Research classified by Journal of Economic Literature (JEL) codes

2019

• An-Sing Chen & Pham Tuan Anh, 2019, "The Effect of Deregulation on Firm Leverage and Strategic Behavior: Evidence from U.S. Electricity Industry," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 69, issue 5, pages 489-507, October.
• Michael Mark & Jan Sila & Thomas A. Weber, 2019, "Quantifying Endogeneity of Cryptocurrency Markets," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2019/29, Oct, revised Oct 2019.
• Michael Peng & Dongkai Jiang & Yingjie Wang, 2019, "Forecasting Chinese Corporate Bond Defaults: Comparative Study of Market- vs. Accounting-Based Models," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 14, issue 4, pages 536-582, December.
• Ruijun Bu & Rodrigo Hizmeri & Marwan Izzeldin & Anthony Murphy & Mike G. Tsionas, 2019, "The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility," Working Papers, Federal Reserve Bank of Dallas, number 1902, Mar, revised 17 Dec 2022, DOI: 10.24149/wp1902r2.
• Todd Prono, 2019, "When Simplicity Offers a Benefit, Not a Cost: Closed-Form Estimation of the GARCH(1,1) Model that Enhances the Efficiency of Quasi-Maximum Likelihood," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2019-030, May, DOI: 10.17016/FEDS.2019.030.
• Richard K. Crump & Nikolay Gospodinov, 2019, "Deconstructing the yield curve," Staff Reports, Federal Reserve Bank of New York, number 884, Apr.
• Daniel J. Lewis, 2019, "Announcement-Specific Decompositions of Unconventional Monetary Policy Shocks and Their Macroeconomic Effects," Staff Reports, Federal Reserve Bank of New York, number 891, Jun.
• Joseph P. Hughes & Julapa Jagtiani & Choon-Geol Moon, 2019, "Consumer Lending Efficiency:Commercial Banks Versus A Fintech Lender," Working Papers, Federal Reserve Bank of Philadelphia, number 19-22, Apr, DOI: 10.21799/frbp.wp.2019.22.
• Fabrizio Cipollini & Giampiero M. Gallo & Edoardo Otranto, 2019, "Realized Volatility Forecasting: Robustness to Measurement Errors," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2019_04, Jul.
• Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri, 2019, "Realized variance modeling: decoupling forecasting from estimation," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2019_05, Jul.
• Marina Yu. Malkina & Anton O. Ovcharov, 2019, "Financial Stress Index as a Generalized Indicator of Financial Instability," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 3, pages 38-54, June, DOI: 10.31107/2075-1990-2019-3-38-54.
• Bîzderea Claudia Gabriela, 2019, "Studiu privind corelația dintre evoluția pieței de capital și creșterea economică," Journal of Financial Studies, Institute of Financial Studies, volume 7, issue 4, pages 197-215, June.
• Manabu Asai & Rangan Gupta & Michael McAleer, 2019, "The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures," Energies, MDPI, volume 12, issue 17, pages 1-17, September.
• Duc Hong Vo & Tan Ngoc Vu & Anh The Vo & Michael McAleer, 2019, "Modeling the Relationship between Crude Oil and Agricultural Commodity Prices," Energies, MDPI, volume 12, issue 7, pages 1-41, April.
• Chia-Lin Chang & Michael McAleer & Jiarong Tian, 2019, "Modeling and Testing Volatility Spillovers in Oil and Financial Markets for the USA, the UK, and China," Energies, MDPI, volume 12, issue 8, pages 1-24, April.
• Peter G. Dunne, 2019, "Positive Liquidity Spillovers from Sovereign Bond-Backed Securities," JRFM, MDPI, volume 12, issue 2, pages 1-25, April.
• Michael McAleer, 2019, "What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity, and (Non-) Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model," JRFM, MDPI, volume 12, issue 2, pages 1-9, April.
• Michael McAleer, 2019, "What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity and (Non-) Asymptotic Properties of the Full BEKK Dynamic Conditional Covariance Model," JRFM, MDPI, volume 12, issue 2, pages 1-7, April.
• Alfonso Novales & Alvaro Chamizo, 2019, "Splitting Credit Risk into Systemic, Sectorial and Idiosyncratic Components," JRFM, MDPI, volume 12, issue 3, pages 1-33, August.
• Vásquez Cordano, Arturo Leonardo, 2019, "Evaluación del impacto económico de las interrupciones en el transporte de gas natural en el Perú," Documentos de Trabajo, Escuela de Postgrado GERENS, number 003, Jun.
• Ioannis Kyriakou & Parastoo Mousavi & Jens Perch Nielsen & Michael Scholz, 2019, "Machine Learning for Forecasting Excess Stock Returns The Five-Year-View," Graz Economics Papers, University of Graz, Department of Economics, number 2019-06, Aug.
• Enno Mammen & Jens Perch Nielsen & Michael Scholz & Stefan Sperlich, 2019, "Conditional variance forecasts for long-term stock returns," Graz Economics Papers, University of Graz, Department of Economics, number 2019-08, Aug.
• Hayette Gatfaoui, 2019, "Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures," Post-Print, HAL, number hal-02115626, May, DOI: 10.1016/j.eneco.2018.12.013.
• Jose Areola Hernandez & Syed Jawad Hussain Shahzad & Gazi Salah Uddin & Sang Hoon Kang, 2019, "Can agricultural and precious metal commodities diversify and hedge extreme downside and upside oil market risk? An extreme quantile approach," Post-Print, HAL, number hal-02159274, Aug, DOI: 10.1016/j.resourpol.2018.11.007.
• Thi-Hong-Van Hoang & Zhenzhen Zhu & Abdelbari El Khamlichi & Wing-Keung Wong, 2019, "Does the Shari’ah screening impact the gold-stock nexus? A sectorial analysis," Post-Print, HAL, number hal-02179795, Jun, DOI: 10.1016/j.resourpol.2018.10.002.
• Jamal Bouoiyour & Refk Selmi & Shawkat Hammoudeh & Mark E Wohar, 2019, "What are the categories of geopolitical risks that could drive oil prices higher? Acts or threats?," Post-Print, HAL, number hal-02409062, Oct, DOI: 10.1016/j.eneco.2019.104523.
• Sang Hoon Kang & Jose Arreola Hernandez & Seong-Min Yoon, 2019, "Who leads the inflation cycle in Europe? Inflation cycle and spillover influence among Eurozone and non-Eurozone economies," Post-Print, HAL, number hal-02430651, Dec, DOI: 10.1016/j.inteco.2019.10.001.
• Sang Hoon Kang & Ron Mciver & Jose Arreola Hernandez, 2019, "Co-movements between Bitcoin and Gold: A wavelet coherence analysis," Post-Print, HAL, number hal-02468160, Dec, DOI: 10.1016/j.physa.2019.04.124.
• Clément Cerovecki & Christian Francq & Siegfried Hörmann & Jean-Michel Zakoïan, 2019, "Functional GARCH models: The quasi-likelihood approach and its applications," Post-Print, HAL, number hal-05417265, Apr, DOI: 10.1016/j.jeconom.2019.01.006.
• Ilyes Abid & Abderrazak Dhaoui & Stéphane Goutte & Khaled Guesmi, 2019, "Contagion and bond pricing: The case of the ASEAN region," Post-Print, HAL, number halshs-02148928, Jan, DOI: 10.1016/j.ribaf.2018.08.010.
• Becker, Janis & Hollstein, Fabian & Prokopczuk, Marcel & Sibbertsen, Philipp, 2019, "The Memory of Beta Factors," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-661, Sep.
• Farago, Adam & Hjalmarsson, Erik, 2019, "Compound Returns," Working Papers in Economics, University of Gothenburg, Department of Economics, number 767, Jun.
• Mikhail Stolbov, 2019, "Constructing a Financial Stress Index for Russia: New Approaches," HSE Economic Journal, National Research University Higher School of Economics, volume 23, issue 1, pages 32-60.
• Valeria V. Lakshina, 2019, "Do Portfolio Investors Need To Consider The Asymmetry Of Returns On The Russian Stock Market?," HSE Working papers, National Research University Higher School of Economics, number WP BRP 75/FE/2019.
• Matthew Greenwood-Nimmo & Evžen KoÄ enda & Viet Hoang Nguyen, 2019, "Does the Spillover Index Reflect Systemic Shocks? A Bootstrap-Based Probabilistic Analysis," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2019n17, Nov.
• Tihana Skrinjaric & Zrinka Orlovic, 2019, "Effects of Economic and Political Events on Stock Returns: Event Study of the Agrokor Case in Croatia," Croatian Economic Survey, The Institute of Economics, Zagreb, volume 21, issue 1, pages 47-86, June.
• Miriam Sosa & Edgar Ortiz & Alejandra Cabello, 2019, "International Financial US Linkages: Networks Theory and MS-VAR Analyses," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 14, issue PNEA, pages 459-584, Agosto 20.
• Roberto Joaquín Santillán Salgado & Alejandro Fonseca Ramírez & Luis Nelson Romero, 2019, "The "day-of-the-week" effects in the exchange rate of Latin American currencies," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 14, issue PNEA, pages 485-507, Agosto 20.
• Oscar V. De la Torre-Torres & Dora Aguilasocho-Montoya & José Álvarez-García, 2019, "Active portfolio management in the Andean countries'' stock markets with Markov-Switching GARCH models," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 14, issue PNEA, pages 601-616, Agosto 20.
• Erdinc Akyildirim & Shaen Corbet & Duc Khuong Nguyene & Ahmet Sensoy, 2019, "Regulatory Changes and Long-run Relationships of the EMU Sovereign Debt Markets: Implications for Future Policy Framework," Working Papers, Department of Research, Ipag Business School, number 2019-005, Jan.
• Helena Chuliá & Jorge M. Uribe, 2019, "“Expected, Unexpected, Good and Bad Uncertainty"," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 201919, Nov, revised Nov 2019.
• Süleyman Hilmi KAL & İlhami GÜNDÜZ, 2019, "Global Capital Flows, Time Varying Fundamentals And Transitional Exchange Rate Dynamics: An MS-VAR Approach," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, volume 69, issue 1, pages 1-22, June, DOI: 10.26650/ISTJECON2019-0004.
• Mustafa ÖZYEŞİL, 2019, "The Relationship Between the Popularity of Cryptocurrencies and their Prices, Returns and Trading Volumes: A Structural Break and Comparative Analysis," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, volume 69, issue 2, pages 133-157, December, DOI: 10.26650/ISTJECON2019-0017.
• Dr. Sanjeev Kumar, 2019, "The Impact of Fiscal Deficit on Economic Growth in India: An Economic Analysis," Journal of Commerce and Trade, Society for Advanced Management Studies, volume 14, issue 2, pages 67-71, Octobor.
• Wasanthi Thenuwara & Mahinda Siriwardana & Nam Hoang, 2019, "Will Population Ageing Cause a House Price Meltdown in Australia?," Journal of Developing Areas, Tennessee State University, College of Business, volume 53, issue 2, pages 63-77, April-Jun.
• Rosati, Nicoletta & Bellia, Mario & Matos, Pedro Verga & Oliviera, Vasco, 2019, "Ratings matter: announcements in times of crisis and the dynamics of stock markets," JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission, number 2019-08, Sep.
• Rituparna Sen & Manavathi Subramaniam, 2019, "Stylized Facts of the Indian Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 26, issue 4, pages 479-493, December, DOI: 10.1007/s10690-019-09275-3.
• Manh Cuong Dong & Cathy W. S. Chen & Sangyoel Lee & Songsak Sriboonchitta, 2019, "How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models," Computational Economics, Springer;Society for Computational Economics, volume 53, issue 1, pages 343-366, January, DOI: 10.1007/s10614-017-9743-z.
• Stelios Bekiros & Nikolaos Loukeris & Nikolaos Matsatsinis & Frank Bezzina, 2019, "Customer Satisfaction Prediction in the Shipping Industry with Hybrid Meta-heuristic Approaches," Computational Economics, Springer;Society for Computational Economics, volume 54, issue 2, pages 647-667, August, DOI: 10.1007/s10614-018-9842-5.
• Till Massing, 2019, "What is the best Lévy model for stock indices? A comparative study with a view to time consistency," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 33, issue 3, pages 277-344, September, DOI: 10.1007/s11408-019-00335-2.
• Nafeesa Yunus, 2019, "Dynamic Linkages Among U.S. Real Estate Sectors Before and After the Housing Crisis," The Journal of Real Estate Finance and Economics, Springer, volume 58, issue 2, pages 264-289, February, DOI: 10.1007/s11146-017-9639-7.
• Vietha Devia S.S., 2019, "The Correlation of Exchange Rate and Inflation and Its Effect on Stock Markets. Case Study on Consumer Good Index Indonesia: 2004 – 2017," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, volume 5, issue 2, pages 32-44, June.
• Simon Hetland & Rasmus Søndergaard Pedersen & Anders Rahbek, 2019, "Dynamic Conditional Eigenvalue GARCH," Discussion Papers, University of Copenhagen. Department of Economics, number 19-13, Dec.
• Klenio Barbosa & Dakshina De Silva & Liyu Yang & Hisayuki Yoshimoto, 2019, "Auction Mechanisms and Treasury Revenue," Working Papers, Lancaster University Management School, Economics Department, number 267027285.
• Andres Fioriti, Fernando Andres Delbianco, 2019, "Dependence of Latin America external sector on commodity prices. A contemporaneity analysis using a descriptive approach," Económica, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, volume 65, pages 173-200, January-D.
• Rangan Gupta & Sheung-Chi Chow & Tahir Suleman & Wing-Keung Wong, 2019, "Long-Run Movement and Predictability of Bond Spread for BRICS and PIIGS: The Role of Economic, Financial and Political Risks," Journal of Reviews on Global Economics, Lifescience Global, volume 8, pages 239-257.
• Kwaku Boafo Baidoo, 2019, "The Effects of Short Selling on Financial Markets Volatilities," European Journal of Business Science and Technology, Mendel University in Brno, Faculty of Business and Economics, volume 5, issue 2, pages 218-228, DOI: 10.11118/ejobsat.v5i2.183.
• Andrea Bastianin, 2019, "Robust measures of skewness and kurtosis for macroeconomic and financial time series," Working Papers, University of Milano-Bicocca, Department of Economics, number 408, May, revised 06 May 2019.
• David de Villiers & Andrew Phiri, 2019, "Towards resolving the Purchasing Power Parity (PPP) ‘puzzle’ in Newly Industrialized Countries (NIC’s)," Working Papers, Department of Economics, Nelson Mandela University, number 1908, Sep, revised Sep 2019.
• Bernard De Meyer & Moussa Dabo, 2019, "The CMMV Pricing Model in Practice," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 19026, Nov.
• Patrick Leung & Catherine S. Forbes & Gael M Martin & Brendan McCabe, 2019, "Forecasting Observables with Particle Filters: Any Filter Will Do!," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 22/19.
• Paweł Radwański, 2019, "Polityka fiskalna i premia za ryzyko akcji na warszawskiej giełdzie," Bank i Kredyt, Narodowy Bank Polski, volume 50, issue 3, pages 265-294.
• Marcin Pełka, 2019, "Symbolic decision stumps in individual credit scoring," Bank i Kredyt, Narodowy Bank Polski, volume 50, issue 6, pages 513-528.
• Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2019, "Taming the Factor Zoo: A Test of New Factors," NBER Working Papers, National Bureau of Economic Research, Inc, number 25481, Jan.
• Lars Peter Hansen & Thomas J. Sargent, 2019, "Macroeconomic Uncertainty Prices when Beliefs are Tenuous," NBER Working Papers, National Bureau of Economic Research, Inc, number 25781, Apr.
• Zheng Tracy Ke & Bryan T. Kelly & Dacheng Xiu, 2019, "Predicting Returns With Text Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 26186, Aug.
• Steven F. Lehrer & Tian Xie & Tao Zeng, 2019, "Does High Frequency Social Media Data Improve Forecasts of Low Frequency Consumer Confidence Measures?," NBER Working Papers, National Bureau of Economic Research, Inc, number 26505, Nov.
• Bryan T. Kelly & Asaf Manela & Alan Moreira, 2019, "Text Selection," NBER Working Papers, National Bureau of Economic Research, Inc, number 26517, Nov.
• Dash, M., 2019, "A Study on Commodity Market Behaviour, Price Discovery and its Factors," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, volume 8, issue 3, pages 125-134, September.
• P Gorgi & P R Hansen & P Janus & S J Koopman, 2019, "Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model," Journal of Financial Econometrics, Oxford University Press, volume 17, issue 1, pages 1-32.
• Hoang Nguyen & M Concepción Ausín & Pedro Galeano, 2019, "Parallel Bayesian Inference for High-Dimensional Dynamic Factor Copulas," Journal of Financial Econometrics, Oxford University Press, volume 17, issue 1, pages 118-151.
• Kevin Sheppard & Wen Xu, 2019, "Factor High-Frequency-Based Volatility (HEAVY) Models," Journal of Financial Econometrics, Oxford University Press, volume 17, issue 1, pages 33-65.
• Anne Opschoor & André Lucas, 2019, "Fractional Integration and Fat Tails for Realized Covariance Kernels," Journal of Financial Econometrics, Oxford University Press, volume 17, issue 1, pages 66-90.
• Andrea Berardi & Alberto Plazzi, 2019, "Inflation Risk Premia, Yield Volatility, and Macro Factors," Journal of Financial Econometrics, Oxford University Press, volume 17, issue 3, pages 397-431.
• 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.
• Christian Bucio Pacheco & Raul de Jesus Gutierrez & Magnolia Miriam Sosa Castro, 2019, "Contagio via copulas dinamicas en los mercados de capitales del TLCAN de 2000 a 2016," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., volume 16, issue 2, pages 65-87, Julio-Dic.
• 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.
• Theshne Kisten, 2019, "A financial stress index for South Africa: A time-varying correlation approach," ERSA Working Paper Series, Economic Research Southern Africa, number 805, Nov.
• 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.
• Mohamed Sadok GASSOUMA, 2019, "Abnormal accounting accruals Management by market disciplinary approach: Evidence in Tunisian banks before and after the Arab Revolution," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, volume 8, issue 2, pages 1-2.
• 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.