Research classified by Journal of Economic Literature (JEL) codes

2020

• Fela Ozbey & Semin Paksoy, 2020, "Estimation of the XU100 Index Return Volatility with the Integration of GARCH Family Models and ANN," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 11, issue 2, pages 385-396.
• Serdar Yaman & Turhan Korkmaz, 2020, "Döviz Kurları ile BİST Turizm Endeksi Getirileri Arasındaki Volatilite Yayılım Etkisinin Belirlenmesi (Determination of Volatility Spillover Effect Between Exchange Rates and BIST Tourism Index Return," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 11, issue 3, pages 681-702.
• Denise Desjardins & Georges Dionne & N’Golo Koné, 2020, "Reinsurance demand and liquidity creation: A search for bi-causality," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 20-1, Jun.
• Tarek Eldomiaty & Yasmeen Saeed & Rasha Hammam & Salma AboulSoud, 2020, "The associations between stock prices, inflation rates, interest rates are still persistent: Empirical evidence from stock duration model," Journal of Economics, Finance and Administrative Science, Universidad ESAN, volume 25, issue 49, pages 149-161.
• Chamil W SENARATHNE & Wei JIANGUO, 2020, "Testing for Heteroskedastic Mixture of Ordinary Least Squares Errors," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 73-91, July.
• Tommaso Proietti, 2020, "Peaks, Gaps, and Time Reversibility of Economic Time Series," CEIS Research Paper, Tor Vergata University, CEIS, number 492, Jun, revised 17 Jun 2020.
• Umberto Triacca & Olivier Damette & Alessandro Giovannelli, 2020, "A Test of Sufficient Condition for Infinite-step Granger Noncausality in Infinite Order Vector Autoregressive Process," CEIS Research Paper, Tor Vergata University, CEIS, number 496, Jun, revised 18 Jun 2020.
• López Villa, Jorge & Sosa Castro, Miriam, 2020, "Volatilidad condicional y correlación dinámica entre los mercados cambiarios y de valores en México (2009-2019): una aproximación GARCH-DCC / Conditional Volatility and Dynamic Correlation Between the MXN-USD Exchange Rate Market and the Stock Exchan," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 10, issue 2, pages 195-220, julio-dic.
• Valadez Bautista, Beatriz & Ortiz, Edgar, 2020, "Chicago and Mexico Futures Markets Asymmetries and Hedging / Asimetrías y cobertura en los mercados de futuros de México y Chicago," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 10, issue 2, pages 221-251, julio-dic.
• Konstantinos Tsiaras, 2020, "Contagion in Futures Metal Markets during the Recent Global Financial Crisis: Evidence from Gold, Silver, Copper, Zinc and Aluminium," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, volume 70, issue 3-4, pages 42-55, July-Dece.
• Laura Garcia-Jorcano & Alfonso Novales, 2020, "A dominance approach for comparing the performance of VaR forecasting models," Computational Statistics, Springer, volume 35, issue 3, pages 1411-1448, September, DOI: 10.1007/s00180-020-00990-4.
• Alessandra Cretarola & Gianna Figà-Talamanca & Marco Patacca, 2020, "Market attention and Bitcoin price modeling: theory, estimation and option pricing," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 43, issue 1, pages 187-228, June, DOI: 10.1007/s10203-019-00262-x.
• Arianna Agosto & Paolo Giudici, 2020, "COVID-19 contagion and digital finance," Digital Finance, Springer, volume 2, issue 1, pages 159-167, September, DOI: 10.1007/s42521-020-00021-3.
• Larisa Adamyan & Kirill Efimov & Cathy Y. Chen & Wolfgang K. Härdle, 2020, "Adaptive weights clustering of research papers," Digital Finance, Springer, volume 2, issue 3, pages 169-187, December, DOI: 10.1007/s42521-020-00017-z.
• Theophilos Papadimitriou & Periklis Gogas & Athanasios Fotios Athanasiou, 2020, "Forecasting S&P 500 spikes: an SVM approach," Digital Finance, Springer, volume 2, issue 3, pages 241-258, December, DOI: 10.1007/s42521-020-00024-0.
• Xiao Jing Cai & Zheng Fang & Youngho Chang & Shuairu Tian & Shigeyuki Hamori, 2020, "Co-movements in commodity markets and implications in diversification benefits," Empirical Economics, Springer, volume 58, issue 2, pages 393-425, February, DOI: 10.1007/s00181-018-1551-3.
• Paulo Ferreira, 2020, "Dynamic long-range dependences in the Swiss stock market," Empirical Economics, Springer, volume 58, issue 4, pages 1541-1573, April, DOI: 10.1007/s00181-018-1549-x.
• Rodrigo Herrera & Adam Clements, 2020, "A marked point process model for intraday financial returns: modeling extreme risk," Empirical Economics, Springer, volume 58, issue 4, pages 1575-1601, April, DOI: 10.1007/s00181-018-1600-y.
• Leandro Maciel, 2020, "Technical analysis based on high and low stock prices forecasts: evidence for Brazil using a fractionally cointegrated VAR model," Empirical Economics, Springer, volume 58, issue 4, pages 1513-1540, April, DOI: 10.1007/s00181-018-1603-8.
• Bogdan Batrinca & Christian W. Hesse & Philip C. Treleaven, 2020, "Expiration day effects on European trading volumes," Empirical Economics, Springer, volume 58, issue 4, pages 1603-1638, April, DOI: 10.1007/s00181-019-01627-2.
• Mathias Mandla Manguzvane & John Weirstrass Muteba Mwamba, 2020, "GAS Copula models on who’s systemically important in South Africa: Banks or Insurers?," Empirical Economics, Springer, volume 59, issue 4, pages 1573-1604, October, DOI: 10.1007/s00181-019-01695-4.
• Roger Cooke & Alexander Golub, 2020, "Market-based methods for monetizing uncertainty reduction," Environment Systems and Decisions, Springer, volume 40, issue 1, pages 3-13, March, DOI: 10.1007/s10669-019-09748-w.
• Gianna Figà-Talamanca & Marco Patacca, 2020, "Disentangling the relationship between Bitcoin and market attention measures," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, volume 47, issue 1, pages 71-91, March, DOI: 10.1007/s40812-019-00133-x.
• Dean Fantazzini & Stephan Zimin, 2020, "A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, volume 47, issue 1, pages 19-69, March, DOI: 10.1007/s40812-019-00136-8.
• Imran Yousaf & Shoaib Ali, 2020, "Discovering interlinkages between major cryptocurrencies using high-frequency data: new evidence from COVID-19 pandemic," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 6, issue 1, pages 1-18, December, DOI: 10.1186/s40854-020-00213-1.
• Gian Maria Tomat, 2020, "Present Value Models and the Behaviour of European Financial Markets," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), volume 6, issue 3, pages 493-520, November, DOI: 10.1007/s40797-019-00110-2.
• Xinyi Qian, 2020, "Gold market price spillover between COMEX, LBMA and SGE," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 44, issue 4, pages 810-831, October, DOI: 10.1007/s12197-020-09517-5.
• Tianshun Yan & Liping Zhang, 2020, "A comparative study of several bootstrap-based tests for the volatility in continuous-time diffusion models," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, volume 19, issue 1, pages 33-47, January, DOI: 10.1007/s10258-019-00157-0.
• Christian Espinosa-Méndez & Juan Gorigoitía & João Vieito, 2020, "Stock exchange mergers: a dynamic correlation analysis on Euronext," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, volume 19, issue 2, pages 81-98, May, DOI: 10.1007/s10258-019-00160-5.
• Marta Karaś & Witold Szczepaniak, 2020, "Fragility or Contagion? Properties of Systemic Risk in the Selected Countries of Central and East-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: 10.1007/978-3-030-43078-8_19.
• Lidija Lovreta & Joaquín López Pascual, 2020, "Structural breaks in the interaction between bank and sovereign default risk," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, volume 11, issue 4, pages 531-559, December, DOI: 10.1007/s13209-020-00219-z.
• Celly Septine Mayliza & Adler Haymans Manurung & Benny Hutahayan, 2020, "Analysis of The Effect of Financial Ratios to Probability Default of Indonesia’s Coal Mining Company," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 10, issue 5, pages 1-9.
• Shelton Peiris & Tim Swartz, 2020, "Revisiting the Kurtosis of Stationary Processes with Applications to Volatility Models," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, volume 9, issue 2, pages 1-1.
• Erhard Reschenhofer & Thomas Stark & Manveer K. Mangat, 2020, "Robust Estimation of the Memory Parameter," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, volume 9, issue 4, pages 1-5.
• Alessandra Amendola & Marinella Boccia & Vincenzo Candila & Giampiero M. Gallo, 2020, "Energy and non–energy Commodities: Spillover Effects on African Stock Markets," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, volume 9, issue 4, pages 1-7.
• Pauwels, Laurent & Radchenko, Peter & Vasnev, Andrey, 2020, "Higher Moment Constraints for Predictive Density Combinations," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number BAWP-2020-01, May.
• Andrea Bastianin, 2020, "Robust measures of skewness and kurtosis for macroeconomic and financial time series," Applied Economics, Taylor & Francis Journals, volume 52, issue 7, pages 637-670, February, DOI: 10.1080/00036846.2019.1640862.
• Christian Conrad & Melanie Schienle, 2020, "Testing for an Omitted Multiplicative Long-Term Component in GARCH Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 38, issue 2, pages 229-242, April, DOI: 10.1080/07350015.2018.1482759.
• Carsten Bormann & Melanie Schienle, 2020, "Detecting Structural Differences in Tail Dependence of Financial Time Series," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 38, issue 2, pages 380-392, April, DOI: 10.1080/07350015.2018.1506343.
• Jérôme Lahaye & Christopher Neely, 2020, "The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 38, issue 2, pages 410-427, April, DOI: 10.1080/07350015.2018.1512865.
• Gajurel, Dinesh & Chowdhury, Biplob, 2020, "Realized volatility, jump and beta: evidence from Canadian stock market," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2020-11.
• Roman Frydman & Nicholas Mangee & Josh Stillwagon, 2020, "How Market Sentiment Drives Forecasts of Stock Returns," Working Papers Series, Institute for New Economic Thinking, number inetwp115, Apr, DOI: 10.36687/inetwp115.
• Paolo Gorgi & Siem Jan Koopman, 2020, "Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 20-004/III, Jan.
• Dennis Umlandt, 2020, "Likelihood-based Dynamic Asset Pricing: Learning Time-varying Risk Premia from Cross-Sectional Models," Working Paper Series, University of Trier, Research Group Quantitative Finance and Risk Analysis, number 2020-06.
• Kim, Jihyun & Park, Joon & Wang, Bin, 2020, "Estimation of Volatility Functions in Jump Diffusions Using Truncated Bipower Increments," TSE Working Papers, Toulouse School of Economics (TSE), number 20-1096, May.
• Luis Miguel Cruz Lázaro & Felipe Abelardo Pérez Sosa, 2020, "Análisis del impacto de las reformas financieras de 2014 en las sociedades cooperativas de ahorro y préstamo de México
  [Analysis of the impact of the 2014 financial reforms on Mexican cooperative financial institutions]," REVESCO: Revista de estudios cooperativos, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Escuela de Estudios Cooperativos, issue 135, pages 69190-69190, DOI: 10.5209/reve.69190.
• Tae-Hwy Lee & Ekaterina Seregina, 2020, "Optimal Portfolio Using Factor Graphical Lasso," Working Papers, University of California at Riverside, Department of Economics, number 202025, Sep.
• Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2020, "Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting," Working papers, University of Connecticut, Department of Economics, number 2020-10, Aug.
• Ilya V. Naumov, 2020, "A scenario-based model of the reproduction of institutional sectors’ investment potential in Sverdlovsk oblast," Upravlenets, Ural State University of Economics, volume 11, issue 5, pages 17-28, November, DOI: 10.29141/2218-5003-2020-11-5-2.
• Mesias Alfeus & Christina Sklibosios Nikitopoulos, 2020, "Forecasting Commodity Markets Volatility: HAR or Rough?," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 415, Dec.
• Muthe Mathias Mwampashi & Christina Sklibosios Nikitopoulos & Otto Konstandatos & Alan Rai, 2020, "Wind Generation and the Dynamics of Electricity Prices in Australia," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 416, Dec.
• Christina Sklibosios Nikitopoulos & Alice Thomas & Jianxin Wang, 2020, "The Economic Impact of Volatility Persistence on Energy Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 417, Dec.
• Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon, 2020, "Networks in risk spillovers: A multivariate GARCH perspective," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2020:16.
• Rachele Foschi & Francesca Lilla & Cecilia Mancini, 2020, "Warnings about future jumps: properties of the exponential Hawkes model," Working Papers, University of Verona, Department of Economics, number 13/2020, Jun.
• CELIK, Ismail, 2020, "Can Bitcoin Be A Stable Investment?," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 24, issue 2, pages 19-36, June.
• CELIK, Ismail & YILMAZ, Tayfun & EMIR, Suleyman & SAK, Ahmet Furkan, 2020, "The Effects Of Covid-19 Outbreak On Financial Markets," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 24, issue 4, pages 6-28, December.
• AILINCA, Alina Georgeta, 2020, "Links Between Tax Regimes And Political Regimes In European Union Countries In The Period 2000-2019," Journal of Financial and Monetary Economics, Centre of Financial and Monetary Research "Victor Slavescu", volume 8, issue 1, pages 6-14, October.
• Arnerić Josip, 2020, "Realized density estimation using intraday prices," Croatian Review of Economic, Business and Social Statistics, Sciendo, volume 6, issue 1, pages 1-9, May, DOI: 10.2478/crebss-2020-0001.
• Homa Magdalena, 2020, "Mathematical Reserves vs Longevity Risk in Life Insurances," Econometrics. Advances in Applied Data Analysis, Sciendo, volume 24, issue 1, pages 23-38, March, DOI: 10.15611/eada.2020.1.03.
• Gürsakal Necmi & Yilmaz Fırat Melih & Uğurlu Erginbay, 2020, "Finding Opportunity Windows in Time Series Data Using the Sliding Window Technique: the Case of Stock Exchanges," Econometrics. Advances in Applied Data Analysis, Sciendo, volume 24, issue 3, pages 1-19, September, DOI: 10.15611/eada.2020.3.01.
• Pražák Tomáš, 2020, "The Role of Main Microeconomic Factors on the Stock Prices of Selected Swiss Companies," Financial Internet Quarterly (formerly e-Finanse), Sciendo, volume 16, issue 1, pages 67-74, March, DOI: 10.2478/fiqf-2020-0007.
• Bashir Zahid & Arshad Muhammad Usman & Asif Muhammad & Abbas Muhammad & Ali Hasnain, 2020, "Role of Business Age, Scale & Risk in Debt Financing Choices for the Pakistani Textile & Apparel Industry," Financial Internet Quarterly (formerly e-Finanse), Sciendo, volume 16, issue 3, pages 119-136, September, DOI: 10.2478/fiqf-2020-0022.
• Brzeszczyński Janusz & Gajdka Jerzy & Schabek Tomasz, 2020, "Bitcoin as a New Currency," Folia Oeconomica Stetinensia, Sciendo, volume 20, issue 2, pages 49-65, December, DOI: 10.2478/foli-2020-0035.
• Krupa Tadeusz, 2020, "Virtual Center for the Paradigmatic Studies," Foundations of Management, Sciendo, volume 12, issue 1, pages 181-192, January, DOI: 10.2478/fman-2020-0014.
• Kowalski Michał J. & Kazak Jan K., 2020, "Value-Based Management for Real Estate Developers’ Activities," Real Estate Management and Valuation, Sciendo, volume 28, issue 4, pages 48-62, December, DOI: 10.1515/remav-2020-0031.
• Duda Jarosław & Gurgul Henryk & Syrek Robert, 2020, "Modelling bid-ask spread conditional distributions using hierarchical correlation reconstruction," Statistics in Transition New Series, Statistics Poland, volume 21, issue 5, pages 99-118, December, DOI: 10.21307/stattrans-2020-057.
• Ngozi E. Egbuna (PhD) & Maimuna John-Sowe & Dauda Mohammed (PhD) & Hissan Abubakari & Eric L. Sambolah & Kormay Adams, 2020, "Uncertainty And Economic Performance In The West African Monetary Zone (Wamz): A Fixed Effect Panel Threshold Approach," Working Papers, West African Monetary Institute, number 19, Jun.
• Gilbert Mbara, 2020, "Price Transmission across Commodity Markets: Physical to Futures," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2020-07.
• Mateusz Buczyński & Marcin Chlebus, 2020, "Size does matter. A study on the required window size for optimal quality market risk models," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2020-09.
• Maciej Wysocki & Robert Ślepaczuk, 2020, "Artificial Neural Networks Performance in WIG20 Index Options Pricing," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2020-19.
• Mateusz Kijewski & Robert Ślepaczuk, 2020, "Predicting prices of S&P500 index using classical methods and recurrent neural networks," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2020-27.
• Karol Kielak & Robert Ślepaczuk, 2020, "Value-at-risk — the comparison of state-of-the-art models on various assets," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2020-28.
• Mateusz Heba & Marcin Chlebus, 2020, "Impact of using industry benchmark financial ratios on performance of bankruptcy prediction logistic regression model," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2020-30.
• Bartłomiej Bollin & Robert Ślepaczuk, 2020, "Variance Gamma Model in Hedging Vanilla and Exotic Options," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2020-31.
• Robert Ślepaczuk & Igor Wabik, 2020, "The impact of the results of football matches on the stock prices of soccer clubs," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2020-35.
• Quynh Bui & Robert Ślepaczuk, 2020, "Applying Hurst Exponent in Pair Trading Strategies," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2020-39.
• Dinghai Xu, 2020, "Canadian Stock Market Volatility under COVID-19," Working Papers, University of Waterloo, Department of Economics, number 2001, May, revised May 2020.
• Duc Khuong Nguyen & Thomas Walther, 2020, "Modeling and forecasting commodity market volatility with long‐term economic and financial variables," Journal of Forecasting, John Wiley & Sons, Ltd., volume 39, issue 2, pages 126-142, March, DOI: 10.1002/for.2617.
• Mingyang Li & Linlin Niu & Andrew Pua, 2020, "Market Pricing of Fundamentals at the Shanghai Stock Exchange: Evidence from a Dividend Discount Model with Adaptive Expectations," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2020-12-30, Dec.
• Faria, Gonçalo & Verona, Fabio, 2020, "Frequency-domain information for active portfolio management," Bank of Finland Research Discussion Papers, Bank of Finland, number 2/2020.
• Faria, Gonçalo & Verona, Fabio, 2020, "Time-frequency forecast of the equity premium," Bank of Finland Research Discussion Papers, Bank of Finland, number 6/2020.
• Lux, Thomas, 2020, "Bayesian estimation of agent-based models via adaptive particle Markov chain Monte Carlo," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2020-01.
• Theissen, Erik & Yilanci, Can, 2020, "Momentum? What Momentum?," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 20-09.
• Winkelmann, Lars & Yao, Wenying, 2020, "Cojump anchoring," Discussion Papers, Free University Berlin, School of Business & Economics, number 2020/17, DOI: 10.17169/refubium-28418.
• Dimitriadis, Timo & Liu, Xiaochun & Schnaitmann, Julie, 2020, "Encompassing tests for value at risk and expected shortfall multi-step forecasts based on inference on the boundary," Hohenheim Discussion Papers in Business, Economics and Social Sciences, University of Hohenheim, Faculty of Business, Economics and Social Sciences, number 11-2020.
• Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun & Wang, Weining, 2020, "Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-020.
• Reh, Laura & Krüger, Fabian & Liesenfeld, Roman, 2020, "Predicting the global minimum variance portfolio," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 141, DOI: 10.5445/IR/1000122441.
• Grammig, Joachim & Hanenberg, Constantin & Schlag, Christian & Sönksen, Jantje, 2020, "Diverging roads: Theory-based vs. machine learning-implied stock risk premia," University of Tübingen Working Papers in Business and Economics, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics, number 130, DOI: 10.15496/publikation-39286.
• Gavard, Claire & Kirat, Djamel, 2020, "Short-term impacts of carbon offsetting on emissions trading schemes: Empirical insights from the EU experience," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 20-058.
• Gianluca De Nard & Robert F. Engle & Olivier Ledoit & Michael Wolf, 2020, "Large dynamic covariance matrices: enhancements based on intraday data," ECON - Working Papers, Department of Economics - University of Zurich, number 356, Jul, revised Jan 2022.
• Riza Demirer & Rangan Gupta & Asli Yuksel & Aydin Yuksel, 2020, "The US Term Structure and Return Volatility in Global REIT Markets," Advances in Decision Sciences, Asia University, Taiwan, volume 24, issue 3, pages 84-109, September.
• Morten Ørregaard Nielsen & Antoine L. Noël, 2020, "To infinity and beyond: Efficient computation of ARCH(1) models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2020-13, Nov.
• Mohammad Imdadul Haque & Afsal Ellath Meethal, 2020, "Volatility and Information Behavior: A Study on Shariah Index and General Index حدة التقلب والاستجابة للمعلومات: دراسة مقارنة بين المؤشر الإسلامي والمؤشر التقليدي," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., volume 33, issue 1, pages 21-33, January, DOI: 10.4197/Islec.33-1.2.
• Serdar Ögel & Halil İbrahim Gökgöz, 2020, "Analysis of the Relation of Bist 100 and Participation Index With Interest and Exchange Rates," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., volume 35, issue 114, pages 353-374, October, DOI: https://doi.org/10.33203/mfy.662421.
• Mhamed-Ali El-Aroui & Wafa Snoussi, 2020, "Value-at-Risk in Frontier Markets: Adapted Models and Evidences from Two North-African Stock Exchanges," The African Finance Journal, Africagrowth Institute, volume 22, issue 1, pages 1-20.
• Edson Zambon Monte & Felipe Fantin Almeida, 2020, "Interrelationships Between The Stock Returns Of Brazilian Companies That Make Up The Sãƒo Paulo Stock Exchange Index," Revista de Economia Mackenzie (REM), Mackenzie Presbyterian University, Social and Applied Sciences Center, volume 17, issue 1, pages 115-145, January-J, DOI: 105935/1808-2785/rem.v17n1p.115-145.
• Ceyda Yerdelen Kaygın & Abdulkadir Barut, 2020, "Çifte Kayıtlı Hisse Senetlerinin Fiyatlarını Etkileyen İçsel Faktörlerin Dinamik Panel Veri Analizi İle Belirlenmesi," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, volume 5, issue 3, pages 805-821, DOI: 10.30784/epfad.773057.
• Marie Ligocká, 2020, "Gender Diversity in Boardrooms and on Supervisory Boards and its Relation to Stock Prices," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 67, issue 2, pages 177-192, June.
• Maja NikÅ¡ić Radić & Hana Paleka, 2020, "Higher Education Funding and Economic Growth: Empirical Evidence from Croatia," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 67, issue 3, pages 409-421, September.
• Daniel Homocianu, 2020, "A Methodology of Discovering Comparable Models. The Case of Investing in Retirement Accounts when Considering Age, Main Residence and Education before 1989 vs. Globalization," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 67, issue 4, pages 19-31, December.
• Daniel Homocianu, 2020, "A Methodology of Discovering Comparable Models. The Case of Investing in Retirement Accounts when Considering Age, Main Residence and Education before 1989 vs. Globalization," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 67, issue si, pages 19-31, December, DOI: 10.47743/saeb-2020-0026.
• Allard, Anne-Florence & Iania, Leonardo & Smedts, Kristien, 2020, "Stock-bond return correlations: Moving away from "one-frequency-fits-all" by extending the DCC-MIDAS approach," LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2020005, Jan.
• Levent Bulut & Islam Rizvanoghlu, 2020, "Is gold a safe haven? The international evidence revisited," Acta Oeconomica, Akadémiai Kiadó, Hungary, volume 70, issue 4, pages 531-549, December, DOI: 10.1556/032.2020.00035.
• Ekin Ayse Ozsuca Erenoglu & Elif Oznur Acar, 2020, "Can US Wage Increases be Regarded as a Leading Indicator for Bond Rates?," World Journal of Applied Economics, WERI-World Economic Research Institute, volume 6, issue 2, pages 169-176, December, DOI: 10.22440/wjae.6.2.5.
• Yüksel Akay Ünvan, 2020, "Investigation of Causality Relationships among COVID-19 Cases, ISE100 Index, Dollar, Euro, Gram Gold Prices and 2 Years Bond Rates: The Case of Turkey," Alphanumeric Journal, Bahadir Fatih Yildirim, volume 8, issue 1, pages 29-42, June, DOI: https://doi.org/10.17093/alphanumer.
• Davide La Vecchia & Alban Moor & Olivier Scaillet, 2020, "A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data," Papers, arXiv.org, number 2001.04867, Jan, revised Jan 2022.
• Stelios Arvanitis & Olivier Scaillet & Nikolas Topaloglou, 2020, "Spanning analysis of stock market anomalies under Prospect Stochastic Dominance," Papers, arXiv.org, number 2004.02670, Apr.
• Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2020, "Diffusion Copulas: Identification and Estimation," Papers, arXiv.org, number 2005.03513, May.
• Mirco Rubin & Dario Ruzzi, 2020, "Equity Tail Risk in the Treasury Bond Market," Papers, arXiv.org, number 2007.05933, Jul.
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