Research classified by Journal of Economic Literature (JEL) codes

2018

• Drachal, Krzysztof, 2018, "Comparison between Bayesian and information-theoretic model averaging: Fossil fuels prices example," Energy Economics, Elsevier, volume 74, issue C, pages 208-251, DOI: 10.1016/j.eneco.2018.04.043.
• Escribano, Alvaro & Sucarrat, Genaro, 2018, "Equation-by-equation estimation of multivariate periodic electricity price volatility," Energy Economics, Elsevier, volume 74, issue C, pages 287-298, DOI: 10.1016/j.eneco.2018.05.017.
• Gong, Xu & Lin, Boqiang, 2018, "The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market," Energy Economics, Elsevier, volume 74, issue C, pages 370-386, DOI: 10.1016/j.eneco.2018.06.005.
• Reboredo, Juan C., 2018, "Green bond and financial markets: Co-movement, diversification and price spillover effects," Energy Economics, Elsevier, volume 74, issue C, pages 38-50, DOI: 10.1016/j.eneco.2018.05.030.
• Selmi, Refk & Mensi, Walid & Hammoudeh, Shawkat & Bouoiyour, Jamal, 2018, "Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold," Energy Economics, Elsevier, volume 74, issue C, pages 787-801, DOI: 10.1016/j.eneco.2018.07.007.
• Ji, Qiang & Bouri, Elie & Roubaud, David & Shahzad, Syed Jawad Hussain, 2018, "Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model," Energy Economics, Elsevier, volume 75, issue C, pages 14-27, DOI: 10.1016/j.eneco.2018.08.015.
• Demirer, Riza & Gupta, Rangan & Suleman, Tahir & Wohar, Mark E., 2018, "Time-varying rare disaster risks, oil returns and volatility," Energy Economics, Elsevier, volume 75, issue C, pages 239-248, DOI: 10.1016/j.eneco.2018.08.021.
• Chang, Kai & Chen, Rongda & Chevallier, Julien, 2018, "Market fragmentation, liquidity measures and improvement perspectives from China's emissions trading scheme pilots," Energy Economics, Elsevier, volume 75, issue C, pages 249-260, DOI: 10.1016/j.eneco.2018.07.010.
• Ji, Qiang & Liu, Bing-Yue & Nehler, Henrik & Uddin, Gazi Salah, 2018, "Uncertainties and extreme risk spillover in the energy markets: A time-varying copula-based CoVaR approach," Energy Economics, Elsevier, volume 76, issue C, pages 115-126, DOI: 10.1016/j.eneco.2018.10.010.
• Reboredo, Juan C. & Ugolini, Andrea, 2018, "The impact of energy prices on clean energy stock prices. A multivariate quantile dependence approach," Energy Economics, Elsevier, volume 76, issue C, pages 136-152, DOI: 10.1016/j.eneco.2018.10.012.
• Dogah, Kingsley E. & Premaratne, Gamini, 2018, "Sectoral exposure of financial markets to oil risk factors in BRICS countries," Energy Economics, Elsevier, volume 76, issue C, pages 228-256, DOI: 10.1016/j.eneco.2018.09.014.
• Tiwari, Aviral Kumar & Khalfaoui, Rabeh & Solarin, Sakiru Adebola & Shahbaz, Muhammad, 2018, "Analyzing the time-frequency lead–lag relationship between oil and agricultural commodities," Energy Economics, Elsevier, volume 76, issue C, pages 470-494, DOI: 10.1016/j.eneco.2018.10.037.
• Gavard, Claire & Kirat, Djamel, 2018, "Flexibility in the market for international carbon credits and price dynamics difference with European allowances," Energy Economics, Elsevier, volume 76, issue C, pages 504-518, DOI: 10.1016/j.eneco.2018.10.018.
• Chang, Chia-Lin & McAleer, Michael & Wang, Yanghuiting, 2018, "Testing Co-Volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances," Energy, Elsevier, volume 151, issue C, pages 984-997, DOI: 10.1016/j.energy.2018.01.017.
• Zhang, Guofu & Liu, Wei, 2018, "Analysis of the international propagation of contagion between oil and stock markets," Energy, Elsevier, volume 165, issue PA, pages 469-486, DOI: 10.1016/j.energy.2018.09.024.
• Bekiros, Stelios & Avdoulas, Christos & Hassapis, Christis, 2018, "Nonlinear equilibrium adjustment dynamics and predictability of the term structure of interest rates," International Review of Financial Analysis, Elsevier, volume 55, issue C, pages 140-155, DOI: 10.1016/j.irfa.2017.11.009.
• Uddin, Gazi Salah & Hernandez, Jose Areola & Shahzad, Syed Jawad Hussain & Yoon, Seong-Min, 2018, "Time-varying evidence of efficiency, decoupling, and diversification of conventional and Islamic stocks," International Review of Financial Analysis, Elsevier, volume 56, issue C, pages 167-180, DOI: 10.1016/j.irfa.2018.01.008.
• Cuestas, Juan Carlos & Huang, Ying Sophie & Tang, Bo, 2018, "Does internationalisation increase exchange rate exposure? -Evidence from Chinese financial firms," International Review of Financial Analysis, Elsevier, volume 56, issue C, pages 253-263, DOI: 10.1016/j.irfa.2018.01.013.
• Caloia, Francesco Giuseppe & Cipollini, Andrea & Muzzioli, Silvia, 2018, "Asymmetric semi-volatility spillover effects in EMU stock markets," International Review of Financial Analysis, Elsevier, volume 57, issue C, pages 221-230, DOI: 10.1016/j.irfa.2018.03.001.
• BenSaïda, Ahmed, 2018, "The contagion effect in European sovereign debt markets: A regime-switching vine copula approach," International Review of Financial Analysis, Elsevier, volume 58, issue C, pages 153-165, DOI: 10.1016/j.irfa.2017.09.013.
• Klein, Tony & Pham Thu, Hien & Walther, Thomas, 2018, "Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance," International Review of Financial Analysis, Elsevier, volume 59, issue C, pages 105-116, DOI: 10.1016/j.irfa.2018.07.010.
• Ahmad, Wasim & Mishra, Anil V. & Daly, Kevin, 2018, "Heterogeneous dependence and dynamic hedging between sectors of BRIC and global markets," International Review of Financial Analysis, Elsevier, volume 59, issue C, pages 117-133, DOI: 10.1016/j.irfa.2018.07.005.
• Blazsek, Szabolcs & Carrizo, Daniela & Eskildsen, Ricardo & Gonzalez, Humberto, 2018, "Forecasting rate of return after extreme values when using AR-t-GARCH and QAR-Beta-t-EGARCH," Finance Research Letters, Elsevier, volume 24, issue C, pages 193-198, DOI: 10.1016/j.frl.2017.09.006.
• Hodoshima, Jiro & Misawa, Tetsuya & Miyahara, Yoshio, 2018, "Comparison of utility indifference pricing and mean-variance approach under normal mixture," Finance Research Letters, Elsevier, volume 24, issue C, pages 221-229, DOI: 10.1016/j.frl.2017.09.008.
• Zhipeng, Yan & Shenghong, Li, 2018, "Hedge ratio on Markov regime-switching diagonal Bekk–Garch model," Finance Research Letters, Elsevier, volume 24, issue C, pages 49-55, DOI: 10.1016/j.frl.2017.06.015.
• Jin, Xiaoye, 2018, "Downside and upside risk spillovers from China to Asian stock markets: A CoVaR-copula approach," Finance Research Letters, Elsevier, volume 25, issue C, pages 202-212, DOI: 10.1016/j.frl.2017.10.027.
• van der Merwe, C.J. & Heyman, D. & de Wet, T., 2018, "Approximating risk-free curves in sparse data environments," Finance Research Letters, Elsevier, volume 26, issue C, pages 112-118, DOI: 10.1016/j.frl.2017.12.016.
• Mestel, Roland & Murg, Michael & Theissen, Erik, 2018, "Algorithmic trading and liquidity: Long term evidence from Austria," Finance Research Letters, Elsevier, volume 26, issue C, pages 198-203, DOI: 10.1016/j.frl.2018.01.004.
• Corbet, Shaen & Lucey, Brian & Yarovaya, Larisa, 2018, "Datestamping the Bitcoin and Ethereum bubbles," Finance Research Letters, Elsevier, volume 26, issue C, pages 81-88, DOI: 10.1016/j.frl.2017.12.006.
• Będowska-Sójka, Barbara, 2018, "The coherence of liquidity measures. The evidence from the emerging market," Finance Research Letters, Elsevier, volume 27, issue C, pages 118-123, DOI: 10.1016/j.frl.2018.02.014.
• Al-Yahyaee, Khamis Hamed & Mensi, Walid & Yoon, Seong-Min, 2018, "Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets," Finance Research Letters, Elsevier, volume 27, issue C, pages 228-234, DOI: 10.1016/j.frl.2018.03.017.
• Baltas, Nick & Karyampas, Dimitrios, 2018, "Forecasting the equity risk premium: The importance of regime-dependent evaluation," Journal of Financial Markets, Elsevier, volume 38, issue C, pages 83-102, DOI: 10.1016/j.finmar.2017.11.002.
• Li, Fuchun & Perez-Saiz, Hector, 2018, "Measuring systemic risk across financial market infrastructures," Journal of Financial Stability, Elsevier, volume 34, issue C, pages 1-11, DOI: 10.1016/j.jfs.2017.08.003.
• Tachibana, Minoru, 2018, "Safe-haven and hedge currencies for the US, UK, and Euro area stock markets: A copula-based approach," Global Finance Journal, Elsevier, volume 35, issue C, pages 82-96, DOI: 10.1016/j.gfj.2017.07.001.
• Liang, Xiaoqing & Young, Virginia R., 2018, "Minimizing the probability of ruin: Optimal per-loss reinsurance," Insurance: Mathematics and Economics, Elsevier, volume 82, issue C, pages 181-190, DOI: 10.1016/j.insmatheco.2018.07.005.
• Sampid, Marius Galabe & Hasim, Haslifah M., 2018, "Estimating value-at-risk using a multivariate copula-based volatility model: Evidence from European banks," International Economics, Elsevier, volume 156, issue C, pages 175-192, DOI: 10.1016/j.inteco.2018.03.001.
• Coudert, Virginie & Idier, Julien, 2018, "Reducing model risk in early warning systems for banking crises in the euro area," International Economics, Elsevier, volume 156, issue C, pages 98-116, DOI: 10.1016/j.inteco.2018.01.002.
• MacDonald, Ronald & Sogiakas, Vasilios & Tsopanakis, Andreas, 2018, "Volatility co-movements and spillover effects within the Eurozone economies: A multivariate GARCH approach using the financial stress index," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 52, issue C, pages 17-36, DOI: 10.1016/j.intfin.2017.09.003.
• Füss, Roland & Grabellus, Markus & Mager, Ferdinand & Stein, Michael, 2018, "Something in the air: Information density, news surprises, and price jumps," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 53, issue C, pages 50-75, DOI: 10.1016/j.intfin.2017.09.011.
• Solarin, Sakiru Adebola & Hammoudeh, Shawkat & Shahbaz, Muhammad, 2018, "Influence of economic factors on disaggregated Islamic banking deposits: Evidence with structural breaks in Malaysia," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 55, issue C, pages 13-28, DOI: 10.1016/j.intfin.2018.02.007.
• Shahzad, Syed Jawad Hussain & Arreola-Hernandez, Jose & Bekiros, Stelios & Shahbaz, Muhammad & Kayani, Ghulam Mujtaba, 2018, "A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 56, issue C, pages 104-127, DOI: 10.1016/j.intfin.2018.02.013.
• de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018, "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, volume 34, issue 1, pages 45-63, DOI: 10.1016/j.ijforecast.2017.08.003.
• Dang, Chongyu & (Frank) Li, Zhichuan & Yang, Chen, 2018, "Measuring firm size in empirical corporate finance," Journal of Banking & Finance, Elsevier, volume 86, issue C, pages 159-176, DOI: 10.1016/j.jbankfin.2017.09.006.
• Herrera, R. & Clements, A.E., 2018, "Point process models for extreme returns: Harnessing implied volatility," Journal of Banking & Finance, Elsevier, volume 88, issue C, pages 161-175, DOI: 10.1016/j.jbankfin.2017.12.001.
• Schweikert, Karsten, 2018, "Are gold and silver cointegrated? New evidence from quantile cointegrating regressions," Journal of Banking & Finance, Elsevier, volume 88, issue C, pages 44-51, DOI: 10.1016/j.jbankfin.2017.11.010.
• Green, Rikard & Larsson, Karl & Lunina, Veronika & Nilsson, Birger, 2018, "Cross-commodity news transmission and volatility spillovers in the German energy markets," Journal of Banking & Finance, Elsevier, volume 95, issue C, pages 231-243, DOI: 10.1016/j.jbankfin.2017.10.004.
• Symitsi, Efthymia & Symeonidis, Lazaros & Kourtis, Apostolos & Markellos, Raphael, 2018, "Covariance forecasting in equity markets," Journal of Banking & Finance, Elsevier, volume 96, issue C, pages 153-168, DOI: 10.1016/j.jbankfin.2018.08.013.
• Joslin, Scott & Konchitchki, Yaniv, 2018, "Interest rate volatility, the yield curve, and the macroeconomy," Journal of Financial Economics, Elsevier, volume 128, issue 2, pages 344-362, DOI: 10.1016/j.jfineco.2017.12.004.
• Wellmann, Dennis & Trück, Stefan, 2018, "Factors of the term structure of sovereign yield spreads," Journal of International Money and Finance, Elsevier, volume 81, issue C, pages 56-75, DOI: 10.1016/j.jimonfin.2017.10.006.
• Dempster, M.A.H. & Medova, Elena & Tang, Ke, 2018, "Latent jump diffusion factor estimation for commodity futures," Journal of Commodity Markets, Elsevier, volume 9, issue C, pages 35-54, DOI: 10.1016/j.jcomm.2018.01.001.
• Dergiades, Theologos & Madlener, Reinhard & Christofidou, Georgia, 2018, "The nexus between natural gas spot and futures prices at NYMEX: Do weather shocks and non-linear causality in low frequencies matter?," The Journal of Economic Asymmetries, Elsevier, volume 18, issue C, pages 1-1, DOI: 10.1016/j.jeca.2018.e00100.
• Dua, Pami & Kapur, Hema, 2018, "Macro stress testing and resilience assessment of Indian banking," Journal of Policy Modeling, Elsevier, volume 40, issue 2, pages 452-475, DOI: 10.1016/j.jpolmod.2018.01.005.
• Ahmed, Abdullahi D. & Huo, Rui, 2018, "China–Africa financial markets linkages: Volatility and interdependence," Journal of Policy Modeling, Elsevier, volume 40, issue 6, pages 1140-1164, DOI: 10.1016/j.jpolmod.2018.05.002.
• Tachibana, Minoru, 2018, "Relationship between stock and currency markets conditional on the US stock returns: A vine copula approach," Journal of Multinational Financial Management, Elsevier, volume 46, issue C, pages 75-106, DOI: 10.1016/j.mulfin.2018.05.001.
• Fuentes, Fernanda & Herrera, Rodrigo & Clements, Adam, 2018, "Modeling extreme risks in commodities and commodity currencies," Pacific-Basin Finance Journal, Elsevier, volume 51, issue C, pages 108-120, DOI: 10.1016/j.pacfin.2018.06.003.
• Yildirim, Ramazan & Masih, Mansur & Bacha, Obiyathulla Ismath, 2018, "Determinants of capital structure: evidence from Shari'ah compliant and non-compliant firms," Pacific-Basin Finance Journal, Elsevier, volume 51, issue C, pages 198-219, DOI: 10.1016/j.pacfin.2018.06.008.
• Baumöhl, Eduard & Kočenda, Evžen & Lyócsa, Štefan & Výrost, Tomáš, 2018, "Networks of volatility spillovers among stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 490, issue C, pages 1555-1574, DOI: 10.1016/j.physa.2017.08.123.
• Pan, Zhiyuan & Liu, Li, 2018, "Forecasting stock return volatility: A comparison between the roles of short-term and long-term leverage effects," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 492, issue C, pages 168-180, DOI: 10.1016/j.physa.2017.09.030.
• Liu, Wei-han, 2018, "Hidden Markov model analysis of extreme behaviors of foreign exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 503, issue C, pages 1007-1019, DOI: 10.1016/j.physa.2018.07.060.
• Bonaccolto, G. & Caporin, M. & Gupta, R., 2018, "The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 507, issue C, pages 446-469, DOI: 10.1016/j.physa.2018.05.061.
• Ayub, Usman & Qaddus, Uzma & Zakaria, Muhammad & Shafique, Attayah & Ahmed, Junaid, 2018, "Thou should not panic! Let calmness fight the Crocodile Bite," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 509, issue C, pages 302-315, DOI: 10.1016/j.physa.2018.06.040.
• Ahmad, Wasim & Rais, Shirin & Shaik, Abdul Rahman, 2018, "Modelling the directional spillovers from DJIM Index to conventional benchmarks: Different this time?," The Quarterly Review of Economics and Finance, Elsevier, volume 67, issue C, pages 14-27, DOI: 10.1016/j.qref.2017.04.012.
• Ahmed, Walid M.A., 2018, "On the interdependence of natural gas and stock markets under structural breaks," The Quarterly Review of Economics and Finance, Elsevier, volume 67, issue C, pages 149-161, DOI: 10.1016/j.qref.2017.06.003.
• Wasiuzzaman, Shaista, 2018, "Seasonality in the Saudi stock market: The Hajj effect," The Quarterly Review of Economics and Finance, Elsevier, volume 67, issue C, pages 273-281, DOI: 10.1016/j.qref.2017.07.007.
• Bonga-Bonga, Lumengo, 2018, "Uncovering equity market contagion among BRICS countries: An application of the multivariate GARCH model," The Quarterly Review of Economics and Finance, Elsevier, volume 67, issue C, pages 36-44, DOI: 10.1016/j.qref.2017.04.009.
• Corbet, Shaen & Gurdgiev, Constantin & Meegan, Andrew, 2018, "Long-term stock market volatility and the influence of terrorist attacks in Europe," The Quarterly Review of Economics and Finance, Elsevier, volume 68, issue C, pages 118-131, DOI: 10.1016/j.qref.2017.11.012.
• Chang, Chia-Lin & McAleer, Michael & Wang, Yu-Ann, 2018, "Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices," Renewable and Sustainable Energy Reviews, Elsevier, volume 81, issue P1, pages 1002-1018, DOI: 10.1016/j.rser.2017.07.024.
• Sowmya, Subramaniam & Prasanna, Krishna, 2018, "Yield curve interactions with the macroeconomic factors during global financial crisis among Asian markets," International Review of Economics & Finance, Elsevier, volume 54, issue C, pages 178-192, DOI: 10.1016/j.iref.2017.08.006.
• Stona, Filipe & Morais, Igor A.C. & Triches, Divanildo, 2018, "Economic dynamics during periods of financial stress: Evidences from Brazil," International Review of Economics & Finance, Elsevier, volume 55, issue C, pages 130-144, DOI: 10.1016/j.iref.2018.02.006.
• Langedijk, Sven & Monokroussos, George & Papanagiotou, Evangelia, 2018, "Benchmarking liquidity proxies: The case of EU sovereign bonds," International Review of Economics & Finance, Elsevier, volume 56, issue C, pages 321-329, DOI: 10.1016/j.iref.2017.11.002.
• Hkiri, Besma & Hammoudeh, Shawkat & Aloui, Chaker & Shahbaz, Muhammad, 2018, "The interconnections between U.S. financial CDS spreads and control variables: New evidence using partial and multivariate wavelet coherences," International Review of Economics & Finance, Elsevier, volume 57, issue C, pages 237-257, DOI: 10.1016/j.iref.2018.01.011.
• Ubukata, Masato, 2018, "Dynamic hedging performance and downside risk: Evidence from Nikkei index futures," International Review of Economics & Finance, Elsevier, volume 58, issue C, pages 270-281, DOI: 10.1016/j.iref.2018.03.026.
• Racicot, François-Éric & Théoret, Raymond, 2018, "Multi-moment risk, hedging strategies, & the business cycle," International Review of Economics & Finance, Elsevier, volume 58, issue C, pages 637-675, DOI: 10.1016/j.iref.2018.07.006.
• Huo, Rui & Ahmed, Abdullahi D., 2018, "Relationships between Chinese stock market and its index futures market: Evaluating the impact of QFII scheme," Research in International Business and Finance, Elsevier, volume 44, issue C, pages 135-152, DOI: 10.1016/j.ribaf.2017.07.049.
• Karaa, Rabaa & Slim, Skander & Hmaied, Dorra Mezzez, 2018, "Trading intensity and the volume-volatility relationship on the Tunis Stock Exchange," Research in International Business and Finance, Elsevier, volume 44, issue C, pages 88-99, DOI: 10.1016/j.ribaf.2017.01.010.
• Robinson, Justin & Glean, Adrian & Moore, Winston, 2018, "How does news impact on the stock prices of green firms in emerging markets?," Research in International Business and Finance, Elsevier, volume 45, issue C, pages 446-453, DOI: 10.1016/j.ribaf.2017.07.176.
• Matemilola, B.T. & Bany-Ariffin, A.N. & Azman-Saini, W.N.W. & Nassir, Annuar Md, 2018, "Does top managers’ experience affect firms’ capital structure?," Research in International Business and Finance, Elsevier, volume 45, issue C, pages 488-498, DOI: 10.1016/j.ribaf.2017.07.184.
• Tony-Okeke, Uchenna & Ahmadu-Bello, Jaliyyah & Niklewski, Jacek & Rodgers, Timothy, 2018, "Financial contagion and capital asset pricing in Africa: The impact of the 2007–09 and Euro-Zone crises on natural resources sector Beta in African emerging markets," Research in International Business and Finance, Elsevier, volume 45, issue C, pages 54-61, DOI: 10.1016/j.ribaf.2017.07.131.
• Ari, Ali & Cergibozan, Raif, 2018, "Currency crises in Turkey: An empirical assessment," Research in International Business and Finance, Elsevier, volume 46, issue C, pages 281-293, DOI: 10.1016/j.ribaf.2018.04.001.
• Giudici, Paolo, 2018, "Financial data science," Statistics & Probability Letters, Elsevier, volume 136, issue C, pages 160-164, DOI: 10.1016/j.spl.2018.02.024.
• Gabriel, Vítor, 2018, "Environmentally sustainable investment: Dynamics between global thematic indices," Cuadernos de Gestión, Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE).
• Juheon Seok & B. Wade Brorsen & Bart Niyibizi, 2018, "Modeling calendar spread options," Agricultural Finance Review, Emerald Group Publishing Limited, volume 78, issue 5, pages 551-570, July, DOI: 10.1108/AFR-09-2017-0088.
• Peterson K. Ozili, 2018, "Bank loan loss provisions, investor protection and the macroeconomy," International Journal of Emerging Markets, Emerald Group Publishing Limited, volume 13, issue 1, pages 45-65, January, DOI: 10.1108/IJoEM-12-2016-0327.
• Alper Ozun & Hasan Murat Ertugrul & Yener Coskun, 2018, "A dynamic model for housing price spillovers with an evidence from the US and the UK markets," Journal of Capital Markets Studies, Emerald Group Publishing Limited, volume 2, issue 1, pages 70-81, April, DOI: 10.1108/JCMS-01-2018-0002.
• Prem Sikka, 2018, "Combating corporate tax avoidance by requiring large companies to file their tax returns," Journal of Capital Markets Studies, Emerald Group Publishing Limited, volume 2, issue 1, pages 9-20, March, DOI: 10.1108/JCMS-01-2018-0005.
• Stelios Bekiros & Nikolaos Loukeris & Iordanis Eleftheriadis & Gazi Uddin, 2018, "Revisiting the three factor model in light of circular behavioural simultaneities," Review of Behavioral Finance, Emerald Group Publishing Limited, volume 10, issue 3, pages 210-230, July, DOI: 10.1108/RBF-08-2017-0079.
• Omid Sabbaghi & Navid Sabbaghi, 2018, "Market efficiency and the global financial crisis: evidence from developed markets," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 35, issue 3, pages 362-385, June, DOI: 10.1108/SEF-01-2014-0022.
• Chang, C-L. & Hsu, S.-H. & McAleer, M.J., 2018, "An Event Study of Chinese Tourists to Taiwan," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number 2018-003/III, Jan.
• Chang, C-L. & Mai, T.K. & McAleer, M.J., 2018, "Pricing Carbon Emissions in China," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2018-05, Jan.
• Chang, C-L. & Mai, T.K. & McAleer, M.J., 2018, "Establishing National Carbon Emission Prices for China," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number 18-028/III, Mar.
• Chang, C-L. & Hsu, S.-H. & McAleer, M.J., 2018, "Risk Spillovers in Returns for Chinese and International Tourists to Taiwan," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number 18-031/III, Mar.
• Ilomäki, J. & Laurila, H. & McAleer, M.J., 2018, "Simple Market Timing with Moving Averages," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2018-19, May.
• Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2018, "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number TI 2018-052/III, May.
• Chang, C-L. & Hsu, S.-H. & McAleer, M.J., 2018, "Asymmetric Risk Impacts of Chinese Tourists to Taiwan," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2018-18, May.
• Ilomäki, J. & Laurila, H. & McAleer, M.J., 2018, "Market Timing with Moving Averages," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2018-28, Jun.
• Chang, C-L. & Hsieh, T-L. & McAleer, M.J., 2018, "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2018-37, Sep.
• Chang, C-L. & Ilomäki, J. & Laurila, H. & McAleer, M.J., 2018, "Long Run Returns Predictability and Volatility with Moving Averages," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2018-39, Sep.
• Vo, D.H. & Vu, T.N. & Vo, A.T. & McAleer, M.J., 2018, "Modelling the Relationship between Crude Oil and Agricultural Commodity Prices," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2019-10, Dec.
• Mehmet Balcilar & Usman Ojonugwa, 2018, "Exchange rate and oil price pass-through to inflation in BRICS countries: Evidence from the spillover index and rolling-sample analysis," Working Papers, Eastern Mediterranean University, Department of Economics, number 15-45.
• Mehmet Balcilar & Zeynel Abidin Ozdemir & Huseyin Ozdemir, 2018, "Dynamic return and volatility spillovers among S&P 500, crude oil and gold," Working Papers, Eastern Mediterranean University, Department of Economics, number 15-46.
• Georgiev, I & Harvey, DI & Leybourne, SJ & Taylor, AM, 2018, "Testing for Parameter Instability in Predictive Regression Models," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 21162, Jan.
• Magnolia Miriam Sosa Castro & Christian Bucio Pacheco & Alejandra Cabello Rosales, 2018, "Contagion and Stock Interdependence in the BRIC+M Block," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, volume 48, issue 1, pages 173-196, Enero-Jun.
• Joao Dionisio Monteiro & Jose Luis Miralles-Quiros & Jose Ramos Pires Manso, 2018, "Is There Seasonality in Traded and Non-Traded Period Returns in the US Equity Market? A Multiple Structural Change Approach," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 68, issue 1, pages 71-98, February.
• Tereza Palanska, 2018, "Measurement of Volatility Spillovers and Asymmetric Connectedness on Commodity and Equity Markets," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2018/27, Oct, revised Oct 2018.
• Karel Janda & Jakub Kourilek, 2018, "Residual Shape Risk on Czech Natural Gas Market," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2018/33, Oct, revised Oct 2018.
• Peter Van Tassel, 2018, "Equity Volatility Term Premia," Staff Reports, Federal Reserve Bank of New York, number 867, Sep.
• Daniel J. Lewis, 2018, "Identifying shocks via time-varying volatility," Staff Reports, Federal Reserve Bank of New York, number 871, Oct.
• Ayşe Ergin ÜNAL, Okyay UÇAN, 2018, "An Alternative Instrument Negative Interest for Economic Growth: An ARDL Analysis Approach," Fiscaoeconomia, Tubitak Ulakbim JournalPark (Dergipark), issue 4.
• Violeta Duță, 2018, "Relaţia dintre cursul de schimb valutar şi preţul bursier al băncilor comerciale pe piaţa financiară din România," Journal of Financial Studies, Institute of Financial Studies, volume 4, issue 3, pages 89-103, June.

2017

• Thomas Quistgaard Pedersen & Erik Christian Montes Schütte, 2017, "Testing for Explosive Bubbles in the Presence of Autocorrelated Innovations," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-09, Feb.
• Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 2017, "Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-10, Mar.
• Lukasz Gatarek & Søren Johansen, 2017, "The role of cointegration for optimal hedging with heteroscedastic error term," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-12, Mar.
• Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 2017, "A Non-Structural Investigation of VIX Risk Neutral Density," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-15, Apr.
• Giorgio Mirone, 2017, "Inference from the futures: ranking the noise cancelling accuracy of realized measures," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-24, Jun.
• Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 2017, "Decoupling the short- and long-term behavior of stochastic volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-26, Aug.
• Annastiina Silvennoinen & Timo Teräsvirta, 2017, "Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-28, Aug.
• Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2017, "Modelling and forecasting WIG20 daily returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-29, Aug.
• Martin M. Andreasen & Jens H.E. Christensen & Glenn D. Rudebusch, 2017, "Term Structure Analysis with Big Data," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-31, Sep.
• Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou & Weining Wang, 2017, "Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-34, Oct.
• Nektarios Aslanidis & Charlotte Christiansen, 2017, "Flight to Safety from European Stock Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-38, Nov.
• Ionel Bostan & Cristian Popescu & Costel Istrate & Ioan-Bogdan Robu, 2017, "The Impact of Taxation of the Domestic Economic Transactions on the Vat Collection Through Electronic Fiscal Devices," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, volume 19, issue 45, pages 581-581, May.
• Sankarkumar, Amirdha Vasani & Selvam, Murugesan & Maniam, Balasundram & Sigo, Marxia Oli, 2017, "Long memory features and relationship stability of Asia-Pacific currencies against USD," Business and Economic Horizons (BEH), Prague Development Center (PRADEC), volume 13, issue 01, DOI: 10.22004/ag.econ.264628.
• Md. Abu HASAN & Anita ZAMAN, 2017, "Volatility Nexus Between Stock Market And Macroeconomic Variables In Bangladesh: An Extended Garch Approach," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 64, issue 2, pages 233-243, June.
• Simon Clinet & Yoann Potiron, 2017, "Efficient asymptotic variance reduction when estimating volatility in high frequency data," Papers, arXiv.org, number 1701.01185, Jan, revised Jun 2018.
• Matthias Raddant & Dror Y. Kenett, 2017, "Interconnectedness in the Global Financial Market," Papers, arXiv.org, number 1704.01028, Apr, revised Jun 2020.
• Olivier Scaillet & Adrien Treccani & Christopher Trevisan, 2017, "High-Frequency Jump Analysis of the Bitcoin Market," Papers, arXiv.org, number 1704.08175, Apr, revised Jun 2017.
• Raymond Brummelhuis & Zhongmin Luo, 2017, "CDS Rate Construction Methods by Machine Learning Techniques," Papers, arXiv.org, number 1705.06899, May.
• Andrew J. Patton & Johanna F. Ziegel & Rui Chen, 2017, "Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk)," Papers, arXiv.org, number 1707.05108, Jul.
• Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes, 2017, "High-Frequency Jump Tests: Which Test Should We Use?," Papers, arXiv.org, number 1708.09520, Aug, revised Jan 2020.
• Simon Clinet & Yoann Potiron, 2017, "Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book," Papers, arXiv.org, number 1709.02502, Sep, revised Feb 2019.
• Nikolaus Hautsch & Stefan Voigt, 2017, "Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty," Papers, arXiv.org, number 1709.06296, Sep, revised Jun 2018.
• Chirag Shekhar & Mark Trede, 2017, "Portfolio Optimization Using Multivariate t-Copulas with Conditionally Skewed Margins," Review of Economics & Finance, Better Advances Press, Canada, volume 9, pages 29-41, August.
• Tom Roberts, 2017, "A Counterfactual Valuation of the Stock Index as a Predictor of Crashes," Staff Working Papers, Bank of Canada, number 17-38, DOI: 10.34989/swp-2017-38.
• Reinhard Ellwanger, 2017, "On the Tail Risk Premium in the Oil Market," Staff Working Papers, Bank of Canada, number 17-46, DOI: 10.34989/swp-2017-46.
• Pinar KAYA & Bulent GULOGLU, 2017, "Modeling and Forecasting the Markets Volatility and VaR Dynamics of Commodity," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 11, issue 1, pages 9-49.
• Enrico Bernardini & Johnny Di Giampaolo & Ivan Faiella & Riccardo Poli, 2017, "Investing in the electric utilities sector: the implications of carbon risk," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 410, Nov.
• Filippo Natoli & Laura Sigalotti, 2017, "An indicator of inflation expectations anchoring," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1103, Feb.
• Julien Idier & Thibaut Piquard, 2017, "Pandemic crises in financial systems: a simulation-model to complement stress-testing frameworks," Working papers, Banque de France, number 621.
• Taryk Bennani & Cyril Couaillier & Antoine Devulder & Silvia Gabrieli & Julien Idier & Pier Lopez & Thibaut Piquard & Valerio Scalone, 2017, "An analytical framework to calibrate macroprudential policy," Working papers, Banque de France, number 648.
• BRATIAN Vasile & BUCUR Amelia, 2017, "The Development And The Current Status Of The Capital Market Hypotheses: A Few Benchmarks," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, volume 69, issue 1, pages 22-28, April.
• F. Lilla, 2017, "High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number wp1099, Apr.
• Fekri Ali Shawtari & Buerhan Saiti & Muslim Har Sani Mohamad & Hafiz Majdi Abdul Rashid, 2017, "Does intense monitoring matter? A quantile regression approach," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 17, issue 2, pages 75-85, June.
• Nader Trabelsi, 2017, "Tail dependence between oil and stocks of major oil-exporting countries using the CoVaR approach," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 17, issue 4, pages 228-237, December.
• Sanhaji Bilel, 2017, "Testing for Nonlinearity in Conditional Covariances," Journal of Time Series Econometrics, De Gruyter, volume 9, issue 2, pages 1-22, July, DOI: 10.1515/jtse-2016-0010.
• Lips Johannes, 2017, "Do They Still Matter? – Impact of Fossil Fuels on Electricity Prices in the Light of Increased Renewable Generation," Journal of Time Series Econometrics, De Gruyter, volume 9, issue 2, pages 1-30, July, DOI: 10.1515/jtse-2016-0018.
• Javed Farrukh & Podgórski Krzysztof, 2017, "Tail Behavior and Dependence Structure in the APARCH Model," Journal of Time Series Econometrics, De Gruyter, volume 9, issue 2, pages 1-48, July, DOI: 10.1515/jtse-2016-0002.
• Burda Michael C. & Seele Stefanie, 2017, "Das deutsche Arbeitsmarktwunder: Eine Bilanz," Perspektiven der Wirtschaftspolitik, De Gruyter, volume 18, issue 3, pages 179-204, October, DOI: 10.1515/pwp-2017-0019.
• Bu Ruijun & Cheng Jie & Hadri Kaddour, 2017, "Specification analysis in regime-switching continuous-time diffusion models for market volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 21, issue 1, pages 65-80, February, DOI: 10.1515/snde-2016-0047.
• Avdulaj Krenar & Barunik Jozef, 2017, "A semiparametric nonlinear quantile regression model for financial returns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 21, issue 1, pages 81-97, February, DOI: 10.1515/snde-2016-0044.
• Gonzalo Jesús & Taamouti Abderrahim, 2017, "The reaction of stock market returns to unemployment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 21, issue 4, pages 1-20, September, DOI: 10.1515/snde-2015-0078.
• Cuestas Juan Carlos & Tang Bo, 2017, "Asymmetric exchange rate exposure of stock returns: empirical evidence from Chinese industries," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 21, issue 4, pages 1-21, September, DOI: 10.1515/snde-2016-0042.
• Patrick Kouontchou & Bertrand Maillet & Alejandro Modesto & Sessi Tokpavi, 2017, "Quand l’union fait la force : un indice de risque systémique," Revue économique, Presses de Sciences-Po, volume 68, issue HS1, pages 87-106.
• Lloyd, S. P., 2017, "Estimating Nominal Interest Rate Expectations: Overnight Indexed Swaps and the Term Structure," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1734, Sep.
• Karanasos, Menelaos & Xu, Yongdeng & Yfanti, Stavroula, 2017, "Constrained QML Estimation for Multivariate Asymmetric MEM with Spillovers: The Practicality of Matrix Inequalities," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2017/14, Nov.
• Toda, Alexis Akira & Walsh, Kieran James, 2017, "Fat tails and spurious estimation of consumption-based asset pricing models," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt8df3x7gw, Jan.
• Lorenzo Camponovo & Yukitoshi Matsushita & Taisuke Otsu, 2017, "Empirical likelihood for high frequency data," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 591, Feb.
• Joachim Freyberger & Andreas Neuhierl & Michael Weber & Michael Weber, 2017, "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series, CESifo, number 6391.
• Eduard Baumöhl & Evžen Kocenda & Stefan Lyócsa & Tomás Vyrost & Evžen Kočenda, 2017, "Networks of Volatility Spillovers among Stock Markets," CESifo Working Paper Series, CESifo, number 6476.
• Olivier Scaillet & Adrien Treccani & Christopher Trevisan, 2017, "High-Frequency Jump Analysis of the Bitcoin Market," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-19, Jun.
• Julio A. Crego, 2017, "Short Selling Ban and Intraday Dynamics," Working Papers, CEMFI, number wp2017_1715, Nov.
• Carlos Castro & Diego Agudelo & Sergio Preciado, 2017, "Measuring the effectiveness of volatility call auctions," Documentos de Trabajo, Universidad del Rosario, number 15498, Jan.
• Santiago Medina Hurtado & Jorge Restrepo-Morales & Alejandro Bedoya, 2017, "Pérdidas esperadas y detrimento patrimonial por hurto de vehículos en Colombia," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, volume 36, issue 71, pages 261-292.
• Johan Santiago Ruiz Moreno, 2017, "Estructura de varianzas entre el mercado financiero mundial y de Colombia," Econógrafos, Escuela de Economía, Universidad Nacional de Colombia, FCE, CID, number 15695, Aug.
• Joana Chapa & Araceli Ortega, 2017, "Identifying the Main Emitters of Carbon Dioxide in Mexico: A Multi-Sectoral Study," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, volume 0, issue Spring 20, pages 135-172.
• Sílvia Letícia Bampi & Kim Ellwanger & Divanildo Triches, 2017, "Análise comparada da estrutura e desempenho dos bancos centrais de tres países da América Latina através de um modelo de vetor auto-regressivo (VAR/VEC)," Tiempo y Economía, Universidad de Bogotá Jorge Tadeo Lozano, volume 5, issue 1, pages 101-122, DOI: 10.21789/24222704.1277.
• PREMINGER Arie & STORTI Giuseppe, 2017, "Least squares estimation for GARCH (1,1) model with heavy tailed errors," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2017015, Apr.
• JOHNEN, Johannes, 2017, "Dynamic competition in deceptive markets," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2017036, Dec.
• Luc BAUWENS & Jean-François CARPENTIER & Arnaud DUFAYS, 2017, "Autoregressive moving average infinite hidden Markov-switching models," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2836, Jan.
• Alicja Ganczarek-Gamrot & Józef Stawicki, 2017, "Comparison of certain dynamic estimation methods of Value at Risk on Polish gas market," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, volume 17, pages 81-96.
• Jan Voelzke & Jeanne Diesteldorf & Fabian Goessling & Till Weigt, 2017, "Investors' favourite - A different look at valuing individual labour income," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 6017, Feb.
• Martina Danielova Zaharieva & Mark Trede & Bernd Wilfling, 2017, "Bayesian semiparametric multivariate stochastic volatility with an application to international stock-market co-movements," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 6217, Jun.
• Gonzalo, Jesús & Taamouti, Abderrahim, 2017, "The Reaction of Stock Market Returns to Unemployment," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 24120, Jan.
• Ayala, Astrid & Blazsek, Szabolcs & Escribano, Álvaro, 2017, "Dynamic conditional score models with time-varying location, scale and shape parameters," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 25043, Jul.
• Nguyen, Hoang & Ausín Olivera, María Concepción & Galeano San Miguel, Pedro, 2017, "Parallel Bayesian Inference for High Dimensional Dynamic Factor Copulas," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 24552, May.
• Afees A. Salisu & Kazeem Isah, 2017, "Modeling the spillovers between stock market and money market in Nigeria," Working Papers, Centre for Econometric and Allied Research, University of Ibadan, number 023, Aug.
• Afees A. Salisu & Umar B. Ndako, 2017, "Forecasting the return volatility of European equity markets under different market conditions:A GARCH-MIDAS approach," Working Papers, Centre for Econometric and Allied Research, University of Ibadan, number 028, Sep.
• Afees A. Salisu & Tirimisyu F. Oloko, 2017, "Are daily agricultural grains prices stationary? New evidence from GARCH-based unit root tests," Working Papers, Centre for Econometric and Allied Research, University of Ibadan, number 036, Nov.
• Hounyo, Ulrich & Gonçalves, Sílvia & Meddahi, Nour, 2017, "Bootstrapping Pre-Averaged Realized Volatility Under Market Microstructure Noise," Econometric Theory, Cambridge University Press, volume 33, issue 4, pages 791-838, August.
• Kanaya, Shin, 2017, "Uniform Convergence Rates Of Kernel-Based Nonparametric Estimators For Continuous Time Diffusion Processes: A Damping Function Approach," Econometric Theory, Cambridge University Press, volume 33, issue 4, pages 874-914, August.
• Kanaya, Shin, 2017, "Convergence Rates Of Sums Of Α-Mixing Triangular Arrays: With An Application To Nonparametric Drift Function Estimation Of Continuous-Time Processes," Econometric Theory, Cambridge University Press, volume 33, issue 5, pages 1121-1153, October.
• Md. Abu HASAN, 2017, "Efficiency and Volatility of the Stock Market in Bangladesh: A Macroeconometric Analysis," Turkish Economic Review, EconSciences Journals, volume 4, issue 2, pages 239-249, June.
• Ouael EL JEBARI & Abdelati HAKMAOUI, 2017, "Modeling persistence of volatility in the Moroccan exchange market using a fractionally integrated EGARCH," Turkish Economic Review, EconSciences Journals, volume 4, issue 4, pages 388-399, December.
• Dan ARMEANU & Carmen PASCAL, 2017, "The Economic and Social Impact of Minimum Wage," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, volume 51, issue 3, pages 57-72.
• Xinyu WU & Senchun REN & Hailin ZHOU, 2017, "Empirical Pricing Kernels: Evidence from the Hong Kong Stock Market," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, volume 51, issue 4, pages 263-278.