Research classified by Journal of Economic Literature (JEL) codes

2021

• Cavaca, Igor Bastos & Meurer, Roberto, 2021, "International monetary policy spillovers: Linkages between U.S. and South American yield curves," International Review of Economics & Finance, Elsevier, volume 76, issue C, pages 737-754, DOI: 10.1016/j.iref.2021.07.007.
• Mensi, Walid & Al-Yahyaee, Khamis Hamed & Wanas Al-Jarrah, Idries Mohammad & Vo, Xuan Vinh & Kang, Sang Hoon, 2021, "Does volatility connectedness across major cryptocurrencies behave the same at different frequencies? A portfolio risk analysis," International Review of Economics & Finance, Elsevier, volume 76, issue C, pages 96-113, DOI: 10.1016/j.iref.2021.05.009.
• Tamgac, Unay, 2021, "Emerging market exchange rates during quantitative tapering: The effect of US and domestic news," Research in International Business and Finance, Elsevier, volume 57, issue C, DOI: 10.1016/j.ribaf.2021.101393.
• Salisu, Afees A. & Vo, Xuan Vinh & Lucey, Brian, 2021, "Gold and US sectoral stocks during COVID-19 pandemic," Research in International Business and Finance, Elsevier, volume 57, issue C, DOI: 10.1016/j.ribaf.2021.101424.
• Al Rababa’a, Abdel Razzaq & Alomari, Mohammad & McMillan, David, 2021, "Multiscale stock-bond correlation: Implications for risk management," Research in International Business and Finance, Elsevier, volume 58, issue C, DOI: 10.1016/j.ribaf.2021.101435.
• Disli, Mustafa & Nagayev, Ruslan & Salim, Kinan & Rizkiah, Siti K. & Aysan, Ahmet F., 2021, "In search of safe haven assets during COVID-19 pandemic: An empirical analysis of different investor types," Research in International Business and Finance, Elsevier, volume 58, issue C, DOI: 10.1016/j.ribaf.2021.101461.
• Umar, Zaghum & Gubareva, Mariya & Tran, Dang Khoa & Teplova, Tamara, 2021, "Impact of the Covid-19 induced panic on the Environmental, Social and Governance leaders equity volatility: A time-frequency analysis," Research in International Business and Finance, Elsevier, volume 58, issue C, DOI: 10.1016/j.ribaf.2021.101493.
• Umar, Muhammad & Rizvi, Syed Kumail Abbas & Naqvi, Bushra, 2021, "Dance with the devil? The nexus of fourth industrial revolution, technological financial products and volatility spillovers in global financial system," Technological Forecasting and Social Change, Elsevier, volume 163, issue C, DOI: 10.1016/j.techfore.2020.120450.
• Umar, Muhammad & Su, Chi-Wei & Rizvi, Syed Kumail Abbas & Shao, Xue-Feng, 2021, "Bitcoin: A safe haven asset and a winner amid political and economic uncertainties in the US?," Technological Forecasting and Social Change, Elsevier, volume 167, issue C, DOI: 10.1016/j.techfore.2021.120680.
• Edson Z. Monte & Lucas B. Defanti, 2021, "Dynamic Interdependence and Volatility Transmission from the American to the Brazilian Stock Market," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI RP 2021/09, Oct.
• Saji Thazhugal Govindan Nair, 2021, "Measuring volatility spillovers and asymmetric responses of Agri commodity prices: evidence from spices and rubber futures in India," Indian Growth and Development Review, Emerald Group Publishing Limited, volume 14, issue 2, pages 242-267, June, DOI: 10.1108/IGDR-10-2020-0147.
• Seyram Pearl Kumah & Jones Odei-Mensah, 2021, "Can altcoins become viable alternatives to African fiat currencies?," International Journal of Development Issues, Emerald Group Publishing Limited, volume 21, issue 1, pages 24-53, August, DOI: 10.1108/IJDI-04-2021-0088.
• Faten Moussa & Ezzeddine Delhoumi, 2021, "The asymmetric impact of interest and exchange rate on the stock market index: evidence from MENA region," International Journal of Emerging Markets, Emerald Group Publishing Limited, volume 17, issue 10, pages 2510-2528, March, DOI: 10.1108/IJOEM-01-2020-0089.
• Abdullah Bugshan & Walid Bakry & Yongqing Li, 2021, "Oil price volatility and firm profitability: an empirical analysis of Shariah-compliant and non-Shariah-compliant firms," International Journal of Emerging Markets, Emerald Group Publishing Limited, volume 18, issue 5, pages 1147-1167, June, DOI: 10.1108/IJOEM-10-2020-1288.
• Burak Çıkıryel & Hakan Aslan & Mücahit Özdemir, 2021, "Impact of Brexit on Islamic stock markets: employing MGARCH-DCC and wavelet correlation analysis," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, volume 15, issue 1, pages 179-202, August, DOI: 10.1108/IMEFM-01-2020-0007.
• Eduardo Saucedo & Jorge González, 2021, "The effect of macroeconomic variables on the robustness of the traditional Fama–French model. A study for Mexico using different portfolios," Journal of Economics, Finance and Administrative Science, Emerald Group Publishing Limited, volume 26, issue 52, pages 252-267, August, DOI: 10.1108/JEFAS-03-2021-0010.
• Theodoros Daglis, 2021, "The excessive gaming and gambling during COVID-19," Journal of Economic Studies, Emerald Group Publishing Limited, volume 49, issue 5, pages 888-901, July, DOI: 10.1108/JES-02-2021-0093.
• Saji Thazhungal Govindan Nair, 2021, "Price extremes and asymmetric dependence structures in stock returns: the emerging market evidence," Journal of Economic Studies, Emerald Group Publishing Limited, volume 49, issue 8, pages 1502-1523, December, DOI: 10.1108/JES-10-2021-0507.
• Puneet Vatsa & Hem Basnet & Frank Mixon, 2021, "Stock market co-movement in Latin America and the US: evidence from a new approach," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 14, issue 2, pages 162-171, May, DOI: 10.1108/JFEP-02-2021-0047.
• Dervis Kirikkaleli, 2021, "Analyses of wavelet coherence: financial risk and economic risk in China," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 13, issue 5, pages 587-599, February, DOI: 10.1108/JFEP-08-2019-0174.
• Chien-Hung Chen & Nicholas Lee & Fu-Min Chang & Li-Peng Lan, 2021, "Are global gold futures returns volatilities and trading activities threshold cointegrated?," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 13, issue 5, pages 525-538, May, DOI: 10.1108/JFEP-09-2019-0189.
• Thomas Dimpfl & Dalia Elshiaty, 2021, "Volatility discovery in cryptocurrency markets," Journal of Risk Finance, Emerald Group Publishing Limited, volume 22, issue 5, pages 313-331, September, DOI: 10.1108/JRF-11-2020-0238.
• Muhammad Abubakr Naeem & Saba Sehrish & Mabel D. Costa, 2021, "COVID-19 pandemic and connectedness across financial markets," Pacific Accounting Review, Emerald Group Publishing Limited, volume 33, issue 2, pages 165-178, February, DOI: 10.1108/PAR-08-2020-0114.
• Onur Polat & Eylül Kabakçı Günay, 2021, "Cryptocurrency connectedness nexus the COVID-19 pandemic: evidence from time-frequency domains," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 38, issue 5, pages 946-963, May, DOI: 10.1108/SEF-01-2021-0011.
• Pradipta Kumar Sahoo, 2021, "COVID-19 pandemic and cryptocurrency markets: an empirical analysis from a linear and nonlinear causal relationship," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 38, issue 2, pages 454-468, March, DOI: 10.1108/SEF-09-2020-0385.
• Hechem Ajmi & Nadia Arfaoui & Karima Saci, 2021, "Volatility transmission across international markets amid COVID 19 pandemic," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 38, issue 5, pages 926-945, June, DOI: 10.1108/SEF-11-2020-0449.
• Ramiro Bautista Espinosa & Diana Terrazas Santamaría, 2021, "La viabilidad de invertir en almacenamiento de energía solar en México: un enfoque de opciones reales," Serie documentos de trabajo del Centro de Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, number 2021-09, Nov.
• Llesh Lleshaj & Dorina Kripa, 2021, "The Effect of Financial Leasing Threshold in the Financial Development and Economic Growth: Evidence from Albania," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), volume 0, issue 2, pages 165-177.
• Seyyed Mohammad Hassan Mohammadi & Akram Taftiyan & Forough Heirani & Saeed Eslami, 2021, "Structural Analysis of the Interaction of Financial Managers’ Competency Model," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), volume 0, issue 3, pages 118-136.
• Artem Stopochkin & Inessa Sytnik & Janusz Wielki & Nataliia Zemlianska, 2021, "Methodology for Building Trader's Investment Strategy Based on Assessment of the Market Value of the Company," European Research Studies Journal, European Research Studies Journal, volume 0, issue 1, pages 913-935.
• Luma Al-Qudah & Barbara Piontek & Judit Olah, 2021, "Economic Growth and Foreign Direct Investment in the Context of Financial Development: Evidence from Jordan," European Research Studies Journal, European Research Studies Journal, volume 0, issue 2 - Part , pages 762-782.
• Kwaku Boafo Baidoo, 2021, "Asymmetric Effects of Long and Short Selling Positions: Evidence from US Stock Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 71, issue 4, pages 306-322, December.
• Matthew Greenwood-Nimmo & Evzen Kocenda & Viet Hoang Nguyen, 2021, "Does the Spillover Index Respond Significantly to Systemic Shocks? A Bootstrap-Based Probabilistic Analysis," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2021/29, Sep, revised Sep 2021.
• Dong Hwan Oh & Andrew J. Patton, 2021, "Dynamic Factor Copula Models with Estimated Cluster Assignments," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2021-029r1, Apr, revised 06 May 2022, DOI: 10.17016/FEDS.2021.029r1.
• Dong Hwan Oh & Andrew J. Patton, 2021, "Better the Devil You Know: Improved Forecasts from Imperfect Models," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2021-071, Nov, DOI: 10.17016/FEDS.2021.071.
• Christian Leschinski & Michelle Voges & Philipp Sibbertsen, 2021, "Integration and Disintegration of EMU Government Bond Markets," Econometrics, MDPI, volume 9, issue 1, pages 1-17, March.
• Simon Liebermann & Jung-Sup Um & YoungSeok Hwang & Stephan Schlüter, 2021, "Performance Evaluation of Neural Network-Based Short-Term Solar Irradiation Forecasts," Energies, MDPI, volume 14, issue 11, pages 1-21, May.
• Lumengo Bonga-Bonga & Tebogo Maake, 2021, "The Relationship between Carry Trade and Asset Markets in South Africa," JRFM, MDPI, volume 14, issue 7, pages 1-13, July.
• Barras, Laurent & Scaillet, Olivier & Gagliardini, Patrick, 2021, "Skill, scale, and value creation in the mutual fund industry," Working Papers, University of Geneva, Geneva School of Economics and Management, number unige:150822.
• Fatma Zaarour, 2021, "International Financial Integration and Stock Market in Developing Countries," GATR Journals, Global Academy of Training and Research (GATR) Enterprise, number jber208, Sep, DOI: https://doi.org/10.35609/jber.2021..
• Marcel Aloy & Floris Laly & Sébastien Laurent & Christelle Lecourt, 2021, "Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs," Post-Print, HAL, number hal-03103717, Jan, DOI: 10.1007/978-3-030-54252-8_9.
• Roman Mestre, 2021, "A wavelet approach of investing behaviors and their effects on risk exposures," Post-Print, HAL, number hal-03195190, Apr, DOI: 10.1186/s40854-021-00239-z.
• Ayad Assoil & Ndéné Ka & Jules Sadefo-Kamdem, 2021, "Analysis of the Dynamic Relationship between Liquidityproxies and returns on French CAC 40 index," Post-Print, HAL, number hal-03282991, DOI: 10.1007/s43546-021-00129-7.
• Denisa Banulescu-Radu & Christophe Hurlin & Jérémy Leymarie & Olivier Scaillet, 2021, "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Post-Print, HAL, number hal-03526444, Sep, DOI: 10.1287/mnsc.2020.3751.
• Marwa Talbi & Rihab Bedoui & Christian de Peretti & Lotfi Belkacem, 2021, "Is the role of precious metals as precious as they are? A vine copula and BiVaR approaches," Post-Print, HAL, number hal-03671370, Oct, DOI: 10.1016/j.resourpol.2021.102140.
• Rabeh Khalfaoui & Aviral Kumar Tiwari & Sandrine Kablan & Shawkat Hammoudeh, 2021, "Interdependence and lead-lag relationships between the oil price and metal markets: Fresh insights from the wavelet and quantile coherency approaches," Post-Print, HAL, number hal-03797581, Sep, DOI: 10.1016/j.eneco.2021.105421.
• Michele Costola & Matteo Iacopini & Carlo Romano Marcello Alessandro Santagiustina, 2021, "On the “mementum” of meme stocks," Post-Print, HAL, number hal-04874781, Aug, DOI: 10.1016/j.econlet.2021.110021.
• Marwa Talbi & Rihab Bedoui & Christian de Peretti & Lotfi Belkacem, 2021, "Is the role of precious metals as precious as they are? A vine copula and BiVaR approaches," Post-Print, HAL, number hal-04875497, Oct, DOI: 10.1016/j.resourpol.2021.102140.
• John W Goodell & Stéphane Goutte, 2021, "Diversifying with cryptocurrencies during COVID-19," Post-Print, HAL, number halshs-02876529, Jul, DOI: 10.1016/j.irfa.2021.101781.
• José da Fonseca & Yannick Malevergne, 2021, "A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy," Post-Print, HAL, number halshs-03590382, Jul, DOI: 10.1016/j.jedc.2021.104137.
• Michele Costola & Matteo Iacopini & Carlo Romano Marcello Alessandro Santagiustina, 2021, "On the “mementum” of meme stocks," Sciences Po Economics Publications (main), HAL, number hal-04874781, Aug, DOI: 10.1016/j.econlet.2021.110021.
• Lukas Boeckelmann & Arthur Stalla-Bourdillon, 2021, "Structural Estimation of Time-Varying Spillovers:an Application to International Credit Risk Transmission," Working Papers, HAL, number hal-03338209, Sep.
• Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang, 2021, "Predicting returns and dividend growth - the role of non-Gaussian innovations," Working Papers, Örebro University, School of Business, number 2021:10, May.
• Nguyen, Hoang & Nguyen, Trong-Nghia & Tran, Minh-Ngoc, 2021, "A dynamic leverage stochastic volatility model," Working Papers, Örebro University, School of Business, number 2021:14, May.
• Nguyen, Hoang & Javed, Farrukh, 2021, "Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach," Working Papers, Örebro University, School of Business, number 2021:15, Aug.
• Bianchi, Daniele & Babiak, Mykola, 2021, "On the Performance of Cryptocurrency Funds," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 408, Nov.
• Takahashi, Makoto & Watanabe, Toshiaki & Omori, Yasuhiro, 2021, "Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility," Discussion paper series, Hitotsubashi Institute for Advanced Study, Hitotsubashi University, number HIAS-E-104, Jan.
• Achmad Nurdany & Muhammad Hanif Ibrahim & Muhammad Fathul Romadoni, 2021, "The Asymmetric Volatility Of The Islamic Capital Market During The Covid-19 Pandemic," Journal of Islamic Monetary Economics and Finance, Bank Indonesia, volume 7, issue Special I, pages 185-202, March, DOI: https://doi.org/10.21098/jimf.v7i0..
• Mohsin Ali & Urooj Anwar & Muhammad Haseeb, 2021, "The Impact Of Covid-19 On Islamic And Conventional Stocks In Indonesia: A Wavelet-Based Study," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 24, issue Special I, pages 15-32, January, DOI: https://doi.org/10.21098/bemp.v24i0.
• Rodrigo A. Morales Fernández Rafaelly & Roberto J. Santillán-Salgado, 2021, "Oil price effect on sectoral stock returns: A conditional covariance and correlation approach for Mexico," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 16, issue 1, pages 1-15, Enero - M.
• Domingo Rodríguez Benavides & Nancy Muller Durán & José Antonio Climent Hernández, 2021, "Spillovers entre los principales Mercados Accionarios de Latinoamérica, Estados Unidos y el Mercado Petrolero," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 16, issue 1, pages 1-18, Enero - M.
• Jorge López Villa & Miriam Sosa Castro, 2021, "Contagio en la volatilidad entre los mercados de capital y de divisas en México y Brasil (2000-2020)," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 16, issue TNEA, pages 1-28, Septiembr.
• Lizethe Berenice Méndez-Heras & Francisco Venegas-Martínez & Diego Emilio Linthon-Delgado, 2021, "Competencia en el mercado de crédito entre los bancos dominantes en México," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 16, issue TNEA, pages 1-25, Septiembr.
• Denisa Banulescu-Radu & Christophe Hurlin & Jérémy Leymarie & Olivier Scaillet, 2021, "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Management Science, INFORMS, volume 67, issue 9, pages 5730-5754, September, DOI: 10.1287/mnsc.2020.3751.
• Ozdemir, Huseyin & Ozdemir, Zeynel Abidin, 2021, "A Survey of Hedge and Safe Havens Assets against G-7 Stock Markets before and during the COVID-19 Pandemic," IZA Discussion Papers, IZA Network @ LISER, number 14888, Nov.
• David William Witts & Emili Tortosa-Ausina & Iván Arribas, 2021, "The Irrational Market: Considering the effect of the online community Wall Street Bets on Financial Market Variables," Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain), number 2021/13.
• Fischer Henning & Stolper Oscar, 2021, "The Nonlinear Dynamics of Corporate Bond Spreads: Regime-Dependent Effects of their Determinants," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 241, issue 2, pages 187-238, April, DOI: 10.1515/jbnst-2020-0002.
• Ojea-Ferreiro, Javier & Reboredo, Juan C., 2021, "Exchange rates and the global transmission of equity market shocks," JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission, number 2021-05, Apr.
• Brandon Flores & Blessing Ofori-Atta & Andrey Sarantsev, 2021, "A stock market model based on CAPM and market size," Annals of Finance, Springer, volume 17, issue 3, pages 405-424, September, DOI: 10.1007/s10436-021-00390-8.
• Jose Arreola Hernandez & Sang Hoon Kang & Ron P. McIver & Seong-Min Yoon, 2021, "Network Interdependence and Optimization of Bank Portfolios from Developed and Emerging Asia Pacific Countries," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 28, issue 4, pages 613-647, December, DOI: 10.1007/s10690-021-09339-3.
• Isabel Casas & Helena Veiga, 2021, "Exploring Option Pricing and Hedging via Volatility Asymmetry," Computational Economics, Springer;Society for Computational Economics, volume 57, issue 4, pages 1015-1039, April, DOI: 10.1007/s10614-020-10005-5.
• Alexander N. Bogin & Stephen D. Bruestle & William M. Doerner, 2021, "Correction to: How Low Can House Prices Go? Estimating a Conservative Lower Bound," The Journal of Real Estate Finance and Economics, Springer, volume 62, issue 1, pages 164-164, January, DOI: 10.1007/s11146-019-09728-6.
• Mawuli Segnon & Rangan Gupta & Keagile Lesame & Mark E. Wohar, 2021, "High-Frequency Volatility Forecasting of US Housing Markets," The Journal of Real Estate Finance and Economics, Springer, volume 62, issue 2, pages 283-317, February, DOI: 10.1007/s11146-020-09745-w.
• Jinzhi Li, 2021, "Bayesian estimation of the stochastic volatility model with double exponential jumps," Review of Derivatives Research, Springer, volume 24, issue 2, pages 157-172, July, DOI: 10.1007/s11147-020-09173-1.
• Cem Cakmakli & Verda Ozturk, 2021, "Economic Value of Modeling the Joint Distribution of Returns and Volatility: Leverage Timing," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 2110, Jul.
• Hui Chen & Antoine Didisheim & Simon Scheidegger, 2021, "Deep Structural Estimation:With an Application to Option Pricing," Cahiers de Recherches Economiques du Département d'économie, Université de Lausanne, Faculté des HEC, Département d’économie, number 21.14, Feb.
• Andreï Kostyrka & Dmitry Igorevich Malakhov,, 2021, "The good, the bad, and the asymmetric: Evidence from a new conditional density model," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 21-09.
• Jens Klose, 2021, "Cryptocurrencies and Gold - Similarities and Differences," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 202128.
• Tehrani, Reza & Veisizadeh, Vahid, 2021, "Dynamic Cross Hedging Effectiveness between Gold and Stock Market Based on Downside Risk Measures: Evidence from Iran Emerging Capital Market," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 16, issue 1, pages 43-70, March.
• Dehghan Khavari, Saeed & Mirjalili, Seyed Hossein & Iraji, Maryam, 2021, "The Asymmetric Impact of Weighting Economic and Political Events on the Fluctuations of Banking Group Index (Case of Tehran Stock Exchange)," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 16, issue 3, pages 399-416, September.
• Sedaghat Parast, Eldar & Golzarian pour, Siavash & Hajizadeh, Vahid, 2021, "Bank Liquidity and Bank Performance: Looking for a Nonlinear Nexus," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 16, issue 4, pages 417-446, December.
• Muhammad Mar’i & Turgut Tursoy, 2021, "Exchange Rate Dependency Between Emerging Countries-Case of Black Sea Countries," Capital Markets Review, Malaysian Finance Association, volume 29, issue 2, pages 43-54.
• Armin Pourkhanali & Jonathan Keith & Xibin Zhang, 2021, "Conditional Heteroscedasticity Models with Time-Varying Parameters: Estimation and Asymptotics," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 15/21.
• David T. Frazier & Ruben Loaiza-Maya & Gael M. Martin & Bonsoo Koo, 2021, "Loss-Based Variational Bayes Prediction," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 8/21.
• David Easley & Marcos López de Prado & Maureen O’Hara & Zhibai Zhang, 2021, "Microstructure in the Machine Age," NBER Chapters, National Bureau of Economic Research, Inc, "Big Data: Long-Term Implications for Financial Markets and Firms".
• Theis Ingerslev Jensen & Bryan T. Kelly & Lasse Heje Pedersen, 2021, "Is There A Replication Crisis In Finance?," NBER Working Papers, National Bureau of Economic Research, Inc, number 28432, Feb.
• Stefano Giglio & Dacheng Xiu & Dake Zhang, 2021, "Test Assets and Weak Factors," NBER Working Papers, National Bureau of Economic Research, Inc, number 29002, Jul.
• Laurentiu DROJ & Goran KARANOVIC & Ioan Gheorghe TARA, 2021, "The Impact Of The Covid-19 Pandemics Over The Financial Performance At The Level Of The Main Pharmaceutical Operating In Central And Eastern Europe," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 30, issue 2, pages 283-290, December.
• Amane Saito, 2021, "On Volatility Linkages among Carbon Price, Stock Price, Interest Rate and Exchange Rate," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 21-20, Nov.
• Atsushi Inoue & Lu Jin & Denis Pelletier, 2021, "Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures
  [Modelling Volatility by Variance Decomposition]," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 1, pages 202-234.
• Bent Jesper Christensen & Rasmus Tangsgaard Varneskov, 2021, "Dynamic Global Currency Hedging
  [Arbitrage in the Foreign Exchange Market: Turning on the Microscope]," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 1, pages 97-127.
• Gianluca De Nard & Olivier Ledoit & Michael Wolf, 2021, "Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly
  [Using Principal Component Analysis to Estimate a High Dimensional Factor Model with High-frequency Data]," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 2, pages 236-257.
• Francesco Audrino & Robert Huitema & Markus Ludwig, 2021, "An Empirical Implementation of the Ross Recovery Theorem as a Prediction Device
  [Nonparametric Option Pricing under Shape Restrictions]," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 2, pages 291-312.
• Joel Hasbrouck, 2021, "Price Discovery in High Resolution," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 3, pages 395-430.
• Giuseppe Buccheri & Giacomo Bormetti & Fulvio Corsi & Fabrizio Lillo, 2021, "Comment on: Price Discovery in High Resolution," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 3, pages 439-451.
• Alessio Sancetta, 2021, "Intraday End-of-Day Volume Prediction," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 3, pages 472-495.
• Jeremias Bekierman & Bastian Gribisch, 2021, "A Mixed Frequency Stochastic Volatility Model for Intraday Stock Market Returns," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 3, pages 496-530.
• Giuseppe Buccheri & Fulvio Corsi, 2021, "HARK the SHARK: Realized Volatility Modeling with Measurement Errors and Nonlinear Dependencies," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 4, pages 614-649.
• Jim Griffin & Jia Liu & John M. Maheu, 2021, "Bayesian Nonparametric Estimation of Ex Post Variance
  [Out of Sample Forecasts of Quadratic Variation]," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 5, pages 823-859.
• Giorgio Calzolari & Roxana Halbleib & Aygul Zagidullina, 2021, "A Latent Factor Model for Forecasting Realized Variances
  [Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk]," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 5, pages 860-909.
• Daniel J Lewis, 2021, "Identifying Shocks via Time-Varying Volatility
  [First Order Autoregressive Processes and Strong Mixing]," The Review of Economic Studies, Review of Economic Studies Ltd, volume 88, issue 6, pages 3086-3124.
• Soohun Kim & Robert A Korajczyk & Andreas Neuhierl & Wei JiangEditor, 2021, "Arbitrage Portfolios," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 6, pages 2813-2856.
• David Easley & Marcos López de Prado & Maureen O’Hara & Zhibai Zhang & Wei Jiang, 2021, "Microstructure in the Machine Age
  [The risk of machine learning]," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 7, pages 3316-3363.
• Alina Barbulescu & Cristian Stefan Dumitriu, 2021, "Markov Switching Model for Financial Time Series," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 193-198, August.
• Alina Barbulescu & Cristian Stefan Dumitriu, 2021, "Artificial Intelligence Models for Financial Time Series," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 685-690, August.
• Susana Campos-Martins & Cristina Amado, 2021, "Financial Market Linkages and the Sovereign Debt Crisis," Economics Series Working Papers, University of Oxford, Department of Economics, number 946 JEL classification: C, Sep.
• Fuentes Vélez, Mariana & Pinilla Barrera, Alejandro, 2021, "Transmisión de volatilidad en el Mercado Integrado Latinoamericano (MILA): una evidencia del grado de integración. || Transmission of volatility in the Latin American Integrated Market (MILA): evidence of the degree of integration," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 31, issue 1, pages 301-328, June, DOI: https://doi.org/10.46661/revmetodos.
• Rendón, Juan F. & Trespalacios, Alfredo & Cortés, Lina M. & Villada-Medina, Hernán D., 2021, "Modelización de la demanda de energía eléctrica: más allá de la normalidad || Electrical energy demand modeling: beyond normality," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 32, issue 1, pages 83-98, December, DOI: https://doi.org/10.46661/revmetodos.
• Carlos A. Abanto-Valle & Gabriel Rodríguez & Luis M. Castro Cepero & Hernán B. Garrafa-Aragón, 2021, "Approximate Bayesian Estimation of Stochastic Volatility in Mean Models using Hidden Markov Models: Empirical Evidence from Stock Latin American Markets," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2021-502, DOI: 10.18800/2079-8474.0502.
• Akbulaev, Nurkhodzha & Aliyeva, Basti & Rzayeva, Shehla, 2021, "Analysis of the Influence of the Price of Raw Oil and Natural Gas on the Prices of Indices and Shares of the Turkish Stock Exchange," Public Finance Quarterly, Corvinus University of Budapest, volume 66, issue 1, pages 151-166, DOI: https://doi.org/10.35551/PFQ_2021_1.
• Farrukh Mahmood & Muhammad Zakaria, 2021, "Testing the Threshold Asymmetric Co-integration Interest Rate Pass-Through in the Presence of Stylised Properties: Evidence from Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 60, issue 1, pages 17-26.
• Ikeda, Yuki, 2021, "Efficient Computation of Portfolio Credit Risk with Chain Default," MPRA Paper, University Library of Munich, Germany, number 106652, Mar.
• Kumar, Satish & Tiwari, Aviral & Raheem, Ibrahim & Hille, Erik, 2021, "Time-varying dependence structure between oil and agricultural commodity markets: A dependence-switching CoVaR copula approach," MPRA Paper, University Library of Munich, Germany, number 106684, Mar.
• Lemus, Antonio & Pulgar, Carlos, 2021, "Households’ Debt Thresholds: A Market Aspects Approach," MPRA Paper, University Library of Munich, Germany, number 106958, Apr.
• Pincheira, Pablo & Hardy, Nicolas, 2021, "The Mean Squared Prediction Error Paradox," MPRA Paper, University Library of Munich, Germany, number 107403, Apr.
• Pincheira, Pablo & Hardy, Nicolas & Bentancor, Andrea & Henriquez, Cristóbal & Tapia, Ignacio, 2021, "Forecasting Base Metal Prices with an International Stock Index," MPRA Paper, University Library of Munich, Germany, number 107828, May.
• Costola, Michele & Lorusso, Marco, 2021, "Spillovers among Energy Commodities and the Russian Stock Market," MPRA Paper, University Library of Munich, Germany, number 108990, Jul.
• Royer, Julien, 2021, "Conditional asymmetry in Power ARCH($\infty$) models," MPRA Paper, University Library of Munich, Germany, number 109118, Jul.
• Rice, Gregory & Wirjanto, Tony & Zhao, Yuqian, 2021, "Exploring volatility of crude oil intra-day return curves: a functional GARCH-X Model," MPRA Paper, University Library of Munich, Germany, number 109231, Aug.
• Mpoha, Salifya & Bonga-Bonga, Lumengo, 2021, "Spillover effects from China and the US to global emerging markets: a dynamic analysis," MPRA Paper, University Library of Munich, Germany, number 109349, Aug.
• Francq, Christian & Zakoian, Jean-Michel, 2021, "Testing the existence of moments and estimating the tail index of augmented garch processes," MPRA Paper, University Library of Munich, Germany, number 110511.
• Delis, Panagiotis & Degiannakis, Stavros & Giannopoulos, Kostantinos, 2021, "What should be taken into consideration when forecasting oil implied volatility index?," MPRA Paper, University Library of Munich, Germany, number 110831, Nov.
• Aknouche, Abdelhakim & Dimitrakopoulos, Stefanos, 2021, "Autoregressive conditional proportion: A multiplicative-error model for (0,1)-valued time series," MPRA Paper, University Library of Munich, Germany, number 110954, Dec, revised 06 Dec 2021.
• Mestiri, Sami, 2021, "Modelling the volatility of Bitcoin returns using Nonparametric GARCH models," MPRA Paper, University Library of Munich, Germany, number 111116, Dec.
• Korobilis, Dimitris & Shimizu, Kenichi, 2021, "Bayesian Approaches to Shrinkage and Sparse Estimation," MPRA Paper, University Library of Munich, Germany, number 111631, Dec.
• G.K., Chetan Kumar & K.B., Rangappa & S., Suchitra, 2021, "Analyzing Interlinkages between Financial and Real Estate Sector in the aftermath of COVID-19's Second wave: An Econometric Approach using VECM model," MPRA Paper, University Library of Munich, Germany, number 112440, Dec.
• Kombarov, Sayan, 2021, "Action in Economics: Mathematical Derivation of Laws of Economics from the Principle of Least Action in Physics," MPRA Paper, University Library of Munich, Germany, number 112474, Aug.
• Raifu, Isiaka Akande & Ogbonna, Ahamuefula E, 2021, "Safe-haven Effectiveness of Cryptocurrency: Evidence from Stock Markets of COVID-19 worst-hit African Countries," MPRA Paper, University Library of Munich, Germany, number 113139, Jan.
• Bradrania, Reza & Pirayesh Neghab, Davood, 2021, "State-dependent asset allocation using neural networks," MPRA Paper, University Library of Munich, Germany, number 115254, Feb.
• houidi, Fatma & Ellouz, Siwar, 2021, "Volatility spillovers and Financial contagion during global financial crisis: Islamic versus conventional equity indices with Multivariate GARCH approch," MPRA Paper, University Library of Munich, Germany, number 122530.
• Muhammad Yasir & A. Özlem Önder, 2021, "Dynamic Herding Behaviour In the US Stock Market," Prague Economic Papers, Prague University of Economics and Business, volume 2021, issue 1, pages 115-130, DOI: 10.18267/j.pep.760.
• Mark Aguiar & Satyajit Chatterjee & Harold Cole & Zachary Stangebye, 2021, "Self-Fulfilling Debt Crises, Revisited," Working Papers, Princeton University. Economics Department., number 2021-92, Nov.
• N'Golo Kone, 2021, "Efficient mean-variance portfolio selection by double regularization," Working Paper, Economics Department, Queen's University, number 1453, Feb.
• Efthymios Stathakis & Theophilos Papadimitriou & Periklis Gogas, 2021, "Forecasting Price Spikes in Electricity Markets," Review of Economic Analysis, Digital Initiatives at the University of Waterloo Library, volume 13, issue 1, pages 65-87, March, DOI: https://doi.org/10.15353/rea.v13i1..
• Gomez-Gonzalez, Jose Eduardo & Gualtero-Briceño, Daniela & Melo-Velandia, Luis Fernando, 2021, "Estimating the Value at Risk of a bank’s portfolio in sovereign bonds using a DCC-Copula model," Working papers, Red Investigadores de Economía, number 75, Feb.
• Andreï Kostyrka & Dmitry Malakhov, 2021, "Was there ever a shift: Empirical analysis of structural-shift tests for return volatility," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 61, pages 110-139.
• Bogdan Potanin & Juri Trifonov, 2021, "The influence of investors’ expectations on oil prices," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 63, pages 76-90.
• Zekai Senol, 2021, "Volatility Spillover between the Stock Market, Exchange Rates, Interest Rates and CDS Premiums: Evidence from Turkey (Borsa Endeksi, Döviz Kuru, Faiz Oranları ve CDS Primleri Arasındaki Oynaklık Yayıl," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 12, issue 1, pages 111-126.
• Indra Darmawan & Hermanto Siregar & Dedi B. Hakim & Adler H. Manurung, 2021, "Crude Oil Price Movement and Stock Market Trading Activity: Evidence from Indonesia," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 74, issue 1, pages 25-46.
• Roselyn Dimingo & John W. Muteba Mwamba & Lumengo Bonga-Bonga, 2021, "Prediction of Stock Market Direction: Application of Machine Learning Models," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 74, issue 4, pages 499-536.
• Teresia Angelia Kusumahadi & Fikri C Permana, 2021, "Impact of COVID-19 on Global Stock Market Volatility," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 36, issue 1, pages 20-45.
• Sadeq Rezaei & Mohsen Mehrara, 2021, "Dynamics of Symmetric Informed Trading and Order Flow Shock at Tehran Exchange Stock: A Hidden Markov Model Approach," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, volume 8, issue 1, pages 25-54.
• Chao YU & Xujie ZHAO, 2021, "Measuring the Jump Risk Contribution under Market Microstructure Noise – Evidence from Chinese Stock Market," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 32-47, December.
• Muhammad Ateeq ur REHMAN & Syed Ghulam Meran SHAH & Lucian-Ionel CIOCA & Alin ARTENE, 2021, "Accentuating the Impacts of Political News on the Stock Price, Working Capital and Performance: An Empirical Review of Emerging Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 55-73, June.
• Jana ŠTRANGFELDOVÁ & Daniela MALIŠOVÁ, 2021, "Application Of Actuarial Modeling To Determine The Rate Of Health Insurance In Solidary Health Care Systems: A Case Of Slovakia," REVISTA ADMINISTRATIE SI MANAGEMENT PUBLIC, Faculty of Administration and Public Management, Academy of Economic Studies, Bucharest, Romania, volume 2021, issue 37, pages 90-102.
• Giuseppe Buccheri & Stefano Grassi & Giorgio Vocalelli, 2021, "Estimating Risk in Illiquid Markets: a Model of Market Friction with Stochastic Volatility," CEIS Research Paper, Tor Vergata University, CEIS, number 506, Jan, revised 08 Nov 2021.
• Tommaso Proietti & Diego J. Pedregal, 2021, "Seasonality in High Frequency Time Series," CEIS Research Paper, Tor Vergata University, CEIS, number 508, Mar, revised 11 Mar 2021.
• Rocco Ciciretti & Ambrogio Dalò & Giovanni Ferri, 2021, "Herding and Anti-Herding Across ESG Funds," CEIS Research Paper, Tor Vergata University, CEIS, number 524, Nov, revised 05 Nov 2021.
• Kirill Dragun & Kris Boudt & Orimar Sauri & Steven Vanduffel, 2021, "Beta-Adjusted Covariance Estimation," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 21/1010, Feb.
• Martien Lamers & Thomas Present & Rudi Vander Vennet & Nicolas Soenen, 2021, "BRRD credibility and the bank-sovereign nexus," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 21/1024, Aug.
• George Varghese & Vinodh Madhavan, 2021, "Nonlinearity in Global Crude Oil Benchmarks: Disentangling the Effect of Time Aggregation," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 20, issue 3, pages 290-307, December, DOI: 10.1177/09726527211043013.
• Ahmed Khalif & Massimiliano Caporin & Michele Costola & Shawkat Hammoudeh, 2021, "Systemic Risk for Financial Institutions in the Major Petroleum-based Economies: The Role of Oil," The Energy Journal, , volume 42, issue 6, pages 247-274, November, DOI: 10.5547/01956574.42.6.akha.
• A. Ovcharov О. & V. Matveev A. & А. Овчаров О. & В. Матвеев А., 2021, "Индекс финансового страха на рынке цифровых финансовых активов // Financial Fear Index in the Digital Financial Assets Market," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, volume 25, issue 4, pages 136-151.
• Reyes García, Nallely Jacqueline & Venegas Martínez, Francisco & Martínez Palacios, María Teresa Verónica, 2021, "Análisis comparativo entre el modelo ARMA y su versión continua CARMA sobre la dinámica del Índice de Precios y Cotizaciones de la Bolsa Mexicana de Valores / Comparative analysis between the ARMA model and Its continuous version CARMA on the Dynamic," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 11, issue 1, pages 33-57, enero-jun.
• Marcin Borsuk & Błażej Lepczyński, 2021, "Rating implikowany a koszt finansowania banków notowanych na Giełdzie Papierów Wartościowych w Warszawie," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 1, pages 87-109.
• M. Karanasos & S. Yfanti & A. Christopoulos, 2021, "The long memory HEAVY process: modeling and forecasting financial volatility," Annals of Operations Research, Springer, volume 306, issue 1, pages 111-130, November, DOI: 10.1007/s10479-019-03493-8.
• Yuzhi Cai & Thanaset Chevapatrakul & Danilo V. Mascia, 2021, "How is price explosivity triggered in the cryptocurrency markets?," Annals of Operations Research, Springer, volume 307, issue 1, pages 37-51, December, DOI: 10.1007/s10479-021-04298-4.
• Giovanni Bonaccolto, 2021, "Quantile– based portfolios: post– model– selection estimation with alternative specifications," Computational Management Science, Springer, volume 18, issue 3, pages 355-383, July, DOI: 10.1007/s10287-021-00396-7.
• Giuseppe Buccheri & Davide Pirino & Luca Trapin, 2021, "Managing liquidity with portfolio staleness," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 44, issue 1, pages 215-239, June, DOI: 10.1007/s10203-020-00300-z.
• Gianna Figá-Talamanca & Sergio Focardi & Marco Patacca, 2021, "Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 44, issue 2, pages 863-882, December, DOI: 10.1007/s10203-021-00318-x.
• Suman Das & Saikat Sinha Roy, 2021, "Predicting regime switching in BRICS currency volatility: a Markov switching autoregressive approach," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, volume 48, issue 2, pages 165-180, June, DOI: 10.1007/s40622-021-00275-9.
• Georg Keilbar & Yanfen Zhang, 2021, "On cointegration and cryptocurrency dynamics," Digital Finance, Springer, volume 3, issue 1, pages 1-23, March, DOI: 10.1007/s42521-021-00027-5.
• Alla Petukhina & Erin Sprünken, 2021, "Evaluation of multi-asset investment strategies with digital assets," Digital Finance, Springer, volume 3, issue 1, pages 45-79, March, DOI: 10.1007/s42521-021-00031-9.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Carlos Poza, 2021, "Cycles and Long-Range Behaviour in the European Stock Markets," Dynamic Modeling and Econometrics in Economics and Finance, Springer, in: Gilles Dufrénot & Takashi Matsuki, "Recent Econometric Techniques for Macroeconomic and Financial Data", DOI: 10.1007/978-3-030-54252-8_11.
• Marcel Aloy & Floris Laly & Sébastien Laurent & Christelle Lecourt, 2021, "Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs," Dynamic Modeling and Econometrics in Economics and Finance, Springer, in: Gilles Dufrénot & Takashi Matsuki, "Recent Econometric Techniques for Macroeconomic and Financial Data", DOI: 10.1007/978-3-030-54252-8_9.
• Julius Loermann, 2021, "The impact of CHF/EUR exchange rate uncertainty on Swiss exports to the Eurozone: evidence from a threshold VAR," Empirical Economics, Springer, volume 60, issue 3, pages 1363-1385, March, DOI: 10.1007/s00181-019-01780-8.
• Verena Monschang & Bernd Wilfling, 2021, "Sup-ADF-style bubble-detection methods under test," Empirical Economics, Springer, volume 61, issue 1, pages 145-172, July, DOI: 10.1007/s00181-020-01859-7.
• Jiro Hodoshima, 2021, "Evaluation of performance of stock and real estate investment trust markets in Japan," Empirical Economics, Springer, volume 61, issue 1, pages 101-120, July, DOI: 10.1007/s00181-020-01869-5.
• Khamis Hamed Al-Yahyaee & Walid Mensi & Hee-Un Ko & Massimiliano Caporin & Sang Hoon Kang, 2021, "Is the Korean housing market following Gangnam style?," Empirical Economics, Springer, volume 61, issue 4, pages 2041-2072, October, DOI: 10.1007/s00181-020-01931-2.
• Dirk G. Baur & Thomas Dimpfl, 2021, "The volatility of Bitcoin and its role as a medium of exchange and a store of value," Empirical Economics, Springer, volume 61, issue 5, pages 2663-2683, November, DOI: 10.1007/s00181-020-01990-5.
• Wojciech Grabowski & Ewa Stawasz-Grabowska, 2021, "How have the European central bank’s monetary policies been affecting financial markets in CEE-3 countries?," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 11, issue 1, pages 43-83, March, DOI: 10.1007/s40822-020-00160-3.
• Walid Chkili, 2021, "Modeling Bitcoin price volatility: long memory vs Markov switching," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 11, issue 3, pages 433-448, September, DOI: 10.1007/s40822-021-00180-7.
• Begüm Yurteri Kösedağlı & Gül Huyugüzel Kışla & A. Nazif Çatık, 2021, "The time-varying effects of oil prices on oil–gas stock returns of the fragile five countries," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 7, issue 1, pages 1-22, December, DOI: 10.1186/s40854-020-00224-y.
• Roman Mestre, 2021, "A wavelet approach of investing behaviors and their effects on risk exposures," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 7, issue 1, pages 1-37, December, DOI: 10.1186/s40854-021-00239-z.
• Ji Ho Kwon, 2021, "On the factors of Bitcoin’s value at risk," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 7, issue 1, pages 1-31, December, DOI: 10.1186/s40854-021-00297-3.
• Kanishka Gupta & T. V. Raman, 2021, "The nexus of intellectual capital and operational efficiency: the case of Indian financial system," Journal of Business Economics, Springer, volume 91, issue 3, pages 283-302, April, DOI: 10.1007/s11573-020-00998-8.
• Ki-Hong Choi & Ron P. McIver & Salvatore Ferraro & Lei Xu & Sang Hoon Kang, 2021, "Dynamic volatility spillover and network connectedness across ASX sector markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 45, issue 4, pages 677-691, October, DOI: 10.1007/s12197-021-09544-w.
• Nils Bertschinger & Iurii Mozzhorin, 2021, "Bayesian estimation and likelihood-based comparison of agent-based volatility models," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 16, issue 1, pages 173-210, January, DOI: 10.1007/s11403-020-00289-z.
• Sumon Kumar Bhaumik & Manisha Chakrabarty & Ali M. Kutan & Ekta Selarka, 2021, "How Effective are Stock Market Reforms in Emerging Market Economies? Evidence from a Panel VAR Model of the Indian Stock Market," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), volume 19, issue 4, pages 795-818, December, DOI: 10.1007/s40953-021-00253-z.
• Marta Karaś & Witold Szczepaniak, 2021, "Systemic Risk in Selected Countries of Western and Central Europe," Springer Proceedings in Business and Economics, Springer, in: Krzysztof Jajuga & Hermann Locarek-Junge & Lucjan T. Orlowski & Karsten Staehr, "Contemporary Trends and Challenges in Finance", DOI: 10.1007/978-3-030-73667-5_10.
• Shan Wu, 2021, "Co-movement and return spillover: evidence from Bitcoin and traditional assets," SN Business & Economics, Springer, volume 1, issue 10, pages 1-16, October, DOI: 10.1007/s43546-021-00126-w.
• Ayad Assoil & Ndéné Ka & Jules Sadefo-Kamdem, 2021, "Analysis of the dynamic relationship between liquidity proxies and returns on the French CAC 40 index," SN Business & Economics, Springer, volume 1, issue 10, pages 1-23, October, DOI: 10.1007/s43546-021-00129-7.