Research classified by Journal of Economic Literature (JEL) codes

2020

• Li, Z. Merrick & Laeven, Roger J.A. & Vellekoop, Michel H., 2020, "Dependent microstructure noise and integrated volatility estimation from high-frequency data," Journal of Econometrics, Elsevier, volume 215, issue 2, pages 536-558, DOI: 10.1016/j.jeconom.2019.10.004.
• Hansen, Lars Peter & Szőke, Bálint & Han, Lloyd S. & Sargent, Thomas J., 2020, "Twisted probabilities, uncertainty, and prices," Journal of Econometrics, Elsevier, volume 216, issue 1, pages 151-174, DOI: 10.1016/j.jeconom.2020.01.011.
• Barigozzi, Matteo & Hallin, Marc, 2020, "Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals," Journal of Econometrics, Elsevier, volume 216, issue 1, pages 4-34, DOI: 10.1016/j.jeconom.2020.01.003.
• Fan, Jianqing & Ke, Yuan & Wang, Kaizheng, 2020, "Factor-adjusted regularized model selection," Journal of Econometrics, Elsevier, volume 216, issue 1, pages 71-85, DOI: 10.1016/j.jeconom.2020.01.006.
• Aït-Sahalia, Yacine & Kalnina, Ilze & Xiu, Dacheng, 2020, "High-frequency factor models and regressions," Journal of Econometrics, Elsevier, volume 216, issue 1, pages 86-105, DOI: 10.1016/j.jeconom.2020.01.007.
• Bräuning, Falk & Koopman, Siem Jan, 2020, "The dynamic factor network model with an application to international trade," Journal of Econometrics, Elsevier, volume 216, issue 2, pages 494-515, DOI: 10.1016/j.jeconom.2019.10.007.
• Dufays, Arnaud & Rombouts, Jeroen V.K., 2020, "Relevant parameter changes in structural break models," Journal of Econometrics, Elsevier, volume 217, issue 1, pages 46-78, DOI: 10.1016/j.jeconom.2019.10.008.
• Nguyen, Giang & Engle, Robert & Fleming, Michael & Ghysels, Eric, 2020, "Liquidity and volatility in the U.S. Treasury market," Journal of Econometrics, Elsevier, volume 217, issue 2, pages 207-229, DOI: 10.1016/j.jeconom.2019.12.002.
• Han, Hyojin & Khrapov, Stanislav & Renault, Eric, 2020, "The leverage effect puzzle revisited: Identification in discrete time," Journal of Econometrics, Elsevier, volume 217, issue 2, pages 230-258, DOI: 10.1016/j.jeconom.2019.12.003.
• Arvanitis, Stelios & Scaillet, Olivier & Topaloglou, Nikolas, 2020, "Spanning tests for Markowitz stochastic dominance," Journal of Econometrics, Elsevier, volume 217, issue 2, pages 291-311, DOI: 10.1016/j.jeconom.2019.12.005.
• Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020, "Dynamics of variance risk premia: A new model for disentangling the price of risk," Journal of Econometrics, Elsevier, volume 217, issue 2, pages 312-334, DOI: 10.1016/j.jeconom.2019.12.006.
• Borowska, Agnieszka & Hoogerheide, Lennart & Koopman, Siem Jan & van Dijk, Herman K., 2020, "Partially censored posterior for robust and efficient risk evaluation," Journal of Econometrics, Elsevier, volume 217, issue 2, pages 335-355, DOI: 10.1016/j.jeconom.2019.12.007.
• Francq, Christian & Zakoïan, Jean-Michel, 2020, "Virtual Historical Simulation for estimating the conditional VaR of large portfolios," Journal of Econometrics, Elsevier, volume 217, issue 2, pages 356-380, DOI: 10.1016/j.jeconom.2019.12.008.
• Dominicy, Yves & Heikkilä, Matias & Ilmonen, Pauliina & Veredas, David, 2020, "Flexible multivariate Hill estimators," Journal of Econometrics, Elsevier, volume 217, issue 2, pages 398-410, DOI: 10.1016/j.jeconom.2019.12.010.
• Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2020, "Multivariate leverage effects and realized semicovariance GARCH models," Journal of Econometrics, Elsevier, volume 217, issue 2, pages 411-430, DOI: 10.1016/j.jeconom.2019.12.011.
• Hafner, Christian M. & Linton, Oliver B. & Tang, Haihan, 2020, "Estimation of a multiplicative correlation structure in the large dimensional case," Journal of Econometrics, Elsevier, volume 217, issue 2, pages 431-470, DOI: 10.1016/j.jeconom.2019.12.012.
• Bauwens, Luc & Otranto, Edoardo, 2020, "Nonlinearities and regimes in conditional correlations with different dynamics," Journal of Econometrics, Elsevier, volume 217, issue 2, pages 496-522, DOI: 10.1016/j.jeconom.2019.12.014.
• Lettau, Martin & Pelger, Markus, 2020, "Estimating latent asset-pricing factors," Journal of Econometrics, Elsevier, volume 218, issue 1, pages 1-31, DOI: 10.1016/j.jeconom.2019.08.012.
• Dovonon, Prosper & Hall, Alastair R. & Kleibergen, Frank, 2020, "Inference in second-order identified models," Journal of Econometrics, Elsevier, volume 218, issue 2, pages 346-372, DOI: 10.1016/j.jeconom.2020.04.020.
• Hallin, Marc & La Vecchia, Davide, 2020, "A Simple R-estimation method for semiparametric duration models," Journal of Econometrics, Elsevier, volume 218, issue 2, pages 736-749, DOI: 10.1016/j.jeconom.2020.04.036.
• Hong, Seok Young & Linton, Oliver, 2020, "Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff," Journal of Econometrics, Elsevier, volume 219, issue 2, pages 389-424, DOI: 10.1016/j.jeconom.2020.03.009.
• Maneesoonthorn, Worapree & Martin, Gael M. & Forbes, Catherine S., 2020, "High-frequency jump tests: Which test should we use?," Journal of Econometrics, Elsevier, volume 219, issue 2, pages 478-487, DOI: 10.1016/j.jeconom.2020.03.012.
• Golosnoy, Vasyl & Schmid, Wolfgang & Seifert, Miriam Isabel & Lazariv, Taras, 2020, "Statistical inferences for realized portfolio weights," Econometrics and Statistics, Elsevier, volume 14, issue C, pages 49-62, DOI: 10.1016/j.ecosta.2018.08.003.
• Asai, Manabu & McAleer, Michael & Peiris, Shelton, 2020, "Realized stochastic volatility models with generalized Gegenbauer long memory," Econometrics and Statistics, Elsevier, volume 16, issue C, pages 42-54, DOI: 10.1016/j.ecosta.2018.12.005.
• Mensi, Walid & Hammoudeh, Shawkat & Tiwari, Aviral Kumar & Al-Yahyaee, Khamis Hamed, 2020, "Impact of Islamic banking development and major macroeconomic variables on economic growth for Islamic countries: Evidence from panel smooth transition models," Economic Systems, Elsevier, volume 44, issue 1, DOI: 10.1016/j.ecosys.2019.100739.
• Chun, Dohyun & Cho, Hoon & Ryu, Doojin, 2020, "Economic indicators and stock market volatility in an emerging economy," Economic Systems, Elsevier, volume 44, issue 2, DOI: 10.1016/j.ecosys.2020.100788.
• Nevrla, Matěj, 2020, "Systemic risk in European financial and energy sectors: Dynamic factor copula approach," Economic Systems, Elsevier, volume 44, issue 4, DOI: 10.1016/j.ecosys.2020.100820.
• Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, 2020, "Mildly explosive dynamics in U.S. fixed income markets," European Journal of Operational Research, Elsevier, volume 287, issue 2, pages 712-724, DOI: 10.1016/j.ejor.2020.03.053.
• Gribisch, Bastian & Hartkopf, Jan Patrick & Liesenfeld, Roman, 2020, "Factor state–space models for high-dimensional realized covariance matrices of asset returns," Journal of Empirical Finance, Elsevier, volume 55, issue C, pages 1-20, DOI: 10.1016/j.jempfin.2019.08.003.
• Pedersen, Thomas Quistgaard & Schütte, Erik Christian Montes, 2020, "Testing for explosive bubbles in the presence of autocorrelated innovations," Journal of Empirical Finance, Elsevier, volume 58, issue C, pages 207-225, DOI: 10.1016/j.jempfin.2020.06.002.
• Iseringhausen, Martin, 2020, "The time-varying asymmetry of exchange rate returns: A stochastic volatility – stochastic skewness model," Journal of Empirical Finance, Elsevier, volume 58, issue C, pages 275-292, DOI: 10.1016/j.jempfin.2020.06.008.
• Reschenhofer, Erhard & Mangat, Manveer Kaur & Stark, Thomas, 2020, "Volatility forecasts, proxies and loss functions," Journal of Empirical Finance, Elsevier, volume 59, issue C, pages 133-153, DOI: 10.1016/j.jempfin.2020.09.006.
• Janda, Karel & Kourilek, Jakub, 2020, "Residual shape risk on natural gas market with mixed jump diffusion price dynamics," Energy Economics, Elsevier, volume 85, issue C, DOI: 10.1016/j.eneco.2019.07.025.
• Maciejowska, Katarzyna, 2020, "Assessing the impact of renewable energy sources on the electricity price level and variability – A quantile regression approach," Energy Economics, Elsevier, volume 85, issue C, DOI: 10.1016/j.eneco.2019.104532.
• Barbaglia, Luca & Croux, Christophe & Wilms, Ines, 2020, "Volatility spillovers in commodity markets: A large t-vector autoregressive approach," Energy Economics, Elsevier, volume 85, issue C, DOI: 10.1016/j.eneco.2019.104555.
• Reboredo, Juan C. & Ugolini, Andrea & Aiube, Fernando Antonio Lucena, 2020, "Network connectedness of green bonds and asset classes," Energy Economics, Elsevier, volume 86, issue C, DOI: 10.1016/j.eneco.2019.104629.
• Tiwari, Aviral Kumar & Trabelsi, Nader & Alqahtani, Faisal & Raheem, Ibrahim D., 2020, "Systemic risk spillovers between crude oil and stock index returns of G7 economies: Conditional value-at-risk and marginal expected shortfall approaches," Energy Economics, Elsevier, volume 86, issue C, DOI: 10.1016/j.eneco.2019.104646.
• Nguyen, Duc Khuong & Sensoy, Ahmet & Sousa, Ricardo M. & Salah Uddin, Gazi, 2020, "U.S. equity and commodity futures markets: Hedging or financialization?," Energy Economics, Elsevier, volume 86, issue C, DOI: 10.1016/j.eneco.2019.104660.
• Bissoondoyal-Bheenick, Emawtee & Brooks, Robert & Do, Hung Xuan & Smyth, Russell, 2020, "Exploiting the heteroskedasticity in measurement error to improve volatility predictions in oil and biofuel feedstock markets," Energy Economics, Elsevier, volume 86, issue C, DOI: 10.1016/j.eneco.2020.104689.
• Kang, Boda & Nikitopoulos, Christina Sklibosios & Prokopczuk, Marcel, 2020, "Economic determinants of oil futures volatility: A term structure perspective," Energy Economics, Elsevier, volume 88, issue C, DOI: 10.1016/j.eneco.2020.104743.
• Ojea Ferreiro, Javier, 2020, "Disentangling the role of the exchange rate in oil-related scenarios for the European stock market," Energy Economics, Elsevier, volume 89, issue C, DOI: 10.1016/j.eneco.2020.104776.
• Han, Lin & Kordzakhia, Nino & Trück, Stefan, 2020, "Volatility spillovers in Australian electricity markets," Energy Economics, Elsevier, volume 90, issue C, DOI: 10.1016/j.eneco.2020.104782.
• Jiang, Zhuhua & Yoon, Seong-Min, 2020, "Dynamic co-movement between oil and stock markets in oil-importing and oil-exporting countries: Two types of wavelet analysis," Energy Economics, Elsevier, volume 90, issue C, DOI: 10.1016/j.eneco.2020.104835.
• Elsayed, Ahmed H. & Nasreen, Samia & Tiwari, Aviral Kumar, 2020, "Time-varying co-movements between energy market and global financial markets: Implication for portfolio diversification and hedging strategies," Energy Economics, Elsevier, volume 90, issue C, DOI: 10.1016/j.eneco.2020.104847.
• Hammoudeh, Shawkat & Ajmi, Ahdi Noomen & Mokni, Khaled, 2020, "Relationship between green bonds and financial and environmental variables: A novel time-varying causality," Energy Economics, Elsevier, volume 92, issue C, DOI: 10.1016/j.eneco.2020.104941.
• Hassan, Kamrul & Hoque, Ariful & Wali, Muammer & Gasbarro, Dominic, 2020, "Islamic stocks, conventional stocks, and crude oil: Directional volatility spillover analysis in BRICS," Energy Economics, Elsevier, volume 92, issue C, DOI: 10.1016/j.eneco.2020.104985.
• Yahya, Muhammad & Ghosh, Sajal & Kanjilal, Kakali & Dutta, Anupam & Uddin, Gazi Salah, 2020, "Evaluation of cross-quantile dependence and causality between non-ferrous metals and clean energy indexes," Energy, Elsevier, volume 202, issue C, DOI: 10.1016/j.energy.2020.117777.
• Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2020, "Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall," International Review of Financial Analysis, Elsevier, volume 70, issue C, DOI: 10.1016/j.irfa.2017.11.007.
• de Oliveira, Erick Meira & Cunha, Felipe Arias Fogliano de Souza & Palazzi, Rafael Baptista & Klotzle, Marcelo Cabus & Maçaira, Paula Medina, 2020, "On the effects of uncertainty measures on sustainability indices: An empirical investigation in a nonlinear framework," International Review of Financial Analysis, Elsevier, volume 70, issue C, DOI: 10.1016/j.irfa.2020.101505.
• Zhang, Weiping & Zhuang, Xintian & Lu, Yang & Wang, Jian, 2020, "Spatial linkage of volatility spillovers and its explanation across G20 stock markets: A network framework," International Review of Financial Analysis, Elsevier, volume 71, issue C, DOI: 10.1016/j.irfa.2020.101454.
• Qiao, Xingzhi & Zhu, Huiming & Hau, Liya, 2020, "Time-frequency co-movement of cryptocurrency return and volatility: Evidence from wavelet coherence analysis," International Review of Financial Analysis, Elsevier, volume 71, issue C, DOI: 10.1016/j.irfa.2020.101541.
• Liang, Chao & Tang, Linchun & Li, Yan & Wei, Yu, 2020, "Which sentiment index is more informative to forecast stock market volatility? Evidence from China," International Review of Financial Analysis, Elsevier, volume 71, issue C, DOI: 10.1016/j.irfa.2020.101552.
• 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," International Review of Financial Analysis, Elsevier, volume 71, issue C, DOI: 10.1016/j.irfa.2020.101557.
• Bellu, Mirko & Conversano, Claudio, 2020, "Protected Adaptive Asset Allocation," Finance Research Letters, Elsevier, volume 32, issue C, DOI: 10.1016/j.frl.2019.01.007.
• Sobreira, Nuno & Louro, Rui, 2020, "Evaluation of volatility models for forecasting Value-at-Risk and Expected Shortfall in the Portuguese stock market," Finance Research Letters, Elsevier, volume 32, issue C, DOI: 10.1016/j.frl.2019.01.010.
• Acereda, Beatriz & Leon, Angel & Mora, Juan, 2020, "Estimating the expected shortfall of cryptocurrencies: An evaluation based on backtesting," Finance Research Letters, Elsevier, volume 33, issue C, DOI: 10.1016/j.frl.2019.04.037.
• Shahzad, Syed Jawad Hussain & Aloui, Chaker & Jammazi, Rania, 2020, "On the interplay between US sectoral CDS, stock and VIX indices: Fresh insights from wavelet approaches," Finance Research Letters, Elsevier, volume 33, issue C, DOI: 10.1016/j.frl.2019.06.006.
• Arshad, Shaista & Rizvi, Syed Aun R. & Haroon, Omair, 2020, "Impact of Brexit vote on the London stock exchange: A sectorial analysis of its volatility and efficiency," Finance Research Letters, Elsevier, volume 34, issue C, DOI: 10.1016/j.frl.2019.07.013.
• Cheikh, Nidhaleddine Ben & Zaied, Younes Ben & Chevallier, Julien, 2020, "Asymmetric volatility in cryptocurrency markets: New evidence from smooth transition GARCH models," Finance Research Letters, Elsevier, volume 35, issue C, DOI: 10.1016/j.frl.2019.09.008.
• Aslanidis, Nektarios & Christiansen, Charlotte & Savva, Christos S., 2020, "Flight-to-safety and the risk-return trade-off: European evidence," Finance Research Letters, Elsevier, volume 35, issue C, DOI: 10.1016/j.frl.2019.09.009.
• Khan, Muhammad Asif & Hernandez, Jose Arreola & Shahzad, Syed Jawad Hussain, 2020, "Time and frequency relationship between household investors’ sentiment index and US industry stock returns," Finance Research Letters, Elsevier, volume 36, issue C, DOI: 10.1016/j.frl.2019.101318.
• Sant'Anna, Leonardo Riegel & de Oliveira, Alan Delgado & Filomena, Tiago Pascoal & Caldeira, João Frois, 2020, "Solving the index tracking problem based on a convex reformulation for cointegration," Finance Research Letters, Elsevier, volume 37, issue C, DOI: 10.1016/j.frl.2019.101356.
• Pincheira-Brown, Pablo & Neumann, Federico, 2020, "Can we beat the Random Walk? The case of survey-based exchange rate forecasts in Chile," Finance Research Letters, Elsevier, volume 37, issue C, DOI: 10.1016/j.frl.2019.101380.
• Just, Małgorzata & Echaust, Krzysztof, 2020, "Stock market returns, volatility, correlation and liquidity during the COVID-19 crisis: Evidence from the Markov switching approach," Finance Research Letters, Elsevier, volume 37, issue C, DOI: 10.1016/j.frl.2020.101775.
• Finta, Marinela Adriana & Aboura, Sofiane, 2020, "Risk premium spillovers among stock markets: Evidence from higher-order moments," Journal of Financial Markets, Elsevier, volume 49, issue C, DOI: 10.1016/j.finmar.2020.100533.
• Faria, Gonçalo & Verona, Fabio, 2020, "The yield curve and the stock market: Mind the long run," Journal of Financial Markets, Elsevier, volume 50, issue C, DOI: 10.1016/j.finmar.2019.100508.
• Kupiec, Paul H., 2020, "Policy uncertainty and bank stress testing," Journal of Financial Stability, Elsevier, volume 51, issue C, DOI: 10.1016/j.jfs.2020.100761.
• Maghyereh, Aktham & Awartani, Basel & Abdoh, Hussein, 2020, "The effects of investor emotions sentiments on crude oil returns: A time and frequency dynamics analysis," International Economics, Elsevier, volume 162, issue C, pages 110-124, DOI: 10.1016/j.inteco.2020.01.004.
• Selmi, Refk & Bouoiyour, Jamal & Miftah, Amal, 2020, "Oil price jumps and the uncertainty of oil supplies in a geopolitical perspective: The role of OPEC’s spare capacity," International Economics, Elsevier, volume 164, issue C, pages 18-35, DOI: 10.1016/j.inteco.2020.06.004.
• Rosati, Nicoletta & Bellia, Mario & Matos, Pedro Verga & Oliveira, Vasco, 2020, "Ratings matter: Announcements in times of crisis and the dynamics of stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 64, issue C, DOI: 10.1016/j.intfin.2019.101166.
• Inekwe, John Nkwoma, 2020, "Liquidity connectedness and output synchronisation," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 66, issue C, DOI: 10.1016/j.intfin.2020.101208.
• Kwon, Ji Ho, 2020, "Tail behavior of Bitcoin, the dollar, gold and the stock market index," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 67, issue C, DOI: 10.1016/j.intfin.2020.101202.
• Asai, Manabu & Gupta, Rangan & McAleer, Michael, 2020, "Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks," International Journal of Forecasting, Elsevier, volume 36, issue 3, pages 933-948, DOI: 10.1016/j.ijforecast.2019.10.003.
• Akyildirim, Erdinc & Corbet, Shaen & Nguyen, Duc Khuong & Sensoy, Ahmet, 2020, "Regulatory changes and long-run relationships of the EMU sovereign debt markets: Implications for future policy framework," International Review of Law and Economics, Elsevier, volume 63, issue C, DOI: 10.1016/j.irle.2020.105907.
• Basse, Tobias, 2020, "Solvency II and sovereign credit risk: Additional empirical evidence and some thoughts about implications for regulators and lawmakers," International Review of Law and Economics, Elsevier, volume 64, issue C, DOI: 10.1016/j.irle.2020.105933.
• Wang, Qi & Wang, Zerong, 2020, "VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump," Journal of Banking & Finance, Elsevier, volume 116, issue C, DOI: 10.1016/j.jbankfin.2020.105845.
• Hüttner, Amelie & Scherer, Matthias & Gräler, Benedikt, 2020, "Geostatistical modeling of dependent credit spreads: Estimation of large covariance matrices and imputation of missing data," Journal of Banking & Finance, Elsevier, volume 118, issue C, DOI: 10.1016/j.jbankfin.2020.105897.
• Lloyd, Simon P., 2020, "Estimating nominal interest rate expectations: Overnight indexed swaps and the term structure," Journal of Banking & Finance, Elsevier, volume 119, issue C, DOI: 10.1016/j.jbankfin.2020.105915.
• Wang, Hong & Forbes, Catherine S. & Fenech, Jean-Pierre & Vaz, John, 2020, "The determinants of bank loan recovery rates in good times and bad – New evidence," Journal of Economic Behavior & Organization, Elsevier, volume 177, issue C, pages 875-897, DOI: 10.1016/j.jebo.2020.06.001.
• Funashima, Yoshito & Iizuka, Nobuo & Ohtsuka, Yoshihiro, 2020, "GDP announcements and stock prices," Journal of Economics and Business, Elsevier, volume 108, issue C, DOI: 10.1016/j.jeconbus.2019.105872.
• Breach, Tomas & D’Amico, Stefania & Orphanides, Athanasios, 2020, "The term structure and inflation uncertainty," Journal of Financial Economics, Elsevier, volume 138, issue 2, pages 388-414, DOI: 10.1016/j.jfineco.2020.04.013.
• Lakshina, Valeriya, 2020, "Do portfolio investors need to consider the asymmetry of returns on the Russian stock market?," The Journal of Economic Asymmetries, Elsevier, volume 21, issue C, DOI: 10.1016/j.jeca.2019.e00152.
• Virbickaitė, Audronė & Frey, Christoph & Macedo, Demian N., 2020, "Bayesian sequential stock return prediction through copulas," The Journal of Economic Asymmetries, Elsevier, volume 22, issue C, DOI: 10.1016/j.jeca.2020.e00173.
• Cevik, Nuket Kirci & Cevik, Emrah I. & Dibooglu, Sel, 2020, "Oil prices, stock market returns and volatility spillovers: Evidence from Turkey," Journal of Policy Modeling, Elsevier, volume 42, issue 3, pages 597-614, DOI: 10.1016/j.jpolmod.2020.01.006.
• Uddin, Gazi Salah & Hernandez, Jose Arreola & Shahzad, Syed Jawad Hussain & Kang, Sang Hoon, 2020, "Characteristics of spillovers between the US stock market and precious metals and oil," Resources Policy, Elsevier, volume 66, issue C, DOI: 10.1016/j.resourpol.2020.101601.
• Talbi, Marwa & de Peretti, Christian & Belkacem, Lotfi, 2020, "Dynamics and causality in distribution between spot and future precious metals: A copula approach," Resources Policy, Elsevier, volume 66, issue C, DOI: 10.1016/j.resourpol.2020.101645.
• Luu Duc Huynh, Toan, 2020, "The effect of uncertainty on the precious metals market: New insights from Transfer Entropy and Neural Network VAR," Resources Policy, Elsevier, volume 66, issue C, DOI: 10.1016/j.resourpol.2020.101623.
• Evrim Mandacı, Pınar & Cagli, Efe Çaglar & Taşkın, Dilvin, 2020, "Dynamic connectedness and portfolio strategies: Energy and metal markets," Resources Policy, Elsevier, volume 68, issue C, DOI: 10.1016/j.resourpol.2020.101778.
• Mokni, Khaled & Hammoudeh, Shawkat & Ajmi, Ahdi Noomen & Youssef, Manel, 2020, "Does economic policy uncertainty drive the dynamic connectedness between oil price shocks and gold price?," Resources Policy, Elsevier, volume 69, issue C, DOI: 10.1016/j.resourpol.2020.101819.
• Nazif Çatık, Abdurrahman & Huyugüzel Kışla, Gül & Akdeni̇z, Coşkun, 2020, "Time-varying impact of oil prices on sectoral stock returns: Evidence from Turkey," Resources Policy, Elsevier, volume 69, issue C, DOI: 10.1016/j.resourpol.2020.101845.
• Awasthi, Kritika & Ahmad, Wasim & Rahman, Abdul & Phani, B.V., 2020, "When US sneezes, clichés spread: How do the commodity index funds react then?," Resources Policy, Elsevier, volume 69, issue C, DOI: 10.1016/j.resourpol.2020.101858.
• Youssef, Manel & Mokni, Khaled, 2020, "Modeling the relationship between oil and USD exchange rates: Evidence from a regime-switching-quantile regression approach," Journal of Multinational Financial Management, Elsevier, volume 55, issue C, DOI: 10.1016/j.mulfin.2020.100625.
• Gao, Guangyuan & Ho, Kin-Yip & Shi, Yanlin, 2020, "Long memory or regime switching in volatility? Evidence from high-frequency returns on the U.S. stock indices," Pacific-Basin Finance Journal, Elsevier, volume 61, issue C, DOI: 10.1016/j.pacfin.2018.08.013.
• Dai, Zhifeng & Zhu, Huan & Dong, Xiaodi, 2020, "Forecasting Chinese industry return volatilities with RMB/USD exchange rate," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 539, issue C, DOI: 10.1016/j.physa.2019.122994.
• Al Mamun, Md & Uddin, Gazi Salah & Suleman, Muhammad Tahir & Kang, Sang Hoon, 2020, "Geopolitical risk, uncertainty and Bitcoin investment," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 540, issue C, DOI: 10.1016/j.physa.2019.123107.
• Berger, Theo & Czudaj, Robert L., 2020, "Commodity futures and a wavelet-based risk assessment," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 554, issue C, DOI: 10.1016/j.physa.2020.124339.
• Nguyen, Trang & Chaiechi, Taha & Eagle, Lynne & Low, David, 2020, "Dynamic transmissions between main stock markets and SME stock markets: Evidence from tropical economies," The Quarterly Review of Economics and Finance, Elsevier, volume 75, issue C, pages 308-324, DOI: 10.1016/j.qref.2019.02.004.
• Bonga-Bonga, Lumengo & Mabe, Queen Magadi, 2020, "How financially integrated are trading blocs in Africa?," The Quarterly Review of Economics and Finance, Elsevier, volume 75, issue C, pages 84-94, DOI: 10.1016/j.qref.2019.05.013.
• Jung, Young Cheol & Das, Anupam & McFarlane, Adian, 2020, "The asymmetric relationship between the oil price and the US-Canada exchange rate," The Quarterly Review of Economics and Finance, Elsevier, volume 76, issue C, pages 198-206, DOI: 10.1016/j.qref.2019.06.003.
• Bouraoui, Taoufik, 2020, "The drivers of Bitcoin trading volume in selected emerging countries," The Quarterly Review of Economics and Finance, Elsevier, volume 76, issue C, pages 218-229, DOI: 10.1016/j.qref.2019.07.003.
• Yunus, Nafeesa, 2020, "Time-varying linkages among gold, stocks, bonds and real estate," The Quarterly Review of Economics and Finance, Elsevier, volume 77, issue C, pages 165-185, DOI: 10.1016/j.qref.2020.01.015.
• Caporale, Guglielmo Maria & Gil-Alana, Luis A. & Poza, Carlos, 2020, "Persistence, non-linearities and structural breaks in European stock market indices," The Quarterly Review of Economics and Finance, Elsevier, volume 77, issue C, pages 50-61, DOI: 10.1016/j.qref.2020.01.007.
• Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Wohar, Mark E., 2020, "Fed’s unconventional monetary policy and risk spillover in the US financial markets," The Quarterly Review of Economics and Finance, Elsevier, volume 78, issue C, pages 42-52, DOI: 10.1016/j.qref.2020.01.004.
• Yun, Jaeho, 2020, "Variance risk premium in a small open economy with volatile capital flows: The case of Korea," International Review of Economics & Finance, Elsevier, volume 65, issue C, pages 105-125, DOI: 10.1016/j.iref.2019.10.003.
• Kim, Young Min & Kang, Kyu Ho & Ka, Kook, 2020, "Do bond markets find inflation targets credible? Evidence from five inflation-targeting countries," International Review of Economics & Finance, Elsevier, volume 67, issue C, pages 66-84, DOI: 10.1016/j.iref.2019.12.007.
• Yoo, Eun Gyu & Yoon, Sun-Joong, 2020, "CBOE VIX and Jump-GARCH option pricing models," International Review of Economics & Finance, Elsevier, volume 69, issue C, pages 839-859, DOI: 10.1016/j.iref.2020.06.026.
• Boamah, Nicholas Addai & Akotey, Joseph Oscar & Aaawaar, Godfred, 2020, "Economic engagement and within emerging markets integration," Research in International Business and Finance, Elsevier, volume 52, issue C, DOI: 10.1016/j.ribaf.2019.101106.
• Stafylas, Dimitrios & Andrikopoulos, Athanasios, 2020, "Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods," Research in International Business and Finance, Elsevier, volume 52, issue C, DOI: 10.1016/j.ribaf.2019.101130.
• Shi, Yongjing & Tiwari, Aviral Kumar & Gozgor, Giray & Lu, Zhou, 2020, "Correlations among cryptocurrencies: Evidence from multivariate factor stochastic volatility model," Research in International Business and Finance, Elsevier, volume 53, issue C, DOI: 10.1016/j.ribaf.2020.101231.
• Garcia-Jorcano, Laura & Benito, Sonia, 2020, "Studying the properties of the Bitcoin as a diversifying and hedging asset through a copula analysis: Constant and time-varying," Research in International Business and Finance, Elsevier, volume 54, issue C, DOI: 10.1016/j.ribaf.2020.101300.
• Coskun, Esra Alp & Lau, Chi Keung Marco & Kahyaoglu, Hakan, 2020, "Uncertainty and herding behavior: evidence from cryptocurrencies," Research in International Business and Finance, Elsevier, volume 54, issue C, DOI: 10.1016/j.ribaf.2020.101284.
• Shuping Shi & Peter C B Phillips, 2020, "Diagnosing Housing Fever with an Econometric Thermometer," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2020-43, May.
• Laurent Pauwels & Peter Radchenko & Andrey L. Vasnev, 2020, "High Moment Constraints for Predictive Density Combination," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2020-45, May, revised Jun 2023.
• Abdulazeez Y.H. Saif-Alyousfi, 2020, "Do FDI inflows affect the off-balance sheet activities of banks in GCC economies?," China Finance Review International, Emerald Group Publishing Limited, volume 11, issue 2, pages 201-229, July, DOI: 10.1108/CFRI-03-2020-0027.
• Shuang Zhang & Song Xi Chen & Lei Lu, 2020, "Inference for variance risk premium," China Finance Review International, Emerald Group Publishing Limited, volume 11, issue 1, pages 26-52, July, DOI: 10.1108/CFRI-04-2020-0044.
• Sezer Bozkuş Kahyaoğlu & Hilmi Tunahan Akkuş, 2020, "Volatility Spillover Between Conventional Stock Index and Participation Index: The Turkish Case," Contemporary Studies in Economic and Financial Analysis, Emerald Group Publishing Limited, "Contemporary Issues in Business Economics and Finance", DOI: 10.1108/S1569-375920200000104002.
• Xiu Wei Yeap & Hooi Hooi Lean & Marius Galabe Sampid & Haslifah Mohamad Hasim, 2020, "The dependence structure and portfolio risk of Malaysia's foreign exchange rates: the Bayesian GARCH–EVT–copula model," International Journal of Emerging Markets, Emerald Group Publishing Limited, volume 16, issue 5, pages 952-974, October, DOI: 10.1108/IJOEM-02-2020-0169.
• Ahmed A. El-Masry & Osama M. Badr, 2020, "Stock market performance and foreign exchange market in Egypt: does 25th January revolution matter?," International Journal of Emerging Markets, Emerald Group Publishing Limited, volume 16, issue 6, pages 1048-1076, June, DOI: 10.1108/IJOEM-11-2017-0477.
• Md. Bokhtiar Hasan Aarif & Muhammad Rafiqul Islam Rafiq & Abu N.M. Wahid, 2020, "Do ‘Shariah’ indices surpass conventional indices? A study on Dhaka Stock Exchange," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, volume 14, issue 1, pages 94-113, August, DOI: 10.1108/IMEFM-01-2020-0027.
• Saif Siddiqui & Preeti Roy, 2020, "Asymmetric information linkages across select futures and spot indices," Journal of Advances in Management Research, Emerald Group Publishing Limited, volume 17, issue 3, pages 397-419, March, DOI: 10.1108/JAMR-10-2019-0197.
• Mohamad Hafiz Hazny & Haslifah Mohamad Hasim & Aida Yuzy Yusof, 2020, "Mathematical modelling of ashariah-compliant capital asset pricing model," Journal of Islamic Accounting and Business Research, Emerald Group Publishing Limited, volume 11, issue 1, pages 90-109, January, DOI: 10.1108/JIABR-07-2016-0083.
• Jan Jakub Szczygielski & Leon Brümmer & Hendrik Petrus Wolmarans, 2020, "An augmented macroeconomic linear factor model of South African industrial sector returns," Journal of Risk Finance, Emerald Group Publishing Limited, volume 21, issue 5, pages 517-541, November, DOI: 10.1108/JRF-09-2019-0186.
• Kekoura Sakouvogui & Saleem Shaik, 2020, "Impact of financial liquidity and solvency on cost efficiency: evidence from US banking system," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 37, issue 2, pages 391-410, April, DOI: 10.1108/SEF-04-2019-0155.
• K.P. Prabheesh & Bhavesh Garg, 2020, "Testing deviations from PPP and UIP: evidence from BRICS economies," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 38, issue 2, pages 384-399, April, DOI: 10.1108/SEF-10-2019-0411.
• van der Wel, M., 2020, "Connecting Silos : On linking macroeconomics and finance, and the role of econometrics therein," ERIM Inaugural Address Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam., number 124748, Jan.
• Mykola O. Durman & Alla H. Bashtannyk & Viktoria Kornienko & Azad E. Omarov & Svitlana H. Levchenko, 2020, "The Paradigm of Public Administration and its Development in Conditions of State Formation and Changes," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), volume 0, issue Special 1, pages 178-189.
• Alexandros Pasiouras & Theodoros Daglis, 2020, "The Dollar Exchange Rates in the Covid-19 Era: Evidence from 5 Currencies," European Research Studies Journal, European Research Studies Journal, volume 0, issue Special 2, pages 352-361.
• Joanna Wyrobek, 2020, "The Use of Decision Trees for Analysis of the Potential Determinants for the Incidence of Deaths and Cases of Coronavirus (Covid-19) in Different Countries," European Research Studies Journal, European Research Studies Journal, volume 0, issue Special 3, pages 556-566.
• Ricardo Jacob Mendoza-Rivera & José Antonio Lozano-Díez & Francisco Venegas-Martínez, 2020, "Impacto de la pandemia Covid-19 en variables financieras relevantes en las principales economías de Latinoamérica," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, volume 0, issue 2, pages 125-144, Diciembre, DOI: 10.24275/ETYPUAM/NE/E052020/Mendoza.

2019

• Rangan Gupta & Chi Keung Marco Lau & Seong-Min Yoon, 2019, "OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration," Advances in Decision Sciences, Asia University, Taiwan, volume 23, issue 4, pages 1-23, December.
• Monica Billio & Roberto Casarin & Michele Costola & Lorenzo Frattarolo, 2019, "Opinion Dynamics and Disagreements on Financial Networks," Advances in Decision Sciences, Asia University, Taiwan, volume 23, issue 4, pages 24-51, December.
• Federico Carlini & Paolo Santucci de Magistris, 2019, "Resuscitating the co-fractional model of Granger (1986)," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2019-02, Jan.
• Kristoffer Pons Bertelsen, 2019, "Comparing Tests for Identification of Bubbles," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2019-16, Oct.
• Bernardina Algieri & Matthias Kalkuhl, 2019, "Efficiency and Forecast Performance of Commodity Futures Markets," American Journal of Economics and Business Administration, Science Publications, volume 11, issue 1, pages 19-34, June, DOI: 10.3844/ajebasp.2019.19.34.
• Önder Büberkökü & Simge Tüzün Şahmaroğlu & Akın Akar, 2019, "Portfolio Risk Analysis: Evidence From International Stock Markets," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., volume 34, issue 112, pages 199-224, October, DOI: https://doi.org/10.33203/mfy.452336.
• Ayten Çetin & Nadira Seyidova, 2019, "Econometrical Analysis of the Impact of Banking Sector on the Environment in Turkey in Terms of Environmental Kuznets Curve Hypothesis," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., volume 34, issue 112, pages 57-76, October, DOI: https://doi.org/10.33203/mfy.601010.
• Mohamed Chikhi & Claude Diebolt, 2019, "Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors," Working Papers, Association Française de Cliométrie (AFC), number 03-19.
• Mohamed CHIKHI & Claude DIEBOLT & Tapas MISHRA, 2019, "Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model," Working Papers, Association Française de Cliométrie (AFC), number 07-19.
• Hafner, Christian & Linton, Oliver & Tang, Haihan, 2020, "Estimation of a multiplicative correlation structure in the large dimensional case," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2020028, Jan, DOI: https://doi.org/10.1016/j.jeconom.2.
• Andres Fioriti & Fernando Andres Delbianco, 2019, "Dependence of Latin America external sector on commodity prices. A contemporaneity analysis using a descriptive approach," Económica, Instituto de Investigaciones Económicas, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, volume 65, pages 173-200, January-D.
• Farwa Abbas & Ahsan Ul Haq Satti, 2019, "Empirical Analysis of Effects of Expected Inflation on Stock Returns," Pakistan Journal of Economic Studies, Department of Economics, The Islamia University of Bahawalpur, Pakistan., volume 2, issue 1, pages 71-98, June.
• Andrea Bucci & Giulio Palomba & Eduardo Rossi, 2019, "Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 440, Oct.
• Victor Olkhov, 2019, "Econophysics of Asset Price, Return and Multiple Expectations," Papers, arXiv.org, number 1901.05024, Jan, revised Sep 2020.
• Kyungsub Lee & Byoung Ki Seo, 2019, "Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data," Papers, arXiv.org, number 1908.05089, Aug.
• Christian Francq & Jean-Michel Zakoian, 2019, "Virtual Historical Simulation for estimating the conditional VaR of large portfolios," Papers, arXiv.org, number 1909.04661, Sep.
• Matteo Barigozzi & Matteo Luciani, 2019, "Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm," Papers, arXiv.org, number 1910.03821, Oct, revised Sep 2024.
• Jaros{l}aw Duda & Robert Syrek & Henryk Gurgul, 2019, "Modelling bid-ask spread conditional distributions using hierarchical correlation reconstruction," Papers, arXiv.org, number 1911.02361, Nov.
• Ruben Loaiza-Maya & Gael M. Martin & David T. Frazier, 2019, "Focused Bayesian Prediction," Papers, arXiv.org, number 1912.12571, Dec, revised Aug 2020.
• Ioan-Bogdan ROBU & Costel ISTRATE & Ionut Viorel HERGHILIGIU, 2019, "The Use of Audit Opinion in Estimating the Financial Reporting Transparency Level," The Audit Financiar journal, Chamber of Financial Auditors of Romania, volume 17, issue 153, pages 1-79.
• Ioan-Bogdan ROBU & Ionut Viorel HERGHILIGIU & Bogdan BUDEANU & Sorin CHIRU, 2019, "Assessing Comparability of Accounting Information Using Panel Data Analysis," The Audit Financiar journal, Chamber of Financial Auditors of Romania, volume 17, issue 155, pages 441-441.
• Stefan-Cosmin DANILA & Ioan-Bogdan ROBU, 2019, "The Influence of Cryptocurrency Bitcoin over the Romanian Capital Market," The Audit Financiar journal, Chamber of Financial Auditors of Romania, volume 17, issue 155, pages 507-507.
• Josip Arneric & Mladen Mateljan, 2019, "The Analysis Of Interdependencies Between Capital Market And Cryptocurrency Market," Economic Thought and Practice, Department of Economics and Business, University of Dubrovnik, volume 28, issue 2, pages 449-465, december.
• Seungmook Choi & Hongtao Yang, 2019, "Model-Free Implied Volatility under Jump-Diffusion Models," Review of Economics & Finance, Better Advances Press, Canada, volume 16, pages 1-14, May.
• Olena Tymchenko & Yuliia Sybirianska & Alla Abramova, 2019, "The Approach to Tax Debtors Segmentation," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 5, pages 103-119.
• Hartl, Tobias & Weigand, Roland, 2019, "Multivariate Fractional Components Analysis," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics, number 38283.
• Kerem Tuzcuoglu, 2019, "Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects," Staff Working Papers, Bank of Canada, number 19-16, May, DOI: 10.34989/swp-2019-16.
• Jon Danielsson & Lerby Ergun & Laurens de Haan & Casper G. de Vries, 2019, "Tail Index Estimation: Quantile-Driven Threshold Selection," Staff Working Papers, Bank of Canada, number 19-28, Aug, DOI: 10.34989/swp-2019-28.
• Tina Kalayil & Somya Tyagi & Mahfuza Khatun & Sikandar Siddiqui, 2019, "A Risk-Sensitive Momentum Approach To Stock Selection," Economic Annals, Faculty of Economics and Business, University of Belgrade, volume 64, issue 220, pages 61-84, January –.
• Tom Fong & Gabriel Wu, 2019, "Predictability in sovereign bond returns using technical trading rule: do developed and emerging markets differ?," IFC Bulletins chapters, Bank for International Settlements, in: Bank for International Settlements, "The use of big data analytics and artificial intelligence in central banking".
• Stefan Avdjiev & Paolo Giudici & Alessandro Spelta, 2019, "Measuring contagion risk in international banking," BIS Working Papers, Bank for International Settlements, number 796, Jul.
• Pavković Ana & Anđelinović Mihovil & Pavković Ivan, 2019, "Achieving Portfolio Diversification through Cryptocurrencies in European Markets," Business Systems Research, Sciendo, volume 10, issue 2, pages 85-107, September, DOI: 10.2478/bsrj-2019-020.
• Senarathne Chamil W., 2019, "The Impact of Internet Information Flow Regarding ‘Innovation’ on Common Stock Returns: Volume vs Google Search Quarries," Management of Sustainable Development, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, volume 11, issue 1, pages 43-49, June.
• Oscar Eduardo Machicado Mendoza, 2019, "El efecto transmisión de los valores públicos con fines de regulación monetaria en las operaciones de ruedo de la Bolsa Boliviana de Valores," Serie de Documentos de Trabajo, Banco Central de Bolivia, number 2019/01, Jul.
• Agnieszka Borowska & Lennart Hoogerheide & Siem Jan Koopman & Herman K. van Dijk, 2019, "Partially Censored Posterior for robust and efficient risk evaluation," Working Paper, Norges Bank, number 2019/12, Aug.
• Joseph Noss & Rupal Patel, 2019, "Decomposing changes in the functioning of the sterling repo market," Bank of England Staff Working Paper series, Bank of England, number 797, May.
• François-Eric Racicot & William F. Rentz & Alfred Kahl & Olivier Mesly, 2019, "Examining the dynamics of illiquidity risks within the phases of the business cycle," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 19, issue 2, pages 117-131, June.
• Tófoli Paula V. & Ziegelmann Flávio A. & Candido Osvaldo & Valls Pereira Pedro L., 2019, "Dynamic D-Vine Copula Model with Applications to Value-at-Risk (VaR)," Journal of Time Series Econometrics, De Gruyter, volume 11, issue 2, pages 1-34, July, DOI: 10.1515/jtse-2017-0016.
• Kahra Hannu & Martin Vance L. & Sarkar Saikat, 2019, "A nonlinear model of asset returns with multiple shocks," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 23, issue 1, pages 1-44, February, DOI: 10.1515/snde-2017-0064.
• Li, Z. M. & Laeven, R. J. A. & Vellekoop, M. H., 2019, "Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1952, Jun.
• Wilson Donzwa & Rangan Gupta & Mark E. Wohar, 2019, "Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies," Journal of Central Banking Theory and Practice, Central bank of Montenegro, volume 8, issue 3, pages 39-50.
• Bauwens, Luc & Xu, Yongdeng, 2019, "DCC and DECO-HEAVY: a multivariate GARCH model based on realized variances and correlations," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2019/5, Feb, revised Aug 2021.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Carlos Poza, 2019, "Persistence, non-linearities and structural breaks in European stock market indices," CESifo Working Paper Series, CESifo, number 7667.
• Jozef Baruník & Evžen Kocenda & Evžen Kočenda, 2019, "Total, Asymmetric and Frequency Connectedness Between Oil and Forex Markets," CESifo Working Paper Series, CESifo, number 7756.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Carlos Poza, 2019, "Cycles and Long-Range Behaviour in the European Stock Market," CESifo Working Paper Series, CESifo, number 7943.
• Guglielmo Maria Caporale & Menelaos Karanasos & Stavroula Yfanti, 2019, "Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility," CESifo Working Paper Series, CESifo, number 8000.
• Scott M. R. Mahadeo & Reinhold Heinlein & Gabriella Deborah Legrenzi, 2019, "Contagion Testing in Embryonic Markets under Alternative Stressful US Market Scenarios," CESifo Working Paper Series, CESifo, number 8029.
• Piotr Orłowski & Andras Sali & Fabio Trojani, 2019, "Arbitrage Free Dispersion," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-20, Jan, revised Apr 2019.
• Piotr Orłowski & Paul Schneider & Fabio Trojani, 2019, "On the Nature of Jump Risk Premia," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-31, Jun, revised Jun 2019.
• Denisa Banulescu & Christophe Hurlin & Jeremy Leymarie & O. Scaillet, 2019, "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-48, Sep.
• Andrea Berardi & Alberto Plazzi, 2019, "Dissecting the Yield Curve: The International Evidence," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-73, Jun.
• Hans Buehler & Lukas Gonon & Josef Teichmann & Ben Wood & Baranidharan Mohan & Jonathan Kochems, 2019, "Deep Hedging: Hedging Derivatives Under Generic Market Frictions Using Reinforcement Learning," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-80, May.
• Anne-Laure Delatte & Pranav Garg & Jean Imbs, 2019, "The transmission channels of unconventional monetary policy: Evidence from a change in collateral requirements in France," Working Papers, CEPII research center, number 2019-07, May.
• 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," International Economics, CEPII research center, issue 160, pages 56-71.