Research classified by Journal of Economic Literature (JEL) codes

2026

• Polakow, Daniel Adam & Flint, Emlyn James & Turro, Isabella Cristina Josephine & van Rooyen, Joané, 2026, "Prediction reconditioned: Revisiting relevance," Finance Research Letters, Elsevier, volume 99, issue C, DOI: 10.1016/j.frl.2026.109854.
• Li, Zhiyong & Wang, Yining & Qiao, Fang & Yu, Mei, 2026, "Convertible bond return predictability with machine learning," Journal of Financial Markets, Elsevier, volume 79, issue C, DOI: 10.1016/j.finmar.2025.101010.
• Anastasopoulos, Alexia & Gradojevic, Nikola & Liu, Fred & Maynard, Alex & Tsiakas, Ilias, 2026, "Order flow and cryptocurrency returns," Journal of Financial Markets, Elsevier, volume 79, issue C, DOI: 10.1016/j.finmar.2026.101047.
• Booth, Geoffrey G. & Ellina, Polina & Theodossiou, Panayiotis, 2026, "Decoding underprediction and anchoring in BEA's GDP backcasts," Journal of Financial Stability, Elsevier, volume 83, issue C, DOI: 10.1016/j.jfs.2026.101509.
• Li, Yan & Qian, Zongxin, 2026, "Systemic risk measures and macroeconomic shocks: An update of empirical evidence," Journal of Financial Stability, Elsevier, volume 84, issue C, DOI: 10.1016/j.jfs.2026.101520.
• Yee, Chanho, 2026, "Fundamental persistence and diagnostic expectations," Global Finance Journal, Elsevier, volume 71, issue C, DOI: 10.1016/j.gfj.2026.101287.
• Esparcia, Carlos & Jareño, Francisco & Escribano, Ana, 2026, "Considering the interaction between carbon allowances and cryptocurrencies across time and frequencies: Potential risk-return and environmental benefits," Innovation and Green Development, Elsevier, volume 5, issue 1, DOI: 10.1016/j.igd.2026.100327.
• Chen, Kairan & Granville, Brigitte & Matousek, Roman, 2026, "Decoding central bank communications with large language models," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 109, issue C, DOI: 10.1016/j.intfin.2026.102325.
• Lahiani, Amine & Mefteh-Wali, Salma & Mselmi, Nada, 2026, "Do defense stocks benefit from geopolitical Risk? asymmetries across time horizons and market states," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 110, issue C, DOI: 10.1016/j.intfin.2026.102354.
• Fanelli, Viviana & Fontana, Claudio & Rotondi, Francesco, 2026, "A hidden Markov model for statistical arbitrage in international crude oil futures markets," Journal of Banking & Finance, Elsevier, volume 188, issue C, DOI: 10.1016/j.jbankfin.2026.107714.
• Wang, Zerong & Zhang, Gongqiu, 2026, "Joint valuation of SPX and VIX options by GARCH models with bad and good environments," Journal of Banking & Finance, Elsevier, volume 188, issue C, DOI: 10.1016/j.jbankfin.2026.107719.
• Alexiou, Lykourgos & Bevilacqua, Mattia & Hizmeri, Rodrigo, 2026, "Uncovering the asymmetric information content of high-frequency options," Journal of Banking & Finance, Elsevier, volume 188, issue C, DOI: 10.1016/j.jbankfin.2026.107720.
• Fornari, Fabio & Pianeselli, Daniele & Zaghini, Andrea, 2026, "Environmental score and bond pricing: It better be good, it better be green," Journal of International Money and Finance, Elsevier, volume 161, issue C, DOI: 10.1016/j.jimonfin.2025.103498.
• Gavronski, Pedro & De Genaro, Alan, 2026, "Jumps and jolts: A continuous-time model for electricity future contract pricing," Journal of Commodity Markets, Elsevier, volume 41, issue C, DOI: 10.1016/j.jcomm.2025.100535.
• Karadimitropoulou, Aikaterini & Koulmas, Pavlos & Michaelides, Panayotis G. & Triantafyllou, Athanasios, 2026, "From Paris to Pandemic: How climate risk and policy uncertainty shapes fossil and clean Energy commodities," Journal of Commodity Markets, Elsevier, volume 41, issue C, DOI: 10.1016/j.jcomm.2026.100543.
• Biswas, Pratik & Sharma, Chandan, 2026, "Quantifying electricity market stress: Constructing and validating the stress index with evidence from India," Journal of Commodity Markets, Elsevier, volume 42, issue C, DOI: 10.1016/j.jcomm.2026.100559.
• Mati, Sagiru & Ismael, Goran Yousif & Alsakarneh, Raad Abdelhalim Ibrahim & Aliyu, Nazifi, 2026, "Ruble resilience or euro dominance? The impact of the Russo-Ukrainian war on the euro-ruble exchange rate," Journal of Policy Modeling, Elsevier, volume 48, issue 1, pages 60-72, DOI: 10.1016/j.jpolmod.2025.06.020.
• Zheng, Qingying & Wu, Jintao & Lin, Boqiang, 2026, "Asymmetric volatility spillover between clean energy and nonferrous metal markets under climate risks: Portfolio hedging implications," Resources Policy, Elsevier, volume 112, issue C, DOI: 10.1016/j.resourpol.2025.105801.
• Zangelidis, Leonidas & Rezitis, Anthony N., 2026, "Topology of intraday realized volatilities across commodity indices, copper futures, the U.S. dollar index, and the NASDAQ: An unrestricted multivariate HAR-VAR approach," Resources Policy, Elsevier, volume 117, issue C, DOI: 10.1016/j.resourpol.2026.105934.
• Tok, Şerife Akıncı, 2026, "Climate policy and sustainability uncertainty in energy and transition metal markets: Evidence from a TVP-VAR–based asymmetric connectedness framework," Resources Policy, Elsevier, volume 118, issue C, DOI: 10.1016/j.resourpol.2026.105935.
• Bu, Hui & Chen, Huanghao & Tang, Wenjin & Yen, Jerome & Zheng, Erya, 2026, "Information diffusion through weighted positive causal networks: Evidence from pair-based trading strategy in China," Pacific-Basin Finance Journal, Elsevier, volume 96, issue C, DOI: 10.1016/j.pacfin.2025.103002.
• Zhu, Minghao & Shi, Haimeng & Kong, Rong & Khalid, Zarqa & Hassan, Maaz & Chen, Zhe, 2026, "Does digital finance improve household financial health? Evidence from China," Pacific-Basin Finance Journal, Elsevier, volume 96, issue C, DOI: 10.1016/j.pacfin.2025.103016.
• Guo, Feng & Lai, Fujun, 2026, "Does RMB drive the dynamic of RCEP regional currency FXs?," Pacific-Basin Finance Journal, Elsevier, volume 96, issue C, DOI: 10.1016/j.pacfin.2025.103019.
• Li, Xingyi & Liu, Zhuang & Liu, Yujun & Zhu, Shushang & Yan, Jingzhou, 2026, "Predicting cryptocurrency returns with machine learning: Evidence from high-dimensional factor modeling," Pacific-Basin Finance Journal, Elsevier, volume 96, issue C, DOI: 10.1016/j.pacfin.2025.103033.
• Liu, Yang & Li, Shun, 2026, "Beyond market stress: Incremental long-term information in geopolitical tension for gold volatility," Pacific-Basin Finance Journal, Elsevier, volume 96, issue C, DOI: 10.1016/j.pacfin.2026.103074.
• Yu, Bo & Peng, Weijia & Yao, Chun & Lan, Wei, 2026, "Forecasting realized volatility of Shanghai oil futures with mix-frequency uncertainty factors," Pacific-Basin Finance Journal, Elsevier, volume 98, issue C, DOI: 10.1016/j.pacfin.2026.103150.
• Choi, Insu & Lim, Soyeong & Kim, Seoyeon & Choi, Yeona & Han, Subin & Kim, Woo Chang, 2026, "Metric-based technical indicators for yield forecasting," Pacific-Basin Finance Journal, Elsevier, volume 98, issue C, DOI: 10.1016/j.pacfin.2026.103169.
• He, Junlin & Ng, Kok-Haur & Peiris, Shelton & Allen, David, 2026, "Modelling volatility and return based on a two-stage Log-BiACARR framework and intraday information: Evidence from Guangdong and Hubei carbon emissions trading markets," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 681, issue C, DOI: 10.1016/j.physa.2025.131097.
• Kang, Hankil & Ryu, Doojin, 2026, "Sentiment, uncertainty, and bond return predictability," The Quarterly Review of Economics and Finance, Elsevier, volume 105, issue C, DOI: 10.1016/j.qref.2025.102083.
• Martins, António Miguel & Albuquerque, Bruno & Sardinha, Luís & Moutinho, Nuno, 2026, "The impact of wildfires on US insurance firms: Evidence for the costliest wildfire in California," The Quarterly Review of Economics and Finance, Elsevier, volume 107, issue C, DOI: 10.1016/j.qref.2026.102160.
• Mason, Charles F. & Taschini, Luca & Wilmot, Neil A., 2026, "Jumping beans: Implications of fat tails in international soybean and biofuels markets," Resource and Energy Economics, Elsevier, volume 85, issue C, DOI: 10.1016/j.reseneeco.2025.101550.
• Akgul, Ersin Firat & Haralambides, Hercules & Akdamar, Emrah, 2026, "Strategic metals, rare earths, green transition, and tanker markets: Dynamic connectedness and strategic decision-making," Research in Transportation Economics, Elsevier, volume 117, issue C, DOI: 10.1016/j.retrec.2026.101783.
• Lee, Geul & Chen, Jing & Ryu, Doojin, 2026, "Effectiveness of domain stabilization: A broader perspective," International Review of Economics & Finance, Elsevier, volume 105, issue C, DOI: 10.1016/j.iref.2025.104799.
• Sultana, Nargis, 2026, "Volatility regimes and structural shifts in geopolitical risk: Evidence from GARCH and breakpoint analysis," International Review of Economics & Finance, Elsevier, volume 105, issue C, DOI: 10.1016/j.iref.2025.104803.
• Li, Yaxing & Lau, Wee-Yeap & Ng, Kok-Haur, 2026, "From crisis to crisis: The roles of interest rate and inflation in shaping stock returns in selected advanced economies," International Review of Economics & Finance, Elsevier, volume 105, issue C, DOI: 10.1016/j.iref.2025.104804.
• Forcellini, Marcello & Vento, Gianfranco Antonio & Gracikova, Eva, 2026, "“The impact of Covid-19 on the market volatility: A quantitative analysis of the Italian banking sector”," International Review of Economics & Finance, Elsevier, volume 105, issue C, DOI: 10.1016/j.iref.2025.104814.
• Li, Shun & Liu, Yang, 2026, "A new perspective on gold as a risk hedge: Long-term impacts of bilateral political tensions between the U.S. and China," International Review of Economics & Finance, Elsevier, volume 106, issue C, DOI: 10.1016/j.iref.2026.104918.
• Bargman, Daniil, 2026, "Latent variable modelling by supervised diffusion," International Review of Economics & Finance, Elsevier, volume 106, issue C, DOI: 10.1016/j.iref.2026.104972.
• Luangaram, Pongsak & Sethapramote, Yuthana & Thampanishvong, Kannika & Uddin, Gazi Salah, 2026, "Climate risk and financial stability: A systemic risk perspective from Thailand," International Review of Economics & Finance, Elsevier, volume 106, issue C, DOI: 10.1016/j.iref.2026.104976.
• Kyriazis, Nikolaos & Corbet, Shaen, 2026, "Can cryptocurrency fear influence technology firm investors?," International Review of Economics & Finance, Elsevier, volume 107, issue C, DOI: 10.1016/j.iref.2026.105043.
• Zhao, Yuexu & Zheng, Xiaodong & Wei, Hangyan, 2026, "How does FinTech promote enterprise green innovation? From perspectives of ESG and digital intelligence," International Review of Economics & Finance, Elsevier, volume 108, issue C, DOI: 10.1016/j.iref.2026.105193.
• Barasal Morales, Adriano, 2026, "Climate calm? Long-run temperature signals and volatility in EU carbon futures," International Review of Economics & Finance, Elsevier, volume 108, issue C, DOI: 10.1016/j.iref.2026.105221.
• Imran, Muhammad & Wei, Na & Zhang, Hui & Alzuman, Abad & Zhang, Xuebing & Dai, Xulong, 2026, "Shifting spillover dynamics between sustainability indices and tourism markets amid geopolitical crises," International Review of Economics & Finance, Elsevier, volume 108, issue C, DOI: 10.1016/j.iref.2026.105319.
• Yuan, Yue & Zhang, Yang, 2026, "Art as an alternative asset in China: Portfolio diversification and macroeconomic conditions," International Review of Economics & Finance, Elsevier, volume 109, issue C, DOI: 10.1016/j.iref.2026.105281.
• Fedorova, Elena & Ledyaeva, Svetlana & Stepanov, Valentin, 2026, "The ripple effect: How fake news shapes stock market behavior," International Review of Economics & Finance, Elsevier, volume 109, issue C, DOI: 10.1016/j.iref.2026.105386.
• Maréchal, Loïc & Celeny, Daniel & Rousselot, Evgueni & Mermoud, Alain & Humbert, Mathias, 2026, "Reassessing the market impact of cyber incidents: A bias-adjusted event study approach," International Review of Economics & Finance, Elsevier, volume 109, issue C, DOI: 10.1016/j.iref.2026.105388.
• Jahodova, Lucie & Sejna, Jakub, 2026, "Protectionist trade policy and sectoral stock market reactions: Evidence from Trump's second term," International Review of Economics & Finance, Elsevier, volume 109, issue C, DOI: 10.1016/j.iref.2026.105433.
• Čeryová, Barbara & Árendáš, Peter & Kotlebová, Jana, 2026, "Connectedness and risk transmission across artificial intelligence industries," Research in International Business and Finance, Elsevier, volume 84, issue C, DOI: 10.1016/j.ribaf.2026.103335.
• Aslam, Adnan, 2026, "Economic policy uncertainty and AI-driven stock spillovers: Implications for portfolio diversification," Research in International Business and Finance, Elsevier, volume 85, issue C, DOI: 10.1016/j.ribaf.2026.103340.
• Riso, Luigi & Vacca, Gianmarco & Zoia, Maria, 2026, "Climate-induced geopolitical risk and financial interdependence in Europe: A systemic transition perspective," Structural Change and Economic Dynamics, Elsevier, volume 77, issue C, pages 23-42, DOI: 10.1016/j.strueco.2025.12.010.
• Iftikhar, Huma & Guang, Luo & Ullah, Atta, 2026, "A multi-dimensional FinTech composite integrating infrastructure, access, usage, knowledge transfer, and governance-by-technology: The role of digital silk road policy in BRI economies," Technology in Society, Elsevier, volume 85, issue C, DOI: 10.1016/j.techsoc.2025.103162.
• Lev Igorevich Kerman, 2026, "Evolution of Spatial Econometric Models: Application to Real Estate Market Assessment," Spatial Economics=Prostranstvennaya Ekonomika, Economic Research Institute, Far Eastern Branch, Russian Academy of Sciences (Khabarovsk, Russia), issue 1, pages 160-184, DOI: https://dx.doi.org/10.14530/se.2026.

2025

• ZHENG, Zhuangxing & WOO, Kai-yin, 2025, "Hedging Global Stock Markets with Bitcoin, Precious Metals, Copper, Crude Oil, and Agricultural Commodities: Evidence from Bivariate Threshold GARCH Approach," Advances in Decision Sciences, Asia University, Taiwan, volume 29, issue 1, pages 35-54, March.
• Muhammad Usman Akmal & Syed Ahmed Salman & Rana Yassir Hussain & Kai-Yin Woo, 2025, "Ownership Structure and Leverage as Precursors to Financial Distress in an Emerging Economy: A Mediating Model," Advances in Decision Sciences, Asia University, Taiwan, volume 29, issue 3, pages 1-43.
• Habib ZOUAOUI & Meryem-Nadjat NAAS, 2025, "Portfolio Optimization Based on MPT-LSTM Neural Networks: A case study of Cryptocurrency Markets," Finance, Accounting and Business Analysis, Academic Publishing UNWE, volume 7, issue 1, pages 82-98, June.
• Süreyya Temelli, 2025, "Regime Shifts in Energy Markets After the Paris Agreement: Sustainability-oriented Portfolio Optimization," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., volume 40, issue Special3, pages 25-43, December, DOI: https://doi.org/10.33203/mfy.183471.
• Katleho Makatjane & Claris Shoko, 2025, "Explainable Deep Learning for Financial Risk: Joint VaR and ES Forecasting Using ESRNN in the Bitcoin Market," The African Finance Journal, Africagrowth Institute, volume 27, issue 1, pages 53-69.
• Bastianin, Andrea & Li, Xiao & Shamsudin, Luqman, 2025, "Forecasting the Volatility of Energy Transition Metals," FEEM Working Papers, Fondazione Eni Enrico Mattei (FEEM), number 349169, Jan, DOI: 10.22004/ag.econ.349169.
• Serap Kamışlı & Güven Sevil & Melik Kamışlı & Fatih Temizel & Tuba Sevil, 2025, "Spot ve Future Piyasalar Arasındaki Oynaklık Yayılımları ve Yayılımların Kalıcılığının Analizi," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, volume 10, issue 2, pages 805-826, DOI: 10.30784/epfad.1702207.
• Erdost Torun, 2025, "Polytomic Spillover Dynamics between Oil and Euro Markets: A High-Frequency Perspective," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, volume 10, issue 3, pages 1143-1172, DOI: 10.30784/epfad.1725285.
• Zeynep Çolak, 2025, "The Role of Financial Markets in Predicting BIST Sustainability Index Performance: New Evidence from Hybrid Machine Learning Models," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, volume 10, issue SI, pages 383-402, DOI: 10.30784/epfad.1813752.
• Yüksel İltaş & Fatih Güzel, 2025, "The Nexus between CDS Premiums and Exchange Rates: Evidence from BRICS Countries and Türkiye," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, volume 9, issue 4, pages 796-811, DOI: https://doi.org/10.30784/epfad.1583.
• Adil Haniev & Viktoriya V. Suhih, 2025, "Analysis of the Impact of ESG Initiatives on the Financial Performance of Shareholders in Russian Companies," Journal of Applied Economic Research, Graduate School of Economics and Management, Ural Federal University, volume 24, issue 1, pages 319-343, DOI: https://doi.org/10.15826/vestnik.20.
• Hafner, Christian & Harvey, Andrew & Wang, Linqi, 2025, "Modeling prices from speculative markets: bursting bubbles or deflating balloons?," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2025008, Apr.
• Viral V. Acharya & Markus K. Brunnermeier & Diane Pierret, 2025, "Systemic Risk Measures: From the Panic of 1907 to the Banking Stress of 2023," Annual Review of Financial Economics, Annual Reviews, volume 17, issue 1, pages 1-26, November, DOI: 10.1146/annurev-financial-112823-01.
• Juan José Víquez-Rodríguez & Laura Campos-Quesada & Isaac Zúñiga-Arias, 2025, "Term Structure of Interest Rates in Costa Rican Colones (Zero-Coupon Curve): Methodology and Derivation of Forward Rates and the Exchange Risk Premium," Documentos de Trabajo, Banco Central de Costa Rica, number 2508, Nov.
• Maria S. Lymar & Henry I. Penikas, 2025, "Effectiveness of micro- and macroprudential measures in 2014–2022 in Russia: Endogenous treatment effects estimation," Russian Journal of Economics, ARPHA Platform, volume 11, issue 2, pages 168-196, June, DOI: 10.32609/j.ruje.11.144107.
• Andrea Bastianin & Xiao Li & Luqman Shamsudin, 2025, "Forecasting the Volatility of Energy Transition Metals," Papers, arXiv.org, number 2501.16069, Jan, revised Jan 2025.
• Markus Bibinger & Jun Yu & Chen Zhang, 2025, "Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion," Papers, arXiv.org, number 2504.15985, Apr.
• Nektarios Aslanidis & Aurelio Bariviera & George Kapetanios & Vasilis Sarafidis, 2025, "Heterogeneous Exposures to Systematic and Idiosyncratic Risk across Crypto Assets: A Divide-and-Conquer Approach," Papers, arXiv.org, number 2506.21100, Jun.
• Mahmoudi Meymand, Mohammad & Ebrahimnejad, Ali & Barakchian, Seyed Mahdi, 2025, "The Effect of Sanctions on the Tehran Stock Exchange Using Sanctions Index Based on Automated Content Analysis (in Persian)," The Journal of Planning and Budgeting (٠صلنامه برنامه ریزی Ùˆ بودجه), Institute for Management and Planning studies, volume 29, issue 4, pages 63-94, February.
• Tea Sestanovic & Klara Luketa, 2025, "Safe Haven Or Source Of Contagion? Analyzing The Mutual Influence Of Currencies, Cryptocurrencies And Gold During Market Turbulence," Economic Thought and Practice, Department of Economics and Business, University of Dubrovnik, volume 34, issue 2, pages 519-541, november, DOI: 10.17818/EMIP/2025/23.
• Monia Magnani & Massimo Guidolin, 2025, "Nonlinear Dynamics in Monetary Policy-Fueled Stock Market Bubbles," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 25252.
• Serhii Kanyhin & Svitlana Achkasova & Viktoriia Tyschenko & Vlada Karpova & Oleksii Naidenko, 2025, "Bankruptcy Risks Assessment: A Comprehensive Review of Qualitative Indicators," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 22-44.
• Adriatik Kotorri & Blisard Zani, 2025, "Assessing the Dynamics of Nominal and Real Interest Rates in Long-Run: A Comprehensive Analysis of Albanian Interest Rates," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 7, pages 116-131.
• Byulent Idirizov, 2025, "Analysis of the Bulgarian Housing Price Index: Risks, Market Dynamics, and Economic Implications," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 8, pages 175-195.
• Javier Ojea Ferreiro, 2025, "A Market-Based Approach to Reverse Stress Testing the Financial System," Staff Working Papers, Bank of Canada, number 25-32, Nov, DOI: 10.34989/swp-2025-32.
• Andreas Uthemann & Rishi Vala & Jun Yang, 2025, "The impact of trading flows on Government of Canada bond prices," Staff Analytical Notes, Bank of Canada, number 2025-20, Jul, DOI: 10.34989/san-2025-20.
• Andreas Uthemann & Rishi Vala & Jun Yang, 2025, "L’incidence des flux d’opérations sur les prix des obligations du gouvernement du Canada," Staff Analytical Notes, Bank of Canada, number 2025-20fr, Jul, DOI: 10.34989/san-2025-20.
• Javier Ojea Ferreiro, 2025, "Perceived interconnections between Canadian banks and non-bank financial intermediaries under stress," Staff Analytical Notes, Bank of Canada, number 2025-26, Nov, DOI: 10.34989/san-2025-26.
• Zabi Tarshi & Gitanjali Kumar, 2025, "Exploring the drivers of the real term premium in Canada," Staff Analytical Notes, Bank of Canada, number 2025-3, Feb, DOI: 10.34989/san-2025-3.
• Lerby Ergun, 2025, "Crisis facilities as a source of public information," Staff Analytical Notes, Bank of Canada, number 2025-7, Mar, DOI: 10.34989/san-2025-7.
• Bruno Feunou & Gitanjali Kumar, 2025, "Estimating the inflation risk premium," Staff Analytical Notes, Bank of Canada, number 2025-9, Mar, DOI: 10.34989/san-2025-9.
• Firdevs Nur UYKUN & Busra Zeynep TEMOCIN, 2025, "A Machine Learning Integrated Portfolio Rebalance Framework with Risk Aversion Adjustment," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 19, issue 2, pages 173-197.
• Sara Cecchetti & Valter Di Giacinto & Francesco Montaruli & Alessandro Montino, 2025, "The effects of monetary policy on gross domestic product, investment and inflation: an analysis of Italian regional heterogeneity," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 961, Sep.
• Matteo Santi, 2025, "A high-dimensional GDP-at-risk and Inflation-at-risk for the euro area," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1484, Mar.
• Juan Pablo Bermúdez-Cespedes & Luis Fernando Melo-Velandia & Daniel Parra-Amado, 2025, "Sovereign Risk and Stock Market Response to Natural Disasters in Emerging Economies," Borradores de Economia, Banco de la Republica de Colombia, number 1303, Feb, DOI: 10.32468/be.1303.
• Juan Pablo Bermudez-Cespedes & Luis Fernando Melo-Velandia & Daniel Parra-Amado, 2025, "Do natural disasters and the announcement of ENSO events have an impact on market-based measures of inflation expectations?," Borradores de Economia, Banco de la Republica de Colombia, number 1315, Jun, DOI: 10.32468/be.1315.
• Margherita Giuzio & Sujit Kapadia & Dilyara Salakhova & Katia Vozian, 2025, "Leverage and the Low-Carbon Transition in Europe," Working papers, Banque de France, number 1011.
• Thai Hong Le & Duc Anh Nguyen & Dung Anh Le, 2025, "Can cryptos hedge against inflation? Evidence from biwavelet analysis," HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE - ECONOMICS AND BUSINESS ADMINISTRATION, HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE, HO CHI MINH CITY OPEN UNIVERSITY, volume 15, issue 1, pages 99-115, DOI: 10.46223/HCMCOUJS.econ.en.15.1.3109.
• Thai Hong Le & Duc Anh Nguyen & Tu Thanh Vu, 2025, "Examining the co-movement between cryptocurrency uncertainty and central bank digital currency uncertainty," HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE - ECONOMICS AND BUSINESS ADMINISTRATION, HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE, HO CHI MINH CITY OPEN UNIVERSITY, volume 15, issue 5, pages 69-84, DOI: 10.46223/HCMCOUJS.econ.en.15.5.3400.
• Anastasia Matevosova, 2025, "Modelling Trust in the Central Bank Using Sentiment Analysis," Russian Journal of Money and Finance, Bank of Russia, volume 84, issue 1, pages 3-25, March.
• Evžen Kočenda & Daniel Bartušek, 2025, "Disentangling Timing Uncertainty of Event‐Driven Connectedness Among Oil‐Based Energy Commodities," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, volume 58, issue 2, pages 65-90, June, DOI: 10.1111/1467-8462.12583.
• Stefano Giglio & Dacheng Xiu & Dake Zhang, 2025, "Test Assets and Weak Factors," Journal of Finance, American Finance Association, volume 80, issue 1, pages 259-319, February, DOI: 10.1111/jofi.13415.
• Roberto Leon‐Gonzalez & Blessings Majoni, 2025, "Exact likelihood for inverse gamma stochastic volatility models," Journal of Time Series Analysis, Wiley Blackwell, volume 46, issue 4, pages 774-795, July, DOI: 10.1111/jtsa.12795.
• CRINGASU Oana Irina, 2025, "Liquidity And Leverage As Nonlinear Determinants Of Risk Of Default," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, volume 77, issue 3, pages 106-120, December.
• Markus Bibinger & Jun Yu & Chen Zhang, 2025, "Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion," Working Papers, University of Macau, Faculty of Business Administration, number 202528, Apr.
• Torben G. Andersen & Yi Ding & Viktor Todorov & Seunghyeon Yu, 2025, "The Factor Structure of Jump Risk," Working Papers, University of Macau, Faculty of Business Administration, number 202531, Jun, revised Mar 2026.
• Panagiotou Dimitrios, 2025, "Price Connectedness in the Futures Markets of Livestock Commodities," Journal of Agricultural & Food Industrial Organization, De Gruyter, volume 23, issue 1, pages 51-58, DOI: 10.1515/jafio-2024-0059.
• Jiang Wenjing & Hu Yue & Xu Yicheng & Miao Hanyu, 2025, "Impact of External Shocks on Global Major Stock Market Interdependence: Insights from Vine-Copula Modeling," Economics - The Open-Access, Open-Assessment Journal, De Gruyter, volume 19, issue 1, pages 1-17, DOI: 10.1515/econ-2025-0163.
• Nitescu Dan Costin & Anghel Cristian Marius, 2025, "Bank Syndication – A Premise for Increasing Bank Performance or Diversifying Risks?," Economics - The Open-Access, Open-Assessment Journal, De Gruyter, volume 19, issue 1, pages 1-23, DOI: 10.1515/econ-2025-0144.
• Ramos Sofia B. & Taamouti Abderrahim & Veiga Helena, 2025, "Investigating the Impact of Consumption Distribution on CRRA Estimation: Quantile-CCAPM-Based Approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 29, issue 1, pages 39-52, DOI: 10.1515/snde-2023-0005.
• Blazsek Szabolcs & Jörding August & Rai Simran, 2025, "Generalized Autoregressive Conditional Betas: A New Multivariate Score-Driven Filter," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 29, issue 1, pages 95-128, DOI: 10.1515/snde-2023-0019.
• Bégin Jean-François & Boudreault Mathieu, 2025, "A Simulation and Empirical Study of the Maximum Likelihood Estimator for Stochastic Volatility Jump-Diffusion Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 29, issue 2, pages 147-175, DOI: 10.1515/snde-2023-0028.
• Imran Zulfiqar A. & Ahad Muhammad & Ahmad Mobeen & Hameed Imran, 2025, "Chinese Crude Oil Futures and Sectoral Stocks: Copula-Based Dependence Structure and Connectedness," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 29, issue 3, pages 367-404, DOI: 10.1515/snde-2023-0083.
• Jawadi Fredj, 2025, "From Model Misspecification to Multidimensional Welfare: A Conversation with Professor Esfandiar Maasoumi," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 29, issue 4, pages 405-424, DOI: 10.1515/snde-2025-0089.
• Sanhaji Bilel, 2025, "A Test for Time-Varying Smooth Transition Conditional Covariance Models in Multivariate Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 29, issue 4, pages 425-436, DOI: 10.1515/snde-2023-0109.
• Gudkov Nikolay & Ignatieva Katja, 2025, "A Nonparametric Model for High-Frequency Energy Prices," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 29, issue 6, pages 699-726, DOI: 10.1515/snde-2022-0113.
• Hafner, C. M. & Linton, O. B. & Wang, L., 2025, "Multivariate AutoRegressive Smooth Liquidity (MARSLiQ)," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2569, Oct.
• Bachmair, K. & Schmitz, N., 2025, "Forecasting Macro with Finance," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2574, Nov.
• Damià Rey Miró & Pedro V. Piffaut & Ricardo Palomo Zurdo, 2025, "Reassessment of Structural Changes in Financial Markets: The Direct Impact of Central Banks," Journal of Central Banking Theory and Practice, Central bank of Montenegro, volume 14, issue 1, pages 21-42.
• Bilal Ahmed Memon & Gulhayo Nusratova, 2025, "Do Financial Markets and Safe-Haven Assets Affect CBDCs? Examining the Nexus between CBDC, Stock Index, Metal Commodity Futures, Oil Price, and Volatility," Journal of Central Banking Theory and Practice, Central bank of Montenegro, volume 14, issue 2, pages 151-167.
• Xu, Yongdeng & Lyu, Juyi & Mazouz, Khelifa, 2025, "Adaptive-Lasso MGARCH for the Volatility Spillover of Transition Finance," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2025/19, Sep.
• Peter Albrecht & Evžen Kočenda, 2025, "Event-Driven Changes in Volatility Connectedness in Global Forex Markets," CESifo Working Paper Series, CESifo, number 11606.
• Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Leyre Muñoz, 2025, "Earthquakes and Stock Market Performance: Evidence from Japan," CESifo Working Paper Series, CESifo, number 11822.
• António Afonso & José Alves & Wojciech Grabowski & Sofia Monteiro, 2025, "Too Much in One Basket? Debt Concentration and Sovereign Yields," CESifo Working Paper Series, CESifo, number 11961.
• Evžen Kočenda & Peter Albrecht & Daniel Pastorek, 2025, "Geopolitical Risk and Extreme Spillovers Among Oil-Based Energy Commodities," CESifo Working Paper Series, CESifo, number 12133.
• Zhimin Chen & Bryan T. Kelly & Semyon Malamud, 2025, "Limits To (Machine) Learning," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 25-106, Dec.
• Alain-Philippe Fortin & Patrick Gagliardini & O. Scaillet, 2025, "Optimal Maximin GMM Tests for Sphericity in Latent Factor Analysis of Short Panels," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 25-27, Mar.
• Emanuele Luzzi & Paul Schneider & Rohan Sen, 2025, "Learning the Stochastic Discount Factor via Nonparametric Option Portfolios," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 25-87, Oct.
• Bryan T. Kelly & Semyon Malamud, 2025, "Understanding The Virtue of Complexity," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 25-96, Jul.
• Jesús Villota, 2025, "Predicting Market Reactions to News: An LLM-Based Approach Using Spanish Business Articles," Working Papers, CEMFI, number wp2025_2501, Jan.
• Bauwens, Luc & Xu, Yongdeng, 2025, "DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 3345, Jan, DOI: https://doi.org/10.1016/j.ijforecas.
• Bauwens, Luc & Otranto, Edoardo, 2025, "Realized covariance models with time-varying parameters and spillover effects," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 3347, Mar, DOI: https://doi.org/10.1177/1471082X251.
• Bauwens, Luc & Xu, Yongdeng, 2025, "The contribution of realized variance–covariance models to the economic value of volatility timing," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 3348, Jun, DOI: https://doi.org/10.1016/j.ijforecas.
• Hany Fahmy, 2025, "Canadian Climate Transition Policy Risk and the Performance of Green versus Brown Stocks," Canadian Public Policy, University of Toronto Press, volume 51, issue S2, pages 44-63, November, DOI: 10.3138/cpp.2025-011.
• Liao, Yuan & Ma, Xinjie & Neuhierl, Andreas & Schilling, Linda, 2025, "The Uncertainty of Machine Learning Predictions in Asset Pricing," CEPR Discussion Papers, Centre for Economic Policy Research, number 20080, Mar.
• Guo, Hongfei & Marín Díazaraque, Juan Miguel & Veiga, Helena, 2025, "Learning Volatility:A Bayesian Neural Stochastic Framework," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 47944, Sep.
• Ferrari Minesso, Massimo & Van Robays, Ine & Cassinis, Maria Giulia, 2025, "Supply shocks and inflation: timely insights from financial markets," Working Paper Series, European Central Bank, number 3096, Aug.
• Salakhova, Dilyara & Giuzio, Margherita & Kapadia, Sujit & Mazzolini, Giulio, 2025, "Sustainability labels vs. reality: how climate-friendly are green and ESG funds?," Working Paper Series, European Central Bank, number 3121, Sep.
• Lyu, Yongjian & Yi, Heling & Yang, Mo & Zou, Yihan & Li, Ding & Qin, Zhilong, 2025, "Financial uncertainty shocks and systemic risk: Revealing the risk spillover from the oil market to the stock market," Applied Energy, Elsevier, volume 382, issue C, DOI: 10.1016/j.apenergy.2025.125311.
• Deng, Jing & Liu, Yejiao & Xing, Xiaoyun, 2025, "Dependence and hedging between green bonds and clean energy sub-markets in China: Insights from time–frequency wavelet approaches," Journal of Asian Economics, Elsevier, volume 100, issue C, DOI: 10.1016/j.asieco.2025.101984.
• Mbarek, Marouene & Msolli, Badreddine, 2025, "Assessing linkages between supply chain tokens and other assets: Evidence from a time-frequency quantile connectedness approach," Journal of Behavioral and Experimental Finance, Elsevier, volume 46, issue C, DOI: 10.1016/j.jbef.2025.101029.
• Rieder, Markus J., 2025, "How heterogeneous information induces market inefficiencies," Journal of Behavioral and Experimental Finance, Elsevier, volume 46, issue C, DOI: 10.1016/j.jbef.2025.101052.
• Lee, Geul & Ryu, Doojin, 2025, "Fear of missing out and cryptocurrency miners: Evidence from Dogecoin and Litecoin," Journal of Behavioral and Experimental Finance, Elsevier, volume 46, issue C, DOI: 10.1016/j.jbef.2025.101059.
• Yu, Mengxia & Xu, Ke & Zheng, Xinwei, 2025, "Reprint of: Mimicking crypto portfolios in sustainable investment," The British Accounting Review, Elsevier, volume 57, issue 1, DOI: 10.1016/j.bar.2025.101565.
• Pellegrino, Filippo, 2025, "Selecting time-series hyperparameters with the artificial jackknife," Computational Statistics & Data Analysis, Elsevier, volume 209, issue C, DOI: 10.1016/j.csda.2025.108173.
• Beckmann, Joscha & Kerkemeier, Marco & Kruse-Becher, Robinson, 2025, "Regime-specific exchange rate predictability," Journal of Economic Dynamics and Control, Elsevier, volume 176, issue C, DOI: 10.1016/j.jedc.2025.105095.
• Kučera, Adam & Kočenda, Evžen & Maršál, Aleš, 2025, "Yield curve dynamics and fiscal policy shocks," Journal of Economic Dynamics and Control, Elsevier, volume 178, issue C, DOI: 10.1016/j.jedc.2025.105144.
• Palomba, Giulio & Tedeschi, Marco, 2025, "Commodity price dynamics in the era of energy transition: Exploring the substitutability of clean energy," Economic Analysis and Policy, Elsevier, volume 88, issue C, pages 214-236, DOI: 10.1016/j.eap.2025.08.033.
• Qiu, Yue & Qu, Shaoguang & Shi, Zhentao & Xie, Tian, 2025, "Predicting cryptocurrency volatility: The power of model clustering," Economic Modelling, Elsevier, volume 144, issue C, DOI: 10.1016/j.econmod.2024.106986.
• Hernández, Juan R., 2025, "Covered interest parity: A forecasting approach to estimate the neutral band," Economic Modelling, Elsevier, volume 148, issue C, DOI: 10.1016/j.econmod.2025.107076.
• Li, Jie & Han, Yingwei, 2025, "Nonlinear hedging climate policy uncertainty: A dynamic mixed copula approach," Economic Modelling, Elsevier, volume 151, issue C, DOI: 10.1016/j.econmod.2025.107182.
• Khan, Nasir & Mejri, Sami & Leccadito, Arturo & Kang, Sang Hoon, 2025, "Geopolitical risk, macroeconomic factors and different assets during the war periods: Implications for herding and portfolio diversification," Economic Modelling, Elsevier, volume 153, issue C, DOI: 10.1016/j.econmod.2025.107312.
• Zhu, Huiming & Zeng, Tian & Wang, Xinghui & Xia, Xiling, 2025, "Frequency domain cross-quantile coherency and connectedness network of exchange rates: Evidence from ASEAN+3 countries," The North American Journal of Economics and Finance, Elsevier, volume 75, issue PA, DOI: 10.1016/j.najef.2024.102259.
• Ren, Yinghua & Wang, Nairong & Zhu, Huiming, 2025, "Dynamic connectedness of climate risks, oil shocks, and China’s energy futures market: Time-frequency evidence from Quantile-on-Quantile regression," The North American Journal of Economics and Finance, Elsevier, volume 75, issue PA, DOI: 10.1016/j.najef.2024.102263.
• Wang, Mei-Chih & Chang, Hao-Wen & Chang, Tsangyao, 2025, "Impact of COVID-19 on Taiwanese stock market," The North American Journal of Economics and Finance, Elsevier, volume 75, issue PA, DOI: 10.1016/j.najef.2024.102280.
• Luo, Changqing & Fu, Xinxin & Chen, Carl R. & Dong, Liang, 2025, "Who is smarter? Evidence from extreme financial risk contagion in hedge funds and mutual funds," The North American Journal of Economics and Finance, Elsevier, volume 75, issue PA, DOI: 10.1016/j.najef.2024.102283.
• Owusu Amponsah, Dan & Abdullah, Mohammad & Joel Aikins Abakah, Emmanuel & Yindenaba Abor, Joshua & Lee, Chi-Chuan, 2025, "Multiscale tail risk integration between safe-haven assets and Africa’s emerging equity market," The North American Journal of Economics and Finance, Elsevier, volume 75, issue PA, DOI: 10.1016/j.najef.2024.102294.
• Ustaoglu, Erkan, 2025, "Static and dynamic return and volatility connectedness between transportation tokens and transportation indices: Evidence from quantile connectedness approach," The North American Journal of Economics and Finance, Elsevier, volume 75, issue PA, DOI: 10.1016/j.najef.2024.102312.
• Cao, Yufei, 2025, "Impact of climate change on dynamic tail-risk connectedness among stock market social sectors: Evidence from the US, Europe, and China," The North American Journal of Economics and Finance, Elsevier, volume 75, issue PB, DOI: 10.1016/j.najef.2024.102319.
• Harasheh, Murad & Bouteska, Ahmed, 2025, "Volatility estimation through stochastic processes: Evidence from cryptocurrencies," The North American Journal of Economics and Finance, Elsevier, volume 75, issue PB, DOI: 10.1016/j.najef.2024.102320.
• Aloui, Chaker & Mejri, Sami & Ben Hamida, Hela & Yildirim, Ramazan, 2025, "Green bonds and clean energy stocks: Safe havens against global uncertainties? A wavelet quantile-based examination," The North American Journal of Economics and Finance, Elsevier, volume 76, issue C, DOI: 10.1016/j.najef.2024.102310.
• Samarakoon, S.M.R.K. & Pradhan, Rudra P. & Tripathy, Sasikanta & Jayakumar, Manju, 2025, "Does the VIX act as the main transmitter of mispricing in index futures markets? Insights from European and American regions," The North American Journal of Economics and Finance, Elsevier, volume 76, issue C, DOI: 10.1016/j.najef.2024.102341.
• Liu, Shican & Li, Qing & Fan, Siqi, 2025, "The impact of volatility regime dynamics on option pricing," The North American Journal of Economics and Finance, Elsevier, volume 76, issue C, DOI: 10.1016/j.najef.2024.102352.
• Valadkhani, Abbas & O'Mahony, Barry, 2025, "Market broadening and future volatility: A study of Russell 2000 and S&P 500 equal weight ETFs," The North American Journal of Economics and Finance, Elsevier, volume 76, issue C, DOI: 10.1016/j.najef.2025.102369.
• Ariza, Juan & Ferrer, Román, 2025, "Explosiveness in the renewable energy equity sector: International evidence," The North American Journal of Economics and Finance, Elsevier, volume 76, issue C, DOI: 10.1016/j.najef.2025.102378.
• Jiang, Cuixia & Sun, Junwei & Xu, Qifa, 2025, "A penalized U-MIDAS multinomial logit model with applications to corporate credit ratings," The North American Journal of Economics and Finance, Elsevier, volume 76, issue C, DOI: 10.1016/j.najef.2025.102381.
• Yang, Guangyi & Li, Yong & Liu, Xiaoxing, 2025, "Asymmetry and determinants of financial connectivity in G20: Evidence from a quantile-based and lasso regression analysis," The North American Journal of Economics and Finance, Elsevier, volume 77, issue C, DOI: 10.1016/j.najef.2025.102379.
• Qian, Yihe & Zhang, Yang, 2025, "Long-term forecasting in asset pricing: Machine learning models’ sensitivity to macroeconomic shifts and firm-specific factors," The North American Journal of Economics and Finance, Elsevier, volume 78, issue C, DOI: 10.1016/j.najef.2025.102423.
• Raj, Prakash & Bera, Koushik & Selvaraju, N., 2025, "A hybrid model for intraday volatility prediction in Bitcoin markets," The North American Journal of Economics and Finance, Elsevier, volume 78, issue C, DOI: 10.1016/j.najef.2025.102426.
• Algieri, Bernardina & Lawuobahsumo, Kokulo K. & Leccadito, Arturo & Zahid, Iliess, 2025, "Calendar effects on returns, volatility and higher moments: Evidence from crypto markets," The North American Journal of Economics and Finance, Elsevier, volume 79, issue C, DOI: 10.1016/j.najef.2025.102441.
• Le, Thai Hong & Luu, Hiep Ngoc & Do, Dinh Dinh & Nguyen, Trung-Anh & Pham, Toan Canh, 2025, "On the connectedness between the uncertainty of central bank digital currency adoption and stablecoins," The North American Journal of Economics and Finance, Elsevier, volume 79, issue C, DOI: 10.1016/j.najef.2025.102445.
• Zada, Hassan & Khan, Naveed & Rehman, Mobeen Ur & Vo, Xuan Vinh & Ghardallou, Wafa, 2025, "Portfolio diversification amid economic uncertainty in Pakistan: empirical evidence from the quantile-on-quantile approach," The North American Journal of Economics and Finance, Elsevier, volume 80, issue C, DOI: 10.1016/j.najef.2025.102486.
• Wu, Qiong & Guo, Ge & Li, Xiaogang & Singh, Rajesh & Zhang, Ting, 2025, "Bitcoin’s fundamental value and speculative behavior: A new framework for price dynamics," The North American Journal of Economics and Finance, Elsevier, volume 80, issue C, DOI: 10.1016/j.najef.2025.102509.
• de Prince, Diogo & Marçal, Emerson Fernandes & Valls Pereira, Pedro L., 2025, "Exploring co-explosive dynamics: Bitcoin price, attractiveness, and sentiment variables," Economics Letters, Elsevier, volume 246, issue C, DOI: 10.1016/j.econlet.2024.112072.
• Xie, Xiaodu, 2025, "Indirect and direct forecasting of volatility-timing portfolios," Economics Letters, Elsevier, volume 247, issue C, DOI: 10.1016/j.econlet.2024.112142.
• Rani, Meenu & Garg, Bhavesh & Kumar, Arun, 2025, "Change point analysis in data with heavy tails: A Normal Inverse Gaussian approach," Economics Letters, Elsevier, volume 254, issue C, DOI: 10.1016/j.econlet.2025.112477.
• Luo, Yun, 2025, "Beyond the conditional mean: The impact of trading intensity on the full distribution of extreme returns," Economics Letters, Elsevier, volume 255, issue C, DOI: 10.1016/j.econlet.2025.112497.
• Francq, Christian & Zakoïan, Jean-Michel, 2025, "Inference on dynamic systemic risk measures," Journal of Econometrics, Elsevier, volume 247, issue C, DOI: 10.1016/j.jeconom.2024.105936.
• Roussellet, Guillaume, 2025, "The term structure of macroeconomic risks at the effective lower bound," Journal of Econometrics, Elsevier, volume 248, issue C, DOI: 10.1016/j.jeconom.2023.01.005.
• Kleibergen, Frank & Kong, Lingwei, 2025, "Identification robust inference for the risk premium in term structure models," Journal of Econometrics, Elsevier, volume 248, issue C, DOI: 10.1016/j.jeconom.2024.105728.
• Luger, Richard, 2025, "Regularizing stock return covariance matrices via multiple testing of correlations," Journal of Econometrics, Elsevier, volume 248, issue C, DOI: 10.1016/j.jeconom.2024.105753.
• Czellar, Veronika & Garcia, René & Le Grand, François, 2025, "Uncovering asset market participation from household consumption and income," Journal of Econometrics, Elsevier, volume 248, issue C, DOI: 10.1016/j.jeconom.2024.105867.
• Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda, 2025, "Identification-robust and simultaneous inference in multifactor asset pricing models," Journal of Econometrics, Elsevier, volume 248, issue C, DOI: 10.1016/j.jeconom.2024.105915.
• Cheng, Xu & Renault, Eric & Sangrey, Paul, 2025, "Identifying the volatility risk price through the leverage effect," Journal of Econometrics, Elsevier, volume 248, issue C, DOI: 10.1016/j.jeconom.2024.105943.
• Ding, Yi & Engle, Robert & Li, Yingying & Zheng, Xinghua, 2025, "Multiplicative factor model for volatility," Journal of Econometrics, Elsevier, volume 249, issue PB, DOI: 10.1016/j.jeconom.2025.105959.
• Linton, Oliver B. & Tang, Haihan & Wu, Jianbin, 2025, "A large confirmatory dynamic factor model for stock market returns in different time zones," Journal of Econometrics, Elsevier, volume 249, issue PB, DOI: 10.1016/j.jeconom.2025.105971.
• Kalnina, Ilze & Tewou, Kokouvi, 2025, "Cross-sectional dependence in idiosyncratic volatility," Journal of Econometrics, Elsevier, volume 249, issue PB, DOI: 10.1016/j.jeconom.2025.106003.
• Li, Yifan & Nolte, Ingmar & Nolte, Sandra & Yu, Shifan, 2025, "Realized candlestick wicks," Journal of Econometrics, Elsevier, volume 250, issue C, DOI: 10.1016/j.jeconom.2025.106014.
• Chen, Han & Fei, Yijie & Yu, Jun, 2025, "Multivariate stochastic volatility models based on generalized Fisher transformation," Journal of Econometrics, Elsevier, volume 251, issue C, DOI: 10.1016/j.jeconom.2025.106041.
• Caner, Mehmet & Daniele, Maurizio, 2025, "Deep learning based residuals in non-linear factor models: Precision matrix estimation of returns with low signal-to-noise ratio," Journal of Econometrics, Elsevier, volume 251, issue C, DOI: 10.1016/j.jeconom.2025.106083.
• Djogbenou, Antoine A. & Hounyo, Ulrich, 2025, "Misspecification-robust bootstrap t-test for irrelevant factor in linear stochastic discount factor models," Journal of Econometrics, Elsevier, volume 252, issue PA, DOI: 10.1016/j.jeconom.2025.106097.
• Wu, Ruike & Yang, Yanrong & Shang, Han Lin & Zhu, Huanjun, 2025, "Making distributionally robust portfolios feasible in high dimension," Journal of Econometrics, Elsevier, volume 252, issue PA, DOI: 10.1016/j.jeconom.2025.106118.
• Wang, Hongfei & Zhao, Ping & Feng, Long & Wang, Zhaojun, 2025, "Robust mutual fund selection with false discovery rate control," Journal of Econometrics, Elsevier, volume 252, issue PA, DOI: 10.1016/j.jeconom.2025.106121.
• Shin, Minseok & Kim, Donggyu & Wang, Yazhen & Fan, Jianqing, 2025, "Factor and idiosyncratic VAR volatility matrix models for heavy-tailed high-frequency financial observations," Journal of Econometrics, Elsevier, volume 252, issue PA, DOI: 10.1016/j.jeconom.2025.106129.
• Lazar, Emese & Zhang, Ning, 2025, "Model Risk of Volatility Models," Econometrics and Statistics, Elsevier, volume 35, issue C, pages 1-22, DOI: 10.1016/j.ecosta.2022.06.002.
• Pereira, Camila C. & Bastos, Saulo B. & Cajueiro, Daniel O., 2025, "The words that lead to uncertainty: A measure based on word embeddings," Economic Systems, Elsevier, volume 49, issue 3, DOI: 10.1016/j.ecosys.2025.101294.
• Conlon, Thomas & Cotter, John & Kynigakis, Iason, 2025, "Asset allocation with factor-based covariance matrices," European Journal of Operational Research, Elsevier, volume 325, issue 1, pages 189-203, DOI: 10.1016/j.ejor.2025.03.015.
• Bazán-Palomino, Walter & Winkelried, Diego, 2025, "Dynamic financial connectedness among the US, China, and countries of the Belt and Road Initiative," Emerging Markets Review, Elsevier, volume 66, issue C, DOI: 10.1016/j.ememar.2025.101286.
• Xu, Ke-Li, 2025, "A revisit to bias-adjusted predictive regression," Journal of Empirical Finance, Elsevier, volume 80, issue C, DOI: 10.1016/j.jempfin.2024.101578.
• Fuentes, Fernanda & Herrera, Rodrigo & Clements, Adam, 2025, "Tail risk dynamics of banks with score-driven extreme value models," Journal of Empirical Finance, Elsevier, volume 81, issue C, DOI: 10.1016/j.jempfin.2025.101593.
• Hizmeri, Rodrigo & Izzeldin, Marwan & Urga, Giovanni, 2025, "Identifying the underlying components of high-frequency data: Pure vs jump diffusion processes," Journal of Empirical Finance, Elsevier, volume 81, issue C, DOI: 10.1016/j.jempfin.2025.101594.
• Yu, Deshui & Yan, Yayi, 2025, "A system of time-varying models for predictive regressions," Journal of Empirical Finance, Elsevier, volume 82, issue C, DOI: 10.1016/j.jempfin.2025.101622.
• Shi, Fangquan & Shu, Lianjie & Gu, Xinhua, 2025, "A robust latent factor model for high-dimensional portfolio selection," Journal of Empirical Finance, Elsevier, volume 83, issue C, DOI: 10.1016/j.jempfin.2025.101623.
• Yu, Deshui & Huang, Difang & Zhou, Mingtao, 2025, "Option-implied idiosyncratic skewness and expected returns: Mind the long run," Journal of Empirical Finance, Elsevier, volume 83, issue C, DOI: 10.1016/j.jempfin.2025.101642.
• Faria, Gonçalo & Verona, Fabio, 2025, "Unlocking predictive potential: The frequency-domain approach to equity premium forecasting," Journal of Empirical Finance, Elsevier, volume 83, issue C, DOI: 10.1016/j.jempfin.2025.101648.
• Bartolini, Nicola & Romagnoli, Silvia & Santini, Amia, 2025, "Understanding climate risk in Europe: Are transition and physical risk priced in equity and fixed-income markets?," Journal of Empirical Finance, Elsevier, volume 84, issue C, DOI: 10.1016/j.jempfin.2025.101672.
• Nguyen, Minh Nhat & Liu, Ruipeng & Li, Youwei, 2025, "Performance of energy ETFs and climate risks," Energy Economics, Elsevier, volume 141, issue C, DOI: 10.1016/j.eneco.2024.108031.