Research classified by Journal of Economic Literature (JEL) codes

2021

• Marcela de Marillac Carvalho & Luiz Otávio de Oliveira Pala & Gabriel Rodrigo Gomes Pessanha & Thelma Sáfadi, 2021, "Asymmetric dependence of intraday frequency components in the Brazilian stock market," SN Business & Economics, Springer, volume 1, issue 6, pages 1-18, June, DOI: 10.1007/s43546-021-00080-7.
• Dooruj Rambaccussing, 2021, "The price–rent ratio inequality in Scottish Cities: fluctuations in discount rates and expected rent growth," SN Business & Economics, Springer, volume 1, issue 9, pages 1-15, September, DOI: 10.1007/s43546-021-00116-y.
• Robert A. Jarrow, 2021, "The Black Scholes Merton Model," Springer Finance, Springer, chapter 0, "Continuous-Time Asset Pricing Theory", DOI: 10.1007/978-3-030-74410-6_5.
• Giada Adelfio & Arianna Agosto & Marcello Chiodi & Paolo Giudici, 2021, "Financial contagion through space-time point processes," Statistical Methods & Applications, Springer;Società Italiana di Statistica, volume 30, issue 2, pages 665-688, June, DOI: 10.1007/s10260-020-00538-2.
• Caner Özdurak & Cengiz KarataÅŸ, 2021, "Covid-19 and the Technology Bubble 2.0: Evidence from DCC-MGARCH and Wavelet Approaches," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 11, issue 2, pages 1-4.
• Roberto Louis Forestal & Shih Ming Pi, 2021, "Dynamic Equicorrelation Analysis of Financial Contagion: Evidence from Latin America Markets," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 11, issue 3, pages 1-2.
• Meglioli, Francesco & Gauci, Stephanie, 2021, "A Multi-level Network Approach to Spillovers Analysis: An Application to the Maltese Domestic Investment Funds Sector," ESRB Working Paper Series, European Systemic Risk Board, number 124, Aug.
• Martin Cesnak & Jan Klacso & Roman Vasil, 2021, "Analysis of the Impact of Borrower-Based Measures," Working and Discussion Papers, Research Department, National Bank of Slovakia, number OP 3/2021, Aug.
• Clements, Adam & Vasnev, Andrey, 2021, "Forecast combination puzzle in the HAR model," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number BAWP-2021-01, Feb.
• Roman Frydman & Nicholas Mangee & Josh Stillwagon, 2021, "How Market Sentiment Drives Forecasts of Stock Returns," Journal of Behavioral Finance, Taylor & Francis Journals, volume 22, issue 4, pages 351-367, October, DOI: 10.1080/15427560.2020.1774769.
• Anne Opschoor & André Lucas & István Barra & Dick van Dijk, 2021, "Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 39, issue 4, pages 1066-1079, October, DOI: 10.1080/07350015.2020.1763806.
• Gonçalo Faria & Fabio Verona, 2021, "Time-frequency forecast of the equity premium," Quantitative Finance, Taylor & Francis Journals, volume 21, issue 12, pages 2119-2135, December, DOI: 10.1080/14697688.2020.1820071.
• Terri van der Zwan & Erik Hennink & Patrick Tuijp, 2021, "Equity Risk Factors for the Long and Short Run: Pricing and Performance at Different Frequencies," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 21-062/III, Jul.
• Andre Lucas & Anne Opschoor & Luca Rossini, 2021, "Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 21-010/III, Jan, revised 11 Jul 2023.
• Francisco Blasques & Enzo D'Innocenzo & Siem Jan Koopman, 2021, "Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 21-057/III, Jun.
• Thomas Conlon & John Cotter & Iason Kynigakis, 2021, "Machine Learning and Factor-Based Portfolio Optimization," Working Papers, Geary Institute, University College Dublin, number 202111, Mar.
• Ana-Maria Fuertes & Maria-Dolores Robles, 2021, "Bank Credit Risk Events and Peers’ Equity Value," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2021-06, Mar.
• Ömer Yalçinkaya & Ali Kemal Çelik & Hatira Sadeghzadeh Emsen, 2021, "The relationship between price and financial stability in new monetary policy designs: the case of the US using the TVP-SVAR model," Estudios de Economia, University of Chile, Department of Economics, volume 48, issue 2 Year 20, pages 249-276, December.
• Mubarok, Faizul & Al Arif, Mohammad Nur Rianto, 2021, "Pandemic Attack and Islamic Stocks Index: A Cross Country Analysis," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, volume 55, issue 1, pages 27-37, DOI: http://dx.doi.org/10.17576/JEM-2021.
• Hossain, Md. Jamal & Akter, Sadia & Ismail, Mohd Tahir, 2021, "Performance Analysis of GARCH Family Models in Three Time-frames," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, volume 55, issue 2, pages 15-28, DOI: http://dx.doi.org/10.17576/JEM-2021.
• Mohamed CHIKHI & Claude DIEBOLT, 2021, "Testing The Weak Form Efficiency Of The French Etf Market With Lstar-Anlstgarch Approach Using A Semiparametric Estimation," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2021-36.
• Fengler, Matthias & Polivka, Jeannine, 2021, "Proxy-identification of a structural MGARCH model for asset returns," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 2103, Apr, revised Oct 2024.
• Pietro Saggese & Alessandro Belmonte & Nicola Dimitri & Angelo Facchini & Rainer Böhme, 2021, "Who are the arbitrageurs? Empirical evidence from Bitcoin traders in the Mt. Gox exchange platform," Department of Economics University of Siena, Department of Economics, University of Siena, number 860, Sep.
• Huthaifa, Alqaralleh & Al-Saraireh, Ahmad & Canepa, Alessandra, 2021, "Energy Market Risk Management under Uncertainty: A VaR Based on Wavelet Approach," Department of Economics and Statistics Cognetti de Martiis. Working Papers, University of Turin, number 202113, Jul.
• Monica Billio & Roberto Casarin & Michele Costola & Matteo Iacopini, 2021, "COVID-19 spreading in financial networks: A semiparametric matrix regression model," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2021:05.
• Le Dinh Nghi & Nguyen Minh Kieu, 2021, "Volatility Spillover from the United States and Japanese Stock Markets to the Vietnamese Stock Market: A Frequency Domain Approach," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 68, issue 1, pages 35-52.
• Siemaszkiewicz Karolina, 2021, "Safe Haven Instruments – A Comparison Between the Global Financial Crisis and the Covid-19 Pandemic," Econometrics. Advances in Applied Data Analysis, Sciendo, volume 25, issue 4, pages 1-16, December, DOI: 10.15611/eada.2021.4.01.
• Razali Muhammad Najib & Jalil Rohaya Abdul & Shayuti Ahmad Faisal, 2021, "Assessing the Impact of Outbreaks on Malaysian Listed Property Companies in Mixed-Asset Portfolios," Real Estate Management and Valuation, Sciendo, volume 29, issue 3, pages 87-93, September, DOI: 10.2478/remav-2021-0024.
• Adejare Adegbite Tajudeen, 2021, "Taxation and Transportation: Granger Causality Approach in Nigeria," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, volume 31, issue 3, pages 1-20, September, DOI: 10.2478/sues-2021-0011.
• Raza Syed Ali & Shah Nida & Ali Muhammad & Shahbaz Muhammad, 2021, "Do Exchange Rates Fluctuations Influence Gold Price in G7 Countries? New Insights from a Nonparametric Causality-in-Quantiles Test," Zagreb International Review of Economics and Business, Sciendo, volume 24, issue 2, pages 37-57, DOI: 10.2478/zireb-2021-0010.
• Mateusz Buczyński & Marcin Chlebus, 2021, "GARCHNet - Value-at-Risk forecasting with novel approach to GARCH models based on neural networks," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2021-08.
• Michał Woźniak & Marcin Chlebus, 2021, "HCR & HCR-GARCH – novel statistical learning models for Value at Risk estimation," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2021-10.
• Kamil Korzeń & Robert Ślepaczuk, 2021, "Enhanced Index Replication Based on Smart Beta and Tail-Risk Asset Allocation," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2021-18.
• Jan Grudniewicz & Robert Ślepaczuk, 2021, "Application of machine learning in quantitative investment strategies on global stock markets," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2021-23.
• Nguyen Vo & Robert Ślepaczuk, 2021, "Applying Hybrid ARIMA-SGARCH in Algorithmic Investment Strategies on S&P500 Index," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2021-25.
• Sergio Castellano Gómez & Robert Ślepaczuk, 2021, "Robust optimisation in algorithmic investment strategies," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2021-27.
• Aleksander Schiffers & Marcin Chlebus, 2021, "The effectiveness of Value-at-Risk models in various volatility regimes," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2021-28.
• Maaz Khan & Faheem Aslam & Paulo Ferreira, 2021, "Extreme Value Theory and COVID-19 Pandemic: Evidence from India," Economic Research Guardian, Mutascu Publishing, volume 11, issue 1, pages 2-10, June.
• Hubert Gabrisch, 2021, "GARCH Analyses of Risk and Uncertainty in the Theories of the Interest Rate of Keynes and Kalecki," wiiw Working Papers, The Vienna Institute for International Economic Studies, wiiw, number 191, Jan.
• Mehmet Balcilar & Zeynel Abidin Ozdemir & Huseyin Ozdemir, 2021, "Dynamic return and volatility spillovers among S&P 500, crude oil, and gold," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 26, issue 1, pages 153-170, January, DOI: 10.1002/ijfe.1782.
• Dinghai Xu, 2021, "A study on volatility spurious almost integration effect: A threshold realized GARCH approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 26, issue 3, pages 4104-4126, July, DOI: 10.1002/ijfe.2006.
• Ruben Loaiza‐Maya & Gael M. Martin & David T. Frazier, 2021, "Focused Bayesian prediction," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 36, issue 5, pages 517-543, August, DOI: 10.1002/jae.2810.
• Janis Becker & Christian Leschinski, 2021, "Estimating the volatility of asset pricing factors," Journal of Forecasting, John Wiley & Sons, Ltd., volume 40, issue 2, pages 269-278, March, DOI: 10.1002/for.2713.
• Chabi-Yo, Fousseni & Huggenberger, Markus & Weigert, Florian, 2021, "Multivariate crash risk," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 21-07.
• Winkelmann, Lars & Yao, Wenying, 2021, "Tests for jumps in yield spreads," Discussion Papers, Free University Berlin, School of Business & Economics, number 2021/15, DOI: 10.17169/refubium-32211.
• Ben Amor, Souhir & Althof, Michael & Härdle, Wolfgang Karl, 2021, "FRM Financial Risk Meter for Emerging Markets," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2021-002.
• Häusler, Konstantin & Härdle, Wolfgang, 2021, "Rodeo or ascot: Which hat to wear at the crypto race?," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2021-007.
• Wang, Ruting & Althof, Michael & Härdle, Wolfgang, 2021, "A financial risk meter for China," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2021-022.
• Abdi, Farshid & Kormanyos, Emily & Pelizzon, Loriana & Getmansky, Mila & Simon, Zorka, 2021, "Market impact of government communication: The case of presidential tweets," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 314, revised 2021, DOI: 10.2139/ssrn.3840203.
• Caporina, Massimiliano & Costola, Michele, 2021, "Time-varying granger causality tests for applications in global crude oil markets: A study on the DCC-MGARCH Hong test," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 324, DOI: 10.2139/ssrn.3941778.

2020

• David Ardia & Lukasz T. Gatarek & Lennart Hoogerheide & Herman K. Van Dijk, 2020, "Correction: Ardia, D., et al. Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices. Econometrics 2016, 4 , 14," Econometrics, MDPI, volume 8, issue 1, pages 1-1, February.
• Fatemeh Mojtahedi & Seyed Mojtaba Mojaverian & Daniel F. Ahelegbey & Paolo Giudici, 2020, "Tail Risk Transmission: A Study of the Iran Food Industry," Risks, MDPI, volume 8, issue 3, pages 1-17, July.
• La Vecchia, Davide & Moor, Alban & Scaillet, Olivier, 2020, "A higher-order correct fast moving-average bootstrap for dependent data," Working Papers, University of Geneva, Geneva School of Economics and Management, number unige:129395.
• Arvanitis, Stelios & Scaillet, Olivier & Topaloglou, Nikolas, 2020, "Spanning analysis of stock market anomalies under prospect stochastic dominance," Working Papers, University of Geneva, Geneva School of Economics and Management, number unige:134101.
• Banulescu-Radu, Denisa & Hurlin, Christophe & Leymarie, Jeremy & Scaillet, Olivier, 2020, "Backtesting marginal expected shortfalland related systemic risk measures," Working Papers, University of Geneva, Geneva School of Economics and Management, number unige:134136.
• Ioannis Kyriakou & Parastoo Mousavi & Jens Perch Nielsen & Michael Scholz, 2020, "Short-Term Exuberance and long-term stability: A simultaneous optimization of stock return predictions for short and long horizons," Graz Economics Papers, University of Graz, Department of Economics, number 2020-20, Dec.
• Saker Sabkha & Christian de Peretti & Sabrine Mallek, 2020, "Forecasting sovereign CDS volatility: A comparison of univariate GARCH-class models," Post-Print, HAL, number hal-01769390, Jun, DOI: 10.3917/vse.209.0027.
• Gazi Salah Uddin & Jose Arreola Hernandez & Syed Jawad Hussain Shahzad & Sang Hoon Kang, 2020, "Characteristics of spillovers between the US stock market and precious metals and oil," Post-Print, HAL, number hal-02489889, Jun, DOI: 10.1016/j.resourpol.2020.101601.
• Caio Almeida & Kim Ardison & René Garcia, 2020, "Nonparametric Assessment of Hedge Fund Performance," Post-Print, HAL, number hal-02550789, Feb, DOI: 10.1016/j.jeconom.2019.08.002.
• Waqas Hanif & Jose Arreola Hernandez & Perry Sadorsky & Seong-Min Yoon, 2020, "Are the interdependence characteristics of the US and Canadian energy equity sectors nonlinear and asymmetric?," Post-Print, HAL, number hal-02567429, Jan, DOI: 10.1016/j.najef.2019.101065.
• Refk Selmi & Jamal Bouoiyour & Amal Miftah, 2020, "Oil price jumps and the uncertainty of oil supplies in a geopolitical perspective: The role of OPEC’s spare capacity," Post-Print, HAL, number hal-02933536, Dec, DOI: 10.1016/j.inteco.2020.06.004.
• Jose Arreola Hernandez & Sang Hoon Kang & Syed Jawad Hussain Shahzad & Seong-Min Yoon, 2020, "Spillovers and diversification potential of bank equity returns from developed and emerging America," Post-Print, HAL, number hal-02966894, Nov, DOI: 10.1016/j.najef.2020.101219.
• Taoufik Bouraoui, 2020, "The drivers of Bitcoin trading volume in selected emerging countries," Post-Print, HAL, number hal-03004413, May, DOI: 10.1016/j.qref.2019.07.003.
• Faheem Aslam & Yasir Tariq Mohmand & Saqib Aziz & Jamal Ouenniche, 2020, "A complex networks based analysis of jump risk in equity returns: An evidence using intraday movements from Pakistan stock market," Post-Print, HAL, number hal-03160685, Dec, DOI: 10.1016/j.jbef.2020.100418.
• Soosung Hwang & Alexandre Rubesam, 2020, "Bayesian Selection of Asset Pricing Factors Using Individual Stocks," Post-Print, HAL, number hal-03275900, Dec, DOI: 10.1093/jjfinec/nbaa045.
• Ruanmin Cao & Lajos Horváth & Zhenya Liu & Yuqian Zhao, 2020, "A study of data-driven momentum and disposition effects in the Chinese stock market by functional data analysis," Post-Print, HAL, number hal-03511284, Jan, DOI: 10.1007/s11156-019-00791-x.
• Marwa Talbi & Christian de Peretti & Lotfi Belkacem, 2020, "Dynamics and causality in distribution between spot and future precious metals: A copula approach," Post-Print, HAL, number hal-04875503, Jun, DOI: 10.1016/j.resourpol.2020.101645.
• Rihem Braham & Christian de Peretti & Lotfi Belkacem, 2020, "Dynamics and causality in distribution between spot and future precious metals: A copula approach," Post-Print, HAL, number hal-04875511, Jun, DOI: 10.1016/j.ribaf.2020.101184.
• Abdelhakim Aknouche & Christian Francq, 2020, "Count And Duration Time Series With Equal Conditional Stochastic And Mean Orders," Post-Print, HAL, number hal-05417254, Mar, DOI: 10.1017/S0266466620000134.
• Christian Francq & Jean-Michel Zakoïan, 2020, "Virtual Historical Simulation for estimating the conditional VaR of large portfolios," Post-Print, HAL, number hal-05417259, Aug, DOI: 10.1016/j.jeconom.2019.12.008.
• Marwa Talbi & Rihab Bedoui & Christian de Peretti & Lotfi Belkacem, 2020, "Is the role of precious metals as precious as they are? Revisiting the role of precious metals for the G-7 stock markets: A multivariate vine copula and BiVaR approaches," Working Papers, HAL, number hal-01664146, Jul.
• Zoulkiflou Moumouni & Jules Sadefo-Kamdem, 2020, "Agricultural Production Decision using Jumps and Seasonal Volatility in commodities prices dynamics," Working Papers, HAL, number hal-02465046, Jan.
• John W Goodell & Stéphane Goutte, 2020, "Co-movement of COVID-19 and Bitcoin: Evidence from wavelet coherence analysis," Working Papers, HAL, number halshs-02613277, May.
• Denisa Banulescu-Radu & Christophe Hurlin & Jeremy Leymarie & Olivier Scaillet, 2020, "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Working Papers, HAL, number halshs-03088668, Dec, DOI: 10.2139/ssrn.3456052.
• Sibbertsen, Philipp & Wenger, Kai & Wingert, Simon, 2020, "Testing for Multiple Structural Breaks in Multivariate Long Memory Time Series," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-676, Nov.
• Alfelt, Gustav & Mazur, Stepan, 2020, "On the mean and variance of the estimated tangency portfolio weights for small samples," Working Papers, Örebro University, School of Business, number 2020:8, Sep.
• Alfelt, Gustav & Bodnar, Taras & Javed, Farrukh & Tyrcha, Joanna, 2020, "Singular conditional autoregressive Wishart model for realized covariance matrices," Working Papers, Örebro University, School of Business, number 2021:1, Oct.
• Lundström, Christian, 2020, "On the Profitability of Momentum Strategies and Optimal Leverage Rules," Umeå Economic Studies, Umeå University, Department of Economics, number 974, May.
• Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Eliza Wu, 2020, "On the International Spillover Effects of Country-Specific Financial Sector Bailouts and Sovereign Risk Shocks," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2020n22, Nov.
• Burhanuddin, 2020, "Investigating Volatility Behaviour: Empirical Evidence From Islamic Stock Indices," Journal of Islamic Monetary Economics and Finance, Bank Indonesia, volume 6, issue 4, pages 729-746, November, DOI: https://doi.org/10.21098/jimf.v6i4..
• Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2020, "Mildly Explosive Dynamics in U.S. Fixed Income Markets," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 667.
• Mukta Kanvinde & Muneer Shaik, 2020, "Are BRICS Stock Market Indices Mean Reverting? Evidence Based on Expected Lifetime Range Ratio," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 19, issue 2, pages 169-186, September.
• Rey Francisco Ayala Castrejon & Christian Bucio Pacheco, 2020, "Modelo ARIMA aplicado al tipo de cambio peso-dólar en el periodo 2016-2017 mediante ventanas temporales deslizantes," 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 15, issue 3, pages 331-354, Julio - S.
• Chaman Prakash Sharma & Dr. Aditya Singh, 2020, "Progress and Performance of Kisan Credit Card (KCC) scheme in India since 1998," Journal of Commerce and Trade, Society for Advanced Management Studies, volume 15, issue 1, pages 1-8, April.
• Sujoy Bhattacharya & Anuj Goel, 2020, "Customer Satisfaction A New Marketing Variable for Indian Petroleum Companies," Journal of Commerce and Trade, Society for Advanced Management Studies, volume 15, issue 1, pages 58-64, April.
• Ravindra Kumar & Dr. Himanshu Agarwal, 2020, "Employment Opportunities & Retention for Women in Information Technology Sector," Journal of Commerce and Trade, Society for Advanced Management Studies, volume 15, issue 1, pages 73-79, April.
• Jochen Güntner & Benjamin Karner, 2020, "Hedging with commodity futures and the end of normal Backwardation," Economics working papers, Department of Economics, Johannes Kepler University Linz, Austria, number 2020-21, Nov.
• Simmet Anastasia & Pohlmeier Winfried, 2020, "The CAPM with Measurement Error: ‘There’s life in the old dog yet!’," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 240, issue 4, pages 417-453, August, DOI: 10.1515/jbnst-2018-0089.
• Zongwu Cai & Haiqiang Chen & Xiaosai Liao, 2020, "A New Robust Inference for Predictive Quantile Regression," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202002, Feb, revised Feb 2020.
• Caio Vigo Pereira & Marcio Laurini, 2020, "Portfolio Efficiency Tests with Conditioning Information - Comparing GMM and GEL Estimators," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202014, Sep, revised Sep 2020.
• Zongwu Cai & Xiyuan Liu, 2020, "A Functional-Coefficient VAR Model for Dynamic Quantiles with Constructing Financial Network," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202017, Oct, revised Oct 2020.
• Fukang Zhu & Mengya Liu & Shiqing Ling & Zongwu Cai, 2020, "Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202021, Dec, revised Dec 2020.
• Zongwu Cai & Xiyuan Liu, 2020, "A Nonparametric Dynamic Network via Multivariate Quantile Autoregressions," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202209, Oct, revised Mar 2022.
• Zongwu Cai & Xiyuan Liu & Liangjun Su, 2020, "A Functional-Coefficient VAR Model for Dynamic Quantiles and Its Application to Constructing Nonparametric Financial Network," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 202406, Oct, revised Jan 2024.
• Mawuli Segnon & Stelios Bekiros, 2020, "Forecasting volatility in bitcoin market," Annals of Finance, Springer, volume 16, issue 3, pages 435-462, September, DOI: 10.1007/s10436-020-00368-y.
• Jiro Hodoshima & Tetsuya Misawa & Yoshio Miyahara, 2020, "Stock Performance Evaluation Incorporating High Moments and Disaster Risk: Evidence from Japan," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 27, issue 2, pages 155-174, June, DOI: 10.1007/s10690-019-09287-z.
• Katsuya Ito & Ryuta Sakemoto, 2020, "Direct Estimation of Lead–Lag Relationships Using Multinomial Dynamic Time Warping," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 27, issue 3, pages 325-342, September, DOI: 10.1007/s10690-019-09295-z.
• Murat Midiliç, 2020, "Estimation of STAR–GARCH Models with Iteratively Weighted Least Squares," Computational Economics, Springer;Society for Computational Economics, volume 55, issue 1, pages 87-117, January, DOI: 10.1007/s10614-018-9876-8.
• Muneer Shaik & S. Maheswaran, 2020, "A new unbiased additive robust volatility estimation using extreme values of asset prices," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 34, issue 3, pages 313-347, September, DOI: 10.1007/s11408-020-00355-3.
• Minoru Tachibana, 2020, "Flight-to-quality in the stock–bond return relation: a regime-switching copula approach," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 34, issue 4, pages 429-470, December, DOI: 10.1007/s11408-020-00361-5.
• Pedro Raffy Vartanian, 2020, "Volatility transmission between commodities and Ibovespa in the period 2000–2016: Is there a possibility of diversification?," International Economics and Economic Policy, Springer, volume 17, issue 2, pages 483-501, May, DOI: 10.1007/s10368-019-00458-x.
• Ruanmin Cao & Lajos Horváth & Zhenya Liu & Yuqian Zhao, 2020, "A study of data-driven momentum and disposition effects in the Chinese stock market by functional data analysis," Review of Quantitative Finance and Accounting, Springer, volume 54, issue 1, pages 335-358, January, DOI: 10.1007/s11156-019-00791-x.
• Robina Iqbal & Ghulam Sorwar & Rose Baker & Taufiq Choudhry, 2020, "Multiday expected shortfall under generalized t distributions: evidence from global stock market," Review of Quantitative Finance and Accounting, Springer, volume 55, issue 3, pages 803-825, October, DOI: 10.1007/s11156-019-00860-1.
• Vaclav Broz & Evzen Kocenda, 2020, "Mortgage-related bank penalties and systemic risk among U.S. banks," KIER Working Papers, Kyoto University, Institute of Economic Research, number 1024, Mar.
• Klenio Barbosa & Dakshina De Silva & Liyu Yang & Hisayuki Yoshimoto, 2020, "Bond Losses and Systemic Risk," Working Papers, Lancaster University Management School, Economics Department, number 288072615.
• Javier Emmanuel Anguiano Pita & Antonio Ruiz Porras, 2020, "Market dynamics and integration of the financial markets of the NAFTA countries," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 92, pages 67-100, Enero-Jun, DOI: 10.17533/udea.le.n92a03.
• Ruijun Bu & Jihyun Kim & Bin Wang, 2020, "Uniform and Lp Convergences of Nonparametric Estimation for Diffusion Models," Working Papers, University of Liverpool, Department of Economics, number 202021, Jul.
• Keshavarz Haddad, Gholamreza & Heidari, Hadi, 2020, "Optimal Portfolio Allocation with Price Limit Constraint," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 15, issue 2, pages 123-134, April.
• Gholami, Ahmad & Salimi Soderjani, Ehsan, 2020, "Volatility Spillover of the Exchange Rate and the Global Economy on Iran Stock Market," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 15, issue 3, pages 343-356, July.
• Jonah B. Gelbach & Jenny R. Hawkins, 2020, "A Bayesian Approach to Event Studies for Securities Litigation," Journal of Institutional and Theoretical Economics (JITE), Mohr Siebeck, Tübingen, volume 176, issue 1, pages 86-111, DOI: 10.1628/jite-2020-0012.
• Eszter Boros, 2020, "Risks of Climate Change and Credit Institution Stress Tests," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), volume 19, issue 4, pages 107-131.
• Ruben Loaiza-Maya & Gael M Martin & David T. Frazier, 2020, "Focused Bayesian Prediction," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 1/20.
• Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes, 2020, "High-Frequency Jump Tests: Which Test Should We Use?," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 3/20.
• Ruben Loaiza-Maya & Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Andres Ramirez Hassan, 2020, "Optimal probabilistic forecasts: When do they work?," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 33/20.
• Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2020, "Arbitrage Pricing, Weak Beta, Strong Beta: Identification-Robust and Simultaneous Inference," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 15-2020, Apr.
• Hanna Kołodziejczyk, 2020, "Identifying structural changes and associations in exchange rates with Markov switching models. The evidence from Central European currency markets," Bank i Kredyt, Narodowy Bank Polski, volume 51, issue 1, pages 69-90.
• Katarzyna Czech, 2020, "Speculative trading and its effect on the forward premium puzzle: new evidence from Japanese yen market," Bank i Kredyt, Narodowy Bank Polski, volume 51, issue 2, pages 167-188.
• Leland Bybee & Bryan T. Kelly & Asaf Manela & Dacheng Xiu, 2020, "The Structure of Economic News," NBER Working Papers, National Bureau of Economic Research, Inc, number 26648, Jan.
• Bryan T. Kelly & Semyon Malamud & Lasse H. Pedersen, 2020, "Principal Portfolios," NBER Working Papers, National Bureau of Economic Research, Inc, number 27388, Jun.
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• Ghoshal, S. & Bengtzen, M. & Roberts, S., 2020, "Short Memories? The Impact of SEC Enforcement on Insider Leakage," Journal of Law, Finance, and Accounting, now publishers, volume 5, issue 2, pages 273-305, September, DOI: 10.1561/108.00000048.
• Veselin Mitev, 2020, "Averaged Chain Substitution Method," Ikonomiceski i Sotsialni Alternativi, University of National and World Economy, Sofia, Bulgaria, issue 4, pages 90-100, December.
• Mihir Dash, 2020, "Testing the Binomial Model in the Indian Stock Market," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, volume 9, issue 1, pages 22-27, March.
• Michael Sigmund, 2020, "The Capital Buffer Calibration for Other Systemically Important Institutions – Is the Country Heterogeneity in the EU caused by Regulatory Capture? (Michael Sigmund)," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 232, Nov.
• Xiao, Tim, 2020, "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," arabixiv.org, Center for Open Science, number ep9dn, Jun, DOI: 10.31219/osf.io/ep9dn.
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• Andrea Bucci, 2020, "Realized Volatility Forecasting with Neural Networks," Journal of Financial Econometrics, Oxford University Press, volume 18, issue 3, pages 502-531.
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• Tobias Götze & Marc Gürtler & Eileen Witowski, 2020, "Improving CAT bond pricing models via machine learning," Journal of Asset Management, Palgrave Macmillan, volume 21, issue 5, pages 428-446, September, DOI: 10.1057/s41260-020-00167-0.
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• Arianna Agosto & Daniel Felix Ahelegbey, 2020, "Default count-based network models for credit contagion," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 180, Feb.
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• Daniel Felix Ahelegbey & Paolo Giudici, 2020, "Market Risk, Connectedness and Turbulence: A Comparison of 21st Century Financial Crises," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 188, May.
• Fatemeh Mojtahedi & Seyed Mojtaba Mojaverian & Daniel Felix Ahelegbey & Paolo Giudici, 2020, "Tail Risk Transmission: A Study of Iran Food Industry," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 189, May.
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• Daniel Felix Ahelegbey, 2020, "A Statistical Measure of Global Equity Market Risk," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 194, Nov.
• Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2020, "Modeling Turning Points In Global Equity Market," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 195, Nov.
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• Rui Dias & Nuno Teixeira & Veronika Machova & Pedro Pardal & Jakub Horak & Marek Vochozka, 2020, "Random walks and market efficiency tests: evidence on US, Chinese and European capital markets within the context of the global Covid-19 pandemic," Oeconomia Copernicana, Institute of Economic Research, volume 11, issue 4, pages 585-608, December, DOI: 10.24136/oc.2020.024.
• Muhammad Mohsin & Li Naiwen & Muhammad Zia-UR-Rehman & Sobia Naseem & Sajjad Ahmad Baig, 2020, "The volatility of bank stock prices and macroeconomic fundamentals in the Pakistani context: an application of GARCH and EGARCH models," Oeconomia Copernicana, Institute of Economic Research, volume 11, issue 4, pages 609-636, December, DOI: 10.24136/oc.2020.025.
• Sucarrat, Genaro, 2020, "garchx: Flexible and Robust GARCH-X Modelling," MPRA Paper, University Library of Munich, Germany, number 100301, May.
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• Pincheira, Pablo & Jarsun, Nabil, 2020, "Summary of the Paper Entitled: Forecasting Fuel Prices with the Chilean Exchange Rate," MPRA Paper, University Library of Munich, Germany, number 105056, Dec.
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• Riza Demirer & Rangan Gupta & Asli Yuksel & Aydin Yuksel, 2020, "The U.S. Term Structure and Return Volatility in Global REIT Markets," Working Papers, University of Pretoria, Department of Economics, number 202069, Jul.
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• Mohammad Enamul Hoque & Mohd Azlan Shah Zaidi, 2020, "Impacts of Global-Economic-Policy Uncertainty on Emerging Stock Market: Evidence from Linear and Non-Linear Models," Prague Economic Papers, Prague University of Economics and Business, volume 2020, issue 1, pages 53-66, DOI: 10.18267/j.pep.725.
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• Baris Kocaarslan, 2020, "Volatility Spillover between Uncertainty in Financial and Commodity Markets and Turkish Stock Market," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 11, issue 1, pages 119-129.