022, "On the performance of cryptocurrency funds," Journal of Banking & Finance, Elsevier, volume 138, issue C, DOI: 10.1016/j.jbankfin.2022.106467.
• Taylor, James W., 2022, "Forecasting Value at Risk and expected shortfall using a model with a dynamic omega ratio," Journal of Banking & Finance, Elsevier, volume 140, issue C, DOI: 10.1016/j.jbankfin.2022.106519.
• Bianchi, Daniele & Babiak, Mykola & Dickerson, Alexander, 2022, "Trading volume and liquidity provision in cryptocurrency markets," Journal of Banking & Finance, Elsevier, volume 142, issue C, DOI: 10.1016/j.jbankfin.2022.106547.
• Hughes, Joseph P. & Moon, Choon-Geol, 2022, "How bad is a bad loan? Distinguishing inherent credit risk from inefficient lending (Does the capital market price this difference?)," Journal of Economics and Business, Elsevier, volume 120, issue C, DOI: 10.1016/j.jeconbus.2022.106058.
• Szőke, Bálint, 2022, "Estimating robustness," Journal of Economic Theory, Elsevier, volume 199, issue C, DOI: 10.1016/j.jet.2021.105225.
• Anarkulova, Aizhan & Cederburg, Scott & O’Doherty, Michael S., 2022, "Stocks for the long run? Evidence from a broad sample of developed markets," Journal of Financial Economics, Elsevier, volume 143, issue 1, pages 409-433, DOI: 10.1016/j.jfineco.2021.06.040.
• Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2022, "Realized semibetas: Disentangling “good” and “bad” downside risks," Journal of Financial Economics, Elsevier, volume 144, issue 1, pages 227-246, DOI: 10.1016/j.jfineco.2021.05.056.
• Chabi-Yo, Fousseni & Huggenberger, Markus & Weigert, Florian, 2022, "Multivariate crash risk," Journal of Financial Economics, Elsevier, volume 145, issue 1, pages 129-153, DOI: 10.1016/j.jfineco.2021.07.016.
• Leippold, Markus & Wang, Qian & Zhou, Wenyu, 2022, "Machine learning in the Chinese stock market," Journal of Financial Economics, Elsevier, volume 145, issue 2, pages 64-82, DOI: 10.1016/j.jfineco.2021.08.017.
• Brož, Václav & Kočenda, Evžen, 2022, "Mortgage-related bank penalties and systemic risk among U.S. banks," Journal of International Money and Finance, Elsevier, volume 122, issue C, DOI: 10.1016/j.jimonfin.2021.102575.
• Campos-Martins, Susana & Amado, Cristina, 2022, "Financial market linkages and the sovereign debt crisis," Journal of International Money and Finance, Elsevier, volume 123, issue C, DOI: 10.1016/j.jimonfin.2021.102596.
• Gong, Yuting & Ma, Chao & Chen, Qiang, 2022, "Exchange rate dependence and economic fundamentals: A Copula-MIDAS approach," Journal of International Money and Finance, Elsevier, volume 123, issue C, DOI: 10.1016/j.jimonfin.2021.102597.
• Anderegg, Benjamin & Ulmann, Florian & Sornette, Didier, 2022, "The impact of option hedging on the spot market volatility," Journal of International Money and Finance, Elsevier, volume 124, issue C, DOI: 10.1016/j.jimonfin.2022.102627.
• Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2022, "The time-varying risk price of currency portfolios," Journal of International Money and Finance, Elsevier, volume 124, issue C, DOI: 10.1016/j.jimonfin.2022.102636.
• Han, Xuyuan & Liu, Zhenya & Wang, Shixuan, 2022, "An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting," Journal of Commodity Markets, Elsevier, volume 25, issue C, DOI: 10.1016/j.jcomm.2021.100188.
• Kassouri, Yacouba & Altıntaş, Halil, 2022, "The quantile dependence of the stock returns of “clean” and “dirty” firms on oil demand and supply shocks," Journal of Commodity Markets, Elsevier, volume 28, issue C, DOI: 10.1016/j.jcomm.2021.100238.
• Alfeus, Mesias & Nikitopoulos, Christina Sklibosios, 2022, "Forecasting volatility in commodity markets with long-memory models," Journal of Commodity Markets, Elsevier, volume 28, issue C, DOI: 10.1016/j.jcomm.2022.100248.
• Costola, Michele & Lorusso, Marco, 2022, "Spillovers among energy commodities and the Russian stock market," Journal of Commodity Markets, Elsevier, volume 28, issue C, DOI: 10.1016/j.jcomm.2022.100249.
• Palazzi, Rafael Baptista & Meira, Erick & Klotzle, Marcelo Cabus, 2022, "The sugar-ethanol-oil nexus in Brazil: Exploring the pass-through of international commodity prices to national fuel prices," Journal of Commodity Markets, Elsevier, volume 28, issue C, DOI: 10.1016/j.jcomm.2022.100257.
• Maghyereh, Aktham & Awartani, Basel & Abdoh, Hussein, 2022, "Asymmetric risk transfer in global equity markets: An extended sample that includes the COVID pandemic period," The Journal of Economic Asymmetries, Elsevier, volume 25, issue C, DOI: 10.1016/j.jeca.2021.e00239.
• Shah, Adil Ahmad & Dar, Arif Billah, 2022, "Asymmetric, time and frequency-based spillover transmission in financial and commodity markets," The Journal of Economic Asymmetries, Elsevier, volume 25, issue C, DOI: 10.1016/j.jeca.2022.e00241.
• Arfaoui, Mongi & Chkili, Walid & Ben Rejeb, Aymen, 2022, "Asymmetric and dynamic links in GCC Sukuk-stocks: Implications for portfolio management before and during the COVID-19 pandemic," The Journal of Economic Asymmetries, Elsevier, volume 25, issue C, DOI: 10.1016/j.jeca.2022.e00244.
• Azimova, Tarana, 2022, "Modelling volatility transmission in regional Asian stock markets," The Journal of Economic Asymmetries, Elsevier, volume 26, issue C, DOI: 10.1016/j.jeca.2022.e00274.
• 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.
• Gu, Jianqiang & Yue, Xiao-Guang & Nosheen, Safia & Naveed -ul-Haq, & Shi, Lei, 2022, "Does more stringencies in government policies during pandemic impact stock returns? Fresh evidence from GREF countries, a new emerging green bloc," Resources Policy, Elsevier, volume 76, issue C, DOI: 10.1016/j.resourpol.2022.102582.
• Mighri, Zouheir & Ragoubi, Hanen & Sarwar, Suleman & Wang, Yihan, 2022, "Quantile Granger causality between US stock market indices and precious metal prices," Resources Policy, Elsevier, volume 76, issue C, DOI: 10.1016/j.resourpol.2022.102595.
• Tuna, Gülfen & Tuna, Vedat Ender, 2022, "Are effects of COVID-19 pandemic on financial markets permanent or temporary? Evidence from gold, oil and stock markets," Resources Policy, Elsevier, volume 76, issue C, DOI: 10.1016/j.resourpol.2022.102637.
• Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2022, "Upward/downward multifractality and efficiency in metals futures markets: The impacts of financial and oil crises," Resources Policy, Elsevier, volume 76, issue C, DOI: 10.1016/j.resourpol.2022.102645.
• 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.
• 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.
• Mensi, Walid & Ali, Syed Riaz Mahmood & Vo, Xuan Vinh & Kang, Sang Hoon, 2022, "Multiscale dependence, spillovers, and connectedness between precious metals and currency markets: A hedge and safe-haven analysis," Resources Policy, Elsevier, volume 77, issue C, DOI: 10.1016/j.resourpol.2022.102752.
• 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.
• Kakade, Kshitij & Jain, Ishan & Mishra, Aswini Kumar, 2022, "Value-at-Risk forecasting: A hybrid ensemble learning GARCH-LSTM based approach," Resources Policy, Elsevier, volume 78, issue C, DOI: 10.1016/j.resourpol.2022.102903.
• Liu, Xiaoxing & Shehzad, Khurram & Kocak, Emrah & Zaman, Umer, 2022, "Dynamic correlations and portfolio implications across stock and commodity markets before and during the COVID-19 era: A key role of gold," Resources Policy, Elsevier, volume 79, issue C, DOI: 10.1016/j.resourpol.2022.102985.
• Bossman, Ahmed & Agyei, Samuel Kwaku, 2022, "Interdependence structure of global commodity classes and African equity markets: A vector wavelet coherence analysis," Resources Policy, Elsevier, volume 79, issue C, DOI: 10.1016/j.resourpol.2022.103039.
• Caporale, Guglielmo Maria & Çatık, Abdurrahman Nazif & Huyuguzel Kısla, Gul Serife & Helmi, Mohamad Husam & Akdeniz, Coşkun, 2022, "Oil prices and sectoral stock returns in the BRICS-T countries: A time-varying approach," Resources Policy, Elsevier, volume 79, issue C, DOI: 10.1016/j.resourpol.2022.103044.
• Cevik, Emrah Ismail & Gunay, Samet & Zafar, Muhammad Wasif & Destek, Mehmet Akif & Bugan, Mehmet Fatih & Tuna, Fatih, 2022, "The impact of digital finance on the natural resource market: Evidence from DeFi, oil, and gold," Resources Policy, Elsevier, volume 79, issue C, DOI: 10.1016/j.resourpol.2022.103081.
• Maghyereh, Aktham & Awartani, Basel & Virk, Nader S., 2022, "Asymmetric risk transmissions between oil, gold and US equities: Recent evidence from the realized variance of the futures prices," Resources Policy, Elsevier, volume 79, issue C, DOI: 10.1016/j.resourpol.2022.103108.
• Cheng, Tingting & Liu, Junli & Yao, Wenying & Zhao, Albert Bo, 2022, "The impact of COVID-19 pandemic on the volatility connectedness network of global stock market," Pacific-Basin Finance Journal, Elsevier, volume 71, issue C, DOI: 10.1016/j.pacfin.2021.101678.
• Jurdi, Doureige J., 2022, "Predicting the Australian equity risk premium," Pacific-Basin Finance Journal, Elsevier, volume 71, issue C, DOI: 10.1016/j.pacfin.2021.101683.
• Yousaf, Imran & Yarovaya, Larisa, 2022, "Spillovers between the Islamic gold-backed cryptocurrencies and equity markets during the COVID-19: A sectorial analysis," Pacific-Basin Finance Journal, Elsevier, volume 71, issue C, DOI: 10.1016/j.pacfin.2021.101705.
• Huang, Jing-Zhi & Ni, Jun & Xu, Li, 2022, "Leverage effect in cryptocurrency markets," Pacific-Basin Finance Journal, Elsevier, volume 73, issue C, DOI: 10.1016/j.pacfin.2022.101773.
• Hanif, Waqas & Areola Hernandez, Jose & Troster, Victor & Kang, Sang Hoon & Yoon, Seong-Min, 2022, "Nonlinear dependence and spillovers between cryptocurrency and global/regional equity markets," Pacific-Basin Finance Journal, Elsevier, volume 74, issue C, DOI: 10.1016/j.pacfin.2022.101822.
• Bui, Quynh & Ślepaczuk, Robert, 2022, "Applying Hurst Exponent in pair trading strategies on Nasdaq 100 index," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 592, issue C, DOI: 10.1016/j.physa.2021.126784.
• Caferra, Rocco, 2022, "Sentiment spillover and price dynamics: Information flow in the cryptocurrency and stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 593, issue C, DOI: 10.1016/j.physa.2022.126983.
• Ahelegbey, Daniel Felix & Giudici, Paolo, 2022, "NetVIX — A network volatility index of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 594, issue C, DOI: 10.1016/j.physa.2022.127017.
• Zhang, Xiaoming & Zhang, Tong & Lee, Chien-Chiang, 2022, "The path of financial risk spillover in the stock market based on the R-vine-Copula model," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 600, issue C, DOI: 10.1016/j.physa.2022.127470.
• Chen, Xiao & Chong, Zhaohui & Giudici, Paolo & Huang, Bihong, 2022, "Network centrality effects in peer to peer lending," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 600, issue C, DOI: 10.1016/j.physa.2022.127546.
• Chebbi, Ali & Hedhli, Amel, 2022, "Revisiting the accuracy of standard VaR methods for risk assessment: Using the Copula–EVT multidimensional approach for stock markets in the MENA region," The Quarterly Review of Economics and Finance, Elsevier, volume 84, issue C, pages 430-445, DOI: 10.1016/j.qref.2020.09.005.
• Boamah, Nicholas Addai, 2022, "Segmentation, business environment and global informational efficiency of emerging financial markets," The Quarterly Review of Economics and Finance, Elsevier, volume 84, issue C, pages 52-60, DOI: 10.1016/j.qref.2022.01.010.
• Urom, Christian & Mzoughi, Hela & Ndubuisi, Gideon & Guesmi, Khaled, 2022, "Directional predictability and time-frequency spillovers among clean energy sectors and oil price uncertainty," The Quarterly Review of Economics and Finance, Elsevier, volume 85, issue C, pages 326-341, DOI: 10.1016/j.qref.2022.04.005.
• 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.
• Haffar, Adlane & Le Fur, Éric, 2022, "Time-varying dependence of Bitcoin," The Quarterly Review of Economics and Finance, Elsevier, volume 86, issue C, pages 211-220, DOI: 10.1016/j.qref.2022.07.008.
• Fasanya, Ismail O. & Oyewole, Oluwatomisin J. & Oliyide, Johnson A., 2022, "Investors' sentiments and the dynamic connectedness between cryptocurrency and precious metals markets," The Quarterly Review of Economics and Finance, Elsevier, volume 86, issue C, pages 347-364, DOI: 10.1016/j.qref.2022.08.009.
• Qadan, Mahmoud & Nisani, Doron & Eichel, Ron, 2022, "Irregularities in forward-looking volatility," The Quarterly Review of Economics and Finance, Elsevier, volume 86, issue C, pages 489-501, DOI: 10.1016/j.qref.2022.05.003.
• Yoon, Seong-Min, 2022, "On the interdependence between biofuel, fossil fuel and agricultural food prices: Evidence from quantile tests," Renewable Energy, Elsevier, volume 199, issue C, pages 536-545, DOI: 10.1016/j.renene.2022.08.136.
• Xu, Dinghai, 2022, "Canadian stock market volatility under COVID-19," International Review of Economics & Finance, Elsevier, volume 77, issue C, pages 159-169, DOI: 10.1016/j.iref.2021.09.015.
• Takamizawa, Hideyuki, 2022, "How arbitrage-free is the Nelson–Siegel model under stochastic volatility?," International Review of Economics & Finance, Elsevier, volume 79, issue C, pages 205-223, DOI: 10.1016/j.iref.2022.01.011.
• Salisu, Afees A. & Shaik, Muneer, 2022, "Islamic Stock indices and COVID-19 pandemic," International Review of Economics & Finance, Elsevier, volume 80, issue C, pages 282-293, DOI: 10.1016/j.iref.2022.02.073.
• Kundu, Srikanta & Paul, Amartya, 2022, "Effect of economic policy uncertainty on stock market return and volatility under heterogeneous market characteristics," International Review of Economics & Finance, Elsevier, volume 80, issue C, pages 597-612, DOI: 10.1016/j.iref.2022.02.047.
• De Nard, Gianluca & Zhao, Zhao, 2022, "A large-dimensional test for cross-sectional anomalies:Efficient sorting revisited," International Review of Economics & Finance, Elsevier, volume 80, issue C, pages 654-676, DOI: 10.1016/j.iref.2022.02.049.
• 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.
• 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.
• Selmi, Refk & Bouoiyour, Jamal & Wohar, Mark E., 2022, "“Digital Gold” and geopolitics," Research in International Business and Finance, Elsevier, volume 59, issue C, DOI: 10.1016/j.ribaf.2021.101512.
• Bosch, David & Smimou, K., 2022, "Traders’ motivation and hedging pressure in commodity futures markets," Research in International Business and Finance, Elsevier, volume 59, issue C, DOI: 10.1016/j.ribaf.2021.101529.
• 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.
• Tachibana, Minoru, 2022, "Safe haven assets for international stock markets: A regime-switching factor copula approach," Research in International Business and Finance, Elsevier, volume 60, issue C, DOI: 10.1016/j.ribaf.2021.101591.
• Ben Amor, Souhir & Althof, Michael & Härdle, Wolfgang Karl, 2022, "Financial Risk Meter for emerging markets," Research in International Business and Finance, Elsevier, volume 60, issue C, DOI: 10.1016/j.ribaf.2021.101594.
• González-Sánchez, Mariano, 2022, "Factorial asset pricing models using statistical anomalies," Research in International Business and Finance, Elsevier, volume 60, issue C, DOI: 10.1016/j.ribaf.2021.101595.
• Kaczmarek, Tomasz & Będowska-Sójka, Barbara & Grobelny, Przemysław & Perez, Katarzyna, 2022, "False Safe Haven Assets: Evidence From the Target Volatility Strategy Based on Recurrent Neural Network," Research in International Business and Finance, Elsevier, volume 60, issue C, DOI: 10.1016/j.ribaf.2021.101610.
• 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.
• Charfeddine, Lanouar & Benlagha, Noureddine & Khediri, Karim Ben, 2022, "An intra-cryptocurrency analysis of volatility connectedness and its determinants: Evidence from mining coins, non-mining coins and tokens," Research in International Business and Finance, Elsevier, volume 62, issue C, DOI: 10.1016/j.ribaf.2022.101699.
• Aloui, Riadh & Ben Jabeur, Sami & Mefteh-Wali, Salma, 2022, "Tail-risk spillovers from China to G7 stock market returns during the COVID-19 outbreak: A market and sectoral analysis," Research in International Business and Finance, Elsevier, volume 62, issue C, DOI: 10.1016/j.ribaf.2022.101709.
• BRIK, Hatem & El OUAKDI, Jihene & FTITI, Zied, 2022, "Roles of stable versus nonstable cryptocurrencies in Bitcoin market dynamics," Research in International Business and Finance, Elsevier, volume 62, issue C, DOI: 10.1016/j.ribaf.2022.101720.
• 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.
• Wang, Ping & Han, Wei & Huang, Chengcheng & Duong, Duy, 2022, "Forecasting realised volatility from search volume and overnight sentiment: Evidence from China," Research in International Business and Finance, Elsevier, volume 62, issue C, DOI: 10.1016/j.ribaf.2022.101734.
• Tripathy, Naliniprava, 2022, "Long memory and volatility persistence across BRICS stock markets," Research in International Business and Finance, Elsevier, volume 63, issue C, DOI: 10.1016/j.ribaf.2022.101782.
• Giannellis, Nikolaos, 2022, "Cryptocurrency market connectedness in Covid-19 days and the role of Twitter: Evidence from a smooth transition regression model," Research in International Business and Finance, Elsevier, volume 63, issue C, DOI: 10.1016/j.ribaf.2022.101801.
• Naimoli, Antonio, 2022, "Modelling the persistence of Covid-19 positivity rate in Italy," Socio-Economic Planning Sciences, Elsevier, volume 82, issue PA, DOI: 10.1016/j.seps.2022.101225.
• Wang, Yizhi & Lucey, Brian M. & Vigne, Samuel A. & Yarovaya, Larisa, 2022, "The Effects of Central Bank Digital Currencies News on Financial Markets," Technological Forecasting and Social Change, Elsevier, volume 180, issue C, DOI: 10.1016/j.techfore.2022.121715.
• Bouteska, Ahmed & Mefteh-Wali, Salma & Dang, Trung, 2022, "Predictive power of investor sentiment for Bitcoin returns: Evidence from COVID-19 pandemic," Technological Forecasting and Social Change, Elsevier, volume 184, issue C, DOI: 10.1016/j.techfore.2022.121999.
• Edson Z. Monte & Lucas B. Defanti, 2022, "Dynamic Interdependence and Volatility Transmission from the American to the Brazilian Stock Market," Journal of Economics and Econometrics, Economics and Econometrics Society, volume 65, issue 1, pages 52-73.
• Mangal Goswami & Victor Pontines & Yassier Mohammed, 2022, "Portfolio Capital Flows and the US Dollar Exchange Rate: Viewed from the Lens of Time and Frequency Dynamics of Connectedness ," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2022-72, Nov.
• Ender Baykut & Ercan Özen, 2022, "An Assessment of the Borsa Istanbul Insurance Index Return Structure: The Markov Regime Switching Model," Contemporary Studies in Economic and Financial Analysis, Emerald Group Publishing Limited, "Managing Risk and Decision Making in Times of Economic Distress, Part B", DOI: 10.1108/S1569-37592022000108B042.
• Syed Mabruk Billah & Thi Thu Ha Nguyen & Md Iftekhar Hasan Chowdhury, 2022, "Sukuk and bond dynamics in relation to exchange rate," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, volume 16, issue 3, pages 621-646, December, DOI: 10.1108/IMEFM-01-2022-0024.
• Taufik Faturohman & Rashifa Qanita Noviandy, 2022, "An Empirical Analysis of Firm-specific Determinants of Capital Structure Before and During COVID-19 Pandemic: Evidence from Listed Hotels, Restaurants, and Tourism Entities on the Indonesia Stock Exchange," International Symposia in Economic Theory and Econometrics, Emerald Group Publishing Limited, "Quantitative Analysis of Social and Financial Market Development", DOI: 10.1108/S1571-038620220000030008.
• Emon Kalyan Chowdhury, 2022, "Strategic approach to analyze the effect of Covid-19 on the stock market volatility and uncertainty: a first and second wave perspective," Journal of Capital Markets Studies, Emerald Group Publishing Limited, volume 6, issue 3, pages 225-241, October, DOI: 10.1108/JCMS-05-2022-0015.
• Theodoros Daglis, 2022, "The dynamic relationship of cryptocurrencies with supply chain and logistics stocks – the impact of COVID-19," Journal of Economic Studies, Emerald Group Publishing Limited, volume 50, issue 4, pages 840-857, July, DOI: 10.1108/JES-03-2022-0190.
• Emna Mnif & Bassem Salhi & Khaireddine Mouakha & Anis Jarboui, 2022, "Investor behavior and cryptocurrency market bubbles during the COVID-19 pandemic," Review of Behavioral Finance, Emerald Group Publishing Limited, volume 14, issue 4, pages 491-507, June, DOI: 10.1108/RBF-09-2021-0190.
• Muhammad Yasir & A. Özlem Önder, 2022, "Time-varying herding spillover for emerging countries: evidence from BRIC countries and Turkey," Review of Behavioral Finance, Emerald Group Publishing Limited, volume 15, issue 5, pages 709-728, April, DOI: 10.1108/RBF-10-2021-0218.
• Lars Tegtmeier, 2022, "Modeling the volatilities of globally listed private equity markets," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 40, issue 1, pages 64-85, March, DOI: 10.1108/SEF-04-2021-0129.
• Mohsin Ali & Mudeer Ahmed Khattak & Shabeer Khan & Noureen Khan, 2022, "COVID-19 and the ASEAN stock market: a wavelet analysis of conventional and Islamic equity indices," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 40, issue 4, pages 687-707, October, DOI: 10.1108/SEF-10-2021-0457.
• Matin Keramiyan & Korhan K. Gokmenoglu, 2022, "Bitcoin, uncertainty and internet searches," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 40, issue 1, pages 24-42, June, DOI: 10.1108/SEF-12-2021-0536.
• Desta Bati Nuno, 2022, "Analysis of the Causal Relationship between Precious Metal Prices and Inflation: Evidence from Ethiopia," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), volume 0, issue 1, pages 77-88.
• Adam Kucera & Evzen Kocenda & Ales Marsal, 2022, "Yield Curve Dynamics and Fiscal Policy Shocks," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2022/04, Apr, revised Apr 2022.
• Vojtech Misak, 2022, "Crime and weather. Evidence from the Czech Republic," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2022/09, May, revised May 2022.
• Jan Sila & Michael Mark & Ladislav Kristoufek, 2022, "On Empirical Challenges in Forecasting Market Betas in Crypto Markets," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2022/19, Aug, revised Aug 2022.
• Sophio Togonidze & Evzen Kocenda, 2022, "Macroeconomic Implications of Oil-Price Shocks to Emerging Economies: A Markov Regime-Switching Approach," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2022/21, Sep, revised Sep 2022.
• Nina Boyarchenko & Richard K. Crump & Anna Kovner & Or Shachar, 2022, "What Is Corporate Bond Market Distress?," Liberty Street Economics, Federal Reserve Bank of New York, number 20220629, Jun.
• Federico Bassetti & Roberto Casarin & Marco Del Negro, 2022, "A Bayesian Approach to Inference on Probabilistic Surveys," Staff Reports, Federal Reserve Bank of New York, number 1025, Jul.
• William Diamond & Peter Van Tassel, 2022, "Risk-Free Rates and Convenience Yields Around the World," Staff Reports, Federal Reserve Bank of New York, number 1032, Sep.

2021

• Aviral Kumar Tiwari & Micheal Kofi Boachie & Rangan Gupta, 2021, "Network Analysis of Economic and Financial Uncertainties in Advanced Economies: Evidence from Graph-Theory," Advances in Decision Sciences, Asia University, Taiwan, volume 25, issue 1, pages 188-215, March.
• Satyaban Sahoo & Sanjay Kumar, 2021, "Existence of Cointegration between the Public and Private Bank Index: Evidence from Indian Capital Market," Advances in Decision Sciences, Asia University, Taiwan, volume 25, issue 4, pages 152-172, December.
• Stefano Grassi & Francesco Violante, 2021, "Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2021-05, Mar.
• Bent Jesper Christensen & Mads Markvart Kjær & Bezirgen Veliyev, 2021, "The incremental information in the yield curve about future interest rate risk," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2021-11, Jul.
• Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta, 2021, "Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2021-13, Sep.
• Caner Özdurak, 2021, "Conditional Correlations and Volatility Spillovers Between Crude Oil Price, Tüpraş, and Enerjisa Stock Returns: A Proposal for Constructing an Ultimate BIST Energy Index," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., volume 36, issue Special2, pages 15-32, January, DOI: https://doi.org/10.33203/mfy.844802.
• Claude Diebolt & Mohamed Chikhi, 2021, "Testing The Weak Form Efficiency Of The French Etf Market With Lstar-Anlstgarch Approach Using A Semiparametric Estimation," Working Papers, Association Française de Cliométrie (AFC), number 09-21.
• Nigel E.N. Chitambo & Darren Lee & Sure Mataramvura, 2021, "A Hybrid Neural Network GARCH Approach to Forecasting Zimbabwean Inflation Volatility," The African Finance Journal, Africagrowth Institute, volume 23, issue 1, pages 56-73.
• Charles Raoul Tchuinkam Djemo & John Weirstrass Muteba Mwamba & Mathias Mandla Manguzvane, 2021, "Exchange Rate Risk and International Equity Portfolio Diversification: A South African Investor’s Perspective," The African Finance Journal, Africagrowth Institute, volume 23, issue 2, pages 36-49.
• Mehmet Songur, 2021, "A Review On The Relationship Between Oil Prices And Stock Prices In Turkey: New Evidences From Fourier Approach," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, volume 6, issue 1, pages 101-111, DOI: 10.30784/epfad.809222.
• Abdulkadir Kaya & İkram Yusuf Yarbaşı, 2021, "Forecasting of Volatility in Stock Exchange Markets by MS-GARCH Approach: An Application of Borsa Istanbul," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, volume 6, issue 1, pages 16-35, DOI: 10.30784/epfad.740815.
• Ahmet Galip Gençyürek & Ramazan Ekinci, 2021, "Temiz Enerji Sektörü, Teknoloji Sektörü ve Ham Petrol Arasındaki Yayılım İlişkisi," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, volume 6, issue 1, pages 60-81, DOI: 10.30784/epfad.798974.
• Abdullah Açık & Özhan Okutucu & Kamil Özden Efes & Sadık Özlen Başer, 2021, "Analyzing the Impact of Interest Rate on Dry Bulk Freight Market with Time-Varying Causality Method," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, volume 6, issue 2, pages 403-417, DOI: 10.30784/epfad.798092.
• Sümeyra Gazel, 2021, "Twitter Bazlı Belirsizlik Endeksi Kripto Paraların Volatilitesini Etkiler mi?," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, volume 6, issue SI, pages 207-224, DOI: 10.30784/epfad.1024421.
• Candelon, Bertrand & Moura, Rubens, 2021, "A Multicountry Model of the Term Structures of Interest Rates with a GVAR," LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2021007, Aug.
• Aloy, Marcel & Laly, Floris & Laurent, Sébastien & Lecourt, Christelle, 2021, "Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs," LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2021021, Jan, DOI: https://doi.org/10.1007/978-3-030-5.
• Metin Tetik, 2021, "Comparison of News Impacts on Sectoral Stock Returns during the COVID-19 Pandemic in Turkey," World Journal of Applied Economics, WERI-World Economic Research Institute, volume 7, issue 2, pages 35-46, December, DOI: 10.22440/wjae.7.2.1.
• Onur Polat, 2021, "Time-Varying Network Connectedness of G-7 Economic Policy Uncertainties: A Locally Stationary TVP-VAR Approach," World Journal of Applied Economics, WERI-World Economic Research Institute, volume 7, issue 2, pages 47-59, December, DOI: 10.22440/wjae.7.2.2.
• Jianqing Fan & Kunpeng Li & Yuan Liao, 2021, "Recent Developments in Factor Models and Applications in Econometric Learning," Annual Review of Financial Economics, Annual Reviews, volume 13, issue 1, pages 401-430, November, DOI: 10.1146/annurev-financial-091420-01.
• Stephan von Cramon-Taubadel & Barry K. Goodwin, 2021, "Price Transmission in Agricultural Markets," Annual Review of Resource Economics, Annual Reviews, volume 13, issue 1, pages 65-84, October, DOI: 10.1146/annurev-resource-100518-093.
• Lars Peter Hansen, 2021, "Uncertainty Spillovers for Markets and Policy," Annual Review of Economics, Annual Reviews, volume 13, issue 1, pages 371-396, August, DOI: 10.1146/annurev-economics-082020-05.
• Billio Monica & Casarin Roberto & Costola Michele & Iacopini Matteo, 2021, "COVID-19 spreading in financial networks: A semiparametric matrix regression model," Papers, arXiv.org, number 2101.00422, Jan.
• Souhir Ben Amor & Michael Althof & Wolfgang Karl Hardle, 2021, "FRM Financial Risk Meter for Emerging Markets," Papers, arXiv.org, number 2102.05398, Feb.
• Hui Chen & Antoine Didisheim & Simon Scheidegger, 2021, "Deep Structural Estimation: With an Application to Option Pricing," Papers, arXiv.org, number 2102.09209, Feb.
• David T. Frazier & Ruben Loaiza-Maya & Gael M. Martin & Bonsoo Koo, 2021, "Loss-Based Variational Bayes Prediction," Papers, arXiv.org, number 2104.14054, Apr, revised May 2022.
• Michele Costola & Matteo Iacopini & Carlo R. M. A. Santagiustina, 2021, "On the "mementum" of Meme Stocks," Papers, arXiv.org, number 2106.03691, Jun.
• Mikkel Bennedsen & Asger Lunde & Neil Shephard & Almut E. D. Veraart, 2021, "Inference and forecasting for continuous-time integer-valued trawl processes," Papers, arXiv.org, number 2107.03674, Jul, revised Feb 2023.
• Thomas Conlon & John Cotter & Iason Kynigakis, 2021, "Machine Learning and Factor-Based Portfolio Optimization," Papers, arXiv.org, number 2107.13866, Jul.
• Antoine Djogbenou & Christian Gouri'eroux & Joann Jasiak & Maygol Bandehali, 2021, "Composite Likelihood for Stochastic Migration Model with Unobserved Factor," Papers, arXiv.org, number 2109.09043, Sep, revised Nov 2023.
• Pietro Saggese & Alessandro Belmonte & Nicola Dimitri & Angelo Facchini & Rainer Bohme, 2021, "Who are the arbitrageurs? Empirical evidence from Bitcoin traders in the Mt. Gox exchange platform," Papers, arXiv.org, number 2109.10958, Sep.
• Peter Reinhard Hansen & Chan Kim & Wade Kimbrough, 2021, "Periodicity in Cryptocurrency Volatility and Liquidity," Papers, arXiv.org, number 2109.12142, Sep, revised Nov 2021.
• Minseog Oh & Donggyu Kim, 2021, "Effect of the U.S.--China Trade War on Stock Markets: A Financial Contagion Perspective," Papers, arXiv.org, number 2111.09655, Nov.
• Giacomo Toscano & Giulia Livieri & Maria Elvira Mancino & Stefano Marmi, 2021, "Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts," Papers, arXiv.org, number 2112.14529, Dec, revised Sep 2022.
• Bastanzad, Hossein & Davoudi, Pedram, 2021, "The Impact of Macro Systematic Shocks on the Non-Performing Loans: Multivariate Stochastic Volatility Model (in Persian)," The Journal of Planning and Budgeting (٠صلنامه برنامه ریزی Ùˆ بودجه), Institute for Management and Planning studies, volume 26, issue 3, pages 49-74, December.
• Milian Bachem & Lerby Ergun & Casper de Vries, 2021, "Covariates Hiding in the Tails," Staff Working Papers, Bank of Canada, number 21-45, Sep, DOI: 10.34989/swp-2021-45.
• Andrea Carolina Vargas-Páez & Carlos David Ardila-Dueñas, 2021, "Efecto del riesgo de tipo de cambio en la rentabilidad de los bonos soberanos en Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 1165, Aug, DOI: 10.32468/be.1165.
• Joseph Chukwudi Odionye & Jude Okechukwu Chukwu, 2021, "The Asymmetric Effects Of Currency Devaluation In Selected Sub-Saharan Africa," Economic Annals, Faculty of Economics and Business, University of Belgrade, volume 66, issue 230, pages 135-156, July – Se.
• Lukas Boeckelmann & Arthur Stalla-Bourdillon, 2021, "Structural Estimation of Time-Varying Spillovers: An Application to International Credit Risk Transmission," Working papers, Banque de France, number 798.
• Ethem Kılıç, 2021, "DCC-GARCH ile Altında Spot Fiyat, Vadeli Fiyat ve Risk Iliskisi," Bingol University Journal of Economics and Administrative Sciences, Bingol University, Faculty of Economics and Administrative Sciences, volume 5, issue SpecialIs, pages 55-68, December, DOI: https://doi.org/10.33399/biibfad.10.
• Roman Tikhonov & Aleksey Masyutin & Vadim Anpilogov, 2021, "The Relationship Between the Financial Performance of Banks and the Quality of Credit Scoring Models," Russian Journal of Money and Finance, Bank of Russia, volume 80, issue 2, pages 76-95, June, DOI: 10.31477/rjmf.202102.76.
• Matthew Greenwood‐Nimmo & Viet Hoang Nguyen & Eliza Wu, 2021, "On the International Spillover Effects of Country‐Specific Financial Sector Bailouts and Sovereign Risk Shocks," The Economic Record, The Economic Society of Australia, volume 97, issue 317, pages 285-309, June, DOI: 10.1111/1475-4932.12580.
• Anibal Emiliano Da Silva Neto & Jesús Gonzalo & Jean‐Yves Pitarakis, 2021, "Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 83, issue 3, pages 713-741, June, DOI: 10.1111/obes.12418.
• SPEIAN Olesea, 2021, "Financial Inclusion In The Republic Of Moldova: Recent Impacts And Evidence," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, volume 73, issue Special, pages 290-300, December.
• David Esteban Zeballos Coria, 2021, "Vulnerabilidad financiera: Propuesta para la estimación de un Índice de Condiciones Financieras para Bolivia," Revista de Análisis del BCB, Banco Central de Bolivia, volume 34, issue 1, pages 9-32, January -.
• Iryna Kaminska & Haroon Mumtaz & Roman Sustek, 2021, "Monetary policy surprises and their transmission through term premia and expected interest rates," Bank of England working papers, Bank of England, number 914, Mar.
• Kawakatsu Hiroyuki, 2021, "Simple Multivariate Conditional Covariance Dynamics Using Hyperbolically Weighted Moving Averages," Journal of Econometric Methods, De Gruyter, volume 10, issue 1, pages 33-52, January, DOI: 10.1515/jem-2020-0004.