Research classified by Journal of Economic Literature (JEL) codes

2017

• 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.
• Christophe Boucher & Gilles de Truchis & Elena Dumitrescu & Sessi Tokpavi, 2017, "Testing for Extreme Volatility Transmission with Realized Volatility Measures," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2017-20.
• Natoli, Filippo & Sigalotti, Laura, 2017, "A new indicator of inflation expectations anchoring," Working Paper Series, European Central Bank, number 1996, Jan.
• Natoli, Filippo & Sigalotti, Laura, 2017, "Tail co-movement in inflation expectations as an indicator of anchoring," Working Paper Series, European Central Bank, number 1997, Jan.
• Ansari Saleh Ahmar, 2017, "Sutte Indicator: A Technical Indicator in Stock Market," International Journal of Economics and Financial Issues, Econjournals, volume 7, issue 2, pages 223-226.
• Akram Budagaga, 2017, "Dividend Payment and its Impact on the Value of Firms Listed on Istanbul Stock Exchange: A Residual Income Approach," International Journal of Economics and Financial Issues, Econjournals, volume 7, issue 2, pages 370-376.
• Electra Pitoska & Androniki Katarachia & Grigoris Giannarakis & Charalampos Tsilikas, 2017, "An Analysis of Determinants Affecting the Returns of Dow Jones Sustainability Index United States," International Journal of Economics and Financial Issues, Econjournals, volume 7, issue 3, pages 113-118.
• Jaber Bahrami & Mosayeb Pahlavani & Reza Roshan & Saeed Rasekhi, 2017, "Adjusting Consumption Based Capital Asset Pricing Model within the Framework of an Open Economy: The Case of Iran," International Journal of Economics and Financial Issues, Econjournals, volume 7, issue 3, pages 309-317.
• Hanabusa, Kunihiro, 2017, "Japan’s quantitative monetary easing policy: Effect on the level and volatility of yield spreads," Journal of Asian Economics, Elsevier, volume 53, issue C, pages 56-66, DOI: 10.1016/j.asieco.2017.10.004.
• Lee, Kyungsub & Seo, Byoung Ki, 2017, "Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data," Journal of Economic Dynamics and Control, Elsevier, volume 79, issue C, pages 154-183, DOI: 10.1016/j.jedc.2017.04.004.
• Bee, Marco & Riccaboni, Massimo & Trapin, Luca, 2017, "An extreme value analysis of the last century crises across industries in the U.S. economy," Journal of Economic Dynamics and Control, Elsevier, volume 81, issue C, pages 65-78, DOI: 10.1016/j.jedc.2017.01.012.
• Nonejad, Nima, 2017, "Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market," Economic Modelling, Elsevier, volume 61, issue C, pages 388-408, DOI: 10.1016/j.econmod.2016.11.003.
• el Alaoui, AbdelKader O. & Ismath Bacha, Obiyathulla & Masih, Mansur & Asutay, Mehmet, 2017, "Leverage versus volatility: Evidence from the capital structure of European firms," Economic Modelling, Elsevier, volume 62, issue C, pages 145-160, DOI: 10.1016/j.econmod.2016.11.023.
• Chen, Junping & Xiong, Xiong & Zhu, Jie & Zhu, Xiaoneng, 2017, "Asset prices and economic fluctuations: The implications of stochastic volatility," Economic Modelling, Elsevier, volume 64, issue C, pages 128-140, DOI: 10.1016/j.econmod.2017.03.017.
• Gatfaoui, Hayette, 2017, "Equity market information and credit risk signaling: A quantile cointegrating regression approach," Economic Modelling, Elsevier, volume 64, issue C, pages 48-59, DOI: 10.1016/j.econmod.2017.03.012.
• Uddin, Md Akther & Ali, Md Hakim & Masih, Mansur, 2017, "Political stability and growth: An application of dynamic GMM and quantile regression," Economic Modelling, Elsevier, volume 64, issue C, pages 610-625, DOI: 10.1016/j.econmod.2017.04.028.
• Dewandaru, Ginanjar & Masih, Rumi & Masih, Mansur, 2017, "Regional spillovers across transitioning emerging and frontier equity markets: A multi-time scale wavelet analysis," Economic Modelling, Elsevier, volume 65, issue C, pages 30-40, DOI: 10.1016/j.econmod.2017.04.026.
• Heryán, Tomáš & Tzeremes, Panayiotis G., 2017, "The bank lending channel of monetary policy in EU countries during the global financial crisis," Economic Modelling, Elsevier, volume 67, issue C, pages 10-22, DOI: 10.1016/j.econmod.2016.07.017.
• Araichi, Sawssen & Peretti, Christian de & Belkacem, Lotfi, 2017, "Reserve modelling and the aggregation of risks using time varying copula models," Economic Modelling, Elsevier, volume 67, issue C, pages 149-158, DOI: 10.1016/j.econmod.2016.11.016.
• Roy, Rudra Prosad & Sinha Roy, Saikat, 2017, "Financial contagion and volatility spillover: An exploration into Indian commodity derivative market," Economic Modelling, Elsevier, volume 67, issue C, pages 368-380, DOI: 10.1016/j.econmod.2017.02.019.
• Chen, Cathy W.S. & Wang, Zona & Sriboonchitta, Songsak & Lee, Sangyeol, 2017, "Pair trading based on quantile forecasting of smooth transition GARCH models," The North American Journal of Economics and Finance, Elsevier, volume 39, issue C, pages 38-55, DOI: 10.1016/j.najef.2016.10.015.
• Ng, Kok Haur & Peiris, Shelton & Chan, Jennifer So-kuen & Allen, David & Ng, Kooi Huat, 2017, "Efficient modelling and forecasting with range based volatility models and its application," The North American Journal of Economics and Finance, Elsevier, volume 42, issue C, pages 448-460, DOI: 10.1016/j.najef.2017.08.009.
• Tielens, Joris & Van Hove, Jan, 2017, "The Amiti–Weinstein estimator: An equivalence result," Economics Letters, Elsevier, volume 151, issue C, pages 19-22, DOI: 10.1016/j.econlet.2016.11.039.
• Balli, Faruk & Uddin, Gazi Salah & Mudassar, Hasan & Yoon, Seong-Min, 2017, "Cross-country determinants of economic policy uncertainty spillovers," Economics Letters, Elsevier, volume 156, issue C, pages 179-183, DOI: 10.1016/j.econlet.2017.05.016.
• Chang, Chia-Lin & McAleer, Michael, 2017, "The correct regularity condition and interpretation of asymmetry in EGARCH," Economics Letters, Elsevier, volume 161, issue C, pages 52-55, DOI: 10.1016/j.econlet.2017.09.017.
• Pedersen, Rasmus Søndergaard, 2017, "Inference and testing on the boundary in extended constant conditional correlation GARCH models," Journal of Econometrics, Elsevier, volume 196, issue 1, pages 23-36, DOI: 10.1016/j.jeconom.2016.09.004.
• Kim, Jihyun & Park, Joon Y., 2017, "Asymptotics for recurrent diffusions with application to high frequency regression," Journal of Econometrics, Elsevier, volume 196, issue 1, pages 37-54, DOI: 10.1016/j.jeconom.2015.12.019.
• Francq, C. & Jiménez-Gamero, M.D. & Meintanis, S.G., 2017, "Tests for conditional ellipticity in multivariate GARCH models," Journal of Econometrics, Elsevier, volume 196, issue 2, pages 305-319, DOI: 10.1016/j.jeconom.2016.10.001.
• Boudt, Kris & Laurent, Sébastien & Lunde, Asger & Quaedvlieg, Rogier & Sauri, Orimar, 2017, "Positive semidefinite integrated covariance estimation, factorizations and asynchronicity," Journal of Econometrics, Elsevier, volume 196, issue 2, pages 347-367, DOI: 10.1016/j.jeconom.2016.09.016.
• Hounyo, Ulrich, 2017, "Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading," Journal of Econometrics, Elsevier, volume 197, issue 1, pages 130-152, DOI: 10.1016/j.jeconom.2016.11.002.
• Potiron, Yoann & Mykland, Per A., 2017, "Estimation of integrated quadratic covariation with endogenous sampling times," Journal of Econometrics, Elsevier, volume 197, issue 1, pages 20-41, DOI: 10.1016/j.jeconom.2016.10.004.
• Christensen, Bent Jesper & Varneskov, Rasmus Tangsgaard, 2017, "Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination," Journal of Econometrics, Elsevier, volume 197, issue 2, pages 218-244, DOI: 10.1016/j.jeconom.2016.07.009.
• Caporin, Massimiliano & Rossi, Eduardo & Santucci de Magistris, Paolo, 2017, "Chasing volatility," Journal of Econometrics, Elsevier, volume 198, issue 1, pages 122-145, DOI: 10.1016/j.jeconom.2017.01.005.
• Chen, Richard Y. & Mykland, Per A., 2017, "Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data," Journal of Econometrics, Elsevier, volume 200, issue 1, pages 79-103, DOI: 10.1016/j.jeconom.2017.05.015.
• Chaker, Selma, 2017, "On high frequency estimation of the frictionless price: The use of observed liquidity variables," Journal of Econometrics, Elsevier, volume 201, issue 1, pages 127-143, DOI: 10.1016/j.jeconom.2017.06.018.
• Shephard, Neil & Xiu, Dacheng, 2017, "Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading," Journal of Econometrics, Elsevier, volume 201, issue 1, pages 19-42, DOI: 10.1016/j.jeconom.2017.04.003.
• Barigozzi, Matteo & Hallin, Marc, 2017, "Generalized dynamic factor models and volatilities: estimation and forecasting," Journal of Econometrics, Elsevier, volume 201, issue 2, pages 307-321, DOI: 10.1016/j.jeconom.2017.08.010.
• Engle, Robert & Roussellet, Guillaume & Siriwardane, Emil, 2017, "Scenario generation for long run interest rate risk assessment," Journal of Econometrics, Elsevier, volume 201, issue 2, pages 333-347, DOI: 10.1016/j.jeconom.2017.08.012.
• Aït-Sahalia, Yacine & Xiu, Dacheng, 2017, "Using principal component analysis to estimate a high dimensional factor model with high-frequency data," Journal of Econometrics, Elsevier, volume 201, issue 2, pages 384-399, DOI: 10.1016/j.jeconom.2017.08.015.
• Chen, Ye & Phillips, Peter C.B. & Yu, Jun, 2017, "Inference in continuous systems with mildly explosive regressors," Journal of Econometrics, Elsevier, volume 201, issue 2, pages 400-416, DOI: 10.1016/j.jeconom.2017.08.016.
• Creel, Michael, 2017, "Neural nets for indirect inference," Econometrics and Statistics, Elsevier, volume 2, issue C, pages 36-49, DOI: 10.1016/j.ecosta.2016.11.008.
• Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur M., 2017, "The role of Islamic asset classes in the diversified portfolios: Mean variance spanning test," Emerging Markets Review, Elsevier, volume 30, issue C, pages 66-95, DOI: 10.1016/j.ememar.2016.09.002.
• Majdoub, Jihed & Ben Sassi, Salim, 2017, "Volatility spillover and hedging effectiveness among China and emerging Asian Islamic equity indexes," Emerging Markets Review, Elsevier, volume 31, issue C, pages 16-31, DOI: 10.1016/j.ememar.2016.12.003.
• Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2017, "The kidnapping of Europe: High-order moments' transmission between developed and emerging markets," Emerging Markets Review, Elsevier, volume 31, issue C, pages 96-115, DOI: 10.1016/j.ememar.2017.03.002.
• Ülkü, Numan & Kuruppuarachchi, Duminda & Kuzmicheva, Olga, 2017, "Stock market's response to real output shocks in Eastern European frontier markets: A VARwAL model," Emerging Markets Review, Elsevier, volume 33, issue C, pages 140-154, DOI: 10.1016/j.ememar.2017.09.004.
• Escobari, Diego & Garcia, Sergio & Mellado, Cristhian, 2017, "Identifying bubbles in Latin American equity markets: Phillips-Perron-based tests and linkages," Emerging Markets Review, Elsevier, volume 33, issue C, pages 90-101, DOI: 10.1016/j.ememar.2017.09.001.
• Alexeev, Vitali & Dungey, Mardi & Yao, Wenying, 2017, "Time-varying continuous and jump betas: The role of firm characteristics and periods of stress," Journal of Empirical Finance, Elsevier, volume 40, issue C, pages 1-19, DOI: 10.1016/j.jempfin.2016.11.002.
• Zu, Yang & Boswijk, H. Peter, 2017, "Consistent nonparametric specification tests for stochastic volatility models based on the return distribution," Journal of Empirical Finance, Elsevier, volume 41, issue C, pages 53-75, DOI: 10.1016/j.jempfin.2016.12.005.
• Pan, Zhiyuan & Wang, Yudong & Wu, Chongfeng & Yin, Libo, 2017, "Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model," Journal of Empirical Finance, Elsevier, volume 43, issue C, pages 130-142, DOI: 10.1016/j.jempfin.2017.06.005.
• Risse, Marian & Ohl, Ludwig, 2017, "Using dynamic model averaging in state space representation with dynamic Occam’s window and applications to the stock and gold market," Journal of Empirical Finance, Elsevier, volume 44, issue C, pages 158-176, DOI: 10.1016/j.jempfin.2017.09.005.
• Reboredo, Juan C. & Rivera-Castro, Miguel A. & Ugolini, Andrea, 2017, "Wavelet-based test of co-movement and causality between oil and renewable energy stock prices," Energy Economics, Elsevier, volume 61, issue C, pages 241-252, DOI: 10.1016/j.eneco.2016.10.015.
• Kang, Sang Hoon & McIver, Ron & Yoon, Seong-Min, 2017, "Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets," Energy Economics, Elsevier, volume 62, issue C, pages 19-32, DOI: 10.1016/j.eneco.2016.12.011.
• Herrera, Rodrigo & Rodriguez, Alejandro & Pino, Gabriel, 2017, "Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model," Energy Economics, Elsevier, volume 63, issue C, pages 129-143, DOI: 10.1016/j.eneco.2017.01.012.
• Khalifa, Ahmed & Caporin, Massimiliano & Hammoudeh, Shawkat, 2017, "The relationship between oil prices and rig counts: The importance of lags," Energy Economics, Elsevier, volume 63, issue C, pages 213-226, DOI: 10.1016/j.eneco.2017.01.015.
• Liu, Pan & Vedenov, Dmitry & Power, Gabriel J., 2017, "Is hedging the crack spread no longer all it's cracked up to be?," Energy Economics, Elsevier, volume 63, issue C, pages 31-40, DOI: 10.1016/j.eneco.2017.01.020.
• Křehlík, Tomáš & Baruník, Jozef, 2017, "Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets," Energy Economics, Elsevier, volume 65, issue C, pages 208-218, DOI: 10.1016/j.eneco.2017.05.003.
• Mensi, Walid & Tiwari, Aviral & Bouri, Elie & Roubaud, David & Al-Yahyaee, Khamis H., 2017, "The dependence structure across oil, wheat, and corn: A wavelet-based copula approach using implied volatility indexes," Energy Economics, Elsevier, volume 66, issue C, pages 122-139, DOI: 10.1016/j.eneco.2017.06.007.
• Espinasa, Ramon & ter Horst, Enrique & Reyes, Sergio Guerra & Manzano, Osmel & Molina, German & Rigobon, Roberto, 2017, "A micro-based model for world oil market," Energy Economics, Elsevier, volume 66, issue C, pages 431-449, DOI: 10.1016/j.eneco.2017.06.019.
• Taylor, Nick, 2017, "Timing strategy performance in the crude oil futures market," Energy Economics, Elsevier, volume 66, issue C, pages 480-492, DOI: 10.1016/j.eneco.2017.07.019.
• Sukcharoen, Kunlapath & Leatham, David J., 2017, "Hedging downside risk of oil refineries: A vine copula approach," Energy Economics, Elsevier, volume 66, issue C, pages 493-507, DOI: 10.1016/j.eneco.2017.07.012.
• Han, Liyan & Lv, Qiuna & Yin, Libo, 2017, "Can investor attention predict oil prices?," Energy Economics, Elsevier, volume 66, issue C, pages 547-558, DOI: 10.1016/j.eneco.2017.04.018.
• Ma, Feng & Wahab, M.I.M. & Huang, Dengshi & Xu, Weiju, 2017, "Forecasting the realized volatility of the oil futures market: A regime switching approach," Energy Economics, Elsevier, volume 67, issue C, pages 136-145, DOI: 10.1016/j.eneco.2017.08.004.
• Mensi, Walid & Hammoudeh, Shawkat & Shahzad, Syed Jawad Hussain & Al-Yahyaee, Khamis Hamed & Shahbaz, Muhammad, 2017, "Oil and foreign exchange market tail dependence and risk spillovers for MENA, emerging and developed countries: VMD decomposition based copulas," Energy Economics, Elsevier, volume 67, issue C, pages 476-495, DOI: 10.1016/j.eneco.2017.08.036.
• Geng, Jiang-Bo & Ji, Qiang & Fan, Ying, 2017, "The relationship between regional natural gas markets and crude oil markets from a multi-scale nonlinear Granger causality perspective," Energy Economics, Elsevier, volume 67, issue C, pages 98-110, DOI: 10.1016/j.eneco.2017.08.006.
• Zhang, Guofu & Du, Ziping, 2017, "Co-movements among the stock prices of new energy, high-technology and fossil fuel companies in China," Energy, Elsevier, volume 135, issue C, pages 249-256, DOI: 10.1016/j.energy.2017.06.103.
• Tunaru, Diana, 2017, "Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models," International Review of Financial Analysis, Elsevier, volume 52, issue C, pages 119-129, DOI: 10.1016/j.irfa.2017.05.003.
• Shahzad, Syed Jawad Hussain & Ferrer, Román & Ballester, Laura & Umar, Zaghum, 2017, "Risk transmission between Islamic and conventional stock markets: A return and volatility spillover analysis," International Review of Financial Analysis, Elsevier, volume 52, issue C, pages 9-26, DOI: 10.1016/j.irfa.2017.04.005.
• Corbet, Shaen & Larkin, Charles, 2017, "Has the uniformity of banking regulation within the European Union restricted rather than encouraged sectoral development?," International Review of Financial Analysis, Elsevier, volume 53, issue C, pages 48-65, DOI: 10.1016/j.irfa.2017.08.007.
• Śmiech, Sławomir & Papież, Monika, 2017, "In search of hedges and safe havens: Revisiting the relations between gold and oil in the rolling regression framework," Finance Research Letters, Elsevier, volume 20, issue C, pages 238-244, DOI: 10.1016/j.frl.2016.10.006.
• Chen, Cathy W.S. & Lin, Tsai-Yu, 2017, "Nonparametric tolerance limits for pair trading," Finance Research Letters, Elsevier, volume 21, issue C, pages 1-9, DOI: 10.1016/j.frl.2016.11.002.
• Babalos, Vassilios & Balcilar, Mehmet, 2017, "Does institutional trading drive commodities prices away from their fundamentals: Evidence from a nonparametric causality-in-quantiles test," Finance Research Letters, Elsevier, volume 21, issue C, pages 126-131, DOI: 10.1016/j.frl.2016.11.017.
• Klein, Tony & Walther, Thomas, 2017, "Fast fractional differencing in modeling long memory of conditional variance for high-frequency data," Finance Research Letters, Elsevier, volume 22, issue C, pages 274-279, DOI: 10.1016/j.frl.2016.12.020.
• Mendes, Beatriz Vaz de Melo & Lavrado, Rafael Coelho, 2017, "Implementing and testing the Maximum Drawdown at Risk," Finance Research Letters, Elsevier, volume 22, issue C, pages 95-100, DOI: 10.1016/j.frl.2017.06.001.
• Lönnbark, Carl, 2017, "Long vs. short term asymmetry in volatility and the term structure of risk," Finance Research Letters, Elsevier, volume 23, issue C, pages 202-209, DOI: 10.1016/j.frl.2017.06.011.
• Klein, Tony, 2017, "Dynamic correlation of precious metals and flight-to-quality in developed markets," Finance Research Letters, Elsevier, volume 23, issue C, pages 283-290, DOI: 10.1016/j.frl.2017.05.002.
• Bégin, Jean-François & Boudreault, Mathieu & Gauthier, Geneviève, 2017, "Firm-specific credit risk estimation in the presence of regimes and noisy prices," Finance Research Letters, Elsevier, volume 23, issue C, pages 306-313, DOI: 10.1016/j.frl.2017.08.005.
• Silva, Walmir & Kimura, Herbert & Sobreiro, Vinicius Amorim, 2017, "An analysis of the literature on systemic financial risk: A survey," Journal of Financial Stability, Elsevier, volume 28, issue C, pages 91-114, DOI: 10.1016/j.jfs.2016.12.004.
• Sensoy, Ahmet & Ozturk, Kevser & Hacihasanoglu, Erk & Tabak, Benjamin M., 2017, "Not all emerging markets are the same: A classification approach with correlation based networks," Journal of Financial Stability, Elsevier, volume 33, issue C, pages 163-186, DOI: 10.1016/j.jfs.2016.06.009.
• Abedifar, Pejman & Giudici, Paolo & Hashem, Shatha Qamhieh, 2017, "Heterogeneous market structure and systemic risk: Evidence from dual banking systems," Journal of Financial Stability, Elsevier, volume 33, issue C, pages 96-119, DOI: 10.1016/j.jfs.2017.11.002.
• Georgoutsos, Dimitris & Moratis, George, 2017, "Bank-sovereign contagion in the Eurozone: A panel VAR Approach," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 48, issue C, pages 146-159, DOI: 10.1016/j.intfin.2017.01.004.
• Orlowski, Lucjan T., 2017, "Volatility of commodity futures prices and market-implied inflation expectations," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 51, issue C, pages 133-141, DOI: 10.1016/j.intfin.2017.10.002.
• Taylor, Nick, 2017, "Realised variance forecasting under Box-Cox transformations," International Journal of Forecasting, Elsevier, volume 33, issue 4, pages 770-785, DOI: 10.1016/j.ijforecast.2017.04.001.
• Mensi, Walid & Hammoudeh, Shawkat & Shahzad, Syed Jawad Hussain & Shahbaz, Muhammad, 2017, "Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method," Journal of Banking & Finance, Elsevier, volume 75, issue C, pages 258-279, DOI: 10.1016/j.jbankfin.2016.11.017.
• Liu, Xiaochun, 2017, "Unfolded risk-return trade-offs and links to Macroeconomic Dynamics," Journal of Banking & Finance, Elsevier, volume 82, issue C, pages 1-19, DOI: 10.1016/j.jbankfin.2017.04.015.
• Chou, Ray Yeutien & Yen, Tso-Jung & Yen, Yu-Min, 2017, "Risk evaluations with robust approximate factor models," Journal of Banking & Finance, Elsevier, volume 82, issue C, pages 244-264, DOI: 10.1016/j.jbankfin.2016.05.008.
• Caporale, Guglielmo Maria & Cerrato, Mario & Zhang, Xuan, 2017, "Analysing the determinants of insolvency risk for general insurance firms in the UK," Journal of Banking & Finance, Elsevier, volume 84, issue C, pages 107-122, DOI: 10.1016/j.jbankfin.2017.07.011.
• Nikitopoulos, Christina Sklibosios & Squires, Matthew & Thorp, Susan & Yeung, Danny, 2017, "Determinants of the crude oil futures curve: Inventory, consumption and volatility," Journal of Banking & Finance, Elsevier, volume 84, issue C, pages 53-67, DOI: 10.1016/j.jbankfin.2017.07.006.
• Goliński, Adam & Spencer, Peter, 2017, "The advantages of using excess returns to model the term structure," Journal of Financial Economics, Elsevier, volume 125, issue 1, pages 163-181, DOI: 10.1016/j.jfineco.2017.05.001.
• Eraker, Bjørn & Wu, Yue, 2017, "Explaining the negative returns to volatility claims: An equilibrium approach," Journal of Financial Economics, Elsevier, volume 125, issue 1, pages 72-98, DOI: 10.1016/j.jfineco.2017.04.007.
• Dittmar, Robert F. & Lundblad, Christian T., 2017, "Firm characteristics, consumption risk, and firm-level risk exposures," Journal of Financial Economics, Elsevier, volume 125, issue 2, pages 326-343, DOI: 10.1016/j.jfineco.2017.05.002.
• Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto, 2017, "Systemic co-jumps," Journal of Financial Economics, Elsevier, volume 126, issue 3, pages 563-591, DOI: 10.1016/j.jfineco.2017.06.016.
• Algieri, Bernardina & Kalkuhl, Matthias & Koch, Nicolas, 2017, "A tale of two tails: Explaining extreme events in financialized agricultural markets," Food Policy, Elsevier, volume 69, issue C, pages 256-269, DOI: 10.1016/j.foodpol.2017.05.004.
• Virk, Nader & Javed, Farrukh, 2017, "European equity market integration and joint relationship of conditional volatility and correlations," Journal of International Money and Finance, Elsevier, volume 71, issue C, pages 53-77, DOI: 10.1016/j.jimonfin.2016.10.007.
• Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2017, "Asymmetric volatility connectedness on the forex market," Journal of International Money and Finance, Elsevier, volume 77, issue C, pages 39-56, DOI: 10.1016/j.jimonfin.2017.06.003.
• Harris, Richard D.F. & Shen, Jian, 2017, "The intrinsic value of gold: An exchange rate-free price index," Journal of International Money and Finance, Elsevier, volume 79, issue C, pages 203-217, DOI: 10.1016/j.jimonfin.2017.09.007.
• Francq, Christian & Sucarrat, Genaro, 2017, "An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns," Journal of Multivariate Analysis, Elsevier, volume 153, issue C, pages 16-32, DOI: 10.1016/j.jmva.2016.09.010.
• Trabelsi, Nader, 2017, "Asymmetric tail dependence between oil price shocks and sectors of Saudi Arabia System," The Journal of Economic Asymmetries, Elsevier, volume 16, issue C, pages 26-41, DOI: 10.1016/j.jeca.2017.05.001.
• Shahzad, Syed Jawad Hussain & Raza, Naveed & Balcilar, Mehmet & Ali, Sajid & Shahbaz, Muhammad, 2017, "Can economic policy uncertainty and investors sentiment predict commodities returns and volatility?," Resources Policy, Elsevier, volume 53, issue C, pages 208-218, DOI: 10.1016/j.resourpol.2017.06.010.
• Reboredo, Juan C. & Ugolini, Andrea, 2017, "Quantile causality between gold commodity and gold stock prices," Resources Policy, Elsevier, volume 53, issue C, pages 56-63, DOI: 10.1016/j.resourpol.2017.05.013.
• Ibrahim, Mansor H. & Rizvi, Syed Aun R., 2017, "Do we need bigger Islamic banks? An assessment of bank stability," Journal of Multinational Financial Management, Elsevier, volume 40, issue C, pages 77-91, DOI: 10.1016/j.mulfin.2017.05.002.
• Boako, Gideon & Alagidede, Paul, 2017, "Currency price risk and stock market returns in Africa: Dependence and downside spillover effects with stochastic copulas," Journal of Multinational Financial Management, Elsevier, volume 41, issue C, pages 92-114, DOI: 10.1016/j.mulfin.2017.06.001.
• Mokni, Khaled & Mansouri, Faysal, 2017, "Conditional dependence between international stock markets: A long memory GARCH-copula model approach," Journal of Multinational Financial Management, Elsevier, volume 42, issue , pages 116-131, DOI: 10.1016/j.mulfin.2017.10.006.
• Devaney, Steven & Xiao, Qin, 2017, "Cyclical co-movements of private real estate, public real estate and equity markets: A cross-continental spectrum," Journal of Multinational Financial Management, Elsevier, volume 42, issue , pages 132-151, DOI: 10.1016/j.mulfin.2017.10.002.
• Naifar, Nader & Mroua, Mourad & Bahloul, Slah, 2017, "Do regional and global uncertainty factors affect differently the conventional bonds and sukuk? New evidence," Pacific-Basin Finance Journal, Elsevier, volume 41, issue C, pages 65-74, DOI: 10.1016/j.pacfin.2016.12.004.
• Hkiri, Besma & Hammoudeh, Shawkat & Aloui, Chaker & Yarovaya, Larisa, 2017, "Are Islamic indexes a safe haven for investors? An analysis of total, directional and net volatility spillovers between conventional and Islamic indexes and importance of crisis periods," Pacific-Basin Finance Journal, Elsevier, volume 43, issue C, pages 124-150, DOI: 10.1016/j.pacfin.2017.03.001.
• Al Rahahleh, Naseem & Bhatti, M. Ishaq & Adeinat, Iman, 2017, "Tail dependence and information flow: Evidence from international equity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 474, issue C, pages 319-329, DOI: 10.1016/j.physa.2017.01.063.
• Schmidbauer, Harald & Rösch, Angi & Uluceviz, Erhan, 2017, "Frequency aspects of information transmission in a network of three western equity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 486, issue C, pages 933-946, DOI: 10.1016/j.physa.2017.05.082.
• Sant’Anna, Leonardo R. & Filomena, Tiago P. & Caldeira, João F., 2017, "Index tracking and enhanced indexing using cointegration and correlation with endogenous portfolio selection," The Quarterly Review of Economics and Finance, Elsevier, volume 65, issue C, pages 146-157, DOI: 10.1016/j.qref.2016.08.008.
• Wu, Chih-Chiang & Wu, Chang-Che, 2017, "The asymmetry in carry trade and the U.S. dollar," The Quarterly Review of Economics and Finance, Elsevier, volume 65, issue C, pages 304-313, DOI: 10.1016/j.qref.2016.12.004.
• Padmakumari, Lakshmi & S., Maheswaran, 2017, "A new statistic to capture the level dependence in stock price volatility," The Quarterly Review of Economics and Finance, Elsevier, volume 65, issue C, pages 355-362, DOI: 10.1016/j.qref.2016.12.001.
• Allen, David E. & McAleer, Michael & Powell, Robert J. & Singh, Abhay K., 2017, "Volatility Spillovers from Australia's major trading partners across the GFC," International Review of Economics & Finance, Elsevier, volume 47, issue C, pages 159-175, DOI: 10.1016/j.iref.2016.10.007.
• Kumar, Dilip, 2017, "Realized volatility transmission from crude oil to equity sectors: A study with economic significance analysis," International Review of Economics & Finance, Elsevier, volume 49, issue C, pages 149-167, DOI: 10.1016/j.iref.2017.01.027.
• Tsukuda, Yoshihiko & Shimada, Junji & Miyakoshi, Tatsuyoshi, 2017, "Bond market integration in East Asia: Multivariate GARCH with dynamic conditional correlations approach," International Review of Economics & Finance, Elsevier, volume 51, issue C, pages 193-213, DOI: 10.1016/j.iref.2017.05.013.
• Uctum, Remzi & Renou-Maissant, Patricia & Prat, Georges & Lecarpentier-Moyal, Sylvie, 2017, "Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data," Review of Financial Economics, Elsevier, volume 35, issue C, pages 43-56, DOI: 10.1016/j.rfe.2017.03.001.
• Serletis, Apostolos & Istiak, Khandokar, 2017, "Financial intermediary leverage spillovers," Research in International Business and Finance, Elsevier, volume 39, issue PB, pages 1000-1007, DOI: 10.1016/j.ribaf.2016.03.001.
• Chevallier, Julien & Ielpo, Florian, 2017, "Investigating the leverage effect in commodity markets with a recursive estimation approach," Research in International Business and Finance, Elsevier, volume 39, issue PB, pages 763-778, DOI: 10.1016/j.ribaf.2014.09.010.
• Walther, Thomas & Klein, Tony & Thu, Hien Pham & Piontek, Krzysztof, 2017, "True or spurious long memory in European non-EMU currencies," Research in International Business and Finance, Elsevier, volume 40, issue C, pages 217-230, DOI: 10.1016/j.ribaf.2017.01.003.
• Kumari, Jyoti & Mahakud, Jitendra & Hiremath, Gourishankar S., 2017, "Determinants of idiosyncratic volatility: Evidence from the Indian stock market," Research in International Business and Finance, Elsevier, volume 41, issue C, pages 172-184, DOI: 10.1016/j.ribaf.2017.04.022.
• Nadal, Raquel & Szklo, Alexandre & Lucena, André, 2017, "Time-varying impacts of demand and supply oil shocks on correlations between crude oil prices and stock markets indices," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 1011-1020, DOI: 10.1016/j.ribaf.2017.07.037.
• Issahaku, Haruna & Abor, Joshua Yindenaba & Harvey, Simon Kwadzogah, 2017, "Remittances, banks and stock markets: Panel evidence from developing countries," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 1413-1427, DOI: 10.1016/j.ribaf.2017.07.080.
• Ahmed, Walid M.A., 2017, "On the dynamic interactions between energy and stock markets under structural shifts: Evidence from Egypt," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 61-74, DOI: 10.1016/j.ribaf.2017.05.006.
• Trabelsi, Nader & Naifar, Nader, 2017, "Are Islamic stock indexes exposed to systemic risk? Multivariate GARCH estimation of CoVaR," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 727-744, DOI: 10.1016/j.ribaf.2017.07.013.