Research classified by Journal of Economic Literature (JEL) codes

2021

• Chen Jo-Hui & Diaz John Francis T., 2021, "Application of grey relational analysis and artificial neural networks on currency exchange-traded notes (ETNs)," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 25, issue 2, pages 1-17, April, DOI: 10.1515/snde-2015-0088.
• Manner Hans & Stark Florian & Wied Dominik, 2021, "A monitoring procedure for detecting structural breaks in factor copula models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 25, issue 4, pages 171-192, September, DOI: 10.1515/snde-2019-0081.
• Donfack Morvan Nongni & Dufays Arnaud, 2021, "Modeling time-varying parameters using artificial neural networks: a GARCH illustration," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 25, issue 5, pages 311-343, December, DOI: 10.1515/snde-2019-0091.
• Palumbo, D., 2021, "Testing and Modelling Time Series with Time Varying Tails," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2111, Jan.
• Ding, Y., 2021, "Augmented Real-Time GARCH: A Joint Model for Returns, Volatility and Volatility of Volatility," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2112, Feb.
• Ding, Y., 2021, "Conditional Heteroskedasticity in the Volatility of Asset Returns," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2179, Nov.
• Carlos Castro-Iragorri & Juan Felipe Peña & Cristhian Rodríguez, 2021, "A Segmented and Observable Yield Curve for Colombia," Journal of Central Banking Theory and Practice, Central bank of Montenegro, volume 10, issue 2, pages 179-200.
• Vesna Karadžić & Nikola Đalović, 2021, "Profitability Determinants of Big European Banks," Journal of Central Banking Theory and Practice, Central bank of Montenegro, volume 10, issue 2, pages 39-56.
• Stanislav Anatolyev & Vladimir Pyrlik, 2021, "Shrinkage for Gaussian and t Copulas in Ultra-High Dimensions," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp699, Aug.
• Guglielmo Maria Caporale & Abdurrahman Nazif Catik & Gül Serife Huyugüzel Kisla & Mohamad Husam Helmi & Coskun Akdeniz, 2021, "Oil Prices, Exchange Rates and Sectoral Stock Returns in the BRICS-T Countries: A Time-Varying Approach," CESifo Working Paper Series, CESifo, number 9322.
• Václav Brož & Evžen Kocenda & Evžen Kočenda, 2021, "Mortgage-Related Bank Penalties and Systemic Risk among U.S. Banks," CESifo Working Paper Series, CESifo, number 9463.
• Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet, 2021, "A penalized two-pass regression to predict stock returns with time-varying risk premia," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-09, Jan.
• Pawel Polak & Urban Ulrych, 2021, "Dynamic Currency Hedging with Ambiguity," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-60, Aug.
• Blanka Horvath & Josef Teichmann & Zan Zuric, 2021, "Deep Hedging under Rough Volatility," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-88, Feb.
• Bryan T. Kelly & Semyon Malamud & Kangying Zhou, 2021, "The Virtue of Complexity in Machine Learning Portfolios," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-90, Dec.
• Damir Filipović & Amir Khalilzadeh, 2021, "Machine Learning for Predicting Stock Return Volatility," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-95, Dec.
• Antonio Díaz & Carlos Esparcia, 2021, "Dynamic optimal portfolio choice under time-varying risk aversion," International Economics, CEPII research center, issue 166, pages 1-22.
• C Castro-Iragorri & J RamÔøΩrez, 2021, "Forecasting Dynamic Term Structure Models with Autoencoders," Documentos de Trabajo, Universidad del Rosario, number 19431, Jul.
• Magnolia Sosa Castro & Christian Bucio Pacheco & H�ctor Eduardo D�az Rodr�guez, 2021, "Extreme Volatility Dependence in Exchange Rate," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, volume 40, issue 82, pages 25-55.
• Magnolia Miriam Sosa Castro & Christian Bucio Pacheco & Edgar Ortiz Calisto, 2021, "Dynamic Stock Dependence and Monetary Variables in the United States (2000-2016): A Copula and Neural Network Approach," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue No. 96, pages 201-234.
• Michael Demmler & Amilcar Orlian Fern�ndez Dom�nguez, 2021, "Bitcoin and the South Sea Company: A comparative analysis," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 13, issue 1, pages 197-224.
• Giglio, Stefano & Dew-Becker, Ian, 2021, "Cross-sectional uncertainty and the business cycle: evidence from 40 years of options data," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 16306, Jun.
• Giglio, Stefano & Xiu, Dacheng & Zhang, Dake, 2021, "Test Assets and Weak Factors," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 16307, Jun.
• Stefano Grassi & Francesco Violante, 2021, "Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas," Working Papers, Center for Research in Economics and Statistics, number 2021-05, Mar.
• Zea Bermúdez, Patricia de & Marín Díazaraque, Juan Miguel & Rue, Havard & Veiga, Helena, 2021, "Integrated nested Laplace approximations for threshold stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 31804, Jan.
• Ying Liao & Cuixia Li & Lei Jiang & Liang Peng, 2021, "Quantifying Diseconomies Of Scale For Mutual Funds," Annals of Economics and Finance, Society for AEF, volume 22, issue 1, pages 1-24, May.
• Aknouche, Abdelhakim & Francq, Christian, 2021, "Count And Duration Time Series With Equal Conditional Stochastic And Mean Orders," Econometric Theory, Cambridge University Press, volume 37, issue 2, pages 248-280, April.
• Rostagno, Massimo & Altavilla, Carlo & Carboni, Giacomo & Lemke, Wolfgang & Motto, Roberto & Saint Guilhem, Arthur, 2021, "Combining negative rates, forward guidance and asset purchases: identification and impacts of the ECB’s unconventional policies," Working Paper Series, European Central Bank, number 2564, Jun.
• Carbone, Sante & Giuzio, Margherita & Kapadia, Sujit & Krämer, Johannes Sebastian & Nyholm, Ken & Vozian, Katia, 2021, "The low-carbon transition, climate commitments and firm credit risk," Working Paper Series, European Central Bank, number 2631, Dec.
• Qian Chen & Xiang Gao & Gangchen Liu, 2021, "Limited Attention and Post-Earnings Announcement Drift: Evidence from China s Stock Market," International Journal of Economics and Financial Issues, Econjournals, volume 11, issue 1, pages 1-17.
• Ernie Hendrawaty & Rialdi Azhar & Fajrin Satria Dwi Kesumah & Sari Indah Oktanti Sembiring & Mega Metalia, 2021, "Modelling and Forecasting Crude Oil Prices during COVID-19 Pandemic," International Journal of Energy Economics and Policy, Econjournals, volume 11, issue 2, pages 149-154.
• Tarek Bouazizi & Zouhaier Hadhek & Fatma Mrad & Mosbah Lafi, 2021, "Changes in Demand for Crude Oil and its Correlation with Crude Oil and Stock Market Returns Volatilities: Evidence from Three Asian Oil Importing Countries," International Journal of Energy Economics and Policy, Econjournals, volume 11, issue 3, pages 27-43.
• Huthaifa Sameeh Alqaralleh & Ahmad Al-Saraireh & Alessandra Canepa, 2021, "Energy Market Risk Management under Uncertainty: A VaR Based on Wavelet Approach," International Journal of Energy Economics and Policy, Econjournals, volume 11, issue 5, pages 130-137.
• Bharat Kumar Meher & Iqbal Thonse Hawaldar & Mathew Thomas Gil & Deebom Zorle Dum, 2021, "Measuring Leverage Effect of Covid 19 on Stock Price Volatility of Energy Companies Using High Frequency Data," International Journal of Energy Economics and Policy, Econjournals, volume 11, issue 6, pages 489-502.
• Umar, Zaghum & Gubareva, Mariya & Yousaf, Imran & Ali, Shoaib, 2021, "A tale of company fundamentals vs sentiment driven pricing: The case of GameStop," Journal of Behavioral and Experimental Finance, Elsevier, volume 30, issue C, DOI: 10.1016/j.jbef.2021.100501.
• Hasan, Mudassar & Naeem, Muhammad Abubakr & Arif, Muhammad & Yarovaya, Larisa, 2021, "Higher moment connectedness in cryptocurrency market," Journal of Behavioral and Experimental Finance, Elsevier, volume 32, issue C, DOI: 10.1016/j.jbef.2021.100562.
• Basse, Tobias & Klein, Tony & Vigne, Samuel A. & Wegener, Christoph, 2021, "U.S. stock prices and the dot.com-bubble: Can dividend policy rescue the efficient market hypothesis?," Journal of Corporate Finance, Elsevier, volume 67, issue C, DOI: 10.1016/j.jcorpfin.2021.101892.
• Kita, Arben & Tortorice, Daniel L., 2021, "Same firm, two volatilities: How variance risk is priced in credit and equity markets," Journal of Corporate Finance, Elsevier, volume 69, issue C, DOI: 10.1016/j.jcorpfin.2021.101885.
• Da Fonseca, José & Malevergne, Yannick, 2021, "A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy," Journal of Economic Dynamics and Control, Elsevier, volume 128, issue C, DOI: 10.1016/j.jedc.2021.104137.
• Cherubini, Umberto, 2021, "Estimating redenomination risk under Gumbel–Hougaard survival copulas," Journal of Economic Dynamics and Control, Elsevier, volume 133, issue C, DOI: 10.1016/j.jedc.2021.104268.
• Hasan, Mudassar & Arif, Muhammad & Naeem, Muhammad Abubakr & Ngo, Quang-Thanh & Taghizadeh–Hesary, Farhad, 2021, "Time-frequency connectedness between Asian electricity sectors," Economic Analysis and Policy, Elsevier, volume 69, issue C, pages 208-224, DOI: 10.1016/j.eap.2020.12.008.
• An, Henry & Qiu, Feng & Rude, James, 2021, "Volatility spillovers between food and fuel markets: Do administrative regulations affect the transmission?," Economic Modelling, Elsevier, volume 102, issue C, DOI: 10.1016/j.econmod.2021.105552.
• Cross, Jamie L. & Hou, Chenghan & Trinh, Kelly, 2021, "Returns, volatility and the cryptocurrency bubble of 2017–18," Economic Modelling, Elsevier, volume 104, issue C, DOI: 10.1016/j.econmod.2021.105643.
• Zhu, Bo & Lin, Renda & Deng, Yuanyue & Chen, Pingshe & Chevallier, Julien, 2021, "Intersectoral systemic risk spillovers between energy and agriculture under the financial and COVID-19 crises," Economic Modelling, Elsevier, volume 105, issue C, DOI: 10.1016/j.econmod.2021.105651.
• Gregoriou, Greg N. & Racicot, François-Éric & Théoret, Raymond, 2021, "The response of hedge fund tail risk to macroeconomic shocks: A nonlinear VAR approach," Economic Modelling, Elsevier, volume 94, issue C, pages 843-872, DOI: 10.1016/j.econmod.2020.02.025.
• Shang, Yuhuang & Zheng, Tingguo, 2021, "Mixed-frequency SV model for stock volatility and macroeconomics," Economic Modelling, Elsevier, volume 95, issue C, pages 462-472, DOI: 10.1016/j.econmod.2020.03.013.
• Aslanidis, Nektarios & Martinez, Oscar, 2021, "Correlation regimes in international equity and bond returns," Economic Modelling, Elsevier, volume 97, issue C, pages 397-410, DOI: 10.1016/j.econmod.2020.04.009.
• Hu, Shuowen & Poskitt, D.S. & Zhang, Xibin, 2021, "Bayesian estimation for a semiparametric nonlinear volatility model," Economic Modelling, Elsevier, volume 98, issue C, pages 361-370, DOI: 10.1016/j.econmod.2020.11.005.
• Behrendt, Simon & Schmidt, Alexander, 2021, "Nonlinearity matters: The stock price – trading volume relation revisited," Economic Modelling, Elsevier, volume 98, issue C, pages 371-385, DOI: 10.1016/j.econmod.2020.11.004.
• Mora-Valencia, Andrés & Rodríguez-Raga, Santiago & Vanegas, Esteban, 2021, "Skew index: Descriptive analysis, predictive power, and short-term forecast," The North American Journal of Economics and Finance, Elsevier, volume 56, issue C, DOI: 10.1016/j.najef.2020.101356.
• Tan, Chia-Yen & Koh, You-Beng & Ng, Kok-Haur & Ng, Kooi-Huat, 2021, "Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model," The North American Journal of Economics and Finance, Elsevier, volume 56, issue C, DOI: 10.1016/j.najef.2021.101377.
• Będowska-Sójka, Barbara & Kliber, Agata, 2021, "Is there one safe-haven for various turbulences? The evidence from gold, Bitcoin and Ether," The North American Journal of Economics and Finance, Elsevier, volume 56, issue C, DOI: 10.1016/j.najef.2021.101390.
• Figà-Talamanca, Gianna & Focardi, Sergio & Patacca, Marco, 2021, "Regime switches and commonalities of the cryptocurrencies asset class," The North American Journal of Economics and Finance, Elsevier, volume 57, issue C, DOI: 10.1016/j.najef.2021.101425.
• Pérez-Rodríguez, Jorge V. & Andrada-Félix, Julián & Rachinger, Heiko, 2021, "Testing the forward volatility unbiasedness hypothesis in exchange rates under long-range dependence," The North American Journal of Economics and Finance, Elsevier, volume 57, issue C, DOI: 10.1016/j.najef.2021.101438.
• Mensi, Walid & Lee, Yun-Jung & Vinh Vo, Xuan & Yoon, Seong-Min, 2021, "Does oil price variability affect the long memory and weak form efficiency of stock markets in top oil producers and oil Consumers? Evidence from an asymmetric MF-DFA approach," The North American Journal of Economics and Finance, Elsevier, volume 57, issue C, DOI: 10.1016/j.najef.2021.101446.
• Caporin, Massimiliano & Garcia-Jorcano, Laura & Jimenez-Martin, Juan-Angel, 2021, "TrAffic LIght system for systemic Stress: TALIS3," The North American Journal of Economics and Finance, Elsevier, volume 57, issue C, DOI: 10.1016/j.najef.2021.101449.
• Ngene, Geoffrey M., 2021, "What drives dynamic connectedness of the U.S equity sectors during different business cycles?," The North American Journal of Economics and Finance, Elsevier, volume 58, issue C, DOI: 10.1016/j.najef.2021.101493.
• Dong, Xiyong & Li, Changhong & Yoon, Seong-Min, 2021, "How can investors build a better portfolio in small open economies? Evidence from Asia’s Four Little Dragons," The North American Journal of Economics and Finance, Elsevier, volume 58, issue C, DOI: 10.1016/j.najef.2021.101500.
• Freire, Gustavo, 2021, "Tail risk and investors’ concerns: Evidence from Brazil," The North American Journal of Economics and Finance, Elsevier, volume 58, issue C, DOI: 10.1016/j.najef.2021.101519.
• Xu, Yongan & Wang, Jianqiong & Chen, Zhonglu & Liang, Chao, 2021, "Economic policy uncertainty and stock market returns: New evidence," The North American Journal of Economics and Finance, Elsevier, volume 58, issue C, DOI: 10.1016/j.najef.2021.101525.
• Kim, Jong-Min & Kim, Dong H. & Jung, Hojin, 2021, "Applications of machine learning for corporate bond yield spread forecasting," The North American Journal of Economics and Finance, Elsevier, volume 58, issue C, DOI: 10.1016/j.najef.2021.101540.
• Dong, Xiyong & Song, Li & Yoon, Seong-Min, 2021, "How have the dependence structures between stock markets and economic factors changed during the COVID-19 pandemic?," The North American Journal of Economics and Finance, Elsevier, volume 58, issue C, DOI: 10.1016/j.najef.2021.101546.
• Li, Yiyun & Law, Keith K.F., 2021, "Systematic risk in pairs trading and dynamic parameterization," Economics Letters, Elsevier, volume 202, issue C, DOI: 10.1016/j.econlet.2021.109842.
• Bertelsen, Kristoffer Pons & Borup, Daniel & Jakobsen, Johan Stax, 2021, "Stock market volatility and public information flow: A non-linear perspective," Economics Letters, Elsevier, volume 204, issue C, DOI: 10.1016/j.econlet.2021.109905.
• Caferra, Rocco & Tedeschi, Gabriele & Morone, Andrea, 2021, "Bitcoin: Bubble that bursts or Gold that glitters?," Economics Letters, Elsevier, volume 205, issue C, DOI: 10.1016/j.econlet.2021.109942.
• Costola, Michele & Iacopini, Matteo & Santagiustina, Carlo R.M.A., 2021, "On the “mementum” of meme stocks," Economics Letters, Elsevier, volume 207, issue C, DOI: 10.1016/j.econlet.2021.110021.
• Wang, Gang-Jin & Zhu, Chun-Long, 2021, "BP-CVaR: A novel model of estimating CVaR with back propagation algorithm," Economics Letters, Elsevier, volume 209, issue C, DOI: 10.1016/j.econlet.2021.110125.
• Yang, Xinxin & Zheng, Xinghua & Chen, Jiaqi, 2021, "Testing high-dimensional covariance matrices under the elliptical distribution and beyond," Journal of Econometrics, Elsevier, volume 221, issue 2, pages 409-423, DOI: 10.1016/j.jeconom.2020.05.017.
• Blasques, F. & Gorgi, P. & Koopman, S.J., 2021, "Missing observations in observation-driven time series models," Journal of Econometrics, Elsevier, volume 221, issue 2, pages 542-568, DOI: 10.1016/j.jeconom.2020.07.043.
• Bu, Ruijun & Hadri, Kaddour & Kristensen, Dennis, 2021, "Diffusion copulas: Identification and estimation," Journal of Econometrics, Elsevier, volume 221, issue 2, pages 616-643, DOI: 10.1016/j.jeconom.2020.06.004.
• Buccheri, Giuseppe & Corsi, Fulvio & Flandoli, Franco & Livieri, Giulia, 2021, "The continuous-time limit of score-driven volatility models," Journal of Econometrics, Elsevier, volume 221, issue 2, pages 655-675, DOI: 10.1016/j.jeconom.2020.07.042.
• Fan, Jianqing & Ke, Yuan & Liao, Yuan, 2021, "Augmented factor models with applications to validating market risk factors and forecasting bond risk premia," Journal of Econometrics, Elsevier, volume 222, issue 1, pages 269-294, DOI: 10.1016/j.jeconom.2020.07.002.
• Song, Xinyu & Kim, Donggyu & Yuan, Huiling & Cui, Xiangyu & Lu, Zhiping & Zhou, Yong & Wang, Yazhen, 2021, "Volatility analysis with realized GARCH-Itô models," Journal of Econometrics, Elsevier, volume 222, issue 1, pages 393-410, DOI: 10.1016/j.jeconom.2020.07.007.
• Ding, Yi & Li, Yingying & Zheng, Xinghua, 2021, "High dimensional minimum variance portfolio estimation under statistical factor models," Journal of Econometrics, Elsevier, volume 222, issue 1, pages 502-515, DOI: 10.1016/j.jeconom.2020.07.013.
• Dai, Min & Jia, Yanwei & Kou, Steven, 2021, "The wisdom of the crowd and prediction markets," Journal of Econometrics, Elsevier, volume 222, issue 1, pages 561-578, DOI: 10.1016/j.jeconom.2020.07.016.
• Park, Joon Y. & Wang, Bin, 2021, "Nonparametric estimation of jump diffusion models," Journal of Econometrics, Elsevier, volume 222, issue 1, pages 688-715, DOI: 10.1016/j.jeconom.2020.07.020.
• Sönksen, Jantje & Grammig, Joachim, 2021, "Empirical asset pricing with multi-period disaster risk: A simulation-based approach," Journal of Econometrics, Elsevier, volume 222, issue 1, pages 805-832, DOI: 10.1016/j.jeconom.2020.08.001.
• Hansen, Lars Peter & Sargent, Thomas J., 2021, "Macroeconomic uncertainty prices when beliefs are tenuous," Journal of Econometrics, Elsevier, volume 223, issue 1, pages 222-250, DOI: 10.1016/j.jeconom.2019.11.010.
• Guay, François & Schwenkler, Gustavo, 2021, "Efficient estimation and filtering for multivariate jump–diffusions," Journal of Econometrics, Elsevier, volume 223, issue 1, pages 251-275, DOI: 10.1016/j.jeconom.2020.09.004.
• Ahsan, Md. Nazmul & Dufour, Jean-Marie, 2021, "Simple estimators and inference for higher-order stochastic volatility models," Journal of Econometrics, Elsevier, volume 224, issue 1, pages 181-197, DOI: 10.1016/j.jeconom.2021.03.008.
• Jiang, Feiyu & Li, Dong & Zhu, Ke, 2021, "Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model," Journal of Econometrics, Elsevier, volume 224, issue 2, pages 306-329, DOI: 10.1016/j.jeconom.2020.10.007.
• Chiang, I-Hsuan Ethan & Liao, Yin & Zhou, Qing, 2021, "Modeling the cross-section of stock returns using sensible models in a model pool," Journal of Empirical Finance, Elsevier, volume 60, issue C, pages 56-73, DOI: 10.1016/j.jempfin.2020.11.003.
• Parhizgari, A.M. & Padungsaksawasdi, Chaiyuth, 2021, "Global equity market leadership positions through implied volatility measures," Journal of Empirical Finance, Elsevier, volume 61, issue C, pages 180-205, DOI: 10.1016/j.jempfin.2021.01.001.
• Balter, Anne G. & Pelsser, Antoon & Schotman, Peter C., 2021, "What does a term structure model imply about very long-term interest rates?," Journal of Empirical Finance, Elsevier, volume 62, issue C, pages 202-219, DOI: 10.1016/j.jempfin.2021.03.006.
• Gradojevic, Nikola & Tsiakas, Ilias, 2021, "Volatility cascades in cryptocurrency trading," Journal of Empirical Finance, Elsevier, volume 62, issue C, pages 252-265, DOI: 10.1016/j.jempfin.2021.04.005.
• Cheng, Mingmian & Swanson, Norman R. & Yang, Xiye, 2021, "Forecasting volatility using double shrinkage methods," Journal of Empirical Finance, Elsevier, volume 62, issue C, pages 46-61, DOI: 10.1016/j.jempfin.2021.01.007.
• Austmann, Leonhard M. & Vigne, Samuel A., 2021, "Does environmental awareness fuel the electric vehicle market? A Twitter keyword analysis," Energy Economics, Elsevier, volume 101, issue C, DOI: 10.1016/j.eneco.2021.105337.
• Khalfaoui, Rabeh & Tiwari, Aviral Kumar & Kablan, Sandrine & Hammoudeh, Shawkat, 2021, "Interdependence and lead-lag relationships between the oil price and metal markets: Fresh insights from the wavelet and quantile coherency approaches," Energy Economics, Elsevier, volume 101, issue C, DOI: 10.1016/j.eneco.2021.105421.
• Patra, Saswat, 2021, "Revisiting value-at-risk and expected shortfall in oil markets under structural breaks: The role of fat-tailed distributions," Energy Economics, Elsevier, volume 101, issue C, DOI: 10.1016/j.eneco.2021.105452.
• Mwampashi, Muthe Mathias & Nikitopoulos, Christina Sklibosios & Konstandatos, Otto & Rai, Alan, 2021, "Wind generation and the dynamics of electricity prices in Australia," Energy Economics, Elsevier, volume 103, issue C, DOI: 10.1016/j.eneco.2021.105547.
• Leong, Soon Heng, 2021, "Global crude oil and the Chinese oil-intensive sectors: A comprehensive causality study," Energy Economics, Elsevier, volume 103, issue C, DOI: 10.1016/j.eneco.2021.105558.
• Nonejad, Nima, 2021, "Predicting the return on the spot price of crude oil out-of-sample by conditioning on news-based uncertainty measures: Some new empirical results," Energy Economics, Elsevier, volume 104, issue C, DOI: 10.1016/j.eneco.2021.105635.
• Kocaarslan, Baris & Soytas, Ugur, 2021, "Reserve currency and the volatility of clean energy stocks: The role of uncertainty," Energy Economics, Elsevier, volume 104, issue C, DOI: 10.1016/j.eneco.2021.105645.
• Baum, Christopher F. & Zerilli, Paola & Chen, Liyuan, 2021, "Stochastic volatility, jumps and leverage in energy and stock markets: Evidence from high frequency data," Energy Economics, Elsevier, volume 93, issue C, DOI: 10.1016/j.eneco.2019.104481.
• Ahmed, Abdullahi D. & Huo, Rui, 2021, "Volatility transmissions across international oil market, commodity futures and stock markets: Empirical evidence from China," Energy Economics, Elsevier, volume 93, issue C, DOI: 10.1016/j.eneco.2020.104741.
• Yahya, Muhammad & Kanjilal, Kakali & Dutta, Anupam & Uddin, Gazi Salah & Ghosh, Sajal, 2021, "Can clean energy stock price rule oil price? New evidences from a regime-switching model at first and second moments," Energy Economics, Elsevier, volume 95, issue C, DOI: 10.1016/j.eneco.2021.105116.
• Richter, Sylvia & Heyde, Frank & Horsch, Andreas & Wünsche, Andreas, 2021, "Determinants of project bond prices – Insights into infrastructure and energy capital markets," Energy Economics, Elsevier, volume 97, issue C, DOI: 10.1016/j.eneco.2021.105175.
• Kramer, Anke & Kiesel, Rüdiger, 2021, "Exogenous factors for order arrivals on the intraday electricity market," Energy Economics, Elsevier, volume 97, issue C, DOI: 10.1016/j.eneco.2021.105186.
• Balcilar, Mehmet & Roubaud, David & Usman, Ojonugwa & Wohar, Mark E., 2021, "Moving out of the linear rut: A period-specific and regime-dependent exchange rate and oil price pass-through in the BRICS countries," Energy Economics, Elsevier, volume 98, issue C, DOI: 10.1016/j.eneco.2021.105249.
• Urom, Christian & Mzoughi, Hela & Abid, Ilyes & Brahim, Mariem, 2021, "Green markets integration in different time scales: A regional analysis," Energy Economics, Elsevier, volume 98, issue C, DOI: 10.1016/j.eneco.2021.105254.
• Kang, Sanghoon & Hernandez, Jose Arreola & Sadorsky, Perry & McIver, Ronald, 2021, "Frequency spillovers, connectedness, and the hedging effectiveness of oil and gold for US sector ETFs," Energy Economics, Elsevier, volume 99, issue C, DOI: 10.1016/j.eneco.2021.105278.
• Maghyereh, Aktham & Abdoh, Hussein, 2021, "The impact of extreme structural oil-price shocks on clean energy and oil stocks," Energy, Elsevier, volume 225, issue C, DOI: 10.1016/j.energy.2021.120209.
• Umar, Muhammad & Su, Chi-Wei & Rizvi, Syed Kumail Abbas & Lobonţ, Oana-Ramona, 2021, "Driven by fundamentals or exploded by emotions: Detecting bubbles in oil prices," Energy, Elsevier, volume 231, issue C, DOI: 10.1016/j.energy.2021.120873.
• Alqahtani, Abdullah & Klein, Tony, 2021, "Oil price changes, uncertainty, and geopolitical risks: On the resilience of GCC countries to global tensions," Energy, Elsevier, volume 236, issue C, DOI: 10.1016/j.energy.2021.121541.
• Ahelegbey, Daniel Felix & Giudici, Paolo & Mojtahedi, Fatemeh, 2021, "Tail risk measurement in crypto-asset markets," International Review of Financial Analysis, Elsevier, volume 73, issue C, DOI: 10.1016/j.irfa.2020.101604.
• Erdős, Péter & Li, Youwei & Liu, Ruipeng & Mende, Alexander, 2021, "Same same but different – Stylized facts of CTA sub strategies," International Review of Financial Analysis, Elsevier, volume 74, issue C, DOI: 10.1016/j.irfa.2021.101657.
• Fuertes, Ana-Maria & Robles, Maria-Dolores, 2021, "Bank credit risk events and peers' equity value," International Review of Financial Analysis, Elsevier, volume 75, issue C, DOI: 10.1016/j.irfa.2021.101668.
• Junttila, Juha & Perttunen, Jukka & Raatikainen, Juhani, 2021, "Keep the faith in banking: New evidence for the effects of negative interest rates based on the case of Finnish cooperative banks," International Review of Financial Analysis, Elsevier, volume 75, issue C, DOI: 10.1016/j.irfa.2021.101724.
• Hung, Ngo Thai & Vo, Xuan Vinh, 2021, "Directional spillover effects and time-frequency nexus between oil, gold and stock markets: Evidence from pre and during COVID-19 outbreak," International Review of Financial Analysis, Elsevier, volume 76, issue C, DOI: 10.1016/j.irfa.2021.101730.
• Goodell, John W. & Goutte, Stephane, 2021, "Diversifying equity with cryptocurrencies during COVID-19," International Review of Financial Analysis, Elsevier, volume 76, issue C, DOI: 10.1016/j.irfa.2021.101781.
• Tanin, Tauhidul Islam & Sarker, Ashutosh & Brooks, Robert, 2021, "Do currency exchange rates impact gold prices? New evidence from the ongoing COVID-19 period," International Review of Financial Analysis, Elsevier, volume 77, issue C, DOI: 10.1016/j.irfa.2021.101868.
• Sobti, Neharika & Sehgal, Sanjay & Ilango, Balakrishnan, 2021, "How do macroeconomic news surprises affect round-the-clock price discovery of gold?," International Review of Financial Analysis, Elsevier, volume 78, issue C, DOI: 10.1016/j.irfa.2021.101893.
• Ma, Feng & Wang, Ruoxin & Lu, Xinjie & Wahab, M.I.M., 2021, "A comprehensive look at stock return predictability by oil prices using economic constraint approaches," International Review of Financial Analysis, Elsevier, volume 78, issue C, DOI: 10.1016/j.irfa.2021.101899.
• Xu, Qiuhua & Zhang, Yixuan & Zhang, Ziyang, 2021, "Tail-risk spillovers in cryptocurrency markets," Finance Research Letters, Elsevier, volume 38, issue C, DOI: 10.1016/j.frl.2020.101453.
• Shi, Yongbin & Yu, Miao & Chen, Liujun & Ivanov, Plamen Ch. & Wang, Yougui, 2021, "Quantifying financial market dynamics: Scaling law in rank mobility of Chinese stock prices," Finance Research Letters, Elsevier, volume 38, issue C, DOI: 10.1016/j.frl.2020.101516.
• Goodell, John W. & Goutte, Stephane, 2021, "Co-movement of COVID-19 and Bitcoin: Evidence from wavelet coherence analysis," Finance Research Letters, Elsevier, volume 38, issue C, DOI: 10.1016/j.frl.2020.101625.
• Gharib, Cheima & Mefteh-Wali, Salma & Jabeur, Sami Ben, 2021, "The bubble contagion effect of COVID-19 outbreak: Evidence from crude oil and gold markets," Finance Research Letters, Elsevier, volume 38, issue C, DOI: 10.1016/j.frl.2020.101703.
• Huang, Zhuo & Liang, Fang & Wang, Tianyi & Li, Chao, 2021, "Modeling dynamic higher moments of crude oil futures," Finance Research Letters, Elsevier, volume 39, issue C, DOI: 10.1016/j.frl.2020.101570.
• Nagy, Balint Zsolt & Benedek, Botond, 2021, "Higher co-moments and adjusted Sharpe ratios for cryptocurrencies," Finance Research Letters, Elsevier, volume 39, issue C, DOI: 10.1016/j.frl.2020.101543.
• Dang, Rey & Houanti, L'Hocine & Sahut, Jean-Michel & Simioni, Michel, 2021, "Do women on corporate boards influence corporate social performance? A control function approach," Finance Research Letters, Elsevier, volume 39, issue C, DOI: 10.1016/j.frl.2020.101645.
• Jeon, Yoontae & Samarbakhsh, Laleh & Hewitt, Kenji, 2021, "Fragmentation in the Bitcoin market: Evidence from multiple coexisting order books," Finance Research Letters, Elsevier, volume 39, issue C, DOI: 10.1016/j.frl.2020.101654.
• Ye, Wuyi & Jiang, Kunliang & Liu, Xiaoquan, 2021, "Financial contagion and the TIR-MIDAS model," Finance Research Letters, Elsevier, volume 39, issue C, DOI: 10.1016/j.frl.2020.101589.
• Apergis, Nicholas & Koutmos, Dimitrios & Payne, James E., 2021, "Convergence in cryptocurrency prices? the role of market microstructure," Finance Research Letters, Elsevier, volume 40, issue C, DOI: 10.1016/j.frl.2020.101685.
• Zhang, Yongjie & Wang, Meng & Xiong, Xiong & Zou, Gaofeng, 2021, "Volatility spillovers between stock, bond, oil, and gold with portfolio implications: Evidence from China," Finance Research Letters, Elsevier, volume 40, issue C, DOI: 10.1016/j.frl.2020.101786.
• Schadner, Wolfgang, 2021, "Ex-Ante Risk Factors and Required Structures of the Implied Correlation Matrix," Finance Research Letters, Elsevier, volume 41, issue C, DOI: 10.1016/j.frl.2020.101855.
• Chowdhury, Md Iftekhar Hasan & Balli, Faruk & Hassan, M. Kabir, 2021, "Network Connectedness of World's Islamic Equity Markets," Finance Research Letters, Elsevier, volume 41, issue C, DOI: 10.1016/j.frl.2020.101878.
• Contessi, Silvio & De Pace, Pierangelo, 2021, "The international spread of COVID-19 stock market collapses," Finance Research Letters, Elsevier, volume 42, issue C, DOI: 10.1016/j.frl.2020.101894.
• Liu, Shaowen & Caporin, Massimiliano & Paterlini, Sandra, 2021, "Dynamic network analysis of North American financial institutions," Finance Research Letters, Elsevier, volume 42, issue C, DOI: 10.1016/j.frl.2021.101921.
• Farzami, Yasmine & Gregory-Allen, Russell & Molchanov, Alexander & Sehrish, Saba, 2021, "COVID-19 and the liquidity network," Finance Research Letters, Elsevier, volume 42, issue C, DOI: 10.1016/j.frl.2021.101937.
• Guidolin, Massimo & Pedio, Manuela, 2021, "Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit," Finance Research Letters, Elsevier, volume 42, issue C, DOI: 10.1016/j.frl.2021.101943.
• Maheu, John M. & McCurdy, Thomas H. & Song, Yong, 2021, "Bull and bear markets during the COVID-19 pandemic," Finance Research Letters, Elsevier, volume 42, issue C, DOI: 10.1016/j.frl.2021.102091.
• Javed, Farrukh & Sabzevari, Hassan & Virk, Nader, 2021, "Tail risk emanating from troubled European banking sectors," Finance Research Letters, Elsevier, volume 43, issue C, DOI: 10.1016/j.frl.2021.101952.
• Caferra, Rocco & Vidal-Tomás, David, 2021, "Who raised from the abyss? A comparison between cryptocurrency and stock market dynamics during the COVID-19 pandemic," Finance Research Letters, Elsevier, volume 43, issue C, DOI: 10.1016/j.frl.2021.101954.
• Yarovaya, Larisa & Elsayed, Ahmed H. & Hammoudeh, Shawkat, 2021, "Determinants of Spillovers between Islamic and Conventional Financial Markets: Exploring the Safe Haven Assets during the COVID-19 Pandemic," Finance Research Letters, Elsevier, volume 43, issue C, DOI: 10.1016/j.frl.2021.101979.
• Joo, Young C. & Park, Sung Y., 2021, "Optimal portfolio selection using a simple double-shrinkage selection rule," Finance Research Letters, Elsevier, volume 43, issue C, DOI: 10.1016/j.frl.2021.102019.
• Zhao, Yuqian, 2021, "Validating intra-day risk premium in cross-sectional return curves," Finance Research Letters, Elsevier, volume 43, issue C, DOI: 10.1016/j.frl.2021.102020.
• Guo, Zi-Yi, 2021, "Price volatilities of bitcoin futures," Finance Research Letters, Elsevier, volume 43, issue C, DOI: 10.1016/j.frl.2021.102022.
• Jacobi, Arie & Tzur, Joseph, 2021, "Wealth Distribution across Countries: Quality of Weibull, Dagum and Burr XII in Estimating Wealth over Time," Finance Research Letters, Elsevier, volume 43, issue C, DOI: 10.1016/j.frl.2021.102023.
• Castillo, Brenda & León, Ángel & Ñíguez, Trino-Manuel, 2021, "Backtesting VaR under the COVID-19 sudden changes in volatility," Finance Research Letters, Elsevier, volume 43, issue C, DOI: 10.1016/j.frl.2021.102024.
• Hasan, Md. Bokhtiar & Hassan, M. Kabir & Rashid, Md. Mamunur & Alhenawi, Yasser, 2021, "Are safe haven assets really safe during the 2008 global financial crisis and COVID-19 pandemic?," Global Finance Journal, Elsevier, volume 50, issue C, DOI: 10.1016/j.gfj.2021.100668.
• Dagpunar, John, 2021, "Closed-form solutions for an explicit modern ideal tontine with bequest motive," Insurance: Mathematics and Economics, Elsevier, volume 100, issue C, pages 261-273, DOI: 10.1016/j.insmatheco.2021.05.008.
• Díaz, Antonio & Esparcia, Carlos, 2021, "Dynamic optimal portfolio choice under time-varying risk aversion," International Economics, Elsevier, volume 166, issue C, pages 1-22, DOI: 10.1016/j.inteco.2021.02.002.
• Karanasos, M. & Yfanti, S., 2021, "On the Economic fundamentals behind the Dynamic Equicorrelations among Asset classes: Global evidence from Equities, Real estate, and Commodities," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 74, issue C, DOI: 10.1016/j.intfin.2021.101292.
• Apostolakis, George N. & Floros, Christos & Gkillas, Konstantinos & Wohar, Mark, 2021, "Political uncertainty, COVID-19 pandemic and stock market volatility transmission," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 74, issue C, DOI: 10.1016/j.intfin.2021.101383.
• Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun & Wang, Weining, 2021, "Long- and short-run components of factor betas: Implications for stock pricing," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 74, issue C, DOI: 10.1016/j.intfin.2021.101412.
• Byrne, Joseph P. & Sakemoto, Ryuta, 2021, "The conditional volatility premium on currency portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 74, issue C, DOI: 10.1016/j.intfin.2021.101415.
• Cipollini, Fabrizio & Gallo, Giampiero M. & Otranto, Edoardo, 2021, "Realized volatility forecasting: Robustness to measurement errors," International Journal of Forecasting, Elsevier, volume 37, issue 1, pages 44-57, DOI: 10.1016/j.ijforecast.2020.02.009.
• Sucarrat, Genaro, 2021, "Identification of volatility proxies as expectations of squared financial returns," International Journal of Forecasting, Elsevier, volume 37, issue 4, pages 1677-1690, DOI: 10.1016/j.ijforecast.2021.03.008.
• Shimada, Junji & Tsukuda, Yoshihiko & Miyakoshi, Tatsuyoshi, 2021, "Who is the center of local currency Asian government bond markets?," Japan and the World Economy, Elsevier, volume 59, issue C, DOI: 10.1016/j.japwor.2021.101075.
• Horvath, Akos & Lang, Peter, 2021, "Do loan subsidies boost the real activity of small firms?," Journal of Banking & Finance, Elsevier, volume 122, issue C, DOI: 10.1016/j.jbankfin.2020.105988.
• Becker, Janis & Hollstein, Fabian & Prokopczuk, Marcel & Sibbertsen, Philipp, 2021, "The memory of beta," Journal of Banking & Finance, Elsevier, volume 124, issue C, DOI: 10.1016/j.jbankfin.2020.106026.
• Clements, Adam & Preve, Daniel P.A., 2021, "A Practical Guide to harnessing the HAR volatility model," Journal of Banking & Finance, Elsevier, volume 133, issue C, DOI: 10.1016/j.jbankfin.2021.106285.
• Tanin, Tauhidul Islam & Sarker, Ashutosh & Hammoudeh, Shawkat & Shahbaz, Muhammad, 2021, "Do volatility indices diminish gold's appeal as a safe haven to investors before and during the COVID-19 pandemic?," Journal of Economic Behavior & Organization, Elsevier, volume 191, issue C, pages 214-235, DOI: 10.1016/j.jebo.2021.09.003.
• Bernardino, Wilton & Ospina, Raydonal & Souza, Filipe Costa de & Rêgo, Leandro & Pereira, Felipe, 2021, "Risk curves: A methodology to evaluate the risk of fraud by stock price manipulation based on game theory and detection software," Journal of Economics and Business, Elsevier, volume 113, issue C, DOI: 10.1016/j.jeconbus.2020.105953.
• Liu, Yan, 2021, "Index option returns and generalized entropy bounds," Journal of Financial Economics, Elsevier, volume 139, issue 3, pages 1015-1036, DOI: 10.1016/j.jfineco.2020.08.011.
• Raddant, Matthias & Kenett, Dror Y., 2021, "Interconnectedness in the global financial market," Journal of International Money and Finance, Elsevier, volume 110, issue C, DOI: 10.1016/j.jimonfin.2020.102280.
• Corvino, Raffaele & Ruggiero, Francesco, 2021, "The relative pricing of sovereign credit risk after the Eurozone crisis," Journal of International Money and Finance, Elsevier, volume 112, issue C, DOI: 10.1016/j.jimonfin.2020.102337.
• Crawley, Andrew & Welch, Sarah & Yung, Julieta, 2021, "Improving estimates of job matching efficiency with different measures of unemployment," Journal of Macroeconomics, Elsevier, volume 67, issue C, DOI: 10.1016/j.jmacro.2020.103282.
• Wimmer, Thomas & Geyer-Klingeberg, Jerome & Hütter, Marie & Schmid, Florian & Rathgeber, Andreas, 2021, "The impact of speculation on commodity prices: A Meta-Granger analysis," Journal of Commodity Markets, Elsevier, volume 22, issue C, DOI: 10.1016/j.jcomm.2020.100148.
• Indriawan, Ivan & Martinez, Valeria & Tse, Yiuman, 2021, "The impact of the change in USDA announcement release procedures on agricultural commodity futures," Journal of Commodity Markets, Elsevier, volume 23, issue C, DOI: 10.1016/j.jcomm.2020.100149.
• Echaust, Krzysztof, 2021, "Asymmetric tail dependence between stock market returns and implied volatility," The Journal of Economic Asymmetries, Elsevier, volume 23, issue C, DOI: 10.1016/j.jeca.2020.e00190.
• Bhar, Ramaprasad & Malliaris, A.G., 2021, "Modeling U.S. monetary policy during the global financial crisis and lessons for Covid-19," Journal of Policy Modeling, Elsevier, volume 43, issue 1, pages 15-33, DOI: 10.1016/j.jpolmod.2020.07.001.
• Samadi, Ali Hussein & Owjimehr, Sakine & Nezhad Halafi, Zohoor, 2021, "The cross-impact between financial markets, Covid-19 pandemic, and economic sanctions: The case of Iran," Journal of Policy Modeling, Elsevier, volume 43, issue 1, pages 34-55, DOI: 10.1016/j.jpolmod.2020.08.001.
• Stoupos, Nikolaos & Kiohos, Apostolos, 2021, "Energy commodities and advanced stock markets: A post-crisis approach," Resources Policy, Elsevier, volume 70, issue C, DOI: 10.1016/j.resourpol.2020.101887.
• Shahzad, Syed Jawad Hussain & Rahman, Md Lutfur & Lucey, Brian M. & Uddin, Gazi Salah, 2021, "Re-examining the real option characteristics of gold for gold mining companies," Resources Policy, Elsevier, volume 70, issue C, DOI: 10.1016/j.resourpol.2020.101890.
• Ajmi, Ahdi Noomen & Hammoudeh, Shawkat & Mokni, Khaled, 2021, "Detection of bubbles in WTI, brent, and Dubai oil prices: A novel double recursive algorithm," Resources Policy, Elsevier, volume 70, issue C, DOI: 10.1016/j.resourpol.2020.101956.
• Bigerna, Simona & Bollino, Carlo Andrea & Polinori, Paolo, 2021, "Oil import portfolio risk and spillover volatility," Resources Policy, Elsevier, volume 70, issue C, DOI: 10.1016/j.resourpol.2020.101976.
• Kumar, Satish & Tiwari, Aviral Kumar & Raheem, Ibrahim Dolapo & Hille, Erik, 2021, "Time-varying dependence structure between oil and agricultural commodity markets: A dependence-switching CoVaR copula approach," Resources Policy, Elsevier, volume 72, issue C, DOI: 10.1016/j.resourpol.2021.102049.
• Zhang, Hongwei & Demirer, Riza & Huang, Jianbai & Huang, Wanjun & Tahir Suleman, Muhammad, 2021, "Economic policy uncertainty and gold return dynamics: Evidence from high-frequency data," Resources Policy, Elsevier, volume 72, issue C, DOI: 10.1016/j.resourpol.2021.102078.
• Ahmad, Wasim & Hernandez, Jose Arreola & Saini, Seema & Mishra, Ritesh Kumar, 2021, "The US equity sectors, implied volatilities, and COVID-19: What does the spillover analysis reveal?," Resources Policy, Elsevier, volume 72, issue C, DOI: 10.1016/j.resourpol.2021.102102.
• Talbi, Marwa & Bedoui, Rihab & de Peretti, Christian & Belkacem, Lotfi, 2021, "Is the role of precious metals as precious as they are? A vine copula and BiVaR approaches," Resources Policy, Elsevier, volume 73, issue C, DOI: 10.1016/j.resourpol.2021.102140.
• Umar, Zaghum & Gubareva, Mariya & Teplova, Tamara, 2021, "The impact of Covid-19 on commodity markets volatility: Analyzing time-frequency relations between commodity prices and coronavirus panic levels," Resources Policy, Elsevier, volume 73, issue C, DOI: 10.1016/j.resourpol.2021.102164.
• Youssef, Manel & Mokni, Khaled, 2021, "Oil-gold nexus: Evidence from regime switching-quantile regression approach," Resources Policy, Elsevier, volume 73, issue C, DOI: 10.1016/j.resourpol.2021.102215.
• Mensi, Walid & Reboredo, Juan C. & Ugolini, Andrea, 2021, "Price-switching spillovers between gold, oil, and stock markets: Evidence from the USA and China during the COVID-19 pandemic," Resources Policy, Elsevier, volume 73, issue C, DOI: 10.1016/j.resourpol.2021.102217.
• Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2021, "Precious metals, oil, and ASEAN stock markets: From global financial crisis to global health crisis," Resources Policy, Elsevier, volume 73, issue C, DOI: 10.1016/j.resourpol.2021.102221.
• Reboredo, Juan Carlos & Ugolini, Andrea & Hernandez, Jose Arreola, 2021, "Dynamic spillovers and network structure among commodity, currency, and stock markets," Resources Policy, Elsevier, volume 74, issue C, DOI: 10.1016/j.resourpol.2021.102266.
• Liu, Zhenhua & Shi, Xunpeng & Zhai, Pengxiang & Wu, Shan & Ding, Zhihua & Zhou, Yuqin, 2021, "Tail risk connectedness in the oil-stock nexus: Evidence from a novel quantile spillover approach," Resources Policy, Elsevier, volume 74, issue C, DOI: 10.1016/j.resourpol.2021.102381.
• Borkowski, Bolesław & Krawiec, Monika & Karwański, Marek & Szczesny, Wiesław & Shachmurove, Yochanan, 2021, "Modeling garch processes in base metals returns using panel data," Resources Policy, Elsevier, volume 74, issue C, DOI: 10.1016/j.resourpol.2021.102411.
• Moussa, Wajdi & Mgadmi, Nidhal & Béjaoui, Azza & Regaieg, Rym, 2021, "Exploring the dynamic relationship between Bitcoin and commodities: New insights through STECM model," Resources Policy, Elsevier, volume 74, issue C, DOI: 10.1016/j.resourpol.2021.102416.
• Brownlees, Christian & Souza, André B.M., 2021, "Backtesting global Growth-at-Risk," Journal of Monetary Economics, Elsevier, volume 118, issue C, pages 312-330, DOI: 10.1016/j.jmoneco.2020.11.003.
• Kaminska, Iryna & Mumtaz, Haroon & Šustek, Roman, 2021, "Monetary policy surprises and their transmission through term premia and expected interest rates," Journal of Monetary Economics, Elsevier, volume 124, issue C, pages 48-65, DOI: 10.1016/j.jmoneco.2021.07.009.
• Aloui, Chaker & Shahzad, Syed Jawad Hussain & Hkiri, Besma & Hela, Ben Hamida & Khan, Muhammad Asif, 2021, "On the investors' sentiments and the Islamic stock-bond interplay across investments' horizons," Pacific-Basin Finance Journal, Elsevier, volume 65, issue C, DOI: 10.1016/j.pacfin.2020.101491.
• Umar, Zaghum & Gubareva, Mariya, 2021, "Faith-based investments and the Covid-19 pandemic: Analyzing equity volatility and media coverage time-frequency relations," Pacific-Basin Finance Journal, Elsevier, volume 67, issue C, DOI: 10.1016/j.pacfin.2021.101571.
• Diaz, Juan & Duarte, Diogo & Galindo, Hamilton & Montecinos, Alexis & Truffa, Santiago, 2021, "The importance of large shocks to return predictability," Pacific-Basin Finance Journal, Elsevier, volume 68, issue C, DOI: 10.1016/j.pacfin.2021.101518.
• Lian, Yu-Min & Chen, Jun-Home & Liao, Szu-Lang, 2021, "Cojump risks and their impacts on option pricing," The Quarterly Review of Economics and Finance, Elsevier, volume 79, issue C, pages 399-410, DOI: 10.1016/j.qref.2020.07.009.
• Abanto-Valle, Carlos A. & Rodríguez, Gabriel & Garrafa-Aragón, Hernán B., 2021, "Stochastic Volatility in Mean: Empirical evidence from Latin-American stock markets using Hamiltonian Monte Carlo and Riemann Manifold HMC methods," The Quarterly Review of Economics and Finance, Elsevier, volume 80, issue C, pages 272-286, DOI: 10.1016/j.qref.2021.02.005.
• Demiralay, Sercan & Golitsis, Petros, 2021, "On the dynamic equicorrelations in cryptocurrency market," The Quarterly Review of Economics and Finance, Elsevier, volume 80, issue C, pages 524-533, DOI: 10.1016/j.qref.2021.04.002.
• Chang, Bi-Juan & Hung, Mao-Wei, 2021, "Corporate debt and cash decisions: A nonlinear panel data analysis," The Quarterly Review of Economics and Finance, Elsevier, volume 81, issue C, pages 15-37, DOI: 10.1016/j.qref.2021.04.007.
• du Sart, Colin F. & van Vuuren, Gary W., 2021, "Comparing the performance and composition of tracking error constrained and unconstrained portfolios," The Quarterly Review of Economics and Finance, Elsevier, volume 81, issue C, pages 276-287, DOI: 10.1016/j.qref.2021.06.019.
• Heinlein, Reinhold & Legrenzi, Gabriella D. & Mahadeo, Scott M.R., 2021, "Crude oil and stock markets in the COVID-19 crisis: Evidence from oil exporters and importers," The Quarterly Review of Economics and Finance, Elsevier, volume 82, issue C, pages 223-229, DOI: 10.1016/j.qref.2021.09.007.
• Alomari, Mohammad & Al Rababa’a, Abdel Razzaq & El-Nader, Ghaith & Alkhataybeh, Ahmad & Ur Rehman, Mobeen, 2021, "Examining the effects of news and media sentiments on volatility and correlation: Evidence from the UK," The Quarterly Review of Economics and Finance, Elsevier, volume 82, issue C, pages 280-297, DOI: 10.1016/j.qref.2021.09.013.
• Sim, Min Kyu & Deng, Shijie & Huo, Xiaoming, 2021, "What can cluster analysis offer in investing? - Measuring structural changes in the investment universe," International Review of Economics & Finance, Elsevier, volume 71, issue C, pages 299-315, DOI: 10.1016/j.iref.2020.09.004.
• Sui, Meng & Rengifo, Erick W. & Court, Eduardo, 2021, "Gold, inflation and exchange rate in dollarized economies – A comparative study of Turkey, Peru and the United States," International Review of Economics & Finance, Elsevier, volume 71, issue C, pages 82-99, DOI: 10.1016/j.iref.2020.08.014.
• Racicot, François-Éric & Théoret, Raymond & Gregoriou, Greg N., 2021, "The response of hedge fund higher moment risk to macroeconomic and illiquidity shocks," International Review of Economics & Finance, Elsevier, volume 72, issue C, pages 289-318, DOI: 10.1016/j.iref.2020.12.004.
• Ahmed, Walid M.A. & Al Mafrachi, Mustafa, 2021, "Do higher-order realized moments matter for cryptocurrency returns?," International Review of Economics & Finance, Elsevier, volume 72, issue C, pages 483-499, DOI: 10.1016/j.iref.2020.12.009.
• Salisu, Afees A. & Akanni, Lateef O. & Vo, Xuan Vinh, 2021, "Volatility spillovers and hedging effectiveness between health and tourism stocks: Empirical evidence from the US," International Review of Economics & Finance, Elsevier, volume 74, issue C, pages 150-159, DOI: 10.1016/j.iref.2021.02.005.
• Chen, Guojin & Liu, Yanzhen & Zhang, Yu, 2021, "Systemic risk measures and distribution forecasting of macroeconomic shocks," International Review of Economics & Finance, Elsevier, volume 75, issue C, pages 178-196, DOI: 10.1016/j.iref.2021.04.019.
• Pham, Quynh Thi Thuy & Rudolf, Markus, 2021, "Gold, platinum, and industry stock returns," International Review of Economics & Finance, Elsevier, volume 75, issue C, pages 252-266, DOI: 10.1016/j.iref.2021.04.002.
• Jiang, Cuixia & Li, Yuqian & Xu, Qifa & Liu, Yezheng, 2021, "Measuring risk spillovers from multiple developed stock markets to China: A vine-copula-GARCH-MIDAS model," International Review of Economics & Finance, Elsevier, volume 75, issue C, pages 386-398, DOI: 10.1016/j.iref.2021.04.024.