Research classified by Journal of Economic Literature (JEL) codes

2019

• Golosnoy, Vasyl & Gribisch, Bastian & Seifert, Miriam Isabel, 2019, "Exponential smoothing of realized portfolio weights," Journal of Empirical Finance, Elsevier, volume 53, issue C, pages 222-237, DOI: 10.1016/j.jempfin.2019.07.006.
• Yang, Qiao, 2019, "Stock returns and real growth: A Bayesian nonparametric approach," Journal of Empirical Finance, Elsevier, volume 53, issue C, pages 53-69, DOI: 10.1016/j.jempfin.2019.06.005.
• Bonaccolto, Giovanni & Caporin, Massimiliano & Panzica, Roberto, 2019, "Estimation and model-based combination of causality networks among large US banks and insurance companies," Journal of Empirical Finance, Elsevier, volume 54, issue C, pages 1-21, DOI: 10.1016/j.jempfin.2019.08.008.
• Ji, Qiang & Liu, Bing-Yue & Fan, Ying, 2019, "Risk dependence of CoVaR and structural change between oil prices and exchange rates: A time-varying copula model," Energy Economics, Elsevier, volume 77, issue C, pages 80-92, DOI: 10.1016/j.eneco.2018.07.012.
• Müller, Gernot & Seibert, Armin, 2019, "Bayesian estimation of stable CARMA spot models for electricity prices," Energy Economics, Elsevier, volume 78, issue C, pages 267-277, DOI: 10.1016/j.eneco.2018.10.016.
• Christensen, Troels Sønderby & Pircalabu, Anca & Høg, Esben, 2019, "A seasonal copula mixture for hedging the clean spark spread with wind power futures," Energy Economics, Elsevier, volume 78, issue C, pages 64-80, DOI: 10.1016/j.eneco.2018.11.002.
• Cheng, Fangzheng & Li, Tian & Wei, Yi-ming & Fan, Tijun, 2019, "The VEC-NAR model for short-term forecasting of oil prices," Energy Economics, Elsevier, volume 78, issue C, pages 656-667, DOI: 10.1016/j.eneco.2017.12.035.
• Yun, Xiao & Yoon, Seong-Min, 2019, "Impact of oil price change on airline's stock price and volatility: Evidence from China and South Korea," Energy Economics, Elsevier, volume 78, issue C, pages 668-679, DOI: 10.1016/j.eneco.2018.09.015.
• Chen, Liyuan & Zerilli, Paola & Baum, Christopher F., 2019, "Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications," Energy Economics, Elsevier, volume 79, issue C, pages 111-129, DOI: 10.1016/j.eneco.2018.03.032.
• Gatfaoui, Hayette, 2019, "Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures," Energy Economics, Elsevier, volume 80, issue C, pages 132-152, DOI: 10.1016/j.eneco.2018.12.013.
• Yahya, Muhammad & Oglend, Atle & Dahl, Roy Endré, 2019, "Temporal and spectral dependence between crude oil and agricultural commodities: A wavelet-based copula approach," Energy Economics, Elsevier, volume 80, issue C, pages 277-296, DOI: 10.1016/j.eneco.2019.01.011.
• Zhang, Yaojie & Wei, Yu & Zhang, Yi & Jin, Daxiang, 2019, "Forecasting oil price volatility: Forecast combination versus shrinkage method," Energy Economics, Elsevier, volume 80, issue C, pages 423-433, DOI: 10.1016/j.eneco.2019.01.010.
• Kostrzewski, Maciej & Kostrzewska, Jadwiga, 2019, "Probabilistic electricity price forecasting with Bayesian stochastic volatility models," Energy Economics, Elsevier, volume 80, issue C, pages 610-620, DOI: 10.1016/j.eneco.2019.02.004.
• Wang, TianTian & Zhang, Dayong & Clive Broadstock, David, 2019, "Financialization, fundamentals, and the time-varying determinants of US natural gas prices," Energy Economics, Elsevier, volume 80, issue C, pages 707-719, DOI: 10.1016/j.eneco.2019.01.026.
• Uddin, Gazi Salah & Rahman, Md Lutfur & Hedström, Axel & Ahmed, Ali, 2019, "Cross-quantilogram-based correlation and dependence between renewable energy stock and other asset classes," Energy Economics, Elsevier, volume 80, issue C, pages 743-759, DOI: 10.1016/j.eneco.2019.02.014.
• Mahadeo, Scott M.R. & Heinlein, Reinhold & Legrenzi, Gabriella D., 2019, "Energy contagion analysis: A new perspective with application to a small petroleum economy," Energy Economics, Elsevier, volume 80, issue C, pages 890-903, DOI: 10.1016/j.eneco.2019.02.007.
• Hassan, Kamrul & Hoque, Ariful & Gasbarro, Dominic, 2019, "Separating BRIC using Islamic stocks and crude oil: dynamic conditional correlation and volatility spillover analysis," Energy Economics, Elsevier, volume 80, issue C, pages 950-969, DOI: 10.1016/j.eneco.2019.02.016.
• Tiwari, Aviral Kumar & Trabelsi, Nader & Alqahtani, Faisal & Bachmeier, Lance, 2019, "Modelling systemic risk and dependence structure between the prices of crude oil and exchange rates in BRICS economies: Evidence using quantile coherency and NGCoVaR approaches," Energy Economics, Elsevier, volume 81, issue C, pages 1011-1028, DOI: 10.1016/j.eneco.2019.06.008.
• Zhang, Yaojie & Ma, Feng & Wei, Yu, 2019, "Out-of-sample prediction of the oil futures market volatility: A comparison of new and traditional combination approaches," Energy Economics, Elsevier, volume 81, issue C, pages 1109-1120, DOI: 10.1016/j.eneco.2019.05.018.
• Aromi, Daniel & Clements, Adam, 2019, "Spillovers between the oil sector and the S&P500: The impact of information flow about crude oil," Energy Economics, Elsevier, volume 81, issue C, pages 187-196, DOI: 10.1016/j.eneco.2019.03.018.
• Ma, Yan-Ran & Zhang, Dayong & Ji, Qiang & Pan, Jiaofeng, 2019, "Spillovers between oil and stock returns in the US energy sector: Does idiosyncratic information matter?," Energy Economics, Elsevier, volume 81, issue C, pages 536-544, DOI: 10.1016/j.eneco.2019.05.003.
• Liu, Jingzhen & Kemp, Alexander, 2019, "Forecasting the sign of U.S. oil and gas industry stock index excess returns employing macroeconomic variables," Energy Economics, Elsevier, volume 81, issue C, pages 672-686, DOI: 10.1016/j.eneco.2019.04.023.
• Chang, Chia-Lin & Liu, Chia-Ping & McAleer, Michael, 2019, "Volatility spillovers for spot, futures, and ETF prices in agriculture and energy," Energy Economics, Elsevier, volume 81, issue C, pages 779-792, DOI: 10.1016/j.eneco.2019.04.017.
• Wa̧torek, Marcin & Drożdż, Stanisław & Oświȩcimka, Paweł & Stanuszek, Marek, 2019, "Multifractal cross-correlations between the world oil and other financial markets in 2012–2017," Energy Economics, Elsevier, volume 81, issue C, pages 874-885, DOI: 10.1016/j.eneco.2019.05.015.
• Tiwari, Aviral Kumar & Trabelsi, Nader & Alqahtani, Faisal & Hammoudeh, Shawkat, 2019, "Analysing systemic risk and time-frequency quantile dependence between crude oil prices and BRICS equity markets indices: A new look," Energy Economics, Elsevier, volume 83, issue C, pages 445-466, DOI: 10.1016/j.eneco.2019.07.014.
• Kocaarslan, Baris & Soytas, Ugur, 2019, "Dynamic correlations between oil prices and the stock prices of clean energy and technology firms: The role of reserve currency (US dollar)," Energy Economics, Elsevier, volume 84, issue C, DOI: 10.1016/j.eneco.2019.104502.
• Bouoiyour, Jamal & Selmi, Refk & Hammoudeh, Shawkat & Wohar, Mark E., 2019, "What are the categories of geopolitical risks that could drive oil prices higher? Acts or threats?," Energy Economics, Elsevier, volume 84, issue C, DOI: 10.1016/j.eneco.2019.104523.
• Caloia, Francesco Giuseppe & Cipollini, Andrea & Muzzioli, Silvia, 2019, "How do normalization schemes affect net spillovers? A replication of the Diebold and Yilmaz (2012) study," Energy Economics, Elsevier, volume 84, issue C, DOI: 10.1016/j.eneco.2019.104536.
• Kang, Sang Hoon & Tiwari, Aviral Kumar & Albulescu, Claudiu Tiberiu & Yoon, Seong-Min, 2019, "Exploring the time-frequency connectedness and network among crude oil and agriculture commodities V1," Energy Economics, Elsevier, volume 84, issue C, DOI: 10.1016/j.eneco.2019.104543.
• Gozgor, Giray & Tiwari, Aviral Kumar & Khraief, Naceur & Shahbaz, Muhammad, 2019, "Dependence structure between business cycles and CO2 emissions in the U.S.: Evidence from the time-varying Markov-Switching Copula models," Energy, Elsevier, volume 188, issue C, DOI: 10.1016/j.energy.2019.115995.
• Skintzi, Vasiliki D., 2019, "Determinants of stock-bond market comovement in the Eurozone under model uncertainty," International Review of Financial Analysis, Elsevier, volume 61, issue C, pages 20-28, DOI: 10.1016/j.irfa.2018.12.005.
• Zhang, Yaojie & Wei, Yu & Ma, Feng & Yi, Yongsheng, 2019, "Economic constraints and stock return predictability: A new approach," International Review of Financial Analysis, Elsevier, volume 63, issue C, pages 1-9, DOI: 10.1016/j.irfa.2019.02.007.
• Dias, Rui & da Silva, Jacinto Vidigal & Dionísio, Andreia, 2019, "Financial markets of the LAC region: Does the crisis influence the financial integration?," International Review of Financial Analysis, Elsevier, volume 63, issue C, pages 160-173, DOI: 10.1016/j.irfa.2019.02.008.
• Sakemoto, Ryuta, 2019, "Currency carry trades and the conditional factor model," International Review of Financial Analysis, Elsevier, volume 63, issue C, pages 198-208, DOI: 10.1016/j.irfa.2019.03.007.
• Kumar, Satish & Tiwari, Aviral Kumar & Chauhan, Yogesh & Ji, Qiang, 2019, "Dependence structure between the BRICS foreign exchange and stock markets using the dependence-switching copula approach," International Review of Financial Analysis, Elsevier, volume 63, issue C, pages 273-284, DOI: 10.1016/j.irfa.2018.12.011.
• Yin, Anwen, 2019, "Out-of-sample equity premium prediction in the presence of structural breaks," International Review of Financial Analysis, Elsevier, volume 65, issue C, DOI: 10.1016/j.irfa.2019.101385.
• Focardi, Sergio M. & Fabozzi, Frank J. & Mazza, Davide, 2019, "Modeling local trends with regime shifting models with time-varying probabilities," International Review of Financial Analysis, Elsevier, volume 66, issue C, DOI: 10.1016/j.irfa.2019.06.007.
• Orlowski, Lucjan T. & Soper, Carolyne, 2019, "Market risk and market-implied inflation expectations," International Review of Financial Analysis, Elsevier, volume 66, issue C, DOI: 10.1016/j.irfa.2019.101389.
• Chang, Chia-Lin & McAleer, Michael, 2019, "The fiction of full BEKK: Pricing fossil fuels and carbon emissions," Finance Research Letters, Elsevier, volume 28, issue C, pages 11-19, DOI: 10.1016/j.frl.2018.03.008.
• Hodoshima, Jiro & Yamawake, Toshiyuki, 2019, "Comparison of utility indifference pricing and mean-variance approach under a normal mixture distribution with time-varying volatility," Finance Research Letters, Elsevier, volume 28, issue C, pages 74-81, DOI: 10.1016/j.frl.2018.04.006.
• Mensi, Walid & Shahzad, Syed Jawad Hussain & Hammoudeh, Shawkat & Hkiri, Besma & Hamed Al Yahyaee, Khamis, 2019, "Long-run relationships between US financial credit markets and risk factors: Evidence from the quantile ARDL approach," Finance Research Letters, Elsevier, volume 29, issue C, pages 101-110, DOI: 10.1016/j.frl.2019.03.007.
• Mensi, Walid & Al-Yahyaee, Khamis Hamed & Kang, Sang Hoon, 2019, "Structural breaks and double long memory of cryptocurrency prices: A comparative analysis from Bitcoin and Ethereum," Finance Research Letters, Elsevier, volume 29, issue C, pages 222-230, DOI: 10.1016/j.frl.2018.07.011.
• Cagli, Efe Caglar, 2019, "Explosive behavior in the prices of Bitcoin and altcoins," Finance Research Letters, Elsevier, volume 29, issue C, pages 398-403, DOI: 10.1016/j.frl.2018.09.007.
• Będowska-Sójka, Barbara & Kliber, Agata, 2019, "The causality between liquidity and volatility in the Polish stock market," Finance Research Letters, Elsevier, volume 30, issue C, pages 110-115, DOI: 10.1016/j.frl.2019.04.008.
• Shi, Baofeng & Zhao, Xue & Wu, Bi & Dong, Yizhe, 2019, "Credit rating and microfinance lending decisions based on loss given default (LGD)," Finance Research Letters, Elsevier, volume 30, issue C, pages 124-129, DOI: 10.1016/j.frl.2019.03.033.
• Troster, Victor & Tiwari, Aviral Kumar & Shahbaz, Muhammad & Macedo, Demian Nicolás, 2019, "Bitcoin returns and risk: A general GARCH and GAS analysis," Finance Research Letters, Elsevier, volume 30, issue C, pages 187-193, DOI: 10.1016/j.frl.2018.09.014.
• Lei, Likun & Shang, Yue & Chen, Yongfei & Wei, Yu, 2019, "Does the financial crisis change the economic risk perception of crude oil traders? A MIDAS quantile regression approach," Finance Research Letters, Elsevier, volume 30, issue C, pages 341-351, DOI: 10.1016/j.frl.2018.10.016.
• Mensi, Walid & Lee, Yun-Jung & Al-Yahyaee, Khamis Hamed & Sensoy, Ahmet & Yoon, Seong-Min, 2019, "Intraday downward/upward multifractality and long memory in Bitcoin and Ethereum markets: An asymmetric multifractal detrended fluctuation analysis," Finance Research Letters, Elsevier, volume 31, issue C, pages 19-25, DOI: 10.1016/j.frl.2019.03.029.
• Kurka, Josef, 2019, "Do cryptocurrencies and traditional asset classes influence each other?," Finance Research Letters, Elsevier, volume 31, issue C, pages 38-46, DOI: 10.1016/j.frl.2019.04.018.
• S., Glogger & S., Heiden & D., Schneller, 2019, "Bearing the bear: Sentiment-based disagreement in multi-criteria portfolio optimization," Finance Research Letters, Elsevier, volume 31, issue C, pages 47-53, DOI: 10.1016/j.frl.2019.04.017.
• Greenwood-Nimmo, Matthew & Huang, Jingong & Nguyen, Viet Hoang, 2019, "Financial sector bailouts, sovereign bailouts, and the transfer of credit risk," Journal of Financial Markets, Elsevier, volume 42, issue C, pages 121-142, DOI: 10.1016/j.finmar.2018.11.001.
• BenSaïda, Ahmed, 2019, "Good and bad volatility spillovers: An asymmetric connectedness," Journal of Financial Markets, Elsevier, volume 43, issue C, pages 78-95, DOI: 10.1016/j.finmar.2018.12.005.
• Kapetanios, George & Konstantinidi, Eirini & Neumann, Michael & Skiadopoulos, George, 2019, "Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market," Journal of Financial Markets, Elsevier, volume 46, issue C, DOI: 10.1016/j.finmar.2019.100506.
• Będowska-Sójka, Barbara, 2019, "The dynamics of low-frequency liquidity measures: The developed versus the emerging market," Journal of Financial Stability, Elsevier, volume 42, issue C, pages 136-142, DOI: 10.1016/j.jfs.2019.05.006.
• Avdjiev, S. & Giudici, P. & Spelta, A., 2019, "Measuring contagion risk in international banking," Journal of Financial Stability, Elsevier, volume 42, issue C, pages 36-51, DOI: 10.1016/j.jfs.2019.05.014.
• Kang, Sang Hoon & Arreola Hernandez, Jose & Yoon, Seong-Min, 2019, "Who leads the inflation cycle in Europe? Inflation cycle and spillover influence among Eurozone and non-Eurozone economies," International Economics, Elsevier, volume 160, issue C, pages 56-71, DOI: 10.1016/j.inteco.2019.10.001.
• Khademalomoom, Siroos & Narayan, Paresh Kumar, 2019, "Intraday effects of the currency market," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 58, issue C, pages 65-77, DOI: 10.1016/j.intfin.2018.09.008.
• Dungey, Mardi & Harvey, John & Volkov, Vladimir, 2019, "The changing international network of sovereign debt and financial institutions," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 60, issue C, pages 149-168, DOI: 10.1016/j.intfin.2018.12.013.
• Harris, Richard D.F. & Nguyen, Linh H. & Stoja, Evarist, 2019, "Systematic extreme downside risk," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 61, issue C, pages 128-142, DOI: 10.1016/j.intfin.2019.02.007.
• Walther, Thomas & Klein, Tony & Bouri, Elie, 2019, "Exogenous drivers of Bitcoin and Cryptocurrency volatility – A mixed data sampling approach to forecasting," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 63, issue C, DOI: 10.1016/j.intfin.2019.101133.
• Buse, Rebekka & Schienle, Melanie, 2019, "Measuring connectedness of euro area sovereign risk," International Journal of Forecasting, Elsevier, volume 35, issue 1, pages 25-44, DOI: 10.1016/j.ijforecast.2018.07.010.
• Frazier, David T. & Maneesoonthorn, Worapree & Martin, Gael M. & McCabe, Brendan P.M., 2019, "Approximate Bayesian forecasting," International Journal of Forecasting, Elsevier, volume 35, issue 2, pages 521-539, DOI: 10.1016/j.ijforecast.2018.08.003.
• Naimoli, Antonio & Storti, Giuseppe, 2019, "Heterogeneous component multiplicative error models for forecasting trading volumes," International Journal of Forecasting, Elsevier, volume 35, issue 4, pages 1332-1355, DOI: 10.1016/j.ijforecast.2019.06.002.
• Pysarenko, Sergiy & Alexeev, Vitali & Tapon, Francis, 2019, "Predictive blends: Fundamental Indexing meets Markowitz," Journal of Banking & Finance, Elsevier, volume 100, issue C, pages 28-42, DOI: 10.1016/j.jbankfin.2018.12.016.
• Thiele, Stephen, 2019, "Detecting underestimates of risk in VaR models," Journal of Banking & Finance, Elsevier, volume 101, issue C, pages 12-20, DOI: 10.1016/j.jbankfin.2019.01.018.
• Buccioli, Alice & Kokholm, Thomas & Nicolosi, Marco, 2019, "Expected shortfall and portfolio management in contagious markets," Journal of Banking & Finance, Elsevier, volume 102, issue C, pages 100-115, DOI: 10.1016/j.jbankfin.2019.03.003.
• Morelli, Giacomo & Santucci de Magistris, Paolo, 2019, "Volatility tail risk under fractionality," Journal of Banking & Finance, Elsevier, volume 108, issue C, DOI: 10.1016/j.jbankfin.2019.105654.
• Zareei, Abalfazl, 2019, "Network origins of portfolio risk," Journal of Banking & Finance, Elsevier, volume 109, issue C, DOI: 10.1016/j.jbankfin.2019.105663.
• Lee, Hwang Hee & Hyun, Jung-Soon, 2019, "The asymmetric effect of equity volatility on credit default swap spreads," Journal of Banking & Finance, Elsevier, volume 98, issue C, pages 125-136, DOI: 10.1016/j.jbankfin.2018.11.001.
• Barletta, Andrea & Santucci de Magistris, Paolo & Violante, Francesco, 2019, "A non-structural investigation of VIX risk neutral density," Journal of Banking & Finance, Elsevier, volume 99, issue C, pages 1-20, DOI: 10.1016/j.jbankfin.2018.11.012.
• Bardgett, Chris & Gourier, Elise & Leippold, Markus, 2019, "Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets," Journal of Financial Economics, Elsevier, volume 131, issue 3, pages 593-618, DOI: 10.1016/j.jfineco.2018.09.008.
• Huang, Darien & Kilic, Mete, 2019, "Gold, platinum, and expected stock returns," Journal of Financial Economics, Elsevier, volume 132, issue 3, pages 50-75, DOI: 10.1016/j.jfineco.2018.11.004.
• Segal, Gill, 2019, "A tale of two volatilities: Sectoral uncertainty, growth, and asset prices," Journal of Financial Economics, Elsevier, volume 134, issue 1, pages 110-140, DOI: 10.1016/j.jfineco.2019.03.002.
• Apergis, Nicholas & Christou, Christina & Kynigakis, Iason, 2019, "Contagion across US and European financial markets: Evidence from the CDS markets," Journal of International Money and Finance, Elsevier, volume 96, issue C, pages 1-12, DOI: 10.1016/j.jimonfin.2019.04.006.
• Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2019, "Carry trades and commodity risk factors," Journal of International Money and Finance, Elsevier, volume 96, issue C, pages 121-129, DOI: 10.1016/j.jimonfin.2019.04.004.
• Cronin, David & Dunne, Peter G., 2019, "How effective are sovereign bond-backed securities as a spillover prevention device?," Journal of International Money and Finance, Elsevier, volume 96, issue C, pages 49-66, DOI: 10.1016/j.jimonfin.2019.05.001.
• Gronwald, Marc, 2019, "Is Bitcoin a Commodity? On price jumps, demand shocks, and certainty of supply," Journal of International Money and Finance, Elsevier, volume 97, issue C, pages 86-92, DOI: 10.1016/j.jimonfin.2019.06.006.
• Belcaid, Karim & El Ghini, Ahmed, 2019, "U.S., European, Chinese economic policy uncertainty and Moroccan stock market volatility," The Journal of Economic Asymmetries, Elsevier, volume 20, issue C, DOI: 10.1016/j.jeca.2019.e00128.
• Polat, Onur & Ozkan, Ibrahim, 2019, "Transmission mechanisms of financial stress into economic activity in Turkey," Journal of Policy Modeling, Elsevier, volume 41, issue 2, pages 395-415, DOI: 10.1016/j.jpolmod.2019.02.010.
• Škare, Marinko & Mošnja-Škare, Lorena, 2019, "Economic policy implications of the Gibson Law in the Netherlands (1800–2012)," Journal of Policy Modeling, Elsevier, volume 41, issue 5, pages 926-942, DOI: 10.1016/j.jpolmod.2019.04.001.
• Kang, Sang Hoon & Tiwari, Aviral Kumar & Albulescu, Claudiu Tiberiu & Yoon, Seong-Min, 2019, "Time-frequency co-movements between the largest nonferrous metal futures markets," Resources Policy, Elsevier, volume 61, issue C, pages 393-398, DOI: 10.1016/j.resourpol.2017.12.010.
• Hoang, Thi-Hong-Van & Zhu, Zhenzhen & El Khamlichi, Abdelbari & Wong, Wing-Keung, 2019, "Does the Shari’ah screening impact the gold-stock nexus? A sectorial analysis," Resources Policy, Elsevier, volume 61, issue C, pages 617-626, DOI: 10.1016/j.resourpol.2018.10.002.
• Troster, Victor & Bouri, Elie & Roubaud, David, 2019, "A quantile regression analysis of flights-to-safety with implied volatilities," Resources Policy, Elsevier, volume 62, issue C, pages 482-495, DOI: 10.1016/j.resourpol.2018.10.004.
• Hernandez, Jose Areola & Shahzad, Syed Jawad Hussain & Uddin, Gazi Salah & Kang, Sang Hoon, 2019, "Can agricultural and precious metal commodities diversify and hedge extreme downside and upside oil market risk? An extreme quantile approach," Resources Policy, Elsevier, volume 62, issue C, pages 588-601, DOI: 10.1016/j.resourpol.2018.11.007.
• Al-Yahyaee, Khamis Hamed & Mensi, Walid & Maitra, Debasish & Al-Jarrah, Idries Mohammad Wanas, 2019, "Portfolio management and dependencies among precious metal markets: Evidence from a Copula quantile-on-quantile approach," Resources Policy, Elsevier, volume 64, issue C, DOI: 10.1016/j.resourpol.2019.101529.
• Uddin, Gazi Salah & Shahzad, Syed Jawad Hussain & Boako, Gideon & Hernandez, Jose Areola & Lucey, Brian M., 2019, "Heterogeneous interconnections between precious metals: Evidence from asymmetric and frequency-domain spillover analysis," Resources Policy, Elsevier, volume 64, issue C, DOI: 10.1016/j.resourpol.2019.101509.
• Eissa, Mohamad Abdelaziz & Al Refai, Hisham, 2019, "Modelling the symmetric and asymmetric relationships between oil prices and those of corn, barley, and rapeseed oil," Resources Policy, Elsevier, volume 64, issue C, DOI: 10.1016/j.resourpol.2019.101511.
• Alqahtani, Abdullah & Klein, Tony & Khalid, Ali, 2019, "The impact of oil price uncertainty on GCC stock markets," Resources Policy, Elsevier, volume 64, issue C, DOI: 10.1016/j.resourpol.2019.101526.
• Kang, Sang Hoon & Uddin, Gazi Salah & Troster, Victor & Yoon, Seong-Min, 2019, "Directional spillover effects between ASEAN and world stock markets," Journal of Multinational Financial Management, Elsevier, volume 52, issue , DOI: 10.1016/j.mulfin.2019.100592.
• Ftiti, Zied & Hadhri, Sinda, 2019, "Can economic policy uncertainty, oil prices, and investor sentiment predict Islamic stock returns? A multi-scale perspective," Pacific-Basin Finance Journal, Elsevier, volume 53, issue C, pages 40-55, DOI: 10.1016/j.pacfin.2018.09.005.
• Ma, Feng & Wahab, M.I.M. & Zhang, Yaojie, 2019, "Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets," Pacific-Basin Finance Journal, Elsevier, volume 54, issue C, pages 132-146, DOI: 10.1016/j.pacfin.2019.02.006.
• Shafique, Attayah & Ayub, Usman & Zakaria, Muhammad, 2019, "Don’t let the Greed catch you! Pleonexia rule applied to Pakistan stock exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 524, issue C, pages 157-168, DOI: 10.1016/j.physa.2019.04.048.
• Abounoori, Esmaiel & Tour, Mansour, 2019, "Stock market interactions among Iran, USA, Turkey, and UAE," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 524, issue C, pages 297-305, DOI: 10.1016/j.physa.2019.04.232.
• Liu, Jing & Ma, Feng & Zhang, Yaojie, 2019, "Forecasting the Chinese stock volatility across global stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 525, issue C, pages 466-477, DOI: 10.1016/j.physa.2019.03.097.
• González-Pla, Francisco & Lovreta, Lidija, 2019, "Persistence in firm’s asset and equity volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 535, issue C, DOI: 10.1016/j.physa.2019.122265.
• Xiao, Binqing & Yang, Ye & Peng, Xuerong & Fang, Libing, 2019, "Measuring the connectedness of European electricity markets using the network topology of variance decompositions," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 535, issue C, DOI: 10.1016/j.physa.2019.122279.
• Kang, Sang Hoon & McIver, Ron P. & Hernandez, Jose Arreola, 2019, "Co-movements between Bitcoin and Gold: A wavelet coherence analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 536, issue C, DOI: 10.1016/j.physa.2019.04.124.
• Lian, Yu-Min & Chen, Jun-Home, 2019, "Portfolio selection in a multi-asset, incomplete-market economy," The Quarterly Review of Economics and Finance, Elsevier, volume 71, issue C, pages 228-238, DOI: 10.1016/j.qref.2018.08.006.
• Chang, Chia-Lin & Mai, Te-Ke & McAleer, Michael, 2019, "Establishing national carbon emission prices for China," Renewable and Sustainable Energy Reviews, Elsevier, volume 106, issue C, pages 1-16, DOI: 10.1016/j.rser.2019.01.063.
• Caporin, Massimiliano & Chang, Chia-Lin & McAleer, Michael, 2019, "Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?," International Review of Economics & Finance, Elsevier, volume 59, issue C, pages 50-70, DOI: 10.1016/j.iref.2018.08.003.
• Alexeev, Vitali & Urga, Giovanni & Yao, Wenying, 2019, "Asymmetric jump beta estimation with implications for portfolio risk management," International Review of Economics & Finance, Elsevier, volume 62, issue C, pages 20-40, DOI: 10.1016/j.iref.2019.02.014.
• Vácha, Lukáš & Šmolík, Filip & Baxa, Jaromír, 2019, "Comovement and disintegration of EU sovereign bond markets during the crisis," International Review of Economics & Finance, Elsevier, volume 64, issue C, pages 541-556, DOI: 10.1016/j.iref.2019.09.004.
• Abid, Ilyes & Dhaoui, Abderrazak & Goutte, Stéphane & Guesmi, Khaled, 2019, "Contagion and bond pricing: The case of the ASEAN region," Research in International Business and Finance, Elsevier, volume 47, issue C, pages 371-385, DOI: 10.1016/j.ribaf.2018.08.010.
• Kusen, Alex & Rudolf, Markus, 2019, "Feedback trading: Strategies during day and night with global interconnectedness," Research in International Business and Finance, Elsevier, volume 48, issue C, pages 438-463, DOI: 10.1016/j.ribaf.2019.01.013.
• Chadwick, Meltem Gulenay, 2019, "Dependence of the “Fragile Five” and “Troubled Ten” emerging market financial systems on US monetary policy and monetary policy uncertainty," Research in International Business and Finance, Elsevier, volume 49, issue C, pages 251-268, DOI: 10.1016/j.ribaf.2019.04.002.
• Kallinterakis, Vasileios & Wang, Ying, 2019, "Do investors herd in cryptocurrencies – and why?," Research in International Business and Finance, Elsevier, volume 50, issue C, pages 240-245, DOI: 10.1016/j.ribaf.2019.05.005.
• Chaker, Selma, 2019, "The signal and the noise volatilities," Research in International Business and Finance, Elsevier, volume 50, issue C, pages 79-105, DOI: 10.1016/j.ribaf.2019.04.008.
• Karel Janda & Jakub Kourilek, 2019, "Residual Shape Risk on Natural Gas Market with Mixed Jump Diffusion," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2019-34, May.
• Donglian Ma & Hisashi Tanizaki, 2019, "Fat-tailed stochastic volatility model and the stock market returns in China," China Finance Review International, Emerald Group Publishing Limited, volume 11, issue 2, pages 170-184, June, DOI: 10.1108/CFRI-03-2018-0028.
• Wei Han & Yushi Jiang, 2019, "Economic validity analysis of housing reverse mortgages in China," China Finance Review International, Emerald Group Publishing Limited, volume 9, issue 4, pages 498-520, August, DOI: 10.1108/CFRI-07-2018-0111.
• Aymen Ben Rejeb & Mongi Arfaoui, 2019, "Do Islamic stock indexes outperform conventional stock indexes? A state space modeling approach," European Journal of Management and Business Economics, Emerald Group Publishing Limited, volume 28, issue 3, pages 301-322, February, DOI: 10.1108/EJMBE-08-2018-0088.
• Özge Korkmaz, 2019, "The relationship between housing prices and inflation rate in Turkey," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, volume 13, issue 3, pages 427-452, October, DOI: 10.1108/IJHMA-05-2019-0051.
• Julien Chevallier & Dinh-Tri Vo, 2019, "Portfolio allocation across variance risk premia," Journal of Risk Finance, Emerald Group Publishing Limited, volume 20, issue 5, pages 556-593, October, DOI: 10.1108/JRF-06-2019-0107.
• Ya Qian & Wolfgang Härdle & Cathy Yi-Hsuan Chen, 2019, "Modelling industry interdependency dynamics in a network context," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 37, issue 1, pages 50-70, December, DOI: 10.1108/SEF-07-2019-0272.
• McAleer, M.J., 2019, "What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2019-13, Mar.
• McAleer, M.J., 2019, "What They Did Not Tell You About Algebraic (Non-)Existence, Mathematical (IR-)Regularity and (Non-)Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2019-14, Mar.
• Asai, M. & Gupta, R. & McAleer, M.J., 2019, "The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2019-16, Mar.
• Mehmet Balcilar & Zeynel Abidin Ozdemir & Huseyin Ozdemir & Mark E. Wohar, 2019, "Fed’s Unconventional Monetary Policy and Risk Spillover in the US Financial Markets," Working Papers, Eastern Mediterranean University, Department of Economics, number 15-47.
• Mehmet Balcilar & David Roubaud & Ojonugwa Usman & Mark E. Wohar, 2019, "Testing the Asymmetric Effects of Exchange Rate and Oil Price Pass-Through in BRICS Countries: Does the state of the economy matter?," Working Papers, Eastern Mediterranean University, Department of Economics, number 15-49, Jul.
• Wojciech Grabowski & Ewa Stawasz-Grabowska, 2019, "News Releases, Credit Rating Announcements, and Anti-Crisis Measures as Determinants of Sovereign Bond Spreads in the Peripheral Euro-Area Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 69, issue 2, pages 149-173, April.
• Joao Dionísio Monteiro & Ernesto Raúl Ferreira, 2019, "Revisiting Seasonality in Overnight and Daytime Returns in the U.S. Equity Markets: Mean-Variance, Sharpe Ratio and Stochastic Dominance Approaches," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 69, issue 4, pages 384-414, August.
• An-Sing Chen & Pham Tuan Anh, 2019, "The Effect of Deregulation on Firm Leverage and Strategic Behavior: Evidence from U.S. Electricity Industry," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 69, issue 5, pages 489-507, October.
• Michael Mark & Jan Sila & Thomas A. Weber, 2019, "Quantifying Endogeneity of Cryptocurrency Markets," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2019/29, Oct, revised Oct 2019.
• Michael Peng & Dongkai Jiang & Yingjie Wang, 2019, "Forecasting Chinese Corporate Bond Defaults: Comparative Study of Market- vs. Accounting-Based Models," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 14, issue 4, pages 536-582, December.
• Ruijun Bu & Rodrigo Hizmeri & Marwan Izzeldin & Anthony Murphy & Mike G. Tsionas, 2019, "The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility," Working Papers, Federal Reserve Bank of Dallas, number 1902, Mar, revised 17 Dec 2022, DOI: 10.24149/wp1902r2.
• Todd Prono, 2019, "When Simplicity Offers a Benefit, Not a Cost: Closed-Form Estimation of the GARCH(1,1) Model that Enhances the Efficiency of Quasi-Maximum Likelihood," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2019-030, May, DOI: 10.17016/FEDS.2019.030.
• Richard K. Crump & Nikolay Gospodinov, 2019, "Deconstructing the yield curve," Staff Reports, Federal Reserve Bank of New York, number 884, Apr.
• Daniel J. Lewis, 2019, "Announcement-Specific Decompositions of Unconventional Monetary Policy Shocks and Their Macroeconomic Effects," Staff Reports, Federal Reserve Bank of New York, number 891, Jun.
• Joseph P. Hughes & Julapa Jagtiani & Choon-Geol Moon, 2019, "Consumer Lending Efficiency:Commercial Banks Versus A Fintech Lender," Working Papers, Federal Reserve Bank of Philadelphia, number 19-22, Apr, DOI: 10.21799/frbp.wp.2019.22.
• Fabrizio Cipollini & Giampiero M. Gallo & Edoardo Otranto, 2019, "Realized Volatility Forecasting: Robustness to Measurement Errors," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2019_04, Jul.
• Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri, 2019, "Realized variance modeling: decoupling forecasting from estimation," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2019_05, Jul.
• Marina Yu. Malkina & Anton O. Ovcharov, 2019, "Financial Stress Index as a Generalized Indicator of Financial Instability," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 3, pages 38-54, June, DOI: 10.31107/2075-1990-2019-3-38-54.
• Bîzderea Claudia Gabriela, 2019, "Studiu privind corelația dintre evoluția pieței de capital și creșterea economică," Journal of Financial Studies, Institute of Financial Studies, volume 7, issue 4, pages 197-215, June.
• Manabu Asai & Rangan Gupta & Michael McAleer, 2019, "The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures," Energies, MDPI, volume 12, issue 17, pages 1-17, September.
• Duc Hong Vo & Tan Ngoc Vu & Anh The Vo & Michael McAleer, 2019, "Modeling the Relationship between Crude Oil and Agricultural Commodity Prices," Energies, MDPI, volume 12, issue 7, pages 1-41, April.
• Chia-Lin Chang & Michael McAleer & Jiarong Tian, 2019, "Modeling and Testing Volatility Spillovers in Oil and Financial Markets for the USA, the UK, and China," Energies, MDPI, volume 12, issue 8, pages 1-24, April.
• Peter G. Dunne, 2019, "Positive Liquidity Spillovers from Sovereign Bond-Backed Securities," JRFM, MDPI, volume 12, issue 2, pages 1-25, April.
• Michael McAleer, 2019, "What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity, and (Non-) Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model," JRFM, MDPI, volume 12, issue 2, pages 1-9, April.
• Michael McAleer, 2019, "What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity and (Non-) Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model," JRFM, MDPI, volume 12, issue 2, pages 1-7, April.
• Alfonso Novales & Alvaro Chamizo, 2019, "Splitting Credit Risk into Systemic, Sectorial and Idiosyncratic Components," JRFM, MDPI, volume 12, issue 3, pages 1-33, August.
• Vásquez Cordano, Arturo Leonardo, 2019, "Evaluación del impacto económico de las interrupciones en el transporte de gas natural en el Perú," Documentos de Trabajo, Escuela de Postgrado GERENS, number 003, Jun.
• Ioannis Kyriakou & Parastoo Mousavi & Jens Perch Nielsen & Michael Scholz, 2019, "Machine Learning for Forecasting Excess Stock Returns The Five-Year-View," Graz Economics Papers, University of Graz, Department of Economics, number 2019-06, Aug.
• Enno Mammen & Jens Perch Nielsen & Michael Scholz & Stefan Sperlich, 2019, "Conditional variance forecasts for long-term stock returns," Graz Economics Papers, University of Graz, Department of Economics, number 2019-08, Aug.
• Hayette Gatfaoui, 2019, "Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures," Post-Print, HAL, number hal-02115626, May, DOI: 10.1016/j.eneco.2018.12.013.
• Jose Areola Hernandez & Syed Jawad Hussain Shahzad & Gazi Salah Uddin & Sang Hoon Kang, 2019, "Can agricultural and precious metal commodities diversify and hedge extreme downside and upside oil market risk? An extreme quantile approach," Post-Print, HAL, number hal-02159274, Aug, DOI: 10.1016/j.resourpol.2018.11.007.
• Thi-Hong-Van Hoang & Zhenzhen Zhu & Abdelbari El Khamlichi & Wing-Keung Wong, 2019, "Does the Shari’ah screening impact the gold-stock nexus? A sectorial analysis," Post-Print, HAL, number hal-02179795, Jun, DOI: 10.1016/j.resourpol.2018.10.002.
• Jamal Bouoiyour & Refk Selmi & Shawkat Hammoudeh & Mark E Wohar, 2019, "What are the categories of geopolitical risks that could drive oil prices higher? Acts or threats?," Post-Print, HAL, number hal-02409062, Oct, DOI: 10.1016/j.eneco.2019.104523.
• Sang Hoon Kang & Jose Arreola Hernandez & Seong-Min Yoon, 2019, "Who leads the inflation cycle in Europe? Inflation cycle and spillover influence among Eurozone and non-Eurozone economies," Post-Print, HAL, number hal-02430651, Dec, DOI: 10.1016/j.inteco.2019.10.001.
• Sang Hoon Kang & Ron Mciver & Jose Arreola Hernandez, 2019, "Co-movements between Bitcoin and Gold: A wavelet coherence analysis," Post-Print, HAL, number hal-02468160, Dec, DOI: 10.1016/j.physa.2019.04.124.
• Ilyes Abid & Abderrazak Dhaoui & Stéphane Goutte & Khaled Guesmi, 2019, "Contagion and bond pricing: The case of the ASEAN region," Post-Print, HAL, number halshs-02148928, Jan, DOI: 10.1016/j.ribaf.2018.08.010.
• Becker, Janis & Hollstein, Fabian & Prokopczuk, Marcel & Sibbertsen, Philipp, 2019, "The Memory of Beta Factors," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-661, Sep.
• Farago, Adam & Hjalmarsson, Erik, 2019, "Compound Returns," Working Papers in Economics, University of Gothenburg, Department of Economics, number 767, Jun.
• Mikhail Stolbov, 2019, "Constructing a Financial Stress Index for Russia: New Approaches," HSE Economic Journal, National Research University Higher School of Economics, volume 23, issue 1, pages 32-60.
• Valeria V. Lakshina, 2019, "Do Portfolio Investors Need To Consider The Asymmetry Of Returns On The Russian Stock Market?," HSE Working papers, National Research University Higher School of Economics, number WP BRP 75/FE/2019.
• Matthew Greenwood-Nimmo & Evžen KoÄ enda & Viet Hoang Nguyen, 2019, "Does the Spillover Index Reflect Systemic Shocks? A Bootstrap-Based Probabilistic Analysis," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2019n17, Nov.
• Tihana Skrinjaric & Zrinka Orlovic, 2019, "Effects of Economic and Political Events on Stock Returns: Event Study of the Agrokor Case in Croatia," Croatian Economic Survey, The Institute of Economics, Zagreb, volume 21, issue 1, pages 47-86, June.
• Miriam Sosa & Edgar Ortiz & Alejandra Cabello, 2019, "International Financial US Linkages: Networks Theory and MS-VAR Analyses," 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 14, issue PNEA, pages 459-584, Agosto 20.
• Roberto Joaquín Santillán Salgado & Alejandro Fonseca Ramírez & Luis Nelson Romero, 2019, "The "day-of-the-week" effects in the exchange rate of Latin American currencies," 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 14, issue PNEA, pages 485-507, Agosto 20.
• Oscar V. De la Torre-Torres & Dora Aguilasocho-Montoya & José Álvarez-García, 2019, "Active portfolio management in the Andean countries'' stock markets with Markov-Switching GARCH models," 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 14, issue PNEA, pages 601-616, Agosto 20.
• Erdinc Akyildirim & Shaen Corbet & Duc Khuong Nguyene & Ahmet Sensoy, 2019, "Regulatory Changes and Long-run Relationships of the EMU Sovereign Debt Markets: Implications for Future Policy Framework," Working Papers, Department of Research, Ipag Business School, number 2019-005, Jan.
• Helena Chuliá & Jorge M. Uribe, 2019, "“Expected, Unexpected, Good and Bad Uncertainty"," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 201919, Nov, revised Nov 2019.
• Süleyman Hilmi KAL & İlhami GÜNDÜZ, 2019, "Global Capital Flows, Time Varying Fundamentals And Transitional Exchange Rate Dynamics: An MS-VAR Approach," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, volume 69, issue 1, pages 1-22, June, DOI: 10.26650/ISTJECON2019-0004.
• Mustafa ÖZYEŞİL, 2019, "The Relationship Between the Popularity of Cryptocurrencies and their Prices, Returns and Trading Volumes: A Structural Break and Comparative Analysis," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, volume 69, issue 2, pages 133-157, December, DOI: 10.26650/ISTJECON2019-0017.
• Dr. Sanjeev Kumar, 2019, "The Impact of Fiscal Deficit on Economic Growth in India: An Economic Analysis," Journal of Commerce and Trade, Society for Advanced Management Studies, volume 14, issue 2, pages 67-71, Octobor.
• Wasanthi Thenuwara & Mahinda Siriwardana & Nam Hoang, 2019, "Will Population Ageing Cause a House Price Meltdown in Australia?," Journal of Developing Areas, Tennessee State University, College of Business, volume 53, issue 2, pages 63-77, April-Jun.
• Rosati, Nicoletta & Bellia, Mario & Matos, Pedro Verga & Oliviera, Vasco, 2019, "Ratings matter: announcements in times of crisis and the dynamics of stock markets," JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission, number 2019-08, Sep.
• Rituparna Sen & Manavathi Subramaniam, 2019, "Stylized Facts of the Indian Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 26, issue 4, pages 479-493, December, DOI: 10.1007/s10690-019-09275-3.
• Manh Cuong Dong & Cathy W. S. Chen & Sangyoel Lee & Songsak Sriboonchitta, 2019, "How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models," Computational Economics, Springer;Society for Computational Economics, volume 53, issue 1, pages 343-366, January, DOI: 10.1007/s10614-017-9743-z.
• Stelios Bekiros & Nikolaos Loukeris & Nikolaos Matsatsinis & Frank Bezzina, 2019, "Customer Satisfaction Prediction in the Shipping Industry with Hybrid Meta-heuristic Approaches," Computational Economics, Springer;Society for Computational Economics, volume 54, issue 2, pages 647-667, August, DOI: 10.1007/s10614-018-9842-5.
• Till Massing, 2019, "What is the best Lévy model for stock indices? A comparative study with a view to time consistency," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 33, issue 3, pages 277-344, September, DOI: 10.1007/s11408-019-00335-2.
• Nafeesa Yunus, 2019, "Dynamic Linkages Among U.S. Real Estate Sectors Before and After the Housing Crisis," The Journal of Real Estate Finance and Economics, Springer, volume 58, issue 2, pages 264-289, February, DOI: 10.1007/s11146-017-9639-7.
• Vietha Devia S.S., 2019, "The Correlation of Exchange Rate and Inflation and Its Effect on Stock Markets. Case Study on Consumer Good Index Indonesia: 2004 – 2017," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, volume 5, issue 2, pages 32-44, June.
• Simon Hetland & Rasmus Søndergaard Pedersen & Anders Rahbek, 2019, "Dynamic Conditional Eigenvalue GARCH," Discussion Papers, University of Copenhagen. Department of Economics, number 19-13, Dec.
• Klenio Barbosa & Dakshina De Silva & Liyu Yang & Hisayuki Yoshimoto, 2019, "Auction Mechanisms and Treasury Revenue," Working Papers, Lancaster University Management School, Economics Department, number 267027285.
• Andres Fioriti, Fernando Andres Delbianco, 2019, "Dependence of Latin America external sector on commodity prices. A contemporaneity analysis using a descriptive approach," Económica, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, volume 65, pages 173-200, January-D.
• Rangan Gupta & Sheung-Chi Chow & Tahir Suleman & Wing-Keung Wong, 2019, "Long-Run Movement and Predictability of Bond Spread for BRICS and PIIGS: The Role of Economic, Financial and Political Risks," Journal of Reviews on Global Economics, Lifescience Global, volume 8, pages 239-257.
• Kwaku Boafo Baidoo, 2019, "The Effects of Short Selling on Financial Markets Volatilities," European Journal of Business Science and Technology, Mendel University in Brno, Faculty of Business and Economics, volume 5, issue 2, pages 218-228, DOI: 10.11118/ejobsat.v5i2.183.
• Andrea Bastianin, 2019, "Robust measures of skewness and kurtosis for macroeconomic and financial time series," Working Papers, University of Milano-Bicocca, Department of Economics, number 408, May, revised 06 May 2019.
• David de Villiers & Andrew Phiri, 2019, "Towards resolving the Purchasing Power Parity (PPP) ‘puzzle’ in Newly Industrialized Countries (NIC’s)," Working Papers, Department of Economics, Nelson Mandela University, number 1908, Sep, revised Sep 2019.
• Bernard De Meyer & Moussa Dabo, 2019, "The CMMV Pricing Model in Practice," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 19026, Nov.
• Patrick Leung & Catherine S. Forbes & Gael M Martin & Brendan McCabe, 2019, "Forecasting Observables with Particle Filters: Any Filter Will Do!," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 22/19.
• Paweł Radwański, 2019, "Polityka fiskalna i premia za ryzyko akcji na warszawskiej giełdzie," Bank i Kredyt, Narodowy Bank Polski, volume 50, issue 3, pages 265-294.
• Marcin Pełka, 2019, "Symbolic decision stumps in individual credit scoring," Bank i Kredyt, Narodowy Bank Polski, volume 50, issue 6, pages 513-528.
• Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2019, "Taming the Factor Zoo: A Test of New Factors," NBER Working Papers, National Bureau of Economic Research, Inc, number 25481, Jan.
• Lars Peter Hansen & Thomas J. Sargent, 2019, "Macroeconomic Uncertainty Prices when Beliefs are Tenuous," NBER Working Papers, National Bureau of Economic Research, Inc, number 25781, Apr.
• Zheng Tracy Ke & Bryan T. Kelly & Dacheng Xiu, 2019, "Predicting Returns With Text Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 26186, Aug.
• Steven F. Lehrer & Tian Xie & Tao Zeng, 2019, "Does High Frequency Social Media Data Improve Forecasts of Low Frequency Consumer Confidence Measures?," NBER Working Papers, National Bureau of Economic Research, Inc, number 26505, Nov.
• Bryan T. Kelly & Asaf Manela & Alan Moreira, 2019, "Text Selection," NBER Working Papers, National Bureau of Economic Research, Inc, number 26517, Nov.
• Dash, M., 2019, "A Study on Commodity Market Behaviour, Price Discovery and its Factors," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, volume 8, issue 3, pages 125-134, September.
• P Gorgi & P R Hansen & P Janus & S J Koopman, 2019, "Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model," Journal of Financial Econometrics, Oxford University Press, volume 17, issue 1, pages 1-32.
• Hoang Nguyen & M Concepción Ausín & Pedro Galeano, 2019, "Parallel Bayesian Inference for High-Dimensional Dynamic Factor Copulas," Journal of Financial Econometrics, Oxford University Press, volume 17, issue 1, pages 118-151.
• Kevin Sheppard & Wen Xu, 2019, "Factor High-Frequency-Based Volatility (HEAVY) Models," Journal of Financial Econometrics, Oxford University Press, volume 17, issue 1, pages 33-65.
• Anne Opschoor & André Lucas, 2019, "Fractional Integration and Fat Tails for Realized Covariance Kernels," Journal of Financial Econometrics, Oxford University Press, volume 17, issue 1, pages 66-90.
• Andrea Berardi & Alberto Plazzi, 2019, "Inflation Risk Premia, Yield Volatility, and Macro Factors," Journal of Financial Econometrics, Oxford University Press, volume 17, issue 3, pages 397-431.