Research classified by Journal of Economic Literature (JEL) codes

2019

• Olivier Ledoit & Michael Wolf & Zhao Zhao, 2019, "Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies," Journal of Financial Econometrics, Oxford University Press, volume 17, issue 4, pages 645-686.
• Eugene F Fama, 2019, "Interest Rates and Inflation Revisited," The Review of Asset Pricing Studies, Society for Financial Studies, volume 9, issue 2, pages 197-209.
• Iulia Iuga, 2019, "The Influence of Inflation rate on Robor in the Romanian Banking System - Case Study," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 607-613, August.
• Anca Buziernescu, 2019, "Econometric Modeling of the Correlation Between the Type of Income Taxation of Natural Persons and the Standard of Living in the E.U," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 2, pages 23-29, December.
• Vipul Kumar Singh, 2019, "Day-of-the-week effect of major currency pairs: new evidences from investors’ fear gauge," Journal of Asset Management, Palgrave Macmillan, volume 20, issue 7, pages 493-507, December, DOI: 10.1057/s41260-019-00140-6.
• Carlos A. Abanto-Valle & Hernán B. Garrafa-Aragón, 2019, "Threshold Stochastic Volatility Models with Heavy Tails:A Bayesian Approach," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, volume 42, issue 83, pages 32-53.
• Mauricio Zevallos, 2019, "A Note on Forecasting Daily Peruvian Stock Market VolatilityRisk Using Intraday Returns," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, volume 42, issue 84, pages 94-101.
• Joanna Olbrys, 2019, "Intra-market commonality in liquidity: new evidence from the Polish stock exchange," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, volume 14, issue 2, pages 251-275, June, DOI: 10.24136/eq.2019.012.
• Kabir, Mustafa & Masih, Mansur, 2019, "Portfolio diversification between exchange rates and islamic stocks: evidence from the USA, Euro area, Japan and Malaysia," MPRA Paper, University Library of Munich, Germany, number 100574, Jul.
• Khan, Aftab & Masih, Mansur, 2019, "Do Islamic stocks and commodity markets comove at different investment horizons ? evidence from wavelet time-frequency approach," MPRA Paper, University Library of Munich, Germany, number 100992, Nov.
• Olkhov, Victor, 2019, "Econophysics of Asset Price, Return and Multiple Expectations," MPRA Paper, University Library of Munich, Germany, number 91587, Jan.
• Halkos, George & Tsirivis, Apostolos, 2019, "Using Value-at-Risk for effective energy portfolio risk management," MPRA Paper, University Library of Munich, Germany, number 91674, Jan.
• Bulut, Levent & Rizvanoghlu, Islam, 2019, "Is Gold a Safe Haven? International Evidence revisited," MPRA Paper, University Library of Munich, Germany, number 91957, Jan.
• Aknouche, Abdelhakim & Dimitrakopoulos, Stefanos & Touche, Nassim, 2019, "Integer-valued stochastic volatility," MPRA Paper, University Library of Munich, Germany, number 91962, Feb, revised 04 Feb 2019.
• Voisin, Elisa & Hecq, Alain, 2019, "Forecasting bubbles with mixed causal-noncausal autoregressive models," MPRA Paper, University Library of Munich, Germany, number 92734, Mar.
• Rice, Gregory & Wirjanto, Tony & Zhao, Yuqian, 2019, "Tests for conditional heteroscedasticity with functional data and goodness-of-fit tests for FGARCH models," MPRA Paper, University Library of Munich, Germany, number 93048, Mar.
• Fajardo, José, 2019, "Bitcoin's return behaviour: What do We know so far?," MPRA Paper, University Library of Munich, Germany, number 93353, Apr, revised 16 Apr 2019.
• Yang, Bill Huajian, 2019, "Monotonic Estimation for the Survival Probability over a Risk-Rated Portfolio by Discrete-Time Hazard Rate Models," MPRA Paper, University Library of Munich, Germany, number 93398, Mar.
• Yang, Bill Huajian, 2019, "Monotonic Estimation for Probability Distribution and Multivariate Risk Scales by Constrained Minimum Generalized Cross-Entropy," MPRA Paper, University Library of Munich, Germany, number 93400, Mar.
• Naimoli, Antonio & Storti, Giuseppe, 2019, "Heterogeneous component multiplicative error models for forecasting trading volumes," MPRA Paper, University Library of Munich, Germany, number 93802, May.
• Bonga, Wellington Garikai, 2019, "Stock Market Volatility Analysis using GARCH Family Models: Evidence from Zimbabwe Stock Exchange," MPRA Paper, University Library of Munich, Germany, number 94201, May.
• Xiao, Tim, 2019, "Incremental Risk Charge Methodology," MPRA Paper, University Library of Munich, Germany, number 94581, May, revised 08 May 2019.
• Maruf, Aminudin & Masih, Mansur, 2019, "Is the relationship between infrastructure and economic growth symmetric or asymmetric? evidence from Indonesia based on linear and non-linear ARDL," MPRA Paper, University Library of Munich, Germany, number 94663, Jun.
• Elyas, Redha & Masih, Mansur, 2019, "Does environmental awareness determine GDP growth ? evidence from Singapore based on ARDL and NARDL approaches," MPRA Paper, University Library of Munich, Germany, number 94683, Jun.
• Azwan, Nurul Iman & Masih, Mansur, 2019, "Is the relationship between housing price and banking debt symmetric or non-symmetric? evidence from Malaysia based on NARDL," MPRA Paper, University Library of Munich, Germany, number 94685, Jun.
• Ismail, Yusra & Masih, Mansur, 2019, "Is the relationship between inflation and financial development symmetric or asymmetric? new evidence from Sudan based on NARDL," MPRA Paper, University Library of Munich, Germany, number 94694, Jun.
• Das, Mahamitra & Kundu, Srikanta & Sarkar, Nityananda, 2019, "Mean and Volatility Spillovers between REIT and Stocks Returns A STVAR-BTGARCH-M Model," MPRA Paper, University Library of Munich, Germany, number 94707, Jul.
• Bonga, Wellington Garikai, 2019, "Measuring Macroeconomic Uncertainty in Zimbabwe," MPRA Paper, University Library of Munich, Germany, number 94759, Jun.
• Brummelhuis, Raymond & Luo, Zhongmin, 2019, "Bank Net Interest Margin Forecasting and Capital Adequacy Stress Testing by Machine Learning Techniques," MPRA Paper, University Library of Munich, Germany, number 94779, Mar.
• Xiao, Tim, 2019, "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," MPRA Paper, University Library of Munich, Germany, number 94861, Jul.
• Das, Mahamitra & Sarkar, Nityananda, 2019, "Revisiting the Anomalous Relationship between Inflation and REIT Returns in Presence of Structural Breaks: Empirical Evidence from the USA and the UK," MPRA Paper, University Library of Munich, Germany, number 95130, Jul, revised 05 Nov 2019.
• Francq, Christian & Zakoian, Jean-Michel, 2019, "Virtual Historical Simulation for estimating the conditional VaR of large portfolios," MPRA Paper, University Library of Munich, Germany, number 95965, Sep.
• Fantazzini, Dean & Zimin, Stephan, 2019, "A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies," MPRA Paper, University Library of Munich, Germany, number 95988.
• Beaumont, Paul & Smallwood, Aaron, 2019, "Conditional Sum of Squares Estimation of Multiple Frequency Long Memory Models," MPRA Paper, University Library of Munich, Germany, number 96314, Sep.
• Maake, Tebogo & Bonga-Bonga, Lumengo, 2019, "The relationship between carry trade and asset markets in South Africa," MPRA Paper, University Library of Munich, Germany, number 96667, Oct.
• Pincheira, Pablo & Hardy, Nicolás, 2019, "Forecasting Aluminum Prices with Commodity Currencies," MPRA Paper, University Library of Munich, Germany, number 97005, Nov.
• Aknouche, Abdelhakim & Francq, Christian, 2019, "Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models," MPRA Paper, University Library of Munich, Germany, number 97382, Dec.
• Ibrahim, Omar, 2019, "Modelling Risk on the Egyptian Stock Market: Evidence from a Markov-Regime Switching GARCH Process," MPRA Paper, University Library of Munich, Germany, number 98091, Dec.
• Mahmood, Nihal & Masih, Mansur, 2019, "Does institutional stability granger-cause foreign direct investment? evidence from Canada," MPRA Paper, University Library of Munich, Germany, number 98738, Oct.
• Manabu Asai & Rangan Gupta & Michael McAleer, 2019, "The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures," Working Papers, University of Pretoria, Department of Economics, number 201925, Mar.
• Manabu Asai & Rangan Gupta & Michael McAleer, 2019, "Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks," Working Papers, University of Pretoria, Department of Economics, number 201951, Jul.
• Aviral Kumar Tiwari & Rangan Gupta & Juncal Cunado & Xin Sheng, 2019, "Testing the White Noise Hypothesis in High-Frequency Housing Returns of the United States," Working Papers, University of Pretoria, Department of Economics, number 201952, Jul.
• Mawuli Segnon & Rangan Gupta & Keagile Lesame & Mark E. Wohar, 2019, "High-Frequency Volatility Forecasting of US Housing Markets," Working Papers, University of Pretoria, Department of Economics, number 201977, Oct.
• Jan Hrevuš & Luboš Marek, 2019, "Exposure Modelling in Property Reinsurance," Prague Economic Papers, Prague University of Economics and Business, volume 2019, issue 2, pages 129-154, DOI: 10.18267/j.pep.683.
• Milan Fičura, 2019, "Profitability of Trading in the Direction of Asset Price Jumps - Analysis of Multiple Assets and Frequencies," Prague Economic Papers, Prague University of Economics and Business, volume 2019, issue 4, pages 385-401, DOI: 10.18267/j.pep.703.
• Maciej Kostrzewski, 2019, "The Bayesian Methods of Jump Detection: The Example of Gas and EUA Contract Prices," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 11, issue 2, pages 107-131, June.
• Manveer Kaur Mangat & Erhard Reschenhofer, 2019, "Testing for Long-Range Dependence in Financial Time Series," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 11, issue 2, pages 93-106, June.
• Efrosiniya Karatetskaya & Valeriya Lakshina, 2019, "Volatility spillovers with spatial effects in the oil and gas market (in Russian)," Quantile, Quantile, issue 14, pages 83-95, June.
• A Clements & D Preve, 2019, "A Practical Guide to Harnessing the HAR Volatility Model," NCER Working Paper Series, National Centre for Econometric Research, number 120, Apr.
• Nivín, Rafael & Pérez, Fernando, 2019, "Estimación de un Índice de Condiciones Financieras para el Perú," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 37, pages 49-64.
• Nivín, Rafael & Pérez, Fernando, 2019, "Estimación de un Índice de Condiciones Financieras para el Perú," Working Papers, Banco Central de Reserva del Perú, number 2019-006, May.
• Humala, Alberto, 2019, "Corporate earnings sensitivity to FX volatility and currency exposure: evidence from Peru," Working Papers, Banco Central de Reserva del Perú, number 2019-021, Dec.
• Giovanni Angelini & Luca De Angelis & Carl Singleton, 2019, "Informational efficiency and behaviour within in-play prediction markets," Economics Discussion Papers, Department of Economics, University of Reading, number em-dp2019-20, Dec, revised 01 Apr 2021.
• Sima Siami-Namini, 2019, "Volatility Transmission Among Oil Price, Exchange Rate and Agricultural Commodities Prices," Applied Economics and Finance, Redfame publishing, volume 6, issue 4, pages 41-61, July.
• Josip Arneriæ & Mario Matkoviæ, 2019, "Challenges of integrated variance estimation in emerging stock markets," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, volume 37, issue 2, pages 713-739.
• Chamil W Senarathne, 2019, "The Information Flow Interpretation of Margin Debt Value Data: Evidence from New York Stock Exchange," Asian Journal of Applied Economics/ Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, volume 26, issue 1, pages 45-70.
• Dmitriy Borzykh & Artem Yazykov, 2019, "The new KS method for a structural break detection in GARCH(1,1) models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 54, pages 90-104.
• Huseyin Tastan & Arifenur Gungor, 2019, "Macroeconomic Fundamentals of Turkey Stock Market Volatility," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 10, issue 4, pages 823-832.
• Brahim Gaies & Mahmoud-Sami Nabi2, 2019, "Financial Openness and Growth in Developing Countries: Why Does the Type of External Financing Matter?," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 34, issue 3, pages 426-464.
• Md Abu Hasan, 2019, "Co-Movement and Volatility Transmission between Islamic and Conventional Equity Index in Bangladesh," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), volume 26, pages 43-71.
• Júlio Lobão, 2019, "Seasonal anomalies in the market for American depository receipts," Journal of Economics, Finance and Administrative Science, Universidad ESAN, volume 24, issue 48, pages 241-265.
• Adeela Khalil & Umar Farooq, 2019, "Determinants of Net Interest Margins in Emerging Markets:A Generalized Method of Moments Approach," Journal of Quantitative Methods, University of Management and Technology, Lahore, Pakistan, volume 3, issue 1, pages 39-56.
• Mahdi Sadeghi Shahdani & Hossein Mohseni, 2019, "Exchange Rate Volatility Spillovers to Iran Capital Market," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, volume 6, issue 1, pages 77-96.
• Seyed Reza Miraskari & Fariborz Ranji & Sayedmorteza Mousavini, 2019, "Analyzing the Effect of Macroeconomic Variables on the Insolvency Risk of Iranian Bank," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, volume 6, issue 2, pages 29-46.
• Hasan Murat ERTUGRUL & Alper OZUN & Dervis KIRIKKALELI, 2019, "How is Financial Stability Impacted by Political and Economic Stabilities in Emerging Markets? A Dynamic Panel Analysis," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 148-159, December.
• Adriana Daniela CIUREL & Tiberiu STOICA, 2019, "Determining Impacts on Non-Performing Loan Ratio in Romania," REVISTA DE MANAGEMENT COMPARAT INTERNATIONAL/REVIEW OF INTERNATIONAL COMPARATIVE MANAGEMENT, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, volume 20, issue 2, pages 155-170, March.
• Sylvester Ohiomu & Sunday Ade Oluyemi, 2019, "Resolving Revenue Allocation Challenges in Nigeria: Implications for Sustainable National Development," The American Economist, Sage Publications, volume 64, issue 1, pages 142-153, March, DOI: 10.1177/0569434518775324.
• Harshita & Shveta Singh & Surendra S. Yadav, 2019, "Unique Calendar Effects in the Indian Stock Market: Evidence and Explanations," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 18, issue 1_suppl, pages 35-58, April, DOI: 10.1177/0972652719831549.
• Dilip Kumar, 2019, "Structural Breaks in Volatility Transmission from Developed Markets to Major Asian Emerging Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 18, issue 2, pages 172-209, August, DOI: 10.1177/0972652719846308.
• Gagan Sharma & Parthajit Kayal & Piyush Pandey, 2019, "Information Linkages Among BRICS Countries: Empirical Evidence from Implied Volatility Indices," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 18, issue 3, pages 263-289, December, DOI: 10.1177/0972652719846315.
• Jozef Baruník & Evžen KoÄ enda, 2019, "Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets," The Energy Journal, , volume 40, issue 2_suppl, pages 157-174, December, DOI: 10.5547/01956574.40.SI2.jbar.
• Ma?gorzata Just & Aleksandra ?uczak, 2019, "Assessment of conditional dependence structure in commodity futures markets using copula-GARCH models and fuzzy clustering methods," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 9912191, Oct.
• Ma?gorzata Just & Agnieszka Kozera & Aleksandra ?uczak, 2019, "Conditional Dependence Structure in the Precious Metals Futures Market," International Journal of Economic Sciences, International Institute of Social and Economic Sciences, volume 8, issue 1, pages 81-93, June.
• Fonseca-Ramírez, Alejandro & Santillán-Salgado, Roberto J. & López-Herrera, Francisco, 2019, "Incidencia de las fluctuaciones del índice VIX en la volatilidad de los mercados bursátiles latinoamericanos / VIX Index Spillover on Latin American Stock Markets Volatility," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 9, issue 1, pages 97-123, enero-jun.
• Alex Karagrigoriou & George-Jason Siouris & Despoina Skilogianni, 2019, "Adjusted Evaluation Measures for Asymmetrically Important Data," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, volume 4, issue 1, pages 41-66, June, DOI: 10.33119/ERFIN.2019.4.1.3.
• Chelsey Hill & B. D. McCullough, 2019, "On The Accuracy of GARCH Estimation in R Packages," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, volume 4, issue 2, pages 133-156, December.
• Yang Mestre-Zhou, 2019, "Reforms’ Effects on Chinese stock markets world integration - An Empirical analysis with t-DCCGARCH model," Cahiers de recherche, Departement d'économique de l'École de gestion à l'Université de Sherbrooke, number 19-06, Aug.
• Benjamin Anderegg & Didier Sornette & Florian Ulmann, 2019, "Quantification of feedback effects in FX options markets," Working Papers, Swiss National Bank, number 2019-03.
• Berhan ÇOBAN & Esin FİRUZAN, 2019, "Convergence and Cointegration Analysis under Structural Breaks: Application of Turkey Tourism Markets," Sosyoekonomi Journal, Sosyoekonomi Society, issue 27(39).
• Mehtap TUNÇ & Abdullah AÇI, 2019, "The Impact of Steel Price on Ship Demolition Prices: Evidence from Heterogeneous Panel of Developing Countries," Sosyoekonomi Journal, Sosyoekonomi Society, issue 27(42).
• Margherita Giuzio & Sandra Paterlini, 2019, "Un-diversifying during crises: Is it a good idea?," Computational Management Science, Springer, volume 16, issue 3, pages 401-432, July, DOI: 10.1007/s10287-018-0340-y.
• Gianna Figá-Talamanca & Marco Patacca, 2019, "Does market attention affect Bitcoin returns and volatility?," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 42, issue 1, pages 135-155, June, DOI: 10.1007/s10203-019-00258-7.
• Jean Jacod, 2019, "Estimation of volatility in a high-frequency setting: a short review," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 42, issue 2, pages 351-385, December, DOI: 10.1007/s10203-019-00253-y.
• Giulia Livieri & Maria Elvira Mancino & Stefano Marmi, 2019, "Asymptotic results for the Fourier estimator of the integrated quarticity," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 42, issue 2, pages 471-502, December, DOI: 10.1007/s10203-019-00259-6.
• Jonathan Haynes & Daniel Schmitt & Lukas Grimm, 2019, "Estimating stochastic volatility: the rough side to equity returns," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 42, issue 2, pages 449-469, December, DOI: 10.1007/s10203-019-00261-y.
• Stefano Bistarelli & Alessandra Cretarola & Gianna Figà-Talamanca & Marco Patacca, 2019, "Model-based arbitrage in multi-exchange models for Bitcoin price dynamics," Digital Finance, Springer, volume 1, issue 1, pages 23-46, November, DOI: 10.1007/s42521-019-00001-2.
• Paolo Pagnottoni & Thomas Dimpfl, 2019, "Price discovery on Bitcoin markets," Digital Finance, Springer, volume 1, issue 1, pages 139-161, November, DOI: 10.1007/s42521-019-00006-x.
• Matthew F. Dixon & Cuneyt Gurcan Akcora & Yulia R. Gel & Murat Kantarcioglu, 2019, "Blockchain analytics for intraday financial risk modeling," Digital Finance, Springer, volume 1, issue 1, pages 67-89, November, DOI: 10.1007/s42521-019-00009-8.
• Joscha Beckmann & Theo Berger & Robert Czudaj & Thi-Hong-Van Hoang, 2019, "Tail dependence between gold and sectorial stocks in China: perspectives for portfolio diversification," Empirical Economics, Springer, volume 56, issue 3, pages 1117-1144, March, DOI: 10.1007/s00181-017-1381-8.
• Peter N. Posch & Daniel Ullmann & Dominik Wied, 2019, "Detecting structural changes in large portfolios," Empirical Economics, Springer, volume 56, issue 4, pages 1341-1357, April, DOI: 10.1007/s00181-017-1392-5.
• Sercan Demiralay & Selcuk Bayraci & H. Gaye Gencer, 2019, "Time-varying diversification benefits of commodity futures," Empirical Economics, Springer, volume 56, issue 6, pages 1823-1853, June, DOI: 10.1007/s00181-018-1450-7.
• Bo Tang, 2019, "Does the currency exposure affect stock returns of Chinese automobile firms?," Empirical Economics, Springer, volume 57, issue 1, pages 53-77, July, DOI: 10.1007/s00181-018-1437-4.
• Marinela Adriana Finta & Bart Frijns & Alireza Tourani-Rad, 2019, "Time-varying contemporaneous spillovers during the European Debt Crisis," Empirical Economics, Springer, volume 57, issue 2, pages 423-448, August, DOI: 10.1007/s00181-018-1480-1.
• Ole Martin & Mathias Vetter, 2019, "Laws of large numbers for Hayashi–Yoshida-type functionals," Finance and Stochastics, Springer, volume 23, issue 3, pages 451-500, July, DOI: 10.1007/s00780-019-00390-7.
• Miroslav Mateev & Elena Marinova, 2019, "Relation between Credit Default Swap Spreads and Stock Prices: A Non-linear Perspective," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 43, issue 1, pages 1-26, January, DOI: 10.1007/s12197-017-9423-9.
• Charbel Bassil & Hassan Hamadi & Patrick Mardini, 2019, "Gold and oil prices: stable or unstable long-run relationship," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 43, issue 1, pages 57-72, January, DOI: 10.1007/s12197-018-9429-y.
• Miroslav Mateev, 2019, "Volatility relation between credit default swap and stock market: new empirical tests," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 43, issue 4, pages 681-712, October, DOI: 10.1007/s12197-018-9467-5.
• Muneer Shaik & S. Maheswaran, 2019, "Robust Volatility Estimation with and Without the Drift Parameter," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), volume 17, issue 1, pages 57-91, March, DOI: 10.1007/s40953-018-0129-4.
• Chinnadurai Kathiravan & Murugesan Selvam & Desti Kannaiah & Kasilingam Lingaraja & Vadivel Thanikachalam, 2019, "On the relationship between weather and Agricultural Commodity Index in India: a study with reference to Dhaanya of NCDEX," Quality & Quantity: International Journal of Methodology, Springer, volume 53, issue 2, pages 667-683, March, DOI: 10.1007/s11135-018-0782-x.
• Astrid Ayala & Szabolcs Blazsek, 2019, "Score-driven currency exchange rate seasonality as applied to the Guatemalan Quetzal/US Dollar," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, volume 10, issue 1, pages 65-92, March, DOI: 10.1007/s13209-018-0186-0.
• Lisa Crosato & Luigi Grossi, 2019, "Correcting outliers in GARCH models: a weighted forward approach," Statistical Papers, Springer, volume 60, issue 6, pages 1939-1970, December, DOI: 10.1007/s00362-017-0903-y.
• Pauwels, Laurent & Radchenko, Peter & Vasnev, Andrey, 2019, "Higher Moment Constraints for Predictive Density Combinations," Working Papers, University of Sydney Business School, Discipline of Business Analytics, number BAWP-2019-01, Mar.
• Audronė Virbickaitė & Hedibert F. Lopes & M. Concepción Ausín & Pedro Galeano, 2019, "Particle learning for Bayesian semi-parametric stochastic volatility model," Econometric Reviews, Taylor & Francis Journals, volume 38, issue 9, pages 1007-1023, October, DOI: 10.1080/07474938.2018.1514022.
• Rangan Gupta & Tahir Suleman & Mark E. Wohar, 2019, "Exchange rate returns and volatility: the role of time-varying rare disaster risks," The European Journal of Finance, Taylor & Francis Journals, volume 25, issue 2, pages 190-203, January, DOI: 10.1080/1351847X.2018.1534750.
• Mathias Manguzvane & John Weirstrass Muteba Mwamba, 2019, "Modelling systemic risk in the South African banking sector using CoVaR," International Review of Applied Economics, Taylor & Francis Journals, volume 33, issue 5, pages 624-641, September, DOI: 10.1080/02692171.2018.1516741.
• Yacine Aït-Sahalia & Dacheng Xiu, 2019, "Principal Component Analysis of High-Frequency Data," Journal of the American Statistical Association, Taylor & Francis Journals, volume 114, issue 525, pages 287-303, January, DOI: 10.1080/01621459.2017.1401542.
• Robert F. Engle & Olivier Ledoit & Michael Wolf, 2019, "Large Dynamic Covariance Matrices," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 37, issue 2, pages 363-375, April, DOI: 10.1080/07350015.2017.1345683.
• Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss, 2019, "Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 37, issue 3, pages 419-435, July, DOI: 10.1080/07350015.2017.1356728.
• Joscha Beckmann & Theo Berger & Robert Czudaj, 2019, "Gold price dynamics and the role of uncertainty," Quantitative Finance, Taylor & Francis Journals, volume 19, issue 4, pages 663-681, April, DOI: 10.1080/14697688.2018.1508879.
• Riza Demirer & Guilherme Demos & Rangan Gupta & Didier Sornette, 2019, "On the predictability of stock market bubbles: evidence from LPPLS confidence multi-scale indicators," Quantitative Finance, Taylor & Francis Journals, volume 19, issue 5, pages 843-858, May, DOI: 10.1080/14697688.2018.1524154.
• Alexander N. Bogin & William M. Doerner, 2019, "Property Renovations and Their Impact on House Price Index Construction," Journal of Real Estate Research, Taylor & Francis Journals, volume 41, issue 2, pages 249-284, April, DOI: 10.1080/10835547.2019.12091526.
• Chowdhury, Biplob & Jeyasreedharan, Nagaratnam, 2019, "An empirical examination of the jump and diffusion aspects of asset pricing: Japanese evidence," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2019-02.
• Francisco Blasques & Vladimir Holy & Petra Tomanova, 2019, "Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 19-004/III, Jan.
• Anne Opschoor & André Lucas & Istvan Barra & Dick van Dijk, 2019, "Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 19-013/IV, Feb, revised 23 Oct 2019.
• Anne Opschoor & André Lucas, 2019, "Time-varying tail behavior for realized kernels," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 19-051/IV, Jul.
• Anne Opschoor & André Lucas, 2019, "Observation-driven Models for Realized Variances and Overnight Returns," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 19-052/IV, Jul.
• Agnieszka Borowska & Lennart Hoogerheide & Siem Jan Koopman & Herman van Dijk, 2019, "Partially Censored Posterior for Robust and Efficient Risk Evaluation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 19-057/III, Aug.
• Sander Barendse & Erik Kole & Dick van Dijk, 2019, "Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 19-058/III, Aug.
• Almeida, Caio & Ardison, Kim & Garcia, René, 2019, "Nonparametric Assessment of Hedge Fund Performance," TSE Working Papers, Toulouse School of Economics (TSE), number 19-1024, Jul.
• Audrone Virbickaite & Christoph Frey & Demian N. Macedo, 2019, "Sequential Stock Return Prediction Through Copulas," DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada, number 91.
• Abhinav Anand & John Cotter, 2019, "Integration Among US Banks," Working Papers, Geary Institute, University College Dublin, number 201913, Sep.
• Laura Garcia-Jorcano & Alfonso Novales, 2019, "A dominance approach for comparing the performance of VaR forecasting models," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2019-23, Sep.
• Álvaro Chamizo & Alfonso Novales, 2019, "Splitting credit risk into systemic, sectorial and idiosyncratic components," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2019-30, Sep.
• Manuel Moreno & Alfonso Novales & Federico Platania, 2019, "A term structure model under cyclical fluctuations in interest rates," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2019-31, Sep.
• Mohamed Chikhi & Claude Diebolt, 2019, "Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2019-06.
• Mohamed Chikhi & Claude Diebolt & Tapas Mishra, 2019, "Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2019-24.
• Gaye Del Lo, 2019, "About the relationship between renewable energy and oil markets," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2019-31.
• Mohamed CHIKHI & Claude DIEBOLT & Tapas MISHRA, 2019, "Does Predictive Ability of an Asset Price Rest in 'Memory'? Insights from a New Approach," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2019-43.
• Fousseni Chabi-Yo & Markus Huggenberger & Florian Weigert, 2019, "Multivariate Crash Risk," Working Papers on Finance, University of St. Gallen, School of Finance, number 1901, Feb.
• Boda Kang & Christina Sklibosios Nikitopoulos & Marcel Prokopczuk, 2019, "Economic Determinants of Oil Futures Volatility: A Term Structure Perspective," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 401, Jul.
• Szubzda Filip & Chlebus Marcin, 2019, "Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions," Central European Economic Journal, Sciendo, volume 6, issue 53, pages 70-85, January, DOI: 10.2478/ceej-2019-0005.
• Szubzda Filip & Chlebus Marcin, 2019, "Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions," Central European Economic Journal, Sciendo, volume 6, issue 53, pages 70-85, January, DOI: 10.2478/ceej-2019-0005.
• Jańska Anna & Kędra Arleta, 2019, "Factors Determining the Purchase of Insurance Products," Econometrics. Advances in Applied Data Analysis, Sciendo, volume 23, issue 1, pages 19-28, March, DOI: 10.15611/eada.2019.1.02.
• Szczepocki Piotr, 2019, "Clustering Companies Listed on the Warsaw Stock Exchange According to Time-Varying Beta," Econometrics. Advances in Applied Data Analysis, Sciendo, volume 23, issue 2, pages 63-79, June, DOI: 10.15611/eada.2019.2.05.
• Senarathne Chamil W. & Šoja Tijana, 2019, "Heteroskedasticity in Excess Bitcoin Return Data: Google Trend vs. Garch Effects," Financial Sciences. Nauki o Finansach, Sciendo, volume 24, issue 3, pages 35-45, September, DOI: 10.15611/fins.2019.3.04.
• 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, Sciendo, volume 11, issue 1, pages 43-49, June.
• Nageri Kamaldeen Ibraheem, 2019, "Evaluating Good and Bad News During Pre and Post Financial Meltdown: Nigerian Stock Market Evidence," Studia Universitatis Babeș-Bolyai Oeconomica, Sciendo, volume 64, issue 3, pages 1-22, December, DOI: 10.2478/subboec-2019-0012.
• Nageri Kamaldeen Ibraheem & Abdulkadir Rihanat Idowu, 2019, "Is the Nigerian Stock Market Efficient? Pre and Post 2007-2009 Meltdown Analysis," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, volume 29, issue 3, pages 38-63, September, DOI: 10.2478/sues-2019-0011.
• Mateusz Buczyński & Marcin Chlebus, 2019, "Old-fashioned parametric models are still the best. A comparison of Value-at-Risk approaches in several volatility states," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2019-12.
• Dinghai Xu, 2019, "A Study on Volatility Spurious Almost Integration Effect: A Threshold Realized GARCH Approach," Working Papers, University of Waterloo, Department of Economics, number 1903, Dec, revised Dec 2019.
• C. Gouriéroux & A. Monfort & J.‐M. Zakoïan, 2019, "Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations," Econometrica, Econometric Society, volume 87, issue 1, pages 327-345, January, DOI: 10.3982/ECTA14727.
• Xin Jin & John M. Maheu & Qiao Yang, 2019, "Bayesian parametric and semiparametric factor models for large realized covariance matrices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 34, issue 5, pages 641-660, August, DOI: 10.1002/jae.2685.
• Rangan Gupta & Tahir Suleman & Mark E. Wohar, 2019, "The role of time‐varying rare disaster risks in predicting bond returns and volatility," Review of Financial Economics, John Wiley & Sons, volume 37, issue 3, pages 327-340, July, DOI: 10.1002/rfe.1051.
• Fischer, Henning & Stolper, Oscar, 2019, "The nonlinear dynamics of corporate bond spreads: Regime-dependent effects of their determinants," Discussion Papers, Deutsche Bundesbank, number 08/2019.
• Dumitru, Ana-Maria & Hizmeri, Rodrigo & Izzeldin, Marwan, 2019, "Forecasting the Realized Variance in the Presence of Intraday Periodicity," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 193631.
• Dumitru, Ana-Maria & Holden, Thomas, 2019, "Quantifying the transmission of European sovereign default risk," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 193632.
• Pele, Daniel Traian & Mazurencu-Marinescu-Pele, Miruna, 2019, "Metcalfe's law and herding behaviour in the cryptocurrencies market," Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel), number 2019-16.
• Śmiech, Sławomir & Papież, Monika & Fijorek, Kamil & Dąbrowski, Marek A., 2019, "What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), volume 13, pages 1-32, DOI: 10.5018/economics-ejournal.ja.2019-.
• Pele, Daniel Traian & Mazurencu-Marinescu-Pele, Miruna, 2019, "Metcalfe's law and log-period power laws in the cryptocurrencies market," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), volume 13, pages 1-26, DOI: 10.5018/economics-ejournal.ja.2019-.
• Qian, Ya & Tu, Jun & Härdle, Wolfgang Karl, 2019, "Information Arrival, News Sentiment, Volatilities and Jumps of Intraday Returns," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2019-002.
• Conrad, Christian & Schienle, Melanie, 2019, "Testing for an omitted multiplicative long-term component in GARCH models," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 121, DOI: 10.5445/IR/1000090371.
• Bormann, Carsten & Schienle, Melanie, 2019, "Detecting structural differences in tail dependence of financial time series," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 122, DOI: 10.5445/IR/1000092468.
• Buse, Rebekka & Schienle, Melanie, 2019, "Measuring connectedness of euro area sovereign risk," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 123, DOI: 10.5445/IR/1000092470.
• Monschang, Verena & Wilfling, Bernd, 2019, "Sup-ADF-style bubble detection methods under test," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy, Verein für Socialpolitik / German Economic Association, number 203568.
• Olivier Ledoit & Michael Wolf, 2019, "The power of (non-)linear shrinking: a review and guide to covariance matrix estimation," ECON - Working Papers, Department of Economics - University of Zurich, number 323, May, revised Feb 2020.
• Zhao Zhao & Olivier Ledoit & Hui Jiang, 2019, "Risk reduction and efficiency increase in large portfolios: leverage and shrinkage," ECON - Working Papers, Department of Economics - University of Zurich, number 328, Jul, revised Jan 2020.

2018

• Jamal Bouoiyour & Refk Selmi & Mark Wohar, 2018, "Measuring the response of gold prices to uncertainty: An analysis beyond the mean," Post-Print, HAL, number hal-01817067, Nov.
• Refk Selmi & Walid Mensi & Shawkat Hammoudeh & Jamal Bouoiyour, 2018, "Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold," Post-Print, HAL, number hal-01879667, Aug, DOI: 10.1016/j.eneco.2018.07.007.
• Serge Darolles & Christian Francq & Sébastien Laurent, 2018, "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print, HAL, number hal-01980815, Jun, DOI: 10.1016/j.jeconom.2018.02.003.
• Abderrazak Ben Maatoug & Rim Lamouchi & Russell Davidson & Ibrahim Fatnassi, 2018, "Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks," Post-Print, HAL, number hal-01982032.
• Syed Jawad Hussain Shahzad & Jose Arreola Hernandez & Stelios Bekiros & Muhammad Shahbaz & Ghulam Mujtaba Kayani, 2018, "A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling," Post-Print, HAL, number hal-01989649, Sep, DOI: 10.1016/j.intfin.2018.02.013.
• Gazi Salah Uddin & Jose Areola Hernandez & Syed Jawad Hussain Shahzad & Axel Hedström, 2018, "Multivariate dependence and spillover effects across energy commodities and diversification potentials of carbon assets," Post-Print, HAL, number hal-01996386, Mar, DOI: 10.1016/j.eneco.2018.01.035.
• Gazi Salah Uddin & Jose Areola Hernandez & Syed Jawad Hussain Shahzad & Seong-Min Yoon, 2018, "Time-varying evidence of efficiency, decoupling, and diversification of conventional and Islamic stocks," Post-Print, HAL, number hal-01997844, Mar, DOI: 10.1016/j.irfa.2018.01.008.
• François-Éric Racicot & William Rentz & Alfred Kahl & Olivier Mesly, 2018, "Examining the dynamics of illiquidity risks within the phases of the business cycle," Post-Print, HAL, number hal-02014700, Dec, DOI: 10.1016/j.bir.2018.12.001.
• Ahmed Bensaïda & Houda Litimi & Oussama Abdallah, 2018, "Volatility spillover shifts in global financial markets," Post-Print, HAL, number hal-02869496, Jun, DOI: 10.1016/j.econmod.2018.04.011.
• Juliane Proelss & Denis Schweizer & Volker Seiler, 2018, "Do announcements of WTO dispute resolution cases matter? Evidence from the rare earth elements market," Post-Print, HAL, number hal-02983217, Jun, DOI: 10.1016/j.eneco.2018.05.004.
• Mardi Dungey & Deniz Erdemlioglu & Marius Matei & Xiye Yang, 2018, "Testing for mutually exciting jumps and financial flights in high frequency data," Post-Print, HAL, number hal-02995949, Jan, DOI: 10.1016/j.jeconom.2017.09.002.
• Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini, 2018, "The janus-faced nature of debt: results from a data-driven cointegrated svar approach," Post-Print, HAL, number hal-03471585, Aug, DOI: 10.1017/S1365100518000445.
• Aviral Kumar Tiwari & Rabeh Khalfaoui & Sakiru Adebola Solarin & Muhammad Shahbaz, 2018, "Analyzing the time-frequency lead–lag relationship between oil and agricultural commodities," Post-Print, HAL, number hal-03797590, Oct, DOI: 10.1016/j.eneco.2018.10.037.