Research classified by Journal of Economic Literature (JEL) codes

2017

• Wilson Donzwa & Rangan Gupta & Mark E. Wohar, 2017, "Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies: A Note," Working Papers, University of Pretoria, Department of Economics, number 201764, Sep.
• Rangan Gupta & Tahir Suleman & Mark E. Wohar, 2017, "Exchange Rate Returns and Volatility: The Role of Time-Varying Rare Disaster Risks," Working Papers, University of Pretoria, Department of Economics, number 201767, Sep.
• Rangan Gupta & Tahir Suleman & Mark E. Wohar, 2017, "The Role of Time-Varying Rare Disaster Risks in Predicting Bond Returns and Volatility," Working Papers, University of Pretoria, Department of Economics, number 201770, Oct.
• Sheung-Chi Chow & Rangan Gupta & Tahir Suleman & Wing-Keung Wong, 2017, "Long-Run Movement and Predictability of Bond Spread for BRICS and PIIGS: The Role of Economic, Financial and Political Risks," Working Papers, University of Pretoria, Department of Economics, number 201773, Oct.
• Martijn Bos & Riza Demirer & Rangan Gupta & Aviral Kumar Tiwari, 2017, "Oil Returns and Volatility: The Role of Mergers and Acquisitions," Working Papers, University of Pretoria, Department of Economics, number 201775, Oct.
• Jaromir Tichy & Michal Bock, 2017, "Assessment of Investor’s Portfolio of P2P Loans and Structured Certificates of P2P Loans," ACTA VSFS, University of Finance and Administration, volume 11, issue 2, pages 121-143.
• Milan Fičura, 2017, "Forecasting Stock Market Realized Variance with Echo State Neural Networks," European Financial and Accounting Journal, Prague University of Economics and Business, volume 2017, issue 3, pages 145-155, DOI: 10.18267/j.efaj.193.
• Hana Bártová, 2017, "Influence of Catastrophe Risk on Insurance and Reinsurance Markets," European Financial and Accounting Journal, Prague University of Economics and Business, volume 2017, issue 4, pages 47-65, DOI: 10.18267/j.efaj.200.
• Claudiu Boţoc, 2017, "Univariate and Bivariate Volatility in Central European Stock Markets," Prague Economic Papers, Prague University of Economics and Business, volume 2017, issue 2, pages 127-141, DOI: 10.18267/j.pep.598.
• Jiří Valecký, 2017, "Calculation of Solvency Capital Requirements for Non-life Underwriting Risk Using Generalized Linear Models," Prague Economic Papers, Prague University of Economics and Business, volume 2017, issue 4, pages 450-466, DOI: 10.18267/j.pep.621.
• Narcisa Kadlčáková & Luboš Komárek, 2017, "Foreign Exchange Market Contagion in Central Europe from the Viewpoint of Extreme Value Theory," Prague Economic Papers, Prague University of Economics and Business, volume 2017, issue 6, pages 690-721, DOI: 10.18267/j.pep.634.
• Aleš Kresta & Tomáš Tichý & Mehdi Toloo, 2017, "Posouzení modelů odhadu tržního rizika s využitím DEA přístupu
  [Examination of Market Risk Estimation Models via DEA Approach Modelling]," Politická ekonomie, Prague University of Economics and Business, volume 2017, issue 2, pages 161-178, DOI: 10.18267/j.polek.1134.
• Cristina Amado & Annastiina Silvennoinen & Timo Terasvirta, 2017, "Modelling and Forecasting WIG20 Daily Returns," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 9, issue 3, pages 173-200, September.
• Ricardo Perez & Raul F. Montalvo, 2017, "Analisis de la influencia de la actividad real de la economia sobre la volatilidad de la rentabilidad accionaria: un caso en el sector de edificacion en Mexico," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., volume 14, issue 2, pages 69-84, Julio-Dic.
• Peter Van Tassel, 2017, "Global Variance Term Premia and Intermediary Risk Appetite," 2017 Meeting Papers, Society for Economic Dynamics, number 149.
• Artem Aganin, 2017, "Forecast comparison of volatility models on Russian stock market," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 48, pages 63-84.
• Turhan Korkmaz & Emrah İsmail Çevik & Nüket Kırcı Çevik, 2017, "The Relationship between Investor Attention and Stock Markets: An Application on ISE-100 Index," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 8, issue 2, pages 203-215.
• N. Savaş Demirci, 2017, "Testing Capital Structure Theories with CBRT Sectoral Balance Sheets: A Panel Data Analysis on Manufacturing Industry Sector (2001-2015)," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 8, issue 2, pages 231-245.
• Muhammet Burak Kılıç & İsmail Çelik & Murat Kaya, 2017, "Modeling of Volatility in the Stock Markets Returns: Classic and Bayesian GARCH Approaches for ISE -100," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 8, issue 4, pages 715-726.
• William Barnett & Liting Su, 2017, "Financial Firm Production Of Inside Monetary And Credit Card Services: An Aggregation Theoretic Approach," Studies in Applied Economics, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise, number 91, Oct.
• Atanu Saha & Alex Rinaudo, 2017, "Downside risk protection of Retirement Assets: A new approach," Journal of Financial Transformation, Capco Institute, volume 45, pages 111-120.
• Jaber Bahrami & Mosayeb Pahlavani & Reza Roshan & Saeed Rasekhi, 2017, "The Impact of Exchange Rate Changes on Asset Returns in the Framework of a Consumption Based Capital Asset Pricing Model," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, volume 4, issue 1, pages 59-86.
• Adrian Cantemir CĂLIN & Oana Cristina POPOVICI & Gheorghe HURDUZEU, 2017, "The Impact of the Juncker Plan on Investors’ Beliefs," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 150-165, September.
• George Daniel Mateescu, 2017, "Regression on intervals," Working Papers of Institute for Economic Forecasting, Institute for Economic Forecasting, number 170901, Sep.
• Andreea – Cristina PETRICA & Stelian STANCU, 2017, "Empirical Results of Modeling EUR/RON Exchange Rate using ARCH, GARCH, EGARCH, TARCH and PARCH models," Romanian Statistical Review, Romanian Statistical Review, volume 65, issue 1, pages 57-72, March.
• Elisabeta JABA & Ioan-Bogdan ROBU & Christiana Brigitte BALAN, 2017, "Panel data analysis applied in financial performance assessment," Romanian Statistical Review, Romanian Statistical Review, volume 65, issue 2, pages 3-20, June.
• Turgut Tursoy & Faisal Faisal, 2017, "Re-testing for financial integration of the Turkish Stock Market and the US Stock Market: An Evidence from co-integration and error correction models," Romanian Statistical Review, Romanian Statistical Review, volume 65, issue 2, pages 43-55, June.
• Davide De Gaetano, 2017, "Forecasting With Garch Models Under Structural Breaks: An Approach Based On Combinations Across Estimation Windows," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0219, May.
• Davide De Gaetano, 2017, "A Bootstrap Bias Correction Of Long Run Fourth Order Moment Estimation In The Cusum Of Squares Test," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0220, Jul.
• Rocco Ciciretti & Ambrogio Dalò & Lammertjan Dam, 2017, "The Contributions of Betas versus Characteristics to the ESG Premium," CEIS Research Paper, Tor Vergata University, CEIS, number 413, Jul, revised 19 Dec 2019.
• Leopoldo Catania & Stefano Grassi, 2017, "Modelling Crypto-Currencies Financial Time-Series," CEIS Research Paper, Tor Vergata University, CEIS, number 417, Dec, revised 11 Dec 2017.
• Joseph Hughes & Choon-Geol Moon, 2017, "How Bad Is a Bad Loan? Distinguishing Inherent Credit Risk from Inefficient Lending (Does the Capital Market Price This Difference?)," Departmental Working Papers, Rutgers University, Department of Economics, number 201709, Oct.
• Maria Sole Pagliari & Swarnali Ahmed Hannan, 2017, "The Volatility of Capital Flows in Emerging Markets: Measures and Determinants," Departmental Working Papers, Rutgers University, Department of Economics, number 201710, Nov.
• Qing Zhou & Robert Faff, 2017, "The complementary role of cross-sectional and time-series information in forecasting stock returns," Australian Journal of Management, Australian School of Business, volume 42, issue 1, pages 113-139, February, DOI: 10.1177/0312896215575888.
• Pami Dua & Hema Kapur, 2017, "Macro Stress Testing of Indian Bank Groups," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, volume 11, issue 4, pages 375-403, November, DOI: 10.1177/0973801017722267.
• Johan Winbladh, 2017, "Systemic Banking Crisis and Macroeconomic Leading Indicators," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 4707470, Apr.
• Rajesh Mohnot, 2017, "Examining Granger Causality in the Behavioral Reactions of Institutional Investors," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 5808175, Oct.
• Luká? Frýd, 2017, "A wavelet transformation approach to crude oil price and CZK/USD exchange rate dependence," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 4507429, Apr.
• Zi-Yi Guo, 2017, "A Stochastic Factor Model for Risk Management of Commodity Derivatives," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 4507452, Apr.
• Sosa, Miriam & Ortiz, Edgar, 2017, "Global Financial Crisis Volatility Impact and Contagion Effect on NAFTA Equity Markets / Impacto de la volatilidad y efecto de contagio de la crisis global financiera en los mercados bursátiles del TLCAN," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 7, issue 1, pages 67-88, enero-jun.
• Tapia Gómez, Armando & Massa Roldán, Ricardo & Reyna Miranda, Montserrat, 2017, "Estrategia de construcción de portafolios de inversión: estudio comparativo para América Latina / Investment Portfolio Strategy: Comparative Study for Latin America," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 7, issue 2, pages 177-199, julio-dic.
• Aleksandra Wójcicka, 2017, "Neural Networks in Credit Risk Classification of Companies in the Construction Sector," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, volume 2, issue 2, pages 63-77, December, DOI: 10.33119/ERFIN.2017.2.2.1.
• Giovanni De Luca & Giampiero M. Gallo & Danilo Carità, 2017, "Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, volume 2, issue 2, pages 99-111, December, DOI: 10.33119/ERFIN.2017.2.2.3.
• Harmindar B. Nath & Vasilis Sarafidis, 2017, "Does persistence in idiosyncratic risk proxy return-reversals?," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, volume 2, issue 8, pages 27-53, October.
• Daniel Stefan Armeanu & Adrian Enciu & Sorin-Iulian Cioaca, 2017, "Romanian Capital Market in a Globalized World," Working papers Globalization - Economic, Social and Moral Implications, April 2017, Research Association for Interdisciplinary Studies, number 2, Jan, DOI: 10.5281/zenodo.581756.
• Özge KORKMAZ & Deniz ERER & Elif ERER, 2017, "Terör Olaylarının Finansal Piyasalar Üzerine Etkisi," Sosyoekonomi Journal, Sosyoekonomi Society, issue 25(31).
• Joshua Odutola Omokehinde & Matthew Adeolu Abata & Stephen Oseko Migiro, 2017, "Foreign Exchange News Announcements and the Volatility of Stock Returns in Nigeria," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, volume 67, issue 3, pages 3-17, july-Sept.
• Joseph Olorunfemi Akande & Farai Kwenda, 2017, "P-SVAR Analysis of Stability in Sub-Saharan Africa Commercial Banks," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, volume 67, issue 3, pages 49-78, july-Sept.
• Carl H. Korkpoe & Peterson Owusu Junior, 2018, "Behaviour of Johannesburg Stock Exchange All Share Index Returns - An Asymmetric GARCH and News Impact Effects Approach," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, volume 68, issue 1, pages 26-42, January-M.
• Stavros E. Arvanitis & Theodoros V. Stamatopoulos & Dimitris Terzakis, 2018, "Is There a Non-linear Relationship of Market Value with Cash and Ownership?," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, volume 68, issue 1, pages 3-25, January-M.
• Harri Pönkä, 2017, "Predicting the direction of US stock markets using industry returns," Empirical Economics, Springer, volume 52, issue 4, pages 1451-1480, June, DOI: 10.1007/s00181-016-1098-0.
• Omid Sabbaghi & Navid Sabbaghi, 2017, "The Chicago Climate Exchange and market efficiency: an empirical analysis," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, volume 19, issue 4, pages 711-734, October, DOI: 10.1007/s10018-016-0171-4.
• Tsunehiro Ishihara & Yasuhiro Omori, 2017, "Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage," The Japanese Economic Review, Springer, volume 68, issue 1, pages 63-94, March, DOI: 10.1111/jere.12114.
• Alexandru Mandes & Peter Winker, 2017, "Complexity and model comparison in agent based modeling of financial markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 12, issue 3, pages 469-506, October, DOI: 10.1007/s11403-016-0173-0.
• Paulo Ferreira, 2017, "Portuguese and Brazilian stock market integration: a non-linear and detrended approach," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, volume 16, issue 1, pages 49-63, April, DOI: 10.1007/s10258-017-0127-z.
• R. P. Brito & H. Sebastião & P. Godinho, 2017, "Portfolio choice with high frequency data: CRRA preferences and the liquidity effect," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, volume 16, issue 2, pages 65-86, August, DOI: 10.1007/s10258-017-0131-3.
• Maddalena Cavicchioli, 2017, "Estimation and asymptotic covariance matrix for stochastic volatility models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, volume 26, issue 3, pages 437-452, August, DOI: 10.1007/s10260-016-0373-8.
• Ihsan Erdem Kayral & Semra Karacaer, 2017, "Research of the Causalities US Stock Market Returns and G-7 Countries’ Stock Market Volatilities from Pre-Crisis to Post-Crisis of 2008," Advances in Management and Applied Economics, SCIENPRESS Ltd, volume 7, issue 4, pages 1-3.
• Ihsan Erdem Kayral & Semra Karacaer, 2017, "Analysis of the Effects of the US Stock Market Returns and Exchange Rate Changes on Emerging Market Economies’ Stock Market Volatilities," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 7, issue 5, pages 1-5.
• Vasilios Sogiakas, 2017, "On the implementation of asymmetric VaR models for managing and forecasting market risk," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 7, issue 6, pages 1-2.
• Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini, 2017, "The Janus-Faced Nature of Debt: Results from a Data-Driven Cointegrated SVAR Approach," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2017/04, 01.
• David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2017, "Volatility spillover and multivariate volatility impulse response analysis of GFC news events," Applied Economics, Taylor & Francis Journals, volume 49, issue 33, pages 3246-3262, July, DOI: 10.1080/00036846.2016.1257210.
• José Fajardo, 2017, "A new factor to explain implied volatility smirk," Applied Economics, Taylor & Francis Journals, volume 49, issue 40, pages 4026-4034, August, DOI: 10.1080/00036846.2016.1273505.
• Filip Žikeš & Jozef Baruník & Nikhil Shenai, 2017, "Modeling and forecasting persistent financial durations," Econometric Reviews, Taylor & Francis Journals, volume 36, issue 10, pages 1081-1110, November, DOI: 10.1080/07474938.2014.977057.
• Paul Catani & Timo Teräsvirta & Meiqun Yin, 2017, "A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model," Econometric Reviews, Taylor & Francis Journals, volume 36, issue 6-9, pages 599-621, October, DOI: 10.1080/07474938.2017.1307311.
• Manabu Asai & Michael McAleer, 2017, "The impact of jumps and leverage in forecasting covolatility," Econometric Reviews, Taylor & Francis Journals, volume 36, issue 6-9, pages 638-650, October, DOI: 10.1080/07474938.2017.1307326.
• Siem Jan Koopman & Rutger Lit & André Lucas, 2017, "Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model," Journal of the American Statistical Association, Taylor & Francis Journals, volume 112, issue 520, pages 1490-1503, October, DOI: 10.1080/01621459.2017.1302878.
• Joshua C. C. Chan, 2017, "The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 35, issue 1, pages 17-28, January, DOI: 10.1080/07350015.2015.1052459.
• Luc Bauwens & Jean-François Carpantier & Arnaud Dufays, 2017, "Autoregressive Moving Average Infinite Hidden Markov-Switching Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 35, issue 2, pages 162-182, April, DOI: 10.1080/07350015.2015.1123636.
• Biqing Cai & Jiti Gao & Dag Tjøstheim, 2017, "A New Class of Bivariate Threshold Cointegration Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 35, issue 2, pages 288-305, April, DOI: 10.1080/07350015.2015.1062385.
• Tao Zou & Song Xi Chen, 2017, "Enhancing Estimation for Interest Rate Diffusion Models With Bond Prices," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 35, issue 3, pages 486-498, July, DOI: 10.1080/07350015.2015.1089773.
• Ke Zhu & Wai Keung Li & Philip L. H. Yu, 2017, "Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 35, issue 4, pages 528-542, October, DOI: 10.1080/07350015.2015.1123634.
• Dungey, Mardi & Harvey, John & Volkov, Vladimir, 2017, "The changing international network of sovereign debt and financial institutions," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2017-04.
• Meltem Gulenay Chadwick & Emine Meltem Bastan, 2017, "Beef Price Volatility in Turkey: Can Import Policy Affect the Price and Its Uncertainty?," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1709.
• Joscha Beckmann & Theo Berger & Robert Czudaj, 2017, "Gold Price Dynamics and the Role of Uncertainty," Chemnitz Economic Papers, Department of Economics, Chemnitz University of Technology, number 006, May, revised May 2017.
• Joscha Beckmann & Theo Berger & Robert Czudaj & Thi-Hong-Van Hoang, 2017, "Tail dependence between gold and sectorial stocks in China: Perspectives for portfolio diversication," Chemnitz Economic Papers, Department of Economics, Chemnitz University of Technology, number 012, Jul, revised Jul 2017.
• David E. Allen & Michael McAleer & Abhay K. Singh, 2017, "A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 17-013/III, Jan.
• Chia-Lin Chang & Michael McAleer, 2018, "The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 17-015/III, Mar.
• Manabu Asai & Michael McAleer, 2017, "Forecasting the Volatility of Nikkei 225 Futures," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 17-017/III, Jan.
• Jinghui Chen & Masahito Kobayashi & Michael McAleer, 2017, "Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 17-022/III, Feb.
• Sander Barendse, 2017, "Interquantile Expectation Regression," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 17-034/III, Mar.
• Chia-Lin Chang & Michael McAleer & Guangdong Zuo, 2017, "Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 17-051/III, May.
• Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2017, "Tourism Stocks in Times of Crises: An Econometric Investigation of Unexpected Non-macroeconomic Factors," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 17-052/III, Jun.
• Chia-Lin Chang & Michael McAleer, 2017, "The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 17-056/III, Jun.
• David Allen & Michael McAleer, 2017, "Theoretical and Empirical Differences Between Diagonal and Full Bekk for Risk Management," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 17-069/III, Jul.
• Francisco (F.) Blasques & Marc Nientker, 2017, "A Stochastic Recurrence Equation Approach to Stationarity and phi-Mixing of a Class of Nonlinear ARCH Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 17-072/III, Aug.
• Michael mcAleer, 2017, "Stationarity and Invertibility of a Dynamic Correlation Matrix," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 17-082/III, Sep.
• Manabu Asai & Michael McAleer & Shelton Peiris, 2017, "Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 17-105/III, Nov.
• Goncalves, Silvia & Hounyo, Ulrich & Meddahi, Nour, 2017, "Bootstrapping Pre-Averaged Realized Volatility under Market Microstructure Noise," TSE Working Papers, Toulouse School of Economics (TSE), number 17-809, May.
• Chia-Lin Chang & Michael McAleer, 2017, "The Fiction of Full BEKK," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2017-06, Jan.
• Manabu Asai & Michael McAleer, 2017, "Forecasting the volatility of Nikkei 225 futures," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2017-07, Jan.
• Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2017, "Connecting VIX and Stock Index ETF," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2017-08, Jan.
• Jinghui Chen & Masahito Kobayashi & Michael McAleer, 2017, "Testing for volatility co-movement in bivariate stochastic volatility models," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2017-10, Feb.
• Chia-Lin Chang & Michael McAleer & Guangdong Zuo, 2017, "Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2017-15, May.
• Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2017, "Tourism stocks in times of crises: An econometric investigation of non-macro factors," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2017-16, Jun.
• Chia-Lin Chang & Michael McAleer, 2017, "The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2017-17, Jun.
• David E. Allen & Michael McAleer, 2017, "Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2017-22, Jul.
• Manabu Asai & Shelton Peiris & Michael McAleer, 2017, "Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2017-26, Nov.
• Ihor Voloshyn, 2017, "Predicting the Utilization Rate and Risk Measures of Committed Credit Facilities," Visnyk of the National Bank of Ukraine, National Bank of Ukraine, issue 240, pages 14-21, DOI: 10.26531/vnbu2017.240.014.
• David E. Giles & Qinlu Chen, 2017, "Risk Analysis for Three Precious Metals: An Application of Extreme Value Theory," Econometrics Working Papers, Department of Economics, University of Victoria, number 1704, Aug.
• ERER, Elif & ERER, Deniz, 2017, "Long Memory In Turkish Stock Market And Effects Of Central Banks’ Announcements," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 21, issue 3, pages 6-18.
• Chlebus Marcin, 2017, "EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk," Central European Economic Journal, Sciendo, volume 3, issue 50, pages 01-25, December, DOI: 10.1515/ceej-2017-0014.
• Barańska Anna, 2017, "Compensation for Real Properties Acquired for Roads in Different Procedures - Comparative Analysis," Real Estate Management and Valuation, Sciendo, volume 25, issue 4, pages 40-49, December, DOI: 10.1515/remav-2017-0028.
• Gilbert Mbara, 2017, "Business Cycle Dating after the Great Moderation: A Consistent Two – Stage Maximum Likelihood Method," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2017-13.
• Mateusz Buczyński & Marcin Chlebus, 2017, "Is CAViaR model really so good in Value at Risk forecasting? Evidence from evaluation of a quality of Value-at-Risk forecasts obtained based on the: GARCH(1,1), GARCH-t(1,1), GARCH-st(1,1), QML-GARCH(1,1), CAViaR and the historical simulation models ," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2017-29.
• Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2017, "Inference on Self‐Exciting Jumps in Prices and Volatility Using High‐Frequency Measures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 32, issue 3, pages 504-532, April.
• István Barra & Lennart Hoogerheide & Siem Jan Koopman & André Lucas, 2017, "Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 32, issue 5, pages 1003-1026, August.
• Alexis Akira Toda & Kieran James Walsh, 2017, "Fat tails and spurious estimation of consumption‐based asset pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 32, issue 6, pages 1156-1177, September.
• František Čech & Jozef Baruník, 2017, "On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model," Journal of Forecasting, John Wiley & Sons, Ltd., volume 36, issue 2, pages 181-206, March.
• Manabu Asai & Michael McAleer, 2017, "Forecasting the volatility of Nikkei 225 futures," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 37, issue 11, pages 1141-1152, November.
• Remzi Uctum & Patricia Renou‐Maissant & Georges Prat & Sylvie Lecarpentier‐Moyal, 2017, "Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data," Review of Financial Economics, John Wiley & Sons, volume 35, issue 1, pages 43-56, November, DOI: 10.1016/j.rfe.2017.03.001.
• Faria, Gonçalo & Verona, Fabio, 2017, "Forecasting the equity risk premium with frequency-decomposed predictors," Bank of Finland Research Discussion Papers, Bank of Finland, number 1/2017.
• Eraslan, Sercan & Ali, Faek Menla, 2017, "Financial crises and the dynamic linkages between stock and bond returns," Discussion Papers, Deutsche Bundesbank, number 17/2017.
• Lux, Thomas, 2017, "Estimation of agent-based models using sequential Monte Carlo methods," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2017-07.
• Grammig, Joachim & Küchlin, Eva-Maria, 2017, "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 17-01.
• Andersen, Torben G. & Cebiroglu, Gökhan & Hautsch, Nikolaus, 2017, "Volatility, information feedback and market microstructure noise: A tale of two regimes," CFS Working Paper Series, Center for Financial Studies (CFS), number 569.
• Grammig, Joachim & Küchlin, Eva-Maria, 2017, "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFS Working Paper Series, Center for Financial Studies (CFS), number 572.
• Hautsch, Nikolaus & Voigt, Stefan, 2017, "Large-scale portfolio allocation under transaction costs and model uncertainty," CFS Working Paper Series, Center for Financial Studies (CFS), number 582.
• Dumitru, Ana-Maria & Holden, Tom, 2017, "A Hawkes model of the transmission of European sovereign default risk," EconStor Conference Papers, ZBW - Leibniz Information Centre for Economics, number 168431.
• Raddant, Matthias & Kenett, Dror Y., 2017, "Interconnectedness in the global financial market," Kiel Working Papers, Kiel Institute for the World Economy, number 2076.
• Boeing-Reicher, Claire A. & Boysen-Hogrefe, Jens, 2017, "Estimating the effects of the "flight to quality", with an application to German bond yields and interest payments," Kiel Working Papers, Kiel Institute for the World Economy, number 2086.
• Bonaccolto, Giovanni & Caporin, Massimiliano & Panzica, Roberto Calogero, 2017, "Estimation and model-based combination of causality networks," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 165, DOI: 10.2139/ssrn.2909585.
• Billio, Monica & Caporin, Massimiliano & Panzica, Roberto Calogero & Pelizzon, Loriana, 2017, "The impact of network connectivity on factor exposures, asset pricing and portfolio diversification," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 166, DOI: 10.2139/ssrn.2914218.
• Khalifa, Ahmed & Caporin, Massimiliano & Costola, Michele & Hammoudeh, Shawkat, 2017, "Systemic risk for financial institutions of major petroleum-based economies: The role of oil," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 172, revised 2017, DOI: 10.2139/ssrn.2985352.
• Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl & Okhrin, Yarema, 2017, "Tail event driven networks of SIFIs," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2017-004.
• Qian, Ya & Härdle, Wolfgang Karl & Chen, Cathy Yi-Hsuan, 2017, "Industry Interdependency Dynamics in a Network Context," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2017-012.
• Adamyan, Larisa & Efimov, Kirill & Chen, Cathy Yi-hsuan & Härdle, Wolfgang Karl, 2017, "Adaptive weights clustering of research papers," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2017-013.
• Trimborn, Simon & Li, Mingyang & Härdle, Wolfgang Karl, 2017, "Investing with cryptocurrencies - A liquidity constrained investment approach," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2017-014.
• Chen, Cathy Yi-Hsuan & Nasekin, Sergey, 2017, "The systemic risk of central SIFIs," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2017-021.
• Voelzke, Jan & Gößling, Fabian & Diesteldorf, Jeanne & Weigt, Till, 2017, "Investors' favourite - A different look at valuing individual labour income," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking, Verein für Socialpolitik / German Economic Association, number 168065.
• Hautsch, Nikolaus & Voigt, Stefan, 2017, "Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking, Verein für Socialpolitik / German Economic Association, number 168222.
• Gavard, Claire & Kirat, Djamel, 2017, "Flexibility in the market for international carbon credits and price dynamics difference with European allowances," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 17-054.

2016

• Arseny Mamedov & Evgenia Fomina & Alexandra Bozhechkova & Sergey Tsukhlo & Pavel Trunin & Victor Lyashok, 2016, "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 20, pages 1-26, February.
• Arseny Mamedov & Evgenia Fomina & Mikhail Khromov & Andrei Kaukin & Natalia Shagaida & Natalia Zubarevich & Pavel Pavlov & Vasily Uzun, 2016, "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 21, pages 1-30, February.
• Arseny Mamedov & Evgenia Fomina & Alexandra Bozhechkova & Sergey Tsukhlo & Pavel Trunin & Victor Lyashok, 2016, "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 20, pages 1-22, February.
• Arseny Mamedov & Evgenia Fomina & Mikhail Khromov & Natalia Shagaida & Natalia Zubarevich & Pavel Pavlov & Vasily Uzun, 2016, "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 21, pages 1-30, February.
• Arnaud Dufays, 2016, "Evolutionary Sequential Monte Carlo Samplers for Change-Point Models," Econometrics, MDPI, volume 4, issue 1, pages 1-33, March.
• David Ardia & Lukasz T. Gatarek & Lennart Hoogerheide & Herman K. Van Dijk, 2016, "Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices," Econometrics, MDPI, volume 4, issue 1, pages 1-19, March.
• Francesco Audrino & Yujia Hu, 2016, "Volatility Forecasting: Downside Risk, Jumps and Leverage Effect," Econometrics, MDPI, volume 4, issue 1, pages 1-24, February.
• Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2016, "Portfolio Choice with High Frequency Data: CRRA Preferences and the Liquidity Effect," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2016-13, Sep.
• Maria do Rosario Correia & Christian Gokus & Andrew Hughes Hallett & Christian Richter, 2016, "A Dynamic Analysis of the Determinants of the Greek Credit Default Swaps," Working Papers, The German University in Cairo, Faculty of Management Technology, number 41, Mar.
• Serge Darolles & Christian Francq & Gaëlle Le Fol & Jean-Michel Zakoïan, 2016, "Intrinsic Liquidity in Conditional Volatility Models," Post-Print, HAL, number hal-01500747, DOI: 10.15609/annaeconstat2009.123-124.0.
• Joscha Beckmann & Theo Berger & Robert Czudaj & Thi-Hong-Van Hoang, 2016, "Tail dependence between gold and sectorial stocks in China: perspectives for portfolio diversification," Post-Print, HAL, number hal-02053864, Jun, DOI: 10.1007/s00181-017-1381-8.
• Abdelbari El Khamlichi & Thi Hong Van Hoang & Wing‐keung Wong, 2016, "Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis," Post-Print, HAL, number hal-02964594, Jul.
• Abdelbari El Khamlichi & Thi Hong Van Hoang & Wing‐keung Wong, 2016, "Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis," Post-Print, HAL, number hal-02965765, Jun.
• Anne Peguin-Feissolle & Bilel Sanhaji, 2016, "Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models," Post-Print, HAL, number hal-04218472, DOI: 10.15609/annaeconstat2009.123-124.0.
• Serge Darolles & Christian Francq & Sébastien Laurent, 2016, "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print, HAL, number hal-04590533, Dec.
• Christian Francq & Jean-Michel Zakoïan, 2016, "Looking for efficient QML estimation of conditional value-at-risk at multiple risk levels," Post-Print, HAL, number hal-05430924.
• Green, Rikard & Larsson, Karl & Lunina, Veronika & Nilsson, Birger, 2016, "Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets," Working Papers, Lund University, Department of Economics, number 2016:2, Jan, revised 11 Oct 2017.
• Liu, Yuna, 2016, "Stock exchange integration and price jump risks - The case of the OMX Nordic exchange mergers," Umeå Economic Studies, Umeå University, Department of Economics, number 925, Mar.
• Liu, Yuna, 2016, "Essays on Stock Market Integration - On Stock Market Efficiency, Price Jumps and Stock Market Correlations," Umeå Economic Studies, Umeå University, Department of Economics, number 926, May.
• Kanaya, Shin, 2016, "Convergence rates of sums of α-mixing triangular arrays : with an application to non-parametric drift function estimation of continuous-time processes," Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number 646, Aug.
• Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Barry Rafferty, 2016, "Risk and Return Spillovers among the G10 Currencies," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2016n04, Feb.
• Nataliya Trusova, 2016, "Predicted Possibility of Implementing Financial Potential at Agricultural Micro-Level," Oblik i finansi, Institute of Accounting and Finance, issue 2, pages 135-142, June.
• Christian M. Hafner & Oliver Linton & Haihan Tang, 2016, "Estimation of a multiplicative covariance structure in the large dimensional case," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP52/16, Nov.
• Shubhasis Dey, 2016, "Historical Events and the Gold Price," Working papers, Indian Institute of Management Kozhikode, number 198, May.
• Toshiyuki Sakiyama & Tetsuya Yamada, 2016, "Market Liquidity and Systemic Risk in Government Bond Markets: A Network Analysis and Agent-Based Model Approach," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 16-E-13, Oct.
• Guillermo Benavides Perales, 2016, "Exchange Rate Risk Premium: An Analysis of its Determinants for the Mexican Peso-USD," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 11, issue 1, pages 55-77, Enero-Jun.
• Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2013, "Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?," Working Papers, Department of Research, Ipag Business School, number 2013-20, Jan.
• Javed Bin Kamal & A.K. Enamul Haque, 2016, "Dependence between stock market and foreign exchange market in South Asia: A Copula-Garch approach," Journal of Developing Areas, Tennessee State University, College of Business, volume 50, issue 1, pages 175-194, January-M.
• Chi Ming Wong & Lei Lam Olivia Ting, 2016, "A Quantile Regression Approach to the Multiple Period Value at Risk Estimation," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, volume 12, issue 1, pages 1-35, February.
• Langedijk, Sven & Monokroussos, George & Papanagiotou, Evangelia, 2016, "Benchmarking Liquidity Proxies: Accounting for Dynamics and Frequency Issues," JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission, number 2016-03, Dec.
• William A. Barnett & Marcelle Chauvet & Danilo Leiva-Leon & Liting Su, 2016, "The Credit-Card-Services Augmented Divisia Monetary Aggregates," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 201604, Aug, revised Aug 2016.
• William A. Barnett & Marcelle Chauvet & Danilo Leiva-Leon & Liting Su, 2016, "Nowcasting Nominal GDP with the Credit-Card Augmented Divisia Monetary Aggregates," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 201605, Aug, revised Aug 2016.
• William A. Barnett & Liting Su, 2016, "Risk Adjustment of the Credit-Card Augmented Divisia Monetary Aggregates," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 201606, Aug, revised Aug 2016.
• Thomas A. Severini, 2016, "A nonparametric approach to measuring the sensitivity of an asset’s return to the market," Annals of Finance, Springer, volume 12, issue 2, pages 179-199, May, DOI: 10.1007/s10436-016-0277-5.
• Harald Schmidbauer & Angi Rosch & Erhan Uluceviz, 2016, "Frequency aspects of information transmission in a network of three Western equity markets," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1616, Dec.
• Lakatos, Máté, 2016, "A befektetői túlreagálás empirikus vizsgálata a Budapesti Értéktőzsdén
  [An empirical test for investor over-reaction on the Budapest stock exchange]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 7, pages 762-786, DOI: 10.18414/KSZ.2016.7-8.762.
• Maria do Rosario CORREIA & Christian GOKUS & Andrew Hughes HALLETT & Christian R. RICHTER, 2016, "A Dynamic Analysis of the Determinants of the Greek Credit Default Swaps," Journal of Economics and Political Economy, KSP Journals, volume 3, issue 2, pages 350-376, June.
• Christian Rudolf RICHTER & Bachar FAKHRY, 2016, "Testing the Efficiency of the GIPS Sovereign Debt Markets using an Asymmetrical Volatility Test," Journal of Economics and Political Economy, KSP Journals, volume 3, issue 3, pages 524-535, September.
• Latifa AITOUTOUHEN & Faris HAMZA, 2016, "Financial and Econometric Study of the Sustainability and Evaluation of Scenarios of Reforms for the Civil Regime of Moroccan," Turkish Economic Review, KSP Journals, volume 3, issue 4, pages 652-667, December.
• Bachar FAKHRY, 2016, "A Regime Switching Explanation of the Reactions of Market Participant during the Crisis," Journal of Economics Bibliography, KSP Journals, volume 3, issue 3, pages 434-449, September.
• Leleng KEBALO, 2016, "South African Exchange Rate After 2000s: An Econometric Investigation," Journal of Economics Bibliography, KSP Journals, volume 3, issue 3, pages 459-481, September.
• Eduard Baumohl & Evzen Kocenda & Stefan Lyocsa & Tomas Vyrost, 2016, "Networks of volatility spillovers among stock markets," KIER Working Papers, Kyoto University, Institute of Economic Research, number 941, May.
• Shin Kanaya, 2016, "Convergence rates of sums of α-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes," KIER Working Papers, Kyoto University, Institute of Economic Research, number 947, Aug.
• Arnaud Dufays & Maciej Augustyniak & Luc Bauwens, 2016, "A new approach to volatility modeling: the High-Dimensional Markov model," Cahiers de recherche, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques, number 1609.
• Markus Engler & Vahidin Jeleskovic, 2016, "Intraday volatility, trading volume and trading intensity in the interbank market e-MID," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 201648.
• Anastasios Demertzidis & Vahidin Jeleskovic, 2016, "Empirical Estimation of Intraday Yield Curves on the Italian Interbank Credit Market e-MID," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 201649.
• Biabani, Jahangir & Valipour Pasha, Mohammad, 2016, "The Impact of Regulatory Policies on Volatility under Prudential Framework," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 11, issue 1, pages 53-70, January.
• Narcisa Kadlcakova & Lubos Komarek & Zlatuse Komarkova & Michal Hlavacek, 2016, "Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 52, issue 11, pages 2595-2609, November, DOI: 10.1080/1540496X.2015.1087792.
• Buerhan Saiti & Obiyathulla Ismath Bacha & Mansur Masih, 2016, "Testing the Conventional and Islamic Financial Market Contagion: Evidence from Wavelet Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 52, issue 8, pages 1832-1849, August, DOI: 10.1080/1540496X.2015.1087784.
• Shahrin Saaid Shaharuddin & Wee-Yeap Lau & Rubi Ahmad, 2016, "A Survey of Literature on Islamic Equity Style Investing and its Applications," Capital Markets Review, Malaysian Finance Association, volume 24, issue 1, pages 68-83.
• Zsuzsanna Hosszú, 2016, "The impact of credit supply shocks and a new FCI based on a FAVAR approach," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2016/1.
• Francesco Giuseppe Caloia & Andrea Cipollini & Silvia Muzzioli, 2016, "A note on normalization schemes:The case of generalized forecast error variance decompositions," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0092, Aug.
• Gael M. Martin & Brendan P.M. McCabe & David T. Frazier & Worapree Maneesoonthorn & Christian P. Robert, 2016, "Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 09/16.
• Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2016, "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 8/16.