Research classified by Journal of Economic Literature (JEL) codes

2018

• Serge Darolles & Christian Francq & Sebastien Laurent, 2018, "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print, HAL, number hal-04590180, Sep.
• Serge Darolles & Christian Francq & Sébastien Laurent, 2018, "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print, HAL, number hal-04590232, Jun.
• Serge Darolles & Christian Francq & Sébastien Laurent, 2018, "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print, HAL, number hal-04590251, May.
• Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini, 2018, "The janus-faced nature of debt: results from a data-driven cointegrated svar approach," Sciences Po Economics Publications (main), HAL, number hal-03471585, Aug, DOI: 10.1017/S1365100518000445.
• Serge Darolles & Christian Francq & Sébastien Laurent, 2018, "Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas," Working Papers, HAL, number halshs-01944656, Dec.
• Leschinski, Christian & Voges, Michelle & Sibbertsen, Philipp, 2018, "Integration and Disintegration of EMU Government Bond Markets," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-625, Jan.
• Becker, Janis & Leschinski, Christian, 2018, "Estimating the Volatility of Asset Pricing Factors," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-631, May.
• Nymoen, Ragnar & Pedersen, Kari & Sjåberg, Jon Ivar, 2018, "Estimation of effects of recent macroprudential policies in a sample of advanced open economies," Memorandum, Oslo University, Department of Economics, number 5/2018, Sep.
• Karatetskaya Efrosiniya & Lakshina Valeriya, 2018, "Volatility Spillovers With Spatial Effects On The Oil And Gas Market," HSE Working papers, National Research University Higher School of Economics, number WP BRP 72/FE/2018.
• Daniele Bianchi & Monica Billio & Roberto Casarin & Massimo Guidolin, 2018, "Modeling Systemic Risk with Markov Switching Graphical SUR Models," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 626.
• Filippo Natoli & Laura Sigalotti, 2018, "Tail Co-movement in Inflation Expectations as an Indicator of Anchoring," International Journal of Central Banking, International Journal of Central Banking, volume 14, issue 1, pages 35-71, January.
• Raúl de Jesús Gutiérrez, 2018, "Predicción de las Razones de Cobertura Cruzada Optima en el Mercado del Petróleo Mexicano," 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 13, issue 1, pages 53-76, Enero-Mar.
• Hector Díaz Rodríguez & Christian Bucio, 2018, "Contagio bursátil en los mercados del TLCAN, países emergentes y el mercado global," 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 13, issue 3, pages 345-362, Julio-Sep.
• Selim DEMEZ & Murat USTAOĞLU & Ahmet İNCEKARA, 2018, "Determining and Examining the Performance Index of Dual Banking System: A Panel Data Comparative Analyse for Turkey," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, volume 68, issue 2, pages 221-241, December, DOI: 10.26650/ISTJECON2018-0001.
• Pramod Kumar Naik & Rangan Gupta & Puja Padhi, 2018, "The Relationship Between Stock Market Volatility And Trading Volume: Evidence From South Africa," Journal of Developing Areas, Tennessee State University, College of Business, volume 52, issue 1, pages 99-114, January-M.
• Zongwu Cai & Ying Fang & Dingshi Tian, 2018, "Assessing Tail Risk Using Expectile Regressions with Partially Varying Coefficients," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 201804, Oct, revised Oct 2018.
• Dingshi Tian & Zongwu Cai & Ying Fang, 2018, "Econometric Modeling of Risk Measures: A Selective Review of the Recent Literature," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 201807, Oct, revised Oct 2018.
• Noureddine Benlagha & Wael Hemrit, 2018, "The Dynamic and Dependence of Takaful and Conventional Stock Return Behaviours: Evidence from the Insurance Industry in Saudi Arabia," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 25, issue 4, pages 285-323, December, DOI: 10.1007/s10690-018-9249-2.
• Michele Leonardo Bianchi & Svetlozar T. Rachev & Frank J. Fabozzi, 2018, "Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models," Computational Economics, Springer;Society for Computational Economics, volume 51, issue 3, pages 339-378, March, DOI: 10.1007/s10614-016-9599-7.
• Hazem Krichene & Mhamed-Ali El-Aroui, 2018, "Agent-Based Simulation and Microstructure Modeling of Immature Stock Markets," Computational Economics, Springer;Society for Computational Economics, volume 51, issue 3, pages 493-511, March, DOI: 10.1007/s10614-016-9615-y.
• Christos Avdoulas & Stelios Bekiros, 2018, "Nonlinear Forecasting of Euro Area Industrial Production Using Evolutionary Approaches," Computational Economics, Springer;Society for Computational Economics, volume 52, issue 2, pages 521-530, August, DOI: 10.1007/s10614-017-9695-3.
• Chaker Aloui & Rania Jammazi & Hela Ben Hamida, 2018, "Multivariate Co-movement Between Islamic Stock and Bond Markets Among the GCC: A Wavelet-Based View," Computational Economics, Springer;Society for Computational Economics, volume 52, issue 2, pages 603-626, August, DOI: 10.1007/s10614-017-9703-7.
• Nezir Kose & Yeliz Yalcin & Eray Yucel, 2018, "Performance of inflation targeting in retrospect," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 45, issue 1, pages 197-213, February, DOI: 10.1007/s10663-016-9357-z.
• Francisco Camões & Sofia Vale, 2018, "Housing Valuation, Wealth Perception, and Homeowners’ Portfolio Composition," Journal of Family and Economic Issues, Springer, volume 39, issue 3, pages 494-508, September, DOI: 10.1007/s10834-018-9570-y.
• Sung Ik Kim & Young Shin Kim, 2018, "Tempered stable structural model in pricing credit spread and credit default swap," Review of Derivatives Research, Springer, volume 21, issue 1, pages 119-148, April, DOI: 10.1007/s11147-017-9135-5.
• Mohammad Alomari & David. M. Power & Nongnuch Tantisantiwong, 2018, "Determinants of equity return correlations: a case study of the Amman Stock Exchange," Review of Quantitative Finance and Accounting, Springer, volume 50, issue 1, pages 33-66, January, DOI: 10.1007/s11156-017-0622-4.
• Januj Juneja, 2018, "Empirical performance of Gaussian affine dynamic term structure models in the presence of autocorrelation misspecification bias," Review of Quantitative Finance and Accounting, Springer, volume 50, issue 3, pages 695-715, April, DOI: 10.1007/s11156-017-0643-z.
• Szennay, Áron, 2018, "Nagyvállalatok pénzügyi teljesítményének és társadalmi felelősségvállalásának összefüggései Magyarországon
  [Relations between financial and non-financial performance in Hungary]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 12, pages 1281-1298, DOI: 10.18414/KSZ.2018.12.1281.
• Fernando Delbianco & Andrés Fioriti, 2018, "External cycles and commodities in Latin America and the Caribbean: a cointegration analysis with breaks," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 88, pages 51-76, Enero - J, DOI: 10.17533/udea.le.n88a02.
• Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2018, "Diffusion Copulas: Identification and Estimation," Working Papers, University of Liverpool, Department of Economics, number 20184, Jul.
• Tari, Fethullah & Ebrahimi, seyed Ahmad & Mousavi, Seyed Jafar & Kalantari, Mahmoud, 2018, "Comparison Between Neural Network, Genetic Algorithm and Logit Models in Evaluating Consumer Credit Risk," Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 10, issue 34, pages 680-657, January.
• Mahdiloo, Ali & asgharpour, hossain & Fallahi, Firuz, 2018, "Nonlinear Evaluation of the Role of Monetary Transmission Channels in Iran: MSVAR Approach," Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 11, issue 37, pages 319-355, November.
• Sadeghzadeh Yazdi, Ali & Abounoori, Esmaiel & Erfani, Alireza, 2018, "Modeling the Liquidity Gap in a Private Bank," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 13, issue 2, pages 153-176, April.
• Claudio, Morana, 2018, "Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices," Working Papers, University of Milano-Bicocca, Department of Economics, number 382, Jun, revised 04 Jun 2018.
• Han Hwa Goh & Lee Lee Chong & Ming Ming Lai, 2018, "Sentiment-Augmented Asset Pricing in Bursa Malaysia: A Time-Varying Markov Regime-Switching Model," Malaysian Journal of Economic Studies, Faculty of Business and Economics, University of Malaya & Malaysian Economic Association, volume 55, issue 2, pages 285-300, December, DOI: 10.22452/MJES.vol55no2.8.
• Mattia Bevilacqua, 2018, "Asymmetric Volatility Spillovers Between Developed And Developing European Countries," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2018/2.
• Francesco Caloia & Andrea Cipollini & Silvia Muzzioli, 2018, "On the financial connectedness of the commodity market: a replication of the Diebold and Yilmaz (2012) study," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0131, Sep.
• Worapree Maneesoonthorn & Gael M Martin & Catherine S Forbes, 2018, "Dynamic price jumps: The performance of high frequency tests and measures, and the robustness of inference," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 17/18.
• David T. Frazier & Worapree Maneesoonthorn & Gael M. Martin & Brendan P.M. McCabe, 2018, "Approximate Bayesian forecasting," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 2/18.
• Witold Orzeszko, 2018, "Prognozowanie indeksu WIG za pomocą jądrowych estymatorów funkcji regresji," Bank i Kredyt, Narodowy Bank Polski, volume 49, issue 3, pages 253-288.
• Karol Szafranek, 2018, "Determinanty zmiennej w czasie korelacji pomiędzy cenami ropy naftowej a kursem walutowym dolara amerykańskiego," Bank i Kredyt, Narodowy Bank Polski, volume 49, issue 6, pages 671-708.
• Martin Lettau & Markus Pelger, 2018, "Factors that Fit the Time Series and Cross-Section of Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 24858, Jul.
• Shihao Gu & Bryan Kelly & Dacheng Xiu, 2018, "Empirical Asset Pricing via Machine Learning," NBER Working Papers, National Bureau of Economic Research, Inc, number 25398, Dec.
• Susana Martins & Cristina Amado, 2018, "Financial Market Contagion and the Sovereign Debt Crisis: A Smooth Transition Approach," NIPE Working Papers, NIPE - Universidade do Minho, number 08/2018.
• Jianhua Ding & Turen Guo & Bin Guo, 2018, "Fat Tails, Value at Risk, and the Palladium Returns," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, volume 7, issue 2, pages 95-103, May.
• Xiao, Tim, 2018, "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," FrenXiv, Center for Open Science, number ds7zj, Aug, DOI: 10.31219/osf.io/ds7zj.
• Caio Almeida & Kym Ardison & Daniela Kubudi & Axel Simonsen & José Vicente, 2018, "Forecasting Bond Yields with Segmented Term Structure Models," Journal of Financial Econometrics, Oxford University Press, volume 16, issue 1, pages 1-33.
• Christian Francq & Genaro Sucarrat, 2018, "An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation," Journal of Financial Econometrics, Oxford University Press, volume 16, issue 1, pages 129-154.
• Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2018, "Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?," Journal of Financial Econometrics, Oxford University Press, volume 16, issue 1, pages 34-62.
• Jozef Baruník & Tomáš Křehlík, 2018, "Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk," Journal of Financial Econometrics, Oxford University Press, volume 16, issue 2, pages 271-296.
• Luca Trapin, 2018, "Can Volatility Models Explain Extreme Events?," Journal of Financial Econometrics, Oxford University Press, volume 16, issue 2, pages 297-315.
• Xiaochun Liu, 2018, "Structural Volatility Impulse Response Function and Asymptotic Inference," Journal of Financial Econometrics, Oxford University Press, volume 16, issue 2, pages 316-339.
• Bruno Feunou & Mohammad R Jahan-Parvar & Cédric Okou, 2018, "Downside Variance Risk Premium," Journal of Financial Econometrics, Oxford University Press, volume 16, issue 3, pages 341-383.
• Claudia Yeap & Simon S Kwok & S T Boris Choy, 2018, "A Flexible Generalized Hyperbolic Option Pricing Model and Its Special Cases," Journal of Financial Econometrics, Oxford University Press, volume 16, issue 3, pages 425-460.
• Aleksey Kolokolov & Roberto Renò, 2018, "Efficient Multipowers," Journal of Financial Econometrics, Oxford University Press, volume 16, issue 4, pages 629-659.
• Michael W Brandt & David A Chapman, 2018, "Linear Approximations and Tests of Conditional Pricing Models
  [A new approach to international arbitrage pricing]," Review of Finance, European Finance Association, volume 22, issue 2, pages 455-489.
• Tim Bollerslev & Benjamin Hood & John Huss & Lasse Heje Pedersen, 2018, "Risk Everywhere: Modeling and Managing Volatility," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 7, pages 2729-2773.
• Iuga Iulia, 2018, "Does Gross Average Earning Affect Residual Loans in Romania?," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 464-469, July.
• Kralik Lóránd István, 2018, "Conditional Correlation on CEE Stock Markets," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 2, pages 130-136, December.
• El Jebari, Ouael & Hakmaoui, Abdelati, 2018, "GARCH Family Models vs EWMA: Which is the Best Model to Forecast Volatility of the Moroccan Stock Exchange Market? || Modelos de la familia GARCH vs EWMA: ¿cuál es el mejor modelo para pronosticar la ," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 26, issue 1, pages 237-249, Diciembre.
• Wolfgang Karl Härdle & David Kuo Chuen Lee & Sergey Nasekin & Alla Petukhina, 2018, "Tail Event Driven ASset allocation: evidence from equity and mutual funds’ markets," Journal of Asset Management, Palgrave Macmillan, volume 19, issue 1, pages 49-63, January, DOI: 10.1057/s41260-017-0060-9.
• Marcin Chlebus, 2018, "One-day-ahead forecast of state of turbulence based on today's economic situation," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, volume 13, issue 3, pages 357-389, September, DOI: 10.24136/eq.2018.018.
• Alicja Fras, 2018, "The relation between management fees and the mutual funds` performance in Poland in 2015," Oeconomia Copernicana, Institute of Economic Research, volume 9, issue 2, pages 245-259, June, DOI: 10.24136/oc.2018.013.
• Martin Pazicky, 2018, "The consequences of unconventional monetary policy in euro area in times of monetary easing," Oeconomia Copernicana, Institute of Economic Research, volume 9, issue 4, pages 581-615, December, DOI: 10.24136/oc.2018.029.
• Nora Abu Asab & Juan Carlos Cuestas & Alberto Montagnoli, 2018, "Inflation targeting or exchange rate targeting: Which framework supports the goal of price stability in emerging market economies?," PLOS ONE, Public Library of Science, volume 13, issue 8, pages 1-21, August, DOI: 10.1371/journal.pone.0201798.
• Aziz, Nur Aziah & Masih, Mansur, 2018, "The determinants of islamic mudharabah interbank investment rate: Malaysia as a case study," MPRA Paper, University Library of Munich, Germany, number 100263, Jul.
• Sucarrat, Genaro, 2018, "The Log-GARCH Model via ARMA Representations," MPRA Paper, University Library of Munich, Germany, number 100386, Aug.
• Zichu, Jin & Masih, Mansur, 2018, "Nexus of infrastructure investment, economic growth and domestic credit level: evidence from China based on nonlinear ARDL approach," MPRA Paper, University Library of Munich, Germany, number 100595, Dec.
• Hashim, Norhaziah & Masih, Mansur, 2018, "The impact of interest rate changes on islamic home financing: Malaysia as a case study," MPRA Paper, University Library of Munich, Germany, number 100644, Jun.
• Hassan, Fatimatul & Masih, Mansur, 2018, "Relationship between crude oil prices and global sukuk (islamic bond) index: evidence from Dow Jones Citygroup sukuk index," MPRA Paper, University Library of Munich, Germany, number 100689, Sep.
• Sapian, Safeza & Masih, Mansur, 2018, "Do macroeconomic factors affect the credit risk of islamic banks? evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 100719, Nov.
• Abu Bakr, Norhidayah & Masih, Mansur, 2018, "Are the factors accounting for islamic and conventional bank credit cycles really different ? Malaysian evidence based on two-step GMM approach," MPRA Paper, University Library of Munich, Germany, number 101110, Oct.
• Anuar, Khairul & Masih, Mansur, 2018, "What drives shariah (islamic) stock index? a case study of Malaysia," MPRA Paper, University Library of Munich, Germany, number 101248, Jul.
• Ariffian, Suffian & Masih, Mansur, 2018, "Which islamic equity market is the leading one in Southeast Asia ? evidence from some select equity markets," MPRA Paper, University Library of Munich, Germany, number 101873, Sep.
• Yousef, Mona & Masih, Mansur, 2018, "Dynamics between shariah (islamic) and non-shariah stock market indices: GCC market evidence based on static and dynamic panel techniques," MPRA Paper, University Library of Munich, Germany, number 101934, Mar.
• Liyana, Anis & Masih, Mansur, 2018, "Does unemployment rate lead GDP growth or the other way around ? Malaysia’s case," MPRA Paper, University Library of Munich, Germany, number 102459, Jul.
• Shafaai, Shafizal & Masih, Mansur, 2018, "The dynamics of growth, exports, exchange rate and foreign direct investment: evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 102538, Mar.
• Asad, Mohammad & Masih, Mansur, 2018, "Islamic equity market and macroeconomic variables: evidence from the UK," MPRA Paper, University Library of Munich, Germany, number 102580, Jun.
• Fairuz, Sharifah & Masih, Mansur, 2018, "What drives the profit rates of islamic banks ? Malaysia’s case," MPRA Paper, University Library of Munich, Germany, number 102599, Nov.
• Musaeva, Gulzhan & Masih, Mansur, 2018, "Granger-causal relationship between islamic stock markets and oil prices: a case study of Malaysia," MPRA Paper, University Library of Munich, Germany, number 102862, Oct.
• Touati, Fatima & Masih, Mansur, 2018, "What drives the European islamic market: is it the conventional market or the other islamic markets ?," MPRA Paper, University Library of Munich, Germany, number 102911, Nov.
• Jamil, Sakinah & Masih, Mansur, 2018, "Factors influencing shariah (islamic) compliant stock index: Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 102953, Apr.
• Khalaf, Tasneem & Masih, Mansur, 2018, "Is the relationship between non-performing loans of banks and economic growth asymmetric ? Malaysia’s evidence based on linear and nonlinear ARDL approaches," MPRA Paper, University Library of Munich, Germany, number 103714, Dec.
• Osman, Khairul Nizam & Masih, Mansur, 2018, "Granger-causality of selective Dow Jones islamic and sustainability regional equity indices," MPRA Paper, University Library of Munich, Germany, number 104185, Jun.
• Lajis, Siti & Masih, Mansur, 2018, "Is the islamic equity market independent of the influence of primary commodities ? Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 104766, Jun.
• Ariffin, Kartina & Masih, Mansur, 2018, "Determinants of islamic banking investment account rates: Malaysia’s evidence," MPRA Paper, University Library of Munich, Germany, number 104833, Aug.
• Gadhoum, Anouar & Masih, Mansur, 2018, "Emerging market equities and US policy uncertainty: evidence from Malaysia based on ARDL," MPRA Paper, University Library of Munich, Germany, number 105469, Nov.
• Aini, Sarah & Masih, Mansur, 2018, "Investigating the major determinants of islamic bank savings: Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 105492, Dec.
• Rahman, Salman & Masih, Mansur, 2018, "Demography and economic growth from islamic perspective: Malaysia as a case study," MPRA Paper, University Library of Munich, Germany, number 105595, Nov.
• Farid, Hazim & Masih, Mansur, 2018, "Is there any causal link between shariah index and islamic unit trust growth ? Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 106226, Aug.
• Rahman, Syarifah & Masih, Mansur, 2018, "The vulnerability of Islamic bank’s credit risk to oil price shocks: evidence from Malaysia based on ARDL approach," MPRA Paper, University Library of Munich, Germany, number 106776, May.
• Othman, Nurhuda & Masih, Mansur, 2018, "Granger-causality between palm oil, gold and stocks (islamic and conventional): Malaysian evidence based on ARDL approach," MPRA Paper, University Library of Munich, Germany, number 106777, Feb.
• Zain, Syahirah & Masih, Mansur, 2018, "Are profit rates of the islamic investment deposit accounts independent of the interest rates of conventional banks ?," MPRA Paper, University Library of Munich, Germany, number 106800, Dec.
• Rosle, Alia Nadira & Masih, Mansur, 2018, "Can the islamic banks’ credit risk be explained by macroeconomic shocks? evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 107059, Sep.
• Tew, Li Mei & Masih, Mansur, 2018, "Google trends search query and islamic stock indices: an analysis of their lead-lag relationship based on the Malaysian data," MPRA Paper, University Library of Munich, Germany, number 107067, May.
• Alchaar, Osama & Masih, Mansur, 2018, "Do islamic or conventional mutual funds lead economic growth? evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 107224, Sep.
• Ali, Shah & Masih, Mansur, 2018, "The determinants of economic growth: the Malaysian case," MPRA Paper, University Library of Munich, Germany, number 107859, Apr.
• Taher, Sumaiyah & Masih, Mansur, 2018, "Which market is the driver of the Asian stock markets ?," MPRA Paper, University Library of Munich, Germany, number 107975, Mar.
• Azahar, Nurshuhaida & Masih, Mansur, 2018, "The effect of sub-prime crisis on select southeast Asian stock markets," MPRA Paper, University Library of Munich, Germany, number 108032, Feb.
• Robbana, Aroua & Masih, Mansur, 2018, "Lead-lag relationship between remittance and growth: ARDL approach," MPRA Paper, University Library of Munich, Germany, number 108427, Feb.
• Abdul, Salman & Masih, Mansur, 2018, "Relationship between demography and economic growth from the islamic perspective: a case study of Malaysia," MPRA Paper, University Library of Munich, Germany, number 108463, Jul.
• Ghazali, Ummu & Masih, Mansur, 2018, "Should Malaysia depreciate her exchange rate ?," MPRA Paper, University Library of Munich, Germany, number 108481, Mar.
• Samad, Abdul & Masih, Mansur, 2018, "Does institutional quality matter in attracting foreign direct investment? the case of Ethiopia based on ARDL approach," MPRA Paper, University Library of Munich, Germany, number 108493, Aug.
• Azmi, Muhammad Saifullah & Masih, Mansur, 2018, "Does education expenditure lead or lag GDP ? Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 108891, May.
• Haq, Marifatul & Masih, Mansur, 2018, "Macroeconomic determinants of stock markets: Indian case," MPRA Paper, University Library of Munich, Germany, number 108900, Sep.
• Azzi, Abdelkebir & Masih, Mansur, 2018, "Oil price volatility and macroeconomic determinants of growth: evidence from Morocco," MPRA Paper, University Library of Munich, Germany, number 108943, Nov.
• Mahmood, Ilham & Masih, Mansur, 2018, "Is there any long run Granger-causality between economic growth and energy consumption ? evidence from Singapore," MPRA Paper, University Library of Munich, Germany, number 109225, Feb.
• Fadzil, Anas & Masih, Mansur, 2018, "What drives the stock markets ? evidence from India," MPRA Paper, University Library of Munich, Germany, number 109248, Dec.
• Okedina, Jellil & Masih, Mansur, 2018, "The nexus between poverty and crime: evidence from India," MPRA Paper, University Library of Munich, Germany, number 109263, Jun.
• Golding, Khabran & Masih, Mansur, 2018, "Does foreign direct investment lead or lag employment ? an ARDL approach," MPRA Paper, University Library of Munich, Germany, number 109300, Dec.
• Saupi, Nabil & Masih, Mansur, 2018, "Lead-lag between exchange rates and trade balance: Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 109874, Feb.
• Izyani, Nurul & Masih, Mansur, 2018, "Do the trading partners’ exchange rates impact the export performance of a country? evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 109907, Apr.
• Samad, Esma & Masih, Mansur, 2018, "Effects of fiscal components on economic growth: evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 110224, Feb.
• Othman, Nooramylia & Masih, Mansur, 2018, "Relation between macro economic variables and government securities: Malaysian case," MPRA Paper, University Library of Munich, Germany, number 110256, Aug.
• Rahim, Adam Mohamed & Masih, Mansur, 2018, "Comovement of stock markets of Singapore and its major Asian trading partners," MPRA Paper, University Library of Munich, Germany, number 110319, Sep.
• Olujobi, Khalilat & Masih, Mansur, 2018, "Does the purchasing power parity theory hold for the exchange rate between the USA and Malaysia ?," MPRA Paper, University Library of Munich, Germany, number 110332, Apr.
• Mazlan, Zuhry & Masih, Mansur, 2018, "Causality between domestic fuel price and economic sectors: evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 110682, Jul.
• Baddou, Mehdi & Masih, Mansur, 2018, "What are the factors that drive economic growth? evidence from Turkey," MPRA Paper, University Library of Munich, Germany, number 111202, Apr.
• Ikram, Ahmad & Masih, Mansur, 2018, "Does international trade lead industrial production or the other way around ? evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 111210, Nov.
• Rahmani, Halima & Masih, Mansur, 2018, "Does remittance lead or lag exchange rate? evidence from Morocco," MPRA Paper, University Library of Munich, Germany, number 111220, Aug.
• Abubakar, Fahrurrazi & Masih, Mansur, 2018, "Palm oil export : is it price led or exchange rate led? evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 111229, Dec.
• Saparova, Nurzhamal & Masih, Mansur, 2018, "Does foreign direct investment lead or lag economic growth ? evidence from Russia," MPRA Paper, University Library of Munich, Germany, number 111252, Apr.
• Naleef, Mohamed & Masih, Mansur, 2018, "Impact of political instability on economic growth, exchange rates and unemployment: Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 111652, Mar.
• Lengnoo, Hayatee & Masih, Mansur, 2018, "Granger-causality between real exchange rate and economic growth: evidence from Thailand," MPRA Paper, University Library of Munich, Germany, number 111692, Feb.
• Roslan, Syed & Masih, Mansur, 2018, "Savings and bank loans dynamics in implementing the new international accounting standard IFRS-9: Malaysia as a case study," MPRA Paper, University Library of Munich, Germany, number 111730, Nov.
• Aiman, Muhammad & Masih, Mansur, 2018, "Impact of macroeconomic factors on shariah and conventional stocks: Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 111736, Dec.
• Mukrim, Syahirah & Masih, Mansur, 2018, "Do islamic indices help portfolio diversification ? application of multivariate GARCH and wavelet coherence," MPRA Paper, University Library of Munich, Germany, number 112099, Feb.
• Razak, Najwa & Masih, Mansur, 2018, "The relationship between exchange rate and trade balance: evidence from Malaysia based on ARDL and Nonlinear ARDL approaches," MPRA Paper, University Library of Munich, Germany, number 112447, Dec.
• Haskanbancha, Nazmi & Masih, Mansur, 2018, "Does public infrastructure lead or lag GDP? evidence from Thailand based on NARDL," MPRA Paper, University Library of Munich, Germany, number 112459, Dec.
• Ihsaanul, Ahmad & Masih, Mansur, 2018, "Would the volatility of oil price affect the GDP of a country ? Singaporean evidence," MPRA Paper, University Library of Munich, Germany, number 112462, Dec.
• Mohd, Rafede & Masih, Mansur, 2018, "Testing the asymmetric and lead-lag relationship between CPI and PPI: an application of the ARDL and NARDL approaches," MPRA Paper, University Library of Munich, Germany, number 112500, Dec.
• Hossain, Saddam & Masih, Mansur, 2018, "Is the relationship between FDI and inflation nonlinear and asymmetric? new evidence from NARDL approach," MPRA Paper, University Library of Munich, Germany, number 112549, May.
• Adedamola, Qazeem & Mustapha, Ishaq & Masih, Mansur, 2018, "Fresh evidence on growth, expenditure and energy debate: GMM, Quantile and Threshold approaches," MPRA Paper, University Library of Munich, Germany, number 112885, Dec.
• Ahmad, Syafiq & Masih, Mansur, 2018, "The lead-lag relationship between industrial production and international trade: Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 114290, Dec.
• Shahwahid, Muhammad & Masih, Mansur, 2018, "Macroeconomic determinants of islamic and conventional stocks: Malaysian evidence based on ARDL and NARDL approaches," MPRA Paper, University Library of Munich, Germany, number 114368, Nov.
• Athirah, Wan & Masih, Mansur, 2018, "Is the relationship between lending interest rate and non-performing loans nonlinear asymmetric ? Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 114370, Oct.
• Dagher, Leila & Jamali, Ibrahim & badra, nasser, 2018, "The Predictive Power of Oil and Commodity Prices for Equity Markets," MPRA Paper, University Library of Munich, Germany, number 116055, Jun.
• Mestiri, Sami & Farhat, Abdejelil, 2018, "Credit Risk Prediction based on Bayesian estimation of logistic regression model with random effects," MPRA Paper, University Library of Munich, Germany, number 119960.
• Aknouche, Abdelhakim & Dimitrakopoulos, Stefanos, 2018, "Periodicity in Bitcoin returns: A time-varying volatility approach," MPRA Paper, University Library of Munich, Germany, number 122529, Oct, revised 28 Oct 2024.
• Ozili, Peterson K, 2018, "Bank Loan Loss Provisions, Investor Protection and the Macroeconomy," MPRA Paper, University Library of Munich, Germany, number 80281, Jun.
• Gerlach, Richard & Naimoli, Antonio & Storti, Giuseppe, 2018, "Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting," MPRA Paper, University Library of Munich, Germany, number 83893, Jan.
• Darolles, Serges & Francq, Christian & Laurent, Sébastien, 2018, "Asymptotics of Cholesky GARCH models and time-varying conditional betas," MPRA Paper, University Library of Munich, Germany, number 83988, Jan.
• Cerovecki, Clément & Francq, Christian & Hormann, Siegfried & Zakoian, Jean-Michel, 2018, "Functional GARCH models: the quasi-likelihood approach and its applications," MPRA Paper, University Library of Munich, Germany, number 83990, Jan.
• He, Zhongfang, 2018, "A Class of Generalized Dynamic Correlation Models," MPRA Paper, University Library of Munich, Germany, number 84820, Feb.
• Tang, Bo, 2018, "Does the currency exposure affect stock returns of Chinese automobile firms?," MPRA Paper, University Library of Munich, Germany, number 85125.
• Cassim, Lucius, 2018, "A semi-parametric GARCH (1, 1) estimator under serially dependent innovations," MPRA Paper, University Library of Munich, Germany, number 86572, May.
• Cassim, Lucius, 2018, "Modelling asymmetric conditional heteroskedasticity in financial asset returns: an extension of Nelson’s EGARCH model," MPRA Paper, University Library of Munich, Germany, number 86615, May.
• Adebumiti, Qazeem & Masih, Mansur, 2018, "Economic growth, energy consumption and government expenditure:evidence from a nonlinear ARDL analysis," MPRA Paper, University Library of Munich, Germany, number 87527, Jun.
• Suwanhirunkul, Suwijak & Masih, Mansur, 2018, "Exchange rate and trade balance linkage: sectoral evidence from Thailand based on nonlinear ARDL," MPRA Paper, University Library of Munich, Germany, number 87541, Jun.
• Bamahriz, Omar & Masih, Mansur, 2018, "Brain drain or brain gain? investigating the diaspora’s effect on the economy and real estate bubble: new evidence from Kenya based on ARDL analysis," MPRA Paper, University Library of Munich, Germany, number 87556, Jun.
• Abu-Bakar, Muhammad & Masih, Mansur, 2018, "Is the oil price pass-through to domestic inflation symmetric or asymmetric? new evidence from India based on NARDL," MPRA Paper, University Library of Munich, Germany, number 87569, Jun.
• Haffejee, muhammad Ismail & Masih, Mansur, 2018, "Is the relationship between financial development and income inequality symmetric or asymmetric ? new evidence from South Africa based on NARDL," MPRA Paper, University Library of Munich, Germany, number 87574, Jun.
• Hamzah, Nurrawaida Husna & Masih, Mansur, 2018, "Revisiting effectiveness of interest rate as a tool to control inflation: evidence from Malaysia based on ARDL and NARDL," MPRA Paper, University Library of Munich, Germany, number 87576, Jun.
• Zahir, Faathih & Masih, Mansur, 2018, "Is the lead-lag relationship between financial development and economic growth symmetric ? new evidence from Bangladesh based on ARDL ad NARDL," MPRA Paper, University Library of Munich, Germany, number 87577, Jun.
• Morema, Kgotso & Bonga-Bonga, Lumengo, 2018, "The impact of oil and gold price fluctuations on the South African equity market: volatility spillovers and implications for portfolio management," MPRA Paper, University Library of Munich, Germany, number 87637, Apr.
• Gouriéroux, Christian & Monfort, Alain & Zakoian, Jean-Michel, 2018, "Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations," MPRA Paper, University Library of Munich, Germany, number 87834.
• Bonga-Bonga, Lumengo & Manguzvane, Mathias Mandla, 2018, "Assessing the extent of contagion of sovereign credit risk among BRICS countries," MPRA Paper, University Library of Munich, Germany, number 89200, Sep.
• Pincheira, Pablo & Hardy, Nicolas, 2018, "The predictive relationship between exchange rate expectations and base metal prices," MPRA Paper, University Library of Munich, Germany, number 89423, Oct.
• Naser, Hanan, 2018, "Financial Development and Economic Growth in Oil-Dependent Economy: The case of Bahrain," MPRA Paper, University Library of Munich, Germany, number 89743, Jul, revised 04 Sep 2018.
• Fedotenkov, Igor, 2018, "A review of more than one hundred Pareto-tail index estimators," MPRA Paper, University Library of Munich, Germany, number 90072, Nov.
• Yildirim, Ramazan & Masih, Mansur, 2018, "Investigating International Portfolio Diversification Opportunities for the Asian Islamic Stock Market Investors," MPRA Paper, University Library of Munich, Germany, number 90281, May.
• Pincheira, Pablo & Neumann, Federico, 2018, "Can we beat the Random Walk? The case of survey-based exchange rate forecasts in Chile," MPRA Paper, University Library of Munich, Germany, number 90432, Dec.
• Shaw, Charles, 2018, "Conditional heteroskedasticity in crypto-asset returns," MPRA Paper, University Library of Munich, Germany, number 90437, Nov.
• Halkos, George & Tzirivis, Apostolos, 2018, "Effective energy commodities’ risk management: Econometric modeling of price volatility," MPRA Paper, University Library of Munich, Germany, number 90781, Dec.
• Aknouche, Abdelhakim & Francq, Christian, 2018, "Count and duration time series with equal conditional stochastic and mean orders," MPRA Paper, University Library of Munich, Germany, number 90838, Nov.
• Aknouche, Abdelhakim & Demmouche, Nacer & Touche, Nassim, 2018, "Bayesian MCMC analysis of periodic asymmetric power GARCH models," MPRA Paper, University Library of Munich, Germany, number 91136, May.
• Aqsha, Nur Suhairah & Masih, Mansur, 2018, "Is residential property the ultimate hedge against inflation ? new evidence from Malaysia based on ARDL and nonlinear ARDL," MPRA Paper, University Library of Munich, Germany, number 91508, Dec.
• Adznan, Syaima & Masih, Mansur, 2018, "Exchange rate and trade balance linkage: evidence from Malaysia based on ARDL and NARDL," MPRA Paper, University Library of Munich, Germany, number 91509, Dec.
• Hasan, Amiratul Nadiah & Masih, Mansur, 2018, "Determinants of food price inflation: evidence from Malaysia based on linear and nonlinear ARDL," MPRA Paper, University Library of Munich, Germany, number 91517, Dec.
• Affendi, Diyana Najwa & Masih, Mansur, 2018, "Is inflation targeting compatible with economic growth ? Korean experience based on ARDL and NARDL," MPRA Paper, University Library of Munich, Germany, number 91519, Dec.
• Adediran, Ibrahim Opeyemi & Masih, Mansur, 2018, "Oil price and the global conventional and islamic stock markets: Is the relationship symmetric or asymmetric ? evidence from nonlinear ARDL," MPRA Paper, University Library of Munich, Germany, number 91558, Dec.
• Bahruddin, Wan Athirah & Masih, Mansur, 2018, "Is the relation between lending interest rate and non-performing loans symmetric or asymmetric ? evidence from ARDL and NARDL," MPRA Paper, University Library of Munich, Germany, number 91565, Dec.
• Sabry, Saajid & Masih, Mansur, 2018, "Is gold a hedge against equity risk? Malaysian experience based on NARDL approach," MPRA Paper, University Library of Munich, Germany, number 91584, Dec.
• Nkoba, Malik Abdulrahman & Masih, Mansur, 2018, "Revisiting the Phillips curve trade-off: evidence from Tanzania using nonlinear ARDL approach," MPRA Paper, University Library of Munich, Germany, number 91631, Dec.
• Akhtar, Sharmin & Masih, Mansur, 2018, "Does asymmetry matter in the relationship between exchange rate and remittance? Evidence from a remittance recipient country based on ARDL and NARDL," MPRA Paper, University Library of Munich, Germany, number 91764, Dec.
• Lee, Kam Weng & Masih, Mansur, 2018, "Investigating the causal relationship between exchange rate variability and palm oil export: evidence from Malaysia based on ARDL and nonlinear ARDL approaches," MPRA Paper, University Library of Munich, Germany, number 91801, Dec.
• Suwanhirunkul, Suwijak & Masih, Mansur, 2018, "Islamic equity as an alternative investment from the perspective of the Southeast Asian investors: evidence from MGARCH-DCC and Wavelet Coherence," MPRA Paper, University Library of Munich, Germany, number 93542, Dec.
• Suwanhirunkul, Prachaya & Masih, Mansur, 2018, "Effect of dividend policy on stock price volatility in the Dow Jones U.S. index and the Dow Jones islamic U.S. index: evidences from GMM and quantile regression," MPRA Paper, University Library of Munich, Germany, number 93543, Dec.
• Tayeb, Hamza & Masih, Mansur, 2018, "The lead lag relationship between oil prices and exchange rate in an oil importing country: evidence fromThailand using ARDL," MPRA Paper, University Library of Munich, Germany, number 94197, Jun.
• Razak, Nursakina & Masih, Mansur, 2018, "Does income or house price lead in the public housing market? a case study of Singapore’s public housing sector," MPRA Paper, University Library of Munich, Germany, number 94212, Jun.
• Gerlach, Richard & Naimoli, Antonio & Storti, Giuseppe, 2018, "Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting," MPRA Paper, University Library of Munich, Germany, number 94289, Jan.
• Brummelhuis, Raymond & Luo, Zhongmin, 2018, "Arbitrage Opportunities in CDS Term Structure: Theory and Implications for OTC Derivatives," MPRA Paper, University Library of Munich, Germany, number 94778, Nov.
• Mahmood, Nihal & Masih, Mansur, 2018, "Dynamics between islamic banking performance and CO2 emissions: evidence from the OIC countries," MPRA Paper, University Library of Munich, Germany, number 95652, Dec.
• Fries, Sébastien, 2018, "Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds," MPRA Paper, University Library of Munich, Germany, number 97353, May, revised Nov 2019.
• Ibrahim, Norhaslina & Masih, Mansur, 2018, "The finance-growth nexus: is finance supply-leading or demand-following in islamic finance ? evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 98676, Jun.
• Rahman, Nadiah & Masih, Mansur, 2018, "Do deposits in islamic banks have an impact on equity market? evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 98734, Feb.
• Nasir, Nur Alissa & Masih, Mansur, 2018, "Are the stock indices of FTSE Malaysia, China and USA causally linked together ?," MPRA Paper, University Library of Munich, Germany, number 98782, May.
• Aziz, Abdul & Masih, Mansur, 2018, "Lead-lag relationship between macroeconomic variables and stock market: evidence from Korea," MPRA Paper, University Library of Munich, Germany, number 99894, Oct.
• Michal Rychnovský, 2018, "Survival Analysis As A Tool For Better Probability Of Default Prediction," Acta Oeconomica Pragensia, Prague University of Economics and Business, volume 2018, issue 1, pages 34-46, DOI: 10.18267/j.aop.594.
• Jan Hanousek & Anastasiya Shamshur & Jiří Trešl, 2018, "Investiční rozhodování firem v korupčním prostředí ve střední a východní Evropě
  [Innovation Decisions in Uncertain Business Environments of CEE Countries]," Politická ekonomie, Prague University of Economics and Business, volume 2018, issue 3, pages 287-301, DOI: 10.18267/j.polek.1189.
• Lukáš Frýd, 2018, "Asymetrie během finančních krizí: asymetrická volatilita převyšuje důležitost asymetrické korelace
  [Asymmetry of Financial Time Series During the Financial Crisis: Asymmetric Volatility Outperforms," Politická ekonomie, Prague University of Economics and Business, volume 2018, issue 3, pages 302-329, DOI: 10.18267/j.polek.1190.
• Markéta Arltová & Tomáš Kábrt, 2018, "Hlavní determinanty ovlivňující poptávku po životním pojištění v České republice
  [Analysis of Determinants, Influencing Life Insurance Demand in the Czech Republic]," Politická ekonomie, Prague University of Economics and Business, volume 2018, issue 3, pages 344-365, DOI: 10.18267/j.polek.1192.
• Abderrazak Ben Maatoug & Rim Lamouchi & Russell Davidson & Ibrahim Fatnassi, 2018, "Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 10, issue 1, pages 1-25, March.
• Pranvera Mulla & Ornela Shalari & Anita Gumeni, 2018, "An Examination of the Occurrence of Speculative Bubbles in the US Stock Markets," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 21, issue 67, pages 98-109, March.
• Paolo Giudici & Bihong Huang & Alessandro Spelta, 2018, "Trade Networks and Economic Fluctuations in Asia," ADBI Working Papers, Asian Development Bank Institute, number 832, Apr.
• Dmitriy Borzykh & Mikhail Khasykov, 2018, "The refinement procedure of ICSS algorithm for structural breaks detection in GARCH-models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 51, pages 126-139.