Research classified by Journal of Economic Literature (JEL) codes

2017

• Takashi Isogai, 2017, "Analysis of Dynamic Correlation of Japanese Stock Returns with Network Clustering," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 24, issue 3, pages 193-220, September, DOI: 10.1007/s10690-017-9230-5.
• Gian P. Cervellera & Marco P. Tucci, 2017, "A note on the Estimation of a Gamma-Variance Process: Learning from a Failure," Computational Economics, Springer;Society for Computational Economics, volume 49, issue 3, pages 363-385, March, DOI: 10.1007/s10614-016-9566-3.
• Mihály Ormos & Dusán Timotity, 2017, "Expected downside risk and asset prices: characteristics of emerging and developed European markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 44, issue 3, pages 529-546, August, DOI: 10.1007/s10663-016-9329-3.
• Daniel Mantilla-García & Vijay Vaidyanathan, 2017, "Predicting stock returns in the presence of uncertain structural changes and sample noise," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 31, issue 3, pages 357-391, August, DOI: 10.1007/s11408-017-0290-3.
• Krishna Prasanna & Subramaniam Sowmya, 2017, "Yield curve in India and its interactions with the US bond market," International Economics and Economic Policy, Springer, volume 14, issue 2, pages 353-375, April, DOI: 10.1007/s10368-016-0340-8.
• Alexander N. Bogin & Stephen D. Bruestle & William M. Doerner, 2017, "How Low Can House Prices Go? Estimating a Conservative Lower Bound," The Journal of Real Estate Finance and Economics, Springer, volume 54, issue 1, pages 97-116, January, DOI: 10.1007/s11146-015-9538-8.
• Fredj Jawadi & Georges Prat, 2017, "Equity prices and fundamentals: a DDM–APT mixed approach," Review of Quantitative Finance and Accounting, Springer, volume 49, issue 3, pages 661-695, October, DOI: 10.1007/s11156-016-0604-y.
• Diana-Maria Chis & Cristina Ciumas & Emilia-Anuta Corovei, 2017, "Equilibrium Prices Of Guarantees Under Unit-Linked Life Insurance Contracts," Knowledge Horizons - Economics, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, volume 9, issue 2, pages 47-53, June.
• Agya Atabani Adi, 2017, "Returns Effect, Shocks and Volatility Transmission between Foreign Exchange-Stock Markets in Nigeria," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, volume 3, issue 1, pages 29-38, March.
• Idoko Ahmed Itodo & Ojonugwa Usman & Michael Maju Abu, 2017, "The Asymmetric Effect in the Volatility of the South African Rand," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, volume 3, issue 3, pages 47-53, September.
• Iulian Lolea, 2017, "Where did the GARCH Models Perform Best in Terms of Volatility Forecasting? Equity vs. Commodities Markets," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, volume 3, issue 3, pages 79-86, September.
• Md. Abu HASAN, 2017, "Efficiency and Volatility of the Stock Market in Bangladesh: A Macroeconometric Analysis," Turkish Economic Review, KSP 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, KSP Journals, volume 4, issue 4, pages 388-399, December.
• Lukasz Gatarek & Soeren Johansen, 2017, "The role of cointegration for optimal hedging with heteroscedastic error term," Discussion Papers, University of Copenhagen. Department of Economics, number 17-03, Mar.
• Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2017, "Asymmetric volatility connectedness on the forex market," KIER Working Papers, Kyoto University, Institute of Economic Research, number 956, Jan.
• Prosper Dovonon & Alastair R. Hall & Frank Kleibergen, 2017, "Inference in Second-Order Identified Models," Economics Discussion Paper Series, Economics, The University of Manchester, number 1703.
• Botshekan, Mohamad Hashem & Mohseni, Hosein, 2017, "Volatility Spillover among Industries in the Capital Market in Iran," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 12, issue 2, pages 213-233, April.
• Hishamuddin Abdul Wahab & Buerhan Saiti & Saiful Azhar Rosly & Abul Mansur Mohammed Masih, 2017, "Risk-Taking Behavior and Capital Adequacy in a Mixed Banking System: New Evidence from Malaysia Using Dynamic OLS and Two-Step Dynamic System GMM Estimators," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 53, issue 1, pages 180-198, January, DOI: 10.1080/1540496X.2016.1162151.
• Seung C. Ahn & Alex R. Horenstein, 2017, "Asset Pricing and Excess Returns over the Market Return," Working Papers, University of Miami, Department of Economics, number 2017-12, Sep.
• Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes, 2017, "Dynamic asset price jumps and the performance of high frequency tests and measures," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 14/17.
• Bing Jiang & Yanrong Yang & Jiti Gao & Cheng Hsiao, 2017, "Recursive estimation in large panel data models: Theory and practice," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 5/17.
• Ban Kheng Tan & Anastasios Panagiotelis & George Athanasopoulos, 2017, "Bayesian Inference for a 1-Factor Copula Model," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 6/17.
• Łukasz Delong & Damian Sulik, 2017, "Kalibracja dwuczynnikowego modelu chwilowej stopy procentowej typu G2++ w mierze rzeczywistej i neutralnej względem ryzyka," Bank i Kredyt, Narodowy Bank Polski, volume 48, issue 4, pages 403-450.
• Siem Koopman & André Lucas & Marcin Zamojski, 2017, "Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting," NBP Working Papers, Narodowy Bank Polski, number 258.
• Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2017, "Dissecting Characteristics Nonparametrically," NBER Working Papers, National Bureau of Economic Research, Inc, number 23227, Mar.
• Stefano Giglio & Dacheng Xiu, 2017, "Inference on Risk Premia in the Presence of Omitted Factors," NBER Working Papers, National Bureau of Economic Research, Inc, number 23527, Jun.
• Alexander M. Chinco & Mao Ye, 2017, "Investment-Horizon Spillovers," NBER Working Papers, National Bureau of Economic Research, Inc, number 23650, Aug.
• Alexander M. Chinco & Adam D. Clark-Joseph & Mao Ye, 2017, "Sparse Signals in the Cross-Section of Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 23933, Oct.
• Zhivaikina, A. & Peresetsky, A., 2017, "Russian Bank Credit Ratings and Bank License Withdrawal 2012-2016," Journal of the New Economic Association, New Economic Association, volume 36, issue 4, pages 49-80.
• Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2017, "Modelling and forecasting WIG20 daily returns," NIPE Working Papers, NIPE - Universidade do Minho, number 09/2017.
• Igor Živko & Mile BoÅ¡njak, 2017, "Time Series Modeling of Inflation and its Volatility in Croatia," Notitia - journal for economic, business and social issues, Notitia Ltd., volume 1, issue 3, pages 1-10, December.
• Bekiros, Stelios & Loukeris, Nikolaos & Eleftheriadis, Iordanis, 2017, "Portfolio Optimization With Investor Utility Preference of Higher-Order Moments: A Behavioral Approach," Review of Behavioral Economics, now publishers, volume 4, issue 2, pages 83-106, September, DOI: 10.1561/105.00000060.
• Daniel Stefan ARMEANU & Adrian ENCIU & Sorin-Iulian CIOACA, 2017, "How Important is the Contagion Effect for the Romanian Capital Market?," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 2, pages 265-282, June.
• Tomáš Pražák & Daniel Stavárek, 2017, "The Effect of Financial Ratios on the Stock Price Development," Working Papers, Silesian University, School of Business Administration, number 0043, Aug.
• Laurentiu Droj & Ioan Gheorghe Tara & Gabriela Droj, 2017, "Financial Sustainability For Romanian Companies - European Structural Funds Between Inter-Regional Cohesion Or Division? Part I," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 287-295, July.
• Laurentiu Droj & Gabriela Droj, 2017, "Financial Sustainability For Romanian Companies - European Structural Funds Between Inter-Regional Cohesion Or Division? Part Ii," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 297-305, July.
• Rabeea Sadaf, 2017, "Advanced Statistical Techniques For Testing Benford'S Law," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 2, pages 229-238, December.
• Chelariu Gabriel, 2017, "The Dynamics Of Associations And Foundations In Romania. Econometric Analysis," Oradea Journal of Business and Economics, University of Oradea, Faculty of Economics, volume 2, issue 2, pages 67-76, September.
• Eric Ghysels & Julien Idier & Simone Manganelli & Olivier Vergote, 2017, "A High-Frequency assessment of the ECB Securities Markets Programme," Journal of the European Economic Association, European Economic Association, volume 15, issue 1, pages 218-243.
• Harry Vander Elst & David Veredas, 2017, "Smoothing it Out: Empirical and Simulation Results for Disentangled Realized Covariances," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 1, pages 106-138.
• Xun Gong & Chunmei Lin & Remco C. J. Zwinkels, 2017, "Forecasting Crashes: Correlated Fund Flows and Skewness in Stock Returns," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 1, pages 36-61.
• Simona Boffelli & Vasiliki D. Skintzi & Giovanni Urga, 2017, "High- and Low-Frequency Correlations in European Government Bond Spreads and Their Macroeconomic Drivers," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 1, pages 62-105.
• Alexandru Badescu & Zhenyu Cui & Juan-Pablo Ortega, 2017, "Non-affine GARCH Option Pricing Models, Variance-Dependent Kernels, and Diffusion Limits," Journal of Financial Econometrics, Oxford University Press, volume 15, issue 4, pages 602-648.
• Michael S. O’Doherty & N. E. Savin & Ashish Tiwari, 2017, "Hedge Fund Replication: A Model Combination Approach," Review of Finance, European Finance Association, volume 21, issue 4, pages 1767-1804.
• Nathaniel Light & Denys Maslov & Oleg Rytchkov, 2017, "Aggregation of Information About the Cross Section of Stock Returns: A Latent Variable Approach," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 4, pages 1339-1381.
• Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2017, "Deflation Risk," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 8, pages 2719-2760.
• Cioca Ionela Cornelia, 2017, "Fiscal and Accounting Aspects Regarding the Tax Specific on Certain Activities," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 445-450, June.
• Apostu Simona-Andreea, 2017, "Factor Analysis of Credit Risk in Romania," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 2, pages 499-504, December.
• Rodríguez, Gabriel, 2017, "Extreme Value Theory: An Application to the Peruvian Stock Market Returns || Teoría de valores extremos: una aplicación a los retornos bursátiles peruanos," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 23, issue 1, pages 48-74, Junio.
• Pejman Abedifar & Paolo Giudici & Shatha Hashem, 2017, "Heterogeneous Market Structure and Systemic Risk: Evidence from Dual Banking Systems," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 134, Feb.
• Murugesan Selvam & Amirdha Vasani Sankarkumar & Balasundaram Maniam & Marxia Oli Sigo, 2017, "Long memory features and relationship stability of Asia-Pacific currencies against USD," Business and Economic Horizons (BEH), Prague Development Center, volume 13, issue 1, pages 97-109, March, DOI: 10.15208/beh.2017.07.
• Juliane Proelss & Denis Schweizer & Volker Seiler, 2017, "Do Announcements of WTO Dispute Resolution Cases Matter? Evidence from the Rare Earth Elements Market," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 103, Apr.
• Alicja Fras, 2017, "The relation between management fees and the mutual funds` performance in Poland in 2015," Working Papers, Institute of Economic Research, number 26/2017, May, revised May 2017.
• Madeira, Makharam & Masih, Mansur, 2017, "Does the purchasing power parity theory hold for Malaysia ?," MPRA Paper, University Library of Munich, Germany, number 100017, Jul.
• Khalit, Nafsiah & Masih, Mansur, 2017, "Is shariah (islamic) stock price causally related to the macroeconomic variables ? Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 100251, Apr.
• Bakkali, Saad & Masih, Mansur, 2017, "Is the GCC islamic index independent of the conventional interest rates ?," MPRA Paper, University Library of Munich, Germany, number 100636, Mar.
• Malayan, Firoz & Masih, Mansur, 2017, "Causal linkages between the energy sector and islamic regional indexes: evidence from GCC, EU, US, emerging markets and Asia-pacific," MPRA Paper, University Library of Munich, Germany, number 100681, Oct.
• Ashraf, Kamran & Masih, Mansur, 2017, "Does the purchasing power parity theory still hold ? The UK as the case study," MPRA Paper, University Library of Munich, Germany, number 100764, Dec.
• Yousef, Mona & Masih, Mansur, 2017, "Time-varying correlation between islamic stock indices: evidence from the GCC countries based on MGARCH-DCC approach," MPRA Paper, University Library of Munich, Germany, number 100986, Oct.
• Miras, Hassan & Masih, Mansur, 2017, "Stock returns and macroeconomic factors in an emerging economy: Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 101229, Jun.
• Abdullah, Iskandar & Masih, Mansur, 2017, "The lead-lag relationship and the determinants of Islamic banks’ profit rates: Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 101916, Jul.
• Mohamad, Shaifulfazlee & Masih, Mansur, 2017, "What drives the property prices ? the Malaysian case," MPRA Paper, University Library of Munich, Germany, number 102411, Jun.
• Amanbayev, Yerkebulan & Masih, Mansur, 2017, "What factors affect the export competitiveness? Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 102512, Apr.
• Omar, Abdullah & Masih, Mansur, 2017, "Does inflation impact shariah (islamic) equity index and conventional equity index differently?the case of Malaysia," MPRA Paper, University Library of Munich, Germany, number 102576, Apr.
• Zada, Najeeb & Masih, Mansur, 2017, "Exploring the relationship between the Malaysian islamic index and international islamic indices," MPRA Paper, University Library of Munich, Germany, number 102809, Sep.
• Isa, Yazid & Masih, Mansur, 2017, "Does conventional interest rate influence islamic deposit rate of return or the other way around ? evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 102877, Jul.
• Ahmed, Tayyab & Masih, Mansur, 2017, "Is islamic stock index related with conventional stock index ? evidence from the UK," MPRA Paper, University Library of Munich, Germany, number 102967, Jun.
• Osman, Fatimah & Masih, Mansur, 2017, "What are the drivers of islamic bank deposits ? evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 103721, Nov.
• Abdullah, Mace & Masih, Mansur, 2017, "Is there any significant difference in global volatility of and correlation between shari’ah-compliant (Islamic) equities and sukuk ?," MPRA Paper, University Library of Munich, Germany, number 103729, Jul.
• Omar, Abdullah & Masih, Mansur, 2017, "Is the effect of inflation on shariah (islamic) stock and conventional stock different ? evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 103732, Jun.
• Zakaria, Khairuddin & Masih, Mansur, 2017, "Impact of various islamic equity markets on sharia (islamic) compliant equity invesments in emerging markets," MPRA Paper, University Library of Munich, Germany, number 103799, Nov.
• Bahaman, Abrar & Masih, Mansur, 2017, "Identifying the lead-lag relationship between the shariah (islamic) equity index and macroeconomic variables: Malaysia as a case study," MPRA Paper, University Library of Munich, Germany, number 103820, Feb.
• Foziah, Nik Hazimi & Masih, Mansur, 2017, "Does islamic banking have significant effect on economic growth ? evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 104703, Nov.
• Abbas, Amir & Masih, Mansur, 2017, "Islamic stock index, conventional stock index and macroeconomic variables," MPRA Paper, University Library of Munich, Germany, number 104806, Mar.
• al Bdiwy, Feras & Masih, Mansur, 2017, "The lead-lag relationship among select regional islamic equity markets," MPRA Paper, University Library of Munich, Germany, number 104973, Apr.
• Farouk, Faizal & Masih, Mansur, 2017, "Lead-lag relationship between islamic ETF price and strategic commodities: evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 104977, Mar.
• Ibrahim, Zil Farlilah & Masih, Mansur, 2017, "Is gold a better choice as reserve currency for smaller market economies?," MPRA Paper, University Library of Munich, Germany, number 105474, Jun.
• Roslan, Ahmad Ridza & Masih, Mansur, 2017, "How does advertisement spending affect business performance of both islamic and conventional banks?," MPRA Paper, University Library of Munich, Germany, number 105578, Jul.
• Ali, Hakim & Masih, Mansur, 2017, "Granger-causality between islamic finance and growth: evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 106112, Nov.
• Hamour, Mohamed & Masih, Mansur, 2017, "The dilemma of the sharia conscious investor: a time series analysis," MPRA Paper, University Library of Munich, Germany, number 106129, Mar.
• Cheah, Chee Keong & Masih, Mansur, 2017, "Does the growth of islamic bank financing depend on stock market growth? evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 106192, Aug.
• Izani, Izahairani & Masih, Mansur, 2017, "Do islamic bank deposits depend on total islamic bank assets or the other way around ?," MPRA Paper, University Library of Munich, Germany, number 106218, Apr.
• Alamsyah, Janoearto & Masih, Mansur, 2017, "Impact of islamic money market development on islamic bank liquidity management: a case study of Indonesia," MPRA Paper, University Library of Munich, Germany, number 106778, Oct.
• Rahman, Nadiah Abd & Masih, Mansur, 2017, "Does the islamic bank deposit have an effect on equity market ? Malaysian case," MPRA Paper, University Library of Munich, Germany, number 106789, Aug.
• Azland, Adam & Masih, Mansur, 2017, "Discerning the relationship between bitcoin and islamic index," MPRA Paper, University Library of Munich, Germany, number 106790, Jul.
• Nor, Amiruddin & Masih, Mansur, 2017, "Granger-causality between islamic banks and conventional banks: evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 107064, May.
• Ramic, Esma & Masih, Mansur, 2017, "Is islamic bank financing related to interest rate ? Malaysian evidence based on ARDL approach," MPRA Paper, University Library of Munich, Germany, number 107163, May.
• Hussin, Syaryanti & Masih, Mansur, 2017, "Does interest rate affect the saving account deposits of islamic banks ? evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 107370, Feb.
• Hassen, Omar & Masih, Mansur, 2017, "Is shariah stock index better than the conventional stock index in explaining economic growth ? evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 107749, Jul.
• Yusoff, Abdul & Masih, Mansur, 2017, "The impact of key industry-sectoral indices on islamic stock market: evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 107907, Jun.
• Hassan, Hissam & Masih, Mansur, 2017, "Public debt and GDP growth in the Malaysian islamic economy," MPRA Paper, University Library of Munich, Germany, number 107999, Sep.
• Kalthum, Ummi & Masih, Mansur, 2017, "The lead-lag relationship between PPI, CPI and oil price: Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 108011, Nov.
• Yaacob, Nurul & Masih, Mansur, 2017, "Do the exchange rate fluctuations of trading partners affect the export competitiveness of a country? Malaysia as a case study," MPRA Paper, University Library of Munich, Germany, number 108037, May.
• Morni, Fareiny & Masih, Mansur, 2017, "Predicting stress in the banking sector: Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 108445, Jun.
• Salman, Firdaus & Masih, Mansur, 2017, "Is gold worth an investment ? a case study of Malaysia," MPRA Paper, University Library of Munich, Germany, number 108469, Dec.
• Fatiha, Illani & Masih, Mansur, 2017, "Causal relationship between FDI, trade, economic growth and exchange rate : Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 108485, May.
• Afifah, Irfan & Masih, Mansur, 2017, "Do macroeconomic variables have any impact on stock market? an Indonesian case study based on ARDL approach," MPRA Paper, University Library of Munich, Germany, number 108504, Nov.
• Mosteut, Safini & Masih, Mansur, 2017, "Does the exchange rate volatility affect the foreign direct investment? the case of Thailand," MPRA Paper, University Library of Munich, Germany, number 108898, Nov.
• Abbas, Aadil & Masih, Mansur, 2017, "Which investment (private or public) does contribute to economic growth more? a case study of South Africa," MPRA Paper, University Library of Munich, Germany, number 108919, Feb.
• Omar, Masitah & Masih, Mansur, 2017, "Does saving stimulate growth? the case of Malaysia," MPRA Paper, University Library of Munich, Germany, number 109242, Jun.
• Musaev, Mekhroj & Masih, Mansur, 2017, "Impact of oil price volatility on macroeconomic variables: an ARDL approach," MPRA Paper, University Library of Munich, Germany, number 109252, Aug.
• Isaacs, Ziyaat & Masih, Mansur, 2017, "Testing the long-run relationship between exchange rate, oil price, FDI and GDP: an ARDL approach," MPRA Paper, University Library of Munich, Germany, number 109279, Feb.
• Fadzil, Atikah & Masih, Mansur, 2017, "Does export lead growth? evidence from Japan," MPRA Paper, University Library of Munich, Germany, number 109290, Nov.
• Bekmuratov, Mukhsinbek & Masih, Mansur, 2017, "Granger-causality between oil price and macrovariables: ARDL approach," MPRA Paper, University Library of Munich, Germany, number 109862, Mar.
• Ludeen, Abdullah & Masih, Mansur, 2017, "What factors affect islamic bank deposits ? Malaysian case based on ARDL," MPRA Paper, University Library of Munich, Germany, number 109880, Apr.
• Salehyar, Masoud & Masih, Mansur, 2017, "Lead-lag between female employment and economic growth: evidence from Canada," MPRA Paper, University Library of Munich, Germany, number 109892, Jun.
• Sulaiman, Nadzri & Masih, Mansur, 2017, "Macroeconomic variables and stock markets (domestic and foreign): evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 110154, Feb.
• Cheah, Ping Yean & Masih, Mansur, 2017, "Interdependence of international stock markets: Malaysian case," MPRA Paper, University Library of Munich, Germany, number 110196, Mar.
• Ghafar, Aiman & Masih, Mansur, 2017, "The unemployment rate and its determinants: the Malaysian case," MPRA Paper, University Library of Munich, Germany, number 110220, May.
• Ali, Ariffhidayat & Masih, Mansur, 2017, "Relationship between oil price and gross fixed capital formation: Malaysian case," MPRA Paper, University Library of Munich, Germany, number 110266, Oct.
• Quadri, Syed & Masih, Mansur, 2017, "Granger-causality between macroeconomic variables and stock market index: evidence from India," MPRA Paper, University Library of Munich, Germany, number 110304, Feb.
• Nazlan, Wan Syafiq & Masih, Mansur, 2017, "Does financial development lead or lag economic growth ? Malaysian evidence," MPRA Paper, University Library of Munich, Germany, number 110348, Feb.
• Daud, Ariff & Masih, Mansur, 2017, "Is there any relationship between exchange rate and investment ? evidence from Australia," MPRA Paper, University Library of Munich, Germany, number 110655, Aug.
• Sharabati, Yamen & Masih, Mansur, 2017, "Are imports driven by exports or the other way around ?Thailand evidence," MPRA Paper, University Library of Munich, Germany, number 110689, Jul.
• Rahmali, Atiqah & Masih, Mansur, 2017, "Discerning the effect of international stock markets before and after the subprime crisis," MPRA Paper, University Library of Munich, Germany, number 110700, May.
• Kaleemuddin, Mohammed & Masih, Mansur, 2017, "Does financial development drive economic growth ? an ARDL approach," MPRA Paper, University Library of Munich, Germany, number 110716, Aug.
• Khan, Azima & Masih, Mansur, 2017, "Does women empowerment Granger-cause economic growth or the other way around? evidence from Iceland," MPRA Paper, University Library of Munich, Germany, number 111186, Feb.
• Mukrim, Anis & Masih, Mansur, 2017, "The impact of macroeconomic variables on the crude palm oil export: Malaysian evidence based on ARDL approach," MPRA Paper, University Library of Munich, Germany, number 111740, Dec.
• Salleh, Eddee & Masih, Mansur, 2017, "Does gold act as an inflation hedge ? Malaysian case," MPRA Paper, University Library of Munich, Germany, number 111749, Mar.
• Rahamat, Amri & Masih, Mansur, 2017, "Granger-causality between oil price, exchange rate and government bonds: evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 111769, Feb.
• Hoe, Foong Chee & Masih, Mansur, 2017, "Short - and long-run relationship between oil price and exchange rate: evidence from Malaysia based on Markov regime switching approach," MPRA Paper, University Library of Munich, Germany, number 112105, Dec.
• Lee, Siew Peng & Masih, Mansur, 2017, "Determinants of banks’ margins: case of islamic and conventional banks: evidence from Malaysia based on GMM approach," MPRA Paper, University Library of Munich, Germany, number 112110, May.
• Halim, Abdul & Masih, Mansur, 2017, "Comovement between crude oil prices and shariah stock indices: MGARCH-DCC and wavelet analysis," MPRA Paper, University Library of Munich, Germany, number 112141, Aug.
• Ariff, Azwar & Masih, Mansur, 2017, "Role of global financial crisis in causing dynamic connectedness of Asian equity markets," MPRA Paper, University Library of Munich, Germany, number 112555, Dec.
• Yang, Bill Huajian, 2017, "Point-in-time PD term structure models for multi-period scenario loss projection: Methodologies and implementations for IFRS 9 ECL and CCAR stress testing," MPRA Paper, University Library of Munich, Germany, number 76271, Jan.
• El khamlichi, Abdelbari & HOANG, Thi Hong Van & Wong, Wing-Keung, 2017, "Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis," MPRA Paper, University Library of Munich, Germany, number 76282, Jan.
• CHIKHI, Mohamed, 2017, "Chocs exogènes et non linéarités dans les séries boursières: Application à la modélisation non paramétrique du cours de l'action Orange
  [Exogenous Shocks and nonlinearity in the stock exchange series: Application to the nonparametric modelling of ," MPRA Paper, University Library of Munich, Germany, number 76691, revised 2017.
• Alexandre, Michel & Antônio Silva Brito, Giovani & Cotrim Martins, Theo, 2017, "Default contagion among credit modalities: evidence from Brazilian data," MPRA Paper, University Library of Munich, Germany, number 76859, Feb.
• Pincheira, Pablo, 2017, "A Power Booster Factor for Out-of-Sample Tests of Predictability," MPRA Paper, University Library of Munich, Germany, number 77027, Feb.
• Skintzi, Vasiliki, 2017, "Determinants of stock-bond market comovement in the Eurozone under model uncertainty," MPRA Paper, University Library of Munich, Germany, number 78278, Apr.
• Senarathne, Chamil W & Jayasinghe, Prabhath, 2017, "Information Flow Interpretation of Heteroskedasticity for Capital Asset Pricing: An Expectation-based View of Risk," MPRA Paper, University Library of Munich, Germany, number 78771, Mar, revised 04 Apr 2017.
• Brummelhuis, Raymond & Luo, Zhongmin, 2017, "CDS Rate Construction Methods by Machine Learning Techniques," MPRA Paper, University Library of Munich, Germany, number 79194, May.
• Razak, Lutfi Abdul & Masih, Mansur, 2017, "Revisit Feldstein-Horioka puzzle: evidence from Malaysia (1960-2015)," MPRA Paper, University Library of Munich, Germany, number 79407, May.
• Ahmed, Azleen Rosemy & Masih, Mansur, 2017, "What is the link between financial development and income inequality? evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 79416, May.
• Nazeer, Abdul Malik & Masih, Mansur, 2017, "Impact of political instability on foreign direct investment and Economic Growth: Evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 79418, May.
• Ndiaye, Ndeye Djiba & Masih, Mansur, 2017, "Is inflation targeting the proper monetary policy regime in a dual banking system? new evidence from ARDL bounds test," MPRA Paper, University Library of Munich, Germany, number 79420, May.
• Isaev, Mirolim & Masih, Mansur, 2017, "The nexus of private sector foreign debt, unemployment, trade openness: evidence from Australia," MPRA Paper, University Library of Munich, Germany, number 79423, May.
• Hasson, Ashwaq & Masih, Mansur, 2017, "Energy consumption, trade openness, economic growth, carbon dioxide emissions and electricity consumption: evidence from South Africa based on ARDL," MPRA Paper, University Library of Munich, Germany, number 79424, May.
• Nor, Amirudin Mohd & Masih, Mansur, 2017, "Do Islamic banks lead or lag conventional banks? Evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 79425, May.
• Wahab, Fatin Farhana & Masih, Mansur, 2017, "Discerning lead-lag between fear index and realized volatility," MPRA Paper, University Library of Munich, Germany, number 79433, May.
• Hodori, Arif & Masih, Mansur, 2017, "Determinants of profitability of takaful operators: new evidence from Malaysia based on dynamic GMM approach," MPRA Paper, University Library of Munich, Germany, number 79441, May.
• Adekunle, Salami Saheed & Masih, Mansur, 2017, "Assessing the viability of Sukuk for portfolio diversification using MS-DCC-GARCH," MPRA Paper, University Library of Munich, Germany, number 79443, May.
• Tanin, Tauhidul Islam & Masih, Mansur, 2017, "Does economic freedom lead or lag economic growth? evidence from Bangladesh," MPRA Paper, University Library of Munich, Germany, number 79446, May.
• Citak, Yusuf Ensar & Masih, Mansur, 2017, "Discerning Granger-causal chain between oil prices, exchange rates and inflation rates: Evidence from Turkey," MPRA Paper, University Library of Munich, Germany, number 79453, May.
• Razak, Razman & Masih, Mansur, 2017, "The links between crude palm oil, conventional and Islamic stock markets: evidence from Malaysia based on continuous and discrete wavelet analysis," MPRA Paper, University Library of Munich, Germany, number 79717, Jun.
• Isaev, Mirolim & Masih, Mansur, 2017, "Macroeconomic and bank-specific determinants of different categories of non-performing financing in Islamic banks: Evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 79719, Jun.
• Hosen, Mosharrof & Masih, Mansur, 2017, "Are Islamic risk factors blessings or curse for stock return? evidence from Malaysia based on dynamic GMM and quantile regression approaches," MPRA Paper, University Library of Munich, Germany, number 79738, Jun.
• Lim, Siok Jin & Masih, Mansur, 2017, "Exploring portfolio diversification opportunities in Islamic capital markets through bitcoin: evidence from MGARCH-DCC and Wavelet approaches," MPRA Paper, University Library of Munich, Germany, number 79752, Jun.
• Abdi, Aisha Aden & Masih, Mansur, 2017, "Do macroeconomic variables affect stock–sukuk correlation in the regional markets? evidence from the GCC countries based on DOLS and FM-OLS," MPRA Paper, University Library of Munich, Germany, number 79753, Jun.
• Broni, Mohammed Yaw & Masih, Mansur, 2017, "Does a country’s external debt level affect its Islamic banking sector development? evidence from Malaysia based on quantile regression and markov regime switching," MPRA Paper, University Library of Munich, Germany, number 79758, Jun.
• Umirah, Fatin & Masih, Mansur, 2017, "Should the Malaysian Islamic stock market investors invest in regional and international equity market to gain portfolio diversification benefits ?," MPRA Paper, University Library of Munich, Germany, number 79762, Jun.
• Chen, Bai & Masih, Mansur, 2017, "Are the Islamic and conventional money markets really highly correlated ? MGARCH-DCC and Wavelet approaches," MPRA Paper, University Library of Munich, Germany, number 79886, Jun.
• Yang, Bill Huajian, 2017, "Forward Ordinal Probability Models for Point-in-Time Probability of Default Term Structure," MPRA Paper, University Library of Munich, Germany, number 79934, Sep.
• Yang, Bill Huajian, 2017, "Point-in-Time PD Term Structure Models with Loan Credit Quality as a Component," MPRA Paper, University Library of Munich, Germany, number 80641, Aug.
• Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017, "The Time-Varying Risk Price of Currency Carry Trades," MPRA Paper, University Library of Munich, Germany, number 80788, Aug.
• Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017, "Carry Trades and Commodity Risk Factors," MPRA Paper, University Library of Munich, Germany, number 80789, Aug.
• Escobari, Diego & Garcia, Sergio & Mellado, Cristhian, 2017, "Identifying Bubbles in Latin American Equity Markets: Phillips-Perron-based Tests and Linkages," MPRA Paper, University Library of Munich, Germany, number 81453, Sep.
• Pönkä, Harri, 2017, "Sentiment and sign predictability of stock returns," MPRA Paper, University Library of Munich, Germany, number 81861, Oct.
• Jin, Xin & Maheu, John M & Yang, Qiao, 2017, "Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices," MPRA Paper, University Library of Munich, Germany, number 81920, Oct.
• Diallo, Abdoulaye Kindy & Masih, Mansur, 2017, "CO2 emissions and financial development: evidence from the United Arab Emirates based on an ARDL approach," MPRA Paper, University Library of Munich, Germany, number 82054, Jun.
• Barnett, William & Su, Liting, 2017, "Financial Firm Production of Inside Monetary and Credit Card Services: An Aggregation Theoretic Approach," MPRA Paper, University Library of Munich, Germany, number 82061, Oct.
• Nazib, Nur Afiyah & Masih, Mansur, 2017, "The response of monetary policy shocks on Islamic bank deposits: evidence from Malaysia based on ARDL approach," MPRA Paper, University Library of Munich, Germany, number 82094, Jun.
• Dzanan, Haris & Masih, Mansur, 2017, "Does currency depreciation necessarily result in positive trade balance ? new evidence from Norway," MPRA Paper, University Library of Munich, Germany, number 82103, May.
• Umairah, Fatin & Masih, Mansur, 2017, "Should the Malaysian islamic stock market investors invest in regional and international equity markets to gain portfolio diversification benefits?," MPRA Paper, University Library of Munich, Germany, number 82117, Jul.
• Reza, Md. Ridwan & Masih, Mansur, 2017, "Regime switching behavior of volatilities of Islamic equities: evidence from Markov- Switching GARCH models for some selected broad based indices," MPRA Paper, University Library of Munich, Germany, number 82123, Jul.
• Poyraz, Mehmet Sami & Masih, Mansur, 2017, "External private debt and economic growth: Is there a lead-lag Granger-casual relationship? evidence from Turkey," MPRA Paper, University Library of Munich, Germany, number 82132, May.
• Mustapha, Ishaq Muhammad & Masih, Mansur, 2017, "Dynamics of islamic stock market returns and exchange rate movements in the ASEAN Countries in a regime-switching environment: Implications for the islamic investors and risk hedgers," MPRA Paper, University Library of Munich, Germany, number 82218, Aug.
• Hamidi Sahneh, Mehdi, 2017, "News, Noise, and Tests of Present Value Models," MPRA Paper, University Library of Munich, Germany, number 82715, Oct.
• LEGOUGUI, Fateh & CHIKHI, Mohamed, 2017, "استخدام نماذج Arch لنمذجة تقلبات أسعار الأسهم في سوق المال السعودي - دراسة حالة شركة اتحاد اتصالات السعودية –
  [Modelling Saudi Stock Market Volatility Using ARCH Models –Case Study : Etihad Etisalat Saudi Arabia –]," MPRA Paper, University Library of Munich, Germany, number 84263, Mar, revised Oct 2017.
• Li, Longqing, 2017, "A Comparative Study of GARCH and EVT Model in Modeling Value-at-Risk," MPRA Paper, University Library of Munich, Germany, number 85645, Feb.
• MESTRE, Roman & Terraza, Michel, 2017, "Analyse Temps-fréquence du MEDAF –Application au CAC 40 –
  [Time-Frequency Analysis of CAPM- Application to the CAC 40-]," MPRA Paper, University Library of Munich, Germany, number 86272, Oct.
• MESTRE, Roman & TERRAZA, Michel, 2017, "Analyse Multidimensionnelle Temps-Fréquence du MEDAF
  [Multidimensional Time-Frequency Analysis Of The Capm]," MPRA Paper, University Library of Munich, Germany, number 86330, Sep.
• MESTRE, Roman & TERRAZA, Michel, 2017, "Estimation du Beta Tempo-fréquentiel de la Droite de Marché-Une approche par les ondelettes continues-
  [Time-Frequency varying Beta Estimation -A continuous wavelets approach-]," MPRA Paper, University Library of Munich, Germany, number 86335, Dec.
• Latheef, Udhula Abdul & Masih, Mansur, 2017, "Asymmetrical effects of macro variables on commercial bank deposits: evidence from Maldives based on NARDL," MPRA Paper, University Library of Munich, Germany, number 86361, Dec.
• Yousafzai, Essa & Masih, Mansur, 2017, "Does shariah stock index lead or lag the exchange rate and macroeconomic variables? evidence from Japan based on ARDL," MPRA Paper, University Library of Munich, Germany, number 86373, Dec.
• Malik, Meheroon Nisa Abdul & Masih, Mansur, 2017, "The relationship between energy consumption, financial development and economic growth: an evidence from Malaysia based on ARDL," MPRA Paper, University Library of Munich, Germany, number 86374, Dec.
• Noh, Nadia Mohd & Masih, Mansur, 2017, "The relationship between energy consumption and economic growth: evidence from Thailand based on NARDL and causality approaches," MPRA Paper, University Library of Munich, Germany, number 86384, Dec.
• Al-Dailami, Mohammed Abdullah & Masih, Mansur, 2017, "Is interest rate still the right tool for stimulating economic growth ? evidence from Japan," MPRA Paper, University Library of Munich, Germany, number 86387, Dec.
• Unal, Huseyin & Masih, Mansur, 2017, "Discerning causal relationship between operational cost and bank profit for commercial banks: Turkish evidence with ARDL approach," MPRA Paper, University Library of Munich, Germany, number 86391, Dec.
• Yildirim, Ramazan & Masih, Mansur & Bacha, Obiyathulla, 2017, "Determinants of capital structure - Evidence from Shari'ah compliant and non-compliant firms," MPRA Paper, University Library of Munich, Germany, number 90280, Jun, revised 26 May 2018.
• Das, Mahamitra & Sarkar, Nityananda, 2017, "Re-investigating the anomalous relationship between inflation and equity REIT returns: A regime-switching approach," MPRA Paper, University Library of Munich, Germany, number 95135, Jul, revised 05 Nov 2018.
• Hamid, Zuraini & Masih, Mansur, 2017, "The lead-lag relationship between the rubber price and inflation rate: an evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 95564, Dec.
• Sulaiman, Saidu & Masih, Mansur, 2017, "Is liberalizing finance the game in town for Nigeria ?," MPRA Paper, University Library of Munich, Germany, number 95569, Dec.
• Cikiryel, Burak & Masih, Mansur, 2017, "The Impact of Brexit on Islamic Stock Markets Employing MGARCH-DCC and Wavelet Correlation Analysis," MPRA Paper, University Library of Munich, Germany, number 95681, Dec.
• Abba, Junaid & Masih, Mansur, 2017, "Does oil impact Islamic stock markets ? evidence from MENA countries based on wavelet and markov switching approaches," MPRA Paper, University Library of Munich, Germany, number 95693, Jun.
• Halim, Hafeez & Masih, Mansur, 2017, "The causal relationship between islamic bank financing and macroeconomic variables: evidence from Malaysia based on ARDL approach," MPRA Paper, University Library of Munich, Germany, number 95697, Jun.
• Sulaiman, Ruslinda & Masih, Mansur, 2017, "Lead-lag relationship between GIA deposit and GIA profit rate in islamic banks:evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 98677, Feb.
• Munjid, Modhaa & Masih, Mansur, 2017, "The causal relationship between the macroeconomic variables and the stock price: the case of Brazil," MPRA Paper, University Library of Munich, Germany, number 98779, Nov.
• Mohamed, Hazik & Masih, Mansur, 2017, "Stock market comovement among the ASEAN-5 : a causality analysis," MPRA Paper, University Library of Munich, Germany, number 98781, May.
• Shawtari, Fekri Ali & Masih, Mansur, 2017, "Granger-causal relationship between macroeconomic variables and stock prices: evidence from South Africa," MPRA Paper, University Library of Munich, Germany, number 99848, Nov.
• Habib, Farrukh & Masih, Mansur, 2017, "The effect of interest rates and rate of profit on islamic investment deposits: evidence from Malaysia," MPRA Paper, University Library of Munich, Germany, number 99909, May.
• Ayanda Sikhosana & Goodness C. Aye, 2017, "Asymmetric Volatility Effects between the Real Exchange Rate and Stock Prices in South Africa," Working Papers, University of Pretoria, Department of Economics, number 201721, Mar.
• Rangan Gupta & Seong-Min Yoon, 2017, "OPEC News and Predictability of Oil Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach," Working Papers, University of Pretoria, Department of Economics, number 201726, Apr.
• Riza Demirer & Guilherme Demos & Rangan Gupta & Didier Sornette, 2017, "On the Predictability of Stock Market Bubbles: Evidence from LPPLS ConfidenceTM Multi-scale Indicators," Working Papers, University of Pretoria, Department of Economics, number 201752, Jul.
• Rangan Gupta & Chi Keung Marco Lau & Seong-Min Yoon, 2017, "OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration," Working Papers, University of Pretoria, Department of Economics, number 201754, Jul.
• Rıza Demirer & Rangan Gupta & Tahir Suleman & Mark E. Wohar, 2017, "Time-Varying Rare Disaster Risks, Oil Returns and Volatility," Working Papers, University of Pretoria, Department of Economics, number 201762, Aug.